/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/180225.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 25, 2018, Vol. 22, No. 55 Headlines ARES CLO XXXVIII: Moody's Assigns (P)Ba3 Rating to Class E-R Notes ATLAS SENIOR X: S&P Assigns B-(sf) Rating on Class F Notes BROOKSIDE MILL: Moody's Assigns B3(sf) Rating to Class F Notes C-BASS CBO X: S&P Lowers Class C Notes Rating to 'D(sf)' CAPITAL TRUST 2005-1: Fitch Affirms & Withdraws D Rating on C Debt CBA COMMERCIAL 2006-2: Moody's Affirms Caa3 Rating on Cl. A Certs CHILDREN'S TRUST: S&P Affirms BB Rating on Three 2002 Tranches COMM 2004-LNB2: S&P Raises Class K Certs Rating to CCC-(sf) COMM 2014-LC17: Fitch Lowers Ratings on 2 Tranches to CCC CROWN POINT 4: Moody's Assigns (P)Ba3 Rating to Class E Notes DRIVE AUTO 2018-1: S&P Assigns BB+(sf) Rating on Class E Notes ETRADE RV 2004-1: Moody's Hikes Class D Notes Rating to Caa2(sf) FLAGSHIP CREDIT 2018-1: S&P Assigns BB-(sf) Rating in Cl. E Notes GS MORTGAGE 2013-GCJ12: Fitch Affirms BB Rating on Class E Certs GS MORTGAGE 2018-CHILL: Moody's Assigns (P)B3 Rating to Cl. F Certs HOMESTAR MORTGAGE: Moody's Hikes $46MM of Alt-A RMBS Issued in 2004 JMP CREDIT III: Moody's Assigns Ba3(sf) Rating to Class E Notes JP MORGAN 2004-C3: Fitch Affirms 'CCCsf' Rating on Class H Certs JP MORGAN 2005-LDP5: Fitch Affirms 'CCsf' Rating on Cl. H Certs JP MORGAN 2018-BCON: S&P Assigns B(sf) Rating on Class E Certs LEHMAN BROTHERS: Moody's Cuts Ratings on 7 Classes on 5 Loan Deals MIDOCEAN CREDIT VIII: Fitch Assigns 'B-sf' Rating to Class F Notes MIDOCEAN CREDIT VIII: S&P Assigns Prelim BB-(sf) Rating on D Notes MONARCH GROVE: Moody's Assigns Ba3 Rating to Class E Notes MORGAN STANLEY 2006-IQ11: Fitch Hikes Class C Certs Rating to Bsf NAVITAS EQUIPMENT 2016-1: Fitch Hikes Rating on Cl. D Notes From B+ OCTAGON INVESTMENT XVII: S&P Assigns Prelim B- Rating on F-R2 Notes OCWEN 1999-R1: Fitch Affirms Then Withdraws 'Csf' on Cl. AP-F Debt RHODE ISLAND TOBACCO: S&P Affirms CCC Rating on Class 2007-B Bonds TRAPEZA CDO V: Moody's Hikes Ratings on 2 Tranches to B1 VB-S1 2018-1: Fitch Assigns 'BB-sf' Rating to Class F Notes WFRB COMMERCIAL 2014-C19: Moody's Affirms Ba1 Rating on X-B Certs WFRBS COMMERCIAL 2013-C13: Fitch Affirms Bsf Rating on Cl. F Certs WFRBS COMMERCIAL 2013-C13: Moody's Affirms B2 Rating on F Certs [*] Fitch Reviews 1,290 Classes in 328 US RMBS Transactions [*] Moody's Hikes $444.5MM of Dent RMBS Issued 2004 and 2007 [*] Moody's Takes Action on $45.1MM of RMBS Issued 2003 & 2007 [*] S&P Discontinues Ratings on 18 Classes From Nine CLO Deals [*] S&P Lowers Ratings on Six Classes From Six U.S. RMBS Deals [*] S&P Lowers Six Ratings on Three Student Loan ABS Deals to Bsf [*] S&P Takes Various Actions on 49 Classes From 13 US RMBS Deals [*] S&P Takes Various Actions on 68 Classes From 15 US RMBS Deals ********* ARES CLO XXXVIII: Moody's Assigns (P)Ba3 Rating to Class E-R Notes ------------------------------------------------------------------ Moody's Investors Service has assigned provisional ratings to seven classes of CLO refinancing notes (the "Refinancing Notes") issued by Ares XXXVIII CLO Ltd.: Moody's rating action is: US$1,500,000 Class X Senior Floating Rate Notes due 2030 (the "Class X Notes"), Assigned (P)Aaa (sf) US$236,000,000 Class A-1-R Senior Floating Rate Notes due 2030 (the "Class A-1-R Notes"), Assigned (P)Aaa (sf) US$28,000,000 Class A-2-R Senior Floating Rate Notes due 2030 (the "Class A-2-R Notes"), Assigned (P)Aaa (sf) US$40,000,000 Class B-R Senior Floating Rate Notes due 2030 (the "Class B-R Notes"), Assigned (P)Aa2 (sf) US$20,000,000 Class C-R Mezzanine Deferrable Floating Rate Notes due 2030 (the "Class C-R Notes"), Assigned (P)A2 (sf) US$26,000,000 Class D-R Mezzanine Deferrable Floating Rate Notes due 2030 (the "Class D-R Notes"), Assigned (P)Baa3 (sf) US$19,000,000 Class E-R Mezzanine Deferrable Floating Rate Notes due 2030 (the "Class E-R Notes"), Assigned (P)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. Ares CLO Management II LLC (the "Manager") will manage the CLO upon the closing date of the refinancing. It will direct 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 will issue the Refinancing Notes on March 13, 2018 (the "Refinancing Date") in connection with the refinancing of all classes of the secured notes (the "Refinanced Original Notes") previously issued on December 17, 2015. On the Refinancing Date, the Issuer will use 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; changes to the overcollateralization test levels; and changes to certain concentration limits. 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: $400,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 2970 Weighted Average Spread (WAS): 3.30% Weighted Average Coupon (WAC): 7.50% 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 2970 to 3416) Rating Impact in Rating Notches Class X Notes: 0 Class A-1-R Notes: 0 Class A-2-R Notes: -1 Class B-R Notes: -2 Class C-R Notes: -2 Class D-R Notes: -1 Class E-R Notes: 0 Percentage Change in WARF -- increase of 30% (2970 to 3861) Rating Impact in Rating Notches Class X Notes: 0 Class A-1-R Notes: -1 Class A-2-R Notes: -3 Class B-R Notes: -4 Class C-R Notes: -4 Class D-R Notes: -2 Class E-R Notes: -1 ATLAS SENIOR X: S&P Assigns B-(sf) Rating on Class F Notes ---------------------------------------------------------- S&P Global Ratings assigned its ratings to the class X, A, B, C, D, E, and F replacement notes from Atlas Senior Loan Fund X Ltd., a collateralized loan obligation (CLO) managed by Crescent Capital Group L.P. This is the second refinancing of its September 2014 original transaction, Atlas Senior Loan Fund VI Ltd. (Atlas VI). Atlas VI was merged with Atlas X on the closing date. The replacement notes will be issued via a proposed supplemental indenture. S&P withdrew its ratings on the previously refinanced class AR, BR, CR, DR, and E notes following payment in full on the Feb. 16, 2018, refinancing date. On the Feb. 16, 2018, refinancing date, the proceeds from the issuance of the replacement notes were used to redeem the previously refinanced notes as outlined in the transaction document provisions. Therefore, S&P is withdrawing its ratings on the previously refinanced notes and assigning ratings to 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, also: -- Additional class X and F notes was issued. -- The stated maturity, reinvestment period, and non-call period are extended to 4.25, 4.25, and 3.25 years, respectively. 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 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." RATINGS ASSIGNED Atlas Senior Loan Fund X Ltd./Atlas Senior Loan Fund X LLC Replacement class Rating Amount (mil. $) X AAA (sf) 1.50 A AAA (sf) 333.00 B AA (sf) 77.00 C A (sf) 38.00 D BBB- (sf) 32.50 E BB- (sf) 20.00 F B- (sf) 8.00 Subordinated notes NR 58.12 RATINGS WITHDRAWN Atlas Senior Loan Fund X Ltd./Atlas Senior Loan Fund X LLC Replacement class Rating Amount (mil. $) AR NR 340.45 BR NR 61.60 CR NR 47.85 DR NR 28.60 E NR 27.50 NR--Not rated. BROOKSIDE MILL: 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 Brookside Mill CLO Ltd.: Moody's rating action is: US$4,000,000 Class X-R Senior Floating Rate Notes due 2028 (the "Class X-R Notes"), Assigned Aaa (sf) US$270,900,000 Class A-R Senior Floating Rate Notes due 2028 (the "Class A-R Notes"), Assigned Aaa (sf) US$48,300,000 Class B-R Senior Floating Rate Notes due 2028 (the "Class B-R Notes"), Assigned Aa2 (sf) US$19,740,000 Class C-R Deferrable Mezzanine Floating Rate Notes due 2028 (the "Class C-R Notes"), Assigned A2 (sf) US$26,460,000 Class D-R Deferrable Mezzanine Floating Rate Notes due 2028 (the "Class D-R Notes"), Assigned Baa3 (sf) US$23,100,000 Class E-R Deferrable Mezzanine Floating Rate Notes due 2028 (the "Class E-R Notes"), Assigned Ba3 (sf) US$3,150,000 Class F Deferrable Mezzanine 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. Romark CLO 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 February 15, 2018 (the "Refinancing Date") in connection with the refinancing of all classes of the secured notes (the "Refinanced Original Notes") previously issued on May 23, 2013 (the "Original Closing Date"). On the Refinancing Date, the Issuer used proceeds from the issuance of the Refinancing Notes to redeem in full the Refinanced Original Notes. 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: $420,000,000 Defaulted par: $0 Diversity Score: 70 Weighted Average Rating Factor (WARF): 3075 Weighted Average Spread (WAS): 3.25% Weighted Average Coupon (WAC): 6.0% Weighted Average Recovery Rate (WARR): 48.0% Weighted Average Life (WAL): 6.0 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 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 3075 to 3536) Rating Impact in Rating Notches Class X-R Notes: 0 Class A-R Notes: 0 Class B-R Notes: -2 Class C-R Notes: -2 Class D-R Notes: -1 Class E-R Notes: -1 Class F Notes: -2 Percentage Change in WARF -- increase of 30% (from 3075 to 3998) Rating Impact in Rating Notches Class X-R Notes: 0 Class A-R Notes: -1 Class B-R Notes: -3 Class C-R Notes: -3 Class D-R Notes: -2 Class E-R Notes: -1 Class F Notes: -3 C-BASS CBO X: S&P Lowers Class C Notes Rating to 'D(sf)' -------------------------------------------------------- S&P Global Ratings lowered its rating on the class C notes from C-BASS CBO X Ltd., a cash flow collateralized debt obligation backed predominantly by residential mortgage-backed securities and other asset-backed securities. The rating actions follow S&P's review of the transaction's performance using data from the Dec. 31, 2017, trustee report. Although the class C notes received current interest on the Dec. 7, 2017, payment date, their total outstanding balance was $11.49 million with $8.36 million of assets remaining (including cash). Therefore, S&P lowered its rating to 'D (sf)' from 'CC (sf)' because even a 100% recovery of the defaulted assets will be inadequate to pay the class C outstanding note balance. CAPITAL TRUST 2005-1: Fitch Affirms & Withdraws D Rating on C Debt ------------------------------------------------------------------ Fitch Ratings has affirmed six classes of Capital Trust RE CDO 2005-1. Fitch has also withdrawn the ratings on this transaction as they are no longer considered relevant to the agency's coverage. KEY RATING DRIVERS Fitch's actions reflect both the severe undercollateralization of the notes and the fact that the notes have defaulted or will inevitably default at legal maturity or earlier. The CDO's liabilities currently exceed collateral by $60 million. There has been no paydown since Fitch's last rating action while one asset, a $5.3 million subordinate interest in the defaulted Resorts International Portfolio, was completely written down. As of the January 2018 trustee report, the CDO collateral solely consists of three non-senior CRE CDO classes from the same obligor, CT CDO IV Ltd 2006-1 (all rated 'Csf' by Fitch). Total recoveries on the bonds are expected to be de minimis to none due to the subordinate and/or distressed nature of the remaining collateral. On March 3, 2016, the Trustee declared an event of default (EOD) with respect to class C, as interest proceeds received were insufficient to pay the full timely interest to the class. No principal or interest proceeds are currently being received from any of the assets in the pool. The 'Csf' ratings for classes D through H reflect the classes' negative credit enhancement, and expectation of eventual default. Capital Trust 2005-1 is a commercial real estate CDO managed by CT Investment Management Co., LLC (CTIMCO). RATING SENSITIVITIES Ratings sensitivities are not applicable as the ratings on the transaction are being withdrawn. Fitch has affirmed and withdrawn the following ratings: -- $5.3 million class C at 'Dsf'; RE 0%; -- $14.4 million class D at 'Csf'; RE 0%; -- $15.2 million class E at 'Csf'; RE 0%; -- $6.8 million class F at 'Csf'; RE 0%; -- $6.8 million class G at 'Csf'; RE 0%; -- $10.1 million class H at 'Csf'; RE 0%. Class A paid in full. Class B's rating was previously withdrawn. Class J, X-J and the preference shares are not rated by Fitch. CBA COMMERCIAL 2006-2: Moody's Affirms Caa3 Rating on Cl. A Certs ----------------------------------------------------------------- Moody's Investors Service has affirmed the rating on one class in CBA Commercial Assets, Small Balance Commercial Mortgage Pass-Through Certificates Series 2006-2: Cl. A, Affirmed Caa3 (sf); previously on Feb 16, 2017 Affirmed Caa3 (sf) RATINGS RATIONALE The rating on Class A was affirmed because the rating is consistent with Moody's expected loss plus realized losses. The class has already experienced a 7.9% realized loss as result of previously liquidated loans. Moody's rating action reflects a base expected loss of 22.2% of the current balance, compared to 25.7% at Moody's last review. Moody's base expected loss plus realized losses are 25.8% compared to 26.4% at 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 RATING: 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 this rating was "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in July 2017. Moody's analysis incorporated a loss and recovery approach in rating the P&I class in this deal since 55.1% of the pool is either in special servicing or has been identified as troubled loans. In this approach, Moody's determines a probability of default for each specially serviced and troubled loan 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 and troubled loans to the most junior class and the recovery as a pay down of principal to the most senior class. DEAL PERFORMANCE As of the January 25, 2018 distribution date, the transaction's aggregate certificate balance has decreased by 83.1% to $22 million from $130.4 million at securitization. The certificates are collateralized by 69 mortgage loans ranging in size from less than 1% to 11.4% of the pool, with the top ten loans (excluding defeasance) constituting 47.5% of the pool. There are no loans in the pool that have defeased. Ninety-three loans have been liquidated from the pool, resulting in an aggregate realized loss of $28.7 million. Twenty-eight loans, representing 55.1% of the pool, are either in special servicing or has been identified as troubled loans. These specially serviced and troubles loans are secured by a mix of property types. Moody's estimates an aggregate loss of $4.5 million (a 37% expected loss on average) from these specially serviced and troubled loans. As of the January 25, 2018 remittance statement cumulative interest shortfalls were $2.2 million. Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced loans and/or modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. Moody's weighted average conduit LTV is 83%, compared to 93% 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 10.2% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 10%. Moody's actual and stressed conduit DSCRs are 1.50X and 1.49X, respectively, compared to 1.39X and 1.33X 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. CHILDREN'S TRUST: S&P Affirms BB Rating on Three 2002 Tranches -------------------------------------------------------------- Children's Trust's tobacco settlement asset-backed bonds series 2002 are backed by tobacco settlement revenues due to Puerto Rico as part of a master settlement agreement between participating tobacco companies and the settling states. S&P Global Ratings affirmed its three 'BB (sf)' ratings on Children's Trust's series 2002, a tobacco fee settlement transaction, and removed them from CreditWatch, where they were placed them with negative implications on April 25, 2016. On that date, S&P lowered the ratings on two bonds and placed the ratings on the three outstanding bonds on CreditWatch negative, reflecting its view of the increased risk to the transaction following legislation passed in Puerto Rico on April 6, 2016. The outlooks on all three bonds are negative. In January 2017, per Act No. 5-2017, a state of financial emergency was declared in Puerto Rico, during which the governor can issue executive orders designating the priority in which available resources will be used to pay for essential services necessary to preserve the health, safety, and wellbeing of Puerto Rico's residents, while acknowledging the government's monetary obligations and instrumentalities, among other things. All of the Puerto Rican government's obligations are subject, including the Children's Trust bonds. However, no executive order to date included the Children's Trust bonds. As of January 2018, no fiscal plan that covers these bonds has been submitted by the government. S&P's communications with government authorities indicate that the central government is not planning on using the funds that make up the bonds' collateral. Children's Trust made its scheduled payments on the three bonds on the 2016 and 2017 payment dates in May and November. Additionally, the transaction continues to have a substantial liquidity reserve of $83 million to cover noteholder payments if collections are insufficient. S&P said, "Our negative outlooks on these bonds reflect the continued uncertainty around the legislative environment in Puerto Rico, which is not expected to be resolved in a short time frame. We will continue to follow further developments in Puerto Rico, including new legislations, any legal actions undertaken by investors, the indenture trustee, or any other transaction parties, and we will take actions as we deem appropriate." RATINGS AFFIRMED AND REMOVED FROM CREDITWATCH Children's Trust US$1.171 billion tobacco settlement asset-backed bonds series 2002 Class Maturity Rating To From 2033 5/15/2033 BB (sf)/Negative BB (sf)/Watch Neg 2039 5/15/2039 BB (sf)/Negative BB (sf)/Watch Neg 2043 5/15/2043 BB (sf)/Negative BB (sf)/Watch Neg COMM 2004-LNB2: S&P Raises Class K Certs Rating to CCC-(sf) ----------------------------------------------------------- S&P Global Ratings raised its rating on the class K commercial mortgage pass-through certificates from COMM 2004-LNB2, a U.S. commercial mortgage-backed securities (CMBS) transaction. In addition, S&P affirmed its ratings on eight other classes from the same transaction. S&P said, "For the affirmations, our credit enhancement expectation was generally in line with the affirmed rating levels. The affirmations also considered the classes' interest shortfall history and position in the waterfall. "The upgrade on the class K certificates to 'CCC- (sf)' from 'D (sf)' reflects, while the class received full interest payments for the past 23 consecutive months, our view of its susceptibility to liquidity interruption from the specially serviced Alta Mesa real estate owned (REO) asset. The class currently has approximately $1,000 in reported liquidity support. As a result, we believe that the class has a high likelihood to default if the appraisal value of the Alta Mesa REO asset declines and the master servicer increases the appraisal reduction amount (ARA) or deems the asset non-recoverable. "Class K was previously lowered to 'D (sf)' due to accumulated interest shortfalls that we expected to remain outstanding for a prolonged period of time. We raised our rating on this class because the interest shortfalls, which were primarily due to non-recoverability determinations on the now-liquidated 1 Northbrook Corporate Center and Northbrook REO asset, have been repaid, and we do not believe, at this time, a further default of this certificate class is virtually certain. "We affirmed our 'AAA (sf)' rating on the class X-1 interest-only (IO) certificates based on our criteria for rating IO securities." TRANSACTION SUMMARY As of the Feb. 12, 2018, trustee remittance report, the collateral pool balance was $73.9 million, which is 7.7% of the pool balance at issuance. The pool currently includes four loans and one REO asset, down from 90 loans at issuance. One of these assets ($2.2 million, 3.0%) is with the special servicer, three loans ($70.0 million, 94.7%) are defeased, and none are reported on the master servicer's watchlist. For the sole remaining performing loan, the Walgreens College Station loan ($1.7 million, 2.3%), S&P calculated a 1.01x S&P Global Ratings debt service coverage (DSC) and a 60.1% S&P Global Ratings loan-to-value ratio using an 8.25% S&P Global Ratings capitalization rate. To date, the transaction has experienced $24.0 million in principal losses, or 2.5% of the original pool trust balance. S&P expects losses to remain at 2.5% of the original pool trust balance in the near term, based on losses incurred to date and additional losses we expect upon the eventual resolution of the specially serviced asset. CREDIT CONSIDERATIONS As of the Feb. 12, 2018, trustee remittance report, the Alta Mesa REO asset was the sole asset with the special servicer, LNR Partners LLC (LNR). The Alta Mesa REO asset has a total reported exposure of $3.1 million and is a 59,933-sq.-ft. retail property located in Fort Worth, Texas. The loan was transferred to the special servicer on Jan. 21, 2014, because of maturity default (matured on Jan. 1, 2014) and the property became REO on Feb. 2, 2016. LNR is evaluating its strategy for this asset. The reported DSC and occupancy for the six months ended June 30, 2017, were 0.82x and 85.0%, respectively. An ARA of $408,079 is in effect against the asset. We expect a minimal loss (less than 25%) upon its eventual resolution. RATINGS LIST COMM 2004-LNB2 Commercial mortgage pass-through certificates series 2004-LNB2 Rating Class Identifier To From C 20047AAF7 AAA (sf) AAA (sf) D 20047AAG5 AAA (sf) AAA (sf) E 20047AAH3 AAA (sf) AAA (sf) X-1 20047BAA6 AAA (sf) AAA (sf) F 20047BAC2 AAA (sf) AAA (sf) G 20047BAD0 AAA (sf) AAA (sf) H 20047BAE8 AA+ (sf) AA+ (sf) J 20047BAF5 AA (sf) AA (sf) K 20047BAG3 CCC- (sf) D (sf) COMM 2014-LC17: Fitch Lowers Ratings on 2 Tranches to CCC --------------------------------------------------------- Fitch Ratings has downgraded four classes and affirmed 14 in Deutsche Bank Securities, Inc.'s COMM 2014-LC17 commercial mortgage trust pass-through certificates. KEY RATING DRIVERS Increased Loss Projections: The rating actions follow an increase to Fitch's loss projections, as certain loans continue to exhibit performance decline and defaulted assets were transferred to special servicing. Since the last rating action, two assets have transferred to special servicing, and none of the assets previously in special servicing have been resolved. Specially serviced assets now represent 4.3% of the pool, up from 2.7% in March 2017. The current figure includes four REO assets, an office building located in Houston and a portfolio of three limited-service hotels in the Eagle Ford Shale region of Texas, which represent 2.8% of the pool. Three additional loans secured by multifamily portfolios in Atlanta, Cincinnati and the Bakken Shale region of North Dakota round out the remaining defaulted loans. The number of loans on the servicer's watchlist has also increased and now represents 18.6% of the pool, up from 14% in March 2017. Eight of these watchlisted loans (13.1% of the pool) are also Fitch Loans of Concern. Limited Amortization: The pool has amortized 3.2% since issuance. Loans representing 27.8% of the pool are interest-only (IO) for the full term. An additional nine loans (10.1% of the pool) were originally structured with partial-IO periods and have not yet begun to amortize. Despite nearly three years of seasoning, the weighted average (WA) Fitch LTV remains high at 103.7%, versus 107.9 at issuance. Eleven loans are scheduled to mature by the end of 2019 (19.3% of the pool). Two of these loans are in special servicing, and an additional three are Fitch Loans of Concern. Hurricane and Wildfire Exposure: Approximately 11.6% of the pool was identified in the servicer's Significant Insurance Event reports following Hurricanes Harvey and Irma. These properties reportedly sustained minor or no damage. The servicer also reported that no fire damage was sustained to any collateral properties located in California, and no model adjustments were made for natural disaster risk. RATING SENSITIVITIES The Outlook on all but four classes remains Stable. The Outlook for classes F and X-E was removed in conjunction with their downgrade to 'CCCsf'. Classes E and X-D were also downgraded and their Outlooks remain Negative. While losses projected for assets in special servicing would be contained to the unrated classes, the loss of credit support to Fitch-rated classes could cause a downgrade to classes E and X-D if losses are realized. Downgrades are also possible to investment-grade classes in such a scenario or with further performance decline, or lack of improvement for performing loans, or additional defaults. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third-party due diligence was provided or reviewed in relation to this rating action. Fitch has downgraded the following: -- $29.3 million class E to 'B-sf' from 'BB-sf'; Outlook Negative; -- $29.3 million* class X-D to 'B-sf' from 'BB-sf'; Outlook Negative; -- $12.4 million class F to 'CCCsf' from 'B-sf'; RE 90%; -- $12.4 million* class X-E to 'CCCsf' from 'B-sf'. Fitch has affirmed the following ratings: -- $15 million class A-1 at 'AAAsf'; Outlook Stable; -- $227.4 million class A-2 at 'AAAsf'; Outlook Stable; -- $96.7 million class A-SB at 'AAAsf'; Outlook Stable; -- $34.2 million class A-3 at 'AAAsf'; Outlook Stable; -- $190 million class A-4 at 'AAAsf'; Outlook Stable; -- $261.9 million class A-5 at 'AAAsf'; Outlook Stable; -- $81.9 million class A-M at 'AAAsf'; Outlook Stable; -- $907.2 million* class X-A at 'AAAsf'; Outlook Stable; -- $57.2 million class B at 'AAsf'; Outlook Stable; -- $102 million* class X-B at 'AAsf'; Outlook Stable; -- $44.8 million class C at 'Asf'; Outlook Stable; -- $0 class PEZ at 'Asf'; Outlook Stable; -- $91.1 million class D at 'BBB-sf'; Outlook Stable; -- $91.1 million* class X-C at 'BBB-sf'; Outlook Stable. *Notional and interest-only Fitch does not rate the interest-only class X-F and X-G certficates. CROWN POINT 4: Moody's Assigns (P)Ba3 Rating to Class E Notes ------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to six classes of notes to be issued by Crown Point CLO 4 Ltd. (the "Issuer" or "Crown Point 4"). Moody's rating action is: US$3,375,000 Class X Senior Secured Floating Rate Notes due 2031 (the "Class X Notes"), Assigned (P)Aaa (sf) US$285,750,000 Class A Senior Secured Floating Rate Notes due 2031 (the "Class A Notes"), Assigned (P)Aaa (sf) US$51,750,000 Class B Senior Secured Floating Rate Notes due 2031 (the "Class B Notes"), Assigned (P)Aa2 (sf) US$27,000,000 Class C Secured Deferrable Mezzanine Floating Rate Notes due 2031 (the "Class C Notes"), Assigned (P)A2 (sf) US$29,250,000 Class D Secured Deferrable Mezzanine Floating Rate Notes due 2031 (the "Class D Notes"), Assigned (P)Baa3 (sf) US$20,250,000 Class E Secured Deferrable Junior Floating Rate Notes due 2031 (the "Class E Notes"), Assigned (P)Ba3 (sf) The Class X Notes, 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. Crown Point 4 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of first lien senior secured loans, and up to 10.0% 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. Pretium Credit 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 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: $450,000,000 Diversity Score: 60 Weighted Average Rating Factor (WARF): 2800 Weighted Average Spread (WAS): 3.45% Weighted Average Coupon (WAC): 6.50% Weighted Average Recovery Rate (WARR): 47.5% Weighted Average Life (WAL): 9.10 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 2800 to 3220) Rating Impact in Rating Notches Class X Notes: 0 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 2800 to 3640) Rating Impact in Rating Notches Class X Notes: 0 Class A Notes: -1 Class B Notes: -3 Class C Notes: -4 Class D Notes: -2 Class E Notes: -1 DRIVE AUTO 2018-1: S&P Assigns BB+(sf) Rating on Class E Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to Drive Auto Receivables Trust 2018-1's $938.08 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 S&P's view of: -- The availability of 65.7%, 58.9%, 49.1%, 38.6%, and 35.6% of credit support for the class A (consisting of classes A-1, A-2, and A-3), B, C, D, and E notes, respectively, based on stressed cash flow scenarios (including 100% credit to excess spread), which provide coverage of approximately 2.35x, 2.10x, 1.70x, 1.35x, and 1.27x for S&P's 26.50%-27.50% expected cumulative net loss. These break-even scenarios cover total cumulative gross defaults of approximately 94%, 84%, 70%, 59%, and 55%, respectively. -- The timely interest and principal payments made under stressed cash flow modeling scenarios are appropriate to the assigned ratings. -- S&P said, "The expectation that under a moderate ('BBB') stress scenario (1.35x our expected loss level), all else being equal, our ratings on the class A, B, and C notes will remain at the assigned 'AAA (sf)', 'AA (sf)', and 'A (sf)' ratings, respectively, and our rating on the class D notes would not decline by more than two rating categories from the assigned 'BBB (sf)' rating while they are outstanding. The class E notes will remain within two rating categories of the assigned 'BB+ (sf)' rating during the first year but will eventually default under the front-loaded 'BBB' stress scenario, after having received 72% of its principal, and will be repaid in full under the back-loaded 'BBB' stress. These rating movements are within the limits specified by our credit stability criteria." -- The originator/servicer's history in the subprime/specialty auto finance business. -- S&P's analysis of 10 years of static pool data on Santander Consumer USA Inc.'s lending programs. -- The transaction's payment/credit enhancement and legal structures. RATINGS ASSIGNED Drive Auto Receivables Trust 2018-1 Class Rating Type Interest Amount rate (mil. $) A-1 A-1+ (sf) Senior Fixed 155.00 A-2 AAA (sf) Senior Fixed 174.26 A-3 AAA (sf) Senior Fixed 86.05 B AA (sf) Subordinate Fixed 133.60 C A (sf) Subordinate Fixed 168.45 D BBB (sf) Subordinate Fixed 162.64 E BB+ (sf) Subordinate Fixed 58.08 ETRADE RV 2004-1: Moody's Hikes Class D Notes Rating to Caa2(sf) ---------------------------------------------------------------- Moody's Investors Service upgraded three tranches issued from E*Trade RV and Marine Trust 2004-1, a transaction backed by recreational vehicle (RV) and marine installment sales contracts. The complete rating actions are as follow Issuer: E*Trade RV and Marine Trust 2004-1 Cl. B, Upgraded to Aaa (sf); previously on Mar 24, 2017 Upgraded to Aa3 (sf) Cl. C, Upgraded to Baa1 (sf); previously on Mar 24, 2017 Upgraded to Baa3 (sf) Cl. D, Upgraded to Caa2 (sf); previously on Mar 24, 2017 Affirmed Caa3 (sf) RATINGS RATIONALE The upgrades resulted from the build-up of credit enhancement due to subordination and stable performance of the underlying collateral over the past several years. While the build-up of credit enhancement due to the sequential pay deal structure as well as stable performance supports rating upgrades for the most senior tranches, cumulative losses on the underlying collateral have depleted the reserve account and eroded the credit enhancement available to the securities. The transaction is currently under-collateralized by approximately $3.6 million or 80% of the unrated Class-E principal balance, which is currently protecting the remaining tranches from the adverse effects of under-collateralization. The Caa2 rating of the Class D notes reflects the recovery rate that Moody's expect for the tranche. Unlike other vehicle-backed ABS, the impact of the weakened economy on RV transactions was more severe and long lasting due to the non-essential nature of the underlying collateral and the longer financing terms, which on average range between 170 and 185 months at closing. As a result, the transaction has experienced an economic downturn during its life. Below are key performance metrics (as of the January 2017 distribution date). Performance metrics include pool factor, which is the ratio of the current collateral balance to the original collateral balance at closing; total credit enhancement, which typically consists of subordination, overcollateralization, reserve fund; and excess spread. Issuer: E*Trade RV and Marine Trust 2004-1 Pool factor -- 4.98% Total credit enhancement (excluding excess spread): Class B -- 91.20%, Class C -- 51.85%, Class D-5.95%. Class E Balance - $4,540,760 Overcollateralization - $(3,625,650) Excess spread per annum -- Approximately 1.5% PRINCIPAL METHODOLOGY 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 Levels of credit protection that are greater than necessary to protect investors against current expectations of loss could lead to an upgrade of the rating. Moody's current expectations of loss may be better than its original expectations because of lower frequency of default by the underlying obligors or appreciation in the value of the recreational vehicles and boats that secure the obligor's promise of payment. The US job market and the market for used recreational vehicles and boats are primary drivers of performance. Other reasons for better performance than Moody's expected include changes in servicing practices to maximize collections on the loans or refinancing opportunities that result in a prepayment of the loan. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could lead to a downgrade of the ratings. Moody's current expectations of loss may be worse than its original expectations because of higher frequency of default by the underlying obligors of the loans or a deterioration in the value of the recreational vehicles and boats that secure the obligor's promise of payment. The US job market and the market for used recreational vehicles and boats are primary drivers of performance. Other reasons for worse performance than Moody's expected include poor servicing, error on the part of transaction parties, lack of transactional governance and fraud. FLAGSHIP CREDIT 2018-1: S&P Assigns BB-(sf) Rating in Cl. E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its 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 ratings reflect: -- The availability of approximately 47.6%, 40.2%, 31.3%, 24.7%, and 21.0% 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 (CNL) range for the class A, B, C, D, and E notes, respectively. These break-even scenarios cover total cumulative gross defaults (using a recovery assumption of 40%) of approximately 79%, 67%, 52%, 41%, and 35%, 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 '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 'A (sf)' and 'BBB (sf)' ratings. The rating on the class E notes would remain within two rating categories of our 'BB- (sf)' rating within the first year, but the class would eventually default under the 'BBB' stress scenario after receiving 47%-54% 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. RATINGS ASSIGNED Flagship Credit Auto Trust 2018-1 Class Rating Type Interest Amount rate (%) (mil. $) A AAA (sf) Senior 2.59 122.75 B AA (sf) Subordinate 3.13 22.50 C A (sf) Subordinate 3.39 24.56 D BBB (sf) Subordinate 3.86 18.42 E BB- (sf) Subordinate 5.10 11.77 GS MORTGAGE 2013-GCJ12: Fitch Affirms BB Rating on Class E Certs ---------------------------------------------------------------- Fitch Ratings has downgraded one class and affirmed 11 classes of GS Mortgage Securities Trust 2013-GCJ12 commercial mortgage pass through certificates, series 2013-GCJ12. KEY RATING DRIVERS Loans of Concern/Increased Loss Expectations: Ten loans have been identified as Fitch Loans of Concern (FLOCs; 20.8% of the pool), including four (16.9%) of the top 15 loans and the third largest, which transferred to special servicing (5.5%). Pool loss expectations have increased primarily due to two FLOCs (8.2%), both of which are multifamily properties with fluctuating performance since issuance. Eagle Ridge Village (5.5% of the pool balance) transferred to special servicing in January 2018 due to imminent default after the property experienced a decline in occupancy and low debt service coverage ratio (DSCR). The 648-unit property is located near Ft. Drum, and has been affected by military cutbacks, reduced subsidies, on-base housing requirements and deployments. A cash flow sweep is currently in place to fund any future excess cash flow. The loan remains current. Woodhawk Club Apartments (2.7%) has been flagged as a FLOC for declining occupancy resulting in lower rental revenue and net operating income (NOI). Occupancy was reported at 86.6% per the September 2017 rent roll, a slight improvement from 82% at year-end (YE) 2016 and 78% at YE 2015, but remains below issuance levels of 94%. DSCR was reported at 1.02x (year to date June 2017), compared with 0.99x (YE 2016) and 1.31x (YE 2015). The DSCR has also declined due to amortizing payments, which began in June 2015. The loan has remained current. Increased Credit Enhancement (CE) and Paydowns: As of the February 2018 remittance reporting, the pool's aggregate principal balance paid down 12.4% to $1.05 billion from $1.12 billion at issuance. Since issuance, two loans totalling $64.1 million have prepaid prior to their scheduled loan maturities with yield maintenance penalties or during their open period. Four loans totalling $64.7 million are scheduled to mature over the next six months. There have been no realized losses since issuance. Two loans (2% of current pool) were defeased. Amortization: All loans are now amortizing. The transaction had no full-term, interest-only (IO) loans, and all partial IO loans (33% of the pool) have transitioned into their amortization periods. The pool is scheduled to pay down 17.9% from cutoff to maturity, based on the loans' scheduled maturity balances at issuance. The pool has already paid down 12.3% since issuance, which was accelerated by the full pre-payment of the $57.0 million Condyne Industrial Portfolio loan (4.8% of the original pool), the fourth largest loan at issuance. Per the February 2018 remittance, current scheduled principal payments are $1.84 million per month. Retail Concentration: The largest property concentration consists of retail properties (36.7% of the pool), with 14 loans (30.4%) secured by anchored properties. The largest loan in the pool, Friendly Center (9.2%), is secured by an open-air retail center in Greensboro, NC anchored by Sears and Macy's. RATING SENSITIVITIES Rating Outlooks on classes A-1 through D remain Stable due to sufficient class CE relative to Fitch expected losses. The senior class's CE is expected continue to increase from ongoing amortization. The Negative Outlook on class E reflects the high percentage of FLOCs, in particular the specially serviced Eagle Ridge Village property since issuance. A downgrade to this class may be considered should performance continue to decline and Fitch expected losses increase. Upgrades, while not expected, are possible with improved performance of the FLOCs and additional paydown or defeasance. 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, Wells Fargo & Company rated 'A+'/'F1', which is currently the primary advancing agent, as a direct counterparty. Fitch provided ratings confirmation on Jan. 24, 2018. Fitch has downgraded the following class and assigned Recovery Estimate as indicated: -- $12 million class F to 'CCCsf' from 'Bsf Outlook Stable'; RE 100%. Fitch has affirmed the following ratings as indicated: -- $70.2 million class A-2 at 'AAAsf'; Outlook Stable; -- $200 million class A-3 at 'AAAsf'; Outlook Stable; -- $313.8 million class A-4 at 'AAAsf'; Outlook Stable; -- $105.5 million class A-AB at 'AAAsf'; Outlook Stable; -- $772.3 million* class X-A at 'AAAsf'; Outlook Stable; -- $142.2 million* class X-B at 'A-sf'; Outlook Stable. -- $80.8 million class A-S at 'AAAsf'; Outlook Stable; -- $86.8 million class B at 'AA-sf'; Outlook Stable; -- $55.4 million class C at 'A-sf'; Outlook Stable; -- $49.4 million class D at 'BBB-sf'; Outlook Stable; -- $32.9 million class E at 'BBsf'; Outlook Negative; *Notional amount and interest only. The class A-1 certificates have paid in full. Fitch does not rate the interest-only class X-C or class G certificates. GS MORTGAGE 2018-CHILL: Moody's Assigns (P)B3 Rating to Cl. F Certs ------------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to eight classes of commercial mortgage backed securities, issued by GS Mortgage Securities Corporation Trust 2018-CHILL, Commercial Mortgage Pass-Through Certificates, Series 2018-CHILL.: Cl. A, Assigned (P)Aaa (sf) Cl. B, Assigned (P)Aa3 (sf) Cl. C, Assigned (P)A3 (sf) Cl. D, Assigned (P)Baa3 (sf) Cl. E, Assigned (P)Ba3 (sf) Cl. F, Assigned (P)B3 (sf) Cl. X-CP*, Assigned (P)A3 (sf) Cl. X-FP*, Assigned (P)A3 (sf) * Reflects interest-only classes RATINGS RATIONALE The Certificates are collateralized by a single loan backed by a first lien commercial mortgage related to a portfolio of 13 temperature controlled properties. The single borrower underlying the mortgage is comprised of 2 special-purpose bankruptcy-remote entities, each of which is indirectly wholly owned and controlled by Blackstone Capital Partners VII NQ L.P. Moody's approach to rating this transaction involved the application of Moody's Single Borrower methodology. The rating approach for securities backed by a single loan compares the credit risk inherent in the underlying property with the credit protection offered by the structure. The structure's credit enhancement is quantified by the maximum deterioration in property value that the securities are able to withstand under various stress scenarios without causing an increase in the expected loss for various rating levels. In assigning single borrower ratings, Moody's also considers a range of qualitative issues as well as the transaction's structural and legal aspects. The credit risk of the loan is determined primarily by two factors: 1) Moody's assessment of the probability of default, which is largely driven by the DSCR, and 2) Moody's assessment of the severity of loss in the event of default, which is largely driven by the LTV of the underlying loan. The first mortgage balance of $365,000,000 represents a Moody's LTV of 105.9%. The Moody's First Mortgage Actual DSCR is 2.66X and Moody's First Mortgage Actual Stressed DSCR is 1.17X. Loan collateral is comprised of the borrower's fee interest in 13 temperature-controlled properties located within 6 states. Construction dates range between 1964 and 1999 and reflect an average age of 30 years. Property subtypes based on Moodys classification include Production Attached/Advantaged (4 properties; 37.0% of TTM NCF; 39.3% of the allocated loan balance) and public warehouse (9 properties; 63.0% of TTM NCF; 60.7% of the allocated loan balance). Most of the facilities are well-suited for their use, exhibiting a weighted average clear height of 33 feet. For the twelve months up to December, 2017 the portfolio's average utilization rate was 73.2%. Moody's analysis for temperature controlled portfolios predominantly focuses on five main factors. These include the assessment of (1) a facility's proximity to a Global Gateway Industrial Market, agricultural and/or food producers, (2) Building Size, (3) Functionality of a facility, (4) Property Subtype which is categorized into three distinct subgroups mainly Public Warehouse, Production Attached/Advantaged, and Distribution/Port Facilities and (5) Utilization and Contracts with food producers, pharmaceutical companies, manufactures and farmers. With respect to the portfolio collateral, Moody's assessment of the portfolio's value centers was positive with respect to facility size, functionality metrics, and proximity to agricultural demand generators. Revenues for the underlying 13 properties are effectively cross-collateralized. Loans secured by multiple properties benefit from lower cash flow volatility given that excess cash flow from one property can be used to augment another's cash flow to meet debt service requirements. The loan also benefit from the pooling of equity from each underlying property. There are 2 borrowers which are all special purpose entities that are 100% directly or indirectly owned by the Sponsor, who is the non-recourse guarantor. The Borrowers are special purpose entities whose primary business is the performance of the obligations under the loan documents and the ownership and operation of the properties. 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-CP, and Cl. X-FP were "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017 and "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. Moody's review incorporated the use of the excel-based Large Loan Model, which it uses for single borrower and large loan multi-borrower transactions. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, and property type. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's Parameter Sensitivities: If Moody's value of the collateral used in determining the initial rating were decreased by 5%, 14.2%, or 22.5%, the model-indicated rating for the currently rated (P) Aaa (sf) class would be Aa1 (sf), Aa3 (sf), or A3 (sf). Parameter Sensitivities are not intended to measure how the rating of the security might migrate over time; rather they are designed to provide a quantitative calculation of how the initial rating might change if key input parameters used in the initial rating process differed. The analysis assumes that the deal has not aged. Parameter Sensitivities only reflect the ratings impact of each scenario from a quantitative/model-indicated standpoint. Qualitative factors are also taken into consideration in the ratings process, so the actual ratings that would be assigned in each case could vary from the information presented in the Parameter Sensitivity analysis. These ratings: (a) are based solely on information in the public domain and/or information communicated to Moody's by the issuer at the date it was prepared and such information has not been independently verified by Moody's and (b) must be construed solely as a statement of opinion and not a statement of fact or an offer, invitation, inducement or recommendation to purchase, sell or hold any securities or otherwise act in relation to the issuer or any other entity or in connection with any other matter. Moody's does not guarantee or make any representation or warranty as to the correctness of any information, rating or communication relating to the issuer. Moody's shall not be liable in contract, tort, statutory duty or otherwise to the issuer or any other third party for any loss, injury or cost caused to the issuer or any other third party, in whole or in part, including by any negligence (but excluding fraud, dishonesty and/or willful misconduct or any other type of liability that by law cannot be excluded) on the part of, or any contingency beyond the control of Moody's, or any of its employees or agents, including any losses arising from or in connection with the procurement, compilation, analysis, interpretation, communication, dissemination, or delivery of any information or rating relating to the issuer. Factors that would lead to an upgrade or downgrade of the ratings: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan paydowns or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. Moody's ratings address only the credit risks associated with the transaction. Other non-credit risks have not been addressed and may have a significant effect on yield to investors. The ratings do not represent any assessment of (i) the likelihood or frequency of prepayment on the mortgage loans, (ii) the allocation of net aggregate prepayment interest shortfalls, (iii) whether or to what extent prepayment premiums might be received, or (iv) in the case of any class of interest-only certificates, the likelihood that the holders thereof might not fully recover their investment in the event of a rapid rate of prepayment of the mortgage loans. HOMESTAR MORTGAGE: Moody's Hikes $46MM of Alt-A RMBS Issued in 2004 ------------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of fourteen tranches from six transactions, backed by Alt-A RMBS loans, issued by Homestar Mortgage Acceptance Corp. in 2004. Complete rating actions are: Issuer: Homestar Mortgage Acceptance Corp. Asset-Backed Pass-Through Certificates, Series 2004-1 Cl. A-1, Upgraded to Aa1 (sf); previously on Mar 9, 2017 Upgraded to A1 (sf) Cl. A-2, Upgraded to Aa2 (sf); previously on Mar 9, 2017 Upgraded to A2 (sf) Issuer: Homestar Mortgage Acceptance Corp. Asset-Backed Pass-Through Certificates, Series 2004-2 Cl. AV-1, Upgraded to Aaa (sf); previously on Mar 9, 2017 Upgraded to Aa1 (sf) Cl. AV-2, Upgraded to Aaa (sf); previously on Mar 9, 2017 Upgraded to Aa2 (sf) Issuer: Homestar Mortgage Acceptance Corp. Asset-Backed Pass-Through Certificates, Series 2004-3 Cl. AV-3, Upgraded to Aaa (sf); previously on Mar 9, 2017 Upgraded to Aa1 (sf) Cl. M-4, Upgraded to B1 (sf); previously on Apr 19, 2016 Upgraded to B3 (sf) Cl. M-5, Upgraded to Caa2 (sf); previously on Apr 19, 2016 Upgraded to Ca (sf) Issuer: Homestar Mortgage Acceptance Corp. Asset-Backed Pass-Through Certificates, Series 2004-4 Cl. A-3, Upgraded to Aaa (sf); previously on May 10, 2012 Downgraded to A1 (sf) Cl. M-3, Upgraded to Ba2 (sf); previously on Aug 4, 2015 Downgraded to B2 (sf) Cl. M-4, Upgraded to Ba3 (sf); previously on Aug 4, 2015 Downgraded to Caa1 (sf) Cl. M-5, Upgraded to B1 (sf); previously on Aug 4, 2015 Downgraded to Caa2 (sf) Issuer: Homestar Mortgage Acceptance Corp. Asset-Backed Pass-Through Certificates, Series 2004-5 Cl. M-6, Upgraded to Ba3 (sf); previously on Mar 9, 2017 Upgraded to Caa1 (sf) Cl. M-7, Upgraded to Caa2 (sf); previously on Feb 15, 2013 Affirmed C (sf) Issuer: Homestar Mortgage Acceptance Corp. Asset-Backed Pass-Through Certificates, Series 2004-6 Cl. M-6, Upgraded to B2 (sf); previously on May 18, 2016 Upgraded to Caa1 (sf) RATINGS RATIONALE The rating upgrades are primarily due to an increase in the credit enhancement available to the bonds. The rating actions reflect the recent performance of the underlying pools and Moody's updated loss expectation on these 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 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 2018. 