/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/200426.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, April 26, 2020, Vol. 24, No. 116 Headlines BBCMS TRUST 2015-SRCH: Fitch Affirms BB+ Rating on Class E Certs CANTOR COMMERCIAL 2012-CCRE3: Fitch Cuts 2 Tranches to CCC CMLS ISSUER 2014-1: DBRS Confirms B Rating on Class G Certs COMM 2015-CCRE25: Fitch Cuts Class E Debt to 'CCCsf' COMM 2015-CCRE26: Fitch Affirms Class F Certs at 'BB-sf' CSMC TRUST 2018-RPL12: Fitch Gives B- Rating on 2 Tranches GS MORTGAGE 2013-GC13: Fitch Cuts Class F Certs to 'CCCsf' IMSCI 2013-3: Fitch Affirms CCC Rating on Class G Certs IMSCI 2014-5: Fitch Affirms B Rating on Class G Debt JC PENNEY 2006-1: Moody's Cuts Rating on 2 Tranches to 'C' JP MORGAN 2010-C2: Fitch Lowers Rating on 2 Tranches to CC JP MORGAN 2014-C21: Fitch Cuts Rating on Class X-C Debt to 'CCCsf' LCCM MORTGAGE 2017-LC26: Fitch Affirms B- Rating on Class F Certs N-STAR REL VIII: Fitch Cuts Rating on 8 Tranches to 'Csf' PALMER SQUARE 2020-2: Fitch Gives BB-sf Rating on Class D Notes SASCO 2002-AL1: Moody's Cuts Rating on Class AIO Certs to Caa1 SMALL BUSINESS 2019-A: Moody's Reviews Class C Notes for Downgrade STONEBRIAR COMMERCIAL: Moody's Reviews 14 Tranches for Downgrade WELLS FARGO 2015-SG1: Fitch Affirms 'B-sf' Rating on 2 Tranches [*] Fitch Takes Action on 85 Tranches From 10 Trust Preferred CDOs [*] Moody's Places 10 Tranches of Bonds on Review for Downgrade [] Fitch Places Ratings on 19 Tranches on Watch Negative ********* BBCMS TRUST 2015-SRCH: Fitch Affirms BB+ Rating on Class E Certs ---------------------------------------------------------------- Fitch Ratings has affirmed eight classes of BBCMS Trust 2015-SRCH Mortgage Trust commercial mortgage pass-through certificates. BBCMS 2015-SRCH - Class A-1 05547HAA9; LT AAAsf; Affirmed - Class A-2 05547HAC5; LT AAAsf; Affirmed - Class B 05547HAJ0; LT AA-sf; Affirmed - Class C 05547HAL5; LT A-sf; Affirmed - Class D 05547HAN1; LT BBB-sf; Affirmed - Class E 05547HAQ4; LT BB+sf; Affirmed - Class X-A 05547HAE1; LT AAAsf; Affirmed - Class X-B 05547HAG6; LT A-sf; Affirmed KEY RATING DRIVERS Stable Performance and Property Cash Flow: Property level performance is stable, and the YE 2019 net cash flow is in line with issuance expectations. The most recent servicer-reported NCF DSCR as of YE 2019 was 2.04x. Despite a rent increase, Fitch's NCF is only 1% higher than the Fitch NCF at issuance due to the elimination of rent for the amenities building. Superior Collateral Quality in Strong Location: The loan is secured by the fee simple interest in three newly constructed, single-tenant office buildings, totaling 943,056 sf, leased to Google, Inc. in Sunnyvale, CA. The three buildings hold a LEED-Gold designation and are some of the most technologically advanced in the area, and hold a LEED-Gold designation, which has a positive impact on the ESG score for Waste & Hazardous Materials Management; Ecological Impacts. The complex also includes 52,500-square foot amenities building (non-collateral) for the sole use of tenants, which includes fitness and weight equipment, studios for classes, full locker rooms and an outdoor pool. Single-Tenant Lease Exposure: The three buildings are leased by Google through August 2027 (co-terminus with the loan maturity). Google has no outs in its lease and has invested approximately $188.6 million ($200 per square foot) in its buildout. Google is one of the world's largest technology companies with an estimated market capitalization of $878 billion as of April 2020. It is also one of the largest landlords and occupiers of space in the Silicon Valley market. The company has leased three other office buildings in the development (Phase II). Amortization: The loan is interest-only for the first four years and eight months and then amortizes on a 30-year schedule, resulting in seven years of amortization. The loan is still in the interest-only period and is expected to start amortizing in August 2020. At maturity, the trust balloon balance is estimated to be $372.1 million ($395/sf), resulting in an approximate 13.5% reduction to the initial loan amount. Reserves: Up-front reserves of approximately $71 million were funded to address all outstanding landlord obligations, including tenant improvements, leasing costs and free rent periods. Nearly all of the reserves have been used, and only a small amount remains. The loan includes a cash flow sweep to be used to build reserves to $25 psf during the final two years of the lease term if Google does not give notice to renew. Coronavirus Exposure: Given the strong sponsor (Jay Paul Company), and long-term lease to a creditworthy tenant, Fitch views the collateral to have a more limited impact from the coronavirus pandemic. RATING SENSITIVITIES Factors that could, individually or collectively, lead to positive rating action/upgrade: Fitch rates the A-1 and A-2 classes 'AAAsf'; therefore, upgrades are not possible. While not likely in the near term, upgrades to classes B through E are possible with transaction paydown and sustained cash flow improvement. The Stable Rating Outlooks for all classes reflect the relatively stable performance that is consistent with issuance. Factors that could, individually or collectively, lead to negative rating action/downgrade: -- A significant decline in asset occupancy; -- A significant deterioration in property cash flow. However, these factors are not expected to materialize due to the long-term nature of the lease to a creditworthy tenant. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. CANTOR COMMERCIAL 2012-CCRE3: Fitch Cuts 2 Tranches to CCC ---------------------------------------------------------- Fitch Ratings has downgraded three classes of Cantor Commercial Real Estate's COMM 2012-CCRE3 commercial mortgage pass-through certificates. Fitch also revised the Rating Outlook for three additional classes to Negative from Stable. COMM 2012-CCRE3 - Class A-3 12624PAE5; LT AAAsf; Affirmed - Class A-M 12624PAJ4; LT AAAsf; Affirmed - Class A-SB 12624PAD7; LT AAAsf; Affirmed - Class B 12624PAL9; LT AA-sf; Affirmed - Class C 12624PAQ8; LT Asf; Affirmed - Class D 12624PAS4; LT A-sf; Affirmed - Class E 12624PAU9; LT BBsf; Downgrade - Class F 12624PAW5; LT CCCsf; Downgrade - Class G 12624PAY1; LT CCCsf; Downgrade - Class PEZ 12624PAN5; LT Asf; Affirmed - Class X-A 12624PAF2; LT AAAsf; Affirmed KEY RATING DRIVERS Coronavirus Exposure: The downgrades and Negative Outlooks can be attributed to the social and market disruption caused by the effects of the coronavirus pandemic and related containment measures. Of particular concern is the underlying pool's exposure to retail properties, which represents 48.3% of the pool. All but essential retailers have closed due to the spread of coronavirus. Retail properties are expected to face cash flow disruption as tenants may not be able to pay rent or as leases with upcoming expiration dates are not renewed. The pool's retail component includes four regional malls in the Top 15, all of which are considered Fitch Loans of Concern (FLOC): Solano Mall (10.7%), Crossgates Mall (9.7%), Midland Park Mall (7.5%) and Emerald Square Mall (6.7%). The weighted-average debt service coverage ratio for all non-defeased retail loans is 2.01x. On average, these retail loans could average a 46.2% decline in net operating income before the actual DSCR would fall below 1.0x coverage. There are six non-defeased loans (5.3% of the pool) that are secured by hotel properties and one loan (0.4% of the pool) that is secured by a student-housing property. Additional stresses were applied to two hotels, the four regional malls and another FLOC in the Top 15 related to ongoing performance concerns in light of the recent coronavirus outbreak. This treatment contributed to the downgrades of classes E, F and G and the Negative Outlook on class D. Increased Loss Expectations: Fitch's loss projections have increased since the last rating action given the lack of stabilization or continued performance decline for Fitch Loans of Concern. Four regional malls are securitized in the Top 15. Prior to the coronavirus outbreak, three of the four were already flagged as FLOC. There has also been a new loan transferred to special servicing since the last rating action. It is possible that additional loans will default with the wave of upcoming maturities for all of the outstanding loans in 2022, especially given the current closure of most hotels and non-essential retailers. Stable Subordination: There are 40 out of the original 52 loans remaining in the pool. Ten loans representing 13.8% of the pool are fully defeased. The three largest loans, which represent 36.3% of the pool, are interest-only. Although there has been increased credit enhancement as a result of amortization and payoffs since issuance, subordination has not changed significantly since the last rating action. All of the outstanding loans are scheduled to mature in 2022. Since issuance, the pool has paid down by 21.9% to $977.2 million from $1.25 billion at issuance. RATING SENSITIVITIES The Outlooks on classes A-SB through B and the IO class X-A remain Stable. The Outlook on classes C, PEZ and D was revised to Negative from Stable and the Outlook on class E remains Negative following its downgrade to 'BBsf' from 'BBB-sf'. The Outlooks on classes F and G were also removed following their downgrade to 'CCCsf' from 'BBsf' and 'Bsf', respectively. Rating Sensitivity Factors that could, individually or collectively, lead to positive rating action/upgrade: Factors that lead to upgrades would include stable to improved performance coupled with pay down and/or defeasance. An upgrade to class B would occur with continued paydown and would be limited as concentrations increase. Upgrades of classes C through D would only occur with significant improvement in credit enhancement and stabilization of the FLOCs. Classes would not be upgraded above 'Asf' if there is likelihood for interest shortfalls. An upgrade to classes E through G is not likely unless performance of the FLOCs stabilizes and if the performance of the remaining pool is stable and would not likely occur until later years in the transaction assuming losses were minimal. Factors that could, individually or collectively, lead to negative rating action/downgrade: Factors that lead to downgrades include an increase in pool level losses from underperforming or specially serviced loans. Downgrades to the classes rated 'AAAsf' are not considered likely due to the position in the capital structure, but may occur at 'AAAsf' or 'AA-sf' should interest shortfalls occur. Downgrades to classes C, PEZ and D are possible should the malls fail to refinance. Downgrades to the distressed classes are expected as losses are realized. In addition to its baseline scenario, Fitch also envisions a downside scenario where the health crisis is prolonged beyond 2021; should this scenario play out, Fitch expects that a greater percentage of classes may be assigned a Negative Rating Outlook or those with Negative Rating Outlooks will be downgraded one or more categories. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. 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. REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING The principal sources of information used in the analysis are described in the Applicable Criteria. ESG CONSIDERATIONS COMM 2012-CCRE3 has an ESG Relevance Score of 4 for Exposure to Social Impacts due to significantly high retail exposure including four regional malls that are currently or at risk of underperforming as a result of changing consumer preference to shopping, which has a negative impact on the credit profile and is highly relevant to the rating. This has contributed to the downgrades of classes E, F and G as well as the Negative Outlooks on classes C, PEZ, D and E. Except for the matters discussed, the highest level of ESG credit relevance, if present, is a score of 3 - ESG issues are credit neutral or have only a minimal credit impact on the entity(ies), either due to their nature or the way in which they are being managed by the entity(ies). CMLS ISSUER 2014-1: DBRS Confirms B Rating on Class G Certs ----------------------------------------------------------- DBRS Limited confirmed the ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2014-1 issued by CMLS Issuer Corp., Series 2014-1 (the Trust) as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class B at AA (sf) -- Class C at AA (low) (sf) -- Class X at AA (low) (sf) -- Class D at BBB (high) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (sf) -- Class G at B (sf) All trends are Stable. Previously, DBRS Morningstar maintained a Negative trend for Class G has given concerns surrounding the Clearwater Suites Hotel (Prospectus ID#10) loan, which was secured by a hotel property in Fort McMurray, Alberta, and had been monitored for significant performance declines from issuance. However, that loan was fully repaid with the March 2020 remittance, and as such, DBRS Morningstar changed the trend for Class G to Stable from Negative. The rating confirmations reflect the overall stable performance of the transaction since last review. At issuance, the transaction consisted of 37 fixed-rate loans and an original trust balance of $283.7 million. As of the March 2020 remittance, 26 loans remained in the Trust with a balance of $203.9 million, representing a collateral reduction of 28.1% caused by loan repayments and scheduled loan amortization. The pool also benefits from generally shorter amortization schedules and a lack of interest-only (IO) periods as all loans amortize for their respective terms. Loans representing 100% of the current pool balance are reporting a YE2018 weighted-average (WA) debt service coverage ratio (DSCR) and WA debt yield of 1.64 times (x) and 12.0%, respectively. As of the March 2020 remittance, there were three loans, representing 12.6% of the pool balance, on the servicer's watchlist because of performance-related reasons or deferred maintenance observed at the most recent servicer's site inspections of the collateral properties. There are no loans in special servicing. The largest loan on the watchlist, Spring Garden Place (Prospectus ID#5, representing 6.0% of the pool), is secured by a mixed-use office building located in Halifax. The loan is on the servicer's watchlist because of a low YE2018 DSCR of 0.41x, which remains unchanged from YE2017, compared with the Issuer's DSCR of 1.55x at securitization. According to the servicer, the decline in performance since issuance has been attributed to rent abatement periods and fluctuating occupancy. According to the March 2020 rent roll, occupancy was reported at 68.0%, compared with 54.3% at YE2018 and 88.0% at YE2017. A notable tenant departure includes IWK Health Centre (22.1% of the net rentable area (NRA)), which vacated the subject upon its September 2018 lease expiration, while The Bank of Nova Scotia (rated AA with a Stable trend by DBRS Morningstar) reduced its footprint to 5.3% from 24.1% of the NRA in August 2019. Although the borrower has been successful in signing a few smaller tenants in Q4 2019, property occupancy remains depressed. As part of this review, a probability of default penalty was applied to increase the expected loss for this loan in the model. DBRS Morningstar does note the transaction's exposure to a concentration of retail properties in the pool, a factor that is particularly noteworthy given the Coronavirus Disease (COVID-19) outbreak of 2020 and the impact to retail traffic around the world as government officials, property owners, and company CEOs alike, have taken measures to address the virus's spread by ordering stores and restaurants closed. DBRS Morningstar notes that some of the retail properties securing loans in the subject transaction have tenants that are considered essential services, such as food and pharmaceutical providers that are expected to continue to stay open and operate during the coronavirus outbreak. Class X is an IO certificate that references a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. Notes: All figures are in Canadian dollars unless otherwise noted. COMM 2015-CCRE25: Fitch Cuts Class E Debt to 'CCCsf' ---------------------------------------------------- Fitch Ratings has downgraded ratings for three classes and affirmed ratings for seven classes of COMM 2015-CCRE25 Mortgage Trust. COMM 2015-CCRE25 - Class A-3 12593PAV4; LT AAAsf; Affirmed - Class A-4 12593PAW2; LT AAAsf; Affirmed - Class A-M 12593PAY8; LT AAAsf; Affirmed - Class A-SB 12593PAU6; LT AAAsf; Affirmed - Class B 12593PAZ5; LT AA-sf; Affirmed - Class C 12593PBA9; LT A-sf; Affirmed - Class D 12593PBB7; LT BBsf; Downgrade - Class E 12593PAE2; LT CCCsf; Downgrade - Class X-A 12593PAX0; LT AAAsf; Affirmed - Class X-C 12593PAC6 LT BBsf; Downgrade KEY RATING DRIVERS Increased Loss Expectations: The downgrades and Negative Outlooks are due to increased loss expectations on the specially serviced loans along with the slowdown in economic activity related to the coronavirus pandemic. Thirty-nine loans (49.3% of pool) have been designated as Fitch Loans of Concern (FLOCs), including five specially serviced loans (7.3%). Specially Serviced Loans/Assets and Fitch Loans of Concern: The largest specially serviced asset is Monarch 815 at East Tennessee State (3.0%), a student housing property in Johnson City, TN that was transferred to the special servicer in June 2018 due to payment default. The property is less than one mile from East Tennessee State University's main campus. There is a free shuttle bus to campus with a stop located across the street from the property. The 2019 academic year had total enrollment of 14,411, down slightly from 14,574 students in 2018 and 14,608 in 2017. There was a large drop in occupancy to 58% at the start of the 2019-2020 school year from 96.4% at issuance. The property was 69% occupied as of March 2020 and is currently 52% pre-leased for the 2020/2021 school year. The campus has been shut down due to the coronavirus, which has subsequently caused leasing to slow down. The NCF DSCR from 3/2019 to 9/2019 was -0.70 compared to 0.27x at YE 2018 and 0.50x at YE 2017. Tarantino Properties was hired as a new management company to help stabilize the property by increasing occupancy and better maintaining the property. Fitch's expected losses are based on a discount to the appraisal value. The second largest specially serviced asset is Square 95 (2.3%), a retail property with 155,309 sf located in Woodbridge, VA that was built in 1996 and renovated in 2014. The asset transferred to the special servicer in Feb. 2018 due to occupancy dropping to 49% when Gander Mountain vacated in 2017 after the lease was rejected in bankruptcy. The asset became REO in July 2018. The asset is directly next to the Potomac Mills Mall, an outlet mall with more than 200 stores. The outlet mall is anchored by Costco, Bloomingdale's-The Outlet Store, Neiman Marcus Last Call, Saks Fifth Avenue Off 5th, Nordstrom Rack and Nike Factory Store. As of January 2020, occupancy remained at 49%, but the special servicer is currently marketing the property to tenants that the adjacent mall does not restrict. The Sept. 2019 DSCR was 0.48x, YE 2018 DSCR was 0.37x, and the YE 2017 DSCR was 1.05x. Fitch's expected losses are based on a discount to the appraisal value. The largest non-specially serviced FLOC and second largest loan, Courtyard Miami Downtown (4.7%), is a hotel property with 233 rooms in Miami, FL, built in 1975 and renovated in 2012. The servicer's reported NOI DSCR as of December 2019 was 1.97x compared to 2.01x at YE2018, 1.94x at YE 2017, 1.60x at YE 2016, and 1.72x at issuance. As of the TTM period ended January 2020, the property achieved occupancy, ADR and RevPAR of 84%, $170, and $143, respectively, compared to 84%, $154 and $129 at issuance. The 11th largest loan and FLOC, Paradise Esplanade (2.2%), is a retail property located in Las Vegas, NV and built in 2005. Occupancy dropped to 82% at YE 2019 from 97% in March 2019 when Revolt Tattoo vacated in Nov. 2019. The largest