/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/180211.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, February 11, 2018, Vol. 22, No. 41 Headlines ALESCO PREFERRED X: Moody's Hikes Class B Notes Rating From Ba1 APOLLO AVIATION 2014-1: Fitch Assigns BBsf Rating to Cl. C Debt BBCMS TRUST 2018-RRI: S&P Assigns Prelim B-(sf) Rating on F Certs BENCHMARK 2018-B1: Fitch Assigns 'B-sf' Rating to Cl. F-RR Certs BENCHMARK 2018-B2: Fitch to Rate Class G-RR Certificates 'Bsf' CANYON CAPITAL 2014-1: Moody's Assigns B3 Rating to Cl. E-R Notes CD 2017-CD3: Fitch Affirms 'B-sf' Rating on Class F Certificates CFCRE COMMERCIAL 2011-C2: Moody's Affirms B1 Rating on X-B Certs CIFC FUNDING 2018-I: Moody's Assigns (P)Ba3 Rating to Cl. E Notes CITIGROUP MORTGAGE 2015-A: Moody's Assigns B2 Rating to B-4 Certs CITIGROUP MORTGAGE 2018-RP1: Fitch to Rate Class B-2 Notes 'Bsf' COMM 2016-DC2: Fitch Affirms 'BB-sf' Ratings on 2 Tranches COMMERCIAL MORTGAGE 1998-C1: Moody's Hikes Cl. M Debt Rating to Ca CREDIT SUISSE 2005-C5: Fitch Lowers Class H Certs Rating to 'Csf' CREDIT SUISSE 2005-C5: S&P Affrims B+(sf) Rating on Class G Notes CREDIT SUISSE 2008-C1: Fitch Lowers Ratings on 3 Tranches to 'Csf' ELLINGTON CLO II: Moody's Assigns Ba3 Rating to Class E Notes EVERBANK MORTGAGE 2018-1: Moody's Rates Cl. B-4 Debt '(P)Ba2' FANNIE MAE 2018-C01: Fitch to Rate 19 Note Classes 'Bsf' FIRST FRANKLIN 2005-FFH2: Moody's Hikes Cl. M3 Debt Rating to B1 FLAGSHIP CREDIT 2018-1: S&P Gives Prelim. BB-(sf) Rating on E Notes FLAGSTAR MORTGAGE 2018-1: Moody's Assigns (P)B2 Rating to B-5 Debt FREDDIE MAC 2017-HRP1: Fitch Corrects Dec. 13 Release GALTON FUNDING 2018-1: Fitch Assigns 'Bsf' Rating to Cl. B5 Certs GE COMMERCIAL 2005-C2: Fitch Hikes Rating on Cl. J Certs to 'BBsf' GLS AUTO 2018-1: S&P Assigns BB(sf) Rating on Class C Notes HAMPTON ROADS 2007A: Fitch Affirms B+ Rating on Class III Bonds JP MORGAN 2002-CIBC5: Moody's Affirms C(sf) Ratings on 2 Tranches JP MORGAN 2003-CIBC6: Fitch Hikes Cl. L Certs Rating to 'Bsf' JP MORGAN 2005-CIBC13: Fitch Hikes Rating on Cl. A-J Certs to Bsf JP MORGAN 2005-LDP4: DBRS Hikes Class C Debt Rating to BB(high) JP MORGAN 2006-LDP8: Moody's Affirms B3 Rating on Class E Certs JP MORGAN 2018-1: Moody's Assigns B2 Rating to Class B-5 Debt JP MORGAN 2018-ASH8: S&P Assigns Prelim. B-(sf) Rating on F Certs LOCKWOOD GROVE: Moody's Assigns Ba3(sf) Rating to Cl. E-RR Notes MAGNETITE XVI: Moody's Assigns B3(sf) Rating to Class F Notes MARINER CLO 5: S&P Assigns Prelim BB-(sf) Rating on Class E Notes MIDOCEAN CREDIT I: S&P Assigns Prelim. BB Rating on Cl. D-RR Notes MORGAN STANLEY 2006-HQ8: Moody's Affirms C Ratings on 2 Tranches MORGAN STANLEY 2011-C2: Moody's Lowers Cl. X-B Certs Rating to B2 MORGAN STANLEY 2013-C9: Moody's Affirms Ba3 Rating on Cl. F Notes MORGAN STANLEY 2016-UBS9: Fitch Affirms B- Rating on Cl. F Certs PETRA CRE 2007-1: Moody's Withdraws C(sf) Ratings on 6 Tranches PINNACLE PARK: Moody's Lowers Class F Notes Rating to Caa1 ROCKWALL CDO II: Moody's Hikes Class B-1L Notes Rating to Ba1 SATURNS SEARS 2003-1: Moody's Lowers Rating on $60.19MM Notes to C SELKIRK 2013-1: DBRS Hikes Class E Debt Rating to BB(high) SELKIRK 2013-2: DBRS Hikes Class G Notes Rating From BB(low) SELKIRK 2014-3A: DBRS Hikes Class F Debt Rating to B(high) SELKIRK 2014-3V: DBRS Hikes Class F Debt Rating to B(high) SEQUOIA MORTGAGE 2018-CH1: Moody's Rates Class B-5 Certs '(P)Ba2' TESLA AUTO 2018-A: Moody's Assigns Ba3(sf) Rating to Cl. E Notes THARALDSON HOTEL 2018-THPT: S&P Assigns B-(sf) Rating on F Certs TOWD POINT 2018-1: Moody's Assigns (P)B3 Rating to Class B2 Notes UBS COMMERCIAL 2018-C8: Fitch to Rate Class F-RR Certs 'B-sf' UNITED AUTO 2018-1: S&P Assigns B(sf) Rating on Class F Notes VB-S1 ISSUER: Fitch to Rate Class F Notes 'BB-sf' VENTURE XVI: Moody's Assigns Ba3 Rating to Class E-RR Notes VOYA CLO 2016-1: S&P Assigns Prelim. BB-(sf) Rating on D-R Notes WACHOVIA BANK 2007-C33: S&P Affirms CCC(sf) Rating on Cl. C Notes WELLS FARGO 2016-C37: DBRS Confirms BB(low) Rating on X-H Certs WIRELESS CAPITAL 2013-2: Fitch Affirms BB-sf Ratings on 2 Tranches WP GLIMCHER 2015-WPG: S&P Affirms B-(sf) Rating on Cl. SQ-3 Certs [*] Moody's Hikes $110.3MM of Alt-A RMBS & Multi-Family Loans [*] Moody's Hikes $537MM of RMBS Issued 2015-2016 [*] Moody's Takes Action on $1.54BB of RMBS Issued 2001-2007 [*] Moody's Takes Action on $158.3MM of Alt-A & Option ARM Loans [*] Moody's Takes Action on $207.4MM of RMBS Issued 2004 & 2006 [*] Moody's Takes Action on $3.1BB of GSE (CRT) RMBS Issued in 2006 [*] S&P Takes Various Actions on 110 Classes From 12 US RMBS Deals [*] S&P Takes Various Actions on 93 Classes From 17 US RMBS Deals [*] S&P Withdraws Ratings on 26 Classes From Five U.S. RMBS Deals ********* ALESCO PREFERRED X: Moody's Hikes Class B Notes Rating From Ba1 --------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Alesco Preferred Funding X, Ltd.: US$489,000,000 Class A-1 First Priority Senior Secured Floating Rate Notes due September 23, 2036 (current balance of $243,267,828), Upgraded to Aa1 (sf); previously on March 28, 2016 Upgraded to Aa2 (sf) US$119,500,000 Class A-2A Second Priority Senior Secured Floating Rate Notes Due September 23, 2036, Upgraded to Aa3 (sf); previously on March 28, 2016 Upgraded to A2 (sf) US$10,000,000 Class A-2B Second Priority Senior Secured Fixed/Floating Rate Notes Due September 23, 2036, Upgraded to Aa3 (sf); previously on March 28, 2016 Upgraded to A2 (sf) US$82,000,000 Class B Deferrable Third Priority Secured Floating Rate Notes due September 23, 2036 (current balance of $81,138,347), Upgraded to Baa3 (sf); previously on March 28, 2016 Upgraded to Ba1 (sf) Alesco Preferred Funding X, Ltd, issued in March 2006, is a collateralized debt obligation (CDO) backed mainly by a portfolio of bank and insurance trust preferred securities (TruPS). RATINGS RATIONALE The rating actions are primarily a result of the deleveraging of the Class A-1 notes and an increase in the transaction's over-collateralization (OC) ratios since February 2017. The Class A-1 notes have paid down by approximately 10.2% or $27.7 million since February 2017, using principal proceeds from the redemption of the underlying assets. Based on Moody's calculations, the OC ratios for the Class A-1, Class A-2, and Class B notes have improved to 251.2%, 163.9%, and 134.6%, respectively, from February 2017 levels of 235.5%, 159.4%, and 132.6%, respectively. Moody's gave full par credit in its analysis to one deferring asset with $5 million in par that meets certain criteria. The Class A-1 notes will continue to benefit from redemptions of any assets in the collateral pool. Methodology Underlying the Rating Action The principal methodology used in these ratings was "Moody's Approach to Rating TruPS CDOs" published in October 2016. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: This transaction is subject to a number of factors and circumstances that could lead to either an upgrade or downgrade of the ratings, as described below: 1) Macroeconomic uncertainty: TruPS CDOs performance could be negatively affected by uncertainty about credit conditions in the general economy. Moody's has a stable outlook on the US banking sector. Moody's maintains its stable outlook on the US insurance sector. 2) Portfolio credit risk: Credit performance of the assets collateralizing the transaction that is better than Moody's current expectations could have a positive impact on the transaction's performance. Conversely, asset credit performance weaker than Moody's current expectations could have adverse consequences on the transaction's performance. 3) Deleveraging: One source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds and excess interest proceeds will continue and at what pace. Note repayments that are faster than Moody's current expectations could have a positive impact on the notes' ratings, beginning with the notes with the highest payment priority. 4) Resumption of interest payments by deferring assets: A number of banks have resumed making interest payments on their TruPS. The timing and amount of deferral cures could have significant positive impact on the transaction's over-collateralization ratios and the ratings on the notes. 5) Exposure to non-publicly rated assets: The deal contains a large number of securities whose default probability Moody's assesses through credit scores derived using RiskCalc or credit estimates. Because these are not public ratings, they are subject to additional uncertainties. In addition to the base case analysis, Moody's also conducted sensitivity analyses to test the impact of a number of default probabilities on the rated notes relative to the base case modeling results, which may be different from the current public ratings of the notes. Below is a summary of the impact of different default probabilities (expressed in terms of WARF) on all of the rated notes (by the difference in the number of notches versus the current model output, for which a positive difference corresponds to lower expected loss): Assuming a two-notch upgrade to assets with below-investment grade ratings or rating estimates (WARF of 619) Class A-1: 0 Class A-2A: +2 Class A-2B: +2 Class B: +4 Class C-1: +3 Class C-2: +3 Assuming a two-notch downgrade to assets with below-investment grade ratings or rating estimates (WARF of 1675) Class A-1: -1 Class A-2A: -2 Class A-2B: -2 Class B: -2 Class C-1: -1 Class C-2: -1 Loss and Cash Flow Analysis: Moody's applied a Monte Carlo simulation framework in Moody's CDOROM to model the loss distribution for TruPS CDOs. The simulated defaults and recoveries for each of the Monte Carlo scenarios defined the reference pool's loss distribution. Moody's then used the loss distribution as an input in its CDOEdge cash flow model. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, and weighted average recovery rate, are based on its methodology and could differ from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool has having a performing par and (after treating deferring securities as performing if they meet certain criteria) of $611.1 million, defaulted par of $52.5 million, a weighted average default probability of 11.08% (implying a WARF of 1056), and a weighted average recovery rate upon default of 10%. In addition to the quantitative factors Moody's explicitly models, qualitative factors are part of rating committee considerations. Moody's considers the structural protections in the transaction, the risk of an event of default, recent deal performance under current market conditions, the legal environment and specific documentation features. All information available to rating committees, including macroeconomic forecasts, inputs from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. The portfolio of this CDO contains mainly TruPS issued by small to medium sized U.S. community banks and insurance companies that Moody's does not rate publicly. To evaluate the credit quality of bank TruPS that do not have public ratings, Moody's uses RiskCalc, an econometric model developed by Moody's Analytics, to derive credit scores. Moody's evaluation of the credit risk of most of the bank obligors in the pool relies on the latest FDIC financial data. For insurance TruPS that do not have public ratings, Moody's relies on the assessment of its Insurance team, based on the credit analysis of the underlying insurance firms' annual statutory financial reports. APOLLO AVIATION 2014-1: Fitch Assigns BBsf Rating to Cl. C Debt --------------------------------------------------------------- Fitch Ratings has assigned the following ratings to the 2018 refinancing asset-backed securities (ABS) issued by Apollo Aviation Securitization Equity Trust 2014-1 (AASET 2014-1): -- $375,000,000 class A loans 'Asf'; Outlook Stable; -- $68,000,000 class B loans 'BBBsf'; Outlook Stable; -- $36,000,000 class C loans 'BBsf'; Outlook Stable. AASET 2014-1 is a Delaware statutory trust established in 2014 to initially purchase 40 commercial aircraft from SASOF II, a private equity fund managed by Apollo Aviation Group (Apollo). The trust will acquire beneficial interests in an additional five aircraft and two engines from SASOF II as part of the refinancing. AASET 2014-1 now owns beneficial interests in 37 aircraft and two engines, and their related leases. The 2018 refinancing will redeem any outstanding notes from the trust, including the class E certificates. AASET 2014-1 is serviced by Apollo via its Irish servicing subsidiary Apollo Aviation Management Limited (AAML). KEY RATING DRIVERS End-of-Life Asset Quality: The pool is largely comprised of good-quality A320 and B737 family current generation aircraft despite the high weighted average (WA) age of 17 years. However, there is a significant concentration in less marketable A330s widebody aircraft, which have been prone to higher declines in market value in recent years. It is expected that 44% of the pool will come off lease prior to 2020. However, many of these aircraft are expected to be sold or parted out at lease-end due to their age. Weak Lessee Credits: There are 20 airline lessees in the pool with a significant concentration of unrated or speculative grade airline lessees, which is typical of aircraft ABS. Fitch assumed unrated lessees would perform consistent with either a 'B' or 'CCC' Issuer Default Rating (IDR) to accurately reflect the default risk in the pool. Lessee ratings were further stressed during future recessions and when aircraft reach Tier 3 classification. Despite the weaker credit profile of the pool, the largest lessee is American Airlines rated 'BB-', a factor Fitch considered in its analysis. Technological Risk: The A320 and B737 current generation aircraft both face replacement programs with the recent introduction of the A320neo and B737 MAX. The A330 also faces future replacement from the A330neo. Other variants from new and existing OEMs will also pressure the pool's values and lease rates. However, the large operator bases, long lead time for replacement and current low fuel price environment should all help to mitigate this risk. Adequate Structural Protections: All classes of notes were able to pay in full under stress scenarios commensurate with the assigned ratings. The transaction contains structural features that are expected to protect noteholders from deterioration in cash flow. These include a DSCR rapid amortization trigger, partial cash sweeps, and a requirement to use excess proceeds to amortize the notes. Strong Servicing Capability: The transaction will depend on Apollo's ability to collect lease and maintenance payments, remarket and repossess aircraft in an event of lessee default, and procure maintenance to ensure stable performance. Fitch believes Apollo is a capable servicer, evidenced by servicing of their managed portfolio and sponsored ABS. Commercial Aviation Cyclicality: The airline industry has historically been subject to significant cyclicality stemming from macroeconomic and geopolitical events. Downturns are typically marked by reduced aircraft utilization rates, values and lease rates as well as deteriorating credit quality amongst lessees. Fitch's analysis assumes multiple periods of significant volatility over the life of the transaction. Fitch's modeling assumptions and stresses were derived and applied consistent with criteria. Assumptions including those relating to aircraft tiers, depreciation, recessionary value declines, and lease rate factors are unchanged from the values stated in criteria in Fitch's primary scenarios. Fitch utilized the low end of the recessionary value decline stress ranges. The lower of mean and median (LMM) maintenance-adjusted base values (MABVs) were utilized for the values of aircraft in the pool. Fitch also removed the highest outlier appraisal for widebody aircraft in the pool due to the high level of deviation observed in appraisal values. Aircraft useful life was assumed to be 20 years for Fitch's primary rating scenario, but adjusted in certain cases according to current remaining lease terms. Assumptions detailed below are also for Fitch's primary scenario, and are based off Apollo's historical fleet experience and data. The information was supplemented by industry data in certain instances. Fitch utilized a cumulative probability curve for remarketing downtime, whereby Tier 1 aircraft were assumed be remarketed within one month 45% and 55% of the time under an 'Asf' scenario in recessionary and non-recessionary periods, respectively, both well below Apollo's historical experience. These probabilities then increase month-over-month until tapering off and reaching 100% probability by month eight and seven, respectively. Probability assumptions were stressed further by 5% across tiers, and increased by 5% to assume a higher probability of shorter remarketing times across lower rating category stresses. Under 'Asf', 'BBBsf' and 'BBsf' scenarios, Fitch assumed four, three and two months of repossession downtime during assumed recessionary periods, and three, two and two months during non-recessionary periods, respectively. Recessions were assumed to last for four years with value declines occurring over the first three years. The first recession was assumed to begin six months after transaction close, while each subsequent recession was assumed to begin five years after the end of the prior recession. Narrowbody aircraft were assumed to experience remarketing and repossession costs of $400,000 and $450,000, respectively, under 'Asf' scenarios. These cost assumptions were each decreased by $50,000 when moving down to lower rating category stresses. Widebody aircraft were assumed to experience $800,000 and $700,000 in remarketing and repossession costs, respectively, under the 'Asf' scenario. These cost assumptions were also decreased by $50,000 when moving down to lower rating category stresses. Fitch assumed new lease terms of 40 and 50 months in 'Asf' scenarios for recessionary and non-recessionary periods, respectively. These assumptions were increased by five months each when moving down to lower rating category stresses. Fitch assumed a lease extension probability of 50% for all scenarios. Fitch assumed an extension term of 24 months for 'Asf' scenarios, which increases by six months when moving down to lower rating category stresses. These assumptions are well below Apollo's historical experience. Fitch assumed the majority of aircraft by value were sold for 50% of their future stressed market values for residual proceeds assumptions. Fitch assumed 100% and 75%, respectively, for Tier 1 and 2 narrowbody aircraft sold within the first five years following close due to high residual proceeds observed in both Apollo and industry sales data. All assumed proceeds were based off the aircraft market value in Fitch's modeling scenarios, which considers standard depreciation and any recessionary value declines to which aircraft are exposed. Fitch assumed largely consistent assumptions for the two engines in the pool with several unique exceptions described herein. Phase 1 engines were assumed to incur 0% depreciation while 2 and 3 engines were assumed to incur 5% and 10%, respectively. Further to value considerations, phase 1, 2 and 3 engines were assumed to incur 10%, 15% and 20% recessionary value declines, respectively, under the 'Asf' scenario. These value declines were stressed at reduced levels for lower rating scenarios. All future leases related to the engines were assumed to be short-term leases with lease rate factors of 1.20% for phase 1 and 2 engines and 1.45% for phase 3, consistent with rates observed in market data. These short-term leases were assumed to have terms of four, five and six months, respectively, with an extension rate probability of 30%. Remarketing and repossession costs for these leases were assumed to start at $20,000 and $40,000, respectively, decreasing by $5,000 when moving down to each lower rating category scenario. These costs were assumed to be consistent across recessionary and non-recessionary environments. All other assumptions for the engines in the pool were consistent with the assumptions outlined above for aircraft. Maintenance assumptions and stresses were also applied consistent with criteria and the assumptions detailed above. Fitch's primary maintenance cash flows assume 50% of future lessees pay maintenance reserves. Fitch's ratings do not consider the application of step-up interest to the notes following the anticipated repayment date which occurs seven years following transaction close. RATING SENSITIVITIES Due to the correlation between global economic conditions and the airline industry, the ratings may be affected by global macro-economic or geopolitical factors over the remaining term of the transaction. Therefore, Fitch evaluated various sensitivity scenarios which could affect future cash flows from the pool and recommended ratings for the notes. Fitch performed a sensitivity analysis assuming a 25% decrease to Fitch's lease rate factor curve to observe the impact of depressed lease rates on the pool. This scenario highlights the effect of increased competition in the aircraft leasing market, particularly for mid- to end-of-life aircraft over the past few years, and stresses the pool to a higher degree by assuming lease rates below observed market rates. The class A and B notes are likely to be unaffected under this scenario, while the class C notes could be subjected to a one category downgrade. Fitch evaluated a scenario in which all unrated airlines are assumed to carry a 'CCC' rating. This scenario mimics a prolonged recessionary environment in which airlines are susceptible to an increased likelihood of default. In turn, this would subject the aircraft pool to more downtime and expenses, as repossession and remarketing events would increase. The notes show little sensitivity to increased defaults and associated expenses and downtime under this scenario. All classes are still able to pass scenarios commensurate with their assigned ratings. The notes are somewhat insulated from this scenario, as well as the LRF stress scenario, due to the relatively short expected remaining asset life. Fitch created a scenario in which the A330s in the pool encounter a considerable amount of stress to their residual values. All the A330s, which total 27.6% of the pool by LMM of MABVs, were assumed to be Tier 3 aircraft to stress recessionary value declines. Further, a lower credit of 25% was given to residual proceeds. The A330s are only granted part-out value at the end of their useful lives under this scenario. While the rating of the class A notes is unlikely to be affected by such a scenario, the class B and C notes could experience a downgrade of up to one and two categories, respectively. BBCMS TRUST 2018-RRI: S&P Assigns Prelim B-(sf) Rating on F Certs ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to BBCMS Trust 2018-RRI's $400.0 million commercial mortgage pass-through certificates. The note issuance is a commercial mortgage-backed securities (CMBS) transaction backed by one two-year, floating-rate, interest-only commercial mortgage loan totaling $400.0 million with three, one-year extension options, secured by cross-collateralized and cross-defaulted mortgages, and deeds of trust to secure debt on the borrowers' fee and leasehold interests in 86 limited-service hotels. The preliminary ratings are based on information as of Feb. 5, 2018. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect the collateral's historical and projected performance, the sponsor's and manager's experience, the trustee-provided liquidity, the loan's terms, and the transaction's structure. PRELIMINARY RATINGS ASSIGNED BBCMS Trust 2018-RRI Class Rating Amount (mil. $) A AAA (sf) 111,200,000 X-CP BBB- (sf) 110,600,000(i) X-NCP BBB- (sf) 110,600,000(i) B AA- (sf) 40,600,000 C A- (sf) 30,100,000 D BBB- (sf) 39,900,000 E BB- (sf) 62,600,000 F B- (sf) 55,500,000 G NR 39,900,000 HRR NR 20,200,000 (i)Notional balance. The notional amount of the class X-CP and X-NCP certificates will be reduced by the aggregate amount of principal distributions and realized losses allocated to the class B, C, and D certificates. BENCHMARK 2018-B1: Fitch Assigns 'B-sf' Rating to Cl. F-RR Certs ---------------------------------------------------------------- Fitch Ratings has assigned the following ratings and Rating Outlooks to Benchmark 2018-B1 Mortgage Trust commercial mortgage pass-through certificates series 2018-B1. -- $18,703,000 class A-1 'AAAsf'; Outlook Stable; -- $157,629,000 class A-2 'AAAsf'; Outlook Stable; -- $49,272,000 class A-3 'AAAsf'; Outlook Stable; -- $40,449,000 class A-SB 'AAAsf'; Outlook Stable; -- $135,000,000 class A-4 'AAAsf'; Outlook Stable; -- $387,112,000 class A-5 'AAAsf'; Outlook Stable; -- $885,279,000b class X-A 'AAAsf'; Outlook Stable; -- $97,114,000 class A-M 'AAAsf'; Outlook Stable; -- $47,853,000 class B 'AA-sf'; Outlook Stable; -- $52,075,000 class C 'A-sf'; Outlook Stable; -- $47,853,000ab class X-B 'AA-sf'; Outlook Stable; -- $60,520,000ab class X-D 'BBB-sf'; Outlook Stable; -- $25,334,000ab class X-E 'BB-sf'; Outlook Stable; -- $60,520,000a class D 'BBB-sf'; Outlook Stable; -- $25,334,000a class E 'BB-sf'; Outlook Stable; -- $14,074,000ac class F-RR 'B-sf'; Outlook Stable. The following classes are not rated: -- $40,816,346ac class G-RR; -- $40,426,662ad class VRR. (a) Privately placed and pursuant to Rule 144A. (b) Notional amount and interest-only. (c) Horizontal credit risk retention interest. (d) Vertical credit risk retention interest. Since Fitch published its expected ratings on Jan. 16, 2018, class A-4 decreased in size from $175,000,000 to $135,000,000, and class A-5 increased in size from $347,112,000 to $387,112,000. The classes above reflect the final ratings and deal structure. Since Fitch's presale was published on Jan. 16, 2018, the issuer provided Fitch with year-end 2017 financial performance figures for the Radisson Blu Aqua. Net cash flow (NCF) at year-end 2017 was $5.5 million, approximately $1.3 million below TTM August 2017 financials, which were previously the most recent information available to Fitch. The short-term performance drop was primarily attributed to new supply coming on-line, namely the opening of the 1,205 key Marriott Marquis in September 2017. Fitch reviewed the updated information and determined that no changes were necessary to its previously published NCF. Fitch's NCF analysis is meant to reflect long-term estimations of property performance through a complete economic cycle. Significant performance stresses were built into Fitch's analysis, and year-end 2017 performance strongly aligned with Fitch's NCF of $5.5 million. The certificates represent the beneficial ownership interest in the trust, primary assets of which are 49 loans secured by 173 commercial properties having an aggregate principal balance of $1,166,378,009 as of the cut-off date. The loans were contributed to the trust by German American Capital Corporation, JPMorgan Chase Bank, National Association, and Citi Real Estate Funding Inc. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 74.8% of the properties by balance, cash flow analysis of 89.9%, and asset summary reviews of 100.0% of the pool. KEY RATING DRIVERS Fitch Leverage in Line with Recent Transactions: The pool's leverage is in line with recent comparable Fitch-rated multiborrower transactions. The Fitch DSCR is 1.28x, which is slightly better than the 2017 average of 1.26x. Fitch LTV is 103.2%, slightly worse than the 2017 average of 101.6%. Excluding credit opinion loans, the pool's normalized Fitch DSCR and LTV were also close, at 1.26x and 107.6%, respectively, compared to the 2017 averages of 1.21x and 107.2%. Investment-Grade Credit Opinion Loans: Two loans, representing 9.2% of the pool, have investment-grade credit opinions. The Woods (4.9% of pool) has an investment-grade credit opinion of 'Asf*' on a standalone basis. Worldwide Plaza (4.3% of pool) has an investment-grade credit opinion of 'BBB+sf*' on a stand-alone basis. Weak Amortization: Seventeen loans (58.8% of pool) are full-term interest-only and 18 loans (28.4% of pool) are partial interest-only, compared to similar Fitch-rated transactions in 2017, which had an average full-term interest-only percentage of 46.1% and an average partial interest-only percentage of 28.7%. The pool is scheduled to amortize by 5.9% of the initial pool balance by maturity, which is lower than the 2017 and 2016 averages of 7.9% and 10.4%, respectively. RATING SENSITIVITIES For this transaction, Fitch's NCF was 13.8% below the most recent year's NOI (for properties for which a full year NOI was provided, excluding properties that were stabilizing during this period). Unanticipated further declines in property-level NCF could result in higher defaults and loss severities on defaulted loans and in potential rating actions on the certificates. Fitch evaluated the sensitivity of the ratings assigned to the Benchmark 2018-B1 certificates and found that the transaction displays average sensitivities to further declines in NCF. In a scenario in which NCF declined a further 20% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'Asf' could result. In a more severe scenario, in which NCF declined a further 30% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB+sf' could result. BENCHMARK 2018-B2: Fitch to Rate Class G-RR Certificates 'Bsf' -------------------------------------------------------------- Fitch Ratings has issued a presale report on Benchmark 2018-B2 Mortgage Trust commercial mortgage pass-through certificates, Series 2018-B2. Fitch expects to rate the transaction and assign Rating Outlooks: -- $29,604,000 class A-1 'AAAsf'; Outlook Stable; -- $341,798,000 class A-2 'AAAsf'; Outlook Stable; -- $60,000,000 class A-3 'AAAsf'; Outlook Stable; -- $125,000,000 class A-4 'AAAsf'; Outlook Stable; -- $444,175,000 class A-5 'AAAsf'; Outlook Stable; -- $54,333,000 class A-SB 'AAAsf'; Outlook Stable; -- $1,220,681,000a class X-A 'AAAsf'; Outlook Stable; -- $60,281,000a class X-B 'AA-sf'; Outlook Stable; -- $165,771,000 class A-S 'AAAsf'; Outlook Stable; -- $60,281,000 class B 'AA-sf'; Outlook Stable; -- $60,280,000 class C 'A-sf'; Outlook Stable; -- $18,838,000ab class X-D 'BBB+sf'; Outlook Stable; -- $18,838,000b class D 'BBB+sf'; Outlook Stable; -- $52,746,000bc class E-RR 'BBB-sf'; Outlook Stable; -- $18,837,000bc class F-RR 'BBsf'; Outlook Stable; -- $18,838,000bc class G-RR 'Bsf'; Outlook Stable; The following class is not expected to be rated: -- $56,512,898bc class NR-RR. (a) Notional amount and interest-only. (b) Privately placed and pursuant to Rule 144A. (c) Horizontal credit risk retention interest. The expected ratings are based on information provided by the issuer as of Feb. 5, 2018. The certificates represent the beneficial ownership interest in the trust, primary assets of which hare 57 loans secured by 67 commercial properties having an aggregate principal balance of $1,507,013,899 as of the cut-off date. The loans were contributed to the trust by German American Capital Corporation, JPMorgan Chase Bank, National Association, and Citi Real Estate Funding Inc. Fitch received a comprehensive sample of the transaction's collateral, including site inspections on 79.5% of the properties by balance, cash flow analysis of 86.7%, and asset summary reviews of 86.7% of the pool. KEY RATING DRIVERS Lower Fitch Leverage Than Recent Transactions: The pool has average leverage relative to other recent Fitch-rated multiborrower transactions. The pool's Fitch debt service coverage ratio (DSCR) of 1.26x is in line with the year-to-date (YTD) 2017 average of 1.26x and greater than the 2016 average of 1.21x. The pool's Fitch loan to value (LTV) of 99.2% is lower than the YTD 2017 average of 101.6% and is in line with the 2016 average of 105.2%. Excluding the credit opinion loans, the Fitch DSCR is 1.24x and the Fitch LTV is 106.6%. Investment-Grade Credit Opinion Loans: There are 10 loans, including the six-loan Beacon multifamily group with investment-grade credit opinions totaling 18% of the pool. This is above the 2017 average of 11.7% credit opinion loans in other Fitch-rated multiborrower transactions. The credit opinion loans include Apple Campus 3 (BBB-*sf; 4.5% of the pool), The Woods (Asf*; 3.8% of the pool), Worldwide Plaza (BBB+*sf; 3.3% of the pool), Red Building (BBB-*sf; 2.7% of the pool) and six Beacon multifamily loans with individual credit opinions ranging from 'BBB-sf*' to 'AAAsf*'. Net of these loans, the Fitch DSCR and LTV are 1.24x and 106.6%, respectively for this transaction. High-Quality Collateral: Fitch performed site inspections on 75.8% of the pool. Of the inspected properties, 31.0% of them received a property quality grade of 'A' or 'A-', and 37.4% of the sampled properties received a property quality grade of 'B+'. Additionally, no property in the pool received a property quality grade below 'B-'. RATING SENSITIVITIES For this transaction, Fitch's NCF was 12.9% below the most recent year's NOI (for properties for which a full year NOI was provided, excluding properties that were stabilizing during this period). The following rating sensitivities describe how the ratings would react to further NCF declines below Fitch's NCF. The implied rating sensitivities are only indicative of some of the potential outcomes and do not consider other risk factors to which the transaction is exposed. Stressing additional risk factors may result in different outcomes. Furthermore, the implied ratings, after the further NCF stresses are applied, are more akin to what the ratings would be at deal issuance had those further stressed NCFs been in place at that time. CANYON CAPITAL 2014-1: Moody's Assigns B3 Rating to Cl. E-R Notes ----------------------------------------------------------------- Moody's Investors Service has assigned ratings to eight classes of CLO refinancing notes (the "Refinancing Notes") issued by Canyon Capital CLO 2014-1, Ltd. (the "Issuer"): Moody's rating action is as follows: US$5,000,000 Class X Senior Secured Floating Rate Notes Due 2031 (the "Class X Notes"), Definitive Rating Assigned Aaa (sf) US$248,000,000 Class A-1A-R Senior Secured Floating Rate Notes Due 2031 (the "Class A-1A-R Notes"), Definitive Rating Assigned Aaa (sf) US$16,000,000 Class A-1B-R Senior Secured Floating Rate Notes Due 2031 (the "Class A-1B-R Notes"), Definitive Rating Assigned Aaa (sf) US$44,000,000 Class A-2-R Senior Secured Floating Rate Notes Due 2031 (the "Class A-2-R Notes"), Definitive Rating Assigned Aa2 (sf) US$20,000,000 Class B-R Senior Secured Deferrable Floating Rate Notes Due 2031 (the "Class B-R Notes"), Definitive Rating Assigned A2 (sf) US$24,000,000 Class C-R Senior Secured Deferrable Floating Rate Notes Due 2031 (the "Class C-R Notes"), Definitive Rating Assigned Baa3 (sf) US$16,000,000 Class D-R Senior Secured Deferrable Floating Rate Notes Due 2031 (the "Class D-R Notes"), Definitive Rating Assigned Ba3 (sf) US$8,000,000 Class E-R Senior Secured Deferrable Floating Rate Notes Due 2031 (the "Class E-R Notes"), Definitive Rating Assigned B3 (sf) The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. Canyon Capital Advisors LLC (the "Manager") manages the CLO. It directs the selection, acquisition, and disposition of collateral on behalf of the Issuer. RATINGS RATIONALE Moody's ratings on the Refinancing Notes address the expected losses posed to noteholders. The ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. The Issuer has issued the Refinancing Notes on January 30, 2018 (the "Refinancing Date") in connection with the refinancing of the Class A-1-R secured notes previously issued on January 30, 2017 and the Class A-2, B, C, D, and E secured notes previously issued on April 30, 2014 (the "Original Closing Date") (collectively, the "Refinanced Notes"). On the Refinancing Date, the Issuer used proceeds from the issuance of the Refinancing Notes to redeem in full the Refinanced Notes. In addition to the issuance of the Refinancing Notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; changes to the overcollateralization test levels; and changes to comply with the Volcker Rule. 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 August 2017. 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. In particular, Moody's took into account differences between the trustee's reported diversity score, and Moody's own diversity score calculations. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $400,000,000 Defaulted par: $0 Diversity Score: 51 Weighted Average Rating Factor (WARF): 2609 Weighted Average Spread (WAS): 3.25% Weighted Average Coupon (WAC): 6.50% Weighted Average Recovery Rate (WARR): 48.0% Weighted Average Life (WAL): 9 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2017. Factors That Would Lead to an Upgrade or 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. Together with the set of modeling assumptions above, Moody's conducted an additional sensitivity analysis, which was a component in determining the ratings assigned to the Refinancing Notes. This sensitivity analysis includes increased default probability relative to the base case. Below is a summary of the impact of an increase in default probability (expressed in terms of WARF level) on the Refinancing Notes (shown in terms of the number of notch difference versus the current model output, whereby a negative difference corresponds to higher expected losses), assuming that all other factors are held equal: Percentage Change in WARF -- increase of 15% (from 2609 to 3000) Rating Impact in Rating Notches Class X Notes: 0 Class A-1A-R Notes: 0 Class A-1B-R Notes: -1 Class A-2-R Notes: -2 Class B-R Notes: -2 Class C-R Notes: -1 Class D-R Notes: 0 Class E-R Notes: 0 Percentage Change in WARF -- increase of 30% (from 2660 to 3392) Rating Impact in Rating Notches Class X Notes: 0 Class A-1A-R Notes: -1 Class A-1B-R Notes: -3 Class A-2-R Notes: -4 Class B-R Notes: -4 Class C-R Notes: -2 Class D-R Notes: -1 Class E-R Notes: -1 CD 2017-CD3: Fitch Affirms 'B-sf' Rating on Class F Certificates ---------------------------------------------------------------- Fitch Ratings has affirmed all classes of CD 2017-CD3 Mortgage Trust Commercial Mortgage Pass-Through Certificates, Series 2017-CD3. KEY RATING DRIVERS Stable Performance: The overall pool performance remains stable from issuance. There are no delinquent or specially serviced loans. As of the January 2018 distribution date, the pool's aggregate balance has been reduced by 0.33% to $1.32 billion from $1.33 billion at issuance. The largest loan in the pool is currently on the servicer's watchlist. Largest Loan: The largest loan, 229 West 43rd Street Retail Condo (7.6% of current pool), is secured by a six-floor, 245,132-square foot retail condominium located along West 43rd and 44th Streets in the Times Square area of Manhattan. As of the September 2017 rent roll, the property was fully leased to eight tenants, including Bowlmor (31.6% of net rentable area [NRA]; lease expiry in July 2034), National Geographic (24.1%; October 2032), Gulliver's Gate (18.6%; January 2031) and Guitar Center Stores (11.5%; January 2029); however, physical occupancy was 88.7%. One restaurant tenant, Guy's American Bar & Kitchen (6.4%), vacated on Dec. 31, 2017, ahead of its scheduled November 2032 lease expiration. The tenant's base rent is considered below-market at $118.25 psf. Fitch requested an update from the servicer on the tenant's lease status and intentions, but it was not provided. Another restaurant tenant, OHM Group (The American Market by Todd English; 4.9% of NRA), has not yet opened for business. The tenant was originally expected to take occupancy in late 2017. Fitch requested an update from the servicer on the tenant's expected opening date, but it was not provided. The loan reported a low net cash flow (NCF) debt service coverage ratio (DSCR) of 0.86x for the first half of 2017. This is primarily due to four tenants, which signed leases at the time of issuance, including National Geographic, Gulliver's Gate, OHM (The American Market by Todd English) and Los Tacos (0.7% of NRA), having free rent periods. At issuance, the borrower deposited $11.1 million into an upfront reserve for rent concessions for these tenants. For the first half of 2017, rent concessions totaled $4.3 million, which would bring DSCR up to 2.30x. In addition, the property benefits from an Industrial Commercial Incentive Program (ICIP) tax abatement. The tax exemption has entered its phase out period, beginning the 2017/2018 tax year with burn-off by 20% per year until 2021. Higher Fitch Leverage: The pool's Fitch DSCR and loan-to-value (LTV) for the trust are 1.14x and 108.4%, respectively, compared to 1.21x and 105.2%, respectively, for Fitch-rated transactions in 2016. High Percentage of Investment-Grade Credit Opinion Loans: Two loans (10.2% of pool) have investment-grade credit opinions, which is above the 2016 average of 8.4%. The third largest loan, 85 Tenth Avenue (5.7%), has an investment-grade credit opinion of 'BBBsf' on a stand-alone basis. Hilton Hawaiian Village Waikiki Beach Resort (4.5%) has an investment-grade credit opinion of 'BBB-sf' on a stand-alone basis. Pool Concentrations: The top 10 loans comprise 52.6% of the pool. Office properties comprise 53.9% of the pool. Geographic concentrations include New York City (31.3% of pool) and California (19.6%). Below-Average Amortization: Sixteen loans (51.2% of pool) are full-term interest-only and 16 loans (27.2%) are partial interest-only, compared to 33.3% and 33.3%, respectively, for Fitch-rated transactions in 2016. The pool is scheduled to amortize by 6.9% of the initial pool balance prior to maturity, well below the respective 2016 average of 10.4%. Additional Debt: Two loans (10.2% of pool) have secured subordinate secured debt and four loans (19%) have mezzanine or preferred equity financing. The transaction has a Fitch DSCR and LTV on the total debt of 1.03x and 119.6%, respectively. RATING SENSITIVITIES The Rating Outlooks for all classes remain Stable due to overall stable collateral performance and no material changes since issuance. Fitch does not foresee positive or negative ratings migration unless a material economic or asset level event changes the underlying transaction's portfolio-level metrics. Fitch has affirmed the following ratings: -- $24.9 million class A-1 at 'AAAsf'; Outlook Stable; -- $38.3 million class A-2 at 'AAAsf'; Outlook Stable; -- $200 million class A-3 at 'AAAsf'; Outlook Stable; -- $589.3 million class A-4 at 'AAAsf'; Outlook Stable; -- $54.8 million class A-AB at 'AAAsf'; Outlook Stable; -- $78.1 million class A-S at 'AAAsf'; Outlook Stable; -- $61.9 million class B at 'AA-sf'; Outlook Stable; -- $63.5 million class C at 'A-sf'; Outlook Stable; -- $76.5 million(a) class D 'BBB-sf'; Outlook Stable; -- $35.8 million(a)(d) class E 'BB-sf'; Outlook Stable -- $14.7 million class(a)(d) F 'B-sf'; Outlook Stable. -- $985.5 million(b) class X-A 'AAAsf'; Outlook Stable; -- $61.9 million(b) class X-B 'AA-sf'; Outlook Stable; -- $76.5 million(a)(b) class X-D 'BBB-sf'; Outlook Stable; -- $9.0 million(e) class V-A 'AAAsf'; Outlook Stable; -- $566,121(e) class V-B 'AA-sf'; Outlook Stable; -- $581,020(e) class V-C 'A-sf'; Outlook Stable; -- $700,208(e) class V-D 'BBB-sf'; Outlook Stable. The following classes are not rated by Fitch: -- $60.2 million(a)(d) class G; -- $25.1 million class(a)(c) VRR Interest; -- $1.0 million class(e) V-E. (a) Privately placed and pursuant to Rule 144A. (b) Notional amount and interest only. (c) Vertical credit risk retention interest representing 1.9% of the pool balance (as of the closing date). (d) Horizontal credit risk retention interest representing 3.1% of the pool balance (as of the closing date). (e) Exchangeable certificates. CFCRE COMMERCIAL 2011-C2: Moody's Affirms B1 Rating on X-B Certs ---------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on 12 classes in CFCRE Commercial Mortgage Trust 2011-C2, Commercial Mortgage Pass-Through Certificates Series 2011-C2, as follows: Cl. A-2, Affirmed Aaa (sf); previously on Feb 2, 2017 Affirmed Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on Feb 2, 2017 Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Feb 2, 2017 Affirmed Aaa (sf) Cl. A-J, Affirmed Aaa (sf); previously on Feb 2, 2017 Affirmed Aaa (sf) Cl. B, Affirmed Aaa (sf); previously on Feb 2, 2017 Upgraded to Aaa (sf) Cl. C, Affirmed Aa3 (sf); previously on Feb 2, 2017 Upgraded to Aa3 (sf) Cl. D, Affirmed A2 (sf); previously on Feb 2, 2017 Upgraded to A2 (sf) Cl. E, Affirmed Baa3 (sf); previously on Feb 2, 2017 Affirmed Baa3 (sf) Cl. F, Affirmed Ba2 (sf); previously on Feb 2, 2017 Affirmed Ba2 (sf) Cl. G, Affirmed B2 (sf); previously on Feb 2, 2017 Affirmed B2 (sf) Cl. X-A, Affirmed Aaa (sf); previously on Feb 2, 2017 Affirmed Aaa (sf) Cl. X-B, Affirmed B1 (sf); previously on Jun 9, 2017 Downgraded to B1 (sf) RATINGS RATIONALE The ratings on the ten P&I classes were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The rating on the IO classes Cl. X-A and Cl. X-B were affirmed based on the credit quality of the referenced classes. Moody's rating action reflects a base expected loss of 5.3% of the current pooled balance, compared to 5.1% at Moody's last review. Moody's base expected loss plus realized losses is now 2.6% of the original pooled balance, the same as Moody's last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The methodologies used in these ratings were "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in July 2017 and "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. The methodologies used in rating Cl. X-A and Cl. X-B were "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017, "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in July 2017, and "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. DEAL PERFORMANCE As of the January 15, 2018 distribution date, the transaction's aggregate certificate balance has decreased by 51% to $380.7 million from $774.1 million at securitization. The certificates are collateralized by 39 mortgage loans ranging in size from less than 1% to 24% of the pool, with the top ten loans constituting 67% of the pool. Five loans, constituting 10% of the pool, have defeased and are secured by US government securities. Nine loans, constituting 28% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Two loans, constituting 5% of the pool, are in special servicing as of the January distribution date. The largest specially serviced loan is the LAD SpringHill Suites Loan ($9.95 million -- 2.6% of the pool), which is secured by a limited service four-story hotel built in 2008 and located in Bossier City, Louisiana. The loan transferred to special servicing in February 2015 for imminent default and became real estate owned (REO) through a deed-in-lieu in August 2015. The second largest specially serviced loan is the Crossroads Center Loan ($7.9 million -- 2.1% of the pool), which is secured by a mixed-use office and retail property located in Roanoke, Virginia near the Roanoke Airport. The loan transferred to special servicing in December 2016 for maturity default. The loan is now REO. Moody's estimates an aggregate $10.7 million loss for the specially serviced loans (60% expected loss on average). Moody's received full year 2016 operating results for 100% of the pool and partial year 2017 operating results for 89% of the pool. Moody's weighted average conduit LTV is 84%, compared to 80% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 18% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.4%. Moody's actual and stressed conduit DSCRs are 1.51X and 1.30X, respectively, compared to 1.58X and 1.34X, at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The top three conduit loans represent 42% of the pool balance. The largest loan is the RiverTown Crossings Mall Loan ($90.2 million -- 23.7% of the pool), which represents a pari-passu portion of a $140.7 million senior mortgage loan. The loan is secured by a 635,769 square foot (SF) portion within a 1.2 million SF regional mall located in Grandville, Michigan. The property was built in 2000 and is anchored by Macy's, Younkers, Sears, Kohl's, JC Penney, Dick's Sporting Goods and Celebration Cinemas. Only Dick's and Celebration Cinemas are part of the collateral. JC Penney, Macy's, Sears and Kohl's all have lease expirations in 2019. As of September 2017, the anchor space was 100% leased, outparcel space 76% leased, and inline space 92% leased, compared to 100%, 87% and 92% leased respectively, at Moody's last review. The other loan portion is held in COMM 2012-CCRE1 Mortgage Trust. Moody's LTV and stressed DSCR are 72% and 1.36X, respectively, compared to 66% and 1.43X at the last review. The second largest loan is the Shops at Solaris Loan ($40.4 million -- 10.6% of the pool), which is secured by a 70,023 SF retail property located in Vail, Colorado. The property was built in 2010. As of September 2017, the property was 97% leased compared to 100% leased at Moody's last review. Approximately 11% of tenants roll in 2018 and more than 60% of the tenant leases extend beyond the loan term. Moody's LTV and stressed DSCR are 61% and 1.51X, respectively, compared to 59% and 1.55X at Moody's last review. The third largest loan is the DC Mixed Use Portfolio A Loan ($29.7 million -- 7.8% of the pool), which is secured by nine cross collateralized and cross defaulted properties totaling 95,844 SF located in Washington DC (eight properties) and northern Virginia (one property). The nine properties contain a mix of retail, office and mixed-use buildings which the Sponsor acquired between 1988 and 2008. Collectively, the properties are 96% occupied as of September 2017 compared to 94% at last review. This loan is on the watchlist due to deferred maintenance at the 4445 Wisconsin Avenue NW property. Moody's LTV and stressed DSCR are 105% and 1.02X, respectively, compared to 94% and 1.16X at last review. CIFC FUNDING 2018-I: Moody's Assigns (P)Ba3 Rating to Cl. E Notes ----------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to five classes of notes to be issued by CIFC Funding 2018-I, Ltd. (the "Issuer" or "CIFC Funding 2018-I"). Moody's rating action is: US$650,000,000 Class A Senior Secured Floating Rate Notes due 2031 (the "Class A Notes"), Assigned (P)Aaa (sf) US$110,000,000 Class B Senior Secured Floating Rate Notes due 2031 (the "Class B Notes"), Assigned (P)Aa2 (sf) US$55,000,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class C Notes"), Assigned (P)A2 (sf) US$60,000,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class D Notes"), Assigned (P)Baa3 (sf) US$45,000,000 Class E Junior Secured Deferrable Floating Rate Notes due 2031 (the "Class E Notes"), Assigned (P)Ba3 (sf) The Class A Notes, the Class B Notes, the Class C Notes, the Class D Notes and the Class E Notes are referred to herein, collectively, as the "Rated Notes." Moody's issues provisional ratings in advance of the final sale of financial instruments, but these ratings only represent Moody's preliminary credit opinions. Upon a conclusive review of a transaction and associated documentation, Moody's will endeavor to assign definitive ratings. A definitive rating, if any, may differ from a provisional rating. RATINGS RATIONALE Moody's provisional ratings of the Rated Notes address the expected losses posed to noteholders. The provisional ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. CIFC Funding 2018-I is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 92.5% of the portfolio must consist of first lien senior secured loans and eligible investments, and up to 7.5% of the portfolio may consist of second lien loans and unsecured loans. Moody's expect the portfolio to be approximately 70% ramped as of the closing date. CIFC CLO Management II LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets, subject to certain restrictions. In addition to the Rated Notes, the Issuer will issue subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2017. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $1,000,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 2875 Weighted Average Spread (WAS): 3.40% Weighted Average Coupon (WAC): 6.50% Weighted Average Recovery Rate (WARR): 47.5% Weighted Average Life (WAL): 9.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2017. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. Together with the set of modeling assumptions above, Moody's conducted an additional sensitivity analysis, which was a component in determining the ratings assigned to the Rated Notes. This sensitivity analysis includes increased default probability relative to the base case. Below is a summary of the impact of an increase in default probability (expressed in terms of WARF level) on the Rated Notes (shown in terms of the number of notch difference versus the current model output, whereby a negative difference corresponds to higher expected losses), assuming that all other factors are held equal: Percentage Change in WARF -- increase of 15% (from 2875 to 3306) Rating Impact in Rating Notches Class A Notes: 0 Class B Notes: -2 Class C Notes: -2 Class D Notes: -1 Class E Notes: 0 Percentage Change in WARF -- increase of 30% (from 2875 to 3738) Rating Impact in Rating Notches Class A Notes: -1 Class B Notes: -3 Class C Notes: -4 Class D Notes: -2 Class E Notes: -1 CITIGROUP MORTGAGE 2015-A: Moody's Assigns B2 Rating to B-4 Certs ----------------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to two notes from two RMBS transactions issued by Citigroup Mortgage Loan Trust in 2015. The certificates are backed by seasoned performing and re-performing mortgage loans with a large percentage (approximately 50% ) of the loans previously modified as of transaction issuance. The collateral pools comprise of first lien, fixed rate and adjustable rate mortgage loans with collateral characteristics similar to that of Alt-A mortgages originated before 2010. Complete rating actions are as follows: Issuer: Citigroup Mortgage Loan Trust 2015-RP2 Cl. B-4, Assigned B2 (sf); previously on Jun 9, 2015 Assigned NR (sf) Issuer: Citigroup Mortgage Loan Trust 2015-A Cl. B-4, Assigned B2 (sf); previously on Mar 27, 2015 Assigned NR (sf) Ratings Rationale Summary Credit Analysis and Rating Rationale The rating actions are based on Moody's updated loss expectations on the underlying pools and reflect the credit enhancement available to the bonds. Moody's ratings also reflect the representation and warranties (R&W) framework of the transactions, which Moody's deem to be adequate. Representation provider for the transactions is Citigroup Global Markets Realty Corp. The pools have exhibited lower delinquencies and faster prepayment rates than originally anticipated, resulting in an improvement to Moody's future loss projections on the pools since deal issuance. Moreover, cumulative losses realized on the pools to date have been small. Further, credit enhancement for Citigroup Mortgage Loan Trust 2015-A Class B-4 has increased to 10.4% from 6.75% at issuance and for Citigroup Mortgage Loan Trust 2015-RP2 Class B-4 has increased to 11.1% from 6.9% at issuance. Moody's expected losses on a pool of re-performing mortgage loans on Moody's estimates of 1) the default rate on the remaining balance of the loans and 2) the principal recovery rate on the defaulted balances. Moody's estimates of defaults are driven by annual delinquency assumptions adjusted for roll-rates, prepayments and default burnout factors. In estimating defaults on these pools, Moody's used initial expected annual delinquency rates of 6% to 10% and expected prepayment rates of 10% to 12% based on the collateral characteristics and the observed performance of the individual pools, and the observed performance of collateral similar to the underlying loans. The transactions have a shifting interest structure that benefits from a subordination floor of 6.90% of the original collateral balance for Citigroup Mortgage Loan Trust 2015-RP2 and 6.75% of the original collateral balance for Citigroup Mortgage Loan Trust 2015-A. Even though the senior bonds benefit from a cash flow waterfall that allocates all prepayments to the senior bond for a specified period of time, an increasing amount of prepayments will be allocated to the subordinate bonds thereafter, if the loans' performance satisfies delinquency and loss tests. However, the subordination floors provide protection to the senior bonds in the event of tail risk (risk of small number of loans defaulting when fewer loans remain in pool). The principal methodology used in rating Citigroup Mortgage Loan Trust 2015-RP2, Cl. B-4 was "Moody's Approach to Rating Securitisations Backed by Non- Performing and Re-Performing Loans" published in August 2016. The principal methodology used in rating Citigroup Mortgage Loan Trust 2015-A, Cl. B-4 was "US RMBS Surveillance Methodology" published in January 2017. Factors that would lead to an upgrade or downgrade of the ratings: Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. CITIGROUP MORTGAGE 2018-RP1: Fitch to Rate Class B-2 Notes 'Bsf' ---------------------------------------------------------------- Fitch Ratings expects to rate Citigroup Mortgage Loan Trust 2018-RP1 (CMLTI 2018-RP1): -- $182,355,000 class A-1 notes 'AAAsf'; Outlook Stable; -- $182,355,000 class A-IO1 notional notes 'AAAsf'; Outlook Stable; -- $182,355,000 class A exchangeable notes 'AAAsf'; Outlook Stable; -- $30,195,000 class M-1 notes 'AAsf'; Outlook Stable; -- $17,614,000 class M-2 notes 'Asf'; Outlook Stable; -- $15,393,000 class M-3 notes 'BBBsf'; Outlook Stable; -- $14,210,000 class B-1 notes 'BBsf'; Outlook Stable; -- $9,177,000 class B-2 notes 'Bsf'; Outlook Stable. Fitch will not be rating the following classes: -- $274,874,086 class A-IO2 notional notes; -- $9,029,000 class B-3 notes; -- $9,029,000 class B-4 notes; -- $9,029,014 class B-5 notes; -- $274,874,086 class A-IO-S notional notes; -- $296,031,014 class C notional notes; -- $808,709 class SA notes; -- $301,654 class PRA notes; -- $10,139,377 class BC exchangeable notes; -- Class R REMIC residual notes. The notes are supported by a pool of 958 loans totaling $296.0 million (comprising 954 seasoned performing and re-performing loans [RPLs] and four newly originated loans), including $21.2 million in non-interest-bearing deferred principal amounts, and excluding $0.3 million in non-interest bearing deferred principal reduction amounts (PRA), as of the cutoff date. Distributions of principal and interest (P&I) and loss allocations are based on a sequential-pay, senior-subordinate structure. The 'AAAsf' rating on the class A-1 notes reflects the 38.40% subordination provided by the 10.20% class M-1, 5.95% class M-2, 5.20% class M-3, 4.80% class B-1, 3.10% class B-2, 3.05% class B-3, 3.05% class B-4, and 3.05% class B-5 notes. Fitch's ratings on the notes reflect the credit attributes of the underlying collateral, the quality of the servicer (Fay Servicing, LLC, rated 'RSS3+'), the representation (rep) and warranty framework, minimal due diligence findings, and the sequential pay structure. KEY RATING DRIVERS Recent Delinquencies (Negative): While almost all of the loans have been current on their mortgage payments during the prior 12 months, only 36% have been clean for more than 24 months. The majority (97%) of the loans have received a modification due to performance issues, including 57% that were completed as recent as 2015 and 2016. Although the borrowers tend to be chronic late payers, the seasoning of roughly 11 years indicates a willingness to make their payment. Tier I Representation Framework (Positive): Fitch views the transaction's representation, warranty and enforcement mechanisms (RW&E) as consistent with a Tier I framework. Any loan that incurred or incurs a realized loss or is 120 or more days delinquent after cumulative realized losses plus the 120+ delinquency bucket exceeds 50% of the aggregate original credit enhancement (CE) of the class B-3, B-4 and B-5 notes will be reviewed for a breach. In addition, the controlling noteholder, which cannot be the seller or an affiliate of the seller, has the ability to cause a third-party review (TPR) on any loans that liquidated with a realized loss. Fitch believes the performance trigger for causing an automatic review is sufficient for identifying breaches before significant deterioration in pool performance occurs. The transaction benefits from life-of-loan representations and warranties (R&Ws) from the sponsor, Citigroup Global Markets Realty Corp. (CGMRC), which is a subsidiary of Citigroup, Inc. (rated A/F1). Due Diligence Findings (Negative): A TPR conducted on 100% of the pool resulted in 10.3% (or 99 loans) graded 'C' or 'D'. For 39 loans, the due diligence results showed issues regarding high-cost testing -- the loans were either missing the final HUD1, used alternate documentation to test or had incomplete loan files -- and, therefore, a slight upward revision to the model output LS was applied, as further described in the Third-Party Due Diligence section. In addition, timelines were extended on 54 loans that were missing final modification documents or where the modification documents could not be confirmed (excluding two loans that were already adjusted for HUD1 issues). Recent Natural Disasters (Mixed): The servicer, Fay Servicing, LLC (Fay), is conducting inspections on properties located in counties designated as major disaster areas by the Federal Emergency Management Agency (FEMA) as a result of the recent natural disasters. In addition, CGMRC is reviewing servicing comments. The sponsor, CGMRC, is obligated to repurchase loans that have incurred property damage due to water, flood or hurricane that materially and adversely affects the value of the property prior to the transaction's closing. Fitch currently does not expect the effect of the natural disasters to have rating implications due to the repurchase obligation of the sponsor and due to the limited exposure to affected areas relative to the CE of the rated bonds. Sequential-Pay 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. Potential Interest Deferrals (Mixed): Given that there is no external P&I advancing mechanism, Fitch analyzed the collateral's cash flows using its standard prepayment and default timing assumptions to assess the cash flow stability of the high investment grade-rated bonds. Fitch considered the borrower's pay histories in comparison to its timing assumptions and found that the subordination is expected to be sufficient to cover timely payment of interest on the 'AAAsf' and 'AAsf' notes. In addition, principal otherwise distributable to the notes may be used to pay monthly interest, which also helps provide stability in the cash flows. However, the lower-rated bonds may experience long periods of interest deferral and will generally not be repaid until the note becomes the most senior outstanding. No Servicer P&I Advances (Mixed): The servicer will not be advancing delinquent monthly payments of P&I, which reduce liquidity to the trust. However, as P&I advances, which are made on behalf of loans that become delinquent and eventually liquidate, reduce liquidation proceeds to the trust, the loan-level LS are less for this transaction than for those where the servicer is obligated to advance P&I. Structural provisions and cash flow priorities, together with increased subordination, provide for timely payments of interest to the 'AAAsf' and 'AAsf' rated classes. Deferred Amounts (Negative): Non-interest bearing principal forebearance amounts totaling $21.2 million (7.1%) of the unpaid principal balance are outstanding on 476 loans. Fitch included the deferred amounts when calculating the borrower's LTV and sLTV despite the lower payment and amounts not owed during the term of the loan. The inclusion resulted in higher PDs and LS than if there were no deferrals. Fitch believes that borrower default behavior for these loans will resemble that of the higher LTVs, as exit strategies (that is, sale or refinancing) will be limited relative to those borrowers with more equity in the property. Additionally, $0.3 million in non-interest bearing deferred PRA will be securitized into a separate non-rated Class PRA. Solid Alignment of Interest (Positive): The sponsor, Citigroup Global Markets Realty Corp., will acquire and retain a 5% vertical interest in each class of the securities to be issued. CRITERIA APPLICATION Fitch analyzed the transaction in general accordance with its criteria, as described in the report, "U.S. RMBS Rating Criteria." This incorporates a review of the originators' lending platforms, as well as an assessment of the transaction's R&Ws provided by the originators and arranger, which were found to be consistent with the ratings assigned to the notes. Fitch's analysis incorporated one criteria variation from "U.S. RMBS Seasoned, Re-Performing and Non-Performing Loan Rating Criteria," and one criteria variation from "U.S. RMBS Rating Criteria," which are described below. The first variation (to "U.S. RMBS Seasoned, Re-Performing and Non-Performing Loan Rating Criteria") relates to increasing the maximum PD credit that a loan can receive for having a clean pay history. Fitch will typically apply the maximum clean current credit for loans that have clean pay histories for at least 36 months and three-quarters of the maximum credit for loans that have clean pay histories of 24 to 35 months. Based on a historical data analysis of legacy RPL and RPL 2.0 performance to date, RPL collateral has outperformed Fitch's initial expectations. In RPL 2.0, the cohort of clean current loans at deal closing are performing substantially better than the weaker cohort of loans at deal closing that had a delinquency in the previous 24 months. This historical data supports increasing the maximum PD credit from 35% to 50% for loans that are at least 36 months clean current, as well as increasing the maximum PD credit from 26% to 36% for loans that are 24 to 35 months clean current. The second variation (to "U.S. RMBS Rating Criteria") relates to four loans (approximately 0.4% of the pool by UPB) in the pool that are seasoned slightly less than Fitch's threshold for seasoned loans, which is 24 months. On average, these loans are approximately 14 months seasoned. The due diligence scope for these loans was not consistent with Fitch's scope for newly originated loans. Fitch is comfortable with the due diligence that was completed on these loans, as it affects a small percentage of the pool and the scope was consistent with Fitch's criteria for seasoned and re-performing loans. In addition, Fitch received updated values for these loans and conservative assumptions were made on the collateral analysis regarding the loans' rep and warranty framework. RATING SENSITIVITIES Fitch's analysis incorporates sensitivity analyses to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at both the metropolitan statistical area (MSA) and national levels. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or be considered in the surveillance of the transaction. Fitch conducted sensitivity analysis determining how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20%, and 30%, in addition to the model-projected 38.6% at 'AAAsf'. The analysis indicates there is some potential rating migration with higher MVDs, compared with the model projection. Fitch also conducted sensitivities to determine the stresses to MVDs that would reduce a rating by one full category, to non-investment grade, and to 'CCCsf'. COMM 2016-DC2: Fitch Affirms 'BB-sf' Ratings on 2 Tranches ---------------------------------------------------------- Fitch Ratings has affirmed 15 classes of Deutsche Bank Securities, Inc.'s COMM 2016-DC2 Mortgage Trust commercial mortgage pass-through certificates. KEY RATING DRIVERS Fitch Loan of Concern: The Columbus Park Crossing loan (5%) has been designated as a Fitch Loan of Concern due to the announcement that its largest anchor tenant, Sears, has closed. The collateral property is a 638,028 sf regional mall located in Columbus, GA. The largest tenants at the property include a now dark Sears, Carmike Cinemas and Toys-R-Us. Sears, Carmike, and Toys-R-Us all are subject to ground leases and own their improvements. Physical occupancy declined to 77% upon Sears' departure, from 100% at issuance, almost exclusively from Sears' departure. Generally Stable Performance: Aside from the Columbus Park Crossing loan, the performance of the pool has been largely stable since issuance with no loans delinquent or in special servicing. As of the January 2018 distribution date, the pool's aggregate principal balance has been reduced by 1.1% to $797.1 million from $806.2 million at issuance. No loans are defeased. Property Type Concentration: Retail represents the largest property type concentration (31.2%), which is in line with the 2016 average of 31.4% and higher than the 2015 average of 26.7%. Manufactured housing communities represent 10% of the pool, significantly higher than the 2016 and 2015 averages of 1.6% and 2.3%, respectively. Above Average Amortization: Only four loans totalling 15.1% of current pool balance are interest only, which is well below the 2016 and 2015 averages of 33.3% and 23.3%, respectively. Partial interest-only loans represent 55.1% of the pool (23 loans), while 37 loans totalling 30% were amortizing balloon loans with terms of five to 10 years. The pool is scheduled to amortize by 13% of the initial pool balance prior to maturity, more than the respective 2016 and 2015 averages of 10.4% and 11.7%. RATING SENSITIVITIES Rating Outlooks on classes A1 through E remain Stable due to increasing credit enhancement, continued paydown, and generally stable collateral performance. Fitch does not foresee positive or negative ratings migration of these classes until a material economic or asset-level event changes the transaction's overall portfolio-level metrics. The Rating Outlook on class F has been revised to Negative due to the potential downgrade concerns as a result of the declining performance on the Columbus Park Crossing loan. Anchor tenant Sears vacated in March 2017, and a replacement tenant has not been found. Fitch's analysis included a stressed scenario, which assumed a higher loss due to the vacant Sears. The Negative Outlook reflects the property's location in a tertiary market and the uncertainty with releasing the former Sears space. Fitch has affirmed the following classes and revised Outlooks as indicated: -- $26.5 million class A-1 at 'AAAsf'; Outlook Stable; -- $4.5 million class A-2 at 'AAAsf'; Outlook Stable; -- $15.7 million class A-3 at 'AAAsf'; Outlook Stable; -- $60.3 million class A-SB at 'AAAsf'; Outlook Stable; -- $200 million class A-4 at 'AAAsf'; Outlook Stable; -- $248.2 million class A-5 at 'AAAsf'; Outlook Stable; -- $605.6 million* class X-A at'AAAsf'; Outlook Stable; -- $50.4 million class A-M at 'AAAsf'; Outlook Stable; -- $40.3 million class B at 'AA-sf'; Outlook Stable; -- $42.3 million class C at 'A-sf'; Outlook Stable; -- $42.3 million* class X-C 'BBB-sf'; Outlook Stable; -- $23.2 million* class X-D 'BB-sf'; Outlook to Negative from Stable; -- $42.3 million class D at 'BBB-sf'; Outlook Stable; -- $13.1 million class E at 'BB+sf'; Outlook Stable; -- $10.1 million class F at 'BB-sf'; Outlook to Negative from Stable. *Indicates notional amount and interest-only. Fitch does not rate the class G, H, X-E or X-F certificates. The rating for the X-B certificates was previously withdrawn. COMMERCIAL MORTGAGE 1998-C1: Moody's Hikes Cl. M Debt Rating to Ca ------------------------------------------------------------------ Moody's Investors Service has upgraded the rating on one class and affirmed the rating on one class in Commercial Mortgage Acceptance Corporation Commercial Mortgage Pass-Through Certificates, 1998-C1 as follows: Cl. M, Upgraded to Ca (sf); previously on Feb 24, 2017 Affirmed C (sf) Cl. X, Affirmed C (sf); previously on Jun 9, 2017 Downgraded to C (sf) RATINGS RATIONALE The rating on the P&I class was upgraded due to higher recovery than previously anticipated. The rating on the IO class was affirmed based on the credit quality of the referenced classes. Moody's rating action reflects a base expected loss of 1.2% of the current pooled balance, the same as Moody's last review. Moody's base expected loss plus realized losses is now 1.2% of the original pooled balance, the same as Moody's last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. Moody's does not anticipate losses from the remaining collateral in the current environment. However, over the remaining life of the transaction, losses may emerge from macro stresses to the environment and changes in collateral performance. Moody's ratings reflect the potential for future losses under varying levels of stress. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. The methodology used in rating Cl. X was "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017 and "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. DEAL PERFORMANCE As of the January 16, 2018 distribution date, the transaction's aggregate certificate balance has decreased by 67% to $4.0 million from $1.19 billion at securitization. The certificates are collateralized by 11 mortgage loans ranging in size from less than 1% to 34.5% of the pool. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of four, compared to eight at Moody's last review. Ten loans, constituting 84% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Fifteen loans have been liquidated from the pool, resulting in an aggregate realized loss of $14.7 million (for an average loss severity of 30%). There are currently no loans in special servicing. Moody's received full year 2016 operating results for 100% of the pool, and full or partial year 2017 operating results for 79% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 45%, compared to 52% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 20% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 10.2%. Moody's actual and stressed conduit DSCRs are 1.05X and 10.39X, respectively, compared to 1.22X and 6.19at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The top three loans represent 77% of the pool balance. The largest loan is the Walgreens Loan ($1.4 million -- 34.5% of the pool), which is secured by a 15,900 SF single-tenant retail property located in Lakeland, Florida. The property is 100% leased to Walgreens through October 2058. Due to single tenant exposure, Moody's stressed the value of this property utilizing a lit/dark analysis. Moody's LTV and stressed DSCR are 58% and 1.88X, respectively compared to 58% and 1.85X at last review. The second largest loan is the Walgreen's Drug Loan ($1.1 million -- 27% of the pool), which is secured by a 13,900 SF single-tenant retail property located in Arlington, Texas. The property is 100% leased to Walgreens through September 2056. Due to single tenant exposure, Moody's stressed the value of this property utilizing a lit/dark analysis. Moody's LTV and stressed DSCR are 53% and 2.04X, respectively, the same as Moody's last review. The third largest loan is the United States Post Office Loan ($628,220 -- 15.8% of the pool), which is secured by a 10,567 SF single-tenant retail property located in Middletown, Rhode Island. The property is 100% leased to the US Postal Service through December 2021. The loan is fully amortizing and has amortized 58% since securitization. Due to single tenant exposure, Moody's stressed the value of this property utilizing a lit/dark analysis. Moody's LTV and stressed DSCR are 64% and 1.87X, respectively compared to 57% and 2.08X at last review. CREDIT SUISSE 2005-C5: Fitch Lowers Class H Certs Rating to 'Csf' ----------------------------------------------------------------- Fitch Ratings has upgraded one, downgraded two and affirmed eight classes of Credit Suisse First Boston Mortgage Securities Corp. series 2005-C5 (CSFB 2005-C5), commercial mortgage pass-through certificates. KEY RATING DRIVERS The upgrade of class F reflects increased credit enhancement since Fitch's last rating action from the liquidation and full recovery of the real-estate owned Covington Plaza asset at better recoveries than previously expected, which paid off class E. In addition, the second largest loan in the pool has been defeased and class F is now fully covered by defeased collateral. The downgrades of class G and H reflect a greater certainty of loss on these classes due to the continued underperformance of the largest loan, Gallery at South Dekalb (46.7% of pool), which matures in July 2019. Defeasance & Fully Amortizing Loans: Two loans (29.9% of pool) are defeased and one additional loan (0.3%) is fully amortizing. Fitch Loan of Concern: The Gallery at South Dekalb loan (46.7% of pool) is secured by a 528,046 square foot (sf) portion of a 726,046 sf regional mall located in Decatur, GA, approximately seven miles southeast of Atlanta. The mall is shadow-anchored by a Macy's (198,000 sf), which is not part of the loan collateral. The largest collateral tenants include Chapel Beauty (9% of collateral net rentable area (NRA); lease expiry in December 2028) and Conway (5.8%; April 2024). Collateral occupancy as of January 2018 declined to 61.5% from 70.7% in March 2017. The Satellite Cinemas space (8.1% of collateral NRA) is dark after the tenant vacated during 2017. The tenant opened for business in April 2016 and had executed a 10-year lease through December 2026. As of the January 2018 rent roll, upcoming lease rollover consists of 4.4% of the collateral NRA on month-to-month leases, 7.8% rolling in 2018 and 4.5% in 2019. Net operating income between 2015 and 2016 declined 20.3%. The loan had returned back to the master servicer in March 2016 after being modified in July 2015, whereby the maturity was extended by four years to July 2019 and the loan was bifurcated into a $29 million A-note and a $14.4 million B-note. Pool Concentration: The pool is highly concentrated with only seven of the original 282 loans remaining. One loan (7.5% of pool) is secured by a co-op property located in the Riverdale, Bronx neighborhood of New York City. The four other non-defeased loans (62.6%) are secured by properties located in secondary and tertiary markets. Loan Maturity: The largest loan (46.7% of pool) matures in 2019 and the remaining six loans (53.3%) mature in 2020. As of the January 2018 distribution date, the pool's aggregate principal balance has been reduced by 96.9% to $88.6 million from $2.9 billion at issuance. Interest shortfalls are currently affecting classes H through S. RATING SENSITIVITIES The Stable Outlook on class F reflects the class being fully covered by defeased collateral. Classes G and H may be subject to further downgrades should losses exceed expectations. Fitch has upgraded the following class: -- $21.3 million class F to 'AAAsf' from 'BBsf'; Outlook Stable. Fitch has downgraded the following classes: -- $36.3 million class G to 'CCsf' from 'CCCsf', RE 100%; -- $21.8 million class H to 'Csf' from 'CCsf', RE 70%. Fitch has affirmed the following classes: -- $9.3 million class J at 'Dsf', RE 0%; -- $0 class K at 'Dsf', RE 0%; -- $0 class L at 'Dsf', RE 0%; -- $0 class M at 'Dsf', RE 0%; -- $0 class N at 'Dsf', RE 0%; -- $0 class O at 'Dsf', RE 0%; -- $0 class P at 'Dsf', RE 0%; -- $0 class Q at 'Dsf', RE 0%. The class A-1, A-2, A-3, A-AB, A-4, A-1A, A-M, A-J, B, C, D, E, 375-A, 375-B, and 375-C certificates have paid in full. Fitch does not rate the class S certificates. Fitch previously withdrew the ratings on the interest-only class A-X, A-SP and A-Y certificates. CREDIT SUISSE 2005-C5: S&P Affrims B+(sf) Rating on Class G Notes ----------------------------------------------------------------- S&P Global Ratings raised its rating on the class F commercial mortgage pass-through certificates from Credit Suisse First Boston Mortgage Securities Corp. series 2005-C5, a U.S. commercial mortgage-backed securities (CMBS) transaction. In addition, S&P affirmed its rating on class G from the same transaction. S&P said, "For the upgrade and affirmation, our credit enhancement expectation was in line with the raised and affirmed rating levels. "While available credit enhancement levels suggest further positive rating movements on class G, our analysis also considered the susceptibility to reduce liquidity support from the two previously corrected mortgage loans ($66.4 million, 75.9%). Specifically, we viewed the corrected Gallery at South Dekalb loan ($40.9 million, 46.7%) to have refinancing risk due to reported declining occupancy and cash flows at the underlying property." TRANSACTION SUMMARY As of the Jan. 18, 2018, trustee remittance report, the collateral pool balance was $87.6 million (while the certificates balance was $88.6 million), which is 3.0% of the pool balance at issuance. The pool currently includes seven loans (reflecting the A and B notes as one loan), down from 280 loans at issuance. Two loans ($26.1 million, 29.9% of the asset balance) are defeased and three ($44.0 million, 50.3%) are on the master servicer's watchlist. Excluding the defeased loans and the subordinate B notes ($14.5 million, 16.6%), S&P calculated a 1.94x S&P Global Ratings weighted average debt service coverage and 81.4% S&P Global Ratings weighted average loan-to-value ratio using an 8.05% S&P Global Ratings weighted average capitalization rate for the performing loans. To date, the transaction has experienced $146.6 million in principal losses, or 5.1% of the original pool trust balance. RATINGS LIST Credit Suisse First Boston Mortgage Securities Corp. Commercial mortgage pass-through certificates series 2005-C5 Rating Class Identifier To From F 225470DP5 AA+ (sf) A+ (sf) G 225470BA0 B+ (sf) B+ (sf) CREDIT SUISSE 2008-C1: Fitch Lowers Ratings on 3 Tranches to 'Csf' ------------------------------------------------------------------ Fitch Ratings has affirmed 12 classes and downgraded five classes of Credit Suisse Commercial Mortgage Trust (CSMC) commercial mortgage pass-through certificates series 2008-C1. KEY RATING DRIVERS Increased Credit Enhancement; Adverse Selection: The affirmation of class A-M is the result of high and increasing credit enhancement due to amortization, loan payoffs, and dispositions since Fitch's last rating action. In addition, the second largest loan in the transaction, McHugh Marriott Hilton Portfolio, is expected to payoff at the upcoming maturity in February 2018 due to the low leverage. However, given the concentration and binary risk of the top three loans in the pool, a Negative Outlook was assigned which indicates that downgrades are possible if the McHugh Portfolio does not payoff or if expected losses increase. The downgrades to the distressed classes are the result of higher certainty of losses given the transaction concentrations. The pool is highly concentrated with only five loans remaining. Due to the concentrated nature of the pool, Fitch performed a sensitivity analysis which grouped the remaining loans based on loan performance, leverage and expected losses and ranked them by their perceived likelihood of repayment. This includes fully amortizing balloon loans and the specially serviced loans. The ratings reflect this sensitivity analysis. Concentration of Specially Serviced Loans: There are three specially serviced loans representing 70.8% of the pool, including two foreclosed loans (51.9%). The largest loan in the pool (50%), Killeen Mall, is secured by roughly 385,000 sf of a 558,254-sf regional mall located in Killeen, TX, home to Fort Hood, the nation's largest armed forces training and development facility. Anchors are Dillards (not part of collateral), JCPenney (not part of collateral), Sears, and Burlington Coat Factory. The loan was transferred to the special servicer in June 2017 because the loan was unable to payoff at maturity. The mall was 90.5% occupied and the collateral portion was 83.5% occupied as of Sept 2017. Per servicer reporting, NOI has been relatively stable ranging between $6.11 million and $6.57 million from 2009-2016. As of YE2016, NOI DSCR was 1.35x and has fluctuated very little since 2009. Foreclosure is estimated for February 2018. The third largest loan in the pool (19%), Southside Works, is secured by 199,198-sf mixed-use property in Pittsburgh, PA. The property consists of 144,241 sf of retail and 54,957 sf of office space and was completed in 2005. It is the second phase of a mixed-use lifestyle center. In addition to the subject collateral, the Southside Works development includes approximately 360,000 sf of retail and 220,000 sf of office space, as well as 84 loft apartments. The loan was transferred to the special servicer in November 2017 due to the expectation that the loan would not payoff at the January 2018 maturity. Occupancy declined to 83% at YE 2015 from 91% at YE 2014; however, it has rebounded up to 94% as of Nov. 2017. The retail portion occupancy is 96.1% and the office portion is 89.6%. The most recent reported NOI DSCR was 1.39x at YTD September 2017. Paydown Since Issuance: As of the January 2017 distribution date, the transaction has paid down 81.5% since issuance, to $164 million from $887 million. The pool has paid down by $350.6 million since the last rating action (68% of the outstanding balance at the last rating action). Interest shortfalls total $8.7 million and extend up to class E. RATING SENSITIVITIES The Negative Outlook on the A-M class reflects the transaction's concentration of specially serviced loans and the potential for downgrades if McHugh Marriott Hilton Portfolio doesn't payoff at maturity. Distressed classes are subject to downgrades as losses are realized. 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. Fitch has downgraded the following classes: -- $57.7 million class A-J to 'CCsf' from 'Bsf'; RE 40%; -- $8.9 million class B to 'CCsf' from 'Bsf'; RE 0%; -- $8.9 million class C to 'Csf' from 'CCCsf'; RE 0%; -- $12.2 million class D to 'Csf' from 'CCCsf'; RE 0%; -- $10 million class E to 'Csf' from 'CCsf'; RE 0%. Fitch has affirmed the following classes and revised Outlooks as indicated: -- $63.7 million class A-M at 'Asf'; Outlook to Negative from Stable; -- $5.4 million class F at 'Dsf'; RE 0%; -- $0 class G at 'Dsf'; RE 0%; -- $0 class H at 'Dsf'; RE 0%; -- $0 class J at 'Dsf'; RE 0%; -- $0 class K at 'Dsf'; RE 0%; -- $0 class L at 'Dsf'; RE 0%; -- $0 class M at 'Dsf'; RE 0%; -- $0 class N at 'Dsf'; RE 0%; -- $0 class O at 'Dsf'; RE 0%; -- $0 class P at 'Dsf'; RE 0%; -- $0 class Q at 'Dsf'; RE 0%. The class A-1, A-2, A-2FL, A-AB, A-3, A-1-A certificates have paid in full. Fitch does not rate the class S certificates. Fitch previously withdrew the rating on the interest-only class A-X certificates. ELLINGTON CLO II: Moody's Assigns Ba3 Rating to Class E Notes ------------------------------------------------------------- Moody's Investors Service has assigned ratings to five classes of notes issued by Ellington CLO II, Ltd. Moody's rating action is as follows: US$227,900,000 Class A Senior Secured Floating Rate Notes due 2029 (the "Class A Notes"), Assigned Aaa (sf) US$35,200,000 Class B Senior Secured Floating Rate Notes due 2029 (the "Class B Notes"), Assigned Aa2 (sf) US$31,500,000 Class C Secured Deferrable Floating Rate Notes due 2029 (the "Class C Notes"), Assigned A2 (sf) US$37,500,000 Class D Secured Deferrable Floating Rate Notes due 2029 (the "Class D Notes"), Assigned Baa3 (sf) US$45,000,000 Class E Secured Deferrable Floating Rate Notes due 2029 (the "Class E Notes"), Assigned Ba3 (sf) The Class A Notes, the Class B Notes, the Class C Notes, the Class D Notes and the Class E Notes are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE Moody's ratings of the Rated Notes address the expected losses posed to noteholders. The ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. Ellington CLO II is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 82.5% of the portfolio must consist of first lien senior secured loans, cash, and eligible investments, and up to 17.5% of the portfolio may consist of second lien loans and unsecured loans. The portfolio is approximately 85% ramped as of the closing date. Ellington CLO Management LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's three year reinvestment period. Thereafter, the Manager may not reinvest in new assets and all principal proceeds, including sale proceeds, will be used to amortize the notes in accordance with the priority of payments. In addition to the Rated Notes, the Issuer issued subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2017. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $450,000,000 Diversity Score: 30 Weighted Average Rating Factor (WARF): 4537 Weighted Average Spread (WAS): 6.10% Weighted Average Coupon (WAC): 7.50% Weighted Average Recovery Rate (WARR): 42.0% Weighted Average Life (WAL): 7.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2017. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. Together with the set of modeling assumptions above, Moody's conducted an additional sensitivity analysis, which was a component in determining the ratings assigned to the Rated Notes. This sensitivity analysis includes increased default probability relative to the base case. Below is a summary of the impact of an increase in default probability (expressed in terms of WARF level) on the Rated Notes (shown in terms of the number of notch difference versus the current model output, whereby a negative difference corresponds to higher expected losses), assuming that all other factors are held equal: Percentage Change in WARF -- increase of 15% (from 4537 to 5218) Rating Impact in Rating Notches Class A Notes: -1 Class B Notes: -2 Class C Notes: -2 Class D Notes: -1 Class E Notes: 0 Percentage Change in WARF -- increase of 30% (from 4537 to 5898) Rating Impact in Rating Notches Class A Notes: -1 Class B Notes: -3 Class C Notes: -3 Class D Notes: -2 Class E Notes: -1 EVERBANK MORTGAGE 2018-1: Moody's Rates Cl. B-4 Debt '(P)Ba2' ------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to 28 classes of residential mortgage-backed securities (RMBS) issued by EverBank Mortgage Loan Trust 2018-1 (EBMLT 2018-1). The ratings range from (P)Aaa (sf) to (P)Ba2 (sf). EBMLT 2018-1 is the first transaction entirely backed by loans originated by EverBank since 2013. In June 2017, EverBank was acquired by Teachers Insurance and Annuity Association of America (Aa1). TIAA, FSB is the successor to EverBank. EBMLT 2018-1 consists of prime jumbo pools underwritten to TIAA, FSB 's underwriting standards. All of the mortgage loans in EBMLT 2018-1 are designated as qualified mortgage (QM) safe harbor loans. TIAA, FSB will service the loans and Wells Fargo Bank, N.A. (Aa2) will be the master servicer. The complete rating actions are: Issuer: EverBank Mortgage Loan Trust 2018-1 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aaa (sf) Cl. A-14, Assigned (P)Aaa (sf) Cl. A-15, Assigned (P)Aaa (sf) Cl. A-16, Assigned (P)Aaa (sf) Cl. A-17, Assigned (P)Aaa (sf) Cl. A-18, Assigned (P)Aaa (sf) Cl. A-19, Assigned (P)Aa1 (sf) Cl. A-20, Assigned (P)Aa1 (sf) Cl. A-21, Assigned (P)Aa1 (sf) Cl. A-22, Assigned (P)Aaa (sf) Cl. A-23, Assigned (P)Aaa (sf) Cl. A-24, Assigned (P)Aaa (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A2 (sf) Cl. B-3, Assigned (P)Baa2 (sf) Cl. B-4, Assigned (P)Ba2 (sf) RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Moody's expected cumulative net loss on the aggregate pool is 0.35% in a base scenario and reaches 3.80% at a stress level consistent with the Aaa ratings. Moody's loss estimates are based on a loan-by-loan assessment of the securitized collateral pool using Moody's Individual Loan Level Analysis (MILAN) model. Loan-level adjustments to the model included: adjustments to borrower probability of default for higher and lower borrower DTIs, borrowers with multiple mortgaged properties, self-employed borrowers, origination channels and at a pool level, for the default risk of HOA properties in super lien states. The adjustment to Moody's Aaa stress loss above the model output also includes adjustments related to aggregator and originators assessments. The model combines loan-level characteristics with economic drivers to determine the probability of default for each loan, and hence for the portfolio as a whole. Severity is also calculated on a loan-level basis. The pool loss level is then adjusted for borrower, zip code, and MSA level concentrations. Collateral Description EBMLT 2018-1 is a securitization of 551 primarily 30-year fixed-rate prime residential mortgages (three loans are 25-year fixed). Borrowers of the mortgage loans backing this transaction have strong credit profile demonstrated by strong credit scores, high percentage of equity and significant liquid reserves. The credit quality of the transaction is in line with recent prime jumbo transactions that Moody's have rated. We decreased Moody's loss levels due to TIAA, FSB 's strength as an originator of prime jumbo loans. Moody's believe that TIAA, FSB is stronger than its peers due to its conservative underwriting standards, solid performance history and strong quality control policies and procedures. Borrowers of the mortgage loans backing this transaction have a demonstrated ability to save and to manage credit. On average, borrowers have 25.9% equity in the properties backing the mortgage loans. In addition, approximately 67.0% of borrowers have more than 24 months of liquid cash reserves or enough money to pay the mortgage for two years should there be an interruption to the borrower's cash flow. Consistent with prudent credit management, the borrowers have high FICO scores, with a weighted average score of 776. In general, the borrowers have high income, significant liquid assets and a stable employment history, all of which have been verified as part of the underwriting process and reviewed by the TPR firm. The transaction includes mortgage loans backed by properties located in areas designated by the Federal Emergency Management Authority (FEMA) for federal assistance in the last 12 months. The sponsor ordered inspections of mortgaged properties located in counties where borrowers were eligible for individual assistance from FEMA. No material damage was discovered. However, the sponsor did not order inspections on properties located in areas designated by FEMA as public assistance areas. Moody's note that mortgage loans backed by properties located in areas affected by Hurricane Harvey, Hurricane Irma and wildfires show zero delinquencies. Moreover, the transaction includes an unqualified representation that the pool does not include properties with material damage that would adversely affect the value of the mortgaged property. Third Party Review and Reps & Warranties (R&W) One third-party due diligence firm verified the accuracy of the loan level information that the sponsor gave us. This TPR firm conducted detailed credit, property valuation, data accuracy and compliance reviews on 100% of the mortgage loans in the collateral pool. The TPR results indicate that the majority of reviewed loans were in compliance with originators' underwriting guidelines, no material compliance or data issues, and no material appraisal defects. We consider the strength of the R&W framework in EBMLT 2018-1 to be adequate. Moody's analysis of the R&W framework considers the R&Ws, enforcement mechanisms and creditworthiness of the R&W provider. The sponsor is TIAA, FSB whose parent, Teachers Insurance and Annuity Association of America, has an insurance financial strength rating at Aa1 and a long-term issuer rating at Aa2. The sponsor has provided unambiguous representations and warranties (R&Ws) with no material knowledge qualifiers and not subject to a sunset. There is a provision for binding arbitration in the event of a dispute between investors and the R&W provider concerning R&W breaches. However, the R&W framework in EBMLT 2018-1 differs from other prime jumbo transactions because breach review is not automatic. Once a review trigger has been hit (e.g. 120-day delinquency), it is the responsibility of the controlling holder, and subsequently the senior holder group, to engage an independent reviewer and to bear the costs of the review, even if a breach is discovered (unless the R&W is an "intrinsic representation," then the sponsor will bear the cost of review). If the controlling holder and the senior holder group elect not to engage an independent reviewer to conduct a breach review, the loan will not be reviewed, which may result in systemic defects to go undetected. In Moody's analysis, Moody's considered the incentives of the controlling holder and the senior holder group, that a third-party due diligence firm has performed a 100% review of the mortgage loans as well as the early payment default protection in this transaction. Trustee/Custodian and Master Servicer/Securities Administrator U.S. Bank National Association (U.S. Bank) (A1) will act as the trustee for this transaction. In its capacity as custodian, U.S. Bank will hold the collateral documents, which include, the original note and mortgage and any intervening assignments of mortgage. Wells Fargo Bank, N.A. (Wells Fargo) (Aa2) provides oversight of the servicer. Moody's consider Wells Fargo as a strong master servicer of residential loans. Wells Fargo's oversight encompasses loan administration, default administration, compliance and cash management. Wells Fargo will also act as securities administrator, whose role includes paying the issued securities. Other Considerations Servicer optional purchase of delinquent loans: The servicer has the option to purchase any mortgage loan which is 90 days or more delinquent, which may result in the step-down test used in the calculation of the senior prepayment percentage to be satisfied when otherwise it would not have been. Moreover, because the purchase may occur prior to the breach review trigger of 120 days delinquency, the loan may not be reviewed for breaches of representations and warranties and thus, systemic defects may go undetected. In Moody's analysis, Moody's considered that the loans will be purchased by the servicer at par, the servicer is limited to purchasing loans up to 10% of the aggregate cut-off date balance and that a third-party due diligence firm has performed a 100% review of the mortgage loans. Moreover, the reporting for this transaction will list the mortgage loans purchased by the servicer. Extraordinary expenses and risk of trustee holdback: Extraordinary trust expenses in the EBMLT 2018-1 transaction are deducted from Net WAC as opposed to available distribution amount. Moody's believe there is a very low likelihood that the rated certificates in EBMLT 2018-1 will incur any losses from extraordinary expenses or indemnification payments from potential future lawsuits against key deal parties. First, the loans are prime quality, 100% qualified mortgages and were originated under a regulatory environment that requires tighter controls for originations than pre-crisis, which reduces the likelihood that the loans have defects that could form the basis of a lawsuit. Second, the transaction has reasonably well defined processes in place to identify loans with defects on an ongoing basis. In this transaction, an independent breach reviewer, at the direction of the controlling holder or senior holder group, must review loans for breaches of representations and warranties when certain clearly defined triggers have been breached which reduces the likelihood that parties will be sued for inaction. Third, the issuer has disclosed the results of a credit, compliance and valuation review of all of the mortgage loans by an independent third party. 100% of the loans were included in the due diligence review. Finally, the performance of past EBMLT transactions have been well within expectation. Tail Risk & Subordination Floor The transaction has a shifting interest structure that allows subordinated bonds to receive principal payments under certain defined scenarios. Because a shifting interest structure allows subordinated bonds to pay down over time as the loan pool shrinks, senior bonds are exposed to increased performance volatility, known as tail risk. The transaction provides for a senior subordination floor of 1.40% of the closing pool balance, which mitigates tail risk by protecting the senior bonds from eroding credit enhancement over time. Additionally there is a subordination lock-out amount which is 1.10% of the closing pool balance. Transaction Structure The transaction is structured as a one pool shifting interest structure in which the senior bonds benefit from a senior floor and a subordination floor. Funds collected, including principal, are first used to make interest payments to the senior bonds. Next principal payments are made to the senior bonds and then interest and principal payments are paid to the subordinate bonds in sequential order, subject to the subordinate class percentage of the subordinate principal distribution amounts. Realized losses are allocated in a reverse sequential order, first to the lowest subordinate bond. After the balances of the subordinate bonds are written off, losses from the pool begin to write off the principal balances of the senior support bonds until their principal balances are reduced to zero. Next realized losses are allocated to the super senior bonds until their principal balances are written off. As in all transactions with shifting-interest structures, the senior bonds benefit from a cash flow waterfall that allocates all prepayments to the senior bonds for a specified period of time, and allocates increasing amounts of prepayments to the subordinate bonds thereafter only if loan performance satisfies both delinquency and loss tests. Factors that would lead to an upgrade or downgrade of the ratings: Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Methodology The principal methodology used in these ratings was "Moody's Approach to Rating US Prime RMBS" published on February 2015. FANNIE MAE 2018-C01: Fitch to Rate 19 Note Classes 'Bsf' -------------------------------------------------------- Fitch Ratings expects to assign the following ratings and Rating Outlooks to Fannie Mae's risk transfer transaction, Connecticut Avenue Securities, series 2018-C01: -- $384,186,000 class 1M-1 notes 'BBB-sf'; Outlook Stable; -- $281,736,000 class 1M-2A notes 'BBsf'; Outlook Stable; -- $281,736,000 class 1M-2B notes 'BB-sf'; Outlook Stable; -- $290,274,000 class 1M-2C notes 'Bsf'; Outlook Stable; -- $853,746,000 class 1M-2 exchangeable notes 'Bsf'; Outlook Stable; -- $281,736,000 class 1A-I1 notional exchangeable notes 'BBsf'; Outlook Stable; -- $281,736,000 class 1A-I2 notional exchangeable notes 'BBsf'; Outlook Stable; -- $281,736,000 class 1A-I3 notional exchangeable notes 'BBsf'; Outlook Stable; -- $281,736,000 class 1A-I4 notional exchangeable notes 'BBsf'; Outlook Stable; -- $281,736,000 class 1B-I1 notional exchangeable notes 'BB-sf'; Outlook Stable; -- $281,736,000 class 1B-I2 notional exchangeable notes 'BB-sf'; Outlook Stable; -- $281,736,000 class 1B-I3 notional exchangeable notes 'BB-sf'; Outlook Stable; -- $281,736,000 class 1B-I4 notional exchangeable notes 'BB-sf'; Outlook Stable; -- $290,274,000 class 1C-I1 notional exchangeable notes 'Bsf'; Outlook Stable; -- $290,274,000 class 1C-I2 notional exchangeable notes 'Bsf'; Outlook Stable; -- $290,274,000 class 1C-I3 notional exchangeable notes 'Bsf'; Outlook Stable; -- $290,274,000 class 1C-I4 notional exchangeable notes 'Bsf'; Outlook Stable; -- $281,736,000 class 1E-A1 exchangeable notes 'BBsf'; Outlook Stable; -- $281,736,000 class 1E-A2 exchangeable notes 'BBsf'; Outlook Stable; -- $281,736,000 class 1E-A3 exchangeable notes 'BBsf'; Outlook Stable; -- $281,736,000 class 1E-A4 exchangeable notes 'BBsf'; Outlook Stable; -- $281,736,000 class 1E-B1 exchangeable notes 'BB-sf'; Outlook Stable; -- $281,736,000 class 1E-B2 exchangeable notes 'BB-sf'; Outlook Stable; -- $281,736,000 class 1E-B3 exchangeable notes 'BB-sf'; Outlook Stable; -- $281,736,000 class 1E-B4 exchangeable notes 'BB-sf'; Outlook Stable; -- $290,274,000 class 1E-C1 exchangeable notes 'Bsf'; Outlook Stable; -- $290,274,000 class 1E-C2 exchangeable notes 'Bsf'; Outlook Stable; -- $290,274,000 class 1E-C3 exchangeable notes 'Bsf'; Outlook Stable; -- $290,274,000 class 1E-C4 exchangeable notes 'Bsf'; Outlook Stable; -- $563,472,000 class 1E-D1 exchangeable notes 'BB-sf'; Outlook Stable; -- $563,472,000 class 1E-D2 exchangeable notes 'BB-sf'; Outlook Stable; -- $563,472,000 class 1E-D3 exchangeable notes 'BB-sf'; Outlook Stable; -- $563,472,000 class 1E-D4 exchangeable notes 'BB-sf'; Outlook Stable; -- $563,472,000 class 1E-D5 exchangeable notes 'BB-sf'; Outlook Stable; -- $572,010,000 class 1E-F1 exchangeable notes 'Bsf'; Outlook Stable; -- $572,010,000 class 1E-F2 exchangeable notes 'Bsf'; Outlook Stable; -- $572,010,000 class 1E-F3 exchangeable notes 'Bsf'; Outlook Stable; -- $572,010,000 class 1E-F4 exchangeable notes 'Bsf'; Outlook Stable; -- $572,010,000 class 1E-F5 exchangeable notes 'Bsf'; Outlook Stable; -- $563,472,000 class 1-X1 notional exchangeable notes 'BB-sf'; Outlook Stable; -- $563,472,000 class 1-X2 notional exchangeable notes 'BB-sf'; Outlook Stable; -- $563,472,000 class 1-X3 notional exchangeable notes 'BB-sf'; Outlook Stable; -- $563,472,000 class 1-X4 notional exchangeable notes 'BB-sf'; Outlook Stable; -- $572,010,000 class 1-Y1 notional exchangeable notes 'Bsf'; Outlook Stable; -- $572,010,000 class 1-Y2 notional exchangeable notes 'Bsf'; Outlook Stable; -- $572,010,000 class 1-Y3 notional exchangeable notes 'Bsf'; Outlook Stable; -- $572,010,000 class 1-Y4 notional exchangeable notes 'Bsf'; Outlook Stable. The following classes will not be rated by Fitch: -- $43,136,761,759 class 1A-H reference tranche; -- $20,221,141 class 1M-1H reference tranche; -- $14,829,237 class 1M-AH reference tranche; -- $14,829,237 class 1M-BH reference tranche; -- $15,278,062 class 1M-CH reference tranche; -- $256,124,000 class 1B-1 notes; -- $13,480,761 class 1B-1H reference tranche; -- $224,670,634 class 1B-2H reference tranche. The notes are general senior unsecured obligations of Fannie Mae (AAA/Stable) subject to the credit and principal payment risk of the mortgage loan reference pools of certain residential mortgage loans held in various Fannie Mae-guaranteed MBS. The 'BBB-sf' rating for the 1M-1 notes reflects the 3.10% subordination provided by the 0.66% class 1M-2A, the 0.66% class 1M-2B, the 0.68% class 1M-2C, the 0.60% class 1B-1 and its corresponding reference tranche, as well as the 0.50% 1B-2H reference tranche. Connecticut Avenue Securities, series 2018-C01 (CAS 2018-C01) is Fannie Mae's 24th risk transfer transaction issued as part of the Federal Housing Finance Agency's Conservatorship Strategic Plan for 2013 to 2018 for each of the government sponsored enterprises (GSEs) to demonstrate the viability of multiple types of risk transfer transactions involving single-family mortgages. The CAS 2018-C01 transaction consists of 186,525 loans with loan-to-value (LTV) ratios greater than 60% and less than or equal to 80%. The notes are general senior unsecured obligations of Fannie Mae but are subject to the credit and principal payment risk of a pool of certain residential mortgage loans (reference pool) held in various Fannie Mae-guaranteed MBS. While the transaction structure simulates the behavior and credit risk of traditional RMBS mezzanine and subordinate securities, Fannie Mae will be responsible for making monthly payments of interest and principal to investors based on the payment priorities set forth in the transaction documents. Given the structure and counterparty dependence on Fannie Mae, Fitch's ratings on the 1M-1 and 1M-2 notes will be based on the lower of: the quality of the mortgage loan reference pool and credit enhancement (CE) available through subordination; or Fannie Mae's Issuer Default Rating (IDR). The notes will be issued as uncapped LIBOR-based floaters and carry a 12.5-year legal final maturity. This will be an actual loss risk transfer transaction in which losses borne by the noteholders will not be based on a fixed loss severity (LS) schedule. The notes in this transaction will experience losses realized at the time of liquidation or modification that will include both lost principal and delinquent or reduced interest. Under the Federal Housing Finance Regulatory Reform Act, the Federal Housing Finance Agency (FHFA) must place Fannie Mae into receivership if it determines that Fannie Mae's assets are less than its obligations for more than 60 days following the deadline of its SEC filing, as well as for other reasons. As receiver, FHFA could repudiate any contract entered into by Fannie Mae if it is determined that the termination of such contract would promote an orderly administration of Fannie Mae's affairs. Fitch believes that the U.S. government will continue to support Fannie Mae; this is reflected in Fitch current rating of Fannie Mae. However, if at some point, Fitch views the support as being reduced and receivership likely, Fannie Mae's ratings could be downgraded and the 1M-1, 1M-2A, 1M-2B, and 1M-2C notes' ratings affected. The 1M-1, 1M-2A, 1M-2B, 1M-2C and 1B-1 notes will be issued as LIBOR-based floaters. In the event that the one-month LIBOR rate falls below the applicable negative LIBOR trigger value described in the offering memorandum, the interest payment on the interest-only notes will be capped at the excess of (i) the interest amount payable on the related class of exchangeable notes for that payment date over (ii) the interest amount payable on the class of floating-rate related combinable and recombinable (RCR) notes included in the same combination for that payment date. If there are no floating-rate classes in the related exchange, then the interest payment on the interest-only notes will be capped at the aggregate of the interest amounts payable on the classes of RCR notes included in the same combination that were exchanged for the specified class of interest-only RCR notes for that payment date. KEY RATING DRIVERS High-Quality Mortgage Pool (Positive): The reference mortgage loan pool consists of high-quality mortgage loans acquired by Fannie Mae in second quarter 2017 (2Q17) and 3Q17. The reference pool will consist of loans with LTV ratios greater than 60% and less than or equal to 80%. Overall, the reference pool's collateral characteristics are similar to recent CAS transactions and reflect the strong credit profile of post-crisis mortgage originations. Clean Pay History for Loans in Disaster Areas (Positive): Fannie Mae will not be removing loans in counties designated as natural disaster areas by the Federal Emergency Management Agency (FEMA). However, any loans with a prior delinquency were removed from the reference pool, as per the Eligibility Criteria. Therefore, all loans in the reference pool in the disaster areas have had clean pay histories since the natural disaster events occurred. HomeReady Exposure (Negative): Approximately 1.6% of the reference pool was originated under Fannie Mae's HomeReady program, which targets low- to moderate-income homebuyers or buyers in high-cost or underrepresented communities, and provides flexibility for a borrower's LTV, income, down-payment and mortgage insurance coverage requirements. Fitch anticipates higher default risk for HomeReady loans due to measurable attributes (such as FICO, LTV and property value), which is reflected in increased CE. 12.5-Year Hard Maturity (Positive): The notes benefit from a 12.5-year legal final maturity. Thus, any credit or modification events on the reference pool that occur beyond year 12.5 are borne by Fannie Mae and do not affect the transaction. Fitch accounted for the 12.5-year hard maturity in its default analysis and applied a reduction to its lifetime default expectations. Limited Size and Scope of Third-Party Diligence (Neutral): Fitch received third-party due diligence on a loan production basis, as opposed to a transaction-specific review. Fitch believes that regular, periodic third-party reviews (TPRs) conducted on a loan production basis are sufficient for validating Fannie Mae's quality control processes. Fitch views the results of the due diligence review as consistent with its opinion of Fannie Mae as an above-average aggregator; as a result, no adjustments were made to Fitch's loss expectations based on due diligence. See the Third-Party Due Diligence section of this report for more details. Solid Alignment of Interests (Positive): While the transaction is designed to transfer credit risk to private investors, Fitch believes that it benefits from a solid alignment of interests. Fannie Mae will be retaining credit risk in the transaction by holding the 1A-H senior reference tranche, which has an initial loss protection of 4.00%, as well as the first loss 1B-2H reference tranche, sized at 0.50%. Fannie Mae is also retaining a vertical slice or interest of approximately 5% in each reference tranche (1M-1H, 1M-AH, 1M-BH, 1M-CH and 1B-1H). RATING SENSITIVITIES Fitch's analysis incorporates sensitivity analyses to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at both the metropolitan statistical area (MSA) and national levels. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or be considered in the surveillance of the transaction. This defined stress sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model projected sMVD. It indicates there is some potential rating migration with higher MVDs, compared with the model projection. Fitch also conducted defined rating sensitivities which determine the stresses to MVDs that would reduce a rating by one full category, to non-investment grade, and to 'CCCsf'. For example, additional MVDs of 12%, 12% and 36% would potentially reduce the 'BBBsf' rated class down one rating category, to non-investment grade, and to 'CCCsf', respectively. FIRST FRANKLIN 2005-FFH2: Moody's Hikes Cl. M3 Debt Rating to B1 ---------------------------------------------------------------- Moody's Investors Service has upgraded the rating of six tranches from three First Franklin subprime RMBS transactions. Complete rating actions are: Issuer: First Franklin Mortgage Loan Trust 2005-FF12 Cl. A-2B, Upgraded to Aaa (sf); previously on Aug 18, 2016 Upgraded to Aa2 (sf) Cl. A-2C, Upgraded to Aaa (sf); previously on Aug 18, 2016 Upgraded to Aa3 (sf) Cl. M-1, Upgraded to A3 (sf); previously on Aug 18, 2016 Upgraded to Ba1 (sf) Issuer: First Franklin Mortgage Loan Trust 2005-FFH2 Cl. M3, Upgraded to B1 (sf); previously on Oct 7, 2015 Upgraded to B3 (sf) Issuer: Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-H1 Cl. 1-A1, Upgraded to A1 (sf); previously on Apr 27, 2017 Upgraded to Baa1 (sf) Cl. 2-A1, Upgraded to Ba1 (sf); previously on Apr 27, 2017 Upgraded to B2 (sf) RATINGS RATIONALE The actions reflect the recent performance of the underlying pools and Moody's updated loss expectations on the pools. The upgrades are primarily due to the total available credit enhancement to the bonds. The rating actions for Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-H1 also reflect a correction to the cash-flow model previously used by Moody's in rating this transaction. In prior rating actions, the cash flow model did not allocate losses appropriately between certificate group one and certificate group two. Specifically, applied realized losses were allocated to certain seniors based on under collateralization of their related group rather than their group specific principal distribution percentage as noted in the pooling and servicing agreement of the transaction. This error has now been corrected, and rating actions reflect this change. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in January 2017. Factors that would lead to an upgrade or downgrade of the ratings: Ratings in the US RMBS sector remain exposed to macroeconomic uncertainty, and in particular the unemployment rate. The unemployment rate fell to 4.1% in December 2017 from 4.7% in December 2016. Moody's forecasts an unemployment central range of 3.5% to 4.5% for the 2018 year. Deviations from this central scenario could lead to rating actions in the sector. House prices are another key driver of US RMBS performance. Moody's expects house prices to continue to rise in 2018. 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. FLAGSHIP CREDIT 2018-1: S&P Gives Prelim. BB-(sf) Rating on E Notes ------------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Flagship Credit Auto Trust 2018-1's $200 million automobile receivables-backed notes. The note issuance is an asset-backed securities transaction backed by subprime auto loan receivables. The preliminary ratings are based on information as of Feb, 7, 2018. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The availability of approximately 47.5%, 40.0%, 30.9%, 24.3%, and 20.7% credit support (including excess spread) for the class A, B, C, D, and E notes, respectively, based on stressed cash flow scenarios. These credit support levels provide coverage of approximately 3.50x, 3.00x, 2.30x, 1.75x, and 1.40x S&P's 12.75%-13.25% expected cumulative net loss range for the class A, B, C, D, and E notes, respectively. These break-even scenarios cover total cumulative gross defaults (using a recovery assumption of 40%) of approximately 79%, 67%, 52%, 41%, and 34%, respectively. -- The timely interest and principal payments made under stressed cash flow modeling scenarios that are appropriate to the assigned ratings. -- S&P said, "The expectation that under a moderate ('BBB') stress scenario, all else being equal, our ratings on the class A and B notes would not be lowered by more than one rating category from our preliminary 'AAA (sf)' and 'AA (sf)' ratings throughout the transaction's life, and our ratings on the class C and D notes would not be lowered more than two rating categories from our preliminary 'A (sf)' and 'BBB (sf)' ratings. The rating on the class E notes would remain within two rating categories of our preliminary 'BB- (sf)' rating within the first year, but the class would eventually default under the 'BBB' stress scenario after receiving 42%-44% of its principal." The above rating movements are within the one-category rating tolerance for 'AAA' and 'AA' rated securities during the first year and three-category tolerance over three years; a two-category rating tolerance for 'A', 'BBB', and 'BB' rated securities during the first year; and a three-category tolerance for 'A' and 'BBB' rated securities over three years. The 'BB' rated securities are permitted to default under a 'BBB' stress scenario. -- The credit enhancement in the form of subordination, overcollateralization, a reserve account, and excess spread. -- The characteristics of the collateral pool being securitized. -- The transaction's payment and legal structures. PRELIMINARY RATINGS ASSIGNED Flagship Credit Auto Trust 2018-1 Class Rating Type Interest Amount rate(i) (mil. $) A AAA (sf) Senior Fixed 122.75 B AA (sf) Subordinate Fixed 22.50 C A (sf) Subordinate Fixed 24.56 D BBB (sf) Subordinate Fixed 18.42 E BB- (sf) Subordinate Fixed 11.77 (i) The actual coupons of these tranches will be determined on the pricing date. FLAGSTAR MORTGAGE 2018-1: Moody's Assigns (P)B2 Rating to B-5 Debt ------------------------------------------------------------------ Moody's Investors Service has assigned provisional ratings to 19 classes of residential mortgage-backed securities (RMBS) issued by Flagstar Mortgage Trust 2018-1 (FSMT 2018-1). The ratings range from (P)Aaa (sf) to (P)B2 (sf). The certificates are backed by a single pool of fixed rate non-agency jumbo mortgages (63.5% of the aggregate pool) and agency eligible high balance conforming residential fixed rate mortgages (36.5% of the aggregate pool), originated by Flagstar Bank, FSB, with an aggregate stated principal balance of $487,656,132. Flagstar Bank, FSB ("Flagstar") is the servicer of the pool, Wells Fargo Bank, N.A. ("Well Fargo") is the master servicer and Wilmington Trust N.A. will serve as the trustee. Servicing compensation in this transaction is based on a fee-for-service incentive structure similar to the Flagstar Mortgage Trust 2017-2 transaction. The fee-for-service incentive structure includes an initial monthly base servicing fee of $20.5 for all performing loans and increases according to certain delinquent and incentive fee schedules. The Class B-6-C (NR) is first in line to absorb any increase in servicing costs above the base servicing costs. Moreover, the transaction does not have a servicing fee cap. The complete rating actions are: Issuer: Flagstar Mortgage Trust 2018-1 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aa1 (sf) Cl. A-14, Assigned (P)Aa1 (sf) Cl. B-1, Assigned (P)A1 (sf) Cl. B-2, Assigned (P)A3 (sf) Cl. B-3, Assigned (P)Baa3 (sf) Cl. B-4, Assigned (P)Ba2 (sf) Cl. B-5, Assigned (P)B2 (sf) RATINGS RATIONALE Summary credit analysis We calculated losses on the pool using Moody's US Moody's Individual Loan Analysis (MILAN) model based on the loan-level collateral information as of the cut-off date. Loan-level adjustments to the model results included adjustments to probability of default for higher and lower borrower debt-to-income ratios (DTIs), for borrowers with multiple mortgaged properties, self-employed borrowers, and for the default risk of Homeownership association (HOA) properties in super lien states. Moody's final loss estimates also incorporate adjustments for originator assessments, third-party review (TPR) scope and results, and the financial strength of representation & warranty (R&W) provider. Moody's expected loss for this pool in a base case scenario is 0.40% and reaches 5.90% at a stress level consistent with Moody's Aaa (sf) scenario. Collateral description The FSMT 2018-1 transaction is a securitization of 754 first lien residential mortgage loans with an unpaid principal balance of $487,656,132. This transaction has approximately five months seasoned loans and strong borrower characteristics. The non-zero weighted-average primary-borrower original FICO score is 766 and the weighted-average original combined loan-to-value ratio (CLTV) is 67.4%. More than half of the borrowers have more than 24 months' liquid reserves. There are however a relatively high percentage of self-employed borrowers (31.5% by loan balance) in the aggregate pool. Flagstar Bank, FSB originated and will service the loans in the transaction. Moody's consider Flagstar an adequate originator and servicer of prime jumbo and conforming mortgages and Moody's loss estimates did not include an adjustment for origination or servicing arrangement quality. Third-party review and representation & warranties An independent TPR firm was engaged to conduct due diligence for the credit, regulatory compliance, property valuation, and data accuracy for a sample of 332 loans in this transaction. For the remaining 427 loans, the TPR firm was only engaged to conduct a regulatory compliance due diligence review (which did not include compliance with ATR/QM rules). In addition, a collateral desktop analysis (CDA) was performed by Clear Capital as a valuation check for all of the loans in the pool. The TPR results indicated adherence to the originators' underwriting guidelines for the vast majority of loans. Two loans were dropped from the securitization due to grade C/D findings related to failed ATR/QM testing. The TPR firm did not identify any loans with grade C or grade D compliance issues. One loan received a grade C property valuation due to a failure to adequately inspect the property following the recent wildfires. In addition, three of the loans that were not reviewed by the TPR firm had CDAs that were 10% less than their appraisal values. Moody's viewed the 332 loan sample size for the credit, property valuation and data integrity reviews as adequate. However, Moody's applied a TPR adjustment in Moody's analysis due to the grade C property valuation and to account for the risk that there may be other loans with grade C or grade D credit or property valuation issues in the non-sampled portion of the pool. Also, the adjustment is partly due to the risk that there may be loans with unidentified data integrity issues in the non-sampled portion of the pool. Flagstar Bank, FSB as the originator, makes the loan-level representation and warranties (R&Ws) for the mortgage loans. The loan-level R&Ws are strong and, in general, either meet or exceed the baseline set of credit-neutral R&Ws Moody's have identified for US RMBS. Further, R&W breaches are evaluated by an independent third party using a set of objective criteria. The transaction contains a "prescriptive" R&W framework in which the originator makes comprehensive loan-level R&Ws and an independent reviewer will perform detailed reviews to determine whether any R&Ws were breached when (1) loans become 120 days delinquent (2) the servicer stops advancing, (3) the loan is liquidated at a loss or (4) the loan becomes between 30 days and 120 days delinquent and is modified by the servicer. These reviews are prescriptive in that the transaction documents set forth detailed tests for each R&W that the independent reviewer will perform. Should the reviewer observe evidence of a breach of R&W during the regular course of performing a test(s), such evidence may be considered, provided the sponsor has the right to refute the claim or provide supporting documentation or evidence. Moody's did however make an adjustment to Moody's loss levels to incorporate the weaker financial strength of the R&W provider. Servicing arrangement We consider the overall servicing arrangement for this pool to be adequate. Servicing compensation for loans in this transaction is based on a fee-for-service incentive structure. The fee-for-service incentive structure includes an initial monthly base fee of $20.5 for all performing loans and increases according to certain delinquent and incentive fee schedules. By establishing a base servicing fee for performing loans that increases with the delinquency of loans, the fee-for-service structure aligns monetary incentives to the servicer with the costs of the servicer. The fee-for-service compensation is reasonable and adequate for this transaction. It also better aligns the servicer's costs with the deal's performance and structure. The Class B-6-C (NR) is first in line to absorb any increase in servicing costs above the base servicing costs. Delinquency and incentive fees will be deducted from the Class B-6-C interest payment amount first and could result in interest shortfall to the certificates depending on the magnitude of the delinquency and incentive fees. Trustee and master servicer The transaction trustee is Wilmington Trust, N.A. The custodian functions will be performed by Wells Fargo Bank, N.A. The paying agent and cash management functions will be performed by Wells Fargo Bank, N.A., rather than the trustee. In addition, Wells Fargo, as master servicer, is responsible for servicer oversight, and termination of servicers and for the appointment of successor servicers. In addition, Wells Fargo is obligated to make servicing advances if the servicer is unable to do so. Tail risk & subordination floor This deal has a shifting-interest structure, with a subordination floor to protect against losses that occur late in the life of the pool when relatively few loans remain (tail risk). When the total senior subordination is less than 1.1% of the original pool balance, the subordinate bonds do not receive any principal and all principal is then paid to the senior bonds. In addition, if the subordinate percentage drops below 6.0% of current pool balance, the senior distribution amount will include all principal collections and the subordinate principal distribution amount will be zero. The subordinate bonds themselves benefit from a floor. When the total current balance of a given subordinate tranche plus the aggregate balance of the subordinate tranches that are junior to it amount to less than 0.85% of the original pool balance, those tranches do not receive principal distributions. Principal those tranches would have received are directed to pay more senior subordinate bonds pro-rata. Based on an analysis of scenarios where the largest five to 10 loans in the pool default late in the life of the transaction, Moody's viewed the 1.1% senior floor as slightly credit negative, but not sufficiently so to merit an adjustment. Moody's viewed the 0.85% subordination floor as sufficiently credit negative to merit an adjustment in Moody's rating analysis for the B-1, B-2 and B-3 tranches. As such, Moody's incorporated some additional sensitivity runs in Moody's cashflow analysis in which Moody's increased the losses to assess the potential impact to the bonds. Transaction structure The securitization has a shifting interest structure that benefits from a senior subordination floor and a subordinate floor. Funds collected, including principal, are first used to make interest payments and then principal payments to the senior bonds, and then interest and principal payments to each subordinate bond. As in all transactions with shifting interest structures, the senior bonds benefit from a cash flow waterfall that allocates all prepayments to the senior bond for a specified period of time, and increasing amounts of prepayments to the subordinate bonds thereafter, but only if loan performance satisfies delinquency and loss tests. The senior support NAS certificates (Class A-14) will only receive their pro-rata share of scheduled principal payments allocated to the senior bonds for five years, whereas all prepayments allocated to the senior bonds will be paid to the super senior certificates, leading to a faster buildup of super senior credit enhancement. After year five, the senior support NAS bond will receive an increasing share of prepayments in accordance with the shifting percentage schedule. On or prior to the accretion termination date (the earlier of (1) the distribution date on which Class A-10 has been reduced to zero and (2) the distribution date where the aggregate balance of subordinate certificates has been reduced to zero), the accretion-directed certificate (Class A-10) will be entitled to receive as monthly principal distribution the accrued interest that would otherwise be distributable to the accrual certificate (Class A-12). All certificates (except Class B-6-C) in this transaction are subject to a net WAC cap. Class B-6-C will accrue interest at the net WAC minus the aggregate delinquent servicing and aggregate incentive servicing fee. For any distribution date, the net WAC will be the greater of (1) zero and (2) the weighted average net mortgage rates minus the capped trust expense rate. Realized losses are allocated reverse sequentially among the subordinate and senior support certificates and on a pro-rata basis among the super senior certificates. Exposure to extraordinary expenses Certain extraordinary trust expenses (such as fees paid to the reviewer, servicing transfer costs) in the FSMT 2018-1 transaction are deducted directly from the available distribution amount. The remaining trust expenses (which have an annual cap of $300,000 per year) are deducted from the net WAC. Moody's believe there is a very low likelihood that the rated certificates in FSMT 2018-1 will incur any losses from extraordinary expenses or indemnification payments from potential future lawsuits against key deal parties. First, the loans are prime quality, 100 percent qualified mortgages and were originated under a regulatory environment that requires tighter controls for originations than pre-crisis, which reduces the likelihood that the loans have defects that could form the basis of a lawsuit. Second, the transaction has reasonably well defined processes in place to identify loans with defects on an ongoing basis. In this transaction, an independent breach reviewer (Inglet Blair, LLC), named at closing must review loans for breaches of representations and warranties when certain clear defined triggers have been breached, which reduces the likelihood that parties will be sued for inaction. Furthermore, the issuer has disclosed the results of a compliance review covering all of the mortgage loans and the results of a credit and valuation review covering a sample of the mortgage loans by an independent third party (Clayton Services LLC). The principal methodology used in these ratings was "Moody's Approach to Rating US Prime RMBS" published in February 2015. Factors that would lead to an upgrade or downgrade of the ratings: Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. FREDDIE MAC 2017-HRP1: Fitch Corrects Dec. 13 Release ----------------------------------------------------- Fitch Ratings has issued a correction to the ratings release on Freddie Mac's STACR 2017-HRP1 published on Dec. 13, 2017, which includes variations from Fitch's criteria that were omitted from the original release. The revised release is as follows: Fitch Ratings has assigned ratings to Freddie Mac's risk-transfer transaction, Structured Agency Credit Risk Debt Notes Series 2017-HRP1 (STACR 2017-HRP1): -- $40,000,000 class M-2A notes 'BBsf'; Outlook Stable; -- $40,000,000 class M-2AR exchangeable notes 'BBsf'; Outlook Stable; -- $40,000,000 class M-2AS exchangeable notes 'BBsf'; Outlook Stable; -- $40,000,000 class M-2AT exchangeable notes 'BBsf'; Outlook Stable; -- $40,000,000 class M-2AU exchangeable notes 'BBsf'; Outlook Stable; -- $10,000,000 class M-2AD notes 'BBsf'; Outlook Stable; -- $40,000,000 class M-2AI notional exchangeable notes 'BBsf'; Outlook Stable; -- $40,000,000 class M-2B notes 'Bsf'; Outlook Stable; -- $40,000,000 class M-2BR exchangeable notes 'Bsf'; Outlook Stable; -- $40,000,000 class M-2BS exchangeable notes 'Bsf'; Outlook Stable; -- $40,000,000 class M-2BT exchangeable notes 'Bsf'; Outlook Stable; -- $40,000,000 class M-2BU exchangeable notes 'Bsf'; Outlook Stable; -- $10,000,000 class M-2BD notes 'Bsf'; Outlook Stable; -- $40,000,000 class M-2BI notional exchangeable notes 'Bsf'; Outlook Stable; -- $80,000,000 class M-2 exchangeable notes 'Bsf'; Outlook Stable; -- $80,000,000 class M-2R exchangeable notes 'Bsf'; Outlook Stable; -- $80,000,000 class M-2S exchangeable notes 'Bsf'; Outlook Stable; -- $80,000,000 class M-2T exchangeable notes 'Bsf'; Outlook Stable; -- $80,000,000 class M-2U exchangeable notes 'Bsf'; Outlook Stable; -- $20,000,000 class M-2D exchangeable notes 'Bsf'; Outlook Stable; -- $80,000,000 class M-2I notional exchangeable notes 'Bsf'; Outlook Stable. The following classes will not be rated by Fitch: -- $14,367,271,225 class A-H reference tranche; -- $112,831,973 class M-1H reference tranche; -- $119,247,960 class M-2AH reference tranche; -- $119,247,959 class M-2BH reference tranche; -- $75,000,000 class B-1 exchangeable notes; -- $75,000,000 class B-1D notes; -- $75,000,000 class B-1I notional notes; -- $37,831,973 class B-1H reference tranche; -- $25,000,000 class B-2D notes; -- $87,831,973 class B-2H reference tranche. The 'BBsf' rating for the M-2A (M-2A & M-2AD) notes reflects the 2.62% subordination provided by the 1.12% class M-2B (M-2B & M-2BD) notes, the 0.75% class B-1D notes, the 0.75% class B-2D notes and their corresponding reference tranches. The 'Bsf' rating for the M-2B notes reflects the 1.50% subordination provided by the 0.75% class B-1D notes, the 0.75% class B-2D notes and their corresponding reference tranches. The notes are general unsecured obligations of Freddie Mac (AAA/Stable) subject to the credit and principal payment risk of a pool of certain residential mortgage loans held in various Freddie Mac-guaranteed MBS. This is the first transaction issued by Freddie Mac through its STACR shelf backed by loans originated through Freddie Mac's Relief Refinance Program (RRP). The objective of the transaction is to transfer credit risk from Freddie Mac to private investors with respect to a $15.04 billion pool of mortgage loans currently held guaranteed by Freddie Mac where principal repayment of the notes is subject to the performance of a reference pool of mortgage loans. As loans liquidate or other credit events occur, the outstanding principal balance of the debt notes will be reduced by the actual loan's loss severity percentage related to those credit events, which includes borrower's delinquent interest. While the transaction structure simulates the behavior and credit risk of traditional RMBS senior-subordinate securities, Freddie Mac will be responsible for making monthly payments of interest and principal to investors. Because of the counterparty dependence on Freddie Mac, Fitch's expected rating on the M-2A and M-2B notes will be based on the lower of: the quality of the mortgage loan reference pool and credit enhancement (CE) available through subordination, and Freddie Mac's Issuer Default Rating. The M-2A, M-2B, B-1D, B-1I and B-2D notes will be issued as LIBOR-based floaters. In the event that the one-month LIBOR rate falls below zero and becomes negative, the coupons of the interest-only modifications and combinations (MAC) notes may be subject to a downward adjustment, so that the aggregate interest payable within the related MAC combination does not exceed the interest payable to the notes for which such classes were exchanged. The notes will carry a 25-year legal final maturity. KEY RATING DRIVERS Seasoned Performing Loans (Positive): The reference pool consists of 82,552 fixed-rate, fully amortizing loans with terms of 241-360 months, totaling $15.04 billion, acquired by Freddie Mac between April 1, 2009 and Dec. 31, 2011. The pool is seasoned over seven years with a weighted average (WA), non-zero, updated credit score of 741. Roughly 95% of the pool has been current for the prior 36 months with only 3.2% experiencing a delinquency from 7-24 months prior, and 2.1% from over 24 months ago. Positive Borrower Selection (Positive): The borrowers in the reference pool have weathered a severe economic stress with minimal delinquencies, showing a strong willingness and ability to pay. Loans were originated under Freddie Mac's RRP (including the Home Affordable Refinance Program [HARP], which is FHFA's name for Freddie Mac's RRP for mortgages with a loan-to-value [LTV] greater than 80%). Through the refinance programs, the borrowers have continued to perform on their mortgages as rising home prices have rebuilt equity in their homes. The current mark-to-market (MtM) combined loan-to-value (CLTV) ratio has improved to 82% from 98% at the time of the relief refinance loan. Servicing Defect Removals (Positive): Similar to the STACR DNA and HQA transactions, this transaction will include provisions where the loan will be removed from the reference pool if the servicer does not materially comply with Freddie Mac's servicer guide. Relative to an unseasoned pool, Fitch places less emphasis on the risk of manufacturing defects with this pool, and greater emphasis on the servicer's ability to maintain its right to foreclose on the property. Mortgage Insurance Guaranteed by Freddie Mac (Positive): 14.4% of the loans are covered either by borrower-paid mortgage insurance (BPMI) or lender-paid MI (LPMI). Freddie Mac will guarantee the MI coverage amount. While the Freddie Mac guarantee allows for credit to be given to MI, Fitch applied a haircut to the amount of BPMI available due to the automatic termination provision as required by the Homeowners Protection Act, when the loan balance is first scheduled to reach 78%. LPMI does not automatically terminate and remains for the life of the loan. Recent Natural Disaster Loans Excluded (Positive): Freddie Mac has decided not to produce property values through its Home Value Explorer (HVE) tool for properties located in FEMA major disaster areas, with the exception of Orange County, CA, until more information is obtained relating to the status of these properties following the disasters. As a result, loans located in these FEMA-designated disaster areas were not included in the reference pool due to their not meeting the ELTV eligibility. Loans for properties located in Orange County were included because Freddie Mac requires borrowers in Orange County to have hazard insurance that covers fire. Advantageous Payment Priority (Positive): The M-2 classes benefit from the sequential-pay structure and stable CE provided by the more junior B-1D and B-2D classes, which are locked out from receiving any principal until classes with a more senior payment priority are paid in full. Solid Alignment of Interests (Positive): While the transaction is designed to transfer credit risk to private investors, Fitch believes the transaction benefits from solid alignment of interests. Freddie Mac will retain credit risk in the transaction by holding the A-H and the M-1H reference tranche. Freddie Mac will also retain a minimum of 5% of the M-2A, M-2B and B-1D tranches, and a minimum of 50% of the B-2D tranche. CRITERIA APPLICATION Fitch's analysis incorporated five criteria variation from "U.S. RMBS Seasoned, Re-Performing and Non-Performing Loan Rating Criteria," and one criteria variation from "U.S. RMBS Loan Loss Model Criteria," which are described below. The first variation to the "U.S. RMBS Seasoned, Re-Performing and Non-Performing Loan Criteria" is that a review of the loan-level pay history provided by Freddie Mac was not conducted by a third-party reviewer. Fitch considered this as a non-material variation since Fitch view Freddie Mac's servicer oversight process as robust with sufficient controls in place to assure the accuracy of the pay histories provided. An updated tax and title review was not conducted, resulting in the second variation. Fitch views this variation as non-material since the servicer provides a rep and warranty that the servicer will maintain clear title to the loans, per Freddie Mac's servicing guide. If the servicer is found to be in violation of the servicing guidelines, it would be considered a servicing defect and the loans would be removed from the pool. The third criteria variation is due to the custodial exception report not being provided. Per Freddie Mac's servicer guide, the servicer must maintain the mortgage file and adhere to the Document Custodian Procedures Handbook. If not, Freddie Mac can request the loan be repurchased. As a result, Fitch views this variation as non-material. The fourth variation is treating each loan as its original pre-RRP loan purpose instead of as a new refinance loan. While these loans are technically new refinance loans, the loan is essentially a rate and term modification. RRP was initiated to help performing borrowers with mortgages greater than their property value take advantage of the lower interest rate environment. Treating the pool as 100% refinance loans would have resulted in higher loss levels compared to treating the loans as 100% modified and using its original loan purpose. This is counterintuitive given the clean performance history and strong credit quality of these borrowers. The application of this treatment had an impact of approximately 25bps benefit at the 'BBsf' level. The last variation to the "U.S. RMBS Seasoned, Re-Performing and Non-Performing Loan Criteria" is the use of pre-RRP DTI instead of assuming 45% for missing post-RRP DTI. As noted above, although these loans are technically new refinance loans originated under RRP, in substance, they are rate and term modifications. One of the conditions for RRP is that the borrowers have to be refinanced into a loan with better terms than their original mortgage. As such, pre RRP DTIs were used instead of applying the default DTI of 45% for missing post-RRP DTIs. Since the RPL criteria default DTI of 45% for missing DTIs is higher than the average pre-RRP DTI of 39%, applying criteria cannot be supported given the program's mandate. This had an impact of roughly 30bps benefit at the 'BBsf' level. The one criteria variation to "U.S. RMBS Loan Loss Model Criteria" is the application of Freddie Mac's aggregator credit for acquisitions in 2013 and thereafter. While the loans in the pool were acquired by Freddie Mac between 2009 and 2011, Freddie Mac incorporated additional QC sampling in 2011 for RRP loans. Based on the QC scope in place for RRP loans between 2009 and 2011, only three loans were noted to have compliance issues. Given the additional risk controls Freddie Mac implemented for the RRP loans, evidenced by the minimal QC findings and strong historical performance, the acquisition process was treated in line with post-2012 Freddie Mac acquisitions. RATING SENSITIVITIES Fitch's analysis incorporates sensitivity analyses to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at both the MSA and national levels. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or be considered in the surveillance of the transaction. This defined stress sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model projected 17.1% at the 'BBsf' level, and 12.3% at the 'Bsf' level. The analysis indicates that there is some potential rating migration with higher MVDs, compared with the model projection. GALTON FUNDING 2018-1: Fitch Assigns 'Bsf' Rating to Cl. B5 Certs ----------------------------------------------------------------- Fitch Ratings rates Galton Funding Mortgage Trust 2018-1 (GFMT 2018-1): -- $282,834,000 class A11 exchangeable certificates 'AA+sf'; Outlook Stable; -- $282,834,000 class AX11 notional exchangeable certificates 'AA+sf'; Outlook Stable; -- $282,834,000 class A12 exchangeable certificates 'AA+sf'; Outlook Stable; -- $282,834,000 class AX12 notional exchangeable certificates 'AA+sf'; Outlook Stable; -- $282,834,000 class A13 exchangeable certificates 'AA+sf'; Outlook Stable; -- $282,834,000 class AX13 notional exchangeable certificates 'AA+sf'; Outlook Stable; -- $253,521,000 class A21 exchangeable certificates 'AAAsf'; Outlook Stable; -- $253,521,000 class AX21 notional exchangeable certificates 'AAAsf'; Outlook Stable; -- $253,521,000 class A22 exchangeable certificates 'AAAsf'; Outlook Stable; -- $253,521,000 class AX22 notional exchangeable certificates 'AAAsf'; Outlook Stable; -- $253,521,000 class A23 exchangeable certificates 'AAAsf'; Outlook Stable; -- $253,521,000 class AX23 notional exchangeable certificates 'AAAsf'; Outlook Stable; -- $29,313,000 class A31 exchangeable certificates 'AA+sf'; Outlook Stable; -- $29,313,000 class AX31 notional certificates 'AA+sf'; Outlook Stable; -- $29,313,000 class A32 exchangeable certificates 'AA+sf'; Outlook Stable; -- $29,313,000 class AX32 notional certificates 'AA+sf'; Outlook Stable; -- $29,313,000 class A33 certificates 'AA+sf'; Outlook Stable; -- $29,313,000 class AX33 notional certificates 'AA+sf'; Outlook Stable; -- $202,816,000 class A41 exchangeable certificates 'AAAsf'; Outlook Stable; -- $202,816,000 class AX41 notional certificates 'AAAsf'; Outlook Stable; -- $202,816,000 class A42 exchangeable certificates 'AAAsf'; Outlook Stable; -- $202,816,000 class AX42 notional certificates 'AAAsf'; Outlook Stable; -- $202,816,000 class A43 certificates 'AAAsf'; Outlook Stable; -- $202,816,000 class AX43 notional certificates 'AAAsf'; Outlook Stable; -- $50,705,000 class A51 exchangeable certificates 'AAAsf'; Outlook Stable; -- $50,705,000 class AX51 notional exchangeable certificates 'AAAsf'; Outlook Stable; -- $50,705,000 class A52 exchangeable certificates 'AAAsf'; Outlook Stable; -- $50,705,000 class AX52 notional exchangeable certificates 'AAAsf'; Outlook Stable; -- $50,705,000 class A53 exchangeable certificates 'AAAsf'; Outlook Stable; -- $50,705,000 class AX53 notional exchangeable certificates 'AAAsf'; Outlook Stable; -- $38,028,000 class A61 exchangeable certificates 'AAAsf'; Outlook Stable; -- $38,028,000 class AX61 notional certificates 'AAAsf'; Outlook Stable; -- $38,028,000 class A62 exchangeable certificates 'AAAsf'; Outlook Stable; -- $38,028,000 class AX62 notional certificates 'AAAsf'; Outlook Stable; -- $38,028,000 class A63 certificates 'AAAsf'; Outlook Stable; -- $38,028,000 class AX63 notional certificates 'AAAsf'; Outlook Stable; -- $12,677,000 class A71 exchangeable certificates 'AAAsf'; Outlook Stable; -- $12,677,000 class AX71 notional certificates 'AAAsf'; Outlook Stable; -- $12,677,000 class A72 exchangeable certificates 'AAAsf'; Outlook Stable; -- $12,677,000 class AX72 notional certificates 'AAAsf'; Outlook Stable; -- $12,677,000 class A73 certificates 'AAAsf'; Outlook Stable; -- $12,677,000 class AX73 notional certificates 'AAAsf'; Outlook Stable; -- $282,834,000 class AX notional exchangeable certificates 'AA+sf'; Outlook Stable; -- $9,823,000 class B1 certificates 'AA-sf'; Outlook Stable; -- $9,823,000 class BX1 notional certificates 'AA-sf'; Outlook Stable; -- $7,130,000 class B2 certificates 'A-sf'; Outlook Stable; -- $7,130,000 class BX2 notional certificates 'A-sf'; Outlook Stable; -- $7,288,000 class B3 certificates 'BBB-sf'; Outlook Stable; -- $7,288,000 class BX3 notional certificates 'BBB-sf'; Outlook Stable; -- $4,436,000 class B4 certificates 'BBsf'; Outlook Stable; -- $2,535,000 class B5 certificates 'Bsf'; Outlook Stable; Fitch did not rate the following certificate: -- $2,855,648 class B6 certificates. KEY RATING DRIVERS High-Quality Mortgage Pool (Positive): The pool consists of 30-year fixed-rate and adjustable-rate fully amortizing loans to borrowers with strong credit profiles, relatively low leverage and large liquid reserves. The loans are seasoned an average of eight months. The pool has a weighted average (WA) original FICO score of 754, high average balance of $749,000 and a low sustainable loan-to-value (sLTV) ratio of 69.7%. However, the pool also contains a meaningful amount of investor properties (27%), non-qualified mortgage (non-QM) or higher-priced qualified mortgage (HPQM) loans (50%), interest-only (IO) loans (23%) and non-full documentation loans (12%). Fitch's loss expectations reflect the higher default risk associated with these attributes as well as loss severity adjustments for potential ability-to-repay (ATR) challenges. Galton as Aggregator (Neutral): Galton Capital (Galton) is a residential mortgage team within Mariner Investment Group, LLC (MIG), an SEC registered investment adviser formed in 1992. Founded in 2007, Galton's initial investments were focused in RMBS. Galton began acquiring loans in 2015 and issued its first RMBS transaction in 2017. Fitch conducted a full review of Galton's aggregation processes and believes that Galton meets industry standards needed to aggregate mortgages for RMBS. In addition to the satisfactory operational assessment, a due diligence review was completed on 100% of the pool. High California Concentration (Negative): Approximately 78% of the pool is located in California, which is significantly higher than recent Fitch-rated transactions. In addition, the metropolitan statistical area (MSA) concentration is high, as the top three MSAs account for 56.5% of the pool. The largest MSA concentration is in the Los Angeles MSA (27.1%) followed by the San Francisco MSA (21.2%) and the San Diego MSA (8.2%). As a result, a geographic concentration penalty of 1.13 was applied. Tier 3 Representation and Warranty Framework (Negative): Fitch considers the transaction's representation, warranty and enforcement (RW&E) mechanism framework to be consistent with Tier 3 quality. As a result of the Tier 3 RW&E framework and the unrated counterparty supporting the repurchase obligations of the RW&E providers, the pool received a PD penalty of 234 basis points at the 'AAAsf' level (addressed in further detail in the presale report). Third-Party Due Diligence Results (Mixed): A loan-level due diligence review was conducted on 100% of the pool in accordance with Fitch's criteria and focused on credit, compliance and property valuation. 25% of the loans received an 'A' grade, and the remainders were graded 'B' (70%) and 'C' (4%). A majority of the loans that were graded 'B' and 'C' were related to TRID issues that were corrected with subsequent or post-close documentation. 17 loans received an increase to loss severity (LS) expectations due to TRID-related errors. Servicing Advancing (Neutral): The servicing administrator (Galton Mortgage Loan Seller LLC) is obligated to make advances of delinquent principal and interest on mortgage loans for the first 120 days of delinquency (at which point they become stop-advance mortgage loans) to the extent such advances are deemed recoverable, and Mr. Cooper, formerly known as Nationstar Mortgage LLC, (as master servicer) will make required advances not paid by the servicing administrator. In the event that both the servicing administrator and master servicer fail to make required advances, the securities administrator, Citibank, N.A. (rated A+/F1) will be required to advance. Straightforward Deal Structure (Positive): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the deal. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. CE Floor (Positive): To mitigate tail risk, which arises as the pool seasons and fewer loans are outstanding, a subordination floor of 2.50% of the original balance will be maintained for the certificates. Additionally, there is no early stepdown test that might allow principal prepayments to subordinate bondholders earlier than the five-year lockout schedule. Extraordinary Expense Treatment (Neutral): The trust provides for expenses, including indemnification amounts and costs of arbitration, to be paid by the net WA coupon of the loans, which does not affect the contractual interest due on the certificates. Furthermore, the expenses to be paid from the trust are capped at $275,000 per annum, which can be carried over each year, subject to the cap until paid in full. Expenses associated with engaging and compensating a breach reviewer will be subject to an annual cap of $100,000, unless any expenses in excess of the $100,000 cap are approved by 25% or more of the aggregate voting interests of the certificates. Recent Natural Disasters (Neutral): Approximately 71% of the loans are located in areas that the Federal Emergency Management Agency (FEMA) has designated for federal assistance during the past 12 months, related to Hurricane Harvey, Hurricane Irma and the California Wildfires. For all loans in the pool located in such areas, either (i) the loan was originated after the disaster date, (ii) the borrower made at least three payments following the disaster date, (iii) the borrower was contacted and confirmed that there was no material property damage, or (iv) an inspection was ordered and no material damage was visible. RATING SENSITIVITIES Fitch's analysis incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or may be considered in the surveillance of the transaction. Three sets of sensitivity analyses were conducted at the state and national levels to assess the effect of higher MVDs for the subject pool. This defined stress sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model-projected 7.6%. The analysis indicates that there is some potential rating migration with higher MVDs, compared with the model projection. Fitch also conducted sensitivities to determine the stresses to MVDs that would reduce a rating by one full category, to non-investment grade, and to 'CCCsf'. GE COMMERCIAL 2005-C2: Fitch Hikes Rating on Cl. J Certs to 'BBsf' ------------------------------------------------------------------ Fitch Ratings has upgraded one and affirmed three classes of GE Commercial Mortgage Corporation (GECMC) commercial mortgage pass-through certificates series 2005-C2. KEY RATING DRIVERS High Credit Enhancement: The upgrade reflects the increased credit enhancement from the liquidation and full recovery of a $21 million real estate owned (REO) office asset which resulted in significantly better recoveries than previously expected. In addition, the remaining performing loan continues to perform. Class J is reliant on proceeds through amortization of the performing loan to pay in full. Class J Capped: Due to the concentrated nature of the pool, Fitch performed a sensitivity analysis which assumed stressed values on the remaining performing loan and the REO asset. Based on this analysis, the rating of class J is capped at 'BBsf' based on Fitch's stressed value assumptions. The performing loan's credit qualities are perceived to be consistent with a 'BBsf' rating given the tertiary location and collateral quality. Concentrated Pool: The pool is highly concentrated with only two of the original 142 loans remaining. One loan (67.8% of the pool) is in special servicing. The second loan (32.4%) is secured by a retail property in a secondary market. The specially serviced loan, Salisbury Barnes and Noble (67.8%) is a 44,264 square foot neighborhood retail center in Salisbury, MD. The loan transferred to special servicing in May 2015 for balloon maturity default after the borrower was unable to refinance the loan due to occupancy declines. The asset became REO in April 2016. The property's occupancy has improved slightly from 71% in December 2015 to 79% as of December 2017. Per the most recent servicer reporting, the property is not yet being marketed for sale. The performing loan, Su Casa (32.4%), is secured by a 75,005 square foot grocery anchored, neighborhood retail center in Phoenix, AZ. The property is 100% occupied as of December 2017. The loan is fully amortizing with a May 2025 maturity. Disposition: Since Fitch's last rating action, the pool has benefited from the disposition of the former largest loan in the transaction, the Chatsworth Business Park, $21 million. The loan was liquidated in June 2017 and did not incur any realized losses. As of the January 2018 remittance report, the pool has been reduced by 99.4% to $11.2 million from $1.8 billion at issuance. Fitch modelled 3.06% in losses out of the original pool balance including $53.1 million (2.85%) incurred. Cumulative interest shortfalls in the amount of $3.2 million are currently affecting classes K through M and classes P and Q. RATING SENSITIVITIES The Stable Outlook on class J reflects sufficient credit enhancement to the classes relative to expected losses. Future upgrades are not likely. Downgrades are possible if pool performance deteriorates. Fitch has upgraded and assigned a Rating Outlook to the following class: -- $1.3 million class J to 'BBsf' from 'Csf'; Outlook Stable assigned. Fitch has affirmed the following classes: -- $9.3 million class K at 'Dsf'; revised RE to 60% from 0%; -- $515,884 class L at 'Dsf'; RE 0%; -- $0 class M at 'Dsf'; RE 0%. The class A-1, A-2, A-3, A-AB, A-4, A-1A, A-J, B, C, D, E, F, G and H certificates have paid in full. Fitch does not rate the class N, O, P and Q certificates. Fitch previously withdrew the ratings on the interest-only class X-C and X-P certificates. GLS AUTO 2018-1: S&P Assigns BB(sf) Rating on Class C Notes ----------------------------------------------------------- S&P Global Ratings assigned its ratings to GLS Auto Receivables Trust 2018-1's $266.45 million automobile receivables-backed notes series 2018-1. The note issuance is an asset-backed securities transaction backed by subprime auto loan receivables. The ratings reflect: -- The availability of approximately 42.1%, 33.8%, and 28.6% of credit support (as of pricing) for the class A, B, and C notes, respectively, based on stressed cash flow scenarios (including excess spread). These credit support levels provide coverage of approximately 1.90x, 1.50x, and 1.25x our 21.00%-22.00% expected cumulative net loss for the class A, B, and C notes, respectively. -- S&P said, "The expectation that under a moderate ('BBB') stress scenario (1.50x our expected loss level), all else being equal, our rating on the class A notes will remain within one rating category of the assigned 'A (sf)' rating, and our rating on the class B notes will remain within two rating categories of the assigned 'BBB (sf)' rating. The class C notes will remain within two rating categories of the assigned 'BB (sf)' rating during the first year but will eventually default under the 'BBB' stress scenario. These rating movements are within the limits specified by our credit stability criteria." -- S&P's analysis of over four years of origination static pool data and performance data on Global Lending Services' three Rule 144A securitizations. -- The collateral characteristics of the subprime automobile loans securitized in this transaction, including the representations in the transaction documents that all contracts in the pool have made a least one payment. -- The notes' underlying credit enhancement in the form of subordination, overcollateralization, a reserve account, and excess spread for the class A, B, and C notes. -- The timely interest and principal payments made to the notes under S&P's stressed cash flow modeling scenarios, which it believes are appropriate for the assigned ratings. RATINGS ASSIGNED GLS Auto Receivables Trust 2018-1 Class Rating Type Interest Amount rate(i) (mil. $) A A (sf) Senior Fixed 206.91 B BBB (sf) Subordinate Fixed 34.98 C BB (sf) Subordinate Fixed 24.56 HAMPTON ROADS 2007A: Fitch Affirms B+ Rating on Class III Bonds --------------------------------------------------------------- Fitch Ratings has affirmed the following classes of Hampton Roads PPV, LLC (VA) military housing taxable revenue bonds (Hampton Roads Unaccompanied Project), 2007 series A: -- Approximately $210 million class I bonds at 'A-'; -- Approximately $58 million class II bonds at 'BB'; -- Approximately $9 million class III bonds at 'B+'. The Rating Outlook is Stable on all bonds. SECURITY The bonds are special limited obligations of the issuer and are primarily secured by a first lien on all receipts from the operation of the unaccompanied housing project known as Hampton Roads, located at Norfolk Naval Complex. The absence of a cash-funded reserve fund limits protections afforded bondholders. KEY RATING DRIVERS IMPROVED DEBT SERVICE COVERAGE: The affirmation of the ratings reflect sufficient debt service coverage ratios (DSCRs) in 2017 of 1.72x, 1.33x, and 1.27x for the class I, class II, and class III bonds, respectively. The Stable Outlook reflects expectations of maintained DSCRs moving forward as a result of managing elevated operating expenses from maintenance and repairs and fluctuations in operating revenues from future Basic Allowance for Housing (BAH) rates. VOLATILE BAH RATES: Following two consecutive years of BAH increases of at least 8%, BAH rates increased by approximately 3% in 2018 for the project. Volatility in BAH rates remains an ongoing credit concern and can be evidenced by its five-year BAH history: a 2.1% decrease (2017), 8.44% increase (2016), 8.91% increase (2015), 5.77% decrease (2014), and 5.25% increase (2013). SOLID OCCUPANCY: Despite a large deployment in April 2016 which temporarily lowered occupancy to between 85% in 2016 and 90% at the start of 2017, the project maintained an average occupancy rate of 94.6% for 2017. Additionally, the project currently has a 95% occupancy level. HIGH TURNOVER LEVELS: The project continues to experience high turnover levels as a result of deployments, which continues to put negative pressure on project operations. ABSENCE OF CASH RESERVE: The absence of a cash-funded debt service reserve fund detracts from bondholder security for all classes of bonds; however, the class III bonds are the most vulnerable. RATING SENSITIVITIES BAH CHANGES: Any future decreases or increases in BAH would put negative or positive pressure on the ratings, respectively. JP MORGAN 2002-CIBC5: Moody's Affirms C(sf) Ratings on 2 Tranches ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on two classes and affirmed the ratings on three classes in J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2002-CIBC5, Commercial Mortgage Pass-Through Certificates, Series 2002-CIBC5 as follows: Cl. J, Affirmed Aaa (sf); previously on Feb 2, 2017 Upgraded to Aaa (sf) Cl. K, Upgraded to Aa2 (sf); previously on Feb 2, 2017 Upgraded to A1 (sf) Cl. L, Upgraded to Baa3 (sf); previously on Feb 2, 2017 Upgraded to Ba2 (sf) Cl. M, Affirmed C (sf); previously on Feb 2, 2017 Affirmed C (sf) Cl. X-1, Affirmed C (sf); previously on Jun 9, 2017 Downgraded to C (sf) RATINGS RATIONALE The rating on one P&I class (Class J) was affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The ratings on two P&I classes (Classes K and L) were upgraded primarily due to an increase in credit support since Moody's last review, resulting from amortization. The pool has paid down by 20% since Moody's last review. The rating on one P&I class (Class M) was affirmed because the ratings are consistent with Moody's expected loss. The rating on the IO Class (Class X-1) was affirmed based on the credit quality of the referenced classes. Moody's does not anticipate losses from the remaining collateral in the current environment. However, over the remaining life of the transaction, losses may emerge from macro stresses to the environment and changes in collateral performance. Moody's ratings reflect the potential for future losses under varying levels of stress. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. The methodologies used in rating Cl. X-1 were "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017 and "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. DEAL PERFORMANCE As of the January 12, 2018 distribution date, the transaction's aggregate certificate balance has decreased by 98% to $20.9 million from $1.0 billion at securitization. The certificates are collateralized by eight mortgage loans ranging in size from 1.6% to 44.4% of the pool. Three loans, constituting 47.2% of the pool, have defeased and are secured by US government securities. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of one, the same as at Moody's last review. Eight loans have been liquidated from the pool, resulting in an aggregate realized loss of $24 million (for an average loss severity of 45%). Moody's received full year 2016 operating results for 100% of the pool, and full or partial year 2017 operating results for 96% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 36%, compared to 42% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 29% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.4%. Moody's actual and stressed conduit DSCRs are 0.99X and 2.93X, respectively, compared to 1.01X and 2.48X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The top three conduit loans represent 50% of the pool balance. The largest loan is the Southern Wine & Spirits Building Loan ($9.3 million -- 44.4% of the pool), which is secured by a 385,000 square foot (SF) warehouse and office building in Las Vegas, Nevada. The property is 100% leased to Southern Wine and Spirits, one of the largest distributors of wine, spirits and non-alcoholic beverages in the US, through December 2021 under a triple net lease. The loan has amortized 60% since securitization. Moody's LTV and stressed DSCR are 38% and 2.66X, respectively, compared to 43% and 2.35X at Moody's last review. The second largest loan is known as the Eckerd-Staples Loan ($673,742 -- 3.2% of the pool), which is secured by a 12,700 SF drug store located in Corpus Christi, Texas. The property is 100% to CVS through June 2020. The loan has amortized 74% since securitization. Moody's LTV and stressed DSCR are 30% and 3.67X, respectively compared to 42% and 2.64X at Moody's last review. The third largest loan is the Walgreens - Alsip Loan ($402,795 -- 1.9% of the pool), which is secured by a 14,725 SF drug store located in Alsip, Illinois. The property is 100% to Walgreens through April 2021. The loan has amortized 61% since securitization. Moody's LTV and stressed DSCR are 26% and 4X, respectively compared to 32.3% and 3.18X at Moody's last review. JP MORGAN 2003-CIBC6: Fitch Hikes Cl. L Certs Rating to 'Bsf' ------------------------------------------------------------- Fitch Ratings has upgraded three and affirmed three classes of JP Morgan Chase Commercial Mortgage Securities Corp. commercial mortgage pass-through certificates series 2003-CIBC6. KEY RATING DRIVERS Defeasance: Loans representing 70.6% of the pool are fully defeased and backed by 'AAA' rated collateral. The same defeased loans represented only 42.1% of the pool at the time of the last rating action; however, given increased concentration as a result of loan payoffs, these loans now account for a higher percentage of the outstanding pool balance. Amortization and Maturity Outlook: The pool has experienced 97.5% collateral reduction since issuance. Since the last rating action, seven loans have repaid from the trust, including a large underperforming matured-balloon loan. These payoffs contributed $20.7 million in principal to pay the class F and G certificates in full. The majority of the remaining debt is either fully amortizing or backed by fully defeased collateral. Loans representing 5.5% of the pool are scheduled to mature in 2018, 22.8% in 2020, 47.3% in 2022 and 24.4% in 2023. Fitch Loan of Concern: There is only one non-defeased loan that is not scheduled to fully amortize. This loan represents 22.8% of the pool and is backed by a grocery-anchored retail center approximately 25 miles north of the Dallas CBD. It was previously in special servicing, but has been performing according to its modification terms since returning to the master servicer in 2011. Pool Concentration: There are only nine loans remaining as of the January 2018 remittance. Fitch's review included a sensitivity analysis to account for this concentration. RATING SENSITIVITIES The Outlook for classes J and K was revised to Stable from Positive following their upgrade. These classes are fully covered by defeased collateral and fully amortizing debt. The upgrade of class L follows increased credit enhancement since the last rating action and continued improved performance of the Fitch Loan of Concern. Recovery of the class L principal is reliant on this loan, which is the second largest loan in the pool and the only non-defeased loan with a scheduled balloon balance. Future upgrades to class L are largely tied to the ongoing performance and refinance of this loan. Fitch has upgraded the following ratings and revised Outlook as indicated: -- $5.2 million class J to 'AAAsf' from 'Asf'; Outlook revised to Stable from Positive; -- $7.8 million class K to 'AAAsf' from 'Bsf'; Outlook revised to Stable from Positive; -- $5.2 million class L to 'Bsf' from 'CCCsf'; Outlook Stable assigned. Fitch has affirmed the following ratings: -- $5.1 million class H at 'AAAsf'; Outlook Stable; -- $2.2 million class M at 'Dsf'; RE 0%; -- $0 class N at 'Dsf'; RE 0%. JP MORGAN 2005-CIBC13: Fitch Hikes Rating on Cl. A-J Certs to Bsf ----------------------------------------------------------------- Fitch Ratings upgrades one class of J.P. Morgan Chase Commercial Mortgage Securities Corp. (JPMCC) commercial mortgage pass-through certificates series 2005-CIBC13. KEY RATING DRIVERS Higher Credit Enhancement: The senior class benefits from increasing credit enhancement (CE) due to additional paydown resulting from the payoff at maturity of the former largest loan since Fitch's last review, as well as the prepayment of one additional loan prior to maturity, better than expected recoveries on two disposed loans, and declining leverage on the remainder of loans in the pool. As a result of the increased CE, losses are no longer expected on class A-J. Concentrated Pool: The pool is highly concentrated with only 17 loans remaining. Due to the concentrated nature of the pool, Fitch performed a sensitivity analysis that grouped the remaining loans based on loan structural features, collateral quality and performance which ranked them by their perceived likelihood of repayment. This includes defeased loans, fully amortizing loans, balloon loans, and Fitch loans of concern. The ratings reflect this sensitivity analysis. Since issuance, the transaction has paid down by 97.2%, to $76.8 million from $2.7 billion. Defeasance: Two loans, Hilton Garden Inn - Ground Lease (4.6%) and SuperFresh Superstore (1.7%) are fully defeased. Specially Serviced Loans: Four loans (32.8%) in the pool, including the largest loan in the transaction (15.2%), are currently in special servicing and losses are expected. The largest loan, Bayou Walk Village, was transferred to the special servicer in January 2014, for imminent default due to structural issues at the property. The issue affects the inline tenants who make up approximately 36% of the property. The borrower's engineering firm concluded that the best course of action is to demolish the impacted area, as remediation costs are greater than the cost to demolish and rebuild. The loan is currently in monetary default. It is secured by a 93,669sf retail property, located in Shreveport, LA, with occupancy of 74% as of June 2017 and annualized NOI of $878 thousand. Leases at the property include Jo-Ann's, with 25.1% net rentable square feet (nrsf), expiring March 14, 2028, Barnes & Noble (24.7%), expiring Feb. 28, 2018 and Old Navy (16.%), expiring Aug. 31, 2024. Per the special servicer, discussions with the borrower are ongoing. The lender's legal counsel was retained to proceed with foreclosure and a receiver has been appointed to the property. Maturity Schedule: One loan (6.6%) matures in July 2019. Ten loans (36.4%) mature in 2020. One loan (12.9%) matures in December 2024. RATING SENSITIVITIES The Stable Outlook on class J reflects sufficient credit enhancement to the class relative to expected losses. Future upgrades are possible with timely loan dispositions and workout resolutions. Downgrades are possible if pool performance deteriorates and expected losses increase significantly. Fitch has upgraded and assigned an Outlook to the following class: -- $41.2 million class A-J to 'Bsf' from 'CCCsf'; Outlook Stable assigned. Fitch has affirmed the following classes and revised REs: -- $35.6 million class B at 'Dsf'; RE revised to 50% from 10%; -- $0 class C at 'Dsf'; RE 0%; -- $0 class D at 'Dsf'; RE 0%; -- $0 class E at 'Dsf'; RE 0%; -- $0 class F at 'Dsf'; RE 0%; -- $0 class G at 'Dsf'; RE 0%; -- $0 class H at 'Dsf'; RE 0%; -- $0 class J at 'Dsf'; RE 0%; -- $0 class K at 'Dsf'; RE 0%; -- $0 class L at 'Dsf'; RE 0%; -- $0 class M at 'Dsf'; RE 0%; -- $0 class N at 'Dsf'; RE 0%; -- $0 class P at 'Dsf'; RE 0%. The class A-1, A-1A, A-2, A-2FL, A-3A1, A-3A2, A-4, A-SB, A-2FX and A-M certificates have paid in full. Fitch does not rate the class NR certificates. Fitch previously withdrew the ratings on the interest-only class X-1 and X-2 certificates. JP MORGAN 2005-LDP4: DBRS Hikes Class C Debt Rating to BB(high) --------------------------------------------------------------- DBRS Limited upgraded the rating on the following class of the Commercial Mortgage Pass-Through Certificates, Series 2005-LDP4 issued by J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP4 (the Trust): -- Class C to BB (high) (sf) from BB (sf) DBRS also confirmed the rating on the following class: -- Class B at A (high) (sf) DBRS assigned a Positive trend to both classes. The rating upgrade and Positive trend assignments reflect the increased credit support to the bonds as a result of loan amortization, proceeds recovered from loan liquidations and successful loan repayment. Since issuance, the pool has experienced a collateral reduction of 97.5%, with 11 of the original 184 loans outstanding as of the November 2017 remittance. Over the past year, one loan prepaid from the Trust, representing a principal paydown of $12.1 million. In total, 30 loans have been liquidated from the Trust at a combined realized loss of $215.4 million since issuance. As of the November 2017 remittance, eight loans, representing 69.2% of the current pool balance, are reporting YE2016 financials and based on those figures, the weighted-average (WA) debt service coverage ratio and WA debt yield were 1.60 times and 18.0%, respectively. The largest loan, Prospectus ID#17 – 23 Main Street, representing 35.7% of the current pool balance, is scheduled to mature in 2018 and reported an exit debt yield of 14.8%. There are two loans in special servicing and two loans on the servicer's watchlist, representing 30.3% and 8.2% of the current pool balance, respectively. One loan, representing 0.5% of the current pool balance, is fully defeased. JP MORGAN 2006-LDP8: Moody's Affirms B3 Rating on Class E Certs --------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on three classes in J.P. Morgan Chase Commercial Mortgage Securities Corp. Series 2006-LDP8, Commercial Mortgage Pass-Through Certificates, Series 2006-LDP8 as follows: Cl. E, Affirmed B3 (sf); previously on Feb 2, 2017 Affirmed B3 (sf) Cl. F, Affirmed C (sf); previously on Feb 2, 2017 Downgraded to C (sf) Cl. X, Affirmed C (sf); previously on Jun 9, 2017 Downgraded to C (sf) RATINGS RATIONALE The rating on the P&I Class E was affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The rating on the P&I Class F was affirmed because the ratings are consistent with Moody's expected loss. The rating on the IO Class X was affirmed based on the credit quality of the referenced classes. Moody's rating action reflects a base expected loss of 71% of the current pooled balance, compared to 25% at Moody's last review. The base expected loss percentage figure is much higher than at last review due to significant paydowns since the deal has paid down 69% since Moody's last review. The based expected loss numeric figure is actually lower than at last review. Moody's base expected loss plus realized losses is now 6.6% of the original pooled balance, compared to 6.7% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. The methodologies used in rating Cl. X were "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017 and "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. DEAL PERFORMANCE As of the January 15, 2018 distribution date, the transaction's aggregate certificate balance has decreased by 98% to $48 million from $3.07 billion at securitization. The certificates are collateralized by seven mortgage loans ranging in size from 3% to 45% of the pool. The pool contains no loans with investment-grade structured credit assessments and no defeased loans. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of four, compared to a Herf of two at last review. Twenty-five loans have been liquidated from the pool, contributing to an aggregate realized loss of $167 million (for an average loss severity of 69%). Four loans, constituting 82% of the pool, are currently in special servicing. The largest specially serviced loan is the Bonneville Square Loan ($21 million -- 45% of the pool), which is secured by a five-story, 89,000 square foot (SF) Class B office property located in Las Vegas, Nevada. The property transferred to special servicing in November 2014 after the borrower notified the servicer of imminent default. Foreclosure occurred in March 2016 and the property became REO in April 2016. The property was 68% occupied as of January 2018, up from 46% occupied in October 2016. The second loan in special servicing is the Shoppes on Dean Loan ($11 million -- 23% of the pool), which is secured by a 41,000 SF retail property located in Englewood, New Jersey. The property is anchored by a health club which occupies approximately 53% of the property's net rentable area (NRA). The loan transferred to special servicing in April 2015 at the borrower's request due to inability to cover debt service due to vacancy concerns. The property occupancy was 63% in December 2017, essentially unchanged from the prior year and compared to 100% in 2010 and 95% at securitization. The third loan in special servicing is the Fiesta Crossing SC Loan ($4 million -- 9% of the pool), which is secured by a 65,000 SF shopping center in Albuquerque, New Mexico. The property was 31% occupied as of December 2017, unchanged from the prior year, and down from 90% as recently as 2014. The remaining specially serviced loan is a 37,000 SF retail property in Spring Hill, Florida. Moody's estimates an aggregate $34 million loss for these specially serviced loans (86% expected loss on average). Moody's received full year 2016 operating results for 100% of the pool, and partial year 2017 operating results for 67% of the pool (excluding specially serviced loans). Moody's weighted average conduit LTV is 66%, compared to 85% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 13.9% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.3%. Moody's actual and stressed conduit DSCRs are 1.31X and 1.70X, respectively, compared to 1.26X and 1.38X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The three conduit loans represent 18% of the pool balance. The largest loan is the Eastpoint Business Park Loan ($4.5 million -- 9% of the pool), which is secured by a 45,000 SF foot suburban office property located in Louisville, Kentucky. Not including common areas and meeting spaces, the property was 78% occupied as of September 2017, with the largest tenant occupying approximately 67% of the property's NRA and a lease expiration in June 2021, less than three months prior to the scheduled loan maturity date in September 2021. The loan benefits from amortization and has paid down 10.7% since securitization. Moody's LTV and stressed DSCR are 84% and 1.16X, respectively, compared to 83% and 1.17X at the last review. The second largest loan is the Round Rock Town Center Loan ($2.5 million -- 5% of the pool), which is secured by a 45,000 SF neighborhood retail center in Round Rock, Texas, in the greater Austin area. The property was 97% occupied as of December 2016. Moody's LTV and stressed DSCR are 47% and 2.31X, respectively, compared to 48% and 2.25X at the last review. The third largest loan is the 30 East Hoffman Avenue Loan ($1.5 million -- 3% of the pool), which is secured by a 22,000 SF suburban office property in Lindenhurst, New York, on Long Island. The property was 100% leased to Suffolk County under a lease set to expire in July 2026. Moody's LTV and stressed DSCR are 43% and 2.29X, respectively compared to 30% and 3.29X at last review. JP MORGAN 2018-1: Moody's Assigns B2 Rating to Class B-5 Debt ------------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to 19 classes of residential mortgage-backed securities (RMBS) issued by J.P. Morgan Mortgage Trust 2018-1 (JPMMT 2018-1). The ratings range from Aaa (sf) to B2 (sf). The certificates are backed by 735 fully-amortizing fixed rate mortgage loans with a total balance of $463,721,641 as of January 1, 2018 cut-off date. Similar to prior JPMMT transactions, JPMMT 2018-1 includes conforming fixed-rate mortgage loans originated by JPMorgan Chase Bank, National Association ("Chase") and loanDepot.com, LLC("loanDepot"), and underwritten to the government sponsored enterprises (GSE) guidelines in addition to prime jumbo non-conforming mortgages purchased by JPMMAC from various originators and aggregators. JPMorgan Chase Bank, N.A. will be the servicer on the conforming loans originated by JPMorgan Chase Bank, N.A. loanDepot and Shellpoint Mortgage Servicing will service conforming loans originated by loanDepot. Shellpoint Mortgage Servicing, loanDepot, USAA Federal Savings Bank, Guaranteed Rate, Inc., and PHH Mortgage Corporation will be the servicers on the prime jumbo loans. Wells Fargo Bank, N.A. will be the master servicer and securities administrator. U.S. Bank Trust National Association will be the trustee. Pentalpha Surveillance LLC will be the representations and warranties breach reviewer. Distributions of principal and interest and loss allocations are based on a typical shifting-interest structure that benefits from and a senior and subordination floor. The complete rating actions are as follows: Issuer: J.P. Morgan Mortgage Trust 2018-1 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aa1 (sf) Cl. A-14, Definitive Rating Assigned Aa1 (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A2 (sf) Cl. B-3, Definitive Rating Assigned Baa2 (sf) Cl. B-4, Definitive Rating Assigned Ba2 (sf) Cl. B-5, Definitive Rating Assigned B2 (sf) RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Moody's expected cumulative net loss on the aggregate pool is 0.4% in a base scenario and reaches 5.2% at a stress level consistent with the Aaa (sf) ratings. Moody's calculated losses on the pool using Moody's US Moody's Individual Loan Analysis (MILAN) model based on the loan-level collateral information as of the cut-off date. Loan-level adjustments to the model results included adjustments to probability of default for higher and lower borrower debt-to-income ratios (DTIs), for borrowers with multiple mortgaged properties, self-employed borrowers, and for the default risk of Homeownership association (HOA) properties in super lien states. Moody's final loss estimates also incorporate adjustments for originator assessments and the financial strength of Representation & Warranty (R&W) providers. Moody's base Moody's definitive ratings on the certificates on the credit quality of the mortgage loans, the structural features of the transaction, Moody's assessments of the aggregators, originators and servicers, the strength of the third party due diligence and the representations and warranties (R&W) framework of the transaction. Collateral Description JPMMT 2018-1 is a securitization of a pool of 735 fully-amortizing mortgage loans with a total balance of $463,721,641 as of the cut-off date, with a weighted average (WA) original term to maturity of 359.8 months, and a WA seasoning of 3.4 months. The borrowers in this transaction have high FICO scores and sizeable equity in their properties. The WA original FICO score is 772 and the WA original combined loan-to-value ratio (CLTV) is 71.4%. The characteristics of the loans underlying the pool are generally comparable to other JPMMT transactions backed by 30-year mortgage loans that Moody's have rated. Two GSE eligible loans (0.2% of the pool) were recast due to curtailments. There are 136 properties located in counties affected by wildfires in southern California. Post-disaster inspections for these properties have been ordered by the loan seller. Any loans that come back with damages greater than $1,000 will be removed or repurchased out of the pool. In addition, there is a property damage test as part of the breach review process for a severely delinquent loan or a delinquent modified loan which will provide a further level protection against losses precipitated by damage from