/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/210103.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, January 3, 2021, Vol. 25, No. 2 Headlines AASET TRUST 2017-1: Fitch Lowers Rating on Class C Notes to 'CCCsf' ABPCI DIRECT X: S&P Assigns BB- (sf) Rating to $12MM Class E Notes BAIN CAPITAL 2020-5: S&P Rates $16MM Class E Notes 'BB- (sf)' COLUMBIA CENT 27: S&P Affirms CCC+ (sf) Rating on Class E Notes CROWN CITY II: S&P Assigns BB-(sf) Rating to $10.5MM Class D Notes CROWN CITY II: S&P Rates $10.5MM Class D Notes 'BB-(sf)' GOLUB CAPITAL 52(B): S&P Rates Class E Notes 'BB- (sf)' MAGNETITE XXV: S&P Rates $14.6MM Class E Notes 'BB- (sf)' NEW RESIDENTIAL 2020-T1: S&P Rates Class E-T1 Notes 'BB (sf)' ROCKFORD TOWER 2020-1: S&P Assigns 'BB- (sf)' Rating to E Notes RR 12: S&P Rates $19MM Class D-R2 Notes 'BB- (sf)' SOUND POINT XXVIII: S&P Rates Class E Notes 'BB- (sf)' TOWD POINT 2018-SL1: DBRS Confirms BB(low) Rating on Cl. D-2 Notes TRINITAS CLO IX: Moody's Confirms Ba1 Rating on Class D Notes [*] DBRS Reviews 333 Classes From 56 U.S. RMBS Transactions ********* AASET TRUST 2017-1: Fitch Lowers Rating on Class C Notes to 'CCCsf' ------------------------------------------------------------------- Fitch Ratings has taken the following rating actions on the four outstanding AASET aircraft ABS transactions listed below. -- AASET 2017-1 Trust (2017-1) series A, B, and C notes were all downgraded; -- Apollo Aviation Securitization Equity Trust 2014-1, 2018 Refinance (2014-1) series A and B notes were affirmed, while the series C was downgraded; -- AASET 2019-2 Trust (2019-2) series A, B, and C notes were all affirmed; and -- AASET 2020-1 Trust (2020-1) series A and B notes were affirmed, while the series C was downgraded. The Rating Outlook for all the outstanding series notes remains Negative. DEBT RATING PRIOR ---- ------ ----- AASET 2017-1 Trust A 000366AA2 LT BBBsf Downgrade Asf B 000366AB0 LT BBsf Downgrade BBBsf C 000366AC8 LT CCCsf Downgrade BBsf AASET 2014-1, 2018 Refinance A LT Asf Affirmed Asf B LT BBBsf Affirmed BBBsf C LT CCCsf Downgrade BBsf AASET 2019-2 Trust A 00038RAA4 LT Asf Affirmed Asf B 00038RAB2 LT BBBsf Affirmed BBBsf C 00038RAC0 LT BBsf Affirmed BBsf AASET 2020-1 Trust A 00255UAA3 LT Asf Affirmed Asf B 00255UAB1 LT BBBsf Affirmed BBBsf C 00255UAC9 LT Bsf Downgrade BBsf TRANSACTION SUMMARY The rating actions reflect ongoing stress on and deterioration of airline lessee credits backing the leases in each transaction pool, downward pressure on aircraft values, Fitch's updated assumptions and stresses, and resulting impairments to modeled cash flows and coverage levels. Prior reviews on all four transactions were in June and July of 2020. Fitch revised or maintained the Negative Outlook on all outstanding notes from each transaction, reflecting Fitch's base case expectation for the structure to withstand immediate and near-term stresses at the updated assumptions, and stressed scenarios commensurate with their respective ratings. Furthermore, additional global travel restrictions/shutdowns and overall start/stop travel/airline recovery with recent regional spikes in coronavirus cases could further delay a recovery in the airline industry. This is a further credit negative for these aircraft ABS, and will only place further pressure on airlines globally. In addition, these conditions may lead to additional near-term lease deferrals, airline defaults and bankruptcies, lower aircraft demand and value impairments, which can impact the four ABS pools more since they contain a large percent of older aircraft. Ultimately, these negative factors can lead to lower ABS transaction cash flows and pressure ratings. Fitch updated rating assumptions for both rated and non-rated airlines. The vast majority of ratings remained low or declined further, which was a key driver in Fitch's current rating actions along with modeled cash flows. This was driven by the current global recessionary environment and sector events/factors discussed above, all impacting airline lessee credit in each pool. Recessionary timing was assumed to start immediately, consistent with the prior review. This scenario stresses airline credits, asset values and lease rates while incurring remarketing and repossession costs and downtime at each relevant rating stress level. Carlyle Aviation Partners Ltd. (CAP) (parent: The Carlyle Group rated BBB+/Stable) and its affiliates manage certain funds (the SASOF Funds). The four AASET trusts purchased the initial aircraft in their respective pools from the SASOF Funds. Carlyle Aviation Management Limited (CAML; not rated by Fitch), an indirect subsidiary of CAP, is the servicer for both transactions. Fitch believes the servicer can adequately service these transactions based on its experience as a lessor and overall servicing capabilities. KEY RATING DRIVERS Deteriorating Airline Lessee Credit: The credit profiles of the airline lessees in the pools, remain under stress or have deteriorated further due to the coronavirus-related impact on all global airlines in 2020. This has resulted in lower rating assumptions for certain lessees utilized for this review. The proportion of airline lessees assumed at a 'CCC' Issuer Default Rate (IDR) and below increased for each transaction since the prior review: 67.5% from 65.4% for 2017-1; 79.0% from 63.9% for 2014-1; 67.5% from 63.3% for 2019-2; and 91.0% from 85.3% for 2020-1. When combined with off-leased aircraft, each deal's exposure to weaker credits and aircraft on ground are between 90%-93%; except 2019-2, which remains at 67.5%. The remaining lessees of the latter transaction are higher quality credits, and in most cases publicly rated.The assumptions reflect these airlines' ongoing credit profiles and fleets in the current operating environment, given continued pandemic-related impacts on the sector. Any publicly rated airlines in the pool whose ratings have shifted have been updated. Asset Quality and Appraised Pool Value: Each pool, with the exception of 2019-2, consists of older mid-to-end-of-life aircraft with weighted average (WA) ages