/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/180422.mbx T R O U B L E D C O M P A N Y R E P O R T E R Sunday, April 22, 2018, Vol. 22, No. 111 Headlines ANCHORAGE CAPITAL 1-R: S&P Assigns BB-(sf) on $20.50MM Cl. E Notes APIDOS CLO XV: S&P Assigns Prelim. B- Rating on Class F-RR Notes ASCENTIUM EQUIPMENT 2018-1: Moody's Gives (P)Ba3 Rating to E Notes ASCENTIUM EQUIPMENT 2018-1: S&P Assigns Prelim BB Rating on E Notes B&M CLO 2014-1: S&P Assigns BB(sf) Rating on Class D-R Notes B&M CLO 2014-1: S&P Assigns Prelim. BB(sf) Rating on Cl. D-R Notes BEAR STEARNS 2005-PWR9: Moody's Hikes Rating on Cl. E Debt to Ba1 BEAR STEARNS 2006-PWR11: Fitch Affirms CCC Rating on Cl. B Certs BEAR STEARNS 2007-PWR16: Fitch Cuts Rating on Cl. D Certs to 'Csf' BEAR STEARNS 2007-TOP28: DBRS Lowers Ratings on 4 Classes to Csf BLACK DIAMOND 2016-1: S&P Gives Prelim BB-(sf) Rating on DR Notes BLUEMOUNTAIN CLO 2015-3: S&P Assigns B-(sf) Rating on Cl. E-R Notes CITIGROUP COMMERCIAL 2016-GC37: Fitch Affirms B- Rating on F Notes CONN'S RECEIVABLES 2017-A: Fitch Affirms B- Rating on Cl. C Notes CPS AUTO 2018-B: S&P Assigns BB-(sf) Rating on Class E Notes CSFB MORTGAGE 2004-C3: Moody's Affirms C Ratings on Two Tranches DRYDEN XXVI: S&P Assigns B-(sf) Rating on $7.5MM Class F-R Notes DRYDEN XXVI: S&P Assigns Prelim B-(sf) Rating on Class F-R Notes EXETER AUTO 2018-2: S&P Assigns Prelim BB(sf) Rating on Cl. E Notes FORTRESS CREDIT XI: S&P Assigns BB-(sf) Rating on Class E Notes JP MORGAN 2004-CIBC9: Fitch Affirms D Rating on Class F Certs JPMBB COMMERCIAL 2013-C12: Moody's Affirms B2 Rating on Cl. F Debt KKR CLO 21: Moody's Assigns B3 Rating to Class F Notes LB-UBS COMMERCIAL 2004-C6: Fitch Hikes Cl. J Certs Rating to Bsf LB-UBS COMMERCIAL 2006-C4: Moody's Hikes Rating on F Certs to B1 LB-UBS COMMERCIAL 2008-C1: Moody's Affirms B1 Rating on A-M Debt MADISON PARK XIII: S&P Assigns Prelim B-(sf) Rating on F-R Notes MADISON PARK XXX: S&P Assigns B-(sf) Rating on Class F Notes MELLO MORTGAGE 2018-MTG1: DBRS Finalizes B Rating on Cl. B5 Certs MELLO MORTGAGE 2018-MTG1: Moody's Assigns B2 Rating to Cl. B5 Debt MILL CITY 2018-1: DBRS Assigns Prov. 'B' Rating on Class B2 Notes MILL CITY 2018-1: Fitch to Rate Class B2 Notes 'Bsf' MORGAN STANLEY 2013-C10: Moody's Affirms Ba2 Rating on Cl. E Notes MORGAN STANLEY 2017-C33: Fitch Affirms B-sf Rating on Cl. F Certs MSBAM 2016-C29: Fitch Affirms B- Rating on Class F Certs OFSI FUND V: S&P Raises Class B-3L Notes Rating to B+(sf) ROMARK WM-R: S&P Assigns B-(sf) Rating on $7.5MM Class F Notes ROMARK WM-R: S&P Assigns Prelim B-(sf) Rating on Class F Notes SG RESIDENTIAL 2018-1: S&P Gives Prelim. B(sf) Rating on B-2 Certs SYMPHONY CLO XIX: Moody's Assigns B3 Rating to Cl. F Notes TELOS CLO 2014-5: S&P Assigns Prelim. BB-(sf) Rating on E-R Notes TICP CLO X: Moody's Assigns Ba3 Rating to Class E Notes TRUPS FINANCIALS 2018-1: Moody's Assigns (P)Ba3 Rating to C Notes UBS-BARCLAYS 2012-C2: Fitch Affirms B Rating on Class G Certs WELLS FARGO 2013-LC12: Fitch Affirms Bsf Rating on Class F Certs [*] Moody's Takes Action on $484MM of Subprime Issued 2002-2007 [*] Moody's Takes Action on $85.2MM of RMBS Issued 2005-2006 [*] S&P Cuts Ratings on Two Classes on Two US CMBS Deals to D(sf) [*] S&P Discontinues D(sf) Ratings on 16 Classes on 10 US CMBS Deal ********* ANCHORAGE CAPITAL 1-R: S&P Assigns BB-(sf) on $20.50MM Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Anchorage Capital CLO 1-R Ltd.'s $428.00 million floating-rate notes. The note issuance is a collateralized loan obligation transaction backed primarily by broadly syndicated speculative-grade senior secured term loans. The rating reflects: -- 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. RATINGS ASSIGNED Anchorage Capital CLO 1-R Ltd./Anchorage Capital CLO 1-R LLC Class Rating Amount (mil. $) A-1 AAA (sf) 282.50 A-2 NR 27.50 B AA (sf) 30.00 C (deferrable) A (sf) 61.00 D (deferrable) BBB- (sf) 34.00 E (deferrable) BB- (sf) 20.50 Subordinated notes NR 56.45 NR--Not rated. APIDOS CLO XV: S&P Assigns Prelim. B- Rating on Class F-RR Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class X-RR, A-1-RR, B-RR, C-RR, D-RR, E-RR, and F-RR replacement notes from Apidos CLO XV/Apidos CLO XV LLC, a collateralized loan obligation (CLO) originally issued in October 2013 and partially refinanced in March 2017 (see list). The transaction is managed by CVC Credit Partners 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 replacement classes are expected to be issued at a slightly higher weighted average cost of debt than the current notes. Furthermore, all replacement classes are expected to be issued at floating spreads, replacing the current fixed and floating rate. The preliminary ratings are based on information as of April 11, 2018. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the April 20, 2018, refinancing date, the proceeds from the issuance of the replacement notes are expected to redeem the original notes. S&P said, "At that time, we anticipate withdrawing the 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 replacement notes." The replacement notes are being issued via a proposed supplemental indenture, which, in addition to outlining the terms of the replacement notes, is expected to: -- Issue the replacement classes at a slightly higher weighted average cost of debt than the current notes. -- Issue the replacement classes at floating spreads, replacing the current fixed and floating rates. -- Extend the reinvestment period and stated maturity by 5.5 years. -- Add class X notes to the capital structure in connection with the reset. -- Recapitalize the transaction, which exited the reinvestment period in October 2017, to bring the balance of the assets back to its original target par. 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 Apidos CLO XV/Apidos CLO XV LLC Replacement class Rating Amount (mil. $) X-RR AAA (sf) 5.00 A-1-RR AAA (sf) 300.00 A-2-RR NR 20.00 B-RR AA (sf) 60.00 C-RR (deferrable) A (sf) 32.50 D-RR (deferrable) BBB- (sf) 27.50 E-RR (deferrable) BB- (sf) 20.00 F-RR (deferrable) B- (sf) 9.25 Subordinated notes NR 55.70 NR--Not rated. ASCENTIUM EQUIPMENT 2018-1: Moody's Gives (P)Ba3 Rating to E Notes ------------------------------------------------------------------ Moody's Investors Service has assigned provisional ratings to the notes issued by Ascentium Equipment Receivables 2018-1 Trust (ACER 2018-1), sponsored by Ascentium Capital LLC (unrated). The transaction is a securitization of contracts backed by small ticket equipment used for commercial purposes in physician offices, gas stations, hotels and restaurants, among others. The complete rating actions are: Issuer: Ascentium Equipment Receivables 2018-1 Trust Class A-2 Notes, Assigned (P)Aaa (sf) Class A-3 Notes, Assigned (P)Aaa (sf) Class B Notes, Assigned (P)Aa2 (sf) Class C Notes, Assigned (P)A2 (sf) Class D Notes, Assigned (P)Baa3 (sf) Class E Notes, Assigned (P)Ba3 (sf) RATINGS RATIONALE The ratings are based on the quality of the underlying equipment contracts and its expected performance, the strength of the capital structure, the experience and expertise of Ascentium Capital LLC as the servicer, and the back-up servicing arrangement with U.S. Bank National Association (Aa1/P-1; Under Review for Possible Downgrade). Moody's cumulative net loss expectation for the ACER 2018-1 transaction is 2.75%, and the Aaa level is 23.00%. Moody's based its cumulative net loss expectation for the ACER 2018-1 transaction on an analysis of the credit quality of the underlying collateral; the historical performance of similar collateral, including securitization performance and managed portfolio performance; the ability of Ascentium Capital LLC to perform the servicing functions; and current expectations for the macroeconomic environment during the life of the transaction. At closing the Class A, Class B, Class C, Class D, and Class E notes benefit from 22.65%, 16.00%, 11.75%, 7.70% and 5.65% of hard credit enhancement respectively. Hard credit enhancement for the notes consists of a combination of overcollateralization of 4.40%, a 1.25% fully funded, non-declining reserve account and subordination, except for the Class E notes which do not benefit from subordination. The notes will also benefit from excess spread. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Approach to Rating ABS Backed by Equipment Leases and Loans" published in December 2015. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the notes if, given current expectations of portfolio losses, levels of credit enhancement are consistent with higher ratings. In sequential pay structures, such as the one in this transaction, credit enhancement grows as a percentage of the collateral balance as collections pay down senior notes. Prepayments and interest collections directed toward note principal payments will accelerate this build of enhancement. Moody's expectation of pool losses could decline as a result of a lower number of obligor defaults or appreciation in the value of the equipment securing an obligor's promise of payment. Portfolio losses also depend greatly on the US economy, the market for used equipment, and changes in servicing practices. Down Moody's could downgrade the notes if, given current expectations of portfolio losses, levels of credit enhancement are consistent with lower ratings. Credit enhancement could decline if excess spread is not sufficient to cover losses in a given month. Moody's expectation of pool losses could rise as a result of a higher number of obligor defaults or deterioration in the value of the equipment securing an obligor's promise of payment. Portfolio losses also depend greatly on the US economy, the market for used equipment, and poor servicing. Other reasons for worse-than-expected performance include error on the part of transaction parties, inadequate transaction governance, and fraud. ASCENTIUM EQUIPMENT 2018-1: S&P Assigns Prelim BB Rating on E Notes ------------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Ascentium Equipment Receivables 2018-1 Trust's $318.478 million receivables-backed notes. The note issuance is an asset-backed securities transaction backed by small-ticket equipment leases and loans, associated equipment, and special unit of beneficial interest in lease contracts and underlying vehicles. The preliminary ratings are based on information as of April 12, 2018. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The availability of 21.71%, 15.32%, 11.11%, 7.30%, and 5.21% credit support to the class A, B, C, D, and E notes, respectively, based on stressed break-even cash flow scenarios. -- These credit support levels provide coverage--based on multiples in our equipment leasing criteria and, for preliminary ratings below the 'BBB' category, S&P's securitized consumer receivables criteria--of its cumulative net loss range, which is consistent with the preliminary ratings. -- S&P's cumulative net loss ranges from 3.30%-4.00% because it reflects its stressed recovery rate range of 15%-30%, with higher recovery rates assumed for lower rating categories. -- S&P said, "Our expectation that, under our credit stability analysis, in a moderate stress ('BBB') scenario, all else being equal, the ratings on the class A and B notes would not decline by more than one rating from our preliminary 'AAA (sf)' and 'AA (sf)' ratings, respectively, and the ratings on the class C, D, and E notes would not decline by more than two rating categories from our preliminary 'A (sf)', 'BBB (sf)', and 'BB (sf)' ratings, respectively, in the first year. These potential rating movements are consistent with our credit stability criteria." -- S&P's expectation for the timely payment of periodic interest and principal by the final maturity date according to the transaction documents, based on stressed cash flow modeling scenarios that ir believes are appropriate for the assigned preliminary rating categories. -- The collateral characteristics of the securitized pool of equipment leases and loans, including individual obligor concentrations of less than 1.50%, a high percentage of contracts with personal guarantees, and no residual values. -- Ascentium Capital LLC's historical recovery rates, which are generally higher than those of other small ticket commercial finance companies. S&P believes this results from the high percentage of personal guarantees and the servicer's pursuit of realizations on them. -- S&P's strong and stable outlook for the credit quality of the small- and medium-sized businesses that represent the obligors in the pool. -- The presence of a backup servicer, U.S. Bank N.A. -- The transaction's legal structure. PRELIMINARY RATINGS ASSIGNED Ascentium Equipment Receivables 2018-1 Trust Class Rating Type Interest Amount rate (mil. $) A-1 A-1+ (sf) Senior Fixed 90.000 A-2 AAA (sf) Senior Fixed 100.000 A-3 AAA (sf) Senior Fixed 71.845 B AA (sf) Subordinate Fixed 22.153 C A (sf) Subordinate Fixed 14.158 D BBB (sf) Subordinate Fixed 13.492 E BB (sf) Subordinate Fixed 6.830 B&M CLO 2014-1: S&P Assigns BB(sf) Rating on Class D-R Notes ------------------------------------------------------------ S&P Global Ratings assigned its ratings to the class A-1-R, A-2-R, B-R, C-R, and D-R replacement notes from B&M CLO 2014-1 Ltd., a U.S. collateralized loan obligation (CLO) transaction managed by Tortoise Credit Strategies LLC. The replacement notes are being issued via a supplemental indenture. S&P withdrew its ratings on the original class A-1, A-2, B, C, and D notes from this transaction following payment in full on the April 16, 2018, refinancing date. At the same time, S&P affirmed its rating on the class E note. On the April 16, 2018, refinancing date, the proceeds from the class A-1-R, A-2-R, B-R, C-R, and D-R replacement note issuances were used to redeem the original class A-1, A-2, B, C, and D notes as outlined in the transaction document provisions. Therefore, S&P withdrew its ratings on the original notes in line with their full redemption, and we are assigning ratings to the new notes. The class E notes are not affected by the changes in the supplemental indenture. 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. "The assigned ratings reflect our opinion that the credit support available is commensurate with the associated rating levels. "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 take rating actions as we deem necessary." RATINGS ASSIGNED B&M CLO 2014-1 Ltd. Replacement class Rating Amount (mil $) A-1-R AAA (sf) 250.00 A-2-R AA (sf) 48.50 B-R A (sf) 33.50 C-R BBB (sf) 19.25 D-R BB (sf) 17.75 Subordinated notes NR 42.25 RATINGS WITHDRAWN B&M CLO 2014-1 Ltd. Rating Original class To From A-1 NR AAA (sf) A-2 NR AA (sf) B NR A (sf) C NR BBB (sf) D NR BB (sf) RATINGS AFFIRMED B&M CLO 2014-1 Ltd. Class Rating E B (sf) NR--Not rated. B&M CLO 2014-1: S&P Assigns Prelim. BB(sf) Rating on Cl. D-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the class A-1-R, A-2-R, B-R, C-R, and D-R replacement notes from B&M CLO 2014-1 Ltd., a collateralized loan obligation (CLO) originally issued in 2014 that is managed by Tortoise Credit Strategies LLC. Based on a proposed supplemental indenture, this transaction is expected to refinance its class A-1, A-2, B, C, and D notes on April 16, 2018, through an optional redemption and replacement note issuance. The currently outstanding class E notes are unaffected by this proposed amendment. The preliminary ratings are based on information as of April 12, 2018. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. S&P said, "The preliminary ratings reflect our opinion that the credit support available is commensurate with the associated rating level. On the April 16, 2018, refinancing date, the proceeds from the issuance of the replacement notes are expected to redeem the original notes. At that time, we anticipate withdrawing the ratings on the original refinanced notes, assigning ratings to the new replacement notes and affirming our rating on the class E notes. However, if the refinancing doesn't occur, we may affirm the ratings on the original notes and withdraw our preliminary ratings on the replacement notes." CASH FLOW ANALYSIS RESULTS Current date after proposed refinancing Class Amount Interest BDR SDR Cushion (mil. $) rate (%) (%) (%) (%) A-1-R 250.00 L + 0.73 71.79 57.39 14.40 A-2-R 48.50 L + 1.60 65.62 50.09 15.53 B-R 33.50 L + 2.20 52.03 43.95 8.09 C-R 19.25 L + 2.60 44.82 38.70 6.12 D-R 17.75 L + 4.70 34.13 32.39 1.74 BDR--Break-even default rate. SDR--Scenario default rate. L--LIBOR. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the trustee report, to estimate future performance (see table). In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches. "We will continue to review whether, in our view, the rating assigned to the note remains consistent with the credit enhancement available to support it, and we will take further rating action as we deem necessary." PRELIMINARY RATINGS ASSIGNED B&M CLO 2014-1 Ltd. Replacement class Rating Amount (mil. $) A-1-R AAA (sf) 250.00 A-2-R AA (sf) 48.50 B-R A (sf) 33.50 C-R BBB (sf) 19.25 D-R BB (sf) 17.75 OTHER OUTSTANDING RATING B&M CLO 2014-1 Ltd. Class Rating E B (sf) Subordinate notes NR NR--Not Rated. BEAR STEARNS 2005-PWR9: Moody's Hikes Rating on Cl. E Debt to Ba1 ----------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on five classes and upgraded the ratings on two classes in Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9, Commercial Mortgage Pass-Through Certificates, Series 2005-PWR9: Cl. C, Affirmed Aaa (sf); previously on Mar 31, 2017 Upgraded to Aaa (sf) Cl. D, Upgraded to A1 (sf); previously on Mar 31, 2017 Upgraded to Baa1 (sf) Cl. E, Upgraded to Ba1 (sf); previously on Mar 31, 2017 Upgraded to Ba3 (sf) Cl. F, Affirmed Caa1 (sf); previously on Mar 31, 2017 Upgraded to Caa1 (sf) Cl. G, Affirmed Ca (sf); previously on Mar 31, 2017 Affirmed Ca (sf) Cl. H, Affirmed C (sf); previously on Mar 31, 2017 Affirmed C (sf) Cl. X-1, Affirmed C (sf); previously on Jun 9, 2017 Downgraded to C (sf) RATINGS RATIONALE The ratings on Classes D and E were upgraded based primarily on an increase in credit support resulting from loan paydowns and amortization. The deal has paid down 16% since Moody's last review and 94% since securitization. The rating on Class C was affirmed because the transaction's key metrics, including Moody's loan-to-value ratio (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf) are within acceptable ranges. The ratings on Classes F, G and H were affirmed because the ratings are consistent with Moody's expected loss. The rating on the IO class, Class X-1, was affirmed based on the credit performance of its referenced classes. Moody's rating action reflects a base expected loss of 18.0% of the current balance, compared to 16.0% at Moody's last review. Moody's base expected loss plus realized losses is now 6.0% of the original pooled balance, compared to 5.8% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The methodologies used in rating Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9, Cl. C, Cl. D, Cl. E, Cl. F, Cl. G and Cl. H were "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in July 2017 and "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. The methodologies used in rating Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9, Cl. X-1 were "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in July 2017 and "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017, and "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in June 2017. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 31% of the pool is in special servicing. 