/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/181230.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, December 30, 2018, Vol. 22, No. 363 Headlines A10 TERM 2016-1: DBRS Hikes Class F Certs Rating to B(high) AIRCRAFT FINANCE 1999-1: S&P Affirms CC Rating on A-1 Notes AMERICAN CREDIT 2018-4: S&P Rates $17.85MM Class E Debt 'BB-' ANTARES CLO 2018-3: S&P Assigns BB- Rating on Class E Notes ARBOR REALTY 2017-FL3: DBRS Confirms BB(low) Rating on Cl. E Notes ARES L CLO: Moody's Rates $28.5MM Class E Notes 'Ba3' ARES XL CLO: Moody's Rates $35MM Class D-R Notes 'Ba3' ATLAS SENIOR LOAN IV: S&P Affirms B(sf) Rating on Cl. B-3L-R Notes AVERY POINT III: S&P Affirms BB Rating on Class E Notes BARINGS CLO 2016-II: Moody's Rates $22MM Class E-R Notes 'Ba3' BBCMS MORTGAGE 2018-C2: DBRS Finalizes B(low) Rating on H-RR Certs BBCMS MORTGAGE 2018-C2: Fitch Gives BB-sf Rating on Class F Certs BEAR STEARNS 2004-PWR4: Moody's Hikes Cl. L Certs Rating to Ba1 BEAR STEARNS 2005-PWR9: Moody's Affirms Ca Rating on Class G Certs CALIFORNIA STREET XII: Moody's Affirms Ba3 Rating on Class E Notes CARLYLE US 2018-4: Moody's Rates $27.5MM Class D Notes 'Ba3' CBA COMMERCIAL 2004-1: Fitch Hikes Class M-1 Debt Rating at CCCsf CFCRE COMMERCIAL 2011-C1: Fitch Corrects Dec. 19 Press Release CGMS COMMERCIAL 2017-MDDR: S&P Affirms BB Rating on E-FX Certs CIFC FUNDING 2018-V: Moody's Rates $29.43MM Class D Notes 'Ba3' CITIGROUP 2015-GC27: DBRS Confirms B Rating on 2 Tranches COBALT CMBS 2007-C3: Fitch Hikes Rating on $64MM A-J Certs to B COLE PARK CLO: Moody's Rates $23.5MM Class E-R Notes 'Ba3' COLONNADE GLOBAL 2017-4: DBRS Confirms BB(high) Rating on Tranche K COLONNADE GLOBAL 2018-4: DBRS Gives (P)BB(high) Rating on Tranche K COLONNADE GLOBAL 2018-5: DBRS Gives (P)BB(high) Rating on Tranche K COMM 2013-CCRE6: DBRS Confirms B Rating on Class F Certs COMM 2015-DC1: Fitch Affirms BB-sf Rating on $29.8MM Class E Certs COMM MORTGAGE 2015-LC19: Fitch Affirms B-sf Rating on Cl. F Certs CREDIT SUISSE 2008-C1: S&P Lowers Class D Certs Rating to Dsf CROWN POINT II: S&P Affirms B Rating on Class B-3L Notes CSFB MORTGAGE 1998-C1: Moody's Affirms C Rating on Class A-X Debt CSFB MORTGAGE 2004-1: Moody's Affirms Ca Rating on Cl. H Certs CSMC 2018-SITE: Moody's Assigns Ba3 Rating on Class E Certs DBUBS 2011-LC2: Moody's Affirms B3 Rating on Class F Certs DRYDEN 70: S&P Assigns BB- Rating on $17MM Class E Notes GCA2014 HOLDINGS: S&P Cuts Class C Notes Rating to CCC(sf) GS MORTGAGE II 2006-GG8: Fitch Affirms CCsf Rating on Cl. B Certs GUGGENHEIM MM 2018-1: S&P Assigns B Rating on Class F Notes HARBOR PARK: S&P Assigns BB- Rating on $24.5MM Class E Notes HOMEWARD OPPORTUNITIES 2018-2: S&P Rates $8.4MM Class B-2 Debt 'B+' INSITE WIRELESS 2018-1: Fitch Assigns BB-sf Rating on Cl. C Debt JP MORGAN 2005-CIBC13: Fitch Affirms Bsf Rating on Class A-J Certs JP MORGAN 2006-CIBC17: Moody's Affirms Ca Rating on Class A-J Debt JP MORGAN 2007-LDP12: S&P Lowers Class B Certs Rating to D(sf) JP MORGAN 2011-C3: Fitch Affirms B Rating on $16.8MM Class H Certs KEYCORP STUDENT 2004-A: S&P Affirms CCC Rating on Cl. II-D Notes LAKESIDE CDO I: Moody's Withdraws Ratings on 3 Tranches LEHMAN BROTHERS 2007-1: Moody's Lowers Rating on Cl. M2 Certs to C MADISON PARK XXXII: S&P Gives Prelim. BB- Rating to Class E Debt MERCURY CDO 2014-1: Moody's Withdraws Ratings on 7 Tranches ML-CFC COMMERCIAL 2007-7: Moody's Affirms C Ratings on 3 Tranches MORGAN STANLEY 2005-TOP19: Fitch Lowers $6.1MM Class L Certs to Csf MORGAN STANLEY 2006-TOP23: S&P Cuts Cl. F Certs Rating to CCC+ MORGAN STANLEY 2013-C7: DBRS Confirms B Rating on Class G Certs MORGAN STANLEY 2014-C14: Fitch Affirms B-sf Rating on Cl. G Certs MORGAN STANLEY 2014-C17: DBRS Confirms B Rating on Class F Certs MORGAN STANLEY 2015-C20: DBRS Confirms B Rating on Class X-F Certs MORGAN STANLEY 2015-C21: Fitch Affirms BB- Rating on 2 Tranches MORGAN STANLEY 2016-C28: Fitch Affirms B-sf Rating on 2 Tranches MORGAN STANLEY I 2004-IQ8: Fitch Hikes Class H Certs Rating to BBsf NYLIM STRATFORD 2001-1: Moody's Withdraws Ratings on 3 Tranches PALMER SQUARE 2018-5: Fitch Assigns BBsf Rating on Class D Notes PARALLEL 2018-2: Moody's Rates $20MM Class D Notes 'Ba3' PATRONS' LEGACY: Moody's Puts Ba3 Rating on Ser. A Certs on Review PIKES PEAK 2: Moody's Rates $22.5MM Class E Notes 'Ba3' REGATTA FUNDING VII: Moody's Rates $20MM Class E-R Notes 'Ba3' REGIONAL MANAGEMENT 2018-2: DBRS Finalizes BB Rating on D Notes SARATOGA INVESTMENT 2013-1: Moody's Rates $25MM Cl. F-R-2 Notes B3 SLC STUDENT 2008-2: Fitch Lowers Ratings on 2 Tranches to CCC SLM STUDENT 2003-1: Fitch Cuts Ratings on 4 Tranches to Bsf STACR 2018-SPI4: Fitch Gives B+ Ratings on 2 Tranches STRATA CLO I: Moody's Rates $33MM Class E Notes 'Ba3' SYMPHONY CLO XV: Moody's Rates $25.5MM Class E-R2 Notes 'Ba3' TABERNA PREFERRED VIII: Moody's Hikes $75MM Class B Notes to B2(sf) TCP RAINIER: DBRS Assigns BB Rating on Class C Notes TESLA AUTO 2018-B: Moody's Rates $39MM Class E Notes 'Ba3' TIAA CLO IV: S&P Assigns BB- Rating on $15MM Class D Notes TICP CLO XII: Moody's Rates $23.2MM Class E Notes 'Ba3' TOWD POINT 2018-SJ1: Fitch Rates $21.3MM Class B2 Notes 'Bsf' TRINITAS CLO III: Moody's Lowers $8MM Class F Notes Rating to Caa1 TRUPS FINANCIALS 2018-2: Moody's Rates $29.8MM Class B Notes 'Ba3' UBS-BARCLAYS COMMERCIAL 2013-C6: Fitch Affirms Cl. F Certs at Bsf VERUS SECURITIZATION 2018-INV2: S&P Assigns B Rating on B-2 Certs VOYA CLO 2018-4: S&P Gives (P)B- Rating on $6MM Class F Notes WACHOVIA BANK 2007-C30: Fitch Lowers Class G Certs Rating to Dsf WAMU COMMERCIAL 2006-SL1: Fitch Hikes Rating on Cl. F Debt to CC WELLS FARGO 2011-C3: Fitch Affirms Bsf Rating on Class F Certs WELLS FARGO 2016-C32: DBRS Confirms B Rating on Class X-F Certs WELLS FARGO 2018-C48: Fitch Rates $20MM Cl. F-RR Certs 'BB-' WFRBS COMMERCIAL 2012-C6: Moody's Affirms B2 Rating on Cl. F Debt WHITEHORSE LTD VIII: Moody's Lowers Rating on Class F Notes to Caa3 ZAIS CLO 11: Moody's Rates $19MM Class E Notes 'Ba3' [*] DBRS Reviews 780 Classes From 135 US RMBS Transactions [*] Moody's Hikes $1.076BB of Subprime RMBS Issued 2005-2007 [*] Moody's Hikes $1.5BB Subprime RMBS Issued 2005-2007 [*] Moody's Hikes $28.3MM Prime Jumbo RMBS Issued 2005-2007 [*] Moody's Hikes $92.9MM Second Lien RMBS Issued 2004-2007 [*] Moody's Hikes $983.7MM RMBS Issued 2006-2007 [*] Moody's Lowers Ratings on 39 Note Tranches From 27 SF CDO Deals [*] Moody's Takes Action on $353.2MM Housing Collateral-Backed Debt [*] Moody's Takes Action on $393.6MM RMBS Issued 2003-2005 [*] Moody's Takes Action on $40.2MM RMBS Issued 2015-2016 [*] Moody's Takes Action on $414.5MM RMBS Issued 2004-2008 [*] Moody's Takes Action on $450MM RMBS Issued 2005-2007 [*] Moody's Takes Action on $570MM Subprime RMBS Issued 2000-2005 [*] S&P Discontinues Ratings on 41 Classes From 11 CDO Transactions [*] S&P Lowers Ratings on Seven Classes From Six U.S. RMBS Deals [*] S&P Puts Ratings on 28 Classes From Seven CLOs on Watch Pos. [*] S&P Takes Various Actions on 13 Classes From Four US RMBS Deals [*] S&P Takes Various Actions on 38 Classes From 14 US RMBS Deals [*] S&P Takes Various Actions on 59 Classes From 18 US RMBS Deals [*] S&P Takes Various Actions on 79 iShares Fixed-Income ETFs [*] S&P Takes Various Actions on 83 Classes From 12 US RMBS Deals ********* A10 TERM 2016-1: DBRS Hikes Class F Certs Rating to B(high) ----------------------------------------------------------- DBRS Limited upgraded the ratings of the following Commercial Mortgage Pass-Through Certificates, Series 2016-1 issued by A10 Term Asset Financing 2016-1, and LLC: -- Class B to AA (low) (sf) from A (low) (sf) -- Class C to A (low) (sf) from BBB (sf) -- Class D to BBB (sf) from BBB (low) (sf) -- Class E to BB (high) (sf) from BB (sf) -- Class F to B (high) (sf) from B (sf) DBRS also confirmed the rating on Class A-2 at AAA (sf). All trends remain Stable. The rating upgrades reflect the increased credit support to the bonds as a result of successful loan repayment since issuance. As of the November 2018 remittance, ten of the original 28 fixed- and floating-rate loans remain in the trust with an aggregate principal balance of $77.5 million. To date, 18 loans have repaid from the trust, while other payments have been received from scheduled loan amortization and/or loan re-sizing requirements, together representing a collateral reduction of 71.2% since issuance. Most loans were originally structured with two- to four-year terms and include built-in extensions. Nine of the outstanding loans (87.1% of the current cut-off trust balance) were structured with future funding dollars to be used for property renovations and future leasing costs to aid in property stabilization. Six of the outstanding loans (50.1% of the current cut-off trust balance) were structured with subordinate B-note debt held outside of the trust. Four loans (32.3% of the current cut-off trust) are cross-collateralized and cross-defaulted within two separate portfolios. These loans are secured by properties located within the Atlanta metropolitan statistical area and share the same loan sponsor, Stream Realty Partners, LP. Although these loans are concentrated both geographically and by loan sponsor, the portfolio was recently re-appraised in October 2018, yielding higher as-is and stabilized values totaling $57.9 million (42.0% increase from the issuance value) and $89.8 million (24.4% increase from the issuance value), respectively. These four loans also had combined outstanding future funding facilities of approximately $7.8 million as of September 2018. Most of the remaining loans benefit from low leverage on a per-unit basis, with a weighted-average debt yield of 10.3% based on the most recently reported net operating income against the outstanding trust balance, which is considered healthy given that the pool consists of stabilizing assets. Some borrowers appear to have successfully implemented their respective business plans; however, the majority of the properties continue to be in the process of stabilization, in various stages of progress as compared with the respective plans for each loan outlined at issuance. Details on the stabilization status for pivotal loans within the pool are provided in the Loan Commentary on the DBRS Viewpoint platform, as noted below. Notes: All figures are in U.S. dollars unless otherwise noted. AIRCRAFT FINANCE 1999-1: S&P Affirms CC Rating on A-1 Notes ----------------------------------------------------------- S&P Global Ratings affirmed its 'CC (sf)' rating on Aircraft Finance Trust's series 1999-1 class A-1 notes. The series 1999-1 note issuance is an asset-backed securities (ABS) transaction backed by the lease revenue and sales proceeds from a commercial aircraft portfolio. The affirmation reflects the continued decline in the aircraft portfolio's value and the class A-1 notes are current on their monthly interest payments. As of November 2018, the portfolio had three aircraft (two A-320s and one B767-300ER), all on lease, with an aggregate average appraisal of $22.6 million as of December 2017. On the November 2018, payment date, the class A-1 notes were outstanding at $238 million. The senior reserve account, which provides liquidity to the class A-1 notes, was funded at $15 million. S&P will continues to review whether, in its view, the rating currently assigned to the notes remains consistent with the credit enhancement available to support them, and S&P will take rating action as it deems necessary. AMERICAN CREDIT 2018-4: S&P Rates $17.85MM Class E Debt 'BB-' ------------------------------------------------------------- S&P Global Ratings assigned its ratings to American Credit Acceptance Receivables Trust 2018-4's asset-backed notes. The note issuance is an asset-backed securities transaction backed by subprime auto loan receivables. The ratings reflect: -- The availability of approximately 64.7%, 58.1%, 48.0%, 39.6%, 35.0%, and 32.2% credit support for the class A, B, C, D, E, and F notes, respectively, based on break-even stressed cash flow scenarios (including excess spread). These credit support levels provide coverage of approximately 2.35x, 2.10x, 1.70x, 1.37x, 1.20x, and 1.10x our 27.00%-28.00% expected net loss range for the class A, B, C, D, E, and F notes, respectively. -- The timely interest and principal payments made to the rated notes by the assumed legal final maturity dates under S&P's stressed cash flow modeling scenarios that it believes are appropriate for the assigned ratings. -- S&P said, "The expectation that under a moderate ('BBB') stress scenario, all else being equal, our ratings on the class A, B, and C notes would not be lowered from our 'AAA (sf)', 'AA (sf)', and 'A (sf)' ratings during the first year; the rating on the class D notes would remain within two rating categories of our 'BBB (sf)' rating during the first year; and the rating on the class E and F notes would remain within two categories of the 'BB- (sf)' and 'B (sf)' rating, respectively, in the first year, but the E and F notes are expected to default by their legal final maturity date with approximately 51%-79% and 0% of principal repayment, respectively. These potential rating movements are within the limits specified in our credit stability criteria." -- The collateral characteristics of the subprime automobile loans securitized in this transaction. -- The backup servicing arrangement with Wells Fargo Bank N.A. -- The transaction's payment and credit enhancement structures. -- The transaction's legal structure. RATINGS ASSIGNED American Credit Acceptance Receivables Trust 2018-4 Class Rating Amount (mil. $) A AAA (sf) 93.58 B AA (sf) 28.05 C A (sf) 43.35 D BBB (sf) 36.21 E BB- (sf) 17.85 F B (sf) 14.03 ANTARES CLO 2018-3: S&P Assigns BB- Rating on Class E Notes ----------------------------------------------------------- S&P Global Ratings assigned its ratings to Antares CLO 2018-3 Ltd./Antares CLO 2018-3 LLC's floating-rate notes. The note issuance is a collateralized loan obligation (CLO) transaction backed by primarily middle-market speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. The ratings reflect: -- The diversified collateral pool; -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization; -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading; and -- The transaction's legal structure, which is expected to be bankruptcy remote. RATINGS ASSIGNED Antares CLO 2018-3 Ltd./Antares CLO 2018-3 LLC Class Rating Amount (mil. $) A-1 AAA (sf) 575.00 A-2 NR 20.00 B AA (sf) 95.00 C (deferrable) A (sf) 74.30 D (deferrable) BBB- (sf) 61.40 E (deferrable) BB- (sf) 59.00 Subordinated notes NR 122.90 NR--Not rated. ARBOR REALTY 2017-FL3: DBRS Confirms BB(low) Rating on Cl. E Notes ------------------------------------------------------------------ DBRS Limited confirmed the ratings of the Floating Rate Notes issued by Arbor Realty Commercial Real Estate Notes 2017-FL3, Ltd. (the Issuer) as follows: -- Class A Senior Secured Floating Rate Notes at AAA (sf) -- Class B Secured Floating Rate Notes at AA (low) (sf) -- Class C Secured Floating Rate Notes at A (low) (sf) -- Class D Secured Floating Rate Notes at BBB (low) (sf) -- Class E Floating Rate Notes at BB (low) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction, which remains in line with DBRS's expectations at issuance. The pool currently consists of 29 floating-rate loans totalling $474.3 million, secured by multifamily and commercial properties. At issuance in December 2017, the pool consisted of 16 loans totalling $368.3 million. The transaction is structured with an initial 36-month replacement period whereby the Issuer can substitute collateral in the pool, subject to certain Eligibility Criteria, including the rating agency condition by DBRS. As of the November 2018 remittance, there remains $5.7 million in equity that the Issuer can deploy to originate additional loans. The transaction pays sequentially after the replacement period ends. As of the November 2018 remittance, 15 of the original 16 loans, representing 72.4% of the current transaction balance, remain in the pool. There have been 14 replacement loans added since issuance. Most loans have a maximum initial term of two or three years, with extension options generally available, subject to criteria. The loans are predominantly secured by multifamily properties, most of which are located in urban and suburban markets that benefit from greater liquidity and/or are affordable offerings in stable communities. Most of the properties are currently cash-flowing assets in a period of transition with viable plans and loan structures in place to facilitate stabilization and value growth. All of the loans are structured with cash management in place at origination and are also structured with reserves, including several loans that were structured with an initial operating and renovation reserve. The Issuer, Servicer, Mortgage Loan Seller and Advancing Agent are related parties. In addition to recently issued transactions (one in 2013, one in 2014, two in 2015, one in 2016, three in 2017 and one in 2018), Arbor Realty SR, Inc. (Arbor) has a proven track record with several collateralized loan obligation platforms that performed well in 2004, 2005 and 2006. Arbor holds the unrated 19.1% equity piece as Preferred Shares in the transaction. Notes: All figures are in U.S dollars unless otherwise noted. ARES L CLO: Moody's Rates $28.5MM Class E Notes 'Ba3' ----------------------------------------------------- Moody's Investors Service has assigned ratings to six classes of notes issued by Ares L CLO Ltd.. Moody's rating action is as follows: US$320,000,000 Class A Senior Floating Rate Notes due 2032 (the "Class A Notes"), Assigned Aaa (sf) US$55,000,000 Class B Senior Floating Rate Notes due 2032 (the "Class B Notes"), Assigned Aa2 (sf) US$24,500,000 Class C Mezzanine Deferrable Floating Rate Notes due 2032 (the "Class C Notes"), Assigned A2 (sf) US$32,000,000 Class D Mezzanine Deferrable Floating Rate Notes due 2032 (the "Class D Notes"), Assigned Baa3 (sf) US$28,500,000 Class E Mezzanine Deferrable Floating Rate Notes due 2032 (the "Class E Notes"), Assigned Ba3 (sf) US$7,500,000 Class F Mezzanine Deferrable Floating Rate Notes due 2032 (the "Class F Notes"), Assigned B3 (sf) The Class A Notes, the Class B Notes, the Class C Notes, the Class D Notes, the Class E Notes and the Class F Notes are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE 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. Ares L 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 eligible investments, and up to 10% of the portfolio may consist of second-lien loans. The portfolio is approximately 79% ramped as of the closing date. Ares CLO Management 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 subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2017. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $500,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 2927 Weighted Average Spread (WAS): 3.30% Weighted Average Recovery Rate (WARR): 47.50% 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. The Credit Rating for Ares L CLO Ltd. was assigned in accordance with Moody's existing Methodology entitled "Moody's Global Approach to Rating Collateralized Loan Obligations," dated August 31, 2017. Please note that on November 14, 2018, Moody's released a Request for Comment, in which it has requested market feedback on potential revisions to its Methodology for Collateralized Loan Obligations. If the revised Methodology is implemented as proposed, Moody's do not expect the changes to affect the Credit Rating on Ares L CLO Ltd. 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. ARES XL CLO: Moody's Rates $35MM Class D-R Notes 'Ba3' ------------------------------------------------------ Moody's Investors Service has assigned ratings to seven classes of CLO refinancing notes issued by Ares XL CLO Ltd.: Moody's rating action is as follows: US$4,650,000 Class X Senior Floating Rate Notes Due 2029 (the "Class X Notes"), Definitive Rating Assigned Aaa (sf) US$424,900,000 Class A-1-R Senior Floating Rate Notes Due 2029 (the "Class A-1-R Notes"), Definitive Rating Assigned Aaa (sf) US$80,500,000 Class A-3-R Senior Floating Rate Notes Due 2029 (the "Class A-3-R Notes"), Definitive Rating Assigned Aa2 (sf) US$37,100,000 Class B-R Mezzanine Deferrable Floating Rate Notes Due 2029 (the "Class B-R Notes"), Definitive Rating Assigned A2 (sf) US$39,900,000 Class C-R Mezzanine Deferrable Floating Rate Notes Due 2029 (the "Class C-R Notes"), Definitive Rating Assigned Baa3 (sf) US$35,000,000 Class D-R Mezzanine Deferrable Floating Rate Notes Due 2029 (the "Class D-R Notes"), Definitive Rating Assigned Ba3 (sf) US$10,150,000 Class E-R Mezzanine Deferrable Floating Rate Notes Due 2029 (the "Class E-R Notes"), Definitive Rating Assigned B3 (sf) The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. Ares CLO Management LLC manages the CLO. It directs the selection, acquisition, and disposition of collateral on behalf of the Issuer. RATINGS RATIONALE 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 December 13, 2018 in connection with the refinancing of all classes of the secured notes previously issued on October 18, 2016. On the Refinancing Date, the Issuer used proceeds from the issuance of the Refinancing Notes, along with the proceeds from the issuance of one other class of secured notes, to redeem in full the Refinanced Original Notes. On the Original Closing Date, the issuer also issued one class of subordinated notes that remain outstanding. In addition to the issuance of the Refinancing Notes and the other class of secured notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: 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: $699,767,568 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2900 Weighted Average Spread (WAS): 3.20% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 48% Weighted Average Life (WAL): 7.25 years 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. ATLAS SENIOR LOAN IV: S&P Affirms B(sf) Rating on Cl. B-3L-R Notes ------------------------------------------------------------------ S&P Global Ratings raised its ratings on the class A-2L-RR, A-3L-RR, and B-1L-RR notes from Atlas Senior Loan Fund IV Ltd., a U.S. collateralized loan obligation (CLO) managed by Crescent Capital Group L.P., and removed the class A-2L-RR and A-3L-RR notes from CreditWatch, where it had placed them with positive implications on Oct. 26, 2018. At the same time, S&P affirmed its ratings on the class A-1L-RR, B-2L-R, and B-3L-R notes from the same transaction. The rating actions follow its review of the transaction's performance using data from the Nov. 5, 2018, trustee report. The upgrades reflect the transaction's $188.21 million in paydowns to the class A-1L-RR notes since S&P's May 16, 2018, rating actions. These paydowns resulted in the remaining outstanding balance on the class A-1L-RR notes falling to 54.49% of their original balance. These paydowns also improved the reported overcollateralization (O/C) ratios for all classes, except class B-3L-R, since the April 19, 2018, trustee report, which S&P used for its last rating actions. The following are the specific O/C ratio test results: -- The class A-1L/A-2L O/C ratio test improved to 161.72% from 137.66%. -- The class A-3L O/C ratio test improved to 132.92% from 122.33%. -- The class B-1L O/C ratio test improved to 117.51% from 113.05%. -- The class B-2L O/C ratio test improved to 108.53% from 107.25%. -- The class B-3L O/C ratio test declined to 103.96% from 104.18%. The affirmed ratings reflect adequate credit support at the current rating levels, though any further changes in the credit support available to the notes could results in further rating changes. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the aforementioned trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions. "The results of the cash flow analysis indicated a higher rating on the class B-1L-RR and B-2L-R notes. Our rating actions for these classes of notes reflect the transaction's exposure to 'CCC' rated collateral. "The results of the cash flow analysis also indicated a lower rating on the class B-3L-R notes; however, we affirmed our 'B (sf)' rating. This tranche is not at imminent risk of default or interest deferral due to the positive coverage test cushions, though these cushions may change due to the changes in the percentage of 'CCC' rated collateral as the transaction continues to amortize." S&P Global Ratings will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. RATING RAISED Atlas Senior Loan Fund IV Ltd. Rating Class To From B-1L-RR A (sf) BBB (sf) RATING RAISED AND REMOVED FROM CREDITWATCH Atlas Senior Loan Fund IV Ltd. Rating Class To From A-2L-RR AAA (sf) AA (sf)/Watch POS A-3L-RR AA (sf) A (sf)/Watch POS RATINGS AFFIRMED Atlas Senior Loan Fund IV Ltd. Class Rating A-1L-RR AAA (sf) B-2L-R BB- (sf) B-3L-R B (sf) AVERY POINT III: S&P Affirms BB Rating on Class E Notes ------------------------------------------------------- S&P Global Ratings raised its ratings on the class B-1R, B-2, C, and D notes from Avery Point III CLO Ltd., a U.S. collateralized loan obligation (CLO) managed by Bain Capital Credit L.P., and removed class B-1R, B-2, and C ratings from CreditWatch, where S&P had placed them with positive implications on Oct. 26, 2018. At the same time, S&P affirmed its ratings on the class A-R and E notes from the same transaction. The rating actions follow its review of the transaction's performance using data from the Nov. 5, 2018, trustee report. The upgrades reflect the transaction's $179.77 million in paydowns to the class A-R notes since the transaction exited its reinvestment period in January 2018. These paydowns resulted in improved reported overcollateralization (O/C) ratios since the March 7, 2017, trustee report, which we used for S&P's previous rating actions. The following are the O/C ratio test results: -- The class A/B O/C ratio test improved to 163.35% from 134.28%. -- The class C O/C ratio test improved to 127.50% from 117.53%. -- The class D O/C ratio test improved to 116.90% from 111.76%. -- The class E O/C ratio test improved to 107.44% from 106.24%. S&P said, "The upgrades reflect the improved credit support at the prior rating levels and the affirmations reflect our view that the credit support available is commensurate with the current rating levels. "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the aforementioned trustee report, to estimate future performance. On a standalone basis, the results of the cash flow analysis indicated a higher rating on the class C notes. The upgrade of the rating on the class C notes reflects our decision to preserve some additional cash flow cushion to protect against future weighted average spread, weighted average recovery, and increasing concentration risk. "At the same time, the results of the cash flow analysis also indicated a lower rating on the class E notes. In our view, this class has seen some benefit from the portfolio's seasoning, and the class A-R notes' paydowns have improved the O/C ratio since our last rating actions. Additionally, since our last actions, there have been declines in exposures to both 'CCC' rated and defaulted collateral, comparing the Nov. 5, 2018, and the March 7, 2017, trustee reports. The weighted average rating of the portfolio has remained stable, and although the class E notes are more dependent on excess spread because they are the junior-most class, the ongoing paydowns as the portfolio amortizes are expected to continue to improve the O/C ratio. For these reasons, in our view, the credit support is commensurate with the current rating level. "In addition to the paydowns to the class A-R notes and reported improvements to both of the 'CCC' and defaulted buckets, which have been positive for the overall performance of the portfolio, we considered the additional par losses since our last rating actions, the decline in weighted average spread, and the reported decline in weighted average recovery, which have dampened the portfolio's performance improvement. If further deterioration or par losses occur, we may take additional rating actions based on our view of changes to the credit support available to the rated notes. "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions." S&P Global Ratings will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. RATINGS RAISED AND REMOVED FROM CREDITWATCH Avery Point III CLO Ltd. Rating Class To From B-1R AAA (sf) AA (sf)/Watch Pos B-2 AAA (sf) AA (sf)/Watch Pos C AA- (sf) A- (sf)/Watch Pos RATING RAISED Avery Point III CLO Ltd. Rating Class To From D BBB+ (sf) BBB (sf) RATINGS AFFIRMED Avery Point III CLO Ltd. Class Rating A-R AAA (sf) E BB (sf) BARINGS CLO 2016-II: Moody's Rates $22MM Class E-R Notes 'Ba3' -------------------------------------------------------------- Moody's Investors Service has assigned ratings to five classes of CLO refinancing notes issued by Barings CLO Ltd. 2016-II: Moody's rating action is as follows: US$252,000,000 Class A-R Senior Secured Term Notes due 2028 (the "Class A-R Notes"), Assigned Aaa (sf) US$48,000,000 Class B-R Senior Secured Term Notes due 2028 (the "Class B-R Notes"), Assigned Aa2 (sf) US$22,500,000 Class C-R Secured Deferrable Mezzanine Term Notes due 2028 (the "Class C-R Notes"), Assigned A2 (sf) US$23,500,000 Class D-R Secured Deferrable Mezzanine Term Notes due 2028 (the "Class D-R Notes"), Assigned Baa3 (sf) US$22,000,000 Class E-R Secured Deferrable Junior Term Notes due 2028 (the "Class E-R Notes"), Assigned Ba3 (sf) The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. Barings LLC (formerly known as Babson Capital Management LLC) (the "Manager") manages the CLO. It directs the selection, acquisition, and disposition of collateral on behalf of the Issuer. RATINGS RATIONALE 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 December 21, 2018 in connection with the refinancing of all classes of the secured notes previously issued on August 25, 2016. On the Refinancing Date, the Issuer used proceeds from the issuance of the Refinancing Notes to redeem in full the Refinanced Original Notes. In addition to the issuance of the Refinancing Notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the non-call period and changes to certain collateral quality tests. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2017. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $400,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 2901 Weighted Average Spread (WAS): 3.30% Weighted Average Coupon (WAC): 7.50% Weighted Average Recovery Rate (WARR): 46.25% Weighted Average Life (WAL): 7 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. The Credit Ratings for Barings CLO Ltd. 2016-II were assigned in accordance with Moody's existing Methodology titled "Moody's Global Approach to Rating Collateralized Loan Obligations," dated August 31, 2017. Please note that on November 14, 2018, Moody's released a Request for Comment, in which it has requested market feedback on potential revisions to its Methodology for Collateralized Loan Obligations. If the revised Methodology is implemented as proposed, Moody's does not expect the changes to affect the Credit Ratings on Barings CLO Ltd. 2016-II. 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. BBCMS MORTGAGE 2018-C2: DBRS Finalizes B(low) Rating on H-RR Certs ------------------------------------------------------------------ DBRS, Inc. finalized the provisional ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2018-C2 to be issued by BBCMS Mortgage Trust 2018-C2: -- 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-SB at AAA (sf) -- Class X-A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (high) (sf) -- Class C at AA (low) (sf) -- Class X-B at AA (sf) -- Class D at A (sf) -- Class E at BBB (sf) -- Class X-D at BBB (high) (sf) -- Class F at BB (high) (sf) -- Class X-F at BBB (low) (sf) -- Class G at B (high) (sf) -- Class X-G at BB (low) (sf) -- Class H-RR at B (low) (sf) All trends are Stable. The Class X-A, X-B, X-D, X-F, and X-G balances are notional. The collateral consists of 44 fixed-rate loans secured by 87 commercial and multifamily properties. The transaction is a sequential-pay pass-through structure. The conduit pool was analyzed to determine the final ratings, reflecting the long-term probability of loan default within the term and its liquidity at maturity. Trust assets contributed from four loans, representing 12.6% 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 the combined 12.6% of the pool has no proceeds assigned below the rating floor, the resulting pool subordination is diluted or reduced below that rated floor. When the cut-off loan balances were measured against the DBRS Stabilized net cash flow and their respective actual constants, only one loan, Alex Park South, representing 1.7% of the total 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 25 loans, representing 59.5% of the pool, having refinanced DSCRs below 1.00x and 11 loans, representing 26.3% of the pool, having refinanced DSCRs below 0.90x. Nine loans, representing 41.7% of the DBRS sample, have favorable property quality. Four loans (Dream Inn, Zenith Ridge, Moffett Towers II – Building 1 and The Shops at Solaris), representing 17.6% of the sample in aggregate, received Above Average property quality and the remaining five loans, representing 24.0% of the sample in aggregate, received Average (+) property quality. Additionally, no loans received Below Average or Poor property quality grades. Higher-quality properties are more likely to retain existing tenants/guests and more easily attract new tenants/guests, resulting in more stable performance. Four loans (Christiana Mall; Moffett Towers – Buildings E, F and G; Moffett Towers II – Building 1; and Fair Oaks Mall), representing a combined 12.6% of the pool, exhibit credit characteristics consistent with investment-grade shadow ratings. Christiana Mall exhibits credit characteristics consistent with an A (sf) shadow rating; Moffett Towers – Buildings E, F and G exhibit credit characteristics consistent with a BBB (low) (sf) shadow rating; Moffett Towers II – Building 1 exhibits credit characteristics consistent with a BBB (sf) shadow rating; and Fair Oaks Mall exhibits credit characteristics consistent with a BBB (high) (sf) shadow rating. The pool is representative of moderate-leverage financing with a DBRS Going-In and Exit Debt Yield of 9.2% and 9.9%, respectively, based on the whole loans. The metrics improve slightly to 9.5% and 10.2%, respectively, when considering A-note balances. Term default risk is moderate, as indicated by the relatively strong DBRS Term DSCR of 1.65x. In addition, 23 loans, representing 61.9% of the pool, have a DBRS Term DSCR above 1.50x. Even when excluding the four investment-grade shadow-rated loans, the deal exhibits a favorable DBRS Term DSCR of 1.62x. The pool is highly concentrated by property type, as office concentration is 38.7%. While the transaction is concentrated by property type, 13.6% of the office concentration is shadow-rated investment grade by DBRS. Additionally, the weighted average (WA) DBRS Term DSCR of the office properties is high at 1.76x. The pool is assessed with a concentration penalty, which is partly a result of property-type concentration that increases the pool-wide probability of default (POD). The DBRS Term DSCR is calculated using the amortizing debt service obligation and the DBRS Refi DSCR is calculated considering the balloon balance and lack of amortization when determining to refinancing risk. DBRS determines POD based on the lower of the term or refinances DSCRs; therefore, loans that lack amortization are treated more punitively. Additionally, two of the full interest-only (IO) loans (Christiana Mall and Moffett Towers – Buildings E, F, and G), representing 9.0% of the full IO concentration, are shadow-rated investment grade by DBRS. Five loans, representing 16.4% of the transaction balance, are secured by properties that are either fully or primarily leased to a single tenant. This includes two of the largest 15 loans. Loans secured by properties occupied by single tenants have been found to suffer higher loss severities in an event of default. DBRS applied a penalty for single-tenant properties that resulted in higher loan-level credit enhancement. Amazon.com, Inc. has fully executed leases for six office towers in the larger Moffett Place office campus, including the subject buildings (Moffett Towers – Buildings E, F and G, and Moffett Towers II – Building 1) and views the entire campus as mission critical. GNL Portfolio was excluded from the single-tenant penalty, given the tenant diversification across different portfolio properties. The transaction's WA DBRS Refi DSCR is 1.00x, indicating higher refinance risk on an overall pool level. In addition, 25 loans, representing 59.4% of the pool, have DBRS Refi DSCRs below 1.00x, including eight of the top 15 loans. Eleven of these loans, comprising 26.3% of the pool, have DBRS Refi DSCRs below 0.90x, including four of the top 15 loans. These credit metrics are based on whole-loan balances. One of the pool's loans with a DBRS Refi DSCR below 0.90x, Christiana Mall, which represents 6.2% of the transaction balance, is shadow-rated investment grade by DBRS and has a large piece of subordinate mortgage debt outside the trust. Based on A-note balances only, the deal's WA DBRS Refi DSCR improves to 1.03x and the concentration of loans with DBRS Refi DSCRs below 1.00x and 0.90x reduces to 53.3% and 20.1%, respectively. The pool's DBRS Refi DSCRs for these loans are based on a WA stressed refinance constant of 9.92%, which implies an interest rate of 9.30% amortizing on a 30-year schedule. This represents significant stress of 4.309% over the WA contractual interest rate of the loans in the pool. Classes X-A, X-B, X-D, X-F, X-G are 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. BBCMS MORTGAGE 2018-C2: Fitch Gives BB-sf Rating on Class F Certs ----------------------------------------------------------------- Fitch Ratings has assigned the following ratings and Ratings Outlooks on BBCMS Mortgage Trust 2018-C2 Commercial Mortgage Pass-Through Certificates, Series 2018-C2: -- $12,775,374 class A-1 'AAAsf'; Outlook Stable; -- $10,398,254 class A-2 'AAAsf'; Outlook Stable; -- $30,154,934 class A-3 'AAAsf'; Outlook Stable; -- $160,133,098 class A-4 'AAAsf'; Outlook Stable; -- $376,521,028 class A-5 'AAAsf'; Outlook Stable; -- $34,314,800 class A-SB 'AAAsf'; Outlook Stable; -- $624,297,488a class X-A 'AAAsf'; Outlook Stable; -- $163,878,090a class X-B 'AA-sf'; Outlook Stable; -- $84,726,087 class A-S 'AAAsf'; Outlook Stable; -- $40,133,410 class B 'AA-sf'; Outlook Stable; -- $39,018,593 class C 'A-sf'; Outlook Stable; -- $43,477,861ab class X-D 'BBB-sf'; Outlook Stable; -- $20,066,705ab class X-F 'BB-sf'; Outlook Stable; -- $8,918,535ab class X-G 'B-sf'; Outlook Stable; -- $24,525,973b class D 'BBBsf'; Outlook Stable; -- $18,951,888b class E 'BBB-sf'; Outlook Stable; -- $20,066,705b class F 'BB-sf'; Outlook Stable; -- $8,918,535b class G 'B-sf'; Outlook Stable. The following classes are not rated by Fitch: -- $7,803,719bc class H-RR; -- $23,411,156bc class J-RR; (a) Notional amount and interest only. (b) Privately placed and pursuant to Rule 144A. (c) Horizontal credit-risk retention interest. Starwood Mortgage Capital LLC or its majority-owned affiliates, as a third-party purchaser, will purchase and retain on an ongoing basis an eligible L-shaped residual interest. The aggregate amount of both eligible vertical and horizontal residual interests must be in an amount equal to not less than 5% of the aggregate fair value of the certificates as of the closing date. The eligible horizontal risk retention interest, or HRR certificates, will consist of the class H-RR and J-RR certificates, collectively. The eligible vertical risk retention (VRR) interest will consist of approximately 3.83% of the certificate balance, notional amount, or percentage interest of each class of certificates. Starwood Conduit CMBS Horizontal BBCMS 2018-C2 LLC, a "majority-owned affiliate," will purchase the HRR interest, and Starwood Conduit CMBS Vertical Retention I LLC, a "majority-owned affiliate," will purchase the VRR interest. Since Fitch issued its expected ratings on Nov. 26, 2018, the balances for class A-4 and A-5 were finalized. At the time that the expected ratings were assigned, the exact initial certificate balances of class A-4 and class A-5 were unknown and expected to be within the range of $100,000,000 and $240,000,000 for class A-4 and $276,100,000 and $416,100,000 for class A-5. The final class balances for class A-4 and class A-5 are $154,000,000 and $362,100,000, respectively. Additionally, the final rating on class X-B has been updated to 'AA-sf' from 'A-sf' to reflect the rating of the lowest referenced tranche whose payable interest has an impact on the IO payments, consistent with Fitch's Global Structured Finance Rating Criteria dated May 15, 2018. The classes reflect the final ratings and deal structure. The certificates represent the beneficial ownership interest in the trust, primary assets of which are 44 loans secured by 87 commercial properties having an aggregate principal balance of $891,853,554 as of the cut-off date. The loans were contributed to the trust by Starwood Mortgage Capital LLC, Barclays Bank PLC, Cantor Commercial Real Estate Lending, L.P. and KeyBank National Association. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 73.1% of the properties by balance, cash flow analysis of 85.9%, and asset summary reviews on 100% of the pool. KEY RATING DRIVERS Average Fitch Leverage Relative to Recent Transactions: The pool's Fitch DSCR of 1.19x is slightly lower than the YTD 2018 and 2017 averages of 1.23x and 1.26x, respectively. However, the pool's Fitch LTV of 101.4% is better than the YTD 2018 LTV of 101.9% and in line with the 2017 average of 101.6%. Excluding investment-grade credit opinion loans, the pool has a Fitch DSCR and LTV of 1.16x and 107.0%, respectively. Investment-Grade Credit Opinion Loans: Four loans, representing 12.6% of the pool, have an investment-grade credit opinion. This is below the YTD 2018 average of 14.0%, but above the 2017 average of 11.7%. Christiana Mall (6.1% of the pool) received a credit opinion of 'AA-sf'* on a stand-alone basis. Moffett Towers - Building E, F, G (2.8%), Moffett Towers II - Building I (2.5%) and Fair Oaks Mall (1.2%) each received stand-alone credit opinions of 'BBB-sf'*. Weak Pool Amortization: There are 19 loans (36.2% of the pool) that are partial interest-only, 17 loans are full interest-only (50.9%), and eight loans (12.9%) are amortizing balloon loans. Based on the scheduled balance at maturity, the pool will pay down by 5.8%, which is below the YTD 2018 and 2017 averages of 7.3% and 7.9%, respectively. RATING SENSITIVITIES For this transaction, Fitch's net cash flow (NCF) was 13.0% below the most recent year's net operating income (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 BBCMS 2018-C2 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. BEAR STEARNS 2004-PWR4: Moody's Hikes Cl. L Certs Rating to Ba1 --------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on seven classes and upgraded the ratings on two classes in Bear Stearns Commercial Mortgage Securities Trust, Commercial Mortgage Pass-Through Certificates, Series 2004-PWR4, as follows: Cl. E, Affirmed Aaa (sf); previously on Oct 27, 2017 Affirmed Aaa (sf) Cl. F, Affirmed Aaa (sf); previously on Oct 27, 2017 Affirmed Aaa (sf) Cl. G, Affirmed Aaa (sf); previously on Oct 27, 2017 Affirmed Aaa (sf) Cl. H, Affirmed Aaa (sf); previously on Oct 27, 2017 Affirmed Aaa (sf) Cl. J, Affirmed Aaa (sf); previously on Oct 27, 2017 Affirmed Aaa (sf) Cl. K, Upgraded to Aaa (sf); previously on Oct 27, 2017 Upgraded to Aa3 (sf) Cl. L, Upgraded to Ba1 (sf); previously on Oct 27, 2017 Upgraded to Ba3 (sf) Cl. M, Affirmed C (sf); previously on Oct 27, 2017 Affirmed C (sf) Cl. X*, Affirmed Caa2 (sf); previously on Oct 27, 2017 Affirmed Caa2 (sf) * Reflects Interest Only Classes RATINGS RATIONALE The ratings of five P&I classes were affirmed because these classes are fully-covered by defeasance. The ratings of two P&I classes were upgraded based on paydowns and amortization. Cl. K is fully covered by defeasance. The rating of the Cl. M was affirmed because the rating is consistent with Moody's expected loss plus realized losses. Cl. M has already experienced a 32% realized loss as a result of previously liquidated loans. The rating of the IO class was affirmed because of the credit quality of the referenced classes. Moody's rating action reflects a base expected loss of 0.0% of the current pooled balance, the same as Moody's last review. Moody's base expected loss plus realized losses is now 1.7% of the original pooled balance, the same as Mood'ys 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 RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. The methodologies used in rating interest-only classes 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. The Credit Ratings for Bear Stearns Commercial Mortgage Securities Trust 2004-PWR4, Cl. X was assigned in accordance with Moody's existing Methodology entitled "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" dated June 2017. Please note that on November 14, 2018, Moody's released a Request for Comment, in which it has requested market feedback on potential revisions to its Methodology for rating structured finance interest-only (IO) securities. If the revised Methodology is implemented as proposed, the Credit Ratings on for Bear Stearns Commercial Mortgage Securities Trust 2004-PWR4, Cl. X may be positively affected. Please refer to Moody's Request for Comment, titled "Proposed Update to Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" for further details regarding the implications of the proposed Methodology revisions on certain Credit Ratings. DEAL PERFORMANCE As of the 13 November, 2018 distribution date, the transaction's aggregate certificate balance has decreased by 95.1% to $47.0 million from $954.9 million at securitization. The certificates are collateralized by three mortgage loans ranging in size from less than 1% to 95.2% of the pool. One loan, constituting 95.2% 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 one, the same as at Moody's last review. Two loans, constituting 4.8% 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. Seven loans have been liquidated from the pool at a loss, contributing to an aggregate realized loss of $16.3 million (for an average loss severity of 47%). There are currently no loans in special servicing. The larger of the two performing loans is the Baring Village Loan ($2.2 million -- 4.7% of the pool), which is secured by 92,100 SF retail center located in Sparks, Nevada approximately 8 miles from the Reno CBD. The collateral consists of the retail center's inline component and is shadow anchored by a Smiths Food & Drug Store and Ace Hardware. The property was 90% leased as of June 2018, compared to 91% in June 2017. Occupancy is anticipated to fall to 87% in January 2019 following a tenant departure. The loan benefits from amortization and has paid down 65% since securitization. Moody's LTV and stressed DSCR are 60% and 1.73X, respectively, compared to 72% and 1.42X at the last review. The second loan is the Don Wilson Office Building Loan ($0.1 million -- 0.1% of the pool), which is secured by 25,600 SF office building located in Torrance, California approximately 22 miles south of the Los Angeles CBD. The loan is fully amortizing and has paid down 97% since securitization The property was 100% leased as of June 2018, unchanged from Moody's prior review. Moody's LTV and stressed DSCR are 2% and >4.00X, respectively, compared to 7% and >4.00X at the last review. BEAR STEARNS 2005-PWR9: Moody's Affirms Ca Rating on Class G Certs ------------------------------------------------------------------ Moody's Investors Service has affirmed the ratings on four classes and upgraded the ratings on two classes Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9, Commercial Mortgage Pass-Through Certificates, Series 2005-PWR9, as follows: Cl. C, Affirmed Aaa (sf); previously on Apr 12, 2018 Affirmed Aaa (sf) Cl. D, Upgraded to Aaa (sf); previously on Apr 12, 2018 Upgraded to A1 (sf) Cl. E, Upgraded to Baa1 (sf); previously on Apr 12, 2018 Upgraded to Ba1 (sf) Cl. F, Affirmed Caa1 (sf); previously on Apr 12, 2018 Affirmed Caa1 (sf) Cl. G, Affirmed Ca (sf); previously on Apr 12, 2018 Affirmed Ca (sf) Cl. X-1*, Affirmed C (sf); previously on Apr 12, 2018 Affirmed C (sf) * Reflects interest-only classes RATINGS RATIONALE The ratings on Cl. D and Cl. E were upgraded primarily due to an increase in credit support since Moody's last review, resulting from paydowns and amortization, as well as an increase in defeasance. The pool has paid down by 19.4% since Moody's last review and loans constituting 39.6% of the pool have defeased. The rating on Cl. C 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 Cl. F and Cl. G were affirmed because the ratings are consistent with Moody's expected loss plus realized losses. Cl. G has already experienced a 12% realized loss as result of previously liquidated loans. The rating on the IO class, Cl. X-1, was affirmed based on the credit quality of the referenced classes. Moody's rating action reflects a base expected loss of 11.6% of the current pooled balance, compared to 18.0% at Moody's last review. Moody's base expected loss plus realized losses is now 6.0% 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 methodologies used in rating all classes except interest-only classes were "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in July 2017 and "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. The methodologies used in rating interest-only class were "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in July 2017, "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. The Credit Rating for Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9, Cl. X-1, was assigned in accordance with Moody's existing Methodology entitled "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" dated June 2017. Please note that on November 14, 2018, Moody's released a Request for Comment, in which it has requested market feedback on potential revisions to its Methodology for rating structured finance interest-only (IO) securities. If the revised Methodology is implemented as proposed, the Credit Rating on Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9, Cl. X-1, may be positively affected. DEAL PERFORMANCE As of the December 11, 2018 distribution date, the transaction's aggregate certificate balance has decreased by 95% to $111.1 million from $2.2 billion at securitization. The certificates are collateralized by 18 mortgage loans ranging in size from less than 1% to 12.5% of the pool, with the top ten loans (excluding defeasance) constituting 58.4% of the pool. Six loans, constituting 39.6% of the pool, have defeased and are secured by US government securities. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 8, compared to 9 at Moody's last review. Two loans, constituting 11.4% 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. Thirty-one loans have been liquidated from the pool, resulting in an aggregate realized loss of $116.2 million (for an average loss severity of 38%). Four loans, constituting 16.3% of the pool, are currently in special servicing. The largest specially serviced loan is the Jackson Retail Portfolio Loan ($6.7 million -- 6% of the pool), which was originally secured by three cross-collateralized retail properties located in Ridgeland and Jackson, Mississippi. The portfolio transferred to special servicing in May 2015 due to imminent maturity default and became REO in May 2016. North Regency Square and Centre Park were previously sold and the proceeds have been applied to the loan balance. The remaining property is the Purple Creek Plaza property, which is an 81,600 square foot (SF) retail plaza located in Jackson, MS. The property's largest tenant, Academy Ltd (76.9% of NRA; lease expiration May 2020) has vacated before their lease expiration but continues to pay rent. As of September 2018 the property was 95% leased, with physical occupancy of only 18%. The second largest specially serviced loan is the Wright Executive Center Loan ($5.9 million -- 5.3% of the pool), which was originally secured by two Class B office buildings, located within a 30 acre office park in Fairborn, Ohio approximately 12 miles east of Dayton. The loan transferred to special servicing in August 2015 due to maturity default and became REO in July 2017. One property, 2875 Presidential Drive, was sold in May 2018 and the proceeds have been applied to the loan balance. The remaining property, 2940 Presidential Drive, is currently only 37% leased as of October 2018, compared to 65% leased as of December 2017. The third largest specially serviced loan is the Millennium Commercial Center Loan ($3.1 million -- 2.8% of the pool), which is secured by a formerly two tenant retail center located in Peoria, Illinois. The loan transferred to special servicing in May 2015 due to maturity default following the departure of the property's largest tenant (70% of NRA). The loan became REO in July 2016. As of October 2018 the property was only 29% leased by David's Bridal through September 2021. David's Bridal filed for Chapter 11 Bankruptcy protection in November 2018. The servicer is continuing its leasing efforts on the remainder of the property. The remaining specially serviced loans are secured by a suburban office property. Moody's estimates an aggregate $12.7 million loss for the specially serviced loans (70% expected loss on average). As of the December 11, 2018 remittance statement cumulative interest shortfalls were $116.2 million. Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced loans and/or modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. Moody's received full year 2017 operating results for 88% of the pool, and full or partial year 2018 operating results for 100% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 75%, compared to 74% at Moody's last review. Moody's conduit component includes eight loans and excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 18% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.0%. Moody's actual and stressed conduit DSCRs are 1.24X and 1.35X, respectively, compared to 1.31X and 1.38X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The top three conduit loans represent 32.3% of the pool balance. The largest loan is the Village at Newtown Loan ($13.9 million -- 12.5% of the pool), which is secured by a 92,065 SF retail center located thirty miles northeast of Philadelphia, PA. As of June 2018 the property was 94% leased, compared to 90% leased as of September 2017. The loan benefits from amortization and has amortized 25% since securitization. The loan has a maturity date of September 2020. Moody's LTV and stressed DSCR are 76% and 1.31X, respectively, compared to 78% and 1.28X at the last review. The second largest loan is the Roosevelt Plaza Loan ($12.3 million -- 11.1% of the pool), which is secured by a 125,000 SF shopping center located in the Northern Philadelphia submarket. The property consists of three single story buildings and a parking lot. The property was 84% leased as of September 2018, compared to 81% leased as of September 2017. The loan benefits from amortization and has amortized 24% since securitization. Moody's LTV and stressed DSCR are 83% and 1.11X, respectively, compared to 85% and 1.08X at the last review. The third largest loan is the 200 Glen Cove Road Loan ($9.6 million -- 8.6% of the pool), which is secured by a community shopping center located in Carle Place, Long Island, New York. The property is comprised of two separate buildings totaling 151,450 SF and is well located in close proximity to the Roosevelt Field Mall, directly off of the Meadowbrook State Parkway. The major tenant at the property is Planet Fitness (10.6% of NRA, lease expiration February 2022). The property had sustained 100% occupancy prior to Eastern Mountain Sports bankruptcy filing and store closure at this location. As of June 2018 the property was 91% leased. The loan benefits from amortization and has amortized 26% since securitization. Moody's LTV and stressed DSCR are 77% and 1.27X, respectively, compared to 70% and 1.40X at the last review. CALIFORNIA STREET XII: Moody's Affirms Ba3 Rating on Class E Notes ------------------------------------------------------------------ Moody's Investors Service has upgraded the ratings on the following notes issued by California Street CLO XII, Ltd.: US$61,000,000 Class B-1-R Senior Floating Rate Notes Due October 2025, Upgraded to Aaa (sf); previously on April 17, 2017 Assigned Aa1 (sf) US$45,000,000 Class B-2-R Senior Fixed Rate Notes Due October 2025, Upgraded to Aaa (sf); previously on April 17, 2017 Assigned Aa1 (sf) US$47,000,000 Class C-R Deferrable Mezzanine Floating Rate Notes Due October 2025, Upgraded to Aa3 (sf); previously on April 17, 2017 Assigned A2 (sf) US$51,000,000 Class D-R Deferrable Mezzanine Floating Rate Notes Due October 2025, Upgraded to Baa2 (sf); previously on April 17, 2017 Assigned Baa3 (sf) Moody's also downgraded the rating on the following notes: US$21,000,000 Class F Deferrable Mezzanine Floating Rate Notes Due October 2025, Downgraded to B3 (sf); previously on October 24, 2013 Definitive Rating Assigned B2 (sf) In addition, Moody's affirmed the ratings on the following notes: US$500,000,000 Class A-R Senior Floating Rate Notes Due October 2025 (current outstanding balance of $466,140,145), Affirmed Aaa (sf); previously on April 17, 2017 Assigned Aaa (sf) US$34,000,000 Class E Deferrable Mezzanine Floating Rate Notes Due October 2025, Affirmed Ba3 (sf); previously on October 24, 2013 Definitive Rating Assigned Ba3 (sf) California Street CLO XII, Ltd., issued in October 2013, is a collateralized loan obligation (CLO) backed primarily by a portfolio of senior secured loans. The transaction's reinvestment period ended in October 2017. RATINGS RATIONALE The upgrade actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since December 2017. The Class A-R notes have been paid down by approximately 6.8% or $33.9 million since that time. Based on the trustee's December 2018 report, the OC ratios for the Class A/B, Class C and Class D notes are reported at 132.57%, 122.51% and 133.18%, respectively, versus December 2017 levels of 131.93%, 122.44% and 113.57%, respectively. The downgrade rating action on the Class F notes reflects the specific risks to the junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on the trustee's December 2018 report, the OC ratio for the Class F notes is reported at 104.60% versus December 2017 level of 105.34%. Furthermore, the trustee-reported weighted average spread (WAS) has been decreasing and the current level is 2.83% based on the trustee's December 2018 report, compared to 3.30% in December 2017. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. In its base case, Moody's analyzed the collateral pool as having a performing par and principal proceeds balance of $751.4 million, defaulted par of $16.8 million, a weighted average default probability of 18.50% (implying a WARF of 2656), a weighted average recovery rate upon default of 48.81%, a diversity score of 60 and a weighted average spread of 2.84% (before accounting for LIBOR floors). 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. The Credit Ratings on the notes issued by California Street CLO XII, Ltd. were assigned in accordance with Moody's existing Methodology entitled "Moody's Global Approach to Rating Collateralized Loan Obligations," dated August 31, 2017. Please note that on November 14, 2018, Moody's released a Request for Comment, in which it has requested market feedback on potential revisions to its Methodology for Collateralized Loan Obligations. If the revised Methodology is implemented as proposed, Moody's does not expect the changes to affect the Credit Ratings on notes issued by California Street CLO XII, Ltd. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: This transaction is subject to a number of factors and circumstances that could lead to either an upgrade or downgrade of the ratings: 1) Macroeconomic uncertainty: CLO performance is subject to uncertainty about credit conditions in the general economy. 2) Collateral manager: Performance can also be affected positively or negatively by a) the manager's investment strategy and behavior and b) differences in the legal interpretation of CLO documentation by different transactional parties owing to embedded ambiguities. 3) Collateral credit risk: A shift towards collateral of better credit quality, or better credit performance of assets collateralizing the transaction than Moody's current expectations, can lead to positive CLO performance. Conversely, a negative shift in credit quality or performance of the collateral can have adverse consequences for CLO performance. 4) Deleveraging: An important source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will continue and at what pace. Deleveraging of the CLO could accelerate owing to high prepayment levels in the loan market and/or collateral sales by the manager, which could have a significant impact on the notes' ratings. Note repayments that are faster than Moody's current expectations will usually have a positive impact on CLO notes, beginning with those with the highest payment priority. 5) Recovery of defaulted assets: Fluctuations in the market value of defaulted assets could result in volatility in the deal's overcollateralization levels. Further, the timing of recovery realization and whether the manager decides to work out or sell defaulted assets create additional uncertainty. Realization of recoveries that are either materially higher or lower than assumed in Moody's analysis would impact the CLO positively or negatively, respectively. 6) Post-Reinvestment Period Trading: Subject to certain requirements, the deal can reinvest certain proceeds after the end of the reinvestment period, and as such the manager has the ability to erode some of the collateral quality metrics to the covenant levels. Such reinvestment could affect the transaction either positively or negatively. 7) Weighted Average Spread (WAS): CLO performance can be sensitive to WAS, which is a key factor driving the amount of excess spread available as credit enhancement when a deal fails its over-collateralization or interest coverage tests. A decrease in excess spread, including as a result of losing the net interest benefit of LIBOR floors, or because market conditions make it difficult for the deal to source assets of appropriate credit quality in order to maintain its WAS target, would reduce the effective credit enhancement available for the notes. 8) Exposure to assets with low credit quality and weak liquidity: The historical default rate of assets rated Caa3 with a negative outlook, Caa2 or Caa3 on review for downgrade or the worst Moody's speculative grade liquidity (SGL) rating, SGL-4, is higher than the average. Exposure to such assets subject the notes to additional risks if these assets default. CARLYLE US 2018-4: Moody's Rates $27.5MM Class D Notes 'Ba3' ------------------------------------------------------------ Moody's Investors Service has assigned ratings to six classes of notes issued by Carlyle US CLO 2018-4, Ltd.. Moody's rating action is as follows: US$372,000,000 Class A-1a Senior Secured Floating Rate Notes due 2031 (the "Class A-1a Notes"), Definitive Rating Assigned Aaa (sf) US$18,000,000 Class A-1b Senior Secured Floating Rate Notes due 2031 (the "Class A-1b Notes"), Definitive Rating Assigned Aaa (sf) US$66,000,000 Class A-2 Senior Secured Floating Rate Notes due 2031 (the "Class A-2 Notes"), Definitive Rating Assigned Aa2 (sf) US$31,000,000 Class B Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class B Notes"), Definitive Rating Assigned A2 (sf) US$37,500,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class C Notes"), Definitive Rating Assigned Baa3 (sf) US$27,500,000 Class D Junior Secured Deferrable Floating Rate Notes due 2031 (the "Class D Notes"), Definitive Rating Assigned 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." RATINGS RATIONALE 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. Carlyle 2018-4 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. The portfolio is approximately 85% 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 issued subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2017. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $600,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2775 Weighted Average Spread (WAS): 3.25% Weighted Average Coupon (WAC): 6.50% Weighted Average Recovery Rate (WARR): 47.00% 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. The Credit Rating for Carlyle US CLO 2018-4, Ltd. was assigned in accordance with Moody's existing Methodology entitled "Moody's Global Approach to Rating Collateralized Loan Obligations," dated August 31, 2017. Please note that on November 14, 2018, Moody's released a Request for Comment, in which it has requested market feedback on potential revisions to its Methodology for Collateralized Loan Obligations. If the revised Methodology is implemented as proposed, Moody's does not expect the changes to affect the Credit Rating on Carlyle US CLO 2018-4, Ltd. Please refer to Moody's Request for Comment, titled "Proposed Update to Moody's Global Approach to Rating Collateralized Loan Obligations," for further details regarding the implications of the proposed Methodology revisions on certain Credit Ratings. 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. CBA COMMERCIAL 2004-1: Fitch Hikes Class M-1 Debt Rating at CCCsf ----------------------------------------------------------------- Fitch Ratings has upgraded one distressed class and affirmed the remaining classes of CBA Commercial Assets, LLC series 2004-1. KEY RATING DRIVERS High Expected Losses: Fitch's ratings are based on a liquidation scenario, which assumes losses on the remaining pool in line with the historical performance of small balance loans and historical performance of the transaction's loans. Limited financial information is reported. The upgrade to 'CCCsf' from 'Csf' reflects that losses are less imminent as class M-1 is now receiving principal payments as the most senior class in the transaction. Per the Nov. 26, 2018 trustee report, the pool has experienced 10.1% in realized losses to date. Due to the lack of financial information reported on the remaining loans, ratings were capped at 'CCCsf'. Fitch' analysis is based on historical performance statistics from a representative sample of similar small balance transactions. Fitch assumed a 30% default probability for the remaining performing loans, and a loss severity of 80% for all loans. As a result, Fitch modeled losses of 33.1% on the remaining pool. Small Balance Pool: The loans are smaller than typical CMBS loans with an average loan size of $253,232 and historically have had higher loss severities than CMBS conduit loans. Fitch does not receive operating performance on the loans, as the loans were not subject to typical CMBS reporting requirements. Concentration: The transaction's balance has been reduced by 93.3% to $6.8 million from $102 million at issuance and $1.6 million since Fitch's last rating action. The transaction is collateralized by 27 small balance commercial loans secured by multifamily, retail, office, industrial, and mixed use properties. Of the remaining loans, 76.9% are collateralized by multifamily properties and 26.1% are collateralized by properties located in California. Lack of Detailed Reporting: The borrowers do not provide detailed financial reporting in the typical CMBS CREFC format. Fitch makes conservative assumptions on the loans' performance. RATING SENSITIVITIES The rating of class M-1 is capped based on the poor historical performance of small balance loans, the lack of financial information reported on the loans, as well as the small class sizes, which provides limited loss protection to the rated classes. Should delinquencies and/or losses increase, downgrades may be warranted in the future. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third-party due diligence was provided or reviewed in relation to this rating action. Fitch has upgraded the following rating: -- $1.7 million class M-1 to 'CCCsf' from 'Csf'; RE 100%. Fitch has affirmed the following ratings: -- $3.6 million class M-2 at 'Csf'; RE 80%; -- $1.6 million class M-3 at 'Dsf'; RE 0%. -- $0 class M-5 at 'Dsf'; RE 0%. Classes A-1, A-2 and A-3 have been repaid in full. Classes M-4, M-6, M-7, and M-8 are not rated by Fitch. Fitch had previously withdrawn the rating of the interest-only class I/O. CFCRE COMMERCIAL 2011-C1: Fitch Corrects Dec. 19 Press Release -------------------------------------------------------------- Fitch Ratings replaced a ratings release on CFCRE Commercial Mortgage Trust 2011-C1 published on December 19, 2018 to correct the name of the obligor for the bonds. The amended press release is as follows: Fitch Ratings has affirmed eight classes of CFCRE Commercial Mortgage Trust 2011-C1 commercial mortgage pass-through certificates. KEY RATING DRIVERS Defeasance/Improved Credit Enhancement: The pool has benefited from increased credit enhancement due to scheduled amortization and defeased collateral. Of the original 38 loans, 16 remain. Five loans (38.7% of the pool) are defeased, including the largest loan, which defeased in October 2018. As of the November 2018 remittance date, the pool has been reduced by 70.6% to $186.4 million from $634.5 million at issuance. Realized losses to date are $40.7 million (6.4% of the original pool balance), primarily driven by the liquidation of the Hudson Valley Mall in January 2017, which experienced an 80.4% loss severity. The remaining loans are amortizing through their anticipated maturity dates in 2021. There are no specially serviced or delinquent loans. Overall Stable Performance/Marginal Increase in Expected Losses: The pool has exhibited relatively stable performance following the liquidation of the Hudson Valley Mall. Since the last rating action, increased losses were driven by the increased number of Fitch Loans of Concern (FLOCs; 16.6% of the pool). Fitch Loans of Concern: The largest FLOC and third largest loan in the pool, Heights at MacArthur Park (8.4% of the pool), is also listed on the servicer watchlist due to previously low reported occupancy rates and net operating income (NOI) debt service coverage ratio (DSCR) below 1.10x. The loan is secured by a 216-unit multifamily property located in Fayetteville, NC near Fort Bragg. While the property had increased its occupancy to 98% as of August 2018 from 90% in 2017 and 79.6% in 2015, the servicer-reported NOI DSCR has been below 1.10x due to increased operating expenses. While not on the servicer's watchlist, Fitch also flagged two loans in the top 15 as FLOCs due to the upcoming tenant rollover risk and declining performance. Towne North Shopping Center (5.4%), the ninth largest loan, is secured by a 124,173-sf retail center located in Irving, TX. The property's largest tenant, Tom Thumb (44.5% of NRA), announced that it intends to close this location. Lastly, Venture Tech Office (2.7% of the pool), the 15th largest loan, is a 70,212-sf office center located in Woodlands, TX. The property's largest tenant, Smith Productions, Inc. (40.8% of NRA), has a lease expiry of August 2019. Additional Loss Considerations: In addition to modeling a base case loss, Fitch applied an additional 20%, 25% and 50% stress on the Heights at MacArthur Park, Venture Tech Office and Towne North Shopping Center, respectively, to address potential outsized losses given the upcoming rollover or continued concerns regarding future performance. RATING SENSITIVITIES The revision of the Outlook on class D to Stable from Positive reflects the increasing concentration of FLOCs (16.6%) since Fitch's last rating action. Fitch's analysis included a sensitivity test on three FLOCs, which assumed outsize losses on each. As a result of the sensitivity test and increasing concentrations, future upgrades were considered unlikely. Upgrades are possible with significant increased credit enhancement and improved performance of the FLOCs. The Stable Outlooks on classes A-4 through C reflect increasing credit enhancement through paydown and defeasance, and expected continued amortization. Future rating upgrades to these classes may occur with improved pool performance and additional defeasance or paydown. Rating downgrades to the classes are possible should overall pool performance decline. Classes E, F and G are rated 'Dsf' due to realized losses. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third party due diligence was provided or reviewed by Fitch in relation to this rating. Fitch has affirmed the following ratings: -- $115.3 million class A-4 at 'AAAsf'; Outlook Stable; -- $115.3 million class X-A* at 'AAAsf'; Outlook Stable; -- $16.7 million class B at 'AAAsf'; Outlook Stable; -- $19.0 million class C at 'AAsf'; Outlook Stable; -- $14.3 million class D at 'BBBsf'; Outlook to Stable from Positive; -- $21.1 million class E at 'Dsf'; RE: 80%; -- $0 million class F at 'Dsf'; RE: 0%; -- $0 million class G at 'Dsf'; RE: 0%. Classes A-1, A-2, and A-3 have paid in full. Fitch does not rate the class NR or interest-only class X-B certificates. * Notional amount and interest-only. CGMS COMMERCIAL 2017-MDDR: S&P Affirms BB Rating on E-FX Certs -------------------------------------------------------------- S&P Global Ratings raised its ratings on seven classes of commercial mortgage pass-through certificates from CGMS Commercial Mortgage Trust 2017-MDDR, a U.S. commercial mortgage-backed securities (CMBS) transaction. In addition, S&P affirmed its ratings on 10 other classes from the same transaction. For the upgrades and affirmations on the principal- and interest-paying certificates, our expectation of credit enhancement was in line with the raised or affirmed rating levels. The upgrades also reflect the significantly reduced pool B and pool C loan balances. S&P raised its ratings on the class X-FL-PC-CP and X-FL-PC-NCP interest-only (IO) certificates and affirmed its rating on the class X-FX IO certificates, based on our criteria for rating IO securities, in which the ratings on the IO securities would not be higher than that of the lowest rated reference class. The notional balances of classes X-FL-PC-CP and X-FL-PC-NCP reference the aggregate of the certificate balances of the class B-FL-PC, C-FL-PC, and D-FL-PC certificates. Class X-FX's notional balance references the class A-FX certificates. This is a large loan transaction backed by three uncrossed componentized commercial mortgage loans: the pool A fixed-rate mortgage loan, the pool B floating-rate mortgage loan, and the pool C floating-rate mortgage loan. Each loan is secured predominantly by a portfolio of grocery-anchored retail properties in various U.S. states. The three loans are not cross-collateralized or cross-defaulted with each other. Each of the pool A, B, and C mortgage loans are divided into multiple mortgage loan components that back a separate corresponding series of certificates. The pool A loan solely backs the series of pool A fixed-rate certificates, the pool B loan solely backs the series of pool B floating-rate certificates, and the pool C loan solely backs the series of pool C floating-rate certificates. S&P's property-level analysis included a re-evaluation of the remaining retail properties securing the three loans and considered the relatively stable servicer-reported net operating income and occupancy for the past four and half years (2014 through June 2018). As of the Dec. 12, 2018, trustee remittance report, the pool A loan has a $218.7 million trust balance, the same as at issuance. No losses have been reported to date. The pool A loan is IO, pays a 3.90% weighted average fixed interest rate, and matures in July 2022. The loan is secured by 13 retail properties totaling 2.2 million sq. ft. in six U.S. states. The master servicer, Wells Fargo Bank N.A., reported an overall occupancy and debt service coverage (DSC) for the retail portfolio of 88.5% and 2.56x, respectively, for the six months ended June 30, 2018. S&P said, "We derived our sustainable in-place net cash flow (NCF), which we divided by a 7.31% S&P Global Ratings weighted average capitalization rate to determine our expected-case value. This yielded an overall S&P Global Ratings loan-to-value (LTV) ratio and DSC of 79.6% and 2.32x, respectively, on the trust balance." As of the Dec. 17, 2018, trustee remittance report, the pool B loan had a $198.4 million trust balance, down from $274.8 million at issuance. No realized losses has been reported to date. The pool B loan is IO, pays floating interest rate of LIBOR plus a 2.06% weighted average spread, and matures in July 2019 with three one-year extension options. The loan was originally secured by 21 retail properties totaling 2.8 million sq. ft. in seven U.S. states. Following the release of four properties, the loan is currently secured by 17 retail properties totaling 2.4 million sq. ft. in seven U.S. states. Wells Fargo reported for the six months ended June 30, 2018, a 2.41x weighted average DSC for the 21 retail properties. The overall occupancy for the remaining 17 properties was 91.0% according to the Oct. 19, 2018, rent rolls. According to the rent rolls, 0.4%, 9.5%, and 9.6% of the net rentable area (NRA) have leases that expire in 2018, 2019, and 2020, respectively. S&P's overall expected case value, using a 7.05% S&P Global Ratings weighted average capitalization rate, yielded an in-trust S&P Global Ratings LTV ratio of 75.2% and an S&P Global Ratings DSC of 1.82x (based on a LIBOR cap of 3.00% plus applicable spread). As of the Dec. 17, 2018, trustee remittance report, the pool C loan has a $95.3 million trust balance, down from $213.2 million at issuance. The pool C loan is IO, pays floating interest rate of LIBOR plus a 2.75% weighted average spread, and matures in July 2019 with three one-year extension options. The loan was originally secured by 18 retail properties totaling 1.9 million sq. ft. in Florida and Georgia. Following the release of 11 properties, the loan is currently secured by seven retail properties totaling 1.0 million sq. ft. in two U.S. states. Wells Fargo reported for the six months ended June 30, 2018, a weighted average DSC of 1.48x for the remaining properties and overall occupancy was 88.5% according to the Oct. 19, 2018, rent rolls. According to the rent rolls, 1.4%, 10.2%, and 12.3% of the NRA have leases that expire in 2018, 2019, and 2020, respectively. S&P's overall expected case value, using a 7.17% S&P Global Ratings weighted average capitalization rate, yielded an in-trust S&P Global Ratings LTV ratio of 73.2% and an S&P Global Ratings DSC of 1.68x (based on a LIBOR cap of 3.00% plus applicable spread). RATINGS RAISED CGMS Commercial Mortgage Trust 2017-MDDR Commercial mortgage pass-through certificates Rating Class To From Pool B floating-rate certificates B-FL-PB AA+ (sf) AA-(sf) C-FL-PB A+ (sf) A- (sf) Pool C floating-rate certificates B-FL-PC AAA (sf) AA- (sf) C-FL-PC AA (sf) A- (sf) D-FL-PC A (sf) BBB- (sf) X-FL-PC-CP A (sf) BBB- (sf) X-FL-PC-NCP A (sf) BBB- (sf) RATINGS AFFIRMED CGMS Commercial Mortgage Trust 2017-MDDR Commercial mortgage pass-through certificates Class Rating Pool A fixed-rate certificates A-FX AAA (sf) B-FX AA- (sf) C-FX A- (sf) D-FX BBB- (sf) E-FX BB (sf) X-FX AAA (sf) Pool B floating-rate certificates A-FL-PB AAA (sf) D-FL-PB BBB- (sf) E-FL-PB BB (sf) Pool C floating-rate certificates E-FL-PC BB- (sf) CIFC FUNDING 2018-V: Moody's Rates $29.43MM Class D Notes 'Ba3' --------------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to five classes of notes issued by CIFC Funding 2018-V, Ltd. . Moody's rating action is as follows: US$354,250,000 Class A-1 Senior Secured Floating Rate Notes due 2032 (the "Class A-1 Notes"), Definitive Rating Assigned Aaa (sf) US$55,590,000 Class A-2 Senior Secured Floating Rate Notes due 2032 (the "Class A-2 Notes"), Definitive Rating Assigned Aa2 (sf) US$26,700,000 Class B Mezzanine Secured Deferrable Floating Rate Notes due 2032 (the "Class B Notes"), Definitive Rating Assigned A2 (sf) US$35,430,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2032 (the "Class C Notes"), Definitive Rating Assigned Baa3 (sf) US$29,430,000 Class D Junior Secured Deferrable Floating Rate Notes due 2032 (the "Class D Notes"), Definitive Rating Assigned Ba3 (sf) The Class A-1 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." RATINGS RATIONALE The definitive ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. CIFC Funding 2018-V is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 95% of the portfolio must consist of first lien senior secured loans and eligible investments, and up to 5% of the portfolio may consist of second lien loans and unsecured loans. The portfolio is approximately 80% ramped as of the closing date. CIFC CLO Management II 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 5.1 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: $545,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 2880 Weighted Average Spread (WAS): 3.40% Weighted Average Coupon (WAC): 6.50% Weighted Average Recovery Rate (WARR): 46.50% 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. The Credit Rating for CIFC Funding 2018-V, Ltd. was assigned in accordance with Moody's existing Methodology entitled "Moody's Global Approach to Rating Collateralized Loan Obligations" dated August 31, 2017. Please note that on November 14, 2018, Moody's released a Request for Comment, in which it has requested market feedback on potential revisions to its Methodology for Collateralized Loan Obligations. If the revised Methodology is implemented as proposed, Moody's does not expect the changes to affect the Credit Rating on CIFC Funding 2018-V, Ltd. Please refer to Moody's Request for Comment, titled "Proposed Update to Moody's Global Approach to Rating Collateralized Loan Obligations" for further details regarding the implications of the proposed Methodology revisions on certain Credit Ratings. 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. CITIGROUP 2015-GC27: DBRS Confirms B Rating on 2 Tranches --------------------------------------------------------- DBRS Limited confirmed all classes of Commercial Mortgage Pass-Through Certificates, Series 2015-GC27 issued by Citigroup Commercial Mortgage Trust 2015-GC27 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-AB at AAA (sf) -- Class A-S 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 PEZ at A (low) (sf) -- Class D at BBB (low) (sf) -- Class X-E at BB (sf) -- Class E at BB (low) (sf) -- Class F at B (sf) -- Class X-F at B (sf) -- Class G at B (low) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance for the pool since issuance when the collateral consisted of 100 fixed-rate loans secured by 116 commercial properties. As of the November 2018 remittance, there has been a collateral reduction of 3.2% as a result of scheduled loan amortization and the repayment of one small loan. In addition, three loans, representing 2.6% of the current pool balance, are fully defeased. Loans representing 96.7% of the current pool balance are reporting YE2017 figures with a weighted-average (WA) debt service coverage ratio (DSCR) and WA debt yield of 1.74 times (x) and 9.9%, respectively. The DBRS WA Term DSCR and WA debt yield at issuance for the pool overall were 1.45x and 8.1%, respectively. The largest 15 loans in the pool collectively represent 50.9% of the transaction balance and reported YE2017 financials showing a WA net cash flow (NCF) growth of 20.4% over the DBRS Term NCF figures derived at issuance with a WA in-place DSCR and debt yield of 1.74x and 9.5%, respectively. There are eight loans, representing 8.4% of the pool balance, on the servicer's watch list for performance-related issues. Two of the watch listed loans are in the top 15, including Highland Square (Prospectus ID#5; 3.3% of the pool balance) and Whitman Square (Prospectus ID#6; 2.6% of the pool balance). DBRS is most concerned with the Highland Square loan, which has reported a DSCR hovering near 0.90x since YE2017 and is secured by a multifamily property located in Oxford, Mississippi. The property caters to students at the University of Mississippi (Ole Miss) and has seen significant declines in average rental rates and overall occupancy figures in the last few years. The property is located approximately two miles from the Ole Miss campus, which may have contributed to declines in its competitive stance as newer properties have been delivered closer to campus in recent years. For the purposes of this review, a stressed cash flow scenario was applied to significantly increase the probability of default (POD) and loss given default (LGD) and the loan will be monitored closely for developments. For additional information on this loan, please see the DBRS Viewpoint platform, for which information has been provided below. There is also one loan in special servicing, Zane Plaza Shopping Center (Prospectus ID#45; 0.7% of the current pool balance), which transferred to special servicing for imminent monetary default after the collateral property's largest tenant, the Elder-Beerman Stores Corp. (Elder-Beerman), vacated the property following its parent company's bankruptcy and ultimate liquidation. Elder-Beerman formerly represented 48.1% of the net rentable area (NRA) and remaining tenants include Planet Fitness (PFIP, LLC; 11.5% of the NRA through April 2026) and Jo-Ann Stores, Inc. (6.6% of the NRA through January 2019). Given the property's sharp occupancy decline and its location in rural Chillicothe, Ohio, approximately 100 miles from Cincinnati, DBRS assumed a highly stressed scenario for this loan to increase the POD and LGD in the analysis for this review. 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. COBALT CMBS 2007-C3: Fitch Hikes Rating on $64MM A-J Certs to B --------------------------------------------------------------- Fitch Ratings has upgraded one class, downgraded two classes, and affirmed 11 classes of Cobalt CMBS Commercial Mortgage Trust's (COBALT) commercial mortgage pass-through certificates series 2007-C3. KEY RATING DRIVERS Increased Credit Enhancement/Recent Dispositions: The upgrade to class A-J reflects the increasing credit enhancement (CE) of the class since Fitch's last rating action. The class CE is expected to further improve after accounting for recent dispositions of four specially serviced loans (35% of the pool), which were finalized after the November 2018 remittance. The disposed loans include the $33.3 million Sheraton Suites - Wilmington, DE loan, the $21.8 million Chant Portfolio Pool 2 loan, the $7.8 million Northmark II Office Building loan, and the $2.2 million Maplewood Marketplace loan. Recoveries from the recent liquidations are estimated to repay greater than 50% of the class A-J balance. High Loss Expectations and Concentration of Specially Serviced Loans/Assets: Fitch's overall loss expectations on the specially serviced loans/REO assets remain high. Losses for the recently disposed loans are expected to absorb the remainder of class F and significantly impact class E. The remaining five loans in the pool include three specially serviced loans (62% of the remaining loan balances, after dispositions), all of which are REO and under contract for sale with expected closings by YE 2018. Losses for these loans range from 26% to 70% of their existing balances. The downgrades to class C and class D reflect imminent losses expected from the recent dispositions and the pending REO sales. The largest specially serviced loan is the Zale Corporate Headquarters Building (31% of the remaining pool after dispositions) secured by a 358,884 sf office campus located in Irving, TX. The property, which is currently vacant, was previously occupied by the same single tenant, Zales, which vacated at the end of their lease term in April 2018. The loan transferred to the special servicer in March 2017. The servicer had filed for foreclosure and the property became REO in October 2017. Per servicer updates, the property was included in a September 2018 auction, and is currently under contract to be sold with an anticipated closing by year end 2018. Fitch expects losses to be significant, based on the servicers most recent appraised values. ALTERNATIVE LOSS CONSIDERATIONS Pool Concentrations and Adverse Selection: The pool is highly concentrated with only five of the original 126 loans remaining, after accounting for the four recently disposed specially serviced loans. Due to the concentrated nature of the pool, the ratings reflect a sensitivity analysis which grouped the remaining loans based on performance, expected paydown and losses from liquidations, as well as the perceived likelihood of repayment. Fitch Loans of Concern: All five of the remaining loans are considered Fitch Loans of Concern (FLOCs). This includes two performing loans (38% of the remaining pool) in addition to the three specially serviced loans with pending REO sales (62%). The largest performing loan is the Alameda Corporate Center loan (30% of remaining loan balances), which is secured by a 106,660 sf office building located in Burbank, CA. The property has been identified as a FLOC due to fluctuating performance since 2011. As a result, the loan had previously transferred to special servicing in December 2015 for imminent monetary default. In June 2017 while in special servicing, a new borrower had assumed the subject loan with a loan modification, which included a maturity date extension to June 2020, reduced interest rate, and an extended I/O period. The loan was subsequently returned to master servicer in September 2017 and has remained current under the modified terms. Per servicer updates, the current borrower continues to make major improvements to the property with the expectations of increasing occupancy. As of September 2018, the property is 74% occupied, and debt service coverage ratio (DSCR) is 1.58x. RATING SENSITIVITIES The Stable Outlook on class A-J reflects increasing credit enhancement and expected continued amortization. Further upgrades to the senior class are expected to be limited due to the concentrated nature of the transaction and high percentage of Fitch Loans of Concern. 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 assigned Rating Outlooks as follows: -- $64.1 million class A-J to 'Bsf' from 'CCCsf'; Outlook Stable. Fitch has downgraded the following ratings: -- $20.2 million class C to 'Csf' from 'CCsf'; RE 0%; -- $25.2 million class D to 'Csf' from 'CCsf'; RE 0%. Fitch has affirmed the following ratings: -- $40.3 million class B at 'CCCsf'; RE 85%; -- $20.2 million class E at 'Csf'; RE 0%; -- $15.5 million class F at 'Dsf'; RE 0%; -- $0 million class G at 'Dsf'; RE 0%; -- $0 million class H at 'Dsf'; RE 0%; -- $0 million class J at 'Dsf'; RE 0%; -- $0 million class K at 'Dsf'; RE 0%; -- $0 million class L at 'Dsf'; RE 0%; -- $0 million class M at 'Dsf'; RE 0%; -- $0 million class N at 'Dsf'; RE 0%; -- $0 million class O at 'Dsf'; RE 0%. The class A-1, A-2, A-3, A-PB, A-4, A-1A, and A-M certificates have paid in full. Fitch does not rate the class P certificates. Fitch previously withdrew the rating on the interest-only class IO certificates. COLE PARK CLO: Moody's Rates $23.5MM Class E-R Notes 'Ba3' ---------------------------------------------------------- Moody's Investors Service has assigned ratings to five classes of CLO refinancing notes issued by Cole Park CLO Limited: Moody's rating action is as follows: US$270,000,000 Class A-R Senior Secured Floating Rate Notes due 2028 (the "Class A-R Notes"), Assigned Aaa (sf) US$53,000,000 Class B-R Senior Secured Floating Rate Notes due 2028 (the "Class B-R Notes"), Assigned Aa2 (sf) US$21,500,000 Class C-R Secured Deferrable Floating Rate Notes due 2028 (the "Class C-R Notes"), Assigned A2 (sf) US$25,000,000 Class D-R Secured Deferrable Floating Rate Notes due 2028 (the "Class D-R Notes"), Assigned Baa3 (sf) US$23,500,000 Class E-R Secured Deferrable Floating Rate Notes due 2028 (the "Class E-R Notes"), Assigned Ba3 (sf) The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. GSO / Blackstone Debt Funds Management LLC manages the CLO. It directs the selection, acquisition, and disposition of collateral on behalf of the Issuer. RATINGS RATIONALE 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 December 17, 2018 in connection with the refinancing of all classes of the secured notes previously issued on December 7, 2015. On the Refinancing Date, the Issuer used proceeds from the issuance of the Refinancing Notes to redeem in full the Refinanced Original Notes. In addition to the issuance of the Refinancing Notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the non-call period, changes to a collateral quality test, and changes to the Minimum Diversity Score/Maximum Rating/Minimum Spread 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: $424,900,000 Defaulted Par: $0 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2905 Weighted Average Spread (WAS): 3.15% Weighted Average Recovery Rate (WARR): 47.50% Weighted Average Life (WAL): 7.13 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. The Credit Ratings for Cole Park CLO Limited were assigned in accordance with Moody's existing Methodology titled "Moody's Global Approach to Rating Collateralized Loan Obligations," dated August 31, 2017. Please note that on November 14, 2018, Moody's released a Request for Comment, in which it has requested market feedback on potential revisions to its Methodology for Collateralized Loan Obligations. If the revised Methodology is implemented as proposed, Moody's does not expect the changes to affect the Credit Ratings on Cole Park CLO Limited. Please refer to Moody's Request for Comment, titled "Proposed Update to Moody's Global Approach to Rating Collateralized Loan Obligations," for further details regarding the implications of the proposed Methodology revisions on certain Credit Ratings. 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. COLONNADE GLOBAL 2017-4: DBRS Confirms BB(high) Rating on Tranche K ------------------------------------------------------------------- DBRS Ratings Limited confirmed its provisional ratings of 11 tranches of an unexecuted unfunded financial guarantee (the senior guarantee) regarding a portfolio of corporate loans and credit facilities (the Colonnade Global 2017-4 portfolio) originated or managed by Barclays Bank PLC (Barclays) and its affiliates as follows: -- USD 1,030,375,005 Tranche A rated at AAA (sf) -- USD 18,625,000 Tranche B rated at AA (high) (sf) -- USD 5,875,000 Tranche C rated at AA (sf) -- USD 7,250,000 Tranche D rated at AA (low) (sf) -- USD 21,000,000 Tranche E rated at A (high) (sf) -- USD 3,250,000 Tranche F rated at A (sf) -- USD 11,375,000 Tranche G rated at A (low) (sf) -- USD 19,875,000 Tranche H rated at BBB (high) (sf) -- USD 4,250,000 Tranche I rated at BBB (sf) -- USD 6,500,000 Tranche J rated at BBB (low) (sf) -- USD 21,625,000 Tranche K rated 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 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 within the seven-year credit protection period. The borrower default events are limited to failure to pay, bankruptcy and restructuring. The ratings take into consideration only the creditworthiness of the reference portfolio. The ratings do not address either 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. Under the senior guarantee, Barclays will buy protection against principal losses as well as interest accrued prior to the occurrence of a credit event and unpaid interest on the reference portfolio for a period of seven years. 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 (from 8% to 100%) of the same USD 1,250 million portfolio. The rating actions follow an annual review of the transaction. As of November 2018, there were no cumulative defaults and the credit enhancement levels remain the same as at closing. The transaction has a one-year replenishment period left, during which time Barclays can add new reference obligations or increase the notional amount of existing reference obligations. Barclays has implemented rules-based selection guidelines that are designed to minimize the chances that new reference obligations are adversely selected. In addition, the new reference obligations also need to comply with the eligibility criteria and portfolio profile tests that are established to ensure that the credit quality of new reference obligations proposed are similar or better than that of 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 and therefore movements in the foreign exchange rate should not have a negative impact on the rated tranches. 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 took into account the portfolio profile test that limits to only 2% 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 (such other currency a Minority Currency). DBRS assumed a stressed interest rate index of 8.8% for the obligations denominated in eligible currencies and 44.0% for obligations denominated in minority currencies. The analysis 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 24.0% 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 only reference obligations from obligors that conduct their primary operations in the United States. DBRS applies different recovery rates depending on the recovery tier and seniority. 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 Collateralized Loan Obligation 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 rating mapping to DBRS ratings of Barclays' internal rating 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 (1) subordinated, (2) defined as either project finance, structured finance or (3) currently in credit watch with a value of two or worse. The maximum single borrower group concentration allowed will be 1.25%. Notes: All figures are in U.S. dollars unless otherwise noted. COLONNADE GLOBAL 2018-4: DBRS Gives (P)BB(high) Rating on Tranche K ------------------------------------------------------------------- DBRS Ratings Limited assigned provisional ratings to 11 tranches of an unexecuted, unfunded financial guarantee (the senior guarantee) regarding a portfolio of corporate loans and credit facilities (the Colonnade Programme – Series Global 2018-4 portfolio) originated or managed by Barclays Bank PLC (Barclays; rated "A" with a Stable trend by DBRS) and its affiliates as follows: -- USD1,924,410,000 Tranche A at AAA (sf) -- USD35,110,000 Tranche B at AA (high) (sf) -- USD12,090,000 Tranche C at AA (sf) -- USD13,250,000 Tranche D at AA (low) (sf) -- USD33,250,000 Tranche E at A (high) (sf) -- USD6,510,000 Tranche F at A (sf) -- USD18,370,000 Tranche G at A (low) (sf) -- USD33,480,000 Tranche H at BBB (high) (sf) -- USD7,670,000 Tranche I at BBB (sf) -- USD11,160,000 Tranche J at BBB (low) (sf) -- USD30,281,391 Tranche K at BB (high) (sf) 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. Borrower default events are limited to failure to pay, bankruptcy and restructuring events. The ratings only take the creditworthiness of the reference portfolio into consideration. The ratings do not address counterparty risk nor 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' corporate and investment banking businesses in the Barclays International division over its regular course of business. Barclays bought protection under a credit-linked note (CLN) issued under the Colonnade Programme (the Series Global 2018-4) that will cover the first 8.6% of losses under the reference portfolio. Barclays has not executed the contracts relating to the rated tranches. The CLN is issued directly by Barclays, and the investor is exposed to Barclays' default risk as well as the loss of the reference portfolio. Under the unexecuted guarantee agreement, Barclays will transfer the remaining credit risk (from 8.6% to 100.0%) of the same USD 2,325.6 million portfolio. The ratings assigned by DBRS are expected to remain provisional until the underlying agreements are executed. Barclays 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. Under the senior guarantee, Barclays will buy protection against principal losses as well as interest accrued prior to the occurrence of a credit event and unpaid interest on the reference portfolio for a period of eight years. The transaction has a three-year replenishment period during which time Barclays can add new reference obligations or increase the notional amount of existing reference obligations. Barclays has implemented rules-based selection guidelines that are designed to minimize the chances that new reference obligations are adversely selected. In addition, the new reference obligations need to comply with the eligibility criteria and portfolio profile tests that are established to ensure that the credit quality of the new reference obligations proposed are similar to, or better than, the credit quality of 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. Therefore, movements in the foreign exchange rate should not have a negative impact on the rated tranches. 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 calculated stressed interest rates in accordance with 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 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, Australian dollar, and Swiss franc to only 2%. Other currencies are referred to as minority currencies. DBRS assumed a stressed interest rate index ranging from 8.5% at AAA and 4.4% at BB rating stress for the obligations denominated in eligible currencies. DBRS also assumed a stressed interest rate index ranging from 42.4% at AAA and 21.8% at BB rating stress for obligations denominated in minority currencies. The analysis 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 24.1% 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 operating in 38 countries around the world. DBRS applies different recovery rates depending on the recovery tier and seniority. All eligible borrowers will be based in countries with a DBRS recovery Tier 1 (higher recovery) to recovery Tier 5 (lower recovery). The aggregate balance of the portfolio for borrowers who conduct their primary operations in Tier 1 countries will be at least 84.3% of the total portfolio balance. The aggregate balance of the portfolio for borrowers who conduct their primary operations in Tier 5, Tier 4+5 and Tier 3+4+5 countries is limited to 0.5%, 4.1%, and 6.0%, respectively. 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 rating mapping to DBRS ratings of Barclays' internal rating 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 and portfolio profile test define key obligor eligibility and exclusion criteria as well as portfolio level concentration limits, which DBRS used to determine a worst-case portfolio for the analysis. Relevant portfolio level criteria include the maximum single borrower group concentration of 0.35% and a maximum single DBRS industry concentration of 12.0% for the largest industry and 10.0% thereafter. Notes: All figures are in U.S. dollars unless otherwise noted. COLONNADE GLOBAL 2018-5: DBRS Gives (P)BB(high) Rating on Tranche K ------------------------------------------------------------------- DBRS Ratings Limited assigned provisional ratings to 11 tranches of an unexecuted, unfunded financial guarantee (the senior guarantee) regarding a portfolio of corporate loans and credit facilities (the Colonnade Programme – Series Global 2018-5 portfolio) originated or managed by Barclays Bank PLC (Barclays; rated "A" with a Stable trend by DBRS) and its affiliates as follows: -- USD514,740,000 Tranche A at AAA (sf) -- USD9,240,000 Tranche B at AA (high) (sf) -- USD3,180,000 Tranche C at AA (sf) -- USD3,620,000 Tranche D at AA (low) (sf) -- USD9,120,000 Tranche E at A (high) (sf) -- USD1,810,000 Tranche F at A (sf) -- USD4,990,000 Tranche G at A (low) (sf) -- USD9,310,000 Tranche H at BBB (high) (sf) -- USD2,120,000 Tranche I at BBB (sf) -- USD3,060,000 Tranche J at BBB (low) (sf) -- USD8,809,997 Tranche K at BB (high) (sf) 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. Borrower default events are limited to failure to pay, bankruptcy and restructuring events. The ratings only take the creditworthiness of the reference portfolio into consideration. The ratings do not address counterparty risk nor 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' corporate and investment banking businesses in the Barclays International division over its regular course of business. Barclays bought protection under a credit-linked note (CLN) issued under the Colonnade Programme (the Series Global 2018-5) that will cover the first 8.8% of losses under the reference portfolio. Barclays has not executed the contracts relating to the rated tranches. The CLN is issued directly by Barclays, and the investor is exposed to Barclays' default risk as well as the loss of the reference portfolio. Under the unexecuted guarantee agreement, Barclays will transfer the remaining credit risk (from 8.8% to 100.0%) of the same USD 625 million portfolio. The ratings assigned by DBRS are expected to remain provisional until the underlying agreements are executed. Barclays 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. Under the senior guarantee, Barclays will buy protection against principal losses as well as interest accrued prior to the occurrence of a credit event and unpaid interest on the reference portfolio for a period of eight years. The transaction has a three-year replenishment period during which time Barclays can add new reference obligations or increase the notional amount of existing reference obligations. Barclays has implemented rules-based selection guidelines that are designed to minimize the chances that new reference obligations are adversely selected. In addition, the new reference obligations need to comply with the eligibility criteria and portfolio profile tests that are established to ensure that the credit quality of the new reference obligations proposed are similar to, or better than, the credit quality of 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. Therefore, movements in the foreign exchange rate should not have a negative impact on the rated tranches. 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 calculated stressed interest rates in accordance with 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 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, Australian dollar, and Swiss franc to only 2%. Other currencies are referred to as minority currencies. DBRS assumed a stressed interest rate index ranging from 8.5% at AAA and 4.4% at BB rating stress for the obligations denominated in eligible currencies. DBRS also assumed a stressed interest rate index ranging from 42.4% at AAA and 21.8% at BB rating stress for obligations denominated in minority currencies. The analysis 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 24.1% 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 operating in 36 countries around the world. DBRS applies different recovery rates depending on the recovery tier and seniority. All eligible borrowers will be based in countries with a DBRS recovery Tier 1 (higher recovery) to recovery Tier 5 (lower recovery). The aggregate balance of the portfolio for borrowers who conduct their primary operations in Tier 1 countries will be at least 83% of the total portfolio balance. The aggregate balance of the portfolio for borrowers who conduct their primary operations in Tier 5, Tier 4+5 and Tier 3+4+5 countries is limited to 0.5%, 4.2%, and 6.2%, respectively. 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 rating mapping to DBRS ratings of Barclays' internal rating 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 and portfolio profile test define key obligor eligibility and exclusion criteria as well as portfolio level concentration limits, which DBRS used to determine a worst-case portfolio for the analysis. Relevant portfolio level criteria include the maximum single borrower group concentration of 0.35% and a maximum single DBRS industry concentration of 10.0%. Notes: All figures are in U.S. dollars unless otherwise noted. COMM 2013-CCRE6: DBRS Confirms B Rating on Class F Certs -------------------------------------------------------- DBRS, Inc. confirmed the ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2013-CCRE6 issued by COMM 2013-CCRE6 Mortgage Trust: -- Class A-3FL at AAA (sf) -- Class A-3FX at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-M at AAA (sf) -- Class A-SB at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (high) (sf) -- Class X-B at AA (low) (sf) -- Class C at A (high) (sf) -- Class PEZ at A (high) (sf) -- Class D at BBB (sf) -- Class E at BB (high) (sf) -- Class F at B (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction since the last review in January 2018, when Classes D and E were upgraded by one notch each. As of the November 2018 remittance, 41 of the transaction's original 48 loans remain in the pool, with a trust balance of $1,062 million, representing a 24.1% collateral reduction since issuance. The pool benefits from overall healthy net cash flow (NCF) growth from issuance, as well as a concentration of loans secured by properties in urban and super-dense urban locations, which represent 31.2% of the pool balance. There have also been four loans, representing 2.0% of the pool balance, that have been fully defeased. There have been no losses to date, but DBRS does expect a loss with the resolution of the only loan currently in special servicing, La Quinta Inn & Suites Canton (Prospectus ID#46; 0.3% of the pool), and has incorporated that into the analysis for this review. As of November 2018, 34 loans, representing 96.6% of the pool balance, reported YE2017 financials and 34 loans, representing 84.2% of the pool balance, reported partial-year 2018 financials. The pool reports a weighted-average (WA) debt service coverage ratio (DSCR) and WA debt yield of 2.23 times (x) and 12.1%, respectively, per the most recent year-end financials. The WA NCF increased 8.0% over the DBRS NCF derived at issuance for the overall pool, with NCF growth of 12.1% for the largest 15 loans (62.8% of the pool). The La Quinta Inn & Suites Canton loan is secured by a 98-key hotel property located in Canton, Ohio, that transferred to the special servicer in February 2018 due to maturity default. The hotel's performance was adversely affected by the oil market downturn over the previous three years. A March 2018 appraisal estimated the property's as-is value at $3.9 million, down from $8.8 million at issuance. Based on the March 2018 value, DBRS estimates that a loss severity in excess of 20.0% will be incurred at resolution. Additionally, there are four loans, representing 23.3% of the pool balance, on the servicer's watch list. The two largest loans, Federal Center Plaza (Prospectus ID#1; 8.7% of the pool) and The Avenues (Prospectus ID#3; 7.4% of the pool), are on the watch list for increased tenancy risk. The Federal Center Plaza borrower is in renewal negotiations with the rolling tenant for a short renewal term. As the tenant in question is currently paying well below market rental rates, DBRS believes there is upside potential should the tenant eventually move out of the space. The Avenues is anchored by a collateral Sears, which filed for Chapter 11 bankruptcy in October 2018. This location is not on any of the company's published closure lists, but given the well-publicized struggles of the retailer, the situation will be monitored closely for developments. DBRS believes the risk is mitigated by the loan's strong credit metrics (the loan reported a 3.92x DSCR as at YE2017) and experienced sponsorship in Simon Property Group, Inc. At issuance, DBRS shadow-rated the Federal Center Plaza loan investment grade, based on the collateral property's desirable location, significant tenant investment, below-market rents and added value of the property's redevelopment parcel. With this review, DBRS confirms that the performance of that loan remains consistent with investment-grade loan characteristics. 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. COMM 2015-DC1: Fitch Affirms BB-sf Rating on $29.8MM Class E Certs ------------------------------------------------------------------ Fitch Ratings has affirmed 14 classes of Deutsche Bank Securities, Inc.'s COMM 2015-DC1 commercial mortgage pass-through certificates. KEY RATING DRIVERS Increase in Loss Expectations; Sufficient Credit Enhancement: While the pool's overall loss expectations have increased marginally since the last Fitch rating action, credit enhancement remains sufficient to affirm the ratings. Most of the loans in the top 15 have performed inline or better than issuance expectations; however, two of these loans, SoHo Portfolio (6% of total pool balance) and Sylvan Corporate Center (4%), are being monitored by Fitch due to a drop in performance resulting from large tenant departures. In addition, the pool's one regional mall, Pinnacle Hills Promenade (8%), located in Rogers, AR is also considered a Fitch Loan of Concern (FLOC) given declining sales. Additionally, there are three other FLOCs that are in special servicing (3%). The largest specially serviced loan, 200 West Second Street (2%) was transferred to special servicing in January 2018 for an imminent monetary default. Fitch's base case loss includes additional stresses on these loans. In total there are 13 loans (25%) on the servicer's watchlist for reasons including large tenant departures, drops in net operating income, transfer to special servicing and deferred maintenance items. Small Increase in Credit Enhancement: The pool has paid down 2.79% to $1.377 billion from $1.416 billion at issuance. Of the remaining loans, roughly 23% of the pool was amortizing as of November 2018. Four loans have been fully defeased (4%). Since Fitch's 2017 review, the number 12 loan by loan amount, Axcelis Corporate Center (2%), was fully defeased and class A-1 paid in full. In addition, 10.5% of the pool matures in 2019, including the third largest loan Hampton Inn UN and HIX Herald Square (6.2%). Fitch Loans of Concern: Pinnacle Hills Promenade is an 841,047 sf anchored, super regional mall in Rogers, AR built in 2006. As of September 2017, TTM In-line sales at the property were $293 psf compared to $307 at year-end 2016, $305 at year-end 2015 and $302 reported at issuance as of year-end 2014. Reported year-end sales at year-end 2011 were $325 psf. The subject's inline psf is below the comparable inline sales of $309 for TTM September 2017. The largest collateralized tenant, JC Penney (11.72% NRA), TTM September 2018 sales of $106 psf is consistent with year-end 2016. Sylvan Corporate Center (5.6%) is securitized by two cross collateralized, cross defaulted suburban office buildings in Englewood Cliffs, NJ. Fitch's base case loss incorporates a haircut to the reported NOI to address current and expected vacancy decline. One of the portfolio's major tenants, Unilever (32% of portfolio NRA), has vacated both properties. Unilever failed to give notice of its lease renewal at this location by February 2017 and the loan became cash managed. There have been media reports that OwnBackup (a cloud-based database management provider) has signed a letter of intent to lease 30,000 sf of the 940 building; however, the servicer has yet to confirm. Additionally, LG Electronics (24% of total NRA) has various leases expiring in July 2019 and 2022. Media reports indicate its new headquarters building located in the same market will be completed in 2019. As the loan begins amortizing in 2020, cash flow may be insufficient to cover the debt service unless the vacant and expiring spaces are re-tenanted. The 200 West Second Street (2%) loan is secured by the leased fee interest in a 53,134-sf parcel of land in downtown Winston-Salem, NC improved with a 20-story, 239,854-sf office property known as the BB&T Financial Center. The loan transferred to special in January 2018 due to imminent default. There is ongoing litigation related to one of the sponsors. The property is still 99% occupied by BB&T and exhibits stable performance, and the loan is current. Real Plaza & Santa Rosa Warehouse is secured by a retail shopping center and an industrial warehouse property totalling 124, 245 sf located in Guaynabo, PR. The loan transferred to special servicing after sustaining damage during Hurricane Maria. Comfort Inn - St. Clairsville is securitized by a limited service hotel comprising of 54 rooms located in St. Clairsville, OH. The loan transferred to special servicing on Sept. 30, 2016 due to poor performance and imminent default. Additional Loss Considerations: While Fitch did not model a loss in its base case analysis, a 15% loss severity was applied to Pinnacle Hills Promenade to address concerns with the declining sales and occupancy. This loss severity contributed to affirming the Negative Outlook on class E. ADDITIONAL CONSIDERATIONS Higher Fitch Leverage: At issuance, it was noted that the pool's DSCR of 1.12x and 112.4%, respectively represented higher leverage that other transactions rated at that time. RATING SENSITIVITIES The stable outlooks are the result of sufficient credit enhancement to the senior classes as the majority of the pool continues to perform. Near term upgrades are unlikely given the marginal increased credit enhancement since issuance, but are possible with significant paydown or defeasance. The Negative Outlook on class E reflects concerns with the Pinnacle Hills Promenade, as well as the Sylvan Corporate Center. Downgrades to E are possible if performance continues to decline, or additional loans default. 