/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/190106.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, January 6, 2019, Vol. 23, No. 5 Headlines AIMCO CLO 2018-B: Moody's Rates $20.5MM Class E Notes 'Ba3' BENCHMARK 2018-B8: Fitch Rates $10.4MM Class G-RR Certs 'B-' BENEFIT STREET XVI: Moody's Rates $29MM Class E Notes 'Ba3' CASTLELAKE AIRCRAFT 2015-1: S&P Affirms B Rating on C Notes DBWF 2018-GLKS: Fitch Rates $86.3MM Class F Certs 'B-' HALCYON LOAN 2018-2: Moody's Rates $4.6MM Class D Notes 'B3' MARBLE POINT XIV: Moody's Rates $24.2MM Class E Notes 'Ba3' MORGAN STANLEY 2018-H4: Fitch Rates $7.96MM Class G-RR Debt 'B-' UBS COMMERCIAL 2018-C15: Fitch Rates Class E-RR Certs BB+sf [*] Moody's Takes Action on $173.8MM of RMBS Issued 2003-2006 [*] Moody's Takes Action on $50.1MM RMBS Issued 2015-2017 ********* AIMCO CLO 2018-B: Moody's Rates $20.5MM Class E Notes 'Ba3' ----------------------------------------------------------- Moody's Investors Service has assigned ratings to five classes of notes issued by AIMCO CLO, Series 2018-B. Moody's rating action is as follows: US$260,000,000 Class A Senior Secured Floating Rate Notes due 2032 (the "Class A Notes"), Assigned Aaa (sf) US$42,500,000 Class B Senior Secured Floating Rate Notes due 2032 (the "Class B Notes"), Assigned Aa2 (sf) US$19,500,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2032 (the "Class C Notes"), Assigned A2 (sf) US$25,500,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2032 (the "Class D Notes"), Assigned Baa3 (sf) US$20,500,000 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. AIMCO CLO, Series 2018-B is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of first lien senior secured loans and eligible investments, and up to 10% of the portfolio may consist of second lien loans and unsecured loans. The portfolio is approximately 75% ramped as of the closing date. Allstate Investment Management Company 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): 2780 Weighted Average Spread (WAS): 3.10% Weighted Average Coupon (WAC): 6.50% Weighted Average Recovery Rate (WARR): 47.5% Weighted Average Life (WAL): 9.05 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 AIMCO CLO, Series 2018-B 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 AIMCO CLO, Series 2018-B. 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. BENCHMARK 2018-B8: Fitch Rates $10.4MM Class G-RR Certs 'B-' ------------------------------------------------------------ Fitch Ratings has assigned the following ratings and Rating Outlooks to Benchmark 2018-B8 Mortgage Trust Pass-Through Certificates, Series 2018-B8: -- $9,994,000 class A-1 'AAAsf'; Outlook Stable; -- $102,721,000 class A-2 'AAAsf'; Outlook Stable; -- $4,487,000 class A-3 'AAAsf'; Outlook Stable; -- $115,000,000 class A-4 'AAAsf'; Outlook Stable; -- $478,261,000 class A-5 'AAAsf'; Outlook Stable; -- $23,849,000 class A-SB 'AAAsf'; Outlook Stable; -- $102,279,000 class A-S 'AAAsf'; Outlook Stable; -- $836,591,000a class X-A 'AAAsf'; Outlook Stable; -- $51,140,000a class X-B 'AA-sf'; Outlook Stable; -- $51,140,000 class B 'AA-sf'; Outlook Stable; -- $41,961,000 class C 'A-sf'; Outlook Stable; -- $23,000,000ab class X-D 'BBBsf'; Outlook Stable; -- $23,000,000b class D 'BBBsf'; Outlook Stable; -- $22,894,000bc class E-RR 'BBB-sf'; Outlook Stable; -- $22,292,000bc class F-RR 'BB-sf'; Outlook Stable; -- $10,490,000bc class G-RR 'B-sf'; Outlook Stable. The following class is not rated by Fitch: -- $40,649,462bc class NR-RR. (a) Notional amount and interest-only. (b) Privately placed and pursuant to Rule 144A. (c) Horizontal credit risk retention interest. The ratings are based on information provided by the issuer as of Dec. 26, 2018. Since Fitch published its expected ratings on Dec. 4, 2018, the balances for class A-4, class A-5, class X-D and class D were finalized. At the time that the expected ratings were assigned, the exact initial certificate balances of the class A-4 and class A-5 were unknown and expected to be within the range of $100,000,000 to $275,000,000 for class A-4 and $318,261,000 to $493,261,000 for class A-5. The final class balances for class A-4 and class A-5 are $115,000,000 and $478,261,000, respectively. The balance of class D was reduced from $23,340,000 to $23,000,000, and the notional balance of class X-D was reduced from $23,340,000 to $23,000,000. The balance of class E-RR was increased from $22,554,000 to $22,894,000. The certificates represent the beneficial ownership interest in the trust, primary assets of which are 41 loans secured by 200 commercial properties having an aggregate principal balance of $1,049,017,463 as of the cut-off date. The loans were contributed to the trust by JPMorgan Chase Bank, National Association, German American Capital Corporation, Goldman Sachs Mortgage Company and Citigroup Global Markets Realty Corporation. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 74.4% of the properties by balance, cash flow analysis of 85.7%, and asset summary reviews on 100% of the pool. KEY RATING DRIVERS Fitch Leverage: The pool's Fitch LTV of 100.7% is slightly better than the 2017 and YTD 2018 averages of 101.6% and 102.4%, respectively. The pool's Fitch DSCR of 1.19x is lower than the 2017 and YTD 2018 averages of 1.26x and 1.22x, given the slightly higher weighted average mortgage rate. Credit Opinion Loans: Five loans comprising 19.2% of the transaction received an investment-grade credit opinion. Aventura Mall (5.7%) received a credit opinion 'Asf*' on a stand-alone basis, Moffet Towers Buildings E, F & G (4.5%) received a stand-alone credit opinion of 'BBB-sf*, Workspace (3.8% of the pool) received a credit opinion of 'Asf*' on a stand-alone basis, Dumbo Heights (2.9%) received a stand-alone credit opinion of 'BBB-sf*, Moffett Towers II (2.4% of the pool balance) received a credit opinion 'BBB-sf*' on a stand-alone basis. Excluding these loans, the pool's Fitch DSCR and LTV are 1.01x and 116.1%, respectively. The Aventura Mall and Workspace loans were treated as having a 'AAAsf*' credit opinion in the context of the pool. Single-Tenant Concentration: Approximately 34.4% of the pool is backed by properties designated as single-tenant properties by Fitch, including properties backing five of the 10-largest loans. This is greater than the 2017 and YTD 2018 single-tenant property concentration averages of 19.3% and 23.4%, respectively. Weak Amortization: Twenty loans (60.5% of the pool) are full-term, interest-only, and 12 loans (16.8% of the pool) are partial interest-only. The pool is scheduled to amortize just 3.7% of the initial pool balance by maturity, which is significantly lower than the 2017 and YTD 2018 averages of 7.9% and 7.3%, respectively. RATING SENSITIVITIES For this transaction, Fitch's NCF was 12.9% below the most recent year's NOI (for properties for which a full year NOI was provided, excluding properties that were stabilizing during this period). Unanticipated further declines in property-level NCF could result in higher defaults and loss severities on defaulted loans and in potential rating actions on the certificates. Fitch evaluated the sensitivity of the ratings assigned to the Benchmark 2018-B8 certificates and found that the transaction displays average sensitivities to further declines in NCF. In a scenario in which NCF declined a further 20% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'A-sf' could result. In a more severe scenario, in which NCF declined a further 30% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB-sf' could result. BENEFIT STREET XVI: Moody's Rates $29MM Class E Notes 'Ba3' ----------------------------------------------------------- Moody's Investors Service has assigned ratings to six classes of notes issued by Benefit Street Partners CLO XVI, Ltd. Moody's rating action is as follows: US$280,000,000 Class A-1a Senior Secured Floating Rate Notes due 2032 (the "Class A-1a Notes"), Assigned Aaa (sf) US$40,000,000 Class A-1b Senior Secured Fixed Rate Notes due 2032 (the "Class A-1b Notes"), Assigned Aaa (sf) US$39,650,000 Class B Senior Secured Floating Rate Notes due 2032 (the "Class B Notes"), Assigned Aa2 (sf) US$25,400,000 Class C Senior Secured Deferrable Floating Rate Notes due 2032 (the "Class C Notes"), Assigned A2 (sf) US$30,000,000 Class D Senior Secured Deferrable Floating Rate Notes due 2032 (the "Class D Notes"), Assigned Baa3 (sf) US$29,350,000 Class E Secured Deferrable Floating Rate Notes due 2032 (the "Class E Notes"), Assigned Ba3 (sf) The Class A-1a Notes, A-1b 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. Benefit Street Partners CLO XVI 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 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 approximately 60% ramped as of the closing date. Benefit Street Partners 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 one other class of secured notes and 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: 70 Weighted Average Rating Factor (WARF): 2842 Weighted Average Spread (WAS): 3.10% Weighted Average Coupon (WAC): 7.50% Weighted Average Recovery Rate (WARR): 47.5% Weighted Average Life (WAL): 9.