/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/180923.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, September 23, 2018, Vol. 22, No. 265 Headlines ALM VII(R)-2: S&P Assigns Prelim BB- Rating on $42MM Cl. D-R2 Notes APIDOS CLO XVIII-R: S&P Assigns (P)B- Rating in $11.5MM F Notes APIDOS CLO XXIV: S&P Assigns B-(sf) Rating on $6.6MM Cl. E-R Notes APIDOS CLO XXX: S&P Assigns BB-(sf) Rating on $24.4MM Cl. D Notes ARES XXVIIIR: S&P Assigns B- Rating on $7.2MM Class F Notes BANCORP COMMERCIAL 2018-CRE4: DBRS Gives (P)B Rating on Cl. F Certs BANK 2018-BNK14: DBRS Assigns Prov. BB Rating on Class F Debt BANK 2018-BNK14: Fitch to Rate $13.10MM Class X-G Certs 'B-sf' BENCHMARK MORTGAGE 20108-B6: Fitch to Rate Class J-RR Certs 'B-sf' CABELA'S CREDIT 2013-I: Fitch Affirms BB+ Rating on Class D Notes CARLYLE GLOBAL 2014-5: S&P Assigns B-(sf) Rating on Cl. F-RR Notes CARLYLE US 2018-3: Moody's Assigns Ba3 Rating on Class D Notes CATAMARAN CLO 2018-1: S&P Assigns Prelim BB- Rating on E Notes CIM TRUST 2018-INV1: Moody's Assigns Ba1 Rating on Class B-4 Debt CITIGROUP COMMERCIAL 2017-P8: DBRS Confirms BB Rating on X-F Debt COLONNADE GLOBAL 2017-3: DBRS Confirms BB(high) Rating on K Debt COLONY MULTIFAMILY 2014-1: Moody's Hikes Rating on F Certs to B1 COLT 2018-3: DBRS Finalizes BB Rating on Class B-1 Certs COMM 2018-HCLV: S&P Assigns Prelim. B-(sf) Rating on Class F Certs CRESTLINE DENALI XVII: Moody's Rates US$17MM Class E Notes (P)Ba3 CSAIL 2015-C4: Fitch Affirms B- Rating on Class X-G Certs CSMC TRUST 2016-MFF: Moody's Affirms B2 Rating on Class F Certs DIAMOND CLO 2018-1: S&P Assigns BB- Rating on $33MM Class E Notes EATON VANCE 2018-1: Moody's Gives (P)Ba3 Rating to Class E Debt FREDDIE MAC 2018-SPI3: Fitch to Rate 2 Debt Tranches B+ GALAXY CLO XXV: Moody's Assigns Ba3 Rating on $27.5MM Class E Notes GS MORTGAGE 2016-GS3: Fitch Affirms BB- Rating on Class E Certs GS MORTGAGE 2018-3PCK: S&P Gives Prelim B+(sf) Rating on HRR Certs IMSCI 2013-3: Fitch Rates CAD2.5MM Class G Certificates 'B' JER CRE 2005-1: Moody's Affirms C Rating on 8 Tranches JP MORGAN 2004-CIBC8: S&P Affirms BB(sf) Rating on J Certs JP MORGAN 2014-C23: Fitch Affirms B Rating on 2 Tranches JP MORGAN 2014-C24: Fitch Affirms BB Rating on Class X-C Certs JP MORGAN 2018-9: Moody's Assigns (P)B3 Rating on Class B-5 Debt JPMDB COMMERCIAL 2016-C4: Fitch Affirms B- Rating on Class F Certs JPMDB COMMERCIAL 2017-C7: DBRS Confirms B(low) Rating on F-RR Certs LB-UBS COMMERCIAL 2005-C1: Moody Affirms C Rating on 2 Tranches LCM XX LP: S&P Assigns Prelim. BB Rating on $20MM Class E-R Certs MARATHON CLO VIII: Moody's Rates $22MM Class D-R Notes 'Ba3' MERRILL LYNCH 1997-C2: Moody's Affirms C Rating on Class IO Certs MID OCEAN 2000-1: Moody's Lowers Rating on Class A-1L Notes to Ca MID OCEAN 2001-1: Moody's Lowers Ratings on 2 Tranches to Ca ML-CFC COMMERCIAL 2007-9: Fitch Cuts Class AJ-A Certs Rating to C MP CLO VII: Fitch Assigns B Rating on Class F-RR Notes MP CLO VII: Moody's Assigns Ba3 Rating on $28.9MM Class E-RR Notes N-STAR REL VI: Fitch Lowers Rating on $16.8MM Class K Debt to 'Csf' NEUBERGER BERMAN XXIII: Moody's Gives (P)Ba3 Rating on E-R Notes PRESTIGE AUTO 2018-1: DBRS Gives (P)BB Rating on $18.5MM E Notes PRESTIGE AUTO 2018-1: S&P Assigns Prelim BB Rating on Cl. E Notes PSMC TRUST 2018-3: Fitch Rates $926,000 Class B-5 Certs 'B' REALT 2016-2: Fitch Affirms B Rating on $4.7MM Class G Certs REGATTA FUNDING XIV: Moody's Assigns Ba3 Rating on Class E Notes ROCKFORD TOWER 2018-2: Moody's Assigns Ba3 Rating on Class E Notes RR 5: S&P Gives Preliminary BB-(sf) Rating on $18.5MM Class D Notes SDART 2017-3: Fitch Affirms BB Rating on Class E Debt SEQUOIA MORTGAGE 2018-CH4: Moody's Gives (P)Ba1 Rating to B-4 Debt SLC STUDENT 2008-2: S&P Lowers Rating on Class A-4 Debt to 'B-' SLIDE 2018-FUN: S&P Assigns Prelim B Ratings on 2 Tranches SLM STUDENT 2006-3: Fitch Affirms B Rating on 2 Tranches TABERNA PREFFERED IX: Moody's Hikes Ratings on 2 Tranches to Ba1 TOWD POINT 2018-5: Fitch to Rate $18.73MM Class B2 Notes 'Bsf' UBS COMMERCIAL 2018-C13: Fitch Rates $8MM Class E-RR Certs 'BB+' UBS-CITIGROUP 2011-C1: DBRS Confirms B(high) Rating on Cl. G Certs UNITED EQUITABLE: A.M. Best Raises Financial Strength Rating to C++ WACHOVIA BANK 2007-C32: Moody's Affirms C Rating on 2 Tranches WELLS FARGO 2015-LC22: Fitch Affirms BB- Rating on Class E Certs WELLS FARGO 2015-NXS3: DBRS Confirms B Rating on Class F Certs WFRBS COMMERCIAL 2014-C24: Moody's Rates Class SJ-D Certs Ba2 [*] Moody's Takes Action on $177.9MM of RMBS Issued 2001-2005 [*] Moody's Takes Action on $36MM of RMBS Issued 2002 and 2007 [*] Moody's Takes Various Action on $352MM RMBS Issued 2003 to 2006 [*] Moody's Upgrades $27MM of Subprime RMBS Issued 2001 to 2004 [*] S&P Cuts Ratings on 59 Classes From 32 US RMBS Deals to 'D(sf)' [*] S&P Discontinues Ratings on 24 Classes From Nine CDO Deals [*] S&P Takes Various Actions on 64 Classes From 10 US RMBS Deals [*] S&P Takes Various Actions on 77 Classes From 13 US RMBS Deals ********* ALM VII(R)-2: S&P Assigns Prelim BB- Rating on $42MM Cl. D-R2 Notes ------------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-1-R2, A-2-R2, B-R2, C-R2, and D-R2 replacement notes from ALM VII(R)-2 Ltd., a collateralized loan obligation (CLO) originally issued on Sept. 12, 2013, that is managed by Apollo Credit Management (CLO) LLC. The replacement notes will be issued via a proposed second supplemental indenture. This will be the transaction's second optional redemption and replacement note issuance. 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 Sept. 13, 2018. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Oct. 15, 2018, refinancing date, the proceeds from the replacement notes issuance are expected to redeem the original notes. At that time, S&P anticipates withdrawing the ratings on the original notes and assigning ratings to the replacement notes. However, if the refinancing doesn't occur, S&P may affirm the ratings on the original notes and withdraw its preliminary ratings on the replacement notes. The replacement notes are being issued via a proposed second supplemental indenture, which, in addition to outlining the terms of the replacement notes, will also: -- Change the rated par amount to $831.00 million from $836.50 million, though there is no change proposed to the target initial par amount of $900.00 million. The first payment date following the Oct. 15, 2018, refinancing date is expected to be Jan. 15, 2019. -- Extend the non-call period on all the notes to July 15, 2020, from Oct. 15, 2018. -- Extend the weighted average life test to 8.25 years (calculated from the Oct. 15, 2018, second refinancing date) from eight years (calculated from the transaction's first refinancing date of Dec. 2, 2016). -- Incorporate the recovery rate methodology and updated industry classifications outlined in our August 2016 CLO criteria update. There is no change proposed to the reinvestment period, which is expected to end July 15, 2021, or to the legal final maturity date of the rated notes, which is expected to be Oct. 15, 2027. In addition, the transaction is not expected to change the required minimum thresholds for the coverage tests, and the issuer is not expected to issue additional subordinated notes. REPLACEMENT AND ORIGINAL NOTE ISSUANCES Second Refinancing Replacement Notes Class Amount Interest (mil. $) rate (%) A-1-R2 555.000 LIBOR + 1.05 A-2-R2 108.000 LIBOR + 1.65 B-R2 80.000 LIBOR + 2.20 C-R2 46.000 LIBOR + 3.10 D-R2 42.000 LIBOR + 5.60 Subordinated notes 107.904 N/A First Refinancing Replacement Notes Class Amount Interest (mil. $) rate (%) A-X 5.500 LIBOR + 1.25 A-1-R 555.000 LIBOR + 1.43 A-2-R 108.000 LIBOR + 2.00 B-R 80.000 LIBOR + 2.75 C-R 46.000 LIBOR + 4.10 D-R 42.000 LIBOR + 7.45 Subordinated notes 107.904 N/A Original Notes Class Amount Interest (mil. $) rate (%) A-1 543.175 LIBOR + 1.33 A-2 104.475 LIBOR + 1.85 B 83.950 LIBOR + 2.60 C 59.950 LIBOR + 3.45 D 28.050 LIBOR + 5.00 E 26.525 LIBOR + 5.00 Subordinated notes 86.175 N/A N/A--Not applicable. 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 ALM VII(R)-2 Ltd./ALM VII(R)-2 LLC Replacement class Rating Amount (mil. $) A-1-R2 AAA (sf) 555.000 A-2-R2 AA (sf) 108.000 B-R2 A (sf) 80.000 C-R2 BBB- (sf) 46.000 D-R2 BB- (sf) 42.000 Subordinated Notes NR 107.904 APIDOS CLO XVIII-R: S&P Assigns (P)B- Rating in $11.5MM F Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Apidos CLO XVIII-R/Apidos CLO XVIII-R LLC's floating-rate notes. This is a proposed reissue of the Apidos CLO XVIII transaction, which S&P Global Ratings did not originally rate. The note issuance is a collateralized loan obligation (CLO) transaction backed by broadly syndicated speculative-grade senior secured term loans that are governed by collateral quality tests. The preliminary ratings are based on information as of Sept. 17, 2018. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The diversified collateral pool, which consists primarily of broadly syndicated speculative-grade senior secured term loans that are governed by collateral quality tests. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. PRELIMINARY RATINGS ASSIGNED Apidos CLO XVIII-R/Apidos CLO XVIII-R LLC Class Rating Amount (mil. $) X AAA (sf) 6.00 A-1 AAA (sf) 365.95 A-2 NR 24.00 B AA (sf) 63.00 C A (sf) 39.00 D BBB- (sf) 33.00 E BB- (sf) 24.60 F B- (sf) 11.50 Subordinated notes NR 33.55 NR--Not rated. APIDOS CLO XXIV: S&P Assigns B-(sf) Rating on $6.6MM Cl. E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to the class A-1A-R, A-2L-R, A-2F-R, B-R, C-R, D-R, and E-R replacement notes from Apidos CLO XXIV, a collateralized loan obligation (CLO) originally issued in August 2016 that is managed by CVC Credit Partners LLC. S&P withdrew its ratings on the original class A-1 notes following payment in full on the Sept. 14, 2018, refinancing date. On the Sept. 14, 2018, refinancing date, the proceeds from the class A-1A-R, A-2L-R, A-2F-R, B-R, C-R, D-R, and E-R replacement note issuances were used to redeem the original class A-1 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. 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 Apidos CLO XXIV/Apidos CLO XXIV LLC Class Rating Balance (mil. $) A-1A-R AAA (sf) 242.00 A-1B-R NR 18.00 A-2L-R AA (sf) 30.00 A-2F-R AA (sf) 12.00 B-R A (sf) 26.00 C-R BBB- (sf) 24.00 D-R BB- (sf) 16.00 E-R B- (sf) 6.60 Subordinated notes NR 41.00 RATINGS WITHDRAWN Apidos CLO XXIV/Apidos CLO XXIV LLC Rating Original class To From A-1 NR AAA (sf) NR--Not rated. APIDOS CLO XXX: S&P Assigns BB-(sf) Rating on $24.4MM Cl. D Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Apidos CLO XXX's 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 Apidos CLO XXX/Apidos CLO XXX LLC Class Rating Amount (mil. $) X AAA (sf) 2.70 A-1A AAA (sf) 375.10 A-1B NR 40.85 A-2 AA (sf) 78.00 B (deferrable) A (sf) 39.00 C (deferrable BBB- (sf) 38.45 D (deferrable) BB- (sf) 24.40 Subordinated notes NR 64.60 NR--Not rated. ARES XXVIIIR: S&P Assigns B- Rating on $7.2MM Class F Notes ----------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1, B, C, D, E, and F notes from Ares XXVIIIR CLO Ltd./Ares XXVIIIR CLO LLC, a collateralized loan obligation (CLO) managed by Ares CLO Management LLC, a subsidiary of Ares Management L.P. (Ares). The notes were issued via a supplemental indenture. This is a reissue of Ares XXVIII CLO Ltd., which was originally issued in November 2013 and refinanced in April 2017. S&P will be withdrawing its ratings on the class A-R, B-1-R, B-2-R, C-1-R, C-2-R, D-R, E, and F notes from Ares XXVIII CLO Ltd. on a later date. 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. 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." RATINGS ASSIGNED Ares XXVIIIR CLO Ltd./Ares XXVIIIR CLO LLC Replacement class Rating Amount (mil. $) A-1 AAA (sf) 236.00 A-2 NR 20.00 B AA (sf) 42.00 C (deferrable) A (sf) 30.00 D (deferrable) BBB- (sf) 24.00 E (deferrable) BB- (sf) 13.20 F (deferrable) B- (sf) 7.20 Subordinated notes NR 71.75 NR--Not rated. BANCORP COMMERCIAL 2018-CRE4: DBRS Gives (P)B Rating on Cl. F Certs ------------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following classes of The Bancorp Commercial Mortgage 2018 CRE4 Trust, Commercial Mortgage Pass-Through Certificates, Series 2018-CRE4 to be issued by The Bancorp Commercial Mortgage 2018-CRE4 Trust (the Issuer): -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class F at B (sf) All trends are Stable. The collateral for the transaction consists of 45 recently originated floating-rate mortgages secured by 50 transitional commercial real estate properties totaling $341.0 million based on current trust cut-off balances ($515.2 million, including funded pari passu participation interests) and $568.8 million based on the fully funded loan amounts. The loans are secured by currently cash-flowing assets, some of which are in a period of transition, with plans to stabilize and improve the asset value. The floating-rate mortgages were analyzed to determine the probability of loan default over the term of the loan and its refinance risk at maturity based on a fully extended loan term. Because of the floating-rate nature of the loans, the index (one-month LIBOR) was applied at the lower of a DBRS stressed rate that corresponded to the remaining fully extended term of the loans and the strike price of the interest rate cap, with the respective contractual loan spread added to determine a stressed interest rate over the loan term. When the cut-off balances were measured against the DBRS In-Place Net Cash Flow (NCF) and their respective stressed constants, there were 44 loans, representing 95.6% of the pool, with term debt service coverage ratios (DSCRs) below 1.15 times (x), a threshold indicative of a higher likelihood of term default. Additionally, to assess refinance risk, DBRS applied its refinance constants to the balloon amounts, resulting in 36 loans, or 80.5% of the pool, having refinance DSCRs below 1.00x relative to the DBRS Stabilized NCF. The properties are frequently transitioning, with potential upside in the cash flow; however, DBRS does not give full credit to the stabilization if there are no holdbacks or if other loan structural features in place are insufficient to support such treatment. Furthermore, even with structural features provided, DBRS generally does not assume the assets will stabilize above market levels. The transaction is of a sequential-pay structure. The loans are predominantly secured by traditional property types (i.e., multifamily, retail and office), with limited exposure to higher-volatility property types or those with short-term leases such as hotels or self-storage. Three loans, representing 7.8% of the pool, are secured by limited-service hotels, and there are no self-storage assets in the pool. Forty-one loans, totaling 93.6% of the deal balance, represent acquisition financing, with borrowers contributing cash equity to the transaction. The loans were all sourced by The Bancorp Bank, a commercial mortgage originator with strong origination practices. Bancorp is expected to purchase and retain 100.0% of the Class C certificates, accounting for approximately 7.5% of the total principal balance of the certificates. DBRS did not consider any of the loan sponsors to be Weak or Bad (Litigious) as a result of prior loan default, limited net worth and/or liquidity, a historical negative credit event and/or inadequate commercial real estate experience. The properties are located in primarily core (3.4% super-dense urban, 5.5% urban and 86.6% suburban) markets that benefit from greater liquidity. Only two loans, representing 4.5% of the pool, are located in tertiary markets, and no properties are located in rural markets. None of the loans in the pool are secured by student or military housing properties, which often exhibit higher cash flow volatility than traditional multifamily properties. Unlike most commercial real estate collateralized loan obligation transactions where the issuer retains all below-investment-grade certificates, Bancorp will only be retaining the Class C Certificates, representing a 7.5% retained interest. The risk-retention role will be fulfilled by The Värde Mortgage Fund II (Master), L.P., an affiliate of Värde Partners, purchasing Class G-RR as a third-party purchaser, which will represent at least 5.0% of the initial principal balance of the certificates. Värde Partners is a large investment firm participating in a range of asset classes, including the commercial real estate sector as a direct lender on transitional properties. The pool is relatively concentrated based on loan size, as there are only 45 loans in the pool, and it has a concentration profile similar to a pool of 25 equally sized loans. The ten largest loans represent 49.0% of the pool, and the largest three loans represent 21.4% of the pool. Although the concentration profile is similar to a pool of 25 equally sized loans, which is typically worse than most fixed-rate conduit transactions, the concentration profile is similar or superior compared with many floating-rate transactions that generally have fewer than 30 loans and sometimes fewer than 20. The pool is highly concentrated by property type, as 32 loans representing 78.8% of the pool are secured by multifamily properties. Multifamily properties are generally considered to be lower risk than commercial properties, such as office, retail and industrial, and far lower risk than hospitality properties. While cash flow volatility can be elevated due to the short-term nature of the underlying leases, loss severity for loans secured by multifamily properties is lower than that of most other property types. The loans have been analyzed by DBRS to a stabilized cash flow that is, in some instances, above the current in-place cash flow. There is a possibility that the sponsors will not execute their business plans as expected and the higher stabilized cash flow will not materialize during the loan term. Failure to execute the business plan could result in a term default or the inability to refinance the fully funded loan balance. DBRS made relatively conservative stabilization assumptions and, in each instance, considered the business plan to be rational and the future funding amounts to be sufficient to execute such plans. In addition, DBRS models the probability of default based on the DBRS In-Place NCF and the fully funded loan amount (including the future funding participation structures). The corresponding weighted-average (WA) DBRS Going-In Debt Yield is 6.3%, which is significantly lower than the WA DBRS Exit Debt Yield of 8.2% based on a DBRS Stabilized NCF. All loans have floating interest rates and are interest only during the original term, which is typically three years, creating interest rate risk. The borrowers of all loans have purchased interest rate caps to protect against a rise in interest rates over the term of the loan. The WA DBRS stressed interest rate for the pool is 3.076% higher than the pool's WA interest rate. In order to qualify for extension options, the loans must meet minimum debt yield and loan-to-value requirements. All but one of the loans — 420 Taylor Street — amortize during the extension option, based on 25- and 30-year amortization schedules. Notes: All figures are in U.S. dollars unless otherwise noted. BANK 2018-BNK14: DBRS Assigns Prov. BB Rating on Class F Debt ------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2018-BNK14 to be issued by BANK 2018-BNK14: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-SB at AAA (sf) -- Class X-A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (high) (sf) -- Class X-B at A (high) (sf) -- Class C at A (sf) -- Class D at BBB (high) (sf) -- Class X-D at BBB (sf) -- Class E at BBB (low) (sf) -- Class X-F at BB (high) (sf) -- Class F at BB (sf) -- Class X-G at BB (low) (sf) -- Class G at B (high) (sf) Classes X-D, X-F, X-G, X-H, D, E, F and G will be privately placed. The Class X-A, X-B, X-D, X-F and X-G balances are notional. The collateral consists of 62 fixed-rate loans secured by 136 commercial and multifamily properties. The transaction has a sequential-pay pass-through structure. Six loans, representing 26.1% of the pool, are shadow-rated investment grade by DBRS. Proceeds for the shadow-rated loans are floored at their respective ratings within the pool. When 26.1% of the pool has no proceeds assigned below the rated floor, the resulting subordination is diluted or reduced below the rated floor. The conduit pool was analyzed to determine the provisional ratings, reflecting the long-term probability of loan default within the term and its liquidity at maturity. When the cut-off loan balances were measured against the DBRS Stabilized Net Cash Flow and their respective actual constants, five loans, representing 9.3% of the pool, had a DBRS Term Debt Service Coverage Ratio (DSCR) below 1.15 times (x), a threshold indicative of a higher likelihood of mid-term default. Additionally, to assess refinance risk given the current low interest rate environment, DBRS applied its refinance constants to the balloon amounts. This resulted in 24 loans, representing 60.3% of the pool, having refinance DSCRs below 1.00x, and 17 loans, representing 47.0% of the pool, having refinance DSCRs below 0.90x. These credit metrics are based on whole-loan balances. Six of the top 20 loans — 685 Fifth Avenue Retail Condo, Aventura Mall, Millennium Partners Portfolio, 1745 Broadway, Cool Springs Galleria and Pfizer Building — exhibit credit characteristics consistent with investment-grade shadow ratings of BBB, BBB (high), A (high), BBB (high), A (low) and AAA, respectively. Combined, these loans represent 26.1% of the pool. Only three loans, totaling 4.2% of the transaction balance, are secured by properties that are either fully or primarily leased to a single tenant. The largest of these loans is Pfizer Building, representing 2.1% of the pool balance and 51.1% of the single-tenant concentration, and is shadow-rated investment grade at AAA. Loans secured by properties occupied by single tenants have been found to suffer higher loss severities in an event of default. Seven loans, representing 17.2% of the pool, are secured by 33 hotel properties, including three of the top 15 loans. Hotels have the highest cash flow volatility of all major property types, as their income, which is derived from daily contracts rather than multi-year leases, and their expenses, which are often mostly fixed, are quite high as a percentage of revenue. These two factors cause revenue to fall swiftly during a downturn and cash flow to fall even faster as a result of high operating leverage. However, the loans in the pool secured by hotel properties exhibit a weighted-average (WA) DBRS Debt Yield and DBRS Exit Debt Yield of 10.5% and 11.7%, respectively, which compare quite favorably with the comparable figures of 9.5% and 10.2%, respectively, for the non-hotel properties in the pool. Additionally, the majority, or 95.7%, of such loans are located in established urban or suburban markets that benefit from increased liquidity and more stable performance. The deal appears concentrated by property type, with 18 loans, representing 39.4% of the pool, secured by retail properties. Of the retail property concentration, 27.6% of the loans are located in urban and super-dense urban markets, and no loan secured by a retail property is located in a tertiary or rural market, and two loans, representing 18.7% of the retail concentration, are secured by multiple properties (31 in total), which insulates the loans from issues at any one property. Furthermore, four of these loans, representing 51.5% of the retail concentration and 20.3% of the total pool balance, are shadow-rated investment grade. While the DBRS Refinance (Refi) DSCR is 1.12x, indicating moderate refinance risk on an overall pool level, when excluding the National Cooperative Bank loans, the DBRS Refi DSCR lowers to 1.01x, which indicates a higher level of refinance risk. Twenty-four loans, representing 60.3% of the pool, have DBRS Refi DSCRs below 1.00x, and 17 of these loans, comprising 47.0% of the pool, have DBRS Refi DSCRs less than 0.90x, including seven of the top ten loans and eight of the top 15 loans. These metrics are based on whole-loan balances. Three of the pool's loans with a DBRS Refi DSCR below 0.90x — 685 Fifth Avenue Retail, Aventura Mall and Millennium Partners Portfolio — which represent 18.1% of the transaction balance, are shadow-rated investment grade by DBRS and have a large piece of subordinate mortgage debt outside the trust. Based on A-note balances only, the deal's WA DBRS Refi DSCR, excluding co-operative loans, improves to 1.07x. The pool's DBRS Refi DSCRs for these loans are based on a WA stressed refinance constant of 12.67%, which implies an interest rate of 12.35% amortizing on a 30-year schedule. This represents a significant stress of 7.73% over the WA contractual interest rate of the loans in the pool. DBRS models the probability of default based on the more constraining of the DBRS Term DSCR and DBRS Refi DSCR. Classes X-A, X-B, X-D, X-F, X-G and X-H are interest-only (IO) certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated reference tranche adjusted upward by one notch if senior in the waterfall. Notes: All figures are in U.S. dollars unless otherwise noted. BANK 2018-BNK14: Fitch to Rate $13.10MM Class X-G Certs 'B-sf' -------------------------------------------------------------- Fitch Ratings has issued a presale report on BANK 2018-BNK14 commercial mortgage pass-through certificates, series 2018-BNK14. Fitch expects to rate the transaction and assign Rating Outlooks as follows: -- $53,700,000 class A-1 'AAAsf'; Outlook Stable; -- $111,800,000 class A-2 'AAAsf'; Outlook Stable; -- $46,900,000 class A-SB 'AAAsf'; Outlook Stable; -- $222,000,000d class A-3 'AAAsf'; Outlook Stable; -- $482,921,000d class A-4 'AAAsf'; Outlook Stable; -- $917,321,000b class X-A 'AAAsf'; Outlook Stable; -- $252,263,000b class X-B 'A-sf'; Outlook Stable; -- $155,616,000 class A-S 'AAAsf'; Outlook Stable; -- $47,505,000 class B 'AA-sf'; Outlook Stable; -- $49,142,000 class C 'A-sf'; Outlook Stable; -- $57,332,000ab class X-D 'BBB-sf'; Outlook Stable; -- $26,210,000ab class X-F 'BB-sf'; Outlook Stable; -- $13,104,000ab class X-G 'B-sf'; Outlook Stable; -- $32,761,000a class D 'BBBsf'; Outlook Stable; -- $24,571,000a class E 'BBB-sf'; Outlook Stable; -- $26,210,000a class F 'BB-sf'; Outlook Stable; -- $13,104,000a class G 'B-sf'; Outlook Stable. The following classes are not expected to be rated by Fitch: -- $44,228,600a class H; -- $44,228,600ab class X-H; -- $68,971,505.34c RR Interest. (a) Privately placed and pursuant to Rule 144A. (b) Notional amount and interest-only. (c) Vertical credit risk retention interest representing no less than 5% of the estimated fair value of all classes of regular certificates issued by the issuing entity as of the closing date. (d) The initial certificate balances of class A-3 and class A-4 are unknown and expected to be within the range of $94,000,000 - $350,000,000 and $354,921,000 - $610,921,000, respectively. The certificate balances will be determined based on the final pricing of those classes of certificates. Fitch's certificate balances for classes A-3 and A-4 are based on the midpoints of the respective balance ranges and are estimated to total $704,921,000 in aggregate. The expected ratings are based on information provided by the issuer as of Sept. 12, 2018. The certificates represent the beneficial ownership interest in the trust, primary assets of which are 62 loans secured by 136 commercial properties having an aggregate principal balance of $1,379,430,107 as of the cut-off date. The loans were contributed to the trust by: Wells Fargo Bank, NA, Bank of America, NA, Morgan Stanley Mortgage Capital Holdings LLC Bank, NA and National Cooperative Bank, NA. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 72.8% of the properties by balance, cash flow analysis of 90.6% and asset summary reviews on 90.6% of the pool. KEY RATING DRIVERS Lower Fitch Leverage than Recent Transactions: The pool's Fitch leverage is lower than average compared with other Fitch-rated, fixed-rate, multiborrower transactions. Specifically, the pool's Fitch DSCR of 1.33x is superior to the 2017 and 2018 YTD averages of 1.26x and 1.23x, respectively. The pool's Fitch LTV of 96.0% is also superior to the 2017 and 2018 YTD averages of 101.6% and 102.9%, respectively. Excluding investment-grade credit opinion and multifamily cooperative loans, the pool has a Fitch DSCR and LTV of 1.17x and 107.7%, respectively. Property Type Concentration: The pool has a relatively high exposure to retail properties, which at 39.4% of the pool, far exceeds 2017 and 2018 YTD average concentrations of 24.8% and 27.7%, respectively. However, a large portion of this includes credit opinion loans: Aventura Mall (7.3% of the pool), 685 Fifth Avenue Retail (7.3% of the pool) and Millennium Partners Portfolio (3.6% of the pool). Credit Opinion Loans: Five loans, representing 23.9% of the pool, have investment-grade credit opinions, which is well above both the 2017 average of 11.7% and 2018 YTD average of 10.9%. Aventura Mall (7.3% of the pool) has an investment-grade credit opinion of 'Asf*' on a stand-alone basis. Millennium Partners Portfolio (3.6% of the pool) and Pfizer Building (2.2% of the pool) have investment-grade credit opinions of 'A-sf*' on a stand-alone basis. 685 Fifth Avenue Retail (7.3% of the pool) and 1745 Broadway (3.6% of the pool) have investment-grade credit opinions of 'BBB-sf*' on a stand-alone basis. Combined, the five loans have a weighted average (WA) Fitch DSCR and LTV of 1.26x and 67.1%, respectively. RATING SENSITIVITIES For this transaction, Fitch's NCF was 14.7% below the most recent year's NOI for properties for which a full-year NOI was provided, excluding properties that were stabilizing during this period. Unanticipated further declines in property-level NCF could result in higher defaults and loss severities on defaulted loans and in potential rating actions on the certificates. Fitch evaluated the sensitivity of the ratings assigned to the BANK 2018-BNK14 certificates and found that the transaction displays average sensitivities to further declines in NCF. In a scenario in which NCF declined a further 20% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB+sf' could result. In a more severe scenario, in which NCF declined a further 30% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB-sf' could result. BENCHMARK MORTGAGE 20108-B6: Fitch to Rate Class J-RR Certs 'B-sf' ------------------------------------------------------------------ Fitch Ratings has issued a presale report on Benchmark 2018-B6 Mortgage Trust commercial mortgage pass-through certificates, Series 2018-B6. Fitch expects to rate the transaction and assign Rating Outlooks as follows: -- $19,640,000 class A-1 'AAAsf'; Outlook Stable; -- $159,660,000 class A-2 'AAAsf'; Outlook Stable; -- $265,000,000d class A-3 'AAAsf'; Outlook Stable; -- $305,239,000d class A-4 'AAAsf'; Outlook Stable; -- $32,741,000 class A-AB 'AAAsf'; Outlook Stable; -- $910,798,000a class X-A 'AAAsf'; Outlook Stable; -- $89,403,000a class X-B 'A-sf'; Outlook Stable; -- $128,518,000 class A-S 'AAAsf'; Outlook Stable; -- $46,099,000 class B 'AA-sf'; Outlook Stable; -- $43,304,000 class C 'A-sf'; Outlook Stable; -- $50,290,000ab class X-D 'BBB-sf'; Outlook Stable; -- $27,939,000b class D 'BBBsf'; Outlook Stable; -- $22,351,000b class E 'BBB-sf'; Outlook Stable; -- $11,175,000bc class F-RR 'BB+sf'; Outlook Stable; -- $11,176,000bc class G-RR 'BB-sf'; Outlook Stable; -- $11,175,000bc class J-RR 'B-sf'; Outlook Stable. The following class is not expected to be rated: -- $33,527,108bc class NR-RR. -- $29,485,474bc VRR Interest. (a) Notional amount and interest-only. (b) Privately placed and pursuant to Rule 144A. (c) Horizontal credit risk retention interest. (d) The initial certificate balances of Class A-3 and Class A-4 are unknown but expected to be approximately $570,239,000 in the aggregate. The certificate balances will be determined based on the final pricing of those classes of certificates. The expected range of certificate balances for Class A-3 is 100,000,000 to $265,000,000. The expected range of certificate balances for Class A-4 is $305,239,000 to $470,239,000. Fitch's certificate balances for classes A-3 and A-4 are assumed figures based the range provided for each class. The expected ratings are based on information provided by the issuer as of Sept. 14, 2018. The certificates represent the beneficial ownership interest in the trust, primary assets of which are 55 loans secured by 211 commercial properties having an aggregate principal balance of $1,147,029,582 as of the cut-off date. The loans were contributed to the trust by Citigroup Global Markets Inc., J.P. Morgan Securities LLC and Deutsche Bank Securities Inc. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 70.0% of the properties by balance, cash flow analysis of 84.0%, and asset summary reviews on 100% of the pool. KEY RATING DRIVERS Lower Fitch LTV than Recent Transactions: The pool exhibits better LTV metrics than recent Fitch-rated multi-borrower transactions. The pool's Fitch LTV of 96.7% is lower than the 2017 and YTD 2018 averages of 101.6% and 102.9%, respectively. Given the increase in mortgage rates, the pool's Fitch DSCR of 1.20x is slightly lower than the 2017 and YTD 2018 averages of 1.26x and 1.23x, respectively. Investment-Grade Credit Opinion Loans: Five loans comprising 28.0% of the transaction received an investment-grade credit opinion. Aventura Mall (9.6% of the pool) received a credit opinion of 'Asf*' on a stand-alone basis, Moffett Towers II - Building 1 (6.6% of the pool) received a standalone credit opinion of 'BBB-sf*', West Coast Albertsons Portfolio (5.7% of the pool) received a stand-alone credit opinion of 'BBB+sf*', Workspace (3.5% of the pool) received a credit opinion of 'Asf*' on a stand-alone basis and TriBeCa House Conduit (2.6% of the pool) received a credit opinion of 'BBBsf*' on a stand-alone basis. Excluding these loans, the pool's Fitch DSCR and LTV are 1.05x and 109.5%, respectively. Minimal Amortization: Twenty-two loans (59.9% of the pool) are full-term interest-only and 18 loans (22.8% of the pool) are partial interest-only. The pool is scheduled to amortize just 5.1% of the initial pool balance by maturity, which is lower than the 2017 and YTD 2018 averages of 7.9% and 7.3%, respectively. RATING SENSITIVITIES For this transaction, Fitch's NCF was 14.0% below the most recent year's NOI (for properties for which a full year NOI was provided, excluding properties that were stabilizing during this period). Unanticipated further declines in property-level NCF could result in higher defaults and loss severities on defaulted loans and in potential rating actions on the certificates. Fitch evaluated the sensitivity of the ratings assigned to the Benchmark 2018-B6 certificates and found that the transaction displays average sensitivities to further declines in NCF. In a scenario in which NCF declined a further 20% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'A-sf' could result. In a more severe scenario, in which NCF declined a further 30% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB-sf' could result. CABELA'S CREDIT 2013-I: Fitch Affirms BB+ Rating on Class D Notes ----------------------------------------------------------------- Fitch Ratings has affirmed the long-term ratings assigned to Cabela's Credit Card Master Note Trust (Cabela's CCMNT). The Rating Outlooks remain Stable. KEY RATING DRIVERS Credit Card Receivables Performance: The notes issued by Cabela's CCMNT are secured by a pool of credit card receivables arising under single retailer co-branded revolving credit card accounts. Chargeoff and 60+ delinquency performance has trended slightly upward. The current 12-month average gross chargeoff rate as of August 2018 distribution period is 3.60% compared to 3.08% one year ago. Fitch revised its chargeoff steady state to 6.00% from 5.00% due to worsening chargeoff performance along with year-over-year rising trends observed. Monthly payment rate (MPR), a measure of how quickly consumers are paying off their credit card debts, has declined slightly. Current 12-month average as of the August distribution period registered 33.31% compared to last year's 12-month average of 34.36%. Fitch revised its MPR steady state to 28.00% from 30.00% due to this worsening trend in performance and overall five consecutive annual declines in MPRs since 2013. Fitch attributes the declines in performance to a higher proportion of revolver mix relative to transactors. Gross yield has trended upward over the year due to increasing interest rates (LIBOR).The current 12-month average gross yield is 21.44% compared to the previous year's 20.25%. Fitch revised its gross yield steady state to 15.00% from 14.00% due to improving overall performance. Credit enhancement continues to be sufficient with robust loss multiples that are in line with the current ratings. The Stable Outlook on the notes reflects Fitch's expectation that performance will remain supportive of these ratings, given the steady states and stresses detailed here. Account Originator and Servicer Quality: Fitch believes Capital One to be an effective and capable originator and servicer given its extensive track record. Capital One Bank, NA currently has an IDR of 'A-'/'F1' by Fitch's Financial Institutions group. Counterparty Risk: Fitch's ratings of the notes are dependent on the financial strength of certain counterparties. Fitch believes this risk is currently mitigated as evidenced by the ratings of the applicable counterparties to the transactions. Interest Rate Risk: Interest rate risk is currently mitigated by the available credit enhancement. Credit enhancement (CE) totaling 15.0% supporting the class A notes is derived from 8.0% subordination of class B notes, 4.25% subordination of class C notes, 2.75% subordination of class D notes and an unfunded cash collateral account (CCA). Class B notes are supported by a total of 7.0% CE, derived from 4.25% subordination of class C notes, 2.75% subordination of class D notes and an unfunded CCA. Class C notes are supported by a total of 2.75% subordination of class D notes, a spread account and an unfunded CCA. Class D notes are supported by a spread account and an unfunded CCA. Funds in the spread account are for the benefit of class C and D notes only. Steady State: Annualized Chargeoffs - to 6.00% from 5.00%; Monthly Payment Rate - to 28.00% from 30.00%; Annualized Gross Yield - to 15.00% from 14.00%; Purchase Rate - 100.00%. 'AAAsf' Rating Level Stresses (for 'AAAsf'/'AAsf'/'BBB+sf'/'BBBsf'/'BB+sf'/'BBsf'): Chargeoffs (increase) - 4.50x/3.75x/2.50x/2.25x/1.92x/1.75x from 5.00x/4.13x/2.75x/2.50x/2.17x/2.00x; Payment Rate (% decrease) - 55.00%/50.60%/41.80%/39.60%/33.73%/30.80% from 60.00%/55.20%/45.60%/43.20%/36.80%/33.60%; Gross Yield (% decrease) - 35.00%/30.00%/21.67%/20.00%/16.67%/15.00%; Purchase Rate (% decrease) - 65.00%/60.00%/46.67%/45.00%/41.67%/40.00%. RATING SENSITIVITIES Rating sensitivity to increased charge-off rate: Current ratings for Class A, Class B, Class C, and Class D (steady state: 6.00%): 'AAAsf'; 'AAsf'; 'BBB+/BBBsf'; 'BB+/BBsf'; Increase base case by 25%: 'AAAsf'; 'AAsf'; 'BBB+sf'; BB-sf; Increase base case by 50%: 'AAAsf'; 'A+sf'; 'BBBsf'; B+sf; Increase base case by 75%: 'AAAsf'; 'Asf'; 'BBB-sf'; Bsf; Rating sensitivity to reduced purchase rate: Current ratings for Class A, Class B, Class C, and Class D (100% base assumption): 'AAAsf'; 'AAsf'; 'BBB+/BBBsf'; 'BB+/BBsf'; Reduce base case by 50%: 'AAAsf'; 'AAsf'; 'A-sf'; 'BB+sf'; Reduce base case by 75%: 'AAAsf'; 'AAsf'; 'BBBsf'; 'BBsf'; Reduce base case by 100%: 'AAAsf'; 'A+sf'; 'BBBsf'; 'BB-sf'; Rating sensitivity to increased charge-off rate and reduced MPR: Current ratings for Class A, Class B, Class C, and Class D (chargeoff steady state: 6.00%; MPR steady state: 28.00%): 'AAAsf'; 'AAsf'; 'BBB+/BBBsf'; 'BB+/BBsf'; Increase charge-off rate by 25% and reduce MPR by 15%: 'AAAsf'; 'A+sf'; 'BBB+sf'; 'BB-sf'; Increase charge-off rate by 50% and reduce MPR by 25%: 'AA+sf'; 'A-sf'; 'BBB-sf'; 'Bsf'; Increase charge-off rate by 75% and reduce MPR by 35%: 'AA-sf'; 'BBBsf'; 'Bsf'; lower than 'Bsf'; USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. Fitch has affirmed the following ratings: Cabela's Credit Card Master Note Trust Series 2013-I: -- Class A at 'AAAsf'; Outlook Stable; -- Class B at 'AAsf'; Outlook Stable; -- Class C at 'BBB+sf'; Outlook Stable; -- Class D at 'BB+sf'; Outlook Stable; Cabela's Credit Card Master Note Trust Series 2014-II: -- Class A at 'AAAsf'; Outlook Stable; -- Class B at 'AAsf'; Outlook Stable; -- Class C at 'BBBsf'; Outlook Stable; -- Class D at 'BBsf'; Outlook Stable; Cabela's Credit Card Master Note Trust Series 2015-I: -- Class A-1 at 'AAAsf'; Outlook Stable; -- Class A-2 at 'AAAsf'; Outlook Stable; -- Class B at 'AAsf'; Outlook Stable; -- Class C at 'BBB+sf'; Outlook Stable; -- Class D at 'BB+sf'; Outlook Stable; Cabela's Credit Card Master Note Trust Series 2015-II: -- Class A-1 at 'AAAsf'; Outlook Stable; -- Class A-2 at 'AAAsf'; Outlook Stable; -- Class B at 'AAsf'; Outlook Stable; -- Class C at 'BBB+sf'; Outlook Stable; -- Class D at 'BB+sf'; Outlook Stable; Cabela's Credit Card Master Note Trust Series 2016-I: -- Class A-1 at 'AAAsf'; Outlook Stable; -- Class A-2 at 'AAAsf'; Outlook Stable; -- Class B at 'AAsf'; Outlook Stable; -- Class C at 'BBB+sf'; Outlook Stable; -- Class D at 'BB+sf'; Outlook Stable. CARLYLE GLOBAL 2014-5: S&P Assigns B-(sf) Rating on Cl. F-RR Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Carlyle Global Market Strategies CLO 2014-5 Ltd.'s floating-rate notes. This is a refinancing of a transaction that originally closed in December 2014 and, subsequently, was refinanced. S&P did not rate the original or refinanced notes. The note issuance is a collateralized loan obligation (CLO) transaction backed by primarily broadly syndicated speculative-grade senior secured term loans that are governed by collateral quality tests. 