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. 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. JMP CREDIT III: Moody's Assigns Ba3(sf) Rating to Class E Notes --------------------------------------------------------------- Moody's Investors Service has assigned ratings to five classes of notes issued by JMP Credit Advisors CLO III(R) Ltd. (the "Issuer" or "JMP Credit Advisors CLO III(R)"). Moody's rating actions are: US$228,000,000 Class A Senior Secured Floating Rate Notes due 2028 (the "Class A Notes"), Assigned Aaa (sf) US$41,700,000 Class B Senior Secured Floating Rate Notes due 2028 (the "Class B Notes"), Assigned Aa2 (sf) US$22,500,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2028 (the "Class C Notes"), Assigned A2 (sf) US$21,600,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2028 (the "Class D Notes"), Assigned Baa3 (sf) US$18,300,000 Class E Mezzanine Secured Deferrable Floating Rate Notes due 2028 (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. JMP Credit Advisors CLO III(R) is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of first lien senior secured loans, cash, and eligible investments, and up to 10.0% of the portfolio may consist of second lien loans and unsecured loans. Moody's expect the portfolio to be fully invested as of the closing date. JMP Credit Advisors 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 two 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 has assumed as a result of the merger transaction between the Issuer and another CLO issuer (the "Existing CLO Issuer"), all of the rights and obligations under the subordinated notes previously issued by the Existing CLO Issuer. 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: Performing par and principal proceeds balance: $357,170,553 Defaulted par: $3,483,965 Diversity Score: 75 Weighted Average Rating Factor (WARF): 2950 Weighted Average Spread (WAS): 3.50% Weighted Average Recovery Rate (WARR): 44.0% Weighted Average Life (WAL): 5.9 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 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 2950 to 3393) Rating Impact in Rating Notches Class A Notes: 0 Class B Notes: -1 Class C Notes: -2 Class D Notes: -1 Class E Notes: -1 Percentage Change in WARF -- increase of 30% (from 2950 to 3835) 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 JP MORGAN 2004-C3: Fitch Affirms 'CCCsf' Rating on Class H Certs ---------------------------------------------------------------- Fitch Ratings has affirmed J.P. Morgan Chase Commercial Mortgage Securities Corp. (JPMCC) commercial mortgage pass-through certificates series 2004-C3. KEY RATING DRIVERS Largest Loan is Fitch Loan of Concern; Losses Remain Possible: The largest loan in the transaction, T-Mobile Lenexa, KS (42.7%) is considered a Fitch Loan of Concern as the property's sole tenant's lease expiration is in October 2019, two months prior to the loan's anticipated repayment date (ARD) in December 2019. After the ARD, the loan's interest rate is increased by at least 2% or the then-current treasury rate corresponding to a term equal to the remaining amortization plus at least 2% per annum. The loan is also on the master servicer's watchlist for major deferred maintenance. The current debt per square foot is $106.4. Concentrated Pool: The pool is highly concentrated with only seven 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. Defeasance: Two loans (14.8%) are fully defeased. Maturity Schedule: 16.7% matures in 2019; 9.9% in 2022, 11.8% in 2023; 4.6% in 2024; 14.3% in 2025, and 42.7% in 2034. Amortization: As of the January 2018 distribution date, the transaction has paid down 99.7% since issuance, to $4.7 million from $1.5 billion. Interest shortfalls in the amount of $4.5 million are currently affecting classes J, N, P, Q, and NR. RATING SENSITIVITIES The balance of class H is reliant on a combination of defeased collateral, fully amortizing loans and the Fitch Loan of Concern. Should the Fitch Loan of Concern pay off at its anticipated repayment date (ARD) date in 2019 or the single tenant renew their lease, an upgrade to this class may be possible. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third-party due diligence was provided or reviewed in relation to this rating action. Fitch has affirmed the following ratings: -- $14.6 million class H at 'CCCsf'; RE revised to 100%; -- $4.7 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 P at 'Dsf'; RE 0%; -- $0 class Q at 'Dsf'; RE 0%. The class A-1, A-1A, A-2, A-3, A-4, A-5, A-J, B, C, D, E, F, and G 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-LDP5: Fitch Affirms 'CCsf' Rating on Cl. H Certs --------------------------------------------------------------- Fitch Ratings has upgraded one class and affirmed 10 classes of J.P. Morgan Chase Commercial Mortgage Securities Corp. (JPMCC) commercial mortgage pass-through certificates, series 2005-LDP5. KEY RATING DRIVERS The rating upgrade to class F reflects the class' increased credit enhancement resulting from four loans repaying in full since Fitch's last rating action. Although credit enhancement is high, upgrades were limited as several loans have near-term lease roll and/or are single-tenanted. Affirmations to the lower classes were the result of high expected losses relative to current credit enhancement. Interest shortfalls are currently affecting classes J, K and N through NR. Fitch modeled losses of 39% of the remaining pool; expected losses on the original pool balance total 5.8%, including $181.1 million (4.24% of original pool balance) in realized losses incurred to date. As of the January 2018 distribution date, the transaction has paid down 96% since issuance, to $159.4 million from $4.3 billion at issuance. Specially Serviced Loan: The largest loan in the pool (50.4% of the pool balance) is the specially serviced Atlantic Development Portfolio, which is secured by five office complexes and two industrial properties located in Somerset and Warren, NJ. The loan originally transferred to the special servicer in April 2010 due to imminent default and was modified to include an increase in the number of interest-only periods and the release of one property. The loan was briefly transferred to the master servicer only to return back to special servicing in July 2015 following a severe dip in occupancy. As of December 2017, occupancy was reported at 50%. Per the Special Servicer, a receiver was appointed and foreclosure is anticipated to conclude within the first-quarter of 2018. Fitch Loans of Concern: In addition to the specially serviced loan, there are three loans in the pool (33%) considered Fitch Loans of Concern. Two of these loans are past their ARD dates and are secured by single tenant properties with leases rolling in the next 18 months. Highly Concentrated Pool: The pool is highly concentrated with only 13 of the original 199 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 and ranked them by their perceived likelihood of repayment. This includes fully amortizing loans, balloon loans and Fitch Loans of Concern. The ratings reflect this sensitivity analysis. Maturity Schedule: For the non-specially serviced loans the current pool's loan maturity schedule is: 3% (2020), 4.2% (2023), 10% (2025) and 32.3% (2035). RATING SENSITIVITIES The ratings on classes F and G have Stable Outlooks due to sufficient credit enhancement relative to expected losses. Further upgrades are possible with lease renewals for the single tenant properties or better than expected recoveries on the specially serviced asset. Further downgrades to the distressed classes will occur as losses are realized. Fitch has upgraded the following class: -- $22.2 million class F to 'BBBsf' from 'BBsf'; Outlook Stable. Fitch has affirmed the following classes: -- $36.7 million class G at 'B-sf'; Outlook Stable; -- $52.5 million class H at 'CCsf'; RE 75%; -- $41.9 million class J at 'Csf'; RE 0%. -- $6 million class K at 'Dsf'; RE 0%; -- $0 million class L at 'Dsf'; RE 0%; -- $0 million class M at 'Dsf'; RE 0%; -- $0 million class N at 'Dsf'; RE 0%; -- $0 million class O at 'Dsf'; RE 0%; -- $0 million class P at 'Dsf'; RE 0%; -- $0 million class Q at 'Dsf'; RE 0%. The class A-1, A-2FL, A-2, A-3, A-4, A-SB, A-1A, A-M, A-J, B, C, D and E certificates have paid in full. Fitch does not rate the class NR, HG-1, HG-2, HG-3, HG-4, and HG-5 certificates. Fitch previously withdrew the rating on the interest-only class X-1 and X-2 certificates. JP MORGAN 2018-BCON: S&P Assigns B(sf) Rating on Class E Certs -------------------------------------------------------------- S&P Global Ratings assigned its ratings to J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-BCON's commercial mortgage pass-through certificates. The certificate issuance is a commercial mortgage-backed securities (CMBS) transaction backed by the $200.0 million portion of six uncrossed, five-year, fixed-rate commercial mortgage loans, amounting to a combined trust balance of $255.0 million. Each loan is secured by one residential tower within The Beacon, a multifamily complex in Jersey City, N.J., and one 510-space parking facility. The complex also includes three other buildings, which are not part of the collateral for this transaction. The ratings reflect S&P Global Ratings' view of the collateral's historical and projected performance, the sponsor's and managers' experience, the trustee-provided liquidity, the loans' terms, and the transaction's structure. RATINGS ASSIGNED J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-BCON Class Rating(i) Amount A AAA (sf) 81,535,000 X AAA (sf) 81,535,000(ii) B AA- (sf) 20,465,000 C A- (sf) 23,500,000 D BBB- (sf) 24,000,000 E BB- (sf) 27,900,000 F B (sf) 10,800,000 HRR NR 11,800,000 (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 certificates will equal the certificate balance of the class A certificates. NR--Not rated. LEHMAN BROTHERS: Moody's Cuts Ratings on 7 Classes on 5 Loan Deals ------------------------------------------------------------------ Moody's Investors Service downgraded ratings on seven classes of certificates from five securitizations of small balance commercial real estate loans. The deals are serviced by Ocwen Loan Servicing, LLC. Complete rating actions are: Issuer: Lehman Brothers Small Balance Commercial Mortgage Pass-Through Certificates, Series 2006-2 Cl. M3, Downgraded to Caa1 (sf); previously on Mar 27, 2015 Downgraded to B3 (sf) Cl. B, Downgraded to C (sf); previously on Oct 25, 2016 Downgraded to Ca (sf) Issuer: Lehman Brothers Small Balance Commercial Mortgage Pass-Through Certificates, Series 2006-3 Cl. M2, Downgraded to Caa3 (sf); previously on Nov 8, 2013 Downgraded to Caa1 (sf) Issuer: Lehman Brothers Small Balance Commercial Mortgage Pass-Through Certificates, Series 2007-1 Cl. M1, Downgraded to Caa1 (sf); previously on Nov 8, 2013 Downgraded to B2 (sf) Cl. M2, Downgraded to Ca (sf); previously on May 23, 2017 Downgraded to Caa2 (sf) Issuer: Lehman Brothers Small Balance Commercial Mortgage Pass-Through Certificates, Series 2007-2 Cl. M3, Downgraded to C (sf); previously on Oct 25, 2016 Downgraded to Ca (sf) Issuer: Lehman Brothers Small Balance Commercial Mortgage Pass-Through Certificates, Series 2007-3 Cl. M3, Downgraded to C (sf); previously on Dec 2, 2015 Downgraded to Ca (sf) RATINGS RATIONALE The downgrade actions are due to continued deterioration of the pool performance and generally decreased credit enhancement. The transactions are currently under-collateralized and the reserve funds are fully depleted. Further, the transactions 2006-2, 2006-3, 2007-1, 2007-2, and 2007-3 have approximately 8.3%, 25.5%, 22.2%, 10.1%, and 15.1% of the respective collateral balance in serious delinquency, foreclosure, or REO status. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Global Approach to Rating SME Balance Sheet Securitizations" published in August 2017. Moody's evaluated the sufficiency of credit enhancement by first analyzing the loans to determine an expected lifetime net loss for each collateral pool. Moody's compared these net losses with the available credit enhancement. Moody's evaluated the sufficiency of loss coverage provided by credit enhancement in light of the projected losses on the collateral. Other methodologies and factors that may have been considered in the process of rating these transactions can also be found on Moody's website. Factors that would lead to an upgrade or downgrade of the ratings: Up Better than expected pool performance and levels of credit enhancement that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline below Moody's expectations as a result of a decrease in seriously delinquent loans, lower severities than expected on liquidated loans, or fewer defaults than expected. Down Further occurrence of interest shortfalls and levels of credit enhancement that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of an increase in seriously delinquent loans and higher severities than expected on liquidated loans. MIDOCEAN CREDIT VIII: Fitch Assigns 'B-sf' Rating to Class F Notes ------------------------------------------------------------------ Fitch Ratings has assigned the following ratings and Rating Outlooks to MidOcean Credit CLO VIII/LLC: -- $285,000,000 class A-1 notes 'AAAsf'; Outlook Stable; -- $30,000,000 class A-2 notes 'AAAsf'; Outlook Stable; -- $10,000,000 class F notes 'B-sf'; Outlook Stable. Fitch does not rate the class B, C, D, E or subordinated notes. TRANSACTION SUMMARY MidOcean Credit CLO VIII (the issuer) and MidOcean Credit CLO VIII LLC (the co-issuer) comprise an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by MidOcean Credit Fund Management LP (MidOcean CFM). Net proceeds from the issuance of the secured and income notes will be used to purchase a portfolio of approximately $500 million of primarily first-lien senior secured leveraged loans. The CLO will have an approximately five-year reinvestment period and a two-year noncall period. KEY RATING DRIVERS Sufficient Credit Enhancement: Credit enhancement (CE) available to the class A-1, A-2 and F notes, in addition to excess spread, is sufficient to protect against portfolio default and recovery rate projections in their respective rating stress scenarios. The degree of CE available to class A-1 notes is above the average CE of recent CLO issuances in the same rating category while the degree of CE available to the class A-2 and F notes is in line with the average CE of recent CLO issuances in their respective rating categories. 