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2017. The Credit Rating for Benefit Street Partners CLO XVI, 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 Benefit Street Partners CLO XVI, 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. CASTLELAKE AIRCRAFT 2015-1: S&P Affirms B Rating on C Notes ----------------------------------------------------------- S&P Global Ratings affirmed its ratings on Castlelake Aircraft Securitization Trust 2015-1's class A, B, and C fixed-rate asset-backed notes. Castlelake Aircraft Securitization Trust 2015-1's issuance is an asset-backed securities (ABS) transaction backed by the AOE issuers' series A, B, and C notes, which are in turn backed by aircraft and engine-related leases, and shares or beneficial interests in entities that directly and indirectly receive aircraft portfolio leases and residual cash flows, among others. The affirmations reflect the portfolio's stable performance despite a relatively older aircraft portfolio and drop in the loan-to-value (LTV) ratio for the notes since closing. As of September 2018, the portfolio consisted of 57 assets (42 aircraft and 15 engines). The 42 aircraft include 21 narrow-body planes (16 Airbus and five Boeing aircraft); 12 wide-body planes (four A340-300s and eight B767-300ERs, six regional jets (all ERJ170-100s); and three turboprop aircraft (two DHC8s and one ATR 42-500). The 15 engines include 14 CFM56-5C4/Ps and one PW4168. This portfolio's current weighted average age is 17 years with a weighted average remaining lease term of three years. All the aircraft and engines are currently on lease to 18 lessees from 15 countries. The lower of the mean and median of the half-life base values of the portfolio as of May 2018 was $444.912 million. The LTV ratios for the A, B, and C notes, based on the depreciated aircraft values as of the November 2018 payment date, were 53.66%, 64.65%, and 69.57%, respectively. Alitalia is the top lessee in the portfolio, with an exposure of 33.25% (based on the half-life appraisals). Although the servicer confirmed that there haven't been any missed payments on Alitalia's leases, we did consider the risk of this exposure, along with the fact that the portfolio comprises relatively older (past mid-life) aircraft. According to the November 2018 payment date report, which S&P used for this analysis, the class A, B, and C notes had an outstanding balance of $228 million, $47 million, and $21 million, respectively. Since the closing date, the notes have received a combined principal repayment of $418 million, and the current total note balance is 41% of the original balance. The debt service coverage ratio was 1.88x. S&P said, "In our rating run, we observed that the class A notes had some de-minimis interest shortfalls due to re-leasing costs incurred on the engines coming off-lease, all at once. However, we ran additional scenarios assuming the re-leasing costs will be incurred in a phased manner and assuming a different sale timing. Under these scenarios, the de-minimis interest shortfall was either further reduced or completely cured. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and we will take further rating actions as we deem necessary." RATINGS AFFIRMED Castlelake Aircraft Securitization Trust 2015-1 Class Rating A A- (sf) B BBB (sf) C B (sf) DBWF 2018-GLKS: Fitch Rates $86.3MM Class F Certs 'B-' ------------------------------------------------------ Fitch Ratings has assigned the following ratings and Rating Outlooks to DBWF 2018-GLKS Mortgage Trust Commercial Mortgage Pass-Through Certificates, Series 2018-GLKS: -- $255,500,000 class A 'AAAsf'; Outlook Stable; -- $50,200,000 class B 'AA-sf'; Outlook Stable; -- $35,900,000 class C 'A-sf'; Outlook Stable; -- $55,900,000 class D 'BBB-sf'; Outlook Stable; -- $83,300,000 class E 'BB-sf'; Outlook Stable; -- $86,350,000 class F 'B-sf'; Outlook Stable. The following class is not rated by Fitch: -- $29,850,000a class HRR. Non-offered horizontal credit risk retention interest. Since Fitch published its expected ratings on Dec. 12, 2018, the balances for class F and class HRR were finalized. At the time that expected ratings were assigned, class F and class HRR balances were $86,335,000 and $29,865,000, respectively. The final class sizes for class F and class HRR are $86,350,000 and $29,850,000, respectively. Additionally, the expected ratings of two classes of interest-only certificates, class X-CP (notional balance $91,800,000) and class X-EXT (notional balance $91,800,000) have been withdrawn because the classes were removed from the final deal structure by the issuer. The DBWF 2018-GLKS Commercial Mortgage Pass-Through Certificates represent the beneficial interest in a trust that holds a single two-year floating-rate interest-only mortgage loan, subject to five one-year extension options of $597.0 million, secured by the fee interest in The JW Marriott Grande Lakes (JW) and The Ritz-Carlton Grande Lakes (RC) in Orlando, FL. Loan proceeds, along with $53.0 million of mezzanine financing, were used to facilitate the acquisition of the properties. The certificates will follow a sequential-pay structure. The ratings are based on information provided by the issuer as of Dec. 26, 2018. All classes are being privately placed pursuant to Rule 144A. KEY RATING DRIVERS Asset Quality: Fitch assigned JW and RC a property quality grade of 'A'. The collateral is situated on 500 acres at the