/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/190113.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 13, 2019, Vol. 23, No. 12 Headlines COMM MORTGAGE 2000-C1: Fitch Cuts Class G Certs Rating to CC GE COMMERCIAL 2005-C2: Fitch Affirms BB Rating on Class J Certs JP MORGAN 2006-CIBC15: Fitch Affirms CCCsf Rating on Cl. A-M Certs JP MORGAN 2012-C6: Fitch Affirms BBsf Rating on Class G Certs LB-UBS COMMERCIAL 2007-C7: Fitch Affirms Class C Notes at CCsf ML-CFC COMMERCIAL 2007-6: Fitch Cuts Ratings on 3 Tranches to C NRMLT TRUST 2019-1: DBRS Assigns Prov. BB Rating on 7 Note Classes RFC CDO 2006-1: Fitch Lowers $3.2MM Class B Debt to Dsf SDART 2018-1: Fitch Affirms BBsf Rating on Class E Debt SEQUIOA MORTGAGE 2019-1: Moody's Gives (P)Ba3 Rating to B-4 Certs TIDEWATER AUTO 2016-A: S&P Hikes Class E Notes Rating to BB+ WACHOVIA BANK 2004-C12: Fitch Lowers Class H Certs Rating to Bsf Z CAPITAL CREDIT 2018-1: Moody's Rates $25MM Class E Notes 'Ba3' ********* COMM MORTGAGE 2000-C1: Fitch Cuts Class G Certs Rating to CC ------------------------------------------------------------ Fitch Ratings has downgraded one class and affirmed the remaining classes of COMM Mortgage Trust commercial mortgage pass-through certificates series 2000-C1. KEY RATING DRIVERS Losses Are Probable; Insufficient Credit Enhancement: The one remaining loan is collateralized by a vacant former Carson Pirie Scott (Bon-Ton) located in Bloomingdale, IL. The former single tenant's triple net lease was rejected after Bon-Ton filed for Chapter 11 bankruptcy. The loan transferred to special servicing on Feb. 22, 2018 and is now 90+ days delinquent as the former tenant is no longer paying rent. The transaction has paid down 99% since issuance, to $8.2 million from $897.9 million. Interest shortfalls totaling $5.2 million have affected classes G though O. While credit enhancement to class G remains high, losses are possible if the loan defaults at maturity. Concentrated Pool; Alternative Loss Consideration: The pool is highly concentrated with only one loan remaining. Due to the concentrated nature of the pool, Fitch performed a sensitivity analysis that determined the likelihood of recovery and probability of loss of the one remaining loan. The ratings reflect this sensitivity analysis. Losses on class G are considered 'probable'. Vacant Property: The collateral is a 147,000 square foot retail property located in Bloomingdale, IL and was 100% leased to Carson Pirie Scott, a subsidiary of Bon-Ton, on an absolute net basis. The store is located within the Stratford Square Mall, which has current anchor tenants including Sears, Kohl's, Burlington Coat Factory and Round One. There are two vacant anchors formerly occupied by Macy's and JC Penney, which left the property in 2017 and 2014, respectively. After Bon Ton's bankruptcy filing, the loan became delinquent is now past due 90+ days. The property is vacant. Per the special servicer, the borrower is negotiating with the tenant, and the special servicer is pursuing foreclosure. RATING SENSITIVITIES Further downgrades to class G are possible if the value and recovery prospects on the collateral decline. As the loan is in default, upgrades are unlikely. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third-party due diligence was provided or reviewed in relation to this rating action. Fitch has downgraded the following class and assigns a recovery estimate as follows: -- $1.8 million class G to 'CCsf' from 'CCCsf'; RE 100%. Fitch has affirmed the following classes: -- $6.4 million class H at 'Dsf'; RE revised to 10% from 60%; -- $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%. Fitch does not rate the class O notes and previously withdrew the ratings on the X notes. Classes A-1, A-2, B, C, D, E and F notes have paid in full. GE COMMERCIAL 2005-C2: Fitch Affirms BB Rating on Class J Certs --------------------------------------------------------------- Fitch Ratings has affirmed four classes of GE Commercial Mortgage Corporation commercial mortgage pass-through certificates series 2005-C2. KEY RATING DRIVERS Concentrated Pool; Rating Cap: The pool is highly concentrated with only one real-estate owned asset (REO; 69.3% of