the recent fires. Furthermore, 12.9% of the properties are located in areas affected by Hurricanes Harvey and Irma and the wildfire in northern California. Post-disaster inspections ordered by the loan seller indicated that none of those properties were damaged or had an estimated total cost to repair all damages under $1,000. In this transaction, 41.9% of the pool by loan balance was underwritten by Chase and loanDepot to Fannie Mae's and Freddie Mac's guidelines (conforming loans). Moreover, the conforming loans in this transaction have a high average current loan balance at $532,692. The higher conforming loan balance of loans in JPMMT 2018-1 is attributable to the greater amount of properties located in high-cost areas, such as the metro areas of New York City, Los Angeles and San Francisco. Chase (31.9%), Caliber Home Loans (13.0%), United Shore Financial Services (12.8%) and loanDepot (12.2%) contribute approximately 69.9% of the mortgage loans in the pool. The remaining originators each account for less than 10% of the principal balance of the loans in the pool and provide R&W to the transaction. Third-party Review and Reps & Warranties Three third party review (TPR) firms verified the accuracy of the loan-level information that the sponsor gave us. These firms conducted detailed credit, collateral, and regulatory reviews on 100% of the mortgage pool. The TPR results indicated compliance with the originators' underwriting guidelines for the vast majority of loans, no material compliance issues, and no appraisal defects. The loans that had exceptions to the originators' underwriting guidelines had strong documented compensating factors such as low DTIs, low LTVs, high reserves, high FICOs, or clean payment histories. The TPR firms also identified minor compliance exceptions for reasons such as inadequate RESPA disclosures (which do not have assignee liability) and TILA/RESPA Integrated Disclosure (TRID) violations related to fees that were out of variance but then cured and disclosed. Moody's did not make any adjustments to Moody's expected or Aaa loss levels due to the TPR results. JPMMT 2018-1's R&W framework is in line with other JPMMT transactions where an independent reviewer is named at closing, and costs and manner of review are clearly outlined at issuance. Moody's review of the R&W framework takes into account the financial strength of the R&W providers, scope of R&Ws (including qualifiers and sunsets) and enforcement mechanisms. The R&W providers vary in financial strength. JPMorgan Chase Bank, National Association (rated Aa2), who is the R&W provider for approximately 31.9% (by loan balance) of the loans, is the strongest R&W provider. Moody's have made no adjustments on the Chase loans in the pool. In contrast, the rest of the R&W providers are unrated and/or financially weaker entities. Moreover, JPMMAC will not backstop any R&W providers who may become financially incapable of repurchasing mortgage loans. Moody's made an adjustment for these loans in Moody's analysis to account for this risk. Trustee and Master Servicer The transaction trustee is U.S. Bank Trust National Association. The custodian's functions will be performed by Wells Fargo Bank, N.A. and JPMorgan Chase Bank, N.A. The paying agent and cash management functions will be performed by Wells Fargo Bank, N.A., rather than the trustee. In addition, Wells Fargo Bank, N.A., as Master Servicer, is responsible for servicer oversight, and termination of servicers and for the appointment of successor servicers. In addition, Wells Fargo Bank, N.A. is committed to act as successor if no other successor servicer can be found. Tail Risk & Subordination Floor This deal has a standard shifting-interest structure, with a subordination floor to protect against losses that occur late in the life of the pool when relatively few loans remain (tail risk). When the total senior subordination is less than 1.25% of the original pool balance, the subordinate bonds do not receive any principal and all principal is then paid to the senior bonds. In addition, if the subordinate percentage drops below 6.00% of current pool balance, the senior distribution amount will include all principal collections and the subordinate principal distribution amount will be zero. The subordinate bonds themselves benefit from a floor. When the total current balance of a given subordinate tranche plus the aggregate balance of the subordinate tranches that are junior to it amount to less than 1.00% of the original pool balance, those tranches do not receive principal distributions. Principal those tranches would have received are directed to pay more senior subordinate bonds pro-rata. Transaction Structure The transaction uses the shifting interest structure in which the senior bonds benefit from a number of protections. Funds collected, including principal, are first used to make interest payments to the senior bonds. Next, principal payments are made to the senior bonds. Next, available distribution amounts are used to reimburse realized losses and certificate writedown amounts for the senior bonds (after subordinate bond have been reduced to zero I.e. the credit support depletion date). Finally, interest and then principal payments are paid to the subordinate bonds in sequential order. Realized losses are allocated in a reverse sequential order, first to the lowest subordinate bond. After the balance of the subordinate bonds is written off, losses from the pool begin to write off the principal balance of the senior support bond, and finally losses are allocated to the super senior bonds. In addition, the pass-through rate on the bonds is based on the net WAC as reduced by the sum of (i) the reviewer annual fee rate and (ii) the capped trust expense rate. In the event that there is a small number of loans remaining, the last outstanding bonds' rate can be reduced to zero. Other Considerations Similar to recent JPMMT transactions, extraordinary trust expenses in the JPMMT 2018-1 transaction are deducted from Net WAC as opposed to available distribution amount. Moody's believe there is a very low likelihood that the rated certificates in JPMMT 2018-1 will incur any losses from extraordinary expenses or indemnification payments from potential future lawsuits against key deal parties. First, all of the loans are prime quality Qualified Mortgages originated under a regulatory environment that requires tighter originations controls than pre-crisis, thus reducing the likelihood that the loans have defects that could form the basis of a lawsuit. Second, the transaction has reasonably well defined processes in place to identify loans with defects on an ongoing basis. In this transaction, an independent breach reviewer (Pentalpha Surveillance, LLC), named at closing must review loans for breaches of representations and warranties when certain clearly defined triggers have been breached which reduces the likelihood that parties will be sued for inaction. Third, the issuer has disclosed the results of a credit, compliance and valuation review of 100% of the mortgage loans by independent third parties. Finally, the performance of past JPMMT transactions have been well within expectation. The principal methodology used in these ratings was Moody's Approach to Rating US Prime RMBS published in February 2015. Factors that would lead to an upgrade or downgrade of the ratings: Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. JP MORGAN 2018-ASH8: S&P Assigns Prelim. B-(sf) Rating on F Certs ----------------------------------------------------------------- J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-ASH8's issuance is a CMBS transaction backed by one two-year, floating-rate, interest-only commercial mortgage loan totaling $395.0 million, with five one-year extension options, secured by the fee simple and leasehold interests in eight full-service hotels and by a first-lien mortgage encumbering all of the operating lessees' rights in the properties. S&P Global Ratings assigned its preliminary ratings to J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-ASH8's $395.0 million commercial mortgage pass-through certificates. The issuance is a commercial mortgage-backed securities transaction backed by one two-year, floating-rate, interest-only commercial mortgage loan totaling $395.0 million, with five one-year extension options, secured by the fee simple and leasehold interests in eight full-service hotels and by a first-lien mortgage encumbering all of the operating lessees' rights in the properties. The preliminary ratings are based on information as of Feb. 7, 2018. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of the collateral's historical and projected performance, the sponsors' and managers' experience, the trustee-provided liquidity, the loan's terms, and the transaction's structure. PRELIMINARY RATINGS ASSIGNED J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-ASH8 Class Rating(i) Amount ($) A AAA (sf) 111,600,000 X-CP BBB- (sf) 173,920,000(ii) X-EXT BBB- (sf) 217,400,000(ii) B AA- (sf) 37,400,000 C A- (sf) 30,300,000 D BBB- (sf) 38,100,000 E BB- (sf) 60,200,000 F B- (sf) 50,400,000 G NR 47,000,000 HRR NR 20,000,000 (i) The issuer will issue the certificates to qualified institutional buyers in line with Rule 144A of the Securities Act of 1933. (ii) Notional balance. The notional amount of the class X-CP certificates references the aggregate certificate balances of the A-2 portion of class A, B-2 portion of class B, C-2 portion of class C, and D-2 portion of class D. The notional amount of the class X-EXT certificates references the aggregate certificate balances of the class A, B, C, and D certificates. NR-- Not rated. LOCKWOOD GROVE: Moody's Assigns Ba3(sf) Rating to Cl. E-RR Notes ---------------------------------------------------------------- Moody's Investors Service has assigned ratings to six classes of CLO refinancing notes (the "Refinancing Notes") issued by Lockwood Grove CLO, Ltd.: Moody's rating action is: US$255,000,000 Class A-1-RR Senior Secured Floating Rate Notes due 2030 (The "Class A-1-RR Notes"), Assigned Aaa (sf) US$3,000,000 Class A-X-RR Senior Secured Floating Rate Notes due 2030 (The "Class A-X-RR Notes"), Assigned Aaa (sf) US$38,000,000 Class B-RR Senior Secured Floating Rate Notes due 2030 (The "Class B-RR Notes"), Assigned Aa2 (sf) US$24,000,000 Class C-RR Mezzanine Secured Deferrable Floating Rate Notes due 2030 (The "Class C-RR Notes"), Assigned A2 (sf) US$23,500,000 Class D-RR Mezzanine Secured Deferrable Floating Rate Notes due 2030 (The "Class D-RR Notes"), Assigned Baa3 (sf) US$24,000,000 Class E-RR Junior Secured Deferrable Floating Rate Notes due 2030 (The "Class E-RR Notes"), Assigned Ba3 (sf) The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. Tall Tree Investment Management, LLC (the "Manager") manages the CLO. It directs the selection, acquisition, and disposition of collateral on behalf of the Issuer. RATINGS RATIONALE Moody's ratings on the Refinancing Notes address the expected losses posed to noteholders. The ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. The Issuer has issued the Refinancing Notes on February 6, 2018 (the "Second Refinancing Date") in connection with the refinancing of all classes of the secured notes (the "Refinanced Original Notes") previously issued on October 25, 2016 (the "First Refinancing Date"). On the Second Refinancing Date, the Issuer used proceeds from the issuance of the Refinancing Notes to redeem in full the Refinanced Original Notes. In addition to the issuance of the Refinancing Notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests and changes to the overcollateralization test levels. 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 August 2017. 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: 396,402,549 Defaulted par: $1,860,918 Diversity Score: 70 Weighted Average Rating Factor (WARF): 3099 Weighted Average Spread (WAS): 3.40% Weighted Average Recovery Rate (WARR): 48.0% Weighted Average Life (WAL): 8.21 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2017. Factors That Would Lead to an Upgrade or 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. Together with the set of modeling assumptions above, Moody's conducted an additional sensitivity analysis, which was a component in determining the ratings assigned to the Refinancing Notes. This sensitivity analysis includes increased default probability relative to the base case. Below is a summary of the impact of an increase in default probability (expressed in terms of WARF level) on the Refinancing Notes (shown in terms of the number of notch difference versus the current model output, whereby a negative difference corresponds to higher expected losses), assuming that all other factors are held equal: Percentage Change in WARF -- increase of 15% (from 3099 to 3564) Rating Impact in Rating Notches Class A-1-RR Notes: -1 Class A-X-RR Notes: 0 Class B-RR Notes: -2 Class C-RR Notes: -2 Class D-RR Notes: -1 Class E-RR Notes: -1 Percentage Change in WARF -- increase of 30% (from 3099 to 4029) Rating Impact in Rating Notches Class A-1-RR Notes: -1 Class A-X-RR Notes: 0 Class B-RR Notes: -3 Class C-RR Notes: -4 Class D-RR Notes: -2 Class E-RR Notes: -1 MAGNETITE XVI: Moody's Assigns B3(sf) Rating to Class F Notes ------------------------------------------------------------- Moody's Investors Service has assigned ratings to seven classes of CLO refinancing notes (the "Refinancing Notes") issued by Magnetite XVI, Limited: Moody's rating action is: US$335,000,000 Class A-R Senior Secured Floating Rate Notes due 2028 (the "Class A-R Notes"), Assigned Aaa (sf) US$45,000,000 Class B-R Senior Secured Floating Rate Notes due 2028 (the "Class B-R Notes"), Assigned Aa2 (sf) US$11,579,000 Class C-1-R Deferrable Mezzanine Floating Rate Notes due 2028 (the "Class C-1-R Notes"), Assigned A2 (sf) US$18,171,000 Class C-2-R Deferrable Mezzanine Floating Rate Notes due 2028 (the "Class C-2-R Notes"), Assigned A2 (sf) US$25,250,000 Class D-R Deferrable Mezzanine Floating Rate Notes due 2028 (the "Class D-R Notes"), Assigned Baa3 (sf) US$25,000,000 Class E-R Deferrable Mezzanine Floating Rate Notes due 2028 (the "Class E-R Notes"), Assigned Ba3 (sf) US$10,000,000 Class F Deferrable Junior Floating Rate Notes due 2028 (the "Class F Notes"), Assigned B3 (sf) The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. BlackRock Financial Management, Inc., (the "Manager") manages the CLO. It directs the selection, acquisition, and disposition of collateral on behalf of the Issuer. RATINGS RATIONALE Moody's ratings on the Refinancing Notes address the expected losses posed to noteholders. The ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. The Issuer has issued the Refinancing Notes on February 2, 2018 (the "Refinancing Date") in connection with the refinancing of all classes of the secured notes (the "Refinanced Original Notes") previously issued on December 18, 2015 (the "Original Closing Date"). On the Refinancing Date, the Issuer used proceeds from the issuance of the Refinancing Notes, along with the proceeds from the issuance of one other class of secured notes to redeem in full the Refinanced Original Notes. On the Original Closing Date, the Issuer also issued one class of subordinated notes that will remain outstanding. In addition to the issuance of the Refinancing Notes and the other class of secured notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: changes to certain collateral quality tests; and changes to the overcollateralization test levels. 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 August 2017. 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: $499,000,000 Defaulted par: $0 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2852 Weighted Average Spread (WAS): 3.25% Weighted Average Recovery Rate (WARR): 48.0% Weighted Average Life (WAL): 6 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2017. Factors That Would Lead to an Upgrade or 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. Together with the set of modeling assumptions above, Moody's conducted an additional sensitivity analysis, which was a component in determining the rating(s) assigned to the Refinancing Notes. This sensitivity analysis includes increased default probability relative to the base case. Below is a summary of the impact of an increase in default probability (expressed in terms of WARF level) on the Refinancing Notes (shown in terms of the number of notch difference versus the current model output, whereby a negative difference corresponds to higher expected losses), assuming that all other factors are held equal: Percentage Change in WARF -- increase of 15% (from 2852 to 3280) Rating Impact in Rating Notches Class A-R Notes: 0 Class B-R Notes: -1 Class C-1-R Notes: -2 Class C-2-R Notes: -2 Class D-R Notes: -1 Class E-R Notes: 0 Class F Notes: 0 Percentage Change in WARF -- increase of 30% (from 2852 to 3708) Rating Impact in Rating Notches Class A-R Notes: -1 Class B-R Notes: -2 Class C-1-R Notes: -3 Class C-2-R Notes: -3 Class D-R Notes: -1 Class E-R Notes: -1 Class F Notes: -2 MARINER CLO 5: S&P Assigns Prelim BB-(sf) Rating on Class E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Mariner CLO 5 Ltd.'s $459.20 million floating rate notes. The note issuance is CLO transaction backed primarily by broadly syndicated speculative-grade senior secured term loans that are governed by collateral quality tests. The preliminary ratings are based on information as of Feb. 5, 2018. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The diversified collateral pool, which consists primarily of broadly syndicated speculative-grade senior secured term loans that are governed by collateral quality tests. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. PRELIMINARY RATINGS ASSIGNED Mariner CLO 5 Ltd./Mariner CLO 5 LLC Class Rating Balance (mil. $) A AAA (sf) 307.00 B AA (sf) 58.70 C A (sf) 43.50 D BBB- (sf) 29.80 E BB- (sf) 20.20 Subordinated notes NR 51.65 NR--Not rated. MIDOCEAN CREDIT I: S&P Assigns Prelim. BB Rating on Cl. D-RR Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the class A-1-RR, A-2-RR, B-RR, C-RR, and D-RR replacement note from MidOcean Credit CLO I, a collateralized loan obligation (CLO), originally issued in 2013 and reset in 2016 that is managed by MidOcean Credit Fund Management L.P. The preliminary ratings reflect S&P's opinion that the credit support available is commensurate with the associated rating levels. On the Feb. 13, 2018, refinancing date, the proceeds from the issuance of the replacement notes are expected to redeem the original notes. S&P said, "At that time, we anticipate withdrawing the rating on the originally refinanced notes and assigning ratings to the new replacement notes. However, if the refinancing doesn't occur, we may affirm the rating on the original notes and withdraw our preliminary rating on the replacement note." CASH FLOW ANALYSIS RESULTS Current date after proposed refinancing Class Amount Interest BDR SDR Cushion (mil. $) rate(%) (%) (%) (%) A-1-RR 210.50 LIBOR + 0.82 69.29 59.81 9.48 A-2-RR 39.00 LIBOR + 1.30 62.59 51.81 10.78 B-RR 22.00 LIBOR + 1.80 54.17 45.58 8.58 C-RR 13.50 LIBOR + 2.55 50.88 40.08 10.80 D-RR 11.40 LIBOR + 5.15 45.52 33.42 12.10 BDR--Break-even default rate. SDR--Scenario default rate. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches. "We will continue to review whether, in our view, the rating assigned to the note remains consistent with the credit enhancement available to support it, and we will take further rating action as we deem necessary." PRELIMINARY RATINGS ASSIGNED MidOcean Credit CLO I Replacement class Rating Amount (mil. $) A-1-RR AAA (sf) 210.50 A-2-RR AA (sf) 39.00 B-RR A (sf) 22.00 C-RR BBB (sf) 13.50 D-RR BB (sf) 11.40 MORGAN STANLEY 2006-HQ8: Moody's Affirms C Ratings on 2 Tranches ---------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on three classes in Morgan Stanley Capital I Trust 2006-HQ8, Commercial Mortgage Pass-Through Certificates, Series 2006-HQ8 as follows: Cl. D, Affirmed Caa3 (sf); previously on Feb 7, 2017 Downgraded to Caa3 (sf) Cl. E, Affirmed C (sf); previously on Feb 7, 2017 Downgraded to C (sf) Cl. F, Affirmed C (sf); previously on Feb 7, 2017 Affirmed C (sf) RATINGS RATIONALE The ratings on three P&I classes were affirmed because the ratings are consistent with Moody's expected loss. Moody's rating action reflects a base expected loss of 35.0% of the current balance, compared to 55.5% at Moody's last review. Moody's base expected loss plus realized losses is now 9.3% of the original pooled balance, compared to 10.0% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. Moody's analysis also incorporated a loss and recovery approach in rating the P&I classes in this deal since 58% of the pool is in special servicing. In this approach, Moody's determines a probability of default for each specially serviced that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss from specially serviced to the most junior class(es) and the recovery as a pay down of principal to the most senior class(es). DEAL PERFORMANCE As of the January 12, 2018 distribution date, the transaction's aggregate certificate balance has decreased by 98% to $42.7 million from $2.73 billion at securitization. The certificates are collateralized by five mortgage loans ranging in size from less than 5% to 48% of the pool. One loan, constituting 36% of the pool, is on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. The trust has realized an aggregate loss of $240.1 million (for an average loss severity of 51%) from 57 liquidated loans. Three loans, constituting 57% of the pool, are currently in special servicing. The largest specially serviced loan is the Inland BISYS Fund Loan ($20.5 million -- 48.0% of the pool), which is secured by a 240,000 SF office property built in 1995 and located in Columbus, Ohio. The loan was transferred to special servicing on October 10, 2017 for imminent default due to borrower's inability to continue making the monthly payments as a result of Citi Fund Services' lease expiring on 8/31/17 and vacating the premises (227,869 SF- 95% of NRA). The remaining two specially serviced loans are secured by a mix of property types. Moody's estimates an aggregate $12.5 million loss for the specially serviced loans (51% expected loss on average). Moody's received full year 2016 operating results and partial year 2017 operating results for 100% of the pool, excluding specially serviced loans. Moody's weighted average conduit LTV is 120% compared to 122% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow reflects a weighted average haircut of 8% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.9%. Two remaining performing conduit loans represent 42.5% of the pool balance. The largest loan is the Bel Air Town Center Loan ($15.4 million -- 36.1% of the pool), which is secured by a 90,000 SF unanchored retail neighborhood center in Bel Air, Maryland. As of the September 2017, the property was 72% leased compared to 70% at Moody's last review. Top tenants at the property include Long & Foster Real Estate and Chili's Grill with lease expirations in 2021 and 2020, respectively. The loan is on the servicer's watchlist due to low occupancy and DSCR. Moody's LTV and stressed DSCR are 131% and 0.85X, respectively, compared to 134% and 0.83X at the last review. The second performing loan is the Advanced Circuits Loan ($2.7 million -- 6.4% of the pool), which is secured by a 61,000 SF industrial property located in Aurora, Colorado. The property is 100% occupied by a single tenant, Advanced Circuits Inc., the 3rd largest printed circuit board manufacturer in the US, with a lease expiration in November 2026. To account for the single tenant exposure, Moody's incorporated a lit/dark analysis. Moody's LTV and stressed DSCR are 59% and 1.75X, respectively, compared to 57% and 1.80X at Moody's last review. MORGAN STANLEY 2011-C2: Moody's Lowers Cl. X-B Certs Rating to B2 ----------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on eight classes and downgraded the rating on one class in Morgan Stanley Capital I Trust 2011-C2, Commercial Mortgage Pass-Through Certificates, Series 2011-C2 as follows: Cl. A-3, Affirmed Aaa (sf); previously on Feb 16, 2017 Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Feb 16, 2017 Affirmed Aaa (sf) Cl. B, Affirmed Aa2 (sf); previously on Feb 16, 2017 Affirmed Aa2 (sf) Cl. C, Affirmed A2 (sf); previously on Feb 16, 2017 Affirmed A2 (sf) Cl. D, Affirmed Baa2 (sf); previously on Feb 16, 2017 Affirmed Baa2 (sf) Cl. E, Affirmed Baa3 (sf); previously on Feb 16, 2017 Affirmed Baa3 (sf) Cl. F, Affirmed Ba2 (sf); previously on Feb 16, 2017 Affirmed Ba2 (sf) Cl. X-A, Affirmed Aaa (sf); previously on Feb 16, 2017 Affirmed Aaa (sf) Cl. X-B, Downgraded to B2 (sf); previously on Jun 9, 2017 Downgraded to B1 (sf) RATINGS RATIONALE The ratings on the P&I classes were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The rating on the IO class X-A was affirmed based on the credit quality of the referenced classes. The rating on the IO Class X-B was downgraded due to a decline in the credit quality of its referenced classes. Moody's rating action reflects a base expected loss of 5.4% of the current pooled balance, compared to 3.7% at Moody's last review. Moody's base expected loss plus realized losses is now 3.4% of the original pooled balance, compared to 2.5% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The methodologies used in these ratings were "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in July 2017 and "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. The methodologies used in rating Cl. X-A and Cl. X-B were "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017, "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in July 2017, and "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. DEAL PERFORMANCE As of the January 18, 2018 distribution date, the transaction's aggregate certificate balance has decreased by 38% to $759 million from $1.21 billion at securitization. The certificates are collateralized by 43 mortgage loans ranging in size from less than 1% to 18% of the pool, with the top ten loans (excluding defeasance) constituting 65.6% of the pool. One loan, constituting 2% of the pool, has an investment-grade structured credit assessment. Six loans, constituting 5% of the pool, have defeased and are secured by US government securities. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 11, compared to 13 at Moody's last review. Four loans, constituting 13% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. There have been no loans liquidated from the pool. Two loans, constituting 7% of the pool, are currently in special servicing. The largest specially serviced loan is the Towne West Square Mall loan ($46 million -- 6% of the pool), which is secured by a regional mall of approximately 944,000 SF located in Wichita, Kansas. The loan transferred to special servicing in February 2017 due to imminent default. The mall is anchored by JC Penney, Dillards and Dick's Sporting Goods, all of which are not part of the collateral. As of September 2017, inline occupancy was 69%. While the property has been cash flow positive in recent years, actual in-place net cash flow at the property fell to a 1.03X DSCR as of September 2017 reporting, compared to a 1.33X DSCR at year-end 2016. The second specially serviced loan is secured by a mixed use property. Moody's estimates an aggregate $31.5 million loss for these specially serviced loans (60% expected loss on average). Moody's received full year 2016 operating results for 100% of the pool, and full or partial year 2017 operating results for 99% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 83%, compared to 85% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 21.6% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.3%. Moody's actual and stressed conduit DSCRs are 1.52X and 1.25X, respectively, compared to 1.54X and 1.22X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The loan with a structured credit assessment is the FedEx Distribution Center Loan ($15.2 million -- 2% of the pool), which is secured by a 117,000 SF single tenant industrial property located in East Elmhurst, New York. The property is leased to FedEx Corporation on a triple net lease expiring in 2023, with rent bumps every five years. The loan had an original term of ten years and is amortizing on a 15-year schedule. The loan has an anticipated repayment date (ARD) of December 2020 and a final maturity in December 2022. Due to the single tenant nature of this building, Moody's has incorporated a lit/dark analysis into this review to account for lease rollover risk. Moody's current structured credit assessment and stressed DSCR are aa3 (sca.pd) and 1.55X, respectively. The top three conduit loans represent 42% of the pool balance. The largest conduit loan is the Deerbrook Mall Loan ($137.8 million -- 18% of the pool), which is secured by a 554,500 SF portion of a 1.2 million SF regional mall located in Humble, Texas. The property is anchored by Dillards, Macy's, Sears, JC Penney and AMC Theatres. AMC Theatres is the only anchor space included in the loan collateral. Inline occupancy was 97% as of September 2017. The loan benefits from amortizion and is scheduled to mature in April 2021. Moody's LTV and stressed DSCR are 81% and 1.21X, respectively, compared 78% and 1.22X at last review. The second largest conduit loan is the Ingram Park Mall Loan ($130.5 million -- 17% of the pool), which is secured by a 375,000 SF portion of a 1.1 million SF regional mall located in San Antonio, Texas. The property is anchored by Dillards, Macy's, Sears, and JC Penney, all of which own their own improvements. Inline occupancy was 89% as of September 2017 compared to 85% at Moody's last review. The sponsor announced a planned $9 million renovation which began during 2017. The loan is amortizing on a 30-year schedule and matures in June 2021. Moody's LTV and stressed DSCR are 87% and 1.15X, respectively, compared to 89% and 1.13X at last review. The third largest conduit loan is the Three Riverway Office Loan ($47.8 million -- 6% of the pool), which is secured by a 20-story, Class A office building totaling approximately 398,000 SF and located in Houston, Texas. The Property is part of a five-building office park situated in the northern portion of the Galleria/Uptown Houston submarket. The property is located within a larger 27-acre master planned development featuring office, retail, and apartment properties, as well as a 378-room full service hotel. The collateral property sustained damage as a result of flooding related to Hurricane Harvey in late August 2017. The servicer expects the impact from the flooding to be mitigated by insurance, and the lender has begun to receive insurance proceeds for property damage as well as for business interruption. The loan is amortizing on a 30-year schedule and matures in May 2021. The Property was 76% leased as of November 2017 compared to 77% at the prior review. Moody's LTV and stressed DSCR are 108% and 0.92X, respectively, compared to 110% and 0.91X at last review. MORGAN STANLEY 2013-C9: Moody's Affirms Ba3 Rating on Cl. F Notes ----------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on seventeen classes in Morgan Stanley Bank of America Merrill Lynch Trust Series 2013-C9: Cl. A-2, Affirmed Aaa (sf); previously on Feb 7, 2017 Affirmed Aaa (sf) Cl. A-AB, Affirmed Aaa (sf); previously on Feb 7, 2017 Affirmed Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on Feb 7, 2017 Affirmed Aaa (sf) Cl. A-3FL, Affirmed Aaa (sf); previously on Feb 7, 2017 Affirmed Aaa (sf) Cl. A-3FX, Affirmed Aaa (sf); previously on Feb 7, 2017 Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Feb 7, 2017 Affirmed Aaa (sf) Cl. A-S, Affirmed Aaa (sf); previously on Feb 7, 2017 Affirmed Aaa (sf) Cl. B, Affirmed Aa3 (sf); previously on Feb 7, 2017 Affirmed Aa3 (sf) Cl. C, Affirmed A3 (sf); previously on Feb 7, 2017 Affirmed A3 (sf) Cl. D, Affirmed Baa3 (sf); previously on Feb 7, 2017 Affirmed Baa3 (sf) Cl. E, Affirmed Ba2 (sf); previously on Feb 7, 2017 Affirmed Ba2 (sf) Cl. F, Affirmed Ba3 (sf); previously on Feb 7, 2017 Affirmed Ba3 (sf) Cl. G, Affirmed B1 (sf); previously on Feb 7, 2017 Affirmed B1 (sf) Cl. H, Affirmed B3 (sf); previously on Feb 7, 2017 Affirmed B3 (sf) Cl. PST, Affirmed A1 (sf); previously on Feb 7, 2017 Affirmed A1 (sf) Cl. X-A, Affirmed Aaa (sf); previously on Feb 7, 2017 Affirmed Aaa (sf) Cl. X-B, Affirmed A2 (sf); previously on Feb 7, 2017 Affirmed A2 (sf) RATINGS RATIONALE The ratings on fourteen P&I Classes (A-2, A-AB, A-3, A-3FL, A-3FX, A-4, A-S, B, C, D, E, F, G & H) because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The ratings on IO Classes X-A and X-B were affirmed based on the credit performance of the referenced classes. The transaction contains a exchangeable certificates. Classes A-S, B and C may be exchanged for Class PST certificates. The PST certificates will be entitled to receive the sum of interest and principal distributable on the Classes A-S, B and C certificates that are exchanged for such PST certificates. The rating on Class PST was affirmed based on the credit performance of the referenced classes. Moody's rating action reflects a base expected loss of 3.0% of the current balance, compared to 2.7% at Moody's last review. Moody's base expected loss plus realized losses remain unchanged at 2.4%. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The methodologies used in these ratings were "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in July 2017 and "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. The methodologies used in rating Cl. X-A and Cl. X-B were "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017, "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in July 2017, and "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017 . The methodologies used in rating the Cl. PST were "Moody's Approach to Rating Repackaged Securities" published in June 2015, "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in July 2017, and "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. DEAL PERFORMANCE As of the January 18, 2018 distribution date, the transaction's aggregate certificate balance has decreased by 18.3% to $1.04 billion from $1.28 billion at securitization. The certificates are collateralized by 59 mortgage loans ranging in size from less than 1% to 15.8% of the pool, with the top ten loans (excluding defeasance) constituting 59% of the pool. One loan, constituting 15.8% of the pool, has an investment-grade structured credit assessment. Nine loans, constituting 11.2% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. No loans have been liquidated from the pool. One loan, constituting 0.7% of the pool, is currently in special servicing. The specially serviced loan is the Hilton Garden Inn Houston Westbelt Loan ($7.5 million -- 0.7% of the pool), which is secured by a 120 key, limited service, Hilton Garden Inn located in southwestern Houston, Texas. In 2016, room and food & beverage revenue dropped by $850K which contributed to the decline in property performance. The loan transferred to special servicing in April 2017 due to imminent monetary default after the Borrower failed to make February through May 2017 debt service payments. The borrower has reinstated the loan payments but is delinquent in the payment of the legal fees and costs incurred to date. The borrower is also not cooperating with the master servicer in opening a cash management account. The special servicer has engaged legal counsel, a motion to appoint a receiver was filed and the franchise has been notified. Moody's received full year 2016 operating results for 81.1% of the pool, and full or partial year 2017 operating results for 91.2% of the pool. Moody's weighted average conduit LTV is 98.5%, compared to 93.9% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 14.1% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.75%. Moody's actual and stressed conduit DSCRs are 1.67X and 1.12X, respectively, compared to 1.82X and 1.21X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The loan with a structured credit assessment is the Milford Plaza Fee Loan ($165 million -- 15.8% of the pool), which represents a pari passu interest in a $275 million first mortgage. The loan is secured by the ground lease on the land beneath the Row NYC Hotel, formerly the Milford Plaza Hotel -- a 28-story, 1,331 key full-service hotel located in Midtown Manhattan. The triple net (NNN) ground lease commenced in 2013, expires in 2112 and includes annual CPI rent increases. The tenant has purchase options at the end of years 10, 20 and 30. Moody's structured credit assessment and stressed DSCR are baa1 (sca.pd) and 0.66X, respectively, compared to baa1 (sca.pd) and 0.66X at the last review. The top three conduit loans represent 26.5% of the pool balance. The largest loan is the Colonnade Office Loan ($155.4 million -- 14.9% of the pool), which is secured by a three-building, Class A office complex and attached parking structure located in Addison, Texas. The buildings contain approximately 1.05 million square feet (SF) and range from 12 to 16 stories tall. The property has undergone approximately $7.5 million of capital improvements and now has LEED Silver certification. It was 97% leased (to about 60 unique tenants) as of September 2017 compared to 95% in September 2016, 91% at yearend 2015 and 88% at securitization. The Loan was interest only for the first 36 months of the term and began amortizing in 2016. Moody's LTV and stressed DSCR are 98% and 1.08X, respectively, compared to 110.5% and 0.95X at the last review. The second largest loan is the Dartmouth Mall Loan ($61.1 million -- 5.9% of the pool), which is secured by an approximately 531,000 SF component of a 671,000 SF regional mall in Dartmouth, Massachusetts. The property is anchored by Macy's, Sears, J.C. Penney and a 12-screen AMC theatre. The Macy's is not part of the collateral and was not included on the list of closures announced. In-line occupancy was 95% and total Property was 96% as of September 2017 compared to 88% in-line and 95% total Property in December 2016. Several tenants including Finish Line, Gap, Ruby Tuesday, Hollister and Wet Seal vacated during 2016-2017. Moody's LTV and stressed DSCR are 127.3% and 0.91X, respectively, compared to 104.2% and 1.04X at the last review. The third largest loan is the Apthorp Retail Condominium Loan ($59.9 million -- 5.8% of the pool), which is secured by a 12,851 SF ground floor retail condominium unit within the Apthorp condominium building located on Broadway between 79th and 80th streets on the Upper West Side in New York City. The Building was built between 1906-1908 and is on the National Register of Historic Places. The Property was 100% leased as of September 2017. Moody's LTV and stressed DSCR are 101.1% and 0.83X, respectively, compared to 103% and 0.81X at the last review. MORGAN STANLEY 2016-UBS9: Fitch Affirms B- Rating on Cl. F Certs ---------------------------------------------------------------- Fitch Ratings has affirmed 15 classes of Morgan Stanley Capital I Trust's MSCI 2016-UBS9 commercial mortgage pass-through certificates. KEY RATING DRIVERS Stable Performance: Overall pool performance remains stable and generally in line with expectations at issuance, with minimal paydown or changes to credit enhancement. As of the January 2018 distribution date, the pool's aggregate principal balance has been reduced by 1.3% to $658.0 million from $666.6 million at issuance. There have been no specially serviced loans since issuance. While six loans are on the servicer's watchlist, none have been designated Fitch Loans of Concern. No loans are defeased. Pool Concentrations: The top five, 10 and 15 loans comprise 42.3%, 69.1% and 82.7% of the pool respectively. The pool's largest concentration by property type is office (33.1%), followed by retail (25.1%). Two loans within the top 15 are secured by retail outlet properties (8.9%). Loans secured by industrial properties comprise 19.9% of the pool, which is greater than the 2015 average of 4.2%. Average Amortization: The pool is scheduled to amortize by 11.8% of the initial pool balance prior to maturity, which is in line with the 2015 average. Six loans (26.4%) are full-term interest only. Ten loans (34.9%) are partial interest only, and the remaining 15 loans (38.7%) are amortizing balloon loans with terms of seven to 10 years. Pari Passu Loans: Nine loans representing 54.3% of the pool, including seven of the top 10 loans, are pari passu loans. Premium Outlet Concentration: Two of the top 15 loans (8.9% of the pool) are secured by premium outlets from related sponsors. The Ellenton Premium Outlets loan (5.9% of the pool) is secured by a 476,481 SF outlet center located in Ellenton, FL, which is situated between Bradenton/Sarasota to the south and Tampa/St. Petersburg to the north. The servicer reported a YE 2016 NOI DSCR of 2.55x. As of the September 2017 rent roll, the property was 94.4% leased, a slight decline from the YE 2016 occupancy of 97.4%. The largest tenants include VF Factory Outlet (4.9% of NRA), Saks Fifth Avenue Off Fifth (4.2% of NRA) and the Nike Factory Store (3.2% of NRA). There is approximately 20% roll in 2018. The Grove City Premium Outlets loan (3.0% of the pool) is secured by a 531,200 SF outlet center located in Grove City, PA, approximately 50 miles north of Pittsburgh. The servicer reported a YE 2016 NOI DSCR of 2.87x. As of the September 2017 rent roll, the property was 88.6% leased, a slight decline from the YE 2016 occupancy of 92.6%. The largest tenants include VF Factory Outlet (5.1% of NRA), Old Navy (3.8% of NRA) and the Nike Factory Store (3.1% of NRA). There is approximately 9% roll in 2018. Fitch requested recent tenant sales information for both properties, but has not received any from the servicer to date. Fitch increased the cap rate applied to these loans from the issuance levels due to the outlet centers' tertiary locations and the lack of recent tenant sales information provided. RATING SENSITIVITIES The Rating Outlooks on all classes remain Stable. Fitch does not foresee positive or negative ratings migration until a material economic or asset-level event changes the transaction's overall portfolio-level metrics. No loans are scheduled to mature until 2022 (8.5% of the pool). Fitch has affirmed the following ratings: -- $21.2 million class A-1 at 'AAAsf'; Outlook Stable; -- $73.5 million class A-2 at 'AAAsf'; Outlook Stable; -- $46.1 million class A-SB at 'AAAsf'; Outlook Stable; -- $125.0 million class A-3 at 'AAAsf'; Outlook Stable; -- $192.2 million class A-4 at 'AAAsf'; Outlook Stable; -- $458.1 million class X-A* at 'AAAsf'; Outlook Stable; -- $87.5 million class X-B* at 'AA-sf'; Outlook Stable; -- $47.5 million class A-S at 'AAAsf'; Outlook Stable; -- $40.0 million class B at 'AA-sf'; Outlook Stable; -- $30.0 million class C at 'A-sf'; Outlook Stable; -- $34.2 million class X-D* at 'BBB-sf'; Outlook Stable; -- $15.0 million class X-E* at 'BB-sf'; Outlook Stable; -- $34.2 million class D at 'BBB-sf'; Outlook Stable; -- $15.0 million class E at 'BB-sf'; Outlook Stable; -- $6.7 million class F at 'B-sf'; Outlook Stable. *Notional amount and interest-only. Fitch does not rate the class G, H, X-FG or X-H certificates. PETRA CRE 2007-1: Moody's Withdraws C(sf) Ratings on 6 Tranches --------------------------------------------------------------- Moody's Investors Service has withdrawn the ratings on the following notes issued by issued by Petra CRE CDO 2007-1, Ltd.: Cl. E, Withdrawn (sf); previously on Mar 17, 2017 Affirmed C (sf) Cl. F, Withdrawn (sf); previously on Mar 17, 2017 Affirmed C (sf) Cl. G, Withdrawn (sf); previously on Mar 17, 2017 Affirmed C (sf) Cl. H, Withdrawn (sf); previously on Mar 17, 2017 Affirmed C (sf) Cl. J, Withdrawn (sf); previously on Mar 17, 2017 Affirmed C (sf) Cl. K, Withdrawn (sf); previously on Mar 17, 2017 Affirmed C (sf) RATINGS RATIONALE Moody's has decided to withdraw the ratings because it believes it has insufficient or otherwise inadequate information to support the maintenance of the ratings. The collateral manager does not publish updated performance information on assets in the asset pool which Moody's use to evaluate components of expected loss. PINNACLE PARK: Moody's Lowers Class F Notes Rating to Caa1 ---------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Pinnacle Park CLO, LTD.: US$63,750,000 Class B-R Senior Secured Floating Rate Notes due 2026, Upgraded to Aaa (sf); previously on January 17, 2017 Assigned Aa1 (sf) Moody's also downgraded the rating on the following notes: US$5,938,000 Class F Secured Deferrable Floating Rate Notes due 2026, Downgraded to Caa1 (sf); previously on April 24, 2014 Definitive Rating Assigned B2 (sf) Moody's also affirmed the ratings on the following notes: US$307,500,000 Class A-R Senior Secured Floating Rate Notes due 2026, Affirmed Aaa (sf); previously on January 17, 2017 Assigned Aaa (sf) US$28,125,000 Class C-R Secured Deferrable Floating Rate Notes due 2026, Affirmed A1 (sf); previously on January 17, 2017 Assigned A1 (sf) US$31,250,000 Class D Secured Deferrable Floating Rate Notes due 2026, Affirmed Baa3 (sf); previously on April 24, 2014 Definitive Rating Assigned Baa3 (sf) US$29,375,000 Class E Secured Deferrable Floating Rate Notes due 2026, Affirmed Ba3 (sf); previously on April 24, 2014 Definitive Rating Assigned Ba3 (sf) Pinnacle Park CLO, LTD., issued in April 2014, is a collateralized loan obligation (CLO) backed primarily by a portfolio of senior secured loans. The transaction's reinvestment period will end in April 2018. RATINGS RATIONALE The upgrade and affirmation actions reflect the benefit of the limited period of time remaining before the end of the deal's reinvestment period in April 2018, and the expectation that deleveraging will commence shortly. On the other hand, the downgrade action on the Class F notes reflects the specific risks to the junior-most notes posed by par loss and credit deterioration observed over the last year in the underlying CLO portfolio. Based on Moody's calculation, the total collateral par balance (including recoveries on current defaults) is $488.9 million, or $11.1 million less than the $500 million initial par amount targeted during the deal's ramp-up at initial closing. Furthermore, the trustee-reported weighted average spread (WAS) has declined since January 2016 and is currently reported at 3.41% (versus a covenant level of 3.36%). Methodology Underlying the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2017. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: This transaction is subject to a number of factors and circumstances that could lead to either an upgrade or downgrade of the ratings: 1) Macroeconomic uncertainty: CLO performance is subject to uncertainty about credit conditions in the general economy. 2) Collateral Manager: Performance can also be affected positively or negatively by a) the manager's investment strategy and behavior and b) differences in the legal interpretation of CLO documentation by different transactional parties owing to embedded ambiguities. 3) Collateral credit risk: A shift towards collateral of better credit quality, or better credit performance of assets collateralizing the transaction than Moody's current expectations, can lead to positive CLO performance. Conversely, a negative shift in credit quality or performance of the collateral can have adverse consequences for CLO performance. 4) Deleveraging: An important source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will commence and at what pace. Deleveraging of the CLO could accelerate owing to high prepayment levels in the loan market and/or collateral sales by the manager, which could have a significant impact on the notes' ratings. Note repayments that are faster than Moody's current expectations will usually have a positive impact on CLO notes, beginning with those with the highest payment priority. 5) Recovery of defaulted assets: Fluctuations in the market value of defaulted assets could result in volatility in the deal's overcollateralization levels. Further, the timing of recovery realization and whether the Manager decides to work out or sell defaulted assets create additional uncertainty. Realization of recoveries that are either materially higher or lower than assumed in Moody's analysis would impact the CLO positively or negatively, respectively. 6) Post-Reinvestment Period Trading: Subject to certain requirements, the deal can reinvest certain proceeds after the end of the reinvestment period, and as such the manager has the ability to erode some of the collateral quality metrics to the covenant levels. Such reinvestment could affect the transaction either positively or negatively. 7) Weighted Average Spread (WAS): CLO performance can be sensitive to WAS, which is a key factor driving the amount of excess spread available as credit enhancement when a deal fails its over-collateralization or interest coverage tests. A decrease in excess spread, including as a result of losing the net interest benefit of LIBOR floors, or because market conditions make it difficult for the deal to source assets of appropriate credit quality in order to maintain its WAS target, would reduce the effective credit enhancement available for the notes. In addition to the base case analysis, Moody's also conducted sensitivity analyses to test the impact of a number of default probabilities on the rated notes relative to the base case modeling results, which may be different from the current public ratings of the notes. Below is a summary of the impact of different default probabilities (expressed in terms of WARF) on all of the rated notes (by the difference in the number of notches versus the current model output, for which a positive difference corresponds to lower expected loss): Moody's Adjusted WARF -- 20% (2319) Class A-R: 0 Class B-R: 0 Class C-R: +3 Class D: +3 Class E: +1 Class F: +4 Moody's Adjusted WARF + 20% (3479) Class A-R: 0 Class B-R: -1 Class C-R: -2 Class D: -2 Class E: -1 Class F: -2 Loss and Cash Flow Analysis: Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. In its base case, Moody's analyzed the collateral pool as having a performing par and principal proceeds balance of $485.0 million, defaulted par of $8.1 million, a weighted average default probability of 21.0% (implying a WARF of 2899), a weighted average recovery rate upon default of 49.2%, a diversity score of 68 and a weighted average spread of 3.40% (before accounting for LIBOR floors). Moody's incorporates the default and recovery properties of the collateral pool in cash flow model analysis where they are subject to stresses as a function of the target rating on each CLO liability reviewed. Moody's derives the default probability from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate for future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and the collateral manager's latitude for trading the collateral are also factors. ROCKWALL CDO II: Moody's Hikes Class B-1L Notes Rating to Ba1 ------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Rockwall CDO II Ltd.: US$48,000,000 Class A-3L Floating Rate Extendable Notes Due 2024, Upgraded to Aa3 (sf); previously on May 23, 2017 Upgraded to A2 (sf) US$36,000,000 Class B-1L Floating Rate Extendable Notes Due 2024 (current outstanding balance of $28,510,000), Upgraded to Ba1 (sf); previously on January 25, 2017 Affirmed Ba2 (sf) US$10,000,000 Combination Notes due 2024 (current rated balance of $4,260,396), Upgraded to Baa3 (sf); previously on January 25, 2017 Affirmed Ba1 (sf) Moody's also affirmed the ratings on the following notes: US$115,000,000 Class A-1LB Floating Rate Extendable Notes Due 2024 (current outstanding balance of $65,471,330), Affirmed Aaa (sf); previously on May 23, 2017 Affirmed Aaa (sf) US$76,000,000 Class A-2L Floating Rate Extendable Notes Due 2024, Affirmed Aaa (sf); previously on May 23, 2017 Upgraded to Aaa (sf) Rockwall CDO II Ltd., issued in May 2007, is a collateralized loan obligation (CLO) backed primarily by a portfolio of senior secured loans with significant exposure to CLO tranches. As per Moody's calculation, outstanding CLO tranches currently represent approximately 14.8% of the portfolio. The transaction's reinvestment period ended in May 2014. RATINGS RATIONALE These rating actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since May 2017. The Class A-1LB notes have been paid down by approximately 42.5% or $48.4 million since then. Based on the trustee's Dec 2017 report, the OC ratios for the Class A, Class B-1L and Class B-2L notes are reported at 144.10%, 125.25% and 114.97%, respectively, versus May 2017 levels of c 134.99%, 120.54% and 112.93%, respectively. Nevertheless, the credit quality of the portfolio has deteriorated since May 2017. Based on Moody's calculation, the weighted average rating factor (WARF) is currently 2972 compared to 2723 at that time. Moody's also notes that the deal holds a material par amount of thinly traded or untraded loans, whose lack of liquidity may pose additional risks especially for the subordinated notes relating to the issuer's ultimate ability to pursue a liquidation of such assets, especially if the sales can be transacted only at heavily discounted price levels. Methodology Underlying the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2017. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: This transaction is subject to a number of factors and circumstances that could lead to either an upgrade or downgrade of the ratings: 1) Macroeconomic uncertainty: CLO performance is subject to a) uncertainty about credit conditions in the general economy and b) the large concentration of upcoming speculative-grade debt maturities, which could make refinancing difficult for issuers. 2) Collateral Manager: Performance can also be affected positively or negatively by a) the manager's investment strategy and behavior and b) differences in the legal interpretation of CLO documentation by different transactional parties owing to embedded ambiguities. 3) Collateral credit risk: A shift towards collateral of better credit quality, or better credit performance of assets collateralizing the transaction than Moody's current expectations, can lead to positive CLO performance. Conversely, a negative shift in credit quality or performance of the collateral can have adverse consequences for CLO performance. 4) Deleveraging: An important source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will continue and at what pace. Deleveraging of the CLO could accelerate owing to high prepayment levels in the loan market and/or collateral sales by the manager, which could have a significant impact on the notes' ratings. Note repayments that are faster than Moody's current expectations will usually have a positive impact on CLO notes, beginning with those with the highest payment priority. 5) Recovery of defaulted assets: Fluctuations in the market value of defaulted assets reported by the trustee and those that Moody's assumes as having defaulted could result in volatility in the deal's OC levels. Further, the timing of recoveries and whether a manager decides to work out or sell defaulted assets create additional uncertainty. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. Realization of higher than assumed recoveries would positively impact the CLO. 6) Exposure to credit estimates: The deal has exposure to securities whose default probabilities Moody's has assessed through credit estimates. Moody's normally updates such estimates at least once annually, but if such updates do not occur, the transaction could be negatively affected by any default probability adjustments Moody's assumes in lieu of updated credit estimates. 7) Combination notes: The rating on the combination notes, which combines cash flows from one or more of the CLO's debt tranches and the equity tranche, is subject to a higher degree of volatility than the other rated notes. Moody's models haircuts to the cash flows from the equity tranche based on the target rating of the combination notes. Actual equity distributions that differ significantly from Moody's assumptions can lead to a faster (or slower) speed of reduction in the combination notes' rated balance, thereby resulting in better (or worse) ratings performance than previously expected. 8) Exposure to assets with low credit quality and weak liquidity: The presence of assets rated Caa3 with a negative outlook, Caa2 or Caa3 on review for downgrade or the worst Moody's speculative grade liquidity (SGL) rating, SGL-4, exposes the notes to additional risks if these assets default. The historical default rate is higher than average for these assets. Due to the deal's exposure to such assets, which constitute around $3.3 million of par, Moody's ran a sensitivity case defaulting those assets. 9) Exposure to CLO securities: The portfolio includes a material concentration in CLO securities. Moody's views CLOs as highly correlated, and the specific CLO securities that the issuer has invested in have longer average lives and are of relatively better average credit quality than the loans in the portfolio. Therefore, as the deal further seasons and amortizes, the CLO securities, currently representing 14.8% of the total collateral, may comprise an even larger portion of the portfolio. Conversely, if a larger portion of the CLO tranches are redeemed, the corporate loan collateral that has a relatively worse average credit quality, may comprise an even larger portion of the portfolio. In addition to the base case analysis, Moody's also conducted sensitivity analyses to test the impact of a number of default probabilities on the rated notes relative to the base case modeling results, which may be different from the current public ratings of the notes. Below is a summary of the impact of different default probabilities (expressed in terms of WARF) on all of the rated notes (by the difference in the number of notches versus the current model output, for which a positive difference corresponds to lower expected loss): Moody's Adjusted WARF -- 20% (2378) Class A-1LB: 0 Class A-2L: 0 Class A-3L: +1 Class B-1L: +3 Class B-2L: +1 Combination Notes: +3 Moody's Adjusted WARF + 20% (3566) Class A-1LB: 0 Class A-2L: 0 Class A-3L: -2 Class B-1L: -1 Class B-2L: -1 Combination Notes: -1 Loss and Cash Flow Analysis: Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. In its base case, Moody's analyzed the collateral pool as having a performing par and principal proceeds balance of $266.8 million, defaulted par of $30.5 million, a weighted average default probability of 21.1% (implying a WARF of 2972), a weighted average recovery rate upon default of 44.2%, a diversity score of 21 and a weighted average spread of 2.94% (before accounting for LIBOR floors). Moody's incorporates the default and recovery properties of the collateral pool in cash flow model analysis where they are subject to stresses as a function of the target rating on each CLO liability reviewed. Moody's derives the default probability from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate for future defaults is based primarily on the seniority of the assets in the collateral pool. Moody's generally applies recovery rates for CLO securities as published in "Moody's Approach to Rating SF CDOs". In some cases, alternative recovery assumptions may be considered based on the specifics of the analysis of the CLO transaction. In each case, historical and market performance and the collateral manager's latitude for trading the collateral are also factors. A material proportion of the collateral pool includes debt obligations whose credit quality Moody's assesses through credit estimates. Moody's analysis reflects adjustments with respect to the default probabilities associated with credit estimates. Specifically, Moody's assumed an equivalent of Caa3 for assets with credit estimates that have not been updated within the last 15 months, which represent approximately 10.4% of the collateral pool. SATURNS SEARS 2003-1: Moody's Lowers Rating on $60.19MM Notes to C ------------------------------------------------------------------ Moody's Investors Service has downgraded the rating on the following certificates issued by SATURNS Sears Roebuck Acceptance Corp. Debenture Backed Series 2003-1: US$60,191,725 7.25% Callable Units due June 1, 2032 Notes (current outstanding balance of $46,808,075), Downgraded to C; previously on November 20, 2017 Downgraded to Ca RATINGS RATIONALE The rating action is a result of the change in the rating of the 7.00% Sears Roebuck Acceptance Corp. debentures due June 1, 2032, issued by Sears Roebuck Acceptance Corp. ("Underlying Securities"), which was downgraded to C on January 26, 2018. The transaction is a structured note whose rating is based on the rating of the Underlying Securities and the legal structure of the transaction. Methodology Underlying the Rating Action The principal methodology used in this rating was "Moody's Approach to Rating Repackaged Securities" published in June 2015. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING: The rating will be sensitive to any change in the rating of the 7.00% Sears Roebuck Acceptance Corp. debentures due June 1, 2032, issued by Sears Roebuck Acceptance Corp. SELKIRK 2013-1: DBRS Hikes Class E Debt Rating to BB(high) ---------------------------------------------------------- DBRS Limited upgraded the ratings on the following classes of Asset-Back Notes (the Certificates) issued by Selkirk 2013-1 (the Trust) as: -- Class C to AA (sf) from A (high) (sf) -- Class D to A (low) (sf) from BBB (sf) -- Class E to BB (high) (sf) from BB (sf) -- Class F to BB (low) (sf) from B (low) (sf) DBRS also confirmed the ratings of the following classes: -- Class A2 at AAA (sf) -- Class B at AAA (sf) All trends are Stable. The rating upgrades reflect the increased credit support to the bonds as a result of scheduled loan amortization, successful loan repayment and the overall improved performance of the remaining collateral in the pool since issuance. In the last 12 months there has been a collateral reduction of 21.7% as a result of 11 loans repaying from the Trust, contributing $200 million in principal reduction to the senior bonds. At issuance, the collateral consisted of 55 seasoned, fixed-rate loans secured by 67 commercial and multifamily properties. As of the November 2017 remittance, 32 loans remain in the pool with an aggregate outstanding principal balance of $417.6 million. The top 15 loans continue to exhibit stable performance with a weighted-average (WA) debt service coverage ratio (DSCR) and debt yield of 1.74 times (x) and 14.0%, respectively, based on the most recent year-end reporting available for the individual loans. The top 15 loans have experienced WA net cash flow (NCF) growth of 24.6% over the DBRS issuance figures. In addition, two loans in the top 15 are maturing in the next 12 months, representing 9.6% of the current pool balance. Based on YE2016 financials, these loans reported a WA DSCR and WA exit debt yield of 2.0x and 18.0%, respectively, metrics indicative of loans with a higher likelihood of being able to refinance at maturity. As of the November 2017 remittance, there are no loans in special servicing and three loans on the servicer's watchlist, representing 11.3% of the current pool balance. Two of these loans are being monitored for performance declines, with individual DSCRs ranging between 1.03x and 1.16x for the YE2016 reporting period. The remaining loan has been flagged for elevated vacancy as the largest tenant at the subject vacated at lease expiration. DBRS accounted for the elevated vacancy in its analysis for this loan, which is highlighted below. The 830 Morris Turnpike loan (Prospectus ID#24, representing 3.2% of the current pool balance) is secured by an 83,430 square foot office property located in Milburn, New Jersey. The loan was added to the watchlist as Santander Bank (Santander), which formerly occupied 50.0% of the net rentable area (NRA) and vacated its space upon lease expiration in October 2016. The tenant represented 64.6% of the property's base rent. According to the servicer, the trailing 12 months' DSCR fell below 1.20x as of January 2017, following the tenant's departure from the subject, which qualified as a trigger event under the Cash Collateral Agreement. As of November 2017, the servicer noted that the borrower has remained in compliance of the cash sweep and has been trapping $75,000 per month into a Tenant Improvement Reserve since November 2014, for the formerly occupied Santander space. According to the March 2017 rent roll, the property was 63.4% occupied, with the largest three tenants cumulatively representing 34.5% of the NRA, on leases that are scheduled to expire between March 2018 and February 2024. The largest tenant, Stone Mountain Management Corp. (18.6% of the NRA), has an upcoming lease expiration in March 2018 and DBRS has requested a leasing update from the servicer, with a response pending to date. As at November 2017, CoStar was reporting an average vacancy rate of 3.4% and an average asking rental rate of $38.25 per square foot (psf) for comparable office properties within the Short Mills/Milburn submarket, which is above the subject's current average rental rate of $27 psf. Despite the elevated vacancy rate, the loan benefits from experienced sponsorship and the property remains in good overall condition, with no deferred maintenance noted, according to the March 2017 site inspection. As of YE2016 reporting, the DSCR was reported at 1.26x, reflective of a 17.3% growth in cash flows over the YE2015 DSCR of 1.07x. The loan was analyzed with a stressed NCF figure to reflect the elevated vacancy at the subject and the upcoming tenant rollover risk in March 2018. SELKIRK 2013-2: DBRS Hikes Class G Notes Rating From BB(low) ------------------------------------------------------------ DBRS Limited upgraded the ratings of the following classes of Asset-Backed Notes (the Certificates) issued by Selkirk 2013-2 as: -- Class C to AAA (sf) from AA (sf) -- Class D to AA (sf) from A (sf) -- Class E to A (sf) from BBB (low) (sf) -- Class F to BBB (high) (sf) from BB (high) (sf) -- Class G to BBB (low) (sf) from BB (low) (sf) DBRS also confirmed the rating of the following classes as follows: -- Class A2 at AAA (sf) -- Class B at AAA (sf) All trends are Stable, with the exception of Class D and E, which were assigned a Positive trend. The rating upgrades and trend changes reflect the increased credit support to the bonds as a result of scheduled loan amortization, successful loan repayment and the overall improved performance of the remaining collateral in the pool since issuance. Specifically, there has been an 18.6% increase in collateral reduction over the last 12 months, primarily a result of the repayment of five loans, which cumulatively totaled $84.0 million at issuance. At issuance, the collateral consisted of 40 seasoned, fixed-rate loans secured by 57 commercial and multifamily properties. As of the November 2017 remittance, 16 loans remain in the pool with an aggregate outstanding principal balance of $115.2 million. The top 15 loans continue to exhibit stable performance with a weighted-average (WA) debt service coverage ratio (DSCR) and debt yield of 1.70 times (x) and 21.5%, respectively, based on the most recent year-end reporting available for the individual loans. The top 15 loans have experienced WA net cash flow growth of 24.8% over the DBRS issuance figures. In addition, two loans are maturing in the next 12 months, representing 8.9% of the current pool balance. Based on YE2016 financials, these loans reported a WA DSCR and WA exit debt yield of 1.97x and 21.2%, respectively, metrics indicative of loans with a higher likelihood of being able to refinance at maturity. As of the November 2017 remittance, there are no loans in special servicing and no loans on the servicer's watchlist; however, one loan in the top 15 is reporting a year-end cash flow decline over the DBRS issuance figure, which is highlighted below. The Heights Office Building loan (Prospectus ID#20, representing 5.6% of the current pool balance) is secured by a 104,418 square feet (sf) office property located in San Antonio, Texas. According to the March 2017 rent roll, the property was 100% occupied, with the largest three tenants representing 32.0% of the net rentable area (NRA), on leases scheduled to expire between November 2019 and August 2021. As of November 2017, CoStar was reporting vacancy rates of 13.6% and average asking rental rates of $21.73 per square foot (psf) for comparable office properties within the North Central submarket, which is below the subject's average rental rate of $29.09 psf. In addition, CoStar reported the property as 98.9% leased as the subject's occupancy has remained historically above 97.0% since issuance, with minimal tenant rollover anticipated through 2018. As of YE2016 reporting, the DSCR was reported at 1.73x, compared with the DBRS Term DSCR of 2.34x, reflective of a 19.4% decline in YE2016 cash flows over the DBRS issuance figure. The decline is attributed to a 28.7% increase in total operating expenses since issuance, mainly driven by increases in real estate taxes and utilities expenses. Despite the cash flow decline, the subject's performance remains stable and the loan benefits from an experienced sponsor, with property quality remaining in overall excellent condition, according to the May 2017 site inspection. All ratings will be subject to ongoing surveillance, which could result in ratings being upgraded, downgraded, placed under review, confirmed or discontinued by DBRS. The ratings assigned to Classes E, F, and G materially deviate from the higher ratings implied by the quantitative results. DBRS considers a material deviation to be a rating differential of three or more notches between the assigned rating and the rating implied by the quantitative results that is a substantial component of a rating methodology. The deviations are warranted given sustainability of loan performance trends not demonstrated. Notes: All figures are in U.S. dollars unless otherwise noted. SELKIRK 2014-3A: DBRS Hikes Class F Debt Rating to B(high) ---------------------------------------------------------- DBRS Limited upgraded the ratings of the following classes of Asset-Backed Notes (the Certificates) issued by Selkirk 2014-3A as listed below: -- Class B to AA (sf) from AA (low) (sf) -- Class C to A (sf) from A (low) (sf) -- Class D to BBB (sf) from BBB (low) (sf) -- Class E to BB (sf) from BB (low) (sf) -- Class F to B (high) (sf) from B (low) (sf) DBRS also confirmed the rating of the following class of the Certificates: -- Class A2 at AAA (sf) All trends are Stable. The rating upgrades reflect the increased credit support to the bonds as a result of scheduled loan amortization, successful loan repayment and the overall improved performance of the remaining collateral in the pool since issuance. In the last 12 months, there was a collateral reduction of 5.0% as a result of eight loans repaying from the Trust, contributing $38.0 million in principal reduction to senior bonds. At issuance, the collateral consisted of 62 seasoned, fixed-rate loans secured by 65 commercial and multifamily properties. As of the November 2017 remittance, 43 loans remain in the pool with an aggregate outstanding principal balance of $514.3 million. The top 15 loans continue to exhibit stable performance with a weighted-average (WA) debt-service coverage ratio (DSCR) and debt yield of 1.87 times (x) and 16.1%, respectively, based on the year-end (YE) 2016 financials. The top 15 loans experienced WA net cash flow growth of 38.4% over the DBRS issuance figures. As of the November 2017 remittance, there are no loans in special servicing but one loan on the servicer's watchlist, representing 5.1% of the current pool balance. The loan has been flagged for upcoming tenant rollover risk as one of the largest tenants at the subject will be vacating at lease expiration. DBRS accounted for the elevated vacancy in its analysis for this loan, which is highlighted below. The 750 East Pratt Street loan (Prospectus ID#4, representing 5.1% of the current pool balance) is secured by a 336,462 square feet (sf) office building located in Baltimore, Maryland. The loan was added to the watchlist as Exelon Business Services (Exelon), which occupies 45.4% net rentable area (NRA), provided notice to the borrower that it will be vacating its space upon lease expiration at YE2017. According to the March 2017 rent roll, the property was 100% occupied, as Exelon and Venable, LLP each occupy 45.4% of the NRA; cumulatively, they represent 90.8% of the NRA. The Venable, LLP tenant has a lease that is scheduled to expire in December 2022, approximately two years prior to loan maturity in October 2024. According to the servicer, the borrower recently signed a lease with Johns Hopkins University to assume approximately 59,000 sf of the former Exelon space (17.5% of the NRA). Johns Hopkins University will be paying a rental rate of $28 per square feet (psf) for its space, which is below the rental rate that Exelon is currently paying for its space at $34 psf. In addition, the borrower also executed a ten-year lease with KPMG for approximately 21,400 sf (6% of the NRA), with a commencement date in May 2018 at an undisclosed rental rate. According to the servicer, the subject's occupancy rate will decline to 79% from 100% once both tenants take occupancy following Exelon's departure from the subject. As of November 2017, CoStar reported an average vacancy rate of 8.8% and average asking rental rates of $24.30 psf for comparable office properties within the Central Business District submarket, which is below the subject's current average rental rate of $33.04 psf (which is skewed by the higher rate paid by Exelon). Despite the elevated vacancy rate associated with the upcoming tenant rollover, the subject's occupancy historically remained at or near 100% since issuance, and the loan is structured with cash management in the event the DSCR declines below 1.20x. The property remains in overall good condition with no deferred maintenance noted, according to the March 2017 site inspection. As of YE2016 reporting, the DSCR was reported at 1.46x, remaining in line with the YE2015 DSCR of 1.48x. The loan was analyzed with a stressed net cash flow figure to reflect the upcoming tenant rollover risk. SELKIRK 2014-3V: DBRS Hikes Class F Debt Rating to B(high) ---------------------------------------------------------- DBRS Limited upgraded the ratings of the following classes of Asset-Backed Notes (the Certificates) issued by Selkirk 2014-3V as: -- Class B to AA (sf) from AA (low) (sf) -- Class C to A (sf) from A (low) (sf) -- Class D to BBB (sf) from BBB (low) (sf) -- Class E to BB (sf) from BB (low) (sf) -- Class F to B (high) (sf) from B (low) (sf) DBRS also confirmed the rating of the following class: -- Class A2 at AAA (sf) All trends are Stable. The rating upgrades reflect the increased credit support to the bonds as a result of scheduled loan amortization, successful loan repayment and the overall improved performance of the remaining collateral in the pool since issuance. In the last 12 months, there was a collateral reduction of 5.0% as a result of eight loans repaying from the Trust, contributing $38.0 million in principal reduction to senior bonds. At issuance, the collateral consisted of 62 seasoned, fixed-rate loans secured by 65 commercial and multifamily properties. As of the November 2017 remittance, 43 loans remain in the pool with an aggregate outstanding principal balance of $514.3 million. The top 15 loans continue to exhibit stable performance with a weighted-average (WA) debt service coverage ratio (DSCR) and debt yield of 1.87 times (x) and 16.1%, respectively, based on year-end (YE) 2016 financials. The top 15 loans experienced WA net cash flow growth of 38.4% over the DBRS issuance figures. As of the November 2017 remittance, there are no loans in special servicing and one loan on the servicer's watchlist, representing 5.1% of the current pool balance. The loan has been flagged for upcoming tenant rollover risk as one of the largest tenants at the subject will be vacating at lease expiration. DBRS accounted for the elevated vacancy in its analysis for this loan, which is highlighted below. The 750 East Pratt Street loan (Prospectus ID#4, representing 5.1% of the current pool balance) is secured by a 336,462 square feet (sf) office building located in Baltimore, Maryland. The loan was added to the watchlist as Exelon Business Services (Exelon), occupying 45.4% net rentable area (NRA), provided notice to the borrower that it will be vacating its space upon lease expiration at YE2017. According to the March 2017 rent roll, the property was 100% occupied, as Exelon and Venable, LLP each occupy 45.4% of the NRA, cumulatively representing 90.8% of the NRA. The Venable, LLP tenant has a lease that is scheduled to expire in December 2022, approximately two years prior to loan maturity in October 2024. According to the servicer, the borrower recently signed a lease with Johns Hopkins University to assume approximately 59,000 sf of the former Exelon space (17.5% of the NRA). Johns Hopkins University will be paying a rental rate of $28 per square foot (psf) for its space, which is below the rental rate that Exelon is currently paying for its space at $34 psf. In addition, the borrower has also executed a ten-year lease with KPMG for approximately 21,400 square feet (6% of the NRA), with a commencement date in May 2018 at an undisclosed rental rate. According to the servicer, the subject's occupancy rate will decline to 79% from 100% once both tenants take occupancy following Exelon's departure from the subject. As of November 2017, CoStar was reporting an average vacancy rate of 8.8% and average asking rental rates of $24.30 psf for comparable office properties within the Central Business District submarket, which is below the subject's current average rental rate of $33.04 psf, which is skewed by the higher rate paid by Exelon. Despite the elevated vacancy rate associated with the upcoming tenant rollover, the subject's occupancy has historically remained at or near 100% since issuance, and the loan is structured with cash management in the event the DSCR declines below 1.20x. The property remains in overall good condition, with no deferred maintenance noted, according to the March 2017 site inspection. As of YE2016 reporting, the DSCR was reported at 1.46x, remaining in line with the YE2015 DSCR of 1.48x The loan was analyzed with a stressed net cash flow figure to reflect the upcoming tenant rollover risk. SEQUOIA MORTGAGE 2018-CH1: Moody's Rates Class B-5 Certs '(P)Ba2' ----------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to the classes of residential mortgage-backed securities (RMBS) issued by Sequoia Mortgage Trust (SEMT) 2018-CH1, except for the interest-only classes. The certificates are backed by one pool of prime quality, first-lien mortgage loans. SEMT 2018-CH1 is the third securitization that includes loans acquired by Redwood Residential Acquisition Corporation ("Redwood" or "Seller"), a subsidiary of Redwood Trust, Inc., under its expanded credit prime loan program called "Redwood Choice". Redwood's Choice program is a prime program with credit parameters outside of Redwood's traditional prime jumbo program, "Redwood Select." The Choice program expands the low end of Redwood's FICO range to 661 from 700, while increasing the high end of eligible loan-to-value ratios from 85% to 90%. The pool also includes loans with non-QM characteristics (27.8%), such as debt-to-income ratios up to 50.9%. Non-QM loans were acquired by Redwood under each of the Select and Choice programs. The assets of the trust consist of 591 fixed rate mortgage loans, all of which are fully amortizing, except for two mortgage loans that have an interest-only term. Substantially all of the mortgage loans have an original term to maturity of 30 years. The loans were sourced from multiple originators and acquired by Redwood. All of the loans conform to the Seller's guidelines, except for loans originated by First Republic Bank, which were originated to conform to First Republic Bank's guidelines. The transaction benefits from nearly 100% due diligence of data integrity, credit, property valuation, and compliance conducted by an independent third-party firm. CitiMortgage, Inc. will act as the master servicer of the loans in this transaction. Shellpoint Mortgage Servicing, First Republic Bank and PHH Mortgage Corporation will be primary servicers on the deal. The complete rating actions are as follows: Issuer: Sequoia Mortgage Trust 2018-CH1 Cl. A-1, Assigned (P)Aaa(sf) Cl. A-2, Assigned (P)Aaa(sf) Cl. A-3, Assigned (P)Aaa(sf) Cl. A-4, Assigned (P)Aaa(sf) Cl. A-5, Assigned (P)Aaa(sf) Cl. A-6, Assigned (P)Aaa(sf) Cl. A-7, Assigned (P)Aaa(sf) Cl. A-8, Assigned (P)Aaa(sf) Cl. A-9, Assigned (P)Aaa(sf) Cl. A-10, Assigned (P)Aaa(sf) Cl. A-11, Assigned (P)Aaa(sf) Cl. A-12, Assigned (P)Aaa(sf) Cl. A-13, Assigned (P)Aaa(sf) Cl. A-14, Assigned (P)Aaa(sf) Cl. A-15, Assigned (P)Aaa(sf) Cl. A-16, Assigned (P)Aaa(sf) Cl. A-17, Assigned (P)Aaa(sf) Cl. A-18, Assigned (P)Aaa(sf) Cl. A-19, Assigned (P)Aa1(sf) Cl. A-20, Assigned (P)Aa1(sf) Cl. A-21, Assigned (P)Aa1(sf) Cl. A-22, Assigned (P)Aaa(sf) Cl. A-23, Assigned (P)Aaa(sf) Cl. A-24, Assigned (P)Aaa(sf) Cl. B-1A, Assigned (P)Aa3(sf) Cl. B-1B, Assigned (P)Aa3(sf) Cl. B-2A, Assigned (P)A1(sf) Cl. B-2B, Assigned (P)A1(sf) Cl. B-3, Assigned (P)A3(sf) Cl. B-4, Assigned (P)Baa2(sf) Cl. B-5, Assigned (P)Ba2(sf) RATINGS RATIONALE Summary Credit Analysis Moody's expected cumulative net loss on the aggregate pool is 0.85% in a base scenario and reaches 10.45% at a stress level roughly consistent with Aaa(sf) ratings. The MILAN CE may be different from the credit enhancement that is consistent with a Aaa(sf) rating for a tranche, because the MILAN CE does not take into account the structural features of the transaction. Moody's took this difference into account in Moody's ratings of the senior classes. Moody's loss estimates are based on a loan-by-loan assessment of the securitized collateral pool using Moody's Individual Loan Level Analysis (MILAN) model. Loan-level adjustments to the model included: adjustments to borrower probability of default for higher and lower borrower DTIs, borrowers with multiple mortgaged properties, self-employed borrowers, origination channels and at a pool level, for the default risk of HOA properties in super lien states. The adjustment to Moody's Aaa stress loss above the model output also includes adjustments related to aggregator and originators assessments. The model combines loan-level characteristics with economic drivers to determine the probability of default for each loan, and hence for the portfolio as a whole. Severity is also calculated on a loan-level basis. The pool loss level is then adjusted for borrower, zip code, and MSA level concentrations. Collateral Description The SEMT 2018-CH1 transaction is a securitization of 591 first lien residential mortgage loans, with an aggregate unpaid principal balance of $444,288,998. There are more than 100 originators in this pool, including Fairway (6.5%), the remaining contributed less than 5% of the principal balance of the loans in the pool. The loan-level third party due diligence review (TPR) encompassed credit underwriting, property value and regulatory compliance. In addition, Redwood has agreed to backstop the rep and warranty repurchase obligation of all originators other than First Republic Bank. SEMT 2018-CH1 includes loans acquired by Redwood under its Choice program. Although from a FICO and LTV perspective, the borrowers in SEMT 2018-CH1 are not the super prime borrowers included in traditional SEMT transactions, these borrowers are prime borrowers with a demonstrated ability to manage household finance. On average, borrowers in this pool have made a 26.02% down payment on a mortgage loan of $754,646. In addition, the majority of borrowers have more than 24 months of liquid cash reserves or enough money to pay the mortgage for two years should there be an interruption to the borrower's cash flow. Moreover, the borrowers on average have a monthly residual income of $16,723. The WA FICO is 742, which is lower than traditional SEMT transactions, which has averaged 769 in 2017 SEMT transactions. The lower WA FICO for SEMT 2018-CH1 may reflect recent mortgage lates (0x30x3, 1x30x12, 2x30x24) which are allowed under the Choice program, but not under Redwood's traditional product, Redwood Select (0x30x24). While the WA FICO may be lower for this transaction, Moody's do not believe that the limited mortgage lates demonstrates a history of financial mismanagement. Moody's also note that SEMT 2018-CH1 is the third SEMT transaction to include a significant number of non-QM loans (157) compared to previous SEMT transactions, where the number of non-QM loans was limited. Previously, 2017-CH2 and 2017-CH1 had the largest number of non-QM loans at 112 out of 420 and 108 loans out of 409 loans respectively. Redwood's Choice program is in its early stages, having been launched by Redwood in April 2016. In contrast to Redwood's traditional program, Select, Redwood's Choice program allows for higher LTVs, lower FICOs, non-occupant co-borrowers, non-warrantable condos, limited loans with adverse credit events, among other loan attributes. Under both Select and Choice, Redwood also allows for loans with non-QM features, such as interest-only, DTIs greater than 43%, asset depletion, among other loan attributes. However, Moody's notes that Redwood historically has been on average stronger than its peers as an aggregator of prime jumbo loans, including a limited number of non-QM loans in previous SEMT transactions. As of the December 2017 remittance report, there have been no losses on Redwood-aggregated transactions that Moody's has rated to date, and delinquencies to date have also been very low. While in traditional SEMT transactions, Moody's has factored this qualitative strength into Moody's analysis, in SEMT 2018-CH1, Moody's have a neutral assessment of the Choice Program until Moody's are able to review a longer performance history of Choice mortgage loans. Structural considerations Similar to recent rated Sequoia transactions, in this transaction, Redwood is adding a feature prohibiting the servicer, or securities administrator, from advancing principal and interest to loans that are 120 days or more delinquent. These loans on which principal and interest advances are not made are called the Stop Advance Mortgage Loans ("SAML"). The balance of the SAML will be removed from the principal and interest distribution amounts calculations. Moody's view the SAML concept as something that strengthens the integrity of senior and subordination relationships in the structure. Yet, in certain scenarios the SAML concept, as implemented in this transaction, can lead to a reduction in interest payment to certain tranches even when more subordinated tranches are outstanding. The senior/subordination relationship between tranches is strengthened as the removal of SAML in the calculation of the senior percentage amount, directs more principal to the senior bonds and less to the subordinate bonds. Further, this feature limits the amount of servicer advances that could increase the loss severity on the liquidated loans and preserves the subordination amount for the most senior bonds. On the other hand, this feature can cause a reduction in the interest distribution amount paid to the bonds; and if that were to happen such a reduction in interest payment is unlikely to be recovered. The final ratings on the bonds, which are expected loss ratings, take into consideration Moody's expected losses on the collateral and the potential reduction in interest distributions to the bonds. Furthermore, the likelihood that in particular the subordinate tranches could potentially permanently lose some interest as a result of this feature was considered. Moody's believes there is a low likelihood that the rated securities of SEMT 2018-CH1 will incur any losses from extraordinary expenses or indemnification payments owing to potential future lawsuits against key deal parties. First, the loans are prime quality and were originated under a regulatory environment that requires tighter controls for originations than pre-crisis, which reduces the likelihood that the loans have defects that could form the basis of a lawsuit. Second, Redwood (or a majority-owned affiliate of the sponsor), who will retain credit risk in accordance with the U.S. Risk Retention Rules and provides a back-stop to the representations and warranties of all the originators except for First Republic Bank, has a strong alignment of interest with investors, and is incentivized to actively manage the pool to optimize performance. Third, the transaction has reasonably well defined processes in place to identify loans with defects on an ongoing basis. In this transaction, an independent breach reviewer must review loans for breaches of representations and warranties when a loan becomes 120 days delinquent, which reduces the likelihood that parties will be sued for inaction. Tail Risk & Subordination Floor The transaction cash flows follow a shifting interest structure that allows subordinated bonds to receive principal payments under certain defined scenarios. Because a shifting interest structure allows subordinated bonds to pay down over time as the loan pool shrinks, senior bonds are exposed to increased performance volatility, known as tail risk. The transaction provides for a subordination floor of 1.70% ($7,552,913) of the closing pool balance, which mitigates tail risk by protecting the senior bonds from eroding credit enhancement over time. Third-party Review and Reps & Warranties One TPR firm conducted a due diligence review of 100% of the mortgage loans in the pool. For 581 loans, the TPR firm conducted a review for credit, property valuation, compliance and data integrity ("full review") and limited review for 10 First Republic loans. For the 10 loans, Redwood Trust elected to conduct a limited review, which did not include a TPR firm check for TRID compliance. For the full review loans, the third party review found that the majority of reviewed loans were compliant with Redwood's underwriting guidelines and had no valuation or regulatory defects. Most of the loans that were not compliant with Redwood's underwriting guidelines had strong compensating factors. Additionally, the third party review didn't identify material compliance-related exceptions relating to the TILA-RESPA Integrated Disclosure (TRID) rule for the full review loans. For the full review loans, the TPR report identified four grade "C" compliance-related conditions relating to the TILA-RESPA Integrated Disclosure (TRID) rule. The conditions cited by Clayton included the minimum and/or maximum payment amounts were inconsistent on the closing disclosure and either or both of the "In 5 Years" total payment or total principal amounts were under-disclosed. Moody's believe that such conditions are not material and thus, Moody's did not make any adjustments for these loans No TRID compliance reviews were performed by the TPR firm on the limited review loans. Therefore, there is a possibility that some of these loans could have unresolved TRID issues. We, however reviewed the initial compliance findings of loans from First Republic Bank where a full review was conducted and there were no material compliance findings. As a result, Moody's did not increase Moody's Aaa loss for the limited review loans originated by First Republic Bank. The property valuation review conducted by the TPR firm consisted of (i) a review of all of the appraisals for full review loans, checking for issues with the comparables selected in the appraisal and (ii) a value supported analysis for all loans. After a review of the TPR appraisal findings, Moody's found the exceptions to be minor in nature and did not pose a material increase in the risk of loan loss. Moody's have received the results of the inspection report or appraisal confirmation for all the mortgage loans secured by properties in the areas affected by FEMA Disaster areas. The results indicate that the properties did not receive any material damage. SEMT 2018-CH1 includes a representation that the pool does not include properties with material damage that would adversely affect the value of the mortgaged property. The originators and Redwood have provided unambiguous representations and warranties (R&Ws) including an unqualified fraud R&W. There is provision for binding arbitration in the event of dispute between investors and the R&W provider concerning R&W breaches. Trustee & Master Servicer The transaction trustee is Wilmington Trust, National Association. The paying agent and cash management functions will be performed by Citibank, N.A. and the custodian functions will be performed by Wells Fargo Bank, N.A., rather than the trustee. In addition, CitiMortgage Inc., as Master Servicer, is responsible for servicer oversight, and termination of servicers and for the appointment of successor servicers. In addition, CitiMortgage is committed to act as successor if no other successor servicer can be found. Factors that would lead to an upgrade or downgrade of the ratings: Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. The principal methodology used in these ratings was "Moody's Approach to Rating US Prime RMBS" published in February 2015. In addition, Moody's publishes a weekly summary of structured finance credit ratings and methodologies, available to all registered users of Moody's website, www.moodys.com/SFQuickCheck Significant weight was put on judgment taking into account the results of the modeling tools as well as the aggregate impact of the third-party review and the quality of the servicers and originators. TESLA AUTO 2018-A: Moody's Assigns Ba3(sf) Rating to Cl. E Notes ---------------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to the notes issued by Tesla Auto Lease Trust 2018-A (TALT 2018-A). This is the first auto lease transaction for Tesla Finance LLC (TFL; not rated). The notes are backed by a pool of closed-end retail automobile leases originated by TFL, who is also the servicer and administrator for this transaction. The complete rating actions are: Issuer: Tesla Auto Lease Trust 2018-A $422,610,000, 2.32%, Class A Notes, Definitive Rating Assigned Aaa (sf) $40,140,000, 2.75%, Class B Notes, Definitive Rating Assigned Aa2 (sf) $27,970,000, 2.97%, Class C Notes, Definitive Rating Assigned A2 (sf) $23,710,000, 3.30%, Class D Notes, Definitive Rating Assigned Baa2 (sf) $31,620,000, 4.94%, Class E Notes, Definitive Rating Assigned Ba3 (sf) RATINGS RATIONALE The ratings are based on the quality of the underlying collateral and its expected performance, the strength of the capital structure, and the experience and expertise of TFL as the servicer and administrator. Moody's expected median cumulative net credit loss expectation for TALT 2018-A is 0.50% and the total Aaa loss on the collateral is 35.00% (including 4.00% credit loss and 31.00% residual value loss at a Aaa stress). Moody's based its cumulative net credit loss expectation and Aaa loss level of the collateral on an analysis of the quality of the underlying collateral; the historical credit loss and residual value performance of similar collateral, including securitization performance and managed portfolio performance; the ability of TFL and its sub-servicer LeaseDimensions to perform the servicing functions; and current expectations for the macroeconomic environment during the life of the transaction. At closing, the Class A notes, the Class B notes, the Class C notes, the Class D notes, and the Class E notes benefit from 31.25%, 24.65%, 20.05%, 16.15%, and 10.95% of hard credit enhancement, respectively. Hard credit enhancement for the notes consists of a combination of overcollateralization, a non-declining reserve account and subordination, except for the Class E notes which do not benefit from subordination. The notes may also benefit from excess spread. The principal methodology used in these ratings was "Moody's Global Approach to Rating Auto Loan- and Lease-Backed ABS" published in October 2016. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the subordinate notes if levels of credit enhancement are higher than necessary to protect investors against current expectations of portfolio losses. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market and the market for used vehicles. Other reasons for better-than-expected performance include changes to servicing practices that enhance collections or refinancing opportunities that result in prepayments. Down Moody's could downgrade the notes if levels of credit enhancement are insufficient to protect investors against current expectations of portfolio losses. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market and the market for used vehicles. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. THARALDSON HOTEL 2018-THPT: S&P Assigns B-(sf) Rating on F Certs ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to Tharaldson Hotel Portfolio Trust 2018-THPT's $960.0 million commercial mortgage pass-through certificates. The certificate issuance is a commercial mortgage-backed securities transaction backed by one two-year, floating-rate, interest-only commercial mortgage loan totaling $960.0 million, with three one-year extension options, secured by the fee simple and leasehold interests and the operating lessee's leasehold interests in 135 hotels: 88 limited-service, 41 extended-stay, and six full-service hotel properties. Since the preliminary ratings were issued, the interest rate on the mezzanine loan was increased to 10.80% from 10.50%. S&P said, "This decreases our debt service coverage (based on the mortgage and mezzanine loan balances, the actual spreads plus a 1.57% LIBOR rate, and our net cash flow) to 1.81x from 1.82x. The ratings reflect our view of the collateral's historical and projected performance, the sponsor's and managers' experience, the trustee-provided liquidity, the loan's terms, and the transaction's structure." RATINGS ASSIGNED Tharaldson Hotel Portfolio Trust 2018-THPT Class Rating Amount ($) A AAA (sf) 261,060,000 X-CP BBB- (sf) 424,992,000(i) X-EXT BBB- (sf) 531,240,000(i) B AA- (sf) 99,180,000 C A- (sf) 73,720,000 D BBB- (sf) 97,280,000 E BB- (sf) 153,710,000 F B- (sf) 135,850,000 G NR 47,500,000 H NR 43,700,000 RR interest NR 48,000,000 (i)Notional balance. The notional amount of the class X-CP certificates will be reduced by the aggregate amount of principal distributions and realized losses allocated to the A-2 portion of class A, B-2 portion of class B, C-2 portion of class C, and D-2 portion of class D through April 2019, and 0% thereafter. The notional amount of the class X-EXT certificates will be reduced by the aggregate amount of principal distributions and realized losses allocated to the A-1 portion of class A, B-1 portion of class B, C-1 portion of class C, and D-1 portion of class D through April 2019 and after April 2019, the notional amount of the class X-EXT certificates will be reduced by the aggregate amount of principal distributions and realized losses allocated to the class A, B, C, and D certificates. NR--Not rated. TOWD POINT 2018-1: Moody's Assigns (P)B3 Rating to Class B2 Notes ----------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to eight classes of notes issued by Towd Point Mortgage Trust 2018-1. The notes are backed by one pool of seasoned, performing and re-performing residential mortgage loans. The collateral pool is comprised of 4,525 first and junior lien, balloon, adjustable, fixed and step rate mortgage loans, and has a non-zero updated weighted average FICO score of 657 and a weighted average current LTV of 84.1% (for junior lien loans, LTV is calculated based on junior lien balance over current valuation) as of December 31, 2017 (the "Statistical Calculation Date"). Approximately 81.9% of the loans, as of the Statistical Calculation Date, in the collateral pool have been previously modified. Select Portfolio Servicing, Inc. is the servicer for the loans in the pool. FirstKey Mortgage, LLC will be the asset manager for the transaction. The complete rating actions are as follows: Issuer: Towd Point Mortgage Trust 2018-1 Cl. A1, Assigned (P)Aaa (sf) Cl. A2, Assigned (P)Aa3 (sf) Cl. A3, Assigned (P)Aa3 (sf) Cl. A4, Assigned (P)A1 (sf) Cl. B1, Assigned (P)Ba3 (sf) Cl. B2, Assigned (P)B3 (sf) Cl. M1, Assigned (P)A3 (sf) Cl. M2, Assigned (P)Baa3 (sf) RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Moody's expected losses on TPMT 2018-1's collateral pool is 14.00% in Moody's base case scenario. Moody's loss estimates take into account the historical performance of the loans that have similar collateral characteristics as the loans in the pool, and also incorporate an expectation of a continued strong credit environment for RMBS, supported by a current strong housing price environment. The methodologies used in these ratings were "Moody's Approach to Rating Securitizations Backed by Re-Performing and Non-Performing Loans" published in August 2016 and "US RMBS Surveillance Methodology" published in January 2017. Collateral Description TPMT 2018-1's collateral pool is primarily comprised of seasoned, performing and re-performing mortgage loans. Approximately 81.9% of the loans (as of the Statistical Calculation Date) in the collateral pool have been previously modified. The majority of the loans underlying this transaction exhibit collateral characteristics similar to that of seasoned Alt-A mortgages. Moody's expected losses on the pool on Moody's estimates of 1) the default rate on the remaining balance of the loans and 2) the principal recovery rate on the defaulted balances. The two factors that most strongly influence a re-performing mortgage loan's likelihood of re-default are the length of time that the loan has performed since modification, and the amount of the reduction in monthly mortgage payments as a result of modification. The longer a borrower has been current on a re-performing loan, the less likely they are to re-default. As of the Statistical Calculation Date, approximately 46.3% of the borrowers of the loans in the collateral pool have been current on their payments for the past 24 months. Moody's estimated expected losses using two approaches -- (1) pool-level approach, and (2) re-performing loan level analysis. In the pool-level approach, Moody's estimated losses on the pool by applying Moody's assumptions on expected future delinquencies, default rates, loss severities and prepayments as observed on similar seasoned collateral. Moody's projected future annual delinquencies for eight years by applying an initial annual default rate assumption adjusted for future years through delinquency burnout factors. The delinquency burnout factors reflect Moody's future expectations of the economy and the U.S. housing market. Based on the loan characteristics of the pool and the demonstrated pay histories, Moody's applied an initial expected annual delinquency rate of 13.0% for the pool for year one. Moody's then calculated future delinquencies using default burnout and voluntary conditional prepayment rate (CPR) assumptions. Moody's aggregated the delinquencies and converted them to losses by applying pool specific lifetime default frequency and loss severity assumptions. Moody's CPR and loss severity assumptions are based on actual observed performance of seasoned loans and prior TPMT deals. In applying Moody's loss severity assumptions, Moody's accounted for the lack of principal and interest advancing in this transaction. Moody's also conducted a loan level analysis on TPMT 2018-1's collateral pool. Moody's applied loan-level baseline lifetime propensity to default assumptions, and considered the historical performance of seasoned loans with similar collateral characteristics and payment histories. Moody's then adjusted this base default propensity up for (1) adjustable-rate loans, (2) loans that have the risk of coupon step-ups and (3) loans with high updated loan to value ratios (LTVs). Moody's applied a higher baseline lifetime default propensity for interest-only loans, using the same adjustments. To calculate the pool loss, Moody's applied a loan-level loss severity assumption based on the loans' updated estimated LTVs. Moody's further adjusted the loss severity assumption upwards for loans in states that give super-priority status to homeowner association (HOA) liens, to account for potential risk of HOA liens trumping a mortgage. For loans with deferred balances, Moody's assumed that 100% of the remaining PRA amount and approximately 31% of the non-PRA deferred principal balance on modified loans would be forgiven and not recovered. The deferred balance in this transaction is $36,850,551, representing approximately 5.2% of the total unpaid principal balance (as of the Statistical Calculation Date). Loans that have HAMP remaining principal reduction amount (PRA) totaled $3,501,272, representing approximately 9.5% of total deferred balance. In addition, 464 loans, or 10.3% of the pool, had current valuation derived from previous BPO values or original appraisals but adjusted for any appreciation or depreciation from previous valuation date to current date using a Home Data Index (HDI). Moody's applied a haircut to the property value to loans using this approach. The updated property values for all other loans in the pool were obtained within 12 months of the statistical calculation date, December 31, 2017. The final expected loss for the collateral pool reflects the due diligence findings of four independent third party review (TPR) firms as well as Moody's assessment of TPMT 2018-1's representations & warranties (R&Ws) framework. Transaction Structure TPMT 2018-1 has a sequential priority of payments structure, in which a given class of notes can only receive principal payments when all the classes of notes above it have been paid off. Similarly, losses will be applied in the reverse order of priority. The Class A1, A2, M1 and M2 notes carry a fixed-rate coupon subject to the collateral adjusted net WAC and applicable available funds cap. The Class A3 and A4 are variable rate notes where the coupon is equal to the weighted average of the note rates of the related exchange notes. The Class B1, B2, B3, B4 and B5 are variable rate notes where the coupon is equal to the lesser of adjusted net WAC and applicable available funds cap. There are no performance triggers in this transaction. Additionally, the servicer will not advance any principal or interest on delinquent loans. Moreover, the monthly excess cash flow in this transaction, after payment of such expenses, if any, will be fully captured to pay the principal balance of the bonds sequentially, allowing for a faster paydown of the bonds. Moody's coded TPMT 2018-1's cashflows using SFW®, a cashflow tool developed by Moody's Analytics. To assess the final rating on the notes, Moody's ran 96 different loss and prepayment scenarios through SFW. The scenarios encompass six loss levels, four loss timing curves, and four prepayment curves. The structure allows for timely payment of interest and ultimate payment of principal with respect to the notes by the legal final maturity. Third Party Review Four independent third party review (TPR) firms -- JCIII & Associates, Inc. (subsequently acquired by American Mortgage Consultants), Clayton Services, LLC, AMC Diligence, LLC and Westcor Land Title Insurance Company -- conducted due diligence for the transaction. Due diligence was performed on 96.4% of the loans by count in TPMT 2018-1's collateral pool for compliance, 96.4% for data capture, 97.2% for pay string history, and 98.9% for title and tax review. The TPR firms reviewed compliance, data integrity and key documents to verify that loans were originated in accordance with federal, state and local anti-predatory laws. The TPR firms conducted audits of designated data fields to ensure the accuracy of the collateral tape. Based on Moody's analysis of the third-party review reports, Moody's determined that a portion of the loans had legal or compliance exceptions that could cause future losses to the trust. Moody's incorporated an additional increase to Moody's expected losses for these loans to account for this risk. FirstKey Mortgage, LLC, retained Westcor to review the title and tax reports for the loans in the pool, and will oversee Westcor and monitor the loan sellers in the completion of the assignment of mortgage chains. In addition, FirstKey expects a significant number of the assignment and endorsement exceptions to be cleared within the first twelve months following the closing date of the transaction. Representations & Warranties Our ratings reflect TPMT 2018-1's weak representations and warranties (R&Ws) framework. The representation provider, FirstKey Mortgage, LLC is unrated by Moody's. Moreover, FirstKey's obligations will be in effect for only thirteen months (until the payment date in March 2019). The R&Ws themselves are weak because they contain many knowledge qualifiers and the regulatory compliance R&W does not cover monetary damages that arise from TILA violations whose right of rescission has expired. While the transaction provides a Breach Reserve Account to cover for any breaches of R&Ws, the size of the account is small relative to TPMT 2018-1's aggregate collateral pool ($707 million). An initial deposit of $1,450,000 will be remitted to the Breach Reserve Account on the closing date, with an initial Breach Reserve Account target amount of $2,514,975. Transaction Parties The transaction benefits from a strong servicing arrangement. Select Portfolio Servicing, Inc. will service 100% of TPMT 2018-1's collateral pool. Moody's assess SPS higher compared to its peers. Furthermore, FirstKey Mortgage, LLC, the asset manager, will oversee the servicer, which strengthens the overall servicing framework in the transaction. Wells Fargo Bank, N.A. and U.S. Bank National Association are the Custodians of the transaction. The Delaware Trustee for TPMT 2018-1 is Wilmington Trust, National Association. TPMT 2018-1's Indenture Trustee is U.S. Bank National Association. Factors that would lead to an upgrade or downgrade of the ratings: Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligors defaulting or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. UBS COMMERCIAL 2018-C8: Fitch to Rate Class F-RR Certs 'B-sf' ------------------------------------------------------------- Fitch Ratings has issued a presale report on UBS Commercial Mortgage Trust 2018-C8 Commercial Mortgage Pass-Through Certificates, Series 2018-C8. Fitch expects to rate the transaction and assign Rating Outlooks: -- $23,231,000 class A-1 'AAAsf'; Outlook Stable; -- $68,276,000 class A-2 'AAAsf'; Outlook Stable; -- $35,465,000 class A-SB 'AAAsf'; Outlook Stable; -- $284,183,000 class A-3 'AAAsf'; Outlook Stable; -- $320,462,000 class A-4 'AAAsf'; Outlook Stable; -- $731,617,000b class X-A 'AAAsf'; Outlook Stable; -- $185,517,000b class X-B 'A-sf'; Outlook Stable; -- $84,920,000 class A-S 'AAAsf'; Outlook Stable; -- $54,871,000 class B 'AA-sf'; Outlook Stable; -- $45,726,000 class C 'A-sf'; Outlook Stable; -- $18,949,000b class X-D 'BBBsf'; Outlook Stable; -- $18,949,000 class D 'BBBsf'; Outlook Stable; -- $33,310,000ac class D-RR 'BBB-sf'; Outlook Stable; -- $20,903,000ac class E-RR 'BBsf'; Outlook Stable; -- $14,371,000 ac class F-RR 'B-sf'; Outlook Stable. The following class is not expected to be rated: -- $40,500,891ac class NR-RR. (a) Privately placed and pursuant to Rule 144A. (b) Notional amount and interest-only. (c) Horizontal credit risk retention interest representing no less than 5% of the estimated fair value of all classes of regular certificates issued by the issuing entity as of the closing date. The expected ratings are based on information provided by the issuer as of Jan. 30, 2018. The certificates represent the beneficial ownership interest in the trust, primary assets of which are 67 loans secured by 126 commercial properties having an aggregate principal balance of $1,045,167,892 as of the cut-off date. The loans were contributed to the trust by: UBS AG, Ladder Capital Finance LLC, Societe Generale, Cantor Commercial Real Estate Lending, L.P., Rialto Mortgage Finance, LLC, CIBC Inc., and Barclays Bank PLC. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 63.3% of the properties by balance, cash flow analysis of 83.4% and asset summary reviews on 100% of the pool. KEY RATING DRIVERS Higher Fitch Leverage than Recent Transactions: The pool's leverage is higher than recent comparable Fitch-rated multiborrower transactions. The pool's Fitch DSCR is 1.17x, which is lower than the 2017 average of 1.26x. The pool's Fitch LTV is 107.2%, which is worse than the 2017 average of 101.6%. Excluding credit opinion loans, the pool's normalized Fitch DSCR and LTV are similar at 1.17x and 107.8%, compared to the 2017 averages of 1.21x and 107.2%, respectively. Diverse Pool: The pool is less concentrated than recent Fitch-rated transactions. The top 10 loans make up 43.4% of the pool, less than the 2017 average of 53.1%. The pool's average loan size of $15.6 million is lower than the average of $20 million for 2017. The concentration results in a loan concentration index (LCI) of 276, less than the 2017 average of 398. Weak Amortization: Based on the scheduled balance at maturity, the pool is scheduled to pay down by 6.5%, which is below the 2017 and 2016 averages of 7.9% and 10.4%, respectively. Thirty-one loans representing 57.1% of the pool are full-term, interest-only loans, which is greater than the 2017 and 2016 averages of 46.1% and 33.3%, respectively. Additionally, 17 loans representing 19.2% of the pool are partial-term, interest-only loans. Lower Hotel Exposure: Loans secured by hotel properties represent only 7.9% of the pool by balance, which is lower than the 2017 average of 15.8% for Fitch-rated transactions. Hotels have the highest probability of default in Fitch's multiborrower model, all else equal. Loans secured by office properties and mixed-use properties that are predominantly office make up 28.7% of the pool. Loans secured by retail properties and mixed-use properties that are predominantly retail make up 26.1% of the pool. Office and retail properties have an average probability of default in Fitch's multiborrower model, all else equal. RATING SENSITIVITIES For this transaction, Fitch's NCF was 16.6% below the most recent year's NOI for properties for which a full-year NOI was provided, excluding properties that were stabilizing during this period. Unanticipated further declines in property-level NCF could result in higher defaults and loss severities on defaulted loans and in potential rating actions on the certificates. Fitch evaluated the sensitivity of the ratings assigned to the UBS 2018-C8 certificates and found that the transaction displays average sensitivities to further declines in NCF. In a scenario in which NCF declined a further 20% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB+sf' could result. In a more severe scenario, in which NCF declined a further 30% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB-sf' could result. UNITED AUTO 2018-1: S&P Assigns B(sf) Rating on Class F Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to United Auto Credit Securitization Trust 2018-1's $171.73 million automobile receivables-backed notes series 2018-1. The note issuance is an asset-backed securities transaction backed by subprime auto loan receivables. The ratings reflect: -- The availability of approximately 61.6%, 54.1%, 44.7%, 34.8%, 27.4%, and 24.9% (pre-haircut) credit support for the class A, B, C, D, E, and F notes, respectively, based on stressed break-even cash flow scenarios (including excess spread). These credit support levels provide coverage of approximately 2.85x, 2.45x, 2.00x, 1.50x, 1.17x, and 1.10x S&P's expected net loss range of 20.50%-21.50% for the class A, B, C, D, E, and F notes, respectively. -- The likelihood of timely interest and principal payments by the assumed legal final maturity dates under stressed cash flow modeling scenarios that are appropriate for the assigned ratings. -- S&P said, "Our expectation that under a moderate ('BBB') stress scenario, all else being equal, the ratings on the class A, B, and C notes would not be lowered and the rating on the class D notes would not decline by more than one rating category. Under this scenario, the ratings on the class E and F notes would not decline by more than two rating categories from our 'BB- (sf)' and 'B (sf)' ratings, respectively, in the first year but would ultimately not pay off in a 'BBB' stress scenario, as expected. These potential rating movements are consistent with our credit stability criteria, which outline the outer bound of credit deterioration as a one-category downgrade within the first year for 'AAA' and 'AA' rated securities and a two-category downgrade within the first year for 'A' through 'B' rated securities under moderate stress conditions." -- Credit enhancement in the form of subordination, overcollateralization, a reserve account, and excess spread. -- The collateral characteristics of the subprime pool being securitized. It is approximately five months seasoned, with a weighted average original term of approximately 44 months and an average remaining term of about 39 months. As a result, S&P expects that the pool will pay down more quickly than many other subprime pools with longer weighted average original and remaining terms. -- S&P's analysis of six years of static pool data following the credit crisis and after United Auto Credit Corp. (UACC) centralized its operations and shifted toward shorter loan terms. S&P also reviewed the performance of UACC's three outstanding securitizations, as well as its seven securitizations from 2004 to 2007. -- UACC's 20-plus-year history of originating, underwriting, and servicing subprime auto loans. -- The transaction's payment and legal structures. RATINGS ASSIGNED United Auto Credit Securitization Trust 2018-1 Class Rating Type Interest Amount rate (mil. $) A AAA (sf) Senior Fixed 78.84 B AA (sf) Subordinate Fixed 21.47 C A (sf) Subordinate Fixed 21.47 D BBB (sf) Subordinate Fixed 24.74 E BB- (sf) Subordinate Fixed 19.14 F B (sf) Subordinate Fixed 6.07 VB-S1 ISSUER: Fitch to Rate Class F Notes 'BB-sf' ------------------------------------------------- Fitch Ratings has issued a presale report for VB-S1 Issuer, LLC's Secured Tower Revenue Notes, Series 2018-1. Fitch expects to rate the transaction and assign Rating Outlooks: -- $185,000,000 series 2018-1, class C, 'Asf'; Outlook Stable; -- $13,000,000 series 2018-1, class D, 'BBBsf'; Outlook Stable; -- $38,000,000 series 2018-1, class F, 'BB-sf'; Outlook Stable. The following class is not expected to be rated: -- $12,500,000a series 2018-1, class R. (a) Horizontal credit risk retention interest representing 5.0% of the 2018 certificates. The expected ratings are based on information provided by the issuer as of Feb. 1, 2018. The transaction is an issuance of notes backed by mortgages representing approximately 88.1% of the annualized run rate net cash flow (ARRNCF) and guaranteed by the direct parent of the borrower. This guarantee is secured by a pledge and first-priority-perfected security interest in 100% of the equity interest of the issuer, direct subsidiaries of which own or lease 2,551 wireless communication sites, which includes 2,664 towers and other structures. The new notes will be issued pursuant to a supplement to the amended and restated indenture dated as of the expected closing of the series 2018-1 transaction. At closing, note proceeds will be used to fund upfront reserves, refinance existing debt and for general corporate purposes. The ratings reflect a structured finance analysis of the cash flows from the ownership interest in cellular sites, not an assessment of the corporate default risk of the ultimate parent, Vertical Bridge (VB). KEY RATING DRIVERS Trust Leverage: Fitch's NCF on the pool is $63.3 million, implying a Fitch stressed debt service coverage ratio (DSCR) of 1.20x. The debt multiple relative to Fitch's NCF is 8.99x, which equates to a debt yield of 11.1%. Excluding the risk retention 2018-1 class R, the offered notes have a Fitch DSCR, NCF Multiple and DY of 1.23x, 8.79 and 11.4%, respectively. Technology Dependent Credit: Due to the specialized nature of the collateral and potential for changes in technology to affect long-term demand for tower space, similar to most wireless tower transactions, the senior classes of this transaction do not achieve ratings above 'Asf'. The securities have a rated final payment date 30 years after closing, and the long-term tenor of the securities increases the risk that an alternative technology will be developed that renders obsolete the current transmission of wireless signals through cellular sites. Currently, wireless service providers (WSP) depend on towers to transmit their signals and continue to invest in this technology. RATING SENSITIVITIES Fitch evaluated the sensitivity of the ratings for the offered certificates, and found a 10% decline in NCF would result in a downgrade of the 2018-C certificates to 'BBB-sf', while a 15% decline would result in a downgrade to below investment grade. The Rating Sensitivity section in the presale report includes a detailed explanation of additional stresses and sensitivities. VENTURE XVI: Moody's Assigns Ba3 Rating to Class E-RR Notes ----------------------------------------------------------- Moody's Investors Service has assigned ratings to five classes of refinancing notes (the "Refinancing Notes") issued by Venture XVI CLO, Limited: Moody's rating action is: US$320,000,000 Class A-RR Senior Secured Floating Rate Notes Due 2028 (the "Class A-RR Notes"), Assigned Aaa (sf) US$56,000,000 Class B-RR Senior Secured Floating Rate Notes Due 2028 (the "Class B-RR Notes"), Assigned Aa1 (sf) US$35,000,000 Class C-RR Mezzanine Secured Deferrable Floating Rate Notes Due 2028 (the "Class C-RR Notes"), Assigned A2 (sf) US$25,000,000 Class D-RR Mezzanine Secured Deferrable Floating Rate Notes Due 2028 (the "Class D-RR Notes"), Assigned Baa3 (sf) US$27,000,000 Class E-RR Junior Secured Deferrable Floating Rate Notes Due 2028 (the "Class E-RR Notes"), Assigned Ba3 (sf) The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. MJX Venture Management II LLC (the "Manager") manages the CLO. It directs the selection, acquisition, and disposition of collateral on behalf of the Issuer. RATINGS RATIONALE Moody's ratings on the Refinancing Notes address the expected losses posed to noteholders. The ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. The Issuer has issued the Refinancing Notes on January 31, 2018 (the "Refinancing Date") in connection with the refinancing of all classes of existing secured notes previously issued on March 14, 2014 (the "Original Closing Date") and April 17, 2017 (the "2017 Refinancing Date"). On the Refinancing Date, the Issuer used proceeds from the issuance of the Refinancing Notes, along with the proceeds from the subordinated notes, to redeem in full all classes of existing secured notes. In addition to the issuance of the Refinancing Notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; changes to the overcollateralization test levels; and changes to comply with the Volcker Rule. 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 August 2017. 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: $488,997,336 Defaulted par: $14,330,020 Diversity Score: 90 Weighted Average Rating Factor (WARF): 3194 Weighted Average Spread (WAS): 3.70% Weighted Average Recovery Rate (WARR): 47.0% Weighted Average Life (WAL): 6 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2017. Factors That Would Lead to an Upgrade or 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. Together with the set of modeling assumptions above, Moody's conducted an additional sensitivity analysis, which was a component in determining the ratings assigned to the Refinancing Notes. This sensitivity analysis includes increased default probability relative to the base case. Below is a summary of the impact of an increase in default probability (expressed in terms of WARF level) on the Refinancing Notes (shown in terms of the number of notch difference versus the current model output, whereby a negative difference corresponds to higher expected losses), assuming that all other factors are held equal: Percentage Change in WARF -- increase of 15% (3194 to 3673) Rating Impact in Rating Notches Class A-RR Notes: 0 Class B-RR Notes: -1 Class C-RR Notes: -2 Class D-RR Notes: -1 Class E-RR Notes: -1 Percentage Change in WARF -- increase of 30% (3194 to 4152) Rating Impact in Rating Notches Class A-RR Notes: 0 Class B-RR Notes: -3 Class C-RR Notes: -4 Class D-RR Notes: -2 Class E-RR Notes: -1 VOYA CLO 2016-1: S&P Assigns Prelim. BB-(sf) Rating on D-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-1-R, A-2-R, B-R, C-R, and D-R replacement notes from Voya CLO 2016-1 Ltd., a collateralized loan obligation (CLO) originally issued on Feb. 25, 2016, that is managed by Voya Alternative Asset Management LLC. In addition, S&P assigned preliminary ratings to the new class X-R notes, which are also expected to be issued on the refinancing date. The preliminary ratings reflect S&P's opinion that the credit support available is commensurate with the associated rating levels. The preliminary ratings are based on information as of Feb. 6, 2018. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Feb. 8, 2018, refinancing date, the proceeds from the issuance of the replacement notes are expected to redeem the original notes. S&P said, "At that time, we anticipate withdrawing the rating on the currently rated class A-1 notes and assigning ratings to the replacement notes. However, if the refinancing doesn't occur, we may affirm the rating on the class A-1 notes and withdraw our preliminary ratings on the replacement notes." The replacement notes are being issued via a proposed supplemental indenture, which, in addition to outlining the terms of the replacement notes, will also: -- Change the rated par amount and aggregate ramp-up par amount to $384.10 million and $416.60 million, respectively, from $257.30 million and $415.00 million. -- Extend the reinvestment period to Jan. 20, 2023, from July 20, 2020. -- Extend the non-call period to Jan. 20, 2020, from Jan. 20, 2018. -- Extend the weighted average life test to nine years from the Feb. 8, 2018, refinancing date, from eight years calculated from the original transactions closing date, Feb. 25, 2016. -- Extend the legal final maturity date on the rated and subordinated notes to Jan. 20, 2031, from Jan. 20, 2027. -- Issue class X-R floating-rate notes, which are expected to be paid down in equal quarterly installments of $200,000 on the first eight payment dates beginning with the July 2018 payment date. -- Adopt the use of the non-model version of CDO Monitor for this transaction. During the reinvestment period, the non-model version of CDO Monitor may be used to indicate whether changes to the collateral portfolio are generally consistent with the transaction parameters S&P assumed when initially assigning ratings to the notes. -- Change the required minimum thresholds for the coverage tests. -- Make the transaction U.S. risk retention compliant. -- Incorporate the recovery rate methodology and updated industry classifications outlined in S&P's August 2016 CLO criteria update. REPLACEMENT AND ORIGINAL NOTE ISSUANCES Replacement Notes Class Amount Interest (mil. $) rate (%) X-R 1.60 LIBOR + 0.60 A-1-R 259.50 LIBOR + 1.07 A-2-R 50.50 LIBOR + 1.30 B-R 31.60 LIBOR + 1.80 C-R 22.50 LIBOR + 2.65 D-R 18.40 LIBOR + 5.25 Subordinated notes 37.50 N/A Original Notes Class Amount Interest (mil. $) rate (%) A-1 257.30 LIBOR + 1.50 A-2A 32.45 LIBOR + 2.20 A-2B 20.00 3.92 B-1 8.90 LIBOR + 2.95 B-2 20.00 5.05 C 22.65 LIBOR + 4.20 D 20.50 LIBOR + 6.55 Subordinated notes 37.50 N/A S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the trustee report, to estimate future performance (see table). 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. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and we will take further rating actions as we deem necessary." PRELIMINARY RATINGS ASSIGNED Voya CLO 2016-1 Ltd. Replacement class Rating Amount (mil. $) X-R AAA (sf) 1.60 A-1-R AAA (sf) 259.50 A-2-R AA (sf) 50.50 B-R A (sf) 31.60 C-R BBB- (sf) 22.50 D-R BB- (sf) 18.40 Subordinated notes NR 37.50 WACHOVIA BANK 2007-C33: S&P Affirms CCC(sf) Rating on Cl. C Notes ----------------------------------------------------------------- S&P Global Ratings today raised its rating on the class A-M commercial mortgage pass-through certificates from Wachovia Bank Commercial Mortgage Trust's series 2007-C33, a U.S. commercial mortgage-backed securities (CMBS) transaction. In addition, S&P affirmed its ratings on three other classes from the same transaction. For the upgrade and affirmations, S&P's credit enhancement expectation was in line with the raised or affirmed rating levels. The upgrade on the class A-M certificates reflects the significant reduction in trust balance as well as its status as the front bond in the transaction, which benefits from amortization. While available credit enhancement levels suggest further positive rating movements on class A-M, S&P's analysis also considered the fact that all of the remaining assets in the transaction are either specially serviced or previously corrected. Therefore, the ultimate repayment of the principal balance on the class A-M certificates requires the successful resolution of these assets. TRANSACTION SUMMARY As of the Jan. 18, 2018, trustee remittance report, the certificates balance was $704.7 million and the collateral pool balance was $699.3 million, which is 19.6% of the pool balance at issuance. The pool currently includes 11 loans (adjusted for A/B notes as one loan) and three real estate owned (REO) assets, down from 166 loans at issuance. Twelve of these assets ($413.8 million, 58.7%) are with the special servicer, and one ($129.2 million, 18.3%) is on the master servicer's watchlist. The transaction only has two performing loans remaining. Both loans are pari passu and are secured by 666 Fifth Avenue, a 1.45 million-sq.-ft. office property located in New York. S&P calculated a 0.57x S&P Global Ratings weighted average debt service coverage (DSC) and 134.1% S&P Global Ratings weighted average loan-to-value (LTV) ratio using a 6.25% S&P Global Ratings weighted average capitalization rate for these loans. The DSC, LTV, and capitalization rate calculations exclude the two subordinate B notes ($27.0 million, 3.8%). To date, the transaction has experienced $200.1 million in principal losses, or 5.6% of the original pool certificates trust balance. S&P expects losses to reach approximately 10.3% of the original pool trust balance in the near term, based on losses incurred to date and additional losses it expects upon the eventual resolution of the 12 specially serviced assets and the two 666 Fifth Avenue B notes. CREDIT CONSIDERATIONS As of the Jan. 18, 2018, trustee remittance report, 12 assets in the pool were with the special servicer, Torchlight Loan Services LLC. Details of the two largest specially serviced assets are as follows: -- The Independence Mall loan ($200.0 million, 28.6%) is the second-largest loan in the trust and the largest loan with the special servicer with a total reported exposure of $202.5 million. The loan is secured by retail property totaling 398,009 sq. ft. located in Independence, Mo. The loan was transferred to the special servicer in May 2017 due to maturity default. The loan matured in July 2017. The special servicer has commenced advertising for a trustee sale, scheduled for Feb. 16, 2018. An appraisal reduction amount (ARA) of $80.6 million is in effect against the loan. S&P expects a moderate loss upon the loan's eventual resolution. -- The Central/Eastern Industrial Pool loan ($82.3 million, 11.8%) is the third-largest loan in the trust with a total reported exposure of $102.8 million. The loan is secured by 13 industrial properties totaling 2.1 million sq. ft. located in nine states. The loan was transferred to the special servicer in July 2010 due to imminent default. The special servicer is expected to exercise foreclosure on the individual properties. An ARA of $21.1 million is in effect against the loan. S&P expects a minimal loss upon the loan's eventual resolution. S&P said, "We also credit impaired the two subordinate 666 Fifth Avenue B notes totaling $27.0 million. We expect both B notes will incur significant losses." The 10 remaining assets with the special servicer have individual balances that represent less than 4.3% of the total pool trust balance. S&P estimated losses for the 12 specially serviced assets and the two credit impaired loans, arriving at a weighted-average loss severity of 39.0%. With respect to the specially serviced assets noted above, a minimal loss is less than 25% and a moderate loss is 26%-59%. RATINGS LIST Wachovia Bank Commercial Mortgage Trust Commecial mortgage pass-through certificates series 2007-C33 Rating Class Identifier To From A-M 92978NAJ3 A+ (sf) A- (sf) A-J 92978NAK0 B+ (sf) B+ (sf) B 92978NAL8 B- (sf) B- (sf) C 92978NAM6 CCC (sf) CCC (sf) WELLS FARGO 2016-C37: DBRS Confirms BB(low) Rating on X-H Certs --------------------------------------------------------------- DBRS Limited confirmed all classes of Commercial Mortgage Pass-Through Certificates, Series 2016-C37 issued by Wells Fargo Commercial Mortgage Trust 2016-C37 as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-S at AAA (sf) -- Class A-SB at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class X-D at BBB (high) (sf) -- Class D at BBB (high) (sf) -- Class E at BBB (sf) -- Class X-EF at BBB (sf) -- Class F at BBB (low) (sf) -- Class X-G at BBB (low) (sf) -- Class G at BB (high) (sf) -- Class X-H at BB (low) (sf) -- Class H at B (high) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction since issuance. The collateral consists of 63 fixed-rate loans secured by 141 properties, and as of the November 2017 remittance, there has been a collateral reduction of 0.7% as a result of scheduled loan amortization. Loans representing 92.6% and 22.9% of the pool balance reported Q2 2017 and Q3 2017 financials, respectively, and these loans reported a weighted-average (WA) debt service coverage ratio (DSCR) and debt yield of 1.89 times (x) and 10.4%, respectively, compared with the DBRS Term DSCR and DBRS Debt Yield of 1.69x and 9.2%, respectively. As of the November 2017 remittance, thirteen of the largest loans in the pool reported updated financials, with a WA Q2 2017 DSCR of 2.01x, which represents a WA cash flow improvement of 14.8% over the DBRS NCF figures derived at issuance. Six loans, representing 25.6% of the pool, were structured with full-term interest-only (IO) payments. An additional 18 loans, representing 30.3% of the pool, have partial IO periods ranging from 18 months to 60 months. Nine of these loans, representing 13.4% of the pool balance, will begin to amortize by YE2017. As of the November 2017 remittance, there are six loans, representing 13.6% of the pool, being monitored on the servicer's watchlist. Four of these loans, representing 7.3% of the pool balance, are being monitored for non-performance-related issues limited to relatively minor deferred maintenance. The largest loan on the watchlist, Prospectus ID #5, Franklin Square III, is secured by a retail property located in Gastonia, North Carolina, and is being monitored for the loss of Gander Mountain, which represented 15.8% of the NRA. At issuance, DBRS shadow-rated the Hilton Hawaiian Village loan (Prospectus ID#1, 7.0% of the pool balance), Quantum Park loan (Prospectus ID#2, 6.9% of the pool balance) and Potomac Mills loan (Prospectus ID#4, 4.8% of the pool balance) investment grade. With this review, DBRS confirms that the performance of these loans remain consistent with investment-grade characteristics. Classes X-A, X-B, X-D, X-EF, X-G and X-H are IO certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated reference tranche adjusted upward by one notch if senior in the waterfall. The ratings assigned to Classes B, C and H materially deviate from the higher ratings implied by the quantitative results. DBRS considers a material deviation to be a rating differential of three or more notches between the assigned rating and the rating implied by the quantitative results that is a substantial component of a rating methodology. The deviations are warranted given the sustainability of loan performance trends not demonstrated. WIRELESS CAPITAL 2013-2: Fitch Affirms BB-sf Ratings on 2 Tranches ------------------------------------------------------------------ Fitch Ratings has affirmed the ratings for Wireless Capital Partners, LLC secured wireless site contract revenue notes series 2013-1 and 2013-2: -- $91.43 million class 2013-1A at 'Asf'; Outlook Stable; -- $31 million class 2013-1B at 'BB-sf'; Outlook Stable; -- $17.32 million class 2013-2A at 'Asf'; Outlook Stable; -- $6 million class 2013-2B at 'BB-sf'; Outlook Stable. The certificates represent beneficial ownership interest in the trust, primary assets of which are 745 wireless sites securing one fixed-rate loan. As of the January 2018 distribution date, the aggregate principal balance of the notes has been reduced by 2.8% to $145.75 from $150 million since issuance. The transaction is structured with scheduled monthly principal payments that will amortize down the principal balance 10% by the anticipated repayment date (ARD) in year seven, reducing the refinance risk. The scheduled monthly principal payments are paid sequentially beginning in the third year from closing until the note's ARD. The ownership interest in the wireless sites consists of lease purchase sites, easements and fee interests in land, rooftops or other structures on which site space is allocated for placement of tower and wireless communication equipment. Unlike typical cell tower securitizations in which the towers serve as collateral, the collateral for this securitization generally consists of lease purchase sites, easements and the revenue stream from the payments the owner of the tower and/or tenants of the site pay to MelTel II Issuer LLC, formerly known as WCP Issuer LLC. MelTel II Issuer LLC, an affiliate of Melody Wireless Infrastructure, acquired Wireless Capital Holdings, LLC, the ultimate parent of WCP Guarantor LLC, now known as MelTel II Guarantor LLC, in January 2015. The manager was replaced by an affiliate of the new issuer. KEY RATING DRIVERS Stable Cash Flow: As of January 2018, Fitch stressed debt service coverage ratio (DSCR) was 1.52x, which compares with 1.51x at last review and 1.23x at issuance. The debt multiple relative to Fitch's net cash flow (NCF) was 7.20x, which equates to a debt yield of 13.9%. Technology-Dependent Credit/Rating Cap: The ratings have been capped at 'Asf' and upgrades are unlikely due to the specialized nature of the collateral and the potential for changes in technology to affect long-term demand for wireless tower space. The notes have a rated final payment date in 2043, and the long-term tenor of the notes increases the risk that an alternative technology rendering obsolete the current transmission of wireless signals through cellular sites will be developed. Currently, wireless service providers (WSP) depend on towers to transmit their signals and continue to invest in this technology. Leases to Strong Tower Tenants: Cash flow is derived from 947 separate leases across 745 towers in markets throughout the United States. Investment-grade tenants account for approximately 60.6% of run-rate revenue. Telephony towers account for 96.9% of run-rate revenue. Leases to AT&T and Verizon represent approximately 45.2% of the revenue. Additional Notes: The borrower has the ability to issue additional notes in the future that will rank senior to, pari passu with, or subordinate to the rated notes. These may be issued without the benefit of additional collateral, provided the post-issuance DSCR is not less than 2.00x. The possibility of upgrades may be limited due to this provision. RATING SENSITIVITIES The Outlooks on all classes are expected to remain Stable. Downgrades are unlikely due to continued cash flow growth from annual rent escalations and automatic renewal clauses resulting in higher DSCR since issuance. The ratings have been capped at 'A' and upgrades are unlikely due to the specialized nature of the collateral and the potential for changes in technology to affect long-term demand for wireless tower space. Deutsche Bank is the trustee for the transaction, and also serves as the backup advancing agent. Fitch downgraded Deutsche Bank's Issuer Default Rating to 'BBB+'/'F2' from 'A-'/'F1' on Sept. 28, 2017. Fitch relies on the master servicer, Midland Loan Services (parent PNC Bank, National Association, A+/F1/Stable), which is currently the primary advancing agent, as a direct counterparty. Fitch provided ratings confirmation on Jan. 24, 2018. WP GLIMCHER 2015-WPG: S&P Affirms B-(sf) Rating on Cl. SQ-3 Certs ----------------------------------------------------------------- S&P Global Ratings affirmed its ratings on four pooled classes and five non-pooled classes of commercial mortgage pass-through certificates from WP Glimcher Mall Trust 2015-WPG, a U.S. commercial mortgage-backed securities (CMBS) transaction. For the affirmations, S&P's credit enhancement expectation was in line with the affirmed rating levels. The affirmations on the class PR-1 and PR-2 raked certificates reflect our analysis of the Pearlridge Center loan. The $105.0 million trust loan is secured by a 903,692-sq.