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 Carlyle Global Market Strategies CLO 2014-5 Ltd. Class Rating Amount (mil. $) A-l-RR AAA (sf) 309.50 A-2-RR NR 14.25 B-RR AA (sf) 58.75 C-RR A (sf) 32.50 D-RR BBB- (sf) 25.00 E-RR BB- (sf) 19.00 F-RR B- (sf) 7.00 Subordinated notes NR 49.95 NR--Not rated. CARLYLE US 2018-3: Moody's Assigns Ba3 Rating on Class D Notes -------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to six classes of notes to be issued by Carlyle US CLO 2018-3, Ltd. Moody's rating action is as follows: US$244,000,000 Class A-1a Senior Secured Floating Rate Notes due 2030 (the "Class A-1a Notes"), Assigned (P)Aaa (sf) US$18,000,000 Class A-1b Senior Secured Floating Rate Notes due 2030 (the "Class A-1b Notes"), Assigned (P)Aaa (sf) US$39,800,000 Class A-2 Senior Secured Floating Rate Notes due 2030 (the "Class A-2 Notes"), Assigned (P)Aa2 (sf) US$20,000,000 Class B Mezzanine Secured Deferrable Floating Rate Notes due 2030 (the "Class B Notes"), Assigned (P)A2 (sf) US$25,400,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2030 (the "Class C Notes"), Assigned (P)Baa3 (sf) US$20,800,000 Class D Junior Secured Deferrable Floating Rate Notes due 2030 (the "Class D Notes"), Assigned (P)Ba3 (sf) The Class A-1a Notes, the Class A-1b Notes, the Class A-2 Notes, the Class B Notes, the Class C Notes and the Class D Notes are referred to herein, collectively, as the "Rated Notes." Moody's issues provisional ratings in advance of the final sale of financial instruments, but these ratings only represent Moody's preliminary credit opinions. Upon a conclusive review of a transaction and associated documentation, Moody's will endeavor to assign definitive ratings. A definitive rating, if any, may differ from a provisional rating. RATINGS RATIONALE Moody's provisional ratings of the Rated Notes address the expected losses posed to noteholders. The provisional ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. Carlyle 2018-3 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, and up to 10% of the portfolio may consist of second lien loans and unsecured loans. Moody's expects the portfolio to be approximately 80% ramped as of the closing date. Carlyle CLO Management L.L.C. will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets, subject to certain restrictions. In addition to the Rated Notes, the Issuer will issue subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2017. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $400,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 2820 Weighted Average Spread (WAS): 3.25% Weighted Average Coupon (WAC): 6.50% Weighted Average Recovery Rate (WARR): 47.0% 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. CATAMARAN CLO 2018-1: S&P Assigns Prelim BB- Rating on E Notes -------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Catamaran CLO 2018-1 Ltd.'s floating-rate notes. The note issuance is a collateralized loan obligation (CLO) transaction backed by primarily broadly syndicated speculative-grade senior secured term loans that are governed by collateral quality tests. The preliminary ratings are based on information as of Sept. 19, 2018. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The diversified collateral pool, which consists primarily of broadly syndicated speculative-grade senior secured term loans that are governed by collateral quality tests. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. PRELIMINARY RATINGS ASSIGNED Catamaran CLO 2018-1 Ltd. Class Rating Amount (mil. $) A-1 AAA (sf) 244.00 A-2 NR 8.00 B AA (sf) 52.00 C (deferrable) A (sf) 24.00 D (deferrable) BBB- (sf) 20.00 E (deferrable) BB- (sf) 19.25 Subordinated notes NR 40.35 NR--Not rated. CIM TRUST 2018-INV1: Moody's Assigns Ba1 Rating on Class B-4 Debt ----------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to 19 classes of residential mortgage-backed securities issued by CIM Trust 2018-INV1. The ratings range from (P)Aaa (sf) to (P)Ba2 (sf). CIM 2018-INV1, the second rated issue from Chimera Trust in 2018, is a prime RMBS securitization of fixed-rate investment property mortgage loans secured by first liens on agency-eligible non-owner occupied residential properties with original terms to maturity between 10 and 30 years. All of the loans are underwritten in accordance with Freddie Mac or Fannie Mae guidelines, which take into consideration, among other factors, the income, assets, employment and credit score of the borrower. All the loans were run through one of the government-sponsored enterprises' (GSE) automated underwriting systems (AUS) and received an "Approve" or "Accept" recommendation. The mortgage loans for this transaction were acquired by the affiliates of the sponsor, Chimera Funding TRS LLC and Chimera Residential Mortgage Inc. (the sellers) from Bank of America, National Association (BANA). BANA acquired the mortgage loans through its whole loan purchase program from various originators. Shellpoint Mortgage Servicing (Shellpoint) and TIAA, FSB will service 92% and 8% of the aggregate balance of the mortgage pool, respectively, and Wells Fargo Bank, N.A. (Aa2) will be the master servicer. The servicers will be primarily responsible for funding certain servicing advances and delinquent scheduled interest and principal payments for the mortgage loans, unless the servicer determines that such amounts would not be recoverable. The master servicer is obligated to fund any required monthly advances if the servicer fails in its obligation to do so. The master servicer and servicer will be entitled to reimbursements for any such monthly advances from future payments and collections (including insurance and liquidation proceeds) with respect to those mortgage loans. CIM 2018-INV1 has a shifting interest structure with a five-year lockout period that benefits from a senior subordination floor and a subordinate floor. Moody's coded the cash flow to each of the certificate classes using Moody's proprietary cash flow model. In its analysis of tail risk, Moody's considered the increased risk from borrowers with more than one mortgage in the pool. The complete rating actions are as follows: Issuer: CIM Trust 2018-INV1 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aa1 (sf) Cl. A-14, Assigned (P)Aa1 (sf) Cl. B-1, Assigned (P)Aa2 (sf) Cl. B-2, Assigned (P)A1 (sf) Cl. B-3, Assigned (P)A3 (sf) Cl. B-4, Assigned (P)Ba1 (sf) Cl. B-5, Assigned (P)B2 (sf) RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Moody's expected cumulative net loss on the aggregate pool is 1.00% in a base scenario and reaches 11.20% at a stress level consistent with the Aaa ratings. Its loss estimates are based on a loan-by-loan assessment of the securitized collateral pool as of the cut-off date using Moody's Individual Loan Level Analysis (MILAN) model. Loan-level adjustments to the model included adjustments to borrower probability of default for higher and lower borrower debt-to-income ratios (DTIs), for borrowers with multiple mortgaged properties, self-employed borrowers, and for risks related to mortgaged properties in Homeownership associations (HOAs) in super lien states. Its final loss estimates also incorporate adjustments for originator assessments and the strength of the representation and warranty (R&W) framework. Moody's bases its provisional ratings on the certificates on the credit quality of the mortgage loans, the structural features of the transaction, its assessments of the aggregators, originators and servicers, the strength of the third party due diligence and the R&W framework of the transaction. Collateral Description The CIM 2018-INV1 transaction is a securitization of 1,472 investment property mortgage loans secured by first liens on one-to-four family residential investment properties, planned unit developments and condominiums with an unpaid principal balance of $407,991,627. The majority of the loans have a 30-year original term (96% by balance); 15-year term loans make up about 3% of the pool and 20-year term loans make up about 1%. The mortgage pool has a WA seasoning of four months. The loans in this transaction have strong borrower characteristics with a weighted average original FICO score of 768 and a weighted-average original combined loan-to-value ratio (CLTV) of 67.6%. In addition, 31% of the borrowers are self-employed and refinance loans comprise about 41% of the aggregate pool. The pool has a high geographic concentration with 43% of the aggregate pool located in California and 17% located in the Los Angeles-Long Beach-Anaheim, CA MSA. The characteristics of the loans underlying the pool are generally comparable to other recent prime RMBS transactions backed primarily by 30-year mortgage loans that Moody's has rated. Origination Loans in the pool were originated by 10 different originators. The largest originators in the pool with more than 10% by balance are Caliber Home Loans, Inc. (26%), Amerihome Mortgage Company, LLC (15%), Home Point Financial Corporation (12%) and Sierra Pacific Mortgage Company, Inc. (11%). Third Party Review and Reps & Warranties (R&W) Two third party review (TPR) firms verified the accuracy of the loan-level information that Moody's received from the sponsor. These firms conducted detailed credit, property valuation, data integrity and regulatory compliance reviews on 100% of the mortgage pool. The TPR results indicated compliance with the originators' and aggregators' underwriting guidelines for the vast majority of the loans, no material compliance issues, and no material appraisal defects. Each originator will provide comprehensive loan level reps and warranties for their respective loans. BANA will assign each originator's R&W to the sellers, who will in turn assign to the depositor, which will assign to the trust. To mitigate the potential concerns regarding the originators' ability to meet their respective R&W obligations, the sellers will backstop the R&Ws for all originators loans. The sellers obligation to backstop third party R&Ws will terminate 5 years after the closing date, subject to certain performance conditions. The sellers will also provide the gap reps. While Moody's acknowledges the sellers relatively weak financial strength, the collateral pool benefits from the diversity of the originators and the sellers' backtop. The R&W framework is adequate in part because the results of the independent TPRs revealed a high level of compliance with underwriting guidelines and regulations, as well as overall adequate appraisal quality. These results give confidence that the loans do not systemically breach the R&Ws the originators have made and that the originators are unlikely to face material repurchase requests in the future. The loan-level R&Ws are strong and, in general, either meet or exceed the baseline set of credit-neutral R&Ws Moody's identified for US RMBS. Among other considerations, the R&Ws address property valuation, underwriting, fraud, data accuracy, regulatory compliance, the presence of title and hazard insurance, the absence of material property damage, and the enforceability of mortgage. Tail Risk and 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 senior subordination floor of 2.20% of the closing pool balance, which mitigates tail risk by protecting the senior bonds from eroding credit enhancement over time. Additionally there is a subordination lock-out amount which is 1.00% of the closing pool balance. Exposure to Extraordinary expenses Extraordinary trust expenses in this transaction are deducted from net WAC. Moody's believes there is a very low likelihood that the rated certificates in CIM 2018-INV1 will incur any losses from extraordinary expenses or indemnification payments from potential future lawsuits against key deal parties. Firstly, the loans are of prime quality and were originated under a regulatory environment that requires tighter controls for originations than pre-crisis, which reduces the likelihood that the loans have defects that could form the basis of a lawsuit. Secondly, the transaction has reasonably well-defined processes in place to identify loans with defects on an ongoing basis. In this transaction, an independent breach reviewer must review loans for breaches of representations and warranties when certain clearly defined triggers have been breached which reduces the likelihood that parties will be sued for inaction. Furthermore, the issuer has disclosed the results of a credit, compliance and valuation review of 100% of the mortgage loans by independent third. Other Considerations In CIM 2018-INV1, the controlling holder has the option to hire at its own expense the independent reviewer upon the occurrence of a review event. If there is no Controlling Holder (no single entity holds a majority of the Class Principal Amount of the most subordinate class of certificates outstanding), the trustee will appoint an independent reviewer at the cost of the trust. However, if the controlling holder does not hire the independent reviewer, the holders of more than 50% of the aggregate voting interests of all outstanding certificates may direct (at their expense) the trustee to appoint an independent reviewer. In this transaction, the controlling holder can be the depositor or a seller (or an affiliate of these parties). If the controlling holder is affiliated with the depositor, seller or Sponsor, then the controlling holder may not be motivated to discover and enforce R&W breaches for which its affiliate is responsible. The servicer will not commence foreclosure proceedings on a mortgage loan unless the servicer has notified the controlling holder at least five business days in advance of the foreclosure and the controlling holder has not objected to such action. If the controlling holder objects, the servicer has to obtain three appraisals from the appraisal firms as listed in the pooling and servicing agreement. The cost of the appraisals are borne by the controlling holder. The controlling holder will be required to purchase such mortgage loan at a price equal to the highest of the three appraisals plus accrued and unpaid interest on such mortgage loan as of the purchase date. If the servicer cannot obtain three appraisals there are alternate methods for determining the purchase price. If the controlling holder fails to purchase the mortgage loan within the time frame, the controlling holder forfeits any foreclosure rights thereafter. Moody's considers this credit neutral because a) the appraiser is chosen by the servicer from the approved list of appraisers, b) the fair value of the property is decided by the servicer, based on third party appraisals, and c) the controlling holder will pay the fair price and accrued interest. Factors that would lead to an upgrade or downgrade of the ratings: Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. CITIGROUP COMMERCIAL 2017-P8: DBRS Confirms BB Rating on X-F Debt ----------------------------------------------------------------- DBRS Limited confirmed all classes of Commercial Mortgage Pass-Through Certificates, Series 2017-P8 (the Certificates) issued by Citigroup Commercial Mortgage Trust 2017-P8 as listed below. -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-AB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AAA (sf) -- Class X-B at AAA (sf) -- Class V-2A at AAA (sf) -- Class V-2B at AAA (sf) -- Class C at A (high) (sf) -- Class V-2C at A (high) (sf) -- Class V-3AC at A (high) (sf) -- Class X-D at BBB (high) (sf) -- Class D at BBB (sf) -- Class V-2D at BBB (sf) -- Class V-3D at BBB (sf) -- Class X-E at BBB (low) (sf) -- Class E at BB (high) (sf) -- Class X-F at BB (sf) -- Class F at BB (low) (sf) All trends are Stable. The rating confirmations reflect the stable performance of the transaction, which has remained in line with DBRS's expectations since issuance. The collateral consists of 53 loans secured by 167 commercial and multifamily properties. As of the August 2018 remittance, the pool had an aggregate principal balance of $1,083.7 million, representing a collateral reduction of 0.3% since issuance. Loans representing 18.9% of the current pool balance are reporting updated year-end 2017 figures, and 86.8% have provided Q1 2018 or Q2 2018 financials. Loans providing 2018 financials reported a weighted-average (WA) debt-service coverage ratio (DSCR) and WA debt yield of 1.88 times (x) and 9.7%, respectively. The DBRS WA DSCR and WA debt yield for the pool at issuance was 1.82x and 9.0%, respectively. At issuance, four loans, representing 17.7% of the current pool balance, were shadow-rated investment grade. These loans include 225 & 233 Park Avenue South (Prospectus ID#1), General Motors Building (Prospectus ID#2), The Grove at Shrewsbury (Prospectus ID#7) and Lakeside Shopping Center (Prospectus ID#13). With this review, DBRS confirms that the performance of all four loans remains consistent with investment-grade loan characteristics. The 245 Park Avenue loan (Prospectus ID#27) was assigned a non-investment-grade rating at issuance, but that has since been removed due to a pending transfer of ownership interest and potential drop in equity behind the loan. For additional information on these loans, please see the DBRS Viewpoint platform, for which information has been provided below. As of the August 2018 remittance, there were two loans on the servicer's watch list, representing 3.9% of the current pool balance. Both of these loans are being monitored for DSCR declines from issuance. In general, the DSCR declines are expected to be temporary, and DBRS expects the loans to return to issuance performance levels in the near term. Classes X-A, X-B, X-D, X-E and X-F are interest-only (IO) certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. Notes: All figures are in U.S. dollars unless otherwise noted. COLONNADE GLOBAL 2017-3: DBRS Confirms BB(high) Rating on K Debt ---------------------------------------------------------------- DBRS Ratings Limited confirmed its provisional ratings of 11 tranches issued by Colonnade Global 2017-3 (the Issuer) as follows: -- USD1,364,423,529 Tranche A at AAA (sf) -- USD22,070,588 Tranche B at AA (high) (sf) -- USD8,564,706 Tranche C at AA (sf) -- USD10,211,765 Tranche D at AA (low) (sf) -- USD19,764,706 Tranche E at A (high) (sf) -- USD5,929,412 Tranche F at A (sf) -- USD15,482,353 Tranche G at A (low) (sf) -- USD21,411,765 Tranche H at BBB (high) (sf) -- USD7,082,353 Tranche I at BBB (sf) -- USD9,552,941 Tranche J at BBB (low) (sf) -- USD22,564,706 Tranche K at BB (high) (sf) The ratings confirmed by DBRS are expected to remain provisional until the moment the underlying agreements are executed. However, it is important to note that Barclays (the Originator) may have no intention of executing the senior guarantee. DBRS will maintain and monitor the provisional ratings throughout the life of the transaction or while it continues to receive performance information. The ratings address the likelihood of a reduction to the respective tranche notional amounts resulting from borrower defaults within the guaranteed portfolio of the notional loan portfolio financial guarantee during the eight-year credit protection period. The borrower default events are limited to failure to pay, bankruptcy and restructuring. The ratings take into consideration the creditworthiness of the reference portfolio only. The ratings do not address counterparty risk or the likelihood of any event of default or termination events under the agreement occurring. The transaction is a synthetic balance-sheet collateralized loan obligation structured in the form of a financial guarantee. The loans were originated by Barclays' investment banking division. Barclays bought protection under a similar financial guarantee for the first loss piece but has not executed the contracts relating to the rated tranches. Under the unexecuted guarantee agreement, Barclays will transfer the remaining credit risk (to 100% from 8.5%) of the same USD 1,647 million portfolio. The confirmation follows an annual review of the transaction. Based on the investor report, as of August 2018 there were no cumulative defaults and the credit enhancement levels for each of the tranches remain the same as at closing. The transaction has a two-year replenishment period left, during which time Barclays can add new reference obligations or increase the notional amount of existing reference obligations. The replenishment period follows rules-based selection guidelines that are designed to ensure the new reference obligations are not adversely selected. In addition, the new reference obligations also need to comply with the eligibility criteria and portfolio profile tests which are established to ensure that the credit quality of new reference obligations proposed are similar or better than the reference obligations they replace. The credit facilities under the reference portfolio can be drawn in various currencies but any negative impact from currency movements is neutralized. As such, movements in the foreign exchange rate should not have a negative impact on the rated tranches. DBRS also took comfort from the portfolio profile test that limits the guaranteed obligations that can be denominated in a currency other than the U.S. dollar, British pound sterling, Japanese yen, Canadian dollar, euro, Swedish krona, Norwegian krone, Danish krone and Australian dollar (other currencies are referred to as minority currencies) to 2%. However, each reference obligation can reference a broad number of interest rate indices around the world. The interest rate index, spread and interest payment frequency will determine the amount of additional risk that the guarantee has to cover. To address this risk, DBRS has calculated stressed interest rates based on its "Interest Rate Stresses for European Structured Finance Transactions" methodology as well as the spread and weighted-average (WA) payment frequency covenants defined as part of the transaction's portfolio profile tests. DBRS assumed a stressed interest rate index of 7.6% for the obligations denominated in eligible currencies and a stressed interest rate index of 37.9% for the obligations denominated in a minority currency. The analysis above was used to haircut the standard recovery rate assumptions applied. For example, at the AAA (sf) stress level the unsecured recovery rate for an obligor in a DBRS recovery Tier 1 country was reduced to 24.2% from 28.5%. This adjustment was made to account for the additional risk posed by the accrual interest coverage of the guarantee. For the recovery rate, DBRS applied the senior secured and senior unsecured recovery rates defined in its "Rating CLOs and CDOs of Large Corporate Credit" methodology. The portfolio can reference obligations from obligors based in Australia, Austria, Belgium, Brazil, Canada, the Cayman Islands, Chile, the Czech Republic, Denmark, Finland, France, Germany, Ireland, the Isle of Man, Italy, Japan, Jersey, Luxembourg, Mexico, the Netherlands, New Zealand, Norway, Poland, Portugal, Romania, South Korea, Spain, Sweden, Switzerland or the United Kingdom. DBRS applies different recovery rates depending on the recovery tier and seniority. All the eligible borrowers will be based in countries with a DBRS recovery Tier 1 (higher recovery) to recovery Tier 5 (lower recovery). For the recovery rate, DBRS assumed all reference obligations to be senior unsecured and applied the recovery rates defined in its "Rating CLOs and CDOs of Large Corporate Credit" methodology and adjusted as per the analysis mentioned above. The portfolio WA recovery rate was calculated based on the worst-case concentration allowed under the portfolio profile tests and adjusted as per the analysis mentioned above. DBRS used the CLO Asset Model to determine expected default rates for the portfolio at each rating level. To determine the credit risk of each underlying reference obligation, DBRS relied on either public ratings or a ratings mapping to DBRS ratings of Barclays' internal ratings models. The mapping was completed in accordance with DBRS's "Mapping Financial Institution Internal Ratings to DBRS Ratings for Global Structured Credit Transactions" methodology. The eligibility criteria exclude obligations that are either subordinated, defined as either project finance, structured finance or currently in credit watch with a value of "2" or worse. The maximum single borrower group concentration allowed is 2.7% for borrower groups with the better internal rating score, with lower single borrower concentration limits for borrower groups with lower internal rating scores. Notes: All figures are in United States dollars unless otherwise noted. COLONY MULTIFAMILY 2014-1: Moody's Hikes Rating on F Certs to B1 ---------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on five classes and affirmed the ratings on two classes in Colony Multifamily Mortgage Trust 2014-1, Commercial Pass-Through Certificates, Series 2014-1: Cl. A, Affirmed Aaa (sf); previously on Jun 19, 2018 Affirmed Aaa (sf) Cl. B, Upgraded to Aaa (sf); previously on Jun 19, 2018 Upgraded to Aa1 (sf) Cl. C, Upgraded to Aaa (sf); previously on Jun 19, 2018 Upgraded to Aa3 (sf) Cl. D, Upgraded to Aa3 (sf); previously on Jun 19, 2018 Upgraded to Baa1 (sf) Cl. E, Upgraded to Baa1 (sf); previously on Jun 19, 2018 Upgraded to Ba1 (sf) Cl. F, Upgraded to B1 (sf); previously on Jun 19, 2018 Affirmed B3 (sf) Cl. X, Affirmed B1 (sf); previously on Jun 19, 2018 Affirmed B1 (sf) RATINGS RATIONALE The rating on Cl. A was affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR), and the transaction's Herfindahl Index (Herf) are within acceptable ranges. The ratings on the other P&I classes, Cl. B, Cl. C, Cl. D, Cl. E and Cl. F, were upgraded primarily due to an increase in credit support resulting from paydowns, prepayments, and amortization. The deal has paid down 6.4% since Moody's last review and 67.5% since securitization. The rating of the interest-only class, Cl. X, was affirmed because of the credit quality of the referenced classes. Moody's rating action reflects a base expected loss of 11.0% of the current pooled balance, compared to 9.8% at Moody's last review. Moody's base expected loss plus realized losses is now 4.2% of the original pooled balance, compared to 4.0% at the last review. 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 Colony Multifamily Mortgage Trust 2014-1, Cl. A, 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 Colony Multifamily Mortgage Trust 2014-1, Cl. X 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 August 22, 2018 distribution date, the transaction's aggregate certificate balance has decreased by 67.5% to $102.6 million from $315.9 million at securitization. The certificates are collateralized by 118 mortgage loans ranging in size from less than 1% to 3.0% of the pool, with the top ten loans (excluding defeasance) constituting 22.6% of the pool. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 80, compared to 84 at Moody's last review. Twenty-two loans, constituting 17% 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. Nine loans have been liquidated from the pool at a loss, contributing to an aggregate realized loss of $1.8 million (for an average loss severity of 23%). Four loans, constituting 5.2% of the pool, are currently in special servicing. The largest specially serviced loan is the Elm Grove Garden Apartments ($2.3 million -- 2.2% of the pool), which is secured by an 84-unit garden-style multifamily property located in Baton Rouge, Louisiana. The loan was transferred to the special servicer in November 2014 for payment default. The property operates under the Louisiana Housing Finance Authority Housing Assistance Program Payment Contract (HAP) program. After the property was placed into receivership, it was noted that substantial improvements would be required to maintain the HAP contract. A buyer approved by HUD recently made an offer of $1.0 million ($11,905/unit). If the sale cannot be consummated the tenants will be relocated to another property. The loan matures in 2036 and is partial recourse to the borrower. The remaining three specially serviced loans are secured by multifamily properties. Moody's estimates an aggregate $4.1 million loss for the specially serviced loans (78% expected loss on average). Moody's has also assumed a high default probability for 15 poorly performing loans, constituting 11.5% of the pool, and has estimated an aggregate loss of $2.9 million (a 25% expected loss on average) from these troubled loans. Moody's received full year 2016 operating results for 55% of the pool, and full or partial year 2017 operating results for 55% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 92%, compared to 93% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 29% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 10.5%. Moody's actual and stressed conduit DSCRs are 1.43X and 1.33X, respectively, compared to 1.44X and 1.33X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The top three conduit loans represent 7.9% of the pool balance. The largest loan is the Saddle Creek Apartments Loan ($3.0 million -- 3.0% of the pool), which is secured by a 107-unit, garden-style, multifamily property located in Cincinnati, Ohio, approximately 25 miles north of the Cincinnati CBD. The property was 86% leased as of December 2015. The loan matures in June 2037 and is full recourse to the borrower. Moody's LTV and stressed DSCR are 122% and 0.87X, respectively, compared to 123% and 0.86X at the last review. The second largest loan is the Orchard Apartments Loan ($2.9 million -- 2.8% of the pool), which is secured by a 97-unit, garden-style, multifamily property located in Tehachapi, California approximately 120 miles north of Los Angeles and 40 miles east of Bakersfield. The property was 98% occupied at securitization. The loan matures in July 2035 and was structured with partial recourse to the borrower. Moody's LTV and stressed DSCR are 71% and 1.60X, respectively, compared to 71% and 1.59X at the last review. The third largest loan is the Park Villa Apartments Loan ($2.2 million -- 2.2% of the pool), which is secured by a 96-unit, garden-style, multifamily property located in San Bernardino, California. The property was 96% leased as of December 2017. The loan is due to mature in June 2035 and is non-recourse to the borrower. Moody's LTV and stressed DSCR are 58% and 2.15X, respectively, compared to 58% and 2.13X at the last review. COLT 2018-3: DBRS Finalizes BB Rating on Class B-1 Certs -------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the COLT 2018-3 Mortgage Pass-Through Certificates, Series 2018-3 (the Certificates) issued by COLT 2018-3 Mortgage Loan Trust (the Trust) as follows: -- $229.2 million Class A-1 at AAA (sf) -- $31.5 million Class A-2 at AA (sf) -- $29.5 million Class A-3 at A (sf) -- $15.8 million Class M-1 at BBB (sf) -- $5.8 million Class M-2 at BBB (low) (sf) -- $9.6 million Class B-1 at BB (sf) -- $6.6 million Class B-2 at B (sf) The AAA (sf) rating on the Certificates reflects the 33.10% of credit enhancement provided by subordinated Certificates in the pool. The AA (sf), A (sf), BBB (sf), BBB (low) (sf), BB (sf) and B (sf) ratings reflect 23.90%, 15.30%, 10.70%, 9.00%, 6.20% and 4.27% 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 fixed- and adjustable-rate, prime and non-prime first-lien residential mortgages. The Certificates are backed by 700 loans with a total principal balance of $342,650,149 as of the Cut-Off Date (September 1, 2018). Caliber Home Loans, Inc. (Caliber) is the originator and servicer for 100.0% of the portfolio. The Caliber mortgages were originated under the following five programs: (1) Premier Access (59.4%) – Generally made to borrowers with unblemished credit. These loans may have interest-only features, higher debt-to-income (DTI) and loan-to-value (LTV) ratios or lower credit scores compared with those in traditional prime jumbo securitizations. (2) Homeowner's Access (20.2%) – Made to borrowers who do not qualify for agency or prime jumbo mortgages for various reasons, such as loan size in excess of government limits, alternative or insufficient credit or prior derogatory credit events that occurred more than two years prior to origination. (3) Fresh Start (11.5%) – Made to borrowers with lower credit and significant recent credit events within the past 24 months. (4) Elite Access (7.1%) – Generally made to borrowers with strong credit history seeking loans with non-conforming balances who do not meet strict prime jumbo guidelines for various reasons. These loans may have IO features, higher DTI and LTV ratios, or lower credit scores as compared with those in traditional prime jumbo securitizations. This program has higher minimum FICO requirements than Premier Access and does not allow for mortgage latest in the past 12 months. (5) Investor (1.9%) – Made to borrowers who finance investor properties where the mortgage loan would not meet agency or government guidelines because of such factors as property type, number of financed properties, lower borrower credit score or a seasoned credit event. Wells Fargo Bank, N.A. (Wells Fargo; rated AA with a Stable trend by DBRS) will act as the Master Servicer, Securities Administrator and Certificate Registrar. U.S. Bank National Association (rated AA (high) with a Stable trend by DBRS) will serve as Trustee. Although the mortgage loans were originated to satisfy Consumer Financial Protection Bureau (CFPB) ability-to-repay (ATR) rules, they were made to borrowers who generally do not qualify for agency, government or private-label non-agency prime jumbo products for the various reasons described above. In accordance with CFPB Qualified Mortgage (QM) rules, 6.3% of the loans are designated as QM Safe Harbor, 26.1% as QM Rebuttable Presumption and 65.7% as non-QM. Approximately 1.9% of the loans are not subject to the QM rules. The Servicer will generally fund advances of delinquent principal and interest on any mortgage until such loan becomes 180 days delinquent. It is obligated to make advances in respect of taxes, insurance premiums and reasonable costs incurred in the course of servicing and disposing of properties. On or after the earlier of (1) the two-year anniversary of the Closing Date and (2) the date when the aggregate stated principal balance of the mortgage loans is reduced to 30% of the Cut-Off Date balance, the Depositor has the option to purchase all of the outstanding Certificates at a price equal to the outstanding class balance, plus accrued and unpaid interest, including any cap carry-over amounts. The transaction employs a sequential-pay cash flow structure with a pro rata principal distribution among the senior tranches. Principal proceeds can be used to cover interest shortfalls on the Certificates as the outstanding senior Certificates are paid in full. The ratings reflect transactional strengths that include the following: (1) ATR Rules and Appendix Q Compliance: All of the mortgage loans were underwritten in accordance with the eight underwriting factors of the ATR rules. In addition, Caliber's underwriting standards comply with the Standards for Determining Monthly Debt and Income as set forth in Appendix Q of Regulation Z with respect to income verification and the calculation of DTI ratios. However, 180 loans were permitted to have non-material deviations from Appendix Q. (2) Strong Underwriting Standards: Whether for prime or non-prime mortgages, underwriting standards have improved significantly from the pre-crisis era. The Caliber loans were underwritten to a full documentation standard with respect to verification of income (generally through two years of W-2s or tax returns), employment and assets. Generally, fully executed 4506-Ts are obtained and tax returns are verified with IRS transcripts, if applicable. (3) Robust Loan Attributes and Pool Composition: -- The mortgage loans in this portfolio generally have robust loan attributes, as reflected in combined LTV ratios, borrower household income and liquid reserves, including the loans in Homeowner's Access and Fresh Start, the two programs with weaker borrower credit. -- The pool contains low proportions of cash-out and investor properties. -- As the programs move down the credit spectrum, certain characteristics, such as lower LTVs or DTIs, suggest the consideration of compensating factors for riskier pools. -- The pool comprises 47.8% fixed-rate mortgages, which have the lowest default risk because of the stability of monthly payments. The pool comprises 52.2% hybrid adjustable-rate mortgages (ARMs) with an initial fixed period of five to seven years, allowing borrowers sufficient time to credit cure before rates reset. (4) Satisfactory Third-Party Due Diligence Review: A third-party due diligence firm conducted property valuation, credit and compliance reviews on 100% of the loans in the pool. Data integrity checks were also performed on the pool. (5) Satisfactory Loan Performance to Date (Albeit Short): Caliber began originating similar loans in Q4 2014. Since the first transaction issued in November 2015, the historical performance for the COLT shelf has been satisfactory, albeit short. For the previous COLT non-QM transactions rated by DBRS, as of August 2018, 60+-day delinquency rates ranged from 0.8% to 3.3%, and cumulative losses are no higher than 0.01%. Additionally, one of the unrated transactions (COLT 2015-1) exhibited a higher 60+-day delinquency rate of 6.1%. Finally, voluntary prepayment rates have been relatively high, as these borrowers tend to credit cure and refinance into lower-rate mortgages. For details on the COLT securitization performance, please refer to the “Historical Performance” section in the related rating report. The transaction also includes the following challenges and mitigating factors: (1) Representations and Warranties (R&W) Framework and Provider: The R&W framework is considerably weaker as compared with that of a post-crisis prime jumbo securitization. Instead of an automatic review when a loan becomes seriously delinquent, this transaction employs an optional review only when realized losses occur (unless the alleged breach relates to an ATR or TILA-RESPA Integrated Disclosure violation). In addition, rather than engaging a third-party due diligence firm to perform the R&W review, the Controlling Holder (initially the Sponsor or a majority-owned affiliate of the Sponsor) has the option to perform the review in-house or use a third-party reviewer. Finally, the R&W provider (the Originator) is an unrated entity, has limited performance history of non-prime, non-QM securitizations and may potentially experience financial stress that could result in the inability to fulfill repurchase obligations. DBRS notes the following mitigating factors: -- The holders of Certificates representing 25% interest in the Certificates may direct the Trustee to commence a separate review of the related mortgage loan, to the extent they disagree with the Controlling Holder's determination of a breach. -- Third-party due diligence was conducted on 100% of the loans included in the pool. A comprehensive due diligence review mitigates the risk of future R&W violations. -- DBRS conducted an on-site originator (and servicer) review of Caliber and deems it to be operationally sound. -- The Sponsor or an affiliate of the Sponsor will retain certain classes of Certificates, which represent at least 5% of the fair value of all the Certificates, aligning Sponsor and investor interest in the capital structure. -- Notwithstanding the above, DBRS adjusted the originator score downward to account for the potential inability to fulfill repurchase obligations, the lack of performance history as well as the weaker R&W framework. A lower originator score results in increased default and loss assumptions and provides additional cushions for the rated securities. (2) Non-Prime, QM-Rebuttable Presumption or Non-QM Loans: As compared with post-crisis prime jumbo transactions, this portfolio contains some mortgages originated to borrowers with weaker credit and prior derogatory credit events, as well as QM-rebuttable presumption or Non-QM loans. -- All loans were originated to meet the eight underwriting factors as required by the ATR rules and were also underwritten to comply with the standards set forth in Appendix Q, although certain loans may have non-material exceptions with respect to Appendix Q. -- Underwriting standards have improved substantially since the pre-crisis era. -- DBRS RMBS Insight model incorporates loss severity penalties for non-QM and QM Rebuttable Presumption loans, as explained further in the Key Loss Severity Drivers section of the related rating report. -- For loans in this portfolio that were originated through the Homeowner's Access and Fresh Start programs, borrower credit events had generally happened, on average, 35 months and 25 months, respectively, prior to origination. In its analysis, DBRS applies additional penalties for borrowers with recent credit events within the past two years. (3) Servicer Advances of Delinquent Principal and Interest: The Servicer will advance scheduled principal and interest on delinquent mortgages until such loans become 180 days delinquent. This will likely result in lower loss severities to the transaction because advanced principal and interest will not have to be reimbursed from the trust upon the liquidation of the mortgages, but will increase the possibility of periodic interest shortfalls to the Certificate holders. Mitigating factors include that principal proceeds can be used to pay interest shortfalls to the Certificates, as the outstanding senior Certificates are paid in full and DBRS ran cash flow scenarios that incorporated principal and interest advancing up to 180 days for delinquent loans. The cash flow scenarios are discussed in more detail in the Cash Flow Analysis section of the related rating report. (4) Servicer's Financial Capability: In this transaction, Caliber, as the Servicer, is responsible for funding advances to the extent required. The Servicer is an unrated entity and may face financial difficulties in fulfilling its servicing advance obligations in the future. Consequently, the transaction employs Wells Fargo as the Master Servicer. If the Servicer fails in its obligation to make advances, Wells Fargo will be obligated to fund such servicing advances. 