tenant, CVS, has a ground lease that expires in Jan. 2027, followed by Ferraro's Restaurant, whose lease expires in Jan. 2025. The servicer's reported NOI DSCR as of YE 2019 was 1.63x compared to 1.77x at YE2018, 1.72x at YE 2017, and 1.98x at YE 2016. The 14th largest loan and FLOC, The Village Square Shopping Center (2.1%), is a retail property located in Woodmere, OH and built in 1960. The shopping center was previously anchored by Whole Foods Market that closed in Aug. 2018 after a new Whole Foods Market opened approximately one mile away in a newer mixed-use center called Pinecrest. Whole Foods' lease expires in December 2020 and accounts for approximately 25% of the property's annual rent. The YE 2019 NOI DSCR was 1.42x. Coronavirus Exposure: Significant economic impact to certain hotels, retail, and multifamily properties is expected from the coronavirus pandemic due to the recent and sudden reductions in travel and tourism, temporary property closures, and lack of clarity at this time on the potential duration of the impact. The pandemic has already prompted the closure of several hotel properties in gateway cities as well as malls, entertainment venues and individual stores. Fitch's base case analysis applied an additional NOI stress to eight hotel (14.6%) loans and 17 retail (14.9%) loans, which had an impact on the Negative Outlooks on classes B, C, D, X-C and downgrades on classes D, E, and X-C. Eleven non-defeased loans collateralized by hotel properties account for 17.6% of the pool, including three loans (10.4%) in the top 15. Seventeen non-defeased loans collateralized by multifamily properties account for 19.6% of the pool, one (3%) of which is student housing. Further, retail properties comprise 29 loans (31.8% of the pool), while mixed-use properties with a retail component comprise an additional four loans (6.8% of the pool). The largest concentration of loans in the transaction by state is California, which has been significantly impacted by the coronavirus pandemic. Improved Credit Enhancement: Credit enhancement has increased since issuance due to loan payoffs and scheduled amortization. As of the April 2020 remittance, the pool's aggregate principal balance has been reduced by 9% to $1.027 billion from $1.127 billion at issuance. Of the 84 loans in the transaction at issuance, 82 loans remain. Five loans (3.9% of pool) are fully defeased. Interest shortfalls are currently affecting class G. The pool is scheduled to amortize by 12.8% of the initial pool balance prior to maturity. Eight loans, representing 13.6% of the pool, are full-term interest only, and 32 loans, representing 52.3% of the pool, are partial interest only. Thirty-one loans (40.6% of the pool) of the 32-partial interest-only loans have expired or will be expiring in the next few months. The remainder of the pool consists of 42 balloon loans representing 34.1% by balance. Only two loans mature in 2020 (1.5%), and all remaining loans mature in 2025. RATING SENSITIVITIES The Negative Outlooks on classes B, C, D, and X-C reflect performance concerns with hotel and retail properties due to the sharp decline in travel and commerce as a result of the coronavirus pandemic. They also reflect concerns with the specially serviced assets, which comprise 7.3% of the pool. The Stable Outlooks on classes A-SB through A-M reflect the increasing credit enhancement (CE) and continued amortization. Factors that could, individually or collectively, lead to positive rating action/upgrade: Sensitivity factors that lead to upgrades would include stable to improved asset performance coupled with paydown and/or defeasance. Upgrades of one category to classes B and C would occur with significant improvement in CE and/or defeasance; however, adverse selection and increased concentrations, further underperformance of the FLOCs, including those expected to be negatively impacted by the coronavirus pandemic, or higher than expected losses on the specially serviced loans could cause this trend to reverse. An upgrade of classes D and X-C is considered unlikely and would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'Asf' if there is likelihood for interest shortfalls. An upgrade to class D by a category is not likely until the later years of the transaction and only if there are better than expected recoveries on specially serviced loans, the performance of the remaining pool is stable and/or properties vulnerable to the coronavirus return to pre-pandemic levels, and there is sufficient CE to the class. Factors that could, individually or collectively, lead to negative rating action/downgrade: Sensitivity factors that lead to downgrades include an increase in pool level losses from underperforming or specially serviced loans. Downgrades to the senior A-3, A-4, A-SB, X-A, and A-M classes are not likely due to the position in the capital structure but could occur if interest shortfalls occur or if a high proportion of the pool defaults and expected losses increase significantly. Downgrades to classes B, C, D and X-C, which have Negative Outlooks, would occur and be one category or more if overall pool losses increase substantially, performance of the FLOCs deteriorate further, properties vulnerable to the coronavirus fail to stabilize to pre-pandemic levels and/or losses on the specially serviced loans are higher than expected. Further downgrades to the 'CCCsf' rated class E will occur if losses are considered probable or inevitable or if losses are realized. The Negative Rating Outlooks on classes B, C, D, and X-C may be revised back to Stable if performance of the FLOCs improves and/or properties vulnerable to the coronavirus stabilize once the pandemic is over. In addition to its baseline scenario, Fitch also envisions a downside scenario where the health crisis is prolonged beyond 2021; should this scenario play out, Fitch expects that a greater percentage of classes may be assigned a Negative Rating Outlook or those with Negative Rating Outlooks will be downgraded one or more categories. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. 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. REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING The principal sources of information used in the analysis are described in the Applicable Criteria. ESG CONSIDERATIONS ESG issues are credit neutral or have only a minimal credit impact on the entity(ies), either due to their nature or the way in which they are being managed by the entity(ies). COMM 2015-CCRE26: Fitch Affirms Class F Certs at 'BB-sf' -------------------------------------------------------- Fitch Ratings has affirmed 12 classes and revised Outlooks on two classes of Deutsche Bank Securities, Inc.'s COMM 2015-CCRE26 Mortgage Trust commercial mortgage pass-through certificates. COMM 2015-CCRE26 - Class A-2 12593QBB5; LT AAAsf; Affirmed - Class A-3 12593QBD1; LT AAAsf; Affirmed - Class A-4 12593QBE9; LT AAAsf; Affirmed - Class A-M 12593QBG4; LT AAAsf; Affirmed - Class A-SB 12593QBC3; LT AAAsf; Affirmed - Class B 12593QBH2; LT AA-sf; Affirmed - Class C 12593QBJ8; LT A-sf; Affirmed - Class D 12593QBK5; LT BBB-sf; Affirmed - Class E 12593QAL4; LT BB+sf; Affirmed - Class F 12593QAN0; LT BB-sf; Affirmed - Class X-A 12593QBF6; LT AAAsf; Affirmed - Class X-C 12593QAC4; LT BBB-sf; Affirmed KEY RATING DRIVERS Increasing Loss Expectations/Fitch Loans of Concern: While the majority of the pool has exhibited stable pool performance, loss expectations have increased due to the increasing number of Fitch Loans of Concern. Fitch identified eight loans (19.4% of the pool) as Fitch Loans of Concern (FLOCs). The largest FLOC, Rosetree Corporate Center (4.3% of the pool), is secured by a 268,156 sf suburban office property located in Media, PA. Although the property's occupancy has remained relatively stable, the property's largest tenant, FXI, Inc. (15.9% of the NRA) lease expired in September 2019. Fitch requested an update from the master servicer, but has not received a response. The second largest FLOC, Crossroads Office Portfolio (4.1% of the pool), is secured by a 392,003 sf office portfolio in Long Island, NY. Since Fitch's last rating action, the loan was transferred back to the master servicer as a corrected mortgage loan in July 2019. The loan was assumed in January 2019 by a partial owner of the previous tenant-in-common (TIC) ownership structure. The assumption terms included the loan being brought current, an additional $550,000 into the TI/LC reserves and payment of all relevant special servicer fees. As of YE 2019, the property's occupancy improved to 80% from 74.4% at YE 2017 and 70.6% at YE 2016. The most recent NOI debt service coverage ratio as of YE 2019 was 1.15x from 1.14x at YE 2017 and 1.67x at YE 2016. Fitch will continue to monitor the loan for further updates. The third and fourth largest FLOCs, Hotel Lucia (3.0% of the pool) and Hotel Max (2.9% of the pool), are secured by two boutique hotels located in Portland, OR and Seattle, WA; respectively. The hotels are not cross-collateralized, but are owned by the same sponsor. The Hotel Lucia has exhibited declining performance since issuance and a negative RevPAR penetration rate of 96.9% as of YE 2019. Although the Hotel Max has shown relatively stable performance it continues to have a negative RevPAR penetration rate of 82.1% as of YE 2019. Fitch expects declines in performance at the properties due to lack of travel related to the coronavirus pandemic. The fifth and sixth largest FLOCs, Hampton Inn & Suites Alexandria (2.5% of the pool) and Hilton Garden Inn El Paso (1.3% of the pool), are secured by a 213-key hotel located in Alexandria, VA and a 153-key hotel located in El Paso, TX. As of YE 2019, the Hampton Inn & Suites Alexandria reported occupancy, ADR and RevPAR of 70.8%, $143 and $101, respectively. As of Sept. 30, 2019, the Hilton Garden Inn El Paso reported occupancy, ADR and RevPAR of 85.2%, $116 and $99, respectively. Fitch expects declines in performance at the properties due to lack of travel related to the coronavirus pandemic. The remaining FLOCs each represent less than 1% of the total pool balance and are both on the master servicer's watchlist. Fitch will continue to monitor the loans for further updates. Coronavirus Exposure: Significant economic impact to certain hotels, retail and multifamily properties is expected from the coronavirus pandemic, due to the recent and sudden reductions in travel and tourism; temporary property closures and lack of clarity at this time on the potential length of the impact. The pandemic has already prompted the closure of several hotel properties in gateway cities as well as malls, entertainment venues and individual stores. Six loans (13.8% of the pool) are secured by hotel properties, of which three are within the top 15 and are considered FLOC. The weighted average debt service coverage ratio (WADSCR) for all hotel loans in the pool is approximately 1.98x and the average decline in NOI the loans could sustain before the actual debt service coverage ratio would fall below 1.0x is 44.7%. However, excluding the largest hotel loan, JDSK Portfolio - AHIP (3.1% of the pool), which has a NOI DSCR of 2.91x, the WADSCR for these loans is 1.32x and on average, the loans could sustain a 29.7% decline in NOI before the actual DSCR would fall below 1.0x coverage. Additionally, as part of Fitch's base case analysis, Fitch applied additional stresses to hotel, retail and multifamily loans to account for potential cash flow disruptions due to the coronavirus pandemic. These additional stresses contributed to the Negative Outlooks on classes E and F. Increasing Credit Enhancement: As of the April 2020 remittance, the pool's aggregate principal balance has been reduced by 7.0% to $1.01 billion from $1.09 billion at issuance. Since Fitch's last rating action, two loans (previously 1.5% of the pool) paid off ahead of their respective expected maturity dates. Two loans (0.7% of the pool) are fully defeased. Seven loans (16.9% of the pool) have interest only payments, including three loans (14.4% of the pool) in the top 15. Twenty-one loans (55.4% of the pool) have partial IO payments, including eight loans (41.55% of the pool) in the top 15. Of the loans with partial interest only payments, 16 (39.8% of the pool) are now amortizing. The remainder of the pool is amortizing. Investment Grade Credit Opinion Loan: At issuance, the second largest loan, 11 Madison Avenue (6.9% of the pool), was assigned a stand-alone investment grade credit opinion of 'A-'. The loan is secured by a 2.3 million sf office building located on Park Avenue South in Manhattan. The collateral serves as Credit Suisse's (rated A/F1 by Fitch) North American headquarters and as of Sept. 30, 2019, the property was 99% occupied. Maturity and Property Type Concentrations: The majority of the pool (99.2% of the pool) has maturity dates in 2025; one loan (0.8% of the pool) matures in 2020. Eighteen loans (17.1% of the pool) are secured by retail properties and 13 loans (39.1% of the pool) are secured by office properties. RATING SENSITIVITIES Rating Sensitivity Near-term rating changes are limited, as indicated by the sufficient CE, continued amortization, relatively stable performance of the pool as evidenced by the Stable Outlooks on classes A-2 through D. Factors that could, individually or collectively, lead to positive rating action/upgrade: Factors that could lead to upgrades would include stable to improved asset performance, coupled with additional pay down and/or defeasance. Upgrades to the 'A-sf' and 'AA-sf' rated classes would likely occur with significant improvement in CE and/or defeasance; however, adverse selection and increased concentrations, or the underperformance of the FLOC could cause this trend to reverse. Upgrades of the 'BBB-sf' and below-rated classes are considered unlikely and would be limited based on the sensitivity to concentrations or the potential for future concentrations. Classes would not be upgraded above 'Asf' if there is a likelihood for interest shortfalls. An upgrade to the 'BB+sf' and 'BB-sf' rated classes is not likely until the later years in the transaction and only if the performance of the remaining pool is stable and/or if there is sufficient credit enhancement, which would likely occur when the non-rated class is not eroded and the senior classes pay off. Factors that could, individually or collectively, lead to negative rating action/downgrade: Factors that could lead to downgrades include an increase in pool level losses due to underperforming or specially serviced loans. Downgrades to the senior classes, rated 'AA-sf' through 'AAAsf', are not likely due to the position in the capital structure and the high credit enhancement; however, downgrades of these classes may occur should interest shortfalls occur. Downgrades to the classes rated 'BBB-sf' and below would occur if the performance of the Fitch Loans of Concern continues to decline or fails to stabilize. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. 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. REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING The principal sources of information used in the analysis are described in the Applicable Criteria. ESG CONSIDERATIONS ESG issues are credit neutral or have only a minimal credit impact on the entity(ies), either due to their nature or the way in which they are being managed by the entity(ies). CSMC TRUST 2018-RPL12: Fitch Gives B- Rating on 2 Tranches ---------------------------------------------------------- Fitch Ratings has assigned the following ratings to CSMC 2018-RPL12 Trust: CSMC 2018-RPL12 Trust - Class A-1; LT AAAsf; New Rating - Class A-2; LT Asf; New Rating - Class A-3; LT B-sf; New Rating - Class B-1; LT Asf; New Rating - Class B-2; LT B-sf; New Rating - Class B-3; LT NRsf; New Rating - Class B-4; LT NRsf; New Rating - Class B-5; LT NRsf; New Rating - Class PT; LT NRsf; New Rating TRANSACTION SUMMARY CSMC 2018-RPL12 is supported by a pool of re-performing mortgage loans. The transaction was originally issued in the fourth quarter of 2018 and was not rated at deal close. In tandem with this rating assignment the transaction is being modified to 1) allow principal collection o be redirected to cover any potential interest shortfalls on the class A-1, 2) using interest payment otherwise allocable to the class B-3 to fund an account that may be used for potential repurchases and 3) adding certain constraints on which institutions can act as an "Eligible Account". KEY RATING DRIVERS Revised GDP due to Coronavirus (Negative): The coronavirus pandemic and the resulting containment efforts have resulted in revisions to Fitch's GDP estimates for 2020. Fitch's baseline global economic outlook for US GDP growth is currently a 3% decline% for 2020, down from 1.7% for 2019. Fitch's downside scenario would see an even larger decline in output in 2020 and a weaker recovery in 2021. Using the recession in 2008 and 2009 as a reference point, the baseline GDP estimate growth is close to 4Q09 where GDP growth turned positive of ~ .50%. To account for declining macroeconomic conditions resulting from the coronavirus pandemic, Fitch applied a 2.0x floor to the Economic Risk Factor (ERF) default variable in its loan loss model. RPL Credit Quality (Mixed): The collateral consists of 30-year FRM and five-year ARM fully amortizing loans, seasoned approximately 161 months in aggregate. The borrowers in this pool have weaker credit profiles (692 FICO) and relatively high leverage (84.5% sLTV). In addition, the pool contains no loans of particularly large size, and none are over $1 million. The largest is $0.93 million. 21% of the pool had a delinquency in the past 24 months. Geographic Concentration (Neutral): Approximately 27% of the pool is concentrated in California with relatively low MSA concentration. The largest MSA concentration is in New York MSA (14.4%) followed by the Los Angeles MSA (10.4%) and the Chicago MSA (6.6%). The top three MSAs account for 31.3% of the pool. As a result, there was no adjustment for geographic concentration. Transaction Structure (Positive): The transaction's cash flow is based on a sequential-pay structure whereby the subordinate classes do not receive principal until the senior classes are repaid in full. Losses are allocated in reverse-sequential order. No Servicer Advancing (Mixed): The servicers will not be advancing delinquent monthly payments of principal and interest. Because P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust, the loan-level loss severities (LS) are less for this transaction than for those where the servicer is obligated to advance P&I. Low Operational Risk (Positive): Operational risk is well controlled for in this transaction. Credit Suisse has an established operating history acquiring single family residential loans. Rushmore Loan Management Services (Rushmore) is the named servicer for the transaction and is rated by Fitch as RPS2 with an Outlook Negative. Fitch did not apply adjustments to the 'AAAsf' rating category based on the transaction parties. Issuer retention of at least 5% of the bonds also helps ensure an alignment of interest between both the issuer and investor. Tier 2 Rep & Warranty Framework (Negative): The loan-level representations and warranties (R&Ws) are consistent with a Tier 2 framework. The tier assessment is based primarily on the inclusion of knowledge qualifiers in the underlying reps as well as a breach reserve account that replaces the Sponsor's responsibility to cure any R&W breaches following the established sunset period. Fitch increased its loss expectations by 177 bps at the 'AAAsf' rating category to reflect both the limitations of the R&W framework as well as the non-investment-grade counterparty risk of the provider. Due Diligence Review Results (Negative): A third-party due diligence review was performed on 100% of the loans in the transaction pool at the time of transaction close. The review was performed by SitusAMC, which is assessed by Fitch as an 'Acceptable - Tier 1' TPR firm. The due diligence results indicate moderate operational risk with 9.4% of loans receiving a final grade of 'C' or 'D'. While this concentration of material exceptions is similar to other Fitch-rated RPL RMBS, adjustments were applied only to loans missing of estimated final HUD-1 documents that are subject to testing for compliance with predatory lending regulations. These regulations are not subject to statute of limitations like most compliance findings which ultimately exposes the trust to added assignee liability risk. Fitch adjusted its loss expectation at the 'AAAsf' rating category by less than 25 bps to account for this added risk. RATING SENSITIVITIES Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper 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 that may be considered in the surveillance of the transaction. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. Factors that could, individually or collectively, lead to negative rating action/downgrade: This defined negative rating 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 37.5% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category Factors that could, individually or collectively, lead to positive rating action/upgrade: This defined positive rating sensitivity analysis demonstrates how the ratings would react to negative MVDs at the national level, or in other words positive home price growth with no assumed overvaluation. The analysis assumes positive home price growth of 10.0%. Excluding the senior class, which is already 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of AAAsf. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modelling process uses the modification of these variables to reflect asset performance in up- and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. CRITERIA VARIATION There is one variation to the U.S. RMBS Rating Criteria. The tax and title search were performed at the time of the initial transaction closing, which is outside of the six-month time frame as described in Fitch's criteria. This is mitigated by the relatively small outstanding amounts at the time the search was completed, the close proximity to the six-month threshold as well as the servicer's responsibility to advance these payments to maintain the trust's interest in the loans. As a result, there was no rating impact. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 A third-party due diligence review was completed on 100% of the loans in the transaction pool. The due diligence scope included a regulatory compliance review that covered applicable federal, state and local high-cost loan and/or anti-predatory laws, as well as the Truth in Lending Act (TILA) and Real Estate Settlement Procedures Act (RESPA). The scope was consistent with published Fitch criteria for due diligence on RPL RMBS. The regulatory compliance review indicated that 964 reviewed loans, or approximately 9.4% of the total pool, were found to have a material defect and therefore assigned a final grade of 'C' or 'D'. 444 of reviewed loans, or approximately 4.3% of the total pool, received a final grade of 'D' as the loan file did not have a final HUD-1. The absence of a final HUD-1 file does not allow the TPR firm to properly test for compliance surrounding predatory lending in which statute of limitations does not apply. These regulations may expose the trust to potential assignee liability in the future and create added risk for bond investors. The remaining 520 loans with a final grade of 'C' or 'D' reflect missing final HUD-1 files that are not subject to predatory lending, missing state disclosures, and other missing documents related to compliance testing. Fitch notes that these exceptions are unlikely to add material risk to bondholders since the statute of limitations on these issues have expired. No adjustment to loss expectations were made for these 520 loans. Fitch also applied outside the model adjustments on 48 loans that had missing modification agreements. Each loan received a three-month foreclosure timeline extension GS MORTGAGE 2013-GC13: Fitch Cuts Class F Certs to 'CCCsf' ---------------------------------------------------------- Fitch Ratings has downgraded three classes and affirmed 10 classes of GS Mortgage Securities Trust 2013-GC13 commercial mortgage pass-through certificates. GS Mortgage Securities Trust 2013-GC13 - Class A-3 36198EAC9; LT AAAsf; Affirmed - Class A-4 36198EAD7; LT AAAsf; Affirmed - Class A-5 36198EAE5; LT AAAsf; Affirmed - Class A-AB 36198EAF2; LT AAAsf; Affirmed - Class A-S 36198EAP0; LT AAAsf; Affirmed - Class B 36198EAS4; LT AA-sf; Affirmed - Class C 36198EAY1; LT Asf; Affirmed - Class D 36198EBB0; LT BBB-sf; Affirmed - Class E 36198EBE4; LT Bsf; Downgrade - Class F 36198EBH7; LT CCCsf; Downgrade - Class PEZ 36198EAV7; LT Asf; Affirmed - Class X-A 36198EAG0; LT AAAsf; Affirmed - Class X-B 36198EAH8; LT Bsf; Downgrade Classes X-A and X-B are interest only. Class A-S, class B, and class C certificates may be exchanged for class PEZ certificates, and class PEZ certificates may be exchanged for up to the full certificate principal amount of the class A-S, class B and class C certificates. KEY RATING DRIVERS Increased Loss Expectations: While the majority of the pool has maintained stable performance, loss expectations have increased recently primarily due to the slowdown in economic activity related to the coronavirus pandemic. The downgrades to the junior most rated classes primarily reflect the more imminent loan maturity and increased loss expectations on the Mall St. Matthews loan (11.7%) as well as the other Fitch Loans of Concern (FLOCs, 17.4%). The largest FLOC is the Mall St. Matthews loan, which is secured by a 670,376 sf portion of a one million sf regional mall located in Louisville, KY. The mall competes with a nearby regional mall, which has the same sponsorship as the subject, and a large lifestyle center in the vicinity. The property is anchored by a JCPenney, and non-collateral Dillard's and Dillard's Men's & Home. Per the servicer, the YTD September 2019 NOI DSCR was 2.02x while the YE 2018 NOI DSCR was 2.13x with collateral occupancy at 92.3%. In-line tenant sales are healthy at $410 psf for TTM September 2019. The mall is currently closed due to the coronavirus pandemic, with only a few restaurant tenants open for pickup and delivery services only. Fitch expects the mall's closure will have a significant short-term impact on property performance causing weakening to property metrics. Further, Fitch is concerned about the loan's ability to refinance at its imminent maturity in June 2020, given the ongoing coronavirus pandemic and its uncertain impact on the capital markets. The next largest FLOC is the Crossroads Center loan (7.9%), which is secured by a 766,213 sf portion of a regional mall, located about 50 miles outside of Minneapolis in Saint Cloud, MN. The mall is anchored by JCPenney, Macy's, Scheels All Sports and a non-collateral Target. Performance has declined over the past few years. Per the September 2019 rent roll, collateral occupancy was 83.8%, after the anchor tenant, Sears, went dark in January 2018. Further, comparable in-line sales (under 10,000 sf) fell to $354 psf for TTM September 2019 compared to $356 psf for 2018, $365 psf in 2017, $412 psf for YE 2016 and $409 psf for YE 2015. The former Sears space has been divided into four new tenant spaces, three of which are now leased to national retailers. The mall is temporarily closed due to the coronavirus pandemic with only non-collateral Target open as an essential business and a handful of restaurant tenants providing curbside pickup. The loan matures in 2023. Additional FLOCs include the Holiday Inn - 6th Avenue loan (6.4%), which is secured by a 226-key full-service hotel located in the Chelsea neighborhood of Midtown Manhattan. The hotel continues to perform well below issuance levels due to increased competition in the area. The servicer reported TTM September 2019 NOI was 36% below the NOI at issuance (TTM April 2013); and the Warehouse & Flex Portfolio loan (1.7%), which is secured by a portfolio of Pennsylvania industrial properties, continues to have occupancy issues. No other FLOC represents more than 0.6% of the pool; all properties are negatively affected by occupancy issues, which Fitch will continue to monitor. Improved Credit Enhancement and Increased Defeasance: Since issuance, 64 of the original 67 loans remain in the pool. As of the March 2020 distribution date, the pool's aggregate principal balance has paid down by 13.6% to $1.15 billion from $1.33 billion at issuance. Approximately 80% of the pool is now amortizing; however, the remaining 20% of the pool is full term interest-only, including two of the top three loans in the pool. Ten loans (15.3%) are currently defeased. Two loans are scheduled to mature in 2020 (13.1%) while the remaining loans mature in 2023 (86.9%). Alternative Loss Considerations: The Negative Outlooks on classes C, PEZ, D, E, and X-B primarily reflect concerns surrounding the refinance risk of both the Mall St. Matthews loan and the Crossroads Center loan. Fitch performed an additional sensitivity scenario that assumed potential outsized losses of 20% and 25%, respectively, on these loans. Coronavirus Impact: Significant economic impact to certain hotels, retail, and multifamily properties, is expected from the coronavirus pandemic, due to the recent and sudden reductions in travel and tourism, temporary property closures, and lack of clarity at this time on the potential duration of the impact. The pandemic has already prompted the closure of several hotel properties in gateway cities as well as malls, entertainment venues and individual stores. Loans secured by hotels do not constitute a significant portion of the transaction collateral at only 8.8% of the pool, while loans secured by retail properties represent 28.6% of the pool, including two regional malls. Loans secured my multifamily properties compose 14.1% of the pool, including one student housing property (0.6%). Fitch applied additional stresses to hotel, retail and multifamily loans to account for potential cash flow disruptions due to the coronavirus pandemic. The downgrades to classes E, F, and X-B primarily reflect this analysis. RATING SENSITIVITIES The Negative Outlook on classes C, PEZ, D, E and interest only class X-B reflects the potential for further downgrade due to concerns surrounding the ultimate impact of the coronavirus pandemic and the refinance risk associated with the Mall St. Matthews and Crossroads Center loans. Rating Outlooks for the senior classes remain Stable due to the significant credit enhancement, defeasance, and stable performance of the majority of the remaining pool and continued expected amortization. Factors that could, individually or collectively, lead to positive rating action/upgrade: Sensitivity Factors that lead to upgrades would include stable to improved asset performance coupled with pay down and/or defeasance. Rating upgrades may be limited due to increasing pool concentration and adverse selection. Upgrades to the 'Asf' and 'AAsf' categories would likely occur with significant improvement in credit enhancement and/or defeasance; however, adverse selection and increased concentrations, or the underperformance of particular loan(s) could cause this trend to reverse. Upgrades to 'BBBsf' and below categories are considered unlikely and would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'Asf' if there is likelihood for interest shortfalls. An upgrade to the 'Bsf' category is only likely if the performance of the remaining pool is stable and/or properties vulnerable to the coronavirus return to pre-pandemic levels, and there is sufficient credit enhancement to the class, which would likely not happen until later years in the transactions as loans approach maturity and are stable. Factors that could, individually or collectively, lead to negative rating actions/downgrades: Sensitivity Factors that lead to downgrades include an increase in pool level losses from underperforming or specially serviced loans. Downgrades to the classes rated 'AAAsf' are not considered likely due to the position in the capital structure, but may occur at 'AAAsf' or 'AAsf' should interest shortfalls occur. Downgrades to classes with Negative Rating Outlooks are expected if hotel and retail performance fails to improve once the coronavirus pandemic is over. Should the recovery be prolonged and last well beyond 2021 multi-category downgrades are possible. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. 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. REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING The principal sources of information used in the analysis are described in the Applicable Criteria. ESG CONSIDERATIONS The transaction has an ESG Relevance Score of 4 for Exposure to Social Impacts due to two regional malls that are underperforming as a result of changing consumer preferences to shopping. This has a negative impact on the credit profile and is highly relevant to the ratings, resulting in the downgrades and/or Negative Outlooks on classes C and below, and the interest only class X-B. The highest level of ESG credit relevance, if present, is a score of 3. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity(ies), either due to their nature or to the way in which they are being managed by the entity(ies). IMSCI 2013-3: Fitch Affirms CCC Rating on Class G Certs ------------------------------------------------------- Fitch Ratings has affirmed seven classes of Institutional Mortgage Securities Canada Inc.'s (IMSCI) Commercial Mortgage Pass-Through Certificates series 2013-3. All currencies are denominated in Canadian dollars. IMSCI 2013-3 - Class A-3 45779BBA6; LT AAAsf; Affirmed - Class B 45779BBB4; LT AAsf; Affirmed - Class C 45779BBC2; LT Asf; Affirmed - Class D 45779BBD0; LT BBBsf; Affirmed - Class E 45779BBE8; LT BBB-sf; Affirmed - Class F 45779BAV1; LT Bsf; Affirmed - Class G 45779BAW9; LT CCCsf; Affirmed KEY RATING DRIVERS Increasing Loss Expectations: Loss expectations have increased since Fitch's last rating action due to six loans (33.2% of pool) designated as Fitch Loans of Concern (FLOCs), including two loans that transferred to the special servicer in December 2019 as a result of the borrower's bankruptcy. The specially serviced loans, both of which are affiliated with Riaz Mamdani, are Deerfoot Court (9.0%), which is secured by a 76,322-sf office building located in Calgary, AB, and Airways Business Plaza (6.0%), which is secured by a 65,097-sf mixed-use office/retail property located in Calgary, AB. Occupancy at these properties as of December 2019 were 95.3% and 89.9%, respectively. The servicer-reported YE 2018 NOI debt service coverage ratios were 1.61x and 1.46x, respectively. Per the special servicer, a receiver has been appointed and the servicer is formulating plans for a receiver sale. Four other non-specially serviced loans (18.2%) sponsored by Lanesborough Real Estate Investment Trust (LREIT) have been designated as FLOCs due to cash flow deterioration since issuance and low DSCR, primarily caused by the declining Alberta energy sector and/or the Fort McMurray wildfires in 2016. Three loans, Lunar & Whimbrel Apartments (5.2%), Snowbird & Skyview Apartments (5.0%) and Parkland & Gannet Apartments (4.3%), are secured by multifamily properties located in Fort McMurray, AB. The three properties reported occupancies of 82.7%, 95.0% and 80.5%, respectively, as of March 2020, compared with 91.8%; 92.1% and 85.1% as of November 2019. The servicer-reported YE 2018 NOI DSCR were 0.42x, 0.36x and 0.61x, respectively. All three Fort McMurray loans were granted forbearances and maturity extensions through May 2021; these loans are current under the terms of the forbearance. The remaining FLOC, Cedars Apartments (3.7%), is secured by a multifamily property located in Calgary, AB that reported occupancy and NOI DSCR of 91% and 1.12x, respectively, as of YE 2018. All of the FLOCs are full recourse to their respective sponsor/borrower. Increased Credit Enhancement: Credit enhancement has increased since issuance due to loan payoffs and scheduled amortization. As of the April 2020 distribution date, the pool's aggregate principal balance has been paid down by 62.2% to $94.8 million from $250.4 million at issuance, or 18.7% since last rating action. The largest loan at the prior review, the Merivale Mall, paid off in February 2020. There have been no realized losses to date; however, approximately $153,427 in interest shortfalls are currently affecting the non-rated class H. All of the non-specially serviced loans in the pool are currently amortizing. Upcoming scheduled loan maturities for the non-specially serviced loans include 14.5% of the pool in 2021, 53.5% in 2022 and 17% in 2023. Coronavirus Exposure: No loans in the pool are secured by hotel properties. Eleven loans (35.1%) are secured by retail properties, nine (21.6%) of which are secured by single-tenant pharmacies that remain open and have been deemed essential during the pandemic. The weighted average amortizing NOI DSCR for the retail loans is 1.68x; these retail loans could sustain a weighted average decline in NOI of 38.8% before DSCR falls below 1.0x. Five loans (33.7%) are secured by multifamily properties, including one (15.5%) secured by a senior housing property which reported occupancy and NOI DSCR of 92.6% and 1.62x, respectively, as of YE 2018. The remaining four multifamily loans (18.2%) are secured by apartment properties located in Alberta that have suffered performance volatility due to the energy sector and/or the Fort McMurray wildfires. Additional coronavirus specific stresses were applied to all five multifamily loans and one retail loan, which contributed to the Negative Rating Outlooks on classes D through F. Pool Concentration and Energy Exposure: The pool is concentrated with only 22 of the original 38 loans remaining. The top five and top 10 loans account for 44.1% and 68.8% of the pool, respectively. Due to the concentrated nature of the pool, Fitch performed a sensitivity analysis that grouped the remaining loans based on the likelihood and timing of repayment; the ratings reflect this analysis. There is significant sponsor concentration; both of the specially serviced loans (15.0%) are affiliated with Riaz Mamdani and five loans (33.7%) are sponsored by LREIT. Seven loans (35.6%) are secured by properties in located in Alberta, which has experienced volatility from the energy sector over the past few years. Canadian Loan Attributes: The ratings reflect strong Canadian commercial real estate loan performance, including a low delinquency rate and low historical losses of less than 0.1%, as well as positive loan attributes such as short amortization schedules, additional guarantors and recourse to the borrowers. Of the 22 remaining loans, 17 (79.5%) feature full or partial recourse to the borrowers and/or sponsors. RATING SENSITIVITIES Near-term rating changes to the 'AAAsf', 'AAsf' and 'Asf' rated classes are limited due to the increasing CE, continued amortization and relatively stable performance of the majority of the pool, as evidenced by the Stable Rating Outlooks assigned to classes A-3, B and C. Factors that could, individually or collectively, lead to positive rating action/upgrade: Factors that lead to upgrades would include stable to improved asset performance coupled with pay down and/or defeasance. Upgrades of the 'AAsf' and 'Asf' categories would likely occur with significant improvement in CE and/or defeasance, however adverse selection and increased concentrations, further underperformance of the FLOCs or higher than expected losses on the specially serviced loans could cause this trend to reverse. An upgrade of the 'BBBsf' category is considered unlikely and would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'Asf' if there is likelihood for interest shortfalls. Upgrades to the 'Bsf' and 'CCCsf' categories are not likely until the later years of the transaction and only if the performance of the remaining pool is stable and/or properties vulnerable to the coronavirus return to pre-pandemic levels, and there is sufficient credit enhancement to the class. Factors that could, individually or collectively, lead to negative rating action/downgrade: Factors that lead to downgrades include an increase in pool level losses from underperforming or specially serviced loans. Downgrades to the 'AAAsf, 'AAsf' and 'Asf' categories are not likely due to the position in the capital structure, but may at the 'AAAsf' and 'AAsf' categories occur should interest shortfalls occur. Downgrades to the 'BBBsf' and 'Bsf' categories would occur if the FLOCs continue to experience further performance deterioration, losses on the specially serviced loans are higher than expected and/or properties vulnerable to the coronavirus fail to return to pre-pandemic levels. The Rating Outlooks on classes D through F may be revised back to Stable if performance of the FLOCs improves, the specially serviced loans are resolved with better recoveries than expected and/or properties vulnerable to the coronavirus stabilize once the pandemic is over. In addition to its baseline scenario, Fitch also envisions a downside scenario where the health crisis is prolonged beyond 2021; should this scenario play out, Fitch expects that a greater percentage of the classes assigned a Negative Rating Outlook will be downgraded one or more categories. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. 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. REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING The principal sources of information used in the analysis are described in the Applicable Criteria. ESG CONSIDERATIONS ESG issues are credit neutral or have only a minimal credit impact on the entity(ies), either due to their nature or the way in which they are being managed by the entity(ies). IMSCI 2014-5: Fitch Affirms B Rating on Class G Debt ---------------------------------------------------- Fitch Ratings has affirmed seven classes and revised the Rating Outlook of three classes of Institutional Mortgage Securities Canada Inc. (IMSI) 2014-5. All currencies are denominated in Canadian dollars. Institutional Mortgage Securities Canada Inc. 2014-5 - Class A-2 45779BCB3; LT AAAsf; Affirmed - Class B 45779BCC1; LT AAAsf; Affirmed - Class C 45779BCD9; LT Asf; Affirmed - Class D 45779BCE7; LT BBBsf; Affirmed - Class E 45779BCF4; LT BBB-sf; Affirmed - Class F 45779BCG2; LT BBsf; Affirmed - Class G 45779BCH0; LT Bsf; Affirmed KEY RATING DRIVERS Increased Loss Expectations: While most of the pool exhibits stable property level performance, overall loss expectations have increased primarily due to the pool's sole Fitch Loan of Concern (FLOC) Nelson Ridge Pooled Loan (6.0%). Nelson Ridge Pool loan is also the only loan on the servicer's watchlist for low occupancy and debt service coverage ratio. As of the March 2020 distribution date, no loans are in special servicing. Improved Credit Enhancement: Class credit enhancement has significantly increased compared issuance due to amortization and loan payoffs. As of the March 2020 distribution date, the pool's aggregate principal balance has been reduced 67.8% to $100.5 million from $311.8 million at issuance with 13 loans remaining. Since Fitch's last rating action in 2019, four loans totaling approximately $26 million paid in 2019 at their respective maturity dates. The pool has seven loans comprising approximately 66% of total pool balance with full or partial recourse provision. Exposure to Coronavirus: As of the March 2020 distribution period, seven loans (59.8% of the pool) in the pool are secured by retail properties. Fitch's base case analysis applied an additional stress to retail loans given the significant declines in property-level cash flow expected in the short term as a result of the decrease in commerce from the coronavirus pandemic. The largest loan collateralized by retail is Milton Crossroads West (20.5%) is an anchored retail center located in Milton, Ontario. Additional stresses were applied to loans backed by multifamily properties that comprise 12.1% of total pool balance. There are no loans securitized by hotel properties in the pool. These additional stresses did not impact the transaction's expected losses; however, given the significant concentration of retail, classes F and G were placed on Rating Outlook Negative to reflect the increased downgrade risk. In addition, the FLOC Nelson Ridge Loan, which is already underperforming, may default and cause losses to the trust. High Balance Concentration: The pool exhibits high concentration by balance as the top five and top 10 loans represent 68% and 92%, respectively. There are 13 loans remaining in the pool with seven loans (45%) scheduled to mature by March 2021. Energy Market Exposure: The pool has one loan (6.0%) backed by a multifamily property in Alberta, Nelson Ridge Pooled Loan. The market has experienced volatility from the energy sector in the past few years. Nelson Ridge Pooled Loan exhibits poor property level performance and has been designated as a FLOC. Fitch Loan of Concern: The pari passu Nelson Ridge Pooled Loan (6.0%), secured by a 225-unit multifamily property in Fort McMurray, AB, was transferred to special servicing in early 2016 due to a decrease in operating performance. The property operations were affected by the decline in oil prices and occupancy declined to a low of only 45% in 2015. Subsequently, the property was affected by the area wildfires in May 2016. However, the loan returned to master servicing in January 2017. The loan was scheduled to mature in December 2018; currently the loan is in forbearance through November 2020. According to the servicer, the property was 69% occupied in November 2019 and as of December 2018, NOI DSCR was .50x. As of the April 2020 reporting period, the loan's delinquency status was nonperforming matured. Fitch's analysis included an additional NOI stress as performance and potential refinance of the loan and future performance may be impacted by the coronavirus pandemic. RATING SENSITIVITIES The Stable Outlooks on classes A-2 through E reflect the overall stable performance of the pool and expected continued amortization. The Negative Outlooks on class F and G and reflect concerns with the retail properties due to expected decline in commerce as a result of the coronavirus pandemic. In addition, the Negative Outlook reflects the potential for higher loss on the FLOC, Nelson Ridge Pooled Loan. Downgrades of a category are more possible. Factors that could, individually or collectively, lead to positive rating action/upgrade: Factors that lead to upgrades would include stable to improved asset performance coupled with pay down and/or defeasance. Upgrade to class C would likely occur with significant improvement in credit enhancement and/or defeasance as well as stable performance of the retail properties; however, adverse selection and increased concentrations, or the underperformance of particular loans could cause this trend to reverse. Upgrades to classes D and E would also take into account these factors, but would be limited based on sensitivity to the retail concentration. Classes would not be upgraded above 'Asf' if there were likelihood for interest shortfalls. An upgrade to the classes F and G are not likely until the later years in a transaction, and only if the performance of the remaining pool is stable and/or if there is sufficient credit enhancement, which would likely occur when the NR class is not eroded and the senior classes payoff. In addition, any upgrades to the lower classes would only occur if the remaining assets in the pool continue to perform and are expected to pay in full at maturity. Factors that could, individually or collectively, lead to negative rating action/downgrade: Factors that lead to downgrades include an increase in pool level expected losses from underperforming or specially serviced loans; the negative rating outlooks on classes F and G reflect concerns with the potential impact of the coronavirus pandemic on retail and multifamily performance. Downgrades to the senior classes, rated 'AAAsf' are not likely due to the position in the capital structure and the high credit enhancement, but may occur should interest shortfalls occur; the ratings would be downgrade to 'Asf' or below. Downgrades of one category or more to classes D and E would occur should overall pool expected losses increase, retail or multifamily properties default and/or one or more large loans have an outsized loss, which would erode credit enhancement. Downgrades to classes F and G would occur should retail or multifamily properties vulnerable to the negative impact of the coronavirus pandemic default and loss expectations increased. In addition to its baseline scenario related to the coronavirus, Fitch also envisions a downside scenario where the health crisis is prolonged beyond 2021; should this scenario play out, Fitch expects that a greater percentage of classes may be assigned a Negative Rating Outlook or those with Negative Rating Outlooks will be downgraded one or more categories. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. 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. REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING The principal sources of information used in the analysis are described in the Applicable Criteria. ESG CONSIDERATIONS ESG issues are credit neutral or have only a minimal credit impact on the entity(ies), either due to their nature or the way in which they are being managed by the entity(ies). JC PENNEY 2006-1: Moody's Cuts Rating on 2 Tranches to 'C' ---------------------------------------------------------- Moody's Investors Service has downgraded the ratings of seven certificates in four structured note transactions: Issuer: Corporate Asset Backed Corporation Trust Certificates, Downgraded to C; previously on Jun 7, 2019 Downgraded to Caa3 Issuer: Corporate Backed Callable Trust Certificates, J.C. Penney Debenture-Backed Series 2006-1 Class A-1 Certificates, Downgraded to C; previously on Jun 7, 2019 Downgraded to Caa3 Class A-2 Certificates, Downgraded to C; previously on Jun 7, 2019 Downgraded to Caa3 Issuer: Corporate Backed Callable Trust Certificates, J.C. Penney Debenture-Backed Series 2007-1 Class A-1 Certificates, Downgraded to C; previously on Jun 7, 2019 Downgraded to Caa3 Class A-2 Certificates, Downgraded to C; previously on Jun 7, 2019 Downgraded to Caa3 Issuer: SATURNS J.C Penney Corporation Inc. Debenture Backed Series 2007-1 US $3,690,000 Initial Notional Amortizing Balance of Interest-Only Class B Callable Units due March 1, 2097 (Certificates), Downgraded to C (sf); previously on Jun 7, 2019 Downgraded to Caa3 (sf) US $54,500,000 of 7.00% Callable Units due March 1, 2097 (Certificates), Downgraded to C (sf); previously on Jun 7, 2019 Downgraded to Caa3 (sf) RATINGS RATIONALE Its rating actions are a result of the change in the rating of J.C. Penney Corporation, Inc.'s 7.625% Debentures due March 1, 2097 ("Underlying Securities"), which was downgraded to C on April 13, 2020. The four transactions listed above are structured notes whose ratings are based on the rating of the Underlying Securities and the corresponding legal structure of each transaction, respectively. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Approach to Rating Repackaged Securities" published in March 2019. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The ratings of the structured notes will be sensitive to any change in the rating of the 7.625% Debentures due March 1, 2097 issued by J.C. Penney Corporation, Inc. JP MORGAN 2010-C2: Fitch Lowers Rating on 2 Tranches to CC ---------------------------------------------------------- Fitch Ratings has downgraded six and affirmed three classes of J.P. Morgan Chase Commercial Mortgage Finance Corp., commercial mortgage pass-through certificates, series 2010-C2 and revised the Rating Outlook on three classes to Negative from Stable. J.P. Morgan Chase Commercial Mortgage Securities Trust 2010-C2 - Class A-3 46635GAE0; LT AAAsf; Affirmed - Class B 46635GAL4; LT AAsf; Affirmed - Class C 46635GAN0; LT BBBsf; Downgrade - Class D 46635GAQ3; LT BBsf; Downgrade - Class E 46635GAS9; LT CCCsf; Downgrade - Class F 46635GAU4; LT CCCsf; Downgrade - Class G 46635GAW0; LT CCsf; Downgrade - Class H 46635GAY6; LT CCsf; Downgrade - Class X-A 46635GAG5; LT AAAsf; Affirmed KEY RATING DRIVERS Increased Loss Expectations; High Regional Mall Exposure: The downgrades reflect the increased loss expectations for the remaining pool since Fitch's prior rating action, driven primarily by performance deterioration of the retail Fitch Loans of Concern. Four loans are secured by regional malls (72.4%), three of which have declining performance and are considered FLOCs (36.7%), of which one is in special servicing (15.4%). In addition, loans secured by office properties (15.6%) have been identified as FLOCs due to declining performance. Fitch Loans of Concern: The largest FLOC, The Mall at Greece Ridge (15.4%), secured by a 1.05 million sf portion of a 1.6 million sf regional mall located in Greece, NY, was designated a FLOC due to non-collateral Sears vacating in 2018 and refinance concerns with a scheduled maturity of Oct. 1, 2020. Target is a collateral anchor, and JCPenney and Macy's are non-collateral anchors. At YE 2019, collateral occupancy and servicer-reported net operating income (NOI) debt service coverage ratio (DSCR) were 87% and 1.43x, respectively. The loan transferred to special servicing in November 2019 at the borrower's request, as the borrower is looking to refinance the loan, which remains current. Further updates from the special servicer remain outstanding. The Shops at Sunset Place (14.8%), secured by a 516,185 sf, open-air, lifestyle retail center located in South Miami, FL, was designated a FLOC due to declining performance including low DSCR and refinance concerns with a scheduled maturity on Sept. 1, 2020. The property borders the University of Miami's main campus. Larger tenants include AMC, which occupies 17.1% NRA and recently renewed its lease for an additional five years through December 2023 and LA Fitness Sports Clubs, which leases 9.5% NRA and recently renewed its lease for an additional five years through January 2025. As of YTD September 2019, occupancy and servicer-reported NOI DSCR were 71.5% (not including Restoration Hardware Outlet 8.8% NRA; MTM) and 0.83x, respectively. Per the most recently available servicer updates and with regards to the potential redevelopment that was approved by the South Miami City Council in 2019, entitlements are in place and the project is undergoing predevelopment and feasibility analysis. Bryan Tower (14.4%), secured by a 1.1 million sf office building in Dallas, TX, was designated a FLOC due to a major tenant vacancy and refinance concerns with a scheduled maturity on Oct. 1, 2020. Baylor, Scott & White Health, which leases approximately 25% NRA and accounts for approximately 40% of base rent, will vacate upon lease expiration in August 2020. As a result, occupancy will drop from 58% to 33%. Servicer-reported NOI DSCR was 1.64x at YE 2019. Per servicer-updates, approximately 200,000 sf of space is in various stages of the leasing process. Based on the current loan amount, the debt on the building is $53 psf, which is well below the debt psf of recent comparable sales in the market. The property is currently listed for sale. Valley View Mall (6.6%), secured by a 373,497 sf portion of a 628,093 sf regional mall located in La Crosse, WI, was designated a FLOC due to occupancy declines and refinance concerns with a scheduled maturity date of July 1, 2020. While collateral occupancy has remained over 90%, overall mall occupancy declined to 55% after the non-collateral Sears closed in November 2018 and the non-collateral Herberger's closed in August 2018. Macy's, also a non-collateral anchor, previously closed its location in the first quarter of 2017. As a result, servicer-reported NOI DSCR has continued to decline and was 1.17x at YE 2019. The loan is currently cash managed. According to the sponsor, this is no longer considered a core asset. Increased Credit Enhancement: Credit enhancement has increased since Fitch's last rating action from continued amortization and the prepayment of two loans ($110.2 million balance at disposition) with yield maintenance. As of the April 2020 distribution date, the pool's aggregate principal balance had paid down by 62.3% to $415.5 million from $1.1 billion at issuance. One loan (3.8%) is fully defeased. All remaining 11 loans are currently amortizing. Concentrated Pool: The pool is highly concentrated, with only 11 of the original 30 loans remaining, all which mature between July 2020 and October 2020. Retail properties account for 81.8% of the pool, while office properties account for 18.2%. Due to the concentrated nature of the pool, Fitch performed a sensitivity analysis that grouped the remaining loans based on the likelihood of repayment and expected losses from the liquidation of specially serviced loans and/or underperforming or overleveraged loans. The non-Fitch Loans of Concern (non-FLOCs), include six amortizing loans (47.7%), which are secured by retail and office properties with generally stable performance and relatively lower leverage. The largest non-FLOC, Arizona Mills (35.7%), is secured by a 1.25 million-sf regional mall located in Tempe, AZ. Major tenants include Harkins Theaters, Burlington Coat Factory and Lego Land Discovery Center. At Home, which previously leased 8.4% NRA and accounted for approximately 3% of gross rent, vacated in September 2019 upon its lease expiration. As of YTD September 2019, collateral occupancy and servicer-reported NOI DSCR were 80% and 2.18x, respectively. Exposure to Coronavirus Pandemic: Retail properties, which account for 81.8% of the pool, including three regional mall FLOCs (36.7%), have exposure to the coronavirus pandemic and will be challenged by a decline in shopping and property closures. This may affect properties with existing performance issues, including second tier malls. Fitch's analysis took this exposure into consideration as it expects cash flow and occupancy declines, which may lead to higher loss expectations and impact a feasible workout strategy. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: The Negative Rating Outlooks on classes A-3 through D reflect refinance concerns of the FLOCs, particularly The Mall at Greece Ridge, The Shops at Sunset Place, Bryan Tower and Valley View Mall, the impact of the coronavirus pandemic and the potential for a prolonged workout given lack of liquidity in the market for malls. Factors that lead to additional downgrades include a decline in occupancy, cash flow and/or sales for the regional malls. Downgrades of one category or more to classes B, C and D are possible. Classes E, F, G and H could be downgraded to 'CCsf', 'Csf' or 'Dsf' if losses are considered probable, imminent or are realized. Downgrades to the senior class A-3 are not likely due to the position in the capital structure but are possible if the FLOC and/or non-FLOCs fail to refinance at maturity. Factors that could, individually or collectively, lead to positive rating action/upgrade: Upgrades are currently not expected given the high concentration of FLOCs and expectation that the FLOCs will not pay off at their upcoming maturities. In addition, the outlook for regional mall performance is expected to further decline due to the impact of coronavirus and may lead to a prolonged workout strategy. Factors that lead to upgrades of classes B, C and D would include payoff of the FLOCs and/or modifications or loan workouts that result in scenarios better than currently expected. Classes E, F, G and H would only be upgraded if losses were no longer considered possible. Classes would not be upgraded above 'Asf' if there is likelihood for interest shortfalls which could occur with a significant reduction in servicing advancing if appraisal values decline. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. 