headwaters of the Everglades. Property amenities include 263,210 square feet (sf) of indoor and outdoor meeting and event facilities, an 18-hole golf course designed by Greg Norman, a 40,000 sf, full-service spa, state-of-the-art fitness center, 15 food and beverage (F&B) venues, three pools, including the Lazy River, as well as a biking trail, tennis courts, bocce ball courts and a sand volleyball court. Good Location Near Demand Generators: JW and RC are located within Orlando's major entertainment district, within five to 15 minutes of SeaWorld Orlando, Universal Orlando Resort and Walt Disney World Resort. In addition, the property is 10 miles from the Orlando International Airport and three miles from the Orange County Convention Center (OCCC), the second largest convention center in the U.S., with 2.1 million sf of exhibition space. Stable Historical Performance and Improvement: Property occupancy, revenues and expenses have shown a high degree of consistency since at least 2013. Since 2015, operating performance has improved on both the revenue and expense side. Total revenue grew 16.0% from 2014 to October 2018. Capital Improvements: The property has benefited from $53.6 million ($33,946 per key) in capital improvements since 2015. Recent upgrades include renovation of JW's lobby/bar, repositioning of several F&B outlets, improvements to the fitness center, landscaping and other public spaces, conversion of 17,000 sf of back-office space to revenue-generating meeting space and lobby renovations. RATING SENSITIVITIES For this transaction, Fitch's net cash flow (NCF) was 11.9% below the TTM ended October 2018 NCF. Included in Fitch's presale report are numerous Rating Sensitivities that describe the potential impact given further NCF declines below Fitch's NCF. Fitch evaluated the sensitivity of the ratings for class A and found that a 30% decline would result in a downgrade to 'BBB+sf'. HALCYON LOAN 2018-2: Moody's Rates $4.6MM Class D Notes 'B3' ------------------------------------------------------------ Moody's Investors Service has assigned ratings to five classes of notes issued by Halcyon Loan Advisors Funding 2018-2 Ltd. Moody's rating action is as follows: US$263,000,000 Class A-1A Senior Secured Floating Rate Notes due 2031 (the "Class A-1A Notes"), Definitive Rating Assigned Aaa (sf) US$14,500,000 Class A-1B1 Senior Secured Floating Rate Notes due 2031 (the "Class A-1B1 Notes"), Definitive Rating Assigned Aaa (sf) US$15,000,000 Class A-1B2 Senior Secured Fixed Rate Notes due 2031 (the "Class A-1B2 Notes"), Definitive Rating Assigned Aaa (sf) US$20,700,000 Class D Senior Secured Deferrable Floating Rate Notes due 2031 (the "Class D Notes"), Definitive Rating Assigned Ba3 (sf) US$4,630,000 Class E Secured Deferrable Floating Rate Notes due 2031 (the "Class E Notes"), Definitive Rating Assigned B3 (sf) The Class A-1A Notes, the Class A-1B1 Notes, the Class A-1B2 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. Halcyon 2018-2 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 92.5% of the portfolio must consist of senior secured loans, cash, and eligible investments, and up to 7.5% of the portfolio may consist of second lien loans and unsecured loans. The portfolio is approximately 95% ramped as of the closing date. Halcyon Loan Advisors 2018-2 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 four 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 five other classes of secured notes and subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2017. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $450,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 2835 Weighted Average Spread (WAS): 3.35% Weighted Average Coupon (WAC): 7.50% Weighted Average Recovery Rate (WARR): 46.5% Weighted Average Life (WAL): 8.0 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 Halcyon Loan Advisors Funding 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 Halcyon Loan Advisors Funding 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. MARBLE POINT XIV: Moody's Rates $24.2MM Class E Notes 'Ba3' ----------------------------------------------------------- Moody's Investors Service has assigned ratings to seven classes of notes issued by Marble Point CLO XIV Ltd. Moody's rating action is as follows: US$226,000,000 Class A-1 Senior Floating Rate Notes due 2032 (the "Class A-1 Notes"), Assigned Aaa (sf) US$30,000,000 Class A-2 Senior Fixed Rate Notes due 2032 (the "Class A-2 Notes"), Assigned Aaa (sf) US$28,500,000 Class B-1 Senior Floating Rate Notes due 2032 (the "Class B-1 Notes"), Assigned Aa2 (sf) US$15,000,000 Class B-2 Senior Fixed Rate Notes due 2032 (the "Class B-2 Notes"), Assigned Aa2 (sf) US$19,500,000 Class C Mezzanine Deferrable Floating Rate Notes due 2032 (the "Class C Notes"), Assigned A2 (sf) US$24,900,000 Class D Mezzanine Deferrable Floating Rate Notes