pool) and one performing loan (30.7%) remaining. The rating of class J was capped at 'BBsf' based upon the credit quality of the remaining pool. High Credit Enhancement: Credit enhancement of class J has increased since Fitch's last rating action due to continued scheduled amortization. As of the December 2018 distribution date, the pool has been reduced by 99.4% to $10.7 million from $1.8 billion at issuance. Realized losses totalled 2.8% of the original pool balance. Cumulative interest shortfalls totalling $3.4 million are currently affecting classes K through M and classes P and Q. Stable Loss Expectations: Performance and loss expectations on the two remaining loans/assets have remained stable since Fitch's last rating action. The largest remaining asset, Salisbury Barnes and Noble (69.3% of pool), a 44,264 sf neighborhood retail center in Salisbury, MD, has been REO since April 2016. The loan transferred to special servicing in May 2015 for maturity default after the borrower was unable to refinance the loan due to occupancy declines. Property occupancy has remained stable at 79% since November 2016. The special servicer has not yet marketed the asset for sale as the leasing agent continues to lease up the vacancies at the property. Approximately $1.015 million is being held for future capital expenditures and tenant improvements. The performing loan, Su Casa (30.7%), is secured by a 75,005 sf grocery anchored neighborhood retail center in Phoenix, AZ. The property was 100% occupied as of the September 2018 rent roll. The grocer anchor, Los Altos Ranch Market, which occupies 63% of the property square footage, has a lease expiration in 2029, which is four years past loan maturity. The loan is fully amortizing and is scheduled to mature in May 2025. Undercollateralization: The affirmation of classes K and L at 'Dsf' reflects the transaction being undercollateralized by $905,584. RATING SENSITIVITIES The Stable Outlook on class J reflects the high credit enhancement of the class and expected continued paydown. A future upgrade is unlikely due to pool concentration. A downgrade is possible if performance of the performing loan deteriorates significantly. Fitch has affirmed the following classes: -- $844,163 class J at 'BBsf'; Outlook Stable; -- $9.3 million class K at 'Dsf'; RE 60%; -- $515,884 class L at 'Dsf'; RE 0%; -- $0 class M at 'Dsf'; RE 0%. The class A-1, A-2, A-3, A-AB, A-4, A-1A, A-J, B, C, D, E, F, G and H certificates have paid in full. Fitch does not rate the class N, O, P and Q certificates. Fitch previously withdrew the ratings on the interest-only class X-C and X-P certificates. JP MORGAN 2006-CIBC15: Fitch Affirms CCCsf Rating on Cl. A-M Certs ------------------------------------------------------------------ Fitch Ratings has affirmed 15 distressed classes of JP Morgan Chase Commercial Mortgage Securities Corp commercial mortgage pass-through certificates series 2006-CIBC15. KEY RATING DRIVERS Concentrated Pool, Significant Expected Losses: The transaction is very concentrated with only 14 loan interests/assets remaining. The majority of the pool (76.3%) is in special servicing, including 75.8% real estate owned (REO). Losses are expected to be substantial on these assets. Due to the concentrated nature of the pool, Fitch performed a look through analysis to the underlying pool, which grouped the remaining loans based on the likelihood of repayment and credit characteristics, and factored in the expected losses on the REO assets. The 'CCCsf' rating of class A-M reflects the credit quality of the remaining pool. The outstanding pool collateral includes nine REO properties/portfolios comprised of one hotel (16.5%), two industrial properties/portfolios (27.8%), five retail properties/portfolios (27.7%) and one mixed use property (3.9%). An additional loan (0.5%), which is secured by an office property fully leased to the GSA, recently transferred to special servicing due to non-monetary default. There are four performing loans (23.7% of the pool) remaining in in the pool, all of which are secured by properties leased to single tenants, although one appears to be vacant (1.5%). All performing loans are amortizing with one