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. REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING The principal sources of information used in the analysis are described in the Applicable Criteria. ESG CONSIDERATIONS JPMCC 2010-C2 has an ESG Relevance Score of 4 for Exposure to Social Impacts due to sustained structural shift in secular preferences affecting consumer trends, occupancy trends, etc. which, in combination with other factors, affects the rating and contributes to the downgrades and Negative Outlooks. Except for the matters discussed, the highest level of ESG credit relevance, if present, is a score of 3 - ESG issues are credit neutral or have only a minimal credit impact on the entity(ies), either due to their nature or the way in which they are being managed by the entity(ies). JP MORGAN 2014-C21: Fitch Cuts Rating on Class X-C Debt to 'CCCsf' ------------------------------------------------------------------ Fitch Ratings has downgraded three and affirmed 10 classes of J.P. Morgan Chase Commercial Mortgage Securities Trust, series 2014-C21. JPMBB 2014-C21 - Class A-4 46642EAX4; LT AAAsf; Affirmed - Class A-5 46642EAY2; LT AAAsf; Affirmed - Class A-S 46642EBC9; LT AAAsf; Affirmed - Class A-SB 46642EAZ9; LT AAAsf; Affirmed - Class B 46642EBD7; LT AA-sf; Affirmed - Class C 46642EBE5; LT A-sf; Affirmed - Class D 46642EAJ5; LT BBB-sf; Affirmed - Class E 46642EAL0; LT CCCsf; Downgrade - Class EC 46642EBF2; LT A-sf; Affirmed - Class F 46642EAN6; LT CCCsf; Downgrade - Class X-A 46642EBA3; LT AAAsf; Affirmed - Class X-B 46642EBB1; LT AA-sf; Affirmed - Class X-C 46642EAE6; LT CCCsf; Downgrade KEY RATING DRIVERS Increased Loss Expectations: Loss expectations have increased primarily due to the slowdown in economic activity related to the coronavirus pandemic. The downgrades to classes E, F and X-C reflect an increase in loss expectations on the specially serviced Charlottesville Fashion Square loan (2.4% of pool) and six other Fitch Loans of Concern (FLOCs; 11% of the pool). Fitch Loans of Concern: The largest FLOC, the Westminster Mall (4.5%), is secured by a 771,844-sf portion of a 1.4 million-sf regional mall located in Westminster, CA. The loan is sponsored by Washington Prime Group. While collateral occupancy as of December 2019 was 92.2%, total mall occupancy fell to 79.6% from 95.5% at YE 2018 after the non-collateral Sears vacated in April 2018. Near-term rollover includes 12.1% of the collateral NRA in 2020 and 27.2% in 2021. The 2021 rollover includes collateral anchor, JCPenney (19.3% of collateral NRA), which has a lease expiring in January 2021. Property-level NOI for the annualized YTD September 2019 period declined 5.8% from YE 2018. The servicer-reported NOI debt service coverage ratio decreased to 1.37x as of YTD September 2019 from 1.45x at YE 2018 and 1.49x at YE 2017. Fitch's inquiry to the servicer for an update on whether any co-tenancies were triggered by Sears' departure remains outstanding. The second largest FLOC, The Shops at Wiregrass (2.9%), is secured by a 456,637-sf portion of a 759,880-sf outdoor shopping center located in Wesley Chapel, FL. Collateral occupancy decreased to 78.1% as of December 2019 from 93.7% at YE 2018 due to the departures of several inline tenants, including Forever 21 (4.3% of NRA), Charming Charlie (1.8%), Express (1.7%) and PrimeBar (1.6%). Upcoming lease rollover includes 9.1% of the NRA in 2020 and 5.5% in 2021. Property-level NOI for the annualized YTD September 2019 period declined 18.9% from YE 2018. The servicer-reported NOI DSCR decreased to 1.25x as of YTD September 2019 from 1.54x at YE 2018 and 1.57x at YE 2016. The third largest FLOC, Charlottesville Fashion Square (2.4%), is secured by a 362,332-sf portion of a 576,749-sf regional mall located in Charlottesville, VA. The loan, which is sponsored by Washington Prime Group, transferred to special servicing in October 2019 due to imminent default following the closure of the collateral Sears in March 2019. Collateral occupancy fell to 58.9% as of December 2019 from 93.4% at YE 2018. While the loan is less than one-month delinquent as of the March 2020 remittance, the borrower has informed the special servicer that they will be unable to continue making monthly debt service payments or pay operating expenses. This property was recently noted in the sponsor's filings as one of three underperforming and/or overleveraged non-core properties its portfolio. The special servicer is appointing a receiver and working with the borrower to ensure that operating expenses continue to be paid. The servicer-reported NOI DSCR decreased to 1.12x as of YTD September 2019 from 1.60x at YE 2018. The remaining FLOCs are secured by a 535,538-sf class B office property (2.2%) located in Chicago, IL that has experienced occupancy fluctuations following the departure of several large tenants; a specially serviced 81,492-sf medical office complex (0.6%) located In Lockport, NY that has been delinquent since October 2017; a 63-bed student housing property (0.4%) serving Virginia Commonwealth University in Richmond, VA that has experienced occupancy and cash flow decline; and a 36-unit garden-style multifamily property (0.4%) located in Houston, TX that has experienced cash flow decline due to ongoing renovations and repairs and increased operating expenses. Increased Credit Enhancement: Credit enhancement has increased since issuance due to loan payoffs, defeasance and scheduled amortization. As of the March 2020 distribution date, the pool's aggregate principal balance has been paid down by 12.2% to $1.111 billion from $1.265 billion at issuance and by 6.3% since Fitch's last rating action. The non-rated class NR has sustained $10.5mm in losses due the disposition of three special serviced loans, non-recoverable reimbursement of servicer advances on delinquent loans and $1.1mm in interest shortfalls. Since issuance, eight loans (8.6% of the original pool balance) have paid off or disposed, including two loans in the past year. Nine loans (9.8% of the current pool balance) are fully defeased. Nine loans (28.2%) are full-term interest-only, including the largest loan in the pool. All loans with partial interest-only periods at issuance are currently amortizing. Remaining loan maturities are concentrated in 2024 (94.7%), with limited maturities scheduled in 2021 (5.3%). Alternative Loss Considerations: Fitch performed an additional sensitivity scenario that assumed potential outsized losses of 50% and 100%, respectively, on the current balances of the Westminster Mall and the specially serviced Charlottesville Fashion Square loans to reflect the declining cash flow, weak sponsorship, vacant Sears spaces and co-tenancy trigger concerns at both properties, while also factoring in the expected paydown of the transaction from defeased loans. This scenario contributed to the Negative Rating Outlooks on classes A-S through D. Coronavirus Exposure: Four loans (11.5%) are secured by hotel properties, including two in the top 15 (10.1%). The weighted average amortizing NOI DSCR for the hotel loans is 1.98x; these hotel loans could sustain a weighted average decline in NOI of 45.8% before DSCR falls below 1.0x. Fifteen loans (32.2%) are secured by retail properties, including five regional mall loans in the top 15: Showcase Mall (9.3%; Las Vegas, NV), Miami International Mall (5.4%; Miami, FL), Westminster Mall (4.5%; Westminster, CA), The Shops at Wiregrass (2.9%; Wesley Chapel, FL) and Charlottesville Fashion Square (2.4%; Charlottesville, VA). The weighted average amortizing NOI DSCR for the retail loans is 2.03x; these retail loans could sustain a weighted average decline in NOI of 46.4% before DSCR falls below 1.0x. 15 loans (17.5%) are secured by multifamily properties, including four (3.4%) by student housing properties. The weighted average amortizing NOI DSCR for the student housing loans is 1.71x; these student housing loans could sustain a weighted average decline in NOI of 40.5% before DSCR falls below 1.0x. Additional coronavirus specific stresses were applied to three hotel loans, 10 retail loans and five multifamily loans, four of which were secured by student housing properties, which contributed to the downgrades and Negative Rating Outlooks revisions on classes A-S through D. RATING SENSITIVITIES The Negative Rating Outlooks on classes A-S, B, C, D and EC and the interest-only classes X-A and X-B reflect the potential for further downgrade due to concerns surrounding the ultimate impact of the coronavirus pandemic and the performance concerns associated with the FLOCs, primarily the Charlottesville Fashion Square and Westminster Mall loans. The Stable Rating Outlooks on the super senior A-4, A-5 and A-SB classes reflect the increasing credit enhancement, continued amortization and relatively stable performance of the majority of the pool. Sensitivity factors that could, individually or collectively, lead to positive rating action/upgrade: Factors that lead to upgrades would include stable to improved asset performance coupled with pay down and/or defeasance. Upgrades of the 'Asf' and 'AAsf' categories would likely occur with significant improvement in credit enhancement and/or defeasance; however, adverse selection and increased concentrations, further underperformance of the FLOCs and/or higher than expected losses on the specially serviced loans could cause this trend to reverse. An upgrade of the 'BBBsf' category is considered unlikely and would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'Asf' if there is likelihood for interest shortfalls. Upgrades to the 'CCCsf' rated classes are not likely until the later years of the transaction and only if the performance of the remaining pool is stable and/or properties vulnerable to the coronavirus return to pre-pandemic levels, and there is sufficient credit enhancement to the class. Factors that could, individually or collectively, lead to negative rating action/downgrade: Sensitivity factors that lead to downgrades include an increase in pool level losses from underperforming or specially serviced loans. Downgrades to the super senior A-4, A-5 and A-SB classes, rated 'AAAsf', are not considered likely due to the position in the capital structure, but may occur should interest shortfalls affect these classes. Downgrades to classes A-S, B, X-A and X-B would occur if the FLOCs, primarily the Westminster Mall and Charlottesville Fashion Square, realize an outsized loss. Downgrades to the 'BBBsf' and 'Asf' categories would occur if overall pool losses increase substantially, performance of the FLOCs deteriorate further, properties vulnerable to the coronavirus fail to stabilize to pre-pandemic levels and/or losses on the specially serviced loans are higher than expected. Further downgrades to the 'CCCsf' rated class will occur as losses are realized. In addition to its baseline scenario, Fitch also envisions a downside scenario where the health crisis is prolonged beyond 2021; should this scenario play out, Fitch expects classes assigned a Negative Rating Outlook will be downgraded one or more categories. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. 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. REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING The principal sources of information used in the analysis are described in the Applicable Criteria. ESG CONSIDERATIONS The transaction has an ESG Relevance Score of 4 for Exposure to Social Impacts due to two malls that are underperforming as a result of changing consumer preferences to shopping, which has a negative impact on the credit profile and is highly relevant to the rating, resulting in the Negative Rating Outlooks on classes A-S through D. LCCM MORTGAGE 2017-LC26: Fitch Affirms B- Rating on Class F Certs ----------------------------------------------------------------- Fitch Ratings has affirmed all classes of LCCM 2017-LC26 Mortgage Trust commercial mortgage pass-through certificates. In addition, Fitch revised the Rating Outlook on two classes to Negative from Stable. LCCM 2017-LC26 - Class A-1 50190DAA4; LT AAAsf; Affirmed - Class A-2 50190DAC0; LT AAAsf; Affirmed - Class A-3 50190DAG1; LT AAAsf; Affirmed - Class A-4 50190DAJ5; LT AAAsf; Affirmed - Class A-S 50190DAS5; LT AAAsf; Affirmed - Class A-SB 50190DAE6; LT AAAsf; Affirmed - Class B 50190DAU0; LT AA-sf; Affirmed - Class C 50190DAW6; LT A-sf; Affirmed - Class D 50190DAY2; LT BBB-sf; Affirmed - Class E 50190DBA3; LT BB-sf; Affirmed - Class F 50190DBC9; LT B-sf; Affirmed - Class X-A 50190DAL0; LT AAAsf; Affirmed - Class X-B 50190DAN6; LT A-sf; Affirmed - Class X-D 50190DAQ9; LT BBB-sf; Affirmed KEY RATING DRIVERS Coronavirus Exposure: The Negative Outlooks are attributable to the social and market disruption caused by the effects of the coronavirus pandemic and related containment measures. Three loans in the Top 15 are backed by hotels, including the largest loan in the pool, Marriott LAX (9.7%). Although the property appears to be open, performance is expected to decline in the near term as travel has slowed to a halt. As of February 2020, RevPAR was $142, up from $135 at issuance, and the property was outperforming its competitive set in occupancy, ADR and RevPAR. Overall, hotels represent 15.8% of the pool balance. Retail is also expected to face cash flow challenges given the closure of all but essential stores in most places. Loans backed by retail properties represent 19.4% of the pool, and include a Fitch Loan of Concern (FLOC) in the Top 15. Additional stresses were applied to three hotels and three retail properties across the pool, in light of the recent coronavirus outbreak. This treatment contributed to the Negative Outlook on classes E and F. Stable Loss Expectations: Fitch's loss projections for the pool are relatively unchanged since the last rating action. Three loans, representing 7.4% of the pool, are flagged as Fitch Loans of Concern and include two loans in the Top 15. These loans were also flagged at the time of the last rating action. The seventh largest loan, 55-59 Chrystie Street (4.1% of the pool), was transferred to special servicing in May 2018 for imminent monetary default. The loan is secured by a mixed-use building in Manhattan's Chinatown neighborhood. Occupancy was 100% at issuance but declined rapidly due to the borrower's reported attempt to transition space at the property from traditional office/retail tenants to shorter-term tenants and event spaces. The property, which is now completely vacant, has been under receivership since October 2018. A foreclosure auction was cancelled when the borrower filed for bankruptcy in May 2019, but the asset is now pending sale. The 14th largest loan, Midway Shopping Center (2.3% of pool), is secured by a retail property located in Wyoming, PA. Occupancy at the property fell from 94% to 65% at YE 2018, mainly due to the closure of Bon-Ton (28.2% of NRA) upon their bankruptcy and Luzerne Paintball (4.2% of NRA) vacating upon its September 2018 lease expiration. As of YE2019, these spaces are still vacant. At issuance, it was noted that three tenants, AT&T, Wine&Spirit, and Pet Value (combined 4.3% of NRA), have co-tenancy clause in relation to Bon-Ton. Other major tenants at the property include Price Chopper and Harbor Freight Tools, which both have leases extending more than five years beyond loan maturity. The third FLOC is outside the Top 15. Walmart Fayetteville loan (1%), which is secured by a single tenant retail center located in Fayetteville, NC, became dark in November 2018 after Walmart closed its store at the property. Walmart has indicated they intend to honor all terms of the lease through 2035 and are currently marketing the space for sublease. Minimal Change in Credit Enhancement: As of the April 2020 distribution date, the pool's aggregate principal balance has paid down by 3.8% to $613.3 million from $625.7 million at issuance. Thirty-four loans representing 39.2% of the pool are interest-only for the full term and an additional four loans representing 11.7% of the pool were structured with a partial interest-only component and have not yet begun to amortize. Since issuance, two loans representing 2.2% of the pool have been fully defeased. RATING SENSITIVITIES Factors that could, individually or collectively, lead to positive rating action/upgrade: Factors that lead to upgrades would include stable to improved performance coupled with pay down and/or defeasance. An upgrade to class B would occur with continued paydown and would be limited as concentrations increase. Upgrades of classes C and D would only occur with significant improvement in credit enhancement and stabilization of the FLOCs. Classes would not be upgraded above 'Asf' if there is likelihood for interest shortfalls. An upgrade to classes E and F is not likely unless performance of the FLOCs stabilizes and if the performance of the remaining pool is stable and would not likely occur until later years in the transaction assuming losses were minimal. Factors that could, individually or collectively, lead to negative rating action/downgrade: Factors that lead to downgrades include an increase in pool level losses from underperforming or specially serviced loans. Downgrades to the classes rated 'AAAsf' are not considered likely due to the position in the capital structure, but may occur at 'AAAsf' or 'AA-sf' should interest shortfalls occur. Downgrades to classes C and D are possible should additional defaults occur. Downgrades to classes E and F are possible should the performance of FLOCs decline further or should the specially serviced loan languish or fail to resolve in a timely manner. In addition to its baseline scenario, Fitch also envisions a downside scenario where the health crisis is prolonged beyond 2021; should this scenario play out, Fitch expects that a greater percentage of classes may be assigned a Negative Rating Outlook or those with Negative Rating Outlooks will be downgraded one or more categories. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. 