due 2032 (the "Class D Notes"), Assigned Baa3 (sf) US$24,200,000 Class E Mezzanine Deferrable Floating Rate Notes due 2032 (the "Class E Notes"), Assigned Ba3 (sf) The Class A-1 Notes, the Class A-2 Notes, the Class B-1 Notes, the Class B-2 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. Marble Point XIV is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of senior secured loans and eligible investments purchased with principal proceeds, and up to 10% of the portfolio may consist of non-senior secured loans. The portfolio is approximately 85% ramped as of the closing date. Marble Point 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 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: 60 Weighted Average Rating Factor (WARF): 2810 Weighted Average Spread (WAS): 3.40% Weighted Average Coupon (WAC): 7.50% Weighted Average Recovery Rate (WARR): 46.0% Weighted Average Life (WAL): 9.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2017. The Credit Rating for Marble Point CLO XIV 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 Marble Point CLO XIV 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. MORGAN STANLEY 2018-H4: Fitch Rates $7.96MM Class G-RR Debt 'B-' ---------------------------------------------------------------- Fitch Ratings has assigned the following ratings to Morgan Stanley Capital I Trust (MSC) commercial mortgage pass-through certificates series 2018 H-4: -- $19,100,000 class A-1 'AAAsf'; Outlook Stable; -- $32,900,000 class A-2 'AAAsf'; Outlook Stable; -- $32,600,000 class A-SB 'AAAsf'; Outlook Stable; -- $120,000,000 class A-3 'AAAsf'; Outlook Stable; -- $353,164,000 class A-4 'AAAsf'; Outlook Stable; -- $557,764,000ab class X-A 'AAAsf'; Outlook Stable; -- $64,740,000 class A-S 'AAAsf'; Outlook Stable; -- $37,849,000 class B 'AA-sf'; Outlook Stable; -- $102,589,000ab class X-B 'AA-sf'; Outlook Stable; -- $35,856,000 class C 'A-sf'; Outlook Stable; -- $26,000,000b class D 'BBB-sf'; Outlook Stable; -- $26,000,000ab class X-D 'BBB-sf'; Outlook Stable; -- $15,832,000bc class E-RR 'BBB-sf'; Outlook Stable; -- $20,916,000bc class F-RR 'BB-sf'; Outlook Stable; -- $7,968,000bc class G-RR 'B-sf'; Outlook Stable. The following class will not be rated by Fitch: -- $29,881,045bc class H-RR. (a) Notional amount and interest only. (b) Privately placed and pursuant to Rule 144A. (c) Horizontal credit risk retention interest representing at least 5% of the estimated fair value of all classes of regular certificates issued by the issuing entity. The ratings are based on information provided by the issuer as of Dec. 10, 2018. Since Fitch published its expected ratings, the balances for class A-3, class A-4, class D and class E-RR were finalized. At the time that expected ratings were assigned, the balances for classes A-3, A-4, D and E-RR were estimated at $160,000,000, $313,164,000, $25,298,000 and $16,534,000, respectively. The final class sizes for classes A-3, A-4, D and E-RR were $120,000,000, $353,164,000, $26,000,000 and $15,832,000, respectively. Furthermore, class X-D has been added to the transaction. This class is rated 'BBB-sf', which is based on the rating of class D, the referenced class that will provide cash flow to the IO. The classes reflect the final ratings and deal structure. The certificates represent the beneficial ownership interest in the trust, primary assets of which are 51 loans secured by 115 properties located throughout the United States with an aggregate principal balance of $796,806,045 as of the cut-off date. The following entities contributed loans to the trust: Morgan Stanley Mortgage Capital Holdings LLC, Argentic Real Estate Finance, LLC, Starwood Mortgage Capital, LLC, KeyBank National Association and Cantor Commercial Real Estate Lending, L.P. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 64.3% of the properties by balance, cash flow analysis of 85.6% and asset summary reviews on 100.0% of the pool. KEY RATING DRIVERS Fitch Leverage: The pool's 103.3% Fitch LTV is slightly worse than the 2017 and YTD 2018 averages of 101.6% and 101.9%, respectively. The pool's 1.17x Fitch DSCR is lower than the 2017 and YTD 2018 averages of 1.26x and 1.23x, respectively, given the slightly higher weighted average (WA) mortgage rate. Weak Amortization: Sixteen loans (47.0% of the pool) are full-term, interest only and 21 loans (31.9% of the pool) are partial interest only. Based on the scheduled balance at maturity, the pool will amortize by 6.8%, which is lower the 2017 and YTD 2018 averages of 7.9% and 7.2%, respectively. Investment-Grade Credit Opinion Loan: Only one loan, representing 7.5% of the pool, received an investment-grade credit opinion, which is lower than the 2017 and YTD 2018 averages of 11.7% and 14.0%. The second largest loan, Aventura Mall, has a stand-alone credit opinion of 'Asf*'. RATING SENSITIVITIES For this transaction, Fitch's net cash flow (NCF) was approximately 11.7% below the most recent year's NCF (for properties for which a full year NCF was provided, excluding properties where dated information has been provided). 