-ft. mall in Aiea, Hawaii. The class PR raked certificates derive 100% of their cash flows from the subordinate non-pooled component totaling $46.0 million of the loan. S&P's property analysis concluded stable operating performance and, using a 6.75% capitalization rate, it derived an S&P Global Ratings' loan-to-value (LTV) ratio of 78.6% on the trust balance. The affirmations on the class SQ-1, SQ-2, and SQ-3 raked certificates reflect our analysis of the Scottsdale Quarter loan. The $95.0 million trust loan is secured by a 541,971-sq.-ft. mixed-use retail and office property in Scottsdale, Ariz. The class SQ raked certificates derive 100% of their cash flows from the subordinate non-pooled component totaling $57.0 million of the loan. S&P's property analysis concluded stable operating performance and, using a 7.11% capitalization rate, it derived an S&P Global Ratings' LTV ratio of 94.4% on the trust balance. S&P affirmed its rating on the class X interest-only (IO) certificates based on its criteria for rating IO securities, in which the rating on the IO securities would not be higher than that of the lowest-rated reference class. Class X's notional balance references classes A, B, and C. This is a stand-alone (single borrower) transaction backed by two 10-year fixed-rate IO loans secured by the two properties mentioned above. Details on the two loans are below. The Pearlridge Center loan has a whole loan aggregate principal balance of $225.0 million. This is evidenced by four senior notes, A-1-S, A-2-S, A-1-C, and A-2-C. The A-1-C and A-2-C loans of $120.0 million are not part of the trust. In addition to the four senior notes, there are four junior notes, B-1-S, B-2-S, C-1-S, and C-2-S, which are all part of the trust. S&P said, "Our property-level analysis included a re-evaluation of the retail property that secures the mortgage loan in the trust and considered the servicer-reported net operating income (NOI) and occupancy for the past four years (2013 through 2016) and partial year 2017. We then derived our sustainable in-place net cash flow (NCF), which we divided by a 6.75% S&P Global Ratings capitalization rate to determine our expected-case value." This yielded an overall S&P Global Ratings LTV of 78.6% on the trust balance." The master servicer, Key Bank N.A., reported a debt service coverage (DSC) of 3.04x on the trust balance for year-end 2016, and occupancy was 94.2% according to the June 30, 2017, rent roll. Based on the June 2017 rent roll, the five largest tenants are Macy's, Bed Bath & Beyond, Pearlridge Mall Theaters, Long Drug Store, and Pali Momi Medical Center. There is some tenant rollover risk in the near-term, with 17.23% of the leases set to expire in 2018 and 13.24% of the leases set to expire in 2019. The Scottsdale Quarter loan has a whole loan aggregate principal balance of $165.0 million. This is evidenced by four senior notes, A-1-S, A-2-S, A-1-C, and A-2-C. The A-1-C and A-2-C loans of $70.0 million are not part of the trust. In addition to the four senior notes, there are four junior notes, B-1-S, B-2-S, C-1-S, and C-2-S, which are all part of the trust. S&P said, "Our property-level analysis included a re-evaluation of the mixed-use retail and office property that secures the mortgage loan in the trust and considered the servicer-reported NOI and occupancy for the past four years (2013 through 2016) and partial year 2017. We then derived our sustainable in-place NCF, which we divided by a 7.11% S&P Global Ratings capitalization rate to determine our expected-case value." This yielded an overall S&P Global Ratings LTV of 94.4% on the trust balance. Key Bank N.A. reported a DSC of 2.60x on the trust balance for year-end 2016, and occupancy was 94.9% according to the June 30, 2017, rent roll. Based on the June 2017 rent roll, the five largest tenants are Starwood Hotels & Resorts, IPIC Theaters, H&M, Restoration Hardware, and Maracay Homes. There is minimal tenant rollover risk in the near-term, with 6.74% of the leases set to expire in 2018 and 6.64% of the leases set to expire in 2019. According to the Jan. 8, 2018, trustee remittance report, the aggregate trust balance was $200.0 million and pays an annual fixed interest rate of 3.53% and matures on June 1, 2025. To date, the trust has not incurred any principal losses. RATINGS LIST WP Glimcher Mall Trust 2015-WPG Commercial mortgage pass-through certificates series 2015-WPG Rating Class Identifier To From A 92939VAA2 AAA (sf) AAA (sf) X 92939VAC8 A- (sf) A- (sf) B 92939VAE4 AA- (sf) AA- (sf) C 92939VAG9 A- (sf) A- (sf) PR-1 92939VAL8 BBB- (sf) BBB- (sf) PR-2 92939VAN4 BB (sf) BB (sf) SQ-1 92939VAQ7 BBB- (sf) BBB- (sf) SQ-2 92939VAS3 BB- (sf) BB- (sf) SQ-3 92939VAU8 B- (sf) B- (sf) [*] Moody's Hikes $110.3MM of Alt-A RMBS & Multi-Family Loans ------------------------------------------------------------- Moody's Investors Service has upgraded the rating of eight tranches from two transactions, backed by Alt-A and Multi-Family mortgage loans, issued by Impac. Complete rating actions are: Issuer: Impac CMB Trust Series 2005-8 Cl. 1-A, Upgraded to Baa2 (sf); previously on May 5, 2016 Upgraded to Ba1 (sf) Cl. 1-M-1, Upgraded to Caa2 (sf); previously on May 5, 2016 Upgraded to Ca (sf) Cl. 1-AM, Upgraded to B2 (sf); previously on May 5, 2016 Upgraded to Caa2 (sf) Cl. 2-M-1, Upgraded to Aaa (sf); previously on Dec 20, 2005 Assigned Aa2 (sf) Cl. 2-M-3, Upgraded to A1 (sf); previously on Dec 20, 2005 Assigned Baa2 (sf) Cl. 2-M-2, Upgraded to Aa1 (sf); previously on Dec 20, 2005 Assigned A2 (sf) Cl. 2-B, Upgraded to A3 (sf); previously on Mar 28, 2017 Upgraded to Baa3 (sf) Issuer: Impac Secured Assets Corp. Mortgage Pass-Through Certificates, Series 2006-1 Cl. 2-A-2, Upgraded to Aaa (sf); previously on Mar 21, 2013 Affirmed Aa3 (sf) RATINGS RATIONALE The rating upgrades are primarily due to the stable or improved credit enhancement available to the bonds and the improved collateral performance of the related underlying pools. The actions reflect the recent performance of the underlying pools, Moody's updated loss expectations on the pools and an update in the approach used in analyzing the transaction structures. In Moody's prior analysis for the securitizations, Moody's used a static approach for the Group 2 pools that are backed by multi-family loans. The static approach compared the total credit enhancement for a bond, including excess spread, subordination, overcollateralization, and other external support, if any, to Moody's expected losses on the mortgage pool(s) supporting that bond. Moody's approach has now been updated to include a cash flow analysis of the Group 2 pools, wherein Moody's run several different loss levels, loss timing, and prepayment scenarios using Moody's scripted cash flow waterfalls to estimate the losses to the different bonds under these scenarios and the ratings on the bonds. The rating upgrades on Classes 1-A and 1-AM from Impac CMB Trust Series 2005-8 also reflect a correction to the cash flow model used in rating this transaction. In prior rating actions, excess cash flow was mistakenly not used to reimburse realized losses on the tranches. This error has now been corrected, and action reflects the correct application of excess cashflow to the bonds. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in January 2017. Factors that would lead to an upgrade or downgrade of the ratings: Ratings in the US RMBS sector remain exposed to the high level of macroeconomic uncertainty, and in particular the unemployment rate. The unemployment rate fell to 4.1% in January 2018 from 4.8% in January 2017. Moody's forecasts an unemployment central range of 3.5% to 4.5% for the 2018 year. Deviations from this central scenario could lead to rating actions in the sector. House prices are another key driver of US RMBS performance. Moody's expects house prices to continue to rise in 2018. 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. House prices are another key driver of US RMBS performance. Moody's expects house prices to continue to rise in 2018. 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. [*] Moody's Hikes $537MM of RMBS Issued 2015-2016 ------------------------------------------------- Moody's Investors Service has upgraded the ratings of 41 tranches from four RMBS re-performing loan transactions issued by Citigroup Mortgage Loan Trust and Towd Point Mortgage Trust in 2015 and 2016. The transactions are backed by modified and un-modified seasoned re-performing loans. Issuer: Citigroup Mortgage Loan Trust 2015-A Cl. A, Upgraded to Aaa (sf); previously on Apr 7, 2015 Definitive Rating Assigned Aa1 (sf) Cl. A-1, Upgraded to Aaa (sf); previously on Apr 7, 2015 Definitive Rating Assigned Aa1 (sf) Cl. A-1C, Upgraded to Aaa (sf); previously on Apr 7, 2015 Assigned Aa2 (sf) Cl. A-1-IO, Upgraded to Aaa (sf); previously on Apr 7, 2015 Definitive Rating Assigned Aa1 (sf) Cl. A-2, Upgraded to Aaa (sf); previously on Apr 7, 2015 Definitive Rating Assigned Aa1 (sf) Cl. A-2C, Upgraded to Aaa (sf); previously on Apr 7, 2015 Assigned Aa2 (sf) Cl. A-2-IO, Upgraded to Aaa (sf); previously on Apr 7, 2015 Definitive Rating Assigned Aa1 (sf) Cl. A-3, Upgraded to Aaa (sf); previously on Apr 7, 2015 Definitive Rating Assigned Aa1 (sf) Cl. A-3C, Upgraded to Aaa (sf); previously on Apr 7, 2015 Assigned Aa2 (sf) Cl. A-3-IO, Upgraded to Aaa (sf); previously on Apr 7, 2015 Definitive Rating Assigned Aa1 (sf) Cl. A-3B, Upgraded to Aaa (sf); previously on Apr 7, 2015 Assigned Aa1 (sf) Cl. A-4A, Upgraded to Aaa (sf); previously on Apr 7, 2015 Assigned Aa1 (sf) Cl. A-4B, Upgraded to Aaa (sf); previously on Apr 7, 2015 Assigned Aa1 (sf) Cl. A-4, Upgraded to Aaa (sf); previously on Apr 7, 2015 Definitive Rating Assigned Aa1 (sf) Cl. A-4C, Upgraded to Aaa (sf); previously on Apr 7, 2015 Assigned Aa2 (sf) Cl. A-4-IO, Upgraded to Aaa (sf); previously on Apr 7, 2015 Definitive Rating Assigned Aa1 (sf) Cl. AC, Upgraded to Aaa (sf); previously on Apr 7, 2015 Assigned Aa2 (sf) Cl. B-1, Upgraded to Aa1 (sf); previously on Apr 7, 2015 Definitive Rating Assigned A2 (sf) Cl. B-2, Upgraded to A1 (sf); previously on Apr 7, 2015 Definitive Rating Assigned Baa1 (sf) Cl. B-3, Upgraded to Baa1 (sf); previously on Apr 7, 2015 Definitive Rating Assigned Ba1 (sf) Issuer: Citigroup Mortgage Loan Trust 2015-PS1 Cl. A, Upgraded to Aaa (sf); previously on Nov 16, 2015 Definitive Rating Assigned Aa1 (sf) Cl. A-1, Upgraded to Aaa (sf); previously on Nov 16, 2015 Definitive Rating Assigned Aa1 (sf) Cl. A-1-IO, Upgraded to Aaa (sf); previously on Nov 16, 2015 Definitive Rating Assigned Aa1 (sf) Cl. B-1, Upgraded to Aa2 (sf); previously on Nov 16, 2015 Definitive Rating Assigned A2 (sf) Cl. B-2, Upgraded to A1 (sf); previously on Nov 16, 2015 Definitive Rating Assigned Baa2 (sf) Cl. B-3, Upgraded to Ba2 (sf); previously on Nov 16, 2015 Definitive Rating Assigned B3 (sf) Issuer: Citigroup Mortgage Loan Trust 2015-RP2 Cl. A, Upgraded to Aaa (sf); previously on Feb 28, 2017 Upgraded to Aa2 (sf) Cl. A-1, Upgraded to Aaa (sf); previously on Feb 28, 2017 Upgraded to Aa2 (sf) Cl. A-1-IO, Upgraded to Aaa (sf); previously on Feb 28, 2017 Upgraded to Aa2 (sf) Cl. A-2, Upgraded to Aaa (sf); previously on Feb 28, 2017 Upgraded to Aa2 (sf) Cl. A-2A, Upgraded to Aaa (sf); previously on Feb 28, 2017 Upgraded to Aa1 (sf) Cl. A-2B, Upgraded to Aaa (sf); previously on Feb 28, 2017 Upgraded to Aa3 (sf) Cl. A-2-IO, Upgraded to Aaa (sf); previously on Feb 28, 2017 Upgraded to Aa2 (sf) Cl. B-1, Upgraded to Aa2 (sf); previously on Feb 28, 2017 Upgraded to A2 (sf) Cl. B-2, Upgraded to A2 (sf); previously on Feb 28, 2017 Upgraded to Baa1 (sf) Cl. B-3, Upgraded to Baa3 (sf); previously on Feb 28, 2017 Upgraded to Ba2 (sf) Issuer: Towd Point Mortgage Trust 2016-4 Cl. A2, Upgraded to Aaa (sf); previously on Sep 30, 2016 Definitive Rating Assigned Aa2 (sf) Cl. M1, Upgraded to Aa2 (sf); previously on Sep 30, 2016 Definitive Rating Assigned A2 (sf) Cl. M2, Upgraded to A2 (sf); previously on Sep 30, 2016 Definitive Rating Assigned Baa2 (sf) Cl. B1, Upgraded to Baa2 (sf); previously on Sep 30, 2016 Definitive Rating Assigned Ba1 (sf) Cl. B2, Upgraded to Ba2 (sf); previously on Sep 30, 2016 Definitive Rating Assigned B2 (sf) Ratings Rationale The rating upgrades are driven by the stronger performance of the underlying loans in the pools relative to initial expectations and an increase in the credit enhancement available to the rated bonds due to high prepayments. The actions reflect Moody's updated loss expectations on the pools which incorporate Moody's assessment of the representations and warranties frameworks of the transactions, the due diligence findings of the third party review at the time of issuance, and the strength of the transaction's servicers. Fay Servicing, LLC is the primary servicer of the collateral for Citigroup Mortgage Loan Trust 2015-A, Citigroup Mortgage Loan Trust 2015-PS1 and Citigroup Mortgage Loan Trust 2015-RP2, and Select Portfolio Servicing, Inc is the primary servicer for the majority of the collateral for Towd Point Mortgage Trust 2016-4. The loans underlying the pools have fewer delinquencies and have prepaid at faster rates than originally anticipated, resulting in an improvement in Moody's loss projections. Serious delinquencies (loans that are 60 or more days delinquent) as a percentage of current pool balances, as of December 2017, were 6.7% for Citigroup Mortgage Loan Trust 2015-A, 1.7% for Citigroup Mortgage Loan Trust 2015-PS1, 4.26% for Citigroup Mortgage Loan Trust 2015-RP2 and 3.6% for Towd Point Mortgage Trust 2016-4. Cumulative losses realized on the pools till date have been small and, in Towd Point Mortgage Trust 2016-4, are largely driven by modification losses recognized on forborne amounts. Moody's base Moody's expected losses on a pool of re-performing mortgage loans on Moody's estimates of 1) the default rate on the remaining balance of the loans and 2) the principal recovery rate on the defaulted balances. The two factors that most strongly influence a re-performing mortgage loan's likelihood of re-default are the length of time that the loan has performed since modification, and the amount of the reduction in monthly mortgage payments as a result of modification. The longer a borrower has been current on a re-performing loan, the less likely they are to re-default. Moody's used expected annual delinquency rates between 3% and 11% and expected prepayment rates between 8% and 12% to estimate future losses on the collateral based on the collateral characteristics of the loans, observed performance of the loans in the pools and observed performance of loans similar to the loans in the pools. The rating upgrades also reflect the increase in credit enhancement available to the bonds driven by strong prepayments on the underlying collateral and the transaction waterfalls. Citigroup Mortgage Loan Trust 2015-A, 2015-PS1 and 2015-RP2 incorporate a shifting interest waterfall with subordination floors to protect the bonds against tail risk. Towd Point Mortgage Trust 2016-4, incorporates a sequential pay structure with available excess spread that is used to cover for losses and pay down the bonds. The upgrades of the exchangeable and interest-only certificates reflect the upgraded ratings of their related bonds. The methodologies used in these ratings were "Moody's Approach to Rating Securitisations Backed by Non- Performing and Re-Performing Loans" published in August 2016 and "US RMBS Surveillance Methodology" published in January 2017. The methodologies used in rating Citigroup Mortgage Loan Trust 2015-A Cl. A-1-IO, Cl. A-2-IO, Cl. A-3-IO, and Cl. A-4-IO, Citigroup Mortgage Loan Trust 2015-PS1 Cl. A-1-IO and Citigroup Mortgage Loan Trust 2015-RP2, Cl. A-1-IO, and Cl. A-2-IO were "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017, "Moody's Approach to Rating Securitisations Backed by Non- Performing and Re-Performing Loans" published in August 2016 and "US RMBS Surveillance Methodology" published in January 2017. Factors that would lead to an upgrade or downgrade of the ratings: Ratings in the US RMBS sector remain exposed to the high level of macroeconomic uncertainty, and in particular the unemployment rate. The unemployment rate fell to 4.1% in December 2017 from 4.7% in December 2016. Moody's forecasts an unemployment central range of 3.5% to 4.5% for the 2018 year. Deviations from this central scenario could lead to rating actions in the sector. House prices are another key driver of US RMBS performance. Moody's expects house prices to continue to rise in 2018. 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. [*] Moody's Takes Action on $1.54BB of RMBS Issued 2001-2007 ------------------------------------------------------------ Moody's Investors Service has upgraded the ratings of 66 tranches, and downgraded the rating of one tranche, from 25 subprime RMBS transactions issued by various issuers. Complete rating actions are as follows: Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2005-RM1 Cl. M-4, Upgraded to Caa1 (sf); previously on May 28, 2015 Upgraded to Ca (sf) Issuer: Ameriquest Mortgage Securities Inc., Series 2003-5 Cl. A-6, Upgraded to Ba2 (sf); previously on Feb 24, 2017 Upgraded to B1 (sf) Issuer: Argent Securities Inc., Series 2004-W11 Cl. M-5, Upgraded to Caa2 (sf); previously on Apr 8, 2016 Upgraded to Ca (sf) Issuer: Bear Stearns ABS Trust Certificates, Series 2001-3 Cl. A-1, Upgraded to A2 (sf); previously on May 31, 2012 Downgraded to Baa2 (sf) Cl. A-2, Upgraded to A2 (sf); previously on May 31, 2012 Downgraded to Baa2 (sf) Cl. A-3, Upgraded to A3 (sf); previously on May 31, 2012 Downgraded to Baa3 (sf) Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB7 Cl. AF-4, Upgraded to Aaa (sf); previously on May 4, 2012 Downgraded to Aa1 (sf) Cl. AF-5, Upgraded to Aaa (sf); previously on May 4, 2012 Downgraded to Aa1 (sf) Cl. M-2, Upgraded to B1 (sf); previously on May 22, 2015 Upgraded to B3 (sf) Cl. M-3, Upgraded to Caa2 (sf); previously on Mar 10, 2011 Downgraded to Ca (sf) Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB8 Cl. M-2, Upgraded to Ba2 (sf); previously on May 29, 2015 Upgraded to B2 (sf) Cl. M-3, Upgraded to B1 (sf); previously on May 29, 2015 Upgraded to Caa3 (sf) Cl. B-1, Upgraded to Caa1 (sf); previously on Mar 10, 2011 Downgraded to Ca (sf) Issuer: Citigroup Mortgage Loan Trust, Series 2004-RES1 Cl. M-2, Upgraded to Baa3 (sf); previously on Aug 22, 2014 Upgraded to Ba2 (sf) Cl. M-3, Upgraded to Baa3 (sf); previously on Apr 8, 2016 Upgraded to Ba2 (sf) Cl. M-5, Upgraded to Ba1 (sf); previously on Apr 8, 2016 Upgraded to B1 (sf) Cl. M-6, Upgraded to B2 (sf); previously on Apr 8, 2016 Upgraded to Caa3 (sf) Cl. M-7, Upgraded to Caa2 (sf); previously on Mar 7, 2011 Downgraded to C (sf) Issuer: Conseco Finance Home Equity Loan Trust 2002-A Cl. B-2, Upgraded to B2 (sf); previously on May 4, 2015 Upgraded to Caa2 (sf) Cl. M-2, Upgraded to Baa3 (sf); previously on Aug 14, 2013 Upgraded to Ba1 (sf) Issuer: Equity One Mortgage Pass-Through Trust 2003-4 AF-5, Upgraded to Aaa (sf); previously on May 3, 2012 Downgraded to Aa2 (sf) M-1, Upgraded to Baa3 (sf); previously on Feb 24, 2017 Upgraded to Ba2 (sf) M-2, Upgraded to B3 (sf); previously on Apr 15, 2015 Upgraded to Caa3 (sf) Issuer: First Franklin Mortgage Loan Trust 2006-FF1 Cl. M-1, Upgraded to Ba1 (sf); previously on Aug 28, 2015 Upgraded to B1 (sf) Issuer: First Franklin Mortgage Loan Trust 2006-FF14 Cl. A5, Upgraded to Ba1 (sf); previously on Jul 2, 2015 Upgraded to B2 (sf) Issuer: First Franklin Mortgage Loan Trust 2006-FF9 Cl. I-A, Upgraded to Baa1 (sf); previously on Mar 10, 2016 Upgraded to Ba1 (sf) Issuer: J.P. Morgan Mortgage Acquisition Trust 2007-CH3, Asset-Backed Pass-Through Certificates, Series 2007-CH3 Cl. A-1A, Upgraded to Aa2 (sf); previously on Mar 2, 2017 Upgraded to A3 (sf) Cl. A-1B, Upgraded to Baa3 (sf); previously on Mar 2, 2017 Upgraded to Ba3 (sf) Cl. A-4, Upgraded to Baa3 (sf); previously on Mar 2, 2017 Upgraded to B1 (sf) Cl. A-5, Upgraded to Ba1 (sf); previously on Mar 2, 2017 Upgraded to B2 (sf) Cl. M-1, Upgraded to Caa3 (sf); previously on Jul 14, 2010 Downgraded to C (sf) Issuer: J.P. Morgan Mortgage Acquisition Trust 2007-CH5 Cl. A-1, Upgraded to Baa3 (sf); previously on Mar 2, 2017 Upgraded to B1 (sf) Cl. A-4, Upgraded to Baa1 (sf); previously on Mar 2, 2017 Upgraded to Ba2 (sf) Cl. A-5, Upgraded to Baa2 (sf); previously on Mar 2, 2017 Upgraded to Ba3 (sf) Cl. M-1, Upgraded to Caa1 (sf); previously on Jul 14, 2010 Downgraded to C (sf) Issuer: MASTR Asset Backed Securities Trust 2007-HE1 Cl. A-3, Upgraded to Caa1 (sf); previously on May 5, 2010 Downgraded to Ca (sf) Cl. A-4, Upgraded to Caa2 (sf); previously on May 5, 2010 Downgraded to Ca (sf) Issuer: MASTR Asset Backed Securities Trust 2007-HE2 Cl. A-3, Upgraded to Caa2 (sf); previously on May 5, 2010 Downgraded to Ca (sf) Cl. A-4, Upgraded to Caa2 (sf); previously on May 5, 2010 Downgraded to Ca (sf) Issuer: MASTR Asset Backed Securities Trust 2006-NC1 Cl. A-4, Upgraded to Aaa (sf); previously on Apr 13, 2016 Upgraded to A1 (sf) Issuer: MASTR Asset Backed Securities Trust 2004-OPT2 Cl. M-1, Upgraded to Ba3 (sf); previously on May 3, 2012 Confirmed at B1 (sf) Cl. M-2, Upgraded to B1 (sf); previously on Oct 28, 2015 Upgraded to B3 (sf) Cl. M-3, Upgraded to Caa1 (sf); previously on Oct 28, 2015 Upgraded to Caa2 (sf) Cl. M-4, Upgraded to Caa3 (sf); previously on Mar 11, 2011 Downgraded to Ca (sf) Issuer: MASTR Asset Backed Securities Trust 2004-WMC2 Cl. M-4, Upgraded to B1 (sf); previously on Mar 22, 2016 Upgraded to B3 (sf) Cl. M-5, Upgraded to Caa3 (sf); previously on Jun 3, 2009 Downgraded to C (sf) Issuer: MASTR Asset Securitization Trust 2003-NC1 Cl. M-5, Upgraded to B3 (sf); previously on May 3, 2012 Upgraded to Caa3 (sf) Cl. M-6, Upgraded to Caa1 (sf); previously on Mar 11, 2011 Downgraded to Ca (sf) Issuer: Newcastle Mortgage Securities Trust 2007-1 Cl. 1-A-1, Upgraded to B1 (sf); previously on Mar 2, 2017 Upgraded to B3 (sf) Cl. 2-A-2, Upgraded to Baa3 (sf); previously on Mar 2, 2017 Upgraded to B1 (sf) Cl. 2-A-3, Upgraded to B2 (sf); previously on Mar 2, 2017 Upgraded to Caa2 (sf) Cl. 2-A-4, Upgraded to B3 (sf); previously on Mar 2, 2017 Upgraded to Caa3 (sf) Issuer: NovaStar Mortgage Funding Trust, Series 2003-2 Cl. M-1, Upgraded to Aa2 (sf); previously on Feb 24, 2017 Upgraded to A3 (sf) Cl. M-2, Upgraded to A1 (sf); previously on Feb 24, 2017 Upgraded to Baa1 (sf) Cl. M-3, Upgraded to A2 (sf); previously on Feb 24, 2017 Upgraded to Baa3 (sf) Cl. B-1, Upgraded to A3 (sf); previously on Feb 24, 2017 Upgraded to Baa3 (sf) Issuer: Renaissance Home Equity Loan Trust 2004-4 Cl. AF-4, Upgraded to Aa1 (sf); previously on Jun 10, 2013 Confirmed at A1 (sf) Cl. AF-5, Upgraded to Baa2 (sf); previously on Mar 10, 2015 Upgraded to B1 (sf) Cl. AF-6, Upgraded to A2 (sf); previously on May 9, 2014 Downgraded to Baa3 (sf) Cl. MF-1, Upgraded to B1 (sf); previously on Feb 24, 2017 Upgraded to B3 (sf) Cl. MV-1, Downgraded to B3 (sf); previously on Mar 7, 2016 Upgraded to B1 (sf) Issuer: Structured Asset Investment Loan Trust 2003-BC6 Cl. M1, Upgraded to A3 (sf); previously on Feb 24, 2017 Upgraded to Baa3 (sf) Cl. M2, Upgraded to Baa3 (sf); previously on Feb 24, 2017 Upgraded to Ba3 (sf) Cl. M4, Upgraded to Ba2 (sf); previously on Feb 24, 2017 Upgraded to B1 (sf) Cl. B, Upgraded to B1 (sf); previously on Feb 24, 2017 Upgraded to B2 (sf) Issuer: Structured Asset Investment Loan Trust 2006-3 Cl. A2, Upgraded to B3 (sf); previously on Mar 22, 2016 Upgraded to Caa2 (sf) Cl. A5, Upgraded to Ba1 (sf); previously on Mar 2, 2017 Upgraded to B1 (sf) RATINGS RATIONALE The upgrades are primarily due to the total credit enhancement available to the bonds. The downgrade is due to the total losses expected on the bond. The actions reflect the recent performance of the underlying pools and Moody's updated loss expectations on the pools. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in January 2017. Factors that would lead to an upgrade or downgrade of the ratings: Ratings in the US RMBS sector remain exposed to macroeconomic uncertainty, and in particular the unemployment rate. The unemployment rate fell to 4.1% in December 2017 from 4.7% in December 2016. Moody's forecasts an unemployment central range of 3.5% to 4.5% for the 2018 year. Deviations from this central scenario could lead to rating actions in the sector. House prices are another key driver of US RMBS performance. Moody's expects house prices to continue to rise in 2018. 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. [*] Moody's Takes Action on $158.3MM of Alt-A & Option ARM Loans ---------------------------------------------------------------- Moody's Investors Service has upgraded ratings of four tranches and downgraded five tranches from five US residential mortgage backed transactions (RMBS), backed by Alt-A and Option ARM loans, issued by multiple issuers. Complete rating actions are: Issuer: Banc of America Funding 2007--5 Trust Cl. 5-A-1, Downgraded to Caa2 (sf); previously on Jan 10, 2013 Downgraded to Caa1 (sf) Cl. 6-A-1, Downgraded to Caa3 (sf); previously on Jan 10, 2013 Downgraded to Caa1 (sf) Issuer: GSAA Home Equity Trust 2005-3 Cl. B-1, Upgraded to Ba3 (sf); previously on Feb 13, 2017 Upgraded to B2 (sf) Cl. B-2, Upgraded to Caa1 (sf); previously on Aug 29, 2012 Downgraded to C (sf) Issuer: HarborView Mortgage Loan Trust 2007-4 Cl. 2A-1, Upgraded to Ba1 (sf); previously on Feb 23, 2017 Upgraded to Ba3 (sf) Issuer: Nomura Asset Acceptance Corporation, Alternative Loan Trust, Series 2005-AR3 Cl. III-A-1, Upgraded to Baa1 (sf); previously on Jan 22, 2018 Upgraded to Ba1 (sf) Issuer: Opteum Mortgage Acceptance Corporation, Asset Backed Pass-Through Certificates, Series 2005-1 Cl. M-4, Downgraded to B1 (sf); previously on Feb 22, 2013 Upgraded to Baa3 (sf) Cl. M-5, Downgraded to B1 (sf); previously on May 9, 2014 Upgraded to Baa3 (sf) Cl. M-6, Downgraded to B1 (sf); previously on May 9, 2014 Upgraded to Ba3 (sf) RATINGS RATIONALE The rating actions reflect the recent performance of the underlying pools and Moody's updated loss expectations on those pools. The rating upgrades are primarily due to improvement of credit enhancement available to the bonds and pay down of senior bonds. The rating downgrades are primarily due to deterioration in credit enhancement to the bonds. The downgrades on Cl. M-4, M-5 and M-6 in Opteum Mortgage Acceptance Corporation, Asset Backed Pass-Through Certificates, Series 2005-1 are due to outstanding interest shortfalls on the bonds that are unexpected to be reimbursed due to the weak interest recoupment mechanism in the transaction. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in January 2017. Factors that would lead to an upgrade or downgrade of the ratings: Ratings in the US RMBS sector remain exposed to the high level of macroeconomic uncertainty, and in particular the unemployment rate. The unemployment rate fell to 4.1% in December 2017 from 4.7% in December 2016. Moody's forecasts an unemployment central range of 3.5% to 4.5% for the 2018 year. Deviations from this central scenario could lead to rating actions in the sector. House prices are another key driver of US RMBS performance. Moody's expects house prices to continue to rise in 2018. 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. [*] Moody's Takes Action on $207.4MM of RMBS Issued 2004 & 2006 --------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 28 tranches from 10 transactions backed by "scratch and dent" RMBS loans. Complete rating actions are as follows: Issuer: Bayview Financial Mortgage Pass-Through Certificates, Series 2004-C Cl. M-2, Upgraded to Aaa (sf); previously on Feb 24, 2017 Upgraded to Aa2 (sf) Cl. M-3, Upgraded to Aa2 (sf); previously on Feb 24, 2017 Upgraded to A1 (sf) Cl. M-4, Upgraded to A3 (sf); previously on Feb 24, 2017 Upgraded to Baa3 (sf) Issuer: CSFB Mortgage Pass-Through Certificates, Series 2004-CF1 Cl. M-1, Upgraded to Ba3 (sf); previously on Feb 24, 2017 Downgraded to B2 (sf) Cl. M-2, Upgraded to B3 (sf); previously on Feb 24, 2017 Upgraded to Caa2 (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2004-SD3 Cl. B-1, Upgraded to Caa1 (sf); previously on Feb 14, 2017 Upgraded to Caa3 (sf) Issuer: RAAC 2006-SP2 Trust Cl. A-3, Upgraded to Aaa (sf); previously on Feb 14, 2017 Upgraded to Aa2 (sf) Cl. M-1, Upgraded to B1 (sf); previously on Feb 14, 2017 Upgraded to B2 (sf) Issuer: RAAC Series 2004-SP3 Trust Cl. A-I-4, Upgraded to Aa3 (sf); previously on Feb 14, 2017 Upgraded to A2 (sf) Cl. A-I-5, Upgraded to Aa2 (sf); previously on Feb 14, 2017 Upgraded to A1 (sf) Cl. A-II, Upgraded to Aa3 (sf); previously on Feb 14, 2017 Upgraded to A1 (sf) Cl. M-II-1, Upgraded to Baa2 (sf); previously on Feb 14, 2017 Upgraded to Ba1 (sf) Cl. M-II-2, Upgraded to B2 (sf); previously on Feb 14, 2017 Upgraded to Caa1 (sf) Cl. M-II-3, Upgraded to Ca (sf); previously on May 19, 2011 Downgraded to C (sf) Issuer: RAAC Series 2005-RP1 Trust Cl. M-3, Upgraded to A1 (sf); previously on Feb 14, 2017 Upgraded to A3 (sf) Cl. M-4, Upgraded to Ba1 (sf); previously on Feb 14, 2017 Upgraded to Ba3 (sf) Issuer: RAAC Series 2005-SP3 Trust Cl. M-1, Upgraded to Aa2 (sf); previously on Feb 14, 2017 Upgraded to A3 (sf) Cl. M-2, Upgraded to Ba1 (sf); previously on Feb 14, 2017 Upgraded to Ba3 (sf) Cl. M-3, Upgraded to Ba3 (sf); previously on Feb 14, 2017 Upgraded to B2 (sf) Cl. M-4, Upgraded to Caa1 (sf); previously on Feb 14, 2017 Upgraded to Caa3 (sf) Issuer: RAAC Series 2006-RP1 Trust Cl. M-1, Upgraded to Aaa (sf); previously on Feb 14, 2017 Upgraded to Aa2 (sf) Cl. M-2, Upgraded to A2 (sf); previously on Feb 14, 2017 Upgraded to Baa3 (sf) Cl. M-3, Upgraded to B1 (sf); previously on Feb 14, 2017 Upgraded to B3 (sf) Cl. M-4, Upgraded to Caa2 (sf); previously on Feb 14, 2017 Upgraded to Ca (sf) Issuer: RAAC Series 2006-RP4 Trust Cl. A, Upgraded to Aa2 (sf); previously on Feb 14, 2017 Upgraded to A1 (sf) Cl. M-1, Upgraded to Ba3 (sf); previously on Feb 14, 2017 Upgraded to B2 (sf) Issuer: RAAC Series 2006-SP3 Trust Cl. A-3, Upgraded to Aaa (sf); previously on Feb 14, 2017 Upgraded to Aa3 (sf) Cl. M-1, Upgraded to A1 (sf); previously on Feb 14, 2017 Upgraded to A3 (sf) RATINGS RATIONALE The actions reflect the recent performance of the underlying pools and Moody's updated loss expectations on these pools. The rating upgrades are primarily due to an increase of credit enhancement available to the bonds. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in January 2017. Factors that would lead to an upgrade or downgrade of the ratings: Ratings in the US RMBS sector remain exposed to the high level of macroeconomic uncertainty, and in particular the unemployment rate. The unemployment rate fell to 4.1% in December 2017 from 4.7% in December 2016. Moody's forecasts an unemployment central range of 3.5% to 4.5% for the 2018 year. Deviations from this central scenario could lead to rating actions in the sector. House prices are another key driver of US RMBS performance. Moody's expects house prices to continue to rise in 2018. 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. [*] Moody's Takes Action on $3.1BB of GSE (CRT) RMBS Issued in 2006 ------------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 33 tranches from four Agency Risk Transfer transactions issued in 2016. These four transactions are actual-loss credit risk transfer (CRT) transactions issued by Fannie Mae or Freddie Mac in 2016. The complete rating actions are: Issuer: Connecticut Avenue Securities, Series 2016-C01 Cl. 1M-1, Upgraded to Aa3 (sf); previously on Mar 2, 2017 Upgraded to A3 (sf) Cl. 1M-2, Upgraded to Baa2 (sf); previously on Mar 2, 2017 Upgraded to Ba2 (sf) Cl. 1M-2A, Upgraded to A3 (sf); previously on Mar 2, 2017 Upgraded to Baa2 (sf) Cl. 1M-2B, Upgraded to Baa3 (sf); previously on Mar 2, 2017 Upgraded to Ba3 (sf) Cl. 1M-2F, Upgraded to A3 (sf); previously on Mar 2, 2017 Upgraded to Baa2 (sf) Cl. 1M-2I, Upgraded to A3 (sf); previously on Mar 2, 2017 Upgraded to Baa2 (sf) Cl. 2M-1, Upgraded to Aa3 (sf); previously on Mar 2, 2017 Upgraded to Baa1 (sf) Cl. 2M-2, Upgraded to Baa3 (sf); previously on Mar 2, 2017 Upgraded to Ba3 (sf) Cl. 2M-2A, Upgraded to Baa1 (sf); previously on Mar 2, 2017 Upgraded to Baa3 (sf) Cl. 2M-2B, Upgraded to Ba1 (sf); previously on Mar 2, 2017 Upgraded to Ba3 (sf) Cl. 2M-2F, Upgraded to Baa1 (sf); previously on Mar 2, 2017 Upgraded to Baa3 (sf) Cl. 2M-2I, Upgraded to Baa1 (sf); previously on Mar 2, 2017 Upgraded to Baa3 (sf) Issuer: Connecticut Avenue Securities, Series 2016-C02 Cl. 1M-1, Upgraded to A1 (sf); previously on Mar 2, 2017 Upgraded to A3 (sf) Cl. 1M-2, Upgraded to Baa3 (sf); previously on Mar 2, 2017 Upgraded to Ba2 (sf) Cl. 1M-2A, Upgraded to Baa1 (sf); previously on Mar 2, 2017 Upgraded to Baa2 (sf) Cl. 1M-2B, Upgraded to Ba1 (sf); previously on Mar 2, 2017 Upgraded to Ba3 (sf) Cl. 1M-2F, Upgraded to Baa1 (sf); previously on Mar 2, 2017 Upgraded to Baa2 (sf) Cl. 1M-2I, Upgraded to Baa1 (sf); previously on Mar 2, 2017 Upgraded to Baa2 (sf) Issuer: Connecticut Avenue Securities, Series 2016-C04 Cl. 1M-1, Upgraded to A3 (sf); previously on Mar 2, 2017 Upgraded to Baa2 (sf) Cl. 1M-2, Upgraded to Ba1 (sf); previously on Mar 2, 2017 Upgraded to Ba3 (sf) Cl. 1M-2A, Upgraded to Baa2 (sf); previously on Mar 2, 2017 Upgraded to Ba1 (sf) Cl. 1M-2B, Upgraded to Ba2 (sf); previously on Mar 2, 2017 Upgraded to B1 (sf) Cl. 1M-2F, Upgraded to Baa2 (sf); previously on Mar 2, 2017 Upgraded to Ba1 (sf) Cl. 1M-2I, Upgraded to Baa2 (sf); previously on Mar 2, 2017 Upgraded to Ba1 (sf) Issuer: STACR 2016-HQA2 Cl. M-1, Upgraded to Aaa (sf); previously on Mar 2, 2017 Upgraded to A2 (sf) Cl. M-2, Upgraded to A3 (sf); previously on Mar 2, 2017 Upgraded to Baa2 (sf) Cl. M-2F, Upgraded to A3 (sf); previously on Mar 2, 2017 Upgraded to Baa2 (sf) Cl. M-2I, Upgraded to A3 (sf); previously on Mar 2, 2017 Upgraded to Baa2 (sf) Cl. M-3, Upgraded to Ba1 (sf); previously on Mar 2, 2017 Upgraded to Ba3 (sf) Cl. M-3A, Upgraded to Baa2 (sf); previously on Mar 2, 2017 Upgraded to Ba1 (sf) Cl. M-3AF, Upgraded to Baa2 (sf); previously on Mar 2, 2017 Upgraded to Ba1 (sf) Cl. M-3AI, Upgraded to Baa2 (sf); previously on Mar 2, 2017 Upgraded to Ba1 (sf) Cl. M-3B, Upgraded to Ba2 (sf); previously on Mar 2, 2017 Upgraded to B2 (sf) RATINGS RATIONALE The rating upgrades are due to the increase in credit enhancement available to the bonds and a reduction in the expected losses on the underlying pools owing to strong collateral performance. The outstanding rated bonds in these transactions have continued to benefit both from a steady increase in the credit enhancement as a result of sequential principal distributions among the subordinate bonds and higher than expected voluntary prepayment rates since issuance. The risk transfer transactions provide credit protection against the performance of a "reference pool" of mortgages guaranteed by Freddie Mac or Fannie Mae. The notes are direct, unsecured obligations of Freddie Mac or Fannie Mae and are not guaranteed by nor are they obligations of the United States Government. Unlike a typical RMBS transaction, note holders are not entitled to receive any cash from the mortgage loans in the reference pools. Instead, the timing and amount of principal and interest that Freddie Mac or Fannie Mae is obligated to pay on the Notes is linked to the performance of the mortgage loans in the reference pool. Principal payments to the notes relate only to actual principal received from the reference pool with pro-rata payments between senior and subordinate bonds, provided some performance triggers are met, and sequential among subordinate bonds. The bonds have benefited from sustained prepayment rates and continued increases in credit enhancement. The December 2017 remittance data shows a three month average conditional prepayment rate (CPR) of 15.2% for CAS 2016-C01, 12.8% for CAS 2016-C02, 14.0% for CAS 2016-C04 and 13.6% for STACR 2016-HQA2. Although delinquencies underlying the pools have recently risen due to impact of hurricanes Harvey and Irma, the percentage of loans that are 60-plus days delinquent is low, at about 20 bps to 40 bps of the original balance as December 2017. Additionally, there are no net losses for CAS 2016-C01, CAS 2016-C02 and CAS 2016-C04. The net losses are approximately 0.0019% of the original pool balance for STACR 2016-HQA2 as of the December 2017 remittance report. Our updated loss expectations on the pools incorporate, amongst other factors, Moody's assessment of the representations and warranties frameworks of the transactions, the due diligence findings of the third party review received at the time of issuance, and the strength of the transaction's originators and servicers. The principal methodology used in these ratings was "Moody's Approach to Rating US Prime RMBS" published in February 2015. The methodologies used in rating Connecticut Avenue Securities, Series 2016-C01/Cl. 1M-2I and Cl. 2M-2I;Connecticut Avenue Securities, Series 2016-C02/Cl. 1M-2I;Connecticut Avenue Securities, Series 2016-C04/Cl. 1M-2I; and STACR 2016-HQA2/Cl. M-2I and Cl. M-3AI were "Moody's Approach to Rating US Prime RMBS" published in February 2015, and "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. Factors that would lead to an upgrade or downgrade of the ratings: Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. 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. [*] S&P Takes Various Actions on 110 Classes From 12 US RMBS Deals ------------------------------------------------------------------ S&P Global Ratings completed its review of 110 classes from 12 U.S. residential mortgage-backed securities (RMBS) transactions issued between 1994 and 2007. All of these transactions are backed by prime collateral. The review yielded 57 upgrades, one downgrade, 51 affirmations, and one discontinuance. Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by its projected cash flows. These considerations are based on transaction-specific performance or structural characteristics (or both) and their potential effects on certain classes. Some of these considerations include: -- Collateral performance/delinquency trends; -- Historical interest shortfalls; -- Priority of principal payments; -- Proportion of reperforming loans in the pool; -- Tail risk; and -- Available subordination. Rating Actions The affirmations of ratings reflect S&P's opinion that its projected credit support and collateral performance on these classes has remained relatively consistent with its prior projections. A vast majority of the classes whose ratings were raised by three or more notches have the benefit of increased credit support. These classes have benefitted from the failure of performance triggers and/or reduced subordinate class principal distribution amounts, which has built credit support for these classes as a percent of their respective deal balance. Ultimately, S&P believes these classes have credit support that is sufficient to withstand projected losses at higher rating levels. On July 29, 2014, a settlement was reached in the litigation regarding the alleged breach of certain representations and warranties in the governing agreements of 330 JPMorgan Chase & Co. legacy residential mortgage-backed securities trusts, including JPMorgan Mortgage Trust 2007-A1. On Jan. 25, 2018, it received approximately $4.69 million in settlement funds. These funds were allocated to pay principal on senior classes and to reimburse prior write-downs on class B-1, increasing its balance and ultimately increasing credit support for the senior classes. As a result, S&P raised the ratings on a majority of the senior classes as it believes the additional credit support is sufficient to withstand losses at higher rating levels. A list of Affected Ratings can be viewed at: http://bit.ly/2BIgM21 [*] S&P Takes Various Actions on 93 Classes From 17 US RMBS Deals ----------------------------------------------------------------- S&P Global Ratings completed its review of 93 classes from 17 U.S. residential mortgage-backed securities (RMBS), including one credit-linked note transaction and two resecuritized real estate mortgage investment conduit (re-REMIC) transactions, issued between 2003 and 2009. All of these transactions are backed by prime jumbo, Alternative-A, and subprime mortgage collateral. The review yielded 21 upgrades, three downgrades, 61 affirmations, and four discontinuances. S&P also placed four ratings on CreditWatch with negative implications. Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by its projected cash flows. These considerations are based on transaction-specific performance or structural characteristics (or both) and their potential effects on certain classes. Some of these considerations include: -- Collateral performance/delinquency trends; -- Underlying collateral performance; -- Priority of principal payments; -- Tail risk; -- Expected short duration; and -- Available subordination and/or overcollateralization. Rating Actions S&P said, "The affirmations of ratings reflect our opinion that our projected credit support and collateral performance on these classes has remained relatively consistent with our prior projections. "We placed our ratings on four classes from Nomura Asset Acceptance Corp. Alternative Loan Trust Series 2003-A3 on CreditWatch with negative implications. The CreditWatch negative placements reflect our review of interest shortfalls on the affected classes as reported by the trustee. After verifying the outstanding interest shortfalls as well as the application of reimbursement based on the deal documents, we will take rating actions as we consider appropriate according to our criteria." A list of Affected Ratings can be viewed at: http://bit.ly/2EqZtDo [*] S&P Withdraws Ratings on 26 Classes From Five U.S. RMBS Deals ----------------------------------------------------------------- S&P Global Ratings completed its review of 26 classes from five U.S. residential mortgage-backed securities (RMBS) transactions issued between 1997 and 2004. All of these transactions are backed by prime jumbo, subprime, and Alternative-A collateral. The review yielded 26 withdrawals. A list of Affected Ratings can be viewed at: http://bit.ly/2E5zGxh ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers public debt and equity securities about which we report. Each Tuesday edition of the TCR contains a list of companies with insolvent balance sheets whose shares trade higher than $3 per share in public markets. At first glance, this list may look like the definitive compilation of stocks that are ideal to sell short. Don't be fooled. Assets, for example, reported at historical cost net of depreciation may understate the true value of a firm's assets. A company may establish reserves on its balance sheet for liabilities that may never materialize. The prices at which equity securities trade in public market are determined by more than a balance sheet solvency test. On Thursdays, the TCR delivers a list of recently filed Chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/books/to order any title today. Monthly Operating Reports are summarized in every Saturday edition of the TCR. The Sunday TCR delivers securitization rating news from the week then-ending. TCR subscribers have free access to our on-line news archive. Point your Web browser to http://TCRresources.bankrupt.com/and use the e-mail address to which your TCR is delivered to login. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter is a daily newsletter co-published by Bankruptcy Creditors Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., USA. Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Valerie Udtuhan, Howard C. Tolentino, Carmel Paderog, Meriam Fernandez, Joel Anthony G. Lopez, Cecil R. Villacampa, Sheryl Joy P. Olano, Psyche A. Castillon, Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2018. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. The TCR subscription rate is $975 for 6 months delivered via e-mail. Additional e-mail subscriptions for members of the same firm for the term of the initial subscription or balance thereof are $25 each. For subscription information, contact Peter A. Chapman at 215-945-7000 or Nina Novak at 202-362-8552. *** End of Transmission ***