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: -- $170.7 million class A-2 at 'AAAsf'; Outlook Stable; -- $120.0 million class A-3 at 'AAAsf'; Outlook Stable; -- $68.5 million class A-SB at 'AAAsf'; Outlook Stable; -- $200.0 million A-4 at 'AAAsf'; Outlook Stable; -- $382.6 million class A-5 at 'AAAsf'; Outlook Stable; -- $1.037a billion class X-A at 'AAAsf'; Outlook Stable; -- $94.7b million class A-M at 'AAAsf'; Outlook Stable; -- $80.6b million class B at 'AA-sf'; Outlook Stable; -- $238.5b million class PEZ at 'A-sf'; Outlook Stable; -- $63.1b million class C at 'A-sf'; Outlook Stable; -- $143.8ac million class X-B at 'AA-sf'; Outlook Stable; -- $71.9ac million class X-C at 'BBB-sf'; Outlook Stable; -- $29.8ac million class X-D at 'BB-sf'; Outlook Negative; -- $71.9c million class D at 'BBB-sf'; Outlook Stable; -- $29.8c million class E at 'BB-sf'; Outlook Negative. (a) Notional amount and interest-only. (b) Class A-M, B and C certificates may be exchanged for class PEZ certificates, and class PEZ certificates may be exchanged for class A-M, B, and C certificates. (c) Privately placed and pursuant to Rule 144A. The class A-1 certificate has paid in full. Fitch does not rate the class X-E, X-F, F, G, H and HIX certificates. COMM MORTGAGE 2015-LC19: Fitch Affirms B-sf Rating on Cl. F Certs ----------------------------------------------------------------- Fitch Ratings has affirmed all classes of COMM Mortgage Trust commercial mortgage pass-through certificates, series 2015-LC19. KEY RATING DRIVERS Stable Loss Expectations: Since issuance, base case loss expectations have remained relatively stable. While there are four Fitch Loans of Concern (FLOCs) totaling 4.0% of the pool, overall performance of the pool has been stable. The FLOCs include one specially serviced loan (Holiday Inn Express Houston) two loans in the top 25 and an additional loan. At Fitch's last review, FLOCs totaled 7.9% and included a former specially serviced hotel portfolio (1.3%), which is now performing, as well as the Decorative Center of Houston (3.6%), which was damaged by Hurricane Harvey. The servicer notes that the building is in overall excellent condition and is awaiting final confirmation of repairs from the borrower. The revision of the Rating Outlook on class E to Stable from Negative reflects stabilizing pool performance and the reduction in FLOCS. Stable Credit Enhancement: The pool has paid down approximately 2.6% since issuance, which has resulted in a modest increase in credit enhancement. Two loans totaling 2.1% of the pool are currently defeased. At issuance, the loans in the pool were scheduled to amortize by only 9.7%. Approximately 13 loans totaling 41.8% of the pool are full-term interest-only. An additional 21 loans totaling 29.6% of the pool are partial-term interest-only. High Hotel Concentration: Approximately 11 loans in the pool totaling 17.4% of pool balance are collateralized by hotel properties. This compares with 2014 and 2015 averages of approximately 14.2% and 17.0%, respectively, for Fitch-rated multiborrower transactions. High Leverage: At issuance, this pool had an average Fitch LTV of 112.9%, which is above the 2015 average Fitch LTV of 111.9%, the highest average of any vintage since 2010. Given high leverage, trough coupon levels and a rising interest rate environment, several of these loans may face challenges in securing refinancing opportunities. RATING SENSITIVITIES The Outlooks on classes A-1 through E are stable. The revision of the Outlook on class E to Stable from Negative reflects stabilized performance of several former FLOCs. The Negative Outlook on class F reflects the current FLOCs, including the AHIP Oklahoma City Portfolio (1.8%) and the Marlow Portfolio (1.5%). Both have exhibited cash flow declines of approximately 50% since issuance, although both loans continue to perform. Rating downgrades are possible with continued declines in performance or additional loan defaults. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third-party due diligence was provided or reviewed in relation to this rating. Fitch has affirmed the following class and revised the Outlook as indicated: -- $33.8 million class E at 'BB-sf'; Outlook revised to Stable from Negative. Fitch has affirmed the following ratings: -- $8.6 million class A-1 at 'AAAsf'; Outlook Stable; -- $45 million class A-2 at 'AAAsf'; Outlook Stable; -- $81.6 million class A-SB at 'AAAsf'; Outlook Stable; -- $300 million class A-3 at 'AAAsf'; Outlook Stable; -- $518.6 million class A-4 at 'AAAsf'; Outlook Stable; -- $1.03 billion* class X-A at 'AAAsf'; Outlook Stable; -- $74.7 million class A-M at 'AAAsf'; Outlook Stable; -- $107.3 million class B at 'AA-sf'; Outlook Stable; -- $65.8 million class C at 'A-sf'; Outlook Stable; -- $247.8 million* class PEZ at 'A-sf'; Outlook Stable; -- $173 million* class X-B at 'AA-sf'; Outlook Stable; -- $70.7 million class D at 'BBB-sf'; Outlook Stable; -- $70.7 million* class X-C at 'BBB-sf'; Outlook Stable; -- $14.2 million class F at 'B-sf'; Outlook Negative. * Notional and interest-only Fitch does not rate the class G and H certificates. CREDIT SUISSE 2008-C1: S&P Lowers Class D Certs Rating to Dsf ------------------------------------------------------------- S&P Global Ratings lowered its rating on the class D commercial mortgage pass-through certificates from Credit Suisse Commercial Mortgage Trust Series 2008-C1, a U.S. commercial mortgage-backed securities (CMBS) transaction, to 'D (sf)' from 'CCC- (sf)'. The downgrade to 'D (sf)' reflects principal losses affecting the class, as detailed in the Nov. 19, 2018, trustee remittance report. According to S&P's policy and procedures, it will discontinue the 'D (sf)' rating any time after it has been outstanding for at least 30 days. The November 2018 trustee remittance report reported $15.1 million in realized losses, which resulted from the liquidation of the specially serviced Southside Works loan. The Southside Works loan liquidated at a 49.4% loss severity of its $30.6 million beginning balance at liquidation. Consequently, class D experienced a loss of $2.2 million (17.7%) of its $12.2 million original principal balance, class E (not rated by S&P Global Ratings) lost 100% of its $10.0 million original balance, and class F (not rated by S&P Global Ratings) lost 100% of its $3.0 million beginning balance. CROWN POINT II: S&P Affirms B Rating on Class B-3L Notes -------------------------------------------------------- S&P Global Ratings raised its ratings on the class A-3L-R, B-1L-R, and B-2L notes from Crown Point CLO II Ltd., a U.S. collateralized loan obligation (CLO) managed by Valcour Capital Management LLC, and S&P removed these ratings from CreditWatch, where it had placed them with positive implications on Oct. 26, 2018. At the same time, S&P affirmed its ratings on the class A-2L-R and B-3L notes from the same transaction. The rating actions follow S&P's review of the transaction's performance using data from the Nov. 5, 2018, trustee report. The upgrades reflect the transaction's $91.68 million in collective paydowns to the class A-1L-R and A-2L-R notes since S&P's Oct. 17, 2017, rating actions. These paydowns resulted in improved reported overcollateralization (O/C) ratios since the Sept. 5, 2017, trustee report, which S&P used for its previous rating actions: -- The senior class A O/C ratio test improved to 440.30% from 161.38%. -- The class A O/C ratio test improved to 210.66% from 136.73%. -- The class B-1L O/C ratio test improved to 142.40% from 119.90%. -- The class B-2L O/C ratio test improved to 119.25% from 111.67%. -- The class B-3L O/C ratio test improved to 108.27% from 107.08%. The upgrades reflect the improved credit support at the prior rating levels; the affirmations reflect S&P's view that the credit support available is commensurate with the current rating levels. On a standalone basis, the results of the cash flow analysis indicated a higher rating on the class B-1L-R and B-2L notes. However, S&P's actions on these two classes reflect the transaction's exposure to 'CCC' rated collateral obligations as a result of the increased concentration, exposure to distressed assets, and the decline of the portfolio's weighted average spread to 3.56% from 3.65%. The affirmed ratings reflect adequate credit support at the current rating levels, though any further changes in the credit support available to the notes could result in further rating changes. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the aforementioned trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions." S&P Global Ratings will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. RATINGS RAISED AND REMOVED FROM CREDITWATCH Crown Point CLO II Ltd. Rating Class To From A-3L-R AAA (sf) AA+ (sf)/Watch Pos B-1L-R AA (sf) A+ (sf)/Watch Pos B-2L BBB (sf) BB+ (sf)/Watch Pos RATINGS AFFIRMED Crown Point CLO II Ltd. Class Rating A-2L-R AAA (sf) B-3L B (sf) CSFB MORTGAGE 1998-C1: Moody's Affirms C Rating on Class A-X Debt ----------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on one interest only class of CS First Boston (CSFB) Mortgage Securities Corp 1998-C1 as follows: Cl. A-X, Affirmed C (sf); previously on Dec 1, 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 42.2% of the current balance, compared to 17.2% at Moody's last review. Moody's base expected loss plus realized losses is now 4.2% of the original pooled balance, compared to 4.1% at the last review. 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, "Moody's Approach to Rating Credit Tenant Lease and Comparable Lease Financings" published in November 2018 and "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. The Credit Rating for CS First Boston Mortgage Securities Corp 1998-C1, Cl. A-X was assigned in accordance with Moody's existing Methodology entitled "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities", dated June 2017. Please note that on November 14, 2018, Moody's released a Request for Comment, in which it has requested market feedback on potential revisions to its Methodology for rating structured finance interest-only (IO) securities. If the revised Methodology is implemented as proposed, the Credit Rating on CS First Boston Mortgage Securities Corp 1998-C1, Cl. A-X may be positively affected. DEAL PERFORMANCE As of the November 17, 2018 distribution date, the transaction's aggregate certificate balance has decreased by 99% to $26 million from $2.48 billion at securitization. The Certificates are collateralized by 18 mortgage loans ranging in size from less than 1% to 18.9% of the pool, with the top ten loans representing 75.5% of the pool. Six loans, representing 23.5% of the pool have defeased and are secured by US Government securities. One loan, representing less than 1% of the pool, is on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of its ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Thirty-eight loans have been liquidated from the pool, resulting in an aggregate realized loss of $93.1 million (23.6% loss severity on average). One loan, representing 14.4% of the pool, is currently in special servicing. The specially serviced loan, Elder-Beerman at Millcreek Mall, is secured by a 119,479 square foot (SF) retail property located in Millcreek Township, Pennsylvania. The property was built in 1975. The loan transferred to special servicing in February 2018 for imminent default. The sole tenant, Bon Ton, filed for chapter 11 bankruptcy protection in February 2018 and subsequently rejected the lease. The loan is benefitting from amortization, having amortized 55% since securitization. However, due to the vacancy, Moody's has estimated a substantial loss for this loan. The non-specially serviced CTL component consists of eleven loans, totaling 62.1% of the pool, secured by properties leased to five tenants. The largest exposures are Eagle Country ($4.9 million -- 19% of the pool) and Hoyts ($4.9 million -- 19% of the pool). CSFB MORTGAGE 2004-1: Moody's Affirms Ca Rating on Cl. H Certs -------------------------------------------------------------- Moody's Investors Service has upgraded the rating on one class and affirmed the ratings on three classes of CSFB Mortgage Securities Corp. Commercial Mortgage Pass-Through Certificates 2004-C1 as follows: Cl. G, Upgraded to Aa1 (sf); previously on Dec 15, 2017 Upgraded to Aa2 (sf) Cl. H, Affirmed Ca (sf); previously on Dec 15, 2017 Affirmed Ca (sf) Cl. A-X*, Affirmed C (sf); previously on Dec 15, 2017 Affirmed C (sf) Cl. A-Y*, Affirmed Aaa (sf); previously on Dec 15, 2017 Affirmed Aaa (sf) * Reflects interest-only classes RATINGS RATIONALE The rating on Cl. G was upgraded based primarily on an increase in credit support resulting from loan paydowns and amortization. The deal has paid down 27% since Moody's last review. The rating on Cl. H was affirmed because the rating is consistent with realized losses plus Moody's expected loss. Cl. H has already experienced a 46% realized loss as a result of previously liquidated loans. The rating on one IO class, Cl. A-X, was affirmed based on the credit quality of the referenced classes. The rating on one IO class, Cl. A-Y, was affirmed based on the credit quality of the referenced loans. Moody's does not anticipate losses from the remaining collateral in the current environment. However, over the remaining life of the transaction, losses may emerge from macro stresses to the environment and changes in collateral performance. Moody's base expected loss plus realized losses is now 4.3% of the original pooled balance, the same as at the last review. Its ratings reflect the potential for future losses under varying levels of stress. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. The methodologies used in rating interest-only classes 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. The Credit Ratings for CSFB Mortgage Securities Corp. Commercial Mortgage Pass-Through Certificates 2004-C1, Cl. A-X and Cl. A-Y, were assigned in accordance with Moody's existing Methodology entitled "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" dated June 2017. Please note that on November 14, 2018, Moody's released a Request for Comment, in which it has requested market feedback on potential revisions to its Methodology for rating structured finance interest-only (IO) securities. If the revised Methodology is implemented as proposed, the Credit Ratings on CSFB Mortgage Securities Corp. Commercial Mortgage Pass-Through Certificates 2004-C1, Cl. A-X and Cl. A-Y, may be positively affected. DEAL PERFORMANCE As of the December 17, 2018 distribution date, the transaction's aggregate certificate balance has decreased by 99% to $14.67 million from $1.62 billion at securitization. The certificates are collateralized by seven mortgage loans ranging in size from 4% to 49% of the pool. Two loans, constituting 9.6% of the pool, have investment-grade structured credit assessments. One loan, constituting 22.5% of the pool, has defeased and is secured by US government securities. Two loans, constituting 51.6% 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. Twenty-two loans have been liquidated from the pool, resulting in an aggregate realized loss of $69.1 million (for an average loss severity of 57%). No loans are currently in special servicing. The structured credit assessments are associated with two residential cooperative loans which represent $1.4 million in total loan balance, or a 9.6% share of the overall pool balance. Moody's credit assessment for these loans is aaa (sca.pd), the same as at last review. The top three performing loans represent 64.0% of the pool balance. The largest loan is the Irving Towne Center Loan ($7.1 million -- 48.5% of the pool), which is secured by a Target shadow-anchored retail center located in Irving, Texas. Major tenants include Tuesday Morning, Anna's Linens, Chili's and Anytime Fitness. The property was 70% leased as of September 2018, compared to 71% leased at last review. The loan is fully amortizing and has amortized 39.0% since securitization. Moody's LTV and stressed DSCR are 77% and 1.37X, respectively. The second largest loan is the Amistad Apartments Loan ($1.5 million -- 10.4% of the pool), which is by a 76-unit multifamily property in Donna, Texas, about 250 miles south of San Antonio and less than ten miles north of the US-Mexico border. The property was 93% leased as of June 2018, compared to 84% at last review. The loan has amortized 21.1% since securitization. Moody's LTV and stressed DSCR are 74% and 1.36X, respectively. The third largest loan is the Budget Self Storage Loan ($753,852 -- 5.1% of the pool), which is by an 83,212 SF self-storage property in Richmond, California. The property was 90% leased as of June 2018. The loan has amortized 57.9% since securitization. Moody's LTV and stressed DSCR are 9.3% and greater than 4.00X, respectively. CSMC 2018-SITE: Moody's Assigns Ba3 Rating on Class E Certs ----------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to seven classes of CMBS securities, issued by CSMC 2018-SITE, Commercial Mortgage Pass-Through Certificates, Series 2018-SITE: Cl. A, Definitive Rating Assigned Aaa (sf) Cl. B, Definitive Rating Assigned Aa3 (sf) Cl. C, Definitive Rating Assigned A3 (sf) Cl. D, Definitive Rating Assigned Baa3 (sf) Cl. E, Definitive Rating Assigned Ba3 (sf) Cl. HRR, Definitive Rating Assigned B1 (sf) Cl. X*, Definitive Rating Assigned Aa1 (sf) * Reflects interest-only class RATINGS RATIONALE The certificates are collateralized by a single loan backed by the borrower's fee simple interest in 10 anchored retail assets located in nine states: NC (2), AZ (1), CT (1), MO (1), IL (1), GA (1), VA (1), SC (1) and NJ (1). In aggregate, the collateral improvements contain 3,410,366 SF of net rentable area. The loan is a 64-month, fixed-rate, interest-only, first lien mortgage loan with an original and outstanding principal balance of $364.32 million. The ratings are based on the collateral and the structure of the transaction. More specifically, the trust assets primarily consist of two promissory notes, including a $170.00 million senior trust note A-1 and a $144.32 million note B, which combined have an aggregate principal balance of $314,320,000 as of the cut-off date. The mortgage loan also includes a senior non-trust, pari passu note A-2 with an original principal balance of $50.00 million. As of September 30, 2018 the portfolio was 93.4% leased to a combination of national, regional and local retail tenants. The top ten tenants include: AMC Theatres (231,800 SF; 9.6% in-place base rent), TJX Companies (204,743 SF; 4.8% in-place base rent), Ross Dress for Less (181,294 SF; 4.4% in-place base rent), Dick's Sporting Goods (146,216 SF; 4.3% in-place Base Rent), Best Buy (141,368 SF; 4.3% in-place base rent), Lowe's (260,554 SF; 4.3% in-place base rent), Kohl's (237,169 SF; 4.1% in-place base rent), Petco (60,145 SF; 2.7% in-place base rent), Old Navy (85,317 SF; 2.6% in-place base rent) and Ulta Beauty (43,636 SF; 2.1% in-place base rent). Moody's approach to rating this transaction involved an application of Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS and Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities. The rating approach for securities backed by a single loan compares the credit risk inherent in the underlying collateral with the credit protection offered by the structure. The structure's credit enhancement is quantified by the maximum deterioration in property value that the securities are able to withstand under various stress scenarios without causing an increase in the expected loss for various rating levels. In assigning single borrower ratings, Moody's also considers a range of qualitative issues as well as the transaction's structural and legal aspects. The credit risk of commercial real estate loans is determined primarily by two factors: 1) the probability of default, which is largely driven by the DSCR, and 2) and the severity of loss in the event of default, which is largely driven by the LTV of the underlying loan. The first mortgage balance of $364.3 million represents a Moody's LTV of 90.9%. The Moody's first mortgage DSCR is 2.10x and Moody's first mortgage DSCR at a 9.25% stressed constant is 1.09x. Moody's also considers both loan level diversity and property level diversity when selecting a ratings approach. The subject transaction is secured by fee simple interests in ten anchored retail properties located in 10 distinct submarkets within nine states. Notable strengths of the transaction include: strong anchor tenancy, granular tenant roster, experienced sponsorship, cash equity, portfolio diversity and cross-collateralization. Notable concerns of the transaction include: interest-only mortgage loan profile, rollover risk, secondary/tertiary market exposure, property release provisions and credit negative legal features. The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. The methodologies used in rating interest-only classes 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. The Credit Rating for CSMC 2018-SITE was assigned in accordance with Moody's existing Methodology entitled "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" dated June 2017. Please note that on November 14th, 2018, Moody's released a Request for Comment, in which it has requested market feedback on potential revisions to its Methodology for rating structured finance interest-only (IO) securities. If the revised Methodology is implemented as proposed, the Credit Rating on CSMC 2018-SITE may be POSITIVELY affected. Moody's approach for single borrower and large loan multi-borrower transactions evaluates credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from its Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, and property type. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. These ratings: (a) are based solely on information in the public domain and/or information communicated to Moody's by the issuer at the date it was prepared and such information has not been independently verified by Moody's; (b) must be construed solely as a statement of opinion and not a statement of fact or an offer, invitation, inducement or recommendation to purchase, sell or hold any securities or otherwise act in relation to the issuer or any other entity or in connection with any other matter. Moody's does not guarantee or make any representation or warranty as to the correctness of any information, rating or communication relating to the issuer. Moody's shall not be liable in contract, tort, statutory duty or otherwise to the issuer or any other third party for any loss, injury or cost caused to the issuer or any other third party, in whole or in part, including by any negligence (but excluding fraud, dishonesty and/or willful misconduct or any other type of liability that by law cannot be excluded) on the part of, or any contingency beyond the control of Moody's, or any of its employees or agents, including any losses arising from or in connection with the procurement, compilation, analysis, interpretation, communication, dissemination, or delivery of any information or rating relating to the issuer. Factors that would lead to an upgrade or downgrade of the ratings: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan paydowns or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. Moody's ratings address only the credit risks associated with the transaction. Other non-credit risks have not been addressed and may have a significant effect on yield to investors. The ratings do not represent any assessment of (i) the likelihood or frequency of prepayment on the mortgage loans, (ii) the allocation of net aggregate prepayment interest shortfalls, (iii) whether or to what extent prepayment premiums might be received, or (iv) in the case of any class of interest-only certificates, the likelihood that the holders thereof might not fully recover their investment in the event of a rapid rate of prepayment of the mortgage loans. DBUBS 2011-LC2: Moody's Affirms B3 Rating on Class F Certs ---------------------------------------------------------- Moody's Investors Service has affirmed the ratings on twelve classes in DBUBS 2011-LC2 Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2011-LC2: Cl. A-1, Affirmed Aaa (sf); previously on Jan 5, 2018 Affirmed Aaa (sf) Cl. A-1C, Affirmed Aaa (sf); previously on Jan 5, 2018 Affirmed Aaa (sf) Cl. A-1FL, Affirmed Aaa (sf); previously on Jan 5, 2018 Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Jan 5, 2018 Affirmed Aaa (sf) Cl. B, Affirmed Aaa (sf); previously on Jan 5, 2018 Affirmed Aaa (sf) Cl. C, Affirmed Aa3 (sf); previously on Jan 5, 2018 Affirmed Aa3 (sf) Cl. D, Affirmed Baa2 (sf); previously on Jan 5, 2018 Affirmed Baa2 (sf) Cl. E, Affirmed Ba3 (sf); previously on Jan 5, 2018 Affirmed Ba3 (sf) Cl. F, Affirmed B3 (sf); previously on Jan 5, 2018 Affirmed B3 (sf) Cl. FX*, Affirmed B3 (sf); previously on Jan 5, 2018 Affirmed B3 (sf) Cl. X-A*, Affirmed Aaa (sf); previously on Jan 5, 2018 Affirmed Aaa (sf) Cl. X-B*, Affirmed B1 (sf); previously on Jan 5, 2018 Affirmed B1 (sf) * Reflects Interest Only Classes RATINGS RATIONALE The ratings on the P&I classes were affirmed because the transaction's key metrics, including Moody's loan-to-value ratio, Moody's stressed debt service coverage ratio and the transaction's Herfindahl Index, are within acceptable ranges. The ratings on the IO classes were affirmed based on the credit quality of their referenced classes. Moody's rating action reflects a base expected loss of 1.8% of the current pooled balance, compared to 1.7% at Moody's last review. Moody's base expected loss plus realized losses is the same as last review at 1.1% of the original pooled balance. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The methodologies used in rating all classes except interest-only classes were "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in July 2017 and "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. The methodologies used in rating interest-only classes were "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in July 2017, "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. The Credit Ratings for DBUBS 2011-LC2 Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2011-LC2, Cl. X-A, Cl X-B and Cl. FX, were assigned in accordance with Moody's existing Methodology entitled "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" dated June 2017. Please note that on November 14, 2018, Moody's released a Request for Comment, in which it has requested market feedback on potential revisions to its Methodology for rating structured finance interest-only (IO) securities. If the revised Methodology is implemented as proposed, the Credit Ratings on DBUBS 2011-LC2 Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2011-LC2, Cl. X-A, Cl X-B and Cl. FX, may be positively affected. DEAL PERFORMANCE As of the December 12, 2018 distribution date, the transaction's aggregate certificate balance has decreased by 41.2% to $1.26 billion from $2.14 billion at securitization. The certificates are collateralized by 42 mortgage loans ranging in size from less than 1% to 15.5% of the pool, with the top ten loans (excluding defeasance) constituting 70.2% of the pool. One loan, constituting 1.7% of the pool, has investment-grade structured credit assessments. Three loans, constituting 1.4% of the pool, have defeased and are secured by US government securities. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 12, compared to a Herf of 13, as at Moody's last review. Eighteen loans, constituting 40.4% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. There are no loans that have been liquidated from the pool. One loan, Montgomery Village Professional Center Loan ($8.5 million -- 0.7% of the pool), is currently in special servicing. The specially serviced loan is secured by an office complex containing eight contiguous two-story, walk-up buildings totaling approximately 72,000 square feet (SF). The property is located in Gaithersburg, Maryland approximately 30 miles northwest of Washington, D.C. The loan transferred to special servicing in May 2014 due to payment default and became REO in April 2015. The special servicer indicated a purchase and sale agreement has been executed for the property . Moody's received full year 2017 operating results for 97.2% of the pool, and full or partial year 2018 operating results for 100% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 81%, compared to 83% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 17% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.2%. Moody's actual and stressed conduit DSCRs are 1.49X and 1.26X, respectively, compared to 1.48X and 1.23X 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 Angelica Portfolio Loan ($20.8 million -- 1.7% of the pool), which is secured by 12 industrial facilities located in eight states and 100% occupied by Angelica Corporation under a 20-year lease which expires in January 2030. The average age of the collateral is 25 years. Performance has improved since securitization. Due to the single tenant exposure, Moody's utilized a lit/dark analysis on this portfolio. Moody's structured credit assessment and stressed DSCR are a2 (sca.pd) and 1.63X, respectively. The top three conduit loans represent 45.2% of the pool balance. The largest loan is the US Steel Tower Loan ($195 million -- 15.5% of the pool), which is secured by a 64-story, Class A office building located in downtown Pittsburgh, Pennsylvania. The property serves as the headquarters for US Steel and the University of Pittsburgh Medical Center (UPMC). As of the October 2018 rent roll the property was 89% leased, compared to 87% leased as of September 2017. Moody's LTV and stressed DSCR are 76% and 1.32X, respectively, compared to 78% and 1.29X at the last review. The second largest loan is the Willowbrook Mall Loan ($188.1 million -- 14.9% of the pool), which is secured by the 400,466 square foot (SF) portion of a 1.5 million square foot (SF) regional mall located in Houston, Texas. Anchors include Dillard's, Macy's, Macy's Men and Furniture, Sears, and J.C. Penney. All anchors own their own improvements and are not part of the collateral. Total property occupancy was 99% as of September 2018, unchanged from the occupancy in September 2017. As of September 2018, the trailing twelve month sales for comparable in-line tenants less than 10,000 SF was $641 per square foot. Financial performance has been steadily increasing since securitization. Moody's LTV and stressed DSCR are 81% and 1.17X, respectively, compared to 82% and 1.15X at the last review. The third largest loan is the 498 7th Avenue Loan ($186.3 million -- 14.8% of the pool), which is secured by a 25-story office building located between 36th and 37th Street in the Garment District of New York City. As of the September 2018 rent roll the property was 85% leased, compared to 96% as of December 2017. However, the former largest tenant, Group M Worldwide (41% of NRA), vacated upon its November 2018 lease expiration. The servicer indicated a replacement tenant plans to lease approximately 61% of the NRA with a buildout expected to take 18 months. Moody's LTV and stressed DSCR are 87% and 1.09X, respectively, compared to 88% and 1.07X at the last review. DRYDEN 70: S&P Assigns BB- Rating on $17MM Class E Notes -------------------------------------------------------- S&P Global Ratings assigned its ratings to Dryden 70 CLO Ltd./Dryden 70 CLO LLC'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; -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization; -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading; and -- The transaction's legal structure, which is expected to be bankruptcy remote. RATINGS ASSIGNED Dryden 70 CLO Ltd./Dryden 70 CLO LLC Class Rating Amount (mil. $) A-1 AAA (sf) 297.00 A-2A NR 17.40 A-2B NR 10.60 B AA (sf) 59.50 C A (sf) 26.50 D BBB- (sf) 29.00 E BB- (sf) 17.00 Subordinated notes NR 49.35 NR--Not rated. GCA2014 HOLDINGS: S&P Cuts Class C Notes Rating to CCC(sf) ---------------------------------------------------------- S&P Global Ratings raised its ratings on the A-1, A-2, and B notes from Global Container Assets 2014 Ltd.'s (AssetCo's) series 2015-1. S&P also lowered its ratings on the series 2014-1 class C and D notes from GCA2014 Holdings Ltd. GCA2014 Holdings Ltd. is an asset-backed securities transaction backed by all outstanding class A shares ($163 million) of AssetCo, which includes the rights to receive cash flow from available payments at the bottom of the payment waterfalls in AssetCo. AssetCo is a container securitization transaction backed by a $258,110,797 (net book value) portfolio containing 136,896 containers. AssetCo has the right to net operating income from the portfolio and any net residual cash flows from the sale of containers. Since S&P's last rating action in 2016, the average per diem lease rate has declined to $0.67 from approximately $0.72, while the utilization rate has improved significantly to approximately 96% from approximately 87%. In 2016, deteriorating asset performance in the senior transaction led us to lower S&P's ratings on all the senior and repack notes. Since then, the senior transaction has remained triggered, with all cashflow remaining after scheduled principal payments going to pay down the senior-most notes, and no payments being made to the shares (and therefore to the class C and D repack notes). This has caused the senior transaction to become less levered while the accumulation of deferred interest on the repack notes has caused their overall leverage to increase. Given these developments, the asset portfolio and structure cannot support the ratings currently assigned to the repack notes, while, for the senior notes, they can support ratings higher than those currently assigned. Specifically, cashflow analysis indicates that classes A-1 and A-2 can now withstand stresses commensurate with their original 'A' rating, and class B with their original 'BBB' rating; meanwhile, under the 'B' scenario, neither class C nor class D pay off all interest and principal due. The changes in the ratings reflect: -- S&P's view of the portfolio characteristics, including the asset quality and lease terms; -- The initial and future lessees' estimated credit quality; -- The payment structures and waterfall mechanism; -- S&P's assessment of the projected cash flows supporting the notes' timely interest payment and ultimate principal payment on or before the legal final maturity; and -- Certain compliance tests and early amortization events included in the transaction documents. S&P will continue to review whether, in its view, the ratings currently assigned to the notes remain consistent with the credit enhancement available to support them, and it will take rating actions as it deems necessary. RATINGS RAISED Global Container Assets 2014 Ltd. Asset-backed notes series 2015-1 Rating Class To From A-1 A (sf) A- (sf) A-2 A (sf) A- (sf) B BBB (sf) BBB- (sf) RATINGS LOWERED GCA2014 Holdings Ltd. Rating Class To From C CCC (sf) B (sf) D CCC- (sf) CCC (sf) GS MORTGAGE II 2006-GG8: Fitch Affirms CCsf Rating on Cl. B Certs ----------------------------------------------------------------- Fitch Ratings has affirmed 16 classes of GS Mortgage Securities Corporation II commercial mortgage pass-through certificates, series 2006-GG8. KEY RATING DRIVERS High Loss Expectations and Concentration of Specially Serviced Loans/Assets: Fitch's overall loss expectations on the specially serviced assets remain high. The remaining four loans in the pool include three specially serviced assets (49% of the remaining pool balance), all of which are REO with expected dispositions in 2019. The affirmations to the distressed classes reflect imminent losses expected from the upcoming REO sales. Minimal Change in Credit Enhancement: Since Fitch's last rating action no loans have been disposed, resulting in minimal change to credit enhancement. Alternative Loss Considerations: The pool is highly concentrated with only four of the original 169 loans remaining. Due to the concentrated nature of the pool, Fitch performed a sensitivity analysis that grouped the remaining loans based on loan structural features, collateral quality and performance and ranked them by their perceived likelihood of repayment (or amount of liquidation proceeds). The ratings reflect this sensitivity analysis. Single Tenant Property/Fitch Loan of Concern (FLOC): The largest loan in the pool (51% of the pool balance) is secured by a 778,370 sf suburban office building located in Islandia, NY. The loan transferred to special servicing in April 2016 for imminent maturity default and returned back to the master servicer in May 2017 when the maturity date was extended to October 2020 with an option to further extend to August 2021. Computer Associates (rated BBBsf/Negative), an information technology management and solutions provider, leases 100% of the NRA and is currently leased through August 2021. Given the binary risk associated with the single tenant lease expiration, Fitch remains concerned about the ability of this loan to refinance. Specially Serviced Assets: Three assets are currently in special servicing. The largest specially serviced asset is the REO, Fair Lakes Office Park Portfolio (34.1% of the pool), which is secured by six suburban office buildings aggregating approximately 700,000 sf located in Fairfax, VA. Three buildings previously in the portfolio, Fair Lakes North & South totalling approximately 270,000 sf, were sold in August 2017 and Hyatt Plaza a 275,000 sf office building sold in May 2018. The two remaining specially serviced assets are secured by retail properties located in Algonquin and Machesney Park, IL. The Gateway Mall has been REO since September 2017 and the Algonquin Center has been REO since August 2018. RATING SENSITIVITIES Further downgrades on the distressed classes are possible as losses are realized or if the largest loan does not refinance at maturity. Upgrades to class A-J, while not expected, are possible if loans resolve with better recoveries than currently anticipated. 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: -- $183.6 million class A-J at 'CCCsf'; RE 100% -- $26.5 million class B at 'CCsf'; RE 100%; -- $53 million class C at 'Csf'; RE 20%; -- $37.1 million class D at 'Csf'; RE 0%; -- $25.8 million class E at 'Dsf'; RE 0%. Classes F, G, H, J, K, L, M, N, O, P and Q are fully depleted and are affirmed at 'Dsf', RE 0% due to realized losses. The class A-1, A-2, A-3, A-AB, A-4 A-1A and A-M certificates have paid in full. Fitch does not rate the fully depleted class S certificates. Fitch previously withdrew the rating on the interest-only class X certificates. GUGGENHEIM MM 2018-1: S&P Assigns B Rating on Class F Notes ----------------------------------------------------------- S&P Global Ratings assigned its ratings to Guggenheim MM CLO 2018-1 Ltd./Guggenheim MM CLO 2018-1 LLC's floating- and fixed-rate notes. The note issuance is a collateralized loan obligation (CLO) transaction backed by primarily middle-market speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. The ratings reflect: -- The diversified collateral pool; -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization; -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading; and -- The transaction's legal structure, which is expected to be bankruptcy remote. RATINGS ASSIGNED Guggenheim MM CLO 2018-1 Ltd./Guggenheim MM CLO 2018-1 LLC Class Rating Amount (mil. $) A1 AAA (sf) 207.20 A2 AAA (sf) 15.00 B AA (sf) 40.40 C A (sf) 37.40 D BBB (sf) 21.20 E BB (sf) 20.20 F B (sf) 8.10 Subordinated notes NR 53.00 NR--Not rated. HARBOR PARK: S&P Assigns BB- Rating on $24.5MM Class E Notes ------------------------------------------------------------ S&P Global Ratings assigned its ratings to Harbor Park CLO Ltd./Harbor Park CLO LLC's floating- and fixed-rate notes. The note issuance is a collateralized loan obligation transaction backed primarily by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. The ratings reflect: -- The diversified collateral pool. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. RATINGS ASSIGNED Harbor Park CLO Ltd./Harbor Park CLO LLC Class Rating Amount (mil. $) X AAA (sf) 1.750 A-1 AAA (sf) 412.125 A-2 NR 42.875 B-1 AA (sf) 47.800 B-2 AA (sf) 25.000 C (deferrable) A (sf) 39.200 D (deferrable) BBB- (sf) 43.750 E (deferrable) BB- (sf) 24.500 Subordinated notes NR 79.250 NR--Not rated. HOMEWARD OPPORTUNITIES 2018-2: S&P Rates $8.4MM Class B-2 Debt 'B+' ------------------------------------------------------------------- S&P Global Ratings assigned its ratings to Homeward Opportunities Fund I Trust 2018-2's (HOF I Trust 2018-2) mortgage pass-through securities. The securities issuance is an residential mortgage-backed securities (RMBS) transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) generally secured by single-family residential properties, planned-unit developments, condominiums, and two- to four-family residential properties to prime and nonprime borrowers. The loans are primarily nonqualified mortgage loans. The ratings reflect: -- The pool's collateral composition; -- The credit enhancement provided for this transaction; -- The transaction's associated structural mechanics; -- The representation and warranty (R&W) framework for this transaction; -- The geographic concentration; and -- The mortgage aggregator, Neuberger Berman Investment Advisors LLC (Neuberger Berman), as investment manager for HOF I Trust 2018-2. RATINGS ASSIGNED Homeward Opportunities Fund I Trust 2018-2 Class Rating(i) Amount ($) A-1 AAA (sf) 213,510,000 A-2 AA (sf) 21,287,000 A-3 A (sf) 36,332,000 M-1 BBB (sf) 17,445,000 B-1 BB (sf) 13,285,000 B-2 B+ (sf) 8,483,000 B-3 NR 9,763,288 A-IO-S NR Notional(i) X NR Notional(i) R NR N/A (i)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period. NR--Not rated. N/A--Not applicable. INSITE WIRELESS 2018-1: Fitch Assigns BB-sf Rating on Cl. C Debt ---------------------------------------------------------------- Fitch Ratings has assigned the following ratings and Rating Outlooks to InSite Wireless Group's InSite Issuer LLC and InSite Co-Issuer Corp. Secured Cellular Site Revenue Notes, Series 2018-1: -- $219,000,000 2018-1 class A 'Asf'; Outlook Stable; -- $57,000,000 2018-1 class B 'BBB-sf'; Outlook Stable; -- $22,000,000 2018-1 class C 'BB-sf'; Outlook Stable. In addition, Fitch has affirmed the following classes: -- $210,500,000 2016-1 class A 'Asf'; Outlook Stable; -- $21,000,000 2016-1 class B 'BBB-sf'; Outlook Stable; -- $70,000,000 2016-1 class C 'BB-sf'; Outlook Stable. The 2013-1 class A, 2013-1 class B, and 2013-1 class C are paid in full. Upon the closing of the 2018 series, the 2018-1 class A will rank pari passu with the 2016-1 class A; the 2018-1 class B will rank pari passu with the 2016-1 class B; and the 2018-1 class C will rank pari passu with the 2016-1 class C. The new series of securities was issued pursuant to a supplement to the original indenture. Fitch has reviewed the indenture supplement and has confirmed that the 2016 series of notes will not be downgraded upon the issuance of the 2018 series or as a result of the amended indenture. The ratings are based on information provided by the issuer as of Dec. 17, 2018. The transaction is an issuance of notes backed by mortgaged cellular sites representing approximately 81% of the annualized run rate (ARR) net cash flow (NCF) (excluding DAS assets) and guaranteed by the direct parent of the co-issuers. The guarantees are secured by a pledge and first-priority-perfected security interest in 100% of the equity interest of the co-issuers and their subsidiaries. The co-issuers and their subsidiaries own or lease 1,568 wireless communication sites (which includes the rights to operate 21 distributed antennae system [DAS] networks) KEY RATING DRIVERS Trust Leverage: Fitch Ratings' NCF on the pool is $68.1 million (inclusive of expected cash from the site acquisition account), implying a Fitch stressed debt service coverage ratio (DSCR) of 1.22x. The debt multiple relative to Fitch's NCF is 8.8x, which equates to a debt yield of 11.4%. Technology-Dependent Credit; Rating Cap: Due to the specialized nature of the collateral and potential for changes in technology to affect long-term demand for tower space, similar to most wireless tower transactions, the senior classes of this transaction do not achieve ratings above 'Asf'. The securities have a rated final payment date 30 years after closing, and the long-term tenor of the certificates increases the risk that an alternative technology -- rendering obsolete the current transmission of wireless signals through cellular sites -- will be developed. Currently, wireless service providers (WSPs) depend on towers to transmit their signals and continue to invest in this technology. DAS Networks: The collateral pool contains 21 DAS networks representing 9.0% of the ARRR. DAS sites are located within buildings or other structures or venues for which an asset entity has rights under a lease or license to install and operate a DAS on the premises or to manage a DAS network on the premises. Fitch limited proceeds from the DAS networks to the 'BBsf' category (i.e. applied a 'BBsf' rating cap), based on the uncertainty surrounding the licensing agreements in a venue-bankruptcy scenario and the limited history of these networks. (See DAS Sites under the Asset Analysis section of the presale report.) RATING SENSITIVITIES Fitch evaluated the sensitivity of the ratings for the offered certificates, and found a 9% decline in NCF would result in a downgrade of the series 2018-1 class A certificates to 'BBBsf', while an 18% decline would result in a downgrade to below investment grade and a 37% decline would result in a downgrade to 'CCCsf'. JP MORGAN 2005-CIBC13: Fitch Affirms Bsf Rating on Class A-J Certs ------------------------------------------------------------------ Fitch Ratings affirms J.P. Morgan Chase Commercial Mortgage Securities Corp. commercial mortgage pass-through certificates series 2005-CIBC13. KEY RATING DRIVERS High Loss Expectations/Specially Serviced Assets: There is a greater certainty of loss expectations due to recent valuations on the specially serviced assets since Fitch's last rating action. Four (23.8%) loans are currently specially serviced and real estate owned (REO), including the largest and fifth largest loans in the pool, Bayou Walk Village (15.8% of the pool) and Cressona Mall (10.6% of the pool). Bayou Walk Village is secured by a grocery shadow-anchored retail center constructed in 1997. The property, which is a portion of a 178,000 rentable square foot (sf) shopping center, includes Kroger (64,379 sf, sales of $663 psf), Chili's, On the Border, KFC, and Regency Bank, which are located on their own pads within the center. However, only one of these (Hollywood Video) is part of the collateral. The property is currently 100% occupied. The special servicer is marketing the property for sale. Cressona Mall is secured by a 281,813 sf partially enclosed community shopping center anchored by Giant Food Store. The property is 80.8% occupied as of October 30 2018. The loan transferred to special servicing in October 2014 for imminent default and became REO in November 2015. The special servicer is in discussions with Giant Food Store about a possible early lease renewal; Staples has renewed for an additional five years with new expiration of Aug. 31, 2023. The special servicer has not listed the property for sale at this time. High Credit Enhancement: As of the November 2018 distribution date, the pool's aggregate principal balance has been reduced by 97.3% to $72.5 million from $2.7 billion at issuance. The transaction has realized losses of $321.3 million (11.8% of original pool balance). Cumulative interest shortfalls of $21.6 million are currently affecting classes B and G thru NR. Four loans (15.2% of the pool) are fully defeased, of which, two (9% of the pool) have been defeased since Fitch's last rating action. Rating Cap/Pool Concentration: The pool is highly concentrated with only 17 of the original 236 loans remaining. Due to the concentrated nature of the pool, Fitch performed a sensitivity analysis that grouped the remaining loans based on loan structural features, collateral quality and performance and ranked them by their perceived likelihood of repayment and expected losses. This includes defeased loans, fully amortizing loans, balloon loans, and Fitch loans of concern. The rating of this class is capped at 'Bsf' reflecting the larger tranche size, increased pool concentrations, adverse selection, single tenant exposure in tertiary markets, lower collateral quality of the remaining loans, and limited expected paydown in 2019. Maturity Concentration: Of the remaining non-specially serviced loans, one (6.8%) matures in July 2019, ten (35.5%) in 2020, one (12.4%) in 2024, and one (11.4%) in 2035. RATING SENSITIVITIES The Stable Outlook on class A-J reflects sufficient credit enhancement to the class relative to expected losses. The rating of this class is capped at 'Bsf' reflecting the larger tranche size, increased pool concentrations, adverse selection, single tenant exposure in tertiary markets, lower collateral quality of the remaining loans, and limited expected paydown in 2019. Additionally, 34% of the pool is specially serviced and REO and several of the top 15 loans are secured by single-tenanted properties and refinance is uncertain. Downgrades are possible if pool performance deteriorates and expected losses increase significantly. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third-party due diligence was provided or reviewed in relation to this rating action. Fitch has affirmed the following ratings: -- $36.8 million class A-J at 'Bsf'; Outlook Stable; -- $35.7 million class B at 'Dsf'; RE 50%; -- $0 class C at 'Dsf'; RE 0%; -- $0 class D at 'Dsf'; RE 0%; -- $0 class E at 'Dsf'; RE 0%; -- $0 class F at 'Dsf'; RE 0%; -- $0 class G at 'Dsf'; RE 0%; -- $0 class H at 'Dsf'; RE 0%; -- $0 class J at 'Dsf'; RE 0%; -- $0 class K at 'Dsf'; RE 0%; -- $0 class L at 'Dsf'; RE 0%; -- $0 class M at 'Dsf'; RE 0%; -- $0 class N at 'Dsf'; RE 0%; -- $0 class P at 'Dsf'; RE 0%. The class A-1, A-1A, A-2, A-2FL, A-3A1, A-3A2, A-4, A-SB, A-2FX and A-M certificates have paid in full. Fitch does not rate the class NR certificates. Fitch previously withdrew the ratings on the interest-only class X-1 and X-2 certificates. JP MORGAN 2006-CIBC17: Moody's Affirms Ca Rating on Class A-J Debt ------------------------------------------------------------------ Moody's Investors Service has affirmed the ratings on two classes in J.P. Morgan Chase Commercial Mortgage Securities Corp. Series 2006-CIBC17 as follows: Cl. A-J, Affirmed Ca (sf); previously on Oct 12, 2017 Affirmed Ca (sf) Cl. X*, Affirmed C (sf); previously on Oct 12, 2017 Affirmed C (sf) * Reflects interest-only classes RATINGS RATIONALE The rating on Cl. A-J was affirmed because the ratings are consistent with Moody's expected loss plus realized losses. Class A-J has already experienced a 44% realized loss as result of previously liquidated loans. The rating on the IO class was affirmed based on the credit quality of the referenced classes. Moody's rating action reflects a base expected loss of 26.1% of the current pooled balance, compared to 19.5% at Moody's last review. Moody's base expected loss plus realized losses is now 16.3% of the original pooled balance, compared to 16.1% 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 all classes except interest-only classes was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. The methodologies used in rating interest-only classes 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. The Credit Rating for J.P. Morgan Chase Commercial Mortgage Securities Corp. Series 2006-CIBC17, Cl. X was assigned in accordance with Moody's existing Methodology entitled "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" dated June 2017. Please note that on November 14, 2018, Moody's released a Request for Comment, in which it has requested market feedback on potential revisions to its Methodology for rating structured finance interest-only (IO) securities. If the revised Methodology is implemented as proposed, the Credit Rating on J.P. Morgan Chase Commercial Mortgage Securities Corp. Series 2006-CIBC17, Cl. X may be positively impacted. DEAL PERFORMANCE As of the November 2018 distribution date, the transaction's aggregate certificate balance has decreased by 97% to $74.4 million from $2.54 billion at securitization. The certificates are collateralized by five mortgage loans ranging in size from 6% to 38% of the pool. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of four, the same as at Moody's last review. Two loans, constituting 44% 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. Thirty-four loans have been liquidated from the pool, resulting in an aggregate realized loss of $394.3 million (for an average loss severity of 53%). Two loans, constituting 39% of the pool, are currently in special servicing. The largest specially serviced loan is the Lutherville Station ($22.4 million -- 30.1% of the pool), which is secured by a 270,472 square foot (SF) retail center located in Lutherville, Maryland, roughly 10 miles north of Baltimore and 40 miles northeast of Washington DC. As of July 2018, the property was 59% leased after the largest tenant, which occupied over 22% of the NRA, did not renew at its lease expiration in April 2018. Best Buy recently signed a lease in April 2018, with a lease expiration in March 2021. The loan transferred to the special servicer in August 2016 due to imminent maturity default and became real estate owned ("REO") September 2017. The second loan in special servicing is the Glendale Shopping Center ($6.3 million -- 8.4% of the pool), which is secured by an 89,631 SF grocery-anchored retail center located in Glendale Heights, Illinois. As of December 2017, the property was approximately 71% leased, compared to 66% in August 2017. The loan transferred to special servicing on October 3, 2016 and became REO in March 2018. Tenants at the property include the grocery-anchor and a beauty school. Moody's received full year 2017 operating results for 100% of the pool, and partial year 2018 operating results for 100% of the pool (excluding specially serviced and defeased loans). The non-specially serviced loans represent 61.5% of the pool balance. The largest loan is the Hawaii Kai Shopping Center Loan ($28.2 million -- 38% of the pool), which is secured by a 140,000 SF retail center in Honolulu, Hawaii. The property is located ten miles southeast of the downtown area and is adjacent to a marina. As of March 2018, the property was approximately 75% leased, compared to 79% in July 2017 and 79% at year-end 2016. Moody's value accounts for the higher ground rent payments over the past couple of years. Moody's LTV and stressed DSCR are 118% and 0.87X, respectively, compared to 96% and 1.01X at the last review. The second largest performing loan is the 99 Founders Plaza Loan ($12.8 million -- 17.2% of the pool), which is secured by a 148,000 SF single tenant office building located in East Hartford, Connecticut. The property is 100% leased to a single tenant, Bank of America, with a lease expiration in January 2020. The loan matured in October 2016 but was unable to secure refinancing due to Bank of America's upcoming lease expiration. The loan was modified in December 2017, extending its term. Due to the single tenant exposure, Moody's value incorporated a lit-dark analysis. Moody's LTV and stressed DSCR are 119% and 0.96X, respectively. The third largest performing loan is the Center at Monocacy Loan ($4.7 million -- 6.4% of the pool), which is secured by a 74,000 SF industrial property located in Frederick, Maryland. The subject is located 40 miles northwest of Washington DC and 50 miles west of Baltimore, Maryland. As of December 2017, the property was 100% leased, compared to 93% in June 2017 and 97% at year-end 2016. With the exception of the largest tenant, all leases expire by 2021. Moody's LTV and stressed DSCR are 75% and 1.30X, respectively, compared to 80% and 1.24X at the last review. JP MORGAN 2007-LDP12: S&P Lowers Class B Certs Rating to D(sf) -------------------------------------------------------------- S&P Global Ratings lowered its rating on the class B commercial mortgage pass-through certificates from JPMorgan Chase Commercial Mortgage Securities Trust 2007-LDP12, a U.S. commercial mortgage-backed securities (CMBS) transaction, to 'D (sf)' from 'B- (sf)'. The downgrade to 'D (sf)' reflects principal losses affecting the class, as detailed in the Dec. 17, 2018, trustee remittance report. According to our policy and procedures, we will discontinue the 'D (sf)' rating any time after it has been outstanding for at least 30 days. The December 2018 trustee remittance report reported principal losses totalling $3.2 million. The losses were mainly attributable to additional expenses incurred by the trust from assets/loans that had already liquidated, as well as the resolution of the specially serviced Shop & Save loan this period. The Shop & Save loan liquidated at a 26.6% loss severity of its $5.7 million beginning balance at liquidation. Consequently, class B experienced a principal loss of $1.0 million (4.8%) of its $21.9 million original principal balance and class C (not rated by S&P Global) lost 100% of its $2.2 million beginning balance. JP MORGAN 2011-C3: Fitch Affirms B Rating on $16.8MM Class H Certs ------------------------------------------------------------------ Fitch Ratings has affirmed nine classes of J.P. Morgan Chase Commercial Mortgage Securities Corp. Commercial Mortgage Pass-Through Certificates series 2011-C3. KEY RATING DRIVERS Increased Loss Expectations: While the majority of the pool continues to exhibit stable performance, the Negative Outlooks on classes E, G, H and J reflect concerns surrounding the four Fitch Loans of Concern (FLOCs; 39.2%), which include two regional malls that have suffered performance deterioration. The malls, which together total 36% of the pool balance, are both sponsored by The Pyramid Companies. The pool has become increasingly concentrated with only 17 of the original 45 loans remaining. The largest loan, the Holyoke Mall, accounts for 27.8% of the pool, while the top five loans account for 74.7% of the pool. Seven loans (44.4%) are secured by retail properties, including the three largest FLOCs (37.9%). Increased Credit Enhancement; Substantial Paydown: As of the November 2018 distribution date, the pool's aggregate principal balance has been reduced by 54.0% to $686.7 million from $1.493 billion at issuance and 21.1% since Fitch Ratings' last rating action. Seven loans have paid off since Fitch's last rating action, including two loans in the top 15 at issuance. Since issuance, only one loan has disposed with a loss totaling $5.9 million. Three loans (17.7%) are fully defeased. All remaining loans are currently amortizing. The entire remaining pool matures between October 2020 and March 2021. Fitch Loans of Concern: The Holyoke Mall is secured by a 1.4 million-sf portion of a 1.6 million-sf regional mall located in Holyoke, MA. The mall is anchored by Macy's (non-collateral), Target, JCPenney, Best Buy and Burlington Coat Factory. In-line tenants include Apple, Sephora and H&M. Collateral occupancy declined to approximately 68.9% from 88.1% at YE 2017 after Babies "R" Us (2.7% of NRA) vacated in April 2018, Sears (13.5%) vacated in November 2018 and Forever 21 downsized its space by 37,319 sf (2.8%) in July 2018. Further, A.C. Moore (1.7%) is expected to vacate its space upon lease expiration in December 2018. Approximately 26.2% of the remaining NRA rolls by the loan's maturity in February 2021, including anchor tenant JCPenney (11.0%) in October 2020 and Best Buy (3.8%) in January 2020. Comparable in-line sales remained relatively healthy at $421 (excluding Apple) as of TTM September 2018. The second FLOC is Sangertown Square (8.2%), which is secured by an 894,127-sf regional mall located in New Hartford, NY. After Sears vacated its collateral anchor space in July 2015, Boscov's re-leased the space within the year; however, cash flow declined substantially as Sears paid approximately $1.2 million in expense reimbursements annually, while Boscov's currently pays none. While occupancy has recovered to 94.4% as of the September 2018 rent roll, the servicer-reported YTD June 2018 NOI DSCR fell to 1.14x from 1.48x at YE 2014 prior to Sears' departure. The remaining FLOCs are secured by the Turnpike Mall (1.9%), a 214,934-sf community shopping center located in Augusta, ME that transferred to special servicing following the closure of both Sears and TJ Maxx stores, and the Time Warner Building- Syracuse (1.3%), a 108,602-sf single tenant office property located in East Syracuse, NY that has significant potential for maturity default due to the tenant's lease expiration at loan maturity in November 2020. Fitch will continue to monitor all FLOCs. Alternative Loss Considerations: Fitch performed an additional sensitivity scenario that assumed potential outsized losses of 25% on the Holyoke Mall loan, 25% on Sangertown Square loan, 100% on the Turnpike Mall loan and 50% on the Time Warner Building- Syracuse loan. The scenario also factored in the expected paydown of the transaction from defeased loans. The Rating Outlooks reflect this analysis. RATING SENSITIVITIES The Negative Outlooks on classes E, G, H and J reflect the potential for downgrade due to concerns surrounding the FLOCs, primarily the Holyoke Mall. Rating downgrades to these classes may occur should performance of the FLOCs continue to decline. Rating Outlooks for the senior classes remain Stable due to the significant credit enhancement, stable performance of the majority of the remaining pool and continued expected amortization. Rating upgrades may be limited due to increasing pool concentration and adverse selection. DUE DILIGENCE USAGE 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 and revised an Outlook where indicated: -- $438.8 million class A-4 at 'AAAsf'; Outlook Stable; -- $438.8 million class X-A* at 'AAAsf'; Outlook Stable; -- $41.1 million class B at 'AAsf'; Outlook Stable; -- $52.3 million class C at 'Asf'; Outlook Stable; -- $35.5 million class D at 'BBB+sf'; Outlook Stable; -- $41.1 million class E at 'BBB-sf'; Outlook to Negative from Stable; -- $9.3 million class G at 'BBsf'; Outlook Negative; -- $16.8 million class H at 'Bsf'; Outlook Negative; -- $3.7 million class J at 'B-sf'; Outlook Negative. * Notional amount and interest-only. The class A-1, A-2, A-3 and A-3FL certificates have paid in full. Fitch does not rate the class F and NR certificates or the interest-only class X-B certificates. KEYCORP STUDENT 2004-A: S&P Affirms CCC Rating on Cl. II-D Notes ---------------------------------------------------------------- S&P Global Ratings raised its ratings on six and affirmed its ratings on two classes of notes from five KeyCorp Student Loan Trust transactions. At the same time, S&P removed all of its ratings from CreditWatch with positive implications. Key features of the transactions are as follows: -- The trusts were originally backed by mixed collateral pools comprising FFELP (Group I) and private (Group II) student loans. The 2002-A and 2003-A Group I FFELP collateral has been purchased by KeyBank N.A., and the corresponding Group I notes have been redeemed in full. Thus, only the Group II notes backed by private student loans remain for these deals. -- Series 2002-A and 2003-A are in full turbo mode, where all excess spread is used to pay down the notes in lieu of releasing funds to the issuer. This has resulted in significant increases in credit enhancement. -- The 2004-A, 2005-A, and 2006-A series have bifurcated waterfalls, where the proceeds from the FFELP student loans are first used to make payments to the Group I notes and the proceeds from the private student loans are first used to make payments to the Group II notes. Amounts at the bottom of each group's respective waterfall can be used to make payments to the other group's waterfall (subject to the parity release thresholds). Once parity release thresholds are met for both groups of notes, remaining amounts can be released to the Issuer. These transactions are allocating principal sequentially resulting in increasing credit enhancement for most classes. Potential credit enhancement growth is limited for the most subordinated classes due to the parity release thresholds. The structures allow interest to be reprioritized from subordinated classes to pay principal to senior classes if certain triggers are breached. The 2004-A and 2006-A Group II notes are undercollateralized and have parity below their parity release thresholds. RATIONALE The rating upgrades reflect the increasing credit enhancement coupled with decreases in our remaining net loss assumptions. The private student loan collateral is seasoned and has experienced significant declines in the pace of defaults since the peak default period. S&P said, "The affirmations reflect our view that these classes are not a virtual certainty to default, but remain reliant on favorable business, financial, or economic conditions to occur in order to be repaid in full by their legal final maturity dates. Although our remaining net loss expectations have declined, the expected credit enhancement for these deals cannot withstand our revised net loss expectation." GROUP II NOTES (PRIVATE-BACKED) Table 1 sets out the capital structure for the Group II notes. Table 1 Current Capital Structure(i) Current Note balance factor Maturity Series Class (mil. $) (%)(ii) date 2002-A II-A-2 34.3 6 Aug. 2031 2003-A II-A-3 19.4 8 April 2036 2003-A II-B 20.5 65 Jan. 2037 2004-A II-B 0.2 0 Jan. 2042 2004-A II-C 66.7 100 April 2042 2004-A II-D 33.4 100 July 2042 2005-A II-B 70.4 83 Sept. 2038 2005-A II-C 35.7 89 Dec. 2038 2006-A II-A-4 19.8 14 Sept. 2035 2006-A II-B 101.7 100 Dec. 2041 2006-A II-C 47.7 100 March 2042 (i)Data from the quarterly servicer report with collection period ending October 2018 for 2002-A, September 2018 for series 2003-A and 2004-A, and August 2018 for series 2005-A and 2006-A. (ii)Calculated using the current note balance divided by original note balance. The current credit enhancement, as measured by parity for the Group II notes, is set out below in table 2. Table 2 Parity (%) Trust Class A Class B Class C Class D 2002-A 134.6(i) N/A N/A N/A 2003-A 321.1(ii) 156.1(i) N/A N/A 2004-A N/A 47,874.2(ii) 142.4(ii) 95.00(i) 2005-A N/A 152.2(ii) 101.00(i) N/A 2006-A 826.1(iii) 134.7(iii) 96.8(i) N/A (i)Reported parity as per latest distribution report. (ii)Calculated parity uses the current loan pool balance, which includes interest to be capitalized over the sum of the respective class balance and the class balance of notes senior to the respective class. (iii)2006-A: Calculations use reserve account balance plus the current loan pool balance, which includes interest to be capitalized over the sum of the respective class balance and the class balance of notes senior to the respective class. N/A--Not applicable. The majority of the Group II's pools are in repayment. Approximately 6%-8% of the loans are in a loan status where the borrower is not currently making payments (in-school, grade, deferral, forbearance, and 30-plus delinquencies). The pool of private student loans are seasoned; the annual pace of defaults has declined from when the pools were in their peak default periods. Table 3 shows that the change in the cumulative defaults from one year ago to now ranges from 0.13% to 0.45%, depending on the transaction. The change has decreased since S&P's prior review, and it expects the pace of defaults to continue at low levels. Table 3 Deal Statistics Trust Cum. default Cum. default Change in one year ago current cum. defaults (%)(ii) (%)(i) (%)(iii) 2002-A 17.72 17.85 0.13 2003-A 20.60 20.79 0.19 2004-A 23.15 23.39 0.24 2005-A 19.69 20.00 0.31 2006-A 21.89 22.34 0.45 (i)As of the quarterly servicer report with collection period ending Oct 2018 for 2002-A, September 2018 for series 2003-A and 2004-A, and August 2018 for series 2005-A and 2006-A. (ii)As reported in the respective quarterly servicer report one year prior. (iii)Cumulative default current % less cumulative default one year ago %. DEFAULT EXPECTATIONS AND NET LOSS PROJECTIONS Generally, the Group II collateral across the five trusts originally comprised private student loans originated under seven different loan programs. The Group II collateral is at a low pool factor ranging between 6%-20%, depending on the transaction. The pace of defaults has continued to decline as the deals have seasoned. Considering the current pace of defaults and any expected future declines, S&P has revised downward its default expectations. S&P said, "For the Group II private student loan-backed collateral, our cumulative default assumptions have declined to a range of 18.3%-24.3% of the original pool balance between 18.5%-25.8% in our 2015 review, varying within the range based on the specific pool. We assumed future stressed recovery rates of 15%-20% of the dollar amount of cumulative defaults, resulting in our expectation for remaining cumulative net losses as a percent of the current pool balance ranging from 5%-9%. This is a decline from our expectations in our 2015 review which ranged from 7.3%-13.8% depending on the transaction." Table 4 Group II Cumulative Default And Net Loss Expectations Approx. projected Approx. projected lifetime cumulative remaining cumulative gross defaults as a % of net losses as a % of initial balance current balance Trust (rounded) (rounded) 2002-A 18 6 2003-A 21 5 2004-A 24 7 2005-A 22 8 2006-A 24 9 CASH FLOW MODELING ASSUMPTIONS To determine the expected remaining net losses each class can withstand, S&P ran breakeven cash flows for the Group II backed classes. The following are some of the major assumptions S&P modeled: FFELP loans: -- Defaults at 35%; -- Servicer rejects in the 1.50%-3.00% range; -- Front-loaded four-year default curve; -- Recovery rates reflecting the government guaranty provided for on the loan-level collateral file; -- Special allowance payments and interest rate subsidy delays of two months; and -- Delay of U.S. Department of Education (ED) claim reimbursement on defaulted loans of 630 days. Private loans: -- Five-year straight-line default curve; -- Six-year moderately front-loaded default curve; and -- Recovery rates in the 10%-20% range received over six years. FFELP and private loans: -- Prepayment speeds starting at an approximately 0%-5% (depending on rating scenario) constant prepayment rate (CPR; an annualized prepayment speed stated as a percentage of the current loan balance) and ramping up 1% per year to a maximum rate of 5%-10% depending on the rating scenario. We held the applicable maximum rate constant for the remainder of the deal's life. -- Deferment: 2.00-5.00% of the loans are in deferment for 48 months. -- Forbearance: 2.00%-5.00% of the loans are in forbearance for 36 months. -- Stressed one-month LIBOR interest rate paths based on those that S&P publishes. -- Interest rate indices that are benchmarked off of one-month LIBOR. -- S&P used each period's beginning collateral and beginning note balance to calculate any triggers in the deal. Cash Flow Modeling Results S&P said, "We determined the multiple of coverage, for each class, using the lowest breakeven net loss rate determined from the cash flow runs relative to our remaining net loss expectation. We adjusted the multiple to consider increases that have occurred in overcollateralization since the cash flows were run. "We determined our rating on each class by comparing the adjusted multiple to those set out in our private student loan criteria while considering the sensitivity of the multiple to possible changes in our remaining net loss expectation." Because these structures have interest reprioritization triggers--where interest to a subordinate class can be reprioritized below principal to the current class--the cash flows are sensitive to both the level of defaults and the timing of when the defaults will occur. In most cases, it is more stressful to a senior class if defaults occur such that the interest reprioritization trigger does not breach because, in this scenario, the structure will continue to pay subordinate note interest. S&P said, "For 2003-A class II-B, we limited the rating below what was determined by its cash flow multiple because there is a current paying class senior to this note. The senior paying class is in a stronger position than this class as it receives its principal and interest first and, in the case of an event of default, it might receive additional preferences. "The 2004-A class II-D and the 2006-A class II-C cash flows could not withstand our 'B' stress scenarios. As such, we applied our criteria and determined that these classes are not a virtual certainty to default, but are reliant on favorable business, financial, or economic conditions to occur in order to be repaid in full by their legal final maturity dates. "We will continue to monitor the performance of the student loan receivables backing these transactions relative to their revised cumulative default expectations and the available credit enhancement. We will take rating actions as we consider appropriate." RATINGS UPGRADED AND REMOVED FROM WATCH POSITIVE KeyCorp Student Loan Trust 2002-A Rating Class To From II-A-2 AAA (sf) BBB (sf)/Watch Pos KeyCorp Student Loan Trust 2003-A Rating Class To From II-B AA+ (sf) A+ (sf)/Watch Pos KeyCorp Student Loan Trust 2004-A Rating Class To From II-C AA- (sf) BBB- (sf)/Watch Pos KeyCorp Student Loan Trust 2005-A Rating Class To From II-B AA+ (sf) BB (sf)/Watch Pos II-C B (sf) B- (sf)/Watch Pos KeyCorp Student Loan Trust 2006-A Rating Class To From II-B BBB+ (sf) B+ (sf)/Watch Pos RATINGS AFFIRMED AND REMOVED FROM WATCH POSITIVE KeyCorp Student Loan Trust 2004-A Rating Class To From II-D CCC (sf) CCC (sf)/Watch Pos KeyCorp Student Loan Trust 2006-A Rating Class To From II-C CCC (sf) CCC (sf)/Watch Pos LAKESIDE CDO I: Moody's Withdraws Ratings on 3 Tranches ------------------------------------------------------- Moody's Investors Service has withdrawn the ratings on the following notes issued by Lakeside CDO I, Ltd.: US$624,000,000 Class A-1 First Priority Senior Secured Floating Rate Notes Due 2038 (current outstanding balance of 29,648,894.29), Withdrawn (sf); previously on September 9, 2016 Upgraded to Ba3 (sf) US$152,000,000 Class A-2 Second Priority Senior Secured Floating Rate Notes Due 2038, Withdrawn (sf); previously on March 20, 2009 Downgraded to C (sf) US$9,000,000 Class B Third Priority Senior Secured Floating Rate Notes Due 2038 (current outstanding balance $11,802,804.78), Withdrawn (sf); previously on March 20, 2009 Downgraded to C (sf) RATINGS RATIONALE Moody's has decided to withdraw the ratings because it believes it has insufficient or otherwise inadequate information to support the maintenance of the ratings. LEHMAN BROTHERS 2007-1: Moody's Lowers Rating on Cl. M2 Certs to C ------------------------------------------------------------------ Moody's Investors Service downgrades the rating on one class of certificates from a 2007 securitization of small balance commercial real estate loans. The deal is serviced by Ocwen Loan Servicing, LLC. The complete rating action is as follow: Issuer: Lehman Brothers Small Balance Commercial Mortgage Pass-Through Certificates, Series 2007-1 Cl. M2, Downgraded to C (sf); previously on Feb 20, 2018 Downgraded to Ca (sf) RATINGS RATIONALE The downgrade action is due to continued weak pool performance and increased under-collateralization while the reserve fund is fully depleted. Further, as of the November payment date, the transaction has approximately 12% of the collateral balance in foreclosure or REO status. PRINCIPAL METHODOLOGY The principal methodology used in this rating was "Moody's Global Approach to Rating SME Balance Sheet Securitizations" published in August 2017. Factors that would lead to an upgrade of the rating: Better than expected pool performance and levels of credit enhancement that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline below Moody's expectations as a result of a decrease in seriously delinquent loans, lower loss severities than expected on liquidated loans, or fewer defaults than expected. MADISON PARK XXXII: S&P Gives Prelim. BB- Rating to Class E Debt ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Madison Park Funding XXXII Ltd./Madison Park Funding XXXII LLC's floating-rate notes. The note issuance is a collateralized loan obligation transaction backed primarily by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. The preliminary ratings are based on information as of Dec. 13, 2018. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The diversified collateral pool. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. PRELIMINARY RATINGS ASSIGNED Madison Park Funding XXXII Ltd./Madison Park Funding XXXII LLC Class Rating Amount (mil. $) X NR 2.00 A-1 AAA (sf) 480.00 A-2 NR 36.00 B AA (sf) 88.00 C (deferrable) A (sf) 56.00 D (deferrable) BBB- (sf) 42.00 E (deferrable) BB- (sf) 30.00 Subordinated notes NR 80.00 NR--Not rated. MERCURY CDO 2014-1: Moody's Withdraws Ratings on 7 Tranches ----------------------------------------------------------- Moody's Investors Service has withdrawn the ratings on the following notes issued by Mercury CDO 2004-1, Ltd.: US$100,000 Class A-1VA First Priority Senior Secured Voting Floating Rate Notes Due 2040 (current outstanding balance of $4,013), Withdrawn (sf); previously on September 29, 2017 Upgraded to B1 (sf) US$330,000,000 Class A-1VB First Priority Senior Secured Voting Floating Rate Notes Due 2040 (current outstanding balance of $13,245,897), Withdrawn (sf); previously on September 29, 2017 Upgraded to B1 (sf) US$299,900,000 Class A-1NV First Priority Senior Secured Non-Voting Floating Rate Notes Due 2040 (current outstanding balance of $12,037,711), Withdrawn (sf); previously on September 29, 2017 Upgraded to B1 (sf) US$25,000,000 Class A-2A Second Priority Senior Secured Floating Rate Notes Due 2040, Withdrawn (sf); previously on November 13, 2009 Downgraded to Ca (sf) US$31,050,000 Class A-2B Second Priority Senior Secured Floating Rate Notes Due 2040, Withdrawn (sf); previously on November 13, 2009 Downgraded to Ca (sf) US$38,880,000 Class B Third Priority Senior Secured Floating Rate Notes Due 2040, Withdrawn (sf); previously on March 24, 2009 Downgraded to C (sf) US$17,000,000 Class C Fourth Priority Mezzanine Secured Floating Rate Notes Due 2040 (current outstanding balance of $19,292,193), Withdrawn (sf); previously on March 24, 2009 Downgraded to C (sf) RATINGS RATIONALE Moody's has decided to withdraw the ratings because it believes it has insufficient or otherwise inadequate information to support the maintenance of the ratings. ML-CFC COMMERCIAL 2007-7: Moody's Affirms C Ratings on 3 Tranches ----------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on five classes in ML-CFC Commercial Mortgage Trust 2007-7, Commercial Mortgage Pass-Through Certificates, Series 2007-7, as follows: Cl. AM, Affirmed B1 (sf); previously on Sep 28, 2017 Upgraded to B1 (sf) Cl. AM-FL, Affirmed B1 (sf); previously on Sep 28, 2017 Upgraded to B1 (sf) Cl. AJ, Affirmed C (sf); previously on Sep 28, 2017 Downgraded to C (sf) Cl. AJ-FL, Affirmed C (sf); previously on Sep 28, 2017 Downgraded to C (sf) Cl. X*, Affirmed C (sf); previously on Sep 28, 2017 Affirmed C (sf) * Reflects interest-only classes RATINGS RATIONALE The ratings on two P&I classes, Cl. AM and AM-FL, 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 Cl. AJ and CL. AJ-FL were affirmed because the ratings are commensurate with Moody's expected loss plus realized losses. The rating of the IO class was affirmed because of the credit quality of the referenced classes. Moody's rating action reflects a base expected loss of 64.0% of the current pooled balance, compared to 49.4% at Moody's last review. Moody's base expected loss plus realized losses is now 18.0% of the original pooled balance, the same as 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 all classes except interest-only classes was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. The methodologies used in rating interest-only classes 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. The Credit Ratings for ML-CFC Commercial Mortgage Trust 2007-7, Cl. X was assigned in accordance with Moody's existing Methodology entitled "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" dated June 2017. Please note that on November 14, 2018, Moody's released a Request for Comment, in which it has requested market feedback on potential revisions to its Methodology for rating structured finance interest-only (IO) securities. If the revised Methodology is implemented as proposed, the Credit Ratings on for ML-CFC Commercial Mortgage Trust 2007-7, Cl. X may be positively affected. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 94% of the pool is in special servicing. In this approach, Moody's determines a probability of default for each specially serviced and troubled loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss from specially serviced to the most junior class(es) and the recovery as a pay down of principal to the most senior class(es). DEAL PERFORMANCE As of the December 13, 2018 distribution date, the transaction's aggregate certificate balance has decreased by 94.3% to $157.4 million from $2.79 billion at securitization. The certificates are collateralized by 19 mortgage loans ranging in size from less than 1% to 22.2% of the pool. The three remaining non-specially serviced loans represent only 6% of the pool. Eighty-six loans have been liquidated from the pool at a loss, contributing to an aggregate realized loss of $402 million (for an average loss severity of 53%). Sixteen loans, constituting 93.8% of the pool, are currently in special servicing. The largest specially serviced loan is the Scottsdale Center Loan ($35.0 million -- 22.2% of the pool), which is secured by a 201,565 SF anchored retail center located in Rogers, Arkansas. Major tenants at the property include Belk and Ross Dress for Less. The loan was transferred to the special servicer in April 2017 due to imminent maturity default. The foreclosure sale took place in November 2018 and receipt of the deed is pending. The property was 81% leased as of December 2017. The second largest specially serviced loan is the Renaissance III Retail -- A Note ($30.0 million -- 19.1% of the pool), which is secured by a 226,000 SF grocery-anchored retail center located in Central Las Vegas, approximately four miles from the Las Vegas Strip. The property's anchor, Ralph's, is dark and has a final lease expiration in December 2018. The loan most-recently transferred to the special servicer in May 2017 due to imminent maturity default. The loan was previously transferred to the special servicer in March 2010 and was subsequently bifurcated into an A-note/B-note split, which created a $30.0 million A-note and $10.0 million B-note. The property was 83% leased as of June 2018, however, occupancy will fall to 66% after Ralph's lease expiration. The third largest specially serviced loan is the Gristmill Village Loan ($12.6 million -- 8.0% of the pool), which is secured by a mixed-use office/retail property located in Concord, Ohio approximately 30 miles northeast of the Cleveland CBD. The retail component makes up approximately 65% of the NRA and the office component makes up the remaining 35%. The loan transferred to the special servicer in June 2017 due to maturity default. The remaining specially serviced loans are secured by a mix of property types. Moody's estimates an aggregate $99 million loss for the specially serviced loans (67% expected loss on average). The three performing loans represent 6.2% of the pool balance. The largest loan is the Radisson Fee Interest Loan ($8.0 million -- 5.1% of the pool), which is secured by the fee interest in the land beneath a lodging facility located in Phoneix, Arizona. The second largest loan is the Comfort Suites SouthHaven Loan ($1.6 million -- 1.0% of the pool), which is secured by a 73-key limited-service hotel located in Southhaven, Mississippi, 15 miles south of the Memphis, Tennessee CBD. The third largest loan is the Holiday Inn Express Vicksburg Loan ($0.2 million -- 0.1% of the pool), which is secured by a 75-key limited service hotel located in Vicksburg, Mississippi. MORGAN STANLEY 2005-TOP19: Fitch Lowers $6.1MM Class L Certs to Csf ------------------------------------------------------------------- Fitch Ratings has upgraded one, downgraded one, and affirmed 11 classes of Morgan Stanley Capital I Trust commercial mortgage pass-through certificates, series 2005-TOP19. KEY RATING DRIVERS Increased Credit Enhancement: The upgrade to class E reflects increased credit enhancement since Fitch's last rating action due to continued scheduled amortization and liquidation proceeds from a REO liquidation. Six loans (42% of pool) have been fully defeased. As of the December 2018 distribution date, the aggregate pool balance has been reduced by 92.7% to $90.3 million from $1.2 billion at issuance. Realized losses totalled 1.2% of original pool balance. Cumulative interest shortfalls totalling approximately $733,000 million are currently impacting classes L through P. Increased Loss Expectations: The downgrade of class L reflects increased loss expectations on the real-estate owned (REO) Sportmart Crystal Lake asset (4.7% of current pool), a 52,599 square foot (sf) single-tenant retail property located in Crystal Lake, IL. The loan was transferred to special servicing in May 2015 for maturity default. An 18-month maturity extension was initially set to be approved, but was not granted when the sole tenant at the property, Sports Authority, declared bankruptcy in March 2016. The property has remained vacant since August 2015, though Sports Authority did pay rent through February 2016. The asset became REO in July 2016. The property has previously been under contract three times, but had all fallen through. Per the special servicer, a sale of the property relaunched at the end of November 2018. Concentrated Pool: Alternative Loss Consideration: The pool is highly concentrated with only 15 loans and one REO asset remaining. Due to the concentrated nature of the pool, Fitch performed a sensitivity analysis that grouped the remaining loans based on structural features, collateral quality and performance, then ranked them by their perceived likelihood of repayment. The rating of classes E through J were capped to reflect the collateral quality and adverse selection of the remaining loans/assets. Of the nine non-defeased and non-specially serviced loans, two (20% of pool) are secured by multifamily properties in the Albany, NY MSA, three (12%) are single-tenanted properties/portfolios and four (21%) are retail properties in secondary and tertiary markets. Fitch also performed an additional sensitivity scenario, which applied a 50% loss on the Santana Village loan (retail; Santee, CA) which matures in July 2020 given refinance concerns in 2020 as the grocer-anchor tenant rolls one year after loan maturity. The rating of class K was capped at 'CCCsf' based upon this sensitivity analysis. ADDITIONAL CONSIDERATIONS Amortization Schedule: All of the non-specially serviced loans are currently amortizing, including four fully amortizing loans comprising 12.7% of the pool. Maturity Concentration: Loan maturities are concentrated in 2020 with 82% of the pool, followed by 13% in 2025. RATING SENSITIVITIES The Stable Outlooks on classes B through J reflect sufficient credit enhancement to the classes relative to expected losses. Future upgrades are possible with timely loan dispositions and workout resolutions. Downgrades are possible if pool performance deteriorates or loans default at 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 action. Fitch has upgraded the following rating: -- $12.3 million class E to 'Asf' from 'BBBsf'; Outlook Stable. Fitch has downgraded the following rating: -- $6.1 million class L to 'Csf' from 'CCsf'; RE 70%; Fitch has affirmed the following classes: -- $6.6 million class B at 'AAAsf'; Outlook Stable; -- $12.3 million class C at 'AAAsf'; Outlook Stable; -- $15.4 million class D at 'AAAsf'; Outlook Stable; -- $9.2 million class F at 'BBBsf'; Outlook Stable; -- $9.2 million class G at 'BBsf'; Outlook Stable; -- $10.7 million class H at 'Bsf'; Outlook Stable; -- $3.1 million class J at 'Bsf'; Outlook Stable; -- $3.1 million class K at 'CCCsf'; RE 100%; -- $1.5 million class M at 'Csf'; RE 0%; -- $0.8 million class N at 'Dsf'; RE 0%; -- $0 class O at 'Dsf'; RE 0%. The class A-1, A-2, A-3, A-AB, A-4A, A-4B, and A-J certificates have paid in full. Fitch does not rate the class P certificates. Fitch previously withdrew the rating on the interest-only class X-1 and X-2 certificates. MORGAN STANLEY 2006-TOP23: S&P Cuts Cl. F Certs Rating to CCC+ -------------------------------------------------------------- S&P Global Ratings lowered its rating on the class F commercial mortgage pass-through certificates from Morgan Stanley Capital I Trust 2006-TOP23, a U.S. commercial mortgage-backed securities (CMBS) transaction. In addition, S&P affirmed its ratings on two other classes from the same transaction. For the affirmations, S&P credit enhancement expectation was in line with the affirmed rating levels. The downgrade on class F reflects credit support erosion that we anticipate will occur upon the eventual resolution of the two loans ($27.2 million, 44.2%) with the special servicer. While available credit enhancement levels may suggest positive rating movements on classes D and E, S&P's analysis also considered the bonds' susceptibility to reduced liquidity support from the two specially serviced loans and the significant exposure to retail collateral and interest-only loans. TRANSACTION SUMMARY As of the Dec. 12, 2018, trustee remittance report, the collateral pool balance was $61.4 million, which is 3.8% of the pool balance at issuance. The pool currently includes 10 loans, down from 161 loans at issuance. Two of these loans are with the special servicer, one ($2.8 million, 4.6%) is defeased, and three ($11.9 million, 19.3%) are on the master servicer's watchlist. S&P calculated a 1.27x S&P Global Ratings weighted-average debt service coverage (DSC) and 72.4% S&P Global Ratings weighted-average loan-to-value (LTV) ratio using a 7.55% S&P Global Ratings weighted-average capitalization rate. The DSC, LTV, and capitalization rate calculations exclude the two specially serviced loans and the defeased loan. To date, the transaction has experienced $47.8 million in principal losses, or 3.0% of the original pool trust balance. S&P expects losses to reach approximately 3.8% of the original pool trust balance in the near term, based on losses incurred to date and additional losses we expect upon the eventual resolution of the two specially serviced loans. CREDIT CONSIDERATIONS As of the Dec. 12, 2018, trustee remittance report, two loans in the pool were with the special servicer, C-III Asset Management LLC (C-III). Details of the specially serviced loans are as follows: -- The 150 Hillside Avenue loan ($20.2 million, 32.9%) is the largest loan in the pool and has a reported total exposure of $20.2 million. The loan is secured by a 127,325-sq.-ft. office property in White Plains, New York. The loan was transferred to the special servicer on Sept. 12, 2017, because of imminent default. C-III stated that it is evaluating its options, including foreclosure proceedings. The reported DSC and occupancy for the eight months ending Aug. 31, 2018, were 2.25x and 100.0%, respectively. The largest tenant's lease expires in December 2018, and the tenant has already vacated a majority of their space; however, the tenant is holding over a portion of their space into March 2019. A $3.2 million appraisal reduction amount (ARA) is in effect against this loan. S&P expects a moderate (26-59%) loss upon this loan's eventual resolution. -- The Lansing Shopping Center loan ($7.0 million, 11.3%) is the third-largest loan in the pool and has a reported total exposure of $7.3 million. The loan is secured by an 80,000-sq.-ft. retail property in Lansing, Ill. The loan was transferred to the special servicer on July 10, 2018, because of imminent default. C-III stated that it is evaluating its options, including foreclosure proceedings. The reported occupancy for the three months ending March 31, 2018, was 44.0%. A $4.2 million ARA is in effect against this loan. S&P expects a significant (60% or greater) loss upon this loan's eventual resolution. RATING LOWERED Morgan Stanley Capital I Trust 2006-TOP23 Commercial mortgage pass-through certificates Rating Class To From F CCC+ (sf) B+ (sf) RATINGS AFFIRMED Morgan Stanley Capital I Trust 2006-TOP23 Commercial mortgage pass-through certificates Class Rating D A+ (sf) E BBB- (sf) MORGAN STANLEY 2013-C7: DBRS Confirms B Rating on Class G Certs --------------------------------------------------------------- DBRS Limited confirmed all classes of Commercial Mortgage Pass-Through Certificates, Series 2013-C7 issued by Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7 as follows: -- 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 AA (sf) -- Class X-B at A (high) (sf) -- Class C at A (sf) -- Class PST at A (sf) -- Class D at BBB (sf) -- Class E at BB (high) (sf) -- Class F at BB (sf) -- Class G at B (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction since issuance. As of the November 2018 remittance, 55 of the original 64 loans remained in the pool with an aggregate principal balance of $1.1 billion, representing a collateral reduction of 22.7% since issuance. The bulk of the principal repayment was the result of scheduled loan amortization and successful loan repayments, but there has been one loan liquidated from the pool in Prospectus ID#25, Oakridge Office Park, which was resolved in January 2017 with a loss of $3.8 million. The loss was contained to the unrated Class H certificates. In addition, there are two loans, representing 1.6% of the pool, that are fully defeased. Although the pay down since issuance has been significant and benefits the overall credit quality of the pool, DBRS's concerns with two loans in the top 15, Valley West Mall (Prospectus ID#7, 4.1% of the pool) and Scripps Research Building (Prospectus ID#8, 3.1% of the pool), temper those positive factors to a degree and generally limit the likelihood of ratings upgrades through the near to medium term. Of the 53 non-defeased loans remaining in the pool, 47 loans, representing 81.4% of the pool, are reporting year-end (YE) 2017 financials, with a weighted-average (WA) debt-service coverage ratio (DSCR) and debt yield of 1.91 times (x) and 11.1%, respectively. Fourteen of the 15 largest loans reported YE2017 financials. These loans reported a WA DSCR and debt yield of 1.90x and 10.8%, respectively, representing a WA net cash flow growth of 5.5% over the DBRS issuance figures. Although there has been overall cash flow growth since issuance, the percentage is relatively low as compared with other transactions of this vintage rated by DBRS, another factor limiting the prospects for upgrades to the original ratings derived at issuance. As of the November 2018 remittance, there are six loans, representing 7.4% of the pool, on the servicer's watch list and no loans in special servicing. Five of the six loans on the watch list are being monitored for performance issues. The largest loan on the watch list, Scripps Research Building, is secured by an office and research facility in California. The property is 100% occupied by an investment-grade tenant, Scripps Research Institute (Scripps), on a lease through June 2019. The servicer has not confirmed the renewal status for Scripps, but DBRS found listings online suggesting the space is currently being listed for lease with an asking rate of $54 per square foot (psf), compared with the rental rate of $50.78 psf Scripps is currently paying. The property is highly specialized for research tenants, which is ideal considering the surrounding area is known for its biotechnology research and learning institutions. The loan was structured with a cash flow sweep to be triggered 18 months prior to Scripps' lease expiration if notice of renewal is not received. DBRS has requested confirmation from the servicer that the sweep is in place. For additional information on this loan, please see the loan commentary in the DBRS Viewpoint platform, for which information has been provided below. Although not yet added to the servicer's watch list, the Valley West Mall (Prospectus ID#7, 4.1% of the pool) loan is being monitored by DBRS because one of the mall's anchor tenants, Younkers (formerly 24.0% of the net rentable area (NRA)), vacated ahead of its lease expiry of January 2021 after its parent company, Bon-Ton, filed for bankruptcy and liquidated all stores. Additionally, Von Maur (21.5% of NRA; lease expires October 2022) announced in February 2018 that the chain would be building another store at the Jordan Creek Town Center mall, four miles west of the subject, in 2022. The subject mall is located in a B market in West Des Moines, Iowa, and at issuance, DBRS noted the Jordan Creek property was far superior to the subject in terms of tenancy and overall appeal. Although Von Maur has publicly affirmed the Valley West Mall location would not be impacted by these developments, DBRS believes it is unlikely both locations would ultimately be supported by this market. When removing both Younkers' and Von Maur's rent, the implied DSCR is approximately 1.34x; however, DBRS believes it would fall even lower when co-tenancy clauses allowing inline tenants to vacate or modify leases kicked in for the loss of two anchors. DBRS has asked for clarification on the subject's Von Maur's status and plans for repurposing the vacant Younkers space from the servicer and will continue to monitor the situation. Although the near-term cash flow trends appear sufficient to cover debt service, the outlook for the mall if both anchor spaces are vacant is tenuous at best. For additional information on this loan, please see the loan commentary in the DBRS Viewpoint platform, for which information has been provided below. At issuance, DBRS shadow-rated Sun Valley Shopping Center Fee (Prospectus ID#17, 2.0% of the pool) investment grade, based on the cash flow stability, strong exit debt yield, high-quality tenancy, and strong sponsorship. DBRS confirmed that performance of this loan remains consistent with investment-grade characteristics. 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. MORGAN STANLEY 2014-C14: Fitch Affirms B-sf Rating on Cl. G Certs ----------------------------------------------------------------- Fitch Ratings has affirmed 15 classes of Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C14 commercial mortgage pass-through certificates. KEY RATING DRIVERS Increased Loss Expectations: While the majority of the pool is performing in line with issuance expectation, expected losses have increased due to concerns over the seven Fitch Loans of Concern (FLOCs, 14.5% of the pool), including two specially serviced loans (4.8%). The Negative Rating Outlook assigned to class G reflects concern over these loans. The largest FLOC is the specially serviced Aspen Heights - Columbia (4.1%), which is secured by a student housing property located off the campus of the University of Missouri - Columbia. The loan transferred to special servicing on Nov. 8, 2017 due to imminent monetary default. Occupancy at the subject student housing property has deteriorated in recent years, and per the September 2018 rent roll, the property was only 45.1% leased compared to 75.8% in October 2017 and 90.2% in September 2016. The servicer reported YE 2017 NOI DSCR was 1.0x. Seven new properties have come online since the subject was constructed in 2013 with the majority located closer to campus than the subject, which is close to two miles from campus. Three other loans within the top 15 (8.2%) are also designated FLOCs. All have suffered recent occupancy- related issues. The Papago Gateway Center loan (3%), which is secured by a high-end office property in Tempe, AZ, has seen occupancy decline to 68.2% as of September 2018 from 100% in 2017. The largest tenant downsized its space to 33.2% of NRA from 48.4% of NRA, while another large tenant (11.9% of NRA) vacated at its lease expiration in July 2018. The borrower is reportedly in discussions with several tenants about leasing a portion of the vacant space. The St. Paul Office Tower loan (2.7%) is secured by a 28-story office property located in Baltimore, MD. While the loan continues to perform with recent occupancy of 98.2% and a servicer-reported YE 2017 NOI DSCR of 1.57x, the second largest tenant (26.2% of NRA) has a scheduled lease maturity in April 2019, and renewal is not certain at this time. The Round Rock Crossing loan (2.5%) is secured by an anchored retail center located in Round Rock, TX leased to a mix of national and local retailers, including Best Buy, Stein Mart and Michael's. The center is located at a high-traffic-count intersection and is shadow anchored by Target. However, as of the September 2018 rent roll, occupancy had declined to 74.6% after the largest tenant, Gander Mountain (19.9% of NRA), vacated in 2017 due to its parent company's bankruptcy. Per the servicer, there are currently no prospects for the space. An additional specially serviced loan, Pence Building (0.8%), is secured by a 91,446-sf office building located in Minneapolis, MN. The loan recently transferred to the special servicer in July 2018 after the largest tenant (36% of NRA) vacated at its lease expiration. The servicer is in discussions with the borrower about resolution plans. No other FLOC comprises more than 0.8% of the pool. Fitch will continue to monitor the FLOCS going forward. Improved Credit Enhancement: Since issuance, 50 of the original 58 loans remain in the pool. As of the November 2018 distribution date, the pool's aggregate principal balance has paid down by 15.6% to $1.25 billion from $1.48 billion at issuance. Approximately 72.7% of the pool amortizes, including five loans (21.5% of pool) that remain in their interest-only periods, but for only one to three more months. One loan (1.9%) is defeased. RATING SENSITIVITIES The Negative Rating Outlook on class G primarily reflects concern over the specially serviced Aspen Heights - Columbia. Rating downgrades to these classes may occur if performance continues to decline at the property. Rating Outlooks for the senior classes remain Stable due to the stable performance of the majority of the remaining pool and continued expected amortization. Rating upgrades may occur with improved pool performance and 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 action. Fitch has affirmed the following ratings: -- $124.8 million class A-2 at 'AAAsf'; Outlook Stable; -- $90.4 million class A-SB at 'AAAsf'; Outlook Stable; -- $173.8 million class A-3 at 'AAAsf'; Outlook Stable; -- $160 million class A-4 at 'AAAsf'; Outlook Stable; -- $256 million class A-5 at 'AAAsf'; Outlook Stable; -- Interest-only class X-A at 'AAAsf'; Outlook Stable; -- $114.6 million class A-S* at 'AAAsf'; Outlook Stable; -- $81.3 million class B* at 'AA-sf'; Outlook Stable; -- $264.3 million class PST* at 'A-sf'; Outlook Stable; -- $68.4 million class C* at 'A-sf'; Outlook Stable; -- Interest-only X-B at 'AA-sf'; Outlook Stable; -- $66.5 million class D at 'BBB-sf'; Outlook Stable; -- $20.3 million class E at 'BB+sf'; Outlook Stable; -- $16.6 million class F at 'BB-sf'; Outlook Stable; -- $12.9 million class G at 'B-sf'; Outlook Negative. * Class A-S, B and C certificates may be exchanged for class PST certificates, and class PST certificates may be exchanged for class A-S, B and C certificates. Class A-1 has paid in full. Fitch does not rate class H or the interest-only class X-C. MORGAN STANLEY 2014-C17: DBRS Confirms B Rating on Class F Certs ---------------------------------------------------------------- DBRS Limited confirmed the ratings of the Commercial Mortgage Pass-Through Certificates, Series 2014-C17 issued by Morgan Stanley Bank of America Merrill Lynch Trust 2014-C17 as follows: -- 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 (low) (sf) -- Class X-B at A (sf) -- Class C at A (low) (sf) -- Class PST at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class X-C at B (high) (sf) -- Class F at B (sf) The Class PST certificates are exchangeable for the Class A-S, Class B and Class C certificates (and vice versa). All trends are Stable. In addition, due to investor request, DBRS provided a European Union (EU) endorsement for Class D. The transaction was last reviewed in July 2018, when all classes were confirmed with Stable trends. This review confirms that as of the December 2018 remittance, there have been no material changes to this transaction since the previous review, thereby supporting the rating confirmations. The rating confirmations reflect the overall stable performance of the transaction, which has had a collateral reduction of 6.2% since issuance, with 66 of the original 67 loans remaining in the pool as of the December 2018 remittance report. The majority of the remaining loans in the pool was structured with ten-year terms and will mature in 2024. Five loans, including one loan in the top 15, are fully defeased, representing 10.4% of the pool. Loans representing 81.3% of the pool reported year-end (YE) 2017 financials with a weighted-average (WA) debt-service coverage ratio (DSCR) and debt yield of 1.71 times (x) and 10.4%, respectively. The largest 15 loans reported YE2017 financials with a WA DSCR and WA debt yield of 1.64x and 9.9%, respectively, representing a WA cash flow improvement of 10.2% over the DBRS net cash flow figures derived at issuance. As of the December 2018 remittance, there are 12 loans (including four in the top 15), representing 19.3% of the pool, on the servicer's watch list. Five of these loans, representing 4.4% of the pool, were also on the servicer's watch list at the time of the July 2018 review. Three loans are being monitored for deferred maintenance, while the remaining nine loans are being monitored for major tenant lease expirations, occupancy-related issues, and cash flow declines. The largest loan added to the watch list since July, Aspen Heights Statesboro (Prospectus ID#4, 5.0% of the pool), is being monitored for a low annualized Q2 2018 DSCR of 0.84x, driven primarily by higher operating expenses. Additionally, since the last review, there was one loan, Polo Plaza (Prospectus ID#28, 1.1% of the pool), that has been fully defeased. There is one loan, representing 1.9% of the pool, in special servicing. The Holiday Inn Houston Intercontinental Airport (Prospectus ID#17) loan, which is secured by a 414-key full-service hotel located in Houston, was transferred to special servicing in March 2017 due to imminent default and the property has since become real estate owned. According to the servicer, the subject has property improvement plan renovations due to be completed in 2015 that remain outstanding and are putting the property in violation of the franchise agreement. In May 2017, the ten-year franchise agreement with Holiday Inn expired; however, the hotel is still listed as a Holiday Inn on its website as of December 2018. DBRS assumed a loss severity approaching 42% based on the most recent as-is appraised value of $16.1 million as of May 2018 for this review but acknowledges the loss severity could go much higher given the market conditions. For additional information on this loan, please see the loan commentary on the DBRS Viewpoint platform, for which information is provided below. Classes X-A, X-B, and X-C 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. MORGAN STANLEY 2015-C20: DBRS Confirms B Rating on Class X-F Certs ------------------------------------------------------------------ DBRS Limited confirmed the ratings on the Commercial Mortgage Pass-Through Certificates, Series 2015-C20 issued by Morgan Stanley Bank of America Merrill Lynch Trust 2015-C20: -- 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-S at AAA (sf) -- Class A-SB at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class PST at A (low) (sf) -- Class X-D at BBB (sf) -- Class D at BBB (low) (sf) -- Class X-E at BB (sf) -- Class E at BB (low) (sf) -- Class X-F at B (sf) -- Class F at B (low) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction since issuance. At issuance, the collateral consisted of 88 fixed-rate loans secured by 102 commercial properties, with a trust balance of approximately $1.14 billion. Per the November 2018 remittance, 87 of the original 88 loans remain in the pool with a current trust balance of $1.10 million, representing a collateral reduction of 4.3%. To date, two loans (1.1% of the pool) have been fully defeased. Approximately 96.6% of the pool has reported year-end (YE) 2017 financials, and based on the most recent reporting, the pool reported a weighted-average (WA) debt-service coverage ratio (DSCR) and debt yield of 1.60x times (x) and 9.9%, respectively, compared with the DBRS Term DSCR and DBRS Debt Yield figures of 1.42x and 8.5% at issuance. Based on the same reporting, the top 15 loans (49.5% of the pool) reported a WA DSCR of 1.61x, compared to the WA DBRS Term DSCR of 1.40x, reflecting a 13.8% net cash flow growth over the DBRS issuance figures. As of the November 2018 remittance, there are six loans (11.7% of the pool) on the servicer's watch list, four of which (7.2% of the pool) were flagged for cash flow declines. The largest of these loans, VA Office Portfolio (Prospectus ID#3, 4.3% of the pool) was flagged for a low DSCR, driven by increased vacancy. The collateral is secured by three Class B office properties located throughout Fairfax County, Virginia, all within 25 miles of Washington, D.C. As of October 2018, the portfolio's overall occupancy rate had fallen from 84.1% at issuance to 69.9%, primarily stemming from a 26.4% increase in the vacancy at the Reston Sunrise Plaza property. As of Q2 2018, the loan reported an annualized DSCR of 0.96x, compared to the DBRS Term DSCR of 1.12x. DBRS assumed a stressed cash flow scenario for the loan as part of this review to increase the probability of default and loss given default significantly and will continue to monitor the loan closely for developments. For further information, please see the DBRS loan commentary on the DBRS Viewpoint platform, for which information has been provided below. There is also one loan in special servicing, representing 0.7% of the pool. The Holiday Inn Express – Syracuse (Prospectus ID#53) was transferred to special servicing in September 2017 for payment default. The loan is outstanding for all payments due since January 2018 and the servicer reports the borrower has not offered a viable workout solution since the loan's transfer to special servicing. The servicer's current strategy is to proceed with foreclosure and sell the asset once stabilized. Based on the as-is value of approximately $4.5 million for the property as shown in the May 2018 appraisal, DBRS expects the loss severity will be in excess of 65% at resolution. Classes X-A, X-B, X-C, 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. MORGAN STANLEY 2015-C21: Fitch Affirms BB- Rating on 2 Tranches --------------------------------------------------------------- Fitch Ratings affirms 16 classes of Morgan Stanley Bank of America Merrill Lynch Trust, commercial mortgage pass-through certificates, series 2015-C21 (MSBAM 2015-C21). KEY RATING DRIVERS Overall Stable Loss Expectations: The affirmations are based on the overall stable performance of the underlying collateral. One loan (5.8% of the current pool balance) is in special servicing and seven loans (14.9%) have been designated as Fitch Loans of Concern. Two loans (2.6%) have been defeased. There have been no realized losses to date. Minimal Change to Credit Enhancement: As of the November 2018 distribution date, the pool's aggregate principal balance has been paid down by 2.7% to $878.1 million from $901.2 million at issuance. Interest shortfalls are currently impacting class H. At issuance, the pool was scheduled to amortize by 13.5% of the original pool balance through maturity. Of the current pool, eight loans (32.4%) are full-term interest-only, and 30 loans (40.4%) are partial-term interest-only. Specially Serviced Loan: The fifth largest loan, Fontainebleau Park Plaza (5.8%), transferred to special servicing in January 2017 when the master servicer determined the tenants were not making full rent and CAM reimbursements into the lockbox. The loan is collateralized by a 233,334 sf retail center located in Miami and anchored by Wal-Mart. Though full-year financials have not been reported since YE 2016, a rent roll from January 2018 indicates that occupancy has remained stable at 100% and leases accounting for only 9.4% of the net rentable area (NRA) expire during the loan term. The special servicer filed suit in November 2017, and litigation is ongoing. Fitch Loans of Concern: Seven loans (14.9%) have been designated as Fitch Loans of Concern, including the specially serviced loan (5.8%). Other Loans of Concern include: Briarwood Office (3.0%), a four building office property where approximately 25% NRA rolls in 2019; Stone Ridge Plaza (2.2%), a shopping center in the Rochester metro where Toys R Us (26.4% NRA) vacated; Fairfield Inn Morgantown (1.3%), a limited-service hotel in Morgantown, WV with declining performance due to energy sector exposure; Chandler Corporate Center (1.3%), an office property in the Phoenix metro where the largest tenant (38.4% NRA) plans to depart; Candlewood Suites Kalamazoo (0.8%), a limited service hotel where the franchise agreement expires in October 2019; and Mammoth Luxury Outlets (0.7%), a retail center in Mammoth Lakes, CA with declining occupancy and cash flow. ADDITIONAL CONSIDERATIONS Regional Mall: The largest loan in the pool is the only loan collateralized by a regional mall. Westfield Palm Desert Mall (7.1%) is a 977,888 sf regional mall built in 1983, renovated in 2014, and located in Palm Desert, CA. Non-collateral anchors include Macy's, Sears, and JC Penney. Overall performance at the property has remained stable and in line with Fitch's expectations at issuance. 2Q 2018 occupancy was 93% and the 2Q 2018 DSCR was 2.44x. Per the June 2018 sales report, in-line sales averaged $384 psf compared to $380 psf in 2017 and $377 psf in 2015. In addition, the nearest enclosed regional mall is approximately 60 miles away. The property's main competitors are a high-end lifestyle center and outlet mall located nearby. RATING SENSITIVITIES The Rating Outlooks on all classes remain Stable. Fitch does not foresee positive or negative ratings migration until a material economic or asset-level event changes the transaction's overall portfolio-level metrics. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third party due diligence was provided to or reviewed by Fitch in relation to this rating action. Fitch has affirmed the following ratings: -- $10.2 million class A-1 at 'AAAsf'; Outlook Stable; -- $25 million class A-2 at 'AAAsf'; Outlook Stable; -- $72.2 million class A-SB at 'AAAsf'; Outlook Stable; -- $205 million class A-3 at 'AAAsf'; Outlook Stable; -- $274.3 million class A-4 at 'AAAsf'; Outlook Stable; -- $64.3 million (b) class A-S at 'AAAsf'; Outlook Stable; -- $650.9 million (a) class X-A at 'AAAsf'; Outlook Stable; -- $39.2 million (b) class B at 'AAsf'; Outlook Stable; -- $39.2 million (a) class X-B at 'AAsf'; Outlook Stable; -- $53.4 million (b) class C at 'A-sf'; Outlook Stable; -- $156.8 million (b) class PST at 'A-sf'; Outlook Stable; -- $41.4 million class D at 'BBB-sf'; Outlook Stable; -- $19.6 million class E at 'BB-sf'; Outlook Stable; -- $19.6 million (a) class X-E at 'BB-sf'; Outlook Stable; -- $8.7 million class F at 'B-sf'; Outlook Stable; -- $11.7 million (c) class 555A at 'BBB-sf'; Outlook Stable. (a) Notional amount and interest-only. (b) Class A-S, B and C certificates may be exchanged for class PST certificates, and class PST certificates may be exchanged for class A-S, B, and C certificates. (c) The 555A and 555B certificates represent the beneficial interests in the 555 11th NW Street non-pooled senior B Note. Fitch does not rate the class X-FG, X-H, G, H or 555B certificates. MORGAN STANLEY 2016-C28: Fitch Affirms B-sf Rating on 2 Tranches ---------------------------------------------------------------- Fitch Ratings has affirmed 17 classes of Morgan Stanley Bank of America Merrill Lynch Trust (MSBAM) Mortgage Trust 2016-C28 commercial mortgage pass-through certificates. KEY RATING DRIVERS Stable Loss Expectations: Performance and loss expectations for the majority of the pool have remained stable since issuance. There have been no realized losses or specially serviced loans to date. Fitch has designated two loans (7.6% of pool) as Fitch Loans of Concern (FLOC), both of which are among the top 15 loans. Minimal Change in Credit Enhancement: As of the November 2018 distribution date, the pool's aggregate principal balance has paid down by 1.4% to $942.4 million from $955.6 million at issuance. Six loans (27.2% of pool) are full-term, interest-only and 14 loans (39.5%) are partial interest-only and have yet to begin amortizing. Two loans (1.5%) have been defeased. ADDITIONAL CONSIDERATIONS Alternative Loss Consideration: Fitch ran an additional sensitivity scenario which applied a 25% loss on the Greenville Mall loan to reflect the potential for outsized losses given the upcoming lease roll of the collateral Belk Ladies anchor, as well as declining anchor tenant sales and tertiary market location. However, this sensitivity scenario did not impact any of the ratings or Rating Outlooks. Fitch Loans of Concern: The largest FLOC, Greenville Mall (4.6% of pool), is secured by a regional mall located in Greenville, NC, that has reported low and/or declining anchor sales since issuance and faces significant lease rollover through 2020. The mall is anchored by JCPenney, Belk Ladies, Belk Men & Home (non-collateral) and Dunham's Sports. The collateral JCPenney anchor reported sales of $106 psf ($9.4 million gross) for the TTM period ended September 2017, compared to $109 psf ($9.7 million gross) in 2014 reported at the time of issuance, which was noted to be below the retailer's national average. Sales for Belk Ladies dropped to $157 psf ($14.1 million gross) for TTM September 2017 from $179 psf ($16.1 million gross) for TTM November 2015, and sales for Dunham's Sports dropped to $42 psf ($2.2 million gross) from $62 psf ($3.3 million gross) over the same period. Comparable inline sales for tenants occupying less than 10,000 sf were $398 psf as of TTM September 2017 compared to $404 psf at issuance. Upcoming lease rollover includes 11.9% of the total collateral net rentable area (NRA) in 2019 and 24% in 2020, which is primarily concentrated in the expiration of the Belk Ladies lease (22% of collateral NRA) in January 2020. Additionally, the non-collateral tenant Belk Men & Home is also scheduled to expire in July 2019. Collateral occupancy has remained stable since issuance, reported at 96.2% as of June 2018 compared to 95.5% at issuance. The second FLOC, DoubleTree by Hilton - Cleveland, OH (3%), is secured by a 379-room full service hotel located in downtown Cleveland, OH, and within close proximity to the Cleveland Convention Center, the Rock and Roll Hall of Fame and First Energy Stadium. The loan has been on the servicer's watchlist since December 2017 due to declining net cash flow debt service coverage ratio, which was reported at 0.95x for the 12 months ended June 2018. According to the servicer's watchlist commentary, operating revenues began declining in 2017, as the borrower lowered their rates to maintain occupancy due to increased competition from four new hotels with a total of more than 1,110 rooms opening since April 2016. Additionally, several significant non-recurring local events in 2016 such as the World Series and the Republican National Convention resulted in higher revenues during 2016. At the time of issuance, the hotel was underperforming its competitive set, and Fitch was concerned about new hotel supply coming online during 2016 in the downtown Cleveland market. The master servicer has contacted the borrower for an update on their marketing efforts to increase the hotel's occupancy rate. Pool and Loan Concentrations: The largest 10 loans in the transaction represent 57.1% of the current pool balance. Additionally, loans secured by retail properties represent 36% of the pool by balance, including two regional malls (14.1%) and one outlet property (7.6%) in the top 15. The largest loan, Penn Square Mall (9.6%), is secured by the leasehold interest in a regional mall anchored by Dillard's, Macy's and JCPenney located in Oklahoma City, OK. The seventh largest loan, Greenville Mall (4.6%), is secured by a regional mall anchored by JCPenney, Belk and Dunham's Sports located in Greenville, NC. The second largest loan, Ellenton Premium Outlets (7.6%) is secured by an outlet property located in Ellenton, FL, sponsored by Simon Property Group, L.P. Leasehold Interests: Approximately 12.7% of the pool consists of leasehold-only ownership interests, which is greater than the 2015 and 2016 averages of 3.5% and 4.2%, respectively. The leasehold-only collateral in this transaction includes two of the top 15 loans, Penn Square Mall (9.6%) and Le Meridien Cambridge MIT (3.1%). RATING SENSITIVITIES The Stable Rating Outlooks for all classes represent the stable performance of the majority of the underlying pool and expected continued paydown. Fitch applied an additional sensitivity scenario to reflect a potential outsized loss of 25% on the Greenville Mall loan; this additional sensitivity analysis did not impact any ratings or Outlooks. Rating downgrades are possible if performance of the FLOCs continue to further deteriorate. Rating upgrades, although unlikely in the near term, could occur with improved pool performance and increased credit enhancement from additional paydown and/or defeasance. Fitch has affirmed the following ratings: -- $12.5 million class A-1 at 'AAAsf'; Outlook Stable; -- $43.8 million class A-2 at 'AAAsf'; Outlook Stable; -- $59.3 million class A-SB at 'AAAsf'; Outlook Stable; -- $215 million class A-3 at 'AAAsf'; Outlook Stable; -- $325.2 million class A-4 at 'AAAsf'; Outlook Stable; -- $655.8 million class X-A* at 'AAAsf'; Outlook Stable; -- $97.9 million class X-B* at 'AAAsf'; Outlook Stable; -- $47.8 million class A-S at 'AAAsf'; Outlook Stable; -- $50.2 million class B at 'AA-sf'; Outlook Stable; -- $46.6 million class C at 'A-sf'; Outlook Stable; -- $52.6 million class X-D* at 'BBB-sf'; Outlook Stable; -- $52.6 million class D at 'BBB-sf'; Outlook Stable; -- $14.3 million class E-1** at 'BBsf'; Outlook Stable; -- $14.3 million class E-2** at 'BB-sf'; Outlook Stable; -- $28.7 million class E** at 'BB-sf'; Outlook Stable; -- $9.6 million class F** at 'B-sf'; Outlook Stable; -- $38.2 million class EF** at 'B-sf'; Outlook Stable. * Notional amount and interest-only. ** The class E-1 and E-2 certificates may be exchanged for a related amount of class E certificates, and the class E certificates may be exchanged for a rateable portion of class E-1 and E-2 certificates. Additionally, a holder of class E-1, E-2, F-1 and F-2 certificates may exchange such classes of certificates (on an aggregate basis) for a related amount of class EF certificates, and a holder of class EF certificates may exchange that class EF for a rateable portion of each class of the class E-1, E-2, F-1 and F-2 certificates. Fitch does not rate the class F-1, F-2, G-1, G-2, H-1, H-2, G, H, or EFG certificates. MORGAN STANLEY I 2004-IQ8: Fitch Hikes Class H Certs Rating to BBsf ------------------------------------------------------------------- Fitch Ratings has upgraded two and affirmed five classes of Morgan Stanley Capital I Trust, Commercial Mortgage Trust Pass-Through Certificates series 2004-IQ8 (MSCI 2004-IQ8). KEY RATING DRIVERS Increased Credit Enhancement; Amortization; Lower Leverage: The upgrades reflect the increased credit enhancement, as the pool has been reduced by approximately 43% over the past 12 months from amortization and the June 2018 repayment of the $7.7 million Seneca Meadows Corporate Center II loan. Credit enhancement is expected to continue to increase from continued amortization, including near-term maturities in 2019 (9.8% of pool). Only 19 of the original 100 loans remain, all, which are fully amortizing. As of the November 2018 distribution date, the pool's aggregate principal balance has been reduced by 98.6% to $10.5 million from $759.2 million at issuance. There have been $15.3 million (2% of original pool balance) in realized losses to date. Cumulative interest shortfalls of $1.1 million are currently affecting classes J through O. Stable Loss Expectations: Pool performance and loss expectations remain stable. No loans are delinquent and no loans are in special servicing. Two loans (13.4% of pool) were designated Fitch Loans of Concern (FLOCs) due to performance declines and rollover concerns. ALTERNATIVE LOSS CONSIDERATIONS Concentrated Pool: Due to the highly concentrated nature of the pool, Fitch performed a sensitivity analysis, which grouped the remaining loans based on loan structural features, collateral quality and performance and ranked them by their perceived likelihood of repayment. The ratings reflect this sensitivity analysis. All of the remaining loans are fully amortizing, have been significantly paid down since issuance and have relatively low leverage. The top 10 loans represent 93.5% of the pool balance. Nine loans (59%) are secured by properties leased to single tenants, including three loans (28.1%) secured by single-tenant Walgreens (rated 'BBB'/Stable by Fitch) maturing in 2019, 2028 and 2029. The remaining loans are primarily secured by collateral located in secondary markets. Fitch Loans of Concern: Two loans (13.4% of pool) have been designated as Fitch Loans of Concern (FLOCs). The Meridian Office Building (8%), secured by a 30,582 sf office property located in Tempe, AZ, and Tooele Landing (5.4%), secured by a 10,989 sf retail center located in Tooele, UT, were both designated FLOCs for low DSCR and rollover concerns. Both loans have remained current since issuance and mature in 2024. Loan Maturities: The loan maturity schedule includes 11 loans (9.8% of pool) in 2019, six loans (62.6%) in 2024, one loan (14%) in 2028 and one loan (13.6%) in 2029. RATING SENSITIVITIES The Outlooks for class G and class H are considered Stable. Class G is currently the first-pay class, with continued increasing credit enhancement from amortization and full repayment in approximately 20 months. While credit enhancement is also expected to improve for class H from amortization, upward rating migration is limited due to collateral quality of the longer dated maturing loans and the thin supporting tranche, which has incurred losses. Downgrades, although unlikely, could occur if pool performance declines significantly. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third-party due diligence was provided or reviewed in relation to this rating action. Fitch has upgraded the following classes: -- $3.0 million class G to 'AAAsf' from 'Asf'; Outlook Stable; -- $5.7 million class H to 'BBsf' from 'Bsf'; Outlook Stable. In addition, Fitch has affirmed the following classes: -- $1.8 million class J at 'Dsf'; RE 90%; -- $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-4, A-5, B, C, D, E and F certificates have paid in full. Fitch does not rate the class O certificates. Fitch had previously withdrawn the ratings on the interest-only class X-1 and X-2 certificates. NYLIM STRATFORD 2001-1: Moody's Withdraws Ratings on 3 Tranches --------------------------------------------------------------- Moody's Investors Service has withdrawn the ratings on the following notes issued by NYLIM Stratford CDO 2001-1 Ltd.: US$40,000,000 Class B Floating Rate Notes Due 2036 (current outstanding balance of $5,952,005), Withdrawn (sf); previously on October 31, 2017 Downgraded to B1 (sf) US$32,000,000 Class C Fixed Rate Notes Due 2036 (current outstanding balance of $37,286,894), Withdrawn (sf); previously on February 26, 2009 Downgraded to Ca (sf) US$16,000,000 1% Cumulative Preferred Shares, Withdrawn (sf); previously on February 26, 2009 Downgraded to C (sf) RATINGS RATIONALE Moody's has decided to withdraw the ratings because it believes it has insufficient or otherwise inadequate information to support the maintenance of the ratings. PALMER SQUARE 2018-5: Fitch Assigns BBsf Rating on Class D Notes ---------------------------------------------------------------- Fitch Ratings assigns the following ratings and Rating Outlooks to Palmer Square Loan Funding 2018-5, Ltd.: -- $340,00,000 class A-1 notes 'AAAsf'; Outlook Stable; -- $60,000,000 class A-2 notes 'AAsf'; Outlook Stable; -- $32,500,000 class B notes 'Asf'; Outlook Stable; -- $15,500,000 class C notes 'BBBsf'; Outlook Stable; -- $17,200,000 class D notes 'BBsf'; Outlook Stable. Fitch does not rate the subordinated notes. TRANSACTION SUMMARY Palmer Square Loan Funding 2018-5, Ltd. is a collateralized loan obligation that will be serviced by Palmer Square Capital Management LLC. Net proceeds from the issuance of the secured and subordinated notes were used to purchase a static pool of primarily senior secured leveraged loans totaling approximately $500 million. The CLO will have an approximately 1.0-year noncall period. KEY RATING DRIVERS Sufficient Credit Enhancement: Credit enhancement (CE) available to the class A-1, A-2, B, C and D notes (rated notes), in addition to excess spread, is sufficient to protect against portfolio default and recovery rate projections in each class's respective rating stress scenario. The degree of CE available to class A-1, A-2, B, C and D notes is below each rating level's recent average CE; however, the transaction has a shorter risk horizon, and cash flow modeling results for the notes indicate performance in line with their respective ratings. 'B+'/'B' Asset Quality: The average credit quality of the purchased portfolio is 'B+'/'B', which is comparable to recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality. In Fitch Ratings' opinion, each class of rated notes is projected to be sufficiently robust against default rates in line with its applicable rating stress. Strong Recovery Expectations: The portfolio consists of 98.0% first-lien senior secured loans and 2.0% second-lien loans. Approximately 92.0% of the portfolio has either strong recovery prospects or a Fitch-assigned recovery rating of 'RR2' or higher, and the base case recovery assumption is 80.1%. Shorter Risk Horizon: The transaction does not have a reinvestment period. Therefore, the transaction's risk horizon is equal to the portfolio's weighted average life (WAL). The shorter risk horizon means the transaction is less vulnerable to underlying price movements, economic conditions and asset performance. 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 'Asf' to 'AAAsf' for class A-1 notes; between 'BB+sf' to 'AA+sf' for the class A-2 notes; between 'Bsf' to 'A+sf' for the class B notes; between less than 'CCCsf' to 'BBB+sf' for the class C notes; and between less than 'CCCsf' to 'BB+sf' for the class D notes. PARALLEL 2018-2: Moody's Rates $20MM Class D Notes 'Ba3' -------------------------------------------------------- Moody's Investors Service has assigned ratings to five classes of notes issued by Parallel 2018-2 Ltd.. Moody's rating action is as follows: US$260,000,000 Class A-1 Senior Secured Floating Rate Notes due 2031 (the "Class A-1 Notes"), Assigned Aaa (sf) US$44,000,000 Class A-2 Senior Secured Floating Rate Notes due 2031 (the "Class A-2 Notes"), Assigned Aa2 (sf) US$18,000,000 Class B Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class B Notes"), Assigned A2 (sf) US$27,000,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class C Notes"), Assigned Baa3 (sf) US$20,000,000 Class D Junior Secured Deferrable Floating Rate Notes due 2031 (the "Class D Notes"), Assigned Ba3 (sf) The Class A-1 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." RATINGS RATIONALE 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. Parallel 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 and eligible investments, and up to 10% of the portfolio may consist of second lien loans, senior unsecured loans and first-lien last out loans. The portfolio is at least 80% ramped as of the closing date. DoubleLine Capital LP 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: $400,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2741 Weighted Average Spread (WAS): 3.35% Weighted Average Coupon (WAC): 6.5% Weighted Average Recovery Rate (WARR): 46.00% 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. The Credit Rating for Parallel 2018-2 Ltd. was assigned in accordance with Moody's existing Methodology entitled "Moody's Global Approach to Rating Collateralized Loan Obligations," dated August 31, 2017. Please note that on November 14, 2018, Moody's released a Request for Comment, in which it has requested market feedback on potential revisions to its Methodology for Collateralized Loan Obligations. If the revised Methodology is implemented as proposed, Moody's does not expect the changes to affect the Credit Rating on Parallel 2018-2 Ltd. 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. PATRONS' LEGACY: Moody's Puts Ba3 Rating on Ser. A Certs on Review ------------------------------------------------------------------ Moody's Investors Service has placed the rating of the Series A Investor Certificates from Patrons' Legacy 2003-IV on review for upgrade. This transaction is a securitization of a small pool of insurance policies (primarily life insurance policies, single premium life annuities and supplemental policies). The complete rating action is as follows: Issuer: Patrons' Legacy 2003-IV LILAC 03-A, Ba3 (sf) Placed Under Review for Possible Upgrade; previously on Feb 8, 2018 Downgraded to Ba3 (sf) RATINGS RATIONALE The trustee has informed Moody's that information previously provided as to one of the life insurance policies in the pool was not correct. Previously, an annual statement for this policy provided by the trustee had stated that the coverage protection guarantee would expire in November 2018. However, the trustee has now provided an illustration indicating that the policy's coverage protection guarantee will last until the insured reaches the age of 110 without any premium increases. During the review period, Moody's will examine supporting information provided by the transaction parties in relation to the life insurance policies and request more details as to why the error happened and the processes in place to prevent such errors from occurring in the future. Moody's will also seek additional information on the illustration. The principal methodology used in this rating was "Moody's Approach to Monitoring Life Insurance ABS" published January 2015. Factors that would lead to an upgrade or downgrade of the rating: Change in mortality or lapse risk as well as change in the insurance financial strength ratings of the life insurance, annuity or supplemental policy providers. PIKES PEAK 2: Moody's Rates $22.5MM Class E Notes 'Ba3' ------------------------------------------------------- Moody's Investors Service has assigned ratings to five classes of notes issued by Pikes Peak CLO 2. Moody's rating action is as follows: US$256,000,000 Class A Senior Secured Floating Rate Notes due 2032 (the "Class A Notes"), Assigned Aaa (sf) US$46,500,000 Class B Senior Secured Floating Rate Notes due 2032 (the "Class B Notes"), Assigned Aa2 (sf) US$17,750,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2032 (the "Class C Notes"), Assigned A2 (sf) US$24,000,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2032 (the "Class D Notes"), Assigned Baa3 (sf) US$22,550,000 Class E Junior Secured Deferrable Floating Rate Notes due 2032 (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 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. Pikes Peak 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 senior secured loans, cash, and eligible investments, and up to 10% of the portfolio may consist of second lien loans, including first lien last out loans, and unsecured loans. The portfolio is approximately 70% ramped as of the closing date. Partners Group US Management CLO 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 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): 2875 Weighted Average Spread (WAS): 3.40% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 47.50% 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. The Credit Rating for Pikes Peak CLO 2 was assigned in accordance with Moody's existing Methodology entitled "Moody's Global Approach to Rating Collateralized Loan Obligations," dated August 31, 2017. Please note that on November 14, 2018, Moody's released a Request for Comment, in which it has requested market feedback on potential revisions to its Methodology for Collateralized Loan Obligations. If the revised Methodology is implemented as proposed, Moody's does not expect the changes to affect the Credit Rating on Pikes Peak CLO 2. 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. REGATTA FUNDING VII: Moody's Rates $20MM Class E-R Notes 'Ba3' -------------------------------------------------------------- Moody's Investors Service has assigned ratings to five classes of CLO refinancing notes issued by Regatta VII Funding Ltd.: Moody's rating action is as follows: US$256,000,000 Class A-R Senior Secured Floating Rate Notes due 2028 (the "Class A-R Notes"), Assigned Aaa (sf) US$48,000,000 Class B-R Senior Secured Floating Rate Notes due 2028 (the "Class B-R Notes"), Assigned Aa2 (sf) US$23,000,000 Class C-R Mezzanine Secured Deferrable Floating Rate Notes due 2028 (the "Class C-R Notes"), Assigned A2 (sf) US$21,000,000 Class D-R Mezzanine Secured Deferrable Floating Rate Notes due 2028 (the "Class D-R Notes"), Assigned Baa3 (sf) US$20,000,000 Class E-R Junior Secured Deferrable Floating Rate Notes due 2028 (the "Class E-R Notes"), Assigned Ba3 (sf) The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. Regatta Loan Management LLC (the "Manager") manages the CLO. It directs the selection, acquisition, and disposition of collateral on behalf of the Issuer. RATINGS RATIONALE The ratings reflects 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 December 20, 2018 in connection with the refinancing of all classes of secured notes previously issued on October 20, 2016. On the Refinancing Date the Issuer used proceeds from the issuance of the Refinancing Notes to redeem in full the Refinanced Original Notes. On the Original Closing Date, the issuer also issued one class of subordinated notes that remains outstanding. 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 tests; and a change to one overcollateralization test level. 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, weighted average spread, diversity score and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $400,000,000 Defaulted par: $0 Diversity Score: 85 Weighted Average Rating Factor (WARF): 3022 Weighted Average Spread (WAS): 3.33% Weighted Average Recovery Rate (WARR): 47.20% Weighted Average Life (WAL): 6.5 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2017. The Credit Rating for Regatta VII Funding Ltd. was assigned in accordance with Moody's existing Methodology entitled "Moody's Global Approach to Rating Collateralized Loan Obligations," dated August 31, 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. REGIONAL MANAGEMENT 2018-2: DBRS Finalizes BB Rating on D Notes --------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following asset-backed notes issued by Regional Management Issuance Trust 2018-2 (the Issuer): -- $101,630,000 Class A Asset-Backed Notes at AA (sf) -- $10,840,000 Class B Asset-Backed Notes at A (sf) -- $9,490,000 Class C Asset-Backed Notes at BBB (sf) -- $8,125,000 Class D Asset-Backed Notes at 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. -- 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 timely payment of interest on a monthly basis and principal by the legal final maturity date. -- Regional Management Corp.'s (Regional) capabilities with regard to originations, underwriting and servicing. -- DBRS has performed an operational review of Regional and considers the entity to be an acceptable originator and servicer of unsecured personal loans with an acceptable backup servicer. -- Regional's senior management team has considerable experience and a successful track record within the consumer loan industry. -- Regional has remained consistently profitable since 2007. -- In February 2018, Regional completed a system migration to the Nortridge Loan Management System, allowing for the implementation of centralized underwriting for all branches, which led to the ability to implement a hybrid servicing model. -- The credit quality of the collateral and performance of Regional's consumer loan portfolio. DBRS used a hybrid approach in analyzing Regional's portfolio that incorporates elements of static pool analysis, employed for assets such as consumer loans, and revolving asset analysis, employed for such assets as credit card master trusts. -- 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 Regional and that the trust has a valid first-priority security interest in the assets and is consistent with the DBRS methodology "Legal Criteria for U.S. Structured Finance." Credit enhancement in the transaction consists of over-collateralization, subordination, excess spread, and a reserve account. The rating on the Class A Notes reflects the 26.00% of initial hard credit enhancement provided by the subordinated notes in the pool, the reserve account (1.00%) and overcollateralization (4.00%). The ratings on the Class B Notes, the Class C Notes, and the Class D Notes reflect 18.00%, 11.00% and 5.00% of initial hard credit enhancement, respectively. Additional credit support may be provided by excess spread available in the structure. SARATOGA INVESTMENT 2013-1: Moody's Rates $25MM Cl. F-R-2 Notes B3 ------------------------------------------------------------------ Moody's Investors Service has assigned ratings to eight classes of CLO refinancing notes issued by Saratoga Investment Corp. CLO 2013-1, Ltd.: Moody's rating action is as follows: US$255,000,000 Class A-1FL-R-2 Senior Secured Floating Rate Notes due 2030 (the "Class A-1FL-R-2 Notes"), Assigned Aaa (sf) US$25,000,000 Class A-1FXD-R-2 Senior Secured Fixed Rate Notes due 2030 (the "Class A-1FXD-R-2 Notes"), Assigned Aaa (sf) US$40,000,000 Class A-2-R-2 Senior Secured Floating Rate Notes due 2030 (the "Class A-2-R-2 Notes"), Assigned Aaa (sf) US$59,500,000 Class B-R-2 Senior Secured Floating Rate Notes due 2030 (the "Class B-R-2 Notes"), Assigned Aa2 (sf) US$22,500,000 Class C-R-2 Deferrable Mezzanine Floating Rate Notes due 2030 (the "Class C-R-2 Notes"), Assigned A2 (sf) US$31,000,000 Class D-R-2 Deferrable Mezzanine Floating Rate Notes due 2030 (the "Class D-R-2 Notes"), Assigned Baa3 (sf) US$27,000,000 Class E-1-R-2 Deferrable Mezzanine Floating Rate Notes due 2030 (the "Class E-1-R-2 Notes"), Assigned Ba3 (sf) US$2,500,000 Class F-R-2 Deferrable Junior Floating Rate Notes due 2030 (the "Class F-R-2 Notes"), Assigned B3 (sf) The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. Saratoga Investment Corp. manages the CLO. It directs the selection, acquisition, and disposition of collateral on behalf of the Issuer. RATINGS RATIONALE 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 December 14, 2018 in connection with the refinancing of all classes of the secured notes previously refinanced on November 15, 2016 and originally issued on October 17, 2013. On the Second Refinancing Date, the Issuer will use proceeds from the issuance of the Refinancing Notes, two other classes of secured notes and additional subordinated notes to redeem in full the Refinanced Original Notes. On the Original Closing Date, the issuer also issued one class of subordinated notes that remains outstanding. In addition to the issuance of the Refinancing Notes, two other classes of secured notes and additional subordinated notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: reinstatement and 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: $500,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 3025 Weighted Average Spread (WAS): 3.75% Weighted Average Coupon (WAC): 6.50% Weighted Average Recovery Rate (WARR): 48.0% Weighted Average Life (WAL): 7.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2017. The Credit Rating for Saratoga Investment Corp. CLO 2013-1, Ltd. was assigned in accordance with Moody's existing Methodology entitled "Moody's Global Approach to Rating Collateralized Loan Obligations," dated August 31, 2017. Please note that on November 14, 2018, Moody's released a Request for Comment, in which it has requested market feedback on potential revisions to its Methodology for Collateralized Loan Obligations. If the revised Methodology is implemented as proposed, Moody's do not expect the changes to affect the Credit Rating on Saratoga Investment Corp. CLO 2013-1, Ltd. 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. SLC STUDENT 2008-2: Fitch Lowers Ratings on 2 Tranches to CCC ------------------------------------------------------------- Fitch Ratings has taken the following rating actions on SLC Student Loan Trust 2008-2 (SLC 2008-2): -- Class A-4 downgraded to 'CCCsf' from 'B-sf'; RE 100%; removed from Rating Watch Negative; -- Class B downgraded to 'CCCsf' from 'B-sf'; RE 100%; removed from Rating Watch Negative. The class A-4 notes miss their legal final maturity date under both Fitch's 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. Since Fitch does not believe the trust will reach a 10% pool factor before the A-4 notes legal final maturity date, and since there is no revolving credit facility in place from Navient for SLC 2008-2, the class A-4 and B notes are downgraded to 'CCCsf' from 'B-sf'; Rating Watch Negative. Fitch calculates Recovery Estimates (REs) for distressed structured finance securities of 'CCCsf' or lower. Fitch assumes a 100% recovery estimate since this is a maturity failure and not a credit failure, therefore all principal is expected to be received after the legal final maturity. 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: Fitch assumes a base case default rate of 24.3% and a 72.8% default rate under the 'AAA' credit stress scenario. Based on transaction specific performance to date, Fitch maintained the sustainable constant default rate assumption of 4.3%, and maintained the sustainable constant prepayment rate (voluntary and involuntary) of 10.0%. The claim reject rate is assumed to be 0.5% in the base case and 3.0% in the 'AAA' case. The TTM levels of deferment, forbearance, income-based repayment (prior to adjustment) are 8.8%, 16.2% and 23.3%, which are in line with Fitch's expectations. Fitch's student loan ABS cash flow model indicates that the class A-4 notes do not pay off before their maturity date in all of Fitch's modelling scenarios, including the base cases. If the breach of the class A-4 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 this transaction arises from any rate and reset frequency mismatch between interest rate indices for SAP and the securities. As of August 2018, 81.92% of student loan assets are indexed to one-month LIBOR, 18.08% of student loan assets are indexed to 90 Day T-Bill, and notes are indexed to three-month LIBOR. Fitch applies its standard basis interest rate stresses to this transaction as per criteria. Payment Structure: Credit enhancement (CE) is provided by excess spread, a reserve account and, for the class A notes, subordination. As of November 2018, total and senior effective parity ratios (including the reserve) are 101.6% (1.58% CE) and 122.2% (18.19% CE). Liquidity support is provided by a reserve account currently sized at its floor of $3,072,877. The trust will release cash as long as the target total parity of 100.75% is maintained. Operational Capabilities: SLC Trusts are the securitizations of The Student Loan Corporation, now a subsidiary of Discover Bank. Navient purchased the SLC Trust certificates and assumed servicing responsibilities in December 2010. Discover Bank serves as master servicer, while 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 here should only be considered as one potential model-implied outcome, as the transaction is exposed to multiple risk factors that are all dynamic variables. Additionally, the results do not take into account any rating cap considerations. 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 0.50%: class A 'CCCsf'; class B 'CCCsf' Maturity Stress Rating Sensitivity -- CPR decrease 50%: class A 'CCCsf'; class B 'CCCsf' -- CPR increase 100%: class A 'CCCsf'; class B 'CCCsf' -- IBR Usage increase 100%: class A 'CCCsf'; class B 'CCCsf' -- IBR Usage decrease 50%: class A 'CCCsf'; class B 'CCCsf' SLM STUDENT 2003-1: Fitch Cuts Ratings on 4 Tranches to Bsf ----------------------------------------------------------- Fitch Ratings has downgraded SLM Student Loan Trust 2003-1 (SLM 2003-1) and 2012-2 (SLM 2012-2) as follows: SLM 2003-1: -- Class A-5A to 'Bsf' from 'BBsf'; Outlook Stable; -- Class A-5B to 'Bsf' from 'BBsf'; Outlook Stable; -- Class A-5C to 'Bsf' from 'BBsf'; Outlook Stable; -- Class B to 'Bsf' from 'BBsf'; Outlook Stable. SLM 2012-2: -- Class A to 'Bsf' from 'BBsf'; Outlook Stable; -- Class B to 'Bsf' from 'BBsf'; Outlook Stable. The downgrades are driven by increasing maturity risk since the last review with increasing income-based repayment and extended terms. Because the legal final maturity of SLM 2003-1 class A-5A, A-5B, and A-5C are about 14 years away and SLM 2012-2 class A are about 11 years away, and the sponsor's ability to call the notes upon reaching 10% pool factor, Fitch believes there is a limited margin of safety that supports a 'Bsf' rating for each transaction, despite the notes failing the base cases. Additionally, both trusts have entered into a revolving credit agreement with Navient by which they may borrow funds at maturity in order to pay off the notes. Because Navient has the option but not the obligation to lend to each 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. The rating of subordinate tranches will typically not be eligible for ratings higher than any senior tranche in the same transaction. Given the maturity sensitivity and subsequent rating of 'Bsf' for the SLM 2003-1 class A-5A, A-5B,and A-5C and SLM 2012-2 class A notes , the respective class B notes were also downgraded to 'Bsf'/Outlook Stable. KEY RATING DRIVERS U.S. Sovereign Risk: The trust collateral comprises 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: Based on transaction specific performance to date, Fitch assumes a base case cumulative default rate of 19.25% and 22.25% for SLM 2003-1 and 2012-1, respectively. For SLM 2003-1 and 2012-2, respectively, Fitch assumes a sustainable constant default rate of 2.9% and 3.9% and a sustainable constant prepayment rate (voluntary and involuntary) of 10.0% and 12.0% in cash flow modelling. Fitch applies the standard default timing curve. The claim reject rate is assumed to be 0.50% in the base case. The TTM average of deferment, forbearance, and income-based repayment (prior to adjustment) are 3.9%, 9.8%, and 27.3%, respectively, for SLM 2003-1 and are 8.9%, 16.5%, and 22.6%, respectively, for SLM 2012-2 and are used as the starting point in cash flow modelling. Subsequent declines or increases are modelled as per criteria. The borrower benefit is assumed to be approximately 0.03% and 0.04% for SLM 2003-1 and SLM 2012-2, respectively, based on information provided by the sponsor. Fitch's student loan ABS cash flow model indicates that the SLM 2003-1 class A-5A, A-5B, and A-5C and SLM 2012-2 class A notes do not pay off before their maturity dates in the 'B' stress case. If the breach of the class A maturity dates triggers an event of default, interest payments will be diverted away from the class B notes, causing them to fail the 'B' stress 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 Special Allowance Payments (SAP) and the securities. For SLM 2003-1, as of August 2018, approximately 13% of the FFELP loans have SAP indexed to 91-day T-Bill, with the remaining indexed to one-month LIBOR. For SLM 2012-2, as of October 2018, 100% of the FFELP loans have SAP indexed to one-month LIBOR. All notes are indexed to one-month LIBOR. Fitch applies its standard basis and interest rate stresses to these transactions as per criteria. Payment Structure: Credit enhancement (CE) is provided by overcollateralization (OC), excess spread and for the class A notes, subordination. For SLM 2003-1, as of August 2018, senior and total effective parity ratios (including the reserve) are 105.6% (5.3% CE) and 100.6% (0.6% CE), respectively. For SLM 2012-2, as of October 2018, senior and total effective parity ratios (including the reserve) are 109.6% (8.7% CE) and 101.3% (1.3% CE), respectively. Liquidity support for both transactions is provided by a reserve account currently sized at 0.25% of the outstanding pool balance. SLM 2003-1 and SLM 2012-2 will continue to release cash as long as the respective 100.0% and 101.3% total parities are maintained. Operational Capabilities: Day-to-day servicing is provided by Navient Solutions (formerly known as Sallie Mae, Inc.). Fitch believes Navient to be an acceptable servicer of FFELP student 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 2003-1 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'. SLM 2012-2 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'. 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. STACR 2018-SPI4: Fitch Gives B+ Ratings on 2 Tranches ----------------------------------------------------- Fitch Ratings has assigned ratings to Freddie Mac's transaction, Structured Agency Credit Risk Securitized Participation Interests Trust Series 2018-SPI4 (STACR 2018-SPI4) as follows: -- $92,978,000 class M-1 certificates 'BBB-sf'; Outlook Stable; -- $56,820,000 class M2-A certificates 'BBsf'; Outlook Stable; -- $56,820,000 class M2-B certificates 'B+sf'; Outlook Stable; -- $113,640,000 class M-2 exchangeable certificates 'B+sf'; Outlook Stable. The following classes will not be rated by Fitch: -- $0 class X certificates; -- $34,436,933 class B-1 certificates; -- $34,436,933 class B-2 certificates; -- $68,873,866 class B exchangeable certificates; -- $0 class R certificate. The 'BBB-sf' rating for the M-1 certificates reflects the 2.65% subordination provided by the 0.825% class M-2A certificates, the 0.825% class M-2B certificates, the 0.50% class B-1 certificates and the 0.50% class B-2 certificates. This will be the fifth 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 755, WA original combined loan-to-value ratio (LTV) of 83% 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 13.5%. 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 with 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 20,380 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): 63 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 January 2022, 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 (two loans) roll to a 90-day status as of Nov. 30, 2018, Freddie Mac will repurchase the loan on the January 2019 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. Strong 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 at least 5% of 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): 42.8% 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 (350 loans) by Adfitech, Inc. (Adfitech). Of the 350 loans reviewed, two loans had material findings and were graded 'C' due to credit (one) and property value exceptions (one). Two additional loans were graded 'D' due to missing income documentation. All four loans are on Schedule I and remain in the pool. The diligence results generally reflected solid manufacturing controls and, consequently, no adjustments were made to Fitch's loss expectations. Home Possible Exposure (Negative): Approximately 12.2% of the reference pool was originated under Freddie Mac's Home Possible and Home Possible Advantage programs. 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 60 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 become a CDL before January 2022. Additionally, Freddie Mac will repurchase on the January 2019 distribution date any 60-day delinquent loan (as of Oct. 31, 2018) that rolls to 90 days past due by Nov. 30, 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. The 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 18.7% 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 10%, 10% and 29% would potentially move the 'BBB-sf' rated class down one rating category, to non-investment grade, to 'CCCsf', respectively. STRATA CLO I: Moody's Rates $33MM Class E Notes 'Ba3' ----------------------------------------------------- Moody's Investors Service has assigned ratings to five classes of notes issued by Strata CLO I, Ltd. Moody's rating action is as follows: US$196,000,000 Class A Senior Secured Floating Rate Notes due 2031 (the "Class A Notes"), Assigned Aaa (sf) US$31,000,000 Class B Senior Secured Floating Rate Notes due 2031 (the "Class B Notes"), Assigned Aa2 (sf) US$31,000,000 Class C Secured Deferrable Floating Rate Notes due 2031 (the "Class C Notes"), Assigned A2 (sf) US$33,000,000 Class D Secured Deferrable Floating Rate Notes due 2031 (the "Class D Notes"), Assigned Baa3 (sf) US$33,000,000 Class E 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 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. Strata I is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 82.5% of the portfolio must consist of first lien senior secured loans, cash, and eligible investments, and up to 17.5% of the portfolio may consist of second lien loans and senior unsecured loans. The portfolio is approximately 75% ramped as of the closing date. HPS Investment Partners, LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's four year reinvestment period. Thereafter, the Manager may not reinvest in new assets and all principal proceeds, including sale proceeds, will be used to amortize the notes in accordance with the priority of payments. In addition to the Rated Notes, the Issuer issued subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2017. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $400,000,000 Diversity Score: 26 Weighted Average Rating Factor (WARF): 4244 Weighted Average Spread (WAS): 4.75% Weighted Average Coupon (WAC): 7.50% Weighted Average Recovery Rate (WARR): 42.0% Weighted Average Life (WAL): 7 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. The Credit Ratings for Strata CLO I, Ltd. were assigned in accordance with Moody's existing Methodology entitled "Moody's Global Approach to Rating Collateralized Loan Obligations," dated August 31, 2017. Please note that on November 14, 2018, Moody's released a Request for Comment, in which it has requested market feedback on potential revisions to its Methodology for Collateralized Loan Obligations. If the revised Methodology is implemented as proposed, Moody's does not expect the changes to affect the Credit Ratings on Strata CLO I, Ltd. 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. SYMPHONY CLO XV: Moody's Rates $25.5MM Class E-R2 Notes 'Ba3' ------------------------------------------------------------- Moody's Investors Service has assigned ratings to four classes of CLO refinancing notes issued by Symphony CLO XV, Ltd.: Moody's rating action is as follows: US$6,000,000 Class X-R2 Senior Floating Rate Notes due 2032 (the "Class X-R2 Notes"), Assigned Aaa (sf) US$384,000,000 Class A-R2 Senior Floating Rate Notes due 2032 (the "Class A-R2 Notes"), Assigned Aaa (sf) US$25,500,000 Class E-R2 Deferrable Mezzanine Floating Rate Notes due 2032 (the "Class E-R2 Notes"), Assigned Ba3 (sf) US$12,000,000 Class F-R2 Deferrable Mezzanine Floating Rate Notes due 2032 (the "Class F-R2 Notes"), Assigned B3 (sf) The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. Symphony Asset Management LLC (the "Manager") manages the CLO. It directs the selection, acquisition, and disposition of collateral on behalf of the Issuer. RATINGS RATIONALE 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 December 24, 2018 in connection with the refinancing of all classes of the secured notes previously partially refinanced on March 13, 2017 originally issued on November 17, 2014. On the Second Refinancing Date, the Issuer used proceeds from the issuance of the Refinancing Notes, along with the proceeds from the issuance of four other classes of secured notes and additional subordinated notes, which are not rated by Moody's, to redeem in full the Refinanced Original Notes. In addition to the issuance of the Refinancing Notes, the Issuer issued four other classes of secured notes and additional subordinated notes, which are not rated by Moody's. 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: $600,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 2797 Weighted Average Spread (WAS): 3.30% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 47.5% Weighted Average Life (WAL): 9.6 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2017. The Credit Rating for Symphony CLO XV, Ltd. was assigned in accordance with Moody's existing Methodology entitled "Moody's Global Approach to Rating Collateralized Loan Obligations," dated August 31, 2017. Please note that on November 14, 2018, Moody's released a Request for Comment, in which it has requested market feedback on potential revisions to its Methodology for Collateralized Loan Obligations. If the revised Methodology is implemented as proposed, Moody's does not expect the changes to affect the Credit Rating on Symphony CLO XV, Ltd. Please refer to Moody's Request for Comment, titled "Proposed Update to Moody's Global Approach to Rating Collateralized Loan Obligations," for further details regarding the implications of the proposed Methodology revisions on certain Credit Ratings. 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. TABERNA PREFERRED VIII: Moody's Hikes $75MM Class B Notes to B2(sf) ------------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Taberna Preferred Funding VIII, Ltd.: US$120,000,000 Class A-2 Second Priority Senior Secured Floating Rate Notes Due 2037 (current balance of $106,708,143), Upgraded to A3 (sf); previously on October 2, 2017 Upgraded to Ba1 (sf) US$75,000,000 Class B Deferrable Third Priority Secured Floating Rate Notes Due 2037, Upgraded to B2 (sf); previously on January 15, 2015 Upgraded to Caa3 (sf) US$40,000,000 Class C Deferrable Fourth Priority Secured Floating Rate Notes Due 2037 (current balance including interest shortfall of $44,463,897), Upgraded to Ca (sf); previously on May 7, 2010 Downgraded to C (sf) Taberna Preferred Funding VIII, Ltd., issued in March 2007, is a collateralized debt obligation (CDO) backed mainly by a portfolio of REIT trust preferred securities (TruPS). RATINGS RATIONALE The rating actions are primarily a result of the deleveraging of the Class A-1 and Class A-2 notes, an increase in the transaction's over-collateralization (OC) ratios, and the improvement in the credit quality of the underlying portfolio since December 2017. The Class A-1 notes have paid in full and the Class A-2 notes have paid down by approximately 11.1% or $13.3 million since December 2017, using principal proceeds from the redemption of the underlying assets and the diversion of excess interest proceeds. Based on Moody's calculations, the OC ratios for the Class A-2, Class B and Class C notes have improved to 238.8%, 140.2% and 112.6%, respectively, from December 2017 levels of 214.4%, 133.3% and 108.8%, respectively. The Class A-2 notes will continue to benefit from the diversion of excess interest and the use of proceeds from redemptions of any assets in the collateral pool. 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 3034 from 3822 in December 2017. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Approach to Rating TruPS CDOs," published in October 2016. The Credit Ratings on the notes issued by Taberna Preferred Funding VIII, Ltd. were assigned in accordance with Moody's existing Methodology entitled "Moody's Approach to Rating TruPS CDOs" dated October 7, 2016. Please note that on November 14, 2018, Moody's released a Request for Comment, in which it has requested market feedback on potential revisions to its Methodology for TruPS CDOs. If the revised Methodology is implemented as proposed, Moody's does not expect the changes to affect the Credit Ratings on notes issued by Taberna Preferred Funding VIII, Ltd.. 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. Moody's obtained a loss distribution for this CDO's portfolio by simulating defaults using Moody's CDOROM, which used Moody's assumptions for asset correlations and fixed recoveries in a Monte Carlo simulation framework. Moody's then used the resulting loss distribution, together with structural features of the CDO, 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 and principal proceeds balance of $254.6 million, defaulted/deferring par of $24.2 million, a weighted average default probability of 41.26% (implying a WARF of 3034), and a weighted average recovery rate upon default of 12.0%. In addition to the quantitative factors Moody's explicitly models, qualitative factors are part of rating committee considerations. Moody's considers the structural protections in the transaction, the risk of an event of default, recent deal performance under current market conditions, the legal environment and specific documentation features. All information available to rating committees, including macroeconomic forecasts, inputs from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. The portfolio of this CDO contains mainly TruPS issued by small to medium REIT companies that Moody's does not rate publicly. To evaluate the credit quality REIT TruPS that do not have public ratings, Moody's REIT group assesses their credit quality using the REIT firms' annual financials. TCP RAINIER: DBRS Assigns BB Rating on Class C Notes ---------------------------------------------------- DBRS, Inc. assigned new ratings of A (low) (sf) to the Class A Notes, BBB (sf) to the Class B Notes and BB (sf) to the Class C Notes (collectively, the Notes) and assigned a provisional rating of BBB (low) (sf) to the Combination Notes issued by TCP Rainier, LLC (the Issuer) pursuant to the Note Purchase and Security Agreement (NPSA) dated as of December 11, 2018, among TCP Rainier, LLC as Issuer; U.S. Bank National Association (rated AA (high) with a Stable trend by DBRS) as Collateral Agent, Custodian, Document Custodian, Collateral Administrator, Information Agent and Note Agent; and the Purchasers referred to therein. The rating on the Class A Notes addresses the timely payment of interest (excluding the additional 1% of interest payable at the Post-Default Rate as defined in the NPSA) and the ultimate payment of principal on or before the Stated Maturity of December 11, 2026. The ratings on the Class B Notes and Class C Notes address the ultimate payment of interest (excluding the additional 1% of interest payable at the Post-Default Rate as defined in the NPSA) and the ultimate payment of principal on or before the Stated Maturity of December 11, 2026. The provisional rating on the Combination Notes addresses the ultimate repayment of the Combination Note Rated Principal Balance (as defined in the NPSA) on or before the Stated Maturity of December 11, 2026. The Notes will be collateralized primarily by a portfolio of U.S. middle-market corporate loans. The Issuer will be managed by Series I of SVOF/MM, LLC (the Collateral Manager), a consolidated subsidiary of Tennenbaum Capital Partners, LLC. The Combination Notes shall consist of a portion of the principal amount (the Components) of each of the Class A Notes, Class B Notes, Class C Notes and Subordinated Notes (the Underlying Classes). Each Component of the Combination Notes will be treated as Notes of the respective Underlying Class. Payments on any Underlying Class shall be allocated to the relevant Combination Notes in the proportion that the outstanding principal amount of the applicable Component bears to the outstanding principal amount of such Underlying Class as a whole (including all related Components). Each Component of the Combination Notes shall bear interest and shall receive payments in the same manner as the related Underlying Class and each Component shall mature and be payable on the Stated Maturity in the same manner as the related Underlying Class. All payments made on the Combination Notes (interest, principal or otherwise) shall reduce the Combination Note Rated Principal Balance of the Combination Notes provided that the Combination Notes shall remain outstanding until the earlier of (1) the payment in full and redemption of each Component and (2) the Stated Maturity of each Component. The ratings reflect the following: (1) The NPSA dated as of December 11, 2018. (2) The integrity of the transaction structure. (3) DBRS's assessment of the portfolio quality. (4) Adequate credit enhancement to withstand projected collateral loss rates under various cash flow stress scenarios. (5) DBRS's assessment of the origination, servicing and collateralized loan obligation management capabilities of Series I of SVOF/MM, LLC. To assess portfolio credit quality, DBRS provides a credit estimate or internal assessment for each non-financial corporate obligor in the portfolio not rated by DBRS. Credit estimates are not ratings; rather, they represent a model-driven default probability for each obligor that is used in assigning a rating to the facility. Under the NPSA, following an Event of Default and the acceleration of the Obligations, the Controlling Parties (as defined in the NPSA) may direct the Collateral Agent to sell all or any portion of the Collateral to the Controlling Parties or any Affiliate of the Controlling Parties, without soliciting or accepting bids therefor from any Person, at the Market Value of such Collateral, which may be at the disadvantage of the other non-Controlling Parties. Notes: All figures are in U.S. dollars unless otherwise noted. TESLA AUTO 2018-B: Moody's Rates $39MM Class E Notes 'Ba3' ---------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to the notes issued by Tesla Auto Lease Trust 2018-B. This is the second auto lease transaction for Tesla Finance LLC (TFL; not rated). The notes are backed by a pool of closed-end retail automobile leases originated by TFL, who is also the servicer and administrator for this transaction. The complete rating actions are as follows: Issuer: Tesla Auto Lease Trust 2018-B $673,680,000, 3.71%, Class A Notes, Definitive Rating Assigned Aaa (sf) $57,480,000, 4.12%, Class B Notes, Definitive Rating Assigned Aa2 (sf) $36,790,000, 4.36%, Class C Notes, Definitive Rating Assigned A2 (sf) $30,350,000, 5.29%, Class D Notes, Definitive Rating Assigned Baa2 (sf) $39,090,000, 7.87%, Class E Notes, Definitive Rating Assigned Ba3 (sf) RATINGS RATIONALE The ratings are based on the quality of the underlying collateral and its expected performance, the strength of the capital structure, and the experience and expertise of TFL as the servicer and administrator. Moody's expected median cumulative net credit loss expectation for TALT 2018-B is 0.5% and the total loss at a Aaa stress on the collateral is 29.0% (including 4.5% credit loss and 24.5% residual value loss at a Aaa stress). Moody's based its cumulative net credit loss expectation and loss at a Aaa stress of the collateral on an analysis of the quality of the underlying collateral; the historical credit loss and residual value performance of similar collateral, including securitization performance and managed portfolio performance; the ability of TFL and its sub-servicer LeaseDimensions to perform the servicing functions; and current expectations for the macroeconomic environment during the life of the transaction. At closing, the Class A notes, the Class B notes, the Class C notes, the Class D notes, and the Class E notes are expected to benefit from 27.50%, 21.25%, 17.25%, 13.95%, and 9.70% of hard credit enhancement, respectively. Hard credit enhancement for the notes consists of a combination of overcollateralization, a non-declining reserve account and subordination, except for the Class E notes which do not benefit from subordination. The notes may also benefit from excess spread. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Global Approach to Rating Auto Loan- and Lease-Backed ABS" published in October 2016. Please note that on November 14, 2018, Moody's released a Request for Comment, in which it has requested market feedback on potential revisions to its Methodology for auto loans and leases. If the revised Methodology is implemented as proposed, the Credit Rating on TALT 2018-B may be neutrally affected. Please refer to Moody's Request for Comment, titled "Proposed Update to Moody's Global Approach to Rating Auto Loan- and Lease-Backed ABS" for further details regarding the implications of the proposed Methodology revisions on certain Credit Ratings. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the subordinate notes if levels of credit enhancement are higher than necessary to protect investors against current expectations of portfolio losses. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market and the market for used vehicles. Other reasons for better-than-expected performance include changes to servicing practices that enhance collections or refinancing opportunities that result in prepayments. Down Moody's could downgrade the notes if levels of credit enhancement are insufficient to protect investors against current expectations of portfolio losses. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market and the market for used vehicles. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. TIAA CLO IV: S&P Assigns BB- Rating on $15MM Class D Notes ---------------------------------------------------------- S&P Global Ratings assigned its ratings to TIAA CLO IV Ltd./TIAA CLO IV LLC's floating-rate notes. The note issuance is a collateralized loan obligation (CLO) transaction backed by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans managed by Teachers Advisors LLC, a subsidiary of TIAA Global Asset Management. This is Teachers Advisors LLC's fourth CLO, which will bring its total CLO assets under management (AUM) to $1.80 billion. The ratings reflect: -- The diversified collateral pool. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. RATINGS ASSIGNED TIAA CLO IV Ltd./TIAA CLO IV LLC Class Rating Amount (mil. $) A-1a AAA (sf) 261.00 A-1b NR 28.00 A-2 AA (sf) 53.00 B (deferrable) A (sf) 26.50 C (deferrable) BBB- (sf) 26.50 D (deferrable) BB- (sf) 15.00 Subordinated notes NR 48.10 NR--Not rated. TICP CLO XII: Moody's Rates $23.2MM Class E Notes 'Ba3' ------------------------------------------------------- Moody's Investors Service has assigned ratings to five classes of notes issued by TICP CLO XII, Ltd. Moody's rating action is as follows: US$256,000,000 Class A Senior Secured Floating Rate Notes due 2031 (the "Class A Notes"), Assigned Aaa (sf) US$46,800,000 Class B Senior Secured Floating Rate Notes due 2031 (the "Class B Notes"), Assigned Aa2 (sf) US$16,800,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class C Notes"), Assigned A2 (sf) US$24,000,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class D Notes"), Assigned Baa3 (sf) US$23,200,000 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 The ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. TICP XII 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 80% ramped as of the closing date. TICP CLO XII Management, 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 2.5 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: $400,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2979 Weighted Average Spread (WAS): 3.10% Weighted Average Coupon (WAC): 6.25% Weighted Average Recovery Rate (WARR): 48.0% Weighted Average Life (WAL): 7.07 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. The Credit Rating for TICP CLO XII, Ltd. was assigned in accordance with Moody's existing Methodology entitled "Moody's Global Approach to Rating Collateralized Loan Obligations," dated August 31, 2017. Please note that on November 14, 2018, Moody's released a Request for Comment, in which it has requested market feedback on potential revisions to its Methodology for Collateralized Loan Obligations. If the revised Methodology is implemented as proposed, Moody's does not expect the changes to affect the Credit Rating on TICP CLO XII, Ltd. 