fully amortizing (6.2%). The largest REO asset is the Marriott Jackson, a 303-room full service hotel located in Jackson, MS. The servicer reported a negative NOI DSCR of -0.21x for YE 2017. The loan transferred to specially servicing due to maturity default in June 2016, the loan became REO in April 2017. The hotel was built in 1979 and had its roof replaced last year. The property is currently listed for sale. Increased Credit Enhancement: As of the December 2018 distribution date, the transaction had been reduced by 93.3% to $142.4 million from $2.1 billion at issuance. While credit enhancement to class A-M has improved over the last year from the partial to full payoff of three loans, losses to class A-J over the period have been substantial. Over the year, class A-J has been written down by more than $20 million from realized losses associated with a loan disposition, reimbursements on servicer advances and the recovery of a workout-delayed reimbursement amount (WODRA) from principal collections. RATING SENSITIVITIES The 'CCCsf' rating on class A-M could be subject to upgrade should the transaction receive stronger than expected recoveries on the specially serviced assets. Downgrade to the class is also possible as the ultimate recoveries of specially serviced loans become more certain. 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: -- $57.8 million class A-M at 'CCCsf'; RE 100%. -- $84.6 million class A-J at 'Dsf'; RE 20%; -- $0 class B at 'Dsf'; RE 0%; -- $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%. Classes A-1 through A-4 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 2012-C6: Fitch Affirms BBsf Rating on Class G Certs ------------------------------------------------------------- Fitch Ratings has affirmed 11 classes of J.P. Morgan Chase Commercial Mortgage Securities Trust, commercial mortgage pass-through certificates, series 2012-C6. KEY RATING DRIVERS Increased Credit Enhancement; Defeasance of Largest Loan: Credit enhancement has increased since issuance due to loan payoffs, defeasance and continued amortization. Since Fitch's last rating action, one loan ($10.8 million) was repaid in March 2018 prior to its 2026 scheduled maturity date. Additionally, the servicer has confirmed that the largest loan, 200 Public Square (14.2% of pool), was defeased in December 2018 and will be reflected at the next January 2019 distribution date. The majority of the pool (29 loans; 86.5% of pool) is currently amortizing. Seven loans (13.5% of pool) are full-term interest-only. As of the December 2018 distribution date, the pool's aggregate principal balance has been reduced by 27.2% to $825.5 million from $1.1 billion at issuance. The pool has experienced $2.9 million (0.3% of original pool balance) in realized losses since issuance from the disposition of the 317 6th Avenue loan by discounted payoff in February 2017. Improved Loss Expectations: Fitch's loss expectations have improved since the last rating action, mainly due to positive leasing momentum for two of the top 15 loans. The collateral JCPenney anchor at the Arbor Place Mall (13.2% of pool) recently extended its lease for an additional five years through October 2023. Occupancy at the Continental Executive Parke property (3%) will improve to approximately 89% in January 2019 from 63% as of June 2018 due to a newly executed lease with an existing tenant, Baxter Credit Union (BCU). The remaining pool continues to exhibit relatively stable performance since issuance. There are currently no specially serviced loans. Fitch Loans of Concern: Fitch has designated six loans (12.4% of pool) as Fitch Loans of Concern (FLOCs), including three top 15 loans (8.6%). The eighth largest loan, Oak Ridge Office Portfolio (3%), faces significant upcoming lease rollover in 2019 that includes the portfolio's two largest tenants. Although property occupancy for the ninth largest loan, Continental Executive Parke (3%), will improve from the new lease with BCU, Fitch continues to monitor performance and cash flow as the new lease includes a 16-month rent abatement period. The property is located in a high vacancy submarket. The 11th largest loan, Southlake Corners (2.5%), has over