ranging from approximately 16 to 9 years. The WA age of the 2019-2 pool is 12.6 years, which is more characteristic of a mid-life aircraft pool. Each pool features mostly liquid narrowbody (NB) aircraft, which is viewed positively. Widebody (WB) aircraft total 16.3%, 31.9%, 13.1% and 13.3% in 2017-1, 2014-1, 2019-2 and 2020-1, respectively. There continues to be elevated uncertainty and ongoing pressure on aircraft market values (MV), and how the current environment will impact near-term lease maturities in 2020-2021. Further, Fitch recognizes that there will be downward pressure on values in the short-to-medium term. The 2017-1 and 2014-1 appraisers are AVITAS, Inc. (AVITAS), morten beyer & agnew Inc. (mba) and BK Associates Inc (BK). Appraisers for both 2019-2 and 2020-1 are AVITAS, mba and Collateral Valuations, Inc. (CV). The transaction document values are $328.9 million for 2017-1; $334.2 million for 2014-1; $613.6 million for 2019-2; and $447.2 million for 2020-1 (all as of the November 2020 servicer reports). Fitch utilized conservative asset values for each transaction, as there is continued pressure and weaker market values for certain aircraft variants, particularly WBs. Consistent with recent reviews of mid-life aircraft pools, Fitch utilized the following approach to derive the model value for 2019-2: average excluding highest value (AEH) of the maintenance-adjusted base values (MABVs) for NBs less than 15 years old; minimum MABV for NBs 15 years and older; and minimum MA market values (MV) with an additional 5% haircut applied thereon for WBs. Consistent with recent reviews of mid-to-end-of-life pools, Fitch utilized the AEH MABV for NBs and AEH MAMV for WBs for 2014-1, 2017-1 and 2020-1. This resulted in Fitch modeled values of $293.5 million for 2017-1; $283.8 million for 2014-1; $524.6 million for 2019-2; and $393.6 million for 2020-1. These value assumptions are approximately 11%, 15%, 15% and 12% haircut, respectively, down from the current transaction values or other third-party appraisal data utilized. Transaction Performance: Lease deferrals occurred across all four transactions since March this year. As of the October 2020 collection period, 2017-1, 2014-1, 2019-2 and 2020-1 had six, nine, eight and eight lessees, respectively, that are delinquent and behind on lease payments by at least one-month. This represents 44%, 49%, 58% and 51% of their respective pools. For modeling purposes, Fitch assumed three months of lease deferrals across all pools where appropriate, with contractual lease payments resuming thereafter plus additional repayment of deferred amounts over a six-month period. Any known deferrals were applied in cash flow modeling. Lease collections have fluctuated since February trending notably lower for each transaction. As of the October period, 2017-1, 2014-1, 2019-2 and 2020-1 received $2.3 million, $3.1 million, $3.7 million and $2.4 million in basic rent, down approximately 20-41% across the pools since February. The 2020-1 transaction closed near the start of the global pandemic; therefore, pre-pandemic collections history is not available for comparison, but collections has been depressed similar to other transactions. Loan-to-values (LTVs) continued to increase since the prior review with the exception of 2019-2, based on the updated Fitch LTVs and values utilized in this review. All series A and B notes continue to receive interest payments through the October period. However, available cashflow has been insufficient to pay any notable note principal amount since the June collection for 2017-1. Both 2014-1 and 2019-2 have continuously paid series A principal; however, at lower levels versus February 2020. Similar to 2017-1, collections for 2020-1 since the May collection period were not enough to pay note principal until September, when maintenance expense projections were refreshed requiring less amounts from collections to reserve for maintenance. During the October collection period, available cashflow for 2014-1, 2019-2 and 2020-1 was able to reach the scheduled A principal payment step of the waterfall. For 2017-1, cashflow was able reach the step immediately before the scheduled principal payment where maintenance and engine reserve accounts are to be funded up to a required amount; however, collections were not sufficient to top-up the required funding amounts. The debt-service coverage ratios (DSCRs) remain below their respective cash trap and early amortization event triggers for each deal. Fitch Modeling Assumptions: Nearly all servicer-driven assumptions are consistent from closing for each transaction. These include costs and certain downtime assumptions relating to aircraft repossessions and remarketing, terms of new leases and extension terms. For off-leased aircraft, any leases whose maturities are up in two years, or whose lessee credit ratings are below 'CCC', Fitch assumed an additional three-month downtime for NBs and six months for WBs, on top of lessor-specific remarketing downtime assumptions, to account for potential remarketing challenges in placing this aircraft with a new lessee in the current distressed environment. Two engines and four aircraft in 2017-1 remain off-lease with one aircraft potentially entering into a follow-on lease, while the servicer is evaluating disposal potential for three assets. Three aircraft and one engine are off-lease in 2014-1. There are no reported off-lease assets in 2019-2, but three aircraft with expired leases are in the redelivery process. For 2020-1 one aircraft is reported off-lease with a potential follow-on lease. Lease maturities into and during 2021 total ten, three, nine and five in 2017-1, 2014-1, 2019-2 and 2020-1, respectively. Off-lease and near-term lease maturities are a credit negative for the transactions given the challenging environment as many airlines are returning aircraft and not renewing, it is difficult to place returned aircraft on new lease, and selling aircraft (particularly older aircraft) may result in highly stressed, lower values; factors that Fitch considered during this