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. TOWD POINT 2018-SJ1: Fitch Rates $21.3MM Class B2 Notes 'Bsf' ------------------------------------------------------------- Fitch Ratings has assigned the following ratings to Towd Point Mortgage Trust 2018-SJ1: -- $242,462,000 class A1 notes 'AAAsf'; Outlook Stable; -- $37,825,000 class A2 notes 'AAsf'; Outlook Stable; -- $35,399,000 class M1 notes 'Asf'; Outlook Stable; -- $32,490,000 class M2 notes 'BBBsf'; Outlook Stable; -- $26,186,000 class B1 notes 'BBsf'; Outlook Stable; -- $21,337,000 class B2 notes 'Bsf'; Outlook Stable; -- $280,287,000 class A3 exchangeable notes 'AAsf'; Outlook Stable; -- $315,686,000 class A4 exchangeable notes 'Asf'; Outlook Stable; -- $348,176,000 class A5 exchangeable notes 'BBBsf'; Outlook Stable. Fitch will not be rating the following classes: -- $25,216,000 class B3 notes; -- $25,216,000 class B4 notes; -- $38,794,956 class B5 notes; -- $484,925,956 class A6 exchangeable notes; -- $20,500,000 class XA notes. The notes are supported by one collateral group that consists of 12,148 seasoned performing and re-performing mortgages, with a total balance of approximately $484.93 billion (which includes $12.1 million, or 2.5%, of the aggregate pool balance in non-interest-bearing deferred principal amounts) as of the statistical calculation date. KEY RATING DRIVERS Closed-End Second Liens (Negative): The collateral pool consists of 100% closed-end, second lien, seasoned performing loans and RPLs with a weighted average (WA) credit score of 712, sustainable combined loan to value ratio (CLTV) of 87%, 72% 36 months of clean pay history, and seasoning of approximately 143 months. Fitch assumes second lien loans default at a rate comparable to first lien loans, after controlling for credit attributes and the economy, and, therefore, no additional default penalty for the second lien status was applied. Fitch assumed 100% loss severity (LS) on all defaulted loans. Re-Performing Loans (Negative): No loans were delinquent as of the statistical calculation date, and 77% of the pool has been "current" for over two years. Twenty-three percent of loans are current but have recent delinquencies or incomplete pay strings. Of the total pool; 32.2% have received modifications. The average time since loan modification is approximately 72 months. Moderate Operational Risk (Negative): Due predominantly to the smaller diligence sample size, operational risk is modestly higher for this transaction compared to other TPMT transactions rated by Fitch. However, the results were consistent with the sponsor's prior transactions. FirstKey Mortgage, LLC (FirstKey) has a well-established track record as an aggregator of seasoned performing and RPL mortgages and has an "average" aggregator assessment from Fitch. The collateral loan pool is approximately 143 months seasoned and acquired from only two primary sources, reducing the potential impact of origination misrepresentations. Additionally, the sponsor or its affiliate's retention of at least 5% of the bonds should help mitigate the operational risk of the transaction. Realized Loss and Writedown Feature (Positive): Loans that are delinquent for 180 days or more will be considered a realized loss and, therefore, will cause the most subordinated class to be written down. Despite the 100% LS assumed for each defaulted loan, Fitch views the writedown feature positively as cash flows will not be needed to pay timely interest to the 'AAAsf' and 'AAsf' notes during loan resolution by the servicer. In addition, subsequent recoveries realized after the writedown at 180 days delinquent will be passed on to bondholders as principal. Low Aggregate Servicing Fee (Negative): Fitch determined that the initial servicing fee of 25 basis points (bps) might 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 assumed a 75-bp servicing fee in its cash flow analysis to reflect the risk of trustee-directed increase in fees. 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 certain reps that Fitch typically expects for RPL transactions. After a threshold event (which occurs when realized loss exceeds the class principal balance of the B3, B4 and B5 notes), loan reviews for identifying breaches will be conducted on loans that experience a realized loss of $10,000 or more. To account for the Tier 2 framework, Fitch increased its 'AAAsf' loss expectations by roughly 344bps 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 January 2020. 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 January 2020. No Servicer P&I Advances (Mixed): The servicer will not be advancing delinquent monthly payments of P&I, which reduce liquidity to the trust. P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust. Typically, the lack of P&I advancing would result in lower loan-level LS. However, Fitch is assuming 100% LS for all loans in the transaction. 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 $12.1 million (2.5%) of the UPB are outstanding on 582 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) than if there were no deferrals. Because deferred amounts are due and payable by the borrower at maturity, 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 two criteria variations from the "U.S. RMBS Seasoned, Re-Performing and Non-Performing Loan Rating Criteria" and one variation from the "U.S. RMBS Loan Loss Model Criteria." The first variation relates to the tax/title review. An updated tax/title review was not completed on 9,340 loans. 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 second variation is that a due diligence compliance and data integrity review was not completed on 9,272 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 from application of this variation. The third variation was application of the same performance credit for first lien loans that have clean pay histories of 24 months or more. Performance data for second lien loans support the same reduction applied to first lien PDs. The impact of this variation resulted in ratings that were one category higher. A fourth and final variation is an adjustment that was made to Fitch's U.S. RMBS Loan Loss Model. Fitch's model typically applies a PD credit for mortgage loans with 15-year loan terms. Historical data have shown that 15-year second lien mortgage loans do not perform the same as 15-year first lien mortgage loans. As a result, this credit is not applicable and was removed from the model. Application of this variation resulted in ratings that were one notch lower. MODELING Fitch analyzed the credit characteristics of the underlying collateral to determine base case and rating stress loss expectations, using a customized version of its residential mortgage loss model, which is fully described in its criteria report, "U.S. RMBS Loan Loss Model Criteria." The customized model removed the probability of default credit that is typically applied to loans originated with 15-year terms. Historical data show that 15-year second lien mortgage loans do not perform the same as 15-year first lien mortgage loans. As a result, this credit is not applicable and was removed from the model. This had an impact of approximately 275 bps at the 'AAA' loss level. 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% 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'. 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, Westcor was retained to perform an updated title and tax search. A regulatory compliance and data integrity review was completed on 46% of the pool by balance. 489 of the reviewed loans received either a 'C' or 'D' grade. For 192 of these loans, this was due to 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. Typically, Fitch makes an LS adjustments to account for this; however, all loans in the pool are already receiving 100% LS; therefore, no adjustments were made. Reasons for the remaining 297 'C' and 'D' grades include missing final HUD1s that are not subject to predatory lending, missing state disclosures and other compliance-related 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 any of the 489 loans that received either a 'C' or 'D' grade. TRINITAS CLO III: Moody's Lowers $8MM Class F Notes Rating to Caa1 ------------------------------------------------------------------ Moody's Investors Service has downgraded the rating on the following notes issued by Trinitas CLO III, Ltd.: US$8,000,000 Class F Deferrable Floating Rate Notes Due July 15, 2027, Downgraded to Caa1 (sf); previously on June 9, 2015 Definitive Rating Assigned B2 (sf) Moody's also affirmed the ratings on the following notes: US$251,500,000 Class A-R Floating Rate Notes Due July 15, 2027, Affirmed Aaa (sf); previously on February 23, 2018 Assigned Aaa (sf) US$62,500,000 Class B-R Floating Rate Notes Due July 15, 2027, Affirmed Aa1 (sf); previously on February 23, 2018 Assigned Aa1 (sf) US$15,750,000 Class C-R Deferrable Floating Rate Notes Due July 15, 2027, Affirmed A2 (sf); previously on February 23, 2018 Assigned A2 (sf) US$21,250,000 Class D-R Deferrable Floating Rate Notes Due July 15, 2027, Affirmed Baa3 (sf); previously on February 23, 2018 Assigned Baa3 (sf) US$16,500,000 Class E Deferrable Floating Rate Notes Due July 15, 2027, Affirmed Ba3 (sf); previously on June 9, 2015 Definitive Rating Assigned Ba3 (sf) Trinitas CLO III, Ltd., originally issued in June 2015, is a collateralized loan obligation (CLO) backed primarily by a portfolio of senior secured loans. The transaction's reinvestment period will end in June 2019. RATINGS RATIONALE The rating downgrade on the Class F notes is primarily due to a decrease in the weighted average spread (WAS) of the underlying loan portfolio and deterioration in the notes' overcollateralization (OC) coverage since January 2018. Based on the trustee's November 2018 report, the WAS of the underlying portfolio is reported at 3.14% versus 3.38% used at the time of the refinancing in February 2018. Also, the interest diversion test ratio, in effect the Class F OC ratio, is currently reported at 103.58%, versus the February 2018 level of 104.92%. Additionally, based on the trustee's November 2018 report, the weighted average rating factor (WARF) is currently 2716 versus the covenant level of 1974. The rating affirmations on the remaining rated notes reflect the benefit of the shorter period of time remaining before the end of the deal's reinvestment period, which offsets the decrease in WAS and the deterioration of the OC ratios for these notes. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. In its base case, Moody's analyzed the collateral pool as having a performing par and principal proceeds balance of $387.0 million, defaulted par of $7.0 million, a weighted average default probability of 19.73% (implying a WARF of 2632), a weighted average recovery rate upon default of 48.95%, a diversity score of 62 and a weighted average spread of 3.10% (before accounting for LIBOR floors). 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. The Credit Rating for Trinitas CLO III, Ltd. was assigned in accordance with Moody's existing Methodology entitled "Moody's Global Approach to Rating Collateralized Loan Obligations," dated August 31, 2017. Please note that on November 14, 2018, Moody's released a Request for Comment, in which it has requested market feedback on potential revisions to its Methodology for Collateralized Loan Obligations. If the revised Methodology is implemented as proposed, Moody's does not expect the changes to affect the Credit Rating on Trinitas CLO III, Ltd. Please refer to Moody's Request for Comment, titled "Proposed Update to Moody's Global Approach to Rating Collateralized Loan Obligations," for further details regarding the implications of the proposed Methodology revisions on certain Credit Ratings. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: This transaction is subject to a number of factors and circumstances that could lead to either an upgrade or downgrade of the ratings: 1) Macroeconomic uncertainty: CLO performance is subject to uncertainty about credit conditions in the general economy. 2) Collateral Manager: Performance can also be affected positively or negatively by a) the manager's investment strategy and behavior and b) differences in the legal interpretation of CLO documentation by different transactional parties owing to embedded ambiguities. 3) Collateral credit risk: A shift towards collateral of better credit quality, or better credit performance of assets collateralizing the transaction than Moody's current expectations, can lead to positive CLO performance. Conversely, a negative shift in credit quality or performance of the collateral can have adverse consequences for CLO performance. 4) Deleveraging: An important source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will commence and at what pace. Deleveraging of the CLO could accelerate owing to high prepayment levels in the loan market and/or collateral sales by the manager, which could have a significant impact on the notes' ratings. Note repayments that are faster than Moody's current expectations will usually have a positive impact on CLO notes, beginning with those with the highest payment priority. 5) Recovery of defaulted assets: Fluctuations in the market value of defaulted assets could result in volatility in the deal's overcollateralization levels. Further, the timing of recovery realization and whether the Manager decides to work out or sell defaulted assets create additional uncertainty. Realization of recoveries that are either materially higher or lower than assumed in Moody's analysis would impact the CLO positively or negatively, respectively. 6) Post-Reinvestment Period Trading: Subject to certain requirements, the deal can reinvest certain proceeds after the end of the reinvestment period, and as such the manager has the ability to erode some of the collateral quality metrics to the covenant levels. Such reinvestment could affect the transaction either positively or negatively. 7) Weighted Average Spread (WAS): CLO performance can be sensitive to WAS, which is a key factor driving the amount of excess spread available as credit enhancement when a deal fails its over-collateralization or interest coverage tests. A decrease in excess spread, including as a result of losing the net interest benefit of LIBOR floors, or because market conditions make it difficult for the deal to source assets of appropriate credit quality in order to maintain its WAS target, would reduce the effective credit enhancement available for the notes. TRUPS FINANCIALS 2018-2: Moody's Rates $29.8MM Class B Notes 'Ba3' ------------------------------------------------------------------ Moody's Investors Service has assigned ratings to three classes of notes issued by TruPS Financials Note Securitization 2018-2 Ltd. Moody's rating action is as follows: US$210,500,000 Class A-1 Senior Secured Floating Rate Notes due 2039 (the "Class A-1 Notes"), Definitive Rating Assigned Aa1 (sf) US$58,000,000 Class A-2 Mezzanine Deferrable Floating Rate Notes due 2039 (the "Class A-2 Notes"), Definitive Rating Assigned A3 (sf) US$29,800,000 Class B Mezzanine Deferrable Floating Rate Notes due 2039 (the "Class B Notes"), Definitive Rating Assigned Ba3 (sf) The Class A-1 Notes, the Class A-2 Notes, and the Class B Notes are referred to herein, together, as the "Rated Notes." RATINGS RATIONALE 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. TFINS 2018-2 is a static cash flow CDO. The issued notes will be collateralized primarily by a portfolio of (1) trust preferred securities issued by US community banks and their holding companies and (2) TruPS, senior notes and surplus notes issued by insurance companies and their holding companies. The portfolio is 100% ramped as of the closing date. EJF CDO Manager LLC, an affiliate of EJF Capital LLC, will direct the selection, acquisition and disposition of the assets on behalf of the Issuer. The Manager will direct the disposition of any defaulted securities or credit risk securities. The transaction prohibits any asset purchases or substitutions at any time. In addition to the Rated Notes, the Issuer issued one class of preferred shares. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. The transaction also includes an interest diversion feature beginning on the December 2026 payment date whereby 60% of the interest at a junior step in the priority of interest payments is used to pay the principal on the Class A-1 Notes until the Class A-1 Notes' principal has been paid in full. The portfolio of this CDO consists of (1) TruPS issued by 45 US community banks and (2) TruPS, senior notes and surplus notes issued by 17 insurance companies, the majority of which Moody's does not rate. Moody's assesses the default probability of bank obligors that do not have public ratings through credit scores derived using RiskCalc, an econometric model developed by Moody's Analytics. Moody's evaluation of the credit risk of the bank obligors in the pool relies on FDIC Q2-2018 financial data. Moody's assesses the default probability of insurance company obligors that do not have public ratings through credit assessments provided by its insurance ratings team based on the credit analysis of the underlying insurance companies' annual statutory financial reports. Moody's assumes a fixed recovery rate of 10% for both the bank and insurance obligations. Moody's ratings on the Rated Notes took into account a stress scenario for highly levered bank holding company issuers. The transaction's portfolio includes subordinated debt issued by a number of bank holding companies with significant amounts of other debt on their balance sheet which may increase the risk presented by their subsidiaries. To address the risk from higher debt burden at the bank holding companies, Moody's conducted a stress scenario in which Moody's made adjustments to the RiskCalc credit scores for these highly leveraged holding companies. This stress scenario was an important consideration in the assigned ratings. In addition, its analysis considered the concentrated nature of the portfolio. There are 10 issuers that each constitute approximately 2.8% to 2.9% of the portfolio par. Moody's ran a stress scenario in which Moody's assumed a two notch downgrade for up to 30% of the portfolio par. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $351,015,000 Weighted Average Rating Factor (WARF): 675 Weighted Average Spread (WAS): 2.97% Weighted Average Coupon (WAC): 9.50% Weighted Average Recovery Rate (WARR): 10.0% Weighted Average Life (WAL): 10.5 years In addition to the quantitative factors that Moody's explicitly models, qualitative factors were part of the rating committee consideration. Moody's considers the structural protections in the transaction, the risk of an event of default, the legal environment and specific documentation features. All information available to rating committees, including macroeconomic forecasts, inputs from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transaction, influenced the final rating decision. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Approach to Rating TruPS CDOs" published in October 2016. The Credit Ratings for TruPS Financials Note Securitization 2018-2 Ltd were assigned in accordance with Moody's existing Methodology entitled "Moody's Approach to Rating TruPS CDOs," dated October 7, 2016. Please note that on November 14, 2018, Moody's released a Request for Comment, in which it has requested market feedback on potential revisions to its Methodology for TruPS CDOs. If the revised Methodology is implemented as proposed, Moody's does not expect the changes to affect the Credit Ratings on TruPS Financials Note Securitization 2018-2 Ltd. 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: The transaction's performance could be negatively affected by uncertainty about credit conditions in the general economy. Moody's currently has a stable outlook on the US banking sector and the US P&C insurance sector. 2) Portfolio credit risk: Credit performance of the assets collateralizing the transaction that is better than Moody's current expectations could have a positive impact on the transaction's performance. Conversely, asset credit performance weaker than Moody's current expectations could have adverse consequences on the transaction's performance. 3) Deleveraging: One source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds due to redemptions will occur and at what pace. Note repayments that are faster than Moody's current expectations could have an impact on the notes' ratings. 4) Exposure to non-publicly rated assets: The portfolio consists primarily of unrated assets whose default probability Moody's assesses through credit scores derived using RiskCalc or credit assessments. Because these are not public ratings, they are subject to additional estimation uncertainty. Moody's obtained a loss distribution for this CDO's portfolio by simulating defaults using Moody's CDOROM, which used Moody's assumptions for asset correlations and fixed recoveries in a Monte Carlo simulation framework. Moody's then used the resulting loss distribution, together with structural features of the CDO, as an input in its CDOEdge cash flow model. UBS-BARCLAYS COMMERCIAL 2013-C6: Fitch Affirms Cl. F Certs at Bsf ----------------------------------------------------------------- Fitch Ratings has affirmed 13 classes of Barclays Commercial Mortgage Securities LLC's UBS-Barclays Commercial Mortgage Trust 2013-C6, commercial mortgage pass-through certificates. KEY RATING DRIVERS Overall Stable Performance and Loss Expectations: Overall pool performance and loss expectations remain stable since issuance. However, one loan (1%) is in special servicing. The loan is secured by a 138-key limited service hotel located in Santa Rosa, CA, and transferred to special servicing in April 2018. Although the loan remains current, the franchise agreement is in forbearance due to low quality assurance scores. The servicer reports that legal counsel has been engaged and it will continue to monitor the quality assurance scores. As of November 2018, the TTM occupancy was reported to be 90%. Two loans representing 2.4% of the pool (15th largest) are on the servicer's watchlist due to declining occupancy. The largest watchlist loan, which has also flagged as Fitch Loans of Concern (FLOC), is secured by a 112,929 sf mixed-use property located in Miami, FL. Occupancy has declined to 59% from 94% at issuance due to several tenants terminating their lease or vacating upon lease expiration. Defeasance/Improved Credit Enhancement Since Issuance: Nine loans (10.5%) are fully defeased including the third largest loan (6.2%). As of the November 2018 distribution date, the pool's aggregate balance has been reduced by 9.3% to $1.2 billion from $1.3 billion at issuance. Interest shortfalls in the amount of $28,017 are currently affecting non-rated class G. Ten loans (40.3% of the pool) are full-term interest-only, one loan (1%) is fully amortizing and the remaining 60 loans are amortizing. Retail Concentration: Retail properties represent 48.9% of the pool, with five retail loans in the top 10. Additionally, mixed-use properties make up 16.3% of the pool, with three mixed-use loans in the top 15. For 2012 vintage transactions, the average retail and mixed-use exposures were 35.9% and 4.2%, respectively. RATING SENSITIVITIES The Rating Outlook for all classes remains Stable due to generally 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. Fitch has concerns with the ability to refinance the Broward Mall loan (8.1%) due to the loan's size, lack of amortization and the overall outlook for retail. As such, Fitch performed a sensitivity analysis to account for outsized losses should the loan have difficulty refinancing at maturity. However, Fitch does not foresee any immediate risk and there is no impact to the current ratings as property performance has remained relatively stable and the loan does not mature until March 2023. 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 as indicated: -- $154.8 million class A-3 at 'AAAsf'; Outlook Stable; -- $461.1 million class A-4 at 'AAAsf'; Outlook Stable; -- $87 million class A-SB at 'AAAsf'; Outlook Stable; -- $95 million class A-3FL at 'AAAsf'; Outlook Stable; -- $95 million class A-3FX at 'AAAsf'; Outlook Stable; -- $111.7 million class A-S at 'AAAsf'; Outlook Stable; -- $932.7 million* class X-A at 'AAAsf'; Outlook Stable; -- $140.9 million* class X-B at 'A-sf'; Outlook Stable; -- $90.7 million class B at 'AA-sf'; Outlook Stable; -- $50.2 million class C at 'A-sf'; Outlook Stable; -- $48.6 million class D at 'BBB-sf'; Outlook Stable; -- $25.9 million class E at 'BBsf'; Outlook Stable; -- $19.4 million class F at 'Bsf'; Outlook Stable. * Indicates notional amount and interest-only. All or a portion of the class A-3FL certificates may be exchanged for class A-3FX certificates. The aggregate certificate balance of the class A-3FL certificates and class A-3FX certificates will at all times equal the certificate balance of the class A-3FL regular interest. The class A-1 and A-2 certificates have paid in full. Fitch does not rate the class G and X-C certificates. VERUS SECURITIZATION 2018-INV2: S&P Assigns B Rating on B-2 Certs ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Verus Securitization Trust 2018-INV2's mortgage pass-through certificates. The note issuance is a residential mortgage-backed securities (RMBS) transaction backed by U.S. residential mortgage loans. The ratings reflect: -- The pool's collateral composition; -- The credit enhancement provided for this transaction; -- The transaction's associated structural mechanics; -- The representation and warranty framework for this transaction; and -- The mortgage aggregator, Invictus Capital Partners. RATINGS ASSIGNED Verus Securitization Trust 2018-INV2 Class Rating(i) Amount ($) A-1FX AAA (sf) 102,011,000 A-1FL AAA (sf) 50,000,000 A-2 AA (sf) 24,847,000 A-3 A (sf) 34,658,000 M-1 BBB- (sf) 15,546,000 B-1 BB- (sf) 12,487,000 B-2 B (sf) 7,186,000 B-3 NR 8,104,602 A-IO-S NR 254,839,702(ii) XS NR 254,839,702(ii) P NR 100 R NR N/A (i)The ratings assigned to the classes address the ultimate payment of interest and principal. (ii)Notional amount, which equals the loans' stated principal balance. N/A--Not applicable. NR--Not rated. VOYA CLO 2018-4: S&P Gives (P)B- Rating on $6MM Class F Notes ------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Voya CLO 2018-4 Ltd.'s fixed- and 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 Dec. 13, 2018. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The diversified collateral pool. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. PRELIMINARY RATINGS ASSIGNED Voya CLO 2018-4 Ltd. Class Rating Amount (mil. $) A-1A AAA (sf) 219.47 A-1B AAA (sf) 16.53 A-2A NR 12.00 A-2B NR 12.00 B AA (sf) 44.00 C-1 A (sf) 20.00 C-2 A (sf) 2.00 D BBB- (sf) 22.00 E BB- (sf) 16.00 F B- (sf) 6.00 Subordinated notes NR 36.00 NR--Not rated. WACHOVIA BANK 2007-C30: Fitch Lowers Class G Certs Rating to Dsf ---------------------------------------------------------------- Fitch Ratings has affirmed two and downgraded four classes of Wachovia Bank Commercial Mortgage Trust's commercial mortgage pass-through certificates, series 2007-C30. KEY RATING DRIVERS Loss Expectations Remain High: All of the outstanding loans are in special servicing or have been previously modified. Losses are expected to reach class E given concerns related to continued performance decline, weak occupancy, upcoming tenant roll, secondary and tertiary market locations, over-leverage and below-average property quality for the remaining loans. Proceeds from the disposition of or repayment of the remaining specially serviced loans and performing modified loans are not expected to be sufficient to pay class E. Insufficient Credit Support: The credit enhancement for class E has increased due to the significant paydown since the last review but enhancement remains insufficient relative to Fitch's expected loss. As of the December 2018 remittance report, the pool's aggregate principal balance has been reduced by 98.5% to $115.3 million from $7.9 billion at issuance. Realized losses total $518.7 million (7.4% of original pool balance). Cumulative interest shortfalls in the amount of $68.5 million are currently affecting classes K through S. Concentrated Pool: The pool is highly concentrated with only five loans remaining including two performing loans that have been bifurcated into an A and B Note (50.7%), one loan in foreclosure (17.4%), one non-performing maturity default (18.5%), and one current specially serviced loan (13.4%). Due to the concentrated nature of the pool, Fitch performed a sensitivity and liquidation analysis that included the expected losses and potential payoff proceeds of the remaining loans. The ratings reflect this analysis and losses are expected to impact each remaining class. Fitch Loans of Concern: Each of the remaining loans is considered a Fitch Loan of Concern. The largest performing loan is the NJ Office Pool A/B Note (34.2%), which is secured by four office properties located in Parsippany, East Hanover, and Clifton NJ. The loan has previously been transferred to the special servicer twice and was also modified each time. The first modification included a bifurcation into an A and B note, and the second modification in April 2017 included extending the maturity date until February 2020. The largest property in the portfolio, 1255 Broad Street, was recently sold from the portfolio. As of September 2018 the NOI DSCR was 1.15x and portfolio occupancy was 62%. The largest specially serviced loan is the Mercede-Benz Central Parts Warehouse (18.5%), which is secured by a 518,400 sf industrial property located in Vance, AL that has been 100% occupied by Mercedes Benz USA International since issuance. The loan transferred to the special servicer in May 2016 before the loans January 2017 maturity date. The tenant's lease expires in October 2020, and they are not required to notify the landlord of a lease renewal until February 2020. Discussions with the tenant for an earlier lease renewal have not been successful, and efforts to refinance the property also have not been successful. In January 2018 the borrower exercised the second 12 month forbearance term which extends to January 2019 and required a 10% principal paydown. The June 2018 NOI DSCR was 1.36x. RATING SENSITIVITIES The remaining loans in the trust are either currently in special servicing or have previously been in special servicing and modified. Based on the pool's concentration, Fitch utilized a sensitivity analysis and determined that repayment of the most senior bond is reliant on proceeds from specially serviced loans or B notes. As the timing of dispositions is uncertain, future upgrades are unlikely. The distressed classes may be subject to further downgrades as additional losses are realized. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third party due diligence was provided or reviewed in relation to this rating. Fitch has downgraded the following classes: -- $1.2 million class G to 'Dsf' from 'Csf'; RE 0%; -- $0 class H to 'Dsf' from 'Csf'; RE 0%; -- $0 class J to 'Dsf' from 'Csf'; RE 0%; -- $0 class K to 'Dsf' from 'Csf'; RE 0%. Fitch has affirmed the following classes: -- $46.1 million class E at 'Csf'; RE 90%; -- $69.2 million class F at 'Csf'; RE 0%. The class A-1, A-2, A-3, A-4, A-5, A-1A, A-M, A-MFL, A-PB, A-J, B, C, and D certificates have paid in full. Fitch does not rate the class L, M, N, O, P, Q and S certificates. Fitch previously withdrew the ratings on the interest-only class X-P, X-C and X-W certificates. WAMU COMMERCIAL 2006-SL1: Fitch Hikes Rating on Cl. F Debt to CC ---------------------------------------------------------------- Fitch Ratings has upgraded four and affirmed seven classes of WaMu Commercial Mortgage Securities Trust 2006-SL1, small balance commercial mortgage pass-through certificates. KEY RATING DRIVERS Increased Credit Enhancement: According to the November 2018 remittance report, the trust has received $7.8 million in unscheduled principal from loans prepaying during their open period in the last 12 months. This figure includes 17 loans (with an aggregate balance at the last rating action of $9.4 million) that have repaid since the last rating action. All of these loans repaid with full recoveries, better than Fitch's previous projections. With monthly amortization, class B is scheduled to repay in approximately 7 months; however, this may occur sooner with continued unscheduled principal from prepaying loans. There is only one specially serviced loan remaining, and it is current. The October 2017 appraised value for the asset exceeds the loan exposure. As a sensitivity, Fitch modelled a 100% loss. Even so, a full loss on the loan would be contained to class G, which is already rated 'Dsf'. Stable Loss Projections: As a percent of the original and outstanding pool balances, Fitch's modeled losses on the remaining loans are largely unchanged since the last rating action. The pool is comprised mainly of small balance loans backed by small multifamily properties. Many loan level reports are dated. Fitch's analysis includes conservative assumptions for these loans. Pool Concentration and Extended Maturity Profile: The pool is comprised almost entirely of small balance, fully amortizing loans backed by multifamily properties, with geographic concentration in California. Given this concentration, and because many of the asset-level financial statements are missing or dated, Fitch used conservative NOI haircuts and higher cap rate and refinance constant assumptions for the pool. The resulting loan level loss projections may be considered high relative to the leverage points. However, the pool's maturity profile is extended. Only one loan representing 0.9% of the pool is scheduled to mature prior to 2036. RATING SENSITIVITIES The Rating Outlook for classes C and D were revised to Stable from Positive following their upgrades. The Rating Outlook for class B remains Stable. This class is expected to repay within the next seven months, and class C will then become the first-pay class. The pool continues to experience collateral reduction, largely because of prepayments. As a result, credit enhancement has improved since the last rating action. Prepayments are difficult to time, and scheduled monthly principal is minimal given the pool's extended maturity profile. However, with continued principal paydown, it is possible that classes could be upgraded in the future. Downgrades are not considered likely unless a significant number of loans default or have performance declines. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third party due diligence was provided or reviewed in relation to this rating action. Fitch has upgraded the following ratings: -- $14.7 million class C to 'AAAsf' from 'Asf'; Outlook revised to Stable from Positive; -- $10.2 million class D to 'BBBsf' from 'BBsf'; Outlook revised to Stable from Positive; -- $7 million class E to 'CCCsf' from 'CCsf'; RE 50%; -- %3.8 million class F to 'CCsf' from 'Csf'; RE 0%. Fitch has affirmed the following ratings: -- $719,009 class B at 'AAAsf'; Outlook Stable; -- $2.5 million 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%. The class A and A-1A certificates have been paid in full. Fitch does not rate the class N certificate. Fitch previously withdrew the rating on the interest-only class X certificate. WELLS FARGO 2011-C3: Fitch Affirms Bsf Rating on Class F Certs -------------------------------------------------------------- Fitch Ratings has affirmed all classes of Wells Fargo Bank, N.A. Commercial Mortgage Trust, commercial mortgage pass-through certificates, series 2011-C3 (WFRBS 2011-C3). KEY RATING DRIVERS Stable Loss Expectations: Overall loss expectations for the remaining pool have been stable since Fitch's last rating action. Fitch Ratings has designated four loans in the top 15 (23.1% of current pool) as Fitch Loans of Concern (FLOCs), including one in special servicing (6%). Although loss expectations on these FLOCs have increased, this was offset by a prior FLOC, 1600 Terrill Mill Rd., being defeased since the last rating action. Specially Serviced Loan: The fourth-largest loan, Oakdale Mall (6% of current pool), which is secured by a 703,334sf portion of an 846,137sf regional mall located in Johnson City, NY, transferred to special servicing in June 2018 for imminent monetary default. Bon-Ton, which was part of the loan collateral, closed its store at the property in August 2018 following the company's bankruptcy filing in February 2018 and liquidation announcement in April 2018. Two other anchors, Macy's and a non-collateral Sears, had previously closed their stores in March 2017 and September 2017, respectively. The remaining anchors at the property include JC Penney (12.6% of collateral net rentable area (NRA), lease expiry in July 2025) and Burlington Coat Factory (12.1%, August 2023). Burlington is currently paying a percentage of sales in lieu of minimum base rent due to a co-tenancy violation with Macy's and Sears closing. Total mall and collateral occupancy as of September 2018 declined to 43.3% and 52.1%, respectively. Net operating income (NOI) between 2016 and 2017 also declined by 7.3%. The servicer-reported NOI DSCR for the first half of 2018 was 1.01x, down from 1.46x at year-end (YE) 2017 and 1.57x at YE 2016. As of November 2018, the loan remained current. Alternative Loss Considerations: In addition to modeling a base case loss, Fitch performed an additional sensitivity scenario on the specially serviced Oakdale Mall loan, which assumed a potential outsized loss of 100% while also factoring in the expected paydown of the transaction from defeased loans. This additional sensitivity scenario takes into consideration the mall's secondary location, loss of three anchor tenants, lack of positive leasing momentum and potential for further occupancy declines due to co-tenancy violations and weak tenant sales. The Negative Rating Outlooks on classes E and F reflect this analysis. Increased Credit Enhancement: Credit enhancement has increased since Fitch's last rating action primarily due to four loan payoffs totaling $120.3 million (12.6% of last rating action pool). Ten loans (24% of current pool) have been defeased, including three loans in the top 15 (14.1%) that were newly defeased since the last rating action. Two of these defeasances, Hilton Minneapolis and 1600 Terrell Mill Rd., recently occurred in November 2018. Two loans (2.9%) are full-term, interest only and the remaining 46 loans (97.1%) are currently amortizing. As of the November 2018 distribution date, the pool's aggregate principal balance was reduced by 42.1% to $837.7 million from $1.45 billion at issuance. Realized losses to date have been minimal (0.4% of original pool balance). Fitch Loans of Concern: In addition to the specially serviced loan, the third-largest loan, Park Plaza (9.7%), which is secured by a 282,726sf portion of a 561,550sf regional mall located in Little Rock, AR, was flagged as a FLOC for declining anchor and in-line tenant sales. The fifth-largest loan, Clay Development Portfolio I (3.9%), is secured by a portfolio of 16 industrial buildings in Houston, TX and one office building in Beaumont, TX with near-term lease rollover concerns; the largest property in the portfolio by allocated loan amount remains dark after the sole tenant, which has a lease rolling in January 2019, ceased operations at the property. The seventh-largest loan, Bridgewater Promenade (3.4%), is secured by a 241,997sf retail center located in Bridgewater Township, NJ, that has experienced declining occupancy due to the closure of Babies 'R' Us (15.4% of NRA) in March 2018. ADDITIONAL CONSIDERATIONS High Retail and Regional Mall Exposure: Loans secured by retail properties represent 63.6% of the pool, including four loans in the top 15 (37.8%) secured by regional malls: Village of Merrick Park (19.6%, located in Coral Gables, FL); Park Plaza (9.7%, Little Rock, AR); Oakdale Mall (6%, Johnson City, NY); and Hampshire Mall (2.5%, Hadley, MA). Loan Maturities: Three loans (1.8% of current pool) mature in 2020, 44 loans (96%) mature in 2021 and one loan (2.2%) has an anticipated repayment date in 2021. RATING SENSITIVITIES The Negative Rating Outlooks on classes E and F reflect concern over the specially serviced Oakdale Mall loan. Fitch performed an additional sensitivity scenario on this loan to reflect a potential outsized loss of 100% while also factoring in the expected paydown of the transaction from defeased loans. Downgrades to these classes are possible with further underperformance of the FLOCs. The Stable Outlooks on classes A-3 to D reflect increased credit enhancement, additional defeasance and expected continued amortization. Future upgrades, although unlikely, are possible with additional paydown and/or defeasance and with stable to improved performance of the FLOCs. 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: -- $18.4 million class A-3 at 'AAAsf'; Outlook Stable; -- $15.2 million class A-3FL at 'AAAsf'; Outlook Stable; -- $557 million class A-4 at 'AAAsf'; Outlook Stable; -- $41.6 million class B at 'AAsf'; Outlook Stable; -- $47.0 million class C at 'Asf'; Outlook Stable; -- $79.5 million class D at 'BBB-sf'; Outlook Stable; -- $21.7 million class E at 'BBsf'; Outlook Negative; -- $19.9 million class F at 'Bsf'; Outlook Negative; -- $590.6 million* class X-A at 'AAAsf'; Outlook Stable. * Notional and interest-only. The class A-1 and A-2 certificates have paid in full. Fitch does not rate the class G and X-B certificates. WELLS FARGO 2016-C32: DBRS Confirms B Rating on Class X-F Certs --------------------------------------------------------------- DBRS Limited confirmed the ratings of all classes of Commercial Mortgage Pass-Through Certificates, Series 2016-C32 (the Certificates) issued by Wells Fargo Commercial Mortgage Trust 2016-C32 (the Trust) as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-3FL at AAA (sf) -- Class A-3FX at AAA (sf) -- Class A-4 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 (low) (sf) -- Class C 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-F at B (sf) -- Class F at B (low) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction since issuance. At issuance, the collateral consisted of 112 fixed-rate loans secured by 152 commercial properties, with a trust balance of $960.0 million. Per the November 2018 remittance, all loans remain in the pool with a current trust balance of $940.0 million, representing a collateral reduction of 2.0% due to scheduled loan amortization. Approximately 99.0% of the pool reported YE2017 financials and, based on the most recent reporting, the pool reported a weighted-average (WA) debt service coverage ratio (DSCR) and debt yield of 1.65 times (x) and 10.4%, respectively. At issuance, the pool reported a DBRS WA Term DSCR and debt yield of 1.66x and 10.1%, respectively. Based on the most recent reporting, the top 15 loans (51.9% of the current pool balance) reported a WA DSCR and debt yield of 1.76x and 10.4%, respectively. There is one loan (0.5% of the current pool balance) that is fully defeased. Thirty-one loans (12.3% of the current pool balance) are secured by cooperative properties that have very low leverage, with a minimum term and refinance default risk. There are 16 loans (7.3% of the current pool balance) on the servicer's watch list, eight of which are secured by cooperative properties, representing 2.4% of the current pool balance. These loans are flagged due to cash flow declines, deferred maintenance, and tenant rollover. In addition, there are two loans (0.8% of the current pool balance) in special servicing, including Tops Plaza (Prospectus ID#61; 0.4% of the pool) and Summit Marketplace (Prospectus ID#70; 0.4% of the current pool balance). Tops Plaza was transferred to the special servicer due to Tops Friendly Markets' announcement in August 2018 of store closures as part of its bankruptcy strategy and, according to the servicer; the bankruptcy courts approved the assumption of the lease and reduced rental payments. Summit Marketplace was transferred to the special servicer due to ongoing litigation issues surrounding the property's owner, who was indicted on several counts of securities fraud in April 2018. According to the servicer, a receiver is in control of the property. DBRS analyzed both loans with a stressed cash flow scenario in its analysis for this review. Classes X-A, 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. WELLS FARGO 2018-C48: Fitch Rates $20MM Cl. F-RR Certs 'BB-' ------------------------------------------------------------ Fitch Ratings has assigned the following ratings and Rating Outlooks to Wells Fargo Commercial Mortgage Trust 2018-C48 Commercial Mortgage Pass-Through Certificates, series 2018-C48: -- $18,490,000 class A-1 'AAAsf'; Outlook Stable; -- $36,431,000 class A-2 'AAAsf'; Outlook Stable; -- $23,767,000 class A-3 'AAAsf'; Outlook Stable; -- $32,713,000 class A-SB 'AAAsf'; Outlook Stable; -- $198,000,000 class A-4 'AAAsf'; Outlook Stable; -- $274,352,000 class A-5 'AAAsf'; Outlook Stable; -- $583,753,000a class X-A 'AAAsf'; Outlook Stable; -- $138,642,000a class X-B 'AA-sf'; Outlook Stable; -- $59,418,000 class A-S 'AAAsf'; Outlook Stable; -- $40,654,000 class B 'AA-sf'; Outlook Stable; -- $38,570,000 class C 'A-sf'; Outlook Stable; -- $31,848,000ab class X-D 'BBB-sf'; Outlook Stable; -- $31,848,000b class D 'BBB-sf'; Outlook Stable; -- $14,018,000bc class E-RR 'BBB-sf'; Outlook Stable; -- $20,848,000bc class F-RR 'BB-sf'; Outlook Stable; -- $9,382,000bc class G-RR 'B-sf'; Outlook Stable; The following class is not rated by Fitch: -- $35,442,944bc class H-RR. (a) Notional amount and interest-only. (b) Privately placed and pursuant to Rule 144A. (c) Horizontal credit risk retention interest. Since Fitch published its expected ratings on Dec. 3, 2018, the balances for class A-4 and class A-5 were finalized. At the time that expected ratings were assigned, the class A-4 and class A-5 balances were estimated at $165,000,000 and $307,352,000, respectively. The final class sizes for class A-4 and class A-5 were $198,000,000 and $274,352,000, respectively. Additionally, based on final pricing of the certificates, class C is a WAC class hereby providing no excess cash flow that would affect the payable interests on the class X-B certificates. Fitch's rating on class X-B has been updated to 'AA-' from 'A-', reflecting the rating of class B, the next lowest class referenced tranche whose payable interest has an impact on the interest-only payments. The certificates represent the beneficial ownership interest in the trust, primary assets of which are 52 loans secured by 95 commercial properties having an aggregate principal balance of $833,933,944 as of the cutoff date. The loans were contributed to the trust by Argentic Real Estate Finance LLC, Wells Fargo Bank, National Association, Barclays Bank PLC, Basis Real Estate Capital II, LLC and BSPRT CMBS Finance, LLC. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 70.6% of the properties by balance, cash flow analysis of 83.5% and asset summary reviews on 100.0% of the pool. KEY RATING DRIVERS Fitch Debt Service Coverage (DSCR) Lower Than Recent Transactions: The pool's Fitch DSCR of 1.14x is well below the YTD 2018 and 2017 averages of 1.23x and 1.26x, respectively, while the pool's Fitch LTV ratio of 105.9% is greater the YTD 2018 and 2017 averages of 101.9% and 101.6%, respectively. Diverse Pool: The top 10 loans make up 45.0% of the pool, which is below the YTD 2018 and 2017 averages of 50.7% and 53.1%, respectively. The pool has a loan concentration index (LCI) of 327, indicating a significantly lower loan concentration than the YTD 2018 and 2017 LCI averages of 374 and 398, respectively. The pool's sponsor concentration index (SCI) is 330, indicating a significantly lower sponsor concentration than the YTD 2018 and 2017 SCI averages of 400 and 422, respectively. Investment-Grade Credit Opinion Loans: Three loans, representing 6.9% of the pool, are credit assessed, which is lower than the YTD 2018 and 2017 averages of 14.0% and 11.7%. The eighth largest loan, Christiana Mall (3.4% of the pool), has a stand-alone credit opinion of 'AA-sf'*. The 16th largest loan, Aventura Mall (2.4% of the pool), has a stand-alone credit opinion of 'Asf'*. The 31st largest loan, Fair Oaks Mall (1.2% of the pool), has a stand-alone credit opinion of 'BBB-sf'*. Excluding the credit opinion loans, the pool has a Fitch DSCR and LTV of 1.12x and 109.2%, respectively. RATING SENSITIVITIES For this transaction, Fitch's net cash flow (NCF) was 16.2% below the most recent year's net operating income (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 WFCM 2018-C48 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. WFRBS COMMERCIAL 2012-C6: Moody's Affirms B2 Rating on Cl. F Debt ----------------------------------------------------------------- Moody's Investors Service has affirmed the ratings of nine classes in WFRBS Commercial Mortgage Trust 2012-C6: Cl. A-3, Affirmed Aaa (sf); previously on Dec 15, 2017 Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Dec 15, 2017 Affirmed Aaa (sf) Cl. A-S, Affirmed Aaa (sf); previously on Dec 15, 2017 Affirmed Aaa (sf) Cl. B, Affirmed Aa1 (sf); previously on Dec 15, 2017 Affirmed Aa1 (sf) Cl. C, Affirmed A1 (sf); previously on Dec 15, 2017 Affirmed A1 (sf) Cl. D, Affirmed Baa3 (sf); previously on Dec 15, 2017 Affirmed Baa3 (sf) Cl. E, Affirmed Ba2 (sf); previously on Dec 15, 2017 Affirmed Ba2 (sf) Cl. F, Affirmed B2 (sf); previously on Dec 15, 2017 Affirmed B2 (sf) Cl. X-A*, Affirmed Aaa (sf); previously on Dec 15, 2017 Affirmed Aaa (sf) * Reflects Interest Only Classes RATINGS RATIONALE The ratings on the P&I classes were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The rating on the IO class was affirmed based on the credit quality of the referenced classes. Moody's rating action reflects a base expected loss of 3.2% of the current pooled balance, compared to 3.5% at Moody's last review. Moody's base expected loss plus realized losses is now 2.4% of the original pooled balance, compared to 2.7% 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 all classes except interest-only classes was "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in July 2017. The methodologies used in rating interest-only classes 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. The Credit Rating for WFRBS Commercial Mortgage Trust 2012-C6, Cl. X-A was assigned in accordance with Moody's existing Methodology entitled "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" dated June 2017. Please note that on November 14, 2018, Moody's released a Request for Comment, in which it has requested market feedback on potential revisions to its Methodology for rating structured finance interest-only (IO) securities. If the revised Methodology is implemented as proposed, the Credit Rating on WFRBS Commercial Mortgage Trust 2012-C6, Cl. X-A is unlikely to be affected. Please refer to Moody's Request for Comment, titled "Proposed Update to Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" for further details regarding the implications of the proposed Methodology revisions on certain Credit Ratings. DEAL PERFORMANCE As of the November 11, 2018 distribution date, the transaction's aggregate certificate balance has decreased by 25.9% to $685.7 million from $925.0 million at securitization. The certificates are collateralized by 77 mortgage loans ranging in size from less than 1% to 10% of the pool, with the top ten loans (excluding defeasance) constituting 36% of the pool. No loans have investment-grade structured credit assessments. Ten loans constituting 12% of the pool, have defeased and are secured by US government securities. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 33, compared to 34 at Moody's last review. Twelve loans, constituting 16% 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 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. Two loans, constituting 2% of the pool, are currently in special servicing. 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 $7 million (a 26% expected loss on average) from these specially serviced and troubled loans. Moody's received full year 2017 operating results for 100% of the pool, and full or partial year 2018 operating results for 95% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 86%, compared to 87% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased loans, one of the specially serviced (the Holiday Inn - Odessa loan was included in the conduit component) and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 16.8% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.9%. Moody's actual and stressed conduit DSCRs are 1.52X and 1.31X, respectively, compared to 1.54X and 1.30X 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 17% of the pool balance. The largest loan is the National Cancer Research Center Loan ($69 million -- 10% of the pool), which is secured by a 341,000 square foot (SF) Class A office and laboratory research facility located in Frederick, Maryland. In 2011, the property was built to suit for the National Cancer Research Center. The property is 100% leased to the private operator of the research center, Leidos Biomedical Research, Inc, through September 2021. Moody's used a lit/dark analysis to account for the single tenant lease rollover risk. The loan benefits from amortization. Moody's LTV and stressed DSCR are 106% and 1.08X, respectively, compared to 108% and 1.06X at the last review. The second largest loan is the Norwalk Town Square Loan ($24 million -- 4% of the pool), which is secured by a 233,000 SF anchored retail center in Norwalk, California, located 17 miles southeast of downtown Los Angeles. As of September 2018, the property was 96% leased compared to 95% leased at Moody's last review and 94% at securitization. The loan benefits from amortization. Moody's LTV and stressed DSCR are 78% and 1.35X, respectively, compared to 80% and 1.32X at the last review. The third largest loan is the Boca Industrial Park Loan ($22 million -- 3% of the pool), which is secured by a 387,000 SF multi-tenant industrial park located in Boca Raton, Florida. The property was 96% leased as of July 2018, compared to 97% at Moody's last review and 92% at securitization. Moody's LTV and stressed DSCR are 93% and 1.08X, respectively, compared to 94% and 1.06X at the last review. WHITEHORSE LTD VIII: Moody's Lowers Rating on Class F Notes to Caa3 ------------------------------------------------------------------- Moody's Investors Service has upgraded the rating on the following note issued by Whitehorse VIII, Ltd.: US$33,000,000 Class C-R Mezzanine Secured Deferrable Floating Rate Notes due 2026, Upgraded to A1 (sf); previously on November 1, 2017 Assigned A2 (sf) Moody's also downgraded the rating on the following note: US$12,250,000 Class F Junior Secured Deferrable Floating Rate Notes due 2026, Downgraded to Caa3 (sf); previously on July 20, 2017 Downgraded to Caa1 (sf) Whitehorse VIII, Ltd., issued in May 2014 and partially refinanced in November 2017, is a collateralized loan obligation (CLO) backed primarily by a portfolio of senior secured loans. The transaction's reinvestment period ended in May 2018. RATINGS RATIONALE The rating upgrade on the Class C-R note is primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since October 2017. The Class A-R notes have been paid down by approximately 28% or $94.8 million since that time. Based on the trustee's November 2018 report, the Class C OC ratio is currently 122.8%, versus the October 2017 level of 119.04%. The rating downgrade on the Class F notes is primarily due to par erosion and a decrease in the weighted average spread (WAS) of the underlying loan portfolio since October 2017. Based on Moody's calculations, the deal has lost about $4 million in par and the Class F over-collateralization coverage has decreased from 103.12% in October 2017 to 102.85% presently. Over the same period, WAS has decreased, and is currently reported at 3.77%, versus the October 2017 level of 3.98%. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. In its base case, Moody's analyzed the collateral pool as having a performing par and principal proceeds balance of $433.56 million, defaulted par of $7.2 million, a weighted average default probability of 21.65% (implying a WARF of 3073), a weighted average recovery rate upon default of 48.44%, a diversity score of 66 and a weighted average spread of 3.79% (before accounting for LIBOR floors). Methodology Used for the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2017. This Credit Rating for Whitehorse VIII, Ltd. was assigned in accordance with Moody's existing Methodology entitled "Moody's Global Approach to Rating Collateralized Loan Obligations" dated August 31, 2017. Please note that on November 14, 2018, Moody's released a Request for Comment, in which it has requested market feedback on potential revisions to its Methodology for Collateralized Loan Obligations. If the revised Methodology is implemented as proposed, Moody's does not expect the changes to affect the Credit Rating on Whitehorse VIII, Ltd. Please refer to Moody's Request for Comment, titled "Proposed Update to Moody's Global Approach to Rating Collateralized Loan Obligations," for further details regarding the implications of the proposed Methodology revisions on certain Credit Ratings. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: This transaction is subject to a number of factors and circumstances that could lead to either an upgrade or downgrade of the ratings: 1) Macroeconomic uncertainty: CLO performance is subject to uncertainty about credit conditions in the general economy. 2) Collateral Manager: Performance can also be affected positively or negatively by a) the manager's investment strategy and behavior and b) differences in the legal interpretation of CLO documentation by different transactional parties owing to embedded ambiguities. 3) Collateral credit risk: A shift towards collateral of better credit quality, or better credit performance of assets collateralizing the transaction than Moody's current expectations, can lead to positive CLO performance. Conversely, a negative shift in credit quality or performance of the collateral can have adverse consequences for CLO performance. 4) Deleveraging: An important source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will continue and at what pace. Deleveraging of the CLO could accelerate owing to high prepayment levels in the loan market and/or collateral sales by the manager, which could have a significant impact on the notes' ratings. Note repayments that are faster than Moody's current expectations will usually have a positive impact on CLO notes, beginning with those with the highest payment priority. 5) Recovery of defaulted assets: Fluctuations in the market value of defaulted assets could result in volatility in the deal's overcollateralization levels. Further, the timing of recovery realization and whether the manager decides to work out or sell defaulted assets create additional uncertainty. Realization of recoveries that are either materially higher or lower than assumed in Moody's analysis would impact the CLO positively or negatively, respectively. 