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 loans to the most junior classes and the recovery as a pay down of principal to the most senior classes. DEAL PERFORMANCE As of the March 12, 2018 distribution date, the transaction's aggregate certificate balance has decreased by 94% to $137.8 million from $2.15 billion at securitization. The certificates are collateralized by 22 mortgage loans ranging in size from less than 1% to 13% of the pool, with the top ten loans (excluding defeasance) constituting 62% of the pool. Six loans, constituting 32.5% of the pool, have defeased and are secured by US government securities. One loan, constituting 2.4% of the pool, is on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Twenty-nine loans have been liquidated from the pool, resulting in an aggregate realized loss of $104.0 million (for an average loss severity of 38%). Eight loans, constituting 31% of the pool, are currently in special servicing. The largest specially serviced loan is the Jackson Retail Portfolio loan ($17.3 million -- 12.6% of the pool), which is secured by three shadow-anchored retail properties in Ridgeland and Jackson, Mississippi. The portfolio was 82% leased as of February 2018, compared to 81% at last review. This loan transferred to special servicing in May 2015 due to imminent maturity default and became REO in May 2016. The second largest specially serviced loan is the Townview Square loan ($8.7 million -- 6.3% of the pool), which is secured by an 169,833 square foot (SF) community shopping center located in Zephyrhills, Florida approximately thirty miles northeast of Tampa. The property was 83% leased as of February 2018, compared to 48% leased as of September 2016 and 35% as of December 2014. Major tenants at the property include TJ Maxx, Ross Dress For Less and Save A Lot. This loan transferred to Special Servicing in June 2015 due to imminent maturity default and became REO in October 2016. The third largest specially serviced loan is the Wright Executive Center loan ($8.3 million -- 6.0% of the pool), which is secured by two office buildings within a 30 acre office park located in Fairborn, Ohio, approximately 12 miles east of Dayton. As of February 2018, the 2875 Presidential Drive property was 100% occupied by Ball Aerospace & Technologies Corp, the same as at last review, and the 2940 Presidential Drive property was only 35% leased compared to 71% at last review. The loan transferred to special servicing in August 2015 due to maturity default. The remaining three specially serviced loans are secured by a mix of property types. Moody's estimates an aggregate $24.4 million loss for the specially serviced loans (58% expected loss on average). Moody's received full year 2016 operating results for 100% of the pool, and full or partial year 2017 operating results for 81% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 74%, compared to 75% 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 8.8%. Moody's actual and stressed conduit DSCRs are 1.31X and 1.38X, respectively, compared to 1.33X and 1.35X 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 27% of the pool balance. The largest loan is the Village at Newtown Loan ($14.3 million -- 10.4% of the pool), which is secured by a 92,065 SF retail center located thirty miles northeast of Philadelphia, PA. The property was 90% leased as of September, compared to 85% leased in December 2016. The property faces limited rollover risk between now and the loan's maturity date in September 2020. This loan has amortized 22.8% since securitization. Moody's LTV and stressed DSCR are 78% and 1.28X, respectively, compared to 80% and 1.24X at the last review. The second largest loan is the Roosevelt Plaza Loan ($12.6 million -- 9.2% of the pool), which is secured by a 125,337 SF shopping center in the Northern Philadelphia submarket. The property consists of three single story buildings and a parking lot. The property was 81% leased as of September 2017, compared to 86% as of December 2016. The property faces rollover risk prior to loan maturity. The loan has amortized 22.5% since securitization and Moody's LTV and stressed DSCR are 85% and 1.08X, respectively, compared to 87% and 1.06X at the last review. The third largest loan is the 200 Glen Cove Road Loan ($9.9 million -- 7.2% of the pool), which is secured by a community shopping center located in Carle Place, Long Island, New York. The property is comprised of two separate buildings totaling 151,450 SF and is well located in close proximity to the Roosevelt Field Mall, directly off of the Meadbowbrook State Parkway. The major tenant at the property is Planet Fitness. The property had enjoyed sustained 100% occupancy prior to Eastern Mountain Sports bankruptcy filing and store closure at this location. The property is now 90% leased and the loan has amortized 23.9% since securitization. Moody's LTV and stressed DSCR are 70% and 1.40X, respectively, compared to 67% and 1.45X at the last review. BEAR STEARNS 2006-PWR11: Fitch Affirms CCC Rating on Cl. B Certs ---------------------------------------------------------------- Fitch Ratings has affirmed 13 classes of commercial mortgage pass-through certificates from Bear Stearns Commercial Mortgage Securities Trust, series 2006-PWR11. KEY RATING DRIVERS Concentrated Pool and High Loss Expectations: Only four of the original 184 loans remain, three of which are specially serviced (98%). Due to the concentrated nature of the pool, Fitch performed a liquidation analysis, which assumed losses on the specially serviced loans. The ratings reflect this liquidation analysis as the distressed ratings reflect the high expected losses. As of the March 2018 distribution date, the transaction has been reduced by 95% since issuance to $89.5 million from $1.9 billion. Cumulative interest shortfalls of $6.9 million are currently affecting classes C through P, and there has been $121 million (6.5% of original pool balance) in realized losses to date. Specially Serviced Loans: 98% of the remaining pool is in special servicing. Two of the assets, or 67.4% of the pool, are Real Estate Owned (REO). The largest REO asset is a 1.69 million sf office property located in Hoffman Estates, IL. The property has been fully vacant since the sole tenant, AT&T vacated upon its 2016 lease expiration. The asset has been REO since July 2017 and is scheduled to be sold in the near future. The non-specially serviced loan (2%) is secured by a 14,820 sf single-tenant retail property located in Washington Court House, OH, and is fully leased to CVS through Jan. 1, 2019. Per the borrower, they are working with CVS to extend its lease. The deadline to renew is Aug. 8, 2018. RATING SENSITIVITIES Losses to classes C and D are considered imminent based on Fitch's loss expectations on the three specially serviced loans. Losses to class B are possible. Repayment to the class is reliant on proceeds from specially serviced assets, the largest of which is under contract for sale. If the sale falls through, losses to this class are more likely. The may be subject to further rating actions as losses are realized. Fitch has affirmed the following ratings: -- $22.3 million class B at 'CCCsf'; RE 80%; -- $23.2 million class C at 'Csf'; RE 0%; -- $27.9 million class D at 'Csf'; RE0%; -- $16.1 million class E at 'Dsf''; RE0%; Classes F through O have been depleted due to realized losses and have been affirmed at 'Dsf'/RE 0%. Class A-1, A-2, A-3, A-AB, A-4, A-1A, A-M and A-J have paid in full. Class P is not rated by Fitch. Fitch has previously withdrawn the ratings of the interest-only class X. BEAR STEARNS 2007-PWR16: Fitch Cuts Rating on Cl. D Certs to 'Csf' ------------------------------------------------------------------ Fitch Ratings has downgraded one class and affirmed 13 classes of Bear Stearns Commercial Mortgage Securities Trust (BSCMSI) commercial mortgage pass-through certificates series 2007-PWR16. KEY RATING DRIVERS Concentrated Pool; Specially Serviced Assets: The pool is concentrated and consists of one performing loan (5.8%), six specially serviced loans (71.4%) and two REO assets (22.8%). The downgrade to the distressed class D reflects the increased certainty that this class will incur losses. The affirmations reflect the concentrated nature of the pool and expected losses from the specially serviced assets. Retail Concentration: Most of the remaining loans/assets consist of retail properties (71.4%) that were unable to payoff at maturity. Paydown: The transaction has been paid down by 97% since issuance and 81% since Fitch's last rating action. Most of the recent paydown was from loans that matured in May and June of 2017. RATING SENSITIVITIES Further downgrades to the distressed classes will occur as losses are realized. While unlikely, an upgrade to class C is possible if recoveries from the specially serviced assets are higher than expected, particularly the largest loan, a retail center in Long Island City, NY. Fitch downgrades the following class: -- $33.1 million class D to 'Csf' from 'CCsf'; RE 0%. Fitch has affirmed the following classes: -- $21.5 million class C at 'CCCsf'; RE 75%; -- $20.7 million class E at 'Csf'; RE 0%; -- $12.5 million class F at 'Dsf'; RE 0%; -- $0 class G at 'Dsf'; RE 0%; -- $0 class H at 'Dsf'; RE 0%; -- $0 class J at 'Dsf'; RE 0%; -- $0 class K at 'Dsf'; RE 0%; -- $0 class L at 'Dsf'; RE 0%; -- $0 class M at 'Dsf'; RE 0%; -- $0 class N at 'Dsf'; RE 0%; -- $0 class O at 'Dsf'; RE 0%; -- $0 class P at 'Dsf'; RE 0%; -- $0 class Q at 'Dsf'; RE 0%. The class A-1, A-2, A-3, A-AB, A-4 and A-1A certificates have paid in full. Fitch does not rate the class S certificates. Fitch previously withdrew the rating on the interest-only class X certificates. BEAR STEARNS 2007-TOP28: DBRS Lowers Ratings on 4 Classes to Csf ---------------------------------------------------------------- DBRS Limited downgraded all classes of the Commercial Mortgage Pass-Through Certificates, Series 2007-TOP28 issued by Bear Stearns Commercial Mortgage Securities Trust, Series 2007-TOP28 as follows: -- Class B at BB (high) from BBB (sf) -- Class C at C (sf) from BBB (low) (sf) -- Class D at C (sf) from B (high) (sf) -- Class E at C (sf) from CCC (sf) -- Class F at C (sf) from CCC (sf) The trend on Class B is Stable. Classes C through F have ratings that do not carry trends. The rating actions reflect the DBRS outlook for the remaining loans in the transaction, which has seen a collateral reduction of 93.7% since issuance. As of the March 2018 remittance, the Trust has a current balance of $111.5 million, with just five of the original 209 loans remaining in the pool. Four of those five remaining loans, representing 87.8% of the pool balance, are in special servicing for maturity default after missing scheduled maturity dates in August and September of last year. DBRS anticipates that the cumulative losses that will be realized when these loans are liquidated could flow all the way up into Class C, supporting the rating downgrades for the Class C, D, E and F Certificates. Given the pay down, the pool is concentrated by loan size, with the three largest loans representing 94.9% of the total pool balance. Three of the three largest loans in the pool are in special servicing, including the Charleston Town Center loan (Prospectus ID #3, 82.6% of the pool), the Castaic Creek Plaza loan (Prospectus ID #74, 6.2% of the pool) and Hampton Inn – St. Clairsville (Prospectus ID #68, 6.0% of the pool). Given the remaining balance of the overall pool, the analysis for the Charleston Town Center loan is the primary driver for these rating actions. The Charleston Town Center loan is secured by a 363,000 square foot (sf) portion of a 782,720 sf enclosed mall located in downtown Charleston, West Virginia. The loan sponsor, Forest City, was unable to sell the property or repay the loan at the September 2017 maturity because of precipitous performance declines for the collateral over the last several years. In early 2017, the property's non-collateral anchor Sears was closed, and later that year the sponsor reached an agreement with Macy's (also non-collateral) to remain in place through 2019, with the sponsor paying the company a regular stipend as part of the agreement. Now that the loan has defaulted and a receiver is in place, the special servicer reports the stipend payments to Macy's will cease and as a result, the store is expected to close in the near term. As a result, the only remaining anchor will be a non-collateral JCPenney store. This will bring the property's occupancy rate down to approximately 50%, with cash flows further declining as approximately 30 tenants, with 32.1% of the collateral NRA, have co-tenancy clauses allowing for reduced rents in the event Macy's closes. The special servicer expects foreclosure to occur by mid-2018. An updated appraisal has not been finalized, but given the sharp occupancy declines and projected further declines in cash flows, DBRS expects the value has drastically fallen and assumes a loss in excess of 80% in the analysis for this review. Overall, the DBRS analysis approach for the remaining loans in the pool suggests losses will be contained to the Class C and below Certificates; however, the dire outlook for the Charleston Town Center loan and a few other specially serviced loans suggest the prospects for principal recovery could diminish over the near to medium term, supporting the rating downgrade for the Class B Certificates. For additional commentary and analysis on the specially serviced loans in the pool, please see the DBRS Viewpoint platform, for which information is provided below. As part of this review, DBRS has provided updated analysis and in-depth commentary in the DBRS Viewpoint platform for the following loans in the transaction: -- Charleston Town Center (Prospectus ID #3; 82.6% of the pool balance) -- Castaic Creek Plaza (Prospectus ID #74; 6.2% of the pool balance) -- Hampton Inn – St. Clairsville (Prospectus ID #6; 6.0% of the pool balance) -- Walgreens Westford (Prospectus ID #100; 4.2% of the pool balance) -- Shadow Hills Shopping Center (Prospectus ID #203; 0.8% of the pool balance) The ratings assigned to Class B materially deviate from the higher ratings implied by the quantitative results. DBRS considers a material deviation to be a rating differential of three or more notches between the assigned rating and the rating implied by the quantitative results that is a substantial component of a rating methodology. The deviations are warranted given uncertain loan-level event risk. BLACK DIAMOND 2016-1: S&P Gives Prelim BB-(sf) Rating on DR Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A1AR, A1BR, A2AR, A2BR, BR, CR, and DR replacement notes from Black Diamond CLO 2016-1 Ltd., a collateralized loan obligation (CLO) originally issued in 2016 that is managed by Black Diamond CLO 2016-1 Adviser LLC, a special-purpose investment management affiliate of Black Diamond Capital Management 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. Of the replacement classes, those that are floating-rate are expected to be issued at higher spreads over three-month LIBOR than the current respective floating-rate notes. Meanwhile, the fixed-rate replacement class A1BR and A2BR notes are expected to be issued at a higher coupon than the current fixed-rate class A-1B and A-2B notes. The preliminary ratings are based on information as of April 13, 2018. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the April 26, 2018, refinancing date, the proceeds from the replacement note issuance are expected to redeem the original 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 replacement notes." The replacement notes are being issued via a proposed supplemental indenture, which, in addition to outlining the terms of the replacement notes, will also: -- Issue the replacement classes at a slightly lower weighted average cost of debt than the current notes. -- Extend the reinvestment period and stated maturity by nearly three years and the non-call period by nearly two years. 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 Black Diamond CLO 2016-1 Ltd. Replacement class Rating Amount (mil. $) A1AR AAA (sf) 288.00 A1BR AAA (sf) 25.00 A2AR AA (sf) 57.10 A2BR AA (sf) 10.00 BR A (sf) 34.00 CR BBB- (sf) 23.50 DR BB- (sf) 22.50 BLUEMOUNTAIN CLO 2015-3: S&P Assigns B-(sf) Rating on Cl. E-R Notes ------------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class X-R, A-1-R, A-2-R, B-R, C-R, D-R, and E-R replacement notes from BlueMountain CLO 2015-3 Ltd., a collateralized loan obligation (CLO) originally issued in 2015 that is managed by BlueMountain Capital Management LLC/BlueMountain Fuji Management LLC. S&P withdrew its ratings on the original class A-1, A-2, B, C, D, and E notes following payment in full on the April 12, 2018, refinancing date. On the April 12, 2018, refinancing date, the proceeds from the class X-R, A-1-R, A-2-R, B-R, C-R, D-R, and E-R replacement note issuances were used to redeem the original class A-1, A-2, B, C, D, and E notes as outlined in the transaction document provisions. Therefore, S&P withdrew its ratings on the original notes in line with their full redemption, and it is assigning ratings to the replacement notes. The replacement notes are being issued via a supplemental indenture, which, in addition to outlining the terms of the replacement notes, is also: -- Issuing the replacement notes at lower spreads than the original notes. -- Extending the stated maturity, reinvestment period, and non-call periods by 3.5, 3.5, and 2.5 years, respectively. -- Using updated S&P Global Ratings' industry classifications, recoveries, and country groupings for recovery purposes. 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. "The assigned ratings reflect our opinion that the credit support available is commensurate with the associated rating levels. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and we will take rating actions as we deem necessary." RATINGS ASSIGNED BlueMountain CLO 2015-3 Ltd./BlueMountain CLO 2015-3 LLC Replacement class Rating Amount (mil. $) X-R AAA (sf) 2.00 A-1-R AAA (sf) 279.00 A-2-R AA (sf) 58.50 B-R A (sf) 31.50 C-R BBB- (sf) 27.00 D-R BB- (sf) 18.00 E-R B- (sf) 9.00 Subordinated notes NR 37.85 RATINGS WITHDRAWN BlueMountain CLO 2015-3 Ltd./BlueMountain CLO 2015-3 LLC Rating Original class To From A-1 NR AAA (sf) A-2 NR AA (sf) B NR A (sf) C NR BBB (sf) D NR BB- (sf) E NR B (sf) NR--Not rated. CITIGROUP COMMERCIAL 2016-GC37: Fitch Affirms B- Rating on F Notes ------------------------------------------------------------------ Fitch Ratings affirms 15 classes of Citigroup Commercial Mortgage Trust (CGCMT) 2016-GC37 Commercial Mortgage Pass-Through Certificates, series 2016-GC37. KEY RATING DRIVERS Overall Stable Performance: As of the March 2018 distribution date, the pool's aggregate principal balance has been reduced by 0.9% to $688.5 million from $694.7 million at issuance. Overall pool performance remains stable from issuance. All loans are current, and there have been no specially serviced loans since issuance. Four loans (4.1% of the current balance) are currently on the servicer's watchlist, and one loan (5.8%) is a Fitch Loan of Concern. As property-level performance is generally in line with issuance expectations, the original rating analysis was considered in affirming the transaction. Fitch Loan of Concern: The fourth largest loan in the pool, Hilton Orrington Evanston (5.8%) is designated as a Fitch Loan of Concern. Hilton Orrington Evanston is a 269-key full service hotel located in Evanston, IL, adjacent to Northwestern University. Amortizing DSCR at the property has declined from 1.91x at issuance to 1.31x as of the YE 2016 financials and TTM NCF in September 2017 was approximately 20.7% lower than Fitch's NCF at issuance. Per the January 2018 STR report, the property suffered declines of 8.1%, 3.2%, and 11.1% for occupancy, ADR, and RevPAR, respectively, between January 2017 and 2018. The decline can be attributed to new supply in the market including a 114-key Hyatt House and a 159-key re-flagged Holiday Inn. Above-Average Hotel Exposure: There are six loans, representing 16.3% of the pool, that consist of hotel properties, plus the fee position on the ground lease of a Denver hotel (10.2%) and a mixed-use building with a hotel component (5.7%). This is higher than the YTD 2016 average of 14.9% and the 2015 average hotel concentration of 17%. Primary Market Exposure: Seven of the top 10 properties totalling 39.9% of the pool are located in the CBDs of primary markets, including New York, Denver, Los Angeles and Austin. RATING SENSITIVITIES The Rating Outlooks on all classes remain Stable. Fitch does not foresee positive or negative ratings migration until a material economic or asset-level event changes the transaction's overall portfolio-level metrics. Fitch affirms the following ratings: -- $15.7 million class A-1 notes at 'AAAsf'; Outlook Stable; -- $19.5 million class A-2 notes at 'AAAsf'; Outlook Stable; -- $175 million class A-3 notes at 'AAAsf'; Outlook Stable; -- $227.4 million class A-4 notes at 'AAAsf'; Outlook Stable; -- $42.5 million class A-AB notes at 'AAAsf'; Outlook Stable; -- $520 million* class X-A notes at 'AAAsf'; Outlook Stable; -- $39.9 million class A-S notes at 'AAAsf'; Outlook Stable; -- $33.9 million class B notes at 'AA-sf'; Outlook Stable; -- $33.9 million* class X-B notes at 'AA-sf'; Outlook Stable; -- $33 million class C notes at 'A-sf'; Outlook Stable; -- $106.8 million class EC notes at 'A-sf'; Outlook Stable; -- $38.2 million class D notes at 'BBB-sf'; Outlook Stable; -- $38.2 million* class X-D notes at 'BBB-sf'; Outlook Stable; -- $19.1 million class E notes at 'BB-sf'; Outlook Stable; -- $7.8 million class F notes at 'B-sf'; Outlook Stable. Fitch does not rate classes G and H. *Notional amount and interest-only. The class A-S, class B and class C certificates may be exchanged for class EC certificates, and class EC certificates may be exchanged for the class A-S, class B and class C certificates. CONN'S RECEIVABLES 2017-A: Fitch Affirms B- Rating on Cl. C Notes ----------------------------------------------------------------- Fitch Ratings has affirmed Conn's Receivables Funding 2017-A, LLC (Conn's 2017-A), which consists of notes backed by retail loans originated and serviced by Conn Appliances, Inc. (Conn's) as follows: -- Class A notes at 'BBBsf'; Outlook Stable; -- Class B notes at 'BBsf'; Outlook Stable; -- Class C notes at 'B-sf'; Outlook Stable. The affirmation of the notes is due to the credit enhancement (CE) that has built since closing. CE for the class A, B, and C notes will continue to grow until the target total overcollateralization (OC) level of 35% is reached. Total OC is 33.99% as of the March 2018 payment date. Although the model implied rating of the class A, B and C notes is higher than their respective recommended ratings, the affirmation is due to default rates that are projected to be higher than Fitch's lifetime base case at closing and continued uncertainty about the effects on performance caused by Hurricane Harvey in the Houston area. KEY RATING DRIVERS Collateral Quality: The 2017-A trust pool consists of 100% fixed-rate consumer loans originated and serviced by Conn Appliances, Inc. The pool exhibits a weighted average FICO score of 603 and a weighted average borrower rate of 26.72%. The lifetime base case default rate for the 2017-A pool is assumed to be approximately 27.00%, higher than the original lifetime base case default rate at closing of 24.25%, due to uncertainty in performance coming from the large number of re-aged accounts post Hurricane Harvey. As a result, Fitch takes into account the possibility of additional defaults that would have occurred in those periods to be delayed and potentially occur later in the transaction's life. After taking into account defaults that have already been recognized, remaining defaults of approximately 32.13% were assumed. Defaults are mitigated by the CE that will continue to build to the 35% CE release level. Fitch applied a 2.2x stress at the 'BBBsf' level, reflecting the high absolute value of the historical defaults, along with the variability of default performance in recent years and the high geographic concentration. The recovery rate on defaulted loans for each note is assumed to be 5%, and Fitch utilized a default definition of zero months in modeling to account for currently delinquent assets. In addition, Fitch continues to monitor the trust performance in the aftermath of Hurricane Harvey, as greater than 20% of the trust pool by receivables balance is located in the Houston Metropolitan Statistical Area. Dependence on Trust Triggers: The trust depends on three trust triggers (Cumulative Net Loss Trigger, Annualized Net Loss Trigger, and Recovery Trigger) in order to ensure the payments due on the notes during times of degrading collateral performance. While the class A notes are expected to be repaid in the next few months, the triggers help protect the class B notes in stressed scenarios. The class C notes are currently constrained due to excess spread that can be released from the trust before the triggers are activated, especially with stress scenarios with back loaded defaults. A shortened version of the 18-month WAL default timing curve as show in the Global Consumer ABS Criteria was utilized in order to recognize all defaults within the life of the transaction. Rating Cap at the 'BBBsf' Category: Due to higher loan defaults in recent years, management changes at Conn's, and Conn's credit risk profile, Fitch has placed a rating cap on this transaction at the 'BBBsf' category. Liquidity Support: Liquidity support is provided by a reserve account, which was fully funded at closing at 1.50% of the initial pool balance. The reserve account stepped down to 1.25% of the original collateral balance when OC reached 30% of the current collateral balance and will step down to 1.00% of the original collateral balance once OC reaches 35% of the current collateral balance. The reserve account is currently sized at $6,991,560. Servicing Capabilities: Conn Appliances, Inc. demonstrates adequate abilities as originator, underwriter, and servicer. The credit risk profile of the entity is mitigated by the backup servicing provided by Systems & Services Technologies, Inc. (SST), who has committed to servicing transition period of 30 days. RATING SENSITIVITIES Unanticipated increases in the frequency of defaults or charge-offs on borrower accounts could produce loss levels higher than the base case and would likely result in declines of CE and remaining loss coverage levels available to the notes. Decreased CE may make certain ratings on the notes susceptible to potential negative rating actions, depending on the extent of the decline in coverage. Fitch conducts sensitivity analysis by stressing a transaction's initial base case charge-off assumption by an additional 10%, 25%, and 50%, and examining the rating implications. The increases of the base case charge-offs are intended to provide an indication of the rating sensitivity of the notes to unexpected deterioration of a transaction's performance. During the sensitivity analysis, Fitch examines the magnitude of the multiplier compression by projecting the expected cash flows and loss coverage levels over the life of investments under higher than the initial base case charge-off assumptions. Fitch models cash flows with the revised charge-off estimates while holding constant all other modelling assumptions. Rating sensitivity to increased charge-off rate: -- Class A, B, and C current ratings (Remaining Defaults: 32.13%): 'BBBsf', 'BBsf', 'B-sf'; -- Increase base case by 10% for class A, B, and C: 'BBBsf', 'BBsf', 'B-sf'; -- Increase base case by 25% for class A, B, and C: 'BBBsf', 'BB-sf', 'CCCsf'; -- Increase base case by 50% for class A, B, and C: 'BBBsf', 'B- sf', 'less than CCCsf'. CPS AUTO 2018-B: S&P Assigns BB-(sf) Rating on Class E Notes ------------------------------------------------------------ S&P Global Ratings assigned its ratings to CPS Auto Receivables Trust 2018-B's $201.823 million asset-backed notes. The note issuance is an asset-backed securities transaction backed by subprime auto loan receivables. The ratings reflect: -- The availability of approximately 57.46%, 48.94%, 40.17%, 31.15%, and 24.53% of credit support for the class A, B, C, D, and E notes, respectively, based on stressed cash flow scenarios (including excess spread). These credit support levels provide coverage of approximately 3.10x, 2.60x, 2.10x, 1.60x, and 1.23x our 18.00%-19.00% expected cumulative net loss (CNL) range for the class A, B, C, D, and E notes, respectively. Additionally, credit enhancement including excess spread for classes A, B, C, D, and E covers break-even cumulative gross losses of approximately 93%, 79%, 67%, 52%, and 41%, respectively. -- S&P's expectation that, under a moderate stress scenario of 1.60x our expected net loss level, with all else being equal, the ratings on the class A, B, and C notes would remain within one rating category while they are outstanding, and the rating on the class D notes would not decline by more than two rating categories within its life. The rating on the class E notes would remain within two rating categories during the first year, but would eventually default under the 'BBB' stress scenario after receiving 26%-48% of its principal. These rating migrations are consistent with our credit stability criteria. -- The rated notes' underlying credit enhancement in the form of subordination, overcollateralization, a reserve account, and excess spread for the class A, B, C, D, and E notes. -- The timely interest and principal payments made to the rated notes under our stressed cash flow modeling scenarios, which S&P believes are appropriate for the assigned ratings. -- The transaction's payment and credit enhancement structure, which includes a noncurable performance trigger. RATINGS ASSIGNED CPS Auto Receivables Trust 2018-B Class Rating Type Interest Amount rate(i) (mil. $) A AAA (sf) Senior Fixed 93.685 B AA (sf) Subordinate Fixed 33.005 C A (sf) Subordinate Fixed 28.085 D BBB (sf) Subordinate Fixed 24.703 E BB- (sf) Subordinate Fixed 22.345 CSFB MORTGAGE 2004-C3: Moody's Affirms C Ratings on Two Tranches ---------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on three classes in CSFB Mortgage Securities Corp. Commercial Mortgage Pass-Through Certificates, Series 2004-C3: Cl. E, Affirmed Ca (sf); previously on Mar 30, 2017 Upgraded to Ca (sf) Cl. F, Affirmed C (sf); previously on Mar 30, 2017 Affirmed C (sf) Cl. A-X, Affirmed C (sf); previously on Jun 9, 2017 Downgraded to C (sf) RATINGS RATIONALE The ratings on Classes E and F were affirmed because the ratings are consistent with Moody's expected loss plus realized loss. Class F has already experienced a 71.5% realized loss as result of previously liquidated loans. The rating on the IO class, Class A-X, was affirmed based on the credit performance of its referenced classes. Moody's rating action reflects a base expected loss of 60.0% of the current pooled certificate balance, compared to 58.3% at Moody's last review. The pooled certificate balance is $3.3 million higher than the current deal balance due to under-collateralization from a Workout-Delayed Reimbursement Amount (WODRA). Moody's base expected loss plus realized losses is now7.4% 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 rating CSFB Mortgage Securities Corp. Commercial Mtge Pass-Through Ctfs. 2004-C3, Cl. E and Cl. F was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. The methodologies used in rating CSFB Mortgage Securities Corp. Commercial Mtge Pass-Through Ctfs. 2004-C3, Cl. A-X 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 analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 73% of the remaining loan balance (or 56% of the remaining certificate balance) are in special servicing and the deal is under-collateralized by $3.3 million (23% of the pooled certificate amount). In this approach, Moody's determines a probability of default for each specially serviced 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 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 March 16, 2018 distribution date, the transaction's aggregate certificate balance has decreased by 99% to $14.2 million from $1.64 billion at securitization. The certificates are collateralized by four mortgage loans. The transaction is under-collateralized as the aggregate certificate balance is $3.3 million greater than the pooled loan balance. This disparity of principal balances is due to the servicer recovering WODRAs from the transaction's principal collections and the subordinate certificates are not written down. One loan, constituting 3.5% of the pooled loan balance, has defeased and is secured by US government securities. Thirty-three loans have been liquidated from the pool, resulting in an aggregate realized loss of $113 million (for an average loss severity of 53%). Two loans, constituting 73% of the pooled loan balance, are currently in special servicing. The largest specially serviced loan is the Counsel Square Loan ($7.2 million), which is secured by an eight building office park totaling approximately 110,000 SF and located in New Port Richey, Florida. The loan was transferred to special servicing in December 2012 due to imminent default and became REO in October 2013. The second largest specially serviced loan is the Dellwood Apartments Loan ($766,747), which is secured by a 110-unit apartment complex in Laredo, Texas. The loan transferred to special servicing in December 2012 due to payment default. Moody's estimates an aggregate $5.3 million loss for specially serviced loans. Additionally, Moody's is currently treating the under-collateralization as a loss of principal to the trust. The one performing non-defeased loan is The Groves at Wimauma Apartments Loan ($2.6 million), which is secured by a 108-unit multifamily apartment property located in Wimauma, Florida. The property was 100% leased as of June 2017, the same as at last review. The loan has amortized 22% since securitization and Moody's LTV and stressed DSCR are 68% and 1.40X, respectively, compared to 72% and 1.32X at the last review. DRYDEN XXVI: S&P Assigns B-(sf) Rating on $7.5MM Class F-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R, D-R, E-R, and F-R replacement notes from Dryden XXVI Senior Loan Fund, a collateralized loan obligation (CLO) originally issued in March 2013 that is managed by PGIM Inc. The replacement notes have been issued via a supplemental indenture. The ratings reflect S&P's opinion that the credit support available is commensurate with the associated rating levels. The replacement class A-R, B-R, C-R, and D-R are expected to be issued at a lower spread than the original notes; however, the class E-R and F-R notes are expected to be issued at a higher spread than the original notes. On the April 16, 2018, refinancing date, the proceeds from the issuance of the replacement notes have been used to redeem the original notes. The replacement notes are being issued via a supplemental indenture, which, in addition to outlining the terms of the replacement notes, will also: -- Extend the stated maturity and reinvestment period by approximately four years. -- Enable the manager to use the formula-based Standard & Poor's CDO Monitor. 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 Dryden XXVI Senior Loan Fund Replacement class Rating Amount (mil. $) A-R AAA (sf) 260.00 B-R AA (sf) 46.00 C-R A (sf) 23.00 D-R BBB- (sf) 23.00 E-R BB- (sf) 16.00 F-R B- (sf) 7.50 Subordinated notes NR 67.90 RATINGS WITHDRAWN Dryden XXVI Senior Loan Fund Rating Class To From A NR AAA (sf) B NR AA (sf) C NR A (sf) D NR BBB (sf) E NR BB (sf) F NR B (sf) P NR AA+ p (sf) P--Principal only. NR--Not rated. DRYDEN XXVI: S&P Assigns Prelim B-(sf) Rating on Class F-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-R, B-R, C-R, D-R, E-R, and F-R replacement notes from Dryden XXVI Senior Loan Fund, a collateralized loan obligation (CLO) originally issued in March 2013 that is managed by PGIM Inc. 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 replacement class A-R, B-R, C-R, and D-R are expected to be issued at a lower spread than the original notes; however, the class E-R and F-R notes are expected to be issued at a higher spread than the original notes. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the April 16, 2018, refinancing date, the proceeds from the issuance of the replacement notes are expected to redeem the original notes. S&P said, "At that time, we anticipate withdrawing the 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 replacement notes." The replacement notes are being issued via a proposed supplemental indenture, which, in addition to outlining the terms of the replacement notes, will also: -- The stated maturity and reinvestment period will be extended by approximately four years. -- All replacement classes are expected to be issued at a floating spread. -- The manager will be able to use the formula-based Standard & Poor's CDO Monitor. CASH FLOW ANALYSIS RESULTS Class Amount Interest BDR SDR Cushion (mil. $) rate (%) (%) (%) (%) A-R 260.00 0.90 69.85 61.14 8.70 B-R 46.00 1.45 66.47 53.94 12.53 C-R 23.00 1.85 59.86 48.18 11.68 D-R 23.00 2.70 52.56 39.87 12.69 E-R 16.00 5.54 43.77 34.01 9.77 F-R 7.50 7.59 30.97 28.41 2.57 BDR--Break-even default rate. SDR--Scenario default rate. ORIGINAL NOTE ISSUANCES Original Notes Class Amount Interest (mil. $) rate (%) X 3.00 1.00 A 262.00 1.10 B 38.00 1.75 C 35.00 2.50 D 20.00 3.45 E 17.00 4.50 F 7.00 4.50 S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the trustee report, to estimate future performance (see table). In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and we will take further rating actions as we deem necessary." PRELIMINARY RATINGS ASSIGNED Dryden XXVI Senior Loan Fund Replacement class Rating Amount (mil. $) A-R AAA (sf) 260.00 B-R AA (sf) 46.00 C-R A (sf) 23.00 D-R BBB- (sf) 23.00 E-R BB- (sf) 16.00 F-R B- (sf) 7.50 Subordinated notes NR 67.90 NR--Not rated. EXETER AUTO 2018-2: S&P Assigns Prelim BB(sf) Rating on Cl. E Notes ------------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Exeter Automobile Receivables Trust 2018-2's $550 million automobile receivables backed notes. The note issuance is an asset-backed securities transaction backed by subprime auto loan receivables. The preliminary ratings are based on information as of April 12, 2018. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The availability of approximately 60.4%, 53.5%, 44.6, 34.6%, and 29.7% credit support for the class A, B, C, D, and E notes, respectively, based on stressed cash flow scenarios (including excess spread), which provide coverage of approximately 2.85x, 2.50x, 2.05x, 1.55x, and 1.27x our 20.50%-21.50% expected cumulative net loss range. These break-even scenarios withstand cumulative gross losses (CGLs) of approximately 92.9%, 82.4%, 71.4%, 55.3%, and 46.0%, respectively. -- The timely interest and principal payments that we believe will be made to the preliminary rated notes under stressed cash flow modeling scenarios, which, in S&P's view, are appropriate for the assigned preliminary ratings. -- The expectation that under a moderate ('BBB') stress scenario (1.55x S&P's expected loss level), all else being equal, S&P's ratings on the class A notes will not be lowered and the ratings on the class B and C notes will remain within one rating category of the assigned preliminary 'AA (sf)' and 'A (sf)' ratings, respectively, for the deal's life. S&P expects the class D notes to remain within two rating categories of the assigned preliminary 'BBB (sf)' over the deal's life under the 'BBB' stress scenario, and the class E notes to remain within two rating categories over the first year then eventually default. These rating movements are within the limits specified by its credit stability criteria. -- The collateral characteristics of the subprime automobile loans securitized in this transaction. -- The transaction's payment, credit enhancement, and legal structures. PRELIMINARY RATINGS ASSIGNED Exeter Automobile Receivables Trust 2018-2 Class Rating Type Interest Amount rate (mil. $)(i) A AAA (sf) Senior Fixed 254.09 B AA (sf) Subordinate Fixed 76.96 C A (sf) Subordinate Fixed 82.76 D BBB (sf) Subordinate Fixed 92.92 E BB (sf) Subordinate Fixed 43.27 (i)The interest rates and actual sizes of these tranches will be determined on the pricing date. FORTRESS CREDIT XI: S&P Assigns BB-(sf) Rating on Class E Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to Fortress Credit Opportunities XI CLO Ltd./Fortress Credit Opportunities XI CLO LLC's $573 million revolving and fixed- and floating-rate notes. The note issuance is CLO transaction backed primarily by middle-market speculative-grade senior secured term loans that are governed by collateral quality tests. The ratings reflect S&P's view of: -- The diversified collateral pool, which consists primarily of middle-market 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. The rating requirements of Natixis, New York Branch as the class A-1R noteholder, as well as the rating requirements of any future class A-1R noteholders. RATINGS ASSIGNED Fortress Credit Opportunities XI CLO Ltd./Fortress Credit Opportunities XI CLO LLC Class Rating Amount (mil. $) A-1R AAA (sf) 92.00 A-1T AAA (sf) 216.60 A-1F AAA (sf) 30.00 B-T AA (sf) 75.00 B-F AA (sf) 13.90 C (deferrable) A- (sf) 88.90 D (deferrable) BBB- (sf) 42.50 E (deferrable) BB- (sf) 14.10 Subordinated notes NR 129.80 NR--Not rated. JP MORGAN 2004-CIBC9: Fitch Affirms D Rating on Class F Certs ------------------------------------------------------------- Fitch Ratings upgrades one class and affirms 10 classes of JP Morgan Chase Commercial Mortgage Securities Corp. 2004-CIBC9 (JPMCC 2004-CIBC9) commercial mortgage pass-through certificates. KEY RATING DRIVERS Defeasance: Defeased collateral now represents 42.5% of the pool balance, up from 36.2% at the last rating action. Class E is now 75% covered by defeasance, up from 20% at the last rating action. Only eight of the original 98 loans remain and three of the remaining loans are fully defeased. Upcoming Lease Rollover: Federal Express - Windsor Locks, the largest loan in the pool (33.71% of the remaining collateral balance), is a Fitch Loan of Concern (FLOC). The property is 100% occupied by FedEx on a lease that is coterminous with the upcoming anticipated repayment date (ARD) in June 2019. Additionally, there are two small loans (9.2% of the pool) backed by retail properties with major near term lease rollover, which could potentially leave the properties vacant or near vacant should tenants or spaces not renew or backfill quickly. Maturity Profile: The transaction has paid down by approximately $7.4 million (27.3% of the last rating action pool balance) since Fitch's last rating