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 MSC 2018-H4 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 '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 'AAAsf' certificates to 'BBB-sf' could result. UBS COMMERCIAL 2018-C15: Fitch Rates Class E-RR Certs BB+sf ----------------------------------------------------------- Fitch Ratings has assigned the following final ratings and Rating Outlooks to UBS Commercial Mortgage Trust 2018-C15 commercial mortgage pass-through certificates, series 2018-C15: -- $20,496,000 class A-1 'AAAsf'; Outlook Stable; -- $62,148,000 class A-2 'AAAsf'; Outlook Stable; -- $34,111,000 class A-SB 'AAAsf'; Outlook Stable; -- $170,000,000 class A-3 'AAAsf'; Outlook Stable; -- $165,779,000 class A-4 'AAAsf'; Outlook Stable; -- $452,534,000a class X-A 'AAAsf'; Outlook Stable; -- $122,022,000a class X-B 'AA-sf'; Outlook Stable; -- $63,839,000 class A-S 'AAAsf'; Outlook Stable; -- $30,708,000 class B 'AA-sf'; Outlook Stable; -- $27,475,000 class C 'A-sf'; Outlook Stable; -- $8,456,000b class D 'BBB+sf'; Outlook Stable; -- $21,444,000b class D-RR 'BBB-sf'; Outlook Stable; -- $7,273,000b class E-RR 'BB+sf'; Outlook Stable; -- $6,464,000b class F-RR 'BB-sf'; Outlook Stable; -- $6,465,000b class G-RR 'B-sf'; Outlook Stable. The following class is not rated: -- $21,819,345b class NR-RR. (a) Notional amount and interest-only. (b) Privately placed and pursuant to Rule 144A. The ratings are based on information provided by the issuer as of Dec. 27, 2018. Since Fitch published its expected ratings on Dec. 10, 2018, the following changes have occurred: 1) the expected rating on interest-only class X-D has been withdrawn because the class was removed from the final deal structure by the issuer; 2) based on the final structure of the certificates, class C is a WAC class that provides no excess cash flow that would affect the payable interest on the class X-B certificates. Fitch's rating on class X-B has been updated to 'AA-sf' to reflect the rating of the lowest referenced tranche whose payable interest has an impact on the interest-only payments. The classes reflect the final ratings and deal structure. The certificates represent the beneficial ownership interest in the trust, primary assets of which are 41 loans secured by 317 commercial properties having an aggregate principal balance of $646,477,345 as of the cut-off date. The loans were contributed to the trust by UBS AG, Societe Generale, German American Capital Corporation, Natixis Real Estate Capital LLC, CIBC, Inc. and Rialto Mortgage Finance LLC. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 60.5% of the properties by balance, cash flow analysis of 86.6% and asset summary reviews on 100.0% of the pool. KEY RATING DRIVERS Average Leverage Relative to Recent Transactions: The pool has average leverage relative to other recent Fitch-rated multiborrower transactions. The pool's Fitch DSCR of 1.21x is slightly worse than both the YTD 2018 average of 1.23x and the 2017 average of 1.26x. The pool's Fitch LTV of 99.3% is slightly better than both the YTD 2018 average of 101.9% and the 2017 average of 101.6%. Excluding the credit opinion loans, the Fitch DSCR is 1.18x and the Fitch LTV is 103.7%. Investment-Grade Credit Opinion Loans: There are two loans with investment-grade credit opinions totaling 10.1% of the pool. Great Value Storage Portfolio (8.5% of the pool) received a credit opinion of 'BBB-sf*' and Christiana Mall (1.7% of the pool) received a credit opinion of 'AA-sf*', both on a stand-alone basis. This is below the 2017 and YTD 2018 average percentage of credit opinion loans in Fitch-rated multiborrower transactions of 11.7% and 14.0%, respectively. Pool Concentration: The pool has above-average loan concentration relative to other Fitch-rated transactions. The top-10 loans make up 53.1% of the pool, which is higher than the YTD 2018 average of 50.7%, but equal to the 2017 average. The loan concentration index (LCI) of 405 is higher than the YTD 2018 average of 374 and the 2017 average of 398. Likewise, the sponsor concentration index (SCI) of 426 is higher than the YTD 2018 average of 400 and the 2017 average of 422. RATING SENSITIVITIES For this transaction, Fitch's NCF was 12.5% below the most recent year's NOI for properties, for which a full-year NOI was provided, excluding properties that were stabilizing during this period. Unanticipated further declines in property-level NCF could result in higher defaults and loss severities on defaulted loans and in potential rating actions on the certificates. Fitch evaluated the sensitivity of the ratings assigned to the UBS 2018-C15 