6) Weighted average life: The notes' ratings are sensitive to the weighted average life assumption of the portfolio, which could lengthen owing to any decision by the manager to reinvest into new issue loans or loans with longer maturities, or participate in amend-to-extend offerings. Life extension can increase the default risk horizon and assumed cumulative default probability of CLO collateral. 7) Weighted Average Spread (WAS): CLO performance can be sensitive to WAS, which is a key factor driving the amount of excess spread available as credit enhancement when a deal fails its over-collateralization or interest coverage tests. A decrease in excess spread, including as a result of losing the net interest benefit of LIBOR floors, or because market conditions make it difficult for the deal to source assets of appropriate credit quality in order to maintain its WAS target, would reduce the effective credit enhancement available for the notes. 8) Exposure to assets with low credit quality and weak liquidity: The historical default rate of assets rated Caa3 with a negative outlook, Caa2 or Caa3 on review for downgrade or the worst Moody's speculative grade liquidity (SGL) rating, SGL-4, is higher than the average. Exposure to such assets subject the notes to additional risks if these assets default. ZAIS CLO 11: Moody's Rates $19MM Class E Notes 'Ba3' ---------------------------------------------------- Moody's Investors Service has assigned ratings to five classes of notes issued by ZAIS CLO 11, Limited. Moody's rating action is as follows: US$240,000,000 Class A-1 Senior Secured Floating Rate Notes due 2032 (the "Class A-1 Notes"), Definitive Rating Assigned Aaa (sf) US$48,000,000 Class B Senior Secured Floating Rate Notes due 2032 (the "Class B Notes"), Definitive Rating Assigned Aa2 (sf) US$21,000,000 Class C Deferrable Mezzanine Floating Rate Notes due 2032 (the "Class C Notes"), Definitive Rating Assigned A2 (sf) US$24,000,000 Class D Deferrable Mezzanine Floating Rate Notes due 2032 (the "Class D Notes"), Definitive Rating Assigned Baa3 (sf) US$19,000,000 Class E Deferrable Mezzanine Floating Rate Notes due 2032 (the "Class E Notes"), Definitive Rating Assigned Ba3 (sf) The Class A-1 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 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. ZAIS CLO 11 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of first lien senior secured loans, cash, and eligible investments, and up to 10.0% of the portfolio may consist of second lien loans and unsecured loans. The portfolio is fully ramped as of the closing date. ZAIS Leveraged Loan Master Manager, 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 one other class of secured notes and 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: $400,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2777 Weighted Average Spread (WAS): 3.85% Weighted Average Coupon (WAC): 7.50% Weighted Average Recovery Rate (WARR): 46.00% 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. The Credit Rating for ZAIS CLO 11, Limited was assigned in accordance with Moody's existing Methodology entitled "Moody's Global Approach to Rating Collateralized Loan Obligations," dated August 31, 2017. Please note that on November 14, 2018, Moody's released a Request for Comment, in which it has requested market feedback on potential revisions to its Methodology for Collateralized Loan Obligations. If the revised Methodology is implemented as proposed, Moody's does not expect the changes to affect the Credit Rating on ZAIS CLO 11, Limited. 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. [*] DBRS Reviews 780 Classes From 135 US RMBS Transactions ---------------------------------------------------------- DBRS, Inc. reviewed 780 classes from 135 U.S. residential mortgage-backed securities (RMBS) transactions. Of the 780 classes reviewed, DBRS upgraded 61 ratings, confirmed 718 ratings and discontinued one rating. The rating upgrades reflect positive performance trends and increases in credit support sufficient to withstand stresses at their new rating levels. For transactions where the ratings have been confirmed, current asset performance and credit support levels are consistent with the current ratings. The discontinued rating is the result of the full repayment of principal to bondholders. The rating actions are the result of DBRS's application of "RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology," published on September 27, 2018. The transactions consist of U.S. RMBS transactions. The pools backing these transactions consist of prime, subprime, reperforming, non-qualified mortgage, net interest margin and ReREMIC collateral. The ratings assigned to the securities listed below differ from the ratings implied by the quantitative model. DBRS considers this difference to be a material deviation, but in this case, the ratings of the subject notes reflect actual deal or tranche performance that is not fully reflected in the projected cash flows or model output. -- Asset Backed Securities Corporation Home Equity Loan Trust, Series 2005-HE2, Asset-Backed Pass-Through Certificates, Series 2005-HE2, Class M2 -- Asset Backed Securities Corporation Home Equity Loan Trust, Series 2005-HE2, Asset-Backed Pass-Through Certificates, Series 2005-HE2, Class M3 -- Asset Backed Securities Corporation Home Equity Loan Trust, Series 2005-HE2, Asset-Backed Pass-Through Certificates, Series 2005-HE2, Class M4 -- Asset Backed Securities Corporation Home Equity Loan Trust, Series WMC 2005-HE5, Asset-Backed Pass-Through Certificates, Series WMC 2005-HE5, Class M3 -- Asset Backed Securities Corporation Home Equity Loan Trust, Series WMC 2005-HE5, Asset-Backed Pass-Through Certificates, Series WMC 2005-HE5, Class M4 -- Asset Backed Securities Corporation Home Equity Loan Trust, Series NC 2005-HE8, Asset-Backed Pass-Through Certificates, Series NC 2005-HE8, Class M2 -- Asset Backed Securities Corporation Home Equity Loan Trust, Series NC 2005-HE8, Asset-Backed Pass-Through Certificates, Series NC 2005-HE8, Class M3 -- Asset Backed Securities Corporation Home Equity Loan Trust, Series NC 2005-HE8, Asset-Backed Pass-Through Certificates, Series NC 2005-HE8, Class M4 -- Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-8, Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-8, Class 7-A-1-1 -- Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-8, Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-8, Class 7-A-1-2 -- Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-8, Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-8, Class 7-A-2 -- Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-8, Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-8, Class 7-A-3-2 -- Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-8, Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-8, Class 7-A-4 -- Argent Securities Inc. Series 2004-W11, Asset-Backed Pass-Through Certificates, Series 2004-W11, Class M-2 -- Argent Securities Inc. Series 2004-W11, Asset-Backed Pass-Through Certificates, Series 2004-W11, Class M-3 -- Argent Securities Inc. Series 2004-W11, Asset-Backed Pass-Through Certificates, Series 2004-W11, Class M-4 -- Argent Securities Inc. Series 2004-W11, Asset-Backed Pass-Through Certificates, Series 2004-W11, Class M-5 -- Citigroup Mortgage Loan Trust Inc., 2005-HE2, Asset-Backed Pass-Through Certificates, Series 2005-HE2, Class M-3 -- Citigroup Mortgage Loan Trust, Inc., Series 2005-WF1, Asset-Backed Pass-Through Certificates, Series 2005-WF1, Class M-1 -- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-4, Home Equity Pass-Through Certificates, Series 2005-4, Class M-4 -- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-4, Home Equity Pass-Through Certificates, Series 2005-4, Class M-5 -- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-4, Home Equity Pass-Through Certificates, Series 2005-4, Class M-6 -- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-5, Home Equity Pass-Through Certificates, Series 2005-5, Class M-2 -- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-5, Home Equity Pass-Through Certificates, Series 2005-5, Class M-3 -- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-6, Home Equity Pass-Through Certificates, Series 2005-6, Class M-2 -- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-6, Home Equity Pass-Through Certificates, Series 2005-6, Class M-3 -- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-6, Home Equity Pass-Through Certificates, Series 2005-6, Class M-4 -- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-7, Home Equity Pass-Through Certificates, Series 2005-7, Class M-1 -- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-7, Home Equity Pass-Through Certificates, Series 2005-7, Class M-2 -- Credit Suisse First Boston Mortgage Acceptance Corp. Home Equity Asset Trust 2005-9, Home Equity Pass-Through Certificates, Series 2005-9, Class M-1 -- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2006-3, Home Equity Pass-Through Certificates, Series 2006-3, Class 1-A-1 -- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2006-3, Home Equity Pass-Through Certificates, Series 2006-3, Class 2-A-4 -- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2006-3, Home Equity Pass-Through Certificates, Series 2006-3, Class M-1 -- Securitized Asset Backed Receivables LLC Trust 2006-FR1, Mortgage Pass-Through Certificates, Series 2006-FR1, Class A-2C -- Securitized Asset Backed Receivables LLC Trust 2006-OP1, Mortgage Pass-Through Certificates, Series 2006-OP1, Class M-2 -- Securitized Asset Backed Receivables LLC Trust 2006-OP1, Mortgage Pass-Through Certificates, Series 2006-OP1, Class M-3 -- Securitized Asset Backed Receivables LLC Trust 2006-OP1, Mortgage Pass-Through Certificates, Series 2006-OP1, Class M-4 -- Securitized Asset Backed Receivables LLC Trust 2006-OP1, Mortgage Pass-Through Certificates, Series 2006-OP1, Class M-5 -- Securitized Asset Backed Receivables LLC Trust 2006-WM1, Mortgage Pass-Through Certificates, Series 2006-WM1, Class A-2C -- Structured Asset Investment Loan Trust, Series 2004-11, Lehman Brothers Mortgage Pass-Through Certificates, Series 2004-11, Class M-1 -- Structured Asset Investment Loan Trust, Series 2004-11, Lehman Brothers Mortgage Pass-Through Certificates, Series 2004-11, Class M-2 -- Soundview Home Loan Trust 2005-3, Asset-Backed Certificates, Series 2005-3, Class M-3 -- Wells Fargo Mortgage Backed Securities 2005-AR3 Trust, Mortgage Pass-Through Certificates, Series 2005-AR3, Class I-A-1 -- Wells Fargo Mortgage Backed Securities 2005-AR3 Trust, Mortgage Pass-Through Certificates, Series 2005-AR3, Class I-A-2 -- RESI Finance Limited Partnership 2004-A & RESI Finance DE Corporation 2004-A, Real Estate Synthetic Investment Securities, Series 2004-A, Class A5 Risk Band -- RESI Finance Limited Partnership 2004-A & RESI Finance DE Corporation 2004-A, Real Estate Synthetic Investment Notes, Series 2004-A, Class B1 Risk Band -- RESI Finance Limited Partnership 2004-C & RESI Finance DE Corporation 2004-C, Real Estate Synthetic Investment Securities, Series 2004-C, Class A5 Risk Band -- RESI Finance Limited Partnership 2004-C & RESI Finance DE Corporation 2004-C, Real Estate Synthetic Investment Notes, Series 2004-C, Class B1 Risk Band -- RESI Finance Limited Partnership 2005-A & RESI Finance DE Corporation 2005-A, Real Estate Synthetic Investment Securities, Series 2005-A, Class A5 Risk Band -- RESI Finance Limited Partnership 2005-B & RESI Finance DE Corporation 2005-B, Real Estate Synthetic Investment Securities, Series 2005-B, Class A5 Risk Band -- RESI Finance Limited Partnership 2005-C & RESI Finance DE Corporation 2005-C, Real Estate Synthetic Investment Securities, Series 2005-C, Class A5 Risk Band -- Angel Oak Mortgage Trust I, LLC 2017-1, Mortgage-Backed Certificates, Series 2017-1, Class M-1 -- Angel Oak Mortgage Trust I, LLC 2017-1, Mortgage-Backed Certificates, Series 2017-1, Class B-1 -- Angel Oak Mortgage Trust I, LLC 2017-1, Mortgage-Backed Certificates, Series 2017-1, Class B-2 -- Galton Funding Mortgage Trust 2017-1, Mortgage Pass-Through Certificates, Series 2017-1, Class B2 -- Galton Funding Mortgage Trust 2017-1, Mortgage Pass-Through Certificates, Series 2017-1, Class BX2 -- Galton Funding Mortgage Trust 2017-1, Mortgage Pass-Through Certificates, Series 2017-1, Class B3 -- Galton Funding Mortgage Trust 2017-1, Mortgage Pass-Through Certificates, Series 2017-1, Class BX3 -- Galton Funding Mortgage Trust 2017-1, Mortgage Pass-Through Certificates, Series 2017-1, Class B4 -- Galton Funding Mortgage Trust 2017-1, Mortgage Pass-Through Certificates, Series 2017-1, Class B5 -- New Residential Mortgage Loan Trust 2017-1, Mortgage-Backed Notes, Series 2017-1, Class B-2 -- New Residential Mortgage Loan Trust 2017-1, Mortgage-Backed Notes, Series 2017-1, Class B2-IO -- New Residential Mortgage Loan Trust 2017-1, Mortgage-Backed Notes, Series 2017-1, Class B-3 -- New Residential Mortgage Loan Trust 2017-1, Mortgage-Backed Notes, Series 2017-1, Class B-4 -- New Residential Mortgage Loan Trust 2017-1, Mortgage-Backed Notes, Series 2017-1, Class B-5 -- New Residential Mortgage Loan Trust 2017-1, Mortgage-Backed Notes, Series 2017-1, Class B-2A -- New Residential Mortgage Loan Trust 2017-1, Mortgage-Backed Notes, Series 2017-1, Class B-2B -- New Residential Mortgage Loan Trust 2017-1, Mortgage-Backed Notes, Series 2017-1, Class B-2C -- New Residential Mortgage Loan Trust 2017-1, Mortgage-Backed Notes, Series 2017-1, Class B2-IOA -- New Residential Mortgage Loan Trust 2017-1, Mortgage-Backed Notes, Series 2017-1, Class B2-IOB -- New Residential Mortgage Loan Trust 2017-1, Mortgage-Backed Notes, Series 2017-1, Class B2-IOC -- New Residential Mortgage Loan Trust 2017-1, Mortgage-Backed Notes, Series 2017-1, Class B-3A -- New Residential Mortgage Loan Trust 2017-1, Mortgage-Backed Notes, Series 2017-1, Class B-3B -- New Residential Mortgage Loan Trust 2017-1, Mortgage-Backed Notes, Series 2017-1, Class B-3C -- New Residential Mortgage Loan Trust 2017-1, Mortgage-Backed Notes, Series 2017-1, Class B3-IOA -- New Residential Mortgage Loan Trust 2017-1, Mortgage-Backed Notes, Series 2017-1, Class B3-IOB -- New Residential Mortgage Loan Trust 2017-1, Mortgage-Backed Notes, Series 2017-1, Class B3-IOC -- New Residential Mortgage Loan Trust 2017-1, Mortgage-Backed Notes, Series 2017-1, Class B-4A -- New Residential Mortgage Loan Trust 2017-1, Mortgage-Backed Notes, Series 2017-1, Class B4-IOA -- New Residential Mortgage Loan Trust 2017-1, Mortgage-Backed Notes, Series 2017-1, Class B-5A -- New Residential Mortgage Loan Trust 2017-1, Mortgage-Backed Notes, Series 2017-1, Class B5-IOA -- Towd Point Mortgage Trust 2015-1, Asset Backed Notes, Series 2015-1, Class A5 -- Towd Point Mortgage Trust 2015-1, Asset Backed Notes, Series 2015-1, Class A6 -- Towd Point Mortgage Trust 2015-1, Asset Backed Notes, Series 2015-1, Class AE7 -- Towd Point Mortgage Trust 2015-1, Asset Backed Notes, Series 2015-1, Class AE8 -- Towd Point Mortgage Trust 2015-1, Asset Backed Notes, Series 2015-1, Class AE9 -- Towd Point Mortgage Trust 2015-1, Asset Backed Notes, Series 2015-1, Class AE10 -- Towd Point Mortgage Trust 2015-1, Asset Backed Notes, Series 2015-1, Class AE11 -- Towd Point Mortgage Trust 2015-1, Asset Backed Notes, Series 2015-1, Class AE12 -- Towd Point Mortgage Trust 2015-1, Asset Backed Notes, Series 2015-1, Class AE13 -- Towd Point Mortgage Trust 2015-1, Asset Backed Notes, Series 2015-1, Class AE14 -- Towd Point Mortgage Trust 2015-1, Asset Backed Notes, Series 2015-1, Class A -- Towd Point Mortgage Trust 2017-1, Asset Backed Securities, Series 2017-1, Class M1 -- Towd Point Mortgage Trust 2017-1, Asset Backed Securities, Series 2017-1, Class M2 -- Towd Point Mortgage Trust 2017-1, Asset Backed Securities, Series 2017-1, Class B1 -- Towd Point Mortgage Trust 2017-1, Asset Backed Securities, Series 2017-1, Class B2 -- Towd Point Mortgage Trust 2017-1, Asset Backed Securities, Series 2017-1, Class M1A -- Towd Point Mortgage Trust 2017-1, Asset Backed Securities, Series 2017-1, Class M1B -- Towd Point Mortgage Trust 2017-1, Asset Backed Securities, Series 2017-1, Class X3 -- Towd Point Mortgage Trust 2017-1, Asset Backed Securities, Series 2017-1, Class X4 -- Towd Point Mortgage Trust 2017-1, Asset Backed Securities, Series 2017-1, Class M2A -- Towd Point Mortgage Trust 2017-1, Asset Backed Securities, Series 2017-1, Class M2B -- Towd Point Mortgage Trust 2017-1, Asset Backed Securities, Series 2017-1, Class X6 -- Towd Point Mortgage Trust 2017-1, Asset Backed Securities, Series 2017-1, Class X5 -- Towd Point Mortgage Trust 2018-1, Asset Backed Securities Series 2018-1, Class M1 -- Towd Point Mortgage Trust 2018-1, Asset Backed Securities Series 2018-1, Class A4 -- Long Beach Mortgage Loan Trust 2005-WL1, Asset-Backed Certificates, Series 2005-WL1, Class I/II-M4 -- Long Beach Mortgage Loan Trust 2005-WL1, Asset-Backed Certificates, Series 2005-WL1, Class III-M1 -- Long Beach Mortgage Loan Trust 2005-WL1, Asset-Backed Certificates, Series 2005-WL1, Class III-M2 -- Credit Suisse First Boston Mortgage Securities Corp., CSMC Series 2009-6R, CSMC Series 2009-6R, Class 1-A4 -- Credit Suisse First Boston Mortgage Securities Corp., CSMC Series 2009-6R, CSMC Series 2009-6R, Class 1-A5 -- Credit Suisse First Boston Mortgage Securities Corp., CSMC Series 2009-6R, CSMC Series 2009-6R, Class 4-A4 The Affected Ratings is available at https://bit.ly/2S91QP0 [*] Moody's Hikes $1.076BB of Subprime RMBS Issued 2005-2007 ------------------------------------------------------------ Moody's Investors Service has upgraded the ratings of 61 tranches from 26 transactions, backed by subprime RMBS loans, issued by multiple issuers. Complete rating actions are as follows: Issuer: OwnIt Mortgage Loan Trust 2005-1 Cl. M-2, Upgraded to A3 (sf); previously on Aug 8, 2017 Upgraded to Baa2 (sf) Cl. M-3, Upgraded to Ba2 (sf); previously on Aug 8, 2017 Upgraded to B1 (sf) Issuer: Park Place Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2005-WCW1 Cl. M-3, Upgraded to B1 (sf); previously on Sep 2, 2015 Upgraded to B2 (sf) Cl. M-4, Upgraded to Ca (sf); previously on Apr 6, 2010 Downgraded to C (sf) Issuer: Popular ABS Mortgage Pass-Through Trust 2005-6 Cl. A-3, Upgraded to A2 (sf); previously on Mar 16, 2018 Upgraded to B1 (sf) Cl. A-4, Upgraded to Caa1 (sf); previously on Jul 21, 2010 Downgraded to Caa3 (sf) Cl. A-5, Upgraded to Caa2 (sf); previously on Jul 21, 2010 Downgraded to Ca (sf) Issuer: Popular ABS Mortgage Pass-Through Trust 2005-B Cl. M-5, Upgraded to B2 (sf); previously on Apr 21, 2016 Upgraded to B3 (sf) Cl. M-6, Upgraded to Ca (sf); previously on Mar 14, 2013 Affirmed C (sf) Issuer: Popular ABS Mortgage Pass-Through Trust 2006-C Cl. A-4, Upgraded to Aaa (sf); previously on May 18, 2017 Upgraded to Aa1 (sf) Issuer: Popular ABS Mortgage Pass-Through Trust 2006-E Cl. A-2, Upgraded to Aa3 (sf); previously on Feb 27, 2018 Upgraded to A2 (sf) Issuer: RAMP Series 2005-RS1 Trust Cl. A-I-5, Upgraded to Aaa (sf); previously on Feb 27, 2018 Upgraded to A1 (sf) Cl. A-I-6, Upgraded to Aaa (sf); previously on Feb 27, 2018 Upgraded to Aa3 (sf) Issuer: RAMP Series 2005-RS2 Trust Cl. M-3, Upgraded to Aaa (sf); previously on Mar 28, 2017 Upgraded to Aa2 (sf) Cl. M-4, Upgraded to Aaa (sf); previously on Mar 28, 2017 Upgraded to A3 (sf) Cl. M-5, Upgraded to B1 (sf); previously on Mar 28, 2017 Upgraded to Caa2 (sf) Issuer: RAMP Series 2005-RS4 Trust Cl. M-3, Upgraded to Aaa (sf); previously on Mar 28, 2017 Upgraded to Aa2 (sf) Cl. M-4, Upgraded to Aaa (sf); previously on Mar 28, 2017 Upgraded to A2 (sf) Cl. M-5, Upgraded to A2 (sf); previously on Mar 28, 2017 Upgraded to Ba1 (sf) Cl. M-6, Upgraded to B2 (sf); previously on Mar 28, 2017 Upgraded to B3 (sf) Issuer: RAMP Series 2005-RS6 Trust Cl. M-3, Upgraded to Aaa (sf); previously on Mar 28, 2017 Upgraded to Aa2 (sf) Cl. M-4, Upgraded to Aa3 (sf); previously on Mar 28, 2017 Upgraded to Baa1 (sf) Cl. M-5, Upgraded to Baa1 (sf); previously on Mar 28, 2017 Upgraded to Ba1 (sf) Issuer: RAMP Series 2005-RS7 Trust Cl. M-1, Upgraded to Aaa (sf); previously on Mar 28, 2017 Upgraded to Aa2 (sf) Cl. M-2, Upgraded to A1 (sf); previously on Mar 28, 2017 Upgraded to Baa3 (sf) Cl. M-3, Upgraded to Ba2 (sf); previously on Mar 28, 2017 Upgraded to Ba3 (sf) Cl. M-4, Upgraded to Caa2 (sf); previously on Mar 6, 2018 Downgraded to Caa3 (sf) Issuer: RAMP Series 2005-RZ1 Trust Cl. M-5, Upgraded to Aaa (sf); previously on Feb 27, 2018 Upgraded to Aa2 (sf) Cl. M-6, Upgraded to Aaa (sf); previously on Feb 27, 2018 Upgraded to Aa3 (sf) Cl. M-7, Upgraded to Aa3 (sf); previously on Feb 27, 2018 Upgraded to Baa1 (sf) Cl. M-8, Upgraded to Baa2 (sf); previously on Feb 27, 2018 Upgraded to Ba1 (sf) Issuer: RAMP Series 2005-RZ2 Trust Cl. M-5, Upgraded to A3 (sf); previously on Mar 6, 2018 Upgraded to Baa3 (sf) Issuer: RAMP Series 2006-RS1 Trust Cl. A-I-3, Upgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to Ca (sf) Cl. A-II, Upgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to Caa3 (sf) Issuer: RAMP Series 2006-RS2 Trust Cl. A-3A, Upgraded to Ba1 (sf); previously on Apr 12, 2016 Upgraded to Ba3 (sf) Cl. A-3B, Upgraded to B1 (sf); previously on Apr 12, 2016 Upgraded to B3 (sf) Issuer: RAMP Series 2007-RS2 Trust Cl. A-2, Upgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to Ca (sf) Cl. A-3, Upgraded to Ca (sf); previously on Apr 6, 2010 Downgraded to C (sf) Issuer: RASC Series 2005-EMX1 Trust Cl. M-1, Upgraded to A1 (sf); previously on Feb 27, 2018 Upgraded to Baa1 (sf) Cl. M-2, Upgraded to B2 (sf); previously on Feb 27, 2018 Upgraded to B3 (sf) Cl. M-3, Upgraded to Ca (sf); previously on Apr 6, 2010 Downgraded to C (sf) Issuer: RASC Series 2005-EMX2 Trust Cl. M-4, Upgraded to A1 (sf); previously on Mar 6, 2018 Upgraded to A3 (sf) Issuer: RASC Series 2005-EMX3 Trust Cl. M-3, Upgraded to Aaa (sf); previously on Mar 28, 2017 Upgraded to Aa3 (sf) Cl. M-4, Upgraded to A2 (sf); previously on Mar 28, 2017 Upgraded to Baa2 (sf) Issuer: RASC Series 2005-KS10 Trust Cl. M-1, Upgraded to Aaa (sf); previously on May 18, 2016 Upgraded to Aa2 (sf) Cl. M-2, Upgraded to Aa1 (sf); previously on Mar 28, 2017 Upgraded to A2 (sf) Cl. M-3, Upgraded to Ba2 (sf); previously on Mar 28, 2017 Upgraded to B1 (sf) Issuer: RASC Series 2005-KS7 Trust Cl. M-4, Upgraded to Aaa (sf); previously on Mar 28, 2017 Upgraded to Aa2 (sf) Cl. M-5, Upgraded to Aa1 (sf); previously on Mar 28, 2017 Upgraded to A2 (sf) Cl. M-6, Upgraded to Baa2 (sf); previously on Mar 28, 2017 Upgraded to Ba1 (sf) Issuer: RASC Series 2005-KS9 Trust Cl. M-4, Upgraded to Aaa (sf); previously on Mar 6, 2018 Upgraded to Aa2 (sf) Issuer: RASC Series 2006-EMX4 Trust Cl. A-3, Upgraded to Ba2 (sf); previously on Apr 6, 2010 Downgraded to Caa2 (sf) Cl. A-4, Upgraded to Caa2 (sf); previously on Jul 16, 2014 Upgraded to Ca (sf) Issuer: RASC Series 2006-KS7 Trust Cl. A-4, Upgraded to A1 (sf); previously on Apr 12, 2017 Upgraded to A2 (sf) Issuer: RASC Series 2007-KS2 Trust Cl. A-I-3, Upgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to Ca (sf) Cl. A-I-4, Upgraded to Ca (sf); previously on Apr 6, 2010 Downgraded to C (sf) Cl. A-II, Upgraded to Caa1 (sf); previously on Apr 6, 2010 Downgraded to Caa3 (sf) Issuer: Saxon Asset Securities Trust 2006-2 Cl. A-1, Upgraded to Aaa (sf); previously on Jul 11, 2017 Upgraded to Aa1 (sf) Cl. A-2, Upgraded to Aaa (sf); previously on Jul 11, 2017 Upgraded to Aa1 (sf) Cl. A-3C, Upgraded to Aa1 (sf); previously on Jul 11, 2017 Upgraded to Aa3 (sf) Cl. A-3D, Upgraded to Aa2 (sf); previously on Jul 11, 2017 Upgraded to A1 (sf) RATINGS RATIONALE The rating upgrades are primarily due to improvement in pool performances and credit enhancement available to the bonds. The rating actions reflect the recent performance of the underlying pools and Moody's updated loss expectations on those pools. The upgrades on RASC Series 2007-KS2 Trust, Cl. A-I-3, Cl. A-I-4, and Cl. A-II are primarily the result of a correction to the cash-flow model previously used by Moody's in rating this transaction. Prior rating actions utilized an incorrect excess interest calculation. The error has now been corrected, and the rating action reflects this change. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in January 2017. The Credit Ratings were assigned in accordance with Moody's existing Methodology entitled "US RMBS Surveillance Methodology," dated 1/31/2017. Please note that on November 14, 2018, Moody's released a Request for Comment, in which it has requested market feedback on potential revisions to its Methodology for pre-2009 US RMBS Prime Jumbo, Alt-A, Option ARM, Subprime, Scratch and Dent, Second Lien and Manufactured Housing transactions. If the revised Methodology is implemented as proposed, these Credit Ratings are not expected to be affected. 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 3.7% in November 2018 from 4.1% in November 2017. Moody's forecasts an unemployment central range of 3.5% to 4.5% for the 2018 year. Deviations from this central scenario could lead to rating actions in the sector. House prices are another key driver of US RMBS performance. Moody's expects house prices to continue to rise in 2018. Lower increases than Moody's expects or decreases could lead to negative rating actions. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. [*] Moody's Hikes $1.5BB Subprime RMBS Issued 2005-2007 ------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 41 tranches from 18 transactions backed by Subprime mortgage loans. Complete rating actions are as follows: Issuer: Soundview Home Loan Trust 2006-EQ1 Cl. A-4, Upgraded to Ba1 (sf); previously on Jul 5, 2017 Upgraded to Ba3 (sf) Issuer: Soundview Home Loan Trust 2006-OPT3 Cl. I-A-1, Upgraded to Aa2 (sf); previously on May 18, 2017 Upgraded to A2 (sf) Cl. II-A-3, Upgraded to Aa2 (sf); previously on May 18, 2017 Upgraded to A2 (sf) Cl. II-A-4, Upgraded to A1 (sf); previously on May 18, 2017 Upgraded to Baa1 (sf) Issuer: Soundview Home Loan Trust 2006-WF2 Cl. M-2, Upgraded to B3 (sf); previously on Jan 17, 2017 Upgraded to Caa3 (sf) Issuer: Soundview Home Loan Trust 2007-1 Cl. I-A-1, Upgraded to Ba2 (sf); previously on Mar 24, 2017 Upgraded to B3 (sf) Cl. II-A-3, Upgraded to Baa2 (sf); previously on Mar 24, 2017 Upgraded to Ba3 (sf) Cl. II-A-4, Upgraded to Baa2 (sf); previously on Mar 24, 2017 Upgraded to Ba3 (sf) Issuer: Structured Asset Investment Loan Trust 2005-10 Cl. A1, Upgraded to Aaa (sf); previously on Nov 22, 2016 Upgraded to A1 (sf) Cl. A2, Upgraded to Aaa (sf); previously on Nov 22, 2016 Upgraded to A2 (sf) Cl. A6, Upgraded to Aaa (sf); previously on Nov 22, 2016 Upgraded to A1 (sf) Cl. M1, Upgraded to B3 (sf); previously on Nov 22, 2016 Upgraded to Caa2 (sf) Issuer: Structured Asset Investment Loan Trust 2005-7 Cl. M1, Upgraded to Aaa (sf); previously on May 5, 2017 Upgraded to Aa1 (sf) Cl. M2, Upgraded to Ba2 (sf); previously on May 5, 2017 Upgraded to B2 (sf) Issuer: Structured Asset Investment Loan Trust 2005-9 Cl. M1, Upgraded to Baa2 (sf); previously on Oct 2, 2017 Upgraded to Ba3 (sf) Issuer: Structured Asset Securities Corp Trust 2006-BC6 Cl. A1, Upgraded to Baa2 (sf); previously on Dec 29, 2016 Upgraded to Ba2 (sf) Cl. A4, Upgraded to A1 (sf); previously on Dec 29, 2016 Upgraded to Baa1 (sf) Cl. A5, Upgraded to Ba1 (sf); previously on Dec 29, 2016 Upgraded to B1 (sf) Issuer: Structured Asset Securities Corp Trust 2006-EQ1 Cl. A1, Upgraded to A1 (sf); previously on Dec 29, 2016 Upgraded to Baa1 (sf) Cl. A4, Upgraded to Aaa (sf); previously on Mar 10, 2016 Upgraded to Aa3 (sf) Cl. A5, Upgraded to Baa1 (sf); previously on Dec 29, 2016 Upgraded to Ba1 (sf) Issuer: Structured Asset Securities Corp Trust 2006-OPT1 Cl. A1, Upgraded to Aa1 (sf); previously on May 18, 2017 Upgraded to A2 (sf) Cl. A5, Upgraded to Aaa (sf); previously on May 18, 2017 Upgraded to A1 (sf) Cl. A6, Upgraded to Aa1 (sf); previously on May 18, 2017 Upgraded to A2 (sf) Issuer: Structured Asset Securities Corp Trust 2006-WF2 Cl. A4, Upgraded to Aaa (sf); previously on May 5, 2017 Upgraded to Aa1 (sf) Cl. M1, Upgraded to Aa3 (sf); previously on May 5, 2017 Upgraded to Baa3 (sf) Cl. M2, Upgraded to Caa2 (sf); previously on May 5, 2017 Upgraded to Ca (sf) Issuer: Structured Asset Securities Corp Trust 2007-BC4 Cl. A1, Upgraded to Ba1 (sf); previously on Dec 29, 2016 Upgraded to B2 (sf) Issuer: Terwin Mortgage Trust, Series TMTS 2005-10HE Cl. M-3, Upgraded to Aa3 (sf); previously on Mar 6, 2018 Upgraded to A3 (sf) Cl. M-4, Upgraded to Ba1 (sf); previously on Mar 6, 2018 Upgraded to Ba3 (sf) Issuer: Washington Mutual Asset-Backed Certificates, WMABS Series 2006-HE3 Trust Cl. I-A, Upgraded to Caa1 (sf); previously on Feb 27, 2018 Upgraded to Caa3 (sf) Issuer: Wells Fargo Home Equity Asset-Backed Securities 2005-1 Trust Cl. M-6, Upgraded to B1 (sf); previously on Feb 27, 2018 Upgraded to B2 (sf) Cl. M-7, Upgraded to B1 (sf); previously on Feb 27, 2018 Upgraded to Caa2 (sf) Cl. M-8, Upgraded to Caa1 (sf); previously on Mar 14, 2013 Affirmed C (sf) Cl. M-9, Upgraded to Ca (sf); previously on Mar 14, 2013 Affirmed C (sf) Issuer: Wells Fargo Home Equity Asset-Backed Securities 2005-3 Trust Cl. M-7, Upgraded to B1 (sf); previously on Jun 20, 2017 Upgraded to B2 (sf) Cl. M-8, Upgraded to Caa3 (sf); previously on Mar 14, 2013 Affirmed C (sf) Issuer: Wells Fargo Home Equity Asset-Backed Securities 2006-2 Trust Cl. M-1, Upgraded to Aaa (sf); previously on Feb 27, 2018 Upgraded to A3 (sf) Cl. M-2, Upgraded to Baa3 (sf); previously on Feb 27, 2018 Upgraded to Ba2 (sf) Cl. M-3, Upgraded to Caa1 (sf); previously on Feb 27, 2018 Upgraded to Ca (sf) Issuer: Wells Fargo Home Equity Asset-Backed Securities 2007-2 Trust Cl. A-3, Upgraded to B1 (sf); previously on Jun 20, 2017 Upgraded to B3 (sf) RATINGS RATIONALE The actions reflect the recent performance of the underlying pools and reflect Moody's updated loss expectations. The rating upgrades are a result of the improving performance of the related pools and an increase in the credit enhancement available to the tranches. Most of the affected tranches currently benefit from a sequntial pay structure as the transactions have failed their performance triggers. The rating upgrades on Structured Asset Securities Corp Trust 2007-BC4 reflect the payments distributed to the transactions in September 2018 pursuant to a settlement between Lehman and certain RMBS investors. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in January 2017. The Credit Ratings mentioned deals were assigned in accordance with Moody's existing Methodology entitled "US RMBS Surveillance Methodology," dated 1/31/2017. Please note that on 11/14/2018, Moody's released a Request for Comment, in which it has requested market feedback on potential revisions to its Methodology for pre-2009 US RMBS Prime Jumbo, Alt-A, Option ARM, Subprime, Scratch and Dent, Second Lien and Manufactured Housing transactions. If the revised Methodology is implemented as proposed, the Credit Ratings on the mentioned deals are not expected to be affected. Please refer to Moody's Request for Comment, titled "Proposed Update to US RMBS Surveillance Methodology," for further details regarding the implications of the proposed Methodology revisions on certain Credit Ratings. 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 3.7% in November 2018 from 4.1% in November 2017. Moody's forecasts an unemployment central range of 3.5% to 4.5% for the 2018 year. Deviations from this central scenario could lead to rating actions in the sector. House prices are another key driver of US RMBS performance. Moody's expects house prices to continue to rise in 2018. Lower increases than Moody's expects or decreases could lead to negative rating actions. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. [*] Moody's Hikes $28.3MM Prime Jumbo RMBS Issued 2005-2007 ----------------------------------------------------------- Moody's Investors Service has upgraded the ratings of eight tranches from three transactions, backed by prime jumbo mortgage loans, issued by multiple issuers. Complete rating actions are as follows: Issuer: Banc of America Funding 2007-C Trust Cl. 6-A-1, Upgraded to B1 (sf); previously on Apr 30, 2010 Downgraded to Caa1 (sf) Cl. 6-A-2, Upgraded to Caa1 (sf); previously on Apr 30, 2010 Downgraded to Ca (sf) Issuer: Wells Fargo Mortgage Backed Securities 2005-3 Trust Cl. A-3, Upgraded to Baa1 (sf); previously on Apr 12, 2010 Downgraded to Baa2 (sf) Cl. A-4, Upgraded to Ba1 (sf); previously on Apr 12, 2010 Downgraded to Ba3 (sf) Cl. A-13, Upgraded to Ba1 (sf); previously on Apr 12, 2010 Downgraded to Ba3 (sf) Cl. A-15, Upgraded to Ba2 (sf); previously on Oct 31, 2017 Upgraded to B1 (sf) Cl. A-PO, Upgraded to Ba1 (sf); previously on Apr 12, 2010 Downgraded to Ba2 (sf) Issuer: Wells Fargo Mortgage Backed Securities 2005-7 Trust Cl. A-2, Upgraded to Caa2 (sf); previously on Aug 23, 2012 Downgraded to Ca (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 and amortization of these bonds. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in January 2017. The Credit Ratings were assigned in accordance with Moody's existing Methodology entitled "US RMBS Surveillance Methodology," dated 1/31/2017. Please note that on November 14, 2018, Moody's released a Request for Comment, in which it has requested market feedback on potential revisions to its Methodology for pre-2009 US RMBS Prime Jumbo, Alt-A, Option ARM, Subprime, Scratch and Dent, Second Lien and Manufactured Housing transactions. If the revised Methodology is implemented as proposed, these Credit Ratings are not expected to be affected. 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 3.7% in November 2018 from 4.1% in November 2017. Moody's forecasts an unemployment central range of 3.5% to 4.5% for the 2018 year. Deviations from this central scenario could lead to rating actions in the sector. House prices are another key driver of US RMBS performance. Moody's expects house prices to continue to rise in 2018. Lower increases than Moody's expects or decreases could lead to negative rating actions. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. [*] Moody's Hikes $92.9MM Second Lien RMBS Issued 2004-2007 ----------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 13 tranches from 9 transactions backed by Second-Lien mortgage loans, issued by multiple issuers. Complete rating actions are as follows: Issuer: Bear Stearns Mortgage Funding Trust 2006-SL1 Cl. A, Upgraded to Ca (sf); previously on Nov 10, 2010 Downgraded to C (sf) Issuer: Bear Stearns Second Lien Trust 2007-1 Cl. I-A, Upgraded to Caa2 (sf); previously on Mar 21, 2018 Upgraded to Caa3 (sf) Underlying Rating: Upgraded to Caa2 (sf); previously on Mar 21, 2018 Upgraded to Caa3 (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. II-A, Upgraded to Caa3 (sf); previously on Nov 10, 2010 Downgraded to C (sf) Underlying Rating: Upgraded to Caa3 (sf); previously on Nov 10, 2010 Downgraded to C (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. III-A, Upgraded to Caa3 (sf); previously on Nov 10, 2010 Downgraded to C (sf) Underlying Rating: Upgraded to Caa3 (sf); previously on Nov 10, 2010 Downgraded to C (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: CSFB Home Equity Pass-Through Certificates, Series 2004-5 Cl. M-2, Upgraded to B1 (sf); previously on Dec 16, 2010 Downgraded to Caa1 (sf) Issuer: First Franklin Mortgage Loan Trust 2007-FFC Cl. A-2A, Upgraded to Caa1 (sf); previously on Oct 20, 2010 Downgraded to C (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on Oct 20, 2010 Downgraded to C (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. A-2B, Upgraded to Caa1 (sf); previously on Apr 16, 2010 Downgraded to C (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on Oct 28, 2008 Downgraded to C (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: GMACM Home Equity Loan Trust 2002-HE3 Cl. VPRN, Upgraded to Baa2 (sf); previously on Jul 8, 2016 Upgraded to Ba2 (sf) Issuer: GMACM Home Equity Loan Trust 2004-HE5 Cl. A-5, Upgraded to Ba2 (sf); previously on May 21, 2010 Confirmed at B2 (sf) Underlying Rating: Upgraded to Ba2 (sf); previously on May 21, 2010 Confirmed at B2 (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Cl. A-6, Upgraded to Ba2 (sf); previously on May 21, 2010 Confirmed at B2 (sf) Underlying Rating: Upgraded to Ba2 (sf); previously on May 21, 2010 Confirmed at B2 (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Issuer: GSAMP Trust 2005-S1 Cl. M-2, Upgraded to Caa3 (sf); previously on Oct 7, 2010 Downgraded to C (sf) Issuer: Home Equity Mortgage Trust 2004-4 Cl. M-3, Upgraded to A1 (sf); previously on Mar 23, 2018 Upgraded to Baa1 (sf) Issuer: HomeBanc Mortgage Trust 2005-2 Cl. M-4, Upgraded to B2 (sf); previously on May 26, 2017 Upgraded to B3 (sf) RATINGS RATIONALE The rating actions reflect the recent performance of the underlying pools and Moody's updated loss expectations on the pools. The rating upgrades are a result of the improving performance of the related pools and an increase in credit enhancement available to the bonds. Additionally, the rating upgrades on the Cl. A-2A and Cl. A-2B from First Franklin Mortgage Loan Trust 2007-FFC reflects the reduction of undercollateralization and improvement in CE largely due to the funds received pursuant to the Second Amended Plan of Rehabilitation of the Segregated account of Ambac Assurance Corporation. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in January 2017. The Credit Ratings for the mentioned 13 tranches were assigned in accordance with Moody's existing Methodology entitled "US RMBS Surveillance Methodology," dated 1/31/2017. Please note that on 11/14/2018, Moody's released a Request for Comment, in which it has requested market feedback on potential revisions to its Methodology for pre-2009 US RMBS. Prime Jumbo, Alt-A, Option ARM, Subprime, Scratch and Dent, Second Lien and Manufactured Housing transactions. If the revised Methodology is implemented as proposed, the Credit Ratings on the mentioned deals are not expected to be affected. 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 3.7% in November 2018 from 4.1% in November 2017. Moody's forecasts an unemployment central range of 3.5% to 4.5% for the 2018 year. Deviations from this central scenario could lead to rating actions in the sector. House prices are another key driver of US RMBS performance. Moody's expects house prices to continue to rise in 2018. Lower increases than Moody's expects or decreases could lead to negative rating actions. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. [*] Moody's Hikes $983.7MM RMBS Issued 2006-2007 ------------------------------------------------ Moody's Investors Service has upgraded the rating of 27 tranches from nine transactions, backed by Alt-A, Option Arm and Subprime RMBS issued by multiple issuers. Complete rating actions are as follows: Issuer: Lehman XS Trust 2006-17 Cl. 1-A2, Upgraded to Caa3 (sf); previously on Sep 16, 2010 Downgraded to Ca (sf) Cl. 1-A3, Upgraded to Ca (sf); previously on Sep 16, 2010 Downgraded to C (sf) Cl. 1-A4A, Upgraded to Caa2 (sf); previously on Sep 16, 2010 Downgraded to Ca (sf) Cl. 1-AIO*, Upgraded to Caa3 (sf); previously on Feb 7, 2018 Confirmed at Ca (sf) Issuer: Lehman XS Trust 2006-19 Cl. A2, Upgraded to Caa2 (sf); previously on Sep 16, 2010 Confirmed at Caa3 (sf) Cl. A3, Upgraded to Ca (sf); previously on Sep 16, 2010 Downgraded to C (sf) Issuer: Lehman XS Trust Series 2006-15 Cl. A2, Upgraded to Caa1 (sf); previously on Sep 16, 2010 Downgraded to Caa3 (sf) Cl. A3, Upgraded to Caa3 (sf); previously on Sep 16, 2010 Downgraded to Ca (sf) Cl. A4, Upgraded to Caa2 (sf); previously on Sep 16, 2010 Downgraded to Caa3 (sf) Issuer: Lehman XS Trust Series 2006-20 Cl. A2, Upgraded to Caa2 (sf); previously on Sep 16, 2010 Confirmed at Caa3 (sf) Cl. A4, Upgraded to Caa2 (sf); previously on Sep 16, 2010 Confirmed at Caa3 (sf) Issuer: Lehman XS Trust Series 2006-8 Cl. 1-A1A, Upgraded to Caa2 (sf); previously on Feb 10, 2011 Downgraded to Caa3 (sf) Cl. 3-A5, Upgraded to Caa2 (sf); previously on Feb 10, 2011 Downgraded to Caa3 (sf) Issuer: Lehman XS Trust Series 2007-5H Cl. 1-A1, Upgraded to Caa3 (sf); previously on Feb 10, 2011 Downgraded to Ca (sf) Cl. 1-AIO*, Upgraded to Ca (sf); previously on Oct 27, 2017 Confirmed at C (sf) Cl. 2-A1, Upgraded to Caa2 (sf); previously on Feb 10, 2011 Downgraded to Caa3 (sf) Issuer: Lehman XS Trust, Series 2007-16N Cl. 2-A1, Upgraded to Caa2 (sf); previously on Oct 22, 2010 Downgraded to Caa3 (sf) Cl. 2-A2, Upgraded to Caa2 (sf); previously on Oct 22, 2010 Downgraded to Caa3 (sf) Cl. 3-A1, Upgraded to Caa1 (sf); previously on Oct 22, 2010 Downgraded to Caa2 (sf) Issuer: Structured Asset Securities Corp Trust 2007-BC1 Cl. A1, Upgraded to Baa2 (sf); previously on Dec 29, 2016 Upgraded to B2 (sf) Cl. A4, Upgraded to Aa2 (sf); previously on May 9, 2018 Upgraded to A2 (sf) Cl. A5, Upgraded to Baa1 (sf); previously on Dec 29, 2016 Upgraded to Ba2 (sf) Cl. A6, Upgraded to Baa2 (sf); previously on Dec 29, 2016 Upgraded to B2 (sf) Issuer: Structured Asset Securities Corp Trust 2007-BC3 Cl. 1-A3, Upgraded to Baa3 (sf); previously on Aug 8, 2017 Upgraded to Ba2 (sf) Cl. 1-A4, Upgraded to Ca (sf); previously on Apr 12, 2010 Downgraded to C (sf) Cl. 2-A3, Upgraded to Baa1 (sf); previously on Aug 8, 2017 Upgraded to Ba2 (sf) Cl. 2-A4, Upgraded to Caa3 (sf); previously on Apr 12, 2010 Downgraded to C (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The upgrades are primarily due to the payments distributed to the transactions in September 2018 pursuant to a settlement between Lehman and certain RMBS investors. The actions further reflect the recent performance of the underlying pools and Moody's updated loss expectations on the pools. The principal methodology used in rating all classes except interest-only classes was "US RMBS Surveillance Methodology" published in January 2017. The methodologies used in rating interest-only classes 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. The Credit Ratings for the mentioned deals were assigned in accordance with Moody's existing Methodology entitled "US RMBS Surveillance Methodology," dated 1/31/2017. Please note that on 11/14/2018, Moody's released a Request for Comment, in which it has requested market feedback on potential revisions to its Methodology for pre-2009 US RMBS. Prime Jumbo, Alt-A, Option ARM, Subprime, Scratch and Dent, Second Lien and Manufactured Housing transactions. If the revised Methodology is implemented as proposed, the Credit Ratings on the mentioned deals are not expected to be affected. Please refer to Moody's Request for Comment, titled "Proposed Update to US RMBS Surveillance Methodology," for further details regarding the implications of the proposed Methodology revisions on certain Credit Ratings. The Credit Rating mentioned Interest-Only (IO) bonds were assigned in accordance with Moody's existing Methodology entitled "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities," dated 6/8/2017. Please note that on 11/14/2018, Moody's released a Request for Comment, in which it has requested market feedback on potential revisions to its Methodology for Structured Finance Interest-Only (IO) Securities . If the revised Methodology is implemented as proposed, the Credit Rating on the mentioned IO bonds may be positively affected. Please refer to Moody's Request for Comment, titled "Proposed Update to Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities," for further details regarding the implications of the proposed Methodology revisions on certain Credit Ratings. 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 3.7% in November 2018 from 4.1% in November 2017. Moody's forecasts an unemployment central range of 3.5% to 4.5% for the 2018 year. Deviations from this central scenario could lead to rating actions in the sector. House prices are another key driver of US RMBS performance. Moody's expects house prices to continue to rise in 2018. Lower increases than Moody's expects or decreases could lead to negative rating actions. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. [*] Moody's Lowers Ratings on 39 Note Tranches From 27 SF CDO Deals ------------------------------------------------------------------- Moody's Investors Service has downgraded ratings on 39 tranches of notes. Moody's rating action is as follows: Issuer: ACA ABS 2003-1, Limited US$210,000,000 Class A-T Floating Rate Term Notes due June 2038 (current outstanding balance of $98,711,800), Downgraded to C (sf); previously on April 24, 2009 Downgraded to Ca (sf) Issuer: Acacia CDO 9, Ltd. US$235,000,000 Class A First Priority Senior Secured Floating Rate Notes due April 2046 (current outstanding balance of $192,249,000), Downgraded to C (sf); previously on April 22, 2009 Downgraded to Ca (sf) Issuer: Altius III Funding, Ltd. US$220,000,000 Class A-1a Floating Rate Notes Due December 2041 (current outstanding balance of $47,358,600), Downgraded to C (sf); previously on February 18, 2009 Downgraded to Ca (sf) US$499,950,000 Class A-1b-1B Floating Rate Notes Due December 2041 (current outstanding balance of $478,041,000), Downgraded to C (sf); previously on February 18, 2009 Downgraded to Ca (sf) US$300,000,000 Class A-1b-2 Floating Rate Notes Due December 2041 (current outstanding balance of $143,427,000), Downgraded to C (sf); previously on February 18, 2009 Downgraded to Ca (sf) US$250,000,000 Class A-1b-3 Floating Rate Notes Due December 2041 (current outstanding balance of $119,522,000), Downgraded to C (sf); previously on February 18, 2009 Downgraded to Ca (sf) US$100,000 Class A-1b-v Floating Rate Notes Due December 2041 (current outstanding balance of $47,809), Downgraded to C (sf); previously on February 18, 2009 Downgraded to Ca (sf) Issuer: Belle Haven ABS CDO 2006-1, Ltd. US$1,700,000,000 Class A-1 Notes due July 2046 (current outstanding balance of $1,098,750,000), Downgraded to C (sf); previously on April 24, 2009 Downgraded to Ca (sf) Issuer: Buckingham CDO II Ltd. US$1,170,000,000 Class A LT Notes due April 2041 (current outstanding balance of $681,083,000), Downgraded to C (sf); previously on July 13, 2010 Downgraded to Ca (sf) US$1,170,000,000 Base Liquidity Advances due April 2041 (current outstanding balance of $0), Downgraded to C (sf); previously on July 13, 2010 Downgraded to Ca (sf) Issuer: Capital Guardian ABS CDO I US$70,000,000 Class B Second Priority Senior Secured Floating Rate Notes due April 2037 (current outstanding balance of $29,575,400), Downgraded to C (sf); previously on January 20, 2009 Downgraded to Ca (sf) Issuer: C-Bass CBO XIX Ltd. US$292,000,000 Class A-1 Notes due October 2047 (current outstanding balance of $199,145,000), Downgraded to C (sf); previously on April 22, 2009 Downgraded to Ca (sf) Issuer: C-BASS CBO XV Ltd. US$565,800,000 Class A First Priority Senior Secured Floating Rate Notes Due 2041 (current outstanding balance of $493,442,000), Downgraded to C (sf); previously on April 22, 2009 Downgraded to Ca (sf) Issuer: Citius I Funding, Ltd. US$0 Class A LT Notes Due June 2046 (current outstanding balance of $902,579,000), Downgraded to C (sf); previously on April 24, 2009 Downgraded to Ca (sf) Issuer: Duke Funding High Grade III Ltd. US$443,500,000 A-1A Senior Secured Floating Rate Notes Due 2049 (current outstanding balance of $292,990,000), Downgraded to C (sf); previously on July 13, 2010 Downgraded to Ca (sf) US$1,306,500,000 A-1B1 Senior Secured Floating Rate Notes Due 2049 (current outstanding balance of $863,113,000), Downgraded to C (sf); previously on July 13, 2010 Downgraded to Ca (sf) US$0 A-1B2 Senior Secured Floating Rate Interest Only Notes Due 2049 (current outstanding balance of $0), Downgraded to C (sf); previously on July 13, 2010 Downgraded to Ca (sf) Issuer: Duke Funding High Grade IV, Ltd. US$1,312,500,000 Class A-1 Notes due February 2050 (current outstanding balance of $1,146,030,000), Downgraded to C (sf); previously on July 13, 2010 Downgraded to Ca (sf) Issuer: Duke Funding VI Ltd./Duke Funding VI, Corp. US$655,500,000 Class A1S Senior Secured Floating Rate Notes Due 2039 (current outstanding balance of $234,233,000), Downgraded to C (sf); previously on July 13, 2010 Downgraded to Ca (sf) Issuer: Dutch Hill Funding II Ltd. US$64,400,000 Class B Third Priority Senior Secured Floating Rate Notes Due May 2052 (current outstanding balance of $31,944,400), Downgraded to C (sf); previously on March 20, 2009 Downgraded to Ca (sf) Issuer: E*TRADE ABS CDO IV, LTD. US$7,000,000 Class A-1A First Priority Senior Secured Floating Rate Notes Due 2042 (current outstanding balance of $5,395,860), Downgraded to C (sf); previously on April 22, 2009 Downgraded to Ca (sf) US$152,800,000 Class A-1B-1 First Priority Senior Secured Floating Rate Delayed Draw Notes Due 2042 (current outstanding balance of $111,294,000), Downgraded to C (sf); previously on April 22, 2009 Downgraded to Ca (sf) Issuer: Fortius I Funding Ltd US$390,000,000 Class A-1 Floating Rate Note Due 2041 (current outstanding balance of $164,138,000), Downgraded to C (sf); previously on February 18, 2009 Downgraded to Ca (sf) Issuer: Independence VI CDO, Ltd. US$675,000,000 Class A-1 First Priority Senior Secured Floating Rate Notes Due 2041 (current outstanding balance of $227,670,000), Downgraded to C (sf); previously on July 13, 2010 Downgraded to Ca (sf) Issuer: Inman Square Funding II US$170,000,000 Class I Senior Secured Floating Rate Notes due October 2040 (current outstanding balance of $130,126,000), Downgraded to C (sf); previously on April 22, 2009 Downgraded to Ca (sf) Issuer: KLEROS PREFERRED FUNDING II, LTD. US$250,000 Class A-1V First Priority Senior Secured Voting Floating Rate Notes Due December 2042 (current outstanding balance of $73,345), Downgraded to C (sf); previously on July 13, 2010 Downgraded to Ca (sf) US$869,750,000 Class A-1NV First Priority Senior Secured Non-Voting Floating Rate Notes Due December 2042 (current outstanding balance of $255,166,000), Downgraded to C (sf); previously on July 13, 2010 Downgraded to Ca (sf) Issuer: Kleros Preferred Funding V PLC US$1,020,000,000 Class A-1 First Priority Senior Secured Delayed Draw Floating Rate Notes Due 2050 (current outstanding balance of $837,238,000), Downgraded to C (sf); previously on September 23, 2008 Downgraded to Ca (sf) Issuer: Longport Funding Ltd. US$35,600,000 Class A-1B Senior Secured Floating Rate Notes due January 2035 (current outstanding balance of $31,840,500), Downgraded to C (sf); previously on March 24, 2009 Downgraded to Ca (sf) US$15,400,000 Class A Participating Notes due January 2038 (current outstanding balance of $3,012,890), Downgraded to C (sf); previously on April 1, 2010 Downgraded to Ca (sf) Issuer: NORTH COVE CDO III, LTD. US$2,700,000,000 Unfunded supersenior tranche due March 2045 (current outstanding balance of $893,940,000), Downgraded to C (sf); previously on April 24, 2009 Downgraded to Ca (sf) Issuer: Pacific Coast CDO Ltd. US$96,000,000 Class B Second Priority Senior Secured Floating Rate Notes due 2036 (current outstanding balance of $38,553,300), Downgraded to C (sf); previously on February 12, 2013 Affirmed Ca (sf) Issuer: SFA Collateralized Asset-Backed Securities I Trust US$200,500,000 Class A Floating Rate Notes due June 2030 (current outstanding balance of $29,023,100), Downgraded to C (sf); previously on April 24, 2009 Downgraded to Ca (sf) Issuer: South Coast Funding III Ltd. US$270,000,000 Class A-1A Floating Rate Senior Notes Due August 2038 (current outstanding balance of $109,894,000), Downgraded to C (sf); previously on December 23, 2008 Downgraded to Ca (sf) US$107,000,000 Class A-1B Floating Rate Senior Notes Due August 2038 (current outstanding balance of $43,551,100), Downgraded to C (sf); previously on December 23, 2008 Downgraded to Ca (sf) Issuer: TABS 2005-4, Ltd. US$264,000,000 Class A Notes due August 2045 (current outstanding balance of $182,409,000), Downgraded to C (sf); previously on September 23, 2008 Downgraded to Ca (sf) Issuer: TORO ABS CDO I, LTD. US$895,000,000 Class A First Priority Senior Secured Floating Rate Delayed Draw Notes Due 2042 (current outstanding balance of $318,128,000), Downgraded to C (sf); previously on April 24, 2009 Downgraded to Ca (sf) Issuer: West Coast Funding I, Ltd. US$1,187,950,000 Class A-1b Floating Rate Notes Due November 2041 (current outstanding balance of $1,070,790,000), Downgraded to C (sf); previously on March 4, 2013 Affirmed Ca (sf) US$100,000 Class A-1v Floating Rate Notes Due November 2041 (current outstanding balance of $45,069), Downgraded to C (sf); previously on March 4, 2013 Affirmed Ca (sf) These SF CDOs have originated from 2000 to 2007 and are collateralized debt obligation backed by a portfolio of CDO, RMBS, CMBS, and ABS securities. RATINGS RATIONALE The rating actions are due primarily to the analysis of the overcollateralization levels to each of the transactions' tranches based on the deals' remaining portfolios. These overcollateralization levels served as the gauge to determine the ratings commensurate to the tranches according to the approximate expected recoveries associated with ratings for defaulted or impaired securities. Moody's did not use a model to analyze the default and recovery property of the collateral pool. Instead, Moody's analyzed the transactions by assessing the overcollateralization coverage of each of the tranches' current balances. Methodology Underlying the Rating Action The principal methodology used in these ratings was "Moody's Approach to Rating SF CDOs," published in June 2017. The Credit Ratings for these SF CDOs were assigned in accordance with Moody's existing Methodology entitled "Moody's Approach to Rating SF CDOs," dated June 1, 2017. Please note that on November 14, 2018, Moody's released a Request for Comment, in which it requested market feedback on potential revisions to its methodology for rating SF CDOs. If the revised methodology is implemented as proposed, Moody's does not expect the changes to affect the ratings on the notes issued by these SF CDO issuers. 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) 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. [*] Moody's Takes Action on $353.2MM Housing Collateral-Backed Debt ------------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 25 tranches and downgraded the rating of one tranche from 16 deals backed by manufactured housing RMBS loans issued from 1998 to 2007. Complete rating actions are as follows: Issuer: Green Tree Financial Corporation MH 1998-04 A-5 Certificate, Upgraded to Aa1 (sf); previously on Feb 12, 2018 Upgraded to A3 (sf) A-6 Certificate, Upgraded to Aa1 (sf); previously on Feb 12, 2018 Upgraded to A3 (sf) A-7 Certificate, Upgraded to Aa1 (sf); previously on Feb 12, 2018 Upgraded to A3 (sf) Issuer: Green Tree Financial Corporation MH 1998-05 A-1 Certificate, Upgraded to Aa1 (sf); previously on Feb 12, 2018 Upgraded to A3 (sf) Issuer: Green Tree Financial Corporation MH 1998-07 A-1 Certificate, Upgraded to Aa1 (sf); previously on Feb 12, 2018 Upgraded to A1 (sf) Issuer: Green Tree Financial Corporation MH 1998-08 A-1 Certificate, Upgraded to A3 (sf); previously on Mar 19, 2018 Upgraded to Baa3 (sf) Issuer: Mid-State Capital Corporation 2004-1 Trust Cl. A Notes, Upgraded to Aa1 (sf); previously on Apr 13, 2017 Upgraded to A1 (sf) Cl. M-1 Notes, Upgraded to Aa2 (sf); previously on Apr 13, 2017 Upgraded to A2 (sf) Cl. M-2 Notes, Upgraded to Aa3 (sf); previously on Apr 13, 2017 Upgraded to Baa1 (sf) Cl. B Notes, Upgraded to A1 (sf); previously on Apr 13, 2017 Upgraded to Baa2 (sf) Issuer: Mid-State Capital Corporation 2006-1 Trust Cl. A Notes, Upgraded to A1 (sf); previously on Apr 13, 2017 Upgraded to A3 (sf) Cl. M-1 Notes, Upgraded to A2 (sf); previously on Apr 13, 2017 Upgraded to Baa1 (sf) Cl. M-2 Notes, Upgraded to Baa1 (sf); previously on Apr 13, 2017 Upgraded to Ba2 (sf) Cl. B Notes, Upgraded to Ba2 (sf); previously on Apr 13, 2017 Upgraded to Caa1 (sf) Issuer: Mid-State Trust XI Cl. M-2 Notes, Upgraded to Baa3 (sf); previously on Jun 1, 2011 Downgraded to Ba1 (sf) Cl. B Notes, Upgraded to Ba1 (sf); previously on Jun 1, 2011 Confirmed at B1 (sf) Issuer: Oakwood Mortgage Investors, Inc. Series 1998-A M Certificate, Upgraded to Aa3 (sf); previously on Mar 2, 2018 Upgraded to Baa1 (sf) Issuer: Oakwood Mortgage Investors, Inc., Series 1999-B A-4 Certificate, Upgraded to Ba1 (sf); previously on Apr 5, 2016 Upgraded to B3 (sf) Issuer: OMI Trust 2001-B Cl. A-3 Certificate, Upgraded to Aaa (sf); previously on Mar 9, 2018 Upgraded to Aa2 (sf) Cl. A-4 Certificate, Upgraded to Aaa (sf); previously on Mar 9, 2018 Upgraded to Aa2 (sf) Issuer: OMI Trust 2002-A Cl. A-4 Certificate, Upgraded to Aa3 (sf); previously on Mar 9, 2018 Upgraded to A3 (sf) Issuer: OMI Trust 2002-B Cl. A-4 Certificate, Upgraded to A1 (sf); previously on Mar 9, 2018 Upgraded to Baa1 (sf) Issuer: OMI Trust 2002-C Cl. A-1 Certificate, Upgraded to Aa3 (sf); previously on Mar 2, 2018 Upgraded to Baa1 (sf) Issuer: Origen Manufactured Housing Contract Trust Collateralized Notes, Series 2007-A Cl. A-1 Certificate, Upgraded to B3 (sf); previously on Dec 16, 2011 Downgraded to Caa3 (sf) Issuer: UCFC Funding Corporation 1998-1 M Certificate, Downgraded to C (sf); previously on Sep 28, 2004 Downgraded to Ca (sf) Issuer: UCFC Funding Corporation 1998-2 A-4 Certificate, Upgraded to A1 (sf); previously on Mar 19, 2018 Upgraded to Baa1 (sf) RATINGS RATIONALE The actions reflect the recent performance of the underlying pools and reflect Moody's updated loss expectations on the pools. The ratings upgraded are a result of improving performance of the related pools and/or an increase in credit enhancement available to the bonds. The rating downgraded is due to the weaker performance of the underlying collateral and the erosion of enhancement available to the bond. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in January 2017. The Credit Ratings mentioned deals were assigned in accordance with Moody's existing Methodology entitled "US RMBS Surveillance Methodology," dated 1/31/2017. Please note that on 11/14/2018, Moody's released a Request for Comment, in which it has requested market feedback on potential revisions to its Methodology for pre-2009 US RMBS. Prime Jumbo, Alt-A, Option ARM, Subprime, Scratch and Dent, Second Lien and Manufactured Housing transactions. If the revised Methodology is implemented as proposed, the Credit Ratings on the mentioned deals are not expected to be affected. Please refer to Moody's Request for Comment, titled "Proposed Update to US RMBS Surveillance Methodology," for further details regarding the implications of the proposed Methodology revisions on certain Credit Ratings. 