/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/191110.mbx T R O U B L E D C O M P A N Y R E P O R T E R Sunday, November 10, 2019, Vol. 23, No. 313 Headlines ACC TRUST 2019-2: Moody's Assigns (P)B2 Rating on Class C Notes AGL CLO I: Moody's Assigns Ba3 Rating on $23.85MM Class E Notes AMERICAN CREDIT 2018-3: S&P Raises Class F Notes Rating to BB (sf) AMERICAN CREDIT 2019-4: S&P Assigns Prelim B(sf) Rating to F Notes ARBOR REALTY 2019-FL2: DBRS Gives Prov. B(low) Rating on G Notes ARES LIV CLO: S&P Assigns Prelim BB- (sf) Rating to Class E Notes BAIN CAPITAL 2019-3: Moody's Rates $27.5MM Class E Notes Ba3 BANK 2017-BNK9: Fitch Affirms B+sf Rating on Class F Certs BARDOT CLO: Moody's Assigns Ba3 Rating on 13 Note Classes BARINGS MIDDLE 2019-I: S&P Assigns BB- (sf) Rating to Cl. D Notes BRAVO RESIDENTIAL 2019-2: Fitch to Rate Class B5 Debt 'B(EXP)' CHASE HOME 2019-1: DBRS Finalizes B Rating on 2 Cert. Classes CITIGROUP COMMERCIAL 2006-C4: Moody's Cuts Class D Debt to C COMM 2016-CCRE28: Fitch Affirms B-sf Rating on Class G Certs COMM MORTGAGE 2004-LNB2: Fitch Hikes Class K Certs Rating to CCCsf CONNECTICUT AVENUE 2019-R07: Fitch Rates Class 1M-2C Notes Bsf COUNTRYWIDE HOME 2004-SD2: Moody's Raises Cl. M-2 Debt Rating to B1 DEEPHAVEN 2019-4: S&P Assigns Prelim B- Rating on Class B-2 Notes ELLINGTON FINANCIAL 2019-2: S&P Gives Prelim B Rating to B-2 Certs FINANCE OF AMERICA 2019-HB1: Moody's Hikes M4 Debt Rating to B1 FLAGSHIP CREDIT 2019-4: S&P Assigns Prelim BB- Rating to E Notes FLATIRON CLO 19: S&P Assigns Prelim BB- (sf) Rating to Cl. E Notes FORT WASHINGTON 2019-1: S&P Assigns BB- (sf) Rating to Cl. E Notes GLS AUTO 2019-4: S&P Assigns BB- (sf) Rating to Class D Notes GOLDMAN SACHS 2013-GC10: Fitch Affirms Bsf Rating on Class F Certs GS MORTGAGE 2017-GS8: Fitch Affirms B-sf Rating on Cl. G-RR Certs GS MORTGAGE 2019-PJ3: DBRS Finalizes B(high) Rating on B-5 Certs INSITE SECURED 2018-1: Fitch Affirms BB-sf Rating on Class C Notes JACKSON PARK 2019-LIC: S&P Assigns Prelim B- Rating on Cl. F Certs JP MORGAN 2019-LTV3: DBRS Finalizes B Rating on Class B-5 Certs LB-UBS COMMERCIAL 2005-C7: Fitch Affirms BB Rating on Cl. F Certs LENDMARK FUNDING 2019-2: DBRS Finalizes BB Rating on Class D Notes LONE STAR 2015-LSP: Fitch Affirms B-sf Rating on Class F Certs MERRILL LYNCH 2007-CANADA21: Moody's Hikes Class L Certs to Ba2 MILL CITY 2019-GS2: DBRS Finalizes B(low) Rating on 3 Classes MORGAN STANLEY 2016-C28: Fitch Affirms B-sf Rating on 2 Tranches MORGAN STANLEY 2019-L3: Fitch to Rate 2 Tranches 'B-sf' NATIXIS COMMERCIAL 2019-1776: Moody's Rates Class F Certs B3 NEW RESIDENTIAL 2019-NQM5: Fitch to Rate Class B-2 Debt B(EXP) PREFERRED TERM XIX: Moody's Hikes $82MM Class C Notes Rating to B1 PREFERRED TERM XVIII: Moody's Hikes $80MM Cl. C Notes Rating to B1 SEQUOIA MORTGAGE 2019-5: Fitch to Rate Class B-5 Certs 'BB-(EXP)' TAILWIND 2019-1: S&P Assigns Prelim BB (sf) Rating to Cl. C Notes TCW CLO 2019-2: S&P Assigns Prelim BB- (sf) Rating to Cl. E Notes THL CREDIT 2019-2: S&P Assigns BB-(sf) Rating to $20MM Cl. E Notes TOBACCO SECURITIZATION: S&P Affirms CCC- Ratings on 2006 Bonds TOWD POINT 2019-4: DBRS Assigns Prov. B Rating on Class B3 Notes TOWD POINT 2019-4: Moody's Assigns (P)B3 Rating on Class B2 Notes UBS COMMERCIAL 2017-C6: Fitch Affirms B-sf Rating on Cl. F Certs VOYA CLO 2012-4: S&P Assigns B- (sf) Rating to Class E-R-R Notes WELLS FARGO 2016-C34: Fitch Lowers Rating on 2 Tranches to Bsf WELLS FARGO 2019-4: Fitch to Rate $2.124MM Cl. B-4 Certs BBsf WELLS FARGO 2019-4: Moody's Assigns (P)Ba2 Rating on Cl. B-4 Debt WELLS FARGO 2019-C53: Fitch Assigns B-sf Rating on Cl. H-RR Certs [*] DBRS Reviews 52 Ratings From 12 US Structured ABS Trans ********* ACC TRUST 2019-2: Moody's Assigns (P)B2 Rating on Class C Notes --------------------------------------------------------------- Moody's Investors Service assigned provisional ratings to the notes to be issued by ACC Trust 2019-2. This is the second auto lease transaction of the year and the third overall for RAC King, LLC (not rated). The notes will be backed by a pool of closed-end retail automobile leases originated by RAC King, LLC. RAC Servicer, LLC is the servicer and administrator for this transaction. The complete rating actions are as follows: Issuer: ACC Trust 2019-2 Class A Notes, Assigned (P)Baa2 (sf) Class B Notes, Assigned (P)Ba1 (sf) Class C Notes, Assigned (P)B2 (sf) RATINGS RATIONALE The ratings are based on the quality of the underlying collateral and its expected performance, the strength of the capital structure, the experience and expertise of RAC Servicer, LLC as the servicer and administrator, and the presence of Wells Fargo N.A. (long-term deposits Aa1 and long-term senior unsecured Aa2 stable) as named backup servicer. Moody's median cumulative net credit loss expectation is 31%. Moody's based its cumulative net credit loss expectation on an analysis of the quality of the underlying collateral; managed portfolio performance; the historical credit loss of similar collateral; the ability of RAC Servicer, LLC to perform the servicing functions; and current expectations for the macroeconomic environment during the life of the transaction. Moody's also analyzed the residual risk of the pool based on the exposure to residual value risk; the historical turn-in rate; and the historical residual value performance. At closing, the Class A notes, the Class B notes and the Class C notes are expected to benefit from 42.75%, 29.65%, 21.35% of hard credit enhancement, respectively. Hard credit enhancement for the notes consists of a combination of overcollateralization, a non-declining reserve account and subordination, except for the Class C notes, which do not benefit from subordination. The notes may also benefit from excess spread. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Global Approach to Rating Auto Loan- and Lease-Backed ABS" published in March 2019. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the subordinate notes if levels of credit enhancement are higher than necessary to protect investors against current expectations of portfolio losses. 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 vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market and the market for used vehicles. Other reasons for better-than-expected performance include changes to servicing practices that enhance collections or refinancing opportunities that result in prepayments. Down Moody's could downgrade the notes if levels of credit enhancement are insufficient to protect investors against current expectations of portfolio losses. 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 vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market and the market for used vehicles. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. AGL CLO I: Moody's Assigns Ba3 Rating on $23.85MM Class E Notes --------------------------------------------------------------- Moody's Investors Service assigned ratings to five classes of debt issued by AGL CLO I Ltd. Moody's rating action is as follows: US$288,000,000 Class AL Loans maturing 2032 (the "Class AL Loans"), Definitive Rating Assigned Aaa (sf) US$50,400,000 Class B Senior Secured Floating Rate Notes due 2032 (the "Class B Notes"), Definitive Rating Assigned Aa2 (sf) US$20,920,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2032 (the "Class C Notes"), Definitive Rating Assigned A2 (sf) US$28,570,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2032 (the "Class D Notes"), Definitive Rating Assigned Baa3 (sf) US$23,850,000 Class E Junior Secured Deferrable Floating Rate Notes due 2032 (the "Class E Notes"), Definitive Rating Assigned Ba3 (sf) The Class AL Loans, the Class B Notes, the Class C Notes, the Class D Notes and the Class E Notes are referred to herein, collectively, as the "Rated Debt." RATINGS RATIONALE The rationale for the ratings is based on a consideration of the risks associated with the CLO's portfolio and structure as described in its methodology. AGL CLO I is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 92.5% of the portfolio must consist of first lien senior secured loans, cash, and eligible investments, and up to 7.5% of the portfolio may consist of second lien loans and unsecured loans. The portfolio is approximately 80% ramped as of the closing date. AGL CLO Credit Management LLC will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. This is the Manager's first CLO. In addition to the Rated Debt, the Issuer issued subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the debt in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in March 2019. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $450,000,000 Diversity Score: 60 Weighted Average Rating Factor (WARF): 2875 Weighted Average Spread (WAS): 3.60% Weighted Average Coupon (WAC): 7.50% Weighted Average Recovery Rate (WARR): 47.0% Weighted Average Life (WAL): 9.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in March 2019. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Debt is subject to uncertainty. The performance of the Rated Debt is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Debt. AMERICAN CREDIT 2018-3: S&P Raises Class F Notes Rating to BB (sf) ------------------------------------------------------------------ S&P Global Ratings raised its ratings on 21 classes of notes from American Credit Acceptance Receivables Trust 2017-1, 2017-2, 2018-1, 2018-2, and 2018-3. At the same time, S&P affirmed its rating on one class of notes from American Credit Acceptance Receivables Trust 2018-3. The rating actions reflect collateral performance to date and S&P's expectations regarding future collateral performance, as well as each transaction's structure and credit enhancement. Additionally, S&P incorporated secondary credit factors, including credit stability, payment priorities under various scenarios, and sector- and issuer-specific analyses. Considering all of these factors, the rating agency believes the creditworthiness of the notes remains consistent with the raised and affirmed ratings. S&P lowered its lifetime loss expectation range for the series 2017-1, 2017-2, and 2018-1 transactions because they are performing slightly better than the rating agency's previously expected cumulative net loss (CNL) range. Series 2018-2 and 2018-3 are performing within S&P's initial expectations and, as a result, the rating agency's expected CNL ranges remain unchanged. Table 1 Collateral Performance (%) As of the October 2019 distribution date Pool Current 60+ day Series Mo. factor CNL delinq. 2017-1 31 30.19 22.57 10.50 2017-2 28 33.26 21.32 11.66 2018-1 19 52.39 14.15 9.80 2018-2 16 61.41 12.22 10.03 2018-3 13 66.86 10.23 10.69 Mo.--Month. Delinq.—Delinquencies. CNL--Cumulative net loss. Table 2 CNL Expectations (%) Original Former Current lifetime lifetime lifetime Series CNL exp. CNL exp.(i) CNL exp.(ii) 2017-1 27.50-28.50 27.50-28.50 27.00-28.00 2017-2 28.50-29.50 27.50-28.50 27.00-28.00 2018-1 28.25-29.25 N/A 28.00-29.00 2018-2 28.00-29.00 N/A 28.00-29.00 2018-3 27.00-28.00 N/A 27.00-28.00 (i)Former lifetime CNL expectations were revised in August 2018. (ii)Current lifetime CNL expectations were revised in August 2019 for series 2017-1, 2017-2, 2018-1, and 2018-2 and in October 2019 for series 2018-3. CNL exp.--Cumulative net loss expectations. N/A–-Not applicable. All transactions have a sequential principal payment structure with credit enhancement consisting of overcollateralization (O/C), a non-amortizing reserve account, subordination for the more senior classes, and excess spread. As of the October 2019 distribution date, each transaction was at its target O/C level, calculated as a percentage of the current pool balance. In addition to O/C targets, each transaction has an O/C floor of 2.5% of the initial pool balance. For each transaction, overall hard credit enhancement has continued to grow as a percentage of its current pool balance. The raised and affirmed ratings reflect S&P's view that the total credit support as a percentage of the amortizing pool balance, compared with the rating agency's expected remaining losses, is commensurate with each raised or affirmed rating. Table 3 Hard Credit Support As of the October 2019 distribution date Total hard Current total hard credit support credit support Series Class at issuance (%)(i) (% of current)(i) 2017-1 C 38.50 97.78 2017-1 D 22.50 44.78 2017-1 E 17.50 28.22 2017-2 C 37.50 87.38 2017-2 D 22.50 42.28 2017-2 E 17.75 28.01 2018-1 B 55.50 102.12 2018-1 C 37.50 67.77 2018-1 D 24.75 43.43 2018-1 E 16.75 28.16 2018-1 F 11.75 18.61 2018-2 B 56.00 90.26 2018-2 C 38.00 60.94 2018-2 D 23.75 37.74 2018-2 E 16.75 26.34 2018-2 F 11.75 18.19 2018-3 A 65.00 98.50 2018-3 B 54.00 82.05 2018-3 C 37.00 56.62 2018-3 D 25.50 39.43 2018-3 E 16.50 25.96 2018-3 F 10.00 16.24 (i)Calculated as a percentage of the total gross receivable pool balance, consisting of a reserve account, overcollateralization, and, if applicable, subordination. S&P incorporated an analysis of the current hard credit enhancement compared to the remaining expected CNL for those classes in which hard credit enhancement alone -- without credit to the stressed excess spread--was sufficient, in the rating agency's opinion, to raise or affirm the ratings at 'AAA (sf)'. For the other classes, S&P incorporated a cash flow analysis to assess the loss coverage level, giving credit to stressed excess spread. S&P's various cash flow scenarios included forward-looking assumptions on recoveries, the timing of losses, and voluntary absolute prepayment speeds that the rating agency believes are appropriate given each transaction's performance to date and the assigned ratings. The results demonstrated, in S&P's view, that all of the classes have adequate credit enhancement at their respective raised and affirmed rating levels. S&P also conducted sensitivity analyses to determine the impact that a moderate ('BBB') stress scenario would have on its ratings if losses began trending higher than its revised base-case loss expectations. S&P's results showed that the raised and affirmed ratings are consistent with its ratings stability criteria, which outline the outer bounds of credit deterioration for any given security under specific, hypothetical stress scenarios. S&P will continue to monitor the performance of all of the outstanding transactions to evaluate if the credit enhancement remains sufficient, in the rating agency's view, to cover its CNL expectations under its stress scenarios for each of the rated classes. RATINGS RAISED American Credit Acceptance Receivables Trust Rating Series Class To From 2017-1 C AAA (sf) AA+ (sf) 2017-1 D AA (sf) A (sf) 2017-1 E A (sf) BBB+ (sf) 2017-2 C AAA (sf) AA+ (sf) 2017-2 D AA (sf) A (sf) 2017-2 E A- (sf) BBB+ (sf) 2018-1 B AAA (sf) AA (sf) 2018-1 C AAA (sf) A (sf) 2018-1 D A+ (sf) BBB (sf) 2018-1 E BBB+ (sf) BB- (sf) 2018-1 F BB (sf) B (sf) 2018-2 B AAA (sf) AA (sf) 2018-2 C AA+ (sf) A (sf) 2018-2 D A (sf) BBB (sf) 2018-2 E BBB+ (sf) BB- (sf) 2018-2 F BB (sf) B (sf) 2018-3 B AAA (sf) AA (sf) 2018-3 C AA+ (sf) A (sf) 2018-3 D A (sf) BBB (sf) 2018-3 E BBB+ (sf) BB- (sf) 2018-3 F BB (sf) B (sf) RATING AFFIRMED American Credit Acceptance Receivables Trust Series Class Rating 2018-3 A AAA (sf) AMERICAN CREDIT 2019-4: S&P Assigns Prelim B(sf) Rating to F Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to American Credit Acceptance Receivables Trust 2019-4's asset-backed notes. The note issuance is an ABS transaction backed by subprime auto loan receivables. The preliminary ratings are based on information as of Nov. 6, 2019. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The availability of approximately 65.43%, 58.78%, 48.59%, 39.95%, 35.47%, and 32.87% credit support for the class A, B, C, D, E, and F notes, respectively, based on stressed cash flow scenarios (including excess spread). These credit support levels provide more than 2.35x, 2.10x, 1.70x, 1.37x, 1.20x, and 1.10x coverage of S&P's expected net loss range of 27.25%-28.25% for the class A, B, C, D, E, and F notes, respectively; -- The timely interest and principal payments made to the preliminary rated notes by the assumed legal final maturity dates under S&P's stressed cash flow modeling scenarios that it believes are appropriate for the assigned preliminary ratings; -- The expectation that under a moderate ('BBB') stress scenario, all else being equal, S&P's ratings on the class A, B, and C notes would not be lowered from its preliminary 'AAA (sf)', 'AA (sf)', and 'A (sf)' ratings, respectively, during the first year; the rating on the class D notes would remain within two rating categories of S&P's preliminary 'BBB (sf)' rating during the first year; and the ratings on the class E and F notes would remain within two rating categories of the preliminary 'BB- (sf)' and 'B (sf)' ratings, respectively, in the first year, though the notes are expected to default by their legal final maturity date with approximately 50.2%-78.0% and 0% of principal repayment, respectively. These potential rating movements are within the limits specified in S&P's credit stability criteria; -- The collateral characteristics of the subprime automobile loans securitized in this transaction; -- The backup servicing arrangement with Wells Fargo Bank N.A.; -- The transaction's payment and credit enhancement structures; and -- The transaction's legal structure. PRELIMINARY RATINGS ASSIGNED American Credit Acceptance Receivables Trust 2019-4 Class Rating Amount (mil. $)(i) A AAA (sf) 127.30 B AA (sf) 35.54 C A (sf) 64.68 D BBB (sf) 50.72 E BB- (sf) 24.84 F B (sf) 16.73 (i)The actual size of these tranches will be determined on the pricing date. ARBOR REALTY 2019-FL2: DBRS Gives Prov. B(low) Rating on G Notes ---------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following classes of Secured Floating-Rate Notes to be issued by Arbor Realty Commercial Real Estate Notes 2019-FL2, Ltd. (the Issuer): -- Class A Senior Secured Floating Rate Notes at AAA (sf) -- Class A-S Senior Secured Floating Rate Notes at AAA (sf) -- Class B Secured Floating Rate Notes at AA (low) (sf) -- Class C Secured Floating Rate Notes at A (low) (sf) -- Class D Secured Floating Rate Notes at BBB (high) (sf) -- Class E Secured Floating Rate Notes at BBB (low) (sf) -- Class F Floating Rate Notes at BB (low) (sf) -- Class G Floating Rate Notes at B (low) (sf) All trends are Stable. The transaction is a managed collateralized loan obligation pool that totals $635.0 million. The initial collateral consists of loans backed by multifamily properties. The vast majority of these properties have some level of transition or stabilization, which is the premise for seeking floating-rate short-term debt. The transaction has a reinvestment period expected to expire in November 2022. Reinvestment is subject to Eligibility Criteria that includes a rating agency condition (RAC) by DBRS Morningstar. The initial pool consists of 27 loans totaling $510.9 million secured by current cash-flowing assets in various stages of transition. DBRS Morningstar analyzed and modeled the existing loan pool in addition to loans that can be purchased subject to the Eligibility Criteria in the reinvestment period, and assumes that the loans purchased within the reinvestment period will migrate towards the least-favorable criteria, as defined in the Eligibility Criteria, with consideration given to the initial pool composition as well. DBRS Morningstar also anticipates that the pool could become more concentrated in the future in terms of sponsor concentrations or additional concentrations (property type, loan size, and geography); as a result, DBRS Morningstar will have the ability to provide a RAC on loans that are being added to the pool during the reinvestment period in order to evaluate any credit drift caused by loan concentrations. Following the reinvestment period, the transaction will have a sequential-pay structure. As a result of the floating-rate nature of the loans, the index used (one-month LIBOR) was the lower of a DBRS Morningstar stressed rate that corresponded to 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. When the cut-off balances were measured against the DBRS Morningstar In-Place Net Cash Flow (NCF) and their respective stressed constants, 15 loans, or 52.6% of the initial pool have term debt service coverage ratios (DSCRs) below 1.0 times (x), a threshold indicative of a higher likelihood of term default. Additionally, the DBRS Morningstar Stabilized DSCR for only one loan, Preston Hollow, representing 4.1% of the initial pool balance, is below 1.00x, which is indicative of elevated refinance risk. The properties are often transitioning with potential upside in the cash flow; however, DBRS Morningstar does not give full credit to the stabilization if there are no holdbacks or if other loan structural features in place were insufficient to support such treatment. Furthermore, even with the structure provided, DBRS Morningstar generally does not assume the assets to stabilize the above market levels. The Issuer, servicer, mortgage loan seller and advancing agent are related parties and non-rated entities. Arbor Realty SR Inc. has a proven track record with several collateralized loan obligation platforms that performed well in 2004, 2005 and 2006. In addition to transactions issued in 2012 and 2013, DBRS Morningstar has rated nine transactions: Arbor Realty Collateralized Loan Obligation 2014-1, Ltd.; Arbor Realty Commercial Real Estate Notes 2015-FL1, Ltd.; Arbor Realty Commercial Real Estate Notes 2015-FL2, Ltd.; Arbor Realty Commercial Real Estate Notes 2016-FL1, Ltd.; Arbor Realty Commercial Real Estate Notes 2017-FL1, Ltd.; Arbor Commercial Real Estate Notes 2017-FL2, Ltd.; Arbor Commercial Real Estate Notes 2017-FL3, Ltd.; Arbor Commercial Real Estate Notes 2018-FL1, Ltd. and Arbor Commercial Real Estate Notes 2019-FL1, Ltd. DBRS Morningstar has reviewed Arbor Multifamily Lending, LLC's servicing platform (and special servicing) and finds it to be an acceptable servicer. The Class F Notes, the Class G Notes and the preferred shares will be retained by ARMS Equity, an affiliate of the mortgage asset seller. The non-offered notes and preferred shares represent 15.9% of the transaction balance. All loans in the initial pool are secured by multifamily properties. Although multifamily properties make up 100% of the initial collateral pool, exposure to industrial properties, retail properties, office properties, self-storage properties, hospitality properties or health-care properties in the trust is capped at 25.0% during the reinvestment period per the Eligibility Criteria. Twenty-five loans, totaling 85.7% of the initial pool balance, represent acquisition financing with borrowers contributing equity to the transaction. The properties are predominately located in suburban markets with the overall pool's weighted-average (WA) DBRS Morningstar Market Rank at 3.4, which is not particularly high. One loan, totaling 4.1% of the pool is located in a market with a DBRS Morningstar Market Rank of 1; eight loans, totaling 27.0% of the pool, are located in markets with a DBRS Morningstar Market Rank of 2; eight loans, totaling 24.6% of the pool, are in markets with a DBRS Morningstar Market Rank of 3; four loans, totaling 11.5% of the pool, are in markets with a DBRS Morningstar Market Rank of 4; and six loans, totaling 32.8% of the pool, are in markets with a DBRS Morningstar Market Rank of 5. The market ranks correspond to zip codes that are more suburban and tertiary in nature. None of the loans are located in urban markets, DBRS Morningstar Market Rank of 6, 7 and 8. All 27 loans have floating interest rates, and all loans are interest-only during both the original term and extension periods which ranges from 24 months to 60 months, creating interest rate risk. All but three loans have extension options between six and 36 months. The DBRS Morningstar As-Is DSCR is based on the DBRS Morningstar In-Place NCF and debt service calculated using a stressed interest rate. The WA stressed rate used is 5.418%, which is in line with the current WA interest rate of 5.362% (based on WA mortgage spread and an assumed 2.180% one-month LIBOR index). 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 Morningstar associates its loss given default (LGD) based on the assets' DBRS Morningstar As-Is Loan-to-Value (LTV) ratio, which does not assume that the stabilization plan and cash flow growth will ever materialize. The DBRS Morningstar As-Is LTV is considered high at 85.2%, reflecting the transitional nature of the pool with substantial future funding as well as the generally high leverage. The high LTV results in a WA DBRS Morningstar Expected Loss of 6.8% for the pool, which translates to credit-enhancement levels at each rating category. DBRS Morningstar 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 sponsors will not execute their 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 Morningstar 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 Morningstar analyzes LGD based on the DBRS Morningstar As-Is LTV, assuming the loan is fully funded. Two loans, totaling only 14.3% of the initial pool balance, represent refinance financing. The refinance financings within this securitization generally do not require the respective sponsor(s) to contribute material cash equity as a source of funding in conjunction with the mortgage loan, resulting in a lower sponsor cost basis in the underlying collateral. Both of the refinance loans represent new construction buildings with construction completed and none of these are structured with future funding. This suggests that a large majority of the refinance loans have already executed business plans and are closer to stabilization, which would partially mitigate the higher risk associated with a sponsor's lower cost basis. Notes: All figures are in U.S. dollars unless otherwise noted. ARES LIV CLO: S&P Assigns Prelim BB- (sf) Rating to Class E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Ares LIV CLO Ltd./Ares LIV CLO LLC's floating-rate notes. The note issuance is a collateralized loan obligation (CLO) transaction backed by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans managed by Ares CLO Management LLC, a subsidiary of Ares Management L.P. (Ares). This is Ares' fourth new CLO issuance this year, which will bring its total U.S. CLO assets to approximately $20 billion. The preliminary ratings are based on information as of Nov. 1, 2019. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The diversification of the collateral pool, which consists primarily of broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The experience of the collateral manager's team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. PRELIMINARY RATINGS ASSIGNED Ares LIV CLO Ltd./Ares LIV CLO LLC Class Preliminary rating Balance (mil. $) X AAA (sf) 1.00 A AAA (sf) 256.00 B AA (sf) 48.00 C (deferrable) A (sf) 24.00 D (deferrable) BBB- (sf) 22.00 E (deferrable) BB- (sf) 18.00 Sub notes NR 33.10 BAIN CAPITAL 2019-3: Moody's Rates $27.5MM Class E Notes Ba3 ------------------------------------------------------------ Moody's Investors Service assigned ratings to six classes of notes issued by Bain Capital Credit CLO 2019-3, Limited. Moody's rating action is as follows: US$320,000,000 Class A Senior Secured Floating Rate Notes due 2032 (the "Class A Notes"), Definitive Rating Assigned Aaa (sf) US$43,800,000 Class B-1 Senior Secured Floating Rate Notes due 2032 (the "Class B-1 Notes"), Definitive Rating Assigned Aa2 (sf) US$16,200,000 Class B-2 Senior Secured Floating Rate Notes due 2032 (the "Class B-2 Notes"), Definitive Rating Assigned Aa2 (sf) US$26,000,000 Class C Senior Secured Deferrable Floating Rate Notes due 2032 (the "Class C Notes"), Definitive Rating Assigned A3 (sf) US$25,000,000 Class D Senior Secured Deferrable Floating Rate Notes due 2032 (the "Class D Notes"), Definitive Rating Assigned Baa3 (sf) US$27,500,000 Class E Senior Secured Deferrable Floating Rate Notes due 2032 (the "Class E Notes"), Definitive Rating Assigned Ba3 (sf) The Class A Notes, the Class B-1 Notes, the Class B-2 Notes, the Class C Notes, the Class D Notes and the Class E Notes are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE The rationale for the ratings is based on a consideration of the risks associated with the CLO's portfolio and structure as described in its methodology. Bain Capital Credit CLO 2019-3 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of senior secured loans and eligible investments, and up to 10.0% of the portfolio may consist of second lien loans and senior unsecured loans. The portfolio is fully ramped as of the closing date. Bain Capital Credit U.S. CLO Manager, LLC will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer issued subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. The Class B-1 Notes are entitled to an additional repayment amount of 30% in connection with any repayment of principal of the Class B-1 Notes. So long as the holders of the Class B-1 Notes have not directed the Issuer to reduce the Class B-1 Note Redemption Premium to zero in connection with other actions, a coupon will be paid to the Class B-1 Notes until the Class B-1 Note Redemption Premium equals zero. Following such event and the Class B-1 Note Redemption Premium becoming zero, the interest rate with respect to the Class B-1 Notes will be zero. If the Class B-1 Note Redemption Premium Termination Event occurs and the Class B-1 Note Redemption Premium becomes zero, the Class B-1 Notes' interest rate will continue at the interest rate immediately applicable prior to such termination event. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in March 2019. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $500,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2900 Weighted Average Spread (WAS): 3.37% Weighted Average Coupon (WAC): 6.00% Weighted Average Recovery Rate (WARR): 47.50% Weighted Average Life (WAL): 9 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in March 2019. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. BANK 2017-BNK9: Fitch Affirms B+sf Rating on Class F Certs ---------------------------------------------------------- Fitch Ratings affirmed all ratings of BANK 2017-BNK9 Commercial Mortgage Pass-Through Certificates, Series 2017-BNK9. RATING ACTIONS BANK 2017-BNK9 Class A-1 06540RAA2; LT AAAsf Affirmed; previously at AAAsf Class A-2 06540RAB0; LT AAAsf Affirmed; previously at AAAsf Class A-3 06540RAD6; LT AAAsf Affirmed; previously at AAAsf Class A-4 06540RAE4; LT AAAsf Affirmed; previously at AAAsf Class A-S 06540RAH7; LT AAAsf Affirmed; previously at AAAsf Class A-SB 06540RAC8; LT AAAsf Affirmed; previously at AAAsf Class B 06540RAJ3; LT AA-sf Affirmed; previously at AA-sf Class C 06540RAK0; LT A-sf Affirmed; previously at A-sf Class D 06540RAU8; LT BBB-sf Affirmed; previously at BBB-sf Class E 06540RAW4; LT BB+sf Affirmed; previously at BB+sf Class F 06540RAY0; LT B+sf Affirmed; previously at B+sf Class X-A 06540RAF1; LT AAAsf Affirmed; previously at AAAsf Class X-B 06540RAG9; LT AA-sf Affirmed; previously at AA-sf Class X-D 06540RAL8; LT BBB-sf Affirmed; previously at BBB-sf Class X-E 06540RAN4; LT BB+sf Affirmed; previously at BB+sf Class X-F 06540RAQ7; LT B+sf Affirmed; previously at B+sf KEY RATING DRIVERS Stable Performance and Loss Expectations: The overall pool performance and loss expectations remain stable from issuance. There are no delinquent or specially serviced loans and performance remains in line with Fitch's expectations. There are currently three loans on the servicer watch list (2%), one of which, Orland Square (1%), has been designated a Fitch Loan of Concern. The property is a 163,466 sf retail property that was previously anchored by a Carson's Furniture Gallery, which accounted for 44.0% of NRA. The tenant vacated in connection with Bon-Ton Stores Inc.'s 2018 bankruptcy filing and occupancy and cash flow at the property have declined as a result. Limited Change to Credit Enhancement: As of the October 2019 distribution date, the pool's aggregate balance has been reduced by 0.7% to $1.046 billion, from $1.054 billion at issuance. At issuance, the pool was scheduled to amortize 7.0%. Fourteen loans (57.6%) of the pool are full-term interest-only and an additional 11 loans (23.0%) are partial-term interest only. Concentrated Pool: The top 10 and 15 loans in the pool represent 64.0% and 75.3% of total pool balances, respectively. This is considerably higher than the 2017 averages of 53.1% and 66.9% for top 10 and 15 loans, respectively. However, three loans in the top 15, totaling 15.3% of pool balances, are collateralized by a pool of assets, further reducing exposure to any one specific asset. Hotel Concentration: Five properties totaling approximately 22.0% of pool balance are backed by hotel properties. This includes three top 10 loans, totaling 20.2% of pool balance, all of which were scheduled to undergo renovations immediately following issuance. 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. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 No third-party due diligence was provided or reviewed in relation to this rating action. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of 3. ESG issues are credit neutral or have only a minimal credit impact on the transaction, either due to their nature or the way in which they are being managed by transaction. BARDOT CLO: Moody's Assigns Ba3 Rating on 13 Note Classes --------------------------------------------------------- Moody's Investors Service assigned ratings to twenty seven classes of notes issued by Bardot CLO, Ltd. Moody's rating action is as follows: US$372,000,000 Class A-1 Senior Secured Floating Rate Notes due 2032 (the "Class A-1 Notes"), Assigned Aaa (sf) US$72,000,000 Class B Senior Secured Floating Rate Notes due 2032 (the "Class B Notes"), Assigned Aa2 (sf) US$27,600,000 Class C Deferrable Mezzanine Secured Floating Rate Notes due 2032 (the "Class C Notes"), Assigned A2 (sf) US$35,400,000 Class D Deferrable Mezzanine Secured Floating Rate Notes due 2032 (the "Class D Notes"), Assigned Baa3 (sf) Up to US$35,400,000 Class D-1E Deferrable Mezzanine Secured Floating Rate MASCOT P&I Notes due 2032 (the "Class D-1E Notes"), Assigned Baa3 (sf) Up to US$35,400,000 Class D-1X Deferrable Mezzanine Secured Fixed Rate Interest Only Notes* due 2032 (the "Class D-1X Notes"), Assigned Baa3 (sf) Up to US$35,400,000 Class D-2E Deferrable Mezzanine Secured Floating Rate MASCOT P&I Notes due 2032 (the "Class D-2E Notes"), Assigned Baa3 (sf) Up to US$35,400,000 Class D-2X Deferrable Mezzanine Secured Fixed Rate Interest Only Notes* due 2032 (the "Class D-2X Notes"), Assigned Baa3 (sf) Up to US$35,400,000 Class D-3E Deferrable Mezzanine Secured Floating Rate MASCOT P&I Notes due 2032 (the "Class D-3E Notes"), Assigned Baa3 (sf) Up to US$35,400,000 Class D-3X Deferrable Mezzanine Secured Fixed Rate Interest Only Notes* due 2032 (the "Class D-3X Notes"), Assigned Baa3 (sf) Up to US$35,400,000 Class D-4E Deferrable Mezzanine Secured Floating Rate MASCOT P&I Notes due 2032 (the "Class D-4E Notes"), Assigned Baa3 (sf) Up to US$35,400,000 Class D-4X Deferrable Mezzanine Secured Fixed Rate Interest Only Notes* due 2032 (the "Class D-4X Notes"), Assigned Baa3 (sf) Up to US$35,400,000 Class D-5E Deferrable Mezzanine Secured Floating Rate MASCOT P&I Notes due 2032 (the "Class D-5E Notes"), Assigned Baa3 (sf) Up to US$35,400,000 Class D-5X Deferrable Mezzanine Secured Fixed Rate Interest Only Notes* due 2032 (the "Class D-5X Notes"), Assigned Baa3 (sf) US$27,600,000 Class E Deferrable Junior Secured Floating Rate Notes due 2032 (the "Class E Notes"), Assigned Ba3 (sf) Up to US$27,600,000 Class E-1E Deferrable Junior Secured Floating Rate MASCOT P&I Notes due 2032 (the "Class E-1E Notes"), Assigned Ba3 (sf) Up to US$27,600,000 Class E-1X Deferrable Junior Secured Fixed Rate Interest Only Notes* due 2032 (the "Class E-1X Notes"), Assigned Ba3 (sf) Up to US$27,600,000 Class E-2E Deferrable Junior Secured Floating Rate MASCOT P&I Notes due 2032 (the "Class E-2E Notes"), Assigned Ba3 (sf) Up to US$27,600,000 Class E-2X Deferrable Junior Secured Fixed Rate Interest Only Notes* due 2032 (the "Class E-2X Notes"), Assigned Ba3 (sf) Up to US$27,600,000 Class E-3E Deferrable Junior Secured Floating Rate MASCOT P&I Notes due 2032 (the "Class E-3E Notes"), Assigned Ba3 (sf) Up to US$27,600,000 Class E-3X Deferrable Junior Secured Fixed Rate Interest Only Notes* due 2032 (the "Class E-3X Notes"), Assigned Ba3 (sf) Up to US$27,600,000 Class E-4E Deferrable Junior Secured Floating Rate MASCOT P&I Notes due 2032 (the "Class E-4E Notes"), Assigned Ba3 (sf) Up to US$27,600,000 Class E-4X Deferrable Junior Secured Fixed Rate Interest Only Notes* due 2032 (the "Class E-4X Notes"), Assigned Ba3 (sf) Up to US$27,600,000 Class E-5E Deferrable Junior Secured Floating Rate MASCOT P&I Notes due 2032 (the "Class E-5E Notes"), Assigned Ba3 (sf) Up to US$27,600,000 Class E-5X Deferrable Junior Secured Fixed Rate Interest Only Notes* due 2032 (the "Class E-5X Notes"), Assigned Ba3 (sf) Up to US$27,600,000 Class E-6E Deferrable Junior Secured Floating Rate MASCOT P&I Notes due 2032 (the "Class E-6E Notes"), Assigned Ba3 (sf) Up to US$27,600,000 Class E-6X Deferrable Junior Secured Fixed Rate Interest Only Notes* due 2032 (the "Class E-6X Notes"), Assigned Ba3 (sf) * Reflects interest-only classes The Class A-1 Notes, the Class B Notes, the Class C Notes, the Class D Notes, the Class D-1E Notes, the Class D-1X Notes, the Class D-2E Notes, the Class D-2X Notes, the Class D-3E Notes, the Class D-3X Notes, the Class D-4E Notes, the Class D-4X Notes, the Class D-5E Notes, the Class D-5X Notes, the Class E Notes, the Class E-1E Notes, the Class E-1X Notes, the Class E-2E Notes, the Class E-2X Notes, the Class E-3E Notes, the Class E-3X Notes, the Class E-4E Notes, the Class E-4X Notes, the Class E-5E Notes, the Class E-5X Notes, the Class E-6E Notes, and the Class E-6X Notes are referred to herein, collectively, as the "Rated Notes." The Class D and the Class E Notes are exchangeable in part or in full for one of various combinations specified in the indenture consisting of (1) a corresponding MASCOT principal and interest note (the "MASCOT P&I Notes") with the same principal balance as the Class D and the Class E Notes surrendered, but with a reduced interest rate and (2) interest only notes with a notional balance equal to the principal balance of the MASCOT P&I Notes received and with a fixed interest rate equal to the reduction in the note interest rate of the related MASCOT P&I Notes (the "MASCOT Notes"). The MASCOT Notes may be subsequently exchanged for the original notes, which when there is deferred interest may result in a different notional balance on the interest only notes. However, difference in the deferred interest accrued on the Exchangeable Notes and MASCOT Notes may prevent holders from exchanging back to the original notes, even if the holders also hold all of the outstanding corresponding interest only notes. The MASCOT Notes combinations with respect to the Class D Notes are the Class D-1E Notes and the Class D-1X Notes, the Class D-2E Notes and the Class D-2X Notes, the Class D-3E Notes and the Class D-3X Notes, the Class D-4E and the Class D-4X Notes, the Class D-5E and the Class D-5X Notes. At closing, the Class D-1E Notes, the Class D-2E Notes, the Class D-3E Notes, the Class D-4E Notes, and the Class D-5E Notes have a principal balance of zero. The aggregate outstanding amount of the Class D-1E Notes, the Class D-2E Notes, the Class D-3E Notes, the Class D-4E Notes and the Class D-5E Notes will never exceed $35,400,000 less any principal repayments on the Rated Notes. The Class D-1X Notes, the Class D-2X Notes, the Class D-3X Notes, Class D-4X Notes, and the Class D-5X Notes are interest only notes, collectively, as "Class D-X Notes", have an aggregate notional amount of zero on the closing date and will not be entitled to any payments of principal. The MASCOT Notes combinations with respect to the Class E Notes are the Class E-1E Notes and the Class E-1X Notes, the Class E-2E Notes and the Class E-2X Notes, the Class E-3E Notes and the Class E-3X Notes, the Class E-4E and the Class E-4X Notes, the Class E-5E and the Class E-5X Notes and the Class E-6E and the Class E-6X Notes. At closing, the Class E-1E Notes, the Class E-2E Notes, the Class E-3E Notes, the Class E-4E Notes, the Class E-5E Notes, and the Class E-6E Notes have a principal balance of zero. The aggregate outstanding amount of the Class E-1E Notes, the Class E-2E Notes, the Class E-3E Notes, the Class E-4E Notes, the Class E-5E Notes, and the Class E-6E Notes will never exceed $27,600,000 less any principal repayments on the Rated Notes. The Class E-1X Notes, the Class E-2X Notes, the Class E-3X Notes, Class E-4X Notes, Class E-5X Notes, and the Class E-6X Notes are interest only notes, collectively, as "Class E-X Notes", have an aggregate notional amount of zero on the closing date and will not be entitled to any payments of principal. RATINGS RATIONALE The rationale for the ratings is based on a consideration of the risks associated with the CLO's portfolio and structure as described in its methodologies. The factors that Moody's considers in rating interest only notes depend on the referenced securities to which the notes are linked. Bardot is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of senior secured loans and eligible investments, and up to 5% of the portfolio may consist of senior unsecured loans, second lien loans and first-lien last-out loans. The portfolio is approximately 90% ramped as of the closing date. Invesco RR Fund L.P. (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer issued one other class of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in March 2019. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $600,000,000 Diversity Score: 80 Weighted Average Rating Factor (WARF): 2901 Weighted Average Spread (WAS): 3.30% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 47.8% Weighted Average Life (WAL): 9.00 years Methodology Underlying the Rating Action: The principal methodology used in rating all classes except interest-only classes was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in March 2019. The principal methodology used in rating interest-only classes was "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in February 2019. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. Interest only notes may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds. BARINGS MIDDLE 2019-I: S&P Assigns BB- (sf) Rating to Cl. D Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Barings Middle Market CLO Ltd. 2019-I's fixed- and floating-rate debt. The note issuance is a CLO transaction backed by primarily middle market speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. The ratings reflect: -- The diversified collateral pool; -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization; -- The collateral manager's experienced team, which can affect the performance of the rated debt through collateral selection, ongoing portfolio management, and trading; and -- The transaction's legal structure, which is expected to be bankruptcy remote. RATINGS ASSIGNED Barings Middle Market CLO Ltd. 2019-I/Barings Middle Market CLO 2019-I LLC Class Rating Amount (mil. $) A-1A AAA (sf) 68.50 A-1B AAA (sf) 4.75 A-1L(i) AAA (sf) 150.75 A-2 AA (sf) 44.00 B (deferrable) A- (sf) 36.00 C (deferrable) BBB- (sf) 20.00 D (deferrable) BB- (sf) 28.00 Subordinated notes NR 49.25 (i)The class A-1L debt will be issued in loan form. NR--Not rated. BRAVO RESIDENTIAL 2019-2: Fitch to Rate Class B5 Debt 'B(EXP)' -------------------------------------------------------------- Fitch Ratings expects to rate the second seasoned residential mortgage-backed transaction, BRAVO Residential Funding Trust 2019-2, issued by a private fund managed by Pacific Investment Management Company LLC. RATING ACTIONS BRAVO Residential Funding Trust 2019-2 Class 1A1; LT AAA(EXP)sf; Expected Rating Class 1A2; LT AAA(EXP)sf; Expected Rating Class 1A3; LT AAA(EXP)sf; Expected Rating Class 2A1; LT AAA(EXP)sf; Expected Rating Class 2A2; LT AAA(EXP)sf; Expected Rating Class 2A3; LT AAA(EXP)sf; Expected Rating Class A1; LT AAA(EXP)sf; Expected Rating Class A1IO; LT AAA(EXP)sf; Expected Rating Class A2; LT AAA(EXP)sf; Expected Rating Class A2IO; LT AAA(EXP)sf; Expected Rating Class A3; LT AAA(EXP)sf; Expected Rating Class AIO; LT AAA(EXP)sf; Expected Rating Class B1; LT AA(EXP)sf; Expected Rating Class B2; LT A(EXP)sf; Expected Rating Class B3; LT BBB(EXP)sf; Expected Rating Class B4; LT BB(EXP)sf; Expected Rating Class B5; LT B(EXP)sf; Expected Rating TRANSACTION SUMMARY The notes are supported by 7,026 prime quality seasoned loans with a total balance of $425.9 million as of the cut-off date. The loans were originated or acquired by affiliates of Capital One, National Association, which exited the mortgage originations business in 2018 and subsequently purchased by an affiliate of a PIMCO-managed private fund. KEY RATING DRIVERS High-Quality Mortgage Pool (Positive): The collateral consists of seasoned 10-year (8.8%), 15-year (23.4%), and 20-year (60.6%) fixed rate mortgages, with only 6% comprising of 30 year mortgages. The pool is seasoned over 60 months and has an unusually low weighted average (WA) sustainable loan-to-value ratio (sLTV) of 49.6%. This pool has the lowest WA LTV and shortest remaining WA term of any post-crisis prime transaction rated by Fitch. Additionally, the borrowers have strong credit profiles with a weighted average (WA) FICO of 738. The loans were predominantly originated with full income documentation through Capital One's retail channel, which Fitch views positively. In addition, 90% of the borrowers have been paying on time for the past 24 months, and 99% are current. Geographic Concentration (Negative): Approximately 43% of the pool is concentrated in Louisiana and an additional 33% is concentrated in Texas, which resulted in a 1.16x probability of default (PD) adjustment for the geographic concentration and increased Fitch's 'AAAsf' expected Loss (EL) by 104 basis points (bps). This is one of the largest model adjustments Fitch has made for geographic concentration. However, the pool has relatively low MSA concentration, with no MSA accounting for more than 15% of the pool. The largest MSA concentration is in the New Orleans MSA (12.8%) followed by the New York MSA (11.7%) and the Houston MSA (10.5%). Catastrophe Risk (Negative): Approximately 22% of the pool is located in an area recently listed by FEMA as a declared natural disaster area as a result of Hurricane Barry. Fitch haircut the property values for homes located in affected areas by 10% to reflect the potential risk of property damage. To account for potential future risk of natural disaster, the catastrophe risk adjustment in Fitch's loan loss model added 28bps to the 'AAAsf' expected loss levels; however, given the highly concentrated profile of the pool, Fitch doubled the 'AAAsf' catastrophe risk adjustment to 56bps. Updated Property Valuations (Negative): Most loans in the pool did not receive a full updated property valuation, such as a Broker Price Opinion (BPO), but all loans received an updated HDI value. Consequently, Fitch took a conservative approach to estimating the current property value. Relying on a home price index from origination would imply a mark-to-market combined loan to value (MTM CLTV) of 38%. However, Fitch only gave credit to two years of indexed valuation, resulting in an implied MTM CLTV of roughly 46%. The limited indexation resulted in a 'AAAsf' expected loss of 218 bps higher than if a full indexation benefit was assumed. Cash-out Refinances (Negative): 96% of the pool consists of cash-out refinance loans. The loans are equity take-outs but considered cash out refinances despite no refinancing of a prior mortgage. Fitch applied a PD penalty that resulted in a 120 bps higher 'AAAsf' expected loss relative to purchase loans, all else equal. Limited Title Search (Negative): 100% of the pool received a cursory tax and title lien search using a Corelogic Lien Report Lite ("Lite") product. Only 75% of the pool was confirmed to be in a first lien position based on the Lite and additional full title search products results. The product did not return results for the remaining 25%. The sponsor selected a statistically significant random sample from the 25% for a full title search, the results of which showed 95% to be in the first lien position, while 5% were determined to be subordinate to small liens, such as homeowners association fees (HOA), mechanic's liens, or tax liens; these loans were subsequently dropped. Based on the sample results provided, Fitch assumed a portion of the loans without a title search are second liens and applied 100% loss severity (LS). This was significantly more conservative than the sample indicated. Additionally, to account for delinquent taxes or liens, Fitch extrapolated potential outstanding liens based on the tax and title search to the loans not included in the search, which increased the 'AAAsf' expected loss levels by 55 bps. Due Diligence Review Results (Negative): Third-party due diligence was performed on approximately 66% of the loans by Digital Risk, an 'Acceptable - Tier 2' firm. The diligence scope and grading was not fully consistent with Fitch's criteria, and Fitch reviewed the loan level results to make adjustments to loss levels. Digital Risk was unable to conclusively test for predatory lending on 45% of the loans. The lack of full testing for predatory lending may potentially expose the issuer to potential assignee liability. Fitch applied an adjustment to the loans unable to be tested, and also extrapolated the findings to the remaining 33% of the pool where diligence was not performed. Overall, Fitch adjusted its 'AAAsf' loss expectation by 19 bps for these issues. Nonqualified Mortgage (Negative): Approximately 62% of the loans are subject to the Ability to Repay (ATR) Rule and 38% were originated prior to the rule's implementation in January 2014; less than 1% are investor loans, which are not subject to ATR. The ATR testing performed on a sample of loans came back inconclusive, primarily due to missing documentation. Although almost all loans were stated by the originator to be to underwritten to full income documentation, Fitch assumed all ATR applicable loans were non-qualified mortgages (NQM) and applied a loss severity penalty to account for potential challenges to foreclosure under the Rule. This assumption increased the 'AAAsf' expected losses by 106 bps. Multiple Indebtedness Mortgages (Neutral): 42% of the pool consists of Multiple Indebtedness Mortgage (MIM) loans, which are prevalent in LA. MIM loans allow the borrower to have more than one senior debt secured by a property. At origination, the borrower is approved for a loan of a certain amount, but has to be re-underwritten for subsequent MIMs. Fitch made no adjustment to the losses because, for all MIMs in the pool, all amounts drawn under the MIM were accounted for in Fitch's analysis and no future funding can be exercised. Representation Framework (Negative): The rep and warranty (R&W) framework is consistent with a 'Tier 2' Fitch designation, reflecting modest weaknesses in the framework. The framework contains an optional breach review at the discretion of the controlling holder for loans with a realized loss; however, 25% of the aggregate bond holders may also initiate a review. The framework includes knowledge qualifiers without a claw back provision. To reflect the risk of a 'Tier 2' framework and the risk of the unrated entity providing the reps, Fitch applied a 62 bp increase to the 'AAAsf' loss expectation. Low Operational Risk (Positive): Certain investment vehicles managed by PIMCO have a long operating history of aggregating residential mortgage loans. PIMCO is assessed as "Above Average" by Fitch. The servicer for this transaction, Rushmore Loan Management Servicer LLC (Rushmore), has demonstrated strong servicing capabilities and has a 'RPS2' servicer rating by Fitch. Straightforward Deal Structure (Positive): The mortgage cash flow and loss allocations are based on a traditional senior-subordinate, shifting-interest Y-structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. To mitigate tail risk, which arises as the pool seasons and fewer loans are outstanding, a subordination floor of 1.25% of the original balance will be maintained for the notes. Additionally, there is no early stepdown test that might allow principal prepayments to subordinate bondholders earlier than the five-year lockout schedule. No Servicer Advancing (Mixed): The servicer will not be advancing delinquent monthly payments of principal and interest (P&I). Because P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust, the loan-level LS are less for this transaction than for those where the servicer is obligated to advance principal and interest. Principal due the subordinated classes will be used to pay timely interest to the 'AAAsf' and 'AAsf' notes in a high delinquency and default scenario. RATING SENSITIVITIES Fitch's analysis incorporates sensitivity analyses to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at both the MSA and national levels. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or be considered in the surveillance of the transaction. This defined stress sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model projected 6.6%. The analysis indicates that there is some potential rating migration with higher MVDs, compared with the model projection. Fitch also conducted defined rating sensitivities that determine the stresses to MVDs that would reduce a rating by one full category, to non-investment grade, and to 'CCCsf'. For example, additional MVDs of 4% would potentially move the 'B-sf' rated class down to 'CCCsf', respectively. CRITERIA VARIATION Fitch's analysis incorporated two criteria variations one from the "U.S. RMBS Loan Loss Model Rating Criteria" and the second from "U.S. RMBS Rating Criteria." The first variation relates to the Loan Loss Model Criteria. Fitch haircut property values in the natural disaster areas, as well as doubling the catastrophic risk adjustment in the model to account for an increase in catastrophic risk, this impacted the loss levels by 100bps. The rating impact of the variation was one notch. The second variation relates to the limited title search for 1,735 loans. Fitch requires 100% title search to be performed on seasoned loans. Based on a significant sample provided by two title search providers, Fitch felt comfortable with the findings. In addition, Fitch treated 25% of the loans without a title search as second liens. This impacted the loss levels by 60bps and impacted the rating by one notch. CHASE HOME 2019-1: DBRS Finalizes B Rating on 2 Cert. Classes ------------------------------------------------------------- DBRS, Inc. finalized the following provisional ratings on the Mortgage Pass-Through Certificates, Series 2019-1 (the Certificates) issued by Chase Home Lending Mortgage Trust 2019-1: -- $370.1 million Class A-1 at AAA (sf) -- $346.5 million Class A-2 at AAA (sf) -- $323.4 million Class A-3 at AAA (sf) -- $323.4 million Class A-3-A at AAA (sf) -- $323.4 million Class A-3-X at AAA (sf) -- $242.5 million Class A-4 at AAA (sf) -- $242.5 million Class A-4-A at AAA (sf) -- $242.5 million Class A-4-X at AAA (sf) -- $80.8 million Class A-5 at AAA (sf) -- $80.8 million Class A-5-A at AAA (sf) -- $80.8 million Class A-5-X at AAA (sf) -- $192.2 million Class A-6 at AAA (sf) -- $192.2 million Class A-6-A at AAA (sf) -- $192.2 million Class A-6-X at AAA (sf) -- $131.1 million Class A-7 at AAA (sf) -- $131.1 million Class A-7-A at AAA (sf) -- $131.1 million Class A-7-X at AAA (sf) -- $50.3 million Class A-8 at AAA (sf) -- $50.3 million Class A-8-A at AAA (sf) -- $50.3 million Class A-8-X at AAA (sf) -- $53.4 million Class A-9 at AAA (sf) -- $53.4 million Class A-9-A at AAA (sf) -- $53.4 million Class A-9-X at AAA (sf) -- $27.5 million Class A-10 at AAA (sf) -- $27.5 million Class A-10-A at AAA (sf) -- $27.5 million Class A-10-X at AAA (sf) -- $23.1 million Class A-11 at AAA (sf) -- $23.1 million Class A-11-X at AAA (sf) -- $23.1 million Class A-12 at AAA (sf) -- $23.1 million Class A-13 at AAA (sf) -- $23.6 million Class A-14 at AAA (sf) -- $23.6 million Class A-15 at AAA (sf) -- $345.4 million Class A-16 at AAA (sf) -- $24.7 million Class A-17 at AAA (sf) -- $370.1 million Class A-X-1 at AAA (sf) -- $370.1 million Class A-X-2 at AAA (sf) -- $23.1 million Class A-X-3 at AAA (sf) -- $23.6 million Class A-X-4 at AAA (sf) -- $10.2 million Class B-1 at AA (sf) -- $10.2 million Class B-1-A at AA (sf) -- $10.2 million Class B-1-X at AA (sf) -- $4.9 million Class B-2 at A (sf) -- $4.9 million Class B-2-A at A (sf) -- $4.9 million Class B-2-X at A (sf) -- $3.5 million Class B-3 at BBB (sf) -- $3.5 million Class B-3-A at BBB (sf) -- $3.5 million Class B-3-X at BBB (sf) -- $2.0 million Class B-4 at BB (sf) -- $985.0 thousand Class B-5 at B (sf) -- $18.7 million Class B-X at BBB (sf) -- $985.0 thousand Class B-5-Y at B (sf) Classes A-3-X, A-4-X, A-5-X, A-6-X, A-7-X, A-8-X, A-9-X, A-10-X, A-11-X, A-X-1, A-X-2, A-X-3, A-X-4, B-1-X, B-2-X, B-3-X, B-X, B-5-Y, B-6-Y and B-6-Z are interest-only certificates. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-3-X, A-3-A, A-4, A-4-A, A-4-X, A-5, A-5-A, A-5-X, A-6, A-6, A-7, A-7-A, A-7-X, A-8, A-9, A-10, A-12, A-13, A-14, A-16, A-17, A-X-2, A-X-3, B-1, B-2, B-3, B-X, B-5-Y, B-6-Y and B-6-Z are exchangeable certificates. These classes can be exchanged for combinations of exchange notes as specified in the offering documents. Classes A-2, A-3, A-3-A, A-4, A-4-A, A-5, A-5-A, A-6, A-6-A, A-7, A-7-A, A-8, A-8-A, A-9, A-9-A, A-10, A-10-A, 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) rating on the Class A Certificates reflects over 4.00% of credit enhancement provided by subordinated notes in the pool. The AA (sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings reflect over 2.95%, 1.90%, 1.10%, 0.65% and 0.45% of credit enhancement, respectively. Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. The Certificates are backed by 669 loans with a total principal balance of $393,722,880 as of the Cut-Off Date (October 1, 2019). The pool consists of fully amortizing fixed-rate mortgages (FRMs) with original terms to maturity of up to 30 years. All the loans in the pool are conforming mortgage loans originated by JPMorgan Chase Bank, N.A. (JPMCB; rated AA with a Stable trend by DBRS Morningstar) that were eligible for purchase by Fannie Mae or Freddie Mac. Details on the underwriting of conforming loans can be found in the Key Probability of Default Drivers section in the related report. The mortgage loans will be serviced by JPMCB. For this transaction, the servicing fee payable 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. Wells Fargo Bank, N.A. (rated AA with a Stable trend by DBRS Morningstar) will act as Securities Administrator, U.S. Bank National Association will act as Delaware Trustee and JPMCB will act as Custodian. Pentalpha Surveillance LLC will serve as the representations and warranties (R&W) Reviewer. The transaction employs a senior-subordinate, shifting-interest cash flow structure that is enhanced from a pre-crisis structure. The ratings reflect transactional strengths that include high-quality underlying assets, well-qualified borrowers and a satisfactory third-party due diligence review. This transaction employs an R&W framework that contains certain weaknesses, such as materiality factors, knowledge qualifiers and sunset provisions that allow for certain R&Ws to expire within three to six years after the Closing Date. The framework is perceived by DBRS Morningstar to be limiting compared with traditional lifetime R&W standards in certain DBRS Morningstar-rated securitizations. Notes: All figures are in U.S. dollars unless otherwise noted. CITIGROUP COMMERCIAL 2006-C4: Moody's Cuts Class D Debt to C ------------------------------------------------------------ Moody's Investors Service affirmed the ratings on two classes and downgraded the rating on one class in Citigroup Commercial Mortgage Trust 2006-C4 as follows: Cl. C, Affirmed Ba1 (sf); previously on May 23, 2018 Upgraded to Ba1 (sf) Cl. D, Downgraded to C (sf); previously on May 23, 2018 Affirmed Ca (sf) Cl. E, Affirmed C (sf); previously on May 23, 2018 Affirmed C (sf) RATINGS RATIONALE The rating on principal and interest Class C was affirmed because the transaction's key metrics, including Moody's loan-to-value ratio and Moody's stressed debt service coverage ratio are within acceptable ranges. The rating on P&I Class D was downgraded due to higher anticipated losses from specially serviced loans. The rating on P&I Class E was affirmed because the ratings are consistent with Moody's expected loss plus realized losses. Class E has already experienced a 34% realized loss as a result of previously liquidated loans. Moody's rating action reflects a base expected loss of 54% of the current pooled balance, compared to 45% at Moody's last review. Moody's base expected loss plus realized losses is now 9.0% of the original pooled balance, compared to 8.8% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. DEAL PERFORMANCE As of the October 18, 2019 distribution date, the transaction's aggregate certificate balance has decreased by 97% to $69.8 million from $2.3 billion at securitization. The certificates are collateralized by 10 mortgage loans ranging in size from 5.3% to 41.0% of the pool. Two loans, constituting 14.7% of the pool, have defeased and are secured by US government securities. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of three, compared to four at Moody's last review. Twenty-nine loans have been liquidated from the pool, resulting in an aggregate realized loss of $166.1 million (for an average loss severity of 41.1%). Three loans, constituting 63.8% of the pool, are currently in special servicing. The largest specially serviced loan is the DuBois Mall loan ($28.6 million -- 41.0% of the pool), which is secured by an enclosed mall and outparcels totaling roughly 439,000 square feet (SF). The property is located in DuBois, Pennsylvania, approximately 100 miles northeast of Pittsburgh. The mall is currently anchored by JC Penney, Big Lots, and Ross Dress for Less. As of August 2019, the property was 70% occupied and inline occupancy was 48% occupied compared to a property occupancy of 87% in December 2017. The decrease in occupancy was a result of a prior anchor, Sears (approximately 14% of net rentable area (NRA)), vacating the property earlier this year. The loan was transferred to special servicing in May 2016 due to maturity default and became real estate owned (REO) in May 2019. The second largest specially serviced loan is the State & Perryville Shopping Center loan ($11.4 million -- 16.3% of the pool), which is secured by a 110,725 SF retail shopping center located in Rockford, Illinois, approximately 80 miles northwest of Chicago. The largest tenant, Ashley Furniture, accounts for approximately 45% of NRA and has a lease expiration in July 2021. As of August 2019, the property was 48% occupied, the same as at January 2018. The high vacancy is due to a prior tenant, Gordman's (approximately 55% of NRA), vacating the property subsequent to filing bankruptcy. The loan transferred to special servicing in April 2017 due to imminent default and became REO in February 2019. The third largest specially serviced loan is the Highland Plaza loan ($4.5 million -- 6.5% of the pool), which is secured by an anchored retail shopping center located in Highland, Indiana, approximately 28 miles southeast of Chicago. As of September 2019, the property was 48% occupied (as a result of two tenants vacating the property), compared to 62% in December 2017. The largest tenant, World Gym (27% of NRA), currently has a lease expiration in 2034. The loan was previously modified in 2017 for a maturity date extension and became REO in April 2019. Moody's has estimated an aggregate loss of $37.1 million (an 84% expected loss on average) from these specially serviced loans. As of the October 2019 remittance statement cumulative interest shortfalls were $10.6 million. Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced loans and/or modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. Moody's received full year 2018 operating results, and partial year 2019 operating results for 100% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 113%, compared to 114% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 24% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.0%. The top three conduit loans represent 21.5% of the pool balance. The largest loan is the Walgreen's- Henderson, NV loan ($6.5 million -- 9.4% of the pool), which is secured by a 14,490 SF single-tenant retail building located in Henderson, Nevada. The property is 100% leased by Walgreens through April 2079. The loan has amortized 17% since securitization and has an anticipated repayment date (ARD) in January 2021. Moody's LTV and stressed DSCR are 107% and 0.86X, respectively, compared to 111% and 0.83X at the last review. The second largest loan is the G4 Portfolio loan ($4.7 million -- 6.8% of the pool), which is secured by three single-tenant retail buildings totaling 66,460 SF located in Texas, Ohio and Michigan. One property is leased by a United Supermarket and the two remaining properties are leased by Advanced Auto Parts. As of March 2019, the portfolio was 100% occupied. The loan has amortized 17% since securitization and has an ARD in February 2021. Moody's LTV and stressed DSCR are 125% and 0.84X, respectively, compared to 130% and 0.82X at the last review. The third largest loan is the Walgreen's - Orange, CT loan ($3.7 million -- 5.3% of the pool), which is secured by a 14,820 SF single-tenant retail building located in Orange, Connecticut. The property is 100% leased by Walgreens through October 2080. The loan has amortized 17% since securitization and has an ARD in January 2021. Moody's LTV and stressed DSCR are 110% and 0.86X, respectively, compared to 113% and 0.83X at the last review. COMM 2016-CCRE28: Fitch Affirms B-sf Rating on Class G Certs ------------------------------------------------------------ Fitch Ratings affirmed 18 classes of COMM 2016-CCRE28 Mortgage Trust commercial mortgage pass-through certificates. RATING ACTIONS COMM 2016-CCRE28 Class A-1 12593YBA0; LT AAAsf Affirmed; previously at AAAsf Class A-2 12593YBB8; LT AAAsf Affirmed; previously at AAAsf Class A-3 12593YBD4; LT AAAsf Affirmed; previously at AAAsf Class A-4 12593YBE2; LT AAAsf Affirmed; previously at AAAsf Class A-HR 12593YBF9; LT AAAsf Affirmed; previously at AAAsf Class A-M 12593YBK8; LT AAAsf Affirmed; previously at AAAsf Class A-SB 12593YBC6; LT AAAsf Affirmed; previously at AAAsf Class B 12593YBL6; LT AA-sf Affirmed; previously at AA-sf Class C 12593YBM4; LT A-sf Affirmed; previously at A-sf Class D 12593YBN2; LT BBBsf Affirmed; previously at BBBsf Class E 12593YAL7; LT BBB-sf Affirmed; previously at BBB-sf Class F 12593YAN3; LT BB-sf Affirmed; previously at BB-sf Class G 12593YAQ6; LT B-sf Affirmed; previously at B-sf Class X-A 12593YBH5; LT AAAsf Affirmed; previously at AAAsf Class X-C 12593YAC7; LT BBB-sf Affirmed; previously at BBB-sf Class X-D 12593YAE3; LT BB-sf Affirmed; previously at BB-sf Class X-HR 12593YBJ1; LT AAAsf Affirmed; previously at AAAsf Class XP-A 12593YBG7; LT AAAsf Affirmed; previously at AAAsf KEY RATING DRIVERS Stable Performance: The affirmations follow the generally stable performance of the pool. There have been no material changes to the pool since issuance; therefore, the original rating analysis was considered in affirming the transaction. One loan is in special servicing. The Holiday Inn Fort Worth North Fossil Creek loan (1.2%) transferred in February 2018 due to imminent monetary default after the borrower's inability to cover cash flow shortfalls. A required Property Improvement Plan (PIP) was not completed by the borrower and therefore defaulted under the license agreement. A receiver has been appointed and a new PIP was issued in April 2019 along with an extension to the franchise agreement. The asset is being marketed for sale through the receiver. According to the September 2019 STR report, the property's occupancy, ADR and RevPar were reported to be 55%, $94.90 and $52.50, respectively. Minimal Changes in Credit Enhancement: As of the October 2019 distribution date, the pool's aggregate principal balance has been reduced by 1.71% to $1.01 billion resulting in minimal increases in credit enhancement to the senior classes. Eight of the largest 15 loans, representing 39.6% of the pool, are full-term interest-only loans. In total, there are 11 full-term interest-only loans representing 41.5% of the pool. Additionally, there are 5 loans representing 15.8% of the pool that remain in their partial interest-only period. Other Considerations Watchlist Loans: There are three loans (3.9%) on the servicer's watchlist. The largest loan on the servicer's watchlist is the Brewery Station loan (2.3%), which is secured by a 279,618 square foot industrial property located in Van Nuys, CA. The property's largest tenant (63% of net rentable area) did not renew their lease nine months prior to the March 2020 expiration; cash management is being implemented due to the trigger event. However, the borrower plans to extend the lease of the tenant for a reduced amount of space and the loan has remained current. The other two loans are on the watchlist for occupancy decline and deferred maintenance. High Fitch Leverage: At issuance, Fitch stressed debt service coverage ratio (DSCR) on the trust-specific debt was 1.10x and the Fitch stressed loan-to-value (LTV) was 114%, both of which are higher than other transactions of a similar vintage. RATING SENSITIVITIES 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. COMM MORTGAGE 2004-LNB2: Fitch Hikes Class K Certs Rating to CCCsf ------------------------------------------------------------------ Fitch Ratings upgraded one class and affirmed four classes of COMM Mortgage Trust 2004-LNB2 commercial mortgage pass-through certificates. RATING ACTIONS COMM Mortgage Trust 2004-LNB2 Class K 20047BAG3; LT CCCsf Upgrade; previously at Csf Class L 20047BAH1; LT Dsf Affirmed; previously at Dsf Class M 20047BAJ7; LT Dsf Affirmed; previously at Dsf Class N 20047BAK4; LT Dsf Affirmed; previously at Dsf Class O 20047BAL2; LT Dsf Affirmed; previously at Dsf KEY RATING DRIVERS Improvement in Loss Expectations: The upgrade to class K reflects lower loss expectations associated with the specially serviced loan and a lower likelihood of losses on the class. The pool remains highly concentrated with only two of the original 91 loans remaining. Due to the concentrated nature of the pool, Fitch performed a sensitivity analysis that grouped the remaining loans based on collateral quality, performance, and perceived likelihood of repayment. The largest loan, Alta Mesa (58.6%), is secured by a 59,933 sf neighborhood retail center. The loan transferred to special servicing in January 2014 due to a maturity default and has been Real Estate Owned (REO) since 2016. The property is currently being marketed for sale. The other loan, Walgreens College Station (41.4%), is secured by a single tenant retail drug store located in College Station, TX. The property is 100% NNN leased to Walgreens, rated BBB/Negative, through April 2028. Improvement in Credit Enhancement: Credit enhancement has improved since Fitch's last rating action. One loan that was previously fully defeased, pre-paid in full during its open period. Proceeds from this loan were used to pay classes H and J in full, and it reduced the balance of class K by $3.6 million. As of the October 2019 distribution date, the pool's aggregate principal balance has been reduced by 99.6% up from 98.6% at last review. The pool has experienced losses of $24.1 million since issuance (2.5% of original pool). RATING SENSITIVITIES The upgrade to class K reflects improving loss expectations on the specially serviced asset. Further upgrades are likely should the Alta Mesa loan dispose in the near future. A downgrade is possible should losses exceed Fitch's expectations. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 No third party due diligence was provided or reviewed in relation to this rating. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of 3. ESG issues are credit neutral or have only a minimal credit impact on the transaction, either due to their nature or the way in which they are being managed by the transaction. CONNECTICUT AVENUE 2019-R07: Fitch Rates Class 1M-2C Notes Bsf -------------------------------------------------------------- Fitch Ratings assigns the following ratings and Rating Outlooks to Fannie Mae's risk transfer transaction, Connecticut Avenue Securities Trust, series 2019-R07: -- $249,578,000 class 1M-1 notes 'BBB-sf'; Outlook Stable; -- $524,112,000 class 1M-2 exchangeable notes 'Bsf'; Outlook Stable; -- $174,704,000 class 1M-2A notes 'BB+sf'; Outlook Stable; -- $174,704,000 class 1M-2B notes 'BB-sf'; Outlook Stable; -- $174,704,000 class 1M-2C notes 'Bsf'; Outlook Stable; -- $174,704,000 class 1E-A1 exchangeable notes 'BB+sf'; Outlook Stable; -- $174,704,000 class 1A-I1 notional exchangeable notes 'BB+sf'; Outlook Stable; -- $174,704,000 class 1E-A2 exchangeable notes 'BB+sf'; Outlook Stable; -- $174,704,000 class 1A-I2 notional exchangeable notes 'BB+sf'; Outlook Stable; -- $174,704,000 class 1E-A3 exchangeable notes 'BB+sf'; Outlook Stable; -- $174,704,000 class 1A-I3 notional exchangeable notes 'BB+sf'; Outlook Stable; -- $174,704,000 class 1E-A4 exchangeable notes 'BB+sf'; Outlook Stable; -- $174,704,000 class 1A-I4 notional exchangeable notes 'BB+sf'; Outlook Stable; -- $174,704,000 class 1E-B1 exchangeable notes 'BB-sf'; Outlook Stable; -- $174,704,000 class 1B-I1 notional exchangeable notes 'BB-sf'; Outlook Stable; -- $174,704,000 class 1E-B2 exchangeable notes 'BB-sf'; Outlook Stable; -- $174,704,000 class 1B-I2 notional exchangeable notes 'BB-sf'; Outlook Stable; -- $174,704,000 class 1E-B3 exchangeable notes 'BB-sf'; Outlook Stable; -- $174,704,000 class 1B-I3 notional exchangeable notes 'BB-sf'; Outlook Stable; -- $174,704,000 class 1E-B4 exchangeable notes 'BB-sf'; Outlook Stable; -- $174,704,000 class 1B-I4 notional exchangeable notes 'BB-sf'; Outlook Stable; -- $174,704,000 class 1E-C1 exchangeable notes 'Bsf'; Outlook Stable; -- $174,704,000 class 1C-I1 notional exchangeable notes 'Bsf'; Outlook Stable; -- $174,704,000 class 1E-C2 exchangeable notes 'Bsf'; Outlook Stable; -- $174,704,000 class 1C-I2 notional exchangeable notes 'Bsf'; Outlook Stable; -- $174,704,000 class 1E-C3 exchangeable notes 'Bsf'; Outlook Stable; -- $174,704,000 class 1C-I3 notional exchangeable notes 'Bsf'; Outlook Stable; -- $174,704,000 class 1E-C4 exchangeable notes 'Bsf'; Outlook Stable; -- $174,704,000 class 1C-I4 notional exchangeable notes 'Bsf'; Outlook Stable; -- $349,408,000 class 1E-D1 exchangeable notes 'BB-sf'; Outlook Stable; -- $349,408,000 class 1E-D2 exchangeable notes 'BB-sf'; Outlook Stable; -- $349,408,000 class 1E-D3 exchangeable notes 'BB-sf'; Outlook Stable; -- $349,408,000 class 1E-D4 exchangeable notes 'BB-sf'; Outlook Stable; -- $349,408,000 class 1E-D5 exchangeable notes 'BB-sf'; Outlook Stable; -- $349,408,000 class 1E-F1 exchangeable notes 'Bsf'; Outlook Stable; -- $349,408,000 class 1E-F2 exchangeable notes 'Bsf'; Outlook Stable; -- $349,408,000 class 1E-F3 exchangeable notes 'Bsf'; Outlook Stable; -- $349,408,000 class 1E-F4 exchangeable notes 'Bsf'; Outlook Stable; -- $349,408,000 class 1E-F5 exchangeable notes 'Bsf'; Outlook Stable; -- $349,408,000 class 1-X1 notional exchangeable notes 'BB-sf'; Outlook Stable; -- $349,408,000 class 1-X2 notional exchangeable notes 'BB-sf'; Outlook Stable; -- $349,408,000 class 1-X3 notional exchangeable notes 'BB-sf'; Outlook Stable; -- $349,408,000 class 1-X4 notional exchangeable notes 'BB-sf'; Outlook Stable; -- $349,408,000 class 1-Y1 notional exchangeable notes 'Bsf'; Outlook Stable; -- $349,408,000 class 1-Y2 notional exchangeable notes 'Bsf'; Outlook Stable; -- $349,408,000 class 1-Y3 notional exchangeable notes 'Bsf'; Outlook Stable; -- $349,408,000 class 1-Y4 notional exchangeable notes 'Bsf'; Outlook Stable; -- $174,704,000 class 1-J1 exchangeable notes 'Bsf'; Outlook Stable; -- $174,704,000 class 1-J2 exchangeable notes 'Bsf'; Outlook Stable; -- $174,704,000 class 1-J3 exchangeable notes 'Bsf'; Outlook Stable; -- $174,704,000 class 1-J4 exchangeable notes 'Bsf'; Outlook Stable; -- $349,408,000 class 1-K1 exchangeable notes 'Bsf'; Outlook Stable; -- $349,408,000 class 1-K2 exchangeable notes 'Bsf'; Outlook Stable; -- $349,408,000 class 1-K3 exchangeable notes 'Bsf'; Outlook Stable; -- $349,408,000 class 1-K4 exchangeable notes 'Bsf'; Outlook Stable; -- $524,112,000 class 1M-2Y exchangeable notes 'Bsf'; Outlook Stable; -- $524,112,000 class 1M-2X notional exchangeable notes 'Bsf'; Outlook Stable. Fitch will not be rating the following classes: -- $25,154,889,947 class 1A-H reference tranche; -- $224,620,000 class 1B-1 notes; -- $13,136,255 class 1M-1H reference tranche; -- $9,195,979 class 1M-AH reference tranche; -- $9,195,979 class 1M-BH reference tranche; -- $9,195,979 class 1M-CH reference tranche; -- $11,822,830 class 1B-1H reference tranche; -- $65,678,563 class 1B-2H reference tranche; -- $224,620,000 class 1B-1Y exchangeable notes; -- $224,620,000 class 1B-1X notional exchangeable notes. The notes are issued from a bankruptcy remote vehicle and are subject to the credit and principal payment risk of the mortgage loan reference pools of certain residential mortgage loans held in various Fannie Mae-guaranteed MBS. The 'BBB-sf' rating for the 1M-1 notes reflects the 3.25% subordination provided by the 0.70% class 1M-2A, the 0.70% class 1M-2B, the 0.70% class 1M-2C, the 0.90% class 1B-1 and their corresponding reference tranches as well as the 0.25% 1B-2H reference tranche. Connecticut Avenue Securities Trust series 2019-R07 (CAS 2019-R07) is Fannie Mae's 37th risk transfer transaction issued as part of the Federal Housing Finance Agency's Conservatorship Strategic Plan for 2013 to 2019 for each of the government-sponsored enterprises (GSEs) to demonstrate the viability of multiple types of risk transfer transactions involving single-family mortgages. The CAS 2019-R07 transaction includes one loan group that will consist of loans with loan-to-value (LTV) ratios greater than 60% and less than or equal to 80%. This is the eighth risk transfer transaction Fannie Mae is issuing in which the notes are not general, senior unsecured obligations of Fannie Mae but are instead issued as a REMIC from a Bankruptcy Remote Trust. Similarly to the prior transactions, however, the notes are still subject to the credit and principal payment risk of a pool of certain residential mortgage loans (reference pool) held in various Fannie Mae-guaranteed MBS. While the transaction structure simulates the behavior and credit risk of traditional RMBS mezzanine and subordinate securities, the bond payments are not made directly from the reference pool of loans. Principal payments are made from a release of collateral deposited into a segregated account as of the closing date. Interest payments on the bonds are made from a combination of interest accrued on the eligible investments in the CCA and certain interest amounts received from the Designated Q-REMIC Interests on certain designated loans acquired by Fannie Mae during the given acquisition period. Fannie Mae acts as ultimate backstop with regard to the portion of interest applicable to LIBOR in the event the money from earnings on the CCA is insufficient. Given the structure and counterparty dependence on Fannie Mae, Fitch's ratings on the 1M-1 and 1M-2 notes will be based on the lower of: the quality of the mortgage loan reference pool and credit enhancement available through subordination, or Fannie Mae's Issuer Default Rating. While this transaction reduces counterparty exposure to Fannie Mae compared with prior transactions, there is still a reliance on them to cover potential interest shortfalls or principal losses on eligible investments. The notes will be issued as uncapped LIBOR-based floaters and carry a 20-year legal final maturity. This will be an actual loss risk transfer transaction in which losses borne by the noteholders will not be based on a fixed loss severity schedule. The notes in this transaction will experience losses realized at the time of liquidation or modification that will include both lost principal and delinquent or reduced interest. Under the Federal Housing Finance Regulatory Reform Act, the Federal Housing Finance Agency (FHFA) must place Fannie Mae into receivership if it determines that Fannie Mae's assets are less than its obligations for more than 60 days following the deadline of its SEC filing, as well as for other reasons. As receiver, FHFA could repudiate any contract entered into by Fannie Mae if the termination of such contract would promote an orderly administration of Fannie Mae's affairs. Fitch believes that the U.S. government will continue to support Fannie Mae; this is reflected in Fannie Mae's current rating. However, if at some point, Fitch observes that support is reduced and receivership likely, Fannie Mae's ratings could be downgraded and the 1M-1, 1M-2A, 1M-2B and 1M-2C notes' ratings of each group affected. The 1M-1, 1M-2A, 1M-2B, 1M-2C and 1B-1 notes will be issued as LIBOR-based floaters. Should the one-month LIBOR rate fall below the applicable negative LIBOR trigger value described in the offering memorandum, the interest payment on the interest-only notes will be capped at the excess of: (i) the interest amount payable on the related class of exchangeable notes for that payment date over (ii) the interest amount payable on the class of floating-rate related combinable and recombinable (RCR) notes included in the same combination for that payment date. If there are no floating-rate classes in the related exchange, then the interest payment on the interest-only notes will be capped at the aggregate of the interest amounts payable on the classes of RCR notes included in the same combination that were exchanged for the specified class of interest-only RCR notes for that payment date. KEY RATING DRIVERS High-Quality Mortgage Pool (Positive): The reference mortgage loan pool consists of high-quality mortgage loans acquired by Fannie Mae between May 1, 2018 and June 30, 2019. The reference pool will consist of loans with LTV ratios greater than 60% and less than or equal to 80%. Overall, the reference pool's collateral characteristics reflect the strong credit profile of post-crisis mortgage originations. Very Low Operational Risk (Positive): Operational risk is well controlled for this transaction. Fannie Mae is a leader in the residential mortgage industry and assessed as an 'Above Average' aggregator due to strong seller oversight and risk management controls. Although multiple entities are performing primary servicing functions for the loans in the pool, Fannie Mae maintains robust servicer oversight to mitigate servicer disruption risk. 20-Year Hard Maturity (Negative): The notes have a 20-year legal final maturity, unlike prior CAS transactions, which have a 12.5-year maturity. Thus, a large majority of the losses on the reference pool will be passed through to the structure. As a result, Fitch did not apply a maturity credit to reduce its default expectations. Solid Alignment of Interests (Positive): While the transaction is designed to transfer credit risk to private investors, Fitch believes that it benefits from a solid alignment of interests. Fannie Mae will retain credit risk in the transaction by holding the 1A-H senior reference tranche, which has an initial loss protection of 4.25%, as well as the first loss 1B-2H reference tranche, sized at 0.25%. Fannie Mae is also retaining a vertical slice or interest of at least 5% in each reference tranche (1M-1H, 1M-AH, 1M-BH, 1M-CH and 1B-1H). Limited Size and Scope of Third-Party Diligence (Neutral): Fitch received third-party due diligence on a loan production basis, as opposed to a transaction-specific review. Fitch believes that regular, periodic third-party reviews (TPRs) conducted on a loan production basis are sufficient for validating Fannie Mae's QC processes. Fitch views the results of the due diligence review as consistent with its opinion of Fannie Mae as an above-average aggregator; as a result, no adjustments were made to Fitch's loss expectations based on due diligence. Collateral Drift (Negative): While the credit attributes remain significantly stronger than any pre-crisis vintage, the CAS credit attributes have weakened relative to CAS transactions issued several years ago. The credit migration has been a key driver of Fitch's rising loss expectations, which have moderately increased over time. REMIC Structure (Neutral): This is Fannie Mae's eighth credit risk transfer transaction being issued as a REMIC from a bankruptcy remote trust. The change limits the transaction's dependency on Fannie Mae for payments of principal and interest helping mitigate potential rating caps in the event of a downgrade of Fannie Mae's counterparty rating. Under the current structure, Fannie Mae still acts as a final backstop with regard to payments of LIBOR on the bonds as well as potential investment losses of principal. As a result, ratings may still be limited in the future by Fannie Mae's rating but to a lesser extent than in previous transactions as there are now other recourses for investors for payments. RATING SENSITIVITIES Fitch's analysis incorporates sensitivity analyses to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at both the metropolitan statistical area (MSA) and national levels. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or be considered in the surveillance of the transaction. This defined stress sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model projected sMVD. It indicates there is some potential rating migration with higher MVDs, compared with the model projection. Fitch also conducted defined rating sensitivities that determine the stresses to MVDs that would reduce a rating by one full category, to non-investment grade, and to 'CCCsf'. For example, additional MVDs of 5%-10% and 25%-30% would potentially reduce the 'BBB-sf' rated class down one rating category and to 'CCCsf', respectively. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 Fitch was provided with due diligence information from Adfitech, Inc. and AMC. The due diligence focused on credit and compliance reviews, desktop valuation reviews and data integrity. Adfitech and AMC examined selected loan files with respect to the presence or absence of relevant documents. Fitch received certification indicating that the loan-level due diligence was conducted in accordance with Fitch's published standards. The certification also stated that the company performed its work in accordance with the independence standards, per Fitch's criteria, and that the due diligence analysts performing the review met Fitch's criteria of minimum years of experience. Fitch considered this information in its analysis and the findings did not have an impact on the analysis. While Fitch was provided due diligence from a third-party, Form 15E was not provided to or reviewed by Fitch in relation to this rating action. COUNTRYWIDE HOME 2004-SD2: Moody's Raises Cl. M-2 Debt Rating to B1 ------------------------------------------------------------------- Moody's Investors Service upgraded Class M-2 from Countrywide Home Loan Trust 2004-SD2. Complete rating action is as follows: Issuer: Countrywide Home Loan Trust 2004-SD2 Cl. M-2, Upgraded to B1 (sf); previously on Jul 11, 2017 Upgraded to B3 (sf) RATINGS RATIONALE The rating upgrade is primarily due to improved underlying collateral performance and increased credit enhancement available to the bond. Class M-2 has benefited from a failed cumulative loss trigger that diverts principal payments from junior bonds to the more senior bonds in the capital structure and has accelerated the buildup of credit enhancement for the upgraded mezzanine bond. The principal methodology used in this rating was "US RMBS Surveillance Methodology" published in February 2019. Factors that would lead to an upgrade or downgrade of the rating: Ratings in the US RMBS sector remain exposed to the high level of macroeconomic uncertainty, and in particular the unemployment rate The unemployment rate fell to 3.5% in Sep 2019 from 3.7% in Sep 2018. Moody's forecasts an unemployment central range of 3.5% to 4.5% for the 2019 year. Deviations from this central scenario could lead to rating actions in the sector. House prices are another key driver of US RMBS performance. Moody's expects house prices to continue to rise in 2019. Lower increases than Moody's expects or decreases could lead to negative rating actions. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. DEEPHAVEN 2019-4: S&P Assigns Prelim B- Rating on Class B-2 Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Deephaven Residential Mortgage Trust 2019-4's mortgage-backed notes. The note issuance is a residential mortgage-backed securities (RMBS) transaction backed by primarily unseasoned fixed- and adjustable-rate residential mortgage loans secured by first liens on single-family residences, planned unit developments, condominiums, and two- to four-family residential properties. The preliminary ratings are based on information as of Nov. 6, 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 pool's collateral composition; -- The credit enhancement provided for this transaction; -- The transaction's associated structural mechanics; -- The transaction's representation and warranty (R&W) framework; and -- The mortgage aggregator. PRELIMINARY RATINGS ASSIGNED Deephaven Residential Mortgage Trust 2019-4 Class Rating Amount ($) A-1 AAA (sf) 296,688,000 A-2 AA (sf) 32,458,000 A-3 A (sf) 61,790,000 M-1 BBB (sf) 32,457,000 B-1 BB (sf) 25,486,000 B-2 B- (sf) 22,600,000 B-3 NR 9,377,235 XS NR Notional(i) A-IO-S NR Notional(i) R NR N/A (i)Notional amount equals the loans' aggregate stated principal balance. NR--Not rated. N/A--Not applicable. ELLINGTON FINANCIAL 2019-2: S&P Gives Prelim B Rating to B-2 Certs ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Ellington Financial Mortgage Trust 2019-2's mortgage pass-through certificates. The note issuance is a residential mortgage-backed securities transaction backed by U.S. residential mortgage loans. The preliminary ratings are based on information as of Nov. 4, 2019. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The pool's collateral composition; -- The credit enhancement provided for this transaction; -- The transaction's associated structural mechanics; -- The representation and warranty framework for this transaction; and -- The mortgage aggregator. PRELIMINARY RATINGS ASSIGNED Ellington Financial Mortgage Trust 2019-2 Class Rating Amount ($) A-1 AAA (sf) 188,014,000 A-2 AA (sf) 17,906,000 A-3 A (sf) 31,135,000 M-1 BBB (sf) 12,561,000 B-1 BB (sf) 9,087,000 B-2 B (sf) 6,147,000 B-3 NR 2,404,859 A-IO-S NR Notional(i) X NR Notional(i) R NR N/A (i)Notional amount equals the loans' aggregate stated principal balance. NR--Not rated. N/A--Not applicable. FINANCE OF AMERICA 2019-HB1: Moody's Hikes M4 Debt Rating to B1 --------------------------------------------------------------- Moody's Investors Service upgraded the rating of 4 tranches from Finance of America Structured Securities Trust 2019-HB1. The collateral backing this transaction consists of first-lien inactive home equity conversion mortgages covered by Federal Housing Administration insurance secured by properties in the US and Puerto Rico along with Real-Estate Owned (REO) properties acquired through conversion of ownership of reverse mortgage loans that are covered by FHA insurance. Complete rating actions are as follows: Issuer: Finance of America Structured Securities Trust 2019-HB1 Cl. M1, Upgraded to Aa1 (sf); previously on Apr 26, 2019 Definitive Rating Assigned Aa3 (sf) Cl. M2, Upgraded to A1 (sf); previously on Apr 26, 2019 Definitive Rating Assigned A3 (sf) Cl. M3, Upgraded to Baa1 (sf); previously on Apr 26, 2019 Definitive Rating Assigned Baa3 (sf) Cl. M4, Upgraded to B1 (sf); previously on Apr 26, 2019 Definitive Rating Assigned B3 (sf) RATINGS RATIONALE The rating actions are primarily due to the buildup in credit enhancement since issuance due to the fast liquidations to date. The pool factor as of Sep 2019 is 88% for Finance of America Structured Securities Trust 2019-HB1. Additionally, a large percentage of the loans that were Due and Payable at the time of closing have now moved into REO or Foreclosure, indicating that the collections from these loans are either imminent or in the near future. The rating actions take into consideration the most updated performance which includes improvements in credit enhancement and liquidations to date. The methodologies used in these ratings were "Moody's Approach to Rating Securitisations Backed by Non-Performing and Re-Performing Loans" published in February 2019 and "Moody's Global Approach to Rating Reverse Mortgage Securitizations" published in May 2019. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of stress could drive the ratings up. Transaction performance depends greatly on the US macro economy and housing market. Property markets could improve from its original expectations resulting in appreciation in the value of the mortgaged property and faster property sales. Down Levels of credit protection that are insufficient to protect investors against current expectations of stresses could drive the ratings down. Transaction performance depends greatly on the US macro economy and housing market. Property markets could deteriorate from its original expectations resulting in depreciation in the value of the mortgaged property and slower property sales. FLAGSHIP CREDIT 2019-4: S&P Assigns Prelim BB- Rating to E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Flagship Credit Auto Trust 2019-4's automobile receivables-backed notes. The note issuance is an asset-backed securities transaction backed by subprime auto loan receivables. The preliminary ratings are based on information as of Nov. 6, 2019. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The availability of approximately 43.89%, 37.9%, 29.57%, 23.15%, and 18.7% credit support (including excess spread) for the class A, B, C, D, and E notes, respectively, based on stressed cash flow scenarios. These credit support levels provide coverage of approximately 3.50x, 3.00x, 2.30x, 1.75x, and 1.40x S&P's 12.00%-12.50% expected cumulative net loss (CNL) range for the class A, B, C, D, and E notes, respectively. These break-even scenarios cover total cumulative gross defaults (using a recovery assumption of 40%) of approximately 73%, 63%, 49%, 39%, and 31%, respectively. -- The timely interest and principal payments made under stressed cash flow modeling scenarios that are appropriate to the assigned ratings. -- The expectation that under a moderate ('BBB') stress scenario, all else being equal, S&P's ratings on the class A and B notes would not be lowered by more than one rating category from its preliminary 'AAA (sf)' and 'AA (sf)' ratings, respectively, throughout the transaction's life. Similarly, S&P expects that its ratings on the class C and D notes would not be lowered more than two rating categories from its preliminary 'A (sf)' and 'BBB (sf)' ratings, respectively. The rating on the class E notes would remain within two rating categories of S&P's preliminary 'BB- (sf)' rating within the first year, but the class would eventually default under the 'BBB' stress scenario after receiving 40%-55% of its principal. The above rating movements are within the one-category rating tolerance for 'AAA' and 'AA' rated securities during the first year and three-category tolerance over three years; a two-category rating tolerance for 'A', 'BBB', and 'BB' rated securities during the first year; and a three-category tolerance for 'A' and 'BBB' rated securities over three years. 'BB' rated securities may default under a 'BBB' stress scenario. These parameters are in accordance with "Methodology: Credit Stability Criteria," May 3, 2010." -- The credit enhancement in the form of subordination, overcollateralization, a reserve account, and excess spread. -- The characteristics of the collateral pool being securitized. -- The transaction's payment and legal structures. PRELIMINARY RATINGS ASSIGNED Flagship Credit Auto Trust 2019-4 Class Rating Type Interest Amount rate(i) (mil. $) A AAA (sf) Senior Fixed 262.45 B AA (sf) Subordinate Fixed 35.06 C A (sf) Subordinate Fixed 45.08 D BBB (sf) Subordinate Fixed 36.06 E BB- (sf) Subordinate Fixed 20.03 (i)The actual coupons of these tranches will be determined on the pricing date. FLATIRON CLO 19: S&P Assigns Prelim BB- (sf) Rating to Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Flatiron CLO 19 Ltd.'s floating-rate notes. The note issuance is a collateralized loan obligation (CLO) transaction backed by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans managed by NYL Investors LLC, a subsidiary of New York Life Insurance Co. The preliminary ratings are based on information as of Nov. 5 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. -- 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 debt through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. PRELIMINARY RATINGS ASSIGNED Flatiron CLO 19 Ltd./Flatiron CLO 19 LLC Class Rating Amount (mil. $) X AAA (sf) 1.500 A AAA (sf) 252.000 B AA (sf) 52.000 C (deferrable) A (sf) 24.000 D (deferrable) BBB- (sf) 24.000 E (deferrable) BB- (sf) 14.800 Class I subordinated notes(i) NR 38.895 (i)The issuer will also issue the class II notes and the class III subordinated notes, which are both subordinated to the rated noteholders, on the closing date. The holders of the class II notes and the class III subordinated notes will not be entitled to receive payments in respect of principal or interest, but, on each payment date, those noteholders will be entitled to receive certain amounts in accordance with the priorities of payments. NR--Not rated. FORT WASHINGTON 2019-1: S&P Assigns BB- (sf) Rating to Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Fort Washington CLO 2019-1 Ltd.'s floating-rate notes. The note issuance is a 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, 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; and -- The transaction's legal structure, which is expected to be bankruptcy remote. RATINGS ASSIGNED Fort Washington CLO 2019-1 Ltd./Fort Washington CLO 2019-1 LLC Class Rating Amount (mil. $) A AAA (sf) 357.50 B AA (sf) 57.75 C (deferrable) A (sf) 33.00 D-1 (deferrable) BBB+ (sf) 24.75 D-2 (deferrable) BBB- (sf) 5.50 E (deferrable) BB- (sf) 26.00 Subordinated notes NR 51.67 NR--Not rated. GLS AUTO 2019-4: S&P Assigns BB- (sf) Rating to Class D Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to GLS Auto Receivables Issuer Trust 2019-4's automobile receivables-backed notes series 2019-4. The note issuance is an ABS transaction backed by subprime auto loan receivables. The ratings reflect: -- The availability of approximately 49.2%, 40.3%, 32.1%, and 25.2% of credit support for the class A, B, C, and D notes, respectively, based on stressed cash flow scenarios (including excess spread). These credit support levels provide coverage of approximately 2.55x, 2.05x, 1.60x, and 1.25x S&P's 18.50%-19.50% expected cumulative net loss for the class A, B, C, and D notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.60x S&P's expected loss level), all else being equal, S&P's ratings on the class A and B notes will remain within one rating category of the assigned 'AA (sf)' and 'A (sf)' ratings, and its rating on the class C notes will remain within two rating categories of the assigned 'BBB (sf)' rating. The class D notes will remain within two rating categories of the assigned 'BB- (sf)' rating during the first year, but will eventually default under the 'BBB' stress scenario. These rating movements are within the limits specified by the rating agency's credit stability criteria. -- S&P's analysis of over six years of origination static pool data and securitization performance data on Global Lending Services LLC's (GLS') seven Rule 144A securitizations. -- The collateral characteristics of the subprime automobile loans securitized in this transaction, including the representation in the transaction documents that all contracts in the pool have made a least one payment. -- The notes' underlying credit enhancement in the form of subordination, overcollateralization, a reserve account, and excess spread for the class A, B, C, and D notes. -- The timely interest and principal payments made to the notes under S&P's stressed cash flow modeling scenarios, which it believes are appropriate for the assigned ratings. RATINGS ASSIGNED GLS Auto Receivables Issuer Trust 2019-4 Class Rating Amount (mil. $) A AA (sf) 204.70 B A (sf) 51.35 C BBB (sf) 41.35 D BB- (sf) 32.60 GOLDMAN SACHS 2013-GC10: Fitch Affirms Bsf Rating on Class F Certs ------------------------------------------------------------------ Fitch Ratings affirmed 11 classes of Goldman Sachs Mortgage Company's GS Mortgage Securities Trust commercial mortgage pass-through certificates, series 2013-GC10. RATING ACTIONS GS Mortgage Securities Trust 2013-GC10 Class A-4 36192CAD7; LT AAAsf Affirmed; previously at AAAsf Class A-5 36192CAE5; LT AAAsf Affirmed; previously at AAAsf Class A-AB 36192CAF2; LT AAAsf Affirmed; previously at AAAsf Class A-S 36192CAH8; LT AAAsf Affirmed; previously at AAAsf Class B 36192CAL9; LT AAsf Affirmed; previously at AAsf Class C 36192CAN5; LT Asf Affirmed; previously at Asf Class D 36192CAQ8; LT BBB-sf Affirmed; previously at BBB-sf Class E 36192CAS4; LT BB+sf Affirmed; previously at BB+sf Class F 36192CAU9; LT Bsf Affirmed; previously at Bsf Class X-A 36192CAG0; LT AAAsf Affirmed; previously at AAAsf Class X-B 36192CAJ4; LT Asf Affirmed; previously at Asf KEY RATING DRIVERS Stable Performance and Loss Expectations: Performance has remained relatively stable since Fitch's last rating action for the largest loan in the pool, Empire Hotel & Retail (15.3%), which is designated as a Fitch Loan of Concern (FLOC) and the primary driver of loss expectations for the pool. The property experienced a decline in occupancy during renovations which commenced in 2014 and were finalized in December 2016. Due to the soft market, performance has not shown much improvement since completion of the renovations, as anticipated. YE 2018 NOI was 1.5% higher than YE 2017 but 40.3% lower than Fitch's cash flow analysis at issuance. The TTM June 2019 NOI is in line with the YE 2018 NOI. Per the June 2019 STR report, the property reported a TTM RevPAR of $190.93, up from the TTM March 2018 RevPAR of $185.99 but down from a RevPAR of $211.64 at issuance. As of the TTM period ended June 2019, the servicer reported NOI DSCR was 0.95x compared to 0.98x at YE 2018, 1.26x at YE 2017, 1.34x at YE 2016, and 2.09x at YE 2015. The loan's interest only period expired in 2018. Increased Credit Enhancement: The repayment of two loans since the last rating action has contributed $10.8 million of principal paydown and increased credit enhancement. The transaction has paid down 18.5% since issuance. Since the last rating action, the fourth largest loan Galleria Building (4.41% of the pool) was defeased. The loan was previously designated a FLOC. Defeased collateral now represents 18.9% of the pool, up from 12.6% at the last rating action. Thirteen loans (29.5% of the pool) are scheduled to mature in 2022 and the remainder of the pool matures in 2023. Sensitivity on Fitch Loans of Concern: Fitch has designated seven loans (25.41% of the pool) as FLOCs, including five loans in the top 15. The FLOCs in the top 15 include four underperforming office properties (Parkwood Plaza, One Technology Plaza, 701 Technology Drive, and One Castle Hill; combined 8.23%) with recent occupancy declines and the previously mentioned Empire Hotel & Retail loan. Fitch's analysis included additional sensitivity to address the potential for outsized losses based on leasing prospects and likelihood of re-leasing the vacancies. Losses of 39%, 75% and 25% were applied to Empire Hotel & Retail, One Technology Plaza and 701 Technology Drive, respectively. The sensitivity analysis is the driver for the Negative Outlooks on classes E and F. RATING SENSITIVITIES The Negative Rating Outlooks reflect the potential for downgrades which may occur with continued underperformance of the FLOCs. Fitch notes particular sensitivity to the largest loan and FLOC, Empire Hotel & Retail. It is possible that Rating Outlooks could be revised to Stable with improved performance for this loan; however, downgrades may be possible with continued underperformance as the loan approaches maturity. The Stable Rating Outlooks for classes A-4 through D reflect the overall stable pool performance and expected continued paydown. Future rating upgrades are possible with stable to improved pool performance and additional defeasance or paydown. GS MORTGAGE 2017-GS8: Fitch Affirms B-sf Rating on Cl. G-RR Certs ----------------------------------------------------------------- Fitch Ratings affirmed all classes of GS Mortgage Securities Trust commercial mortgage pass-through certificates, series 2017-GS8. RATING ACTIONS GSMS 2017-GS8 Cl. A-1 36254KAH5; LT AAAsf Affirmed; previously at AAAsf Cl. A-2 36254KAJ1; LT AAAsf Affirmed; previously at AAAsf Cl. A-3 36254KAK8; LT AAAsf Affirmed; previously at AAAsf Cl. A-4 36254KAL6; LT AAAsf Affirmed; previously at AAAsf Cl. A-AB 36254KAM4; LT AAAsf Affirmed; previously at AAAsf Cl. A-BP 36254KAN2; LT AAAsf Affirmed; previously at AAAsf Cl. A-S 36254KAS1; LT AAAsf Affirmed; previously at AAAsf Cl. B 36254KAT9; LT AA-sf Affirmed; previously at AA-sf Cl. C 36254KAU6; LT A-sf Affirmed; previously at A-sf Cl. D 36254KAA0; LT BBBsf Affirmed; previously at BBBsf Cl. E-RR 36254KAC6; LT BBB-sf Affirmed; previously at BBB-sf Cl. F-RR 36254KAD4; LT BB-sf Affirmed; previously at BB-sf Cl. G-RR 36254KAE2; LT B-sf Affirmed; previously at B-sf Cl. X-A 36254KAP7; LT AAAsf Affirmed; previously at AAAsf Cl. X-B 36254KAR3; LT AA-sf Affirmed; previously at AA-sf Cl. X-BP 36254KAQ5; LT AAAsf Affirmed; previously at AAAsf Cl. X-D 36254KAB8; LT BBBsf Affirmed; previously at BBBsf KEY RATING DRIVERS Stable Loss Expectations: Loss expectations remain stable as the pool continues to perform as expected. There have been minimal changes to the pool since issuance. There are no delinquent or specially serviced loans and no loans were flagged as Fitch Loans of Concern. Due to continued stable performance and limited changes to the pool since issuance, the original issuance analysis was relied upon for the ratings. Limited Changes in Credit Enhancement: There has been minimal change in credit enhancement since issuance. As of the October 2019 remittance report, the pool has only paid down by 0.27%. Overall, the pool is only scheduled to pay down by 5.6%. Fifteen loans (52.4% of pool) are interest only full the full loan term. Nineteen loans (44.5%) are structured with partial interest only periods; four of which (11.4%) have exited their interest only period and have begun amortizing. No loans have defeased. ADDITIONAL CONSIDERATIONS Pool and Property Concentrations: The top 15 loans account for 71.3% of the pool balance. The largest property types in the pool are as follows: office (31%), retail (27.6%), and hospitality (21.9%). The majority of the pool (92.9%) matures in 2027, with two loans (7.1%) maturing in October 2022. Investment Grade Credit Opinions: At issuance three loans (19%) received loans received investment grade credit opinions: Worldwide Plaza (9.8%), Starwood Lodging Hotel Portfolio (4.9%) and Olympic Tower (4.3%). Pari Passu Loans: Twelve loans making up 48.1% of the pool have pari passu debt, including 10 loans in the Top 15. International Asset: One loan, Esperanza (1.5% of pool), is secured by a 53-room full service hotel located in Cabo San Lucas, Mexico. The Cabo San Lucas market is heavily dependent on U.S. tourists as a primary demand generator and hotel performance is susceptible to external risk factors including geopolitical and hurricane risk. At issuance, Fitch assigned a volatility score of 5 and increased the probability of loss to 100% to account for these additional risks. Worldwide Plaza Tenant Update: The largest loan in the pool, Worldwide Plaza (9.8%), is secured by an office tower located in Manhattan. The property's second largest tenant, Cravath, Swaine & Moore LLP (29% NRA) is reportedly relocating its office to Hudson Yards. Construction on the new office is expected to be completed in 2024. Cravath, Swaine & Moore's current lease at Worldwide Plaza expires in August 2024. The loan is structured with a rollover reserve that would sweep all excess cash flow beginning 12 months prior to lease expiration if Cravath's space is not renewed or re-leased. RATING SENSITIVITIES The affirmations reflect stable performance, in line with Fitch's expectation at issuance. Rating actions, while unlikely, may occur with a material economic or asset level event that changes the credit profile and performance of the transaction. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 No third-party due diligence was provided or reviewed in relation to this rating action. GS MORTGAGE 2019-PJ3: DBRS Finalizes B(high) Rating on B-5 Certs ---------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the Mortgage Pass-Through Certificates, Series 2019-PJ3 (the Certificates) issued by GS Mortgage-Backed Securities Trust 2019-PJ3 (GSMBS 2019-PJ3) as follows: -- $230.4 million Class A-1 at AAA (sf) -- $230.4 million Class A-2 at AAA (sf) -- $16.9 million Class A-3 at AAA (sf) -- $16.9 million Class A-4 at AAA (sf) -- $172.8 million Class A-5 at AAA (sf) -- $172.8 million Class A-6 at AAA (sf) -- $57.6 million Class A-7 at AAA (sf) -- $57.6 million Class A-8 at AAA (sf) -- $247.3 million Class A-9 at AAA (sf) -- $247.3 million Class A-10 at AAA (sf) -- $247.3 million Class A-X-1 at AAA (sf) -- $16.9 million Class A-X-3 at AAA (sf) -- $172.8 million Class A-X-5 at AAA (sf) -- $57.6 million Class A-X-7 at AAA (sf) -- $5.4 million Class B-1 at AA (high) (sf) -- $9.2 million Class B-2 at A (sf) -- $3.1 million Class B-3 at BBB (high) (sf) -- $2.6 million Class B-4 at BB (high) (sf) -- $1.5 million Class B-5 at B (high) (sf) Classes A-X-1, A-X-3, A-X-5, and A-X-7 are interest-only certificates. The class balances represent notional amounts. Classes A-1, A-2, A-4, A-6, A-8, A-9 and A-10 are exchangeable certificates. These classes can be exchanged for combinations of exchange certificates as specified in the offering documents. Classes A-1, A-2, A-5, A-6, A-7 and A-8 are super-senior certificates. These classes benefit from additional protection from the senior support certificates (Classes A-3 and A-4) with respect to loss allocation. The AAA (sf) ratings on the Certificates reflect 8.75% of credit enhancement provided by subordinated certificates in the pool. The AA (high) (sf), A (sf), BBB (high) (sf), BB (high) (sf) and B (high) (sf) ratings reflect 6.75%, 3.35%, 2.20%, 1.25% and 0.70% of credit enhancement, respectively. Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. GSMBS 2019-PJ3 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 394 loans with a total principal balance of $271,016,060 as of the Cut-Off Date (October 1, 2019). The originators for the mortgage pool are HomeBridge Financial Services, Inc. (25.3%), loanDepot.com, LLC (19.9%), and various other originators, each comprising less than 15.0% of the mortgage loans. Goldman Sachs Mortgage Company is the Sponsor and the Mortgage Loan Seller of the transaction. For certain originators, the related loans (8.9%) were sold to MAXEX Clearing LLC and were subsequently acquired by the Mortgage Loan Seller. NewRez LLC doing business as Shellpoint Mortgage Servicing will service all mortgage loans within the pool. Wells Fargo Bank, N.A. (rated AA with a Stable trend by DBRS Morningstar) will act as the Master Servicer, Securities Administrator and Custodian. U.S. Bank Trust National Association will serve as Delaware Trustee. Pentalpha Surveillance LLC will serve as the representations and warranties (R&W) File Reviewer. The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity of 30 years and a weighted-average (WA) loan age of four months. Approximately 40.6% of the pool is conforming; high-balance mortgage loans that were underwritten using an automated underwriting system designated by Fannie Mae or Freddie Mac and were eligible for purchase by such agencies. The remaining 59.4% of the pool are traditional, non-agency, prime jumbo mortgage loans. Compared with prior GSMBS prime securitizations, the GSMBS 2019-PJ3 pool exhibits a similar WA original loan-to-value (LTV) ratio; however, the portfolio contains a more barbell distribution of LTV ratios with larger concentrations in the higher LTV buckets. For this transaction, 20.2% of the pool has current combined LTV ratios over 80.0% but is generally below 95.0%. 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, knowledge qualifiers and sunset provisions that allow for certain R&Ws to expire within three to five years after the Closing Date. The framework is perceived by DBRS Morningstar to be limiting compared with traditional lifetime R&W standards in certain DBRS Morningstar-rated securitizations. To capture the perceived weaknesses in the R&W framework, DBRS Morningstar 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. INSITE SECURED 2018-1: Fitch Affirms BB-sf Rating on Class C Notes ------------------------------------------------------------------ Fitch Ratings affirmed InSite Secured Cellular Site Revenue Note Series 2016-1 and 2018-1: RATING ACTIONS InSite Secured Cellular Site Revenue Notes, Series 2018-1 Class A 45780KAG1; LT Asf Affirmed; previously at Asf Class B 45780KAJ5; LT BBB-sf Affirmed; previously at BBB-sf Class C 45780KAL0; LT BB-sf Affirmed; previously at BB-sf InSite Secured Cellular Site Revenue Notes, Series 2016-1 Class A 45780KAD8; LT Asf Affirmed; previously at Asf Class B 45780KAE6; LT BBB-sf Affirmed; previously at BBB-sf Class C 45780KAF3; LT BB-sf Affirmed; previously at BB-sf The series 2018-1 class A is pari passu with the series 2016-1 class A; the series 2018-1 class B is pari passu with the series 2016-1 class B; and the series 2018-1 class C is pari passu with the series 2016-1 class C. KEY RATING DRIVERS Fitch Cash Flow and Leverage: Fitch's net cash flow (NCF) on the pool is $70.9 million, which equates to a Fitch debt service coverage ratio (DSCR) of 1.27x. The debt multiple relative to Fitch's NCF would be 8.5x, which equates to a debt yield of 11.8%. Since issuance, Fitch NCF has increased approximately 4.1%. Risk of Technological Obsolescence: The notes have a rated final payment date 30 years after closing, and the long-term tenor of the notes increases the risk that an alternative technology rendering obsolete the current transmission of wireless signals through cellular or DAS networks will be developed. Currently, WSPs depend on towers or DAS to transmit signals and continue to invest in the technology. Additional Debt: It is expected that the transaction will allow for the issuance of additional notes. Such additional notes may rank pari passu with or subordinate to the outstanding notes. The additional notes will be pari passu with and be rated the same as any class of notes bearing the same alphabetical class designation. Additional notes may be issued without the benefit of additional collateral, provided the post-issuance DSCR is not less than 2.0x. As Fitch monitors the transaction, the possibility of upgrades may be limited due to the provision that allows additional debt and cash flow deterioration. Leases to Strong Tower Tenants: There are 3,515 wireless tenant leases, an increase from 3,229 when the series 2018-1 notes were issued. Telephony and data tenants represent 72.9% of annualized run rate revenue (ARRR), and 57.4% of the ARRR is from investment-grade tenants. Tenant leases on the cellular sites have average annual escalators of approximately 3.0% and an average final remaining term (including renewals) of approximately 22.4 years. Reasonable Diversification: There are 1,652 sites and 21 DAS sites spanning 47 states, Canada (171 sites), the U.S. Virgin Islands (seven sites) and Puerto Rico (70 sites). The largest state (Texas) represents approximately % of ARRR. The top 10 states (including Ontario and Puerto Rico) represent 58.4% of ARRR. According to conversations with the borrower, few towers in Puerto Rico were impacted by Hurricane Maria, and the company's responsiveness was viewed as a strength and generated additional leasing interest. There were 1,547 sites and 21 DAS sites at the issuance of the series 2018-1 notes. DAS Networks: The collateral pool contains 21 DAS networks representing approximately 8.3% of the ARRR (6.4% of the issuer NCF). DAS sites are located within buildings or other structures or venues for which an asset entity has rights under a lease or license to install and operate a DAS on the premises or to manage a DAS network on the premises. Fitch did not give credit for the one site where InSite has a management contract to manage a DAS network owned by the DAS venue; these sites contribute less than 0.1% of ARRR. Additionally, Fitch limited proceeds from the DAS networks to the 'BBsf' category (i.e. applied a BBsf rating cap), based on the uncertainty surrounding the licensing agreements in a venue-bankruptcy scenario and the limited history of these networks. RATING SENSITIVITIES Stable Outlooks are recommended as performance is expected to remain stable; additionally, upgrades on the rated classes may be limited due to the allowance for additional notes without the benefit of additional collateral, the specialized nature of the collateral and the potential for changes in technology to affect long-term demand for wireless tower space. Fitch does not foresee negative ratings migration unless a material economic or asset level event changes the transaction's portfolio-level metrics. JACKSON PARK 2019-LIC: S&P Assigns Prelim B- Rating on Cl. F Certs ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Jackson Park Trust 2019-LIC's commercial mortgage pass-through certificates. The certificate issuance is a commercial mortgage-backed securities transaction backed by the $725.0 million portion of a 10-year fixed-rate interest-only mortgage loan totaling $1.0 billion, secured by the fee interests in a multifamily complex located in Queens, N.Y. The mortgage loan was split into three groups of notes (the trust A notes, the trust B notes, and the non-trust notes). This transaction will securitize the trust A notes (totaling $275.0 million) and the trust B notes (totaling $450.0 million). The non-trust notes (totaling $275.0 million), which ranks pari passu with the trust A notes, will not be securitized in this transaction. The preliminary ratings are based on information as of Nov. 4, 2019. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of the collateral's historical and projected performance, the sponsor's and managers' experience, the trustee-provided liquidity, the loan's terms, and the transaction's structure. PRELIMINARY RATINGS ASSIGNED Jackson Park Trust 2019-LIC Class Rating(i) Amount ($) A AAA (sf) 215,460,000 B AA- (sf) 45,790,000 C A- (sf) 87,020,000 D BBB- (sf) 77,995,000 E BB- (sf) 90,725,000 F B- (sf) 95,285,000 G NR 76,475,000 RR Interest(ii) NR 36,250,000 (i)The issuer will issue the certificates to qualified institutional buyers in-line with Rule 144A of the Securities Act of 1933. (ii)Non-offered vertical risk retention certificates, which will be retained by Bank of America N.A. as the retaining sponsor. NR--Not rated. JP MORGAN 2019-LTV3: DBRS Finalizes B Rating on Class B-5 Certs --------------------------------------------------------------- DBRS, Inc. finalized the following provisional ratings on the Mortgage Pass-Through Certificates, Series 2019-LTV3 (the Certificates) issued by J.P. Morgan Mortgage Trust 2019-LTV3: -- $375.8 million Class A-1 at AAA (sf) -- $341.6 million Class A-2 at AAA (sf) -- $244.8 million Class A-3 at AAA (sf) -- $244.8 million Class A-3-A at AAA (sf) -- $244.8 million Class A-3-X at AAA (sf) -- $183.6 million Class A-4 at AAA (sf) -- $183.6 million Class A-4-A at AAA (sf) -- $183.6 million Class A-4-X at AAA (sf) -- $61.2 million Class A-5 at AAA (sf) -- $61.2 million Class A-5-A at AAA (sf) -- $61.2 million Class A-5-X at AAA (sf) -- $153.3 million Class A-6 at AAA (sf) -- $153.3 million Class A-6-A at AAA (sf) -- $153.3 million Class A-6-X at AAA (sf) -- $91.5 million Class A-7 at AAA (sf) -- $91.5 million Class A-7-A at AAA (sf) -- $91.5 million Class A-7-X at AAA (sf) -- $30.3 million Class A-8 at AAA (sf) -- $30.3 million Class A-8-A at AAA (sf) -- $30.3 million Class A-8-X at AAA (sf) -- $46.0 million Class A-9 at AAA (sf) -- $46.0 million Class A-9-A at AAA (sf) -- $46.0 million Class A-9-X at AAA (sf) -- $15.2 million Class A-10 at AAA (sf) -- $15.2 million Class A-10-A at AAA (sf) -- $15.2 million Class A-10-X at AAA (sf) -- $96.8 million Class A-11 at AAA (sf) -- $96.8 million Class A-11-X at AAA (sf) -- $96.8 million Class A-12 at AAA (sf) -- $96.8 million Class A-13 at AAA (sf) -- $34.2 million Class A-14 at AAA (sf) -- $34.2 million Class A-15 at AAA (sf) -- $269.3 million Class A-16 at AAA (sf) -- $106.5 million Class A-17 at AAA (sf) -- $375.8 million Class A-X-1 at AAA (sf) -- $375.8 million Class A-X-2 at AAA (sf) -- $96.8 million Class A-X-3 at AAA (sf) -- $34.2 million Class A-X-4 at AAA (sf) -- $6.8 million Class B-1 at AA (sf) -- $6.8 million Class B-1-A at AA (sf) -- $6.8 million Class B-1-X at AA (sf) -- $15.6 million Class B-2 at A (sf) -- $15.6 million Class B-2-A at A (sf) -- $15.6 million Class B-2-X at A (sf) -- $10.7 million Class B-3 at BBB (sf) -- $10.7 million Class B-3-A at BBB (sf) -- $10.7 million Class B-3-X at BBB (sf) -- $8.5 million Class B-4 at BB (sf) -- $1.9 million Class B-5 at B (sf) Classes A-3-X, A-4-X, A-5-X, A-6-X, A-7-X, A-8-X, A-9-X, A-10-X, A-11-X, A-X-1, A-X-2, A-X-3, A-X-4, B-1-X, B-2-X, B-3-X, B-X, B-6-Y and B-6-Z are interest-only notes. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-3-X, A-3-A, A-4, A-4-A, A-4-X, A-5, A-5-A, A-5-X, A-6, A-6, A-7, A-7-A, A-7-X, A-8, A-9, A-10, A-12, A-13, A-14, A-16, A-17, A-X-2, A-X-3, B-1, B-2, B-3, B-X, B-6-Y and B-6-Z are exchangeable notes. These classes can be exchanged for combinations of exchange notes as specified in the offering documents. Classes A-2, A-3, A-3-A, A-4, A-4-A, A-5, A-5-A, A-6, A-6-A, A-7, A-7-A, A-8, A-8-A, A-9, A-9-A, A-10, A-10-A, 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) rating on the Class A Notes reflects over 10.65% of credit enhancement provided by subordinated notes in the pool. The AA (sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings reflect over 8.00%, 5.50%, 3.25%, 1.55% and 0.85% of credit enhancement, respectively. Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. The Certificates are backed by 675 loans with a total principal balance of $426,992,185 as of the Cut-Off Date (October 1, 2019). Compared with other post-crisis prime pools, this portfolio consists of higher loan-to-value (LTV), first-lien, fully amortizing fixed-rate mortgages with original terms to maturity of 30 years. The weighted-average original combined LTV (CLTV) for the portfolio is 88.5%, and almost the entire pool (90.5%) comprises loans with current CLTV ratios greater than 79.0%. The high LTV attribute of this portfolio is mitigated by certain strengths, such as high FICO scores, low debt-to-income ratios, robust income and reserves and other strengths detailed in the Key Probability of Default Drivers section of the report. The mortgage loans were originated by United Shore Financial Services LLC (83.1%) and various other originators, each comprising less than 5.0% of the mortgage loans. Approximately 2.73% of the loans sold to the mortgage loan seller were acquired by MAXEX Clearing LLC, which purchased such loans from the related originators or an unaffiliated third party that directly or indirectly purchased such loans from the related originators. The mortgage loans will be serviced or sub-serviced by Shellpoint Mortgage Servicing (SMS; 87.4%); Cenlar, FSB (12.5%); and Nationstar Mortgage LLC (Nationstar; 0.1%). Servicing will be transferred from SMS to JPMorgan Chase Bank, N.A. (JPMCB; rated AA with a Stable trend by DBRS Morningstar) on the servicing transfer date (December 1, 2019, or a later date) as determined by the issuing entity and JPMCB. For this transaction, the servicing fee payable for mortgage loans serviced by SMS (and subsequently serviced by JPMCB) is composed of three separate components: the aggregate base servicing fee, the aggregate delinquent servicing fee, and the aggregate additional servicing fee. These fees vary based on the delinquency status of the related loan and will be paid from interest collections before distribution to the securities. Nationstar will act as the Master Servicer. Citibank, N.A. (rated AA (low) with a Stable trend by DBRS Morningstar) will act as Securities Administrator and Delaware Trustee. Wells Fargo Bank, N.A. (rated AA with a Stable trend by DBRS Morningstar) will act as Custodian. Pentalpha Surveillance LLC will serve as the Representations and Warranties (R&W) Reviewer. The transaction employs a senior-subordinate, shifting-interest cash flow structure that is enhanced from a pre-crisis structure. The ratings reflect transactional strengths that include high-quality underlying assets, well-qualified borrowers and a satisfactory third-party due diligence review. This transaction employs an R&W framework that contains certain weaknesses, such as materiality factors, some unrated R&W providers, knowledge qualifiers and sunset provisions that allow for certain R&Ws to expire within three to six years after the Closing Date. The framework is perceived by DBRS Morningstar to be limiting compared with traditional lifetime R&W standards in certain DBRS Morningstar-rated securitizations. To capture the perceived weaknesses in the R&W framework, DBRS Morningstar 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. LB-UBS COMMERCIAL 2005-C7: Fitch Affirms BB Rating on Cl. F Certs ----------------------------------------------------------------- Fitch Ratings affirms all classes of LB-UBS Commercial Mortgage Trust commercial mortgage pass-through certificates series 2005-C7. RATING ACTIONS LB-UBS Commercial Mortgage Trust 2005-C7 Class F 52108MAP8; LT BBsf Affirmed; previously at BBsf Class G 52108MAR4; LT Dsf Affirmed; previously at Dsf Class H 52108MAS2; LT Dsf Affirmed; previously at Dsf Class J 52108MAT0; LT Dsf Affirmed; previously at Dsf Class K 52108MAU7; LT Dsf Affirmed; previously at Dsf Class L 52108MAV5; LT Dsf Affirmed; previously at Dsf Class M 52108MAW3; LT Dsf Affirmed; previously at Dsf Class N 52108MAX1; LT Dsf Affirmed; previously at Dsf Class P 52108MAY9; LT Dsf Affirmed; previously at Dsf Class Q 52108MAZ6; LT Dsf Affirmed; previously at Dsf Class S 52108MBA0; LT Dsf Affirmed; previously at Dsf KEY RATING DRIVERS No Change in Loss Expectations/Stable Performance: Overall pool performance and loss expectations have remained stable since Fitch's last rating action. There are currently no specially serviced or delinquent loans. The largest loan (47%), Chesterfield Commons East, is secured by a 118,963 sf neighborhood retail center in Chesterfield, MO (St. Louis County). The shopping center is anchored by Target (non-collateral), Golf Galaxy, Old Navy, and Pier 1 Imports. The property is 97.9% occupied as of June 2019 with below market average rent of $7.43 sf. There is upcoming rollover of 1.9% in 2020; 3.3% in 2021, 4.3% in 2022, 3.6% in 2023; and 30.3% in 2024. The year-end (YE ) 2018 servicer reported NOI DSCR is 1.33x compared to 1.38x YE 2017 and 1.36x YE 2016. The most recent DSCR as of June 2019 is 1.12x. Per Reis as of 3Q19, the Saint Louis Central retail submarket vacancy rate is 10.7% with average asking rent $18.66 sf. The balloon loan matures on July 11, 2020. The second largest loan, Gleneagles (31%), is a 38,948 sf neighborhood retail center in Plano, TX (Collin County). The largest tenants are Spec's Wine, Spirits & Finer Foods, Vitamin Shoppe, and Red Mountain Weight Loss Clinic. The property is 88.4% occupied as of August 2019 down from 95% in June 2019. There is approximately upcoming rollover of 20.4% in 2021, 6.6% in 2022, 52.3% in 2023, 6.5% in 2024, 2.9% in 2025, and 6.1% in 2026. The YE 2018 servicer reported NOI DSCR is 1.29x slightly below 1.35x YE 2017 but above 1.17x YE 2016. The most recent DSCR as of June 2019 is 1.45x. Per Reis as of 3Q19, the Plano retail submarket vacancy rate is 16.3% with average asking rent $19.67 sf. The balloon loan matures on July 11, 2020. Minimal Change in Credit Enhancement Since Prior Review: As of the October 2019 distribution date, the pool's aggregate principal balance has been reduced by 98.7% to $30.5 million from $2.3 billion at issuance, but down only $809,445 from the last rating action. The transaction has realized losses in the amount of $128.8 million (5.5% of original pool balance). Cumulative interest shortfalls in the amount of $5.2 million are currently affecting classes J thru T. Alternative Loss Considerations: The ratings are based on a look-through analysis which considered the likelihood of payoff of the remaining three loans given their credit characteristics, leverage and property quality. The Class F certificates remain reliant on approximately 45% of the remaining three loans to be paid in full. RATING SENSITIVITIES The Stable Outlook on class F reflects sufficient credit enhancement to the class. Future upgrades to class F are not likely as the rating is capped due to the concentrated nature of the pool, underlying collateral quality and subject to refinance risk. Downgrades are possible if pool performance deteriorates or loans default at maturity. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 No third-party due diligence was provided or reviewed in relation to this rating action. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance score is a score of 3. ESG issues are credit neutral or have only a minimal credit impact on the transaction, either due to their nature or the way in which they are being managed by transaction. LENDMARK FUNDING 2019-2: DBRS Finalizes BB Rating on Class D Notes ------------------------------------------------------------------ DBRS, Inc. finalized its provisional ratings on the following notes issued by Lendmark Funding Trust 2019-2 (Lendmark 2019-2 or the Issuer): -- $318,250,000 Series 2019-2, Class A rated AA (sf) -- $24,610,000 Series 2019-2, Class B rated A (sf) -- $31,280,000 Series 2019-2, Class C rated BBB (low) (sf) -- $25,860,000 Series 2019-2, Class D rated BB (sf) The ratings are based on a review by DBRS Morningstar of the following analytical considerations: -- The transaction's capital structure, current ratings and form and sufficiency of available credit enhancement. -- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the ratings address the timely payment of interest on a monthly basis and principal by the legal final maturity date. -- Lendmark Financial Services LLC's (Lendmark) capabilities with regard to originations, underwriting and servicing. -- The credit quality of the collateral and performance of Lendmark's consumer loan portfolio. DBRS Morningstar has used a hybrid approach in analyzing the Lendmark portfolio that incorporates elements of static pool analysis, employed for assets such as consumer loans, and revolving asset analysis, employed for assets such as credit card master trusts. -- The legal structure and presence of legal opinions that address the true sale of the assets to the Issuer, the non-consolidation of the special-purpose vehicle with Lendmark and that the trust has a valid first-priority security interest in the assets and is consistent with DBRS Morningstar's "Legal Criteria for U.S. Structured Finance." Lendmark 2019-2 represents the eighth securitization of a portfolio of non-prime and subprime personal loans originated through Lendmark's branch network. Notes: All figures are in U.S. dollars unless otherwise noted. LONE STAR 2015-LSP: Fitch Affirms B-sf Rating on Class F Certs -------------------------------------------------------------- Fitch Ratings upgraded three classes and affirmed two classes of Lone Star Portfolio Trust 2015-LSP Commercial Mortgage Pass-Through Certificates. RATING ACTIONS Lone Star Portfolio Trust 2015-LSP Class D 54230NAN8; LT AAAsf Upgrade; previously at BBB-sf Class E 54230NAQ1; LT BB-sf Affirmed; previously at BB-sf Class F 54230NAS7; LT B-sf Affirmed; previously at B-sf Class X-CP 54230NAE8; LT AAAsf Upgrade; previously at BBB-sf Class X-EXT 54230NAG3; LT AAAsf Upgrade; previously at BBB-sf KEY RATING DRIVERS Increasing Credit Enhancement: The upgrades and Stable Outlooks on the senior and interest-only classes reflect increased credit enhancement from pay down related to property releases. Since issuance, 76 of the 103 properties in the portfolio have been released from the transaction, including 18 in the last year. The properties were released at a 120% premium to the individual allocated loan amounts (ALA) at issuance. As of the October 2019 distribution date, the pool's aggregate principal balance has been paid down by 72% to $197.8 million from $705.3 million at issuance. The transaction is currently following a sequential pay structure after paying pro rata for the initial 15% paydown to the transaction's balance. Collateral Characteristics: After property releases, the collateral now consists of 27 properties. All the remaining properties are fee simple interests in office properties. One property (1.8% of the ALA) is currently vacant; however, it has reportedly been fully leased to a new tenant expected to commence its lease in March 2020. The properties are located in 11 states in generally suburban locations. The three states with the greatest concentration are Massachusetts (33.5% of the ALA), Illinois (33.4%), and Minnesota (11.3%); no other state represents more than 8.4% of the ALA. Adverse Selection, Declining Occupancy: The Negative Outlook on class F reflects the transactions increasing concentration and adverse selection. The current portfolio's occupancy has declined since issuance. As of the June 2019 rent rolls, portfolio occupancy was 70.1% compared to approximately 78% at issuance for the same properties. The original 103-property portfolio was 79.6% occupied at issuance, with a business plan to stabilize properties with renovations and increased leasing, prior to property-by-property dispositions. Approximately 10.1% of the NRA is scheduled to roll in the next year; including two single tenants for which Fitch requested an update from the servicer, but has not received to date. An additional 3.5% of the NRA has been pre-leased to new tenants. A future funding in the amount $6.2 million is available for capital improvements and accretive leasing costs. The properties are generally located in weak suburban office sub-markets, which have a weighted average vacancy rate of approximately 19.7%, per Reis (2Q19). High Fitch Leverage: In additional to the trust loan balance of $197.8 million, there is pari passu debt in place of $6.2 million in the form of a future funding advance note. Further, there is mezzanine debt in the amount of $36.2 million also in place. The trust loan has a Fitch debt service coverage ratio (DSCR), debt yield (DY), and loan-to-value (LTV) of 0.99x, 9.6% and 93.3%, respectively, totaling trust debt of $49 psf. The Fitch total all in debt DSCR, DY, and LTV are 0.84x, 8.2% and 109.9%, respectively. Experienced Sponsorship: The loan is sponsored by Lone Star. Lone Star is a global private equity firm that invests in real estate, equity, credit and other financial assets. Hudson Advisors, Lone Star's asset management affiliate, serves as the portfolio's asset. RATING SENSITIVITIES The Stable Outlooks reflects the increasing credit enhancement to the senior classes. The Negative Outlook on class F reflects the possibility of downgrades should the portfolio be subject to further adverse selection, declining property performance or should the loan fail to repay at maturity. The loan is in its final extension period with a maturity date of September 2020. MERRILL LYNCH 2007-CANADA21: Moody's Hikes Class L Certs to Ba2 --------------------------------------------------------------- Moody's Investors Service upgraded the ratings on four classes in Merrill Lynch Financial Assets Inc. Commercial Mortgage Pass-Through Certificates, Series 2007-Canada 21 as follows: Class J, Upgraded to A3 (sf); previously on June 21, 2018 Upgraded to Ba1 (sf) Class K, Upgraded to Baa3 (sf); previously on June 21, 2018 Upgraded to B1 (sf) Class L, Upgraded to Ba2 (sf); previously on June 21, 2018 Upgraded to B3 (sf) Cl. XC, Upgraded to Ba3 (sf); previously on Jun 21, 2018 Affirmed B2 (sf) * Reflects Interest Only Classes RATINGS RATIONALE The ratings on three P&I classes were upgraded due to an increase in credit support resulting from loan paydowns as well as the improved performance of the one remaining loan. The deal has paid down 49% since Moody's last review and 98% since securitization. The rating on the IO class, Class XC, was upgraded based on the credit quality of its referenced classes. Moody's does not anticipate losses from the remaining collateral in the current environment. However, over the remaining life of the transaction, losses may emerge from macro stresses to the environment and changes in collateral performance. Its ratings reflect the potential for future losses under varying levels of stress. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of paydowns, defeasance or an improvement in loan performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the loan or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except the interest-only class was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. The methodologies used in rating the interest-only class were "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017 and "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in February 2019. DEAL PERFORMANCE As of the October 15, 2019 distribution date, the transaction's aggregate certificate balance has decreased by 98% to $8.7 million from $385.2 million at securitization. The certificates are collateralized by one mortgage loan and the transaction has not incurred any realized losses. The sole remaining loan is the 550 - 11th Avenue Office Building Loan ($8.7 million), which is secured by an 11-story, 97,000 square feet (SF) office property located in the financial district of downtown Calgary, Alberta. As of December 2019, the property was 95% leased, a significant increase from 59% leased in December 2017 and 43% in December 2016. The increase in occupancy is due to multiple new tenants at the property and as a result the property's net operating income (NOI) is expected to improve. In February 2018, a loan modification included a principal pay down of nearly $6 million, and the maturity date was extended to September 2020 with a new 20-year amortization period. The loan has paid down 57% since securitization and matures in September 2020. Moody's LTV and stressed DSCR are 82% and 1.26X, respectively, compared to 94% and 1.10X at the last review. MILL CITY 2019-GS2: DBRS Finalizes B(low) Rating on 3 Classes ------------------------------------------------------------- DBRS, Inc. finalized the following provisional ratings on the Mortgage-Backed Securities, Series 2019-GS2 (the Notes) issued by Mill City Mortgage Loan Trust 2019-GS2 (the Issuer): -- $66.0 million Class A1A at AAA (sf) -- $197.9 million Class A1B at AAA (sf) -- $263.8 million Class A1 at AAA (sf) -- $301.1 million Class A2 at AA (low) (sf) -- $323.7 million Class A3 at A (low) (sf) -- $341.2 million Class A4 at BBB (low) (sf) -- $37.3 million Class M1 at AA (low) (sf) -- $22.6 million Class M2 at A (low) (sf) -- $8.7 million Class M3A at BBB (low) (sf) -- $8.7 million Class M3B at BBB (low) (sf) -- $17.4 million Class M3 at BBB (low) (sf) -- $11.8 million Class B1A at BB (low) (sf) -- $11.8 million Class B1B at BB (low) (sf) -- $23.7 million Class B1 at BB (low) (sf) -- $11.3 million Class B2A at B (low) (sf) -- $11.3 million Class B2B at B (low) (sf) -- $22.6 million Class B2 at B (low) (sf) Classes A1, A2, A3, A4, M3, B1, and B2 are exchangeable notes. These classes can be exchanged for combinations of exchange notes as specified in the offering documents. The AAA (sf) rating on the Class A1A and A1B Notes reflects 38.75% of credit enhancement provided by subordinated Notes in the pool. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf) and B (low) (sf) ratings reflect 30.10%, 24.85%, 20.80%, 15.30% and 10.05% of credit enhancement, respectively. Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. This transaction is a securitization of a portfolio of primarily first-lien, seasoned, performing and re-performing residential mortgages funded by the issuance of the Notes. The Notes are backed by 3,565 loans with a total principal balance of approximately $453,428,271 as of the Cut-Off Date (September 30, 2019). The loans are approximately 147 months seasoned. As of the Cut-Off Date, 86.1% of the pool is current, 6.5% is 30 days to 59 days delinquent, 1.4% is 60 days to 89 days delinquent, 2.0% is 90+ days delinquent under the Mortgage Bankers Association delinquency method and 4.0% of the pool is in bankruptcy. Approximately 28.3% of the pool has been zero times 30 (0 x 30) days delinquent for the past 24 months, 55.1% has been 0 x 30 for the past 12 months and 72.6% has been 0 x 30 for the past six months. Approximately 10.9% of loans were missing data in certain months and, as such, are not included when determining the 0 x 30 days delinquent duration. Modified loans comprise 75.9% of the portfolio. The modifications happened more than two years ago for 78.4% of the modified loans. Within the pool, 1,129 loans have non-interest-bearing deferred amounts, which equates to 8.7% of the total principal balance. In accordance with the Consumer Financial Protection Bureau's Qualified Mortgage (QM) rules, 3.0% of the loans are designated as QM Safe Harbor, 0.7% as QM Rebuttable Presumption and 3.2% as non-QM. Approximately 93.0% of the loans are not subject to the QM rules. Approximately 9.0% of the pool comprises non-first-lien loans. Goldman Sachs Mortgage Company (GSMC) is the Sponsor for the transaction and is acquiring (most of) the loans from various Mill City entities in connection with the securitization. GSMC is acquiring a small percentage of the loans into MTGLQ Investors L.P. to be contributed to the transaction. As the Sponsor, GSMC, directly or through a majority-owned affiliate, will acquire and retain a 5.0% uncertificated eligible vertical interest in the transaction to satisfy the credit risk retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. These loans were originated and previously serviced by various entities through purchases in the secondary market. As of the Cut-Off Date, the loans are serviced by NewRez LLC doing business as Shellpoint Mortgage Servicing (55.6%) and Fay Servicing, LLC (44.4%). There will not be any advancing of delinquent principal or interest on any mortgages by the servicer or any other party to the transaction; however, the servicer is obligated to make advances in respect of homeowner association fees, taxes, and insurance as well as reasonable costs and expenses incurred in the course of servicing and disposing of properties. When the aggregate pool balance of the mortgage loans is reduced to less than 20% of the Cut-Off Date balance, the holders of more than 50% of the Class X Certificates will have the option to cause the Issuer to sell its remaining property (other than amounts in the Breach Reserve Account) to one or more third-party purchasers so long as the aggregate proceeds meet a minimum price. When the aggregate pool balance is reduced to less than 10% of the balance as of the Cut-Off Date, the holder(s) of more than 50% of the most subordinate class of Notes, or their affiliates, may purchase all mortgage loans, real estate-owned properties and other properties from the Issuer as long as the aggregate proceeds meet a minimum price. 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 M2 and more subordinate bonds will not be paid until the more senior classes are retired. The DBRS Morningstar ratings of AAA (sf) and AA (low) (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 Morningstar ratings of A (low) (sf), BBB (low) (sf), BB (low) (sf) and B (low) (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. MORGAN STANLEY 2016-C28: Fitch Affirms B-sf Rating on 2 Tranches ---------------------------------------------------------------- Fitch Ratings affirmed 15 classes of Morgan Stanley Bank of America Merrill Lynch Trust Mortgage Trust 2016-C28 commercial mortgage pass-through certificates. RATING ACTIONS MSBAM 2016-C28 Class A-3 61766LBR9; LT AAAsf Affirmed; previously at AAAsf Class A-4 61766LBS7; LT AAAsf Affirmed; previously at AAAsf Class A-S 61766LBV0; LT AAAsf Affirmed; previously at AAAsf Class A-SB 61766LBQ1; LT AAAsf Affirmed; previously at AAAsf Class B 61766LBW8; LT AA-sf Affirmed; previously at AA-sf Class C 61766LBX6; LT A-sf Affirmed; previously at A-sf Class D 61766LAC3; LT BBB-sf Affirmed; previously at BBB-sf Class E 61766LAJ8; LT BB-sf Affirmed; previously at BB-sf Class E-1 61766LAE9; LT BBsf Affirmed; previously at BBsf Class E-2 61766LAG4; LT BB-sf Affirmed; previously at BB-sf Class EF 61766LAS8; LT B-sf Affirmed; previously at B-sf Class F 61766LAQ2; LT B-sf Affirmed; previously at B-sf Class X-A 61766LBT5; LT AAAsf Affirmed; previously at AAAsf Class X-B 61766LBU2; LT AAAsf Affirmed; previously at AAAsf Class X-D 61766LAA7; LT BBB-sf Affirmed; previously at BBB-sf The class E-1 and E-2 certificates may be exchanged for a related amount of class E certificates, and the class E certificates may be exchanged for a rateable portion of class E-1 and E-2 certificates. Additionally, a holder of class E-1, E-2, F-1 and F-2 certificates may exchange such classes of certificates (on an aggregate basis) for a related amount of class EF certificates, and a holder of class EF certificates may exchange that class EF for a rateable portion of each class of the class E-1, E-2, F-1 and F-2 certificates. Fitch does not rate the class F-1, F-2, G-1, G-2, H-1, H-2, G, H, or EFG certificates. Classes A-1 and A-2 have paid in full. KEY RATING DRIVERS Generally Stable Performance and Loss Expectations: The rating affirmations reflect the generally stable performance of the majority of the pool. Although Fitch's loss expectations have increased since the last rating action primarily due to the transfer of the DoubleTree by Hilton - Cleveland, OH loan (3.2% of pool) to special servicing in October 2019, credit enhancement has increased relative to Fitch's loss expectations. Fitch has designated five loans (17.8%) as Fitch Loans of Concern (FLOCs), including one specially serviced loan (3.2%). Increasing Credit Enhancement: Credit enhancement has increased since the last rating action due to continued amortization and the repayment of the GLP Industrial Portfolio A loan ($67.5 million) in October 2019, ahead of its scheduled November 2025 maturity date. As of the October 2019 distribution date, the pool's aggregate principal balance has paid down by 9.1% to $868.8 million from $955.6 million at issuance. The transaction is expected to pay down by 8.8%, based on scheduled loan maturity balances. Five loans (21.7% of pool) are full-term, interest-only and nine loans (31.2%) are partial interest-only and have yet to begin amortizing, compared to 54.2% of the original pool at issuance. Two loans (1.6%) have been defeased. Specially Serviced Loan: The thirteenth largest loan, DoubleTree by Hilton - Cleveland, OH (3.2% of pool), which is secured by a 379-room full-service hotel located in downtown Cleveland, OH, and within close proximity to the Cleveland Convention Center, the Rock and Roll Hall of Fame and First Energy Stadium, was recently transferred to special servicing in October 2019 for imminent monetary default. The loan was reported as less than 30 days delinquent as of the October 2019 distribution date. TTM June 2019 property-level net cash flow (NCF) declined 16% from year-end (YE) 2018 and was 40% below the issuer's underwritten NCF, primarily due to lower occupancy and room rates. According to servicer commentary, operating revenues began declining in 2017, as the borrower lowered their rates to maintain occupancy due to increased competition from four new hotels with a total of more than 1,110 rooms opening since April 2016. Additionally, several significant non-recurring local events in 2016 such as the World Series and the Republican National Convention resulted in higher revenues during 2016. The hotel has continued to underperform its competitive set since issuance, with penetration ratios of 86.2%, 95.6% and 82.4% for occupancy, ADR and RevPAR, respectively, reported for the TTM August 2019 period. The hotel reported TTM August 2019 occupancy, ADR and RevPAR of 59.1%, $123 and $73, respectively, compared to 66.9%, $121 and $81 at the time of issuance. Fitch Loans of Concern: Four additional, non-specially serviced loans (14.7% of pool) were flagged as FLOCs for declining occupancy, declining anchor tenant sales and/or upcoming lease rollover. The largest FLOC, Navy League Building (6.9%), is secured by a 190,926 sf office building located in the Arlington, VA CBD. Property occupancy declined to 77% in December 2018 from 95.1% in September 2018 after the second largest tenant, Bean Kinney & Korman, P.C., vacated at its November 2018 lease expiration. The tenant previously occupied 18.1% of the property's total net rentable area (NRA) and approximately 30% of the total base rent. Occupancy rose slightly to 79.1% as of June 2019 after an existing tenant, NOVA Transportation Commission, expanded its footprint at the property to 4.2% of the NRA from 2.1%. According to servicer commentary, the space is still being marketed for lease. The servicer-reported NOI DSCR for the YTD June 2019 period was 1.48x, down from 1.80x reported at YE 2018. The second non-specially serviced FLOC, Greenville Mall (4.9%), is secured by a regional mall located in Greenville, NC that has reported low and/or declining anchor tenant sales since issuance. The mall is anchored by JCPenney, Belk Ladies, Belk Men & Home (non-collateral) and Dunham's Sports. The collateral JCPenney anchor reported sales of $94 psf ($8.4 million gross) for the TTM period ended June 2019, compared to $109 psf ($9.7 million gross) in 2014 reported at the time of issuance, which was noted to be below the retailer's national average. Sales for Belk Ladies dropped to $135 psf ($12.1 million gross) for TTM June 2019 from $157 psf ($14.1 million gross) for TTM September 2017 and $179 psf ($16.1 million gross) for TTM November 2015. Sales for Dunham's Sports declined to $38 psf ($2.1 million gross) from $42 psf ($2.2 million gross) and $62 psf ($3.3 million gross) over the same period. Comparable inline sales for tenants occupying less than 10,000 sf were $415 psf as of TTM June 2019 compared to $398 psf as of TTM September 2017 and $404 psf at issuance. The collateral Belk Ladies anchor recently renewed its lease for five years through January 2025. Collateral occupancy has remained stable since issuance, reported at 93.9% as of June 2019 compared to 95.5% at issuance. The other FLOCs outside of the top 15 (2.9%) include University West Apartments (2.1%), a student housing property in Ames, IA near Iowa State University that has experienced declining occupancy and cash flow, and Mendelsohn Staples Center (0.8%), a retail center in San Bernardino, CA that has been on the servicer's watchlist since August 2019 due to the occurrence of a servicing trigger event after the largest tenant Staples (54.5% of NRA) failed to renew its lease 12 months prior to its July 2020 expiration date; however, under the terms of its lease, Staples is not required to provide renewal notice until Oct. 31, 2019. ADDITIONAL CONSIDERATIONS Alternative Loss Consideration: In addition to modeling a base case loss, Fitch applied a 15% loss severity on the current balance of the Greenville Mall loan to reflect the potential for outsized losses given the declining anchor tenant sales and tertiary market location. Fitch has reduced its stress on the loan since the last rating action in December 2018 (which applied a 25% loss severity on the loan given the prior rollover risk of the collateral Belk Ladies anchor in January 2020), as the collateral Belk Ladies anchor recently renewed its lease for five years through January 2025. However, this sensitivity scenario did not impact any of the ratings or Rating Outlooks. Pool and Loan Concentrations: The largest 10 loans in the transaction represent 57.4% of the current pool balance. Additionally, loans secured by retail properties represent 39.6% of the pool by balance, including two regional malls (15.3%) and one outlet property (8.2%) in the top 15. The largest loan, Penn Square Mall (10.4%), is secured by the leasehold interest in a regional mall anchored by Dillard's, Macy's and JCPenney located in Oklahoma City, OK. The sixth largest loan, Greenville Mall (4.9%), is secured by a regional mall anchored by JCPenney, Belk and Dunham's Sports located in Greenville, NC. The second largest loan, Ellenton Premium Outlets (8.2%), is secured by an outlet property located in Ellenton, FL, sponsored by Simon Property Group, L.P. Leasehold Interests: Approximately 13.7% of the pool consists of leasehold-only ownership interests, which is greater than the 2015 and 2016 averages of 3.5% and 4.2%, respectively. The leasehold-only collateral in this transaction includes two of the top 15 loans, Penn Square Mall (10.4%) and Le Meridien Cambridge MIT (3.4%). Upcoming Loan Maturities: Upcoming loan maturities are limited to one loan (Le Meridien Cambridge MIT; 3.4% of pool) scheduled to mature in December 2020 and two loans (1.6%) in 2021, with the remainder of the pool (38 loans; 95.1%) maturing between 2022 and 2028. RATING SENSITIVITIES The Stable Rating Outlooks for all classes represent the stable performance of the majority of the underlying pool and expected continued paydown. Rating downgrades are possible if performance of the FLOCs continue to further deteriorate. Rating upgrades, although unlikely in the near term, could occur with improved pool performance and increased credit enhancement from additional paydown and/or defeasance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 No third-party due diligence was provided or reviewed in relation to this rating action. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of 3. ESG issues are credit neutral or have only a minimal credit impact on the transaction, either due to their nature or the way in which they are being managed by transaction. MORGAN STANLEY 2019-L3: Fitch to Rate 2 Tranches 'B-sf' ------------------------------------------------------- Fitch Ratings issued a presale report on Morgan Stanley Capital I Trust (MSC 2019-L3) commercial mortgage pass-through certificates, series 2019-L3. Fitch expects to rate the transaction and assign Rating Outlooks as follows: -- $11,300,000 class A-1 'AAAsf'; Outlook Stable; -- $9,200,000 class A-2 'AAAsf'; Outlook Stable; -- $24,600,000 class A-SB 'AAAsf'; Outlook Stable; -- $257,500,000a class A-3 'AAAsf'; Outlook Stable; -- $412,218,000a class A-4 'AAAsf'; Outlook Stable; -- $714,818,000b class X-A 'AAAsf'; Outlook Stable; -- $192,746,000b class X-B 'A-sf'; Outlook Stable; -- $94,458,000 class A-S 'AAAsf'; Outlook Stable; -- $53,612,000 class B 'AA-sf'; Outlook Stable; -- $44,676,000 class C 'A-sf'; Outlook Stable; -- $47,229,000bc class X-D 'BBB-sf'; Outlook Stable; -- $11,488,000bc class X-F 'BB+sf'; Outlook Stable; -- $10,212,000bc class X-G 'BB-sf'; Outlook Stable; -- $10,211,000bce class X-H 'B-sf'; Outlook Stable; -- $26,805,000c class D 'BBBsf'; Outlook Stable; -- $20,424,000c class E 'BBB-sf'; Outlook Stable; -- $11,488,000c class F 'BB+sf'; Outlook Stable; -- $10,212,000c class G 'BB-sf'; Outlook Stable; -- $10,211,000ce class H 'B-sf'; Outlook Stable; The following class is not expected to be rated by Fitch: -- $34,465,361cde class J-RR (a) The initial certificate balances of class A-3 and A-4 are unknown and expected to be $669,718,000 in aggregate. The certificate balances will be determined based on the final pricing of those classes of certificates. The expected class A-3 balance range is $200,000,000 to $315,000,000, and the expected class A-4 balance range is $354,718,000 to $469,718,000. (b) Notional amount and interest-only. (c) Privately placed and pursuant to Rule 144A. (d) Horizontal credit risk retention interest. (e) The initial certificate principal balance of each of the Class H and Class J-RR Certificates is subject to change based on final pricing of all certificates and the final determination of the fair market value of the Class J-RR Certificates. The expected ratings are based on information provided by the issuer as of Nov. 4, 2019. The certificates represent the beneficial ownership interest in the trust, primary assets of which are 51 loans secured by 100 commercial properties having an aggregate principal balance of $1,021,169,362 as of the cut-off date. The loans were contributed to the trust by Morgan Stanley Mortgage Capital Holdings LLC, Argentic Real Estate Finance LLC, Starwood Mortgage Capital LLC, Cantor Commercial Real Estate Lending, L.P. and Key Bank National Association. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 68.8% of the properties by balance, cash flow analysis of 79.3% and asset summary reviews on 100.0% of the pool. KEY RATING DRIVERS Fitch Leverage: The pool's Fitch LTV of 105.3% is higher than the 2018 and 2019 YTD average of 102.0% for other Fitch-rated multiborrower transactions. However, the pool's Fitch DSCR of 1.27x is better than the 2018 and 2019 YTD averages of 1.22x and 1.24x, respectively. Above-Average Multifamily Concentration: Loans secured by multifamily properties represent 36.7% of the pool, which is above the 2018 and 2019 YTD averages of 11.6% and 13.4%, respectively, for other Fitch-rated multiborrower transactions. Three of the top 10 loans (East Village Multifamily Portfolio, The Hendry, and Bushwick Avenue Portfolio) are backed by multifamily properties. Loans secured by multifamily properties have a lower probability of default in Fitch's multiborrower model, all else being equal. Minimal Amortization: The pool has 28 interest-only loans (73.0% of the pool by balance) and 18 partial interest-only loans (20.1% of the pool by balance). From securitization to maturity, the pool is projected to pay down by only 3.7%, which is well-below the 2018 and 2019 YTD averages of 7.2% and 6.1%, respectively. RATING SENSITIVITIES For this transaction, Fitch's net cash flow (NCF) was 8.7% below the most recent year's NOI for properties for which a full-year NOI was provided, excluding properties that were stabilizing during this period. Unanticipated further declines in property-level NCF could result in higher defaults and loss severities on defaulted loans and in potential rating actions on the certificates. Fitch evaluated the sensitivity of the ratings assigned to the MSC 2019-L3 certificates and found that the transaction displays average sensitivities to further declines in NCF. In a scenario in which NCF declined a further 20% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'A+sf' could result. In a more severe scenario, in which NCF declined a further 30% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB+sf' could result. NATIXIS COMMERCIAL 2019-1776: Moody's Rates Class F Certs B3 ------------------------------------------------------------ Moody's Investors Service assigned definitive ratings to eleven classes of CMBS securities, issued by Natixis Commercial Mortgage Securities Trust 2019-1776, Commercial Mortgage Pass-Through Certificates, Series 2019-1776: Cl. A, Definitive Rating Assigned Aaa (sf) Cl. B, Definitive Rating Assigned Aa3 (sf) Cl. C, Definitive Rating Assigned A3 (sf) Cl. D, Definitive Rating Assigned Baa3 (sf) Cl. E, Definitive Rating Assigned Ba3 (sf) Cl. F, Definitive Rating Assigned B3 (sf) Cl. X-CP*, Definitive Rating Assigned Aaa (sf) Cl. X-BCP*, Definitive Rating Assigned Ba3 (sf) Cl. V-A**, Definitive Rating Assigned Aaa (sf) Cl. V-B2F**, Definitive Rating Assigned Ba3 (sf) Cl. V2**, Definitive Rating Assigned Ba3 (sf) * Reflects interest-only classes ** Reflects exchangeable classes RATINGS RATIONALE The certificates are collateralized by a single loan secured by the borrower's fee simple interest in Patriots Park, a suburban office campus with three office buildings and two parking garages in Reston, Virginia. Its ratings are based on the credit quality of the loans and the strength of the securitization structure. More specifically the trust assets consist of a $218,070,000 non-recourse first mortgage financing to a bankruptcy-remote, special purpose entity, a Delaware limited liability company that the sponsor indirectly owns and controls. The trust loan was originated on October 2, 2019 and is secured by the borrower's fee simple interest in Patriots Park. The borrower, Hyundai Able Patriots Park, LLC, is controlled by KB Financial Group, Inc. The mortgage loan has a five-year term with no extension options, and calls for monthly interest-only payments during the entire loan term at a fixed rate of 3.35%. The mortgage loan will be serviced and administered by the servicer, the special servicer and the trustee under the trust and servicing agreement for this transaction. The Patriots Park campus is primarily comprised of three, five- to seven-story Class A office buildings, across a highly secure 22.7-acre campus. The office layouts are suitable for either single or multiple tenants, with floor plans averaging 50,000 SF to 53,000 SF for Patriots Park I and II and 27,400 SF for Patriots Park III. Individual buildings range in size from 129,370 SF to 363,556 SF. As of September 27, 2019 the property was 100.0% occupied by the General Services Administration, though the exact tenants occupying the property purposely remain unknown. The GSA leases contain no termination or appropriations clauses and can only be ended if the landlord was disclose the identity of the tenants at the property. Amenities at Patriots Park include a large cafeteria with commercial seating that can seat over 500 employees, numerous break rooms, as well as a convenience store, coffee counter, and two full fitness centers. The park also contains two freestanding parking structures with 2,660 total spaces for a parking ratio of approximately 3.7 per 1,000 SF (990 in the PP1 garage, 1,155 in the PP2 garage and 416 surface spaces). Buildings I and II were built in 1987 and fully renovated in 2012/2013. The full renovation included new façade replacement and renovation of all building systems including a new HVAC system, new elevators, and refurbishment of the electrical systems and all manner of system upgrades to achieve LEED Silver certification by the US Green Building Council. Building III was developed in 2006 with minor renovations completed in 2013 upon the GSA's lease execution including site work and building upgrades to achieve LEED Silver certification by the USGBC. The campus also received significant security upgrades commensurate with GSA protocol. Moody's approach to rating this transaction involved the application of its Large Loan and Single Asset/Single Borrower CMBS methodology, its IO Rating methodology, and Moody's Approach to Rating Repackaged Securities. The rating approach for securities backed by a single loan compares the credit risk inherent in the underlying collateral with the credit protection offered by the structure. The structure's credit enhancement is quantified by the maximum deterioration in property value that the securities are able to withstand under various stress scenarios without causing an increase in the expected loss for various rating levels. In assigning single borrower ratings, Moody's also considers a range of qualitative issues as well as the transaction's structural and legal aspects. The credit risk of commercial real estate loans is determined primarily by two factors: 1) the probability of default, which is largely driven by the DSCR, and 2) and the severity of loss in the event of default, which is largely driven by the LTV of the underlying loan. The trust loan balance of $218,070,000 represents a Moody's LTV of 116.4%. The Moody's loan trust actual DSCR is 2.37x and Moody's loan trust stressed DSCR at a 9.25% stressed constant is 0.86x. There is currently no subordinate or mezzanine debt outside of the trust. Notable strengths of the transaction include: superior asset quality, long term investment grade leases, and experienced sponsorship. Notable concerns of the transaction include: a lack of diversity for this single asset transaction, tenant concentration, high leverage, and a lack of amortization. The principal methodology used in rating all classes except exchangeable classes and interest-only classes was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. The principal methodology used in rating exchangeable classes was "Moody's Approach to Rating Repackaged Securities" published in March 2019. The methodologies used in rating interest-only classes were "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017 and "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in February 2019. Moody's approach for single borrower and large loan multi-borrower transactions evaluates credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from its Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, and property type. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's analysis considers the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit estimates; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type corresponding to an IO type as defined in the published methodology. These ratings: (a) are based solely on information in the public domain and/or information communicated to Moody's by the issuer at the date it was prepared and such information has not been independently verified by Moody's; (b) must be construed solely as a statement of opinion and not a statement of fact or an offer, invitation, inducement or recommendation to purchase, sell or hold any securities or otherwise act in relation to the issuer or any other entity or in connection with any other matter. Moody's does not guarantee or make any representation or warranty as to the correctness of any information, rating or communication relating to the issuer. Moody's shall not be liable in contract, tort, statutory duty or otherwise to the issuer or any other third party for any loss, injury or cost caused to the issuer or any other third party, in whole or in part, including by any negligence (but excluding fraud, dishonesty and/or willful misconduct or any other type of liability that by law cannot be excluded) on the part of, or any contingency beyond the control of Moody's, or any of its employees or agents, including any losses arising from or in connection with the procurement, compilation, analysis, interpretation, communication, dissemination, or delivery of any information or rating relating to the issuer. Factors that would lead to an upgrade or downgrade of the ratings: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan pay downs or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. NEW RESIDENTIAL 2019-NQM5: Fitch to Rate Class B-2 Debt B(EXP) -------------------------------------------------------------- Fitch Ratings assigned expected ratings to New Residential Mortgage Loan Trust 2019-NQM5. The 'AAAsf' for NRMLT 2019-NQM5 reflects the satisfactory operational review conducted by Fitch of the originator, 100% loan-level due diligence review with no material findings, a Tier 2 representation and warranty framework, and the transaction's structure. NRMLT 2019-NQM5 Class A-1; LT AAA(EXP)sf; Expected Rating Class A-2; LT AA(EXP)sf; Expected Rating Class A-3; LT A(EXP)sf; Expected Rating Class A-IO-S; LT NR(EXP)sf; Expected Rating Class B-1; LT BB(EXP)sf; Expected Rating Class B-2; LT B(EXP)sf; Expected Rating Class B-3; LT NR(EXP)sf; Expected Rating Class M-1; LT BBB(EXP)sf; Expected Rating Class XS-1; LT NR(EXP)sf; Expected Rating Class XS-2; LT NR(EXP)sf; Expected Rating TRANSACTION SUMMARY The notes are supported by 576 loans with a balance of $304.94 million as of the Nov. 1, 2019 cutoff date. This will be the fifth Fitch-rated non-qualified mortgages (NQMs) transaction consisting of loans solely originated by NewRez LLC (NewRez), which was formerly known as New Penn Financial, LLC. The notes are secured mainly by NQMs as defined by the Ability to Repay (ATR) Rule. Approximately 76% of the loans in the pool are designated as NQM and the remaining 24% are investor properties and, thus, not subject to the ATR Rule. KEY RATING DRIVERS Expanded Prime Credit Quality (Positive): The collateral consists mostly of 30-year fixed-rate (68%) and five-, seven- and 10-year adjustable-rate mortgage (ARM) loans (15%). Roughly 8% are five- or seven-year interest-only (IO) ARMs. The weighted average (WA) Fitch model credit score is 732 and the WA combined loan-to-value ratio (CLTV) is 74%. Alternative Income Documentation (Negative): Approximately 43% of the pool was to self-employed borrowers underwritten using bank statements to verify income (26% using 12 months of statements and 17% using 24 months). Roughly 14% were to self-employed borrowers underwritten to full documentation. Fitch views the use of bank statements as a less reliable method of calculating income than the traditional method of two years of tax returns. Fitch applied approximately a 1.5x penalty to its probability of default (PD) for these loans. This adjustment assumes slightly less relative risk than a pre-crisis "stated income" loan. Investor Loans (Negative): Approximately 23.5% of the pool comprises investment property loans, including 9.5% underwritten to a cash flow ratio rather than the borrower's debt-to-income ratio. Investor property loans exhibit higher PDs and higher loss severities (LS) than owner-occupied homes. The borrowers of the investor properties in the pool have strong credit profiles, with a WA FICO of 741 and an original CLTV of 72% (loans underwritten to the cash flow ratio have a WA FICO of 736 and an original CLTV of 67%). Fitch increased the PD by approximately 2.0x for the cash flow ratio loans (relative to a traditional income documentation investor loan) to account for the increased risk. Geographic Concentration (Negative): Approximately 31% of the pool is concentrated in California with relatively low MSA concentration. The largest MSA concentration is in the New York MSA (21.8%), followed by the Los Angeles MSA (19.1%) and the Miami MSA (6.3%). The top three MSAs account for 47.2% of the pool. As a result, there was a 1.06x adjustment for geographic concentration. Low Operational Risk (Neutral): Operational risk is well controlled for in this transaction. NewRez, a wholly owned subsidiary of New Residential Investment Corp. (NRZ), contributed 100% of the loans in the securitization pool. NewRez employs robust sourcing and underwriting processes and is assessed by Fitch as an 'Average' originator. Fitch believes NRZ has solid RMBS experience despite its limited NQM issuance and is an 'Acceptable' aggregator. Primary and master servicing functions will be performed by Shellpoint Mortgage Servicing (Shellpoint) and Nationstar Mortgage LLC (Nationstar), rated 'RPS3+' and 'RMS2+', respectively. The sponsor's retention of at least 5% of each class of bonds helps ensure an alignment of interest between the issuer and investors. R&W Framework (Negative): The seller is providing loan-level representations (reps) and warranties (R&W) with respect to the loans in the trust. The R&W framework for this transaction is classified as a Tier 2 due to the lack of an automatic review for loans other than those with ATR realized losses. While the seller, NRZ Sponsor XIII LLC, is not rated by Fitch, its parent, NRZ, has an internal credit opinion from Fitch. Through an agreement, NRZ ensures that the seller will meet its obligations and remain financially viable. Fitch increased its loss expectations 72bps at the 'AAAsf' rating category to account for the limitations of the Tier 2 framework and the counterparty risk. Third-Party Due Diligence Review (Positive): Third-party due diligence was performed on 100% of loans in the transaction by AMC Diligence, LLC (AMC), an 'Acceptable - Tier 1' third party review (TPR). The results of the review confirm strong origination practices with no material exceptions. Exceptions on loans with 'B' grades either had strong mitigating factors or were mostly accounted for in Fitch's loan loss model. Fitch applied a credit for the high percentage of loan-level due diligence, which reduced the 'AAAsf' loss expectation by 0.51%. Modified Sequential Payment Structure (Neutral): The structure distributes collected principal pro rata among the class A notes while shutting out the subordinate bonds from principal until all three classes are reduced to zero. To the extent that either the cumulative loss trigger event or the delinquency trigger event occurs in a given period, principal will be distributed sequentially to the class A-1, A-2 and A-3 bonds until they are reduced to zero. Servicer and Master Servicer: Shellpoint Mortgage Servicing (Shellpoint), rated 'RPS3+'/Outlook Stable by Fitch, will be the primary servicer for the loans. Nationstar, rated 'RMS2+'/Outlook Stable, will act as master servicer. Delinquent principal and interest (P&I) advances required but not paid by Shellpoint will be paid by Nationstar, and if Nationstar is unable to advance, advances will be made by U.S. Bank, N.A., the transaction's paying agent. The servicer will be responsible for advancing P&I for 180 days of delinquency. RATING SENSITIVITIES Fitch's analysis incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or may be considered in the surveillance of the transaction. Two sets of sensitivity analyses were conducted at the state and national levels to assess the effect of higher MVDs for the subject pool. This defined stress sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0%, and 30.0%, in addition to the model projected 3.1% at the base case. The analysis indicates that there is some potential rating migration with higher MVDs, compared with the model projection. Fitch also conducted sensitivities to determine the stresses to MVDs that would reduce a rating by one full category, to non-investment grade, and to 'CCCsf'. PREFERRED TERM XIX: Moody's Hikes $82MM Class C Notes Rating to B1 ------------------------------------------------------------------ Moody's Investors Service upgraded the ratings on the following notes issued by Preferred Term Securities XIX, Ltd. and PreTSL Combination Certificates: Issuer: Preferred Term Securities XIX, Ltd.: US$385,300,000 Floating Rate Class A-1 Senior Notes Due 2035 (current balance of $192,779,169.64), Upgraded to Aaa (sf); previously on July 24, 2017 Upgraded to Aa1 (sf) US$98,100,000 Floating Rate Class A-2 Senior Notes Due 2035 (current balance of $89,107,686.41), Upgraded to Aa2 (sf); previously on July 24, 2017 Upgraded to Aa3 (sf) US$87,600,000 Floating Rate Class B Mezzanine Notes Due 2035 (current balance of $79,570,166.46), Upgraded to A3 (sf); previously on July 24, 2017 Upgraded to Baa2 (sf) US$82,800,000 Floating Rate Class C Mezzanine Notes Due 2035 (current balance of $78,894,905.81), Upgraded to B1 (sf); previously on July 24, 2017 Upgraded to B2 (sf) Issuer: PreTSL Combination Certificates: US$9,000,000 PreTSL Combination Series P XIX-4 Certificates (current rated balance of $4,782,805.26, as calculated by Moody's), Upgraded to B1 (sf); previously on Jul 24, 2017 Upgraded to B3 (sf) Preferred Term Securities XIX, Ltd., issued in September 2005, is a collateralized debt obligation (CDO) backed mainly by a portfolio of bank and insurance trust preferred securities (TruPS). PreTSL Combination Certificates, issued in July 2006, is a trust that issued combination certificates comprising $4 million of Class B notes and $5 million of subordinate income notes issued by Preferred Term Securities XIX, Ltd. RATINGS RATIONALE The rating actions are primarily a result of the deleveraging of the Class A-1 notes, an increase in the transaction's over-collateralization (OC) ratios, and partial repayment of the Class D deferred interest balance since November 2018. The Class A-1 notes have paid down by approximately 16.13% or $37.1 million since November 2018, using principal proceeds from the redemption of the underlying assets and the diversion of excess interest proceeds. Based on Moody's calculations, the OC ratios for the Class A-1, Class A-2, Class B and Class C notes have improved to 244.82%, 167.43%, 130.57%, and 107.18%, respectively, from November 2018 levels of 216.08% and 155.78%, 124.70%, and 106.30%, respectively. Moody's gave full par credit in its analysis to one deferring asset that met certain criteria, totaling $2 million in par. Based on the trustee report in September 2019, the Class D OC ratio of 98.57% is currently failing its trigger of 104.00%, and because of a structural feature, excess interest is being diverted to pay down the Class D notes' deferred interest balance. Once the Class D notes' deferred interest balance is reduced to zero, the Class A-1, Class A-2, Class B, and Class C notes will benefit from the pro-rata diversion of excess interest as long as the Class D OC test continues to fail. Additionally, Class A-1 notes will continue to benefit from the use of proceeds from redemptions of any assets in the collateral pool. The upgrade rating action on the Series P XIX-4 combination certificates reflects the overall deleveraging and an improvement in the credit quality of the Class B notes. Currently, the combination notes' rated balance of $4.8 million is backed by $3.6 million of Class B notes and $5 million of subordinate income notes. Moody's rating actions took into account a stress scenario for highly levered bank holding company issuers. The transaction's portfolio includes TruPS issued by a number of bank holding companies with significant amounts of other debt on their balance sheet which may increase the risk presented by their subsidiaries. To address the risk from higher debt burden at the bank holding companies, Moody's conducted a stress scenario in which Moody's made adjustments to the RiskCalc credit scores for these highly leveraged holding companies. This stress scenario was an important consideration in the rating actions. Moody's rating of the Combination Certificates addresses only the ultimate receipt of the Combination Certificates' Rated Balance by the holders of the Combination Certificates. Moody's rating of the Combination Certificates does not address any other payments or additional amounts that a holder of the Combination Certificates may receive pursuant to the underlying documents. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, and weighted average recovery rate, are based on its methodology and could differ from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool as having a performing par (after treating deferring securities as performing if they meet certain criteria) of $472.0 million, defaulted par of $38.4 million, a weighted average default probability of 9.41% (implying a WARF of 932), and a weighted average recovery rate upon default of 10%. Methodology Used for the Rating Action The principal methodology used in these ratings was "Moody's Approach to Rating TruPS CDOs" published in March 2019. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The portfolio consists primarily of unrated assets whose default probability Moody's assesses through credit scores derived using RiskCalc™ or credit assessments. Because these are not public ratings, they are subject to additional estimation uncertainty. PREFERRED TERM XVIII: Moody's Hikes $80MM Cl. C Notes Rating to B1 ------------------------------------------------------------------ Moody's Investors Service upgrades the ratings on the following notes issued by Preferred Term Securities XVIII, Ltd. and PreTSL Combination Certificates: Issuer: Preferred Term Securities XVIII, Ltd.: US$87,900,000 Class A-2 Senior Notes Due 2035 (current outstanding balance of $81,941,498), Upgraded to Aaa (sf); previously on October 16, 2017 Upgraded to Aa1 (sf) US$78,800,000 Class B Mezzanine Notes Due 2035 (current outstanding balance of $73,458,362), Upgraded to A1 (sf); previously on October 16, 2017 Upgraded to A3 (sf) US$80,000,000 Class C Mezzanine Notes Due 2035 (current outstanding balance of $76,288,214), Upgraded to B1 (sf); previously on October 16, 2017 Upgraded to B3 (sf) Issuer: PreTSL Combination Certificates: US$7,715,000 PreTSL Combination Series P XVIII-3 Certificates due September 23, 2035 (current rated balance of $3,595,613, as calculated by Moody's), Upgraded to A2 (sf); previously on October 16, 2017 Upgraded to Baa1 (sf) Preferred Term Securities XVIII, Ltd., issued in June 2005, is a collateralized debt obligation backed primarily by a portfolio of bank and insurance trust preferred securities. PreTSL Combination Certificates, issued in July 2006, is a trust that issued combination certificates comprising $3.5 million of Class B notes and $4.215 million of Subordinated Income Notes issued by Preferred Term Securities XVIII, Ltd. RATINGS RATIONALE The rating actions are primarily a result of the deleveraging of the Class A-1 notes and an increase in the transaction's over-collateralization (OC) ratios since November 2018. The Class A-1 notes have paid down by approximately 34.4% or $23.4 million since November 2018, using principal proceeds from the redemption of the underlying assets and the diversion of excess interest proceeds. Based on Moody's calculations, the OC ratios for the Class A-1, Class A-2, Class B, and Class C notes have improved to 653.7%, 230.4%, 145.8%, and 105.5%, respectively, from November 2018 levels of 446.6%, 200.9%, 134.6%, and 100.2%, respectively. The Class A-1 notes will continue to benefit from the use of proceeds from redemptions of any assets in the collateral pool and the diversion of excess interest as long as the Class C OC ratio (current level of 105.1% versus a trigger of 107.0%) continues to fail. The upgrade rating action on the PreTSL Combination Certificates, Series P XVIII-3 reflects the increasing coverage from the underlying components and an improvement in the credit quality of the Class B component. Currently, the combination certificates' rated balance of $3.6 million is backed by $3.3 million of Class B notes and $4.215 million of Subordinated Income Notes. Moody's rating actions took into account a stress scenario for highly levered bank holding company issuers. The transaction's portfolio includes TruPS issued by a number of bank holding companies with significant amounts of other debt on their balance sheet which may increase the risk presented by their subsidiaries. To address the risk from higher debt burden at the bank holding companies, Moody's conducted a stress scenario in which Moody's made adjustments to the RiskCalc credit scores for these highly leveraged holding companies. This stress scenario was an important consideration in the rating actions. Moody's rating of the Combination Certificates addresses only the ultimate receipt of the Combination Certificates' Rated Balance by the holders of the Combination Certificates. Moody's rating of the Combination Certificates does not address any other payments or additional amounts that a holder of the Combination Certificates may receive pursuant to the underlying documents. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, and weighted average recovery rate, are based on its methodology and could differ from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool as having a performing par of $291.6 million, defaulted/deferring par of $102.0 million, a weighted average default probability of 8.27% (implying a WARF of 847), and a weighted average recovery rate upon default of 10%. Methodology Used for the Rating Action The principal methodology used in these ratings was "Moody's Approach to Rating TruPS CDOs" published in March 2019. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The portfolio consists primarily of unrated assets whose default probability Moody's assesses through credit scores derived using RiskCalc or credit assessments. Because these are not public ratings, they are subject to additional estimation uncertainty. SEQUOIA MORTGAGE 2019-5: Fitch to Rate Class B-5 Certs 'BB-(EXP)' ----------------------------------------------------------------- Fitch Ratings expects to rate the residential mortgage-backed certificates issued by Sequoia Mortgage Trust 2019-5. Sequoia Mortgage Trust 2019-5 Class A-1; LT AAA(EXP)sf; Expected Rating Class A-10; LT AAA(EXP)sf; Expected Rating Class A-11; LT AAA(EXP)sf; Expected Rating Class A-12; LT AAA(EXP)sf; Expected Rating Class A-13; LT AAA(EXP)sf; Expected Rating Class A-14; LT AAA(EXP)sf; Expected Rating Class A-15; LT AAA(EXP)sf; Expected Rating Class A-16; LT AAA(EXP)sf; Expected Rating Class A-17; LT AAA(EXP)sf; Expected Rating Class A-18; LT AAA(EXP)sf; Expected Rating Class A-19; LT AAA(EXP)sf; Expected Rating Class A-2; LT AAA(EXP)sf; Expected Rating Class A-20; LT AAA(EXP)sf; Expected Rating Class A-21; LT AAA(EXP)sf; Expected Rating Class A-22; LT AAA(EXP)sf; Expected Rating Class A-23; LT AAA(EXP)sf; Expected Rating Class A-24; LT AAA(EXP)sf; Expected Rating Class A-3; LT AAA(EXP)sf; Expected Rating Class A-4; LT AAA(EXP)sf; Expected Rating Class A-5; LT AAA(EXP)sf; Expected Rating Class A-6; LT AAA(EXP)sf; Expected Rating Class A-7; LT AAA(EXP)sf; Expected Rating Class A-8; LT AAA(EXP)sf; Expected Rating Class A-9; LT AAA(EXP)sf; Expected Rating Class A-IO-S; LT NR(EXP)sf; Expected Rating Class A-IO1; LT AAA(EXP)sf; Expected Rating Class A-IO10; LT AAA(EXP)sf; Expected Rating Class A-IO11; LT AAA(EXP)sf; Expected Rating Class A-IO12; LT AAA(EXP)sf; Expected Rating Class A-IO13; LT AAA(EXP)sf; Expected Rating Class A-IO14; LT AAA(EXP)sf; Expected Rating Class A-IO15; LT AAA(EXP)sf; Expected Rating Class A-IO16; LT AAA(EXP)sf; Expected Rating Class A-IO17; LT AAA(EXP)sf; Expected Rating Class A-IO18; LT AAA(EXP)sf; Expected Rating Class A-IO19; LT AAA(EXP)sf; Expected Rating Class A-IO2; LT AAA(EXP)sf; Expected Rating Class A-IO20; LT AAA(EXP)sf; Expected Rating Class A-IO21; LT AAA(EXP)sf; Expected Rating Class A-IO22; LT AAA(EXP)sf; Expected Rating Class A-IO23; LT AAA(EXP)sf; Expected Rating Class A-IO24; LT AAA(EXP)sf; Expected Rating Class A-IO25; LT AAA(EXP)sf; Expected Rating Class A-IO3; LT AAA(EXP)sf; Expected Rating Class A-IO4; LT AAA(EXP)sf; Expected Rating Class A-IO5; LT AAA(EXP)sf; Expected Rating Class A-IO6; LT AAA(EXP)sf; Expected Rating Class A-IO7; LT AAA(EXP)sf; Expected Rating Class A-IO8; LT AAA(EXP)sf; Expected Rating Class A-IO9; LT AAA(EXP)sf; Expected Rating Class B-1; LT AA-(EXP)sf; Expected Rating Class B-2; LT A-(EXP)sf; Expected Rating Class B-3; LT BBB(EXP)sf; Expected Rating Class B-4; LT BB-(EXP)sf; Expected Rating Class B-5; LT NR(EXP)sf; Expected Rating TRANSACTION SUMMARY The certificates are supported by 540 loans with a total balance of approximately $400.75 million as of the cutoff date. The pool consists of prime fixed-rate mortgages (FRMs) acquired by Redwood Residential Acquisition Corp (Redwood) from various mortgage originators. Distributions of principal and interest and loss allocations are based on a senior-subordinate, shifting-interest structure. KEY RATING DRIVERS High-Quality Mortgage Pool (Positive): The pool consists of very high-quality 30-year, 25-year and 20-year fixed-rate fully amortizing loans to borrowers with strong credit profiles, relatively low leverage and large liquid reserves. The pool has a weighted average (WA) original model FICO score of 772 and an original WA CLTV ratio of 70%. All of the loans in the pool consist of Safe Harbor Qualified Mortgages (SHQM). Interest Reduction Risk (Negative): The transaction incorporates a structural feature unique to Redwood's program for loans more than 120 days delinquent (a stop advance Loan). Unpaid interest on stop advance loans reduces the amount of interest that is contractually due to bondholders in reverse sequential order. While this feature helps limit cash flow leakage to subordinate bonds, it can result in interest reductions to rated bonds in high stress scenarios. Prioritization of Principal Payments (Positive): The limited advancing leads to lower loss severities than a full advancing structure. The unique Stop Advance structural feature reduces interest payments to subordinate bonds but allows for greater principal recovery than a traditional structure. Furthermore, while traditional structures determine senior principal distributions by comparing the senior bond size with the collateral balance, this transaction structure compares the senior balance with the collateral balance less any Stop Advance loans. In a period of increased delinquencies, this will result in a larger amount of principal paid to the senior bonds relative to a traditional structure. Above-Average Aggregator (Neutral): Fitch has completed numerous operational assessments of Redwood and considers the company to be an 'above average' aggregator. Redwood's well-established acquisition strategy is reflected in the very strong performance of the post-crisis Sequoia pools. Third-Party Due Diligence Results (Positive): Third-party due diligence was performed on 95% of loans in the transaction. Due diligence was performed by Clayton, AMC and Opus, which are assessed by Fitch as 'Acceptable - Tier 1', 'Acceptable - Tier 1' and 'Acceptable - Tier 2', respectively. The review scope is consistent with Fitch criteria and the results are generally similar to prior RMBS issued by Redwood. Credit exceptions were supported by strong mitigating factors and compliance exceptions were primarily cured with subsequent documentation. Fitch applied a credit for the high percentage of loan level due diligence, which reduced the 'AAAsf' loss expectation by 16 bps. Top Tier Representation and Warranty Framework (Neutral): The loan-level representation, warranty and enforcement (RW&E) framework is consistent with Fitch's Tier 1, the highest possible. Fitch applied a neutral treatment at the 'AAAsf' rating category as a result of the Tier 1 framework and the internal credit opinion supporting the repurchase obligations of the ultimate R&W backstop. CE Floor (Positive): To mitigate tail risk, which arises as the pool seasons and fewer loans are outstanding, a subordination floor of 1.00% of the original balance will be maintained for the certificates. The floor is more than sufficient to protect against the five largest loans defaulting at Fitch's 'AAAsf' average loss severity of 39.94%. RATING SENSITIVITIES Fitch's analysis incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or may be considered in the surveillance of the transaction. Three sets of sensitivity analyses were conducted at the state and national levels to assess the effect of higher MVDs for the subject pool. This defined stress sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model-projected 6.5%. As shown in the table included in the presale report, the analysis indicates that some potential rating migration exists with higher MVDs compared with the model projection. Additionally, the defined rating sensitivities determine the stresses to MVDs that would reduce a rating by one full category, to non-investment grade and to 'CCCsf'. CRITERIA VARIATION The analysis included one criteria variation from the "U.S. RMBS Rating Criteria." Fitch typically looks for assessments of originators that make up more than 15% of the total collateral. Quicken is the largest originator in the pool at more than 16%. Fitch was comfortable with the lack of an assessment despite the concentration due to the minor amount over the threshold, Redwood's established aggregation platform and the very high credit quality. There was no impact to the ratings. TAILWIND 2019-1: S&P Assigns Prelim BB (sf) Rating to Cl. C Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Tailwind 2019-1 Ltd./Tailwind 2019-1 USA LLC's series 2019-1 series A, B, and C fixed-rate notes. The note issuance is an ABS transaction backed by 17 aircraft, and the related leases, shares, and beneficial interests in an entity that directly and indirectly receives aircraft portfolio lease rental and residual cash flows, among others. The preliminary ratings are based on information as of Nov. 7, 2019. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The likelihood of timely interest on the series A notes (excluding step-up interest) on each payment date, the timely interest on the series B notes (excluding step-up interest) when series A loans are no longer outstanding on each payment date, and the ultimate interest and principal payment on the series A, B, and C notes on or prior to the legal final maturity at the respective rating stress. The 73% loan-to-value ratio (LTV) on the series A notes; the 84% LTV on the series B notes; and the 91% LTV on the series C notes. The value used in these measures is based on the lower of the median or mean of the appraised half-life base values and half-life market values. -- The portfolio that is comprised of 17 aircraft, all of which are currently on lease to 15 lessees in 11 countries. Of the 17 aircraft, 15 are narrow-body passenger planes (i.e., 10 A320-200s [including three A320-200NEO], three A321-200s, and two B737-800) and two are wide-body planes (i.e., one B777-300ER and one A330-300). The 17 aircraft have a weighted average age of approximately 4.7 years and remaining average lease term of approximately 6.3 years. None of the aircraft are currently out of production. -- There are many lessees in the portfolio (60%) that are domiciled in emerging markets, where the commercial aviation market is growing. -- The series A and B notes' 13.5-year amortization profile and the series C notes' seven-year amortization profile. If a rapid amortization event has occurred and is continuing, payment will be applied sequentially to the series A notes outstanding principal balance, followed by the series B notes outstanding principal balance. -- The end-of-lease payment that will be paid to the series A, B, and C notes according to a percentage equalling to each series' then-current LTV ratio. -- A liquidity facility of at least nine months of interest on the series A and B notes. The maintenance analysis provided by Alton Aviation Consultancy LLC (Alton) at closing and on an annual basis thereafter, projecting the expected maintenance expenses for the following 29 months. The maintenance reserve account, which is required to maintain a balance to meet the higher of a) the lesser of $1,000,000 or the outstanding balance of the class A and B notes, or b) the sum of forward-looking maintenance expenses. The account will be funded with $6,000,000 at closing. -- The senior indemnification (capped at $10 million), which is modelled to occur in the first 12 months. -- The junior indemnification (un-capped), which is subordinated to the rated series' principal payment. -- The servicer for this transaction is Airborne Capital Ltd., which S&P believes is adequately capable of servicing this transaction's aircraft portfolio. PRELIMINARY RATINGS ASSIGNED Tailwind 2019-1 Ltd./Tailwind 2019-1 USA LLC Class Rating Amount (mil. $) A A (sf) 510.000 B BBB (sf) 81.000 C BB (sf) 46.000 TCW CLO 2019-2: S&P Assigns Prelim BB- (sf) Rating to Cl. E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to TCW CLO 2019-2 Ltd./TCW CLO 2019-2 LLC's floating- and fixed-rate notes. The note issuance is a CLO transaction backed primarily by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. The preliminary ratings are based on information as of Nov. 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; -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization; -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading; and -- The transaction's legal structure, which is expected to be bankruptcy remote. PRELIMINARY RATINGS ASSIGNED TCW CLO 2019-2 Ltd./TCW CLO 2019-2 LLC Class Rating Amount (mil. $) A-1A AAA (sf) 215.00 A-1F AAA (sf) 35.00 A-2 AAA (sf) 14.00 B-1 AA (sf) 34.00 B-F AA (sf) 8.00 C-1 (deferrable) A (sf) 17.00 C-F (deferrable) A (sf) 5.00 D-1 (deferrable) BBB+ (sf) 14.00 D-2A (deferrable) BBB- (sf) 8.00 D-2F (deferrable) BBB- (sf) 4.00 E (deferrable) BB- (sf) 14.00 Subordinated notes NR 39.95 NR--Not rated. THL CREDIT 2019-2: S&P Assigns BB-(sf) Rating to $20MM Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to THL Credit Wind River 2019-2 CLO Ltd./THL Credit Wind River 2019-2 CLO LLC's fixed- and floating-rate note. The note issuance is a CLO transaction backed by primarily broadly syndicated speculative-grade senior secured term loans. The 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; and -- The transaction's legal structure, which is expected to be bankruptcy remote. RATINGS ASSIGNED THL Credit Wind River 2019-2 CLO Ltd./THL Credit Wind River 2019-2 CLO LLC Class Rating Amount (mil. $) A-1a AAA (sf) 273.70 A-1b AAA (sf) 36.30 A-2 NR 15.00 B-1 AA (sf) 50.00 B-2 AA (sf) 5.00 C A (sf) 30.00 D BBB- (sf) 30.00 E BB- (sf) 20.00 Subordinated notes NR 48.30 NR--Not rated. TOBACCO SECURITIZATION: S&P Affirms CCC- Ratings on 2006 Bonds -------------------------------------------------------------- S&P Global Ratings assigned its ratings to Tobacco Securitization Authority of Southern California's tobacco settlement bonds series 2019. At the same time, S&P affirmed its ratings on the series 2006 class B, C, and D bonds. The bond issuance is an asset-backed securities (ABS) transaction backed by the County of San Diego's (California) pledged tobacco settlement revenues resulting from the master settlement agreement (MSA) payments, the fully funded debt service reserve account, and the interest income. The ratings reflect: -- The likelihood that timely interest and scheduled principal payments will be made by the legal maturity date under the appropriate rating stress level. -- The credit quality of the two largest participating tobacco manufacturers: Altria Group Inc., parent of Philip Morris USA Inc. (Philip Morris), and British American Tobacco PLC (BAT), parent of Reynolds American Inc. -- The transaction's legal and payment structures. -- The class 1 and class 2 liquidity reserve subaccounts of $19.7 million and $5.69 million, respectively, which will be fully funded at closing and only available to each class. RATINGS ASSIGNED Tobacco Securitization Authority of Southern California (Series 2019) Series Class Rating Maturity Amount (mil. $) 2019 A A (sf) June 1, 2020 6.415 2019 A A (sf) June 1, 2021 7.635 2019 A A (sf) June 1, 2022 7.290 2019 A A (sf) June 1, 2023 7.480 2019 A A (sf) June 1, 2024 7.395 2019 A A (sf) June 1, 2025 7.630 2019 A A (sf) June 1, 2026 8.015 2019 A A (sf) June 1, 2027 8.355 2019 A A (sf) June 1, 2028 8.510 2019 A A (sf) June 1, 2029 8.605 2019 A A- (sf) June 1, 2030 8.720 2019 A A- (sf) June 1, 2031 8.655 2019 A A- (sf) June 1, 2032 8.805 2019 A A- (sf) June 1, 2033 8.195 2019 A A- (sf) June 1, 2034 8.655 2019 A A- (sf) June 1, 2035 9.135 2019 A A- (sf) June 1, 2036 9.645 2019 A A- (sf) June 1, 2037 10.170 2019 A A- (sf) June 1, 2038 10.725 2019 A A- (sf) June 1, 2039 11.310 2019 A BBB+ (sf) June 1, 2048 81.000 2019 B-1 BBB+ (sf) June 1, 2029 11.000 2019 B-1 BBB- (sf) June 1, 2048 109.000 2019 B-2 NR June 1, 2054 33.61913730 RATINGS AFFIRMED Tobacco Securitization Authority of Southern California (San Diego County Tobacco Asset Securitization Corp.) (Series 2006) Class Maturity date Rating 2006B June 1, 2046 CCC- (sf) 2006C June 1, 2046 CCC- (sf) 2006D June 1, 2046 CCC- (sf) NR--Not rated. TOWD POINT 2019-4: DBRS Assigns Prov. B Rating on Class B3 Notes ---------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the Asset-Backed Securities, Series 2019-4 (the Notes) to be issued by Towd Point Mortgage Trust 2019-4 (the Trust or the Issuer) as follows: -- $2.4 billion Class A1 at AAA (sf) -- $247.4 million Class A2 at AAA (sf) -- $285.9 million Class M1 at A (high) (sf) -- $176.0 million Class M2 at BBB (high) (sf) -- $66.0 million Class B1 at BB (high) (sf) -- $104.5 million Class B2 at B (high) (sf) -- $128.3 million Class B3 at B (sf) -- $247.4 million Class A2A at AAA (sf) -- $247.4 million Class A2AX at AAA (sf) -- $247.4 million Class A2B at AAA (sf) -- $247.4 million Class A2BX at AAA (sf) -- $285.9 million Class M1A at A (high) (sf) -- $285.9 million Class M1AX at A (high) (sf) -- $285.9 million Class M1B at A (high) (sf) -- $285.9 million Class M1BX at A (high) (sf) -- $176.0 million Class M2A at BBB (high) (sf) -- $176.0 million Class M2AX at BBB (high) (sf) -- $176.0 million Class M2B at BBB (high) (sf) -- $176.0 million Class M2BX at BBB (high) (sf) -- $66.0 million Class B1A at BB (high) (sf) -- $66.0 million Class B1AX at BB (high) (sf) -- $66.0 million Class B1B at BB (high) (sf) -- $66.0 million Class B1BX at BB (high) (sf) -- $2.6 billion Class A3 at AAA (sf) -- $2.9 billion Class A4 at A (high) (sf) -- $3.1 billion Class A5 at BBB (high) (sf) Classes A2AX, A2BX, M1AX, M1BX, M2AX, M2BX, B1AX and B1BX are interest-only notes. The class balances represent a notional amount. Classes A2A, A2AX, A2B, A2BX, M1A, M1AX, M1B, M1BX, M2A, M2AX, M2B, M2BX, B1A, B1AX, B1B, B1BX, A3, A4 and A5 are exchangeable notes. These classes can be exchanged for combinations of exchange notes as specified in the offering documents. The AAA (sf) ratings on the Notes reflect 27.75% of credit enhancement provided by subordinated Certificates in the pool. The A (high) (sf), BBB (high) (sf), BB (high) (sf), B (high) (sf) and B (sf) ratings reflect 19.95%, 15.15%, 13.35%, 10.50% and 7.00% of credit enhancement, respectively. Other than the specified class above, DBRS Morningstar 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 mortgages funded by the issuance of the Notes. The Notes are backed by 21,631 loans with a total principal balance of $3,668,304,917 as of the Cut-Off Date (September 30, 2019). It is expected that approximately 23 loans (representing 0.07% of the balance) will be removed from the final securitized pool for this transaction. Unless otherwise noted, all statistics in this report include these 23 loans. The portfolio is approximately 153 months seasoned and contains 90.0% modified loans. The modifications happened more than two years ago for 81.8% of the modified loans. Within the pool, 5,450 mortgages have non-interest-bearing deferred amounts, which equate to approximately 7.0% of the total principal balance. Included in the deferred amounts are Home Affordable Modification Program forgiveness amounts, which comprise less than 0.1% of the total principal balance. As of the Cut-Off Date, 90.6% of the pool is current, 8.1% is 30 days delinquent under the Mortgage Bankers Association (MBA) delinquency method and 1.3% is in bankruptcy (all bankruptcy loans are performing or 30 days delinquent). Approximately 40.2% of the mortgage loans have been zero times 30 days delinquent for at least the past 24 months under the MBA delinquency method. All but 0.5% of the pool is exempt from the Consumer Financial Protection Bureau Ability-to-Repay/Qualified Mortgage (QM) rules. Of the pool, approximately 0.5% of loans are designated as QM Safe Harbor and less than 0.1% is Non-QM. FirstKey Mortgage, LLC (FirstKey) will acquire the loans from various transferring trusts on or prior to the Closing Date. The transferring trusts acquired the mortgage loans between 2013 and 2019 and are beneficially owned by funds managed by affiliates of Cerberus Capital Management, L.P. Upon acquiring the loans from the transferring trusts, FirstKey, through a wholly-owned subsidiary, Towd Point Asset Funding, LLC, will contribute loans to the Trust. As the Sponsor, FirstKey, through a majority-owned affiliate, will acquire and retain a 5% eligible vertical interest in each class of securities to be issued (other than any residual certificates) to satisfy the credit risk retention requirements. These loans were originated and previously serviced by various entities through purchases in the secondary market. All of the loans will be serviced by Select Portfolio Servicing, Inc. The aggregate servicing fee for the TPMT 2019-4 portfolio will be approximately 0.15% per annum, lower than transactions backed by similar collateral. DBRS Morningstar stressed such servicing expenses in its cash flow analysis to account for a potential fee increase in a distressed scenario. There will not be any advancing of delinquent principal or interest on any mortgages by the servicer or any other party to the transaction; however, the servicer is obligated to make advances in respect of homeowner association fees, taxes and insurance, installment payments on energy improvement liens and reasonable costs and expenses incurred in the course of servicing and disposing of properties. FirstKey, as the Asset Manager, has the option to sell certain non-performing loans or real estate-owned (REO) properties to unaffiliated third parties individually or in bulk sales. Bulk sales require an asset sale price to at least equal a minimum reserve amount of the product of (1) 58.66% and (2) the current principal amount of the mortgage loans or REO properties as of the bulk sale date. When the aggregate pool balance of the mortgage loans is reduced to less than 30.0% of the Cut-Off Date balance, the holders of more than 50% of the Class X Certificates will have the option to cause the Issuer to sell all of its remaining property (other than amounts in the Breach Reserve Account) to one or more third-party purchasers so long as the aggregate proceeds meet a minimum price. When the aggregate pool balance is reduced to less than 10% of the balance as of the Cut-off Date, the majority representative as appointed by the holder(s) of more than 50% of the notional amount of the Class X Certificates or their affiliates, may purchase all of the mortgage loans, REO properties and other properties from the Issuer as long as the aggregate proceeds meet a minimum price. The transaction employs a sequential-pay cash flow structure. Principal proceeds and excess interest can be used to cover interest shortfalls on the Notes, but such shortfalls on Class A2 Notes and more subordinate bonds will not be paid from principal proceeds until the Class A1 Notes are retired. The DBRS Morningstar rating of AAA (sf) addresses 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 Morningstar ratings of A (high) (sf), BBB (high) (sf), BB (high) (sf), B (high) (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. TOWD POINT 2019-4: Moody's Assigns (P)B3 Rating on Class B2 Notes ----------------------------------------------------------------- Moody's Investors Service assigned provisional ratings to seventeen classes of notes issued by Towd Point Mortgage Trust 2019-4. The notes are backed by one pool of 21,631 re-performing first lien residential mortgage loans with an aggregate unpaid principal balance of $3,668,304,917. The borrowers have a non-zero updated weighted average FICO score of 663 and a weighted average current LTV of 77.0% as of September 30, 2019 (the cut-off date). Select Portfolio Servicing, Inc. will be the primary servicer for the collateral pool. FirstKey Mortgage, LLC will be the asset manager for the transaction. The complete rating actions are as follows: Issuer: Towd Point Mortgage Trust 2019-4 Cl. A1, Assigned (P)Aaa (sf) Cl. A2, Assigned (P)Aa2 (sf) Cl. A2A, Assigned (P)Aa2 (sf) Cl. A2B, Assigned (P)Aa2 (sf) Cl. A3, Assigned (P)Aa1 (sf) Cl. A4, Assigned (P)A1 (sf) Cl. A5, Assigned (P)Baa1 (sf) Cl. M1, Assigned (P)A3 (sf) Cl. M1A, Assigned (P)A3 (sf) Cl. M1B, Assigned (P)A3 (sf) Cl. M2, Assigned (P)Baa3 (sf) Cl. M2A, Assigned (P)Baa3 (sf) Cl. M2B, Assigned (P)Baa3 (sf) Cl. B1, Assigned (P)Ba3 (sf) Cl. B1A, Assigned (P)Ba3 (sf) Cl. B1B, Assigned (P)Ba3 (sf) Cl. B2, Assigned (P)B3 (sf) RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Moody's expected loss on TPMT 2019-4's collateral pool is 9.50% in its base case scenario and 34.50% at a stress level consistent with the Aaa (sf) rating. Its loss estimate takes into account the historical performance of the loans that have similar collateral characteristics as the loans in the pool, and also incorporate an expectation of a continued strong credit environment for RMBS, supported by a current strong housing price environment. Moody's estimated expected losses using two approaches -- (1) pool-level approach, and (2) re-performing loan level analysis. In the pool-level approach, Moody's estimated losses on the pool by applying its assumptions on expected future delinquencies, default rates, loss severities and prepayments as observed on similar seasoned collateral. Moody's projected future annual delinquencies for eight years by applying an initial annual default rate assumption adjusted for future years through delinquency burnout factors. The delinquency burnout factors reflect its future expectations of the economy and the U.S. housing market. Based on the loan characteristics of the pool and the demonstrated pay histories, Moody's applied an initial expected annual delinquency rate of 10.00% for first lien loans for year one. Moody's then calculated future delinquencies using default burnout and voluntary conditional prepayment rate (CPR) assumptions. Moody's aggregated the delinquencies and converted them to losses by applying pool specific lifetime default frequency and loss severity assumptions. Its default, CPR and loss severity assumptions are based on actual observed performance of agency-eligible and non-agency-eligible seasoned performing, re-performing modified loans and prior TPMT deals. In applying its loss severity assumptions, Moody's accounted for the lack of principal and interest advancing in this transaction. Moody's also conducted a loan level analysis on TPMT 2019-4'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, if any, (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 final 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. The final expected loss for the collateral pool also reflects the due diligence findings of three independent third-party review (TPR) firms as well as its assessment of TPMT 2019-4's representations & warranties (R&Ws) framework. Unlike previous TPMT transactions Moody's has rated, FirstKey, as seller, is not required to pay by the 18th month after the closing date unpaid property taxes (or any resulting liens from such unpaid taxes) or overdue payments for energy lien deficiency that exist at closing and that may have priority over the lien of the related mortgage, unless FirstKey, as asset manager, verifies, based on information provided by the servicer, that all such unpaid property taxes or energy lien deficiency either: (i) have been extinguished by the related servicer or have otherwise been satisfied, (ii) have been previously paid, (iii) are invalid, or (iv) constitute a lien or charge that is subordinate to that of the related mortgage. Consequently, the seller is no longer required to repurchase mortgage loans for which it has not paid such delinquent taxes and liens by the end of the 18th month after the closing date or for which none of the conditions in clauses (i) to (iv) above have been satisfied. While Moody's considers this change to the roles of the asset manager and seller to be credit negative, Moody's did not make an adjustment to its loss levels because: (1) the amount of such delinquent taxes and liens is small relative to the aggregate unpaid principal balance of the pool at 0.10% and (2) the related servicer will make a servicing advance for the payment of HOA liens, energy lien deficiencies, real estate property taxes and other municipal charges, but only to the extent necessary to protect the lien of the related mortgage. Collateral Description TPMT 2019-4's collateral pool is primarily comprised of re-performing first lien fixed-rate mortgage loans. Approximately 90% of the loans in the collateral pool have been previously modified and approximately 99% are fixed-rate mortgage loans. The majority of the loans underlying this transaction exhibit collateral characteristics similar to that of seasoned Alt-A mortgages. As of the cut-off date of September 30, 2019, the collateral pool is comprised of 21,631 first lien mortgage loans with a collateral balance of $3,668,304,917. It is expected that approximately 23 mortgage loans (representing approximately 0.07% of the mortgage loans) will be excluded from the pool of final mortgage loans included in this transaction as a result of a failure to meet the Sponsor's eligibility requirements. The expected final collateral balance will be $3,665,760,775. Moody's based its expected loss on the pool on its estimates of 1) the default rate on the remaining balance of the loans and 2) the principal recovery rate on the defaulted balances. The 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 modification, and the amount of the reduction in monthly mortgage payments as a result of modification. The longer a borrower has been current on a re-performing loan, the less likely they are to re-default. Approximately 69% of the borrowers of the loans in the collateral pool have been current on their payments for the past 24 months or more under the OTS method. Transaction Structure TPMT 2019-4 has a sequential priority of payments structure, in which a given class of notes can only receive principal payments when all the classes of notes above it have been paid off. Similarly, losses will be applied in the reverse order of priority. The Class A1, A2, M1, M2, B1, B2, B3, B4, and B5 notes carry a fixed-rate coupon subject to the collateral adjusted net WAC and applicable available funds cap. There are no performance triggers in this transaction. Additionally, the servicer will not advance any principal or interest on delinquent loans. Moody's coded TPMT 2019-4's cashflows using its proprietary cashflow tool. To assess the final rating on the notes, Moody's ran 96 different loss and prepayment scenarios. The scenarios encompass six loss levels, four loss timing curves, and four prepayment curves. Third-Party Review Three independent third-party review (TPR) firms -- Clayton Services, LLC, AMC Diligence, LLC and Westcor Land Title Insurance Company -- conducted due diligence for the transaction. Due diligence was performed on about 99.8% of the loans by unpaid principal balance for regulatory compliance, 99.8% for data integrity, 99.5% for pay string history, and 100.0% for title and tax review. The TPR firms reviewed compliance, data integrity and key documents to verify that loans were originated in accordance with federal, state and local anti-predatory laws. The TPR firms conducted audits of designated data fields to ensure the accuracy of the collateral tape. Based on its analysis of the third-party review reports, Moody's determined that a portion of the loans had legal or compliance exceptions that could cause future losses to the trust. Moody's incorporated an additional increase to its expected losses for these loans to account for this risk. FirstKey Mortgage, LLC retained AMC and Westcor to review the title and tax reports for the loans in the pool, and will oversee AMC and Westcor and monitor the loan sellers in the completion of the assignment of mortgage chains. In addition, FirstKey expects a significant number of the assignment and endorsement exceptions to be cleared within the first eighteen months following the closing date of the transaction. Moody's took these loans into account in its loss analysis. Representations & Warranties Its ratings reflect TPMT 2019-4's weak representations and warranties (R&Ws) framework. The representation provider, FirstKey Mortgage, LLC is unrated by Moody's. Moreover, FirstKey's obligations will be in effect for only thirteen months after transaction settlement. The R&Ws themselves are weak because they contain many knowledge qualifiers and the regulatory compliance R&W does not cover monetary damages that arise from TILA violations whose right of rescission has expired. While the transaction provides a breach reserve account to cover for any breaches of R&Ws, the target size of the account (0.25% of the current balance of the Class A1, A2, M1 and M2) is small relative to TPMT 2019-4's aggregate collateral pool. Similar to recent TPMT transactions, the sponsor will not be funding the breach reserve account at closing. On each payment date, the paying agent will fund the reserve account from the Class XS2 each month up to the target balance which is based on the outstanding principal balance of the Class A1, A2, M1 and M2 notes. Since its loss analysis already takes into account the weak R&W framework, Moody's did not apply an additional penalty. Transaction Parties The transaction benefits from a strong servicing arrangement. SPS will service all of the mortgage loans in the collateral pool. Moody's considers the overall servicing arrangement for this pool to be better than average given the ability and experience of the servicer, and the servicer oversight from an experienced asset manager in FirstKey. This arrangement strengthens the overall servicing framework in the transaction. U.S. Bank National Association is the indenture trustee and a custodian for the transaction. Wells Fargo Bank, N.A. will also act as custodian. The Delaware Trustee is Wilmington Trust, National Association. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from its original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for better-than-expected performance include changes to servicing practices that enhance collections or refinancing opportunities that result in prepayments. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above 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. 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. UBS COMMERCIAL 2017-C6: Fitch Affirms B-sf Rating on Cl. F Certs ---------------------------------------------------------------- Fitch Ratings affirmed UBS Commercial Mortgage Trust 2017-C6 commercial mortgage pass-through certificates, series 2017-C6. RATING ACTIONS UBS 2017-C6 Class A-1 90276UAS0; LT AAAsf Affirmed; previously at AAAsf Class A-2 90276UAT8; LT AAAsf Affirmed; previously at AAAsf Class A-3 90276UAV3; LT AAAsf Affirmed; previously at AAAsf Class A-4 90276UAW1; LT AAAsf Affirmed; previously at AAAsf Class A-5 90276UAX9; LT AAAsf Affirmed; previously at AAAsf Class A-BP 90276UAY7; LT AAAsf Affirmed; previously at AAAsf Class A-S 90276UBC4; LT AAAsf Affirmed; previously at AAAsf Class A-SB 90276UAU5; LT AAAsf Affirmed; previously at AAAsf Class B 90276UBD2; LT AA-sf Affirmed; previously at AA-sf Class C 90276UBE0; LT A-sf Affirmed; previously at A-sf Class D 90276UAJ0; LT BBB-sf Affirmed; previously at BBB-sf Class E 90276UAL5; LT BB-sf Affirmed; previously at BB-sf Class F 90276UAN1; LT B-sf Affirmed; previously at B-sf Class X-A 90276UAZ4; LT AAAsf Affirmed; previously at AAAsf Class X-B 90276UBB6; LT AA-sf Affirmed; previously at AA-sf Class X-BP 90276UBA8; LT AAAsf Affirmed; previously at AAAsf Class X-D 90276UAA9; LT BBB-sf Affirmed; previously at BBB-sf Class X-E 90276UAC5; LT BB-sf Affirmed; previously at BB-sf Class X-F 90276UAE1; LT B-sf Affirmed; previously at B-sf KEY RATING DRIVERS Minimal Change to Credit Enhancement: As of the October 2019 distribution date, the pool's aggregate principal balance has been reduced by 0.97% to $678.1 million from $684.7 million at issuance. Thirteen loans (41%) are full-term interest-only loans and ten loans (28.5%) are partial-term interest-only, one of which (5.7%) has begun amortizing. There are no defeased loans or interest shortfalls. Stable Loss Expectations: Overall pool performance has been stable since issuance. There are no loans that are delinquent or in special servicing and no loans have been designated as Fitch Loans of Concern. Two loans (4.50% of the current pool balance) are on the servicer's watchlist, one for a decline in occupancy and one for deferred maintenance. The largest loan in the pool is the pari passu portion of the Burbank Office Portfolio, a four-property, 2.1 million square foot office portfolio located in Burbank, CA in the Los Angeles metro. Per the second-quarter 2019 financials, the property is 93% occupied and the largest tenants include Walt Disney (27% of net rentable area [NRA]), Kaiser Foundation (9.3% of NRA), and Warner Bros (9.0% of NRA). Investment-Grade Credit Opinion Loans: Three loans (16.2%) were considered investment-grade credit opinion loans at issuance. The Burbank Office Portfolio (10.6%) and 111 West Jackson (4.4%) were rated 'BBB+sf' and Yorkshire and Lexington Towers (5.9%) were rated 'BBBsf'. Hotel and Retail Exposure: Six loans (8.3%) are collateralized by hotel properties and 16 (36.5%) loans are collateralized by retail properties or mixed use properties with a retail component. There are no regional malls in this pool. 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. VOYA CLO 2012-4: S&P Assigns B- (sf) Rating to Class E-R-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class X-R-R, A-1a-R-R, A-1b-R-R, A-2-A-R-R, A-2-B-R-R, B-R-R, C-1-R-R, C-2-R-R, D-R-R, and E-R-R replacement notes from Voya CLO 2012-4 Ltd., a collateralized loan obligation (CLO) originally issued in November 2012 and refinanced in September 2016 that is managed by Voya Alternative Asset management LLC. S&P withdrew its ratings on the original class A-1-R, A-2-R, B-R, C-R, and D-R notes following payment in full on the Nov. 5, 2019, refinancing date. On the Nov. 5, 2019, refinancing date, the proceeds from the class X-R-R, A-1a-R-R, A-1b-R-R, A-2-A-R-R, A-2-B-R-R, B-R-R, C-1-R-R, C-2-R-R, D-R-R, and E-R-R replacement note issuances were used to redeem the original class A-1-R, A-2-R, B-R, C-R, and D-R notes as outlined in the transaction document provisions. Therefore, S&P withdrew its ratings on the original notes in line with their full redemption, and S&P is assigning ratings to the replacement notes. 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. "The assigned ratings reflect our opinion that the credit support available is commensurate with the associated rating levels," S&P said. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and we will take rating actions as we deem necessary," the rating agency said. RATINGS ASSIGNED Voya CLO 2012-4 Ltd. Replacement class Rating Amount (mil $) X-R-R AAA (sf) 4.00 A-1a-R-R AAA (sf) 245.00 A-1b-R-R AAA (sf) 15.00 A-2-A-R-R AA (sf) 27.90 A-2-B-R-R AA (sf) 16.50 B-R-R (deferrable) A (sf) 23.60 C-1-R-R (deferrable) BBB- (sf) 14.00 C-2-R-R (deferrable) BBB- (sf) 10.00 D-R-R (deferrable) BB- (sf) 15.00 E-R-R (deferrable) B- (sf) 3.32 Income notes NR 42.75 RATINGS WITHDRAWN Voya CLO 2012-4 Ltd. Rating Original class To From A-1-R NR AAA (sf) A-2-R NR AA (sf) B-R NR A (sf) C-R NR BBB (sf) D-R NR BB (sf) NR--Not rated. WELLS FARGO 2016-C34: Fitch Lowers Rating on 2 Tranches to Bsf -------------------------------------------------------------- Fitch Ratings downgraded two classes and affirmed 14 classes of Wells Fargo Commercial Mortgage Trust 2016-C34 commercial mortgage pass-through certificates issued by Wells Fargo Bank, N.A. WFCM 2016-C34 Class A-1 95000DBA8; LT AAAsf Affirmed; previously at AAAsf Class A-2 95000DBB6; LT AAAsf Affirmed; previously at AAAsf Class A-3 95000DBC4; LT AAAsf Affirmed; previously at AAAsf Class A-3FL 95000DAG6; LT AAAsf Affirmed; previously at AAAsf Class A-3FX 95000DAJ0; LT AAAsf Affirmed; previously at AAAsf Class A-4 95000DBD2; LT AAAsf Affirmed; previously at AAAsf Class A-S 95000DBF7; LT AAAsf Affirmed; previously at AAAsf Class A-SB 95000DBE0; LT AAAsf Affirmed; previously at AAAsf Class B 95000DBJ9; LT AA-sf Affirmed; previously at AA-sf Class C 95000DBK6; LT A-sf Affirmed; previously at A-sf Class D 95000DAL5; LT BBB-sf Affirmed; previously at BBB-sf Class E 95000DAN1; LT Bsf Downgrade; previously at BB-sf Class F 95000DAQ4; LT CCCsf Affirmed; previously at CCCsf Class X-A 95000DBG5; LT AAAsf Affirmed; previously at AAAsf Class X-B 95000DBH3; LT AA-sf Affirmed; previously at AA-sf Class X-E 95000DAA9; LT Bsf Downgrade; previously at BB-sf KEY RATING DRIVERS Increasing Loss Expectations: The downgrade to class E and X-E reflects the increase of deal-level loss expectations since Fitch's last rating action. Since the last rating action, the largest loan, the Regent Portfolio (10.1%) has transferred to special servicing. In addition, 200 Precision & 425 Privet Portfolio (4.1%), which had previously been flagged as a Fitch Loan of Concern (FLOC), has its largest tenant vacating this month. Specially Serviced Loans: The Regent Portfolio (10.1%) is secured by 13 medical office buildings mostly located throughout New Jersey with one in New York and one in Florida with a total of 352,001 sf. The loan transferred to the special servicer in June 2019 for delinquent payments and the loan remains in payment default. Approximately 50% of the portfolio at issuance was leased directly to the sponsor or an affiliate of the sponsor. The borrower has not cooperated in providing documents to the special servicer to evaluate the financial condition of the properties and the affiliate tenants. The July 2019 occupancy was 89% and the September 2018 NOI debt service coverage ratio (DSCR) was 1.77x. The special servicer plans to pursue foreclosure while also exploring alternative workout strategies. The 10th-largest loan, Shoppes at Alafaya (3%), is secured by a 120,639 sf retail property in Orlando, FL. The loan was transferred to the special servicer in October 2018 for payment default. Occupancy at the property is 51% after the largest tenant, Toys R' Us (49% of net rentable area and 44% of total annual rent) vacated in June 2018. The property still has an anchor tenant with Dick's Sporting Goods (42% of NRA) having a lease that expires in January 2023. The property was built in two separate phases with the vacant Toys R' Us outparcel on the opposite side of the parking lot from Dick's Sporting Goods. At issuance there were plans for a phase 3, including multifamily and retail, which will connect both ends of the shopping center but construction has not begun. According to the servicer, a letter of intent and a draft lease are currently under review for a potential tenant to backfill the Toys R' Us space. Loans of Concern: Fitch has designated 13 loans (26.6% of pool) as FLOCs, including the two specially serviced loans. The sixth-largest loan, 200 Precision & 425 Privet Portfolio (4.1%), is secured by two properties totaling 246,790 sf located in Horsham, PA. 425 Privet Road is an office property that is 100% occupied by Teva who exercised a termination option and will vacate the property in November 2019. The tenant is subject to a $1.25 million termination fee (with half received in December 2017 and the other half payable in November 2019) and the loan is structured with a full cash flow sweep for 24 months. 200 Precision Drive is an industrial/office property that is 33.3% vacant after Finisar Corporation, who accounted for 59% of annual rental income when they vacated in June 2018. Occupancy for the property did increase by 13% after C&D Technologies took on additional space in the building. The properties' combined occupancy will be 40% after Teva vacates. According to Reis, the current submarket vacancy is 22.4% and average asking rent is $22/sf for office and Teva is currently paying $18.94/sf. Fitch's base case loss incorporates an additional stress on the cash flow as well as a dark value analysis. The 11th-largest loan, Embassy Plaza (2.6%), is secured by retail center located in Tucson, AZ with 113,384 sf. During the 2019 property inspection, it was noted that Walmart Neighborhood Market (32% NRA; lease expiration in February 2032) was dark since April 2019. Walmart continues to pay per the lease terms and there is no cashflow sweep or co-tenancy clauses associated with the Walmart lease. According to the borrower there are a couple of potential tenants but would most likely be over a year before these tenants would move in. The YE 2018 NOI DSCR is 1.85x. The 15th-largest loan, Perrysburg Market Center (2.1%), is secured by retail center located in Perrysburg, OH with 144,976 sf. The Best Buy (20% NRA) at the shopping center closed in October 2017. The lease for a replacement tenant commenced in February 2019 but the tenant has yet to take occupancy due to operating covenants that require consent of other tenants and a nearby tenant that is not part of the collateral has not consented to the new recreational tenant. According to the borrower, they are in negotiations with a discount fashion retailer and finalizing a letter of intent. As of June 2019 occupancy was 80% and YE 2018 NOI DSCR was 1.14x. Alternative Loss Considerations: In addition to modeling a base case loss, Fitch applied a 75% loss severity on the 200 Precision & 425 Privet Portfolio loan to reflect the potential for outsized losses given the expected significant vacancy, lack of replacement tenants and high submarket vacancy. Fitch also assumed higher losses on the specially serviced loan, Shoppes at Alafaya, which reflects the potential for continued value decline due to extended low occupancy if replacement tenants are not found. The Negative Rating Outlooks incorporate the alternative loss scenario. Minimal Change to Credit Enhancement: As of the October 2019 remittance, the pool's aggregate principal balance has been reduced by 2.9% to $682 million from $703 million at issuance. Interest shortfalls are currently affecting class H. There are no defeased loans. Four loans (14.7%) are set to mature in 2021 and all other loans in 2025 and 2026. The pool is scheduled to amortize by 12.3% of the initial pool balance prior to maturity. Two loans (9.1%) are full-term interest only, six loans (13.2%) have remaining partial interest only terms, and 10 loans (7.2%) have amortization schedules of 25 years or less. ADDITIONAL CONSIDERATION Pool Concentrations: Loans secured by retail properties represent 38.5% of the current pool balance and include six of the top 15 loans (22.9%). The pool has no regional mall exposure. Loans secured by hotel properties comprise 15.8% of the current pool balance, including three of the top 15 loans (13.7%). RATING SENSITIVITIES The Negative Rating Outlooks on classes C, D, E, and X-E reflect the potential for increased losses from the base case scenario and reflect the additional sensitivity analysis applied to 200 Precision & 425 Privet Portfolio and the Shoppes at Alfaya. Downgrades to these classes are possible if performance does not improve. Future Rating Outlook revisions to Stable from Negative may occur should performance of these loans exhibit further stabilization through re-tenanting. The Rating Outlooks for classes A-1 thru B and classes X-A and X-B remain Stable due to relatively overall stable performance of the pool and expected continued paydown. Rating upgrades, while unlikely in the near term, may occur with improved pool performance and additional paydown or defeasance. WELLS FARGO 2019-4: Fitch to Rate $2.124MM Cl. B-4 Certs BBsf ------------------------------------------------------------- Fitch Ratings expects to rate Wells Fargo Mortgage Backed Securities 2019-4 Trust as follows: -- $515,760,000 class A-1 exchangeable certificates 'AAAsf'; Outlook Stable; -- $515,760,000 class A-2 exchangeable certificates 'AAAsf'; Outlook Stable; -- $386,820,000 class A-3 exchangeable certificates 'AAAsf'; Outlook Stable; -- $386,820,000 class A-4 exchangeable certificates 'AAAsf'; Outlook Stable; -- $128,940,000 class A-5 exchangeable certificates 'AAAsf'; Outlook Stable; -- $128,940,000 class A-6 exchangeable certificates 'AAAsf'; Outlook Stable; -- $309,456,000 class A-7 exchangeable certificates 'AAAsf'; Outlook Stable; -- $309,456,000 class A-8 certificates 'AAAsf'; Outlook Stable; -- $206,304,000 class A-9 exchangeable certificates 'AAAsf'; Outlook Stable; -- $206,304,000 class A-10 exchangeable certificates 'AAAsf'; Outlook Stable; -- $77,364,000 class A-11 exchangeable certificates 'AAAsf'; Outlook Stable; -- $77,364,000 class A-12 certificates 'AAAsf'; Outlook Stable; -- $83,811,000 class A-13 exchangeable certificates 'AAAsf'; Outlook Stable; -- $83,811,000 class A-14 certificates 'AAAsf'; Outlook Stable; -- $45,129,000 class A-15 exchangeable certificates 'AAAsf'; Outlook Stable; -- $45,129,000 class A-16 certificates 'AAAsf'; Outlook Stable; -- $60,721,000 class A-17 exchangeable certificates 'AAAsf'; Outlook Stable; -- $60,721,000 class A-18 certificates 'AAAsf'; Outlook Stable; -- $576,481,000 class A-19 exchangeable certificates 'AAAsf'; Outlook Stable; -- $576,481,000 class A-20 exchangeable certificates 'AAAsf'; Outlook Stable; -- $576,481,000 class A-IO1 notional certificates 'AAAsf'; Outlook Stable; -- $515,760,000 class A-IO2 notional exchangeable certificates 'AAAsf'; Outlook Stable; -- $386,820,000 class A-IO3 notional exchangeable certificates 'AAAsf'; Outlook Stable; -- $128,940,000 class A-IO4 notional exchangeable certificates 'AAAsf'; Outlook Stable; -- $309,456,000 class A-IO5 notional certificates 'AAAsf'; Outlook Stable; -- $206,304,000 class A-IO6 notional exchangeable certificates 'AAAsf'; Outlook Stable; -- $77,364,000 class A-IO7 notional certificates 'AAAsf'; Outlook Stable; -- $83,811,000 class A-IO8 notional certificates 'AAAsf'; Outlook Stable; -- $45,129,000 class A-IO9 notional certificates 'AAAsf'; Outlook Stable; -- $60,721,000 class A-IO10 notional certificates 'AAAsf'; Outlook Stable; -- $576,481,000 class A-IO11 notional exchangeable certificates 'AAAsf'; Outlook Stable; -- $12,743,000 class B-1 certificates 'AAsf'; Outlook Stable; -- $9,406,000 class B-2 certificates 'Asf'; Outlook Stable; -- $3,640,000 class B-3 certificates 'BBBsf'; Outlook Stable; -- $2,124,000 class B-4 certificates 'BBsf'; Outlook Stable. Fitch will not be rating the following class: -- $2,428,156 class B-5 certificates. Fitch expects to rate the residential mortgage-backed certificates issued by WFMBS 2019-4 as indicated. The certificates are supported by 790 prime fixed-rate mortgage loans with a total balance of approximately $606.8 million as of the cutoff date. All of the loans were originated by Wells Fargo Bank, N.A. or were acquired from its correspondents. This is the fifth post-crisis issuance from Wells Fargo. KEY RATING DRIVERS Very High-Quality Mortgage Pool (Positive): The collateral attributes are among the strongest of post-crisis RMBS rated by Fitch. The pool consists of 30-year fixed-rate fully amortizing loans to borrowers with strong credit profiles, low leverage and large liquid reserves. All loans are Safe Harbor Qualified Mortgages (SHQM). The loans are seasoned an average of four months. The pool has a weighted average (WA) original FICO score of 773, which is indicative of very high credit-quality borrowers. Approximately 50.5% has original FICO scores at or above 780. In addition, the original WA CLTV ratio of 73.4% represents substantial borrower equity in the property. The pool's attributes, together with Wells Fargo's sound origination practices, support Fitch's very low default risk expectations. Low Operational Risk (Positive): Operational risk is very well controlled for in this transaction. Wells Fargo has an extensive operating history in residential mortgage originations and is assessed as an 'Above Average' originator by Fitch. The entity has a diversified sourcing strategy and utilizes an effective proprietary underwriting system for its retail originations. Wells Fargo will perform primary and master servicing for this transaction; these functions are rated RPS1- and RMS1-, respectively, by Fitch. Tier 2 R&W Framework (Neutral): While the loan-level representations and warranties (R&Ws) for this transaction are substantially in conformity with Fitch criteria, the framework has been assessed as a Tier 2 due to the narrow testing construct which limits the breach reviewers ability to identify or respond to issues not fully anticipated at closing. The Tier 2 assessment and the strong financial condition of Wells Fargo as R&W provider resulted in a neutral impact to the credit enhancement. Due Diligence Review Results (Positive): Third-party due diligence was performed on 100% of loans in the transaction pool. The due diligence was performed by Clayton, which is assessed by Fitch as an 'Acceptable - Tier 1' third-party review (TPR) firm. The due diligence results indicated strong origination processes and 99.7% of the population was graded 'A' or 'B'. Loan exceptions either had strong mitigating factors or were mostly accounted for in Fitch's loan loss model; one loan was adjusted due to the secondary value not supporting the original appraised value. The model credit for the high percentage of loan level due diligence combined with the adjustment reduced the 'AAAsf' loss expectation by 16 bps. Straightforward Deal Structure (Positive): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the deal. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. To mitigate tail risk, which arises as the pool seasons and fewer loans are outstanding, a subordination floor of 1.20% of the original balance will be maintained for the senior certificates. Full Servicer Advancing (Neutral): The pool benefits from advances of delinquent principal and interest until the servicer, Wells Fargo, the primary servicer of the pool, deems them non-recoverable. Fitch's loss severities reflect reimbursement of amounts advanced by the servicer from liquidation proceeds based on its liquidation timelines assumed at each rating stress. Extraordinary Expense Treatment (Neutral): The trust provides for expenses, including indemnification amounts, reviewer fees and costs of arbitration, to be paid by the net WA coupon of the loans, which does not affect the contractual interest due on the certificates. Furthermore, the expenses to be paid from the trust are capped at $350,000 per annum (with the exception of independent reviewer breach review fee), which can be carried over each year, subject to the cap until paid in full. CRITERIA APPLICATION Fitch analyzed the transaction in accordance with its criteria, as described in its report, "U.S. RMBS Rating Criteria." This incorporates a review of the originators' lending platforms, as well as an assessment of the transaction's R&Ws provided by the originators and arranger, which were found to be consistent with the ratings assigned to the certificates. RATING SENSITIVITIES Fitch's analysis incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or may be considered in the surveillance of the transaction. Three sets of sensitivity analyses were conducted at the state and national levels to assess the effect of higher MVDs for the subject pool. This defined stress sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model-projected 2.9%. The analysis indicates that there is some potential rating migration with higher MVDs, compared with the model projection. Fitch also conducted sensitivities to determine the stresses to MVDs that would reduce a rating by one full category, to non-investment grade, and to 'CCCsf'. WELLS FARGO 2019-4: Moody's Assigns (P)Ba2 Rating on Cl. 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 2019-4 Trust. The ratings range from (P)Aaa (sf) to (P)Ba2 (sf). WFMBS 2019-4 is the fourth 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 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 2019-4 transaction is a securitization of 790 primarily 30-year, fixed rate, prime residential mortgage loans with an unpaid principal balance of $606,822,156. 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 4 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 2019-4 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 loss for this pool in a baseline scenario is 0.22% and reaches 2.98% at a stress level consistent with the Aaa 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. Moody's published an updated methodology on October 30, 2019 for rating and monitoring US RMBS backed by government-sponsored enterprises (GSEs) and private label prime first-lien mortgage loans originated during or after 2009, "Moody's Approach to Rating US RMBS Using the MILAN Framework". 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, MSA level concentrations and any other outside model adjustments such as origination channel. 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 2019-4 transaction is a securitization of 790 first lien residential mortgage loans with an unpaid principal balance of $606,822,156. The loans in this transaction have strong borrower characteristics with a weighted average original FICO score of 781 and a weighted-average original loan-to-value ratio (LTV) of 73.0%. In addition, 6.5% of the borrowers are self-employed and refinance loans comprise 28.3% of the aggregate pool. 9.1% (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 47.6% of the aggregate pool located in California and 12.7% 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. 72.5% of the pool and the remaining pool i.e. 27.5% 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 810 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. 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 insufficient cash reserves, 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 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 2019-4 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. Moody's considers the possible impact of concentration risk at the tail end of the transaction and assess the sufficiency of credit enhancement floors. Moody's calculates the credit neutral floors for a given target rating as shown in its principal methodology; for example, for Aaa (sf) target rating, the floor is equal to an amount which is the sum of the balance of the six largest loans at closing multiplied by the higher of their corresponding MILAN Aaa severity or a 35% severity. The same severity criteria is applied for target ratings of Aa1 (sf), Aa2 (sf), Aa3 (sf), A1 (sf) and A2 (sf) each of which is based upon the aggregate closing balance of five, four, three, two and one largest loan respectively. Based on its tail risk analysis, the level of senior and subordinate floor in WFMBS 2019-4 is consistent with the credit neutral floor for the assigned ratings. 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. Other Considerations In WFMBS 2019-4, 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. WELLS FARGO 2019-C53: Fitch Assigns B-sf Rating on Cl. H-RR Certs ----------------------------------------------------------------- Fitch Ratings assigned the following ratings and Rating Outlooks to Wells Fargo Commercial Mortgage Trust 2019-C53 commercial mortgage pass-through certificates, series 2019-C53: -- $20,689,000 class A-1 'AAAsf'; Outlook Stable; -- $45,608,000 class A-2 'AAAsf'; Outlook Stable; -- $33,381,000 class A-SB 'AAAsf'; Outlook Stable; -- $131,000,000 class A-3 'AAAsf'; Outlook Stable; -- $260,842,000 class A-4 'AAAsf'; Outlook Stable; -- $491,520,000b class X-A 'AAAsf'; Outlook Stable; -- $105,325,000b class X-B 'A-sf'; Outlook Stable; -- $29,842,000 class A-S 'AAAsf'; Outlook Stable; -- $36,864,000 class B 'AA-sf'; Outlook Stable; -- $38,619,000 class C 'A-sf'; Outlook Stable; -- $26,332,000a class D 'BBB-sf'; Outlook Stable; -- $26,332,000ab class X-D 'BBB-sf'; Outlook Stable; -- $16,676,000ac class E-RR 'BBB-sf'; Outlook Stable; -- $10,533,000ac class F-RR 'BBsf'; Outlook Stable; -- $8,777,000ac class G-RR 'BB-sf'; Outlook Stable; -- $8,777,000ac class H-RR 'B-sf'; Outlook Stable. Fitch does not rate the following classes: -- $7,022,000ac class J-RR 'NR'; -- $7,899,000ac class K-RR 'NR'; -- $19,310,519ac class L-RR 'NR'. (a) Privately placed and pursuant to Rule 144A. (b) Notional amount and interest-only. (c) Horizontal credit risk retention interest representing no less than 5% of the estimated fair value of all classes of regular certificates issued by the issuing entity as of the closing date. Since Fitch published its expected ratings on Oct. 15, 2019, the balances for class A-3, A-4, D, X-D and E-RR were finalized. When expected ratings were assigned, the class A-3 and class A-4 balances were estimated within the ranges of $75,000,000 to $195,000,000 and the range of $196,842,000 to $316,842,000, respectively. The final class sizes for class A-3 and class A-4 are $131,000,000 and $260,842,000, respectively. When expected ratings were assigned, the class D, class X-D and class E-RR balances were estimated at $25,535,000, $25,535,000 and $17,473,000, respectively. The final class sizes for class D, class X-D and class E-RR are $26,332,000, $26,332,000 and $16,676,000, respectively. The certificates represent the beneficial ownership interest in the trust, primary assets of which are 58 loans secured by 85 commercial properties with an aggregate principal balance of $702,171,519 as of the cut-off date. The loans were contributed to the trust by Rialto Mortgage Finance, LLC; Barclays Capital Real Estate Inc.; Wells Fargo Bank, National Association; Ladder Capital Finance LLC; and C-III Commercial Mortgage LLC. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 70.2% of the properties by balance, cash flow analysis of 85.3%, and asset summary reviews on 100% of the pool. KEY RATING DRIVERS Fitch Leverage: The pool's Fitch DSCR of 1.21x is below the 2018 and 2019 YTD averages of 1.22x and 1.25x, respectively, for other Fitch-rated multiborrower transactions. In addition, the pool's LTV of 113.1% is higher than the 2018 and 2019 YTD averages of 102.0% and 101.4%, respectively. The pool does not contain any credit opinion loans. After removing credit opinion loans and loans secured by residential cooperatives from the leverage metrics for other Fitch-rated transactions, the respective 2018 and 2019 YTD average DSCR is 1.16x and 1.18x, while the respective average LTV is 108.6% and 108.1%. Mortgage Coupons: The pool's weighted average (WA) mortgage rate of 3.96% is well below historical averages and much lower than the 2018 and 2019 YTD averages of 4.77% and 4.57%, respectively. Fitch accounted for increased refinance risk in a higher interest rate environment by incorporating an interest rate sensitivity that assumes an interest rate floor of 5.0% for the term risk of most property types, 4.5% for multifamily properties and 6.0% for hotel properties, in conjunction with its stressed refinance rates, which were 9.58% on a WA basis. Concentrated Pool: The 10 largest loans represent 52.3% of the pool by balance, slightly higher than the 2018 and 2019 YTD averages of 50.6% and 51.6%, respectively. The pool's loan concentration index (LCI) of 377 is between the respective 2018 and 2019 YTD averages of 373 and 387. The pool's sponsor concentration index (SCI) of 432 is higher than the 2018 and 2019 YTD averages of 398 and 405, respectively. RATING SENSITIVITIES For this transaction, Fitch's net cash flow (NCF) was 15.3% below the most recent year's net operating income (NOI) for properties for which a full-year NOI was provided, excluding properties that were stabilizing during this period. Unanticipated further declines in property-level NCF could result in higher defaults and loss severities on defaulted loans and in potential rating actions on the certificates. Fitch evaluated the sensitivity of the ratings assigned to the WFCM 2019-C53 certificates and found that the transaction displays average sensitivities to further declines in NCF. In a scenario in which NCF declined a further 20% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'Asf' could result. In a more severe scenario, in which NCF declined a further 30% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB+sf' could result. [*] DBRS Reviews 52 Ratings From 12 US Structured ABS Trans ----------------------------------------------------------- DBRS, Inc. reviewed 52 ratings from 12 U.S. structured finance asset-backed securities transactions. Of the 52 outstanding publicly rated classes reviewed, ten were upgraded, 36 were confirmed and six were discontinued due to repayment on Nov. 1, 2019. For the ratings that were upgraded, performance trends are such that credit enhancement levels are sufficient to cover DBRS Morningstar's expected losses at their new respective rating levels. For the ratings that were confirmed, performance trends are such that credit enhancement levels are sufficient to cover DBRS Morningstar's expected losses at their current respective rating levels. The ratings are based on DBRS Morningstar'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. Notes: The principal methodology is DBRS Master U.S. ABS Surveillance Methodology, which can be found on dbrs.com under Methodologies & Criteria. The Affected Rating is Available at https://bit.ly/34vUECn ********* 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. 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