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. [*] Moody's Takes Action on $173.8MM of RMBS Issued 2003-2006 ------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 16 tranches and downgraded the ratings of six tranches from eight transactions, backed by Alt-A, Jumbo and Scratch and Dent loans, issued by multiple issuers. Complete rating actions are as follows: Issuer: Bear Stearns Asset Backed Securities Trust 2006-3 Cl. M-1, Upgraded to B1 (sf); previously on Apr 26, 2018 Upgraded to B2 (sf) Cl. M-2, Upgraded to Caa3 (sf); previously on May 20, 2011 Downgraded to C (sf) Issuer: CWABS Asset-Backed Certificates Trust 2005-IM2 Cl. A-4, Upgraded to A3 (sf); previously on Jun 4, 2018 Upgraded to Baa3 (sf) Issuer: GSAA Home Equity Trust 2005-4 Cl. M-1, Downgraded to B1 (sf); previously on Aug 22, 2016 Upgraded to Baa3 (sf) Cl. M-2, Downgraded to B2 (sf); previously on Apr 20, 2018 Upgraded to B1 (sf) Issuer: Morgan Stanley Mortgage Loan Trust 2004-6AR Cl. 1-B-1, Upgraded to B2 (sf); previously on May 30, 2018 Upgraded to Caa1 (sf) Cl. 1-B-2, Upgraded to Caa2 (sf); previously on Jul 12, 2017 Upgraded to Ca (sf) Cl. 1-M-1, Downgraded to B1 (sf); previously on Aug 31, 2016 Upgraded to A3 (sf) Cl. 1-M-2, Downgraded to B1 (sf); previously on Jul 12, 2017 Upgraded to Ba1 (sf) Issuer: Structured Asset Securities Corp Trust 2004-16XS Cl. A4A, Upgraded to A3 (sf); previously on May 23, 2018 Upgraded to Baa2 (sf) Cl. A3A, Upgraded to Baa1 (sf); previously on May 23, 2018 Upgraded to Baa3 (sf) Cl. A4B, Upgraded to A3 (sf); previously on May 23, 2018 Upgraded to Baa2 (sf) Underlying Rating: Upgraded to A3 (sf); previously on May 23, 2018 Upgraded to Baa2 (sf) Financial Guarantor: MBIA Insurance Corporation (Affirmed at Caa1, Outlook Developing on Dec 12, 2018.) Cl. A3B, Upgraded to Baa1 (sf); previously on May 23, 2018 Upgraded to Baa3 (sf) Underlying Rating: Upgraded to Baa1 (sf); previously on May 23, 2018 Upgraded to Baa3 (sf) Financial Guarantor: MBIA Insurance Corporation (Affirmed at Caa1, Outlook Developing on Dec 12, 2018.) Issuer: Structured Asset Securities Corp Trust 2004-21XS Cl. 1-A4, Upgraded to A2 (sf); previously on May 1, 2018 Upgraded to Baa1 (sf) Cl. 1-A5, Upgraded to A1 (sf); previously on May 1, 2018 Upgraded to A3 (sf) Cl. 2-A5A, Upgraded to Aaa (sf); previously on May 1, 2018 Upgraded to Aa2 (sf) Cl. 2-A5B, Upgraded to Aaa (sf); previously on May 1, 2018 Upgraded to A1 (sf) Cl. 2-A6A, Upgraded to Aaa (sf); previously on May 1, 2018 Upgraded to Aa1 (sf) Cl. 2-A6B, Upgraded to Aaa (sf); previously on May 1, 2018 Upgraded to Aa3 (sf) Issuer: WaMu Mortgage Pass-Through Certificates Series 2003-AR7 Trust Cl. B-1, Downgraded to B1 (sf); previously on Aug 19, 2015 Upgraded to Ba2 (sf) Cl. B-2, Downgraded to Caa3 (sf); previously on Apr 11, 2012 Downgraded to Caa2 (sf) Issuer: WaMu Mortgage Pass-Through Certificates, Series 2005-AR4 Cl. A-5, Upgraded to Baa1 (sf); previously on May 7, 2018 Upgraded to Baa3 (sf) RATINGS RATIONALE The rating upgrades are primarily due to improvement in pool performances and credit enhancement available to the bonds. The rating upgrade of Cl. M-1 and Cl. M-2 from Bear Stearns Asset Backed Securities Trust 2006-3 reflect the distribution of funds pursuant to JP Morgan Settlement, which has built up the credit enhancement, and also factors in the outstanding unpaid interest shortfall on the bonds. The rating downgrades are due to the erosion of credit enhancement available to the bonds. In addition, the rating downgrades on Morgan Stanley Mortgage Loan Trust 2004-6AR Cl. 1-M-1 and Cl. 1-M-2 and GSAA Home Equity Trust 2005-4 Cl. M-1 and Cl. M-2 are due to the outstanding interest shortfalls on the bonds which are not expected to be recouped as the bonds have a weak reimbursement mechanism for interest shortfalls. The rating actions also 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. 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 Takes Action on $50.1MM RMBS Issued 2015-2017 --------------------------------------------------------- Moody's Investors Service, on December 27, 2018, has upgraded the ratings of 15 tranches from six transactions, backed by prime jumbo RMBS loans. The transactions are backed by first-lien, fully amortizing, primarily fixed-rate prime quality residential mortgage loans with strong credit characteristics. Oaks Mortgage Trust Series 2015-1 is a securitization of fixed-rate loans sourced from multiple originators, and are serviced by Cenlar FSB, New Penn Financial d/b/a Shellpoint Mortgage Servicing and PHH Mortgage Corporation, with Wells Fargo Bank, NA acting as the master servicer. Oaks Mortgage Trust Series 2015-2 is a securitization of fixed-rate loans sourced from multiple originators under Barclays, Credit Suisse and Five Oaks Acquisition Corp's aggregation platforms, and are serviced by Cenlar FSB, Select Portfolio