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 3.7% in November 2018 from 4.1% in November 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 $393.6MM RMBS Issued 2003-2005 ---------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 18 tranches from ten transactions, and downgraded the ratings of five tranches from three transactions backed by Alt-A, Option ARM and Prime Jumbo loans. Complete rating actions are as follows: Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-24 Cl. 3-A-1, Upgraded to Caa3 (sf); previously on Sep 19, 2016 Confirmed at Ca (sf) Issuer: DSLA Mortgage Loan Trust 2005-AR3 Cl. 2-A1A, Upgraded to Baa3 (sf); previously on Apr 1, 2015 Upgraded to Ba3 (sf) Cl. 2-A1B, Upgraded to Caa2 (sf); previously on Dec 3, 2010 Downgraded to Ca (sf) Underlying Rating: Upgraded to Caa2 (sf); previously on Dec 3, 2010 Downgraded to Ca (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: GSAA Home Equity Trust 2005-7 Cl. AF-3, Upgraded to Baa3 (sf); previously on Dec 9, 2015 Upgraded to B3 (sf) Cl. AF-4, Upgraded to Caa1 (sf); previously on May 11, 2010 Downgraded to Caa2 (sf) Cl. AF-5, Upgraded to B3 (sf); previously on May 11, 2010 Downgraded to Caa1 (sf) Issuer: HarborView Mortgage Loan Trust 2005-7 Cl. 1-A1, Downgraded to Ca (sf); previously on Dec 5, 2010 Downgraded to Caa3 (sf) Cl. 2-A1, Downgraded to Caa3 (sf); previously on Dec 5, 2010 Downgraded to Caa2 (sf) Cl. 2-X*, Downgraded to Caa3 (sf); previously on Oct 27, 2017 Confirmed at Caa2 (sf) Issuer: Homestar Mortgage Acceptance Corp. Asset-Backed Pass-Through Certificates, Series 2004-6 Cl. M-7, Upgraded to Ca (sf); previously on Feb 15, 2013 Affirmed C (sf) Issuer: IndyMac INDX Mortgage Loan Trust 2004-AR11 Cl. 1-A, Upgraded to Ba3 (sf); previously on Mar 31, 2011 Downgraded to Caa1 (sf) Cl. 2-A, Upgraded to Ba3 (sf); previously on Jul 3, 2012 Confirmed at Caa1 (sf) Issuer: IndyMac INDX Mortgage Loan Trust 2005-AR4 Cl. 2-A-1A, Downgraded to Caa1 (sf); previously on Dec 1, 2010 Downgraded to B3 (sf) Issuer: MortgageIT Trust 2005-5, Mortgage-Backed Notes, Series 2005-5 Cl. A-1, Upgraded to A2 (sf); previously on Apr 13, 2017 Upgraded to Baa2 (sf) Cl. A-2, Upgraded to Baa3 (sf); previously on Apr 13, 2017 Upgraded to B1 (sf) Issuer: Opteum Mortgage Acceptance Corporation, Asset Backed Pass-Through Certificates, Series 2005-3 Cl. M-5, Upgraded to Caa1 (sf); previously on Mar 11, 2015 Upgraded to Ca (sf) Issuer: Structured Adjustable Rate Mortgage Loan Trust 2005-19XS Cl. 2-A1, Upgraded to Aaa (sf); previously on Feb 27, 2018 Upgraded to Aa1 (sf) Cl. 2-A2, Upgraded to Aaa (sf); previously on Feb 27, 2018 Upgraded to Aa2 (sf) Cl. 2-A3, Upgraded to Aaa (sf); previously on Feb 27, 2018 Upgraded to Aa3 (sf) Issuer: Thornburg Mortgage Securities Trust 2003-6 Cl. A-1, Upgraded to Aa1 (sf); previously on Jan 15, 2014 Downgraded to A1 (sf) Issuer: Wells Fargo Mortgage Backed Securities 2004-J Trust Cl. A-1, Downgraded to Ba3 (sf); previously on Apr 10, 2012 Downgraded to Ba1 (sf) Issuer: Wells Fargo Mortgage Backed Securities 2005-AR4 Trust Cl. I-A-1, Upgraded to Baa1 (sf); previously on Apr 11, 2017 Upgraded to Ba1 (sf) Cl. I-A-3, Upgraded to Baa1 (sf); previously on Apr 11, 2017 Upgraded to Ba1 (sf) * Reflects Interest-Only Class RATINGS RATIONALE The rating actions reflect the recent performance and Moody's updated loss expectations on the underlying pools. The rating upgrades are due to an increase in the credit enhancement available to the bonds and stable/improving collateral performance. The ratings downgraded are due to the weaker performance of the underlying collateral or the erosion of enhancement available to the bonds. The principal methodology used in rating all classes except interest-only classes was "US RMBS Surveillance Methodology" published in January 2017. The methodologies used in rating interest-only classes 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. The Credit Rating for these 22 tranches was assigned in accordance with Moody's existing Methodology entitled "US RMBS Surveillance Methodology," dated 1/31/2017. Please note that on 11/14/2018, Moody's released a Request for Comment, in which it has requested market feedback on potential revisions to its Methodology for pre-2009 US RMBS Prime Jumbo, Alt-A, Option ARM, Subprime, Scratch and Dent, Second Lien and Manufactured Housing transactions. If the revised Methodology is implemented as proposed, the Credit Rating on these 22 tranches are not expected to be affected. Please refer to Moody's Request for Comment, titled "Proposed Update to US RMBS Surveillance Methodology," for further details regarding the implications of the proposed Methodology revisions on certain Credit Ratings. The Credit Rating for the mentioned Interest-Only (IO) bond were assigned in accordance with Moody's existing Methodology entitled "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities," dated 6/8/2017. Please note that on 11/14/2018, Moody's released a Request for Comment, in which it has requested market feedback on potential revisions to its Methodology for Structured Finance Interest-Only (IO) Securities . If the revised Methodology is implemented as proposed, the Credit Rating on the mentioned IO bond may be positively affected. Please refer to Moody's Request for Comment, titled "Proposed Update to Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities," for further details regarding the implications of the proposed Methodology revisions on certain Credit Ratings. 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 3.7% in October 2018 from 4.1% in October 2017. Moody's forecasts an unemployment central range of 3.5% to 4.5% for the 2018 year. Deviations from this central scenario could lead to rating actions in the sector. House prices are another key driver of US RMBS performance. Moody's expects house prices to continue to rise in 2018. Lower increases than Moody's expects or decreases could lead to negative rating actions. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. [*] Moody's Takes Action on $40.2MM RMBS Issued 2015-2016 --------------------------------------------------------- Moody's Investors Service has upgraded the ratings of six tranches from three transactions, backed by conforming prime residential mortgage loans, issued by Freddie Mac Whole Loan Securities Trust. Complete rating actions are as follows: Issuer: Freddie Mac Whole Loan Securities Trust, Series 2015-SC02 Cl. M-2, Upgraded to A1 (sf); previously on Mar 6, 2018 Upgraded to A2 (sf) Cl. M-3, Upgraded to A3 (sf); previously on Mar 6, 2018 Upgraded to Baa1 (sf) Issuer: Freddie Mac Whole Loan Securities Trust, Series 2016-SC01 Cl. M-1, Upgraded to A1 (sf); previously on Mar 6, 2018 Upgraded to A3 (sf) Cl. M-2, Upgraded to Baa2 (sf); previously on Mar 6, 2018 Upgraded to Ba1 (sf) Issuer: Freddie Mac Whole Loan Securities, Series 2016-SC02 Cl. M-1, Upgraded to A2 (sf); previously on Nov 21, 2016 Definitive Rating Assigned Baa1 (sf) Cl. M-2, Upgraded to Baa3 (sf); previously on Nov 21, 2016 Definitive Rating Assigned Ba2 (sf) RATINGS RATIONALE The rating upgrades are primarily due to an increase in credit enhancement available to the bonds and a decrease in its projected pool losses. The action also reflects the strong performance of the underlying pools. As of November 2018, there were minimal serious delinquencies (loans 60 days or more delinquent) in the underlying pools. Moody's calculated losses on the pools 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, for borrowers with multiple mortgaged properties and self-employed borrowers. In its analysis, Moody's considered the observed loss severity trends on Freddie Mac loans. Moody's did not make any adjustments related to third-party review, servicers and originators' assessment. Its final loss estimates also incorporate considerations for the financial strength of representation & warranty provider (Freddie Mac). These securitizations have a two-pool 'Y' structure that distributes principal on a pro rata basis between the seniors and subordinate classes subject to performance triggers, and sequentially amongst the subordinate certificates. The transactions have two distinct features: recoupment of unpaid interest on stop advance loans and shifting certain principal payments, subject to limits, to cover interest shortfalls to the rated subordinate bonds due interest rate modifications and extra-ordinary expenses. Freddie Mac will stop advancing principal and interest on any real-estate owned (REO) property or loans that are 180 days or more delinquent. This could result in interest shortfalls to the bonds. However, interest accrued but not paid on the stop advance loans will be recovered from the liquidation proceeds, borrower payments, modification or repurchases and added to the interest remittance amount. Additionally, to the extent that the class B certificate is outstanding, the transaction allows for its accrued interest and certain principal payments to be re-directed to cover interest shortfall to the rated bonds, with a corresponding write-down of Class B principal balance. As a result, before mezzanine classes suffer any unrecoverable interest shortfall, the Class B certificate balance has to be reduced to zero. The principal methodology used in these ratings was "Moody's Approach to Rating US Prime RMBS" published in November 2018. 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 3.7% in November 2018 from 4.1% in November 2017. Moody's forecasts an unemployment central range of 3.5% to 4.5% for the 2018 year. Deviations from this central scenario could lead to rating actions in the sector. House prices are another key driver of US RMBS performance. Moody's expects house prices to continue to rise in 2018. Lower increases than Moody's expects or decreases could lead to negative rating actions. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. [*] Moody's Takes Action on $414.5MM RMBS Issued 2004-2008 ---------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 13 tranches and downgraded the ratings of five tranches from ten transactions, backed by Alt-A and Jumbo loans, issued by multiple issuers. Complete rating actions are as follows: Issuer: American Home Mortgage Investment Trust 2004-4 Cl. VI-A-1, Upgraded to Aaa (sf); previously on Mar 9, 2018 Upgraded to Aa2 (sf) Issuer: Bear Stearns ALT-A Trust 2005-1 Cl. M-1, Downgraded to B1 (sf); previously on Jul 21, 2016 Upgraded to Ba3 (sf) Issuer: Bear Stearns ALT-A Trust 2005-4 Cl. I-A-1, Upgraded to Aaa (sf); previously on Mar 21, 2018 Upgraded to Aa1 (sf) Cl. I-A-2, Upgraded to Aa1 (sf); previously on Mar 21, 2018 Upgraded to Aa2 (sf) Issuer: CHL Mortgage Pass-Through Trust 2004-24 Cl. A-1, Downgraded to B1 (sf); previously on Sep 30, 2016 Upgraded to Ba2 (sf) Cl. A-4, Downgraded to B1 (sf); previously on Sep 30, 2016 Upgraded to Ba3 (sf) Issuer: Impac CMB Trust Series 2004-4 Collateralized Asset-Backed Bonds, Series 2004-4 Cl. 1-M-5, Upgraded to Ba2 (sf); previously on Mar 5, 2018 Upgraded to Ba3 (sf) Cl. 1-M-6, Upgraded to Ba2 (sf); previously on Mar 5, 2018 Upgraded to B1 (sf) Issuer: Lehman Mortgage Trust 2008-4 Cl. A1, Downgraded to Ca (sf); previously on Sep 11, 2013 Downgraded to Caa3 (sf) Issuer: Opteum Mortgage Acceptance Corporation Asset Backed Pass-Through Certificates 2005-4 Cl. I-A1D, Upgraded to Aa1 (sf); previously on Mar 21, 2018 Upgraded to A1 (sf) Cl. I-A2, Upgraded to Aa3 (sf); previously on Mar 21, 2018 Upgraded to A3 (sf) Cl. I-APT, Upgraded to Aa1 (sf); previously on Mar 21, 2018 Upgraded to A1 (sf) Cl. II-A1, Upgraded to Aaa (sf); previously on Mar 21, 2018 Upgraded to Aa1 (sf) Issuer: Opteum Mortgage Acceptance Corporation Asset Backed Pass-Through Certificates 2006-1 Cl. I-A1C1, Upgraded to Caa1 (sf); previously on Oct 15, 2010 Downgraded to Caa2 (sf) Cl. II-A2, Upgraded to Caa3 (sf); previously on Oct 17, 2014 Downgraded to C (sf) Cl. II-APT, Upgraded to Caa1 (sf); previously on Oct 17, 2014 Downgraded to Caa2 (sf) Issuer: Soundview Home Loan Trust 2006-WF1 Cl. A-4, Upgraded to Ba1 (sf); previously on Mar 21, 2018 Upgraded to B2 (sf) Issuer: Thornburg Mortgage Trust 2006-2 Cl. A-2-B, Downgraded to Caa1 (sf); previously on Nov 13, 2014 Downgraded to B1 (sf) RATINGS RATIONALE The rating upgrades are primarily due to the improvement in underlying collateral performance and credit enhancement available to the bonds. The rating downgrades are due to the erosion of credit enhancement available to the bonds. The rating downgrade of Bear Stearns ALT-A Trust 2005-1 Cl. M-1 reflects the outstanding interest shortfalls on the bond which is not expected to be recouped. The rating actions reflect the recent performance and Moody's updated loss expectations on the underlying pools. The principal methodology used in rating all tranches except Lehman Mortgage Trust 2008-4 Cl. A1 was "US RMBS Surveillance Methodology" published in January 2017. The principal methodology used in rating Lehman Mortgage Trust 2008-4 Cl. A1 was "Moody's Approach to Rating Resecuritizations" published in February 2014. The Credit Rating for the tranche Cl. A1 from Lehman Mortgage Trust 2008-4 was assigned in accordance with Moody's existing Methodology entitled "Moody's Approach to Rating Resecuritizations," dated 2/11/2014. Please note that on November 14, 2018, Moody's released a Request for Comment, in which it has requested market feedback on potential revisions to its Methodology for Resecuritizations. If the revised Methodology is implemented as proposed, the Credit Rating on Cl. A1 from Lehman Mortgage Trust 2008-4 is expected to be affected. The Credit Ratings were assigned on remaining 17 tranches in accordance with Moody's existing Methodology entitled "US RMBS Surveillance Methodology," dated 1/31/2017. Please note that on November 14, 2018, Moody's released a Request for Comment, in which it has requested market feedback on potential revisions to its Methodology for pre-2009 US RMBS Prime Jumbo, Alt-A, Option ARM, Subprime, Scratch and Dent, Second Lien and Manufactured Housing transactions. If the revised Methodology is implemented as proposed, these Credit Ratings on 17 tranches are not expected to be affected. 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 3.7% in November 2018 from 4.1% in November 2017. Moody's forecasts an unemployment central range of 3.5% to 4.5% for the 2018 year. Deviations from this central scenario could lead to rating actions in the sector. House prices are another key driver of US RMBS performance. Moody's expects house prices to continue to rise in 2018. Lower increases than Moody's expects or decreases could lead to negative rating actions. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. [*] Moody's Takes Action on $450MM RMBS Issued 2005-2007 -------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 36 tranches from 15 transactions, backed by Alt-A, option ARM, scratch & dent and second lien loans. Complete rating actions are as follows: Issuer: Lehman XS Trust Series 2006-13 Cl. 1-A2, Upgraded to Caa1 (sf); previously on Sep 16, 2010 Downgraded to Caa3 (sf) Issuer: Lehman XS Trust Series 2006-3 Cl. A3, Upgraded to Caa3 (sf); previously on Sep 16, 2010 Downgraded to Ca (sf) Issuer: Lehman XS Trust Series 2006-9 Cl. A1B, Upgraded to Caa1 (sf); previously on Sep 16, 2010 Downgraded to Caa3 (sf) Issuer: Lehman XS Trust Series 2007-7N Cl. 1-A2, Upgraded to Caa3 (sf); previously on Oct 22, 2010 Confirmed at Ca (sf) Issuer: Structured Adjustable Rate Mortgage Loan Trust 2005-3XS Cl. M1, Upgraded to Aaa (sf); previously on Nov 22, 2016 Upgraded to Aa2 (sf) Cl. M2, Upgraded to Caa1 (sf); previously on Jan 21, 2016 Upgraded to Caa3 (sf) Issuer: Structured Adjustable Rate Mortgage Loan Trust 2005-6XS Cl. M1, Upgraded to Aaa (sf); previously on Nov 12, 2017 Upgraded to Aa3 (sf) Issuer: Structured Adjustable Rate Mortgage Loan Trust 2007-2 Cl. 1-A1, Upgraded to Caa2 (sf); previously on Nov 19, 2010 Downgraded to Ca (sf) Cl. 1-A2, Upgraded to Caa2 (sf); previously on Nov 19, 2010 Downgraded to Ca (sf) Issuer: Structured Adjustable Rate Mortgage Loan Trust 2007-3 Cl. 1-A1, Upgraded to Caa2 (sf); previously on Nov 19, 2010 Downgraded to Ca (sf) Issuer: Structured Adjustable Rate Mortgage Loan Trust 2007-4 Cl. 1-A1, Upgraded to Caa3 (sf); previously on Nov 19, 2010 Downgraded to Ca (sf) Cl. 1-A2, Upgraded to Caa1 (sf); previously on Aug 27, 2012 Confirmed at Caa3 (sf) Issuer: Structured Adjustable Rate Mortgage Loan Trust 2007-6 Cl. 1-A1, Upgraded to Caa3 (sf); previously on Dec 7, 2010 Downgraded to Ca (sf) Cl. 2-A1, Upgraded to B2 (sf); previously on Dec 7, 2010 Downgraded to Caa3 (sf) Issuer: Structured Adjustable Rate Mortgage Loan Trust, Series 2007-1 Cl. 1A-1, Upgraded to Caa2 (sf); previously on Nov 19, 2010 Downgraded to Ca (sf) Issuer: Structured Asset Securities Corp Trust 2005-4XS Cl. 1-A4A, Upgraded to Baa3 (sf); previously on Aug 1, 2018 Upgraded to Ba3 (sf) Cl. 1-A4B, Upgraded to Baa3 (sf); previously on Aug 1, 2018 Upgraded to Ba3 (sf) Underlying Rating: Upgraded to Baa3 (sf); previously on Aug 1, 2018 Upgraded to Ba3 (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. 1-A5A, Upgraded to Baa2 (sf); previously on Aug 1, 2018 Upgraded to Ba2 (sf) Underlying Rating: Upgraded to Baa2 (sf); previously on Aug 1, 2018 Upgraded to Ba2 (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. 1-A5B, Upgraded to Baa2 (sf); previously on Aug 1, 2018 Upgraded to Ba2 (sf) Cl. 2-A1A, Upgraded to Caa1 (sf); previously on Aug 11, 2010 Downgraded to Caa2 (sf) Cl. 2-A1B, Upgraded to Caa1 (sf); previously on Aug 11, 2010 Downgraded to Caa2 (sf) Issuer: Structured Asset Securities Corp Trust 2005-9XS Cl. 1-A3A, Upgraded to Aaa (sf); previously on Jan 12, 2018 Upgraded to Aa2 (sf) Underlying Rating: Upgraded to Aaa (sf); previously on Jan 12, 2018 Upgraded to Aa2 (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. 1-A3B, Upgraded to Aaa (sf); previously on Jan 12, 2018 Upgraded to Aa2 (sf) Cl. 1-A3C, Upgraded to Aaa (sf); previously on Jan 12, 2018 Upgraded to Aa3 (sf) Cl. 1-A3D, Upgraded to Aaa (sf); previously on Jan 12, 2018 Upgraded to Aa2 (sf) Cl. 1-A4, Upgraded to Aaa (sf); previously on Jan 12, 2018 Upgraded to Aa1 (sf) Cl. 2-A1, Upgraded to Aa2 (sf); previously on Jan 12, 2018 Upgraded to A3 (sf) Cl. 2-A2, Upgraded to Aa2 (sf); previously on Jan 12, 2018 Upgraded to A3 (sf) Cl. 2-A3, Upgraded to Aa3 (sf); previously on Jan 12, 2018 Upgraded to Baa1 (sf) Cl. M1, Upgraded to Caa2 (sf); previously on Jan 12, 2018 Upgraded to Ca (sf) Issuer: Structured Asset Securities Corp Trust 2005-S6 Cl. M1, Upgraded to Aa3 (sf); previously on May 3, 2018 Upgraded to B3 (sf) Issuer: Structured Asset Securities Corp Trust 2007-TC1 Cl. A, Upgraded to Aaa (sf); previously on Apr 25, 2018 Upgraded to Aa3 (sf) Cl. M-1, Upgraded to A1 (sf); previously on Apr 25, 2018 Upgraded to Baa2 (sf) Cl. M-2, Upgraded to Baa1 (sf); previously on Apr 25, 2018 Upgraded to Ba3 (sf) Cl. M-3, Upgraded to Ba2 (sf); previously on Apr 25, 2018 Upgraded to Caa2 (sf) Cl. M-4, Upgraded to B2 (sf); previously on Mar 5, 2009 Downgraded to C (sf) RATINGS RATIONALE The rating upgrades on the bonds are primarily due to the settlement payments distributed to the transactions in September 2018, pursuant to a settlement between Lehman and certain RMBS investors. The actions further reflect the recent performance of the underlying pools and Moody's updated loss expectations on the pools. The rating upgrade on Cl. M-1 from Structured Asset Securities Corp Trust 2005-S6 reflects the paydown of this $7.9 million bond by $5.9 million, increasing it's credit enhancement from 23% before the settlement payments, to 85% currently. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in January 2017. The Credit Rating for these 36 tranches was assigned in accordance with Moody's existing Methodology entitled "US RMBS Surveillance Methodology," dated 1/31/2017. Please note that on 11/14/2018, Moody's released a Request for Comment, in which it has requested market feedback on potential revisions to its Methodology for pre-2009 US RMBS Prime Jumbo, Alt-A, Option ARM, Subprime, Scratch and Dent, Second Lien and Manufactured Housing transactions. If the revised Methodology is implemented as proposed, the Credit Rating on these 36 tranches are not expected to be affected. Please refer to Moody's Request for Comment, titled "Proposed Update to US RMBS Surveillance Methodology," for further details regarding the implications of the proposed Methodology revisions on certain Credit Ratings. 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 3.7% in November 2018 from 4.1% in November 2017. Moody's forecasts an unemployment central range of 3.5% to 4.5% for the 2018 year. Deviations from this central scenario could lead to rating actions in the sector. House prices are another key driver of US RMBS performance. Moody's expects house prices to continue to rise in 2018. Lower increases than Moody's expects or decreases could lead to negative rating actions. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. [*] Moody's Takes Action on $570MM Subprime RMBS Issued 2000-2005 ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 99 tranches and downgraded the ratings of five tranches from 35 transactions, backed by Subprime loans, issued by multiple issuers. Complete rating actions are as follows: Issuer: ABFC 2003-OPT1 Trust Cl. A-1, Upgraded to Aa2 (sf); previously on Nov 20, 2015 Upgraded to Baa1 (sf) Cl. A-1A, Upgraded to Aa3 (sf); previously on Nov 20, 2015 Upgraded to Baa3 (sf) Cl. A-3, Upgraded to A3 (sf); previously on Sep 18, 2013 Confirmed at Baa3 (sf) Cl. M-2, Upgraded to B1 (sf); previously on Nov 20, 2015 Upgraded to Caa1 (sf) Issuer: Accredited Mortgage Loan Trust 2004-3, Asset-Backed Notes, Series 2004-3 Cl. 1A5, Upgraded to Aa2 (sf); previously on Apr 9, 2018 Upgraded to A3 (sf) Cl. 1A6, Upgraded to Aa1 (sf); previously on Apr 9, 2018 Upgraded to A1 (sf) Cl. 1M1, Upgraded to Baa2 (sf); previously on May 11, 2012 Downgraded to Ba2 (sf) Cl. 1M2, Upgraded to Ba3 (sf); previously on Jan 13, 2017 Upgraded to Caa1 (sf) Cl. 2A5, Upgraded to Aa1 (sf); previously on May 11, 2012 Downgraded to A1 (sf) Cl. 2A6, Upgraded to A1 (sf); previously on Jan 13, 2017 Upgraded to A3 (sf) Cl. 2M1, Upgraded to A3 (sf); previously on Jan 13, 2017 Upgraded to Baa3 (sf) Cl. 2M2, Upgraded to Baa2 (sf); previously on Jan 13, 2017 Upgraded to Ba1 (sf) Cl. 2M3, Upgraded to Baa3 (sf); previously on Jan 13, 2017 Upgraded to Ba3 (sf) Cl. 2M4, Upgraded to Ba2 (sf); previously on Apr 9, 2018 Upgraded to B2 (sf) Cl. 2M5, Upgraded to Ba2 (sf); previously on Apr 9, 2018 Upgraded to Caa1 (sf) Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2005-HE6 Cl. A-2D, Upgraded to Aaa (sf); previously on Aug 3, 2016 Upgraded to Aa1 (sf) Cl. M-2, Upgraded to Caa3 (sf); previously on May 25, 2017 Upgraded to Ca (sf) Issuer: Aegis Asset Backed Securities Trust 2004-3 Cl. M1, Upgraded to Aa1 (sf); previously on May 23, 2018 Upgraded to A1 (sf) Issuer: Ameriquest Mortgage Securities Inc., Series 2004-R8 Cl. M-3, Upgraded to Caa1 (sf); previously on Mar 29, 2011 Downgraded to Ca (sf) Issuer: Asset Backed Securities Corporation, Long Beach Home Equity Loan Trust 2000-LB1, Home ...s 2000-LB1 Cl. M1F, Downgraded to B2 (sf); previously on May 22, 2018 Upgraded to B1 (sf) Cl. M2F, Upgraded to Caa3 (sf); previously on Mar 18, 2013 Affirmed C (sf) Issuer: C-Bass Mortgage Loan Asset Backed Notes, Series 2001-CB4 Cl. IA-1, Upgraded to Aaa (sf); previously on Jun 8, 2018 Upgraded to Aa2 (sf) Cl. IB-1, Upgraded to Ba2 (sf); previously on Jun 8, 2018 Upgraded to B2 (sf) Cl. IM-2, Upgraded to Ba1 (sf); previously on Jun 8, 2018 Upgraded to Ba3 (sf) Issuer: Centex Home Equity Loan Trust 2002-C Cl. AF-5, Upgraded to Aaa (sf); previously on May 22, 2018 Upgraded to Aa1 (sf) Cl. M-2, Upgraded to Ca (sf); previously on May 22, 2018 Downgraded to C (sf) Issuer: Chase Funding Trust, Series 2004-1 Cl. IIM-1, Upgraded to Baa3 (sf); previously on May 22, 2018 Upgraded to B1 (sf) Cl. IIM-2, Upgraded to B1 (sf); previously on May 22, 2018 Upgraded to Caa3 (sf) Issuer: CHEC Loan Trust 2004-2 Cl. A-3, Downgraded to Baa1 (sf); previously on Jun 28, 2017 Upgraded to A1 (sf) Cl. M-1, Downgraded to B3 (sf); previously on Jun 1, 2018 Downgraded to B1 (sf) Cl. M-2, Downgraded to Caa2 (sf); previously on Jun 28, 2017 Upgraded to Caa1 (sf) Cl. M-3, Upgraded to Caa3 (sf); previously on Mar 7, 2011 Downgraded to Ca (sf) Cl. M-4, Upgraded to Ca (sf); previously on May 3, 2012 Downgraded to C (sf) Issuer: Credit Suisse First Boston Mortgage Securities Corp. Series 2004-7 Cl. B-1, Upgraded to Caa2 (sf); previously on Mar 15, 2011 Downgraded to C (sf) Cl. M-1, Upgraded to A1 (sf); previously on Apr 9, 2012 Downgraded to A2 (sf) Cl. M-2, Upgraded to Baa1 (sf); previously on Aug 28, 2015 Upgraded to Ba1 (sf) Cl. M-3, Upgraded to Baa3 (sf); previously on Jun 20, 2017 Upgraded to Ba1 (sf) Cl. M-4, Upgraded to Ba1 (sf); previously on Jun 20, 2017 Upgraded to Ba3 (sf) Cl. M-5, Upgraded to B1 (sf); previously on Jul 29, 2016 Upgraded to B3 (sf) Cl. M-6, Upgraded to Caa1 (sf); previously on Jul 29, 2016 Upgraded to Caa3 (sf) Issuer: CSFB Home Equity Pass-Through Certificates, Series 2004-8 Cl. M-2, Upgraded to A1 (sf); previously on Apr 9, 2018 Upgraded to Baa1 (sf) Cl. M-5, Upgraded to B3 (sf); previously on Apr 9, 2018 Upgraded to Caa1 (sf) Issuer: CWABS Asset-Backed Certificates Trust 2004-10 Cl. MF-2, Upgraded to B1 (sf); previously on May 24, 2018 Upgraded to B3 (sf) Cl. MF-3, Upgraded to Caa2 (sf); previously on Feb 28, 2013 Affirmed C (sf) Cl. MV-4, Upgraded to B1 (sf); previously on May 24, 2018 Upgraded to B2 (sf) Cl. MV-5, Upgraded to Ca (sf); previously on Feb 28, 2013 Affirmed C (sf) Issuer: CWABS Asset-Backed Certificates Trust 2004-15 Cl. MF-4, Upgraded to B3 (sf); previously on May 24, 2018 Upgraded to Caa2 (sf) Cl. MV-6, Upgraded to Caa2 (sf); previously on Apr 16, 2012 Downgraded to C (sf) Issuer: CWABS, Inc. Asset-Backed Certificates, Series 2004-2 Cl. M-1, Upgraded to Baa3 (sf); previously on Oct 2, 2017 Upgraded to Ba1 (sf) Cl. M-2, Upgraded to Ba1 (sf); previously on Oct 2, 2017 Upgraded to B1 (sf) Cl. M-3, Upgraded to Ba3 (sf); previously on Oct 2, 2017 Upgraded to Caa1 (sf) Cl. M-4, Upgraded to B2 (sf); previously on Oct 2, 2017 Upgraded to Ca (sf) Issuer: CWABS, Inc. Asset-Backed Certificates, Series 2004-7 Cl. MF-3, Upgraded to B3 (sf); previously on Apr 16, 2012 Downgraded to C (sf) Issuer: CWABS, Inc. Asset-Backed Certificates, Series 2004-9 Cl. MF-2, Upgraded to B2 (sf); previously on May 24, 2018 Upgraded to Caa3 (sf) Cl. MV-4, Upgraded to Caa2 (sf); previously on May 24, 2018 Upgraded to Caa3 (sf) Issuer: CWABS, Inc., Asset-Backed Certificates, Series 2004-BC5 Cl. M-5, Upgraded to B1 (sf); previously on Oct 19, 2016 Upgraded to B2 (sf) Cl. M-6, Upgraded to B3 (sf); previously on Oct 19, 2016 Upgraded to Ca (sf) Issuer: GSAMP Trust 2004-NC1 Cl. B-1, Upgraded to Caa1 (sf); previously on Mar 17, 2011 Downgraded to Ca (sf) Cl. B-3, Upgraded to Caa1 (sf); previously on Mar 17, 2011 Downgraded to Ca (sf) Cl. M-3, Upgraded to B2 (sf); previously on Jun 5, 2018 Upgraded to Caa2 (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2003-NC10 Cl. B-1, Upgraded to Caa1 (sf); previously on Apr 18, 2018 Upgraded to Caa2 (sf) Cl. M-2, Upgraded to Baa3 (sf); previously on Apr 18, 2018 Upgraded to Ba3 (sf) Cl. M-3, Upgraded to Ba2 (sf); previously on Apr 18, 2018 Upgraded to B2 (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2003-NC8 Cl. B-1, Upgraded to Caa3 (sf); previously on Apr 10, 2012 Downgraded to C (sf) Cl. M-2, Upgraded to B1 (sf); previously on May 24, 2017 Upgraded to Caa1 (sf) Cl. M-3, Upgraded to B3 (sf); previously on Apr 10, 2012 Downgraded to C (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2004-HE7 Cl. M-2, Upgraded to Baa3 (sf); previously on May 24, 2017 Upgraded to Ba1 (sf) Cl. M-3, Upgraded to Ba1 (sf); previously on May 24, 2017 Upgraded to Ba3 (sf) Cl. M-5, Upgraded to Caa1 (sf); previously on Apr 1, 2013 Affirmed Ca (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2004-HE8 Cl. M-2, Upgraded to Baa3 (sf); previously on May 24, 2017 Upgraded to Ba3 (sf) Cl. M-3, Upgraded to Ba3 (sf); previously on Sep 22, 2015 Upgraded to B3 (sf) Cl. M-4, Upgraded to B3 (sf); previously on May 24, 2017 Upgraded to Caa2 (sf) Cl. M-5, Upgraded to Caa1 (sf); previously on Jun 8, 2012 Downgraded to C (sf) Cl. M-6, Upgraded to Ca (sf); previously on Jun 8, 2012 Downgraded to C (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2004-NC3 Cl. B-1, Upgraded to Caa3 (sf); previously on May 4, 2015 Downgraded to C (sf) Cl. M-2, Upgraded to Ba3 (sf); previously on May 24, 2017 Upgraded to B3 (sf) Cl. M-3, Upgraded to B3 (sf); previously on Apr 18, 2018 Upgraded to Caa2 (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2004-NC5 Cl. M-2, Upgraded to Caa2 (sf); previously on Mar 15, 2011 Downgraded to Ca (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2004-NC6 Cl. M-2, Upgraded to B1 (sf); previously on Nov 4, 2015 Upgraded to Caa1 (sf) Cl. M-3, Upgraded to Caa1 (sf); previously on Mar 15, 2011 Downgraded to Ca (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2004-NC7 Cl. M-3, Upgraded to Ba2 (sf); previously on Feb 28, 2013 Affirmed B2 (sf) Cl. M-4, Upgraded to B3 (sf); previously on Feb 28, 2013 Affirmed Ca (sf) Cl. M-5, Upgraded to Ca (sf); previously on Feb 28, 2013 Affirmed C (sf) Issuer: Morgan Stanley Dean Witter Capital I Inc. Trust 2002-AM3 Cl. B-2, Downgraded to Caa1 (sf); previously on Apr 9, 2018 Upgraded to B3 (sf) Cl. M-1, Upgraded to Baa3 (sf); previously on Jan 13, 2015 Upgraded to Ba1 (sf) Issuer: New Century Home Equity Loan Trust, Series 2003-A Cl. M-2, Upgraded to Ba1 (sf); previously on Jul 5, 2017 Upgraded to Ba2 (sf) Cl. M-3, Upgraded to Ba1 (sf); previously on Jul 5, 2017 Upgraded to B1 (sf) Issuer: NovaStar Mortgage Funding Trust, Series 2004-4 Cl. B-1, Upgraded to Caa2 (sf); previously on Mar 18, 2013 Affirmed Ca (sf) Cl. M-6, Upgraded to Aa1 (sf); previously on May 23, 2018 Upgraded to A1 (sf) Issuer: Option One Mortgage Loan Trust 2002-3 Cl. A-1, Upgraded to Aa2 (sf); previously on May 9, 2018 Upgraded to A2 (sf) Cl. A-2, Upgraded to Aa2 (sf); previously on May 9, 2018 Upgraded to A2 (sf) Cl. M-2, Upgraded to B1 (sf); previously on May 9, 2018 Upgraded to B3 (sf) Cl. M-3, Upgraded to B2 (sf); previously on May 9, 2018 Upgraded to Caa3 (sf) Issuer: Option One Mortgage Loan Trust 2003-5 Cl. M-2, Upgraded to Caa1 (sf); previously on Mar 18, 2011 Downgraded to Ca (sf) Issuer: Park Place Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2004-WCW2 Cl. M-5, Upgraded to Caa1 (sf); previously on Feb 28, 2013 Affirmed Ca (sf) Issuer: RASC Series 2001-KS3 Trust A-I-5, Upgraded to B2 (sf); previously on Jul 31, 2015 Upgraded to Caa1 (sf) A-I-6, Upgraded to B1 (sf); previously on Jul 31, 2015 Upgraded to B2 (sf) A-II, Upgraded to Aaa (sf); previously on Apr 13, 2018 Upgraded to Aa3 (sf) M-II-1, Upgraded to Ba1 (sf); previously on Apr 13, 2018 Upgraded to Ba3 (sf) M-II-2, Upgraded to Caa2 (sf); previously on Mar 30, 2011 Downgraded to C (sf) Issuer: Specialty Underwriting and Residential Finance Trust, Series 2004-BC3 Cl. B-1, Upgraded to B1 (sf); previously on May 9, 2018 Upgraded to Caa1 (sf) Cl. B-2, Upgraded to Caa1 (sf); previously on May 9, 2018 Upgraded to Ca (sf) Cl. M-1, Upgraded to A2 (sf); previously on May 9, 2018 Upgraded to Baa1 (sf) Cl. M-2, Upgraded to Ba3 (sf); previously on May 9, 2018 Upgraded to B2 (sf) RATINGS RATIONALE The rating upgrades are primarily due to improvement in pool performances and credit enhancement available to the bonds. The upgrade of Cl. M-2 from ACE Securities Corp. Home Equity Loan Trust, Series 2005-HE6 is also the result of a correction to the cash-flow model used by Moody's in rating this transaction pertaining to the allocation of excess cash-flow to reimburse losses to the bonds. The model has been corrected, and the rating action reflects this change. In addition, the cash-flow model used by Moody's in rating CHEC Loan Trust 2004-2 has been changed to correct a prior error pertaining to the allocation of excess cash-flow to reimburse losses to the bonds. Although this correction had a negative rating impact on Cl. M-4, the rating has been upgraded due to improvement in pool performance and projected loss expectations for this bond. The rating downgrades are due to the erosion of credit enhancement available to the bonds. In addition, the rating downgrade on Asset Backed Securities Corporation, Long Beach Home Equity Loan Trust 2000-LB1, Home ...s 2000-LB1 Cl. M1F is due to outstanding interest shortfalls on the bond which is not expected to be recouped as the bond has a weak reimbursement mechanism for interest shortfalls. The downgrade of Cl. B-2 from Morgan Stanley Dean Witter Capital I Inc. Trust 2002-AM3 also reflects the correction of an error. In the April 2018 rating action, the cumulative realized losses were incorrectly not taken into consideration. The rating action properly reflects the current outstanding cumulative realized loss of $1.5 million. The rating actions reflect the recent performance and Moody's updated loss expectations on the underlying pools. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in January 2017. Factors that would lead to an upgrade or downgrade of the ratings: Ratings in the US RMBS sector remain exposed to the high level of macroeconomic uncertainty, and in particular the unemployment rate. The unemployment rate fell to 3.7% in November 2018 from 4.1% in November 2017. Moody's forecasts an unemployment central range of 3.5% to 4.5% for the 2018 year. Deviations from this central scenario could lead to rating actions in the sector. House prices are another key driver of US RMBS performance. Moody's expects house prices to continue to rise in 2018. Lower increases than Moody's expects or decreases could lead to negative rating actions. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. [*] S&P Discontinues Ratings on 41 Classes From 11 CDO Transactions ------------------------------------------------------------------- S&P Global Ratings discontinued its ratings on 41 classes from 11 cash flow (CF) collateralized loan obligation (CLO) transactions. The discontinuances follow the complete paydown of the notes as reflected in the most recent trustee-issued note payment reports for each transaction: -- ACIS CLO 2013-1 Ltd. (CF CLO): optional redemption in November 2018. -- Ballyrock CLO 2013-1 Ltd. (CF CLO): optional redemption in December 2018. -- Dryden XXVIII Senior Loan Fund (CF CLO): Class X notes(i) paid down. The class A-1R, A-2R, A-3R, B-1R, B-2R and B-3R notes remain outstanding. -- Hillmark Funding Ltd. (CF CLO): optional redemption in November 2018. -- Jamestown CLO III Ltd. (CF CLO): optional redemption in August 2018. -- KVK CLO 2013-2 Ltd. (CF CLO): optional redemption in November 2018. -- KVK CLO 2014-2 Ltd. (CF CLO): optional redemption in November 2018. -- Northwoods Capital XIV Ltd. (CF CLO): optional redemption in November 2018. -- OCP CLO 2012-2 Ltd. (CF CLO): optional redemption in November 2018. -- Symphony CLO VIII L.P. (CF CLO): optional redemption in November 2018. -- Westchester CLO Ltd. (CF CLO): Class C, the senior-most tranche, has been paid down. The class D and E notes remain outstanding. (i)An "X note" within a CLO is generally a note with a principal balance intended to be repaid early in the CLO's life using interest proceeds from the CLO's waterfall. RATINGS DISCONTINUED ACIS CLO 2013-1 Ltd. Rating Class To From B NR AAA (sf) C NR AA (sf)/Watch POS D NR BBB+ (sf)/Watch POS E NR BB (sf) F NR B (sf) Combo NR AA (sf)/Watch POS Ballyrock CLO 2013-1 Ltd. Rating Class To From A NR AAA (sf) Dryden XXVIII Senior Loan Fund Rating Class To From X NR AAA (sf) Hillmark Funding Ltd. Rating Class To From C NR BBB+ (sf) D NR B+ (sf) Jamestown CLO III Ltd. Rating Class To From A-1A-R NR AAA (sf) A-1B-R NR AAA (sf) A-2A-R NR AA (sf) A-2B-R NR AA (sf) B-R NR A (sf) C NR BBB- (sf) D NR BB- (sf) KVK CLO 2013-2 Ltd. Rating Class To From A-R NR AAA (sf) B-R NR AA (sf) C-R NR A (sf) D NR BBB (sf) E NR BB (sf) KVK CLO 2014-2 Ltd. Rating Class To From A-R NR AAA (sf) B-R NR AA (sf) C-R NR A (sf) D NR BBB (sf) E NR BB (sf) Northwoods Capital XIV Ltd. Rating Class To From A-R NR AAA (sf) B-R NR AA (sf) C-R NR A (sf) D NR BBB (sf) E NR BB (sf) OCP CLO 2012-2 Ltd. Rating Class To From A1-R NR AAA (sf) B-R NR AA (sf) C-R NR A (sf) D-R NR BBB (sf) E-R NR BB- (sf) Symphony CLO VIII L.P. Rating Class To From B-R NR AAA (sf) C-R NR AAA (sf) D-R NR AA- (sf) E-R NR BBB- (sf) Westchester CLO Ltd. Rating Class To From C NR A+ (sf) NR--Not rated. [*] S&P Lowers Ratings on Seven Classes From Six U.S. RMBS Deals ---------------------------------------------------------------- S&P Global Ratings, on Dec. 21, 2018, completed its review of seven classes from six U.S. residential mortgage-backed securities (RMBS) transactions issued between 2003 and 2005. The transactions are all backed by mixed collateral. S&P lowered all seven ratings based on its interest shortfall criteria. APPLICATION OF INTEREST SHORTFALL CRITERIA S&P said, "In reviewing these ratings, 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 interest shortfalls resulting from credit or liquidity erosion. "In applying the criteria, we looked to see if the applicable class received additional compensation beyond the imputed interest due as direct economic compensation for the delay in interest payment. In instances where the class did not receive additional compensation for outstanding interest shortfalls, we used the maximum length of time until full interest is reimbursed as part of our analysis to assign the rating on the class." A list of affected ratings can be viewed at: https://bit.ly/2EOyse3 [*] S&P Puts Ratings on 28 Classes From Seven CLOs on Watch Pos. ---------------------------------------------------------------- S&P Global Ratings placed its ratings on 28 classes from seven U.S. collateralized loan obligation (CLO) transactions on CreditWatch with positive implications. S&P also placed the ratings on two tranches from another CLO on CreditWatch with negative implications. Six of these transactions were issued in 2014, and two were issued in 2013. The CreditWatch positive placements resulted from enhanced overcollateralization primarily due to paydowns to the senior classes of these CLO transactions. The CreditWatch negative placements are due to a decline in the overcollateralization available to the junior tranches of the respective transactions. S&P said, "We expect to resolve the CreditWatch placements within 90 days after we complete a comprehensive cash flow analysis and committee review for each of the affected transactions. We will continue to monitor the transactions we rate and take rating actions, including CreditWatch placements, as we deem appropriate." RATINGS PLACED ON CREDITWATCH POSITIVE OFSI Fund VII Ltd. Rating Class To From B-R AA (sf)/Watch Pos AA (sf) C-R A (sf)/Watch Pos A (sf) D-R BBB (sf)/Watch Pos BBB (sf) OHA Credit Partners IX Ltd. Rating Class To From B-1-R AA+ (sf)/Watch Pos AA+ (sf) B-2 AA+ (sf)/Watch Pos AA+ (sf) C A+ (sf)/Watch Pos A+ (sf) D-R BBB- (sf)/Watch Pos BBB- (sf) E BB– (sf)/Watch Pos BB- (sf) GLG Ore Hill CLO 2013-1 Ltd. Rating Class To From B-1 AA (sf)/Watch Pos AA (sf) B-2 AA (sf)/Watch Pos AA (sf) C-1 A (sf)/Watch Pos A (sf) C-2 A (sf)/Watch Pos A (sf) D BBB (sf)/Watch Pos BBB (sf) E BB (sf)/Watch Pos BB (sf) JFIN MM CLO 2014 Ltd. Rating Class To From B AA+ (sf)/Watch Pos AA+ (sf) C AA- (sf)/Watch Pos AA- (sf) D BBB+ (sf)/Watch Pos BBB+ (sf) E BB (sf)/Watch Pos BB (sf) OFSI Fund VI Ltd. Rating Class To From A-2R AA (sf)/Watch Pos AA (sf) B-R A (sf)/Watch Pos A (sf) C-R BBB (sf)/Watch Pos BBB (sf) D BB (sf)/Watch Pos BB (sf) Staniford Street CLO Ltd. Rating Class To From B-R AA (sf)/Watch Pos AA (sf) C-R A (Sf)/Watch Pos A (sf) Trinitas CLO I Ltd. Rating Class To From B-1R AA (sf)/Watch Pos AA (sf) B-2R AA (sf)/Watch Pos AA (sf) C-R A (sf)/Watch Pos A (sf) D BBB (sf)/Watch Pos BBB (sf) RATINGS PLACED ON CREDITWATCH NEGATIVE Trinitas CLO II Ltd. Rating Class To From E BB (sf)/Watch Neg BB (sf) F B- (sf)/Watch Neg B- (sf) [*] S&P Takes Various Actions on 13 Classes From Four US RMBS Deals ------------------------------------------------------------------- S&P Global Ratings completed its review of 13 classes from four U.S. residential mortgage-backed securities (RMBS) transactions issued by Mid-State Trusts between 2000 and 2006. All of these transactions are backed by a mix of subprime mortgage loans and residential retail installment contracts. The review yielded six downgrades and seven affirmations. 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; and -- Available subordination and/or overcollateralization. Rating Actions The affirmations of ratings reflect S&P's opinion that its projected credit support and collateral performance on these classes has remained relatively consistent with its prior projections. APPLICATION OF U.S. RMBS PRE-2009 CRITERIA FOR TRANSACTIONS THAT CONTAIN RESIDENTIAL RETAIL INSTALLMENT CONTRACTS Each of the reviewed transactions contain a portion of residential retail installment contracts, which S&P considers subprime collateral. As such, for this surveillance review, S&P applied its "U.S. RMBS Surveillance Credit And Cash Flow Analysis For Pre-2009 Originations," criteria published March 2, 2016, which address the surveillance methodology for subprime collateral originated before 2009. A list of Affected Ratings can be viewed at: https://bit.ly/2LEJ7YY [*] S&P Takes Various Actions on 38 Classes From 14 US RMBS Deals ----------------------------------------------------------------- S&P Global Ratings completed its review of 38 classes from 14 U.S. residential mortgage-backed securities (RMBS) re-securitized real estate mortgage investment conduit (re-REMIC) transactions issued between 2005 and 2010. All of these transactions are backed by prime jumbo, alternative-A, and negative amortizing collateral. The review yielded 16 upgrades, 18 affirmations and four discontinuances. Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by its projected cash flows. These considerations are based on transaction-specific performance or structural characteristics (or both) and their potential effects on certain classes. Some of these considerations include: -- Underlying collateral performance/delinquency trends; -- Historical interest shortfalls; -- Priority of principal payments; -- Proportion of re-performing loans in the pool; -- Tail risk; 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 12 ratings from one transaction by five or more notches due to increased credit support and/or due to the underlying bond performance. The upgrades on these classes reflect the classes' ability to withstand a higher level of projected losses than previously anticipated." A list of Affected Ratings can be viewed at: https://bit.ly/2RcR5hr [*] S&P Takes Various Actions on 59 Classes From 18 US RMBS Deals ----------------------------------------------------------------- S&P Global Ratings completed its review of 59 classes from 18 U.S. residential mortgage-backed securities (RMBS) transactions issued between 2001 and 2007. All of these transactions are backed by subprime collateral. The review yielded 12 upgrades, five downgrades, and 42 affirmations. 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 or missed interest payments; -- Priority of principal payments; and -- Available subordination and/or overcollateralization. Rating Actions S&P siad, "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 three ratings by six notches due to increased credit support. These classes have benefitted from failed performance triggers, which built credit support as a percentage of the classes' respective deal balance. Ultimately, we believe these classes have credit support that is sufficient to withstand projected losses at higher rating levels." A list of Affected Ratings can be viewed at: https://bit.ly/2R4nuGZ [*] S&P Takes Various Actions on 79 iShares Fixed-Income ETFs ------------------------------------------------------------- S&P Global Ratings said it has taken various actions on its fund credit quality ratings (FCQRs) and fund volatility ratings (FVRs) on 79 iShares fixed-income exchange-traded funds (ETFs). S&P said, "Following our review of the iShares funds under our FCQR criteria, we raised five ratings, lowered 12, and affirmed 62. In general, FCQR downgrades were largely driven by changes in the constituents of the underlying indices. The components of the underlying indices typically change over time depending on market conditions and issuance trends. The downgrades were not limited to any one sector, but spanned corporate bond, high yield, emerging markets, and preferred shares ETFs. We raised our FCQRs on five iShares iBonds ETFs, which are a collection of bond funds that hold a diversified portfolio of bonds with similar maturity dates and have a final payout in their maturity year. As these term portfolios move toward their expiration dates, credit quality typically improves, as credit factors within our fund credit quality matrix applied to the aggregated percentage of the fund's investments are differentiated by rating level and remaining maturity. "Following our review of the iShares funds under our FVR criteria, we raised 14 ratings, lowered two, and affirmed 63. For funds with short or no track records, we evaluated available information including a comparable ("proxy") fund, designated benchmark, or reference index performance. The FVR upgrades reflected the declining volatility of monthly returns. "For the FCQR on each fund, we first determined a preliminary FCQR through our quantitative assessment of a fund's portfolio credit risk using our fund credit quality matrix. The assessment reflects the weighted average credit risk of the portfolios of investments. We then conducted a qualitative assessment that entails a review of the investment manager's management and organization, risk management and compliance, credit culture, and credit research. "For each ETF, we conducted a portfolio risk assessment focusing on counterparty risk, concentration risk, liquidity, and the fund credit score cushion (the proximity of the preliminary FCQR to a fund rating threshold). For funds with a preliminary FCQR in our matrix that was within 10% of the lower fund rating threshold, we applied sensitivity tests. The rating sensitivity tests assess the degree to which a fund's asset portfolio exposure to the fund's largest obligor, lowest credit quality obligor, and exposure to assets on CreditWatch with negative implications could lead to a fund downgrade. Sensitivity tests resulted in a one-notch downward adjustment to the intermediate FCQRs for 13 funds, but for the majority of these, the final FCQR was an affirmation of the existing rating. By contrast, these sensitivity tests led to downgrades of four funds: iShares Broad USD Investment Grade Corporate Bond ETF, iShares iBoxx $ High Yield ex Oil & Gas Corporate Bond ETF, iShares J.P. Morgan EM Local Currency Bond ETF, and iShares Long-Term Corporate Bond ETF. "For the FVR on each fund, we first determined a preliminary FVR by assessing the historical volatility and dispersion of fund returns relative to reference indices. Next, we evaluated portfolio risk, taking into account duration, credit exposures, liquidity, derivatives, leverage, foreign currency, and investment concentration. Our assessment of portfolio risk ultimately resulted in an intermediate FVR one category weaker than the preliminary FVR for seven funds. However, for all of these, the final FVR was an affirmation of the existing rating. The majority of FVRs we raised were on iBonds ETFs, reflecting continuously declining volatility of returns as a result of decreasing duration as these funds move toward maturity. "In determining the final FCQRs and FVRs, we also compared the iShares funds with other funds that have similar portfolio strategy and composition. Here we focused on a holistic view of each fund's portfolio credit quality and characteristics relative to its peers. The comparative rating analysis did not drive any changes from the existing ratings." The investment manager, BlackRock Fund Advisors, is a wholly owned subsidiary of BlackRock Inc. (AA-/Stable/A-1+), which, as of Sept. 30, 2018, had assets under management of $6.4 trillion across equity, fixed income, cash management, alternative investment, real estate, and advisory strategies. The funds are among more than 300 investment portfolios of the iShares Trust. The trust was organized as a Delaware statutory trust on Dec. 16, 1999, and is authorized to have multiple series or portfolios. The trust is an open-end management investment company registered under the Investment Company Act of 1940 as amended. The offering of the trust's shares is registered under the Securities Act of 1933 as amended. The shares of the trust are listed and traded at market prices on national securities exchanges. State Street Bank & Trust Co. is the administrator, custodian, and transfer agent for the fund. BlackRock Investments LLC, a subsidiary of BlackRock Inc., is the fund's distributor. An S&P Global Ratings FCQR, also known as a "bond fund rating," is a forward-looking opinion about the overall credit quality of a fixed-income investment fund. FCQRs, identified by the 'f' suffix, are assigned to fixed-income funds, actively or passively managed, typically exhibiting variable net asset values. The ratings reflect the credit risks of the portfolio investments, the level of the fund's counterparty risk, and the risk of the fund's management ability and willingness to maintain current fund credit quality. Unlike traditional credit ratings (e.g., issuer credit ratings), an FCQR does not address a fund's ability to meet payment obligations and is not a commentary on yield levels. An S&P Global Ratings FVR is a forward-looking opinion about a fixed-income investment fund's volatility of returns relative to that of a "reference index" denominated in the base currency of the fund. A reference index is composed of government securities associated with the fund's base currency. FVRs are not globally comparable. S&P said, "FVRs reflect our expectation of a fund's future volatility of returns to remain consistent with its historical volatility of returns. FVRs reflect our view of a fund's sensitivity to interest rate risk, credit risk, and liquidity risk, as well as other factors that may affect returns such as use of derivatives, use of leverage, exposure to foreign currency risk, and investment concentration and fund management. We use different symbology to distinguish FVRs from our traditional issue or issuer credit ratings. We do so because FVRs do not reflect creditworthiness but rather our view of a fund's volatility of returns." S&P said, "We review pertinent fund information and portfolio reports monthly as part of our surveillance process of our fund credit quality and volatility ratings." RATINGS LIST FCQR Downgraded, FVR Affirmed/Upgraded/Downgraded To From iShares Broad USD Investment Grade Corporate Bond ETF BBB+f/S3 A-f/S3 iShares Edge U.S. Fixed Income Balanced Risk ETF BB+f/S3 BBB-f/S3 iShares iBoxx $ High Yield ex Oil & Gas Corporate Bond ETF Bf/S4 B+f/S4 iShares iBoxx $ Investment Grade Corporate Bond ETF BBB+f/S3 A-f/S3 iShares Inflation Hedged Corporate Bond ETF BBB+f/S3 A-f/S4 iShares Interest Rate Hedged Corporate Bond ETF BBB+f/S3 A-f/S3 iShares Intermediate-Term Corporate Bond ETF BBB+f/S2 A-f/S2 iShares J.P. Morgan EM Local Currency Bond ETF BBf/S5 BB+f/S4 iShares Long-Term Corporate Bond ETF BBB+f/S4 A-f/S4 iShares Short-Term National Muni Bond ETF AA-f/S2 AAf/S1 iShares U.S. Preferred Stock ETF B+f/S3 BB-f/S3 iShares iBonds Mar 2023 Term Corporate ETF BBB+f/S2 A-f/S3 FCQR Upgraded, FVR Upgraded/Affirmed To From iShares iBonds Dec 2019 Term Corporate ETF AA-f/S1+ A-f/S2 iShares iBonds Dec 2021 Term Corporate ETF A-f/S2 BB+f/S2 iShares iBonds Mar 2020 Term Corporate ETF Af/S1 A-f/S2 iShares iBonds Mar 2020 Term Corporate ex-Financials ETF Af/S1 A-f/S2 iShares iBonds Sep 2019 Term Muni Bond ETF AAAf/S1+ AAf/S2 FCQR Affirmed, FVR Raised To From iShares iBonds Dec 2020 Term Corporate ETF A-f/S1 A-f/S2 iShares iBonds Dec 2022 Term Muni Bond ETF AA-f/S2 AA-f/S3 iShares J.P. Morgan EM Corporate Bond ETF BB-f/S3 BB-f/S4 iShares Yield Optimized Bond ETF BBf/S2 BBf/S3 iShares iBonds Dec 2022 Term Corporate ETF BBB+f/S2 BBB+f/S3 iShares iBonds Dec 2023 Term Corporate ETF BBB+f/S2 BBB+f/S3 iShares iBonds Mar 2023 Term Corporate ex-Financials ETF A-f/S2 A-f/S3 iShares Ultra Short-Term Bond ETF AA-f/S1+ AA-f/S1 FCQR, FVR Affirmed iShares 0-5 Year High Yield Corporate Bond ETF Bf/S4 iShares 0-5 Year Investment Grade Corporate Bond ETF A-f/S2 iShares 0-5 Year TIPS Bond ETF AA+f/S2 iShares 10+ Year Investment Grade Corporate Bond ETF A-f/S4 iShares 10-20 Year Treasury Bond ETF AA+f/S4 iShares 1-3 Year International Treasury Bond ETF Af/S4 iShares 1-3 Year Treasury Bond ETF AA+f/S1 iShares 20+ Year Treasury Bond ETF AA+f/S5 iShares 3-7 Year Treasury Bond ETF AA+f/S2 iShares 5-10 Year Investment Grade Corporate Bond ETF BBB+f/S3 iShares 7-10 Year Treasury Bond ETF AA+f/S3 iShares Aaa - A Rated Corporate Bond ETF Af/S3 iShares Agency Bond ETF AA+f/S2 iShares Broad USD High Yield Corporate Bond ETF Bf/S4 iShares California Muni Bond ETF AA-f/S3 iShares Core 10+ Year USD Bond ETF BBBf/S4 iShares Core 1-5 Year USD Bond ETF BBB-f/S2 iShares Core 5-10 Year USD Bond ETF BBBf/S3 iShares Core International Aggregate Bond ETF Af/S3 iShares Core Total USD Bond Market ETF BBB-f/S2 iShares Core U.S. Aggregate Bond ETF A+f/S2 iShares Core U.S. Treasury Bond ETF AA+f/S3 iShares Edge High Yield Defensive Bond ETF B+f/S4 iShares Edge Investment Grade Enhanced Bond ETF BBBf/S3 iShares Emerging Markets High Yield Bond ETF B+f/S4 iShares ESG 1-5 Year USD Corporate Bond ETF A-f/S2 iShares ESG USD Corporate Bond ETF A-f/S3 iShares Fallen Angels USD Bond ETF BB-f/S4 iShares Floating Rate Bond ETF Af/S1 iShares GNMA Bond ETF AA+f/S2 iShares Government/Credit Bond ETF Af/S3 iShares iBonds Dec 2021 Term Muni Bond ETF AAf/S2 iShares iBonds Dec 2023 Term Muni Bond ETF AA-f/S3 iShares iBonds Dec 2024 Term Muni Bond ETF AA-f/S3 iShares iBonds Dec 2027 Term Corporate ETF BBB+f/S3 iShares iBonds Sep 2020 Term Muni Bond ETF AAf/S2 iShares iBoxx $ High Yield Corporate Bond ETF B+f/S4 iShares Interest Rate Hedged High Yield Bond ETF B+f/S4 iShares Intermediate Government/Credit Bond ETF Af/S2 iShares International High Yield Bond ETF BB-f/S4 iShares International Treasury Bond ETF Af/S4 iShares J.P. Morgan USD Emerging Markets Bond ETF BB-f/S4 iShares MBS ETF AA+f/S2 iShares National Muni Bond ETF AA-f/S3 iShares New York Muni Bond ETF AAf/S3 iShares Short Maturity Bond ETF Af/S1 iShares Short Treasury Bond ETF AAAf/S1+ iShares Short-Term Corporate Bond ETF A-f/S1 iShares TIPS Bond ETF AA+f/S3 iShares Treasury Floating Rate Bond ETF AA+f/S1+ iShares US & Intl High Yield Corp Bond ETF B+f/S4 iShares iBonds Dec 2024 Term Corporate ETF BBB+f/S3 iShares iBonds Dec 2025 Term Corporate ETF BBB+f/S3 iShares iBonds Dec 2026 Corporate ETF BBB+f/S3 [*] S&P Takes Various Actions on 83 Classes From 12 US RMBS Deals ----------------------------------------------------------------- S&P Global Ratings completed its review of 83 classes from 12 U.S. residential mortgage-backed securities (RMBS) transactions issued between 2003 and 2007. All of these transactions are backed by alternative-A and negative amortization loans. The review yielded 25 upgrades, 11 downgrades, and 47 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; -- Historical interest shortfalls; -- Priority of principal payments; -- Proportion of reperforming loans in the pool; 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 have remained relatively consistent with our prior projections. "We raised our ratings on 23 classes as a result of increased credit support. These classes have benefited from the failure of performance triggers and/or reduced subordinate-class principal distribution amounts, which has built credit support for these classes as a percent of their respective deal balance. Ultimately, we believe these classes have credit support that is sufficient to withstand losses at higher rating levels. "We raised our ratings on classes 15-PO and 30-PO from MASTR Alternative Loan Trust 2004-4. These two classes are principal-only securities that receive principal from stripped portions of discount loans. Per our criteria, "Methodology For Surveilling U. S. RMBS Principal-Only Strip Securities For Pre-2009 Originations," published Oct. 11, 2016, the creditworthiness of these types of classes is typically commensurate with the creditworthiness of the weakest principal and interest (P&I) senior securities in their related structures. Classes 15-PO and 30-PO have superior creditworthiness compared to the weakest P&I senior class 9-A-1. Class 9-A-1 has greater default risk as a result of two term-extended modified loans that are currently delinquent, but neither of these loans are discount loans. Therefore, classes 15-PO and 30-PO do not face the risk of the two loans defaulting and, ultimately, we de-linked their ratings from that of class 9-A-1. "We lowered our ratings on classes M-3 and B from MASTR Adjustable Rate Mortgages Trust 2004-2 after assessing the impact of missed interest payments on these classes. These downgrades are based on our cash flow projections used in determining the likelihood that the missed interest payments would be reimbursed under various scenarios because these classes receive additional compensation for outstanding missed interest payments. "We lowered our rating on class 9-A-1 from MASTR Alternative Loan Trust 2004-4 as a result of increased delinquencies. This class was originally expected to mature no later than 15 years from issuance, but two loans were modified with significant term extensions. Both of these loans have maturities well beyond class 9-A-1's original expected maturity. Both of these loans are currently delinquent, and the total balance of all other loans in group nine is insufficient to fully pay down class 9-A-1. As a result, this creates the risk of back-end defaults, and we believe class 9-A-1 has credit support that is insufficient to withstand losses at higher rating levels. "We lowered our rating on class 2A1C from Harborview Mortgage Loan Trust 2006-CB1 due to reduced interest payments resulting from loan modifications in the collateral loan pool. Of the total loans in the related pool, 65.7% have been modified, and many were modified with rate reductions. In turn, these credit events have resulted in lessened interest to class 2A1C. Per table one in our criteria, "Methodology For Incorporating Loan Modifications And Extraordinary Expenses Into U.S. RMBS Ratings," April 17, 2015, the cumulative interest reduction amount (CIRA) has exceeded the max potential rating threshold at the prior rating level, which requires a rating downgrade. Although timely payments of interest due and the ultimate payment of principal to class 2A1C are guaranteed by Freddie Mac, the amount of interest that was lost due to modifications is not guaranteed." A list of Affected Ratings can be viewed at: https://bit.ly/2Bx0ZjY ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. 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Point your Web browser to http://TCRresources.bankrupt.com/and use the e-mail address to which your TCR is delivered to login. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter is a daily newsletter co-published by Bankruptcy Creditors Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., USA. Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Valerie Udtuhan, Howard C. Tolentino, Carmel Paderog, Meriam Fernandez, Joel Anthony G. Lopez, Cecil R. Villacampa, Sheryl Joy P. Olano, Psyche A. Castillon, Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 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. 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