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. REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING The principal sources of information used in the analysis are described in the Applicable Criteria. ESG CONSIDERATIONS ESG issues are credit neutral or have only a minimal credit impact on the entity(ies), either due to their nature or the way in which they are being managed by the entity(ies). N-STAR REL VIII: Fitch Cuts Rating on 8 Tranches to 'Csf' --------------------------------------------------------- Fitch Ratings has downgraded 10 and affirmed two classes of N-Star REL CDO VIII, Ltd./LLC. N-Star REL CDO VIII, Ltd./LLC - Class B 62940FAD1; LT CCCsf; Downgrade - Class C 62940FAE9; LT CCsf; Downgrade - Class D 62940FAF6; LT CCsf; Affirmed - Class E 62940FAG4; LT Csf; Downgrade - Class F 62940FAH2; LT Csf; Downgrade - Class G 62940FAJ8; LT Csf; Downgrade - Class H 62940FAK5; LT Csf; Downgrade - Class J 62940BAA6; LT Csf; Downgrade - Class K 62940BAB4; LT Csf; Downgrade - Class L 62940BAC2; LT Csf; Downgrade - Class M 62940BAE8; LT Csf; Downgrade - Class N 62940BAF5; LT Csf; Affirmed KEY RATING DRIVERS Increased Loss Expectations; Concentration and Adverse Selection: The downgrades reflect increased loss expectations since Fitch's last rating action, coupled with increasing pool concentration and adverse selection concerns. Fitch's base case loss expectation for the pool is 80.3%. Fitch has designated five loans as Fitch Loans of Concern (FLOCs; 93.9% of pool), including two that have defaulted (14.1%). The ratings of classes B through N are based on a deterministic analysis that considers Fitch's base case loss expectation for the pool and the current percentage of defaulted loans and FLOCs, factoring in anticipated recoveries relative to each class' credit enhancement (CE). The remaining collateral for the collateralized debt obligation (CDO) consists of only six assets, including five commercial real estate (CRE) loans (93.9% of pool), which are primarily subordinate debt positions, and one CRE CDO bond (6.1%), which is rated 'CCsf' by Fitch. The CRE loans include three preferred equity positions (79.8%), one whole loan (11.6%) and one mezzanine loan (2.5%). Property type concentrations include construction (43%), hotel (9.9%), healthcare (29.4%) and undeveloped land (11.6%). Fitch modeled significant to full losses on these CRE loans as they are either highly leveraged, subordinate debt positions and/or non-cash flowing property types with minimal to no recoveries expected. Further, classes B, C and D are rated to timely interest. Given the high concentration of defaulted loans and FLOCs, these classes are susceptible to default from missed timely interest payment in the event of potential collateral interest shortfalls and/or a lack of available principal proceeds. Fitch Loans of Concern: The two defaulted loans include the third largest loan (11.6% of pool), Buckhead, which is a whole loan secured by undeveloped land located in Lake Oconee, GA, and the LXR Wyndham mezzanine loan (2.5%), which is backed by an interest in a portfolio of two remaining Puerto Rico hotels. The three other FLOCs (79.8%) include the largest loan, Meadowlands (43%), which is a preferred equity position on the construction project of a super-regional mall and retail/entertainment facility located in East Rutherford, NJ; the second largest loan, Healthcare Pref (29.4%), which is a preferred equity position on a portfolio of 82 skilled nursing, assisted living and independent living healthcare properties located throughout the U.S.; and the LXR Wyndham preferred equity position (7.5%). Fitch modeled full losses on the two defaulted loans and significant to full losses on the FLOCs. The Buckhead loan initially provided the acquisition and development financing for the development of a high-end lakeshore community located on Lake Oconee; however, the initial plan was not realized due to the 2008 economic downturn. Both the LXR Wyndham mezzanine loan and preferred equity position are significantly overleveraged; performance of the two remaining Puerto Rican hotels had already been negatively affected by a weak Puerto Rican market and damages sustained from Hurricane Maria. The original Meadowlands project from 2006 was stalled due to the 2008 economic downturn and multiple delays and cost overruns. Overall project designs were updated with the selection of a new replacement developer. The original loan was restructured, whereby the existing loan was subordinated to additional debt from new construction financing and new equity contributions by the new replacement developer. The first and second of four opening stages of the property occurred during fourth quarter of 2019, which included the Nickelodeon Universe theme park and the Big Snow American Dream ski slope. The property is temporarily closed, and the remaining opening stages, which include the DreamWorks Water Park, have been delayed due to the coronavirus pandemic. Fitch modeled a full loss on this subordinate interest. The downgrade of class B to 'CCCsf' reflects the class' reliance on the Healthcare Pref loan for repayment. Default is considered a possibility due to performance concerns with the healthcare sector amid the coronavirus pandemic. This loan is a preferred equity position on a portfolio of 82 healthcare properties with 5,451 beds located throughout the U.S., with the majority concentrated in Indiana and Illinois. The healthcare properties in the portfolio, which consist of skilled nursing facilities, assisted living facilities and independent living facilities, are managed by six different operators. Approximately 40% of the revenue is from private pay. Based on the financial reporting provided by the asset manager on the individual properties, the net operating income (NOI) to lease payment coverage is weak, at 1.24x as of YE 2018. More recent financial information was not provided. The loan has an upcoming maturity in July 2021, with two five-year extension options. Fitch modeled significant losses on this subordinate interest. Coronavirus Impact: Hotel loans comprise 9.9% of the pool and include a mezzanine loan and preferred equity position on the Wyndham LXR, which consists of two Puerto Rican hotels; performance had already been affected by damages from Hurricane Maria and will be exacerbated by the coronavirus pandemic. The second largest asset is the Healthcare Pref preferred equity position (29.4%) backed by a portfolio of skilled nursing, assisted living and independent living healthcare properties, which are vulnerable to the negative economic impact related to the pandemic. Fitch applied an additional haircut to these loans' reported NOI to reflect the potential cash flow disruptions resulting from the pandemic. These additional stresses contributed to the rating downgrades. Increased Credit Enhancement: CE has increased since Fitch's last rating action, primarily due to two mezzanine loan payoffs and two loan dispositions at better recoveries than expected. As of the April 2020 remittance report, the class A/B/C/D, E/F/G and H/J/K interest coverage tests passed. The class A/B/C/D and E/F/G overcollateralization (OC) tests passed, but the class H/J/K OC test failed. Classes L, M and N are capitalizing their missed interest. N-Star VIII was initially issued as a $900 million CRE CDO, with a five-year reinvestment period that ended in February 2012. In November 2009, $31.1 million in notes were surrendered to the trustee for cancellation. The CRE CDO is managed by NS Advisors, LLC, which was previously a wholly owned subsidiary of NorthStar Realty Finance Corp. In January 2017, NRF, along with Northstar Asset Management, merged with Colony Capital, Inc. to form Colony Northstar Inc. RATING SENSITIVITIES All of the remaining ratings are distressed. Further downgrades may be possible should performance of the Healthcare Pref loan decline substantially, overall loss expectations for the pool increase and as further losses are realized. Factors that could, individually or collectively, lead to positive rating actions/upgrades: Sensitivity factors that lead to upgrades include stable to improved asset performance and additional paydowns. An upgrade of the 'CCCsf' category would occur with significant improvement in CE and substantially higher recoveries on the CRE loans; however, adverse selection and increased concentrations, as well as further underperformance and/or increased loss expectations on the FLOCs, could cause this trend to reverse. Upgrades to classes C through N are not likely until the later years of the transaction and only if the performance of the remaining pool is stable and/or properties vulnerable to the coronavirus return to pre-pandemic levels, and there is sufficient CE to the class. Factors that could, individually or collectively, lead to negative rating actions/downgrades: Sensitivity factors that lead to downgrades include an increase in pool level losses from underperforming or defaulted loans. Further downgrades would occur with additional performance deterioration and/or increased loss expectations on the FLOCs, if properties vulnerable to the coronavirus fail to stabilize to pre-pandemic levels and as losses on the defaulted loans are realized. In addition to its baseline scenario, Fitch also envisions a downside scenario where the health crisis is prolonged beyond 2021; should this scenario play out, Fitch expects the remaining distressed classes will be further downgraded. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. 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. REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING The principal sources of information used in the analysis are described in the Applicable Criteria. ESG CONSIDERATIONS ESG issues are credit neutral or have only a minimal credit impact on the entity(ies), either due to their nature or the way in which they are being managed by the entity(ies). PALMER SQUARE 2020-2: Fitch Gives BB-sf Rating on Class D Notes --------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Palmer Square Loan Funding 2020-2, Ltd. Palmer Square Loan Funding 2020-2, Ltd.; - Class A-1; LT AAAsf; New Rating - Class A-2; LT AAsf; New Rating - Class B; LT Asf; New Rating - Class C; LT BBB-sf; New Rating - Class D; LT BB-sf; New Rating - Subordinated; LT NRsf; New Rating TRANSACTION SUMMARY Palmer Square Loan Funding 2020-2, Ltd. is an arbitrage cash flow collateralized loan obligation that will be serviced by Palmer Square Capital Management LLC. Net proceeds from the issuance of the secured and subordinated notes were used to purchase a static pool of primarily first lien, senior secured leveraged loans totaling approximately $401.5 million. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 99.4% first-lien senior secured loans and has a weighted average recovery assumption of 81.0%. Portfolio Composition: The largest three industries compose 43.4% of the portfolio balance in aggregate while the top five obligors represent 3.0% of the portfolio balance in aggregate. The level of diversity by industry, obligor and geographic concentrations is in line with other recent U.S. CLOs. Portfolio Management: The transaction does not have a reinvestment period and discretionary sales are not permitted. Fitch's analysis was based on the purchased portfolio with the base-case scenario stress described under Coronavirus Causing Economic Shock, with consideration given for a stressed scenario incorporating potential maturity amendments on the underlying loans. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. Each class of notes was able to withstand default rates in excess of its respective rating hurdle. Coronavirus Causing Economic Shock: Fitch has made assumptions about the spread of the coronavirus and the economic impact of related containment measures. As a base-case scenario, Fitch assumes a global recession in 1H20 driven by sharp economic contractions in major economies with a rapid spike in unemployment, followed by a recovery that begins in 3Q20 as the health crisis subsides. As a downside (sensitivity) scenario provided in the Rating Sensitivities section, Fitch considers a more severe and prolonged period of stress with a halting recovery beginning in 2Q21. Fitch has identified the following sectors that are most exposed to negative performance as a result of business disruptions from the coronavirus: aerospace and defense; automobiles; energy, oil and gas; gaming and leisure and entertainment; lodging and restaurants; metals and mining; retail; and transportation and distribution. The total portfolio exposure to these sectors is 14.4%. Fitch applied a base case scenario to the purchased portfolio that envisages negative rating migration by one notch (with a 'CCC-' floor), along with a 0.85 multiplier to recovery rates for all assets in these sectors. Outside these sectors, Fitch also applied a one notch downgrade for all assets with a negative outlook (with a 'CCC-' floor). RATING SENSITIVITIES Factors that could, individually or collectively, lead to positive rating action/upgrade: Upgrade scenarios are not applicable to the class A-1 notes, as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; results under these sensitivity scenarios are 'AAAsf' for class A-2 notes, between 'AA+sf' and 'AA-sf' for class B notes, between 'AA+sf' and 'A+sf' for class C notes and between 'A+sf' and 'BBB+sf' for class D notes. Factors that could, individually or collectively, lead to negative rating action/downgrade: Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such metric; results under these sensitivity scenarios ranged between 'AAAsf' and 'BBB-sf' for class A-1 notes, between 'AA+sf' and 'B+sf' for class A-2 notes, between 'BBB+sf' and a level below 'CCCsf' for class B notes, between 'BBB+sf' and a level below 'CCCsf' for class C notes, and between 'BB+sf' and a level below 'CCCsf' for class D notes. Coronavirus Downside Scenario Sensitivity: Fitch has added a sensitivity analysis that contemplates a more severe and prolonged economic stress caused by a re-emergence of infections in the major economies, before a halting recovery begins in 2Q21. Results under this sensitivity scenario are between 'AA+sf' and 'AAAsf' for class A-1 notes, between 'A-sf' and 'A+sf' for class A-2 notes, 'BB+sf' for class B notes, 'BB+sf' for class C notes and between 'Bsf' and 'B+sf' for class D notes. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to or reviewed by Fitch in relation to this rating action. SOURCES OF INFORMATION The sources of information used to assess these ratings were provided by the arranger (Citigroup Global Markets, Inc.) and the public domain. CASH FLOW MODEL DISCLOSURE When conducting cash flow analysis, Fitch's cash flow model first projects the portfolio scheduled amortization proceeds and any voluntary prepayments for each reporting period of the transaction life, assuming no defaults (and no voluntary terminations, when applicable). In each rating stress scenario, such scheduled amortization proceeds and prepayments are then reduced by a scale factor equivalent to the overall percentage of loans that are not assumed to default (or to be voluntarily terminated, when applicable). This adjustment avoids running out of performing collateral due to amortization and voluntary pre-payments, and ensures all of the defaults projected to occur in each rating stress are realized in a manner consistent with Fitch's published default timing curve. SASCO 2002-AL1: Moody's Cuts Rating on Class AIO Certs to Caa1 -------------------------------------------------------------- Moody's Investors Service has downgraded one interest only tranche from Structured Asset Securities Corp. (SASCO) Pass-Through Certificates, Series 2002-AL1, a transaction backed by disaster assistance loans. The bond in its rating action was inadvertently excluded from the rating actions taken on April 2, 2020 and therefore was not included in the related press release announcing those actions. The complete rating action is as follows: Issuer: Structured Asset Securities Corp. Pass-Through Certificates, Series 2002-AL1 Cl. AIO, Downgraded to Caa1 (sf); previously on Feb 12, 2018 Confirmed at B3 (sf) RATINGS RATIONALE The downgrade of the rating of the Class AIO reflects the rating constraint of the IO to the highest current tranche rating on bonds backed by the reference pools. The Class AIO is a multi-pool linked IO bond whose rating is subject to lowest of (i) the highest current tranche rating on bonds that are outstanding backed by the reference pools; or (ii) the rating corresponding to the weighted average of the pools' ELs based on current balances; or (iii) the rating corresponding to the weighted average of the pools' realized losses based on original balances. The recent downgrades of the Class A2, A3 and APO have subjected the Class AIO to a highest current tranche rating of Caa1 (sf). Its analysis has considered the increased uncertainty relating to the effect of the coronavirus outbreak on the US economy as well as the effects that the announced government measures put in place to contain the virus, will have on the performance of residential mortgage assets. Moody's regards the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. It is a global health shock, which makes it extremely difficult to provide an economic assessment. The degree of uncertainty around its forecasts is unusually high. The methodologies used in this rating were "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. There is significant uncertainty around its unemployment forecast and risks are firmly to an increasing unemployment rate during the short term. House prices are another key driver of US RMBS performance. 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. SMALL BUSINESS 2019-A: Moody's Reviews Class C Notes for Downgrade ------------------------------------------------------------------ Moody's Investors Service has placed three notes from two asset-backed securitizations issued by Small Business Lending Trusts on review for possible downgrade. The notes are backed by loans granted to small- and medium-sized enterprises and sponsored by FC Marketplace, LLC. The complete rating actions are as follows: Issuer: Small Business Lending Trust 2019-A Class B Notes, Baa3 (sf) Placed Under Review for Possible Downgrade; previously on Aug 28, 2019 Definitive Rating Assigned Baa3 (sf) Class C Notes, Ba3 (sf) Placed Under Review for Possible Downgrade; previously on Aug 28, 2019 Definitive Rating Assigned Ba3 (sf) Issuer: Small Business Lending Trust 2020-A Class B Notes, Baa3 (sf) Placed Under Review for Possible Downgrade; previously on Jan 30, 2020 Definitive Rating Assigned Baa3 (sf) RATINGS RATIONALE The rating actions reflect an increased likelihood of further deterioration in the performance of the underlying SMEs as a result of a slowdown in US economic activity in 2020 due to the coronavirus outbreak. SMEs are more susceptible to weaker economic conditions associated with this slowdown. The performance of collateral backing both transactions has already begun to deteriorate as reflected, on average, in an approximately seven percentage point increase in the 1-29 days delinquent loans as of the April 2020 payment date. In its analysis, it considered up to a two times increase in its cumulative gross default rate and up to a 20% increase in its portfolio credit enhancement (PCE, or the level of credit enhancement consistent with a Aaa (sf) rating for a security) on the underlying pools to evaluate the resiliency of the ratings amid the uncertainty surrounding the pools' performance. The affected notes are junior notes that have lower credit enhancement available to protect them, making them more vulnerable to any increase in defaults relative to the senior notes in the deals, which have greater credit protections. Moody's also took into account transaction structural features such as overcollateralization, reserve fund targets, availability of excess spread and the likelihood that the notes would be locked out of receiving future payments due to the priority of payments waterfall. The potential increase in expected defaults reflects the increased uncertainty in macroeconomic conditions, a key driver for SME credit performance in these ABS transactions. In estimating the higher defaults, it considered the overall economic systemic risk to all SMEs as well as exposure of the pools to sectors classified as 'High exposure' and 'Moderate exposure' in its Nonfinancial corporates -- North America -- Heatmap. These sectors include Business Services, Healthcare & Pharma, Construction & Home building, Lodging/Leisure & Restaurants, and Non-food retail. During the review period, Moody's will evaluate effects of ongoing and projected macroeconomic conditions, as well as impact of various parties including the government, servicers and issuers on the performance of underlying pools to update its cumulative gross default rate and PCE projection on the pools and decide on the final rating action on the notes. Rating actions on the notes, due to the revised default projections, will reflect individual transaction considerations. Its analysis has considered the increased uncertainty relating to the effect of the coronavirus outbreak on the US economy as well as the effects that the announced government measures put in place to contain the virus, will have on the performance of small businesses. Moody's regards the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. It is a global health shock, which makes it extremely difficult to provide an economic assessment. The degree of uncertainty around its forecasts is unusually high. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Global Approach to Rating SME Balance Sheet Securitizations" published in July 2019. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are greater than necessary to protect investors against its expectations of loss could lead to an upgrade of the ratings of the notes. Moody's expectation of pool losses could decline as a result of a lower number of obligor defaults. As a primary driver of performance, positive changes in the US macro economy could also affect the ratings, as can changes in servicing practices. Down Levels of credit protection that are insufficient to protect investors against its expectations of loss could lead to a downgrade of the ratings of the notes. Moody's expectation of pool losses could increase as a result of a higher number of obligor defaults. As a primary driver of performance, negative changes in the US macro economy could also affect the ratings. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance, and fraud. STONEBRIAR COMMERCIAL: Moody's Reviews 14 Tranches for Downgrade ---------------------------------------------------------------- Moody's Investors Service has placed 14 notes on review for possible downgrade from five asset-backed securitizations issued by Stonebriar Commercial Finance LLC and, in the case of the transactions issued in 2018 and 2019 also Stonebriar Commercial Finance Canada Inc. The transactions are securitizations of equipment loans and leases secured primarily by railcars, corporate aircraft, transportation equipment, marine vessels, other manufacturing and industrial equipment, and owner-occupied commercial real estate loans. The complete rating actions are as follows: Issuer: SCF Equipment Leasing 2017-1 LLC Equipment Contract Backed Notes, Class C, A2 (sf) Placed Under Review for Possible Downgrade; previously on Jan 30, 2020 Upgraded to A2 (sf) Equipment Contract Backed Notes, Class D, Ba1 (sf) Placed Under Review for Possible Downgrade; previously on Jan 30, 2020 Upgraded to Ba1 (sf) Issuer: SCF Equipment Leasing 2017-2 LLC Class D Equipment Contract Backed Notes, Ba2 (sf) Placed Under Review for Possible Downgrade; previously on Jan 30, 2020 Upgraded to Ba2 (sf) Issuer: SCF Equipment Leasing 2018-1 LLC/SCF Equipment Leasing Canada 2018 Limited Partnership Series 2018-1 Class D Notes, A1 (sf) Placed Under Review for Possible Downgrade; previously on Jan 30, 2020 Upgraded to A1 (sf) Class E Notes, Baa3 (sf) Placed Under Review for Possible Downgrade; previously on Jan 30, 2020 Upgraded to Baa3 (sf) Class F Notes, B1 (sf) Placed Under Review for Possible Downgrade; previously on Jul 1, 2019 Confirmed at B1 (sf) Issuer: SCF Equipment Leasing 2019-1 LLC/SCF Equipment Leasing Canada 2019 Limited Partnership Class C Notes, A3 (sf) Placed Under Review for Possible Downgrade; previously on Apr 10, 2019 Definitive Rating Assigned A3 (sf) Class D Notes, Baa3 (sf) Placed Under Review for Possible Downgrade; previously on Apr 10, 2019 Definitive Rating Assigned Baa3 (sf) Class E Notes, Ba1 (sf) Placed Under Review for Possible Downgrade; previously on Jan 30, 2020 Upgraded to Ba1 (sf) Class F Notes, B2 (sf) Placed Under Review for Possible Downgrade; previously on Jan 30, 2020 Upgraded to B2 (sf) Issuer: SCF Equipment Leasing 2019-2 LLC/SCF Equipment Leasing Canada 2019-2 Limited Partnership Class C Notes, A3 (sf) Placed Under Review for Possible Downgrade; previously on Oct 31, 2019 Definitive Rating Assigned A3 (sf) Class D Notes, Baa2 (sf) Placed Under Review for Possible Downgrade; previously on Oct 31, 2019 Definitive Rating Assigned Baa2 (sf) Class E Notes, Ba3 (sf) Placed Under Review for Possible Downgrade; previously on Oct 31, 2019 Definitive Rating Assigned Ba3 (sf) Class F Notes, B3 (sf) Placed Under Review for Possible Downgrade; previously on Oct 31, 2019 Definitive Rating Assigned B3 (sf) RATINGS RATIONALE The rating actions on the notes are primarily a result of deterioration of credit quality stemming from the coronavirus outbreak, and its assessment that expected losses on collateral backing the transactions may increase materially. The credit quality of certain obligors in the collateral pools has already begun to deteriorate, as evidenced by negative rating actions on some obligors' ratings, including a rating downgrade to one of the largest obligors in the pools backing the transactions. In estimating the higher expected losses, Moody's considered obligor exposure to vulnerable sectors such as Oil & Gas and Transportation & Services. Expected loss on the loans and leases is a function of, among other things, financial health of the obligors, the asset value of the collaterals, and the amortization of the loan or lease contracts. Obligors with weak credit quality are more likely to be susceptible to weaker economic conditions associated with the slowdown. Additionally, high level of pool concentrations in these transactions introduces higher performance volatility because any default of large obligors or stress in certain industries could have a material impact on expected losses to noteholders as they may not have sufficient credit enhancement available to maintain the ratings. In its analysis, Moody's also took into account transaction structural features such as overcollateralization, reserve fund, and availability of excess spread. To identify the notes subject to its rating action, Moody's considered pools' exposure to (1) obligors whose ratings were recently downgraded, are currently on review for downgrade, or have negative credit outlooks (2) obligors in the sectors classified as 'High exposure' and 'Moderate exposure' in its Nonfinancial corporates - North America -- Heatmap (3) greater volatility in projected asset values, which were provided at transaction closing (4) level of credit enhancements available to the notes. Moody's further considered specific risks associated with the transactions, such as the substantial residual value risk. Upon expiration of lease term or early termination for certain assets, the servicer has the right (but not the obligation) to purchase the equipment out of the trusts, and hence, reduce the residual value risk for such transactions. Historically, the servicer has exercised its right to purchase such equipment out of the trusts. However, if the servicer does not do so in the future, the transactions will be exposed to market value of the equipment if lessees return the equipment upon maturity of the leases. Under the current macroeconomic conditions, market value of the equipment may come under stress, potentially increasing expected losses to the rated notes. Additionally, lengthy re-lease or disposition timeframe could result in slower pay down of the notes. During the review period, Moody's will evaluate effects of ongoing and projected macroeconomic conditions on financial health of each obligor in the collateral pools as well as on the residual value risk to the transactions. Moody's will also evaluate the impact of actions by various parties including the government, servicers and issuers on the performance of underlying pools. Rating actions on the notes will reflect individual transaction considerations and structural features. Its analysis has considered the increased uncertainty relating to the effect of the coronavirus outbreak on the US economy as well as the effects that the announced government measures, put in place to contain the virus, will have on the performance of corporate assets. Moody's regards the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. It is a global health shock, which makes it extremely difficult to provide an economic assessment. The degree of uncertainty around its forecasts is unusually high. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Approach to Rating ABS Backed by Equipment Leases and Loans" published in March 2019. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the ratings on the notes if levels of credit protection are greater than necessary to protect investors against current expectations of loss. Moody's updated expectations of loss may be better than its original expectations because of lower frequency of default by the underlying obligors or lower than expected depreciation in the value of the equipment and commercial real estate that secure the obligor's promise of payment. As the primary drivers of performance, positive changes in the US macro economy and the strong performance of various sectors where the obligors operate could also affect the ratings. Down Moody's could downgrade the ratings of the notes if levels of credit protection are insufficient to protect investors against current expectations of loss. Moody's updated expectations of loss may be worse than its original expectations because of higher frequency of default by the underlying obligors or a greater than expected deterioration in the value of the equipment and commercial real estate that secure the obligor's promise of payment. As the primary drivers of performance, negative changes in the US macro economy and the weak performance of various sectors where the obligors operate could also affect Moody's ratings. Other reasons for worse performance than Moody's expectations could include poor servicing, error on the part of transaction parties, lack of transaction governance and fraud. WELLS FARGO 2015-SG1: Fitch Affirms 'B-sf' Rating on 2 Tranches --------------------------------------------------------------- Fitch Ratings has affirmed ratings for fifteen classes of Wells Fargo Commercial Mortgage Trust 2015-SG1. In addition, Fitch has removed eight classes from Rating Watch Negative and assigned Negative Outlooks. WFCM 2015-SG1 - Class A-1 94989QAS9; LT AAAsf; Affirmed - Class A-2 94989QAT7; LT AAAsf; Affirmed - Class A-3 94989QAU4; LT AAAsf; Affirmed - Class A-4 94989QAV2; LT AAAsf; Affirmed - Class A-S 94989QAX8; LT AAAsf; Affirmed - Class A-SB 94989QAW0; LT AAAsf; Affirmed - Class B 94989QBA7; LT AA-sf; Affirmed - Class C 94989QBB5; LT A-sf; Affirmed - Class D 94989QBD1; LT BBB-sf; Affirmed - Class E 94989QAL4; LT BB-sf; Affirmed - Class F 94989QAN0; LT B-sf; Affirmed - Class PEX 94989QBC3; LT A-sf; Affirmed - Class X-A 94989QAY6; LT AAAsf; Affirmed - Class X-E 94989QAA8; LT BB-sf; Affirmed - Class X-F 94989QAC4; LT B-sf; Affirmed KEY RATING DRIVERS Increased Loss Expectations: While the majority of the pool has exhibited stable pool performance, loss expectations have increased due to the increasing number of Fitch Loans of Concern (FLOCs). Fitch identified ten loans as FLOCs (36.5% of the pool) including the three largest loans in the pool, Patrick Henry Mall (9.7%), Boca Park Marketplace (6.7%) and Fifth Third Center (5.6%). The Patrick Henry Mall is a regional mall located in Newport News, VA with exposure to JCPenney (collateral) and Macy's (non-collateral). The JCPenney's lease expires in October 2020; an extension has not been formalized, but the borrower expects the tenant to renew for an additional five years. In-line sales were reported to be $426 psf as of the TTM period ending December 2019 compared to $405 psf at issuance. Total mall occupancy has been stable to improving since issuance and was reported to be 95% according to the September 2019 rent roll. Fitch's base case loss included an additional 15% haircut to the reported NOI given concern with upcoming rollover, weak anchor exposure, and secondary location. The Boca Park Marketplace loan is secured by a 148,095-sf shopping center located in Las Vegas, NV. Major tenants include Ross Dress For Less (20.7% NRA), Lamps Plus (7.5% NRA), Petland (5.6% NRA), and Tilly's (5.4% NRA). The property is part of a larger retail development and is shadow anchored by Target, REI, Total Wine & More, Office Max and a former Von's store, which was recently sold and is expected to be redeveloped. The servicer-reported NOI DSCR as of YTD September 2019 was 1.39x, compared to 1.45x at YE 2018, 1.44x at YE 2017 and 1.41x at YE 2016. Occupancy is down slightly from 97% at issuance but has remained at 95% for the past two years. Given the low DSCR and impact from the coronavirus on the retail environment, the loan is considered a FLOC. The third largest loan in the pool, Fifth Third Center, has also been designated as a FLOC. It is secured by a 160,565-sf office building located in Naples; FL. Occupancy declined to 64% as of December 2019 from 87% at issuance. Fifth Third Bank, the largest tenant at issuance, accounted for 64.9% of NRA but recently downsized and now accounts for only 11.5% of NRA. The borrower reports that two small leases have been signed and negotiations are ongoing with tenants to backfill a portion of the former Fifth Third Bank space. The servicer reported NOI DSCR as of YE 2019 was reported to be 1.52x. High Retail and Hotel Concentration: The Negative Rating Outlooks are due to the high retail and hotel concentration within the pool. Loans backed by retail properties represent 35.04% of the pool, including five (22.4%) in the top 15. Hotel loans represent 22.3% of the pool, including three loans (9.8%) in the top 10 that have all been designated as FLOCs due to expected revenue declines from the coronavirus pandemic. Limited Change to Credit Enhancement: As of the March 2020 distribution date, the pool's aggregate principal balance paid down by 7.6% to $662.2 million from $716.3 million at issuance. Interest shortfalls are currently impacting class G. Two specially serviced loans have been liquidated since Fitch's prior rating action for losses of $6.8 million, in line with Fitch's expectations. One loan (0.5% of pool) is fully defeased. Eleven loans (16.2%) are full-term, interest only, eight loans (11.5%) remain in their partial interest-only period and the remaining 49 loans (71.8%) are amortizing. Loan maturities include one loan (0.6%) in 2020, one loan (1.1%) in 2022, one loan (0.7%) in 2024 and 66 loans (97.6%) in 2025. Alternative Loss Considerations: In addition to a base case loss, Fitch applied a 25% loss severity on the Patrick Henry Mall loan to reflect the potential for outsized losses given the asset type, rollover concerns and secondary location. Coronavirus Exposure: The weighted average (WA) DSCR for all of the fourteen hotel loans in the pool is approximately 2.35x and the WA DSCR for all of the 21 retail loans is approximately 1.74x. One loan (0.4%) secured by a 14,000-sf multi-tenant retail property in Reno, NV recently transferred to the special servicer; the coronavirus pandemic was noted as a reason in the servicer reporting. As part of its analysis, Fitch applied an additional stress on loans that does not meet certain DSCR tolerance thresholds to address the expected significant performance declines due to the coronavirus pandemic. In addition to the sensitivity analysis on the Patrick Henry Mall, these additional stresses also contributed to the Negative Outlooks. RATING SENSITIVITIES The Stable Outlooks on classes A-1 through A-S reflect the position in the capital structure, increasing CE and continued amortization. The removal of classes B through F and interest-only classes X-E and X-F from RWN reflect expectations that the impact from the coronavirus pandemic will not be realized in the short term. However, the classes have been assigned Negative Rating Outlooks given the high retail and hotel exposure and the impact to these property types from the pandemic. While only one loan has transferred to special servicing due to the coronavirus pandemic to date, downgrades are likely with an increase in defaults and additional transfers. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Sensitivity factors that lead to upgrades would include stable to improved asset performance coupled with paydown and/or defeasance, but are not likely to occur in the near term as classes currently have Negative Rating Outlooks. -- Upgrades of the 'AA-sf' and 'A-sf' categories would likely occur with significant improvement in credit enhancement (CE) and/or defeasance. -- An upgrade of the 'BBB-sf' category is considered unlikely and would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'Asf' if there is likelihood for interest shortfalls. -- An upgrade of the 'BB-sf' and 'B-sf' categories are not likely until the later years of the transaction and only if the performance of the remaining pool is stable and/or properties vulnerable to the coronavirus return to pre-pandemic levels, and there is sufficient CE to the class. Factors that could, individually or collectively, lead to negative rating action/downgrade: -- Sensitivity factors that lead to downgrades include an increase in pool level losses from underperforming loans. -- Downgrades to the 'AAAsf' categories are not likely in the near term due to the position in the capital structure and high CE but may occur with interest shortfalls. -- Downgrades of a category or more are likely to classes B through F should overall pool loss expectations increase and/or properties vulnerable to the coronavirus fail to return to pre-pandemic levels. In addition to its baseline scenario related to the coronavirus, Fitch also envisions a downside scenario where the health crisis is prolonged beyond 2021; should this scenario play out, Fitch expects negative rating actions could exceed one category. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. 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. REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING The principal sources of information used in the analysis are described in the Applicable Criteria. ESG CONSIDERATIONS ESG issues are credit neutral or have only a minimal credit impact on the entity(ies), either due to their nature or the way in which they are being managed by the entity(ies). [*] Fitch Takes Action on 85 Tranches From 10 Trust Preferred CDOs ------------------------------------------------------------------ Fitch Ratings has affirmed 74 and upgraded five ratings and revised Rating Outlooks on six tranches from 10 collateralized debt obligations backed primarily by trust preferred securities issued by banks and insurance companies. Rating actions and performance metrics for each CDO are reported in the accompanying rating action report. Fitch expects underlying portfolio quality to deteriorate, driven by the likely future rise in non-current loans and low interest rates. In addition to the standard analytical framework, described in the "U.S. Trust Preferred CDOs Surveillance Rating Criteria" (TruPS CDO Criteria), this review applied a coronavirus base stress scenario. Under this scenario, all issuers in the pool were downgraded either by 0.5 for private bank scores or one notch for publicly rated banks and insurance issuers with a mapped rating. Due to the application of performing CE caps under the TruPS CDO Criteria, all but one class of notes from CDOs in this review were not impacted by the base stress. Preferred Term Securities XXI, Ltd./Inc. - Class A-1 74042JAA1; LT Asf; Affirmed - Class A-2 74042JAB9; LT BBBsf; Affirmed - Class B-1 74042JAC7; LT Bsf; Affirmed - Class B-2 74042JAJ2; LT Bsf; Affirmed - Class C-1 74042JAE3; LT CCsf; Affirmed - Class C-2 74042JAK9; LT CCsf; Affirmed - Class D 74042JAG8; LT Csf Affirmed ALESCO Preferred Funding VIII, Ltd./Inc. - Class A-1A First Priority Floating 01449CAA8; LT AAsf; Upgrade - Class A-1B First Priority Floating 01449CAB6; LT AAsf; Upgrade - Class A-2 Second Priority Floating 01449CAG5; LT BBBsf; Affirmed - Class B-1 Deferrable Third Priority 01449CAH3; LT BBsf; Upgrade - Class B-2 Deferrable Third Priority 01449CAJ9; LT BBsf; Upgrade - Class C-1 Deferrable Fourth Priority 01449CAK6; LT Csf; Affirmed - Class C-2 Deferrable Fourth Priorit 01449CAL4; LT Csf; Affirmed - Class C-3 Deferrable Fourth Priorit 01449CAM2; LT Csf; Affirmed - Class D-1 Deferrable Fifth Priority 01449CAN0; LT Csf; Affirmed - Class D-2 Deferrable Fifth Priority 01449CAP5; LT Csf; Affirmed - Class E Deferrable Sixth Priority 01449CAQ3; LT Csf Affirmed ALESCO Preferred Funding VI, Ltd./Inc. - Class A-1 Floating Rate Notes 01448XAA3; LT Asf; Affirmed - Class A-2 Floating Rate Notes 01448XAB1; LT Asf; Affirmed - Class A-3 Fixed/Floating Note 01448XAG0; LT Asf; Affirmed - Class B-1 Deferrable Notes 01448XAC9; LT BBBsf; Affirmed - Class B-2 Deferrable Notes 01448XAH8; LT BBBsf; Affirmed - Class C-1 Deferrable Notes 01448XAD7; LT Csf; Affirmed - Class C-2 Deferrable Notes 01448XAE5; LT Csf; Affirmed - Class C-3 Deferrable Notes 01448XAJ4; LT Csf; Affirmed - Class C-4 Deferrable Notes 01448XAL9; LT Csf; Affirmed - Class D-1 Deferrable Notes 01448XAF2; LT Csf; Affirmed - Class D-2 Deferrable Notes 01448XAK1; LT Csf; Affirmed Preferred Term Securities XXII, Ltd./Inc. - Class A-1 Senior Notes 74042MAA4; LT AAsf; Affirmed - Class A-2 Senior Notes 74042MAC0 LT Asf; Affirmed - Class B-1 Mezzanine Notes 74042MAE6; LT BBsf; Affirmed - Class B-2 Mezzanine Notes 74042MAG1; LT BBsf; Affirmed - Class B-3 Mezzanine Notes 74042MAQ9; LT BBsf; Affirmed - Class C-1 Mezzanine Notes 74042MAJ5; LT CCCsf; Affirmed - Class C-2 Mezzanine Notes 74042MAL0; LT CCCsf; Affirmed - Class D Mezzanine Notes 74042MAN6; LT Csf Affirmed ALESCO Preferred Funding IX, Ltd./Inc. - Class A1 First Priority Delay 01449TAA1; LT Asf; Affirmed - Class A2A Second Priority 01449TAB9; LT BBBsf; Affirmed - Class A2B Second Priority 01449TAC7 LT BBBsf; Affirmed - Class B1 Defer. Third Party 01449TAD5; LT BBsf; Affirmed - Class B2 Defer.Third Priority 01449TAE3; LT BBsf; Affirmed - Class C1 Defer. 