Servicing, Inc., Shellpoint Mortgage Servicing ("SMS"), and PHH Mortgage Corporation, with Wells Fargo Bank, NA acting as the master servicer. Shellpoint Co-Originator Trust 2015-1 is a securitization of fixed-rate mortgage loans with an original term to maturity of 30 years. The loans are sourced from New Penn Financial, LLC's ("New Penn") origination platform, and from Bank of America's whole loan aggregation program, and are serviced primarily by Shellpoint Mortgage Servicing, with Wells Fargo Bank, NA acting as the master servicer. Shellpoint Co-Originator Trust 2016-1 is a two-pool Y-structure securitization of 15 and 30 year mortgages that are primarily fixed-rate. The first pool (Group 1) consists of 30-year fixed and adjustable rate mortgages (ARMs) and the second pool (Group 2)consists of all 15-year fixed rate mortgages, all serviced by Shellpoint Mortgage Servicing (SMS), with Wells Fargo Bank, NA acting as the master servicer. Shellpoint Co-Originator Trust 2017-1 is a securitization of 30 year and 15 year prime residential mortgages that are fixed and adjustable rate mortgages originated by various originators. Shellpoint Mortgage Servicing is the primary servicer, with Wells Fargo Bank, NA acting as the master servicer. Shellpoint Co-Originator Trust 2017-2 is a securitization of 30-year prime residential mortgages that are primarily fixed rate mortgages. Shellpoint Mortgage Servicing is the primary servicer, with Wells Fargo Bank, NA acting as the master servicer. Complete rating actions are as follows: Issuer: Oaks Mortgage Trust Series 2015-1 Cl. B-3, Upgraded to Aa1 (sf); previously on Apr 24, 2018 Upgraded to Aa2 (sf) Cl. B-4, Upgraded to Aa3 (sf); previously on Apr 24, 2018 Upgraded to A2 (sf) Cl. B-5, Upgraded to A3 (sf); previously on Apr 24, 2018 Upgraded to Baa2 (sf) Issuer: Oaks Mortgage Trust Series 2015-2 Cl. B-3, Upgraded to Aa3 (sf); previously on May 4, 2018 Upgraded to A1 (sf) Cl. B-4, Upgraded to A2 (sf); previously on May 4, 2018 Upgraded to Baa1 (sf) Cl. B-5, Upgraded to Baa3 (sf); previously on May 4, 2018 Upgraded to Ba1 (sf) Issuer: Shellpoint Co-Originator Trust 2015-1 Cl. B-4, Upgraded to A1 (sf); previously on May 4, 2018 Upgraded to A2 (sf) Issuer: Shellpoint Co-Originator Trust 2016-1 Cl. B-2, Upgraded to Aa3 (sf); previously on May 4, 2018 Upgraded to A1 (sf) Cl. B-3, Upgraded to A2 (sf); previously on May 4, 2018 Upgraded to A3 (sf) Cl. B-4, Upgraded to Baa2 (sf); previously on May 4, 2018 Upgraded to Baa3 (sf) Issuer: Shellpoint Co-Originator Trust 2017-1 Cl. B-1, Upgraded to Aa2 (sf); previously on Mar 31, 2017 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to A1 (sf); previously on Mar 31, 2017 Definitive Rating Assigned A2 (sf) Cl. B-3, Upgraded to Baa1 (sf); previously on Mar 31, 2017 Definitive Rating Assigned Baa2 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on Mar 31, 2017 Definitive Rating Assigned Ba2 (sf) Issuer: Shellpoint Co-Originator Trust 2017-2 Cl. B-3, Upgraded to A3 (sf); previously on Sep 29, 2017 Definitive Rating Assigned Baa1 (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 actions reflect the recent strong performance of the underlying pools with minimal, if any, serious delinquencies to date. As of October 2018, there was one loan in Shellpoint Co-Originator Trust 2016-1 transaction which was 60 days or more delinquent. We 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. Its loss expectations on the pools also incorporates its assessment of the strength of the representations and warranties framework, third party reviews received at the time of issuance, and the strength of the transaction's originators and servicers. The transactions cash flows follow a shifting interest structure that allows subordinated bonds to receive principal payments under certain defined scenarios. As a shifting interest structure allows subordinated bonds to pay down, over time senior bonds are exposed to increased performance volatility as fewer loans remain in pool. The transactions provide for a credit enhancement floor to the senior bonds which mitigates this tail risk by protecting the senior bonds from eroding credit enhancement over time. 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: Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers public debt and equity securities about which we report. 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Villacampa, Sheryl Joy P. Olano, Psyche A. Castillon, Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2019. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. The TCR subscription rate is $975 for 6 months delivered via e-mail. Additional e-mail subscriptions for members of the same firm for the term of the initial subscription or balance thereof are $25 each. For subscription information, contact Peter A. Chapman at 215-945-7000. *** End of Transmission ***