review. With the grounding of global fleets and significant reduction in air travel, maintenance revenue and costs will be impacted and are expected to decline, due to airline lessee credit issues and grounded aircraft. Maintenance revenues were reduced by 50% over the next immediate 12 months, and as such, missed payments were assumed to be recouped in the following 12 months thereafter, starting in December 2021. Maintenance costs over the immediate next six months were assumed to be incurred as reported. Costs in the following month were reduced by 50% and assumed to increase straight line to 100% over a 12-month period. Any deferred costs were incurred in the following 12 months. RATING SENSITIVITIES The Negative Outlooks on all series of notes reflects the potential for further negative rating actions due to concerns over the ultimate impact of the coronavirus pandemic, the resulting concerns associated with airline performance and aircraft values and other assumptions across the aviation industry due to the severe decline in travel and grounding of airlines. At close, Fitch conducted multiple rating sensitivity analyses to evaluate the impact of changes to a number of the variables in the analysis. The performance of aircraft operating lease securitizations is affected by various factors, which could have an impact on the ratings. Due to the correlation between global economic conditions and the airline industry, the ratings can be affected by the strength of the macro-environment over the remaining terms of these transactions. In the initial analysis, Fitch found the transactions to exhibit sensitivity to the timing and severity of assumed recessions. Fitch also found that greater default probability of the leases has a material impact on the ratings. Furthermore, the timing and degree of technological advancement in the commercial aviation space, and the resulting impact on aircraft values, lease rates and utilization would have a moderate impact on the ratings. Factors that could, individually or collectively, lead to positive rating action/upgrade: Up: Base Assumptions with Stronger Asset Values -- The aircraft ABS sector has a rating cap of 'Asf'. All subordinate tranches carry one category of ratings lower than the senior tranche and below the ratings at close. However, if the assets in this pool display stronger asset values than Fitch modeled and therefore stronger lease collections than Fitch's stressed scenarios, the transaction could perform better than expected. -- In this scenario, Fitch increased the model value up to the transaction document value (average MABV for 2017-1, 2019-2, and 2020-1; and lowest of mean and median MABV for 2014-1) as of the November 2020 report. Under this scenario, the transactions experience an improvement to cash flows. For 2017-1, the series A and B notes could experience an upgrade of one category while the series C note could experience of up to two categories. On 2014-1 and 2020-1, the series class C note could experience and upgrade of up to two categories. On 2019-2, all notes would remain at their current ratings. Factors that could, individually or collectively, lead to negative rating action/downgrade: Down: Base Assumptions with Additional Cut to Asset Values -- The pools contain concentrations of WB aircraft at 16.3%, 31.9%, 13.1% and 13.3% for AASET 2017-1, 2014-1 2019-2 and 2020-1, respectively. Due to continuing MV pressure on WB and worsening supply and demand dynamics, Fitch explored the potential cash flow decline if WB values were haircut by an additional 10% of Fitch's modeled values. -- For all the transactions, the notes experienced weaker cash flows, but remain at their current ratings. 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. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. ABPCI DIRECT X: S&P Assigns BB- (sf) Rating to $12MM Class E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to ABPCI Direct Lending Fund CLO X L.P.'s fixed- and floating-rate notes. The note issuance is a CLO transaction backed by primarily middle market speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. The ratings reflect: -- The diversification of the collateral pool. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The experience of the collateral manager's team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. RATINGS ASSIGNED ABPCI Direct Lending Fund CLO X L.P. Class A1A, $178.00 million: AAA (sf) Class A1B, $13.00 million: AAA (sf) Class A2A, $9.50 million: AAA (sf) Class A2B, $7.50 million: AAA (sf) Class B1, $20.50 million: AA (sf) Class B2, $6.00 million: AA (sf) Class C, $28.00 million: A (sf) Class D, $17.50 million: BBB- (sf) Class E, $12.00 million: BB- (sf) Partnership interests, $54.75 million: Not rated BAIN CAPITAL 2020-5: S&P Rates $16MM Class E Notes 'BB- (sf)' ------------------------------------------------------------- S&P Global Ratings assigned its ratings to Bain Capital Credit CLO 2020-5 Ltd.'s floating- and fixed-rate notes. The note issuance is a CLO transaction backed by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. The notes are managed by Bain Capital Credit U.S. CLO Manager LLC, a subsidiary of Bain Capital Credit. The ratings reflect: -- The diversification of the collateral pool; -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Bain Capital Credit CLO 2020-5 Ltd./Bain Capital Credit CLO 2020-5 LLC Class A-1, $248.0 million: AAA (sf) Class A-2, $8.0 million: AAA (sf) Class B-1, $38.0 million: AA (sf) Class B-2, $10.0 million: AA (sf) Class C, $22.0 million: A (sf) Class D, $22.0 million: BBB- (sf) Class E, $16.0 million: BB- (sf) Subordinated notes, $37.2 million: Not rated COLUMBIA CENT 27: S&P Affirms CCC+ (sf) Rating on Class E Notes --------------------------------------------------------------- S&P Global Ratings assigned its rating to the class A-2b-R replacement notes from Columbia Cent CLO 27 Ltd., a CLO originally issued in 2018 that is managed by RiverSource Investments LLC. S&P withdrew its rating on the original class A-2b notes following payment in full on the Dec. 29, 