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 Certificates. The DBRS ratings of A (sf), BBB (sf), BBB (low) (sf), BB (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 Certificates. Notes: All figures are in U.S. dollars unless otherwise noted. COMM 2018-HCLV: S&P Assigns Prelim. B-(sf) Rating on Class F Certs ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to COMM 2018-HCLV Mortgage Trust's commercial mortgage pass-through certificates series 2018-HCLV. The certificate issuance is a commercial mortgage-backed securities transaction backed by a two-year, floating-rate commercial mortgage loan totaling $325.0 million, with five, one-year extension options. The loan is secured by a first lien on the borrower's fee and leasehold interests in the Hughes Center, a 68-acre mixed-use campus consisting of 10 class A office buildings (1.4 million sq. ft.) and 10 retail buildings (111,000 sq. ft.) located in Las Vegas, Nev. The preliminary ratings are based on information as of Sept. 12, 2018. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of the underlying collateral's credit characteristics, the trustee-provided liquidity, the collateral pool's relative diversity, and its overall qualitative assessment of the transaction. PRELIMINARY RATINGS ASSIGNED COMM 2018-HCLV Mortgage Trust Class Rating(i) Amount ($) A AAA(sf) 123,508,000 B AA-(sf) 27,447,000 C A-(sf) 20,585,000 D BBB-(sf) 25,250,000 E BB- (sf) 34,308,000 F B- (sf) 33,211,000 G NR 44,441,000 VRR NR 16,250,000(ii) (i) The issuer will issue the certificates to qualified institutional buyers in line with Rule 144A of the Securities Act of 1933. (ii) Non-offered eligible vertical interest. NR--Not rated. CRESTLINE DENALI XVII: Moody's Rates US$17MM Class E Notes (P)Ba3 ----------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to five classes of notes to be issued by Crestline Denali CLO XVII, Ltd. Moody's rating action is as follows: US$254,000,000 Class A Senior Secured Floating Rate Notes due 2031 (the "Class A Notes"), Assigned (P)Aaa (sf) US$50,000,000 Class B Senior Secured Floating Rate Notes due 2031 (the "Class B Notes"), Assigned (P)Aa2 (sf) US$20,000,000 Class C Senior Secured Deferrable Floating Rate Notes due 2031 (the "Class C Notes"), Assigned (P)A2 (sf) US$26,000,000 Class D Senior Secured Deferrable Floating Rate Notes due 2031 (the "Class D Notes"), Assigned (P)Baa3 (sf) US$17,000,000 Class E Secured Deferrable Floating Rate Notes due 2031 (the "Class E Notes"), Assigned (P)Ba3 (sf) The Class A Notes, the Class B Notes, the Class C Notes, the Class D Notes and the Class E Notes are referred to herein, collectively, as the "Rated Notes." Moody's issues provisional ratings in advance of the final sale of financial instruments, but these ratings only represent Moody's preliminary credit opinions. Upon a conclusive review of a transaction and associated documentation, Moody's will endeavor to assign definitive ratings. A definitive rating, if any, may differ from a provisional rating. RATINGS RATIONALE Moody's provisional ratings of the Rated Notes address the expected losses posed to noteholders. The provisional ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. Crestline Denali XVII is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of first lien senior secured loans, cash, and eligible investments, and up to 10.0% of the portfolio may consist of first-lien last out loans, second lien loans and unsecured loans. Moody's expects the portfolio to be approximately 80% ramped as of the closing date. Crestline Denali Capital, L.P. will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets, subject to certain restrictions. In addition to the Rated Notes, the Issuer will issue subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2017. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $400,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 2810 Weighted Average Spread (WAS): 3.35% Weighted Average Spread (WAC): 7.00% Weighted Average Recovery Rate (WARR): 47.5% 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. CSAIL 2015-C4: Fitch Affirms B- Rating on Class X-G Certs --------------------------------------------------------- Fitch Ratings has affirmed 17 classes of CSAIL 2015-C4 Commercial Mortgage Trust, commercial mortgage pass-through certificates, series 2015-C4 (CSAIL 2015-C4). KEY RATING DRIVERS Stable Performance and Loss Expectations: The affirmations reflect the overall stable performance and loss expectations with no material changes to pool metrics since issuance. There are no delinquent loans and no loans have transferred to special servicing. Fitch designated five loans (5% of pool) as Fitch Loans of Concern (FLOCs). All FLOCs fall outside of the top-15 loans and have been flagged due to performance declines/concerns primarily from declines in occupancy since issuance. Minimal Change to Credit Enhancement: There has been minimal change to credit enhancement since issuance. As of the August 2018 distribution date, the pool's aggregate balance has been reduced by 1.8% to $922.8 million from $939.6 million at issuance. All original 87 loans remain in the pool. One loan, (0.5% of pool) is fully defeased. Fitch Loans of Concern: Five loans (5% of pool), not in the top 15, were designated as FLOCs. The largest FLOC, Cheyenne Pointe (1.6%), secured by a 93,901 sf neighborhood retail center in Las Vegas, NV, was designated a FLOC due to occupancy declining to 72% by YE 2017 from 90% at issuance. The decline is primarily related to Gen X Clothing (12.2% of NRA), which vacated upon its lease expiration in the fourth quarter of 2017. The borrower is actively marketing the vacant space. The second largest FLOC, Observation Point Apartments (1.3%), is secured by a 400-unit multi-family property in Tulsa, OK with exposure to college student tenancy. The loan was designated a FLOC due to net operating income (NOI) declines driven by increasing rent concessions since issuance. The remaining three FLOCs, which individually comprise less than 1% of the pool each, were designated as FLOCs due to performance and occupancy declines since issuance. Hotel Concentration: Loans secured by hotels comprise 21.9% of the pool, including the two largest loans in the pool. Fairmont Orchid (12.2% of pool), the largest loan, is secured by a 540-key, full-service Fairmont Hotel on Hawaii's big island that is part of the Mauna Lani Resort. The property has approximately 108,000 sf of meeting room and conference spaces, 45 "Gold Club" rooms (which provide additional concierge services for guests), a full-service spa, ocean bungalows, a private lagoon with white sand beaches, four retail boutiques, five food and beverage outlets, and preferred access to two 18-hole golf courses. Performance continues to be strong due to continued increases in occupancy and food and beverage revenue. As of YE 2017, occupancy and NOI debt service coverage ratio (DSCR) were 81.7% and 4.99x, respectively, up from 67.7% and 3.85x at issuance. Per the Smith Travel Research (STR) report and as of the trailing-twelve-month (TTM) December 2017, the hotel is outperforming its competitive set with regards to occupancy, average daily rate (ADR) and revenue per available room (RevPAR) penetration rates. Per updates from the servicer, the recent volcanic activity on the island has had minimal impact on hotel occupancy and performance. In addition, there was minimal damage and impact to the hotel from Hurricane Lane. Arizona Grand Resort and Spa (4.9% of pool), the second largest loan, is secured by a 744-key, full-service hotel in Phoenix, AZ. The property sits on a 157.4-acre campus and counts a spa, fitness club, lap pool, golf course, water park, and conference space among its amenities. Performance continues to be strong since issuance. As of YE 2017, occupancy and NOI DSCR were 60.4% and 3.55x, respectively, compared to 64.2% and 2.93x at issuance. The increase in performance is primarily due to an increase in F&B revenue. Per the STR report and as of the TTM April 2018, the hotel is outperforming its competitive set with regards to occupancy, ADR and RevPAR penetration rates. Pool/Maturity Concentration: The top 10 loans comprise 38.3% of the pool. Based on the loans' scheduled maturity balances, the pool is expected to amortize 12.5% during the term. Loan maturities are concentrated in 2025 (97.3%). Five loans (16.5% of pool) are full-term, interest-only and 42 loans (52%) have a partial-term, interest-only component of which 20 have begun to amortize. RATING SENSITIVITIES Rating Outlooks for all classes remain Stable due to relatively stable performance with no material changes to pool metrics since issuance. 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. For more information on rating sensitivities please refer to Fitch's original presale dated Nov. 5, 2015. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third-party due diligence was provided or reviewed in relation to this rating action. Fitch has affirmed the following classes: -- $23 million class A-1 at 'AAAsf'; Outlook Stable; -- $25.5 million class A-2 at 'AAAsf'; Outlook Stable; -- $180 million class A-3 at 'AAAsf'; Outlook Stable; -- $341 million class A-4 at 'AAAsf'; Outlook Stable; -- $71.5 million class A-SB at 'AAAsf'; Outlook Stable; -- $56.4 million class A-S at 'AAAsf'; Outlook Stable; -- $61.1 million class B at 'AA-sf'; Outlook Stable; -- $39.9 million class C at 'A-sf'; Outlook Stable; -- $27 million class D at 'BBBsf'; Outlook Stable; -- $22.3 million class E at 'BBB-sf'; Outlook Stable; -- $22.3 million class F at 'BB-sf'; Outlook Stable; -- $9.4 million class G at 'B-sf'; Outlook Stable; -- Interest-only class X-A at 'AAAsf'; Outlook Stable; -- Interest-only class X-B at 'AA-sf'; Outlook Stable; -- Interest-only class X-D at 'BBB-sf'; Outlook Stable; -- Interest-only class X-F at 'BB-sf'; Outlook Stable; -- Interest-only class X-G at 'B-sf'; Outlook Stable. Fitch does not rate the class NR certificates or the class X-NR interest-only certificates. CSMC TRUST 2016-MFF: Moody's Affirms B2 Rating on Class F Certs --------------------------------------------------------------- Moody's Investors Service affirmed the ratings on six classes of CSMC Trust 2016-MFF, Commercial Mortgage Pass-Through Certificates, Series 2016-MFF. Moody's rating action is as follows: Cl. A, Affirmed Aaa (sf); previously on Sep 28, 2017 Affirmed Aaa (sf) Cl. B, Affirmed Aa3 (sf); previously on Sep 28, 2017 Affirmed Aa3 (sf) Cl. C, Affirmed A3 (sf); previously on Sep 28, 2017 Affirmed A3 (sf) Cl. D, Affirmed Baa3 (sf); previously on Sep 28, 2017 Affirmed Baa3 (sf) Cl. E, Affirmed Ba3 (sf); previously on Sep 28, 2017 Affirmed Ba3 (sf) Cl. F, Affirmed B2 (sf); previously on Sep 28, 2017 Affirmed B2 (sf) RATINGS RATIONALE Moody's has affirmed the ratings on six P&I classes due to the transaction's key metrics, including Moody's loan-to-value (LTV) ratio and Moody's stressed debt service coverage ratio (DSCR), being within acceptable ranges. 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, an increase in defeasance or an improvement in loan performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the loan 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 August 15, 2018 payment date, the transaction's aggregate certificate balance decreased slightly to $261.5 million from $280 million at securitization due to release of two properties located in Ankeny, IA and Winona, MN. The securitization is backed by a single floating rate loan collateralized by a portfolio of 25 standalone retail properties (approximately 5.49 million SF) occupied under a unitary master lease by Mills Fleet Farm, a Midwest (WI, MN and IA) regional outdoor and lifestyle retailer. The base rent payable for 2018 is budgeted to be $41.6 million reflecting an annual increase of 2.0% and the release of the two properties. The interest only floating rate loan is secured by first lien on cross collateralized and cross defaulted fee simple interests in the portfolio. The final maturity date, including three one-year extensions, is in October 2021. The properties are encumbered with $36.3 million of subordinated mezzanine debt. As the performance of the rated certificates are heavily correlated with the performance of a single tenant, Moody's utilized a "Lit/Dark" analysis. Moody's stressed LTV and stressed DSCR are 97% and 1.27X, respectively. The trust has not incurred any losses or interest shortfalls as of the current payment date. DIAMOND CLO 2018-1: S&P Assigns BB- Rating on $33MM Class E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Diamond CLO 2018-1 Ltd.'s floating-rate notes. The note issuance is a collateralized loan obligation (CLO) transaction backed primarily by both middle market and broadly syndicated speculative-grade senior secured term loans that are governed by collateral quality tests. The ratings reflect: -- The diversified collateral pool, which consists primarily of both middle market and 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 Diamond CLO 2018-1 Ltd. Class Rating Amount (mil. $) A-1 AAA (sf) 277.50 A-2 AAA (sf) 32.50 B AA (sf) 30.00 C A (sf) 45.00 D BBB- (sf) 30.00 E BB- (sf) 33.00 Shares NR 54.04 NR--Not rated. EATON VANCE 2018-1: Moody's Gives (P)Ba3 Rating to Class E Debt --------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to six classes of notes to be issued by Eaton Vance CLO 2018-1, Ltd. Moody's rating action is as follows: US$276,750,000 Class A-1 Senior Secured Floating Rate Notes due 2030 (the "Class A-1 Notes"), Assigned (P)Aaa (sf) US$15,750,000 Class A-2 Senior Secured Floating Rate Notes due 2030 (the "Class A-2 Notes"), Assigned (P)Aaa (sf) US$49,500,000 Class B Senior Secured Floating Rate Notes due 2030 (the "Class B Notes"), Assigned (P)Aa2 (sf) US$26,500,000 Class C Senior Secured Deferrable Floating Rate Notes due 2030 (the "Class C Notes"), Assigned (P)A2 (sf) US$27,250,000 Class D Senior Secured Deferrable Floating Rate Notes due 2030 (the "Class D Notes"), Assigned (P)Baa3 (sf) US$18,250,000 Class E Secured Deferrable Floating Rate Notes due 2030 (the "Class E Notes"), Assigned (P)Ba3 (sf) The Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the Class C Notes, the Class D Notes and the Class E Notes are referred to herein, collectively, as the "Rated Notes." Moody's issues provisional ratings in advance of the final sale of financial instruments, but these ratings only represent Moody's preliminary credit opinions. Upon a conclusive review of a transaction and associated documentation, Moody's will endeavor to assign definitive ratings. A definitive rating, if any, may differ from a provisional rating. RATINGS RATIONALE Moody's provisional ratings of the Rated Notes address the expected losses posed to noteholders. The provisional ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. Eaton Vance CLO 2018-1 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 92.5% of the portfolio must consist of first lien senior secured loans, cash, and eligible investments, and up to 7.5% of the portfolio may consist of second lien loans and unsecured loans. Moody's expects the portfolio to be approximately 70% ramped as of the closing date. Eaton Vance Management will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets, subject to certain restrictions. In addition to the Rated Notes, the Issuer will issue one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2017. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $450,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 2700 Weighted Average Spread (WAS): 3.10% Weighted Average Coupon (WAC): 7.5% Weighted Average Recovery Rate (WARR): 48.0% 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. FREDDIE MAC 2018-SPI3: Fitch to Rate 2 Debt Tranches B+ ------------------------------------------------------- Fitch Ratings expects to rate Freddie Mac's transaction, Structured Agency Credit Risk Securitized Participation Interests Trust Series 2018-SPI3 (STACR 2018-SPI3) as follows: -- $106,747,000 class M-1 certificates 'BBB-sf'; Outlook Stable; -- $43,669,000 class M2-A certificates 'BBsf'; Outlook Stable; -- $43,669,000 class M2-B certificates 'B+sf'; Outlook Stable; -- $87,338,000class M-2 exchangeable certificates 'B+sf'; Outlook Stable. The following classes will not be rated by Fitch: -- $0 class X certificates; -- $32,348,229 class B-1 certificates; -- $32,348,229 class B-2 certificates; -- $64,696,458 class B exchangeable certificates; -- $0 class R certificate. The 'BBB-sf' rating for the M-1 certificates reflects the 2.35% subordination provided by the 0.675% class M-2A certificates, the 0.675% class M-2B certificates, the 0.50% class B-1 certificates and the 0.50% class B-2 certificates. This will be the fourth SPI transaction issued by Freddie Mac; Freddie Mac issued its first STACR SPI deal in 2017. The SPI program transfers credit risk on conforming and super-conforming loans to investors. Payments from the loans are used to make payments on the SPI certificates. KEY RATING DRIVERS High-Quality Mortgage Pool (Positive): The collateral pool consists of 25- to 30-year fully amortizing fixed-rate loans acquired by Freddie Mac. The weighted average (WA) credit score of 763, WA original combined loan-to-value ratio (LTV) of 82% and WA debt-to-income (DTI) ratio of 37% reflect the strong credit profile of the underlying collateral. The pool is also geographically diverse, with the top three metropolitan statistical areas (MSAs) comprising only 13.8%. Super-Conforming Loans Included (Positive): The pool consists of roughly 10% super-conforming loans, i.e. loan amounts greater than the single-unit property conforming limit of $424,100 but capped at $636,150 for loans originated in 2017 and $453,100 but capped at $679,650 for loans originated in 2018. While the WA credit score and LTVs are comparable to the conforming loan portion, super-conforming loans benefit from higher property values and larger loan balances. Transaction Structure (Neutral): The SPI transaction is collateralized by participation interests (PIs) in 19,195 mortgage loans, 96% of which are deposited into participation certificates (PCs) and 4% are deposited into the SPI trust. Generally, the PI for loans in the PCs that become 120 days delinquent are repurchased by Freddie Mac from the PC and deposited into the SPI trust. Freddie Mac is repaid for these advances to the PC from SPI cash flows at the top of the waterfall, vis-a-vis the class X certificates, prior to distribution to the class M-1, M-2A, M-2B, B-1 and B-2 certificates. Potential Interest Shortfalls (Negative): Classes M-1, M-2A and M-2B may be subject to long periods of interest deferral for loans that become 120 days delinquent due to the stop advance feature and prioritization of accrued interest distributions to the class X certificates ahead of the rated classes. Principal collections are not allowed to cover interest shortfalls except in limited circumstances. Delinquent Loans Indemnified by Freddie (Positive): Roughly 60 loans have either multiple prior delinquencies of up to 60 days or are currently 30 or 60 days past due. If any of the loans become a constructive defaulted loan (CDL) before October 2021, Freddie Mac will either repurchase the loan with interest or make an indemnification payment for the amount of any realized losses incurred at liquidation. Furthermore, if any of the loans that are currently 60 days past due (one loan) roll to a 90-day status as of Aug. 31, 2018, Freddie Mac will repurchase the loan on the October 2018 distribution date. The repurchase obligation is viewed by Fitch as a strong mitigant to the additional default risk posed by these loans and no default penalty was applied. Modification Treatment (Neutral): Rate modifications and expenses will be absorbed by interest due to the class B-2 and B-1 in that order and any excess amount may be absorbed on each distribution date by principal up to 10bps of the aggregate class principal balance of M-1, M-2A, M-2B, B-1 and B-2 classes, as long as classes B-1 and B-2 are outstanding. Similar to other STACR actual loss transactions, principal forbearance is treated as a realized loss at the time of forbearance and forgiveness advances are made to the SPI trust by Freddie Mac, which will only be reimbursable to Freddie Mac if a loan with principal forgiven defaults. Solid Lender Review and Acquisition Processes (Positive): Freddie Mac has a well-established and disciplined process in place for the purchase of loans. Fitch views its lender-approval and oversight processes for minimizing counterparty risk and ensuring sound loan quality acquisitions as positive. Loan quality control (QC) review processes are thorough and indicate a tight control environment that limits origination risk. Fitch has determined Freddie Mac to be an above-average aggregator for loans originated in 2013 and later. Fitch accounted for the lower risk by applying a lower default estimate for the mortgages. Strong Alignment of Interests (Positive): Fitch believes the transaction benefits from a solid alignment of interests. Freddie Mac will retain the class X certificate as well as approximately 5% of the initial balance of each of the subordinate certificates. Mortgage Insurance Guaranteed by Freddie Mac (Positive): 34.4% of the loans are covered either by borrower-paid mortgage insurance (BPMI) or lender-paid MI (LPMI). Freddie Mac will guarantee the MI claim amount. While the Freddie Mac guarantee allows for credit to be given to MI, Fitch applied a haircut to the amount of BPMI available due to the automatic termination provision as required by the Homeowners Protection Act, when the loan balance is first scheduled to reach 78% LTV. LPMI does not automatically terminate and remains for the life of the loan. Satisfactory Due Diligence (Neutral): A third-party due diligence review was completed on a statistical sample of the entire pool (352 loans) by Clayton Services LLC (Clayton). Of the 352 loans reviewed, six loans had material findings and were graded 'C' due to credit (5) and property value exceptions (1). All six loans remain in the pool and four are listed on Schedule I; therefore, they are subject to Freddie Mac's 36-month repurchase indemnification. The diligence results generally reflected solid manufacturing controls and, consequently, no adjustments were made to Fitch's loss expectations. Home Possible Exposure (Negative): Approximately 5.0% of the reference pool was originated under Freddie Mac's Home Possible, Home Possible Advantage or Home Ready program. Home Possible is a program that targets low- to moderate-income homebuyers or buyers in high-cost or underrepresented communities and provides flexibility for a borrower's LTV, income, down payment and MI coverage requirements. Fitch anticipates higher default risk for Home Possible loans due to measurable attributes (such as FICO, LTV and property value), which is reflected in increased loss expectations. CRITERIA APPLICATION Fitch analyzed the transaction in accordance with its RMBS rating criteria, as described in its "U.S. RMBS Rating Criteria." An assessment of the transaction's reps and warranties was also completed and found to be consistent with the ratings assigned to the certificates. Fitch assessed the reps and warranties using the criteria described in the report, "U.S. RMBS Rating Criteria." A criteria variation was made to Fitch's "U.S. RMBS Loan Loss Model Criteria". 57 loans that had multiple prior delinquencies of up to 60 days or are currently delinquent 30 or 60 days. Fitch applies a default penalty to loans that do not have clean pay histories for 24 months or more. The penalty was not applied to these loans because Freddie Mac is obligated to repurchase the related loan's PI or make an indemnification payment if the loans becomes a CDL before October 2021 and will repurchase on the October 2018 distribution date any 60 day delinquent loan (as of July 30, 2018) that rolls to 90 days past due by Aug. 31, 2018. Fitch believes that the additional default risk associated with these delinquent loans is adequately addressed by the protection provided by Freddie Mac's repurchase obligation. The variation had no rating impact. A second variation was made to Fitch's "U.S. RMBS Rating Criteria". Cashflow analysis was not conducted for this transaction. Due to the structure and payment waterfall of the transaction a detailed cashflow analysis was not conducted. For this deal the amount of credit enhancement required to pass a given rating stress was directly equal to Fitch's expected loss at that rating stress. This one to one relationship is due to the sequential nature of the transaction, interest included in realized loss, no interest on missed interest and that timely interest payments are not required for ratings of 'A+sf' or below. The variation had no rating impact. MODELING Fitch analyzed the credit characteristics of the underlying collateral to determine base case and rating stress loss expectations, using its residential mortgage loss model, which is fully described in its criteria report, "U.S. RMBS Loan Loss Model Criteria." RATING SENSITIVITIES Fitch's analysis incorporates sensitivity analyses to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at both the MSA and national levels. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or be considered in the surveillance of the transaction. This defined stress sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model projected 24.8% at the 'BBB-sf' level, 21.7% at the 'BBsf' level and 18.6% at the 'B+sf' level. The analysis indicates that there is some potential rating migration with higher MVDs, compared with the model projection. Fitch also conducted defined rating sensitivities, which determine the stresses to MVDs that would reduce a rating by one full category, to non-investment grade, and to 'CCCsf'. For example, additional MVDs of 11%, 11% and 30% would potentially move the 'BBB-sf' rated class down one rating category, to non-investment grade, to 'CCCsf', respectively. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 Fitch was provided with due diligence information from the third-party diligence provider. The due diligence focused on credit and compliance reviews, desktop valuation reviews and data integrity. The third-party diligence provider examined selected loan files with respect to the presence or absence of relevant documents. Fitch received certifications indicating that the loan-level due diligence was conducted in accordance with Fitch's published standards. The certifications also stated that the company performed its work in accordance with the independence standards, per Fitch's criteria, and that the due diligence analysts performing the review met Fitch's criteria of minimum years of experience. Fitch considered this information in its analysis and the findings did not have an impact on its analysis. GALAXY CLO XXV: Moody's Assigns Ba3 Rating on $27.5MM Class E Notes ------------------------------------------------------------------- Moody's Investors Service has assigned ratings to five classes of notes issued by Galaxy XXV CLO, Ltd. Moody's rating action is as follows: US$320,000,000 Class A Senior Floating Rate Notes due 2031 (the "Class A Notes"), Assigned Aaa (sf) US$58,750,000 Class B Senior Floating Rate Notes due 2031 (the "Class B Notes"), Assigned Aa2 (sf) US$25,000,000 Class C Deferrable Mezzanine Floating Rate Notes due 2031 (the "Class C Notes"), Assigned A2 (sf) US$28,750,000 Class D Deferrable Mezzanine Floating Rate Notes due 2031 (the "Class D Notes"), Assigned Baa3 (sf) US$27,500,000 Class E Deferrable Junior 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. Galaxy XXV is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of first lien senior secured loans, cash, and eligible principal investments, and up to 10.0% of the portfolio may consist of second lien loans and senior unsecured loans. The portfolio is approximately 77% ramped as of the closing date. PineBridge Galaxy LLC 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 two classes of 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: 75 Weighted Average Rating Factor (WARF): 2817 Weighted Average Spread (WAS): 3.00% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 47.99% 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. GS MORTGAGE 2016-GS3: Fitch Affirms BB- Rating on Class E Certs --------------------------------------------------------------- Fitch Ratings has affirmed 15 classes of GS Mortgage Securities Trust (GSMS) 2016-GS3 Commercial Mortgage Pass-Through Certificates series 2016-GS3. KEY RATING DRIVERS Stable Performance and Loss Expectations: The affirmations reflect the overall stable performance and loss expectations with no material changes to pool metrics since issuance. There have been no delinquent or specially serviced loans since issuance. Two loans (6.7% of pool) are designated as Fitch Loans of Concern, including one in the top 15 (5.9%). Minimal Credit Enhancement Improvement/Limited Amortization: As of the August 2018 distribution date, the pool's aggregate principal balance has been paid down by 0.84% to $1.059 billion from $1.068 billion at issuance. Nine loans (43.9% of pool) are full-term interest only. In addition, 13 loans comprising 28.6% of the pool are partial-term, interest only. Overall, the pool is scheduled to pay down by 8.8%, compared with the average of 10.4% for 2016 vintage Fitch-rated transactions. Loan of Concern: The largest Fitch Loan of Concern, Hamilton Place, is secured by a super-regional mall located in Chattanooga, TN with a total square footage of 1,163,079, of which 391,041 sf of in-line space serves as loan collateral. The mall is anchored by Dillard's, Belk, JCPenney, Sears, Barnes and Noble, and Forever 21. As of March 2018, overall mall occupancy was 98%; collateral occupancy was 94% compared to 90% at issuance. Sales have been trending downward for some of the larger tenants. Sales for Barnes and Noble dropped from $202 psf in 2015 to $186 psf in 2017; Belk Women's Store dropped from $233 psf in 2014 to $196 psf in 2017; Gap dropped from $264 psf in 2014 to $197 psf in 2017; Victoria's Secret dropped from $750 psf in 2014 to $552 psf in 2017. Sales for American Eagle Outfitters increased from $558 psf in 2013 to $673 psf in 2017. CBL, the sponsor, bought the Sears store last year with plans to redevelop the space and has begun construction of The Cheesecake Factory in the Sears parking lot. High Retail and Office Loan Concentration: Loans backed by retail properties represent 31.0% of the pool, including four (19%) in the top 15. Three of the retail loans are backed by regional malls, which have exposure to JCPenney, Macy's, Sears, Dillard's, Belk, and Bloomingdale's. Loans backed by office properties represent 29.7% of the pool, including four (25.5%) in the top 15. The largest retail loan, The Falls (6.6%), is secured by an 839,507 sf single story open-air lifestyle center located in Miami, FL. The property is anchored by Macy's and Bloomingdales with other large tenants including Regal Cinemas, Fresh Market, and American Girl. Occupancy has remained relatively stable at 96% at YE 2017 compared to 97.5% at issuance. RATING SENSITIVITIES The Stable Rating Outlooks for all classes reflect the stable performance of the majority of the underlying pool and expected continued amortization. A 10% loss severity was applied as an additional sensitivity scenario to the Hamilton Place loan to reflect declining sales and the potential for an outsized loss if the loan is unable to refinance at maturity. Downgrades are possible if performance of this loan continues to further deteriorate. Rating upgrades, although unlikely in the near term, could occur with improved pool performance and increased credit enhancement from additional paydown or defeasance. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third party due diligence was provided or reviewed in relation to this rating. Fitch has affirmed the following classes: -- $19,508,045 class A-1 at 'AAAsf'; Outlook Stable; -- $77,052,000 class A-2 at 'AAAsf'; Outlook Stable; -- $265,000,000 class A-3 at 'AAAsf'; Outlook Stable; -- $320,243,000 class A-4 at 'AAAsf'; Outlook Stable; -- $57,066,000 class A-AB at 'AAAsf'; Outlook Stable; -- $837,131,137a class X-A at 'AAAsf'; Outlook Stable; -- $53,417,000a class X-B at 'AA-sf'; Outlook Stable; -- $93,480,000b class A-S at 'AAAsf'; Outlook Stable; -- $53,417,000b class B at 'AA-sf'; Outlook Stable; -- $192,301,000b class PEZ at 'A-sf'; Outlook Stable; -- $45,404,000b class C at 'A-sf'; Outlook Stable; -- $53,417,000 class D at 'BBB-sf'; Outlook Stable; -- $53,417,000a class X-D at 'BBB-sf'; Outlook Stable; -- $24,038,000 class E at 'BB-sf'; Outlook Stable; -- $10,683,000 class F at 'B-sf'; Outlook Stable. (a) Notional amount and interest only. (b) Class A-S, B and C certificates may be exchanged for class PEZ certificates, and class PEZ certificates may be exchanged for class A-S, B and C certificates. Fitch does not rate the class G. GS MORTGAGE 2018-3PCK: S&P Gives Prelim B+(sf) Rating on HRR Certs ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to GS Mortgage Securities Corp. Trust 2018-3PCK's commercial mortgage pass-through certificates. The note issuance is a commercial mortgage-backed securities transaction backed by A $375.0 million initial three-year interest-only floating-rate first-mortgage loan with two consecutive one-year extension options. The preliminary ratings are based on information as of Sept. 17, 2018. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect our view of the collateral's historical and projected performance, the sponsor's and manager's experience, the trustee-provided liquidity, the loan's terms, and the transaction's structure. PRELIMINARY RATINGS ASSIGNED GS Mortgage Securities Corp. Trust 2018-3PCK Class Rating(i) Amount ($) A AAA (sf) 198,900,000 X-A AAA (sf) 198,900,000(ii) B AA- (sf) 44,200,000 C A- (sf) 33,100,000 X-C A- (sf) 33,100,000(ii) D BBB- (sf) 40,900,000 X-D BBB- (sf) 40,900,000(ii) E BB- (sf) 39,000,000(iii) X-E BB- (sf) 39,000,000(ii)(iii) HRR B+ (sf) 18,900,000(iii) (i) The rating on each class of securities is preliminary and subject to change at any time. The certificates will be issued to qualified institutional buyers according to Rule 144A of the Securities Act of 1933. (ii) Notional balance. (iii) The initial certificate balance of each of the class E and HRR certificates and the initial notional amount of the class X-E certificates are subject to change based on the final pricing of all of the certificates and the final determination of the class HRR certificates that will be retained by the retaining third-party purchaser to satisfy the sponsor's risk retention requirements. IMSCI 2013-3: Fitch Rates CAD2.5MM Class G Certificates 'B' ----------------------------------------------------------- Fitch Ratings has affirmed eight classes of Institutional Mortgage Securities Canada Inc.'s (IMSCI) Commercial Mortgage Pass-Through Certificates series 2013-3. All currencies are denominated in Canadian dollars (CAD). KEY RATING DRIVERS Increasing Loss Expectations: Loss expectations have increased since issuance as a result of collateral underperformance of several loans in the pool, including four Fitch Loans of Concern totaling 15.1% of the pool. The Negative Outlooks reflect the potential for downgrades if performance does not improve and the loans approach their maturity dates in 2021. Recourse Loans: Approximately 84.5% of the loans in the pool are full or partial recourse to the loan sponsor. Additionally, none of the non-recourse loans have been flagged as Fitch Loans of Concern. Increasing Credit Enhancement: Credit Enhancement has improved materially from issuance given loan amortization and payoffs. The pool has paid down approximately 48.3% since issuance. At issuance the deal had a weighted average amortization term of 25 years, with no partial or full interest-only loans and loans scheduled to pay down approximately 19%. Energy Market Concentration: Four loans totaling 15.1% of the pool have experienced substantial performance declines as a result of a sustained decline in oil and gas prices and are considered Fitch Loans of concern. Three of these loans (12.3%) are located in Fort McMurray and were exposed to issues related to the wildfires that occurred in 2016. Further, all of the loans, which are backed by collateral located in Fort McMurray, reflect cash flow that is near or below zero and exhibited DSCR below 1.00x since year-end 2014. Although the loans are full recourse, the immediate sponsor lacks capacity to pay; the loans have partial recourse to the ultimate parent company of the sponsor, which has been funding shortfalls. Pool Concentration: The top five and 15 loans in the pool account for 55.3% and 97.2% of the pool, when accounting for loans that are cross-collateralized and cross-defaulted. RATING SENSITIVITIES The Rating Outlooks on classes F and G remain Negative due to the performance declines related to several collateral properties, all of which have been labeled Fitch Loans of Concern. Specifically, these loans reflect performance declines related to exposure to energy markets, coupled with limited recourse to financially capable guarantors. The Rating Outlook on class E has been revised to Stable from Negative, based on increasing credit enhancement given substantial loan payoffs and continued loan amortization. Stable Outlooks reflect the stable performance of the majority of the pool, continued amortization, and significant paydown. Upgrades may occur with improved pool performance and significant paydown or defeasance, though any upgrades are likely limited due to the concentration of the pool. Downgrades to the classes are possible should overall pool performance decline and in the event the Fitch Loans of Concern, fail to payoff at their new maturity date or the ultimate parent stops funding shortfalls. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third-party due diligence was provided or reviewed in relation to this rating. Fitch has affirmed the following rating and revised the Outlook as indicated: -- $3.8 million class E at 'BBB-sf'; Outlook to Stable from Negative. Fitch has affirmed the following ratings: -- $15.4 million class A-2 at 'AAAsf'; Outlook Stable; -- $81.6 million class A-3 at 'AAAsf'; Outlook Stable; -- $5.3 million class B at 'AAsf'; Outlook Stable; -- $8.5 million class C at 'Asf'; Outlook Stable; -- $6.9 million class D at 'BBBsf'; Outlook Stable; -- $3.1 million class F at 'BBsf'; Outlook Negative; -- $2.5 million class G at 'Bsf'; Outlook Negative. Fitch does not rate the $5 million class H and the interest-only class X. Class A-1 has paid in full. JER CRE 2005-1: Moody's Affirms C Rating on 8 Tranches ------------------------------------------------------ Moody's Investors Service has affirmed the ratings on the following notes issued by JER CRE CDO 2005-1, Limited: Cl. A, Affirmed C (sf); previously on Aug 31, 2017 Affirmed C (sf) Cl. B-1, Affirmed C (sf); previously on Aug 31, 2017 Affirmed C (sf) Cl. B-2, Affirmed C (sf); previously on Aug 31, 2017 Affirmed C (sf) Cl. C, Affirmed C (sf); previously on Aug 31, 2017 Affirmed C (sf) Cl. D, Affirmed C (sf); previously on Aug 31, 2017 Affirmed C (sf) Cl. E, Affirmed C (sf); previously on Aug 31, 2017 Affirmed C (sf) Cl. F, Affirmed C (sf); previously on Aug 31, 2017 Affirmed C (sf) Cl. G, Affirmed C (sf); previously on Aug 31, 2017 Affirmed C (sf) The Cl. A notes, Cl. B-1 notes, Cl. B-2 Notes, Cl. C notes, Cl. D notes, Cl. E notes, Cl. F notes, and Cl. G notes are referred to herein as the "Rated Notes." RATINGS RATIONALE Moody's has affirmed the ratings on the Rated Notes because the key transaction metrics are commensurate with existing ratings. While credit further deteriorated since last review, as evidenced by WARF and WARR, this did not cause any rating movement as the current ratings are at the lowest rating category. The affirmation is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO and Re-REMIC) transactions. JER CRE CDO 2005-1, Limited is a static cash transaction. The transaction is wholly backed by a portfolio of: i) commercial mortgage backed securities (CMBS) (50.8% of collateral pool balance); and ii) CRE CDO bonds (49.2%). As of the August 17, 2018 trustee report, the aggregate note balance of the transaction, including preferred shares, has decreased to $291.1 million from $416.0 million at issuance. This was primarily due to: (i) implied losses allocable to the preferred shares; (ii) recoveries on defaulted assets; (iii) amortisation due to interest re-classified as principal on defaulted assets; and (iv) amortisation due to interest re-classified as principal as a result of failing certain par value triggers. The pool contains seven assets totaling $24.9 million (100.0% of the collateral pool balance) that are listed as defaulted as of the trustee's August 17, 2017 report. Four of these assets (50.8% of the defaulted balance) are CMBS bonds and three of these assets (49.2%) are CRE CDO bonds. Moody's does expect moderate/high losses to occur on the defaulted securities. Moody's has identified the following parameters as key indicators of the expected loss within CRE CDO transactions: the weighted average rating factor (WARF); the weighted average life (WAL); the weighted average recovery rate (WARR); number of asset obligors; and pair-wise asset correlation. These parameters are typically modeled as actual parameters for static deals and as covenants for managed deals. For modeling purposes, Moody's used the following base-case assumptions: WARF is a primary measure of the credit quality of a CRE CDO pool. Moody's has updated its assessments for the collateral it does not rate. The rating agency modeled a bottom-dollar WARF of 9578, compared to 8540 at last review. The current ratings on the Moody's-rated collateral and the assessments of the non-Moody's rated collateral follow: A1-A3 and 0.0% compared to 4.3% at last review, Caa1-Ca/C and 100.0% compared to 95.7% at last review. Moody's modeled a WAL of 1.1 years, compared to 1.8 years at last review. Moody's modeled a fixed WARR of 0.0%, compared to 0.4% at last review. Moody's modeled 7 obligors, compared to 9 at last review. Moody's modeled a pair-wise asset correlation of 43.1%, compare to 25.2% at last review. The increase in correlation was due to the greater concentration of high risk obligors since last review. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Approach to Rating SF CDOs" published in June 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 servicing decisions and management of the transaction will also affect the performance of the Rated Notes. Together with the set of modeling assumptions, Moody's conducted an additional sensitivity analysis, which was a component in determining the rating assigned to the Rated Notes. This sensitivity analysis includes increased default probability relative to the base-case. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment. Commercial real estate property values are continuing to move in a positive direction along with a rise in investment activity and stabilization in core property type performance. Limited new construction, moderate job growth and the decreased cost of debt and equity capital have aided this improvement. JP MORGAN 2004-CIBC8: S&P Affirms BB(sf) Rating on J Certs ---------------------------------------------------------- S&P Global Ratings affirmed its ratings on two classes of commercial mortgage pass-through certificates from JPMorgan Chase Commercial Mortgage Securities Corp.'s series 2004-CIBC8, a U.S. commercial mortgage-backed securities (CMBS) transaction. S&P said, "For the affirmations, our credit enhancement expectation was in line with the affirmed rating levels. While available credit enhancement levels may suggest positive rating movement on classes H and J, the affirmations consider the bonds' interest payment histories; specifically, both classes recently experienced interest shortfalls due to the master servicer's recoupment of prior servicer advances on the specially serviced asset. Based on our criteria, an upgrade may be considered after the reimbursement of all past interest shortfalls and the subsequent payment of timely interest over a certain period of time. We will continue to monitor the performance of this transaction." TRANSACTION SUMMARY As of the Aug. 13, 2018, trustee remittance report, the collateral pool balance was $38.0 million, which is 3.0% of the pool balance at issuance. The pool currently includes 10 loans and one real-estate-owned (REO) asset, down from 105 loans at issuance. One of these assets ($5.5 million, 14.4%) is with the special servicer, three ($8.2 million, 21.7%) are defeased, and one ($9.7 million, 25.5%) is on the master servicer's watchlist. S&P calculated a 1.52x S&P Global Ratings weighted average debt service coverage (DSC) and 36.1% S&P Global Ratings weighted average loan-to-value (LTV) ratio using a 7.79% S&P Global Ratings weighted average capitalization rate. The DSC, LTV, and capitalization rate calculations exclude the specially serviced asset and the defeased loans. To date, the transaction has experienced $26.9 million in principal losses, or 2.1% of the original pool trust balance. S&P expects losses to reach approximately 2.4% of the original pool trust balance in the near term, based on losses incurred to date and additional losses it expects upon the eventual resolution of the specially serviced asset. CREDIT CONSIDERATIONS As of the Aug. 13, 2018, trustee remittance report, the third-largest asset in the pool, Holualoa Centre East REO asset ($5.5 million, 14.4%), was the only asset in the pool with the special servicer, KeyBank National Association. The asset was deemed non-recoverable and has a total reported exposure of $7.2 million. With approximately $1.3 million of servicer advancing currently outstanding on this asset, periodic recovery of prior advances by the master servicer has resulted in interest shortfalls to the transaction. The asset is an office property, built in 1974, totaling 95,210 sq. ft., located in Tucson, Ariz. The loan was transferred to the special servicer on Feb. 13, 2014, and became REO on Oct. 15, 2015. Occupancy at the property has remained at about 31% since late 2015. We expect a significant loss (60% or greater) upon this asset's eventual resolution. RATINGS AFFIRMED JPMorgan Chase Commercial Mortgage Securities Corp. Commercial mortgage pass-through certificates series 2004-CIBC8 Class Rating H BBB (sf) J BB (sf) JP MORGAN 2014-C23: Fitch Affirms B Rating on 2 Tranches -------------------------------------------------------- Fitch Ratings has affirmed J.P. Morgan Chase Commercial Mortgage Securities Trust's (JPMBB), series 2014-C23 commercial mortgage pass-through certificates. KEY RATING DRIVERS Stable Performance and Loss Expectations: Overall pool performance and loss expectations remain stable since issuance. There have been no realized losses to date and there are currently no delinquent or specially serviced loans. Nine loans (11.9%) are currently on the master servicer's watchlist mostly for deferred maintenance issues and/or occupancy declines due to tenant vacancies. Fitch has deemed five loans (7.1%) as Fitch loans of concern, the largest (4.2%) is the Las Catalinas Mall loan in Caguas, PR. Increased Credit Enhancement: Credit enhancement has improved since issuance given loan amortization, and payoffs. Additionally, five loans (10.3%) are defeased, including the third largest loan (7.8%) in the transaction. Since Fitch's last rating action, two loans previously in special servicing were disposed with better-than-expected recoveries and no losses to the trust. The pool has paid down approximately 4.1% since issuance. Retail Exposure: Nine loans (17.6%) are secured by retail properties. Of these, three (13.7%) of the top-10 loans are collateralized by two regional malls and one shopping center located in Grapevine, TX; Caguas, PR; and Los Angeles, CA. The Las Catalinas Mall (4.2%) loan in Puerto Rico has exposure to retailers Kmart and Sears with declining sales amid challenging economic conditions post Hurricane Maria. A stress scenario was used which assumed losses on this loan; however, this did not result in any rating or outlook changes. Pool Concentrations: The top-10 loans represent 52% of the total pool balance and the top three loans 23.7% of the total pool balance. Maturity Schedule: Seven loans (17.8%) mature in August 2019 including three of the top-15 loans; one loan (0.7 %) in 2021; 52 loans (79.9%) in 2024; and one loan (0.2%) in 2034. RATING SENSITIVITIES Rating Outlooks for all classes remain Stable due to the overall stable performance of the pool. Upgrades to senior classes may occur with improved pool performance and significant paydown or additional defeasance. Fitch's analysis included a stress scenario whereby a loss of 25% was modeled on the FLOC Las Catalinas Mall given exposure to retailers Kmart and Sears and declining sales amid challenging economic conditions post-Hurricane Maria. The sensitivity testing did not result in any negative rating actions or outlooks to the classes given improved credit enhancement from paydown and defeasance and overall stable pool-level performance. Downgrades to junior classes are possible should the mall's performance deteriorate further. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third-party due diligence was provided or reviewed in relation to this rating. Fitch has affirmed the following ratings: -- $235.6 million class A-2 at 'AAAsf'; Outlook Stable; -- $36.6 million class A-3 at 'AAAsf'; Outlook Stable; -- $235 million class A-4 at 'AAAsf'; Outlook Stable; -- $307.5 million class A-5 at 'AAAsf'; Outlook Stable; -- $79.3 million class A-SB at 'AAAsf'; Outlook Stable; -- $86.4 million class A-S* at 'AAAsf'; Outlook Stable; -- Interest-only class X-A at 'AAAsf'; Outlook Stable; -- $62.7 million class B* at 'AAsf'; Outlook Stable; -- $52.5 million class C* at 'Asf'; Outlook Stable; -- $201.6 million class EC* at 'Asf'; Outlook Stable; -- $96.6 million class D at 'BBB-sf'; Outlook Stable; -- Interest-only class X-B at 'BBB-sf'; Outlook Stable; -- $30.5 million class E at 'BBsf'; Outlook Stable; -- Interest-only class X-C at 'BBsf'; Outlook Stable; -- $15.3 million class F at 'Bsf'; Outlook Stable; -- Interest-only class X-D at 'Bsf'; Outlook Stable. The class A-1 certificates are paid in full. -- Class A-S, B, and C certificates may be exchanged for a related amount of class EC certificates, and class EC certificates may be exchanged for class. A-S, B and C certificates. Fitch does not rate the $62.7 million class NR certificates or the interest-only class X-E. Fitch does not rate the $12.3 million class UH5, which will only receive distributions from, and will only incur losses with respect to, the non-pooled component of the U-Haul Self-Storage Portfolio mortgage loan. Fitch does not rate the $10.2 million class WYA, which will only receive distributions from, and will only incur losses with respect to, the non-pooled component of the Wyvernwood Apartments mortgage loan. Fitch does not rate the $15 million class RIM, which will only receive distributions from, and will only incur losses with respect to, the non-pooled component of the Residence Inn Midtown East mortgage loan. Such class will share in losses and shortfalls on the related componentized mortgage loan. JP MORGAN 2014-C24: Fitch Affirms BB Rating on Class X-C Certs -------------------------------------------------------------- Fitch Ratings has affirmed 18 classes of J.P. Morgan Chase Commercial Mortgage Securities Trust (JPMBB), series 2014-C24 commercial mortgage pass-through certificates. KEY RATING DRIVERS Stable Loss Expectations: Since issuance, loss expectations have remained largely stable. While there has been some collateral underperformance, several of the loans that have exhibited previous performance declines have experienced subsequent recoveries, bringing performance in line with issuance expectations. Despite this, concentration factors related to several loans in the pool with the binary potential for outsized losses remain a concern. Increasing Credit Enhancement: Credit enhancement has improved since issuance given loan amortization and payoffs. The pool has paid down approximately 5.8% since issuance. In addition, four loans, totaling approximately 7.1% of pool balance, are defeased. Retail Concentration: Approximately 17 loans, totaling 43.7% of pool balance, are collateralized by retail properties. This includes three loans, totaling 25% of pool balance, secured by regional mall properties. Two of these malls (15.4%) reflect direct or indirect exposure to Sears, Macy's, JCPenney and Bon-Ton Stores. This includes the North Riverside Park loan (5.9%), which now reflects a dark non-collateral anchor following the closure of all Bon-Ton stores, with the largest collateral tenant, Fallas, slated to close concurrent with its recent bankruptcy filing. Further, the remaining non-collateral anchor tenants at this mall, Sears and JCPenney, reflect reduced footprints within their current spaces. One additional loan, Glenbrook Commons (1.4%), also lost one of its major tenants, Toys R' Us, following its recent bankruptcy filing. Highly Concentrated Pool: The top-10 loans in the pool comprise 62.7% of the outstanding balance, with the top-20 representing 83.2%. RATING SENSITIVITIES Rating Outlooks on classes F and X-D have been revised to Negative given sensitivity testing related to the North Riverside Park loan, which accounts for 5.9% of the pool. Fitch's analysis included a stress scenario whereby an outsized loss of 50% was modeled on this loan, given substantial vacancy related to the departure of the Bon-Ton anchor, the departure of the largest collateral tenant, Fallas, and the non-collateral anchors not utilizing their entire spaces and continuing to downsize. Fitch's stress scenario contributed to the negative outlooks for class F and X-D, but did not ultimately result in any downgrades to these classes, given modestly improved credit enhancement from paydown and defeasance and overall stable performance for the majority of the pool. Downgrades to these classes are possible in the event of continued collateral underperformance or if the North Riverside Park Mall loan fails to repay at its upcoming maturity. Conversely, the Ratings Outlooks on classes F and Class X-D may be revised upward in the event the North Riverside Park Mall loan pays off at its October 2019 maturity. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third-party due diligence was provided or reviewed in relation to this rating. Fitch has affirmed the following ratings and revised the Outlooks to Negative: -- $14.3 million notes F at 'Bsf'; Outlook to Negative from Stable; -- $14.3 million* notes X-D at 'Bsf'; Outlook to Negative from Stable. Fitch has affirmed the following ratings: -- $151 million notes A-2 at 'AAAsf'; Outlook Stable; -- $41 million notes A-3 at 'AAAsf'; Outlook Stable; -- $190 million notes A-4A1 at 'AAAsf'; Outlook Stable; -- $75 million notes A-4A2 at 'AAAsf'; Outlook Stable; -- $297.4 million notes A-5 at 'AAAsf'; Outlook Stable; -- $66.6 million notes A-SB at 'AAAsf'; Outlook Stable; -- $76.3 million notes A-S at 'AAAsf'; Outlook Stable; -- $76.3 million notes B at 'AA-sf'; Outlook Stable; -- $47.7 million notes C at 'A-sf'; Outlook Stable; -- $200.2 million notes EC at 'A-sf'; Outlook Stable; -- $81 million notes D at 'BBB-sf'; Outlook Stable; -- $25.4 million notes E at 'BBsf'; Outlook Stable; -- $897.4 million* notes X-A at 'AAAsf'; Outlook Stable; -- $76.3 million* notes X-B1 at 'AA-sf'; Outlook Sable; -- $81 million* notes X-B2 at 'BBB-sf'; Outlook Stable; -- $25.4 million* notes X-C at 'BBsf'; Outlook Stable. Class A-1 has paid in full. Class A-S, B, and C certificates may be exchanged for class EC certificates and class EC certificates may be exchanged for class A-S, B and C certificates. Fitch does not rate the X-E, NR and ESK certificates. -- Notional amount and interest only. JP MORGAN 2018-9: Moody's Assigns (P)B3 Rating on Class B-5 Debt ---------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to 25 classes of residential mortgage-backed securities issued by J.P. Morgan Mortgage Trust 2018-9 (JPMMT 2018-9). The ratings range from (P)Aaa (sf) to (P)B3 (sf). The certificates are backed by 884 predominantly 30-year, fully-amortizing fixed-rate mortgage loans with a total balance of $513,899,725 as of the September 1, 2018 cut-off date. Similar to prior JPMMT transactions, JPMMT 2018-9 includes conforming mortgage loans (68% by loan balance) mostly originated by JPMorgan Chase Bank, N.A. (Chase) and Quicken Loans, Inc. underwritten to the government sponsored enterprises (GSE) guidelines in addition to prime jumbo non-conforming mortgages purchased by J.P. Morgan Mortgage Acquisition Corp. (JPMMAC) from various originators and aggregators. Chase, Shellpoint Mortgage Servicing (Shellpoint) and Cenlar, FSB will be the servicers on the conforming loans. Shellpoint and Fifth Third Bank will service the majority of the prime jumbo loans. In a departure from previous JPMMT transactions, the servicing fee for loans serviced by Chase and Shellpoint will be based on a step-up incentive fee structure with a monthly base fee of $20 per loan and additional fees for delinquent or defaulted loans. All other servicers will be paid a monthly flat servicing fee equal to one-twelfth of 0.25% of the remaining principal balance of the mortgage loans. Wells Fargo Bank, N.A. will be the master servicer and securities administrator. U.S. Bank Trust National Association will be the trustee. Pentalpha Surveillance LLC will be the representations and warranties breach reviewer. Distributions of principal and interest and loss allocations are based on a typical shifting interest structure that benefits from senior and subordination floors. The complete rating actions are as follows: Issuer: J.P. Morgan Mortgage Trust 2018-9 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aa2 (sf) Cl. A-14, Assigned (P)Aa2 (sf) Cl. A-15, Assigned (P)Aaa (sf) Cl. A-16, Assigned (P)Aaa (sf) Cl. A-17, Assigned (P)Aaa (sf) Cl. A-18, Assigned (P)Aaa (sf) Cl. A-19, Assigned (P)Aaa (sf) Cl. A-20, Assigned (P)Aaa (sf) Cl. B-1, Assigned (P)A1 (sf) Cl. B-2, Assigned (P)A3 (sf) Cl. B-3, Assigned (P)Baa3 (sf) Cl. B-4, Assigned (P)Ba2 (sf) Cl. B-5, Assigned (P)B3 (sf) RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Moody's expected cumulative net loss on the aggregate pool is 0.40% in a base scenario and reaches 5.85% at a stress level consistent with the Aaa (sf) ratings. Moody's calculated losses on the pool using its 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. Its final loss estimates also incorporate adjustments for originator assessments and the financial strength of Representation & Warranty (R&W) providers. Moody's bases its provisional ratings on the certificates on the credit quality of the mortgage loans, the structural features of the transaction, its assessments of the aggregators, originators and servicers, the strength of the third party due diligence and the representations and warranties (R&W) framework of the transaction. Collateral Description JPMMT 2018-9 is a securitization of a pool of 884 predominantly 30-year, fully-amortizing fixed-rate mortgage loans with a total balance of $513,899,725 as of the cut-off date, with a weighted average (WA) remaining term to maturity of 357 months, and a WA seasoning of 3 months. The borrowers in this transaction have high FICO scores and sizeable equity in their properties. The WA current FICO score is 768 and the WA original combined loan-to-value ratio (CLTV) is 71.0%. The characteristics of the loans underlying the pool are generally comparable to other JPMMT transactions backed by prime mortgage loans that Moody's has rated. In this transaction, about 68% of the pool by loan balance was underwritten to Fannie Mae's and Freddie Mac's guidelines (conforming loans). The conforming loans in this transaction have a high average current loan balance at $549,231. The high conforming loan balance of loans in JPMMT 2018-9 is attributable to the large number of properties located in high-cost areas, such as the metro areas of New York City, Los Angeles and San Francisco. Chase, United Shore Financial Services and Quicken Loans, Inc. originated about 56%, 11% and 11% of the pool, respectively. The remaining originators each account for less than 10% of the principal balance of the loans in the pool. The mortgage loans in the pool were originated mostly in California (43% by loan balance). The sponsor is in the process of determining the number of loans backed by properties located in counties affected by the recent and ongoing California wildfires and Hurricane Florence. Once determined, the sponsor will order post-disaster inspection reports for properties in areas designated for individual assistance by FEMA. Prior to closing and to the extent any properties sustained material damage from the natural disasters, the sponsor will repurchase the affected loans from the pool. Servicing Fee Framework The servicing fee for loans serviced by Chase and Shellpoint (80% of the mortgage pool by balance) will be based on a step-up incentive fee structure with a monthly base fee of $20 per loan and additional fees for servicing delinquent and defaulted loans. All other servicers will be paid a monthly flat servicing fee equal to one-twelfth of 0.25% of the remaining principal balance of the mortgage loans. While this fee structure is common in non-performing mortgage securitizations, it is unique to rated prime mortgage securitizations which typically incorporate a flat 25 basis point servicing fee rate structure. By establishing a base servicing fee for performing loans that increases with the delinquency of loans, the fee-for-service structure aligns monetary incentives to the servicer with the costs of the servicer. The servicer receives higher fees for labor-intensive activities that are associated with servicing delinquent loans, including loss mitigation, than they receive for servicing a performing loan, which is less labor-intensive. The fee-for-service compensation is reasonable and adequate for this transaction because it better aligns the servicer's costs with the deal's performance. Furthermore, higher fees for the more labor-intensive tasks make the transfer of these loans to another servicer easier, should that become necessary. By contrast, in typical RMBS transactions a servicer can take actions, such as modifications and prolonged workouts, that increase the value of its mortgage servicing rights. The incentive structure includes an initial monthly base servicing fee of $20 for all performing loans and increases according to a pre-determined delinquent and incentive servicing fee schedule. The delinquent and incentive servicing fees will be deducted from the available distribution amount and Class B-6 net WAC. The transaction does not have a servicing fee cap, so, in the event of a servicer replacement, any increase in the base servicing fee beyond the current fee will be paid out of the available distribution amount. Third-party Review and Reps & Warranties Four third party review (TPR) firms verified the accuracy of the loan-level information that Moody's received from the sponsor. These firms conducted detailed credit, valuation, regulatory compliance and data integrity reviews on 100% of the mortgage pool. The TPR results indicated compliance with the originators' underwriting guidelines for the vast majority of loans, no material compliance issues, and no appraisal defects. The loans that had exceptions to the originators' underwriting guidelines had strong documented compensating factors such as low DTIs, low LTVs, high reserves, high FICOs, or clean payment histories. The TPR firms also identified minor compliance exceptions for reasons such as inadequate RESPA disclosures (which do not have assignee liability) and TILA/RESPA Integrated Disclosure (TRID) violations related to fees that were out of variance but then were cured and disclosed. Moody's did not make any adjustments to its expected or Aaa (sf) loss levels due to the TPR results. JPMMT 2018-9's R&W framework is in line with that of other JPMMT transactions where an independent reviewer is named at closing, and costs and manner of review are clearly outlined at issuance. Its review of the R&W framework takes into account the financial strength of the R&W providers, scope of R&Ws (including qualifiers and sunsets) and enforcement mechanisms. The R&W providers vary in financial strength. JPMorgan Chase Bank, National Association (rated Aa2), along with JPMMAC, is the R&W provider for approximately 57% (by loan balance) of the pool. Moody's made no adjustments to the loans for which Chase, JPMMAC, USAA Federal Savings Bank (a subsidiary of USAA Capital Corporation which is rated Aa1) and Fifth Third Bank, Ohio (rated A3) provided R&Ws since they are highly rated entities. In contrast, the rest of the R&W providers are unrated and/or financially weaker entities. Moody's applied an adjustment to the loans for which these entities provided R&Ws. JPMMAC will not backstop any R&W providers who may become financially incapable of repurchasing mortgage loans. JPMMAC is the R&W provider for loans originated by FirstBank of Colorado, loanDepot.com, NexBank and Wintrust Morgage. For loans that JPMMAC acquired via the MAXEX platform, MAXEX under the assignment, assumption and recognition agreement with JPMMAC, will make the R&Ws. The R&Ws provided by MAXEX to JPMMAC and assigned to the trust are in line with the R&Ws found in the JPMMT transactions. Five Oaks Acquisition Corp. will backstop the obligations of MaxEx with respect to breaches of the mortgage loan representations and warranties made by MaxEx. Trustee and Master Servicer The transaction trustee is U.S. Bank National Association. The custodian's functions will be performed by Wells Fargo Bank, N.A. and JP Morgan Chase Bank, N.A. The paying agent and cash management functions will be performed by Wells Fargo Bank, N.A., rather than the trustee. In addition, Wells Fargo, as Master Servicer, is responsible for servicer oversight, and termination of servicers and for the appointment of successor servicers. In addition, Wells Fargo is committed to act as successor if no other successor servicer can be found. Tail Risk & Subordination Floor This deal has a standard shifting-interest structure, with a subordination floor to protect against losses that occur late in the life of the pool when relatively few loans remain (tail risk). When the total senior subordination is less than 1.15% of the original pool balance, the subordinate bonds do not receive any principal and all principal is then paid to the senior bonds. In addition, if the subordinate percentage drops below 6.00% of current pool balance, the senior distribution amount will include all principal collections and the subordinate principal distribution amount will be zero. The subordinate bonds themselves benefit from a floor. When the total current balance of a given subordinate tranche plus the aggregate balance of the subordinate tranches that are junior to it amount to less than 0.85% of the original pool balance, those tranches do not receive principal distributions. Principal those tranches would have received are directed to pay more senior subordinate bonds pro-rata. Transaction Structure The transaction uses the shifting interest structure in which the senior bonds benefit from a number of protections. Funds collected, including principal, are first used to make interest payments to the senior bonds. Next, principal payments are made to the senior bonds. Next, available distribution amounts are used to reimburse realized losses and certificate write-down amounts for the senior bonds (after subordinate bond have been reduced to zero I.e. the credit support depletion date). Finally, interest and then principal payments are paid to the subordinate bonds in sequential order. Realized losses are allocated in a reverse sequential order, first to the lowest subordinate bond. After the balance of the subordinate bonds is written off, losses from the pool begin to write off the principal balance of the senior support bond, and finally losses are allocated to the super senior bonds. In addition, the pass-through rate on the bonds is based on the net WAC as reduced by the sum of (i) the reviewer annual fee rate and (ii) the capped trust expense rate. In the event that there is a small number of loans remaining, the last outstanding bonds' rate can be reduced to zero. 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. JPMDB COMMERCIAL 2016-C4: Fitch Affirms B- Rating on Class F Certs ------------------------------------------------------------------ Fitch Ratings has affirmed 13 classes of JPMDB Commercial Mortgage Securities Trust 2016-C4 commercial mortgage pass-through certificates. KEY RATING DRIVERS Stable Performance: The affirmations follow the overall stable performance of the pool. All loans are performing in-line with Fitch's expectations. There have been no material changes to the pool since issuance, therefore, the original rating analysis was considered in affirming the transaction. Minimal Changes in Credit Enhancement: As of the August 2018 distribution date, the pool's aggregate principal balance has been reduced by 0.68% to $1.12 billion resulting in minimal increases in credit enhancement to the senior classes. Five of the largest 10 loans, representing 27.8% of the pool, are full-term interest-only loans. In total, there are eight full-term interest-only loans representing 37.7% of the pool. Additionally, there are 11 loans representing 32.6% of the pool that remain in their partial interest-only period. Office Concentration: The pool has an above-average concentration of office properties accounting for 52.4% of loans. Fitch-rated transactions in 2016 had an average concentration of 28.7%. Credit Opinion Loans: Four loans in the pool, representing 20.3%, received investment-grade credit opinions at issuance. The two largest loans in the pool, 9 West 57th Street (7.2%) and 10 Hudson Yards (7.2%), received investment-grade credit opinions of 'AAAsf' and 'BBBsf', respectively, on a stand-alone basis. Moffett Gateway (3.9%), the ninth largest loan in the pool, received an investment-grade credit opinion of 'BBB-sf' on a stand-alone basis. Furthermore, Westfield San Francisco Centre (2.1%) received an investment-grade credit opinion of 'Asf' on a stand-alone basis. RATING SENSITIVITIES The Rating Outlook for all classes remains Stable due to stable collateral performance. Fitch does not foresee positive or negative ratings migration until a material economic or asset-level event changes the transaction's portfolio-level metrics. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third-party due diligence was provided or reviewed in relation to this rating. Fitch affirms the following classes: -- $30.6 million class A-1 at 'AAAsf'; Outlook Stable; -- $300 million class A-2 at 'AAAsf'; Outlook Stable; -- $381.3 million class A-3 at 'AAAsf'; Outlook Stable; -- $67.4 million class A-SB at 'AAAsf'; Outlook Stable; -- $872.2 million* class X-A at 'AAAsf'; Outlook Stable; -- $61.8 million* class X-B at 'AA-sf'; Outlook Stable; -- $92.8 million class A-S at 'AAAsf'; Outlook Stable; -- $61.8 million class B at 'AA-sf'; Outlook Stable; -- $47.8 million class C at 'A-sf'; Outlook Stable; -- $101.2 million* class X-C at 'BBB-sf'; Outlook Stable; -- $53.4 million class D at 'BBB-sf'; Outlook Stable; -- $22.5 million class E at 'BB-sf'; Outlook Stable; -- $11.2 million class F at 'B-sf'; Outlook Stable. - Notional and interest-only. Fitch does not rate the class NR certificates. JPMDB COMMERCIAL 2017-C7: DBRS Confirms B(low) Rating on F-RR Certs ------------------------------------------------------------------- DBRS Limited confirmed the ratings on the Commercial Mortgage Pass-Through Certificates, Series 2017-C7 issued by JPMDB Commercial Mortgage Securities Trust 2017-C7 as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-S at AAA (sf) -- Class A-SB at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (sf) -- Class X-B at A (sf) -- Class C at A (low) (sf) -- Class X-D at BBB (sf) -- Class D at BBB (low) (sf) -- Class E-RR at BB (low) (sf) -- Class F-RR at B (low) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction, which has remained in line with DBRS's expectations since issuance. The collateral consists of 41 loans secured by 201 commercial and multifamily properties. As of the August 2018 remittance, the pool had an aggregate principal balance of approximately $1,101.3 million, representing a collateral reduction of 0.3% since issuance due to scheduled loan amortization. To date, 44.0% of the pool has reported year-end 2017 financials. Based on these financials, those loans had net cash flow (NCF) growth ranging between 0.8% and 31.9% over the DBRS NCF figures derived at issuance. The pool had a DBRS weighted-average (WA) debt service coverage ratio (DSCR) and debt yield at issuance of 2.17 times (x) and 10.2%, respectively. At issuance, three loans, representing 14.9% of the current pool balance, were shadow-rated investment grade. DBRS confirmed that the performance of three of these loans, Moffett Place Building 4 (Prospectus ID#1, 6.3% of the pool), Gateway Net Lease Portfolio (Prospectus ID#8, 4.5% of the pool) and General Motors Building (Prospectus ID#10, 4.1% of the pool), remain consistent with investment-grade loan characteristics. The 245 Park Avenue loan (Prospectus ID#15, 2.9% of the pool) was shadow-rated below investment grade at issuance; however, due to DBRS's concerns with the sponsor's efforts to sell the property amid mounting debt, the shadow rating has been removed. Classes X-A, X-B and X-D are interest-only (IO) certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. Notes: All figures are in U.S. dollars unless otherwise noted. LB-UBS COMMERCIAL 2005-C1: Moody Affirms C Rating on 2 Tranches --------------------------------------------------------------- Moody's Investors Service has upgraded the rating on one class and affirmed the ratings on three classes in LB-UBS Commercial Mortgage Trust 2005-C1, Commercial Mortgage Pass-Through Certificates, Series 2005-C1 as follows: Cl. G, Upgraded to Aaa (sf); previously on Sep 7, 2017 Upgraded to Aa3 (sf) Cl. H, Affirmed Ba3 (sf); previously on Sep 7, 2017 Affirmed Ba3 (sf) Cl. J, Affirmed C (sf); previously on Sep 7, 2017 Affirmed C (sf) Cl. X-CL, Affirmed C (sf); previously on Sep 7, 2017 Affirmed C (sf) RATINGS RATIONALE The rating on the P&I class G was upgraded primarily due to an increase in credit support resulting from loan amortization. The deal has paid down 10% since Moody's last review and the class is fully covered by defeasance. The rating on the P&I class H was affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The rating on the P&I Class J was affirmed because the rating is consistent with Moody's expected loss plus realized losses. The class has experienced 40% realized loss; in addition, two loans representing 41% of the pool by balance, have large exposures to Kmart stores that were identified for closure. The rating on the IO class, Class X-CL, was affirmed based on the credit quality of the referenced classes. Moody's rating action reflects a base expected loss of 1.3% of the current pooled balance, compared to 0.8% at Moody's last review. Moody's base expected loss plus realized losses is now 3.6% of the original pooled balance, the same as at the last review. 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 LB-UBS Commercial Mortgage Trust 2005-C1, Cl. G, Cl. H, and Cl. J was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. The methodologies used in rating LB-UBS Commercial Mortgage Trust 2005-C1, Cl. X-CL 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. DEAL PERFORMANCE As of the August 17, 2018 distribution date, the transaction's aggregate certificate balance has decreased by 98% to $31.8 million from $1.525 billion at securitization. The certificates are collateralized by ten mortgage loans ranging in size from 1% to 24% of the pool. One loan, constituting 7.8% of the pool, has defeased and is secured by US government securities. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of five, the same as at Moody's last review. Five loans, constituting 50% 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. Eighteen loans have been liquidated from the pool, contributing to an aggregate realized loss of $55 million (for an average loss severity of 37%). Moody's received full year 2017 operating results for 88% of the pool, and partial year 2018 operating results for 86% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 88%, compared to 82% 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 36% 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 1.24X and 1.53X, respectively, compared to 1.32X and 1.54X 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 64% of the pool balance. The largest loan is the Route 30 Mall Loan ($7.6 million -- 23.9% of the pool), which is secured by a 64,000 square foot (SF) retail property located in Framingham, Massachusetts. The loan had been on the watchlist for several years, since 2014 when Office Depot (66% of NRA) vacated the property at lease expiration. In March 2017, a new lease with AutoZone was executed to fill the vacant space. As of the March 2018 rent roll, the property was 100% leased, the same as of the June 2017, up from 36% at year-end 2016. The loan has an anticipated repayment date (ARD) in November 2019 and a final maturity date in 2034. Moody's LTV and stressed DSCR are 88% and 1.16X, respectively, compared to 90% and 1.14X at the last review. The second largest loan is the Bellflower Loan ($7.4 million -- 23.3% of the pool), which is secured by a 154,000 SF anchored retail property in Bellflower, California. The property is anchored by Kmart (88% of NRA) on a lease through April 2025. However, in August 2017, Sears identified this location for closure. The loan is on the servicer's watchlist. The property is currently 8.5% physically occupied compared to 97% in June 2017. Moody's incorporated a lit/dark analysis to account for the large Kmart exposure. The loan has an ARD in November 2019 and a final maturity date in 2034. Moody's LTV and stressed DSCR are 110% and 0.93X, respectively, compared to 113% and 0.91X at the last review. The third largest loan is the Allentown Towne Center Loan ($5.5 million -- 17.3% of the pool), which is secured by a 161,000 SF anchored retail property in Allentown, Pennsylvania. The property is anchored by Kmart (73% of NRA) on a lease through January 2024. However, in August 2017, Sears identified this location for closure. The loan is on the servicer's watchlist. The property is currently 22% physically occupied compared to 96% in June 2017. Moody's incorporated a lit/dark analysis to account for the large Kmart exposure. The loan has an ARD in November 2019 and a final maturity date in 2034. Moody's LTV and stressed DSCR are 98% and 1.05X, respectively, compared to 76% and 1.36X at the last review. LCM XX LP: S&P Assigns Prelim. BB Rating on $20MM Class E-R Certs ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-R, B-R, C-R, D-R, and E-R replacement notes from LCM XX L.P., a collateralized loan obligation (CLO) originally issued in 2015 that is managed by LCM Asset 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. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Oct. 22, 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 our 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 class A-R, B-R, C-R, D-R, and E-R notes at lower spreads than the original notes. -- Reestablish the end of the non-call period as the October 2019 payment date for the class A-R notes and the April 2019 payment date for the class B-R, C-R, D-R, and E-R notes. 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 LCM XX L.P. Replacement class Rating Amount (mil. $) A-R AAA (sf) 315.00 B-R AA (sf) 60.00 C-R A (sf) 37.50 D-R BBB (sf) 25.00 E-R BB (sf) 20.00 L.P. certificates NR 51.50 NR--Not rated. MARATHON CLO VIII: Moody's Rates $22MM Class D-R Notes 'Ba3' ------------------------------------------------------------ Moody's Investors Service has assigned ratings to five classes of CLO refinancing notes issued by Marathon CLO VIII Ltd.: Moody's rating action is as follows: US$283,500,000 Class A-1-R Senior Secured Floating Rate Notes Due 2031 (the "Class A-1-R Notes"), Definitive Rating Assigned Aaa (sf) US$56,250,000 Class A-2-R Senior Secured Floating Rate Notes Due 2031 (the "Class A-2-R Notes"), Definitive Rating Assigned Aa2 (sf) US$24,750,000 Class B-R Senior Secured Deferrable Floating Rate Notes Due 2031 (the "Class B-R Notes"), Definitive Rating Assigned A2 (sf) US$27,000,000 Class C-R Senior Secured Deferrable Floating Rate Notes Due 2031 (the "Class C-R Notes"), Definitive Rating Assigned Baa3 (sf) US$22,000,000 Class D-R Secured Deferrable Floating Rate Notes Due 2031 (the "Class D-R Notes"), Definitive Rating Assigned Ba3 (sf) The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. Marathon Asset Management, L.P. manages the CLO. It directs the selection, acquisition, and disposition of collateral on behalf of the Issuer. RATINGS RATIONALE Moody's ratings on the Refinancing Notes address the expected losses posed to noteholders. The ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. The Issuer has issued the Refinancing Notes on September 18, 2018 in connection with the refinancing of all classes of the secured notes previously issued on July 24, 2015. On the Refinancing Date, the Issuer used proceeds from the issuance of the Refinancing Notes, along with the proceeds from the issuance of additional subordinated notes, to redeem in full the Refinanced Original Notes. In addition to the issuance of the Refinancing Notes and additional subordinated notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; and changes to the overcollateralization test levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2017. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $445,687,938 Defaulted par: $5,985,893 Diversity Score: 69 Weighted Average Rating Factor (WARF): 2940 Weighted Average Spread (WAS): 3.75% Weighted Average Recovery Rate (WARR): 47.0% Weighted Average Life (WAL): 9.08 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2017. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. MERRILL LYNCH 1997-C2: Moody's Affirms C Rating on Class IO Certs ----------------------------------------------------------------- Moody's Investors Service has affirmed the rating on one interest only (IO) class of Merrill Lynch Mortgage Investors Inc 1997-C2, Commercial Mortgage Pass-Through Certificates, Series 1997-C2 Cl. IO, Affirmed C (sf); previously on Sep 19, 2017 Affirmed C (sf) RATINGS RATIONALE The rating on the IO class was affirmed based on the credit quality of the referenced classes. The IO class is the only outstanding Moody's-rated class in this transaction. Moody's rating action reflects a base expected loss of 3.4% of the current balance, unchanged from Moody's last review. Moody's base expected loss plus realized losses is now 3.4% of the original pooled balance, unchanged from the last review. 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. Its ratings reflect the potential for future losses under varying levels of stress. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING: An IO class may be subject to ratings upgrades if there is an improvement in the credit quality of its referenced classes, subject to the limits and provisions of the updated IO methodology. An IO class may be subject to ratings downgrades if there is (i) a decline in the credit quality of the reference classes and/or (ii) paydowns of higher quality reference classes, subject to the limits and provisions of the updated IO methodology. METHODOLOGY UNDERLYING THE RATING ACTION The methodologies used in this rating 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. DEAL PERFORMANCE As of the September 10, 2018 distribution date, the transaction's aggregate certificate balance has decreased by 99% to $9.8 million from $686.3 million at securitization. The certificates are collateralized by one mortgage loan. Ten loans have been liquidated from the pool, resulting in an aggregate realized loss of $23.3 million (27% loss severity on average). The remaining loan in the pool is Northlake Tower Festival Loan ($9.8 million -- 100% of the pool), which is secured by a 321,623 square foot (SF) retail property located in Tucker, Georgia, a suburb of Atlanta. As of June 2018, the center was 63% leased, compared to 67% in June 2017. Toys "R" Us, which had occupied 43,000 square feet (SF) (14% of the property's net rentable area) vacated in January 2015. Additionally, the former second-largest tenant, Bally's Total Fitness, which had occupied 30,000 square feet (SF) (9% of the property's net rentable area) vacated at lease expiration in October 2014. The loan is on the watchlist due to occupancy concerns and it has passed its anticipated repayment date in 2013. The loan's final maturity date is in December 2027. MID OCEAN 2000-1: Moody's Lowers Rating on Class A-1L Notes to Ca ----------------------------------------------------------------- Moody's Investors Service has downgraded the rating on notes issued by Mid Ocean CBO 2000-1 Ltd.: US$240,000,000 Class A-1L Floating Rate Notes Due January 2036 (current outstanding balance of $17,831,497), Downgraded to Ca (sf); previously on April 24, 2009 Downgraded to Caa3 (sf) Mid Ocean CBO 2000-1 Ltd., issued in January 2001, is a collateralized debt obligation backed primarily by a portfolio of RMBS with some exposure to CMBS and corporate assets, originated from 1998 to 2004. RATINGS RATIONALE The rating action is due primarily to deterioration of the transaction's over-collateralization (OC) level. Based on Moody's calculation, the Class A-1L notes are currently under collateralized and the OC is 45.7%. Nevertheless, there are $25.4 million of Ca/C rated assets in the portfolio, which have generated cash proceeds. Last quarter, those Ca/C rated assets added approximately $519,679 in principal proceeds. Methodology Underlying the Rating Action The principal methodology used in this rating was "Moody's Approach to Rating SF CDOs" published in June 2017. Factors That Would Lead To an Upgrade or Downgrade of the Rating: 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: 1) Macroeconomic uncertainty: Primary causes of uncertainty about assumptions are the extent of any deterioration in either consumer or commercial credit conditions and in the commercial and residential real estate property markets. Commercial real estate property market is subject to uncertainty about general economic conditions including commercial real estate prices, investment activities, and economic performances. The residential real estate property market's uncertainties include housing prices; the pace of residential mortgage foreclosures, loan modifications and refinancing; the unemployment rate; and interest rates. 2) Deleveraging: One source of uncertainty in this transaction is whether deleveraging from principal proceeds, recoveries from defaulted assets, and excess interest proceeds will continue and at what pace. Faster than expected deleveraging could have a significantly positive impact on the notes' ratings. 3) Amortization profile assumptions: Moody's modeled the amortization of the underlying collateral portfolio based on its assumed weighted average life (WAL). Regardless of the WAL assumption, due to the sensitivity of amortization assumption and its impact on the amount of principal available to pay down the notes, Moody's supplemented its analysis with various sensitivity analysis around the amortization profile of the underlying collateral assets. 4) Recovery of defaulted assets: The amount of recoveries received from defaulted assets reported by the trustee and those that Moody's assumes as having defaulted as well as the timing of these recoveries create additional uncertainty. Moody's analyzed defaulted assets assuming limited recoveries, and therefore, realization of any recoveries exceeding Moody's expectation in the future would positively impact the notes' ratings. 5) Lack of portfolio granularity: The performance of the portfolio depends to a large extent on the credit conditions of a few large obligors Moody's rates non-investment-grade, especially if they jump to default. Loss and Cash Flow Analysis: Moody's applies a Monte Carlo simulation framework in Moody's CDOROM to model the loss distribution for SF CDOs. The simulated defaults and recoveries for each of the Monte Carlo scenarios define the reference pool's loss distribution. Moody's then uses the loss distribution as an input in the CDOEdg cash flow model. MID OCEAN 2001-1: Moody's Lowers Ratings on 2 Tranches to Ca ------------------------------------------------------------ Moody's Investors Service has downgraded the ratings on notes issued by Mid Ocean CBO 2001-1 Ltd.: US$215,000,000 Class A-1L Floating Rate Notes Due November 2036 (current outstanding balance of $23,310,462.31), Downgraded to Ca (sf); previously on April 24, 2009 Downgraded to Caa3 (sf) US$50,000,000 Class A-1 6.5563% Notes Due November 2036 (current outstanding balance of $5,421,037.74), Downgraded to Ca (sf); previously on April 24, 2009 Downgraded to Caa3 (sf) Mid Ocean CBO 2001-1 Ltd., issued in October 2001, is a collateralized debt obligation backed primarily by a portfolio of RMBS and CMBS originated from 1997 to 2003. RATINGS RATIONALE These rating actions are due primarily to deterioration of the transaction's over-collateralization (OC) levels. Based on Moody's calculation, the Class A-1L and A-1 are currently under collateralized and the OC is 24.79%. Nevertheless, there are $27.8 million of Ca/C rated assets in the portfolio, which have generated cash proceeds. Last quarter, those Ca/C rated assets added approximately $385,000 in interest and principal proceeds. Methodology Underlying the Rating Action The principal methodology used in these ratings was "Moody's Approach to Rating SF CDOs," published in June 2017. Factors That Would Lead To an Upgrade or Downgrade of the Ratings: This transaction is subject to a number of factors and circumstances that could lead to either an upgrade or downgrade of the ratings, as described: 1) Macroeconomic uncertainty: Primary causes of uncertainty about assumptions are the extent of any deterioration in either consumer or commercial credit conditions and in the commercial and residential real estate property markets. Commercial real estate property market is subject to uncertainty about general economic conditions including commercial real estate prices, investment activities, and economic performances. The residential real estate property market's uncertainties include housing prices; the pace of residential mortgage foreclosures, loan modifications and refinancing; the unemployment rate; and interest rates. 2) Deleveraging: One source of uncertainty in this transaction is whether deleveraging from principal proceeds, recoveries from defaulted assets, and excess interest proceeds will continue and at what pace. Faster than expected deleveraging could have a significantly positive impact on the notes' ratings. 3) Amortization profile assumptions: Moody's modeled the amortization of the underlying collateral portfolio based on its assumed weighted average life (WAL). Regardless of the WAL assumption, due to the sensitivity of amortization assumption and its impact on the amount of principal available to pay down the notes, Moody's supplemented its analysis with various sensitivity analysis around the amortization profile of the underlying collateral assets. 4) Recovery of defaulted assets: The amount of recoveries received from defaulted assets reported by the trustee and those that Moody's assumes as having defaulted as well as the timing of these recoveries create additional uncertainty. Moody's analyzed defaulted assets assuming limited recoveries, and therefore, realization of any recoveries exceeding Moody's expectation in the future would positively impact the notes' ratings. 5) Lack of portfolio granularity: The performance of the portfolio depends to a large extent on the credit conditions of a few large obligors Moody's rates non-investment-grade, especially if they jump to default. Loss and Cash Flow Analysis: Moody's applies a Monte Carlo simulation framework in Moody's CDOROM™ to model the loss distribution for SF CDOs. The simulated defaults and recoveries for each of the Monte Carlo scenarios define the reference pool's loss distribution. Moody's then uses the loss distribution as an input in the CDOEdge™ cash flow model. ML-CFC COMMERCIAL 2007-9: Fitch Cuts Class AJ-A Certs Rating to C ----------------------------------------------------------------- Fitch Ratings has downgraded two and affirmed 12 classes of ML-CFC Commercial Mortgage Trust, commercial mortgage pass-through certificates, series 2007-9. KEY RATING DRIVERS Increased Loss Expectations: Modeled losses increased approximately 3% since the prior rating action. The majority of the increases in losses are due to the specially serviced Bon Carre and 8585 South Yosemite Street loans. Bon Carre is secured by a 712,920 sf office property located in Baton Rouge, LA. The loan was transferred to special servicing on April 7, 2017 for maturity default (the loan matured on April 8, 2017). Occupancy has continued to decrease which has led to an increase in loss expectations. The second largest contributor to the increase in losses is 8585 Yosemite Street. The loan is secured by a 158,145 sf single tenant retail property located in Lone Tree, CO. The property was fully occupied by Sears Roebuck and Co. on a triple net lease that expired in February 2018 (Loan matured in January 2018). The property operated as a Sears Outlet. Sears vacated upon their lease expiration. The borrower also has not been able to find new financing or re-tenant the property. Per the special servicer, the borrower has proposed a DPO, which is currently under evaluation. Increased Credit Enhancement Offset by Increase in Loss Expectations: Credit enhancement has improved since Fitch's last rating action; however, given the large class size of the AJ and AJ-A classes relative to expected recoveries, losses to these classes appear inevitable. There are currently nine delinquent loans (~78% of the pool), three of which are in foreclosure (28.9% of the pool), and four assets (13.6%) are REO. The largest performing loan, 534 Broad Hollow Road, is secured by an 113,904 sf office property located in Melville, NY. In February 2017 the loan went through a modification, where the balance of the loan was split, with $11,750,000 on the A note and $9.3 million on the B note. The borrower is required to make interest-only payments on the balance of this loan until the new maturity date of July 6, 2019, on which the balance, along with the balance of the split note and interest will be due. High Concentration of Specially Serviced Assets: There are currently nine delinquent loans (~78% of the pool) within the portfolio. The largest loan in the pool is secured by a two-story, 493,746 sf office building and four pad parcels located in Tallahassee, FL. The property was originally constructed as a regional mall in 1967 and operated as a mall until 1985. The majority of the property was then converted into office space. The loan was transferred to special servicing on March 9, 2016, due to significant mold issues and non-payment of rent by the major tenant. The special servicer has exercised its fair value option and disposition is expected imminently. The remaining eight specially serviced loans are all currently going through various workout strategies including REO dispositions, DPO, and foreclosure. Loan Maturities: Of the non-specially serviced loans/assets, 2.03% of the remaining pool matures in 2018, and 16.11% in 2019. As of the August 2018 remittance report, the pool's aggregate principal balance has been reduced by 93.85% to $172.9 million from $2.8 billion at issuance. Realized losses total $293.1 million (10.43% of original pool balance). Cumulative interest shortfalls of $26.7 million are currently affecting classes B through F and classes J through T. RATING SENSITIVITIES The ratings reflect the adverse selection of the remaining loans in the pool. The downgrades to classes AJ and AJ-A reflect higher expected losses, large class sizes relative to expected recoveries and the imminent disposition of the largest specially serviced loan, Northwood Centre. The affirmation to class B reflects the expected losses from the specially serviced assets that will impact this class. Classes will be downgraded to 'Dsf' as losses are realized. Upgrades are not expected but could be possible with significantly better than expected recoveries on the specially serviced loans. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third-party due diligence was provided or reviewed in relation to this rating action. Fitch has downgraded the following ratings: -- $114.1 million class AJ to 'Csf' from 'CCsf'; -- $14.7 million class AJ-A to 'Csf' from 'CCsf'. Fitch has affirmed the following ratings: -- $31.6 million class B at 'Csf'; RE 0%; -- $12.5 million class C at 'Dsf'; RE 0%; -- $0 class D at 'Dsf'; RE 0%; -- $0 class E at 'Dsf'; RE 0%; -- $0 class F at 'Dsf'; RE 0%; -- $0 class G at 'Dsf'; RE 0%; -- $0 class H at 'Dsf'; RE 0%; -- $0 class J at 'Dsf'; RE 0%; -- $0 class K at 'Dsf'; RE 0%; -- $0 class L at 'Dsf'; RE 0%; -- $0 class M at 'Dsf'; RE 0%; -- $0 class N at 'Dsf'; RE 0%. The class A-1, A-2, A-3, A-SB, A-4, A-1A, AM, and AM-A certificates have 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 XP and XC certificates. MP CLO VII: Fitch Assigns B Rating on Class F-RR Notes ------------------------------------------------------ Fitch Ratings has assigned the following ratings and Rating Outlooks to MP CLO VII, Ltd.: -- $351,000,000 class A-RR notes 'AAAsf'; Outlook Stable; -- $10,800,000 class F-RR notes 'Bsf'; Outlook Stable. The class A-1-R notes have been marked 'PIF'. Fitch does not rate the class X, B-RR, C-RR, D-RR, E-RR or the subordinated notes. TRANSACTION SUMMARY MP CLO VII, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by MP CLO Management LLC that originally closed in May 2015 and was partially refinanced in December 2017. The CLO's secured notes were refinanced in whole on Sept. 12, 2018 (the second refinancing date) from proceeds of the issuance of new secured notes. The secured and subordinated notes will provide financing on a portfolio of approximately $540 million of primarily first lien senior secured loans. After the second refinancing date, the CLO will have a reinvestment period of 2.1 years and a one-year noncall period. KEY RATING DRIVERS Sufficient Credit Enhancement: Credit enhancement (CE) available of 35% and 6% for class A-RR and F-RR notes, respectively, in addition to excess spread, is sufficient to protect against portfolio default and recovery rate projections in their respective rating stress scenarios. The degree of CE available to the class A-RR notes is below the average CE of recent 'AAAsf' CLO issuances, and the degree of CE available to the class F-RR notes is in line with the average CE of recent 'Bsf' CLO issuances. Cash flow modeling results on both classes indicate performance in line with other Fitch-rated notes of the same respective ratings. 'B'/'B-' Asset Quality: The average credit quality of the indicative portfolio is 'B'/'B-', which is comparable to recent CLOs. Issuers rated in the 'B' rating category denote highly speculative credit quality; however, in Fitch's opinion, the class A-RR and F-RR notes are unlikely to be affected by the foreseeable level of defaults. The class A-RR and F-RR notes are projected to be able to withstand default rates of up to 59.3% and 34.3%, respectively. Fitch was not asked to rate the class X, B-RR, C-RR, D-RR and E-RR notes; however, these notes were included in Fitch's modeling of the class F-RR notes. Strong Recovery Expectations: The indicative portfolio consists of 97.2% first lien senior secured loans and 2.8% second lien loans. Approximately 92.9% of the indicative portfolio has strong recovery prospects or a Fitch-assigned recovery rating of 'RR2' or higher, resulting in a base case recovery assumption of 79.6%. In determining the ratings for the class A-RR and F-RR notes, Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses, resulting in a 39.5% recovery rate in Fitch's 'AAAsf' scenario and a 76.8% recovery rate in Fitch's 'Bsf' scenario. RATING SENSITIVITIES Fitch evaluated the notes' sensitivity to the potential variability of key model assumptions, including decreases in recovery rates and increases in default rates. Results under these sensitivity scenarios ranged between 'BB+sf' and 'AAAsf' for the class A-RR notes, and between lower than 'CCCsf' and 'B-sf' for the class F-RR notes. MP CLO VII: Moody's Assigns Ba3 Rating on $28.9MM Class E-RR Notes ------------------------------------------------------------------ Moody's Investors Service has assigned ratings to six classes of CLO refinancing notes issued by MP CLO VII, Ltd.: Moody's rating action is as follows: US$1,800,000 Class X Senior Floating Rate Notes due 2028 (the "Class X Notes"), Assigned Aaa (sf) US$351,000,000 Class A-RR Senior Floating Rate Notes due 2028 (the "Class A-RR Notes"), Assigned Aaa (sf) US$58,600,000 Class B-RR Senior Floating Rate Notes due 2028 (the "Class B-RR Notes"), Assigned Aa2 (sf) US$25,100,000 Class C-RR Mezzanine Deferrable Floating Rate Notes due 2028 (the "Class C-RR Notes"), Assigned A2 (sf) US$33,200,000 Class D-RR Mezzanine Deferrable Floating Rate Notes due 2028 (the "Class D-RR Notes"), Assigned Baa3 (sf) US$28,900,000 Class E-RR Mezzanine Deferrable Floating Rate Notes due 2028 (the "Class E-RR Notes"), Assigned Ba3 (sf) The Issuer is a managed cash flow collateralized loan obligation. The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. MP CLO Management LLC (the "Manager") manages the CLO. It directs the selection, acquisition, and disposition of collateral on behalf of the Issuer. RATINGS RATIONALE Moody's ratings on the Refinancing Notes address the expected losses posed to noteholders. The ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. The Issuer has issued the Refinancing Notes on September 12, 2018 in connection with the refinancing of all classes of the secured notes initially issued on May 6, 2015 or initially issued on the Original Closing Date and subsequently refinanced on December 28, 2017. On the Refinancing Date, the Issuer used proceeds from the issuance of the Refinancing Notes, along with the proceeds from the issuance of one other class of secured notes, to redeem in full the Refinanced Original Notes. In addition to the issuance of the Refinancing Notes and the one other class of secured notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; and changes to the overcollateralization test levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2017. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $540,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 2925 Weighted Average Spread (WAS): 3.25% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 47.0% Weighted Average Life (WAL): 7.12 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2017. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. N-STAR REL VI: Fitch Lowers Rating on $16.8MM Class K Debt to 'Csf' ------------------------------------------------------------------- Fitch Ratings has upgraded and removed from Rating Watch Positive two classes of N-Star REL CDO VI, Ltd./LLC (N-Star VI). In addition, Fitch has downgraded one class. KEY RATING DRIVERS The upgrades to classes H and J reflect both the continued deleveraging of the capital structure and the credit characteristics of the underlying collateral. Credit enhancement to the classes has increased significantly since the last rating action due to the repayment of the largest loan, Pelican Point, a preferred equity position on a 400-unit multifamily property located in Ventura, CA, which had accounted for 24.9% of the pool balance at the last rating action. On May 16, 2018, classes H and J, along with classes D through G, which are now paid in full, were placed on Rating Watch Positive in anticipation of the Pelican Point repayment, which was subsequently reflected at the CDO's June 2018 payment date. The downgrade to class K reflects the class's lower credit enhancement due to realized losses of $30.7 million on the Hard Rock mezzanine loan, which was fully written down since the last rating action. Default of this class is considered inevitable at or prior to maturity. The CDO is highly concentrated with only seven assets remaining. As of the July 2018 trustee report, the CDO was invested in three commercial real estate (CRE) loans (65.2% of pool) and four CRE CDO bonds (34.7%). Additionally, there is $67,103 of principal cash (0.1%). Fitch has designated all three CRE loans as Fitch Loans of Concern, including a defaulted A-note (39.3% of pool) secured by undeveloped land in the Poconos Mountains, of which the lender is pursuing foreclosure; a defaulted B-note (22%) secured by a leasehold interest on an office property in Cincinnati, OH; and a highly-leveraged mezzanine loan (4%) on an interest in a portfolio of limited-service hotels located across the U.S. Full to substantial losses are expected on all these loans. The four CRE CDO bonds are from two obligors: CapitalSource Real Estate Loan Trust 2006-A and N-Star REL CDO VIII. Fitch rates these bonds as follows: 'BBsf' (4.5% of pool), 'Bsf' (19%) and 'CCCsf' (11.1%). Due to the concentration of the pool, a look-through analysis of the underlying portfolio was the determining factor in the rating actions. Class H is fully covered by principal cash and CRE CDO collateral rated 'BBsf' while class J is covered by collateral rated 'CCCsf' and higher. The CRE CDO is managed by NS Advisors, LLC, which was previously a wholly owned subsidiary of NorthStar Realty Finance Corp. (NRF). In January 2017, NRF, along with Northstar Asset Management, merged with Colony Capital, Inc. to form Colony Northstar Inc. RATING SENSITIVITIES The Stable Outlook on class H reflects the credit quality of the underlying collateral as well as the expectation of further pay down. Further upgrades are not expected due to the concentration and adverse selection of the remaining pool. Downgrades may occur should the ratings of the CRE CDO bonds migrate downward and/or further losses be realized. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third party due diligence was provided or reviewed in relation to this rating action. Fitch has upgraded and removed from Rating Watch Positive the following classes: -- $277,621 class H to 'BBsf' from 'CCsf'; Outlook Stable assigned; -- $20.6 million class J to 'CCCsf' from 'CCsf'; RE 75%. In addition, Fitch has downgraded the following class: -- $16.8 million class K to 'Csf' from 'CCsf'; RE 0%. The class A-1 through G notes were paid in full. Fitch does not rate the Income Notes. NEUBERGER BERMAN XXIII: Moody's Gives (P)Ba3 Rating on E-R Notes ----------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to five classes of CLO refinancing notes to be issued by Neuberger Berman CLO XXIII, Ltd.: US$248,000,000 Class A-R Senior Secured Floating Rate Notes due 2027 (the "Class A-R Notes"), Assigned (P)Aaa (sf) US$52,000,000 Class B-R Senior Secured Deferrable Floating Rate Notes due 2027 (the "Class B-R Notes"), Assigned (P)Aa2 (sf) US$26,000,000 Class C-R Mezzanine Secured Deferrable Floating Rate Notes due 2027 (the "Class C-R Notes"), Assigned (P)A2 (sf) US$25,000,000 Class D-R Mezzanine Secured Deferrable Floating Rate Notes due 2027 (the "Class D-R Notes"), Assigned (P)Baa3 (sf) US$17,000,000 Class E-R Junior Secured Deferrable Floating Rate Notes due 2027 (the "Class E-R Notes"), Assigned (P)Ba3 (sf) 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 a definitive rating. A definitive rating, if any, may differ from a provisional rating. The Issuer is a managed cash flow collateralized loan obligation (CLO). The Refinancing Notes are collateralized primarily by a portfolio of senior secured, broadly syndicated corporate loans. Neuberger Berman Investment Advisers LLC manages the CLO. It directs the selection, acquisition, and disposition of collateral on behalf of the Issuer. RATINGS RATIONALE Moody's provisional ratings on the Refinancing 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. The Issuer intends to issue the Refinancing Notes on October 17, 2018 in connection with the refinancing of all classes of secured notes previously issued on November 29, 2016. On the Refinancing Date, the Issuer will use the proceeds from the issuance of the Refinancing Notes to redeem in full the Refinanced Original Notes. In addition to the issuance of the Refinancing Notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the non-call period; changes to certain collateral quality test and certain concentration limits; and changes to collateral quality matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2017. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $399,879,431 Diversity Score: 65 Weighted Average Rating Factor (WARF): 2792 Weighted Average Spread (WAS): 3.0% Weighted Average Spread (WAC): 7.0% Weighted Average Life (WAL): 7.25 years Weighted Average Recovery Rate (WARR): 48.5% Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2017. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. PRESTIGE AUTO 2018-1: DBRS Gives (P)BB Rating on $18.5MM E Notes ---------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following classes of notes to be issued by Prestige Auto Receivables Trust 2018-1 (PART 2018-1): -- $70,000,000 Class A-1 Notes rated R-1 (high) (sf) -- $130,000,000 Class A-2 Notes rated AAA (sf) -- $51,480,000 Class A-3 Notes rated AAA (sf) -- $39,360,000 Class B Notes rated AA (sf) -- $55,760,000 Class C Notes rated A (sf) -- $42,640,000 Class D Notes rated BBB (sf) -- $18,590,000 Class E Notes rated BB (sf) The ratings are based on a review by DBRS of the following analytical considerations: -- Transaction capital structure, proposed ratings and form and sufficiency of available credit enhancement. -- Credit enhancement is in the form of overcollateralization, subordination, amounts held in the reserve account and excess spread. Credit enhancement levels are sufficient to support DBRS projected expected cumulative net loss assumptions under various stress scenarios. -- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the ratings address the payment of timely interest on a monthly basis and principal by the legal final maturity date. -- The transaction parties' capabilities with regard to originations, underwriting and servicing. -- DBRS has performed an operational risk review of Prestige Financial Services, Inc. (Prestige) and considers the entity to be an acceptable originator and servicer of subprime auto receivables with an acceptable backup servicer. -- Prestige's management team has extensive experience. They have been lending to the subprime auto sector since 1994 and have considerable experience lending to Chapter 7 and 13 obligors. -- The credit quality of the collateral and performance of Prestige's auto loan portfolio. -- DBRS base case cumulative net loss (CNL) assumed for modeling purposes was 13.70%. Prestige shared vintage CNL data with DBRS that dates back to 2009. The data was broken down by payment to income ratio and other buckets. The analysis indicated a pattern of increasing losses that was consistent with expected trends. -- Prestige continues to evaluate and adjust its underwriting standards as necessary to target and maintain the credit quality of its loan portfolio. -- DBRS rating category loss multiples for each rating assigned are within the published criteria. -- The legal structure and presence of legal opinions that address the true sale of the assets to the Issuer, the non-consolidation of the special-purpose vehicle with Prestige and that the trust has a valid first-priority security interest in the assets and consistency with the DBRS “Legal Criteria for U.S. Structured Finance.” Notes: All figures are in U.S. dollars unless otherwise noted. PRESTIGE AUTO 2018-1: S&P Assigns Prelim BB Rating on Cl. E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Prestige Auto Receivables Trust 2018-1's (PART 2018-1's) $407.83 million automobile receivables-backed notes series 2018-1. The note issuance is an asset-backed securities transaction backed by subprime auto loan receivables. The preliminary ratings are based on information as of Sept. 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 48.5%, 42.5%, 33.1%, 26.5%, and 22.3% of credit support for the class A, B, C, D, and E notes, respectively (based on stressed cash flow scenarios, including excess spread), which provides coverage of more than 3.50x, 3.00x, 2.30x, 1.75x, and 1.50x S&P's 13.00%-13.75% expected cumulative net loss range for the class A, B, C, D, and E notes, respectively. These credit support levels are commensurate with the assigned preliminary 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB (sf)' ratings on the class A, B, C, D, and E notes. -- S&P's expectation that under a moderate, or 'BBB', loss scenario, all else equal, its preliminary ratings on the class A, B, and C notes would not decline by more than one rating category, and its preliminary ratings on the class D and E notes would not decline by more than two rating categories (all else being equal). These potential rating movements are consistent with S&P's credit stability criteria. -- The credit enhancement in the form of subordination, overcollateralization, a reserve account, and excess spread. -- The timely interest and ultimate principal payments made under the stressed cash flow modeling scenarios, which are consistent with the assigned preliminary ratings. -- The collateral characteristics of the securitized pool of subprime auto loans. -- Prestige Financial Services Inc.'s securitization performance history since 2001. -- The transaction's payment and legal structures. PRELIMINARY RATINGS ASSIGNED Prestige Auto Receivables Trust 2018-1 Class Rating Amount (mil. $)(i) A-1 A-1+ (sf) 70.000 A-2 AAA (sf) 130.000 A-3 AAA (sf) 51.480 B AA (sf) 39.360 C A (sf) 55.760 D BBB (sf) 42.640 E BB (sf) 18.590 (i) The actual size of these tranches will be determined on the pricing date. PSMC TRUST 2018-3: Fitch Rates $926,000 Class B-5 Certs 'B' ----------------------------------------------------------- Fitch Ratings has assigned American International Group, Inc. (AIG) PSMC 2018-3 Trust (PSMC 2018-3) ratings as follows: -- $314,885,000 class A-1 exchangeable certificates 'AAAsf'; Outlook Stable; -- $314,885,000class A-2 exchangeable certificates 'AAAsf'; Outlook Stable; -- $236,163,000 class A-3 exchangeable certificates 'AAAsf'; Outlook Stable; -- $236,163,000class A-4 exchangeable certificates 'AAAsf'; Outlook Stable; -- $15,744,000 class A-5 certificates 'AAAsf'; Outlook Stable; -- $15,744,000class A-6 exchangeable certificates 'AAAsf'; Outlook Stable; -- $62,978,000 class A-7 exchangeable certificates 'AAAsf'; Outlook Stable; -- $62,978,000 class A-8 exchangeable certificates 'AAAsf'; Outlook Stable; -- $31,673,000 class A-9 certificates 'AAAsf'; Outlook Stable; -- $31,673,000 class A-10 exchangeable certificates 'AAAsf'; Outlook Stable; -- $251,907,000 class A-11 exchangeable certificates 'AAAsf'; Outlook Stable; -- $78,722,000 class A-12 exchangeable certificates 'AAAsf'; Outlook Stable; -- $251,907,000 class A-13 exchangeable certificates 'AAAsf'; Outlook Stable; -- $78,722,000 class A-14 exchangeable certificates 'AAAsf'; Outlook Stable; -- $346,558,000 class A-15 exchangeable certificates 'AAAsf'; Outlook Stable; -- $346,558,000 class A-16 exchangeable certificates 'AAAsf'; Outlook Stable; -- $47,233,000 class A-17 exchangeable certificates 'AAAsf'; Outlook Stable; -- $15,745,000 class A-18 exchangeable certificates 'AAAsf'; Outlook Stable; -- $47,233,000 class A-19 certificates 'AAAsf'; Outlook Stable; -- $15,745,000 class A-20 certificates 'AAAsf'; Outlook Stable; -- $204,675,000 class A-21 certificates 'AAAsf'; Outlook Stable; -- $31,488,000 class A-22 certificates 'AAAsf'; Outlook Stable; -- $204,675,000 class A-23 exchangeable certificates 'AAAsf'; Outlook Stable; -- $31,488,000 class A-24 exchangeable certificates 'AAAsf'; Outlook Stable; -- $110,210,000 class A-25 exchangeable certificates 'AAAsf'; Outlook Stable; -- $110,210,000 class A-26 exchangeable certificates 'AAAsf'; Outlook Stable; -- $346,558,000 class A-X1 notional certificates 'AAAsf'; Outlook Stable; -- $314,885,000 class A-X2 notional exchangeable certificates 'AAAsf'; Outlook Stable; -- $236,163,000 class A-X3 notional exchangeable certificates 'AAAsf'; Outlook Stable; -- $15,744,000 class A-X4 notional exchangeable certificates 'AAAsf'; Outlook Stable; -- $62,978,000 class A-X5 notional exchangeable certificates 'AAAsf'; Outlook Stable; -- $31,673,000 class A-X6 notional exchangeable certificates 'AAAsf'; Outlook Stable; -- $346,558,000 class A-X7 notional exchangeable certificates 'AAAsf'; Outlook Stable; -- $47,233,000 class A-X8 notional certificates 'AAAsf'; Outlook Stable; -- $15,745,000 class A-X9 notional certificates 'AAAsf'; Outlook Stable; -- $204,675,000 class A-X10 notional exchangeable certificates 'AAAsf'; Outlook Stable; -- $31,488,000 class A-X11 notional exchangeable certificates 'AAAsf'; Outlook Stable; -- $8,521,000 class B-1 certificates 'AAsf'; Outlook Stable; -- $6,112,000 class B-2 certificates 'Asf'; Outlook Stable; -- $4,260,000 class B-3 certificates 'BBBsf'; Outlook Stable; -- $3,149,000 class B-4 certificates 'BBsf'; Outlook Stable; -- $926,000 class B-5 certificates 'Bsf'; Outlook Stable. Fitch will not be rating the following classes: --$927,015 class B-6 certificates. The notes are supported by one collateral group that consists of 585 prime fixed-rate mortgages (FRMs) acquired by subsidiaries of AIG from various mortgage originators with a total balance of approximately $370.45 million at the cut-off date. The 'AAAsf' rating on the class A notes reflects the 6.45% subordination provided by the 2.30% class B-1, 1.65% class B-2, 1.15% class B-3, 0.85% class B-4, 0.25% class B-5 and 0.25% class B-6 notes. KEY RATING DRIVERS High-Quality Mortgage Pool (Positive): The pool consists of high-quality, 30-year fixed-rate, fully amortizing Safe Harbor Qualified Mortgage (SHQM) loans to borrowers with strong credit profiles, relatively low leverage and large liquid reserves. The loans are seasoned an average of three months. The pool has a weighted average (WA) original FICO score of 776, which is indicative of very high credit-quality borrowers. Approximately 86.2% of the borrowers have original FICO scores above 750. In addition, the original WA CLTV ratio of 73.8% represents substantial borrower equity in the property and reduced default probability. AIG as Aggregator (Neutral): AIG is a global insurance corporation that has issued four previous RMBS transactions to date. The first two transactions were issued in 2017 under Credit Suisse's CSMC shelf, and the remaining two transactions were issued in 2018 using their recently created depositor, Pearl Street Mortgage Company (PSMC). This will be the third transaction issued under the PSMC shelf. In 2013, AIG established the Residential Mortgage Lending (RML) group to establish relationships with mortgage originators and acquire prime jumbo loans on behalf of funds owned by AIG. Fitch conducted a full review of AIG's aggregation processes and believes that AIG is an above average aggregator of mortgages for residential mortgage-backed securitizations. In addition to the satisfactory operational assessment, a due diligence review was completed on 100% of the pool. Third-Party Due Diligence Results (Positive): A loan-level due diligence review was conducted on 100% of the pool in accordance with Fitch's criteria and focused on credit, compliance and property valuation. 