action. One loan was disposed that was previously designated a FLOC and paid off ahead of its scheduled maturity with no loss to the trust. The largest loan may not repay at its ARD in June 2019 given the sole tenant's lease is scheduled to expire three months prior. Only two loans have 2019 scheduled loan maturities (4.4%), the defeased McAlester Shopping Center loan and the fully amortizing American Sale Building loan. Thereafter, no loan is scheduled to mature until 2022 at the earliest. RATING SENSITIVITIES The revision of the Outlook to Positive from Stable for class E reflects the paydown of a previously designated FLOC, ahead of its scheduled maturity with no loss to the trust and the increase in defeasance coverage of this class to 75% from 20% since the last rating action. An upgrade to class E is possible should concerns associated with upcoming lease rollover be remediated. While a downgrade to class E is not expected, it is possible should an asset-level or economic event cause a decline in overall pool performance. Fitch has upgraded the following rating: -- $11 million class E to 'BBBsf' from 'BBsf'; Outlook revised to Positive from Stable. Fitch has affirmed the following ratings: -- $109 thousand class D at 'AAAsf'; Outlook Stable; -- $8.6 million class F at 'Dsf'; RE 85%; -- $0 class G at 'Dsf'; RE 0%; -- $0 class H at 'Dsf'; RE 0%; -- $0 class J at 'Dsf'; RE 0%; -- $0 class K at 'Dsf'; RE 0%; -- $0 class L at 'Dsf'; RE 0%; -- $0 class M at 'Dsf'; RE 0%; -- $0 class N at 'Dsf'; RE 0%; -- $0 class P at 'Dsf'; RE 0%. The class A-1, A-2, A-3, A-4, A-1A, B and C certificates have been paid in full. Fitch does not rate the class NR certificate. Fitch previously withdrew the rating on the interest-only class X certificates. JPMBB COMMERCIAL 2013-C12: Moody's Affirms B2 Rating on Cl. F Debt ------------------------------------------------------------------ Moody's Investors Service has affirmed the ratings on 12 classes in JPMBB Commercial Mortgage Securities Trust 2013-C12: Cl. A-2, Affirmed Aaa (sf); previously on Apr 13, 2017 Affirmed Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on Apr 13, 2017 Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Apr 13, 2017 Affirmed Aaa (sf) Cl. A-5, Affirmed Aaa (sf); previously on Apr 13, 2017 Affirmed Aaa (sf) Cl. A-SB, Affirmed Aaa (sf); previously on Apr 13, 2017 Affirmed Aaa (sf) Cl. A-S, Affirmed Aaa (sf); previously on Apr 13, 2017 Affirmed Aaa (sf) Cl. B, Affirmed Aa3 (sf); previously on Apr 13, 2017 Affirmed Aa3 (sf) Cl. C, Affirmed A3 (sf); previously on Apr 13, 2017 Affirmed A3 (sf) Cl. D, Affirmed Baa3 (sf); previously on Apr 13, 2017 Affirmed Baa3 (sf) Cl. E, Affirmed Ba2 (sf); previously on Apr 13, 2017 Affirmed Ba2 (sf) Cl. F, Affirmed B2 (sf); previously on Apr 13, 2017 Affirmed B2 (sf) Cl. X-A, Affirmed Aaa (sf); previously on Apr 13, 2017 Affirmed Aaa (sf) RATINGS RATIONALE The ratings on the P&I classes were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The rating on the IO class was affirmed based on the credit quality of the referenced classes. Moody's rating action reflects a base expected loss of 3.6% of the current pooled balance, compared to 3.2% at Moody's last review. Moody's base expected loss plus realized losses is now 3.1% of the original pooled balance, compared to 2.9% 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 JPMBB Commercial Mortgage Securities Trust 2013-C12, Cl. A-2, Cl. A-3, Cl. A-4, Cl. A-5, Cl. A-SB, Cl. A-S, Cl. B, Cl. C, Cl. D, Cl. E, and Cl. F was "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in July 2017. The methodologies used in rating JPMBB Commercial Mortgage Securities Trust 2013-C12, Cl. X-A 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 March 16, 2018 distribution date, the transaction's aggregate certificate balance has decreased by 14% to $1.16 billion from $1.34 billion at securitization. The certificates are collateralized by 73 mortgage loans ranging in size from less than 1% to 10% of the pool, with the top ten loans (excluding defeasance) constituting 48% of the pool. One loan, constituting 8% of the pool, has an investment-grade structured credit assessment. Two loans, constituting 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 26, compared to a Herf of 28 at Moody's last review. Nine loans, constituting 12% 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. One loan, the Park 50 Loan ($12.9 million -- 1.1% of the pool), is currently in special servicing. The specially serviced loan is secured by 13 flex/office and flex/industrial buildings located approximately 16 miles northeast of downtown Cincinnati, Ohio. The loan transferred to special servicing in August 2017 for delinquent payments and a receiver was appointed in November 2017. Moody's received full year 2016 operating results for 100% of the pool, and full or partial year 2017 operating results for 95% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 96%, compared to 98% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 13% 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 1.67X and 1.13X, respectively, compared to 1.64X and 1.09X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The loan with a structured credit assessment is the Americold Cold Storage Portfolio ($96.3 million -- 8.3% of the pool), which represents a pari-passu portion of a $192.7 million mortgage loan. The loan is secured by a portfolio of 15 cold storage facilities located across nine U.S. states, with a total storage capacity of 3.6 million square feet (SF). The loan sponsor is Americold Realty Trust, the largest US operator of cold storage facilities. The property is also encumbered by $102 million of mezzanine debt. The loan benefits from amortization and Moody's structured credit assessment and stressed DSCR are a3 (sca.pd) and 1.83X, respectively, compared to baa1 (sca.pd) and 1.72X at the last review. The top three conduit loans represent 22% of the pool balance. The largest loan is the Legacy Place Loan ($121.0 million -- 10.5% of the pool), which represents a pari-passu portion of a $193.6 million mortgage loan. The loan is secured by a 484,000 SF lifestyle retail center in Dedham, Massachusetts, a suburb of Boston. The property was developed in 2009 and consists of six buildings and parking for approximately 2,800 vehicles. The property was 99% leased as of December 2017, up from 97% as of December 2016. Moody's LTV and stressed DSCR are 99% and 0.90X, respectively, compared to 103% and 0.87X at the last review. The second largest loan is the IDS Center Loan ($85.5 million -- 7.4% of the pool), which represents a pari-passu portion of a $173.4 million mortgage loan. The loan is secured by a 1.4 million SF mixed-use property located in downtown Minneapolis, Minnesota. The collateral consists of a 57-story skyscraper office tower, an eight-story annex building, a 100,000 SF retail center, and an underground garage. The largest tenant, a law firm, renewed their lease through May 2021, however, nearly 100% of the leases are set to expire during the loan's ten year term. Moody's LTV and stressed DSCR are 102% and 0.98X, respectively, compared to 101% and 0.99X at the last review. The third largest loan is the Southridge Mall Loan ($47.5 million -- 4.1% of the pool), which represents a pari-passu portion of a $118.8 million senior mortgage loan. The loan is secured by a 550,000 SF portion of a 1.1 million SF regional mall in Greendale, Wisconsin, a suburb of Milwaukee. The mall underwent a $45 million renovation in 2012, during which a new Macy's anchor opened on the site of a former Dillard's. Kohl's announced that they will be moving their store to a new retail development in late 2018. Sears (non-collateral) also closed in 2017, however, plans were recently announced to redevelop the former Sears store into a Dick's Sporting Goods and a Round 1 Bowling and Amusement Complex. The property faces additional competition as it is one of four regional or super-regional malls in the Milwaukee MSA. Moody's LTV and stressed DSCR are 138% and 0.76X, respectively, compared to 127% and 0.81X at the last review. KKR CLO 21: Moody's Assigns B3 Rating to Class F Notes ------------------------------------------------------ Moody's Investors Service has assigned ratings to six classes of notes issued by KKR CLO 21 Ltd. Moody's rating action is: US$390,000,000 Class A Senior Secured Floating Rate Notes due 2031 (the "Class A Notes"), Assigned Aaa (sf) US$63,000,000 Class B Senior Secured Floating Rate Notes due 2031 (the "Class B Notes"), Assigned Aa2 (sf) US$32,400,000 Class C Senior Secured Deferrable Floating Rate Notes due 2031 (the "Class C Notes"), Assigned A2 (sf) US$38,100,000 Class D Senior Secured Deferrable Floating Rate Notes due 2031 (the "Class D Notes"), Assigned Baa3 (sf) US$28,500,000 Class E Senior Secured Deferrable Floating Rate Notes due 2031 (the "Class E Notes"), Assigned Ba3 (sf) US$12,000,000 Class F Senior Secured Deferrable Floating Rate Notes due 2031 (the "Class F Notes"), Assigned B3 (sf) The Class A Notes, the Class B Notes, the Class C Notes, the Class D Notes, the Class E Notes and the Class F 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. KKR CLO 21 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 92.5% of the portfolio must consist of senior secured loans, cash, and eligible investments, and up to 7.5% of the portfolio may consist of second-lien loans and unsecured loans. The portfolio is approximately 100% ramped as of the closing date. KKR Financial Advisors II, LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets, subject to certain restrictions. In addition to the Rated Notes, the Issuer issued subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2017. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $600,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 2920 Weighted Average Spread (WAS): 3.15% Weighted Average Coupon (WAC): 7.00% 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 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 2920 to 3358) Rating Impact in Rating Notches Class A Notes: -1 Class B Notes: -2 Class C Notes: -2 Class D Notes: -1 Class E Notes: 0 Class F Notes: -1 Percentage Change in WARF -- increase of 30% (from 2920 to 3796) Rating Impact in Rating Notches Class A Notes: -1 Class B Notes: -4 Class C Notes: -4 Class D Notes: -2 Class E Notes: -1 Class F Notes: -3 LB-UBS COMMERCIAL 2004-C6: Fitch Hikes Cl. J Certs Rating to Bsf ---------------------------------------------------------------- Fitch Ratings has upgraded one class and affirmed four classes of LB-UBS Commercial Mortgage Trust commercial mortgage pass-through certificates, series 2004-C6 (LBUBS 2004-C6). KEY RATING DRIVERS Concentrated Pool: Only one of the original 97 loans remains outstanding. The upgrade is based on an updated recovery expectation after one loan that Fitch had flagged for potential default at the last rating action was paid in full. The only outstanding loan is fully amortizing. Despite concern with increased vacancy and concentrated tenant roll, the loan's exposure is low relative to the estimated property value. Collateral Quality: Given the tenant mix and upcoming lease roll, the underlying collateral is considered to be below investment grade. RATING SENSITIVITIES The rating for class J is not likely to be upgraded in the future based on the tenant mix of the underlying property and concerns with upcoming lease roll. While considered unlikely given Fitch's expected recovery for the loan, the class could be downgraded should the estimated property value significantly deteriorate. Fitch has upgraded the following rating: -- $2.6 million class J to 'Bsf' from 'CCCsf'; Outlook Stable assigned. Fitch has affirmed the following ratings: -- $1.5 million 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%. The class A-1, A-2, A-3, A-4, A-5, A-6, A-1A, B, C, D, E, F, G, and H certificates have been paid in full. Fitch does not rate the class P, Q, S, and T certificates. Fitch previously withdrew the ratings on the interest-only class X-CL and X-CP certificates. LB-UBS COMMERCIAL 2006-C4: Moody's Hikes Rating on F Certs to B1 ---------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on two classes in LB-UBS Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2006-C4: Cl. F, Upgraded to B1 (sf); previously on Apr 12, 2017 Affirmed Caa3 (sf) Cl. G, Upgraded to Ca (sf); previously on Apr 12, 2017 Downgraded to C (sf) RATINGS RATIONALE The rating on Class F was upgraded based primarily on an increase in credit support resulting from loan paydowns and amortization. The deal has paid down 82% since Moody's last review. The rating on Class G was upgraded due to higher expected recovery than previously anticipated from liquidated loans since Moody's last review. Moody's base expected loss plus realized losses is now 6.6% of the original pooled balance, compared to 7.9% at Moody's last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. Moody's does not anticipate losses from the remaining collateral in the current environment. However, over the remaining life of the transaction, losses may emerge from macro stresses to the environment and changes in collateral performance. Moody's ratings reflect the potential for future losses under varying levels of stress. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. DEAL PERFORMANCE As of the March 16, 2018 distribution date, the transaction's aggregate certificate balance has decreased by 99% to $21.8 million from $1.98 billion at securitization. The certificates are collateralized by three mortgage loans. Two loans, constituting 26% of the pool, have defeased and are secured by US government securities. There is no loan currently in special servicing or on the servicer's watchlist. Forty-five loans have been liquidated from the pool, resulting in an aggregate transaction realized loss of $136 million ($131 million loss for the pooled balance) for an average loss severity of 41%. The remaining non-defeased loan is the Seven Corners Loan ($16.1 million -- 73.6% of the pool), which is secured by a 70,183 SF unanchored retail center located in Falls Church, Virginia (less than 10 miles outside of Washington DC). The property was 97% leased as of September 2017 compared to 100% as of October 2016 and December 2015. Performance has declined since last review. The loan matures in May 2020 and has amortized 11% since securitization. Moody's LTV and stressed DSCR are 100% and 1.03X, respectively compared to 80% and 1.18X at last review. LB-UBS COMMERCIAL 2008-C1: Moody's Affirms B1 Rating on A-M Debt ---------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on four classes in LB-UBS Commercial Mortgage Trust 2008-C1, Commercial Mortgage Pass-Through Certificates, Series 2008-C1: Cl. A-2, Affirmed Aaa (sf); previously on Jun 16, 2017 Affirmed Aaa (sf) Cl. A-2FL, Affirmed Aaa (sf); previously on Jun 16, 2017 Affirmed Aaa (sf) Cl. A-M, Affirmed B1 (sf); previously on Jun 16, 2017 Downgraded to B1 (sf) Cl. A-J, Affirmed C (sf); previously on Jun 16, 2017 Downgraded to C (sf) RATINGS RATIONALE The ratings on 3 P&I Classes (A-2, A-2FL & A-M) were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The rating on P&I Class A-J was affirmed due to Moody's expected loss. Moody's rating action reflects a base expected loss of 25.3% of the current balance, compared to 6.9% at Moody's last review. Moody's base expected loss plus realized losses is now 18.5% of the original pooled balance, compared to 18.3% at Moody's last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. DEAL PERFORMANCE As of the March 16, 2018 distribution date, the transaction's aggregate certificate balance has decreased by 84% to $162.9 million from $1.007 billion at securitization. The certificates are collateralized by four mortgage loans ranging in size from less than 1% to 50% of the pool. One loan, constituting 44% of the pool, is on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Twelve loans have been liquidated from the pool, resulting in an aggregate realized loss of $145.5 million (for an average loss severity of 67%). Two loans, constituting 53% of the pool, are currently in special servicing. The largest specially serviced loan the Regions Harbert Plaza Loan ($81.5 million -- 50.1% of the pool), which is secured by a 614,000 SF, 32-story Class A office building with a small retail component located in downtown Birmingham, Alabama. The Property was 60% leased as of February 2018, compared to 94% in December 2017. The significant drop in occupancy is due to Region's Bank (35% NRA) departure at lease expiration in December 2017. The loan did not pay-off at maturity in April 2018. Moody's received full year 2016 operating results for 100% of the pool, and full or partial year 2017 operating results for 100% of the pool (excluding specially serviced and defeased loans). The top two conduit loans represent 47.4% of the pool balance. The largest loan is the Chevy Chase Center Loan ($71.6 million -- 44% of the pool), which is secured by a 398,000 SF mixed-use property in Chevy Chase, Maryland approximately 6 miles northwest of Washington DC. The office component is 224,000 SF and the retail space is 174,000 SF. The office component is primarily located in an eight-story tower and is leased by The Mills Limited Partnership (51% NRA) through April 2019. However, The Mills Limited Partnership's physical occupancy is 6% of the office NRA since they have sublet to the remaining space to several different tenants. The total property was 88% leased as of January 2018 compared to 88% at year-end 2016 and 92% at year-end 2015. The loan fully amortizes on a 240-month schedule and is scheduled to pay-off in November 2026. Moody's LTV and stressed DSCR are 63.9% and 1.52X, respectively, compared to 64.5% and 1.42X at the last review. The second largest loan is the Hunt Club Corners Loan ($5.6 million -- 3.4% of the pool), which is by a 101,000 SF retail property located in Apopka, Florida approximately 20 miles northwest of Orlando. The property was 92% leased as of September 2017 compared to 96% leased at year-end 2016. The loan is scheduled to mature in August 2021 and benefits from amortization. Moody's LTV and stressed DSCR are 81% and 1.23X, respectively, compared to 79.8% and 1.25X at the last review. MADISON PARK XIII: S&P Assigns Prelim B-(sf) Rating on F-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Madison Park Funding XIII Ltd./Madison Park Funding XIII LLC's $675.5 million floating-rate notes. The note issuance is a collateralized loan obligation transaction backed primarily by broadly syndicated speculative-grade senior secured term loans. This is a proposed refinancing of the Madison Park Funding XIII Ltd. transaction that closed in February 2014, which we did not rate. The preliminary ratings are based on information as of April 12, 2018. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The diversified collateral pool; -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization; -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading; and -- The transaction's legal structure, which is expected to be bankruptcy remote. PRELIMINARY RATINGS ASSIGNED Madison Park Funding XIII Ltd./Madison Park Funding XIII LLC Class Rating Amount (mil. $) X-R NR 5.52 A-R2 AAA (sf) 450.00 B-R2 AA (sf) 96.50 C-R2 A (sf) 45.00 D-R2 BBB- (sf) 46.50 E-R BB- (sf) 27.50 F-R B- (sf) 10.00 Subordinated notes NR 60.50 NR--Not rated. MADISON PARK XXX: S&P Assigns B-(sf) Rating on Class F Notes ------------------------------------------------------------ S&P Global Ratings assigned its ratings to Madison Park Funding XXX Ltd./Madison Park Funding XXX LLC's $190.90 million floating-rate notes. The note issuance is a collateralized loan obligation (CLO) transaction backed primarily by broadly syndicated speculative-grade senior secured term loans. The ratings reflect: -- The diversified collateral pool, which consists primarily of broadly syndicated speculative-grade senior secured term loans that are governed by collateral quality tests. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. RATINGS ASSIGNED Madison Park Funding XXX Ltd./Madison Park Funding XXX LLC Class Rating Amount (mil. $) A NR 492.45 B AA (sf) 69.80 C (deferrable) A (sf) 44.70 D (deferrable) BBB- (sf) 45.90 E (deferrable) BB- (sf) 24.50 F (deferrable) B- (sf) 6.00 Subordinated notes NR 60.67 NR--Not rated. MELLO MORTGAGE 2018-MTG1: DBRS Finalizes B Rating on Cl. B5 Certs ----------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the Mortgage Pass-Through Certificates, Series 2018-MTG1 issued by Mello Mortgage Capital Acceptance 2018-MTG1 as follows: -- $254.8 million Class A1 at AAA (sf) -- $254.8 million Class A2 at AAA (sf) -- $191.1 million Class A3 at AAA (sf) -- $191.1 million Class A4 at AAA (sf) -- $12.7 million Class A5 at AAA (sf) -- $12.7 million Class A6 at AAA (sf) -- $51.0 million Class A7 at AAA (sf) -- $51.0 million Class A8 at AAA (sf) -- $26.2 million Class A9 at AAA (sf) -- $26.2 million Class A10 at AAA (sf) -- $203.9 million Class A11 at AAA (sf) -- $63.7 million Class A12 at AAA (sf) -- $203.9 million Class A13 at AAA (sf) -- $63.7 million Class A14 at AAA (sf) -- $281.1 million Class A15 at AAA (sf) -- $281.1 million Class A16 at AAA (sf) -- $38.2 million Class A17 at AAA (sf) -- $12.7 million Class A18 at AAA (sf) -- $38.2 million Class A19 at AAA (sf) -- $12.7 million Class A20 at AAA (sf) -- $281.1 million Class AX1 at AAA (sf) -- $254.8 million Class AX2 at AAA (sf) -- $191.1 million Class AX3 at AAA (sf) -- $12.7 million Class AX4 at AAA (sf) -- $51.0 million Class AX5 at AAA (sf) -- $26.2 million Class AX6 at AAA (sf) -- $281.1 million Class AX7 at AAA (sf) -- $38.2 million Class AX8 at AAA (sf) -- $12.7 million Class AX9 at AAA (sf) -- $63.7 million Class AX10 at AAA (sf) -- $4.5 million Class B1 at AA (sf) -- $5.1 million Class B2 at A (sf) -- $4.0 million Class B3 at BBB (sf) -- $1.8 million Class B4 at BB (sf) -- $1.5 million Class B5 at B (sf) Classes AX1, AX2, AX3, AX4, AX5, AX6, AX7, AX8, AX9 and AX10 are interest-only Certificates. The class balances represent notional amounts. Classes A1, A2, A4, A6, A7, A8, A10, A11, A12, A13, A14, A15, A16, A17, A18, AX2, AX3, AX4, AX5, AX6, AX7 and AX10 are exchangeable Certificates. These classes can be exchanged for combinations of exchange Certificates as specified in the offering documents. Classes A1, A2, A3, A4, A5, A6, A7, A8, A11, A12, A13, A14, A17, A18, A19 and A20 are super-senior Certificates. These classes benefit from additional protection from senior support Certificates (Classes A9 and A10) with respect to loss allocation. The AAA (sf) ratings on the Certificates reflect the 6.25% of credit enhancement provided by subordinated Certificates in the pool. The AA (sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings reflect 4.75%, 3.05%, 1.70%, 1.10% and 0.60% of credit enhancement, respectively. Other than the specified classes above, DBRS does not rate any other classes in this transaction. This transaction is a securitization of a portfolio of first-lien fixed-rate prime residential mortgages. The Certificates are backed by 453 loans with a total principal balance of $299,806,566 as of the Cut-Off Date (April 1, 2018). loanDepot.com, LLC (loanDepot) is the Originator, Seller and Servicing Administrator of the mortgage loans, and Artemis Management LLC is the Sponsor of the transaction. LD Holdings Group LLC, the parent company of the Sponsor and Seller, will serve as Guarantor with respect to the remedy obligations of the Seller. LDPMF LLC, a subsidiary of the Sponsor and an affiliate of the Seller, will act as Depositor of the transaction. Cenlar FSB will act as the Servicer. Wells Fargo Bank, N.A. (rated AA with a Stable trend by DBRS) will act as the Master Servicer and Securities Administrator. Wilmington Savings Fund Society, FSB will serve as Trustee, and Deutsche Bank National Trust Company will serve as Custodian. The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity of primarily 30 years. Approximately 40.7% of the pool are conforming high-balance mortgage loans that were underwritten by loanDepot using an automated underwriting system designated by Fannie Mae or Freddie Mac and were eligible for purchase by such agencies. The transaction employs a senior-subordinate, shifting-interest cash flow structure that is enhanced from a pre-crisis structure. The ratings reflect transactional strengths that include high-quality underlying assets, well-qualified borrowers and a satisfactory third-party due diligence review. The Depositor has made certain representations and warranties concerning the mortgage loans. The enforcement mechanism for breaches of representations includes automatic breach reviews by a third-party reviewer for any seriously delinquent loans, and resolution of disputes may ultimately be subject to determination in an arbitration proceeding. MELLO MORTGAGE 2018-MTG1: Moody's Assigns B2 Rating to Cl. B5 Debt ------------------------------------------------------------------ Moody's Investors Service has assigned definitive ratings to residential mortgage-backed securities (RMBS) issued by Mello Mortgage Capital Acceptance 2018-MTG1 (Mello 2018-MTG1). The ratings range from Aaa (sf) to B2 (sf). MELLO 2018-MTG1 is the first transaction entirely backed by loans originated by loanDepot.com, LLC (loanDepot). MELLO 2018-MTG1 consists of prime jumbo loans underwritten to loanDepot's underwriting guidelines and high balance GSE-eligible loans underwritten to Freddie Mac or Fannie Mae guidelines with loanDepot overlays. All of the loans are designated as qualified mortgages (QM) either under the QM safe harbor or the GSE temporary exemption under the Ability-to- Repay (ATR) rules. Cenlar FSB will service the loans and Wells Fargo Bank, N.A. (Aa2) will be the master servicer. loanDepot will be the servicing administrator and responsible for servicer advances, with the master servicer stepping in if loanDepot cannot fulfill its obligation to advance scheduled principal and interest. MELLO 2018-MTG1 is a securitization of 453 primarily 30-year, first-lien, fixed-rate prime residential mortgage loans (two loans have a 25- year term). The pool consists of 227 GSE-eligible high balance (40.7% by loan balance) and 226 prime jumbo (59.3% by loan balance) mortgage loans. The securitization has a shifting interest structure with a five-year lockout period that benefits from a senior subordination floor and a subordinate floor. The complete rating actions are: Issuer: Mello Mortgage Capital Acceptance 2018-MTG1 Cl. A1, Definitive Rating Assigned Aaa (sf) Cl. A2, Definitive Rating Assigned Aaa (sf) Cl. A3, Definitive Rating Assigned Aaa (sf) Cl. A4, Definitive Rating Assigned Aaa (sf) Cl. A5, Definitive Rating Assigned Aaa (sf) Cl. A6, Definitive Rating Assigned Aaa (sf) Cl. A7, Definitive Rating Assigned Aaa (sf) Cl. A8, Definitive Rating Assigned Aaa (sf) Cl. A9, Definitive Rating Assigned Aa1 (sf) Cl. A10, Definitive Rating Assigned Aa1 (sf) Cl. A11, Definitive Rating Assigned Aaa (sf) Cl. A12, Definitive Rating Assigned Aaa (sf) Cl. A13, Definitive Rating Assigned Aaa (sf) Cl. A14, Definitive Rating Assigned Aaa (sf) Cl. A15, Definitive Rating Assigned Aaa (sf) Cl. A16, Definitive Rating Assigned Aaa (sf) Cl. A17, Definitive Rating Assigned Aaa (sf) Cl. A18, Definitive Rating Assigned Aaa (sf) Cl. A19, Definitive Rating Assigned Aaa (sf) Cl. A20, Definitive Rating Assigned Aaa (sf) Cl. B1, Definitive Rating Assigned Aa3 (sf) Cl. B2, Definitive Rating Assigned A2 (sf) Cl. B3, Definitive Rating Assigned Baa2 (sf) Cl. B4, Definitive Rating Assigned Ba2 (sf) Cl. B5, Definitive Rating Assigned B2 (sf) RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Moody's expected cumulative net loss on the aggregate pool is 0.50% in a base scenario and reaches 5.80% at a stress level consistent with the Aaa (sf) ratings. We calculated losses on the pool using Moody's US Moody's Individual Loan Analysis (MILAN) model based on the loan-level collateral information as of the cut-off date. Loan-level adjustments to the model results included adjustments to probability of default for higher and lower borrower debt-to-income ratios (DTIs), for borrowers with multiple mortgaged properties, self-employed borrowers, and for the default risk of Homeownership association (HOA) properties in super lien states. Moody's final loss estimates also incorporate adjustments for origination quality and the financial strength of Representation & Warranty (R&W) provider. We base Moody's definitive ratings on the certificates on the credit quality of the mortgage loans, the structural features of the transaction, Moody's assessments of the originator, the servicer and the master servicer, the strength of the third party due diligence and the representations and warranties (R&W) framework of the transaction. Collateral Description MELLO 2018-MTG1 is a securitization of a pool of 453 fully-amortizing mortgage loans with a total balance of $299,806,566 as of the cut-off date, with a weighted average (WA) original term to maturity of approximately 360 months, and a WA seasoning of 2.1 months. The borrowers in this transaction have high FICO scores and sizeable equity in their properties. The WA original FICO score is 772 and the WA original combined loan-to-value ratio (CLTV) is 72.4%. The characteristics of the loans underlying the pool are generally comparable to other recent prime RMBS transactions backed by 30-year mortgage loans that Moody's has rated. Third-party Review and Reps & Warranties Two third party review (TPR) firms, Clayton Services LLC and Opus Capital Markets Consultants LLC, verified the accuracy of the loan-level information that the sponsor gave us. These firms conducted detailed credit, collateral, and regulatory reviews on 100% of the mortgage pool. The TPR results indicated compliance with the originators' underwriting guidelines for the vast majority of loans, no material compliance issues, and no material appraisal defects. We increased Moody's loss levels to account for weakness in the overall R&W framework due to the financial weakness of the R&W provider and the lack of a repurchase mechanism for loans experiencing an early payment default. The R&W provider and the guarantor are both loanDepot entities, which may not have the financial wherewithal to purchase defective loans. Moreover, unlike other prime jumbo transactions that Moody's have rated, the R&W framework for this transaction does not include a mechanism whereby loans that experience an early payment default (EPD) are repurchased. However, the results of the independent due diligence review revealed a high level of compliance with underwriting guidelines and regulations, as well as overall strong valuation quality. These results give us a clear indication that the loans most likely do not breach the R&Ws. Also, the transaction benefits from unqualified R&Ws and an independent breach reviewer. Tail Risk & Subordination Floor The transaction cash flows follow a shifting interest structure that allows subordinated bonds to receive principal payments under certain defined scenarios. Because a shifting interest structure allows subordinated bonds to pay down over time as the loan pool shrinks, senior bonds are exposed to increased performance volatility, known as tail risk. The transaction provides for a credit enhancement floor of 1.85% of the closing pool balance, which mitigates tail risk by protecting the senior bonds from eroding credit enhancement over time. Exposure to Extraordinary Expenses Certain extraordinary trust expenses (such as fees paid to the reviewer, servicing transfer costs) in the MELLO 2018-MTG1 transaction are deducted directly from the available distribution amount. The remaining trust expenses (which have an annual cap of $350,000 per year) are deducted from the available distribution amount. Moody's believe there is a very low likelihood that the rated certificates in MELLO 2018-MTG1 will incur any losses from extraordinary expenses or indemnification payments from potential future lawsuits against key deal parties. First, the loans are prime quality, 100 percent qualified mortgages and were originated under a regulatory environment that requires tighter controls for originations than pre-crisis, which reduces the likelihood that the loans have defects that could form the basis of a lawsuit. Second, the transaction has reasonably well defined processes in place to identify loans with defects on an ongoing basis. Furthermore, the issuer has disclosed the results of a credit, valuation and compliance review covering all of the mortgage loans by an independent third party. Finally, Moody's sized Moody's credit enhancement assuming some losses on the collateral owing to extraordinary expenses. Factors that would lead to an upgrade or downgrade of the ratings: Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. MILL CITY 2018-1: DBRS Assigns Prov. 'B' Rating on Class B2 Notes ----------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the Mortgage Backed Securities, Series 2018-1 (the Notes) issued by Mill City Mortgage Loan Trust 2018-1 (the Trust) as follows: -- $243.5 million Class A1 at AAA (sf) -- $273.1 million Class A2 at AA (sf) -- $296.2 million Class A3 at A (sf) -- $317.2 million Class A4 at BBB (low) (sf) -- $29.6 million Class M1 at AA (sf) -- $23.1 million Class M2 at A (sf) -- $21.0 million Class M3 at BBB (low) (sf) -- $17.7 million Class B1 at BB (low) (sf) -- $13.2 million Class B2 at B (sf) Classes A2, A3 and A4 are exchangeable notes. These classes can be exchanged for combinations of exchange notes as specified in the offering documents. The AAA (sf) rating on the Notes reflects 36.20% of credit enhancement provided by subordinated Notes in the pool. The AA (sf), A (sf), BBB (low) (sf), BB (low) (sf) and B (sf) ratings reflect 28.45%, 22.40%, 16.90%, 12.25% and 8.80% of credit enhancement, respectively. Other than the specified classes above, DBRS does not rate any other classes in this transaction. This transaction is a securitization of a portfolio of primarily first-lien, seasoned, performing and re-performing residential mortgages and home equity lines of credit (HELOC) mortgage loans. The Notes are backed by 2,242 loans with a total principal balance of approximately $381,651,881 as of the Cut-Off Date (March 31, 2018). The loans are approximately 125 months seasoned. As of the Cut-off Date, 98.7% of the pool is current, and 1.3% is 30 days delinquent under the Mortgage Banker Associations (MBA) delinquency method. Thirty-nine loans (2.0% of the pool) are in bankruptcy (all bankruptcy loans are performing or 30 days delinquent). Approximately 50.9% of the pool has been zero times 30 days delinquent (0 x 30) for the past 24 months, 70.8% has been 0 x 30 for the past 12 months and 90.4% has been 0 x 30 for the past six months. The portfolio contains 68.5% modified loans. The modifications happened more than two years ago for 88.3% of the modified loans. Within the pool, 694 loans have non-interest-bearing deferred amounts, which equates to 7.5% of the total principal balance. Included in the deferred amounts are HAMP principal reduction alternative amounts, which comprise less than 0.1% of the total principal balance. In accordance with the Consumer Financial Protection Bureau (CFPB) Qualified Mortgage (QM) rules, 8.6% of the loans are designated as QM Safe Harbor, 0.4% as QM Rebuttable Presumption and 1.2% as non-QM. Approximately 89.8% of the loans are not subject to the QM rules. Approximately 2.9% of the pool comprises first-lien HELOCs. These loans have a fixed credit limit for a 120-month draw period and then amortize for the remaining 240 months subject to a decreasing credit limit. HELOC borrowers may make draws on the mortgage up to the credit limit until maturity, which will increase the current principal balance of such loans. In addition, HELOC borrowers may also experience payment shocks when the amortization period begins. As of the Closing Date, Mill City Depositor, LLC (the Depositor) will fund a HELOC Draw Reserve Account to purchase future draws from the related services. Through a series of transactions, Mill City Holdings, LLC (Mill City) will acquire the mortgage loans on the Closing Date. Prior to the Closing Date, the loans were held in one or more trusts that acquired the mortgage loans between November 2009 and January 2018. Such trusts are entities in which the Representation Provider or an affiliate thereof holds an indirect interest. Upon acquiring the loans, Mill City, through a wholly owned subsidiary (the Depositor), will contribute loans to the Trust. As the Sponsor, Mill City, through a majority-owned affiliate, will acquire and retain a 5.0% eligible vertical interest in each class of securities to be issued (other than any residual certificates) to satisfy the credit risk retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. These loans were originated and previously serviced by various entities through purchases in the secondary market. As of the Cut-Off Date, the loans are serviced by Shellpoint Mortgage Servicing (72.7%), Fay Servicing, LLC (17.7%) and Select Portfolio Servicing, Inc. (9.6%). There will not be any advancing of delinquent principal or interest on any mortgages by the servicers or any other party to the transaction; however, the servicers are obligated to make advances in respect of taxes and insurance, reasonable costs and expenses incurred in the course of servicing and disposing of properties. The transaction employs a sequential-pay cash flow structure. Principal proceeds can be used to cover interest shortfalls on the Notes, but such shortfalls on Class M2 and more subordinate bonds will not be paid until the more senior classes are retired. The lack of principal and interest advances on delinquent mortgages may increase the possibility of periodic interest shortfalls to the Note holders; however, principal proceeds can be used to pay interest to the Notes sequentially, and subordination levels are greater than expected losses, which may provide for timely payment of interest to the rated Notes. The ratings reflect transactional strength in that the underlying assets have generally performed well through the crisis. Additionally, a satisfactory third-party due diligence review was performed on the portfolio with respect to regulatory compliance, payment history, data capture as well as title and lien review. Updated broker price opinions or exterior appraisals were provided for 100.0% of the pool; however, a reconciliation was not performed on the updated values. The transaction employs a relatively weak representations and warranties framework that includes a 13-month sunset, an unrated provider (CVI CVF III Lux Master S.a.r.l.), certain knowledge qualifiers and fewer mortgage loan representations relative to DBRS criteria for seasoned pools. Mitigating factors include (1) significant loan seasoning and relative clean performance history in recent years, (2) a comprehensive due diligence review and (3) a representations and warranties enforcement mechanism, including a delinquency review trigger and a breach reserve account. The DBRS ratings of AAA (sf) and AA (sf) address the timely payment of interest and full payment of principal by the legal final maturity date in accordance with the terms and conditions of the related Notes. The DBRS ratings of A (sf), BBB (low) (sf), BB (low) (sf) and B (sf) address the ultimate payment of interest and full payment of principal by the legal final maturity date in accordance with the terms and conditions of the related Notes. MILL CITY 2018-1: Fitch to Rate Class B2 Notes 'Bsf' ---------------------------------------------------- Fitch Ratings expects to rate Mill City Mortgage Loan Trust 2018-1 (MCMLT 2018-1): -- $243,493,000 class A1 notes 'AAAsf'; Outlook Stable; -- $29,578,000 class M1 notes 'AAsf'; Outlook Stable; -- $23,090,000 class M2 notes 'Asf'; Outlook Stable; -- $20,991,000 class M3 notes 'BBBsf'; Outlook Stable; -- $17,747,000 class B1 notes 'BBsf'; Outlook Stable; -- $13,167,000 class B2 notes 'Bsf'; Outlook Stable; -- $273,071,000 class A2 subsequent exchangeable notes 'AAsf'; Outlook Stable; -- $296,161,000 class A3 subsequent exchangeable notes 'Asf'; Outlook Stable; -- $317,152,000 class A4 subsequent exchangeable notes 'BBBsf'; Outlook Stable. The following classes will not be rated by Fitch: -- $11,450,000 class B3 notes; -- $11,067,000 class B4 notes; -- $11,068,881 class B5 notes. The notes are supported by one collateral group that consists of 2,242 seasoned performing and re-performing mortgages with a total balance of approximately $381.65 million (which includes $28.5 million, or 7.5%, of the aggregate pool balance in non-interest-bearing deferred principal amounts) as of the statistical calculation date. The 'AAAsf' rating on the class A1 notes reflects the 36.20% subordination provided by the 7.75% class M1, 6.05% class M2, 5.50% class M3, 4.65% class B1, 3.45% class B2, 3.00% class B3, 2.90% class B4 and 2.90% class B5 notes. Fitch's ratings on the class notes reflect the credit attributes of the underlying collateral, the quality of the servicers: Select Portfolio Servicing, Inc. (SPS) rated 'RPS1-', Shellpoint Mortgage Servicing (Shellpoint) and Fay Servicing, LLC (Fay), both rated 'RSS3+'; the representation (rep) and warranty framework; minimal due diligence findings and the sequential pay structure. KEY RATING DRIVERS Distressed Performance History (Concern): The collateral pool consists primarily of peak-vintage seasoned re-performing loans (RPLs), including loans that have been paying for the past 24 months, which Fitch identifies as 'clean