2020, refinancing date. At the same time, S&P affirmed its ratings on the class A-1, A-2a, B, C, D, and E notes. The replacement notes are being issued via a supplemental indenture, which outlines the terms of the replacement notes. S&P said, "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches." The ratings reflect S&P's opinion that the credit support available is commensurate with the associated rating levels. S&P will continue to review whether, in its view, the ratings on the notes remain consistent with the credit enhancement available to support them, and it will take rating actions as it deems necessary. Rating Assigned Columbia Cent CLO 27 Ltd. Replacement class A-2b-R, $20 mil.: AA (sf) Ratings Affirmed Columbia Cent CLO 27 Ltd. Class A-1: AAA (sf) Class A-2a: AA (sf) Class B: A (sf) Class C: BBB- (sf) Class D: B (sf) Class E: CCC+ (sf) CROWN CITY II: S&P Assigns BB-(sf) Rating to $10.5MM Class D Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Crown City CLO II's floating- and fixed-rate notes. The note issuance is a CLO transaction backed by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. The notes are managed by Western Asset Management Co. LLC. The ratings reflect: -- The diversification of the collateral pool. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The experience of the collateral manager's team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Crown City CLO II/Crown City CLO II LLC Class X, $2.00 million: AAA (sf) Class A-1a, $210.00 million: AAA (sf) Class A-1b, $17.50 million: Not rated Class A-2, $38.50 million: AA (sf) Class B-1 (deferrable), $10.00 million: A (sf) Class B-2 (deferrable), $11.00 million: A (sf) Class C (deferrable), $21.00 million: BBB- (sf) Class D (deferrable), $10.50 million: BB- (sf) Subordinated notes, $35.00 million: Not rated CROWN CITY II: S&P Rates $10.5MM Class D Notes 'BB-(sf)' -------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Crown City CLO II's floating- and fixed-rate notes. The note issuance is a CLO transaction backed by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. The notes are managed by Western Asset Management Co. LLC. The preliminary ratings are based on information as of Dec. 28, 2020. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The diversification of the collateral pool. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The experience of the collateral manager's team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Crown City CLO II/Crown City CLO II LLC Class X, $2.00 million: AAA (sf) Class A-1a, $210.00 million: AAA (sf) Class A-1b, $17.50 million: Not rated Class A-2, $38.50 million: AA (sf) Class B-1 (deferrable), $10.00 million: A (sf) Class B-2 (deferrable), $11.00 million: A (sf) Class C (deferrable), $21.00 million: BBB- (sf) Class D (deferrable), $10.50 million: BB- (sf) Subordinated notes, $34.55 million: Not rated GOLUB CAPITAL 52(B): S&P Rates Class E Notes 'BB- (sf)' ------------------------------------------------------- S&P Global Ratings assigned its ratings to Golub Capital Partners CLO 52(B) Ltd.'s floating-rate notes. The note issuance is a CLO transaction backed by primarily broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. The ratings reflect: -- The diversification of the collateral pool. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The experience of the collateral manager's team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Golub Capital Partners CLO 52(B) Ltd. Class A-1, $240.00 million: AAA (sf) Class A-2, $10.00 million: not rated Class B, $54.00 million: AA (sf) Class C, $24.00 million: A (sf) Class D, $20.00 million: BBB- (sf) Class E, $14.00 million: BB- (sf) Subordinated notes: $44.75 million: Not rated MAGNETITE XXV: S&P Rates $14.6MM Class E Notes 'BB- (sf)' --------------------------------------------------------- S&P Global Ratings assigned its ratings to Magnetite XXV Ltd./Magnetite XXV LLC's floating-rate notes. The note issuance is a CLO transaction backed by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. The ratings reflect: -- The diversification of the collateral pool. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The experience of the collateral manager's team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Magnetite XXV Ltd./Magnetite XXV LLC Class A, $283.50 million: AAA (sf) Class B, $58.50 million: AA (sf) Class C (deferrable), $27.00 million: A (sf) Class D (deferrable), $27.00 million: BBB- (sf) Class E (deferrable), $14.60 million: BB- (sf) Subordinated notes, $45.90 million: Not rated NEW RESIDENTIAL 2020-T1: S&P Rates Class E-T1 Notes 'BB (sf)' ------------------------------------------------------------- S&P Global Ratings assigned its ratings to New Residential AP Advance Receivables Trust's advance receivables-backed notes series 2020-T1. The term note issuance is backed by servicer advance reimbursements and accrued and unpaid servicing fees. The ratings reflect: -- The strong likelihood of the servicer advance receivables being reimbursed, given the priority of the reimbursement payments; -- The transaction's revolving period, during which collections or draws on the outstanding variable-funding note (VFN) may be used to fund additional advance receivables, and the specified eligibility requirements, collateral value exclusions, credit enhancement test (the collateral test), and amortization triggers intended to maintain pool quality and credit enhancement during this period; -- The transaction's use of predetermined, rating category-specific advance rates for each receivable type in the pool that discount the receivables (which are non-interest bearing) to satisfy the interest obligations on the notes and provide for dynamic overcollateralization; -- The projected timing of the servicer advance receivables reimbursements, which reflects S&P's assumption that the servicer would be replaced in the 'AAA', 'AA', and 'A' scenarios, and reflects the servicer's historical reimbursement experience in the 'BBB' and 'BB' scenarios; -- The credit enhancement in the form of overcollateralization, subordination, and