half of the total property square footage with expiring leases in the next two years, including the largest tenant, which is on a short-term lease through June 2019 and was a replacement tenant after Toys R Us/Babies R Us closed its store. The FLOCs outside of the top 15 (combined 3.9%) were flagged for occupancy and cash flow declines and the occurrence of a servicing trigger event. Alternative Loss Considerations: Although overall pool loss expectations have improved since the last rating action, Fitch has concerns with the refinancibility of two large retail loans, Arbor Place Mall (14.2% of pool) and Northwoods Mall (7.9%). Both malls are sponsored by CBL & Associates Properties, Inc. (BB-sf/Outlook Negative) and have exposure to weak anchor tenants and overall low inline and/or anchor sales. In addition to modeling a base case loss, Fitch applied a 25% loss severity on the maturity balance of the Arbor Place Mall loan to account for outsized losses should the loan have difficulty refinancing at maturity, given the collateral JCPenney anchor has a lease expiring one year after loan maturity and overall low anchor sales. Although Fitch does not foresee immediate default risk, the mall also has exposure to Sears as a non-collateral anchor and the lease with the second largest collateral tenant, Regal Cinemas, is scheduled to roll in October 2019. Fitch applied a 15% loss severity on the maturity balance of the Northwoods Mall loan to account for outsized losses should the loan have difficulty refinancing at maturity. Fitch applied a 50% loss severity on the current balance of the Southlake Corners loan to address concerns with potential future declines in performance due to significant upcoming lease rollover concerns and uncertainty surrounding the largest tenant. The rating affirmations and Negative Rating Outlook for classes G and H reflect this scenario. Pool Concentrations: Loans secured by retail properties comprise 42.6% of the current pool by balance and include five of the top 15 loans (29.1%), two of which are secured by regional mall loans (21.1%) that have the same sponsor, CBL & Associates Properties, Inc. Loans secured by office properties comprise 20.8% of the current pool balance, including four of the top 15 loans (20.8%). RATING SENSITIVITIES The Negative Rating Outlook on classes G and H reflects additional sensitivity analysis and potential downgrade concerns should performance of the FLOCs, primarily the Southlake Corners loan, continue to deteriorate, or should the Arbor Place Mall and/or Northwoods Mall loans face difficulty in refinancing at maturity. The Stable Rating Outlooks for classes A-3 through F reflect increasing credit enhancement and expected continued paydown. Future upgrades will be limited due to the high retail concentration and limited upcoming loan maturities, but 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: -- $415.4 million class A-3 at 'AAAsf'; Outlook Stable; -- $72.7 million class A-SB at 'AAAsf'; Outlook Stable; -- $99.2 million class A-S at 'AAAsf'; Outlook Stable; -- $587.4 million class X-A* at 'AAAsf'; Outlook Stable; -- $56.7 million class B at 'AAsf'; Outlook Stable; -- $25.5 million class C at 'A+sf'; Outlook Stable; -- $28.3 million class D at 'A-sf'; Outlook Stable; -- $55.3 million class E at 'BBB-sf'; Outlook Stable; -- $1.4 million class F at 'BBB-sf'; Outlook Stable; -- $15.6 million class G at 'BBsf'; Outlook Negative; -- $18.4 million class H at 'Bsf'; Outlook Negative. * Notional amount and interest-only. The class A-1 and A-2 certificates have paid in full. Fitch does not rate the interest-only class X-B or class NR certificates. LB-UBS COMMERCIAL 2007-C7: Fitch Affirms Class C Notes at CCsf -------------------------------------------------------------- Fitch Ratings has affirmed 14 classes of LB-UBS Commercial Mortgage Trust commercial mortgage pass-through certificates, series 2007-C7. KEY RATING DRIVERS Deterioration of Credit Enhancement: Credit enhancement for class D has deteriorated since Fitch's prior rating action due to $24.1 million in losses that were realized by the trust when Bucks Town Corporate Center and 101 West Avenue were liquidated at a loss in