current' (50.9%), and loans that are current but have recent delinquencies or incomplete paystrings, identified as 'dirty current' (47.8%). Additionally, 1.3% of the loans are 30 days delinquent; 68.5% of the loans have received modifications. Due Diligence Findings (Concern): The third-party review (TPR) firm's due diligence review resulted in approximately 415 loans (19%) graded 'C' and 'D', 197 of which were subject to a loss severity (LS) adjustment for issues regarding high-cost testing, and 265 loans that were not reviewed by any TPR firm, the majority of which were second liens. Eighteen second lien loans that did not have diligence performed and are located on Freddie Mac's 'do not purchase' list due to high cost received a 200% LS adjustment. Fitch extended timelines on 99 loans that were missing final modification documents. Sequential-Pay Structure (Positive): The transaction's cash flow is based on a sequential-pay structure whereby the subordinate classes do not receive principal until the senior classes are repaid in full. Losses are allocated in reverse-sequential order. Furthermore, the provision to re-allocate principal to pay interest on the 'AAAsf' and 'AAsf' rated notes prior to other principal distributions is highly supportive of timely interest payments to those classes, in the absence of servicer advancing. Deferred Amounts (Concern): Non-interest-bearing principal forbearance amounts totaling $28.5 million (7.5% of the unpaid principal balance) are outstanding on 694 loans. Fitch included the deferred amounts when calculating the borrower's LTV and sLTV, despite the lower payment and amounts not being owed during the term of the loan. The inclusion resulted in higher PDs and LS than if there were no deferrals. Fitch believes that borrower default behavior for these loans will resemble that of the higher LTVs, as exit strategies (that is, sale or refinancing) will be limited relative to those borrowers with more equity in the property. Potential Interest Deferrals (Mixed): To address the lack of an external P&I advance mechanism, principal otherwise distributable to the notes may be used to pay monthly interest. While this helps provide stability in the cash flows to the high investment-grade-rated bonds, the lower-rated bonds may experience long periods of interest deferral that will generally not be repaid until such note becomes the most senior outstanding. Under Fitch's 'Global Structured Finance Rating Criteria' dated May 2017, the agency may assign ratings of up to 'Asf' on notes that incur deferrals if such deferrals are permitted under terms of the transaction documents, provided such amounts are fully recovered well in advance of the legal final maturity under the relevant rating stress. Representation Framework (Mixed): Fitch generally considers the representation, warranty and enforcement (RW&E) mechanism construct for this transaction to be generally consistent with a Tier 2 framework due to the inclusion of knowledge qualifiers and the exclusion of loans from certain reps as a result of third-party due diligence findings. For 42 loans that are seasoned less than 24 months, Fitch viewed the framework as a Tier 3 because the reps related to the origination and underwriting of the loan, which are typically expected for newly originated loans, were not included. Thus, Fitch increased its 'AAAsf' loss expectations by approximately 239bps to account for a potential increase in defaults and losses arising from weaknesses in the reps. Limited Life of Rep Provider (Concern): CVI CVF III Lux Master S.a.r.l., as rep provider, will only be obligated to repurchase a loan due to breaches prior to the payment date in May 2019. Thereafter, a reserve fund will be available to cover amounts due to noteholders for loans identified as having rep breaches. Amounts on deposit in the reserve fund, as well as the increased level of subordination, will be available to cover additional defaults and losses resulting from rep weaknesses or breaches occurring on or after the payment date in May 2019. Fitch applied a breach reserve account credit, which lowered Fitch's loss expectations by approximately 25bps. No Servicer P&I Advances (Mixed): The servicers will not be advancing delinquent monthly payments of P&I, which reduces liquidity to the trust. However, as P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust, the loan-level LS is less for this transaction than for those where the servicer is obligated to advance P&I. Structural provisions and cash flow priorities, together with increased subordination, provide for timely payments of interest to the 'AAAsf' and 'AAsf' rated classes. Timing of Recordation and Document Remediation (Neutral): A review to confirm that the mortgage and subsequent assignments were recorded in the relevant local jurisdiction was performed. The review confirmed that all mortgages and subsequent assignments were recorded in the relevant local jurisdiction or were being recorded. While the expected timelines for recordation and remediation are viewed by Fitch as reasonable, the obligation of CVI CVF III Lux Master S.a.r.l. to repurchase loans, for which assignments are not recorded and endorsements are not completed by the payment date in May 2019, aligns the issuer's interests regarding completing the recordation process with those of noteholders. While there will not be an asset manager in this transaction, the indenture trustee will be reviewing the custodian reports. The indenture trustee will request CVI CVF III Lux Master S.a.r.l. to purchase any loans with outstanding assignment and endorsement issues two days prior to the May 2019 payment date. Solid Alignment of Interest (Positive): The sponsor, Mill City Holdings, LLC, will acquire and retain a 5% interest in each class of the securities to be issued. In addition, the rep provider is an indirect owner of the sponsor. CRITERIA APPLICATION Fitch analyzed the transaction in accordance with its criteria, as described in its June 2017 report 'U.S. RMBS Rating Criteria.' This incorporates a review of the originators' lending platforms, as well as an assessment of the transaction's R&Ws provided by the originators and arranger, which were found to be consistent with the ratings assigned to the certificates. Fitch's analysis incorporated one criteria variation from 'U.S. RMBS Rating Criteria,' which is described below. The variation relates to 42 loans (approximately 3% by balance) in the pool are seasoned less than 24 months and considered newly originated. On average, these loans are approximately 21 months seasoned. The due diligence scope for these loans was not consistent with Fitch's scope for newly originated loans. Fitch is comfortable with the due diligence that was completed on these loans as the loans made up a small percentage of the pool. In addition, conservative assumptions were made on the collateral analysis for these loans. RATING SENSITIVITIES Fitch's analysis incorporates sensitivity analyses to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at both the metropolitan statistical area (MSA) and national levels. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or be considered in the surveillance of the transaction. Fitch conducted sensitivity analysis determining how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model-projected 38.8% at 'AAAsf'. The analysis indicates there is some potential rating migration with higher MVDs, compared with the model projection. Fitch also conducted sensitivities to determine the stresses to MVDs that would reduce a rating by one full category, to non-investment-grade, and to 'CCCsf'. MORGAN STANLEY 2013-C10: Moody's Affirms Ba2 Rating on Cl. E Notes ------------------------------------------------------------------ Moody's Investors Service has affirmed the ratings on fifteen classes in Morgan Stanley Bank of America Merrill Lynch Trust 2013-C10: Cl. A-2, Affirmed Aaa (sf); previously on Apr 12, 2017 Affirmed Aaa (sf) Cl. A-SB, Affirmed Aaa (sf); previously on Apr 12, 2017 Affirmed Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on Apr 12, 2017 Affirmed Aaa (sf) Cl. A-3FL, Affirmed Aaa (sf); previously on Apr 12, 2017 Affirmed Aaa (sf) Cl. A-3FX, Affirmed Aaa (sf); previously on Apr 12, 2017 Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Apr 12, 2017 Affirmed Aaa (sf) Cl. A-5, Affirmed Aaa (sf); previously on Apr 12, 2017 Affirmed Aaa (sf) Cl. A-S, Affirmed Aaa (sf); previously on Apr 12, 2017 Affirmed Aaa (sf) Cl. B, Affirmed Aa3 (sf); previously on Apr 12, 2017 Affirmed Aa3 (sf) Cl. C, Affirmed A3 (sf); previously on Apr 12, 2017 Affirmed A3 (sf) Cl. D, Affirmed Baa3 (sf); previously on Apr 12, 2017 Affirmed Baa3 (sf) Cl. E, Affirmed Ba2 (sf); previously on Apr 12, 2017 Affirmed Ba2 (sf) Cl. F, Affirmed Ba3 (sf); previously on Apr 12, 2017 Affirmed Ba3 (sf) Cl. X-A, Affirmed Aaa (sf); previously on Apr 12, 2017 Affirmed Aaa (sf) Cl. PST, Affirmed A1 (sf); previously on Apr 12, 2017 Affirmed A1 (sf) RATINGS RATIONALE The ratings on the P&I classes were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The rating on the IO class was affirmed based on the credit quality of the referenced classes. The rating on class PST was affirmed due to the weighted average rating factor (WARF) of the exchangeable classes. Moody's rating action reflects a base expected loss of 1.6% of the current pooled balance, compared to 1.7% at Moody's last review. Moody's base expected loss plus realized losses is now 1.5% of the original pooled balance, compared to 1.6% 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 Morgan Stanley Bank of America Merrill Lynch Trust 2013-C10, Cl. A-2, Cl. A-SB, Cl. A-3, Cl. A-3FL, Cl. A-3FX, Cl. A-4, Cl. A-5, Cl. A-S, Cl. B, Cl. C, Cl. D, Cl. E and Cl. F was "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in July 2017. The principal methodology used in rating Morgan Stanley Bank of America Merrill Lynch Trust 2013-C10, Cl. PST was "Moody's Approach to Rating Repackaged Securities" published in June 2015. The methodologies used in rating Morgan Stanley Bank of America Merrill Lynch Trust 2013-C10, Cl. X-A 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 March 16, 2018 distribution date, the transaction's aggregate certificate balance has decreased by 8% to $1.37 billion from $1.5 billion at securitization. The certificates are collateralized by 71 mortgage loans ranging in size from less than 1% to 10% of the pool, with the top ten loans (excluding defeasance) constituting 55% of the pool. Two loans, constituting 9% of the pool, have investment-grade structured credit assessments. Three loans, constituting 4% 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 23, compared to 24 at Moody's last review. Five loans, constituting 5% 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. Moody's received full year 2016 operating results for 98% of the pool, and full or partial year 2017 operating results for 88% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 98%, compared to 97% 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 17% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.7%. Moody's actual and stressed conduit DSCRs are 1.77X and 1.13X, respectively, compared to 1.80X and 1.14X 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 largest loan with a structured credit assessment is the Milford Plaza Fee Loan ($110.0 million -- 8.0% of the pool), which represents a pari-passu interest in a $275.0 million first mortgage. The loan is secured by the ground lease on the land beneath the Row NYC Hotel, formerly the Milford Plaza Hotel -- a 28-story, 1,331 key full-service hotel located in Midtown Manhattan. The triple net (NNN) ground lease commenced in 2013, expires in 2112 and includes annual CPI rent increases. The tenant has purchase options at the end of years 10, 20 and 30. Moody's structured credit assessment and stressed DSCR are baa1 (sca.pd) and 0.65X, respectively. The second loan with a structured credit assessment is the Hampshire House Co-op Loan ($9 million -- less than 1% of the pool), which is secured by a 196-unit residential cooperative building overlooking the south end of Central Park in Manhattan. Building amenities include a doorman, health club, spa, laundry, live-in super and a parking garage. Property occupancy was 95% as of September 2015. The loan is interest-only during the entire term and the loan exposure is $45,918 per unit. Moody's structured credit assessment and stressed DSCR are aaa (sca.pd) and 8.50X, respectively. The top three conduit loans represent 24% of the pool balance. The largest loan is the Westfield Citrus Park Loan ($134.4 million -- 9.8% of the pool), which is secured by the borrower's 506,914 square foot (SF) interest in a 1.1 million SF regional mall located in northwest Tampa, Florida. The mall anchors are Dillard's, Macy's, Sears and J.C. Penney. The anchor space is not part of the loan collateral. As of December 2016, the total mall was 97% leased while the collateral was 94% leased. This loan has amortized 8.5% since securitization. Moody's LTV and stressed DSCR are 99% and 1.06X, respectively, compared to 96% and 1.04X at the last review. The second largest loan is the 500 North Capital Loan ($105.0 million -- 7.7% of the pool), which is secured by a 233,000 SF, Class A office building located in downtown Washington, DC. As of December 2016, the property was 100% leased, compared to 93% in December 2015 and 85% at securitization. The largest tenant at the property, McDermott Will & Emery LLP, has a lease expiration in September 2027 and comprises over 80% of the net rentable area (NRA). Due to the single tenant concentration, Moody's used a lit/dark analysis. This loan is interest-only throughout the loan term. Moody's LTV and stressed DSCR are 117% and 0.9X, respectively, unchanged from the prior review. The third largest loan is the Southdale Center Loan ($94.7 million -- 6.9% of the pool), which represents a pari-passu interest in a $146.8 million first mortgage. The loan is secured by a super-regional mall located in Edina, Minnesota. The mall is anchored by Macy's, J.C. Penney, Herberger's, Marshall's and a movie theater. Macy's and J.C. Penney are not a part of the collateral. As of December 2016, the total mall was 93% leased while inline space was 84% leased, compared to total mall occupancy of 78% in December 2014 and 84% at securitization. Performance improved in 2016 due to revenue outpacing expense growth. This loan has amortized 5.3% since securitization. Moody's LTV and stressed DSCR are 109% and 0.95X, respectively, compared to 105% and 0.93X at the last review. MORGAN STANLEY 2017-C33: Fitch Affirms B-sf Rating on Cl. F Certs ----------------------------------------------------------------- Fitch Ratings has affirmed 15 classes of Morgan Stanley Bank of America Merrill Lynch Trust Series 2017-C33 commercial mortgage pass-through certificates. KEY RATING DRIVERS Stable Performance: The pool continues to perform as expected. There are no delinquent or specially serviced loans. The transaction has received minimal paydown and there are no other material changes to the pool. The servicer reported loan-level cash flow reflects stable performance and is in line with expectations at issuance. There are three loans (3.4%) on the servicer's watchlist for lease rollover concern and occupancy decline. There are two loans that have been designated as Fitch Loans of Concern. The Ralph's Food Warehouse Portfolio loan (2.4%), which has a pari passu note securitized in the BANK 2017-BNK4 transaction, is collateralized by properties located throughout Puerto Rico that sustained damage from Hurricane Maria. As of January, nine stores had power and two stores were still relying on generators. The other Fitch Loan of Concern is the Tops Portfolio loan (1.2%), which is secured by three grocery anchored retail properties near Buffalo, NY. In February, Tops Markets, the anchor tenant accounting for approximately 67% of the portfolio GLA, filed for Chapter 11 bankruptcy. All stores remain open with no decisions made as to which locations may close. Above-Average Amortization: Based on the scheduled balance at maturity, the pool will pay down by 11.4%, which is above the 2016 average of 10.4% and the YTD 2017 average of 7.8%. Six loans (26.6%) are full-term interest only, and 18 loans (45.4%) are partial interest only. Fitch-rated transactions in 2016 had an average full term, interest-only percentage of 33.3% and a partial interest-only percentage of 33.3%. Fitch-rated transactions in 2017 had an average full term, interest-only percentage of 45.9% and a partial interest-only percentage of 29.2%. Pool Concentration: The largest 10 loans currently account for 54.8% of the pool, which is similar to other transactions of its vintage. RATING SENSITIVITIES The Rating Outlooks on all classes remain Stable. Fitch does not foresee positive or negative ratings migration until a material economic or asset-level event changes the transaction's overall portfolio-level metrics. Fitch has affirmed the following ratings: -- $25,630,587 class A-1 at 'AAAsf'; Outlook Stable; -- $75,200,000 class A-2 at 'AAAsf'; Outlook Stable; -- $52,500,000 class A-SB at 'AAAsf'; Outlook Stable; -- $37,500,000 class A-3 at 'AAAsf'; Outlook Stable; -- $130,000,000 class A-4 at 'AAAsf'; Outlook Stable; -- $156,052,000 class A-5 at 'AAAsf'; Outlook Stable; -- $476,882,587 b class X-A at 'AAAsf'; Outlook Stable; -- $125,079,000b class X-B at 'A-sf'; Outlook Stable; -- $58,256,000 class A-S at 'AAAsf'; Outlook Stable; -- $38,551,000 class B at 'AA-sf'; Outlook Stable; -- $28,272,000 class C at 'A-sf'; Outlook Stable; -- $32,554,000ab class X-D at 'BBB-sf'; Outlook Stable; -- $32,554,000a class D at 'BBB-sf'; Outlook Stable; -- $14,564,000a class E at 'BB-sf'; Outlook Stable; -- $6,854,000a class F at 'B-sf'; Outlook Stable. Fitch does not rate the $26,557,919a class G, or the $17,140,996a VRR Interest. a - Privately placed pursuant to Rule 144A. b - Notional amount and interest only. MSBAM 2016-C29: Fitch Affirms B- Rating on Class F Certs -------------------------------------------------------- Fitch Ratings has affirmed 16 classes of Morgan Stanley Bank of America Merrill Lynch Trust (MSBAM) Mortgage Trust 2016-C29 Commercial Mortgage pass-through certificates. KEY RATING DRIVERS Stable Performance: Overall pool performance remains stable and generally in line with expectations at issuance, with minimal paydown or changes to credit enhancement. As of the March 2018 distribution date, the pool's aggregate principal balance paid down by 1.2% to $799.9 million from $809.5 million at issuance. There have been no specially serviced loans since issuance. Fitch Loans of Concern: Fitch has designated three loans (6.7% of pool) as Fitch Loans of Concern (FLOCs), including two of the top 15 loans (5.7%). The largest FLOC, Reger Industrial Portfolio (3.8%), is secured by a portfolio of seven cross-collateralized and cross-defaulted industrial properties located in South Carolina. As of the October 2017 rent roll, the overall portfolio was 99.2% occupied; however, there is significant upcoming lease rollover across the portfolio, including 63.9% of the net rentable area (NRA) in 2018, 19.8% in 2019 and 15.5% in 2020. A large portion of the 2018 rollover is associated with Westinghouse Electric Company (WEC), the sole tenant at the West Columbia, SC property (19.5% of portfolio NRA; 26.1% of total portfolio base rents; 27.9% of allocated loan amount), which has a lease expiring in August 2018. In March 2017, WEC filed for Chapter 11 bankruptcy protection due to cost overruns on construction of two U.S. nuclear power plants. Fitch's inquiry to the servicer for updates on the expiring leases remains outstanding. The second largest FLOC, Barringer Technology Center (1.9%), is secured by a three-building industrial and mixed-use property located in Baton Rouge, LA. At issuance, ITT Educational Services (ITT) was the largest tenant, leasing 15.4% of the NRA through April 2020. However, ITT ceased operations in September 2016 and subsequently vacated the property in October 2016. At issuance, Fitch had noted ITT was in financial distress. According to the servicer, a new 10-year lease was signed with KIMC Investments for 18.9% of the NRA to backfill the former ITT space plus an additional 5,400 sf. The property was 65.6% occupied as of the December 2017 rent roll, down from 72.8% at the time of issuance; however, occupancy is expected to increase to 86.4% upon commencement of the KIMC Investments lease in May 2018, and taking into account a newly lease signed with Wave Electronics (1.9% of NRA) that commenced in March 2018. Despite the positive leasing momentum, the property has significant upcoming lease rollover, with 15.4% of the NRA scheduled to expire in 2018, 6.4% in 2019 and 30.9% in 2020. The third