'B/B-' Asset Quality: The average credit quality of the indicative portfolio is 'B/B-', which is comparable to recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, in Fitch's opinion, class A-1, A-2 and F notes are unlikely to be affected by the foreseeable level of defaults. Class A-1, A-2 and F notes are projected to be able to withstand default rates of up to 66.1%, 61.4% and 40.3%, respectively. Fitch was not asked to rate the class B, C, D and E notes; however, these notes were included in Fitch's modeling of the class F notes. The model implied ratings for such notes are listed in the accompanying new issue report, which is available to investor's on Fitch's website at 'fitchratings.com' or by clicking on the link. Strong Recovery Expectations: The indicative portfolio consists of 100% first-lien senior secured loans. Approximately 92.8% of the indicative portfolio has either strong recovery prospects or a Fitch-assigned Recovery Rating of 'RR2' or higher, resulting in a base case recovery assumption of 80.7%. In determining the ratings for class A-1, A-2, and F notes, Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses, resulting in a 37.8% recovery rate in Fitch's 'AAAsf' scenario and a 75.4% recovery rate in Fitch's 'B-sf' scenario . RATING SENSITIVITIES Fitch evaluated the class A-1, A-2 and F notes' sensitivity to the potential variability of key model assumptions including decreases in recovery rates and increases in default rates. Fitch expects the class A-1 and A-2 notes to remain investment grade even under the most extreme sensitivity scenarios. Results under these sensitivity scenarios were between 'AA-sf' and 'AAAsf' for class A-1 notes, between 'A+sf' and 'AAAsf' for the class A-2 notes, and between ' MIDOCEAN CREDIT VIII: S&P Assigns Prelim BB-(sf) Rating on D Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to MidOcean Credit CLO VIII/MidOcean Credit CLO VIII LLC's $430 million floating-rate notes. The note issuance is a collateralized loan obligation securitization backed by primarily 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. 20, 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 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 MidOcean Credit CLO VIII/MidOcean Credit CLO VIII LLC Class Rating Amount (mil. $) A-1 AAA (sf) 285.00 A-2 NR 30.00 B AA (sf) 65.00 C (deferrable) A (sf) 30.00 D (deferrable) BBB- (sf) 30.00 E (deferrable) BB- (sf) 20.00 F (deferrable) NR 10.00 Subordinated notes NR 42.00 NR--Not rated. MONARCH GROVE: Moody's Assigns Ba3 Rating to Class E Notes ---------------------------------------------------------- Moody's Investors Service has assigned ratings to six classes of notes issued by Monarch Grove CLO, Ltd. Moody's rating action is: US$247,000,000 Class A-1 Senior Secured Floating Rate Notes Due 2028 (the "Class A-1 Notes"), Assigned Aaa (sf) US$3,333,334 Class A-X Senior Secured Floating Rate Notes Due 2028 (the "Class A-X Notes"), Assigned Aaa (sf) US$40,000,000 Class B Senior Secured Floating Rate Notes Due 2028 (the "Class B Notes"), Assigned Aa2 (sf) US$25,000,000 Class C Mezzanine Secured Deferrable Floating Rate Notes Due 2028 (the "Class C Notes"), Assigned A2 (sf) US$22,000,000 Class D Mezzanine Secured Deferrable Floating Rate Notes Due 2028 (the "Class D Notes"), Assigned Baa3 (sf) US$26,000,000 Class E Junior Secured Deferrable Floating Rate Notes Due 2028 (the "Class E Notes"), Assigned Ba3 (sf) The Class A-1 Notes, the Class A-X 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. Monarch Grove CLO is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 92.0% of the portfolio must consist of first lien senior secured loans, cash, and eligible investments, and up to 8.0% of the portfolio may consist of second lien loans and unsecured loans. Moody's expect almost all of the portfolio to be invested as of the closing date. Tall Tree Investment 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 two 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 has assumed by operation of law as a result of the merger transaction between the Issuer and Tuolumne Grove CLO, Ltd. (the "TG Issuer"), all of the obligations under the subordinated notes previously issued by the TG Issuer. 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: Performing par and principal proceeds balance: $383,689,624 Defaulted par: $1,800,836 Diversity Score: 70 Weighted Average Rating Factor (WARF): 3160 Weighted Average Spread (WAS): 3.40% Weighted Average Recovery Rate (WARR): 48.0% Weighted Average Life (WAL): 6.2 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 3160 to 3634) Rating Impact in Rating Notches Class A-1 Notes: 0 Class A-X Notes: 0 Class B Notes: -1 Class C Notes: -2 Class D Notes: -1 Class E Notes: -1 Percentage Change in WARF -- increase of 30% (from 3160 to 4108) Rating Impact in Rating Notches Class A-1 Notes: -1 Class A-X Notes: 0 Class B Notes: -3 Class C Notes: -3 Class D Notes: -2 Class E Notes: -1 MORGAN STANLEY 2006-IQ11: Fitch Hikes Class C Certs Rating to Bsf ----------------------------------------------------------------- Fitch Ratings has upgraded one and affirmed 10 classes of Morgan Stanley Capital I Trust, commercial mortgage pass-through certificates, series 2006-IQ11 (MSC 2006-IQ11). KEY RATING DRIVERS Improved Loss Expectations: The upgrade to class C reflects increased credit enhancement from the prepayment of two loans and lower loss expectations on the remaining pool since Fitch's last rating action. The upgrade was limited due to the high concentration of Fitch Loans of Concern (FLOCs; 32.7% of pool), including two specially serviced assets (18.2%), two loans flagged for low debt service coverage ratio (DSCR) and one loan secured by a vacant single-tenant retail property. Fitch modeled losses of 9% of the remaining pool; expected losses on the original pool balance total 7.3%, including $110.8 million (6.9% of original pool balance) in realized losses incurred to date. Rating Cap: The ratings of classes A-J and B were capped at 'Asf' and 'BBsf', respectively, based on the collateral quality of the remaining pool. The pool is concentrated with only 28 of the original 234 loans/assets remaining. Fitch performed a sensitivity analysis, which grouped the remaining loans based on loan structural features, collateral quality and performance and ranked them by their perceived likelihood of repayment. The ratings reflect this sensitivity analysis. Specially Serviced Loans/Assets: The largest loan in the pool, Greater Lewistown Plaza (10.9% of pool), which is secured by a retail property located in Lewistown, PA, transferred to special servicing in April 2016 for maturity default. The borrower subsequently filed for Chapter 11 bankruptcy in February 2017. Tenants at the property include Weis Markets (34.8% of net rentable area [NRA]; lease expiry in July 2021), Dunham's (20.4%; May 2020) and JCPenney (16.1%; October 2019). Occupancy as of June 2017 was 90.3%. In December 2017, the court approved the borrower's motion to sell the property. The fourth largest asset, Waverly Woods (7.3%), is an office property located in Mariottsville, MD. The loan was transferred to special servicing in April 2016 for imminent default. The largest tenant (56% of NRA) vacated at the end of 2016 and the asset became real-estate owned (REO) in April 2017. Property occupancy as of December 2017 had declined to 40% from 85% in November 2016 due to the largest tenant vacating at lease expiration. The special servicer expects to continue implementing a value-add strategy at this time. Fitch Loans of Concern: In addition to the two specially serviced loans/assets, there are three loans (14.5% of pool) considered FLOCs. The second largest loan (10.2%) is secured by a full-service hotel located in Chantilly, VA. The loan was previously with the special servicer in 2011 after the sponsor requested a modification, which was denied. The property has experienced a steady decrease in room revenues since 2008. Although property performance improved in 2016 due to the hotel and the attached restaurant combining operations in December 2015, the servicer-reported net operating income DSCR as of year-end 2016 remains low at 0.92x. The Chantilly hotel market suffers from overbuilding and room rates at the property are under pressure from competing hotels offering much lower rates. The other two FLOCs include a vacant single tenant retail property in Charlotte, NC formerly occupied by HH Gregg (2.9%) and a retail property in Meridian, ID (1.4%) with low DSCR as newly executed leases have significantly lower rental rates than at the time of issuance. Co-Op Loans: Ten loans (27.2% of pool) are secured by co-operative properties located in the New York. With the exception of these co-operative loans, the majority of the remaining properties in the pool are located in secondary and tertiary markets. Fully Amortizing Loans: 11 loans (22.6% of pool) are fully amortizing. Maturity Schedule: Excluding the two specially serviced loans/assets, 18.9% of the pool matures in 2019, 10.4% in 2020, 30.8% in 2021, 0.8% in 2024, 2% in 2025 and 18.8% in 2026. As of the January 2018 distribution date, the pool's aggregate principal balance has been reduced by 95.2% to $76.9 million from $1.6 billion at issuance. Cumulative interest shortfalls totaling $22 million are currently impacting classes D through P. RATING SENSITIVITIES The Stable Rating Outlooks for classes A-J, B and C reflect increased credit enhancement and expected continued amortization. Future upgrades are possible with improved performance and leasing progress of the FLOCs or better than expected recoveries on the specially serviced loans/assets. Downgrades are possible if pool performance deteriorates and/or expected losses increase significantly. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third-party due diligence was provided or reviewed in relation to this rating action. Fitch has upgraded the following class: -- $12.1 million class C to 'Bsf' from 'CCCsf'; Outlook Stable. In addition, Fitch has affirmed the following classes: -- $13 million class A-J at 'Asf'; Outlook Stable; -- $30.3 million class B at 'BBsf'; Outlook Stable; -- $21.2 million class D at 'Dsf'; RE 75%; -- $0.3 million 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%. Classes A-1, A-1A, A-2, A-3, A-4 and A-M have paid in full. Fitch does not rate the class M, N, O, P and EI certificates. Fitch previously withdrew the ratings on the interest-only class X and X-Y certificates. NAVITAS EQUIPMENT 2016-1: Fitch Hikes Rating on Cl. D Notes From B+ ------------------------------------------------------------------- Fitch Ratings has taken various rating actions on Navitas Equipment Receivables LLC, Series 2016-1 as follows: 2016-1 -- Class A-2 upgraded to 'AAAsf' from 'Asf'; Outlook Stable; -- Class B upgraded to 'AAsf' from 'BBBsf'; Outlook revised to Positive from Stable; -- Class C upgraded to 'Asf' from 'BB+sf'; Outlook revised to Positive from Stable; -- Class D upgraded to 'BBBsf' from 'B+sf'; Outlook revised to Positive from Stable. KEY RATING DRIVERS The initial ratings for 2016-1 were capped at 'Asf' given that this was the first Navitas ABS transaction rated by Fitch, a relatively limited operating history in terms of managed portfolio performance through a full economic cycle, and no paid in full (PIF) ABS transactions. However, since close, the transaction has performed well with low cumulative net losses (CNL) and increasing credit enhancement (CE). Furthermore, since the closing of 2016-1, the 2013-1 transaction has PIF with relatively low CNL. Given these factors, Fitch has removed the 'Asf' rating cap and upgraded all outstanding classes as detailed above. For 2016-1, the upgrades of all outstanding notes reflect the growth in credit enhancement and loss coverage for this transaction due to strong collateral performance. The Positive Outlook for all the subordinate classes reflects Fitch's expectation for loss coverage and CE to continue to improve as the transaction amortizes. As of the January 2018 servicer report, current 60+ day delinquencies are 77 basis points (bps) and CNL are 67 bps. Loss performance for the transaction is tracking well within the initial base case loss proxy of 3.60%. Credit enhancement has increased to 41.12%, 18.20%, 12.52%, and 9.63% for classes A-2, B, C, and D, respectively. Despite the transaction experiencing low CNL, to ensure a level of conservatism, Fitch maintained the initial base case proxy of 3.60% of the current pool in its analysis. Under this assumption, cash flow modelling was able to support multiples in excess of 5x, 4x, 3x, and 2x for the respective ratings. Current obligor concentrations have remained consistent from initial levels; thus Fitch believes the transaction has limited exposure to obligor concentration risk. As such, the primary rating approach is the stressed loss approach. RATING SENSITIVITIES Unanticipated increases in the frequency of defaults and loss severity could produce loss levels higher than the current projected base case loss proxy and impact available loss coverage and multiples levels for the transaction. Lower loss coverage could impact ratings and Rating Outlooks, depending on the extent of the decline in coverage. In Fitch's initial review of the transaction, the notes were found to have limited sensitivity to a 1.5x and 2.5x increase of Fitch's base case loss expectation. To date, the transaction has exhibited strong performance with losses within Fitch's initial expectations with rising loss coverage and multiple levels. As such, a material deterioration in performance would have to occur within the asset collateral to have potential negative impact on the outstanding ratings. OCTAGON INVESTMENT XVII: S&P Assigns Prelim B- Rating on F-R2 Notes ------------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-1-R2, B-R2, C-R2, D-R2, E-R2, and F-R2 replacement notes, as well as to the new class X notes, from Octagon Investment Partners XVII Ltd., a collateralized loan obligation (CLO) originally issued in August 2013 that is managed by Octagon Credit Investors LLC. The replacement notes will be issued via a proposed supplemental indenture. 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. 22, 2018. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Feb. 28, 2018, refinancing date, the proceeds from the issuance of the replacement notes, combined with the proceeds of the issuance of the class X notes and additional subordinated notes, are expected to redeem the currently outstanding notes. S&P said, "At that time, we anticipate withdrawing the ratings on the original notes and assigning ratings to the replacement notes. However, if the refinancing doesn't occur, we may affirm the ratings on the original notes and withdraw our preliminary ratings on the currently outstanding notes." The replacement notes are being issued via a proposed supplemental indenture. Based on provisions in the supplemental indenture: -- The replacement class A-1-R2, B-R2, C-R2, D-R2, E-R2, and F-R2 notes are expected to be issued at a lower spread than the original notes. -- An additional class X senior secured floating-rate note will be issued, which is expected to be paid down using interest proceeds over the first seven periods of the reset transaction, ending on the payment date in January 2020. -- The transaction will also issue additional subordinated notes, increasing the subordinated notes balance to approximately $51.402 million from $37.277 million. -- The stated maturity will be extended 5.25 years, to January 2031. -- The reinvestment period will be reinstated, now ending in January 2023. -- The non-call period will be extended to July 2019 for the class A-1-R2 notes and extended to January 2020 for all other classes. 