the series reserve accounts; -- The timely interest and full principal payments made under S&P's stressed cash flow modeling scenarios consistent with the assigned ratings; and -- The transaction's sequential turbo payment structure that applies during any full amortization period. -- The ratings do not address whether the cash flows generated by the receivables pool will be sufficient to pay certain supplemental fees, such as default supplemental fees and expected repayment date (ERD) supplemental fees, which may become payable to noteholders if certain events occur. S&P Global Ratings believes there remains a high degree of uncertainty about the evolution of the coronavirus pandemic. While the early approval of a number of vaccines is a positive development, countries' approval of vaccines is merely the first step toward a return to social and economic normality; equally critical is the widespread availability of effective immunization, which could come by mid-2021. S&P said, "We use this assumption in assessing the economic and credit implications associated with the pandemic. As the situation evolves, we will update our assumptions and estimates accordingly." Ratings Assigned New Residential AP Advance Receivables Trust (Series 2020-T1) Class A-T1, $263,981,000: AAA (sf) Class B-T1, $7,253,000: AA (sf) Class C-T1, $7,149,000: A (sf) Class D-T1, $18,096,000: BBB (sf) Class E-T1, $3,521,000: BB (sf) ROCKFORD TOWER 2020-1: S&P Assigns 'BB- (sf)' Rating to E Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to Rockford Tower CLO 2020-1 Ltd./Rockford Tower CLO 2020-1 LLC's floating-rate notes. The note issuance is a CLO securitization backed primarily by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Rockford Tower CLO 2020-1 Ltd./Rockford Tower CLO 2020-1 LLC Class A, $240.00 mil.: AAA (sf) Class B, $64.00 mil.: AA (sf) Class C (deferrable), $24.00 mil.: A (sf) Class D (deferrable), $24.00 mil.: BBB- (sf) Class E (deferrable), $14.00 mil.: BB- (sf) Subordinated notes, $35.15 mil.: Not rated RR 12: S&P Rates $19MM Class D-R2 Notes 'BB- (sf)' -------------------------------------------------- S&P Global Ratings assigned ratings to RR 12 Ltd./RR 12 LLC's floating-rate notes. The note issuance is a CLO transaction backed primarily by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. It is a refinancing of ALM VII(R) Ltd., which originally closed on Sept. 12, 2013. Proceeds from the class A-1a-R2, A-1b-R2, A-2-R2, B-R2, C-R2, and D-R2 notes were used to redeem the outstanding class A-1R, A-2R, BR, CR, and DR notes. The ratings reflect S&P's view of: -- The collateral pool's diversification. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The experience of the collateral manager's team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned RR 12 Ltd./RR 12 LLC Class A-1a-R2, $285 mil.: AAA (sf) Class A-1b-R2, $15.10 mil.: AAA (sf) Class A-2-R2, $53.40 mil.: AA (sf) Class B-R2 (deferrable), $33.00 mil.: A (sf) Class C-R2 (deferrable), $28.50 mil.: BBB- (sf) Class D-R2 (deferrable), $19.00 mil.: BB- (sf) Preferred shares, $86.71 mil.: Not rated SOUND POINT XXVIII: S&P Rates Class E Notes 'BB- (sf)' ------------------------------------------------------ S&P Global Ratings assigned its ratings to Sound Point CLO XXVIII Ltd./Sound Point CLO XXVIII LLC's fixed- and floating-rate notes. The note issuance is a CLO securitization backed by primarily broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization; -- The experience of the collateral 'management team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Sound Point CLO XXVIII Ltd./Sound Point CLO XXVIII LLC Class A-1, $295.00 mil.: AAA (sf) Class A-2, $15.00 mil.: AAA (sf) Class B, $70.00 mil.: AA (sf) Class C, $30.00 mil.: A (sf) Class D, $27.50 mil.: BBB- (sf) Class E, $18.75 mil.: BB- (sf) Subordinated notes, $48.00 mil.: Not rated TOWD POINT 2018-SL1: DBRS Confirms BB(low) Rating on Cl. D-2 Notes ------------------------------------------------------------------ DBRS, Inc. confirmed its ratings on all classes of securities issued by Towd Point Asset Trust 2018-SL1: Debt Rated Action Rating ---------- ------ ------ Class A Notes Confirmed AAA (sf) Class AB Notes Confirmed A (high) (sf) Class B Notes Confirmed A (high) (sf) Class AC Notes Confirmed BBB (high) (sf) Class C Notes Confirmed BBB (high) (sf) Class D-1 Notes Confirmed BBB (low) (sf) Class D-2 Notes Confirmed BB (low) (sf) The Class AB and AC Notes are exchangeable notes. With this review, DBRS Morningstar removed the Class D-1 and D-2 Notes from Under Review with Negative Implications, where it placed them on June 30, 2020. The rating confirmations are based on the following analytical considerations: -- The transaction assumptions consider DBRS Morningstar's set of macroeconomic scenarios for select economies related to the Coronavirus Disease (COVID-19), available in its commentary "Global Macroeconomic Scenarios: December Update," published on December 2, 2020. DBRS Morningstar initially published macroeconomic scenarios on April 16, 2020, which have been regularly updated. The scenarios were last updated on December 2, 2020, and are reflected in DBRS Morningstar's rating analysis. -- The assumptions consider the moderate macroeconomic scenario outlined in the commentary, with the moderate scenario serving as the primary anchor for the current ratings. The moderate scenario factors in increasing success in containment during the first half of 2021, enabling the continued relaxation of restrictions. -- The level of hard credit enhancement in the form of overcollateralization, subordination, and amounts held in the reserve fund available in the transaction. Hard credit enhancement and estimated excess spread are sufficient to support the DBRS Morningstar current rating levels listed above. -- The collateral performance to date and DBRS Morningstar's assessment of future performance, including upward revisions to the initial base-case default assumptions that are consistent with the expected unemployment levels in the moderate scenario. -- The transaction parties' capabilities