4th Priority 01449TAF0; LT CCsf; Affirmed - Class C2 Defer. 4th Priority 01449TAG8; LT CCsf; Affirmed - Class C3 Defer. 4th Priority 01449TAH6; LT CCsf; Affirmed - Class C4 Defer. 4th Priority 01449TAJ2; LT CCsf; Affirmed - Class D1 Defer. 5th Priority 01449TAK9; LT Csf; Affirmed - Class D2 Defer. 5th Priority 01449TAL7; LT Csf; Affirmed Preferred Term Securities XV, Ltd./Inc. - Class A-1 74041CAA7; LT AAsf; Upgrade - Class A-2 74041CAB5; LT BBBsf; Affirmed - Class A-3 74041CAC3; LT BBBsf; Affirmed - Class B-1 74041CAE9; LT CCsf; Affirmed - Class B-2 74041CAF6; LT CCsf; Affirmed - Class B-3 74041CAG4; LT CCsf; Affirmed - Class C 74041CAH2; LT Csf Affirmed ALESCO Preferred Funding XV, Ltd./Inc. - Class A-1 01450BAA6; LT Asf; Affirmed - Class A-2 01450BAB4; LT BBsf; Affirmed - Class B-1 01450BAC2; LT CCCsf; Affirmed - Class B-2 01450BAG3; LT CCCsf; Affirmed - Class C-1 01450BAD0; LT Csf; Affirmed - Class C-2 01450BAE8; LT Csf; Affirmed - Class D 01450BAF5; LT Csf; Affirmed Preferred Term Securities XIX, Ltd./Inc. - Class A-1 74042HAA5; LT Asf; Affirmed - Class A-2 74042HAB3; LT BBBsf; Affirmed - Class B 74042HAC1; LT Bsf; Affirmed - Class C 74042HAE7; LT CCCsf; Affirmed - Class D 74042HAG2; LT Csf; Affirmed Tropic CDO V Ltd. - Class A-1L1 89708BAA1; LT Asf; Affirmed - Class A-1L2 89708BAB9; LT BBBsf; Affirmed - Class A-1LB 89708BAC7; LT Bsf; Affirmed - Class A-2L 89708BAD5; LT CCCsf; Affirmed - Class A-3F 89708BAF0; LT Csf; Affirmed - Class A-3L 89708BAE3; LT Csf; Affirmed - Class B-1L 89708BAG8; LT Csf; Affirmed - Class B-2L 89708CAA9; LT Csf; Affirmed ALESCO Preferred Funding XVI, Ltd./Inc. - Class A 01450GAA5; LT BBsf; Affirmed - Class B 01450GAB3; LT Bsf; Affirmed - Class C 01450GAC1; LT Csf; Affirmed - Class D 01450GAE7; LT Csf; Affirmed The main driver behind the upgrades was deleveraging from collateral redemptions and excess spread, which resulted in paydowns to the senior most notes, ranging from 2% to 46% of their balances at last review. The magnitude of the deleveraging for each CDO is reported in the accompanying rating action report. For six transactions, the credit quality of the collateral portfolios, as measured by a combination of Fitch's bank scores and public ratings, exhibited negative credit migration, with the other four remaining stable or improving. There has been two new cures and one new deferral since the last review. The ratings on 42 classes of notes in the 10 transactions have been capped based on the application of the performing CE cap as described in Fitch's TruPS CDO Criteria. The ratings for class A-1 in Alesco Preferred Funding VI, Ltd./Inc. are two categories lower than their model-implied ratings. The transaction document does not have requirements for the hedge counterparty that conform to Fitch's "Structured Finance and Covered Bonds Counterparty Rating Criteria". As a result, the rating of the most senior class is capped by the rating of the interest rate swap counterparty at 'Asf'/Stable Outlook. The swap does not expire until December 2033. RATING SENSITIVITIES Ratings of the notes issued by these CDOs remain sensitive to significant levels of defaults, deferrals, cures, and collateral redemptions. To address potential risks of adverse selection and increased portfolio concentration, Fitch applied a sensitivity scenario, as described in the criteria, to applicable transactions. Factors that could, individually or collectively, lead to positive rating action/upgrade: Future upgrades to the rated notes may occur if a transaction experiences improvement in credit enhancement through deleveraging from collateral redemptions and/or interest proceeds being used for principal repayment. Factors that could, individually or collectively, lead to negative rating action/downgrade: Downgrades to the rated notes may occur if a significant share of the portfolio issuers defers or defaults on their TruPS instruments, which would cause a decline in performing CE levels. If the disruptions due to the pandemic become more severe, the banking and insurance sectors could come under more pressure and Fitch will formulate a sensitivity scenario addressing such economic environment. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. CRITERIA VARIATION The rating on the class D notes of Preferred Term Securities XIX Ltd./Inc. is constrained by the coronavirus base stress scenario, which constitutes a variation from the TruPS CDO criteria that currently does not allow for additional sensitivity scenarios other than those described in the criteria. Without the base stress constraint, the rating on the note would be two notches higher. [*] Moody's Places 10 Tranches of Bonds on Review for Downgrade --------------------------------------------------------------- Moody's Investors Service, on April 17, 2020, placed ten classes of bonds issued by seven asset-backed securitizations backed by equipment leases and loans on review for possible downgrade. The bonds are backed by pools of equipment lease and loan contracts originated and serviced by multiple parties, with exposure to small ticket, trucking, construction, and industrial equipment. The complete rating actions are as follows: Issuer: Amur Equipment Finance Receivables VII LLC, Series 2019-1 Class C, Baa1 (sf) Placed Under Review for Possible Downgrade; previously on Jul 31, 2019 Definitive Rating Assigned Baa1 (sf) Issuer: Ascentium Equipment Receivables 2018-1 Trust Class E Notes, Baa3 (sf) Placed Under Review for Possible Downgrade; previously on Nov 5, 2019 Upgraded to Baa3 (sf) Issuer: Ascentium Equipment Receivables 2018-2 Trust Class D Notes, A2 (sf) Placed Under Review for Possible Downgrade; previously on Mar 5, 2020 Upgraded to A2 (sf) Class E Notes, Ba1 (sf) Placed Under Review for Possible Downgrade; previously on Mar 5, 2020 Upgraded to Ba1 (sf) Issuer: Ascentium Equipment Receivables 2019-1 Trust Class E Notes, Ba2 (sf) Placed Under Review for Possible Downgrade; previously on Apr 23, 2019 Definitive Rating Assigned Ba2 (sf) Issuer: Ascentium Equipment Receivables 2019-2 Trust Class C Notes, A1 (sf) Placed Under Review for Possible Downgrade; previously on Oct 23, 2019 Definitive Rating Assigned A1 (sf) Class D Notes, Baa2 (sf) Placed Under Review for Possible Downgrade; previously on Oct 23, 2019 Definitive Rating Assigned Baa2 (sf) Class E Notes, Ba2 (sf) Placed Under Review for Possible Downgrade; previously on Oct 23, 2019 Definitive Rating Assigned Ba2 (sf) Issuer: DLL 2019-3 LLC Class D Notes, A3 (sf) Placed Under Review for Possible Downgrade; previously on Oct 16, 2019 Definitive Rating Assigned A3 (sf) Issuer: Transportation Finance Equipment Trust 2019-1 Class D Notes, Baa2 (sf) Placed Under Review for Possible Downgrade; previously on Oct 16, 2019 Definitive Rating Assigned Baa2 (sf) RATINGS RATIONALE The rating actions reflect an increased likelihood of deterioration in the performance of the underlying equipment leases and loans as a result of a slowdown in US economic activity in 2020 due to the coronavirus outbreak. Subordinate bonds in a small number of deals issued in the last two years from select small ticket, trucking and industrial equipment securitizations are more susceptible to this slowdown because they may not have sufficient credit enhancement available to maintain their current ratings if losses were to increase significantly and because performance of pools of small ticket, trucking, construction, and industrial equipment is more susceptible to weaker economic conditions. In its analysis, Moody's considered 1.5 to two times increase in remaining expected losses on the underlying pools to evaluate the resiliency of the ratings amid the uncertainty surrounding the pools' performance. In estimating the higher losses, Moody's considered the increase in losses on similar collateral pools during the 2007 to 2009 economic downturn. The affected tranches are mostly subordinate bonds that may not have sufficient credit enhancement available to maintain their current ratings if there is a significant increase in pool losses. It also considered individual transaction specifics such as overcollateralization, reserve fund targets, and availability of excess spread. The potential increase in expected loss reflects the increased uncertainty in macroeconomic conditions, a key driver for collateral performance in these transactions. During the review period, Moody's will evaluate effects of ongoing and projected macroeconomic conditions, specifically on industries that are more susceptible such as construction and transportation industries. In addition, it will analyze the impact of actions that have been taken by various parties including the government and servicers on the performance of underlying pools to update its cumulative net loss projection and decide on the final rating actions on the bonds. Rating actions on the bonds, due to any revised loss projections, will vary for the different shelves and reflect individual transaction considerations. Its analysis has considered the increased uncertainty relating to the effect of the coronavirus outbreak on the US economy as well as the effects that the announced government measures, put in place to contain the virus, will have on the performance of corporate assets. Moody's regards the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. It is a global health shock, which makes it extremely difficult to provide an economic assessment. The degree of uncertainty around its forecasts is unusually high. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Approach to Rating ABS Backed by Equipment Leases and Loans" published in March 2019. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the subordinate bonds if, given its expectations of portfolio losses, levels of credit enhancement are consistent with higher ratings. In sequential pay structures, such as the one in these transactions, credit enhancement grows as a percentage of the collateral balance as collections pay down senior bonds. Prepayments and interest collections directed toward note principal payments will accelerate this build of enhancement. Moody's expectation of pool losses could decline as a result of a lower number of obligor defaults or appreciation in the value of the equipment securing an obligor's promise of payment. Portfolio losses also depend greatly on the US macroeconomy, the equipment markets, and changes in servicing practices. Down Moody's could downgrade the bonds if, given its expectations of portfolio losses, levels of credit enhancement are consistent with lower ratings. Credit enhancement could decline if excess spread is not sufficient to cover losses in a given month. Moody's expectation of pool losses could rise as a result of a higher number of obligor defaults or deterioration in the value of the equipment securing an obligor's promise of payment. Portfolio losses also depend greatly on the US macroeconomy, the equipment markets, and poor servicer performance. Other reasons for worse-than-expected performance include error on the part of transaction parties, inadequate transaction governance, and fraud. [] Fitch Places Ratings on 19 Tranches on Watch Negative -------------------------------------------------------- Fitch Ratings, on April 16, 2020, placed 19 tranches on Rating Watch Negative and revised Outlooks to Negative on 13 tranches from 12 U.S. collateralized loan obligations after applying an updated baseline stress addressing the impact of risks from coronavirus. Fitch also maintained the RWN status on the class C notes in Palmer Square Loan Funding 2018-4, Ltd. Fitch will resolve the Rating Watch status over the coming months as, and when, Fitch observes rating actions on the underlying loans. RATING ACTIONS Apres Static CLO 1, Ltd. - Class C 03835JAG8; LT BBBsf; Rating Watch On - Class D 03835KAA8; LT BBsf; Rating Watch On - Class E 03835KAC4; LT B+sf; Revision Outlook MP CLO VII, Ltd. (f/k/a ACAS CLO 2015-1, Ltd.) - Class F-RR 55320TAD5; LT Bsf; Rating Watch On MidOcean Credit CLO VIII - Class F 59801NAC0; LT B-sf; Rating Watch On Newstar Fairfield Fund CLO, Ltd. (F/K/A Fifth Street SLF II, Ltd.) - Class B-1-N 65252BAE3; LT A-sf; Rating Watch On - Class B-2-N 65252BAJ2; LT A-sf; Rating Watch On - Class C-N 65252BAG8; LT BBB-sf; Rating Watch On - Class D-N 65252CAA9; LT BB-sf; Rating Watch On Palmer Square Loan Funding 2018-4, Ltd - Class B 69700KAE3; LT Asf; Rating Watch On - Class C 69700KAG8; LT BBBsf; Rating Watch Maintained - Class D 69700NAA5; LT BBsf; Revision Outlook - Class E 69700NAC1; LT B+sf; Revision Outlook Palmer Square Loan Funding 2018-5, Ltd. - Class C 69700PAG7; LT BBBsf; Rating Watch On - Class D 69700QAA8; LT BBsf; Revision Outlook Palmer Square Loan Funding 2019-1 - Class B 69700VAE9; LT Asf; Rating Watch On - Class C 69700VAG4; LT BBB-sf; Revision Outlook - Class D 69700RAA6; LT BBsf; Revision Outlook Palmer Square Loan Funding 2019-2 - Class B 69689PAE7; LT Asf; Rating Watch On - Class C 69689PAG2; LT BBB-sf; Revision Outlook - Class D 69689MAA2; LT BBsf; Revision Outlook - Class E 69689MAE4; LT B+sf; Revision Outlook Palmer Square Loan Funding 2019-3, Ltd. - Class B 69689LAE6; LT Asf; Rating Watch On - Class C 69689LAG1; LT BBB-sf; Rating Watch On - Class D 69689NAA0; LT BBsf; Revision Outlook - Class E 69689NAC6; LT B+sf; Revision Outlook Palmer Square Loan Funding 2019-4, Ltd. - Class B 69689HAE5; LT Asf; Rating Watch On - Class C 69689HAG0; LT BBB-sf; Rating Watch On - Class D 69689JAA9; LT BBsf; Revision Outlook Palmer Square Loan Funding 2020-1, Ltd. - Class B 69701EAE6; LT Asf; Rating Watch On - Class C 69701EAG1; LT BBB-sf; Rating Watch On - Class D 69701DAA6; LT BBsf; Revision Outlook Voya CLO 2015-3, Ltd. - Class E-R 92913DAL8; LT Bsf; Rating Watch On KEY RATING DRIVERS Coronavirus Impact Analysis Asset credit quality, asset security, and portfolio composition are captured in Rating Default Rate, Rating Recovery Rate, and Rating Loss Rate produced by Fitch's Portfolio Credit Model. For the baseline stress, Fitch analyzed portfolio assets based on the most recent report and applied additional stresses on underlying asset ratings and recoveries, as described in the publication "Fitch Ratings Updates CLO Sensitivity Stress for Coronavirus Vulnerabilities" published on April 7, 2020 available at fitchratings.com. Specifically, Fitch has identified the following sectors that are most exposed to negative performance as a result of business disruptions from the coronavirus: Aerospace and Defense; Automobiles; Energy, Oil and Gas; Gaming and Leisure and Entertainment; Lodging and Restaurants; Metals and Mining; Retail; and Transportation and Distribution. For its baseline stress scenario, Fitch applied a one notch downgrade for all assets in the identified sectors, as well as for all assets with a Negative Outlook outside of the eight sectors (floor at CCC-). Additionally, the scenario includes a haircut to recovery assumptions, by applying a multiplier of 0.85 to recoveries at all rating scenarios to issuers in these eight industries. The PCM output from the baseline stress was compared to the PCM output corresponding to the original Fitch Stressed Portfolio (FSP) at the initial rating assignment, as well as to the rated notes' current credit enhancement levels. Notes with negative cushions were cash flow modeled. Notes that failed Fitch's cash flow model analysis relative to their current ratings default hurdles, in the flat LIBOR scenarios, were placed on RWN. Fitch also revised the Rating Outlooks to Negative from Stable on 13 tranches due to their subordinate positions in their respective capital structures, relative to those tranches assigned to RWN. Fitch believes that these classes have increased sensitivities to tail-end risks in the life of their respective transaction. The accompanying rating action report provides details on the percentage of the portfolio stressed under the described baseline case, exposure to the eight identified sectors, as well as RDRs, RRRs, and RLRs for each of the original FSP, current portfolio, and baseline stress portfolio for the CLOs whose tranches are placed on RWN or revised Outlooks. RATING SENSITIVITIES Fitch conducted rating sensitivity analysis on the closing date of each CLO, incorporating increased levels of defaults and reduced levels of recovery rates among other sensitivities, as defined in its CLOs and Corporate CDOs Rating Criteria. Factors that could, individually or collectively, lead to positive rating actions/upgrade: An upgrade scenario would not be applicable to the notes already rated at the highest rating level. At other rating levels increases in recovery rates and decreases in default rates could result in an upgrade for the applicable notes. Specifically, the sensitivity scenario that included a 25% default multiplier (applied as described in the CLOs and Corporate CDOs Rating Criteria) and a 25% increase of the recovery rate for the portfolio stressed under the baseline stress scenario, would lead to a model implied ratings for applicable classes of notes as indicated in the accompanying rating action report. Factors that could, individually or collectively, lead to negative rating actions/downgrade: Downgrades may occur if realized and projected losses in the respective portfolios are higher than those assumed at closing in the Fitch Stressed Portfolio and that are not offset by the increase in CLO notes' CE levels. In the analyzed CLOs, a 125% default multiplier (applied as described in the CLOs and Corporate CDOs Rating Criteria) combined with a 25% decrease of the recovery rate at all rating levels for the portfolio stressed under the baseline stress scenario, would lead to a model implied rating at the levels indicated in the accompanying rating action report. As the disruptions to supply and demand due to the coronavirus for underlying sectors other than the eight identified in the baseline stress become apparent, loan ratings in these additional sectors would also come under pressure. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. SOURCES OF INFORMATION The information used to assess these ratings was sourced from periodic servicer reports, note valuation reports, and the public domain. CASH FLOW MODEL DISCLOSURE When conducting cash flow analysis, Fitch's cash flow model first projects the portfolio scheduled amortization proceeds and any voluntary prepayments for each reporting period of the transaction life assuming no defaults (and no voluntary terminations, when applicable). In each rating stress scenario, such scheduled amortization proceeds and prepayments are then reduced by a scale factor equivalent to the overall percentage of loans that are not assumed to default (or to be voluntarily terminated, when applicable). This adjustment avoids running out of performing collateral due to amortization and voluntary prepayments and ensures all of the defaults projected to occur in each rating stress are realized in a manner consistent with Fitch's published default timing curve. REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING The principal sources of information used in the analysis are described in the Applicable Criteria. ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers public debt and equity securities about which we report. 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