October and May 2018, respectively. Two other loans, totaling $5 million, have paid in full since Fitch's prior rating action. Paydown from amortization, liquidations, or paid in full loans has contributed to the stable credit enhancement for class C. As of the December 2018 distribution, the pool has been reduced by 97.9% to $67.5 million from $3.17 billion at issuance. There have been $241.9 million in realized losses, accounting for 7.6% of the original pool balance. Cumulative interest shortfalls of $40.7 million are currently impacting classes D through T. Loss Expectations Remain High: The affirmations are the result of relatively stable loss expectations for the remaining assets in the transaction. Of the remaining assets, nearly 91% are in special servicing. Proceeds from the disposition and/or repayment of the remaining specially serviced assets and performing Fitch Loans of Concern are not expected to be sufficient to pay class C. Pool Concentration/Adverse Selection: The transaction is highly concentrated with only seven of the original 102 loans remaining. Due to the pool's concentrated nature, 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. High Specially Serviced Loan Concentration: Of the seven remaining loans, three (46.5% of the pool balance) are Real Estate Owned(REO), two (43.4%) are in foreclosure, and the two performing loans (10.1%) have been designated as Fitch Loans of Concern. The largest remaining loan, Fairfield Shopping Center (38.7%), transferred to special servicing in October 2017 when the borrower was not able to refinance the loan at maturity. The collateral consists of a 240,471 sf shopping center built in 1977 and located in Virginia Beach, VA. A receiver was appointed in March 2018 and the special servicer is pursuing foreclosure. Other specially serviced loans and REO assets include Soundview Marketplace (28.2%), a Target-anchored shopping center in Port Washington, NY where the special servicer is working to lease up and stabilize the asset; Discovery Office (15.3%), a suburban office property in Schaumberg, IL that is almost entirely vacant; River Plaza (4.7%), a retail convenience center in Muncie, IN with historically low occupancy and DSCR; and CVS Pharmacy - Rocky Hill (3.0%), a retail property in Rocky Hill, CT where CVS, the single tenant, is likely to vacate upon their lease expiration in November 2019. Fitch Loans of Concern: The two performing loans in the pool have been designated as Fitch Loans of Concern. Comfort Inn & Country Inn Portfolio (9.2%) is a two-property, limited service hotel portfolio in Maine. The loan was modified in August 2017 extending the maturity date to July 2024, reducing the interest rate, and creating a hope note. The portfolio experiences significant seasonality and occupancy and NOI have declined over the life of the loan. 1350 South King Street (0.9%) is an office building in Honolulu, HI with low occupancy and negative cash flow. RATING SENSITIVITIES 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 assets. Upgrades are unlikely given the concentrated nature of the pool and the adverse selection of the remaining collateral. Downgrades to the remaining distressed classes are possible as losses are realized or if loans fail to repay at maturity. 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: -- $28.0 million class C notes at 'CCsf' RE 95%; -- $23.8 million class D notes at 'Csf' RE 0%; -- $15.7 million class E notes at 'Dsf' RE 0%; -- $0 class F notes at 'Dsf' RE 0%; -- $0 class G notes at 'Dsf' RE 0%; -- $0 class H notes at 'Dsf' RE 0%; -- $0 class J notes at 'Dsf' RE 0%; -- $0 class K notes at 'Dsf' RE 0%; -- $0 class L notes at 'Dsf' RE 0%; -- $0 class M notes at 'Dsf' RE 0%; -- $0 class N notes at 'Dsf' RE 0%; -- $0 class P notes at 'Dsf' RE 0%; -- $0 class Q notes at 'Dsf' RE 0%; -- $0 class S notes at 'Dsf' RE 0%. The class A-1, A-2, A-AB, A-3, A-1A, A-M, A-J and B certificates have been paid in full. Fitch does not rate the class T certificates. Fitch previously withdrew the ratings on the interest only class X-CP, X-W, and X-CL certificates. ML-CFC COMMERCIAL 2007-6: Fitch Cuts Ratings on 3 Tranches to C --------------------------------------------------------------- Fitch