FLOC, Brazie Industrial Portfolio (1%), which is secured by a portfolio of two industrial properties located in Gresham and Portland, OR, was flagged for upcoming lease rollover concerns. According to March 2018 watchlist commentary, the second largest tenant at one of the properties (17% of total portfolio NRA) has a scheduled lease expiration in August 2018. The servicer has requested a leasing update from the borrower, which remains outstanding. Pool and Loan Concentrations: The top 10 loans comprise 41.2% of the pool, which is below the 2016 average of 54.8%. It was also noted at issuance that the Loan Concentration Index (LCI) was lower than average for this transaction. Loans secured by retail properties represent 37% of the pool by balance, including one regional mall (5.8%) and two outlet properties (9.1%) in the top 15. The largest loan, Grove City Premium Outlets (7%) is secured by an outlet property located in Grove City, PA sponsored by Simon Property Group, L.P. The third largest loan, Penn Square Mall (5.8%), is secured by the leasehold interest in a regional mall anchored by Dillard's, Macy's and JC Penney located in Oklahoma City, OK. The 12th largest loan, Gulfport Premium Outlets (2.1%) is secured by the leasehold interest in an outlet property located in Gulfport, MS also sponsored by Simon Property Group, L.P. Leasehold Interests: Approximately 11.2% of the pool consists of leasehold-only ownership interests, which is greater than the 2016 average of 4.2%. The leasehold-only collateral in this transaction includes three of the top 15 loans, Penn Square Mall (5.8%), Le Meridien Cambridge MIT (2.6%) and Gulfport Premium Outlets (2.1%). Each of these ground leases is on a long-term lease extending at least 30 years beyond their respective loan terms. Loans with Additional Debt: The concentration of loans with subordinate debt in this pool (four loans, 11.8% of the pool) is above the 2016 average of 9.3%. RATING SENSITIVITIES The Rating Outlooks on all classes remain Stable. Fitch does not foresee positive or negative ratings migration until a material economic or asset-level event changes the transaction's overall portfolio-level metrics. Fitch has affirmed the following ratings: -- $20.3 million class A-1 at 'AAAsf'; Outlook Stable; -- $39.5 million class A-2 at 'AAAsf'; Outlook Stable; -- $58.5 million class A-SB at 'AAAsf'; Outlook Stable; -- $190 million class A-3 at 'AAAsf'; Outlook Stable; -- $248.8 million class A-4 at 'AAAsf'; Outlook Stable; -- $557.1 million class X-A* at 'AAAsf'; Outlook Stable; -- $97.1 million class X-B* at 'AA-sf'; Outlook Stable; -- $54.6 million class A-S at 'AAAsf'; Outlook Stable; -- $42.5 million class B at 'AA-sf'; Outlook Stable; -- $35.4 million class C at 'A-sf'; Outlook Stable; -- $42.5 million class X-D* at 'BBB-sf'; Outlook Stable; -- $22.3 million class X-E* at 'BB-sf'; Outlook Stable; -- $8.1 million class X-F* at 'B-sf'; Outlook Stable; -- $42.5 million class D at 'BBB-sf'; Outlook Stable; -- $22.3 million class E at 'BB-sf'; Outlook Stable; -- $8.1 million class F at 'B-sf'; Outlook Stable. *Notional amount and interest-only. Fitch does not rate the class X-G, X-H, G, or H certificates. OFSI FUND V: S&P Raises Class B-3L Notes Rating to B+(sf) --------------------------------------------------------- S&P Global Ratings raised its ratings on the class A-2L-R, A-2F-R, A-3L-R, A-3F-R, B-1L-R, B-2L, and B-3L notes from OFSI Fund V Ltd. S&P said, "We also removed these ratings from CreditWatch, where we placed them with positive implications on Jan. 19, 2018. At the same time, we affirmed our 'AAA (sf)' ratings on the class A-1LA and A-1LB-R notes from the same transaction." The rating actions follow S&P's review of the transaction's performance using data from the March 9, 2018, trustee report. The upgrades reflect the transaction's roughly $164 million in collective paydowns to the class A-1LA and A-1LB-R notes since our Feb. 14, 2017, rating actions. These paydowns resulted in improved reported overcollateralization (O/C) ratios since the Jan. 6, 2017, trustee report, which we used for our previous rating actions: -- The senior class A O/C ratio improved to 169.52% from 130.19%. -- The class A O/C ratio improved to 139.39% from 119.29%. -- The class B-1L-R O/C ratio improved to 123.37% from 112.41%. -- The class B-2L O/C ratio improved to 111.86% from 106.89%. -- The class B-3L O/C ratio improved to 108.01% from 104.93%. The upgrades reflect the improved credit support at the prior rating levels; the affirmations reflect S&P's view that the credit support available is commensurate with the current rating levels. S&P said, "However, the collateral portfolio's credit quality has slightly deteriorated since our last rating actions. Collateral obligations with ratings in the 'CCC' category have increased relative to the balance of the outstanding portfolio, with $15.28 million reported as of the March 2018 trustee report compared with $15.19 million reported as of the January 2017 trustee report. Over the same period, the par amount of defaulted collateral has increased to $1.82 million from zero. Though there were slight increases in the 'CCC' category and defaulted collateral, the transaction has benefited from a drop in weighted average life due to the underlying collateral's seasoning, with 2.73 years reported as of the March 2018 trustee report, compared with 3.59 years reported at the time of our February 2017 rating actions." On a standalone basis, the results of the cash flow analysis indicated higher ratings on the class A-3L-R, A-3F-R, B-1L-R, B-2L, and B-3L notes. However, as the portfolio amortizes, the transaction now has elevated exposure to 'CCC' rated collateral obligations. Therefore, S&P limited the upgrade on these classes to offset future potential credit migration in the underlying collateral. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the aforementioned 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 and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions. "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 will take rating actions as we deem necessary." RATINGS RAISED AND REMOVED FROM CREDITWATCH POSITIVE OFSI Fund V Ltd. Rating Class To From A-2L-R AAA (sf) AA (sf)/Watch Pos A-2F-R AAA (sf) AA (sf)/Watch Pos A-3L-R AA+ (sf) A (sf)/Watch Pos A-3F-R AA+ (sf) A (sf)/Watch Pos B-1L-R A+ (sf) BBB (sf)/Watch Pos B-2L BB+ (sf) BB- (sf)/Watch Pos B-3L B+ (sf) B (sf)/Watch Pos RATINGS AFFIRMED OFSI Fund V Ltd. Class Rating A-1LA AAA (sf) A-1LB-R AAA (sf) ROMARK WM-R: S&P Assigns B-(sf) Rating on $7.5MM Class F Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to Romark WM-R Ltd./Romark WM-R LLC's $432.70 million floating-rate notes managed by Romark CLO Advisors LLC. This is a refinancing of the Washington Mill CLO Ltd. transaction that closed in May 2014, which S&P did not rate. The note issuance is a collateralized loan obligation transaction backed primarily by broadly syndicated speculative-grade senior secured term loans governed by collateral quality tests. The ratings reflect: -- The diversified collateral pool; -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization; -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading; and -- The transaction's legal structure, which is expected to be bankruptcy remote. RATINGS ASSIGNED Romark WM-R Ltd./Romark WM-R LLC Class Rating Amount (mil. $) X AAA (sf) 5.00 A-1 AAA (sf) 281.00 A-2 NR 30.50 B-1 AA (sf) 38.00 B-2 AA (sf) 23.00 C A (sf) 29.20 D BBB- (sf) 29.50 E BB- (sf) 19.50 F B- (sf) 7.50 Subordinated notes NR 52.445 NR--Not rated. ROMARK WM-R: S&P Assigns Prelim B-(sf) Rating on Class F Notes -------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Romark WM-R Ltd./Romark WM-R LLC's $432.70 million fixed and floating-rate notes managed by Romark CLO Advisors LLC. The note issuance is a collateralized loan obligation (CLO) transaction backed primarily by broadly syndicated speculative-grade senior secured term loans governed by collateral quality tests. This is a proposed refinancing of the Washington Mill CLO transaction that closed in May 2014, which S&P did not rate. The preliminary ratings are based on information as of April 11, 2018. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The diversified collateral pool; -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization; -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading; and -- The transaction's legal structure, which is expected to be bankruptcy remote. The assets are primarily being acquired from Washington Mill CLO (the original issuer), a CLO managed by the collateral manager, via merger following the optional redemption in whole of all the original issuer's secured notes. PRELIMINARY RATINGS ASSIGNED Romark WM-R Ltd./Romark WM-R LLC Class Rating Amount (mil. $) X AAA (sf) 5.000 A-1 AAA (sf) 281.000 A-2 NR 30.500 B-1 AA (sf) 38.000 B-2 AA (sf) 23.000 C A (sf) 29.200 D BBB- (sf) 29.500 E BB- (sf) 19.500 F B- (sf) 7.500 Subordinates notes NR 52.445 NR--Not rated. SG RESIDENTIAL 2018-1: S&P Gives Prelim. B(sf) Rating on B-2 Certs ------------------------------------------------------------------ SG Residential Mortgage Trust 2018-1's issuance is a RMBS securitization backed by first-lien, fixed- and adjustable-rate, mostly fully amortizing residential mortgage loans secured by single-family residential properties, planned-unit developments, condominiums, and two- to four-family residential properties to both prime and nonprime borrowers. The pool has 254 loans, which are primarily non-qualified mortgage loans. S&P Global Ratings assigned its preliminary ratings to SG Residential Mortgage Trust 2018-1's $139.007 million mortgage pass-through certificates. The certificate issuance is a residential mortgage-backed securities transaction backed by first-lien, fixed- and adjustable-rate, mostly fully amortizing residential mortgage loans secured by single-family residential properties, planned-unit developments, condominiums, and two- to four-family residential properties to both prime and nonprime borrowers. The pool has 254 loans, which are primarily non-qualified mortgage loans. The preliminary ratings are based on information as of April 13, 2018. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition; -- The credit enhancement provided for this transaction; -- The transaction's associated structural mechanics; -- The representation and warranty ramework for this transaction; and -- The mortgage aggregator, SG Capital Partners LLC. PRELIMINARY RATINGS ASSIGNED SG Residential Mortgage Trust 2018-1 Class Rating(i) Amount ($) A-1 AAA (sf) 76,720,000 A-2 AA (sf) 11,350,00 A-3 A (sf) 33,631,000 M-1 BBB (sf) 7,987,000 B-1 BB (sf) 5,746,000 B-2 B (sf) 3,573,000 B-3 NR 1,121,475 B-3-C NR 1,121,475 A-IO-S NR Notional(i) C NR 1,000 XS NR Notional(iii) XS-1 NR Notional(iii) XS-2 NR Notional(iii) XS-2-C NR Notional(iii) R NR N/A LT-R NR N/A (i)The rating on each class of securities is preliminary and subject to change at any time. The collateral and structural information in this report reflect the term sheet dated April 10, 2018. The preliminary ratings assigned to the classes address the ultimate payment of interest and principal. (ii)Notional amount will equal to the aggregate scheduled principal balance of the mortgage loans as of the first day of the related due period. (iii)Notional amount will equal to the aggregate certificate principal balance of the class A-1, A-2, A-3, M-1, B-1, B-2, and B-3 or B-3-C certificates (immediately before such distribution date). NR--Not rated. N/A--Not applicable. SYMPHONY CLO XIX: Moody's Assigns B3 Rating to Cl. F Notes ---------------------------------------------------------- Moody's Investors Service has assigned ratings to seven classes of notes issued by Symphony CLO XIX, Ltd. Moody's rating action is: US$2,000,000 Class X Amortizing Senior Secured Floating Rate Notes due 2031 (the "Class X Notes"), Assigned Aaa (sf) US$320,000,000 Class A Senior Secured Floating Rate Notes due 2031 (the "Class A Notes"), Assigned Aaa (sf) US$57,500,000 Class B Senior Secured Floating Rate Notes due 2031 (the "Class B Notes"), Assigned Aa2 (sf) US$27,500,000 Class C Senior Secured Deferrable Floating Rate Notes due 2031 (the "Class C Notes"), Assigned A2 (sf) US$35,000,000 Class D Senior Secured Deferrable Floating Rate Notes due 2031 (the "Class D Notes"), Assigned Baa3 (sf) US$20,000,000 Class E Senior Secured Deferrable Floating Rate Notes due 2031 (the "Class E Notes"), Assigned Ba3 (sf) US$10,000,000 Class F Junior Secured Deferrable Floating Rate Notes due 2031 (the "Class F Notes"), Assigned B3 (sf) The Class X Notes, the Class A Notes, the Class B Notes, the Class C Notes, the Class D Notes, the Class E Notes and the Class F 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. Symphony XIX is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of first lien senior secured loans and eligible investments, and up to 10% of the portfolio may consist of second lien loans and unsecured loans. The portfolio is approximately 80% ramped as of the closing date. Symphony Asset 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 issued subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2017. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $500,000,000 Diversity Score: 55 Weighted Average Rating Factor (WARF): 2869 Weighted Average Spread (WAS): 3.40% Weighted Average Coupon (WAC): 5.50% Weighted Average Recovery Rate (WARR): 47.0% Weighted Average Life (WAL): 9.5 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 2869 to 3299) Rating Impact in Rating Notches Class X Notes: 0 Class A Notes: -1 Class B Notes: -2 Class C Notes: -2 Class D Notes: -1 Class E Notes: 0 Class F Notes: 0 Percentage Change in WARF -- increase of 30% (from 2869 to 3730) Rating Impact in Rating Notches Class X Notes: 0 Class A Notes: -1 Class B Notes: -4 Class C Notes: -4 Class D Notes: -2 Class E Notes: -1 Class F Notes: -1 TELOS CLO 2014-5: S&P Assigns Prelim. BB-(sf) Rating on E-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-1-R, A-2-R, B-R, C-R, D-R, and E-R replacement notes from Telos CLO 2014-5 Ltd., a collateralized loan obligation (CLO) originally issued in 2014 that is managed by Telos Asset Management LLC. The replacement notes will be issued via a proposed supplemental indenture. S&P is also assigning a preliminary rating to the new class X notes that are being issued as part of the refinancing. 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 April 13, 2018. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the April 17, 2018, refinancing date, the proceeds from the issuance of the replacement notes are expected to redeem the original notes. 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 replacement notes. Based on provisions in the supplemental indenture: -- The replacement class A-1-R, A-2-R, B-R, C-R, D-R, and E-R notes are expected to be issued at lower spreads than the original notes. -- The stated maturity will be extended three years, and the reinvestment period will be extended by two years. -- The non-call period will also be reset, ending in April 2019. 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 Telos CLO 2014-5, Ltd. Replacement class Rating Amount (mil. $) X AAA (sf) 4.00 A-1-R AAA (sf) 221.50 A-2-R AAA (sf) 37.50 B-R AA (sf) 42.50 C-R A (sf) 25.75 D-R BBB- (sf) 19.75 E-R BB- (sf) 24.50 NR--Not rated. TICP CLO X: Moody's Assigns Ba3 Rating to Class E Notes ------------------------------------------------------- Moody's Investors Service has assigned ratings to five classes of notes issued by TICP CLO X, Ltd. Moody's rating action is: US$320,000,000 Class A Senior Secured Floating Rate Notes due 2031 (the "Class A Notes"), Assigned Aaa (sf) US$57,500,000 Class B Senior Secured Floating Rate Notes due 2031 (the "Class B Notes"), Assigned Aa2 (sf) US$25,000,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class C Notes"), Assigned A2 (sf) US$32,500,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class D Notes"), Assigned Baa3 (sf) US$25,000,000 Class E Junior Secured Deferrable Floating Rate Notes due 2031 (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. TICP X is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of senior secured loans, cash, and eligible investments, and up to 10% of the portfolio may consist of second lien loans and unsecured loans. The portfolio is approximately 85% ramped as of the closing date. TICP CLO X 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 issued subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2017. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $500,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 2973 Weighted Average Spread (WAS): 3.10% Weighted Average Coupon (WAC): 7.50% Weighted Average Recovery Rate (WARR): 48.5% Weighted Average Life (WAL): 9.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2017. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. Together with the set of modeling assumptions above, Moody's conducted an additional sensitivity analysis, which was a component in determining the ratings assigned to the Rated Notes. This sensitivity analysis includes increased default probability relative to the base case. Below is a summary of the impact of an increase in default probability (expressed in terms of WARF level) on the Rated Notes (shown in terms of the number of notch difference versus the current model output, whereby a negative difference corresponds to higher expected losses), assuming that all other factors are held equal: Percentage Change in WARF -- increase of 15% (from 2973 to 3419) Rating Impact in Rating Notches Class A Notes: -1 Class B Notes: -2 Class C Notes: -2 Class D Notes: -1 Class E Notes: -1 Percentage Change in WARF -- increase of 30% (from 2973 to 3865) Rating Impact in Rating Notches Class A Notes: -1 Class B Notes: -4 Class C Notes: -4 Class D Notes: -2 Class E Notes: -1 TRUPS FINANCIALS 2018-1: Moody's Assigns (P)Ba3 Rating to C Notes ----------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to four classes of notes to be issued by TruPS Financials Note Securitization 2018-1 Ltd (the "Issuer" or "TFINS 2018-1"). Moody's rating action is: US$360,790,000 Class A-1 Senior Secured Floating Rate Notes due 2039 (the "Class A-1 Notes"), Assigned (P)Aa3 (sf) US$23,700,000 Class A-2 Senior Secured Fixed-Floating Rate Notes due 2039 (the "Class A-2 Notes"), Assigned (P)Aa3 (sf) US$12,100,000 Class B Mezzanine Deferrable Fixed-Floating Rate Notes due 2039 (the "Class B Notes"), Assigned (P)A3 (sf) US$71,250,000 Class C Mezzanine Deferrable Floating Rate Notes due 2039 (the "Class C Notes"), Assigned (P)Ba3 (sf) The Class A-1 Notes, the Class A-2 Notes, the Class B Notes, and the Class C Notes are referred to herein, together, 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. TFINS 2018-1 is a static cash flow CDO. The issued notes will be collateralized primarily by a portfolio of (1) trust preferred securities ("TruPS") and subordinated debt issued by US community banks and their holding companies and (2) TruPS and surplus notes issued by insurance companies and their holding companies. Moody's expect the portfolio to be 100% ramped as of the closing date. EJF CDO Manager LLC (the "Manager"), an affiliate of EJF Capital LLC, will direct the selection, acquisition and disposition of the assets on behalf of the Issuer. The Manager will direct the disposition of any defaulted securities or credit risk securities. The transaction prohibits any asset purchases or substitutions at any time. In addition to the Rated Notes, the Issuer will issue one class of preferred shares. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. The transaction also includes an interest diversion feature beginning on the March 2026 payment date whereby 60% of the interest at a junior step in the priority of interest payments is used to pay the principal on the Class A-1 And Class A-2 Notes until the Class A-1 And Class A-2 Notes' principal has been paid in full. The portfolio of this CDO consists of (1) TruPS and subordinated debt issued by 63 US community banks and (2) TruPS and surplus notes issued by four insurance companies, the majority of which Moody's does not rate. Moody's assesses the default probability of bank obligors that do not have public ratings through credit scores derived using RiskCalc(TM), an econometric model developed by Moody's Analytics. Moody's evaluation of the credit risk of the bank obligors in the pool relies on FDIC Q4-2017 financial data. Moody's assesses the default probability of insurance company obligors that do not have public ratings through credit assessments provided by its insurance ratings team based on the credit analysis of the underlying insurance companies' annual statutory financial reports. Moody's assumes a fixed recovery rate of 10% for both the bank and insurance obligations. Moody's ratings on the Rated Notes took into account a stress scenario for highly levered bank holding company issuers. The transaction's portfolio includes subordinated debt issued by a number of bank holding companies with significant amounts of other debt on their balance sheet which may increase the risk presented by their subsidiaries. To address the risk from higher debt burden at the bank holding companies, Moody's conducted a stress scenario in which Moody's made adjustments to the RiskCalc credit scores for these highly leveraged holding companies. This stress scenario was an important consideration in the assigned ratings. In addition, Moody's analysis considered the concentrated nature of the portfolio. There are 14 issuers that each constitute approximately 2.80% of the portfolio par. Moody's ran a stress scenario in which Moody's assumed a two notch downgrade for up to 30% of the portfolio par. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $537,754,000 Weighted Average Rating Factor (WARF): 618 Weighted Average Spread (WAS): 2.70% Weighted Average Coupon including fixed hybrid assets (WAC): 6.18% Weighted Average Recovery Rate (WARR): 10.0% Weighted Average Life (WAL): 10.54 years In addition to the quantitative factors that Moody's explicitly models, qualitative factors were part of the rating committee consideration. Moody's considers the structural protections in the transaction, the risk of an event of default, 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 transaction, influenced the final rating decision. 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: The transaction's performance could be negatively affected by uncertainty about credit conditions in the general economy. Moody's currently has a stable outlook on the US banking sector and, the US P&C insurance sector. 2) Portfolio credit risk: Credit performance of the assets collateralizing the transaction that is better than Moody's current expectations could have a positive impact on the transaction's performance. Conversely, asset credit performance weaker than Moody's current expectations could have adverse consequences on the transaction's performance. 3) Deleveraging: One source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds due to redemptions will occur and at what pace. Note repayments that are faster than Moody's current expectations could have an impact on the notes' ratings. 4) Exposure to non-publicly rated assets: The portfolio consists primarily of unrated assets whose default probability Moody's assesses through credit scores derived using RiskCalc(TM) or credit assessments. Because these are not public ratings, they are subject to additional estimation uncertainty. UBS-BARCLAYS 2012-C2: Fitch Affirms B Rating on Class G Certs ------------------------------------------------------------- Fitch Ratings has affirmed 11 classes of UBS-Barclays Commercial Mortgage Trust 2012-C2 (UBSBB 2012-C2) commercial mortgage pass-through certificates. KEY RATING DRIVERS High Retail Concentration and Regional Malls; Upgrades Not Warranted: The overall pool performance has been relatively stable since issuance, with increasing credit enhancement due to amortization and loan repayments. Despite the increasing credit enhancement, upgrades were not warranted due to the pool's high retail concentration. Loans secured by retail properties represent 53% of the pool, including five regional malls (34.8%) in the top 15 loans. Fitch performed an additional sensitivity analysis on the portfolio to address concerns related to this concentration and the overall weakness in the retail sector. The sensitivity analysis determined that affirmations were warranted. Fitch Loans of Concern: Six loans (26.9% of pool) have been identified as Fitch Loans of Concern (FLOCs), which includes one specially serviced loan (1%). The FLOC's include three regional malls (23.4%). Crystal Mall (9.6%) in Waterford, CT (anchored by JCPenney, Sears, Macys) was flagged for declining NOI and occupancy since issuance with significant near term rollover. The Louis Joliet Mall (9.1%) in Joliet, IL (Macy's, Carson Pirie Scott, JCPenney, Sears) was flagged for recent and expected tenant vacancy, which includes Toys R Us. The Pierre Bossier Mall (4.7%) in Bossier, LA (Dillard's, JCPenney, and Sears) was flagged for declining NOI, low DSCR, and high near-term rollover. Specially Serviced Loan: The specially serviced loan is the Behringer Harvard Portfolio (1%), which at issuance was secured by two Texas office buildings; however, one property was sold and released in February 2016 with a $14.9 million paydown. The remaining asset, a 180,000 sf office property in Houston, TX, transferred to special servicing in March 2017 due to imminent maturity default. The loan matured in May 2017 without repayment, and property has been REO since July 2017. Occupancy continues to decline, dropping to 76% as of December 2017 from 89% in February 2017 after Waldemar S. Nelson Co. (previously 12.4% of the NRA) vacated at its July 2017 lease expiration. Per the January 2018 servicer report, Hunting Energy (21% NRA) was also expected to fully vacate the property in March 2018, bringing occupancy to 55% by April 2018. Leases for an additional 18.6% of the NRA are scheduled to expire in 2018, mainly Signa Engineering Corp. (11.4%) in October. Per servicer updates, the property has been gaining interest from potential tenants, but the Houston/Greenspoint submarket remains challenged with oversupply and competition. Amortization: The majority of the pool (48 loans; 77.2% of the current pool) has been amortizing since issuance, with no interest only (IO) periods. The largest loan, Crystal Mall (9.6%), is the only partial IO loan in the pool and has been amortizing since 2014. The remaining three loans (13.3%) are full term IO. As of the March 2018 distribution date, the pool's aggregate principal balance has paid down by 23.3% primarily due to the March 2017 payoff of the largest loan in the pool (110 William Street; $141.5 million) as well as scheduled amortization. Five loans (5.9%) have been defeased. RATING SENSITIVITIES Rating Outlooks for all outstanding classes remain Stable due to the pool's overall stable performance and increased credit enhancement. All of the remaining performing loans in the pool are scheduled to mature in 2022. Upgrades to the classes may occur with improved pool performance and additional class pay down or defeasance; however, they may be limited due to the high concentration of retail loans, including five regional malls within the top 15 loans in the pool. Downgrades to the classes are possible should an asset level or economic event cause a decline in pool performance. Fitch affirms the following classes: -- $88.2 million class A-3 at 'AAAsf'; Outlook Stable; -- $479.7 million class A-4 at 'AAAsf'; Outlook Stable; -- $94.2 million class A-S-EC at 'AAAsf'; Outlook Stable; -- $63.8 million class B-EC at 'AAsf'; Outlook Stable; -- $45.6 million class C-EC at 'Asf'; Outlook Stable; -- $203.7 class EC at 'Asf'; Outlook Stable; -- $24.3 million class D at 'BBB+sf'; Outlook Stable; -- $47.1 million class E at 'BBB-sf'; Outlook Stable; -- $22.8 million class F at 'BBsf'; Outlook Stable; -- $24.3 million class G at 'Bsf'; Outlook Stable; -- *Class X-A at 'AAAsf'; Outlook Stable. *Interest-Only class. The class A-S-EC, class B-EC and class C-EC certificates may be exchanged for class EC certificates, and class EC certificates may be exchanged for class A-S-EC, class B-EC and class C-EC certificates. As of the June 2013 remittance, all of the class A-S-EC, class B-EC and class C-EC certificates had been exchanged for class EC certificates. Classes A-1 and A-2 have paid in full. Fitch does not rate the interest-only class X-B or class H certificates. WELLS FARGO 2013-LC12: Fitch Affirms Bsf Rating on Class F Certs ---------------------------------------------------------------- Fitch Ratings has affirmed 15 classes of Wells Fargo Commercial Mortgage Trust, commercial pass-through certificates series 2013-LC12 (WFCM 2013-LC12). KEY RATING DRIVERS Retail Concentration; High Regional Mall Exposure: Loans secured by retail properties represent 40.8% of the current pool, which includes six of the top 15 loans (29%). Four of the top 15 loans (25.6%) are secured by the following regional malls: Cumberland Mall in Atlanta, GA (6.9%, anchored by Macy's and Sears); Carolina Place in Pineville, NC (6.7%, Dillard's, Belk, Sears and J.C. Penney); White Marsh Mall in Baltimore, MD (6.1%, Macy's, Sears, J.C. Penney and Boscov's); and Rimrock Mall in Billings, MT (5.9%, Dillard's and J.C. Penney). Rimrock Mall is sponsored by Starwood Capital Group, and the other three are sponsored by General Growth Properties. Fitch performed an additional sensitivity scenario on Carolina Place and Rimrock Mall due to performance concerns, and the ratings reflect this analysis. Relatively Stable Performance: The overall pool has exhibited relatively stable performance since issuance. As of the March 2018 remittance, the pool's aggregate principal balance has paid down by 7.2% to $1.31 billion from $1.41 billion at issuance. The pool has experienced zero losses to date. Two loans (1.8% of pool) are fully defeased, and two loans (1.9% of original pool) have paid in full since the last ratings action at their maturity or with yield maintenance pre-payment. Specially Serviced Loans: The Crowne Plaza Madison loan (0.8% of pool), which is secured by a 226-key full-service hotel property in Madison, WI, was transferred to special servicing in March 2017 for imminent maturity default; the loan matured without repayment in September 2017. The property has experienced cash flow declines driven by low occupancy and excessive deferred maintenance costs. Occupancy fell to 54.5% as of the TTM February 2018, compared to 70.4% at issuance. Major deferred maintenance issues include a non-functional boiler and chiller, plus rooms taken off line for mechanical repairs. A property receiver, appointed in June 2017, is working to complete repairs and remedy franchise delinquencies. Per servicer updates, the estimated total cost of repairs is $1.8 million, of which approximately $345,000 has been spent to date. The Holiday Inn Express - Vernal (0.4% of pool), which is secured by a 69-key Holiday Inn Express in Vernal, UT, transferred to special servicing in December 2017 for imminent monetary default, with payment default since January 2018. As of 3Q 2017, the property had a TTM occupancy of 56.49% with a NCF DSCR of 0.48x. The ADR and RevPAR were $103.85 and $58.66, respectively. According to the servicer, the decline in performance is attributed to the Vernal economy's reliance on declining oil and gas extraction and tourism, which only happens in the summer months. Fitch Loans of Concern: Seven loans (15.1% of pool) were designated as Fitch Loans of Concern (FLOCs), including the two specially serviced loans (1.2%). The FLOCs include two of the top 15 loans (12.6%); Carolina Place (6.7%) lost one of its initial non-collateral anchor tenants, Macy's, in March 2017. According to the servicer, the borrower is working on final lease terms with Dick's Sporting Goods to occupy the space in 2019. The Rimrock Mall (5.9%), which is located close to the Bakken shale region and the Canadian Oil Sands, reported year-over-year declines in cash flow since issuance. The other non-specially serviced FLOCs outside of the top 15 have low DSCRs, declining occupancy or upcoming lease rollover concerns. Loan Amortization: The pool is scheduled to amortize by 14.9% of the initial pool balance prior to maturity. Nine loans (15.1% of pool) are full-term interest-only loans. At issuance, 17 loans (48.4%) had a partial interest-only period, of which only three (13%) remain in their interest-only periods until mid-2018. Loan Maturities: 91.5% of the current pool has a scheduled loan maturity or anticipated repayment date in 2023. The remaining maturities include 1.9% in 2018, 6.1% in 2022 and 0.5% in 2022. RATING SENSITIVITIES The Stable Rating Outlooks for classes A-1 through D reflect the stable performance of the majority of the underlying pool and expected continued paydown and increasing credit enhancement from amortization. The Negative Rating Outlooks for classes E and F reflect the high retail pool concentration. Fitch's analysis also included a stress scenario whereby additional losses were assumed on the regional mall FLOCs, Carolina Place and The Rimrock Mall. Rating upgrades, although unlikely due to pool concentrations, could occur with improved pool performance and additional paydown or defeasance. Rating downgrades could occur if overall pool performance declines significantly. Fitch has affirmed the following classes: -- $29.6 million class A-1 at 'AAAsf'; Outlook Stable; -- $80 million class A-2 at 'AAAsf'; Outlook Stable; -- $160 million class A-3 at 'AAAsf'; Outlook Stable; -- $363.1 million class A-4 at 'AAAsf'; Outlook Stable; -- $149.9 million class A-SB at 'AAAsf'; Outlook Stable; -- $103 million (#) (a) class A-3FL at 'AAAsf'; Outlook Stable; -- $0 (a) class A-3FX at 'AAAsf'; Outlook Stable; -- $116.3 million (b) class A-S at 'AAAsf'; Outlook Stable; -- $88.1 million (b) class B at 'AA-sf'; Outlook Stable; -- $56.4 million (b) class C at 'A-sf'; Outlook Stable; -- $260.7 million (b) class PEX at 'A-sf'; Outlook Stable; -- $66.9 million (a) class D at 'BBB-sf'; Outlook Stable; -- $28.1 million (a) class E at 'BBsf'; Outlook Negative; -- $14.1 million (a) class F at 'Bsf'; Outlook Negative; -- Interest-Only class X-A at 'AAAsf'; Outlook Stable. Fitch does not rate the class G or interest only class X-B certificates. (#) Floating rate. (a) Privately placed pursuant to Rule 144A. (b) Class A-S, class B and class C certificates may be exchanged for class PEX certificates, and class PEX certificates may be exchanged for class A-S, class B and class C certificates. Wells Fargo Bank, N.A. is the swap counterparty for the floating rate class A-FL. In the event that any swap breakage costs are due to the swap counterparty from the trust, any breakage costs will only be paid after all payments on the class A-FL certificates have been paid in full. The aggregate balance of the class A-FL may be adjusted as a result of the exchange of all or a portion of the class A-FL certificates for the non-offered class A-FX. [*] Moody's Takes Action on $484MM of Subprime Issued 2002-2007 --------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 14 tranches, and downgraded the rating of 3 tranches, from 10 transactions issued by various issuers. Complete rating actions are: Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2003-HS1 Cl. M-2, Downgraded to B2 (sf); previously on Mar 26, 2013 Downgraded to B1 (sf) Cl. M-3, Downgraded to Caa1 (sf); previously on Sep 18, 2015 Upgraded to B3 (sf) Issuer: Carrington Mortgage Loan Trust, Series 2007-HE1 Cl. A-2, Upgraded to Baa2 (sf); previously on Jan 23, 2017 Upgraded to Ba1 (sf) Cl. A-3, Upgraded to Ba1 (sf); previously on Jan 23, 2017 Upgraded to Ba2 (sf) Cl. A-4, Upgraded to Ba1 (sf); previously on Jan 23, 2017 Upgraded to Ba2 (sf) Issuer: Citigroup Mortgage Loan Trust, Series 2004-OPT1 Cl. M-4, Upgraded to B1 (sf); previously on Sep 1, 2015 Upgraded to Caa1 (sf) Cl. M-5, Upgraded to Caa1 (sf); previously on Mar 5, 2013 Affirmed Ca (sf) Issuer: Equity One Mortgage Pass-Through Trust 2002-5 M-1, Downgraded to B1 (sf); previously on Aug 24, 2015 Upgraded to Ba2 (sf) Issuer: Home Equity Loan Asset-Backed Certificates, Series 2007-FRE1 Cl. 1-AV-1, Upgraded to Caa2 (sf); previously on Sep 18, 2013 Downgraded to Caa3 (sf) Cl. 2-AV-2, Upgraded to Caa2 (sf); previously on May 9, 2017 Upgraded to Caa3 (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2004-NC1 Cl. M-2, Upgraded to Baa3 (sf); previously on Nov 4, 2015 Upgraded to Ba3 (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2004-NC2 Cl. M-1, Upgraded to Baa3 (sf); previously on Mar 25, 2016 Upgraded to Ba2 (sf) Cl. M-2, Upgraded to B3 (sf); previously on Mar 25, 2016 Upgraded to Caa2 (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2006-HE8 Cl. A-1, Upgraded to Caa2 (sf); previously on Jul 15, 2010 Downgraded to Ca (sf) Issuer: Morgan Stanley Dean Witter Capital I Inc. Trust 2003-NC1 Cl. M-1, Upgraded to Ba1 (sf); previously on Apr 16, 2014 Upgraded to B1 (sf) Issuer: New Century Home Equity Loan Trust, Series 2004-A Cl. A-II-8, Upgraded to A3 (sf); previously on Mar 1, 2016 Upgraded to Ba1 (sf) Underlying Rating: Upgraded to A3 (sf); previously on Mar 1, 2016 Upgraded to Ba1 (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Cl. A-II-9, Upgraded to A1 (sf); previously on Mar 1, 2016 Upgraded to Baa3 (sf) Underlying Rating: Upgraded to A1 (sf); previously on Mar 1, 2016 Upgraded to Baa3 (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) RATINGS RATIONALE The rating actions reflect the recent performance of the underlying pools and Moody's updated loss expectations on those pools. The rating upgrades are primarily due to total credit enhancement available to the bonds. The rating downgrades are due to outstanding interest shortfalls that are not expected to be recouped as a result of the weak reimbursement mechanism for interest shortfalls. 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 March 2018 from 4.5% in March 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 $85.2MM of RMBS Issued 2005-2006 ------------------------------------------------------------ Moody's Investors Service has upgraded ratings of two tranches from two US residential mortgage backed transactions (RMBS), backed by subprime loans, issued by multiple issuers. Complete rating actions are: Issuer: Asset Backed Securities Corporation Home Equity Loan Trust 2005-HE7 Cl. M4, Upgraded to Caa2 (sf); previously on Jul 12, 2010 Downgraded to C (sf) Issuer: CWABS Asset-Backed Certificates Trust 2006-7 Cl. 2-A-4, Upgraded to Caa2 (sf); previously on Oct 19, 2016 Upgraded to Ca (sf) RATINGS RATIONALE The rating actions reflect the recent performance of the underlying pools and Moody's updated loss expectations on those pools. The rating upgrades are primarily due to improvement of the total credit enhancement available to the bonds and the updated expected losses on those 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 March 2018 from 4.5% in March 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 Cuts Ratings on Two Classes on Two US CMBS Deals to D(sf) ----------------------------------------------------------------- S&P Global Ratings lowered its ratings to 'D (sf)' on two classes of commercial mortgage pass-through certificates from two U.S. commercial mortgage-backed securities (CMBS) transactions. The downgrades reflect principal losses on the affected bonds as detailed in the transactions' respective March 15, 2018, trustee remittance reports. According to the March 15, 2018, trustee remittance report, the class SSS certificates from CG-CCRE Commercial Mortgage Trust 2014-FL2 experienced $123,852 in principal losses this period due primarily to the liquidation of the specially serviced Sheraton Station Square loan. Consequently, class SSS experienced a 1.25% loss of its original bond balance. According to the March 15, 2018, trustee remittance report, the class MTP2 certificate from J.P. Morgan Chase Commercial Mortgage Securities Trust 2014-FL6 experienced $2,409 of principal loss. This is due mainly to the liquidation of the specially serviced MTP Hospitality Northeast Portfolio loan. Consequently, class MTP2 experienced a 0.02% loss of its original bond balance. RATINGS LOWERED CG-CCRE Commercial Mortgage Trust 2014-FL2 Commercial mortgage pass-through certificates series Rating Class To From SSS D (sf) B+ (sf) J.P. Morgan Chase Commercial Mortgage Securities Trust 2014-FL6 Commercial mortgage pass-through certificates Rating Class To From MTP2 D (sf) B- (sf) [*] S&P Discontinues D(sf) Ratings on 16 Classes on 10 US CMBS Deal ------------------------------------------------------------------- S&P Global Ratings discontinued its 'D (sf)' ratings on 16 classes from 10 U.S. commercial mortgage-backed securities transactions. S&P said, "We discontinued these ratings according to our surveillance and withdrawal policy. We had previously lowered the ratings on these classes to 'D (sf)' because of principal losses and/or accumulated interest shortfalls that we believed would remain outstanding for an extended period of time. We view a subsequent upgrade to a rating higher than 'D (sf)' to be unlikely under the relevant criteria for the classes within this review." A list of Affected Ratings can be viewed at: https://bit.ly/2H4MZnh ********* 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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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. *** End of Transmission ***