with regard to origination, underwriting, and servicing. Notes: The principal methodology is the DBRS Morningstar Master U.S. ABS Surveillance Methodology (May 27, 2020), which can be found on dbrsmorningstar.com under Methodologies & Criteria. TRINITAS CLO IX: Moody's Confirms Ba1 Rating on Class D Notes ------------------------------------------------------------- Moody's Investors Service has assigned a rating to one class of CLO refinancing notes issued by Trinitas CLO IX, Ltd. (the "Issuer"). Moody's rating action is as follows: $10,000,000 Class B-2-R Fixed Rate Notes Due 2032 (the "Class B-2-R Notes"), Assigned Aa2 (sf) Moody's also confirmed the rating on the following notes: $37,800,000 Class D Deferrable Floating Rate Notes Due 2032 (the "Class D Notes"), Confirmed at Ba1 (sf); previously on December 8, 2020, Ba1 (sf) Placed Under Review for Possible Upgrade This action concludes the review for upgrade initiated on December 8, 2020 on the Class D issued by the CLO. The CLO, originally issued in November 2018 partially refinanced in December 2020 is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end in November 2023. RATINGS RATIONALE The rationale for the ratings are based on our methodology and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation. The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of first lien senior secured loans and eligible principal investments, up to 7.5% of the portfolio may consist of second lien loans and up to 2.5% of the portfolio may consist of unsecured loans. Trinitas Capital Management, LLC (the "Manager") will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's three-year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. The Issuer has issued the Refinancing Notes on December 23, 2020 (the "Refinancing Date") in connection with the refinancing of one class of the secured notes (the "Refinanced Original Notes") originally issued on November 19, 2018 (the "Original Closing Date"). On the Refinancing Date, the Issuer used proceeds from the issuance of the Refinancing Notes to redeem in full the Refinanced Original Notes. On the Original Closing Date, the issuer also issued six other classes of secured notes and one class of subordinated notes that remain outstanding. Moody's confirmed the ratings on the Class D Notes due to its determination their expected losses continue to be consistent with the notes' current rating after taking into account the CLO's latest portfolio, over-collateralization levels, relevant structural features and covenants as well as applying Moody's revised CLO assumptions. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2020. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $587,175,456 Defaulted par: $9,641,041 Diversity Score: 75 Weighted Average Rating Factor (WARF): 3011 Weighted Average Spread (WAS): 3.58% Weighted Average Recovery Rate (WARR): 47.58% Weighted Average Life (WAL): 5.94 years Moody's notes that it also considered the information in the November 2020 trustee report which became available immediately prior to the release of this announcement. In consideration of the current high uncertainties around the global economy, and the ultimate performance of the CLO portfolio, Moody's conducted a number of additional sensitivity analyses representing a range of outcomes that could diverge from our base case. Some of the additional scenarios that Moody's considered in its analysis of the transaction include, among others: additional near-term defaults of companies facing liquidity pressure, an additional cashflow analysis assuming a lower WAS to test the sensitivity to LIBOR floors and a lower recovery rate assumption on defaulted assets to reflect declining loan recovery rate expectations. The coronavirus outbreak, the government measures put in place to contain it, and the weak global economic outlook continue to disrupt economies and credit markets across sectors and regions. Moody's analysis has considered the effect on the performance of corporate assets from the current weak U.S. economic activity and a gradual recovery for the coming months. Although an economic recovery is underway, it is tenuous and its continuation will be closely tied to containment of the virus. As a result, the degree of uncertainty around our forecasts is unusually high. Moody's regards the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2020. Factors That Would Lead to an Upgrade or a Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. [*] DBRS Reviews 333 Classes From 56 U.S. RMBS Transactions ----------------------------------------------------------- DBRS, Inc. reviewed 333 classes from 56 U.S. residential mortgage-backed security (RMBS) transactions. Of the 333 classes reviewed, DBRS Morningstar confirmed 293 ratings, downgraded eight ratings and removed them from Under Review with Negative Implications, and placed 32 ratings Under Review with Negative Implications. The Affected Ratings are available at https://bit.ly/3hkfNqJ The rating confirmations reflect asset performance and credit-support levels that are consistent with the current ratings. The rating downgrades reflect the unlikely recovery of the bonds' principal loss amount or the transactions' negative trend in loss activity. The Under Review with Negative Implications status reflects the negative impact of the coronavirus pandemic on the bonds. For certain bonds, DBRS Morningstar maintained the Under Review with Negative Implications status amid the uncertainty in such transactions' performance with respect to forbearance and delinquency trends. DBRS Morningstar's rating actions are based on the following analytical considerations: -- Key performance measures as reflected in month-over-month changes in delinquency (including forbearance) percentages, credit enhancement (CE) increases since deal inception, and CE levels relative to 30-day+ delinquencies. -- Offset of mortgage-relief initiatives via direct-to-consumer economic aid, mortgage payment assistance, and foreclosure suspension directives. -- Elevated economic concerns and more conservative home price