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 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 Octagon Investment Partners XVII Ltd. Replacement class Rating Amount (mil. $) X AAA (sf) 5.50 A-1-R2 AAA (sf) 241.00 A-2-R2 NR 10.50 B-R2 AA (sf) 51.25 C-R2 (deferrable) A (sf) 26.00 D-R2 (deferrable) BBB- (sf) 21.75 E-R2 (deferrable) BB- (sf) 16.00 F-R2 (deferrable) B- (sf) 7.75 Subordinated notes(i) NR 51.40 (i)Includes $37.277 million in original subordinated note issuance and $14.125 million in additional note issuance as part of this reset. NR--Not rated. OCWEN 1999-R1: Fitch Affirms Then Withdraws 'Csf' on Cl. AP-F Debt ------------------------------------------------------------------ Fitch Ratings has affirmed and withdrawn the 'Csf' RE NC rating of Ocwen 1999-R1 class AP-F. In addition, Fitch has withdrawn the rating as it is no longer considered by Fitch to be relevant to the agency's coverage. KEY RATING DRIVERS The remaining balance of the affected class is less than 1% of the originally issued amount. The class is under-collateralized and has an estimated principal recovery of 0% of the remaining balance. RATING SENSITIVITIES No longer relevant as the rating has been withdrawn. RHODE ISLAND TOBACCO: S&P Affirms CCC Rating on Class 2007-B Bonds ------------------------------------------------------------------ S&P Global Ratings raised its ratings on five tranches and affirmed its ratings on 12 tranches from Tobacco Settlement Financing Corp.'s series 2007 and 2015. Both series are backed by tobacco settlement revenues due to Rhode Island as part of a master settlement agreement between participating tobacco companies and the settling states. The outstanding classes from series 2007 were originally issued and rated in 2007, while the outstanding classes from series 2015 were originally issued and rated in 2015. The outstanding portion of Tobacco Settlement Financing Corp.'s series 2007 consists of capital appreciation bonds maturing in 2052. Capital appreciation bonds generally capitalize interest until all senior notes have been paid in full and therefore tend to have the most risk. The rated portion of the series 2015 transaction consists of current interest serial bonds maturing from June 1, 2018, through June 1, 2030, and term bonds maturing June 1, 2035, and June 1, 2040. These classes are senior to the series 2007 bonds. The rating actions reflect S&P's view of the transaction's performance under a series of stressed cash flow scenarios, including: -- A cigarette volume decline test that assesses if the transaction can withstand annual declines in cigarette shipments; -- Payment disruptions by the largest of the participating manufacturers, by market share, at various points over the transaction's term to reflect a Chapter 11 bankruptcy filing; and -- A liquidity stress test to account for settlement amount disputes by participating manufacturers, as a result of changes to their market share, which continues to shift to nonparticipating manufacturers. S&P said, "The raised ratings reflect our belief that these classes can now make timely interest and principal payments at a higher rating level. In addition, the tranches raised to 'A (sf)' were required to pass additional volume decline sensitivity tests commensurate with the higher rating level. Since our last rating actions in August 2015, the three senior-most bonds of the series 2015, maturing between 2016 and 2017, have been paid in full. "We affirmed our ratings on 12 classes to reflect the likelihood that the classes will make timely interest and principal payments under all three stress scenarios commensurate with the current ratings, factoring in adjustments due to tenor where appropriate on longer-dated maturities. "Our analysis also reflects developments within the tobacco industry. We view the U.S. tobacco industry as having a stable rating outlook based on the high brand equity and pricing power of the top three manufacturers' conventional cigarette brands. In our view, this should help offset ongoing cigarette volume declines and allow for sustained cash flows. However, changing regulations and ongoing litigation risk are constraining factors the industry faces." RATINGS RAISED Tobacco Settlement Financing Corp. U.S. $620.935 million tobacco settlement asset-backed bonds series 2015A Rating CUSIP Maturity To From 888809AR1 6/1/2019 A (sf) BBB+ (sf) 888809AS9 6/1/2020 A (sf) BBB+ (sf) 888809AT7 6/1/2021 A (sf) BBB+ (sf) 888809AY6 6/1/2026 BBB+ (sf) BBB (sf) 888809AZ3 5/1/2027 BBB+ (sf) BBB (sf) RATINGS AFFIRMED Tobacco Settlement Financing Corp. U.S. $194.31 million tobacco settlement asset-backed bonds series 2007 Class CUSIP Maturity Rating 2007-A 888809AH3 6/1/2052 CCC+ (sf) 2007-B 888809AJ9 6/1/2052 CCC (sf) Tobacco Settlement Financing Corp. U.S. $620.935 million tobacco settlement asset-backed bonds series 2015A CUSIP Maturity Rating 888809AQ3 6/1/2018 A (sf) 888809AU4 6/1/2022 BBB+ (sf) 888809AV2 6/1/2023 BBB+ (sf) 888809AW0 6/1/2024 BBB+ (sf) 888809AX8 6/1/2025 BBB+ (sf) 888809BA7 6/1/2028 BBB (sf) 888809BB5 6/1/2029 BBB (sf) 888809BC3 6/1/2030 BBB (sf) 888809BD1 6/1/2035 BBB (sf) 888809BE9 6/1/2040 BBB (sf) TRAPEZA CDO V: Moody's Hikes Ratings on 2 Tranches to B1 -------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Trapeza CDO V, Ltd: US$50,000,000 Class A1B Second Priority Senior Secured Floating Rate Notes Due 2034 (current balance of $45,134,436), Upgraded to Aaa (sf); previously on July 10, 2015 Upgraded to Aa1 (sf) US$33,000,000 Class B Third Priority Senior Secured Floating Rate Notes Due 2034, Upgraded to Aa1 (sf); previously on July 10, 2015 Upgraded to Aa2 (sf) US$25,000,000 Class C-1 Fourth Priority Secured Floating Rate Notes Due 2034 (current balance including deferred interest of $29,336,668), Upgraded to B1 (sf); previously on July 10, 2015 Upgraded to B3 (sf) US$41,000,000 Class C-2 Fourth Priority Secured Fixed/Floating Rate Notes Due 2034 (current balance including deferred interest of $48,197,185), Upgraded to B1 (sf); previously on July 10, 2015 Upgraded to B3 (sf) Trapeza CDO V, Ltd., issued in December 2003, is a collateralized debt obligation (CDO) backed mainly by a portfolio of bank trust preferred securities (TruPS). RATINGS RATIONALE The rating actions are primarily a result of the deleveraging of the Class A1A and Class A1B notes and an increase in the transaction's over-collateralization (OC) ratios since February 2017. The Class A1A notes have paid in full and the Class A1B notes have paid down by approximately 9.7% or $4.9 million since February 2017, using principal proceeds from the redemption of underlying assets and the diversion of excess interest proceeds. Based on Moody's calculations, the OC ratios for the Class A1B, Class B and Class C notes have improved to 346.8%, 200.3% and 100.5%, respectively, from February 2017 levels of 272.9%, 179.3% and 99.3%, respectively. The Class A1B notes will continue to benefit from the diversion of excess interest and the use of proceeds 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. 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) 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(TM) 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 391) Class A1B: 0 Class B: 0 Class C-1: +2 Class C-2: +2 Class D: +1 Assuming a two-notch downgrade to assets with below-investment grade ratings or rating estimates (WARF of 900) Class A1B: -1 Class B: 0 Class C-1: -1 Class C-2: -1 Class D: -1 Loss and Cash Flow Analysis: Moody's applied a Monte Carlo simulation framework in Moody's CDROM(TM) 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(TM) cash flow model. CDROM(TM) is available on www.moodys.com under Products and Solutions -- Analytical models, upon receipt of a signed free license agreement. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, and weighted average recovery rate, are based on its methodology and could differ from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool as having a performing par of $156.5 million, defaulted par of $37.9 million, a weighted average default probability of 6.26% (implying a WARF of 610), and a weighted average recovery rate upon default of 10.0%. 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 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(TM), 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. VB-S1 2018-1: Fitch Assigns 'BB-sf' Rating to Class F Notes ----------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks for VB-S1 Issuer, LLC's Secured Tower Revenue Notes, Series 2018-1 as follows: -- $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 rated: -- $12,500,000a series 2018-1 class R. (a) Horizontal credit risk retention interest representing 5.0% of the 2018 certificates. In addition, Fitch has affirmed the following classes: -- $240,000,000 series 2016-1 class C at 'Asf'; Outlook Stable; -- $29,000,000 series 2016-1 class D at 'BBBsf'; Outlook Stable; -- $52,000,000 series 2016-1 class F at 'BB-sf'; Outlook Stable. Upon the closing of the 2018 series, the 2018-1 class C ranks pari passu with the 2016-1 class C; the 2018-1 class D with the 2016-1 class D; and the 2018-1 class F with the 2016-1 class F. The 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 are issued pursuant to a supplement to the amended and restated indenture dated as of the closing of the series 2018-1 transaction. 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. WFRB COMMERCIAL 2014-C19: Moody's Affirms Ba1 Rating on X-B Certs ----------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on twelve classes in WFRB Commercial Mortgage Trust, Commercial Pass-Through Certificates, Series 2014-C19: Class A-1, Affirmed Aaa (sf); previously on February 7, 2017 Affirmed Aaa (sf) Class A-2, Affirmed Aaa (sf); previously on February 7, 2017 Affirmed Aaa (sf) Class A-3, Affirmed Aaa (sf); previously on February 7, 2017 Affirmed Aaa (sf) Class A-4, Affirmed Aaa (sf); previously on February 7, 2017 Affirmed Aaa (sf) Class A-5, Affirmed Aaa (sf); previously on February 7, 2017 Affirmed Aaa (sf) Class A-SB, Affirmed Aaa (sf); previously on February 7, 2017 Affirmed Aaa (sf) Class A-S, Affirmed Aaa (sf); previously on February 7, 2017 Affirmed Aaa (sf) Class B, Affirmed Aa3 (sf); previously on February 7, 2017 Affirmed Aa3 (sf) Class C, Affirmed A3 (sf); previously on February 7, 2017 Affirmed A3 (sf) Class PEX, Affirmed A1 (sf); previously on February 7, 2017 Affirmed A1 (sf) Class X-A, Affirmed Aaa (sf); previously on February 7, 2017 Affirmed Aaa (sf) Class X-B, Affirmed Ba1 (sf); previously on June 9, 2017 Upgraded to Ba1 (sf) RATINGS RATIONALE The ratings on nine 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 ratings on the IO classes were affirmed based on the credit quality of their referenced classes. The rating on Class PEX was affirmed due to the weighted average rating factor (WARF) of the exchangeable classes. Moody's rating action reflects a base expected loss of 5.4% of the current pooled balance, compared to 5.1% at Moody's last review. Moody's base expected loss plus realized losses is now 5.1% of the original pooled balance, compared to 4.9% 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 rating all classes except Cl. PEX was "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in July 2017. The principal methodology used in rating Cl. PEX was "Moody's Approach to Rating Repackaged Securities" published in June 2015. The methodologies used in rating Cl. X-A and Cl. X-B were "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in July 2017 and "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. DEAL PERFORMANCE As of the Jan. 18, 2018 distribution date, the transaction's aggregate certificate balance has decreased by 6.3% to $1.0 billion from $1.1 billion at securitization. The certificates are collateralized by 98 mortgage loans ranging in size from less than 1% to 8.6% of the pool, with the top ten loans (excluding defeasance) constituting 39.4% of the pool. Eight loans, constituting 3.3% of the pool, are New York City multifamily cooperative loans which have received investment grade quality treatment. Five loans, constituting 3.2% 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 37, as compared to 40 at Moody's last review. Ten loans, constituting 6.7% 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. The pool has not had any realized losses. Four loans, constituting 3.8% of the pool, are currently in special servicing. The largest specially serviced loan is the Residence Inn Houston -- Katy Mills Loan ($14.9 million -- 1.4% of the pool), which is secured by 126 room extended stay Residence Inn by Marriott, located in Katy, Texas. The loan transferred to special servicing in June 2017 due to imminent default due to cash flow issues. The area has been negatively impacted as a result of exposure to oil and gas industry and an increase in hotel room supply. The remaining three specially serviced loans are secured by hotel and multifamily properties. Moody's estimates an aggregate $15.4 million loss for the specially serviced loans (61% expected loss on average). Moody's has also assumed a high default probability for one poorly performing loan, constituting 0.3% of the pool, and has estimated an aggregate loss of less than $0.9 million (25% expected loss based on a 50% probability default) from this troubled loan. Moody's received full year 2016 operating results for 98% of the pool, and full or partial year 2017 operating results for 94% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 98%, compared to 103% 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 16.2% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 10.1%. Moody's actual and stressed conduit DSCRs are 1.53X and 1.14X, respectively, compared to 1.48X and 1.08X 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 20.6% of the pool balance. The largest loan is the Renaissance Chicago Downtown Loan ($88.7 million -- 8.6% of the pool), which is secured by a 27-story, 553-room hotel located in the center of Downtown Chicago, IL. Amenities include a conference center, fitness center, and indoor swimming pool. Moody's LTV and stressed DSCR are 114.6% and 1.06X, compared to 116.3% and 1.05X, respectively, at the last review. The second largest loan is the Lifetime Fitness Portfolio Loan ($70.2 million -- 6.8% of the pool), which is secured by a portfolio of five fitness centers located in Arizona, Virginia, Illinois, and Texas. All five properties are leased, triple-net, to Lifetime Fitness, Inc. the third largest operator of fitness centers in the United States. The loan benefits from amortization. Moody's LTV and stressed DSCR are 97.9% and 1.40X, compared to 101.6% and 1.35X, respectively, at the last review. The third largest loan is the Nordic Cold Storage Portfolio Loan ($53.9 million -- 5.2% of the pool), which is secured by a portfolio of eight cross-collateralized, cross-defaulted cold storage warehouse and distribution facilities located in Alabama, Georgia, North Carolina, and Mississippi. The properties are occupied under a triple-net master lease with a November 2033 expiration. Moody's LTV and stressed DSCR are 114.5% and 0.97X, respectively, unchanged from the last review. WFRBS COMMERCIAL 2013-C13: Fitch Affirms Bsf Rating on Cl. F Certs ------------------------------------------------------------------ Fitch Ratings has upgraded three classes and affirmed nine of WFRBS Commercial Mortgage Trust commercial mortgage pass-through certificates series 2013-C13. KEY RATING DRIVERS Increased Credit Enhancement and Stable Pool Performance: The upgrades are the result of increased credit enhancement (CE) and stable pool performance: overall pool performance has been as expected with limited performance changes since issuance. No loans have transferred to special servicing since issuance. Fitch ran an additional stress scenario which assumed higher cap rates and cash flow stresses. The upgrades reflect this additional sensitivity analysis. There are 14 loans (13.7%) on the master servicer's watchlist due to upcoming loan maturity, declining performance, or deferred maintenance; however, only four (2.9%) were considered Fitch Loans of Concern. While not on the watchlist, Merrick Commons (1.9%) was flagged as a Fitch Loan of Concern because of the largest tenant's upcoming lease expiration in November 2018. Amortization: Per the January 2018 remittance report, the transaction has paid down 8.5% to $802 million from $876 million at issuance. Two loans repaid in full during their open pay periods, including the 13th largest loan. Full-term interest-only loans comprise 15.1% of the pool. Loans with partial interest-only periods are now amortizing. Lower Loan Concentration: The largest 10 loans account for 46.9% of the pool balance, which is lower than the average 2011 and 2012 top 10 loan concentrations of 59.9% and 54.2%, respectively. In addition, no loan accounts for more than 10.6% of the pool's balance. Property Type Diversity: The pool has a retail concentration of 20.7%, which is lower than the average of 2012 Fitch-rated deals of 35.9%. Hotel and multifamily properties comprise 16.3% and 8.8% of the pool, respectively, representing greater percentages than the 2012 conduit averages of 13.5% and 6.3%. The pool's office concentration of 29.4% is in line with the 2012 average. Co-operative properties represented 7.1% of the pool. Loan Maturity Schedule: Five