28.7% of the loans received an 'A' grade, and the remainder were graded 'B' (71.1%) and 'C' (< 0.5%). No loans were graded 'D'. The loans that were graded 'C' were determined to be non-material to the transaction. In Fitch's view, the results of the diligence indicate acceptable controls and adherence to underwriting guidelines, and no adjustment was made to the expected losses. Top Tier Representation and Warranty Framework (Positive): Fitch considers the transaction's representation, warranty, and enforcement (RWE) mechanism framework to be consistent with Tier I quality. As a result of the Tier I RWE framework and the 'A' Fitch-rated counterparty supporting the repurchase obligations of the RWE providers, the pool's AAAsf; expected loss was reduced by 24 bps. Straightforward Deal Structure (Positive): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the deal. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. CE Floor (Positive): To mitigate tail risk, which arises as the pool seasons and fewer loans are outstanding, a subordination floor of 1.00% of the original balance will be maintained for the certificates. Additionally, there is no early stepdown test that might allow principal prepayments to subordinate bondholders earlier than the five-year lockout schedule. Geographic Concentration (Neutral): Approximately 34.6% of the pool is located in California, which is in line with or slightly lower than other recent Fitch-rated transactions. In addition, the Metropolitan Statistical Area (MSA) concentration is minimal, as the top three MSAs account for only 28% of the pool. The largest MSA concentration is in the Los Angeles MSA (10.0%), followed by the San Francisco MSA (9.9%) and the Washington, D.C. MSA (8.2%). As a result, no geographic concentration penalty was applied. Extraordinary Expense Treatment (Neutral): The trust provides for expenses, including indemnification amounts and costs of arbitration, to be paid by the net WA coupon of the loans, which does not affect the contractual interest due on the certificates. Furthermore, the expenses to be paid from the trust are capped at $300,000 per annum, which can be carried over each year, subject to the cap until paid in full. 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 9.4%. 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. REALT 2016-2: Fitch Affirms B Rating on $4.7MM Class G Certs ------------------------------------------------------------ Fitch Ratings has affirmed eight classes of Real Estate Asset Liquidity Trust's (REALT) 2016-2 commercial mortgage pass-through certificates. KEY RATING DRIVERS There have been limited changes in loss expectations and the pool performance has been stable since issuance. The ratings reflect strong Canadian commercial real estate loan performance, including a low delinquency rate and low historical losses of less than 0.1%, as well as positive loan attributes such as short amortization schedules, recourse to the borrower, and additional guarantors. Of the remaining pool, over 78% of the loans feature full or partial recourse to the borrowers and/or sponsors. The pool has never had delinquent or specially serviced loans. There are two loans (4.48%) on the servicer's watch list due to declining performance; however, each loan has recourse to the borrower. The top three loans in the pool lack any form of recourse, but all three properties exhibit stable financial performance. There is one loan of concern, Innovation Portfolio (4.8%), due to large tenant rollover uncertainty; however, due to its low leverage and its cross collateralization, Fitch does not anticipate losses at this time. Improved Credit Enhancement: As of the September, 2018 distribution date, the pool's aggregate principal balance has been reduced 4.98% from $421.5 million at issuance to $400.5 million with 47 loans remaining. There are no full or partial interest only loans in the pool. There are no defeased loans. Relatively Diverse Transaction: Compared to other Canadian transactions with similar vintages, the pool is not considered concentrated with 47 loans remaining. The top 10 and 15 loans (including crossed loans) account for 42% and 56% of the pool, respectively. Retail properties represent 26% of the pool while multi-family properties comprise 28% of the pool. The pool has 20 properties (47.5%) located in Ontario; however, Ontario is Canada's most populous province and accounts for approximately 40% of the country's population and GDP. Fitch Loan of Concern: Innovation Portfolio, a crossed loan (5050 Innovation and 4000 Innovation) and the third largest loan in the pool(4.8%) has an upcoming tenant rollover in May of 2019 for the sole occupant of its 4000 Innovation building. The tenant, Blackberry, represents 47% of the two building total NRA and pays $13 PSF annually slightly below the Ottawa suburban submarket at $16 PSF. Blackberry's lease includes a five-year extension option; however, there is uncertainty whether they will exercise the extensions. As a result, Fitch conducted a dark value analysis at issuance and updated it for this review given the upcoming lease expiration. The valuation did not impact the ratings given the low leverage and that two properties are cross collateralized and cross defaulted. In addition, RBC provided a letter of credit at issuance to secure the Blackberry lease. At issuance the letter of credit was $9.5 million, reduced to $7.1 million in November 2017, $4.8 million in May 2018 and will be lowered to $2.4 million in November 2018. RATING SENSITIVITIES The Rating Outlooks on all classes remain Stable due to overall stable pool performance and expected continued paydown. Future rating upgrades may occur with improved pool performance and additional defeasance or paydown. Rating downgrades to the classes are possible should overall pool performance decline. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third-party due diligence was provided or reviewed in relation to this rating action. Fitch has affirmed the following ratings: -- $141.6 million class A-1 at 'AAAsf'; Outlook Stable; -- $219.8 million class A-2 at 'AAAsf'; Outlook Stable; -- $10.5 million class B at 'AAsf'; Outlook Stable; -- $13.2 million class C at 'Asf'; Outlook Stable; -- $13.2 million class D at 'BBBsf'; Outlook Stable; -- $5.3 million class E at 'BBB-sf'; Outlook Stable; -- $4.7 million class F at 'BBsf'; Outlook Stable; -- $4.7 million class G at 'Bsf'; Outlook Stable. Fitch does not rate the class H certificate. REGATTA FUNDING XIV: Moody's Assigns Ba3 Rating on Class E Notes ---------------------------------------------------------------- Moody's Investors Service has assigned ratings to five classes of notes issued by Regatta XIV Funding Ltd. Moody's rating action is as follows: US$448,500,000 Class A Senior Secured Floating Rate Notes due 2031 (the "Class A Notes"), Assigned Aaa (sf) US$70,725,000 Class B Senior Secured Floating Rate Notes due 2031 (the "Class B Notes"), Assigned Aa2 (sf) US$35,190,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class C Notes"), Assigned A2 (sf) US$41,745,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class D Notes"), Assigned Baa3 (sf) US$40,365,000 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. Regatta XIV 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, cash, and eligible investments, and up to 10% of the portfolio may consist of second lien, first-lien last-out loans and unsecured loans. The portfolio is approximately 90% ramped as of the closing date. Napier Park Global Capital (US) LP (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 three other classes of notes including 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: $690,000,000 Diversity Score: 90 Weighted Average Rating Factor (WARF): 2938 Weighted Average Spread (WAS): 3.25% Weighted Average Coupon (WAC): 6.50% Weighted Average Recovery Rate (WARR): 47.0% Weighted Average Life (WAL): 9.12 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. ROCKFORD TOWER 2018-2: Moody's Assigns Ba3 Rating on Class E Notes ------------------------------------------------------------------ Moody's Investors Service has assigned ratings to five classes of notes issued by Rockford Tower CLO 2018-2, Ltd. Moody's rating action is as follows: US$320,000,000 Class A Senior Secured Floating Rate Notes due 2031 (the "Class A Notes"), Assigned Aaa (sf) US$55,000,000 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$27,500,000 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. Rockford Tower CLO 2018-2 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, cash and eligible investments, and up to 10% of the portfolio may consist of second lien loans and unsecured loans. The portfolio is approximately 91.5% ramped as of the closing date. Rockford Tower Capital Management, L.L.C. 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: 60 Weighted Average Rating Factor (WARF): 2785 Weighted Average Spread (WAS): 3.20% Weighted Average Coupon (WAC): 7.50% Weighted Average Recovery Rate (WARR): 46.0% 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. RR 5: S&P Gives Preliminary BB-(sf) Rating on $18.5MM Class D Notes ------------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to RR 5 Ltd.'s floating-rate notes. The note issuance is a collateralized loan obligation transaction backed by primarily broadly syndicated speculative-grade senior secured term loans that are governed by collateral quality tests. The preliminary ratings are based on information as of Sept. 10, 2018. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The diversified collateral pool, which consists primarily of broadly syndicated speculative-grade senior secured term loans that are governed by collateral quality tests. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. PRELIMINARY RATINGS ASSIGNED RR 5 Ltd. Class Rating Amount (mil. $) X AAA (sf) 4.60 A-1 AAA (sf) 300.00 A-2 AA (sf) 52.50 B (deferrable) A (sf) 54.50 C (deferrable) BBB- (sf) 32.00 D (deferrable) BB- (sf) 18.50 Subordinated notes NR 43.00 NR--Not rated. SDART 2017-3: Fitch Affirms BB Rating on Class E Debt ----------------------------------------------------- As part of its ongoing surveillance, Fitch Ratings has taken the following rating actions on Santander Drive Auto Receivables Trusts (SDART), series 2015-1, 2015-3 and 2017-3: Santander Drive Auto Receivables Trust 2015-1 -- Class C affirmed at 'AAAsf'; Outlook Stable; -- Class D upgraded to 'AAAsf' from 'AAsf'; Outlook revised to Stable from Positive; -- Class E upgraded to 'Asf' from 'BBBsf'; Outlook Positive. Santander Drive Auto Receivables Trust 2015-3 -- Class C affirmed at 'AAAsf'; Outlook Stable; -- Class D upgraded to 'AAAsf' from 'AAsf'; Outlook revised to Stable from Positive; -- Class E upgraded to 'Asf' from 'BBBsf'; Outlook Positive. Santander Drive Auto Receivables Trust 2017-3 -- Class A-2 affirmed at 'AAAsf'; Outlook Stable; -- Class A-3 affirmed at 'AAAsf'; Outlook Stable; -- Class B upgraded to 'AAAsf' from 'AAsf'; Outlook Stable -- Class C affirmed at 'Asf'; Outlook revised to Positive from Stable; -- Class D affirmed at 'BBBsf'; Outlook revised to Positive from Stable; -- Class E affirmed at 'BBsf'; Outlook revised to Positive from Stable. KEY RATING DRIVERS The rating actions are based on available credit enhancement (CE) and cumulative net loss (CNL) performance to date. The collateral pools continue to perform within Fitch's expectations and hard CE is building for the notes. The securities are able to withstand stress scenarios consistent with the recommended ratings and make full payments to investors in accordance with the terms of the documents. The Positive Outlooks on the applicable classes reflect the possibility for an upgrade in the next one to two years. The revised CNL proxies listed, take into account each transaction's remaining pool factor and pool composition. Further, the revised proxies consider future macro-economic conditions which drive loss frequency, along with the state of wholesale vehicle values, which impact recovery rates and ultimately transaction losses. Santander Drive Auto Receivables Trust 2015-1 As of the August 2018 servicer report, 61+ day delinquencies were 5.81% of the remaining collateral balance, and cumulative net losses (CNLs) were at 10.29%, tracking below Fitch's initial base case of 17.15%. Further, hard CE has grown to 91.78% for class C, 52.49% for class D and 27.14% for class E. Based on transaction specific performance to date, Fitch revised the lifetime CNL proxy to 13.00%. Under Fitch's stressed cash flow assumptions, loss coverage for the class C and D notes are able to support multiples consistent with 3.00x and 2.00x for 'AAAsf' and 'Asf' ratings, respectively. Santander Drive Auto Receivables Trust 2015-3 As of the August 2018 servicer report, 61+ day delinquencies were 5.84% of the remaining collateral balance, and CNLs were at 10.42%, tracking below Fitch's initial base case of 17.25%. Further, hard CE has grown to 77.16% for class C, 45.03% for class D and 24.29% for class E. Based on transaction specific performance to date, Fitch revised the lifetime CNL proxy to 13.75%. Under Fitch's stressed cash flow assumptions, loss coverage for the class C and D notes are able to support multiples consistent with 3.00x and 2.00x for 'AAAsf' and 'Asf' ratings, respectively. Santander Drive Auto Receivables Trust 2017-3 As of the August 2018 servicer report, 61+ day delinquencies were 4.03% of the remaining collateral balance, and CNLs were at 2.80%, tracking below Fitch's initial base case of 17.05%. Further, hard CE has grown to 74.04% for class A, 58.72% for class B, 40.01% for class C, 25.89% for class D and 18.82% for class E. Based on transaction specific performance to date, Fitch revised the lifetime CNL proxy to 16.50%. Under Fitch's stressed cash flow assumptions, loss coverage for the notes are able to support multiples consistent with 3.00x, 2.00x , 1.50x,and 1.25x for 'AAAsf', 'Asf', 'BBBsf', and 'BBsf' ratings, respectively. RATING SENSITIVITIES Unanticipated increases in the frequency of defaults and loss severity could produce loss levels higher than the current projected base case loss proxies and impact available loss coverage and multiples levels for the transactions. Lower loss coverage could impact ratings and Rating Outlooks, depending on the extent of the decline in coverage. To date, the transactions have exhibited consistent performance with losses within Fitch's initial expectations, with rising loss coverage and multiple levels consistent with the current ratings. A material deterioration in performance would have to occur within the asset pools to have potential negative impact on the outstanding ratings. SEQUOIA MORTGAGE 2018-CH4: Moody's Gives (P)Ba1 Rating to B-4 Debt ------------------------------------------------------------------ Moody's Investors Service has assigned provisional ratings to the classes of residential mortgage-backed securities issued by Sequoia Mortgage Trust 2018-CH4, except for the interest-only classes. The certificates are backed by one pool of prime quality, first-lien mortgage loans. SEMT 2018-CH4 is the sixth securitization that includes loans acquired by Redwood Residential Acquisition Corporation, a subsidiary of Redwood Trust, Inc., under its expanded credit prime loan program called "Redwood Choice". Redwood's Choice program is a prime program with credit parameters outside of Redwood's traditional prime jumbo program, "Redwood Select." The Choice program expands the low end of Redwood's FICO range to 661 from 700, while increasing the high end of eligible loan-to-value ratios from 85% to 90%. The pool also includes loans with non-QM characteristics (32.8%), such as debt-to-income ratios up to 50.9%. Non-QM loans were acquired by Redwood under each of the Select and Choice programs. The assets of the trust consist of 479 fixed rate mortgage loans, all of which are fully amortizing. The mortgage loans have an original term to maturity of 30 years except for two loans which have an original term to maturity of 20 years. The loans were sourced from multiple originators and acquired by Redwood. All of the loans conform to the Seller's guidelines, except for loans originated by First Republic Bank, TIAA FSB (FKA Everbank) and high balance agency conforming loans underwritten to GSE guidelines with Redwood overlays. First Republic Bank originated loans conform with First Republic Bank's guidelines. TIAA FSB (FKA Everbank) were underwritten to Everbank Non-Agency Preferred guidelines. The transaction benefits from nearly 100% due diligence of data integrity, credit, property valuation, and compliance conducted by an independent third-party firm. Nationstar Mortgage LLC will act as the master servicer of the loans in this transaction. Shellpoint Mortgage Servicing, TIAA FSB, First Republic Bank, Homestreet Bank and and UBS Bank will be primary servicers on the deal. The complete rating actions are as follows: Issuer: Sequoia Mortgage Trust 2018-CH4 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aaa (sf) Cl. A-14, Assigned (P)Aaa (sf) Cl. A-15, Assigned (P)Aaa (sf) Cl. A-16, Assigned (P)Aaa (sf) Cl. A-17, Assigned (P)Aaa (sf) Cl. A-18, Assigned (P)Aaa (sf) Cl. A-19, Assigned (P)Aa1 (sf) Cl. A-20, Assigned (P)Aa1 (sf) Cl. A-21, Assigned (P)Aa1 (sf) Cl. A-22, Assigned (P)Aaa (sf) Cl. A-23, Assigned (P)Aaa (sf) Cl. A-24, Assigned (P)Aaa (sf) Cl. B-1A, Assigned (P)Aa3 (sf) Cl. B-1B, Assigned (P)Aa3 (sf) Cl. B-2A, Assigned (P)A2 (sf) Cl. B-2B, Assigned (P)A2 (sf) Cl. B-3, Assigned (P)Baa1 (sf) Cl. B-4, Assigned (P)Ba1 (sf) RATINGS RATIONALE Summary Credit Analysis Moody's expected cumulative net loss on the aggregate pool is 0.60% in a base scenario and reaches 9.35% at a stress level roughly consistent with Aaa ratings. The MILAN CE may be different from the credit enhancement that is consistent with a Aaa rating for a tranche, because the MILAN CE does not take into account the structural features of the transaction. Moody's took this difference into account in its ratings of the senior classes. The MILAN CE may be different from the credit enhancement that is consistent with a Aaa rating for a tranche, because the MILAN CE does not take into account the structural features of the transaction. Moody's took this difference into account in its ratings of the senior classes. Its loss estimates are based on a loan-by-loan assessment of the securitized collateral pool using Moody's Individual Loan Level Analysis (MILAN) model. Loan-level adjustments to the model included: adjustments to borrower probability of default for higher and lower borrower DTIs, borrowers with multiple mortgaged properties, self-employed borrowers, origination channels and at a pool level, for the default risk of HOA properties in super lien states. The adjustment to its Aaa stress loss above the model output also includes adjustments related to aggregator and originators assessments. The model combines loan-level characteristics with economic drivers to determine the probability of default for each loan, and hence for the portfolio as a whole. Severity is also calculated on a loan-level basis. The pool loss level is then adjusted for borrower, zip code, and MSA level concentrations. Collateral Description The SEMT 2018-CH4 transaction is a securitization of 479 first lien residential mortgage loans, with an aggregate unpaid principal balance of $362,733,154. There are 106 originators in this pool, including Fairway (8.19%) and Guild Mortgage (5.14%). The remaining originators contributed less than 5% of the principal balance of the loans in the pool. The loan-level third party due diligence review (TPR) encompassed credit underwriting, property value and regulatory compliance. In addition, Redwood has agreed to backstop the rep and warranty repurchase obligation of all originators other than First Republic Bank. SEMT 2018-CH4 includes loans acquired by Redwood under its Choice program. Although from a FICO and LTV perspective, the borrowers in SEMT 2018-CH4 are not the super prime borrowers included in traditional SEMT transactions, these borrowers are prime borrowers with a demonstrated ability to manage household finance. On average, borrowers in this pool have made a 25.3% down payment on a mortgage loan of $757,272. In addition, 67.9% of borrowers have more than 24 months of liquid cash reserves or enough money to pay the mortgage for two years should there be an interruption to the borrower's cash flow. The WA FICO is 748, which is lower than traditional SEMT transactions, which has averaged 771 in 2018 SEMT transactions. The lower WA FICO for SEMT 2018-CH4 may reflect recent mortgage lates (0x30x3, 1x30x12, 2x30x24) which are allowed under the Choice program, but not under Redwood's traditional product, Redwood Select (0x30x24). While the WA FICO may be lower for this transaction although it is the highest among Choice deals, Moody's believes that the limited mortgage lates is less likely to demonstrates a history of financial mismanagement. Moody's also notes that SEMT 2018-CH4 is the sixth SEMT Choice transaction to include a number of non-QM loans (148) compared to SEMT 2018-CH3 (155), SEMT 2018-CH2 (156) and SEMT 2018-CH1 (157). Redwood's Choice program was launched by Redwood in April 2016. In contrast to Redwood's traditional program, Select, Redwood's Choice program allows for higher LTVs, lower FICOs, non-occupant co-borrowers, non-warrantable condos, limited loans with adverse credit events, among other loan attributes. Under both Select and Choice, Redwood also allows for loans with non-QM features, such as interest-only, DTIs greater than 43%, asset depletion, among other loan attributes. However, Moody's notes that Redwood historically has been on average stronger than its peers as an aggregator of prime jumbo loans, including a limited number of non-QM loans in previous SEMT transactions. As of the August 2018 remittance report, there have been no losses on Redwood-aggregated transactions that Moody's has rated to date, and delinquencies to date have also been very low. While in traditional SEMT transactions, Moody's has factored this qualitative strength into its analysis, in SEMT 2018-CH4, Moody's has a neutral assessment of the Choice Program until Moody's is able to review a longer performance history of Choice mortgage loans. Structural considerations Similar to recent rated Sequoia transactions, in this transaction, Redwood is adding a feature prohibiting the servicer, or securities administrator, from advancing principal and interest to loans that are 120 days or more delinquent. These loans on which principal and interest advances are not made are called the Stop Advance Mortgage Loans. The balance of the SAML will be removed from the principal and interest distribution amounts calculations. Moody's views the SAML concept as something that strengthens the integrity of senior and subordination relationships in the structure. Yet, in certain scenarios the SAML concept, as implemented in this transaction, can lead to a reduction in interest payment to certain tranches even when more subordinated tranches are outstanding. The senior/subordination relationship between tranches is strengthened as the removal of SAML in the calculation of the senior percentage amount, directs more principal to the senior bonds and less to the subordinate bonds. Further, this feature limits the amount of servicer advances that could increase the loss severity on the liquidated loans and preserves the subordination amount for the most senior bonds. On the other hand, this feature can cause a reduction in the interest distribution amount paid to the bonds; and if that were to happen such a reduction in interest payment is unlikely to be recovered. The final ratings on the bonds, which are expected loss ratings, take into consideration its expected losses on the collateral and the potential reduction in interest distributions to the bonds. Furthermore, the likelihood that in particular the subordinate tranches could potentially permanently lose some interest as a result of this feature was considered. As such, Moody's incorporated some additional sensitivity runs in its cashflow analysis in which Moody's increases the tranche losses due to potential interest shortfalls during the loan's liquidation period in order to reflect this feature and to assess the potential impact to the bonds. Moody's believes there is a low likelihood that the rated securities of SEMT 2018-CH4 will incur any losses from extraordinary expenses or indemnification payments owing to potential future lawsuits against key deal parties. First, the loans are prime quality and were originated under a regulatory environment that requires tighter controls for originations than pre-crisis, which reduces the likelihood that the loans have defects that could form the basis of a lawsuit. Second, Redwood (or a majority-owned affiliate of the sponsor), who will retain credit risk in accordance with the U.S. Risk Retention Rules and provides a back-stop to the representations and warranties of all the originators except for First Republic Bank, has a strong alignment of interest with investors, and is incentivized to actively manage the pool to optimize performance. Third, the transaction has reasonably well defined processes in place to identify loans with defects on an ongoing basis. In this transaction, an independent breach reviewer must review loans for breaches of representations and warranties when a loan becomes 120 days delinquent, which reduces the likelihood that parties will be sued for inaction. Tail Risk & Subordination Floor The transaction cash flows follow a shifting interest structure that allows subordinated bonds to receive principal payments under certain defined scenarios. Because a shifting interest structure allows subordinated bonds to pay down over time as the loan pool shrinks, senior bonds are exposed to increased performance volatility, known as tail risk. The transaction provides for a subordination floor of 1.85% ($6,710,563) of the closing pool balance, which mitigates tail risk by protecting the senior bonds from eroding credit enhancement over time. Third-party Review and Reps & Warranties Two TPR firms conducted a due diligence review of 100% of the mortgage loans in the pool. For 479 loans, the TPR firm conducted a review for credit, property valuation, compliance and data integrity and limited review for 7 First Republic and Primelending loans. For the 7 loans, Redwood Trust elected to conduct a limited review, which did not include a TPR firm check for TRID compliance. For the full review loans, the third party review found that the majority of reviewed loans were compliant with Redwood's underwriting guidelines and had no valuation or regulatory defects. Most of the loans that were not compliant with Redwood's underwriting guidelines had strong compensating factors. Additionally, the third party review didn't identify material compliance-related exceptions relating to the TILA-RESPA Integrated Disclosure (TRID) rule for the full review loans. No TRID compliance reviews were performed on the two PrimeLending, and five First Republic Bank limited review loans. Therefore, there is a possibility that some of these loans could have unresolved TRID issues. Moody's reviewed the initial compliance findings of loans for the HomeStreet and PrimeLending loans where a full review was conducted. The due diligence report did not indicate any significant credit, valuation or compliance concerns. As a result, Moody's did not increase its Aaa loss. For full review loans, the TPR report identified one grade "C" compliance-related condition for license verification. Moody's believes that the risk to the trust is immaterial due to the good-faith efforts to correct the identified condition. The property valuation review conducted by the TPR firm consisted of (i) a review of all of the appraisals for full review loans, checking for issues with the comparables selected in the appraisal and (ii) a value supported analysis for all loans. The TPR report identified three loans with a final grade "D" for missing valuations and an appraisal subject to completion for an escrow holdback. The conditions cited by Clayton included the appraisal was "subject to completion" per plans and specification. The TPR report also identified one loan with a final grade "C" property valuation-related condition due to approximately 40.0% variation in the appraised value from BPO. Moreover, four loans in the pool had only AVM for the valuation review. Moody's believes that such conditions are material and thus, Moody's made adjustments for these loans. Moody's has received the results of the inspection report or appraisal confirmation for all the mortgage loans secured by properties in the areas affected by FEMA disaster areas. The results indicate that the properties did not receive any material damage. SEMT 2018-CH4 includes a representation that the pool does not include properties with material damage that would adversely affect the value of the mortgaged property. The originators and Redwood have provided unambiguous representations and warranties (R&Ws) including an unqualified fraud R&W. There is provision for binding arbitration in the event of dispute between investors and the R&W provider concerning R&W breaches. Trustee & Master Servicer The transaction trustee is Wilmington Trust, National Association. The paying agent and cash management functions will be performed by Citibank, N.A. and the custodian functions will be performed by Wells Fargo Bank, N.A., rather than the trustee. In addition, Nationstar Mortgage LLC, as Master Servicer, is responsible for servicer oversight, and termination of servicers and for the appointment of successor servicers. In addition, Nationstar Mortgage LLC is committed to act as successor if no other successor servicer can be found. Factors that would lead to an upgrade or downgrade of the ratings: Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. The principal methodology used in these ratings was "Moody's Approach to Rating US Prime RMBS" published in February 2015. Significant weight was put on judgment taking into account the results of the modeling tools as well as the aggregate impact of the third-party review and the quality of the servicers and originators. SLC STUDENT 2008-2: S&P Lowers Rating on Class A-4 Debt to 'B-' --------------------------------------------------------------- S&P Global Ratings lowered its rating on one class from SLC Student Loan Trust 2008-2 (SLC 2008-2), a student loan asset-backed securities (ABS) transaction. At the same time, S&P affirmed its ratings on two classes and removed them from CreditWatch, where S&P placed them with negative implications on June 13, 2018. S&P said, "Our rating actions primarily reflect the liquidity pressure the senior classes are experiencing, not the credit enhancement levels available to these classes for ultimate principal repayment. We considered the transactions' asset/note payment rate, expected future collateral performance, payment priorities, and current credit enhancement levels." RATIONALE The ratings on the class A-3 and A-4 notes reflect the notes' sensitivity to levels of note payment rates coupled with their upcoming legal final maturity date. S&P said, "The available cash flows to the trust have improved, and we expect the class A-3 notes to be paid on their Sept. 15, 2018, maturity date. On the June 2018 distribution date, the trust paid $13.2 million to the class A-3 notes, trending upward from the previous distribution dates. We believe this quarter's collections and the $3.1 million reserve fund should be adequate to pay the remaining $11.2 million balance of the class A-3 notes. As such, we have affirmed our 'B- (sf)' rating on class A-3 and removed it from CreditWatch negative. Due to its imminent maturity date, repayment of this class is highly sensitive to possible fluctuations in this quarter's cash flows. "We lowered our rating to 'B- (sf)' on the class A-4 notes, which matures on June 15, 2021. Since our last review of this class in July 2017, the notes have exhibited increased sensitivity to lower payment rates." The slow pace of note repayments puts this class at risk of repayment after its maturity date. This class could benefit from a transaction feature that allows the servicer to purchase the collateral and pay the notes in full when the principal balance declines to 10% or below its original pool balance. The current pool factor is 18.9% and has decreased 2.7% over the last year. The servicer has indicated it intends to exercise its right to purchase the collateral. S&P said, "We did not lower our rating below 'B- (sf)' on this class because it could still benefit from the reserve account, as well as the exercise of the optional clean-up call if it occurs by its legal final maturity date. We will continue to monitor the note principal payment rates and the pool factor of this transaction relative to the class' legal final maturity date." The rating on the class B notes reflects the risk that it will not receive timely interest payments upon an event of default on a senior class, which would trigger a structural change, as detailed below. The risk of a missed interest payment on a subordinate class is directly linked to the risk that the principal on a senior class will not be paid by its respective legal final maturity date. As such, S&P's rating on the class B notes is not higher than the lowest-rated senior notes. If the lowest-rated senior class is paid in full at its legal final maturity date, the risk of a missed interest payment on class B would be avoided. In this case, S&P may raise its rating on the class B notes. PREVIOUS SENIOR CLASS RATING ACTIONS Class A-4 was last downgraded in July 2017 because of the low levels of note repayment rates relative to its legal final maturity date. Class A-3 was last downgraded in June 2018 primarily because of delayed principal payments related to the grant of disaster forbearance relief for borrowers affected by various natural disasters in the summer and fall of 2017. COLLATERAL This transaction is a discrete trust backed by student loans originated through the U.S. Department of Education's (ED's) Federal Family Education Loan Program (FFELP). The loan pool consists predominantly of seasoned Stafford loans originated under FFELP guidelines. The ED reinsures at least 97% of the principal and accrued interest on defaulted loans that are serviced according to the FFELP guidelines. Due to the high level of recoveries from the ED on defaulted loans, defaults effectively function similar to prepayments. Thus, S&P expects net losses to be minimal. Approximately 35% of the pool is in a nonpaying loan status. Generally, these loans are expected to be repaid or to default and be reimbursed by the ED. STRUCTURAL CHANGES UPON AN EVENT OF DEFAULT Principal payments are currently allocated sequentially to the class A notes until fully repaid and then to the class B noteholders. If the class A notes do not receive full principal by their respective legal final maturity dates, the payment priority may change, requiring principal payments to the class A notes to be prioritized over timely interest payments to the class B notes. Additionally, payments within the class A notes would switch from sequential to pro rata. CREDIT ENHANCEMENT AND CURRENT CAPITAL STRUCTURE The transaction has reached its required release threshold and is releasing excess funds to the residual holders. The notes receive interest based on three-month LIBOR and their respective margin. Credit enhancement consists of overcollateralization (as measured by parity), subordination (for the senior classes), the reserve account, and excess spread. The following table presents the capital structure for this deal. SLC Student Loan Trust 2008-2(i) Current Note Note balance factor coupon Parity Class (mil. $) (%) Maturity date (%) (%)(ii) A-3 11.2 4 September 2018 3ML + 0.65 3,485 A-4 314.6 100 June 2021 3ML + 0.90 120 B 61.4 100 September 2066 3ML + 1.75 101 (i)As of the June 2018 distribution date. (ii)Parity is calculated as the total principal pool balance plus interest to be capitalized, divided by the respective class' note balance and the class balance for any notes maturing before the respective notes. 3ML--Three-month LIBOR. As the parity above illustrates, the classes are fully collateralized. We expect them to receive payment in full, but the likelihood that they will be repaid by their legal final maturity has decreased as the note principal paydowns have slowed. ADVANCE NOTICE OF PROPOSED CRITERIA CHANGE S&P said, "We published an Advance Notice of Proposed Criteria Change, which notifies the market that we are reviewing our criteria for assigning ratings to U.S. FFELP Student Loan ABS transactions. The proposed criteria will revise our current ratings approach to classes that are at higher risk of repayment after their legal final maturity dates, such as the SLC 2008-2 class A notes. The rating actions apply our current approach." RATING LOWERED SLC Student Loan Trust 2008-2 Rating Class To From A-4 B- (sf) BB (sf) RATINGS AFFIRMED AND REMOVED FROM CREDITWATCH NEGATIVE SLC Student Loan Trust 2008-2 Rating Class To From A-3 B- (sf) B- (sf)/Watch Neg B B- (sf) B- (sf)/Watch Neg SLIDE 2018-FUN: S&P Assigns Prelim B Ratings on 2 Tranches ---------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to SLIDE 2018-FUN's $362.6 million commercial mortgage pass-through certificates. The certificate issuance is a commercial mortgage-backed securities transaction backed by one three-year, floating-rate commercial mortgage loan with an original balance of $365.0 million, and a current balance of $362.6 million, with two one-year extension options, secured by the fee simple interest in the Kalahari Resort and Conventions Poconos, the borrower's interest in the intellectual property license agreements, and the operating lessee's leasehold interest in the operating lease and the property. The preliminary ratings are based on information as of Sept. 14, 2018. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect our view of the collateral's historical and projected performance, the sponsors' and manager's experience, the trustee-provided liquidity, the loan's terms, and the transaction's structure. PRELIMINARY RATINGS ASSIGNED SLIDE 2018-FUN Class Rating(i) Amount (mil. $) A AAA (sf) 125,300,000 X-CP BBB- (sf) 248,800,000(ii) X-EXT BBB- (sf) 248,800,000(ii) B AA- (sf) 45,300,000 C A- (sf) 33,700,000 D BBB- (sf) 44,500,000 E BB- (sf) 70,200,000 F B (sf) 24,865,000 HRR B (sf) 18,701,666 (i)The issuer will issue the certificates to qualified institutional buyers in line with Rule 144A of the Securities Act of 1933. (ii)Notional balance. The class X-CP and X-EXT certificates' notional amount will be reduced by the aggregate amount of principal distributions and realized losses allocated to the class A, B, C, and D certificates. SLM STUDENT 2006-3: Fitch Affirms B Rating on 2 Tranches -------------------------------------------------------- Fitch Ratings has affirmed the following ratings: SLM Student Loan Trust 2006-2 (SLM 2006-2) -- Class A-6 at 'AAAsf'; Outlook Stable; -- Class B at 'Asf'; Outlook Stable. SLM Student Loan Trust 2006-3 (SLM 2006-3) -- Class A-5 at 'Bsf'; Outlook Stable; -- Class B at 'Bsf'; Outlook Stable. For SLM 2006-2, the transaction has been performing as expected with no material change in performance metrics or credit enhancement (CE). The class B notes have a model-implied rating of 'AAsf'; however, given the available CE does not meet the 101.0% criteria total parity threshold for 'AAsf', the notes are affirmed at 'Asf'. For SLM 2006-3, the class A-5 notes miss their legal final maturity date under both credit and maturity base cases. This technical default would result in interest payments being diverted away from class B, which would cause that note to default as well. In affirming at 'Bsf' rather than downgrading to 'CCCsf' or below, Fitch has considered qualitative factors such as Navient's ability to call the notes at any time as the pool factor is below 10%, and the revolving credit agreement in place for the benefit of the noteholders. The SLM 2006-3 trust has entered into a revolving credit agreement with Navient by which it may borrow funds at maturity in order to pay off the notes. Because Navient has the option but not the obligation to lend to the trust, Fitch cannot give full quantitative credit to this agreement. However, the agreement does provide qualitative comfort that Navient is committed to limiting investors' exposure to maturity risk. KEY RATING DRIVERS U.S. Sovereign Risk: The trust collateral comprises 100% Federal Family Education Loan Program (FFELP) loans, with guaranties provided by eligible guarantors and reinsurance provided by the U.S. Department of Education (ED) for at least 97% of principal and accrued interest. The U.S. sovereign rating is currently 'AAA'/Outlook Stable. Collateral Performance for SLM 2006-2: Based on transaction specific performance to date, Fitch assumed a sustainable constant default rate assumption of 1.7% and a sustainable constant prepayment rate of 6.5%. The claim reject rate is assumed to be 0.50% in the base case and 3.0% in the 'AAA' case. The TTM levels of deferment, forbearance, and income-based repayment (prior to adjustment) are approximately 4.0%, 7.7% and 11.2%, respectively. The borrower benefit is assumed to be 0.28%, based on information provided by the sponsor. Fitch views notes with legal final maturities beyond 2035 to pose low maturity risk, since nearly all of the income-based repayment loans are expected to be forgiven between 2036 and 2041. With a legal final maturity date of Jan. 25, 2041 for both the class A-6 and class B notes, Fitch believes the maturity risk is minimum for the notes. Collateral Performance for SLM 2006-3: Based on transaction specific performance to date, Fitch assumed a sustainable constant default rate assumption of 5.1% and a sustainable constant prepayment rate of 10.5%. The claim reject rate is assumed to be 0.50% in the base case and 3.0% in the 'AAA' case. The TTM levels of deferment, forbearance, and income-based repayment (prior to adjustment) are approximately 9.3%, 16.4% and 20.1%, respectively. The borrower benefit is assumed to be 0.01%, based on information provided by the sponsor. Fitch's student loan ABS cash flow model indicates that the class A-5 notes do not pay off before their maturity date in all of Fitch's modeling scenarios, including the base cases. If the breach of the class A-5 maturity date triggers an event of default, interest payments will be diverted away from the class B notes, causing them to fail the base cases as well. Basis and Interest Rate Risk: Basis risk for these transactions arises from any rate and reset frequency mismatch between interest rate indices for SAP and the securities. For SLM 2006-2, approximately 0.7% of the student loans are indexed to T-Bill, and 99.3% are indexed to one-month LIBOR. For SLM 2006-3, approximately 3.7% of the student loans are indexed to T-Bill, and 96.3% are indexed to one-month LIBOR. All notes are indexed to three month LIBOR. Fitch applies its standard basis and interest rate stresses to this transaction as per criteria. Payment Structure: CE is provided by excess spread, overcollateralization, and for the class A notes, subordination. For SLM 2006-2, as of June 2018, senior reported parity ratio (including the reserve) is 104.4% (4.2% CE) and total reported parity ratio is 100.0% (0% CE). Liquidity support is provided by a reserve currently sized at $4,524,615. The trust will continue to release cash as long as the target total parity ratio of 100.0% is maintained. For SLM 2006-3, as of June 2018, senior effective parity ratio (including the reserve) is 159.6% (37.4% CE) and total effective parity ratio is 102.4% (2.4% CE). Liquidity support is provided by a reserve currently sized at $2,502,119. No cash can be released until all notes are paid in full because the pool factor is below 10%. Operational Capabilities: Day-to-day servicing is provided by Navient Solutions, LLC. (formerly known as Sallie Mae, Inc.). Fitch believes Navient to be an acceptable servicer, due to its extensive track record as the largest servicer of FFELP loans. RATING SENSITIVITIES 'AAAsf' rated tranches of most FFELP securitizations will likely move in tandem with the U.S. sovereign rating, given the strong linkage to the U.S. sovereign by nature of the reinsurance and SAP provided by ED. Sovereign risks are not addressed in Fitch's sensitivity analysis. Fitch conducted a CE sensitivity analysis by stressing both the related lifetime default rate and basis spread assumptions. In addition, Fitch conducted a maturity sensitivity analysis by running different assumptions for the IBR usage and prepayment rate. The results should only be considered as one potential model implied outcome as the transaction is exposed to multiple risk factors that are all dynamic variables. SLM 2006-2 Credit Stress Rating Sensitivity -- Default increase 25%: class A 'AAAsf'; class B 'AAAsf'; -- Default increase 50%: class A 'AAAsf'; class B 'AAsf'; -- Basis Spread increase 0.25%: class A 'AAAsf'; class B 'AAsf'; -- Basis Spread increase 0.5%: class A 'AAAsf'; class B 'Asf'. Maturity Stress Rating Sensitivity -- CPR decrease 25%: class A 'Asf'; class B 'Asf'; -- CPR decrease 50%: class A 'Asf'; class B 'Asf'; -- IBR Usage increase 25%: class A 'Asf'; class B 'Asf'; -- IBR Usage increase 50%: class A 'Asf'; class B 'Asf'. SLM 2006-3 Credit Stress Rating Sensitivity -- Default increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- Default increase 50%: class A 'CCCsf'; class B 'CCCsf'; -- Basis Spread increase 0.25%: class A 'CCCsf'; class B 'CCCsf'; -- Basis Spread increase 0.5%: class A 'CCCsf'; class B 'CCCsf'. Maturity Stress Rating Sensitivity -- CPR decrease 25%: class A 'CCCsf'; class B 'CCCsf'; -- CPR decrease 50%: class A 'CCCsf'; class B 'CCCsf'; -- IBR Usage increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- IBR Usage increase 50%: class A 'CCCsf'; class B 'CCCsf'. It is important to note that the stresses are intended to provide an indication of the rating sensitivity of the notes to unexpected deterioration in trust performance. Rating sensitivity should not be used as an indicator of future rating performance. TABERNA PREFFERED IX: Moody's Hikes Ratings on 2 Tranches to Ba1 ---------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Taberna Preferred Funding IX, Ltd.: US$275,000,000 Class A-1LA Floating Rate Notes Due May 2038 (current outstanding balance of $66,813,228), Upgraded to Baa3 (sf); previously on June 1, 2017 Upgraded to Ba1 (sf) US$100,000,000 Class A-1LAD Delayed Draw Floating Rate Notes Due May 2038 (current outstanding balance of $24,295,719), Upgraded to Baa3 (sf); previously on June 1, 2017 Upgraded to Ba1 (sf) Taberna Preferred Funding IX, Ltd., issued in June 2007, is a collateralized debt obligation (CDO) backed mainly by a portfolio of REIT trust preferred securities (TruPS), with small exposure to bank TruPS and CMBS securities. RATINGS RATIONALE The rating actions are primarily a result of the deleveraging of the Class A-1LA and Class A-1LAD notes, an increase in the transaction's over-collateralization (OC) ratio and the improvement in the credit quality of the underlying portfolio since October 2017. The Class A-1LA and Class A-1LAD notes have paid down by approximately 18.3% or $20.4 million in total since October 2017, using $12.3 million of principal proceeds from the redemption of the underlying assets and recoveries from defaulted assets, and the diversion of $8.1 million of excess interest proceeds. Based on Moody's calculations, the OC ratio for the Class A-1LA and Class A-1LAD notes has improved to 294.9% from October 2017 level of 251.1%. The Class A-1LA and Class A-1LAD notes will continue to benefit from the diversion of excess interest and the use of proceeds from redemptions of performing assets and recoveries from defaulted assets in the collateral pool. The deal has also benefited from improvement in the credit quality of the underlying portfolio. According to Moody's calculations, the weighted average rating factor (WARF) improved to 3111 from 3624 in October 2017. The actions also reflect the consideration that an event of default (EoD) is continuing for the transaction, and that as a remedy to the EoD, the majority of the Controlling class can direct the trustee to proceed with the sale and liquidation of the collateral when the OC ratio for the Class A-2LA notes is less than 90%. Taberna Preferred Funding IX, Ltd. declared an event of default (EOD) on November 10, 2015 and acceleration of the notes on November 30, 2015. As a result, the Class A-1LA and A-1AD notes have become senior to all other notes and will continue to benefit from all interest and principal proceeds of the collateral pool until they will be paid in full. 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 here: 1) Macroeconomic uncertainty: TruPS CDOs performance could be negatively affected by uncertainty about credit conditions in the general economy. 2) Portfolio credit risk: Credit performance of the assets collateralizing the transaction that is better than Moody's current expectations could have a positive impact on the transaction's performance. Conversely, asset credit performance weaker than Moody's current expectations could have adverse consequences on the transaction's performance. 3) Deleveraging: One source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds and excess interest proceeds will continue and at what pace. Note repayments that are faster than Moody's current expectations could have a positive impact on the notes' ratings, beginning with the notes with the highest payment priority. 4) Exposure to non-publicly rated assets: The deal contains a large number of securities whose default probability Moody's assesses through credit scores derived using RiskCalc™ or credit estimates. Because these are not public ratings, they are subject to additional uncertainties. Loss and Cash Flow Analysis: Moody's applied a Monte Carlo simulation framework in Moody's CDOROM to model the loss distribution for TruPS CDOs. The simulated defaults and recoveries for each of the Monte Carlo scenarios defined the reference pool's loss distribution. Moody's then used the loss distribution as an input in its CDOEdge cash flow model. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, and weighted average recovery rate, are based on its methodology and could differ from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool as having a performing par of $268.7 million, defaulted par of $75.4 million, a weighted average default probability of 42.4% (implying a WARF of 3111), and a weighted average recovery rate upon default of 10.01%. In addition to the quantitative factors Moody's explicitly models, qualitative factors are part of rating committee considerations. Moody's considers the structural protections in the transaction, the risk of an event of default, recent deal performance under current market conditions, the legal environment and specific documentation features. All information available to rating committees, including macroeconomic forecasts, inputs from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. The portfolio of this CDO contains mainly TruPS issued by REIT companies and small to medium sized U.S. community banks that Moody's does not rate publicly. To evaluate the credit quality of bank TruPS that do not have public ratings, Moody's uses RiskCalc, an econometric model developed by Moody's Analytics, to derive credit scores. Moody's evaluation of the credit risk of most of the bank obligors in the pool relies on the latest FDIC financial data. For REIT TruPS that do not have public ratings, Moody's REIT group assesses their credit quality using the REIT firms' annual financials. TOWD POINT 2018-5: Fitch to Rate $18.73MM Class B2 Notes 'Bsf' -------------------------------------------------------------- Fitch Ratings expects to rate Towd Point Mortgage Trust 2018-5 (TPMT 2018-5) as follows: -- $483,696,000 class A1A notes 'AAAsf'; Outlook Stable; -- $120,924,000 class A1B notes 'AAAsf'; Outlook Stable; -- $604,620,000 class A1 exchangeable notes 'AAAsf'; Outlook Stable; -- $54,501,000 class A2 notes 'AAsf'; Outlook Stable; -- $659,121,000 class A3 exchangeable notes 'AAsf'; Outlook Stable; -- $42,579,000 class M1 notes 'Asf'; Outlook Stable; -- $701,720,000 class A4 exchangeable notes 'Asf'; Outlook Stable; -- $33,211,000 class M2 notes 'BBBsf'; Outlook Stable; -- $26,399,000 class B1 notes 'BBsf'; Outlook Stable; -- $18,735,000 class B2 notes 'Bsf'; Outlook Stable. Fitch will not be rating the following classes: -- $23,844,000 class B3 notes; -- $23,844,000 class B4 notes; -- $23,845,001 class B5 notes; -- $851,578,001 class A5 exchangeable notes. The notes are supported by one collateral group that consists of 3,829 seasoned performing and re-performing mortgages with a total balance of approximately $851.6 million (which includes $75.1 million, or 8.8%, of the aggregate pool balance in non-interest-bearing deferred principal amounts) as of the statistical calculation date. KEY RATING DRIVERS Distressed Performance History (Negative): The collateral pool consists primarily of peak-vintage, seasoned performing and RPLs, including loans that have been paying for the past 24 months, which Fitch identifies as "clean current" (70.5%). Additionally, 3.9% of the pool was 30 days delinquent as of the statistical calculation date, and the remaining 25.6% of loans are current but have recent delinquencies or incomplete pay strings, identified as "dirty current." Of the loans, 95.2% have received modifications. Low Operational Risk (Positive): The operational risk is well controlled for in this transaction. FirstKey Mortgage, LLC (FirstKey) has a well-established track record in RPL activities and carries an 'average' aggregator assessment from Fitch. The loans are approximately 144 months seasoned, reducing the risk of misrepresentation at origination. Additionally, the transaction benefits from third-party due diligence on nearly 100% of the pool, and the diligence results generally indicate low risk for an RPL transaction. While the issuer did not provide reps and warranties on the loans not diligenced, their retention of at least 5% of the bonds contributes to the overall low operational risk of the transaction. Inclusion of Second Liens (Negative): While the collateral pool consists primarily of first lien, seasoned RPLs, FirstKey has also included approximately 5.9% (by unpaid principal balance [UPB]) of closed-end second lien loans. The expected losses were adjusted for these loans to account for the increased risk associated with these collateral types. See the Asset Analysis section of the presale for additional details on the treatment of these loans. Low Aggregate Servicing Fee (Mixed): Fitch determined that the stated servicing fee of 20bps may be insufficient to attract subsequent servicers under a period of poor performance and high delinquencies. To account for the potentially higher fee needed to obtain a subsequent servicer, Fitch's cash flow analysis assumed a 35-bp servicing fee. Third-Party Due Diligence (Negative): A third-party due diligence review was conducted and focused on regulatory compliance, pay history and a tax and title lien search. The third-party review (TPR) firm's due diligence review resulted in approximately 15% (by loan count) "C" and "D" graded loans, meaning the loans had material violations or lacked documentation to confirm regulatory compliance. See the Third-Party Due Diligence section for additional details. Representation Framework (Negative): Fitch considers the representation, warranty and enforcement (RW&E) mechanism construct for this transaction to generally be consistent with what it views as 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. However, the issuer will not be providing reps and warranties for 6.7% of the loans, which represents the second liens and any first lien that did not receive a compliance review. Fitch treated these loans as Tier 5 to account for this. To account for the Tier 2 and Tier 5 loans, Fitch increased its 'AAAsf' loss expectations by roughly 170bps to account for a potential increase in defaults and losses arising from weaknesses in the reps. Limited Life of Rep Provider (Negative): FirstKey, as rep provider, will only be obligated to repurchase a loan due to breaches prior to the payment date in October 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 October 2019. No Servicer P&I Advances (Mixed): The servicer will not be advancing delinquent monthly payments of P&I, which reduce liquidity to the trust. However, as P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust, the loan-level loss severity (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. 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 (Negative): Non-interest-bearing principal forbearance amounts totaling $75.1 million (8.8%) of the UPB are outstanding on 952 loans. Fitch included the deferred amounts when calculating the borrower's loan to value ratio (LTV) and sustainable LTV (sLTV), despite the lower payment and amounts not being owed during the term of the loan. The inclusion resulted in a higher probability of default (PD) 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. CRITERIA APPLICATION Fitch analyzed the transaction in accordance with its criteria 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 three criteria variations from the "U.S. RMBS Seasoned, Re-Performing and Non-Performing Loan Rating Criteria." The first variation relates to a 25-bp penalty that was applied to the expected losses at each rating category to account for potential delinquencies prior to closing. Fitch analyzed the collateral pool, which was based on the statistical calculation date; however, the collateral will be updated and rolled by one month prior to closing, meaning there will be an additional pay period between marketing and closing. Fitch analyzed previous Towd transactions to determine the percentage of loans that typically go delinquent in the first period, and the 25-bp penalty ensures that a potential increase in delinquencies before closing is accounted for. There was no rating impact since the credit enhancement levels are consistent with Fitch's loss expectations inclusive of the adjustment. The second variation is that an updated tax/title review was not completed on 696 loans, all of which are second liens. While a tax/title review was not completed, Fitch's analysis already assumed that these loans were not in first-lien position, and Fitch assumes 100% LS for all second liens. There was no rating impact due to this variation. The third and final variation is that a due diligence compliance and data integrity review was not completed on 651 loans (606 second lien loans and 45 first lien loans). Fitch's model assumes 100% LS for all second liens and therefore no additional adjustment was made to Fitch's expected losses. There was no rating impact since credit enhancement levels are consistent with Fitch's loss expectations. 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 39.6% at 'AAAsf'. The analysis indicates there is some potential rating migration with higher MVDs, compared with the model projection. Fitch also conducted sensitivity analysis to determine the stresses to MVDs that would reduce a rating by one full category, to non-investment grade, and to 'CCCsf'. Fitch's stress and rating sensitivity analysis are discussed in its presale report "Towd Point Mortgage Trust 2018-5" available at www.fitchratings.com or by clicking on the link. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by WestCor Land Title Insurance Company (WestCor), Clayton Services LLC, and AMC Diligence, LLC (AMC). The third-party due diligence described in Form 15E focused on regulatory compliance, pay history, servicing comments, the presence of key documents in the loan file and data integrity. In addition, AMC and Westcor were retained to perform an updated title and tax search, as well as a review to confirm that the mortgages were recorded in the relevant local jurisdiction and the related assignment chains. A regulatory compliance and data integrity review was completed on 97% of the pool by balance. Fitch considered this information in its analysis, and, based on the findings, Fitch made several adjustments to its analysis. For 215 of the 'C' or 'D' graded loans, Fitch adjusted its loss expectation at the 'AAAsf' level by approximately 33bps reflecting missing documents that prevented testing for predatory lending compliance. The inability to test for predatory lending may expose the trust to potential assignee liability, which creates added risk for bond investors. To mitigate this risk, Fitch assumed a 100% LS for loans in the states that fall under Freddie Mac's do not purchase list of 'high cost' or 'high risk'; 21 loans were affected by this approach. For the remaining 194 loans, where the properties are not located in the states that fall under Freddie Mac's do not purchase list, the likelihood of all loans being high cost is low. However, Fitch assumes the trust could potentially incur notable legal expenses. Fitch increased its loss severity expectations by 5% for these loans to account for the risk. Other causes for the remaining 368 'C' and 'D' grades include missing Final HUD1s that are not subject to predatory lending, missing state disclosures and other compliance related missing documents. Fitch believes these issues do not add material risk to bondholders since the statute of limitations has expired. No adjustment to loss expectations were made for these 368 loans. For the 189 loans where a servicing comment review was not performed or was outdated, Fitch applied 100% PD. There were 35 loans missing modification documents or a signature on modification documents. For these loans, timelines were extended by an additional three months, in addition to the six-month timeline extension applied to the entire pool. UBS COMMERCIAL 2018-C13: Fitch Rates $8MM Class E-RR Certs 'BB+' ---------------------------------------------------------------- Fitch Ratings has issued a presale report on UBS Commercial Mortgage Trust 2018-C13 commercial mortgage pass-through certificates, series 2018-C13. Fitch expects to rate the transaction and assign Rating Outlooks as follows: -- $19,987,000 class A-1 'AAAsf'; Outlook Stable; -- $97,922,000 class A-2 'AAAsf'; Outlook Stable; -- $38,766,000 class A-SB 'AAAsf'; Outlook Stable; -- $110,000,000d class A-3 'AAAsf'; Outlook Stable; -- $233,741,000d class A-4 'AAAsf'; Outlook Stable; -- $500,416,000b class X-A 'AAAsf'; Outlook Stable; -- $128,678,000b class X-B 'A-sf'; Outlook Stable; -- $62,552,000 class A-S 'AAAsf'; Outlook Stable; -- $34,850,000 class B 'AA-sf'; Outlook Stable; -- $31,276,000 class C 'A-sf'; Outlook Stable; -- $16,414,000ab class X-D 'BBBsf'; Outlook Stable. -- $16,414,000a class D 'BBBsf'; Outlook Stable; -- $19,330,000ac class D-RR 'BBB-sf'; Outlook Stable; -- $8,936,000ac class E-RR 'BB+sf'; Outlook Stable; -- $7,149,000ac class F-RR 'BB-sf'; Outlook Stable; -- $8,042,000ac class G-RR 'B-sf'; Outlook Stable. The following class is not expected to be rated: -- $25,915,367ac class NR-RR. (a) Privately placed and pursuant to Rule 144A. (b) Notional amount and interest-only. (c) Horizontal credit risk retention interest representing no less than 5% of the estimated fair value of all classes of regular certificates issued by the issuing entity as of the closing date. (d) The exact initial certificate balances of the class A-3 and class A-4 certificates are unknown and will be determined based on the final pricing of those classes of certificates. The aggregate initial certificate balance of the class A-3 and class A-4 certificates is expected to be approximately $343,741,000, subject to a variance of plus or minus 5%. The expected ratings are based on information provided by the issuer as of Sept. 14, 2018. The certificates represent the beneficial ownership interest in the trust, primary assets of which are 53 loans secured by 68 commercial properties having an aggregate principal balance of $714,880,368 as of the cutoff date. The loans were contributed to the trust by UBS AG, Societe Generale, Natixis Real Estate Capital LLC, Rialto Mortgage Finance LLC, Cantor Commercial Real Estate Lending, L.P. and CIBC, Inc. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 62.9% of the properties by balance, cash flow analysis of 79.7% and asset summary reviews on 100.0% of the pool. KEY RATING DRIVERS Fitch Debt Service Coverage (DSCR) is Lower Than Recent Transactions: The pool's Fitch DSCR of 1.19x is lower than the 2017 and 2018 YTD averages of 1.26x and 1.23x, respectively. However, the pool's LTV of 100.0% is comparable to the 2017 and 2018 YTD averages of 101.6% and 102.9%, respectively. Excluding investment-grade credit opinion loans, the pool has a Fitch DSCR and LTV of 1.14x and 106.9%, respectively. Investment-Grade Credit Opinion Loans: Three loans representing 14.8% of the pool have investment-grade credit opinions, which is above the 2017 average of 11.7% and 2018 YTD average of 11.9%. 1670 Broadway (6.7% of the pool) and Wyvernwood Apartments (3.9% of the pool) both have investment-grade credit opinions of 'BBB-sf*'. Christiana Mall (4.2% of the pool) has an investment-grade credit opinion of 'AA-sf*'. Combined, the three loans have a weighted average (WA) Fitch DSCR and LTV of 1.47x and 60.6%, respectively. Diverse Pool: The pool is more diverse than recent Fitch-rated transactions. The top 10 loans comprise 42.4% of the pool balance, less than the 2017 average of 53.1% and the 2018 YTD average of 51.4%. The pool's average loan size of $13.5 million is lower than the average of $20.2 million for 2017 and $18.3 million for 2018 YTD. The concentration results in an LCI of 292, less than the 2017 average of 398 and the 2018 YTD average of 381. RATING SENSITIVITIES For this transaction, Fitch's NCF was 10.1% below the most recent year's NOI for properties for which a full-year NOI was provided, excluding properties that were stabilizing during this period. Unanticipated further declines in property-level NCF could result in higher defaults and loss severities on defaulted loans and in potential rating actions on the certificates. Fitch evaluated the sensitivity of the ratings assigned to the UBS 2018-C13 certificates and found that the transaction displays average sensitivities to further declines in NCF. In a scenario in which NCF declined a further 20% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'A-sf' could result. In a more severe scenario, in which NCF declined a further 30% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB-sf' could result. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 Fitch was provided with Form ABS Due Diligence-15E. The report was prepared by Ernst & Young LLP. The third-party due diligence described in the Form 15E focused on a comparison and re-computation of certain characteristics with respect to the mortgage loans and related mortgaged properties in the data file. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. UBS-CITIGROUP 2011-C1: DBRS Confirms B(high) Rating on Cl. G Certs ------------------------------------------------------------------ DBRS Limited confirmed the ratings on the following classes of Commercial Mortgage Pass-Through Certificates Series 2011-C1 (the Certificates) issued by UBS-Citigroup Commercial Mortgage Trust, Series 2011-C1, as follows: -- Class A-3 at AAA (sf) -- Class A-AB at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AAA (sf) -- Class X-A at AAA (sf) -- Class C at AA (sf) -- Class D at A (sf) -- Class E at BBB (high) (sf) -- Class F at BB (high) (sf) -- Class X-B at BB (low) (sf) -- Class G at B (high) (sf) All trends are Stable. The rating confirmations reflect the overall healthy performance of the transaction since the last review in September 2017, when four classes were upgraded to reflect the increased credit support to the bonds with the significant pay down and defeasance since issuance, as well as the overall strong cash flow growth for the underlying loans since 2011. As of the August 2018 remittance, 25 of the original 32 loans remained in the pool with an aggregate balance of $423.1 million, representing a collateral reduction of 37.2% since issuance. In addition, four loans, representing 20.9% of the pool, including the largest loan in the pool, are fully defeased. Loans representing 61.5% of the pool reported YE2017 financials. These loans reported a weighted-average (WA) debt service coverage ratio (DSCR) and debt yield of 1.53 times (x) and 12.5%, respectively. Based on the servicer's most recent reporting, the WA net cash flow growth for the 13 largest non-defeased loans was 17.2% over the DBRS issuance figures, with a WA DSCR and debt yield of 1.57x and 13.0%, respectively. As of the August 2018 remittance report, there are four loans, representing 23.5% of the pool, including the second-largest loan in the pool, on the servicer's watch list and no loans in special servicing. The largest loan on the watch list, Poughkeepsie Galleria (Prospectus ID #2, 15.3% of the pool), is secured by a regional mall located in Poughkeepsie, New York. At issuance, the $154.9 million senior loan (split into pari passu pieces contributed to the subject and the UBS 2012-C1 transaction, not rated by DBRS) was supplemented with a $21.0 million mezzanine loan for total debt of $175.9 million. The loan is being monitored due to a cash sweep that was triggered for a whole loan DSCR below 1.10x. The mall is anchored by JCPenney as well as three non-collateral stores in Macy's, Sears and Target. The senior loan reported a YE2017 DSCR of 1.19x, a decrease from YE2016 DSCR of 1.22x, primarily due to declining base rents. As of the June 2018 rent roll, occupancy remained relatively unchanged at 88.3%; however, the average rental rate of the collateral decreased to $20.16 per square foot (psf) from $21.35 at March 2017. Sales for anchor tenants as well as in-line tenants less than 10,000 sf have also decreased year over year. The second-largest loan on the watch list, Hospitality Specialists Portfolio – Pool 2 (Prospectus ID #11, 4.5% of the pool), is also being monitored for low DSCR. The loan consists of a portfolio of three limited-service and extended-stay hotels located in Moline, Illinois, and Stevensville, Michigan. As of YE2017, the loan reported a DSCR of 1.16x, compared with YE2016 of 1.42x and DBRS Term DSCR at issuance of 1.46x. The decrease in cash flow is due to revenue declines for the Stevensville property, which reported a room revenue decline of 26.7% for 2017 from the previous year. That property's demand is partially dependent on contract workers that are brought in to work at the local nuclear power plant after the plant's reactors are periodically shut down for maintenance and refueling purposes. These shutdowns were less frequent in 2017 as compared with 2016, which resulted in a 25.8% decrease in occupancy. As of the YE2017 STR report, the Stevensville hotel reported an occupancy rate of 52.8% and RevPAR of $58.03. Both figures underperformed the hotel's competitive set. Classes X-A and X-B are interest-only (IO) certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. Notes: All figures are in U.S. dollars unless otherwise noted. UNITED EQUITABLE: A.M. Best Raises Financial Strength Rating to C++ ------------------------------------------------------------------- A.M. Best has upgraded the Financial Strength Rating (FSR) to C++ (Marginal) from C+ (Marginal) and the Long-Term Issuer Credit Rating (Long-Term ICR) to "b" from "b-" for United Equitable Insurance Company (United Equitable). Concurrently, A.M. Best has affirmed the FSR of C- (Weak) and the Long-Term ICR of "cc" of American Heartland Insurance Company (American Heartland), its separately rated affiliate. The outlook of these Credit Ratings (ratings) remains stable. Both companies are domiciled in Skokie, IL. The ratings of United Equitable reflect its balance sheet strength, which A.M. Best categorizes as weak, as well as its adequate operating performance, limited business profile and marginal enterprise risk management (ERM). The ratings of American Heartland reflect its balance sheet strength, which A.M. Best categorizes as very weak, as well as its adequate operating performance, limited business profile and marginal ERM. The companies' ratings also reflect a trend of increased operating performance in recent years, and the increased stability of that performance as indicated by low volatility of combined and operating ratios. For United Equitable, this increased operating performance assessment was sufficient to mitigate the cumulative impact of increased underwriting and investment leverage measures reported in 2017. For American Heartland, the impacts of these increased leverage measures on its balance sheet strength assessment were more pronounced, offsetting the improved operating performance assessment to result in no change to its rating. WACHOVIA BANK 2007-C32: Moody's Affirms C Rating on 2 Tranches -------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on three classes in Wachovia Bank Commercial Mortgage Trust 2007-C32 as follows: Cl. A-J, Affirmed Caa1 (sf); previously on Sep 15, 2017 Affirmed Caa1 (sf) Cl. B, Affirmed C (sf); previously on Sep 15, 2017 Downgraded to C (sf) Cl. C, Affirmed C (sf); previously on Sep 15, 2017 Downgraded to C (sf) RATINGS RATIONALE The ratings on three P&I Classes A-J, B, and C were affirmed because the rating are consistent with Moody's expected and realized loss. Moody's rating action reflects a base expected loss of 44.4% of the current balance, compared to 65.1% at Moody's last review. Moody's base expected loss plus realized losses is now 12.7% of the original pooled balance compared to 13.6% at Moody's last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 100% of the pool is in special servicing. 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 classes and the recovery as a pay down of principal to the most senior classes. DEAL PERFORMANCE As of the August 17, 2018 distribution date, the transaction's aggregate certificate balance has decreased by 98% to $74.8 million from $3.8 billion at securitization. The certificates are collateralized by 3 mortgage loans, which include an A/B Note split for the largest exposure, ranging in size from 19% to 49% of the pool. Thirty-six loans have been liquidated from the pool, resulting in an aggregate realized loss of $454.3 million (for an average loss severity of 30%). Three loans, constituting 100% of the pool, is currently in special servicing. The largest exposure is the Jamison Valley Holdings Pool Loan ($38.0 million -- 51% of the pool), which is secured by a portfolio two office properties totaling 177,000 SF located north west of the Los Angeles CBD in Sherman Oaks and Woodland Hills. Sherman Oaks Atrium is a 100,632 SF mid-rise office building built in 1984 containing 30 units and West Hills Plaza is an 83,981 SF mid-rise office building built in 1987 and West Hills Plaza is an 83,981 SF mid-rise office building built in 1987. The loan originally transferred to special servicing in June 2012 for 60 day payment default. Upon return from special servicing in May 2014 the original note was modified, and split into an A Note ($23,750,000) and a B Note ($14,250,000). The loan transferred back to special servicing in February 2017 due to imminent maturity default before its May 2017 maturity date. The borrower entered into a second loan modification agreement effective March 2017. The maturity date was extended to May 2019 with the lockout period expiring in December 2018. However, it transferred to special servicing in July 2018 when the borrower requested a reduction in the lockout period with respect to an authorized capital event. The remaining loan is the Portofino Inn & Suites Loan ($36.75 million -- 49% of the pool), which is secured by a 190 room limited service hotel located in Anaheim, California. The property was built in two phases in 1978 and 1985. It is located on a ground lease that expires in December 2063. The loan transferred to special servicing in May 2017 due to imminent balloon/maturity default. A receiver was appointed and foreclosure occurred in December 2017. The property was inspected in June 2017 and found to be in fair condition at that time. The July 2018 trailing twele months occupancy, ADR and RevPAR were 79%, $141 and $112, respectively compared to 85%, $137 and $116 at year end 2017. WELLS FARGO 2015-LC22: Fitch Affirms BB- Rating on Class E Certs ---------------------------------------------------------------- Fitch Ratings has affirmed 15 classes of Wells Fargo Commercial Mortgage Trust 2015-LC22 commercial mortgage pass-through certificates and revised the Outlook on class F and the corresponding class X-F to Negative from Stable. KEY RATING DRIVERS Increased Loss Expectations: The Outlook Negative assigned to class F reflects the increased loss expectations for the pool, mainly driven by increased modeled losses associated with the eighth largest loan, San Diego Park N' Fly (2.3% of the current pool). In addition, one loan, Clearwater Collection (1.4%), recently transferred to special servicing in July 2018. Fitch has identified an additional five loans (3.0%) as Fitch Loans of Concern: one loan (1.1%) secured by a multifamily property that suffered fire damage and four loans (2.0%) secured by hotel properties suffering from declining occupancy and weak submarkets. San Diego Park N' Fly is secured by an 860 space parking garage in San Diego, CA, located approximately two miles west of San Diego International Airport. The borrower has a 15-year absolute NNN lease with an annual lease payment of $2.33 million. The initial YE 2017 servicer-provided OSAR indicated a decline in performance; upon Fitch's initial inquiry, the originator indicated that it was due to a discrepancy in reporting. The servicer has since provided additional information; per further review, Fitch has determined that the property has suffered a decline in performance with a look-through to property operations indicating a 60.6% decline in NOI compared to Fitch's expectations at issuance. The property cashflow is insufficient to support the master lease payment of $2.3 million and the loan interest-only debt service of $1.1 million (loan is interest-only through August 2019). Per the servicer, the decline in property performance is attributed to a change in San Diego city legislation that released new parking, which has resulted in increased competition for the property. Clearwater Collection (1.4%) is secured by a 134,361 sf anchored community shopping center in Clearwater, FL. The loan is 30 to 59 days delinquent and the loan sponsor was reportedly indicted on several charges of securities fraud in April 2018. The loan is now cash-managed. Per the most recent servicer-reporting, YE 2017 NOI DSCR was 2.33x and the property was 88% occupied as of March 2018. Minimal Increase in Credit Enhancement: The pool has benefited from a slight increase in credit enhancement due to expected loan amortization and from the payoff of one loan, Fillmore Gardens Co-operative, Inc. The pool is scheduled to pay down by 14.4% of the initial pool balance prior to maturity. As of the August 2018 remittance report, the pool's aggregate principal balance has been reduced by 2.6% to $938.7 million from $963.7 million at issuance. The deal has not incurred any losses. Cumulative interest shortfalls in the amount of $8,261 are currently affecting class G. Four loans totaling $26.3 million (2.8%) are defeased. Investment-Grade Credit Opinion Loan: One loan, 40 Wall Street, representing 9.3% of the pool, has an investment-grade credit opinion of 'BBB-sf' on a stand-alone basis. Multifamily and Co-op Concentration: Multifamily properties, including co-ops, comprise 29.5% of the pool. Additionally, nine loans (4.1%) are secured by multifamily co-ops within the New York City metro area, which typically have a lower default probability. RATING SENSITIVITIES The Stable Rating Outlooks for classes A-1 through E reflect the stable performance of the majority of the underlying pool. The Negative Rating Outlook for class F reflects the increased loss expectations for the pool, largely driven by the San Diego Park N' Fly loan. Downgrades are possible if the loan transfers to special servicing or with further deterioration of the Fitch Loans of Concern. Rating upgrades, although unlikely, could occur with improved pool performance and increased credit enhancement from additional paydown, amortization or defeasance. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third-party due diligence was provided or reviewed in relation to this rating action. Fitch has affirmed the following classes and revised Outlooks as indicated: -- $21.2 million class A-1 at 'AAAsf'; Outlook Stable; -- $23.4 million class A-2 at 'AAAsf'; Outlook Stable; -- $220.0 million class A-3 at 'AAAsf'; Outlook Stable; -- $302.3 million class A-4 at 'AAAsf'; Outlook Stable; -- $82.7 million class A-SB at 'AAAsf'; Outlook Stable; -- $69.9 million class A-S at 'AAAsf'; Outlook Stable; -- $56.6 million class B at 'AA-sf'; Outlook Stable; -- $42.2 million class C at 'A-sf'; Outlook Stable; -- $44.6 million class D at 'BBB-sf'; Outlook Stable; -- $22.9 million class E at 'BB-sf'; Outlook Stable; -- $9.6 million class F at 'B-sf'; Outlook revised to Negative from Stable; -- $719.5 million class X-A at 'AAAsf'; Outlook Stable; -- $22.9 million class X-E at 'BB-sf'; Outlook Stable; -- $9.6 million class X-F at 'B-sf'; Outlook revised to Negative from Stable; -- $168.7 million class PEX at 'A-sf'; Outlook Stable. Fitch does not rate the class G and the interest-only class X-G certificates. WELLS FARGO 2015-NXS3: DBRS Confirms B Rating on Class F Certs -------------------------------------------------------------- DBRS Limited confirmed all classes of Commercial Mortgage Pass-Through Certificates, Series 2015-NXS3 (the Certificates) issued by Wells Fargo Commercial Mortgage Trust 2015-NXS3 as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class PEX at A (low) (sf) -- Class D at BBB (low) (sf) -- Class X-D at BBB (low) (sf) -- Class X-E at BB (sf) -- Class E at BB (low) (sf) -- Class X-FG at B (high) (sf) -- Class F at B (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction, which originally consisted of 56 fixed-rate loans secured by 59 commercial properties with trust balance of $814.5 million. As of the August 2018 remittance, all 56 loans remain in the pool, including one fully defeased loan representing, 2.7% of the pool balance. The collateral has been reduced by 1.7% since issuance due to scheduled amortization. The deal exhibits substantial urban concentration with 17 loans, comprising 37.9% of the pool balance, located in urban markets. Additionally, two loans in the top 15 loans exhibit credit characteristics consistent with investment-grade shadow ratings (11 Madison Avenue – Prospectus ID#6 and The Parking Spot LAX – Prospectus ID#15). The conduit continues to exhibit a strong weighted-average (WA) debt service coverage ratio (DSCR) of 1.84 times (x) and WA debt yield of 10.4% based on the most recent reporting available, compared with the WA DBRS Term DSCR of 1.86x and WA debt yield of 10.2% at issuance. Approximately 93.5% of the pool is reporting year-end 2017 financials. There are 14 loans, representing 6.9% of the pool, on the servicer's watch list; however, nine of those loans are secured by co-operative multifamily properties, which represent 3.2% of the pool balance. DBRS is not concerned with the credit quality of these loans at this time. An additional two loans on the servicer's watch list, comprising 0.7% of the pool balance, were flagged for not reporting financials. The pool is concentrated by loan size, with the top ten loans representing 59.9% of the pool balance. Eight loans, representing 17.8% of the pool, are secured by single-tenant properties, including three in the top 15 loans. Fifteen loans, representing 44.2% of the pool, have partial/full term IO periods with seven of those loans, comprising 27.3% of the loan pool, featuring full IO terms. DBRS is monitoring the status of the largest loan in the pool (One Court Square – Prospectus ID#1), which comprises 10.0% of the pool balance. The subject loan is secured by the fee interest in a 1.4 million square foot (sf) office property located in Long Island City, New York, that is 100.0% leased to Citibank, N.A. (Citi). According to several news sources, Citi notified the sponsor in July 2018 it will be reducing its space from 1.4 million sf to 400,000 sf, which will create a considerable 1.0 million sf of vacant space (71.4% of net rentable area). Citi's existing lease is scheduled to expire in May 2020 and the sponsor is currently listing the upcoming vacant space for lease. Cash management will commence in December 2018, 18 months prior to lease expiration. DBRS applied a stressed cash flow to the DBRS Term DSCR to reflect the vacancy risk; however, this risk is partially mitigated by the desirable location, property visibility and the 21-month timeline to backfill the vacant space. At issuance, DBRS shadow-rated two loans, the 11 Madison Avenue loan (Prospectus ID#6, 4.4% of the pool balance) and the Parking Spot LAX loan (Prospectus ID#15, 1.8% of the pool balance), investment grade. DBRS has confirmed that the performance of these two loans remains consistent with investment-grade characteristics. Classes X-A, X-D, X-E and X-FG are interest-only (IO) certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. Notes: All figures are in U.S. dollars unless otherwise noted. WFRBS COMMERCIAL 2014-C24: Moody's Rates Class SJ-D Certs Ba2 ------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on thirteen classes in WFRBS Commercial Mortgage Trust 2014-C24, Commercial Mortgage Pass-Through Certificates Series 2014-C24 as follows: Cl. A-2, Affirmed Aaa (sf); previously on Sep 29, 2017 Affirmed Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on Sep 29, 2017 Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Sep 29, 2017 Affirmed Aaa (sf) Cl. A-5, Affirmed Aaa (sf); previously on Sep 29, 2017 Affirmed Aaa (sf) Cl. A-S, Affirmed Aa1 (sf); previously on Sep 29, 2017 Affirmed Aa1 (sf) Cl. A-SB, Affirmed Aaa (sf); previously on Sep 29, 2017 Affirmed Aaa (sf) Cl. B, Affirmed Aa3 (sf); previously on Sep 29, 2017 Affirmed Aa3 (sf) Cl. C, Affirmed A3 (sf); previously on Sep 29, 2017 Affirmed A3 (sf) Cl. PEX, Affirmed A1 (sf); previously on Sep 29, 2017 Affirmed A1 (sf) Cl. SJ-A, Affirmed Aa2 (sf); previously on Sep 29, 2017 Affirmed Aa2 (sf) Cl. SJ-B, Affirmed A2 (sf); previously on Sep 29, 2017 Affirmed A2 (sf) Cl. SJ-C, Affirmed Baa1 (sf); previously on Sep 29, 2017 Affirmed Baa1 (sf) Cl. SJ-D, Affirmed Ba2 (sf); previously on Sep 29, 2017 Affirmed Ba2 (sf) RATINGS RATIONALE The ratings on eight pooled P&I classes, Cl. A-2 through Cl. C, were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The ratings on four non-pooled rake classes, Cl. SJ-A, SJ-B, SJ-C and SJ-D, were affirmed based on the key metrics of their referenced loan, including Moody's loan to value (LTV) ratio. The rake classes are supported by the subordinate debt associated with the St. John's Town Center loan. The rating on the exchangeable class, Cl. PEX, was affirmed based credit performance (the weighted average rating factor or WARF) of its exchangeable classes Moody's rating action reflects a base expected loss of 6.5% of the current balance compared to 5.8% at Moody's last review. 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 WFRBS Commercial Mortgage Trust 2014-C24, Cl. A-2, Cl. A-3, Cl. A-4, Cl. A-5, Cl. A-S, Cl. A-SB, Cl. B, Cl. C, Cl. SJ-A, Cl. SJ-B, Cl. SJ-D, and Cl. SJ-C was "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in July 2017. The principal methodology used in rating WFRBS Commercial Mortgage Trust 2014-C24, Cl. PEX was "Moody's Approach to Rating Repackaged Securities" published in June 2015. DEAL PERFORMANCE As of the August 17, 2018 distribution date, the transaction's aggregate pooled certificate balance has decreased by 4.5% to $1.038 billion from $1.088 billion at securitization. The certificates are collateralized by 85 mortgage loans ranging in size from less than 1% to 10% of the pool, with the top ten loans constituting 48% of the pool. One loan, constituting 10.0% of the pool, has an investment-grade structured credit assessment. 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 29 at Moody's last review. Eight loans, constituting 8% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. No loans have been liquidated from the pool. Four loans, constituting 10% of the pool, are currently in special servicing. The largest loan in special servicing is the Two Westlake Park Loan ($91.0 million -- 8.8% of the pool), which is secured by a 450,000 SF office building located in Houston, Texas. The property was developed in 1982 and primarily consists of a 17-story office tower and seven story parking garage and is part of the larger 58-acre Westlake Park office complex. The property is located approximately one half mile from I-10 in Houston's Energy Corridor/West Katy Freeway market. The loan transferred to special servicing in July 2018 due to imminent monetary default. As of March 2018, the property was 68% occupied, the same as at year-end 2017 but well below its occupancy of 91% in June 2016. The two largest tenants are ConocoPhilips (46% of the NRA, leased through November 2019) and BP (15% of the NRA, leased through 2019). ConocoPhilips is subleasing 121,000 square feet of space and BP is looking to sublease their space. Additionally, over 60% of the tenant roster have lease expirations in 2019. The property management company has advised they are actively marketing the space and looking for tenants but has indicated the soft Houston market is making it difficult for new leasing activity. Per CBRE, vacancy in the Houston Katy Freeway Class A office submarket was 25.5% as of second quarter 2018. The special servicer has indicated they are evaluating the property and have executed a pre-negotiation letter. Moody's has identified this as a troubled loan due to the occupancy concerns and estimated a moderate loss on this loan. The remaining three specially serviced loans are secured by a mix of property types. Moody's estimates an aggregate $37.1 million loss for the specially serviced loans (35% expected loss on average). Moody's has also assumed a high default probability for two poorly performing loans, constituting 3% of the pool, and has estimated an aggregate loss of $4.3 million (a 15% expected loss based on a 50% probability default) from these troubled loans. Moody's received full year 2017 operating results for 99% of the pool and partial year 2018 operating results for 82% of the pool. Moody's weighted average conduit LTV is 102%, compared to 111% 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 15% 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 1.79X and 1.10X, respectively, compared to 1.59X and 0.97X 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 St. Johns Town Center Loan ($103.5 million -- 9.7% of the pool), which is secured by a 981,000 SF component of a 1.4 million SF super-regional mall located in Jacksonville, Florida. The loan represents a pari-passu interest in a $203.5 million senior loan. The property is also encumbered by a $146.5 million B-note which contribute to the transaction as non-pooled rake bonds. The loan sponsor is a joint venture between subsidiaries of Simon Property Group (SPG), Inc. and Deutsche Bank Asset & Wealth Management. SPG manages the property. The mall is anchored by Dillard's, Target, Dick's Sporting Goods, Ashley Furniture, and Nordstrom. Dillard's, Target and Ashely Furniture are not part of the collateral and own their own spaces. The mall was developed in three phases from 2005-2014. As of June 2018, the property was 94% occupied, compared to 97% as of June 2017. Moody's structured credit assessment and stressed DSCR are aaa (sca.pd) and 1.61X, respectively, the same as at last review. The top three conduit loans represent 17% of the pool balance. The largest loan is the Gateway Center Phase II Loan ($75.0 million -- 7.2% of the pool), which represents a pari-passu interest in a $300 million senior mortgage loan. The Loan is secured by a 602,000 SF power center located in Brooklyn, New York. The property was recently constructed in 2014 and sits adjacent to the Belt Parkway in between JFK Airport and East New York. As of June 2018, the property was 100% occupied. The anchor tenants include JC Penney, ShopRite and Burlington Coat Factory. JC Penney is not part of the collateral. Moody's LTV and stressed DSCR are 114% and 0.78X, respectively, the same as at Moody's last review. The second largest loan is the Crossing at Corona Loan ($68.9 million -- 6.6% of the pool), which is secured by an 834,000 SF component of an approximately 962,200 SF power center located 50 miles south-east of Los Angeles in Corona, California. The property was developed from 2004-2008. The center is anchored by a Kohl's, Edwards Cinemas (Regal) and Best Buy. The center is shadow anchored by a Target. Toys R Us/Babies R Us (7.6% of the NRA) closed in April 2018 in conjunction with the bankruptcy of the company. As of March 2018, the property was 93% occupied (86% excluding Toys R Us), compared to 94% as of June 2017. Moody's LTV and stressed DSCR are 130% and 0.77X, respectively, compared to 122% and 0.80X at Moody's last review. The third largest loan is the Hilton Biltmore Park Loan ($30.3 million -- 2.9% of the pool), which is secured by a 165-room, full-service hotel located approximately 15 miles south of downtown Asheville, NC. The property was constructed in 2009 and is situated within Biltmore Park Town Square, which is a master-planned mixed-use development featuring 25.9 acres of retail, restaurants, entertainment, office, condos, apartments, and townhomes. The property offers a full-service restaurant and bar, Roux, on the lobby level with additional amenities including an indoor pool and hot tub, a fitness center, three meeting rooms totaling 4,296 SF, and valet parking for 140 reserved parking spots in adjacent parking lot (non-collateral). As of the June 2018 STR Report, Occupancy, ADR and RevPAR Penetration were 113.7%, 103.3% and 117.3%, respectively. Moody's LTV and stressed DSCR are 129% and 0.94X, respectively, compared to 132% and 0.93X at Moody's last review. [*] Moody's Takes Action on $177.9MM of RMBS Issued 2001-2005 ------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of two tranches from two transactions, and downgraded the ratings of 26 tranches from 19 transactions. Complete rating actions are as follows: Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2005-HE2 Cl. M-4, Downgraded to B1 (sf); previously on Sep 24, 2014 Upgraded to Ba1 (sf) Issuer: Amortizing Residential Collateral Trust 2004-1 Cl. M4, Downgraded to B1 (sf); previously on Aug 16, 2016 Upgraded to Ba3 (sf) Cl. M5, Downgraded to B3 (sf); previously on Aug 16, 2016 Upgraded to B2 (sf) Issuer: Argent Securities Inc., Series 2003-W1 Cl. M-4, Downgraded to B2 (sf); previously on Aug 8, 2014 Downgraded to B1 (sf) Cl. M-5, Downgraded to B3 (sf); previously on Mar 5, 2013 Affirmed B2 (sf) Issuer: Bear Stearns ALT-A Trust 2004-6 Cl. M-1, Downgraded to B1 (sf); previously on Mar 29, 2016 Upgraded to Ba1 (sf) Issuer: Bear Stearns Asset Backed Securities I Trust 2005-EC1 Cl. M-3, Downgraded to B1 (sf); previously on Oct 14, 2016 Upgraded to Ba3 (sf) Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB7 Cl. M-1, Downgraded to B1 (sf); previously on May 4, 2012 Downgraded to Ba3 (sf) Issuer: Conseco Finance Home Equity Loan Trust 2002-A Cl. B-2, Downgraded to Caa1 (sf); previously on Jan 30, 2018 Upgraded to B2 (sf) Issuer: CS First Boston Mortgage Securities Corp, CSFB ABS Trust Series 2001-HE8 Cl. A-1, Downgraded to Baa1 (sf); previously on May 24, 2012 Downgraded to A3 (sf) Issuer: CSFB Mortgage Pass-Through Certificates, Series 2005-CF1 Cl. M-1, Downgraded to Baa3 (sf); previously on Feb 4, 2013 Downgraded to A3 (sf) Cl. M-2, Downgraded to B1 (sf); previously on Feb 4, 2013 Affirmed Ba1 (sf) Issuer: CWABS, Inc. Asset-Backed Certificates, Series 2002-3 Cl. 2-A-1, Upgraded to Aaa (sf); previously on Sep 18, 2013 Downgraded to A1 (sf) Issuer: Fieldstone Mortgage Investment Trust 2004-3 Cl. M5, Downgraded to B3 (sf); previously on Mar 12, 2013 Downgraded to B1 (sf) Issuer: Impac Secured Assets Corp. Mortgage Pass-Through Certificates, Series 2004-4 Cl. M-4, Downgraded to B1 (sf); previously on Aug 23, 2016 Upgraded to Ba2 (sf) Issuer: MASTR Adjustable Rate Mortgages Trust 2004-11 Cl. M-2, Downgraded to B1 (sf); previously on Oct 3, 2013 Upgraded to Ba1 (sf) Issuer: MASTR Asset Backed Securities Trust 2002-OPT1 Cl. M-4, Downgraded to B2 (sf); previously on Jan 12, 2015 Upgraded to B1 (sf) Issuer: People's Choice Home Loan Securities Trust 2005-3 Cl. M3, Downgraded to B2 (sf); previously on May 18, 2017 Upgraded to B1 (sf) Issuer: Saxon Asset Securities Trust 2001-2 Cl. AF-5, Downgraded to B2 (sf); previously on Jan 26, 2017 Downgraded to B1 (sf) Issuer: Saxon Asset Securities Trust 2002-2 Cl. AF-5, Downgraded to B3 (sf); previously on Jun 25, 2018 Downgraded to B1 (sf) Cl. AF-6, Downgraded to B3 (sf); previously on Jun 25, 2018 Downgraded to B1 (sf) Cl. M-1, Upgraded to Ba1 (sf); previously on Jan 27, 2016 Upgraded to B1 (sf) Issuer: Saxon Asset Securities Trust 2003-1 Cl. AF-5, Downgraded to Baa3 (sf); previously on May 18, 2012 Downgraded to A3 (sf) Cl. AF-6, Downgraded to Baa1 (sf); previously on Jan 26, 2017 Downgraded to A3 (sf) Cl. AF-7, Downgraded to Baa1 (sf); previously on May 18, 2012 Downgraded to A3 (sf) Issuer: Soundview Home Loan Trust 2003-1 Cl. M-4, Downgraded to B2 (sf); previously on Oct 20, 2014 Upgraded to B1 (sf) Issuer: Structured Asset Securities Corp Trust 2004-11XS Cl. 2-M1, Downgraded to Baa3 (sf); previously on May 23, 2018 Upgraded to A2 (sf) Cl. 2-M2, Downgraded to Ba2 (sf); previously on May 23, 2018 Upgraded to Baa1 (sf) RATINGS RATIONALE The actions reflect the recent performance of the underlying pools and Moody's updated loss expectations on the pools. The rating upgrades are due to total credit enhancement available to the bonds and improvement in pool performance. Except as noted here, the rating downgrades are due to outstanding interest shortfalls that are either not expected to be reimbursed because the bond has a weak interest shortfall reimbursement mechanism or not expected to be fully reimbursed for an extended period due to insufficient interest collections. The rating downgrades on Amortizing Residential Collateral Trust 2004-1 Classes M4 and M5 are due to depleting credit enhancement and poor collateral performance. The rating downgrades on Saxon Asset Securities Trust 2001-2 Class AF-5, Saxon Asset Securities Trust 2002-2 Classes AF-5 and AF-6 and Saxon Asset Securities Trust 2003-1 Classes AF-5, AF-6 and AF-7 are due to insufficient interest collected as a result of interest not being cross-collateralized between the underlying collateral groups. The rating downgrade on Conseco Finance Home Equity Loan Trust 2002-A Class B-2 reflects the correction of a prior error. In the prior rating action, the cumulative loss for Class B-2 was not taken into account. This error has now been corrected, and the rating action reflects the accumulated total losses on the bond. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in January 2017. Factors that would lead to an upgrade or downgrade of the ratings: Ratings in the US RMBS sector remain exposed to macroeconomic uncertainty, and in particular the unemployment rate. The unemployment rate fell to 3.9% in August 2018 from 4.4% in August 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. [*] Moody's Takes Action on $36MM of RMBS Issued 2002 and 2007 -------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of seven tranches from two transactions. Complete rating actions are as follows: Issuer: Chase Funding Trust, Series 2002-3 Cl. IIM-1, Upgraded to Baa3 (sf); previously on Feb 24, 2016 Upgraded to Ba3 (sf) Cl. IM-1, Upgraded to Ba3 (sf); previously on Apr 23, 2012 Downgraded to B3 (sf) Cl. IB, Upgraded to B3 (sf); previously on Apr 23, 2012 Downgraded to Caa3 (sf) Cl. IIA-1, Upgraded to Aa2 (sf); previously on Apr 23, 2012 Confirmed at A1 (sf) Cl. IM-2, Upgraded to B2 (sf); previously on Apr 23, 2012 Downgraded to Caa3 (sf) Issuer: Citigroup Mortgage Loan Trust 2007-WFHE1 Cl. M-2, Upgraded to B1 (sf); previously on Jan 18, 2017 Upgraded to B2 (sf) Cl. M-3, Upgraded to Caa3 (sf); previously on Mar 19, 2009 Downgraded to C (sf) RATINGS RATIONALE The actions reflect the recent performance of the underlying pools and Moody's updated loss expectations on the pools. The rating upgrades are primarily due to total credit enhancement available to the bonds and improvement in pool performance. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in January 2017. Factors that would lead to an upgrade or downgrade of the ratings: Ratings in the US RMBS sector remain exposed to macroeconomic uncertainty, and in particular the unemployment rate. The unemployment rate fell to 3.9% in August 2018 from 4.4% in August 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. [*] Moody's Takes Various Action on $352MM RMBS Issued 2003 to 2006 ------------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 32 tranches and downgraded the rating of one tranche from 10 transactions, backed by Subprime and Option ARM RMBS loans, issued by multiple issuers. Complete rating actions are as follows: Issuer: Bear Stearns Asset Backed Securities I Trust 2004-HE7 Cl. M-2, Upgraded to B3 (sf); previously on Apr 17, 2015 Upgraded to Caa1 (sf) Cl. M-3, Upgraded to Caa3 (sf); previously on Apr 9, 2012 Downgraded to C (sf) Issuer: Bear Stearns Asset Backed Securities Trust 2003-2 Cl. B, Upgraded to Caa1 (sf); previously on Mar 11, 2011 Downgraded to Ca (sf) Cl. M-2, Upgraded to Caa1 (sf); previously on Mar 11, 2011 Downgraded to Caa3 (sf) Issuer: Chevy Chase Funding LLC, Mortgage-Backed Certificates, Series 2004-B Cl. IO, Upgraded to B2 (sf); previously on Nov 29, 2017 Confirmed at B3 (sf) Issuer: CSFB Home Equity Asset Trust 2006-2 Cl. 1-A-1, Upgraded to Aaa (sf); previously on Nov 17, 2017 Upgraded to Aa2 (sf) Cl. 2-A-4, Upgraded to Aaa (sf); previously on Nov 17, 2017 Upgraded to A1 (sf) Issuer: DSLA Mortgage Loan Trust 2004-AR1 Cl. X-2, Upgraded to B2 (sf); previously on Dec 20, 2017 Upgraded to B3 (sf) Issuer: DSLA Mortgage Loan Trust 2004-AR4 Cl. 2-A2A, Downgraded to B2 (sf); previously on Jun 7, 2016 Upgraded to Ba2 (sf) Issuer: GSAMP Trust 2006-HE4 Cl. A-1, Upgraded to A1 (sf); previously on Feb 1, 2017 Upgraded to Baa3 (sf) Cl. A-2C, Upgraded to A1 (sf); previously on Feb 1, 2017 Upgraded to Baa3 (sf) Cl. A-2D, Upgraded to A3 (sf); previously on Feb 1, 2017 Upgraded to Ba1 (sf) Issuer: HarborView Mortgage Loan Trust 2005-9 Cl. 1-A, Upgraded to Baa1 (sf); previously on Apr 18, 2016 Upgraded to Baa3 (sf) Underlying Rating: Upgraded to Baa1 (sf); previously on Apr 18, 2016 Upgraded to Baa3 (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. 1-PO, Upgraded to Ba3 (sf); previously on Nov 21, 2017 Upgraded to B1 (sf) Cl. 1-X, Upgraded to Baa2 (sf); previously on Nov 21, 2017 Confirmed at Ba1 (sf) Cl. 2-A-1B, Upgraded to Baa2 (sf); previously on Apr 18, 2016 Upgraded to Baa3 (sf) Underlying Rating: Upgraded to Baa2 (sf); previously on Apr 18, 2016 Upgraded to Baa3 (sf) Financial Guarantor: Syncora Guarantee Inc. (Insured Rating Withdrawn Nov 08, 2012) Cl. 2-A-1C, Upgraded to Baa2 (sf); previously on Apr 18, 2016 Upgraded to Baa3 (sf) Cl. 2-X, Upgraded to Baa1 (sf); previously on Nov 21, 2017 Upgraded to Baa2 (sf) Cl. 2-PO, Upgraded to Ba3 (sf); previously on Nov 21, 2017 Upgraded to B1 (sf) Cl. 3-PO, Upgraded to Ba3 (sf); previously on Nov 21, 2017 Upgraded to B1 (sf) Cl. B-1, Upgraded to Ba3 (sf); previously on Apr 18, 2016 Upgraded to B1 (sf) Cl. B-2, Upgraded to Caa1 (sf); previously on Jun 9, 2015 Upgraded to Caa3 (sf) Cl. B-3, Upgraded to Ca (sf); previously on Dec 7, 2010 Downgraded to C (sf) Issuer: Structured Asset Securities Corp Trust 2005-WF1 Cl. M1, Upgraded to A1 (sf); previously on Dec 1, 2017 Upgraded to Baa2 (sf) Cl. M2, Upgraded to Ba1 (sf); previously on Dec 1, 2017 Upgraded to Ba3 (sf) Cl. M3, Upgraded to B1 (sf); previously on Dec 1, 2017 Upgraded to B3 (sf) Cl. M4, Upgraded to Caa1 (sf); previously on Dec 1, 2017 Upgraded to Ca (sf) Cl. M5, Upgraded to Ca (sf); previously on Apr 12, 2010 Downgraded to C (sf) Issuer: Structured Asset Securities Corp Trust 2005-WF2 Cl. M1, Upgraded to A1 (sf); previously on Dec 1, 2017 Upgraded to A2 (sf) Cl. M2, Upgraded to Baa2 (sf); previously on Dec 1, 2017 Upgraded to Ba1 (sf) Cl. M3, Upgraded to Ba1 (sf); previously on Dec 1, 2017 Upgraded to Ba3 (sf) Cl. M4, Upgraded to B1 (sf); previously on Dec 1, 2017 Upgraded to Caa1 (sf) Cl. M5, Upgraded to Caa1 (sf); previously on Dec 1, 2017 Upgraded to Caa3 (sf) RATINGS RATIONALE The rating actions are a result of the recent performance of the underlying pools and reflect Moody's updated loss expectation on the pools. The rating upgrades are a result of the improving performance of the related pools or an increase in the credit enhancement available to the bonds. Some of the tranches were upgraded for their strong performance to date with principal balances paid down significantly while incurring minimal losses. The rating downgrade on DSLA Mortgage Loan Trust 2004-AR4, Cl. 2-A2A is due to the weaker performance of the underlying collateral and eroding enhancement available to protect the bond against tail risk. The principal methodology used in rating Bear Stearns Asset Backed Securities I Trust 2004-HE7 Cl. M-2 and Cl. M-3; Bear Stearns Asset Backed Securities Trust 2003-2 Cl. M-2 and Cl. B; DSLA Mortgage Loan Trust 2004-AR4 Cl. 2-A2A; CSFB Home Equity Asset Trust 2006-2 Cl. 1-A-1 and Cl. 2-A-4; GSAMP Trust 2006-HE4 Cl. A-2C, Cl. A-2D, and Cl. A-1; HarborView Mortgage Loan Trust 2005-9 Cl. 3-PO, Cl. 1-A, Cl. 1-PO, Cl. 2-A-1B, Cl. 2-A-1C, Cl. 2-PO, Cl. B-1, Cl. B-2, and Cl. B-3; Structured Asset Securities Corp Trust 2005-WF1 Cl. M1, Cl. M2, Cl. M3, Cl. M4, and Cl. M5; and Structured Asset Securities Corp Trust 2005-WF2 Cl. M1, Cl. M2, Cl. M3, Cl. M4, and Cl. M5 was "US RMBS Surveillance Methodology" published in January 2017. The methodologies used in rating Chevy Chase Funding LLC, Mortgage-Backed Certificates, Series 2004-B Cl. IO; DSLA Mortgage Loan Trust 2004-AR1 Cl. X-2; and HarborView Mortgage Loan Trust 2005-9 Cl. 1-X and Cl. 2-X were "US RMBS Surveillance Methodology" published in January 2017 and "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. Factors that would lead to an upgrade or downgrade of the ratings: 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 3.9% in August 2018 from 4.4% in August 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. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds and/or pools. 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 Upgrades $27MM of Subprime RMBS Issued 2001 to 2004 --------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 14 tranches from seven transactions issued by various issuers. Complete rating actions are as follows: Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB5 Cl. B-1, Upgraded to B1 (sf); previously on Feb 24, 2016 Upgraded to Caa3 (sf) Cl. M-3, Upgraded to B1 (sf); previously on Feb 24, 2016 Upgraded to Caa1 (sf) Issuer: CDC Mortgage Capital Trust 2002-HE1 Cl. M, Upgraded to Caa2 (sf); previously on Mar 18, 2011 Downgraded to Ca (sf) Issuer: CDC Mortgage Capital Trust 2002-HE2 Cl. M-1, Upgraded to Baa1 (sf); previously on Dec 28, 2017 Upgraded to Ba1 (sf) Cl. M-2, Upgraded to Caa2 (sf); previously on Mar 11, 2016 Upgraded to Ca (sf) Issuer: Chase Funding Trust, Series 2003-3 Cl. IIA-2, Upgraded to Aa2 (sf); previously on Jan 17, 2017 Upgraded to A1 (sf) Cl. IIB, Upgraded to Caa3 (sf); previously on Mar 7, 2011 Downgraded to C (sf) Cl. IIM-2, Upgraded to Caa3 (sf); previously on Mar 7, 2011 Downgraded to C (sf) Issuer: Chase Funding Trust, Series 2003-5 Cl. IIA-2, Upgraded to Aa3 (sf); previously on Dec 28, 2017 Upgraded to A1 (sf) Cl. IM-2, Upgraded to Caa3 (sf); previously on Apr 23, 2012 Downgraded to C (sf) Issuer: GSAMP Trust 2002-HE2 (wholesale;25% fixed/75% ARMs) Cl. B-1, Upgraded to Baa1 (sf); previously on Feb 12, 2016 Upgraded to Ba3 (sf) Issuer: Saxon Asset Securities Trust 2001-3 AV-1, Upgraded to A1 (sf); previously on May 4, 2012 Downgraded to Baa1 (sf) M-1, Upgraded to Baa3 (sf); previously on Aug 30, 2016 Upgraded to Ba1 (sf) X-IO, Upgraded to Caa1 (sf); previously on Dec 20, 2017 Downgraded to Caa2 (sf) RATINGS RATIONALE The actions reflect the recent performance of the underlying pools and Moody's updated loss expectations on the pools. The rating upgrades are primarily due to total credit enhancement available to the bonds and/or an improvement in pool performance. The rating upgrade of Class X-IO of Saxon Asset Securities Trust 2001-3, an interest-only tranche (IO), reflects an improvement in pool performance of the reference pools to which this IO bond is linked. The principal methodology used in rating C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB5 Cl. M-3 and Cl. B-1; CDC Mortgage Capital Trust 2002-HE1 Cl. M; CDC Mortgage Capital Trust 2002-HE2 Cl. M-1 and Cl. M-2; Chase Funding Trust, Series 2003-3 Cl. IIA-2, Cl. IIM-2, and Cl. IIB; Chase Funding Trust, Series 2003-5 Cl. IM-2 and Cl. IIA-2; GSAMP Trust 2002-HE2 (wholesale;25% fixed/75% ARMs) Cl. B-1; and Saxon Asset Securities Trust 2001-3 Cl. AV-1 and Cl. M-1 was "US RMBS Surveillance Methodology" published in January 2017. The methodologies used in rating Saxon Asset Securities Trust 2001-3 Cl. X-IO were "US RMBS Surveillance Methodology" published in January 2017 and "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. Factors that would lead to an upgrade or downgrade of the ratings: Ratings in the US RMBS sector remain exposed to macroeconomic uncertainty, and in particular the unemployment rate. The unemployment rate fell to 3.9% in August 2018 from 4.4% in August 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. [*] S&P Cuts Ratings on 59 Classes From 32 US RMBS Deals to 'D(sf)' ------------------------------------------------------------------- S&P Global Ratings lowered its ratings on 59 classes of mortgage pass-through certificates from 32 U.S. residential mortgage-backed securities (RMBS) transactions issued between 2003 and 2007 to 'D (sf)'. The transactions in this review are backed by a mix of fixed- and adjustable-rate mortgage loans, which are secured primarily by first liens on one- to four-family residential properties. The downgrades reflect our assessment of the principal write-downs' impact on the affected classes during recent remittance periods. All but three of the classes were rated either 'CCC (sf)' or 'CC (sf)' before the rating actions. Classes 1-A-1 and 1-A-2 from CHL Mortgage Pass-Through Trust 2003-15 and class A4 from Structured Adjustable Rate Mortgage Loan Trust Series 2004-7 were rated 'B- (sf)'. S&P said, "As a result of the write-down on class A4 from Structured Adjustable Rate Mortgage Loan Trust Series 2004-7, we placed our 'B- (sf)' ratings on classes A1 and A3 from this transaction on CreditWatch with negative implications while we determine whether the recent performance of the loans backing this transaction has affected these ratings. We did not place the remaining ratings from CHL Mortgage Pass-Through Trust 2003-15 on CreditWatch negative because these ratings are below 'B- (sf)'." PRINCIPAL-ONLY RATINGS This review included two ratings on principal-only (PO) classes, one class is categorized as a PO strip class and one class is categorized as a senior PO class. Class PO from Alternative Loan Trust 2004-32CB is a PO strip class that receives principal primarily from discount loans within this transaction. When a discount loan takes a loss, the PO strip class is allocated a loan-specific percentage of that loss. However, because the PO class is a senior class in the waterfall, it is reimbursed from cash flows that would otherwise be paid to the most junior classes. S&P said, "Further, we do not expect any future reimbursements from the transaction's cash flow because the balances of the subordinate classes have been reduced to zero. Therefore, this PO strip class has incurred a loss on its principal obligation without the likelihood of future reimbursement. As result, we lowered our rating on this class to 'D (sf)'." Class 4-A-18 from CSMC Mortgage Backed Trust 2007-5 is a senior PO class. Senior PO classes are not structured to receive principal from discount loans, and the rating simply reflects the credit risk of the class. S&P lowered its rating on this senior PO class to 'D (sf)'. The 59 defaulted classes consist of the following: -- 17 from prime jumbo transactions (28.81%), -- 30 from Alternative-A transactions (50.85%), -- Eight from subprime transactions (13.56%), -- Two from negative amortization transactions, and -- Two from Federal Housing Administration/Veterans Affairs transactions. All of the transactions in this review receive credit enhancement from a combination of subordination, excess spread, and overcollateralization (where applicable). A list of Affected Ratings can be viewed at: https://bit.ly/2xlEMmM [*] S&P Discontinues Ratings on 24 Classes From Nine CDO Deals -------------------------------------------------------------- S&P Global Ratings, on Sept. 18, 2018, discontinued its ratings on 21 classes from seven cash flow (CF) collateralized loan obligation (CLO) transactions, two classes from one CF collateral debt obligation (CDO) transaction backed by commercial mortgage-backed securities (CMBS), and one class from one CF CDO other transaction. The discontinuances follow the complete paydown of the notes as reflected in the most recent trustee issued note payment reports for each transaction: -- California Street CLO II Ltd. (CF CLO): senior-most tranche paid down, other rated tranches still outstanding. -- G-FORCE 2005-RR LLC (CF CDO of CMBS): all rated tranches paid down. -- Marathon CLO IV Ltd. (CF CLO): last rated tranche paid down. -- Oaktree EIF 1 Series A1 Ltd. (CF CLO): rated tranche paid down. -- Oaktree EIF II Series B1 Ltd. (CF CLO): all rated tranches paid down. -- Repackaged CLO Series OT-I-A1 Ltd. (CF Other): rated tranche paid down. -- RR 4 Ltd. (CF CLO): class X notes paid down, other rated tranches still outstanding. -- Shackleton 2014-VI CLO Ltd. (CF CLO): optional redemption in July 2018. -- WhiteHorse VI Ltd. (CF CLO): optional redemption in August 2018. -- The class X notes from RR 4 Ltd. had a principal balance intended to be repaid early in the CLO's life using interest proceeds. RATINGS DISCONTINUED California Street CLO II Ltd. Rating Class To From B NR AAA (sf) G-FORCE 2005-RR LLC Rating Class To From C NR CCC- (sf) D NR CC (sf) Marathon CLO IV Ltd. Rating Class To From D NR BB (sf) Oaktree EIF 1 Series A1 Ltd. Rating Class To From A NR AAA (sf) Oaktree EIF II Series B1 Ltd. Rating Class To From A NR AAA (sf) B NR AA (sf) C NR A (sf) Repackaged CLO Series OT-I-A1 Ltd. Rating Class To From A NR AAA (sf) RR 4 Ltd. Rating Class To From X NR AAA (sf) Shackleton 2014-VI CLO Ltd. Rating Class To From A-1-R NR AAA (sf) A-2-R NR AAA (sf) B-1-R NR AA (sf) B-2-R NR AA (sf) C-R NR A (sf) D NR BBB (sf) E NR BB (sf) F NR B (sf) WhiteHorse VI Ltd. Rating Class To From A-1-R NR AAA (sf) A-2-R NR AAA (sf) A-3-R NR AA+ (sf) B-1L NR A+ (sf) B-2L NR BB+ (sf) B-3L NR B (sf) NR--Not rated. [*] S&P Takes Various Actions on 64 Classes From 10 US RMBS Deals ----------------------------------------------------------------- S&P Global Ratings completed its review of 64 classes from 10 U.S. residential mortgage-backed securities (RMBS) transactions issued between 2002 and 2005. All of these transactions are backed by prime collateral. The review yielded 16 upgrades, nine downgrades, 38 affirmations, and one withdrawal. Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by its projected cash flows. These considerations are based on transaction-specific performance or structural characteristics (or both) and their potential effects on certain classes. Some of these considerations include: -- Collateral performance/delinquency trends; -- Historical interest shortfalls; -- Erosion of or increases in credit support; -- Tail risk; -- Principal-only criteria; and; -- Available subordination and/or overcollateralization. Rating Actions S&P said, "The affirmations of ratings reflect our opinion that our projected credit support and collateral performance on these classes has remained relatively consistent with our prior projections. "We raised our rating on class 1-A-1 from Structured Adjustable Rate Mortgage Loan Trust's series 2005-1 to 'BBB- (sf)' from 'B (sf)' due to decreased delinquencies. Severe delinquencies decreased to 4.9% in August 2018 from 10% during the last review." A list of Affected Ratings can be viewed at: https://bit.ly/2MK0VRE [*] S&P Takes Various Actions on 77 Classes From 13 US RMBS Deals ----------------------------------------------------------------- S&P Global Ratings completed its review of 77 classes from 13 U.S. residential mortgage-backed securities (RMBS) transactions, including two resecuritized real estate mortgage investment conduit (re-REMIC) transactions, issued between 2003 and 2009. The transactions are backed by a mix of collateral. The review yielded 11 upgrades, 21 downgrades, and 45 affirmations. ANALYTICAL CONSIDERATIONS S&P incorporate various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by its projected cash flows. These considerations are based on transaction-specific performance or structural characteristics (or both) and their potential effects on certain classes. Some of these considerations include: -- Collateral performance/delinquency trends, -- Underlying collateral performance, -- Historical missed interest payments, -- Priority of principal payments, and -- Available subordination and/or overcollateralization. RATING ACTIONS S&P said, "The affirmed ratings reflect our opinion that our projected credit support and collateral performance on these classes has remained relatively consistent with our prior projections. "The majority of today's downgrades reflect our view that the payment allocation triggers are passing, allowing principal payments to be made to more subordinate classes and eroding projected credit support for the affected classes. "We lowered our ratings on classes M-3 and M-4 from MASTR Asset Backed Securities Trust 2005-WMC1 after assessing the impact of missed interest payments on these classes. Intex Solutions Inc., a third-party data provider, had previously not reported outstanding missed interest payments on this transaction and has since revised its reporting. As such, we applied our interest shortfall criteria as stated in "Structured Finance Temporary Interest Shortfall Methodology," published Dec. 15, 2015, which impose a maximum rating threshold on classes that have incurred missed interest payments due to credit or liquidity erosion. In applying the criteria, we looked to see if the applicable classes received additional compensation beyond the imputed interest due as direct economic compensation for the delay in interest payments, which these classes have. Additionally, these classes have delayed reimbursement provisions. The resulting ratings reflect the application of our cash flow projections used in determining the likelihood that the outstanding missed interest payment will be reimbursed under various scenarios." ********* 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. 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Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Valerie Udtuhan, Howard C. Tolentino, Carmel Paderog, Meriam Fernandez, Joel Anthony G. Lopez, Cecil R. Villacampa, Sheryl Joy P. Olano, Psyche A. Castillon, Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2018. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. The TCR subscription rate is $975 for 6 months delivered via e-mail. Additional e-mail subscriptions for members of the same firm for the term of the initial subscription or balance thereof are $25 each. For subscription information, contact Peter A. Chapman at 215-945-7000. *** End of Transmission ***