assumptions. As a result of the Coronavirus Disease (COVID-19) pandemic, DBRS Morningstar expects increased delinquencies, loans on forbearance plans, and a potential near-term decline in the values of the mortgaged properties. Such deteriorations may adversely affect borrowers' ability to make monthly payments, refinance their loans, or sell properties in an amount sufficient to repay the outstanding balance of their loans. In connection with the economic stress assumed under its moderate scenario (see "DBRS Morningstar Releases Global Macroeconomic Scenarios: December Update" published on December 2, 2020), DBRS Morningstar applies more severe market value decline (MVD) assumptions across all rating categories than what it previously used. DBRS Morningstar derives such MVD assumptions through a fundamental home price approach based on the forecast unemployment rates and GDP growth outlined in the aforementioned moderate scenario. The pools backing the reviewed RMBS transactions consist of non-Qualified Mortgage (non-QM) collateral. NON-QM In the non-QM asset class, DBRS Morningstar generally believes that loans originated to (1) borrowers with recent credit events, (2) self-employed borrowers, or (3) higher loan-to-value (LTV) borrowers may be more sensitive to economic hardships resulting from higher unemployment rates and lower incomes. Borrowers with prior credit events have exhibited difficulties in fulfilling payment obligations in the past and may revert to spotty payment patterns in the near term. Self-employed borrowers are potentially exposed to more volatile income sources, which could lead to reduced cash flows generated from their businesses. Higher LTV borrowers with lower equity in their properties generally have fewer refinance opportunities and therefore slower prepayments. In addition, certain pools with elevated geographic concentrations in densely populated urban metropolitan statistical areas may experience additional stress from extended lockdown periods and the slowdown of the economy. The ratings assigned to the securities listed below differ from the ratings implied by the quantitative model. DBRS Morningstar considers this difference to be a material deviation; however, in this case, the ratings on the subject securities reflect actual deal/tranche performance that is not fully reflected in the projected cash flows/model output. Generally for RMBS transactions, the reporting of recent forbearance-related delinquencies (as opposed to nonforbearance-related delinquencies) in remittance reports has not been consistent and standardized. DBRS Morningstar believes that recent increases in delinquencies mostly reflect forbearances being requested and granted as a result of the coronavirus pandemic. Additionally, DBRS Morningstar believes that forbearance-related delinquencies, especially during the coronavirus pandemic, should have a lower probability of default than nonforbearance-related delinquencies. Because of the lack of standardized reporting, DBRS Morningstar may not be able to appropriately identify delinquencies as a result of forbearance in its loss analysis; thus, for certain transactions, DBRS Morningstar may have projected significantly higher expected losses using its quantitative model. After reviewing transaction-level performance trends and other analytical considerations outlined in this press release, however, DBRS Morningstar may assign ratings that differ from those implied by the quantitative model, thus resulting in a material deviation. -- Angel Oak Mortgage Trust I, LLC 2017-1, Mortgage-Backed Certificates, Series 2017-1, Class B-1 -- Angel Oak Mortgage Trust I, LLC 2017-2, Mortgage-Backed Certificates, Series 2017-2, Class M-1 -- Angel Oak Mortgage Trust I, LLC 2017-2, Mortgage-Backed Certificates, Series 2017-2, Class B-2 -- Angel Oak Mortgage Trust I, LLC 2017-3, Mortgage-Backed Certificates, Series 2017-3, Class M-1 -- Angel Oak Mortgage Trust I, LLC 2017-3, Mortgage-Backed Certificates, Series 2017-3, Class B-1 -- Angel Oak Mortgage Trust I, LLC 2018-1, Mortgage-Backed Certificates, Series 2018-1, Class M-1 -- Angel Oak Mortgage Trust I, LLC 2018-2, Mortgage-Backed Certificates, Series 2018-2, Class A-3 -- Angel Oak Mortgage Trust I, LLC 2018-2, Mortgage-Backed Certificates, Series 2018-2, Class M-1 -- Angel Oak Mortgage Trust I, LLC 2018-3, Mortgage-Backed Certificates, Series 2018-3, Class A-3 -- Angel Oak Mortgage Trust I, LLC 2018-3, Mortgage-Backed Certificates, Series 2018-3, Class M-1 -- Angel Oak Mortgage Trust I, LLC 2018-3, Mortgage-Backed Certificates, Series 2018-3, Class B-2 -- Angel Oak Mortgage Trust I, LLC 2019-1, Mortgage-Backed Certificates, Series 2019-1, Class A-3 -- Angel Oak Mortgage Trust I 2019-2, Mortgage-Backed Certificates, Series 2019-2, Class A-3 -- Angel Oak Mortgage Trust 2019-3, Mortgage-Backed Certificates, Series 2019-3, Class A-3 -- Angel Oak Mortgage Trust 2019-4, Mortgage-Backed Certificates, Series 2019-4, Class B-2 -- Angel Oak Mortgage Trust 2019-5, Mortgage-Backed Certificates, Series 2019-5, Class B-2 -- Bunker Hill Loan Depositary Trust 2019-1, Mortgage-Backed Notes, Series 2019-1, Class B-1 -- Bunker Hill Loan Depositary Trust 2019-1, Mortgage-Backed Notes, Series 2019-1, Class B-2 -- Bunker Hill Loan Depositary Trust 2019-3, Mortgage-Backed Notes, Series 2019-3, Class A-2 -- COLT 2018-4 Mortgage Loan Trust, COLT 2018-4 Mortgage Pass-Through Certificates, Series 2018-4, Class A-3 -- COLT 2018-4 Mortgage Loan Trust, COLT 2018-4 Mortgage Pass-Through Certificates, Series 2018-4, Class M-1 -- COLT 2018-4 Mortgage Loan Trust, COLT 2018-4 Mortgage Pass-Through Certificates, Series 2018-4, Class M-2 -- COLT 2018-4 Mortgage Loan Trust, COLT 2018-4 Mortgage Pass-Through Certificates, Series 2018-4, Class B-1 -- COLT 2018-4 Mortgage Loan Trust, COLT 2018-4 Mortgage Pass-Through Certificates, Series 2018-4, Class B-2 -- COLT 2019-1 Mortgage Loan Trust, Mortgage Pass-Through Certificates, Series 2019-1, Class A-3 -- COLT 2019-1 Mortgage Loan Trust, Mortgage Pass-Through Certificates, Series 2019-1, Class M-1 -- COLT 2019-1 