loans (7.2% or $58 million), including two within the top 15 mature in March 2018 and the remaining 92.8% mature in 2023. Per the servicer's watchlist, all borrowers have indicated they will pay off their respective loans at or before maturity. RATING SENSITIVITIES Rating Outlooks for all classes remain Stable due to the overall stable performance of the pool and continued amortization. Fitch ran additional stress scenarios that assumed higher cap rates and cash flow stresses, as well as a scenario which assumed losses on Fitch's largest Loan of Concern. The upgrades reflect these additional sensitivity tests. Additional upgrades are possible with continued stable pool performance and significant increases in credit enhancement due to amortization or defeasance. Downgrades to the classes are possible should overall pool performance decline and Fitch's loss expectations increase. Fitch has upgraded the following ratings: -- $51.5 million class B to 'AAsf' from 'AA-sf'; Outlook Stable; -- $29.6 million class C to 'Asf' from 'A-sf'; Outlook Stable. -- $81.1 million interest-only class X-B to 'Asf' from 'A-sf'; Outlook Stable. Fitch has affirmed the following ratings: -- $61 million class A-2 at 'AAAsf'; Outlook Stable; -- $200 million class A-3 at 'AAAsf'; Outlook Stable; -- $206.5 million class A-4 at 'AAAsf'; Outlook Stable; -- $662.5 million interest-only class X-A at 'AAAsf'; Outlook Stable; -- $71.5 million class A-SB at 'AAAsf'; Outlook Stable; -- $91 million class A-S at 'AAAsf'; Outlook Stable; -- $32.9 million class D at 'BBB-sf'; Outlook Stable; -- $15.3 million class E at 'BBsf'; Outlook Stable; -- $16.4 million class F at 'Bsf'; Outlook Stable. Class A-1 has been repaid in full. Fitch does not rate the class G certificates or the interest only class X-C certificates. WFRBS COMMERCIAL 2013-C13: Moody's Affirms B2 Rating on F Certs --------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on twelve classes in WFRBS Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2013-C13: Cl. A-2, Affirmed Aaa (sf); previously on Mar 2, 2017 Affirmed Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on Mar 2, 2017 Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Mar 2, 2017 Affirmed Aaa (sf) Cl. A-SB, Affirmed Aaa (sf); previously on Mar 2, 2017 Affirmed Aaa (sf) Cl. A-S, Affirmed Aaa (sf); previously on Mar 2, 2017 Affirmed Aaa (sf) Cl. B, Affirmed Aa3 (sf); previously on Mar 2, 2017 Affirmed Aa3 (sf) Cl. C, Affirmed A3 (sf); previously on Mar 2, 2017 Affirmed A3 (sf) Cl. D, Affirmed Baa3 (sf); previously on Mar 2, 2017 Affirmed Baa3 (sf) Cl. E, Affirmed Ba2 (sf); previously on Mar 2, 2017 Affirmed Ba2 (sf) Cl. F, Affirmed B2 (sf); previously on Mar 2, 2017 Affirmed B2 (sf) Cl. X-A, Affirmed Aaa (sf); previously on Mar 2, 2017 Affirmed Aaa (sf) Cl. X-B, Affirmed A2 (sf); previously on Mar 2, 2017 Affirmed A2 (sf) RATINGS RATIONALE The ratings on the P&I classes A-2 through F 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 ratings on the IO classes X-A and X-B were affirmed based on the credit quality of the referenced classes. Moody's rating action reflects a base expected loss of 2.2% of the current pooled balance, compared to 2.1% at Moody's last review. Moody's base expected loss plus realized losses is now 2.0% of the original pooled balance, the same as at 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 "Approach to Rating US and Canadian Conduit/Fusion 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 and "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in July 2017. DEAL PERFORMANCE As of the January 18, 2018 distribution date, the transaction's aggregate certificate balance has decreased by 8.5% to $802 million from $877 million at securitization. The certificates are collateralized by 93 mortgage loans ranging in size from less than 1% to 11% of the pool, with the top ten loans (excluding defeasance) constituting 47% of the pool. Twenty-one loans, constituting 7.1% of the pool, have investment-grade structured credit assessments. One loan, constituting less than 1% of the pool, has defeased and is 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 27. Fifteen loans, constituting 14% 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 and there are no loans in special servicing. Moody's has assumed a high default probability for three poorly performing loans, constituting 2.4% of the pool, and has estimated an aggregate loss of $3.1 million (a 16% expected loss based on a 50% probability default) from these troubled loans. Moody's received full year 2016 operating results for 94% of the pool, and full or partial year 2017 operating results for 97% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 88%, essentially the same as 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% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.5%. Moody's actual and stressed conduit DSCRs are 1.88X and 1.21X, respectively, compared to 1.91X 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. There are 21 loans with structured credit assessments ($56.9 million -- 7.1% of the pool) that are secured by multifamily co-op properties located in New Jersey and New York. The top three conduit loans represent 27.1% of the pool balance. The largest loan is the 301 South College Street Loan ($85 million -- 10.6% of the pool), which represents a pari-passu interest in a $175 million mortgage loan. The loan is secured by a 988,646 square foot Class A office tower located in the central business district of Charlotte, North Carolina. The property's major tenants include Wells Fargo, Womble Carlyle and YMCA. The property was 100% leased as of September 2017. Moody's LTV and stressed DSCR are 103% and 0.99X, respectively, the same as at the last review. The second largest loan is the 188 Spear Street and 208 Utah Street Loan ($82.4 million -- 10.3% of the pool), which is secured by two office buildings located approximately two miles away from each other in San Francisco, California. Major tenants include Amazon, New Relic, Metaswitch Networks Corp, and Warner Brothers Entertainment. As of September 2017, both 188 Spear Street and 208 Utah Street were 100% leased, the same as at last review. Moody's LTV and stressed DSCR are 83% and 1.16X, respectively, compared to 85% and 1.13X at last review. The third largest loan is the General Services Administration (GSA) Portfolio Loan ($50 million -- 6.2% of the pool). The loan is secured by 14 cross-collateralized and cross-defaulted office and flex warehouse buildings totaling 341,000 SF and located throughout 11 states. The loan sponsor is GSA Realty Holdings, Inc. The properties are collectively 100% leased to GSA tenants under 14 long-term leases. Moody's LTV and stressed DSCR are 89% and 1.13X, respectively, compared to 91% and 1.10X at last review. [*] Fitch Reviews 1,290 Classes in 328 US RMBS Transactions ----------------------------------------------------------- Fitch Ratings, on Feb. 21, 2018, took various rating actions on 1,290 classes in 328 U.S. RMBS transactions. The transactions reviewed consisted of 39 legacy closed-end second lien, 44 small balance commercial mortgage, 142 scratch & dent, eight HELOC, 23 government, and 72 manufactured housing (MH) transactions. Rating Action Summary: -- 937 classes affirmed; -- 209 classes upgraded; -- 136 classes downgraded. Additionally, 282 classes have a Positive Outlook; 206 classes have a Stable Outlook; and 47 classes have a Negative Outlook. Additionally eight classes were marked Paid in Full. KEY RATING DRIVERS The rating upgrades were driven by improvements in the relationship between bond credit enhancement (CE) and expected pool losses since the prior review. On average, the percentage of loans that are 60 or more days delinquent has declined roughly 3% over the last year in the pools reviewed. The average base-case loss assumption declined by 4% supported by strong home price and employment trends. Roughly 85% of the downgraded classes were rated 'Bsf' or lower prior to the rating action. For these already-distressed classes, the downgrades represent a more likely or imminent default, or an observed default for those classes downgraded to 'Dsf'. Downgrades of investment grade classes reflect deterioration in loan performance and/or bond credit enhancement since the prior review. A detailed list of Fitch's updated probability of default (PD), loss severity (LS), and expected loss (XL) can be found by performing a title search for 'U.S. RMBS Loss Metrics' at www.fitchratings.com. The report provides a summary of base-case and stressed scenario projections for the mortgage pools and rated classes. Following the review 34 ratings will be withdrawn due to no longer being considered by Fitch to be relevant to the agency's coverage. These classes have either defaulted, or are in transactions collateralized with fewer than ten remaining mortgage loans. RATING SENSITIVITIES Fitch's analysis includes rating stress scenarios from 'CCCsf' to 'AAAsf'. The 'CCCsf' scenario is intended to be the most-likely base-case scenario. Rating scenarios above 'CCCsf' are increasingly more stressful and less likely to occur. Although many variables are adjusted in the stress scenarios, the primary driver of the loss scenarios is the home price forecast assumption. In the 'Bsf' scenario, Fitch assumes home prices decline 10% below their long-term sustainable level. The home price decline assumption is increased by 5% at each higher rating category up to a 35% decline in the 'AAAsf' scenario. In addition to increasing mortgage pool losses at each rating category to reflect increasingly stressful economic scenarios, Fitch analyses various loss-timing, prepayment, loan modification, servicer advancing, and interest rate scenarios as part of the cash flow analysis. Each class is analyzed with 43 different combinations of loss, prepayment and interest rate projections. The ratings of bonds currently rated 'Bsf' or higher will be sensitive to future mortgage borrower behavior, which historically has been strongly correlated with home price movements. Despite recent positive trends, Fitch currently expects home prices to decline in some regions before reaching a sustainable level. While Fitch's ratings reflect this home price view, the ratings of outstanding classes may be subject to revision to the extent actual home price and mortgage performance trends differ from those currently projected by Fitch. A list of the Affected Ratings is available at: http://bit.ly/2CgqngR [*] Moody's Hikes $444.5MM of Dent RMBS Issued 2004 and 2007 ------------------------------------------------------------ Moody's Investors Service has upgraded the ratings of 36 tranches from 15 transactions backed by "scratch and dent" RMBS loans. Complete rating actions are: Issuer: Bayview Financial Mortgage Pass-Through Certificates, Series 2004-D Cl. M-3, Upgraded to Aaa (sf); previously on Mar 15, 2017 Upgraded to Aa2 (sf) Cl. M-4, Upgraded to Aaa (sf); previously on Mar 15, 2017 Upgraded to Aa3 (sf) Cl. B-1, Upgraded to Baa1 (sf); previously on Jul 6, 2015 Upgraded to Ba1 (sf) Issuer: Bayview Financial Mortgage Pass-Through Certificates, Series 2005-B Cl. M-4, Upgraded to Aaa (sf); previously on Mar 15, 2017 Upgraded to Aa3 (sf) Cl. M-3, Upgraded to Aaa (sf); previously on Mar 15, 2017 Upgraded to Aa2 (sf) Cl. B-1, Upgraded to Aa2 (sf); previously on Mar 15, 2017 Upgraded to A3 (sf) Issuer: Bayview Financial Mortgage Pass-Through Trust 2006-A Cl. 1-A4, Upgraded to Aaa (sf); previously on Mar 15, 2017 Upgraded to Aa2 (sf) Cl. M-1, Upgraded to Aaa (sf); previously on May 4, 2016 Upgraded to A2 (sf) Cl. M-2, Upgraded to Aa2 (sf); previously on Mar 15, 2017 Upgraded to A3 (sf) Cl. M-3, Upgraded to A3 (sf); previously on Mar 15, 2017 Upgraded to Ba1 (sf) Cl. M-4, Upgraded to Ba1 (sf); previously on Mar 15, 2017 Upgraded to B2 (sf) Cl. B-1, Upgraded to Caa1 (sf); previously on Jan 25, 2013 Affirmed C (sf) Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-RP1 Cl. B-1, Upgraded to B2 (sf); previously on Mar 15, 2017 Upgraded to Caa2 (sf) Cl. B-2, Upgraded to Caa3 (sf); previously on Apr 24, 2009 Downgraded to C (sf) Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-RP2 Cl. A-4, Upgraded to A1 (sf); previously on Mar 15, 2017 Upgraded to Baa3 (sf) Cl. M-1, Upgraded to Caa3 (sf); previously on Apr 24, 2009 Downgraded to C (sf) Issuer: Credit Suisse Mortgage Capital Trust 2006-CF1 Cl. B-2, Upgraded to B3 (sf); previously on Mar 15, 2017 Upgraded to Ca (sf) Cl. B-3, Upgraded to Caa2 (sf); previously on Feb 4, 2013 Affirmed C (sf) Issuer: CS Mortgage-Backed Pass-Through Certificates, Series 2006-CF2 Cl. B-1, Upgraded to B3 (sf); previously on Mar 15, 2017 Upgraded to Caa3 (sf) Issuer: GSAMP Trust 2006-SD2 Cl. A-3, Upgraded to B1 (sf); previously on May 19, 2016 Upgraded to Caa1 (sf) Issuer: GSRPM Mortgage Loan Trust 2006-2 Cl. A-2, Upgraded to Aaa (sf); previously on Mar 22, 2017 Upgraded to Aa3 (sf) Cl. A-1B, Upgraded to Aaa (sf); previously on Mar 22, 2017 Upgraded to Aa3 (sf) Cl. M-2, Upgraded to B3 (sf); previously on Mar 22, 2017 Upgraded to Caa2 (sf) Issuer: RAAC Series 2006-SP4 Trust Cl. A-3, Upgraded to Aaa (sf); previously on Mar 17, 2017 Upgraded to Aa1 (sf) Cl. M-1, Upgraded to Aa3 (sf); previously on Mar 17, 2017 Upgraded to Baa1 (sf) Cl. M-2, Upgraded to Baa2 (sf); previously on Mar 17, 2017 Upgraded to Ba3 (sf) Issuer: RAAC Series 2007-SP1 Trust Cl. A-3, Upgraded to Aaa (sf); previously on Mar 17, 2017 Upgraded to A1 (sf) Cl. M-1, Upgraded to A3 (sf); previously on Mar 17, 2017 Upgraded to Ba1 (sf) Cl. M-2, Upgraded to Caa1 (sf); previously on Mar 17, 2017 Upgraded to Caa3 (sf) Issuer: RAAC Series 2007-SP2 Trust Cl. A-2, Upgraded to Baa1 (sf); previously on Mar 17, 2017 Upgraded to Ba1 (sf) Cl. A-3, Upgraded to Baa3 (sf); previously on Mar 17, 2017 Upgraded to Ba3 (sf) Issuer: RAAC Series 2007-SP3 Trust Cl. A-1, Upgraded to Aa3 (sf); previously on Mar 17, 2017 Upgraded to Baa2 (sf) Cl. A-2, Upgraded to Ba3 (sf); previously on Mar 17, 2017 Upgraded to Caa1 (sf) Issuer: Terwin Mortgage Trust 2007-QHL1 Cl. A-1, Upgraded to Ba1 (sf); previously on Mar 22, 2017 Upgraded to B1 (sf) Cl. G, Upgraded to Ba1 (sf); previously on Mar 22, 2017 Upgraded to B1 (sf) Issuer: Truman Capital Mortgage Loan Trust 2006-1 Cl. A, Upgraded to Baa3 (sf); previously on May 5, 2016 Upgraded to B1 (sf) RATINGS RATIONALE The actions reflect the recent performance of the underlying pools and reflect Moody's updated loss expectations on the pools. The ratings upgraded are a result of improving performance of the related pools and an increase in 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 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. [*] Moody's Takes Action on $45.1MM of RMBS Issued 2003 & 2007 -------------------------------------------------------------- Moody's Investors Service downgraded the rating of one tranche and upgraded the ratings of four tranches from three transactions backed by "scratch and dent" RMBS loans issued between 2003 and 2007. Complete rating actions are: Issuer: Ameriquest Mortgage Securities Inc., Quest Trust 2003-X3 Cl. M3, Downgraded to Caa2 (sf); previously on Mar 5, 2013 Downgraded to B3 (sf) Issuer: Bear Stearns Asset Backed Securities Trust 2006-2 Cl. M-4, Upgraded to B1 (sf); previously on May 18, 2016 Upgraded to B3 (sf) Cl. M-5, Upgraded to Caa1 (sf); previously on Feb 4, 2013 Affirmed C (sf) Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2007-MX1 Cl. A-2, Upgraded to Ba1 (sf); previously on Aug 11, 2014 Downgraded to Ba3 (sf) Cl. A-3, Upgraded to B1 (sf); previously on Aug 11, 2014 Downgraded to Caa1 (sf) RATINGS RATIONALE The actions reflect the recent performance of the underlying pools and reflect Moody's updated loss expectations on the pools. The rating downgraded is due to the weaker performance of the underlying collateral and the erosion of enhancement available to the bond. 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 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. [*] S&P Discontinues Ratings on 18 Classes From Nine CLO Deals -------------------------------------------------------------- S&P Global Ratings discontinued its ratings on 18 classes from nine cash flow (CF) collateralized loan obligation (CLO) transactions. The discontinuances follow the complete paydown of the notes as reflected in the most recent trustee-issued note payment reports for each transaction: -- Eastland CLO Ltd. (CF CLO): Senior-most tranche paid down; other rated tranches still outstanding. -- Global Leveraged Capital Credit Opportunity Fund I (CF CLO): Senior-most tranche paid down; other rated tranches still outstanding. -- Grayson CLO Ltd. (CF CLO): Senior-most tranche paid down; other rated tranches still outstanding. -- Greenbriar CLO Ltd. (CF CLO): Senior-most tranche paid down; other rated tranches still outstanding. -- Katonah 2007-I CLO Ltd. (CF CLO): all rated tranches paid down. -- Northwoods Capital X Ltd. (CF CLO): all rated tranches paid down. -- Stratford CLO Ltd. (CF CLO): Senior-most tranche paid down; other rated tranches still outstanding. -- Voya CLO IV Ltd. (CF CLO): Senior-most tranche paid down; other rated tranches still outstanding. -- West CLO 2012-1 Ltd. (CF CLO): Senior-most tranche paid down; other rated tranches still outstanding. RATINGS DISCONTINUED Eastland CLO Ltd. Rating Class To From A-3 NR AAA (sf) Global Leveraged Capital Credit Opportunity Fund I Rating Class To From D NR AA+ (sf) Grayson CLO Ltd. Rating Class To From A-2 NR AAA (sf) Greenbriar CLO Ltd. Rating Class To From B NR AAA (sf) Katonah 2007-I CLO Ltd. Rating Class To From A-2L NR AAA (sf) A-3L NR AAA (sf) B-1L NR AA- (sf) B-2L NR BBB+ (sf) Northwoods Capital X Ltd. Rating Class To From A-1-R NR AAA (sf) A-2-R NR AAA (sf) B-1-R NR AA+ (sf) B-2-R NR AA+ (sf) C-R NR A+ (sf) D-R NR BBB (sf) E NR BB- (sf) Stratford CLO Ltd. Rating Class To From B NR AAA (sf) Voya CLO IV Ltd. Rating Class To From B NR AAA (sf) West CLO 2012-1 Ltd. Rating Class To From A-1R NR AAA (sf) NR--Not rated. [*] S&P Lowers Ratings on Six Classes From Six U.S. RMBS Deals -------------------------------------------------------------- S&P Global Ratings, on Feb. 20, 2018, lowered its ratings on six classes from six U.S. residential mortgage-backed securities (RMBS) transactions issued between 2002 and 2006. All of these transactions are backed by mixed collateral. S&P said, "In reviewing these ratings, we applied our interest shortfall criteria as stated in "Structured Finance Temporary Interest Shortfall Methodology," Dec. 15, 2015, which impose a maximum rating threshold on classes that have incurred interest shortfalls resulting from credit or liquidity erosion. In applying the criteria, we looked to see if the applicable class received additional compensation beyond the imputed interest due as direct economic compensation for the delay in interest payment. In instances where the class did not receive additional compensation for outstanding interest shortfalls, we used the maximum length of time until full interest is reimbursed as part of our analysis to assign the rating on the class." RATINGS LOWERED Rating Issuer Series Class CUSIP To From CWABS Inc. 2002-BC3 M-1 126671RE8 A- (sf) AA (sf) RAAC Series 2004-SP2 Trust 2004-SP2 M-1 7609857T2 D (sf) CC (sf) Alternative Loan Trust 2004-J7 2004-J7 M-1 12667FTE5 D (sf) CC (sf) JPMorgan Mortgage Trust 2005-A1 2005-A1 1-B-2 466247MC4 D (sf) CCC (sf) Bear Stearns Asset Backed Securities I Trust 2005-AC7 2005-AC7 A-2 073879T32 D (sf) CCC (sf) Bayview Financial Mortgage Pass-Through Trust 2006-A 2006-A 1-A4 07325NCS9 AA+ (sf) AAA (sf) [*] S&P Lowers Six Ratings on Three Student Loan ABS Deals to Bsf ----------------------------------------------------------------- S&P Global Ratings lowered six ratings and placed four of these same ratings on CreditWatch with negative implications from three student loan asset-backed securities transactions administrated or sub-administered by Navient Solutions LLC (Navient). These transactions are discrete trusts backed by student loans originated through the U.S. Department of Education's (ED's) Federal Family Education Loan Program (FFELP). The rating actions reflect the liquidity pressure the current paying senior classes are experiencing, not the credit enhancement levels available to these classes for ultimate principal repayment. As discussed below, bond principal payments have declined, partially due to disaster forbearance provided to borrowers affected by recent natural disasters. S&P said, "Our actions reflect our view regarding the transactions' expected future collateral performance, payment priorities, current credit enhancement levels, and asset/bond payment rates. Our analysis also considered credit stability and sector- and issuer-specific analyses, as well as a peer analysis." COLLATERAL The loan pools consist predominantly of seasoned Stafford loans originated under FFELP guidelines. The ED reinsures at least 97% of the principal and accrued interest on defaulted loans that are serviced according to the FFELP guidelines. Due to the high level of recoveries from the ED on defaulted loans, defaults effectively function similar to prepayments. Thus, S&P expects net losses to be minimal. PRINCIPAL PAYDOWNS The transactions make quarterly principal payments to the noteholders. In reviewing the quarterly historical bond principal paydowns for these trusts, we noticed significant, unexpected declines in the principal payment rates (total bond principal distributions divided by beginning total note principal balance). For example, for the SLC 2008-2 transaction, the principal payment rate was 4.00% (a $18.39 million bond payment) as of the June 2017 distribution date. This rate fell to 3.63% as of the September 2017 distribution date and further to 2.97% ($12.63 million bond payment) as of the December 2017 distribution date–-an approximate decrease of 31% in the dollar amount of principal received to the notes since the June 2017 distribution date. Navient, the administrator, explained that the recent decreases in principal receipts and subsequent paydowns of the notes are largely attributable to disaster forbearances granted to borrowers in areas affected by natural disasters this past summer and fall. The disaster forbearance temporarily postponed borrower's requirements to make payments for 90 days. For affected loans, this could have delayed the filing of default claims of late-stage delinquent loans, which in turn would delay the ED recovery on the loan's full balance. Furthermore, at the end of the 90-day disaster forbearance, the borrower could enter a loan status other than repayment, such as regular forbearance, or could change to a payment plan that allows lower payments (such as an income-based repayment loan)–-further delaying loan and bond principal paydowns, possibly past the maturity date of the current paying senior bonds. Generally, over time the loans will either return to current status and make loan payments, or will default and receive the ED reimbursement of at least 97% of the loans principal and accrued interest. S&P expects principal payment rates to improve as this occurs, and it could partially offset the natural decline in principal payment rates from the current paying pool as it continues to amortize. CREDIT ENHANCEMENT AND CURRENT CAPITAL STRUCTURE Principal payments are currently allocated sequentially to the class A notes until fully repaid, and then to the class B noteholders. The transactions have reached their required release thresholds and are releasing excess funds to the residual holders. The notes receive interest based on three-month LIBOR and their respective margin. Credit enhancement consists of overcollateralization (as measured by parity), subordination (for the senior classes), the reserve account, and excess spread. The following table presents the capital structure for each deal. SLC Student Loan Trust(i) Current Note Matu balance factor Margin Parity Months to rity Series Class (mil. $) (%) Maturity (%) (%)(iii) (iv) 2008-2 A-3 37.2 12.9 9/15/2018 0.65 1120.0 9 2008-2 A-4 314.6 100.0 6/15/2021 0.90 118.3 42 2008-2 B 61.4 100.0 9/15/2066 1.75 100.8 585 SLM Student Loan Trust(ii) 2007-2 A-3 100.6 22.6 1/25/2019 0.04 703.2 12 2007-2 A-4 486.1 100.0 7/25/2022 0.06 120.6 54 2007-2 B 120.9 100.0 7/25/2025 0.17 100.0 90 2007-3 A-3 108.9 30.0 4/25/2019 0.04 495.0 15 2007-3 A-4 338.8 100.0 1/25/2022 0.06 120.4 48 2007-3 B 91.5 100.0 1/25/2028 0.15 100.0 120 (i)As of the December 2017 distribution date. (ii)As of the January 2018 distribution date. (iii)Parity is calculated as the total principal pool balance plus interest to be capitalized, divided by the respective class note balance and the class balance for any notes maturing before the respective notes. (iv)Number of months from the latest distribution date. As the parity above illustrates, the classes are fully collateralized and we expect them to receive payment in full, but the ability to be repaid by their legal final maturity is less certain than it was before the bond principal paydowns slowed. Classes with shorter months to maturity will be more negatively affected as these classes may not have the benefit of time that is needed for a borrower to return to paying status. Further, for loans that may default, the time to work through the delinquency, claims, and reimbursement cycle is greater than nine months, and therefore limits the potential benefit to the classes with nearer-term maturities. When the current pool balance falls below 10% of the original pool balance, there is an option for the collateral to be purchased at an amount that would repay the notes. If the collateral is not repurchased, then releases to the issuer will not be allowed until the notes are repaid. For the SLM 2007-2 and 2007-3 deals, Navient has additional agreements in place that either allow the option to purchase some collateral out of the pool or to provide a subordinated loan to the trust which could allow the notes to be paid in full by their legal final maturity dates. S&P's rating does not reflect the future support which may be provided by these agreements as it is not a mandatory requirement of Navient. STRUCTURAL CHANGES UPON AN EVENT OF DEFAULT If the senior class A notes do not receive full principal by their respective legal final maturity dates, the payment priority may change, requiring principal payments to the class A notes to be prioritized over timely interest payments to their respective class B notes. S&P's ratings address the trust's ability to make timely interest payments, as well as the ability to repay the note balances by their respective legal final maturity dates. RATIONALE S&P's ratings address the trust's ability to make timely interest payments, as well as the ability to repay the note balances by their respective legal final maturity dates. Current Paying Senior Bonds: S&P said, "We have reviewed the historical principal amounts paid to the notes within these transactions. Over time, as the current loans in repayment amortize, we expect the dollar amount of principal received on the collateral and distributed to the noteholders to decline. If we assume that the trusts continue to receive the minimum quarterly amount received over the past year, or an amount less than that (such as under a moderate stress), then we believe the downgraded senior classes are more sensitive to not receiving full principal payments by their legal final maturity dates relative to other FFELP-backed senior notes with similar maturity profiles." The impact of the temporary disaster forbearance is significant. The legal final maturities for the current pay senior classes are within 15 months; so they have less time to benefit from loans returning from the temporary disaster forbearance status. S&P placed two of the senior class ratings on CreditWatch negative as their ability to be repaid by their legal final maturity date will rely heavily upon loan principal repayment over the next few quarters. Subordinate Bonds: S&P said, "We lowered our rating on the class B notes to that of the lowest rated senior notes in their respective structure because a principal payment default on the class A notes could cause a subsequent default on interest payments to the class B notes. Accordingly, we believe the risk of nonpayment for the current pay class A and subordinate class B notes is the same. If the class A notes are fully repaid by their respective legal final maturity dates, the current sequential payment priority will be retained, and we expect the class B notes to receive timely interest and principal payments by their legal final maturity date. "We will continue to monitor the performance of the student loan receivables backing these transactions, as well as the subsequent bond principal payment rates, which affect the notes' ability to repay their principal by their legal final maturity dates. For the classes placed on CreditWatch, we expect to use each upcoming servicer report to reconsider the likelihood of default for these classes." RATINGS LOWERED AND PLACED ON WATCH NEGATIVE SLC Student Loan Trust Rating Series Class To From 2008-2 A-3 B (sf)/Watch Neg AAA (sf) 2008-2 B B (sf)/Watch Neg BB (sf) SLM Student Loan Trust 2007-2 A-3 B (sf)/Watch Neg AAA (sf) 2007-2 B B (sf)/Watch Neg AA (sf) RATINGS LOWERED SLM Student Loan Trust Rating Series Class To From 2007-3 A-3 B (sf) AAA (sf) 2007-3 B B (sf) A (sf) [*] S&P Takes Various Actions on 49 Classes From 13 US RMBS Deals ----------------------------------------------------------------- S&P Global Ratings completed its review of 49 classes from 13 U.S. residential mortgage-backed securities (RMBS) transactions issued between 1998 and 2006. All of these transactions are backed by mixed collateral, including subprime and alternative-A. The review yielded 14 upgrades, one downgrade, and 34 affirmations. Two of the affirmed ratings are remaining on CreditWatch with negative implications, where they were placed on Nov. 30, 2017. 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; 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 raised our ratings by five or more notches on four ratings from two transactions, each due to increased credit support. This occurred because these classes have senior positions in their respective distribution waterfalls and failing cumulative loss triggers, which benefits them because it allows them to receive excess proceeds or limits the amount of excess proceeds that would go towards paying down the subordinate classes. As a result, the upgrades on these classes reflect their ability to withstand a higher level of projected losses than previously anticipated." A list of Affected Ratings can be viewed at: http://bit.ly/2BGP8l1 [*] S&P Takes Various Actions on 68 Classes From 15 US RMBS Deals ----------------------------------------------------------------- S&P Global Ratings completed its review of 68 classes from 15 U.S. residential mortgage-backed securities (RMBS) transactions issued between 2001 and 2006. These transactions are backed by subprime collateral. The review yielded 30 upgrades, six downgrades, 28 affirmations, and four discontinuances. 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; -- Changes in the constant prepayment rate; -- Available subordination and/or overcollateralization; and -- Payment priority. 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. Bear Stearns Asset Backed Securities I Trust series 2005-HE12 and 2005-TC2 received funds related to a July 29, 2014, settlement regarding the alleged breach of certain representations and warranties in the governing agreements of 330 JPMorgan Chase & Co. legacy RMBS trusts. The trustee applied the settlement funds as subsequent recoveries and unscheduled principal payments, and these allocations satisfied the amounts outstanding on one of the classes, the ratings of which S&P is now discontinuing. They also sufficiently increased the credit support for seven other classes to cover its projected losses for those classes at their new rating levels. S&P also raised two more ratings by five or more notches due to increased credit support, generally attributed to sequential principal payments because of failing cumulative loss triggers. As a result, the upgrades on these classes reflect the classes' ability to withstand a higher level of projected losses than previously anticipated. A list of Affected Ratings can be viewed at: http://bit.ly/2HB8ngj ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers public debt and equity securities about which we report. 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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 ***