Mortgage Loan Trust, Mortgage Pass-Through Certificates, Series 2019-1, Class B-1 -- COLT 2019-1 Mortgage Loan Trust, Mortgage Pass-Through Certificates, Series 2019-1, Class B-2 -- COLT 2019-2 Mortgage Loan Trust, Mortgage Pass-Through Certificates, Series 2019-2, Class A-3 -- COLT 2019-3 Mortgage Loan Trust, Mortgage Pass-Through Certificates, Series 2019-3, Class A-3 -- Deephaven Residential Mortgage Trust 2017-3, Mortgage-Backed Notes, Series 2017-3, Class M-1 -- Deephaven Residential Mortgage Trust 2018-1, Mortgage-Backed Notes, Series 2018-1, Class M-1 -- Deephaven Residential Mortgage Trust 2018-3, Mortgage-Backed Notes, Series 2018-3, Class A-3 -- Deephaven Residential Mortgage Trust 2018-3, Mortgage-Backed Notes, Series 2018-3, Class M-1 -- Deephaven Residential Mortgage Trust 2018-3, Mortgage-Backed Notes, Series 2018-3, Class B-2 -- Deephaven Residential Mortgage Trust 2018-4, Mortgage-Backed Notes, Series 2018-4, Class A-3 -- Deephaven Residential Mortgage Trust 2018-4, Mortgage-Backed Notes, Series 2018-4, Class B-2 -- Deephaven Residential Mortgage Trust 2019-1, Mortgage-Backed Notes, Series 2019-1, Class A-3 -- Deephaven Residential Mortgage Trust 2019-1, Mortgage-Backed Notes, Series 2019-1, Class M-1 -- Deephaven Residential Mortgage Trust 2019-1, Mortgage-Backed Notes, Series 2019-1, Class B-2 -- Deephaven Residential Mortgage Trust 2019-2, Mortgage-Backed Notes, Series 2019-2, Class A-3 -- Deephaven Residential Mortgage Trust 2019-2, Mortgage-Backed Notes, Series 2019-2, Class B-2 -- Ellington Financial Mortgage Trust 2019-1, Mortgage Pass-Through Certificates, Series 2019-1, Class A-3 -- GCAT 2019-NQM1 Trust, Mortgage Pass-Through Certificates, Series 2019-NQM1, Class A-3 -- GCAT 2019-NQM1 Trust, Mortgage Pass-Through Certificates, Series 2019-NQM1, Class M-1 -- Homeward Opportunities Fund I Trust 2019-1, Mortgage Pass-Through Certificates, Series 2019-1, Class B-1 -- Homeward Opportunities Fund I Trust 2019-1, Mortgage Pass-Through Certificates, Series 2019-1, Class B-2 -- Homeward Opportunities Fund I Trust 2019-3, Mortgage Pass-Through Certificates, Series 2019-3, Class B-2 -- New Residential Mortgage Loan Trust 2019-NQM1, Mortgage-Backed Notes, Series 2019-NQM1, Class A-3 -- New Residential Mortgage Loan Trust 2019-NQM1, Mortgage-Backed Notes, Series 2019-NQM1, Class M-1 -- New Residential Mortgage Loan Trust 2019-NQM1, Mortgage-Backed Notes, Series 2019-NQM1, Class B-1 -- New Residential Mortgage Loan Trust 2019-NQM1, Mortgage-Backed Notes, Series 2019-NQM1, Class B-2 -- New Residential Mortgage Loan Trust 2019-NQM2, Mortgage-Backed Notes, Series 2019-NQM2, Class B-1 -- New Residential Mortgage Loan Trust 2019-NQM2, Mortgage-Backed Notes, Series 2019-NQM2, Class B-2 -- New Residential Mortgage Loan Trust 2019-NQM5, Mortgage-Backed Notes, Series 2019-NQM5, Class B-1 -- New Residential Mortgage Loan Trust 2019-NQM5, Mortgage-Backed Notes, Series 2019-NQM5, Class B-2 -- RCO 2017-INV1 Trust, Mortgage-Backed Notes, Series 2017-INV1, Class M-1 -- Residential Mortgage Loan Trust 2019-1, Mortgage-Backed Notes, Series 2019-1, Class A-3 -- Residential Mortgage Loan Trust 2019-1, Mortgage-Backed Notes, Series 2019-1, Class M-1 -- Residential Mortgage Loan Trust 2019-2, Mortgage-Backed Notes, Series 2019-2, Class A-3 -- Residential Mortgage Loan Trust 2019-3, Mortgage-Backed Notes, Series 2019-3, Class A-3 -- Spruce Hill Mortgage Loan Trust 2019-SH1, Mortgage-Backed Notes, Series 2019-SH1, Class A-3 -- Spruce Hill Mortgage Loan Trust 2019-SH1, Mortgage-Backed Notes, Series 2019-SH1, Class M-1 -- Starwood Mortgage Residential Trust 2019-INV1, Mortgage Pass-Through Certificates, Series 2019-INV1, Class A-2 -- Starwood Mortgage Residential Trust 2019-INV1, Mortgage Pass-Through Certificates, Series 2019-INV1, Class A-3 -- Starwood Mortgage Residential Trust 2019-INV1, Mortgage Pass-Through Certificates, Series 2019-INV1, Class M-1 -- Starwood Mortgage Residential Trust 2019-INV1, Mortgage Pass-Through Certificates, Series 2019-INV1, Class B-1 -- Verus Securitization Trust 2018-2, Mortgage Pass-Through Certificates, Series 2018-2, Class B-1 -- Verus Securitization Trust 2018-2, Mortgage Pass-Through Certificates, Series 2018-2, Class B-3 -- Verus Securitization Trust 2018-3, Mortgage Pass-Through Certificates, Series 2018-3, Class B-2 -- Verus Securitization Trust 2019-2, Mortgage Pass-Through Certificates, Series 2019-2, Class B-2 -- Verus Securitization Trust 2019-INV1, Mortgage Pass-Through Certificates, Series 2019-INV1, Class B-2 -- Verus Securitization Trust 2019-INV2, Mortgage Pass-Through Certificates, Series 2019-INV2, Class B-2 The rating actions are the result of DBRS Morningstar's application of its "U.S. RMBS Surveillance Methodology," published on February 21, 2020. When DBRS Morningstar places a rating Under Review with Negative Implications, DBRS Morningstar seeks to complete its assessment and remove the rating from this status as soon as appropriate. Upon the resolution of the Under Review status, DBRS Morningstar may confirm or downgrade the ratings on the affected classes. Notes: The principal methodologies are the U.S. RMBS Surveillance Methodology (February 21, 2020) and RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology (April 1, 2020), which can be found on dbrsmorningstar.com under Methodologies & 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. 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Point your Web browser to http://TCRresources.bankrupt.com/and use the e-mail address to which your TCR is delivered to login. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter is a daily newsletter co-published by Bankruptcy Creditors Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., USA. Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Valerie Udtuhan, Howard C. Tolentino, Carmel Paderog, Meriam Fernandez, Joel Anthony G. Lopez, Cecil R. Villacampa, Sheryl Joy P. Olano, Psyche A. Castillon, Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2021. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. 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