Ratings has affirmed 12 and downgraded three classes of ML-CFC Commercial Mortgage Trust commercial mortgage pass-through certificates series 2007-6. KEY RATING DRIVERS Loss Expectations Remain High: The affirmation of class AM is the result of relatively stable loss expectations for the remaining assets in the transaction. Of the remaining assets, 99% are in special servicing or have been previously modified. Losses are expected to reach the AJ classes due to high expected losses on the Blackpoint Puerto Rico Retail loan given the damage from Hurricane Maria and ongoing litigation along with no recoveries expected on the MSKP Retail Portfolio B notes. Insufficient Credit Support: Although credit enhancement to class AM has increased due to pay down from liquidations and maturing loans, the credit enhancement for class AJ has decreased due to approximately $95 million in realized losses and remains insufficient relative to Fitch's expected loss. The transaction is highly concentrated with only four of the original 149 loans remaining and losses are expected through the AJ class. As of the December 2018 remittance report, the pool has been reduced by 82.7% to $371 million from $2.1 billion at issuance. There have been $155 million in realized losses, accounting for 7.2% of the original pool balance. Cumulative interest shortfalls in the amount of $63.2 million are currently impacting classes AJ through Q. Concentrated Pool: The pool is highly concentrated with only four loans remaining including two performing loans that have been bifurcated into A and B notes (76%), one loan in foreclosure (22.8%), and one performing loan (1.2%). The pool consists of 98.8% retail properties. 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 sensitivity analysis, and losses are expected to impact class AJ. The specially-serviced Blackpoint Puerto Rico Retail Portfolio (22.8%) is secured by six retail properties located within the greater San Juan, Puerto Rico area. The portfolio properties range from two to 20 miles from the city of San Juan, and three of the six properties are supermarket anchored. The loan was transferred to the special servicer in February 2012 prior to Hurricane Maria due to declining performance. The portfolio was approximately 67% occupied as of September 2016 with a 1.06x NOI DSCR. According to the servicer there is ongoing litigation, the extent of the litigation cost is unknown at this time. The properties are all operating with some hurricane damage. MSKP Retail Portfolios: 76% of the remaining pool consists of the MSKP Retail Portfolio A and MSKP Retail Portfolio B. The two portfolios consist of 10 retail centers located throughout Florida. Both loans were returned from the special servicer in October 2012 after being modified with a maturity extension to March 2019, extended IO periods, and both were split into an A and B note. As of September 2018, the MSKP Retail Portfolio A has a NOI DSCR of 1.51x with an 85% occupancy and MSKP Retail Portfolio B has a NOI DSCR of 1.38x with a 93% occupancy. The performance of the MSKP Retail Portfolio B has improved since YE 2017 with occupancy increasing to 93% from 75% due to the opening of a Publix Supermarket in 2018. Fitch assumed a 100% loss severity on the B Notes. RATING SENSITIVITIES The Outlook on class AM remains Negative based on the quality of the remaining assets including ongoing litigation on the specially serviced asset. 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 assets or previously modified loans. The distressed classes may be subject to further downgrades as additional losses are realized. Upgrades are not expected but are possible if loan recoveries are significantly better than expected and/or litigation is resolved. Fitch has downgraded the following classes: -- $107.4 million class AJ to 'Csf' from 'CCCsf'; RE 30%; -- $42.9 million class B to 'Csf' from 'CCsf', RE 0%; -- $16.1 million class C B to 'Csf' from 'CCsf'; RE 0%. Fitch has affirmed the following classes: -- $97 million class AM at 'Bsf'; Outlook Negative; -- $32.7 million 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%. Classes A-1, A-2, A-2FL, A-3, A-4, and A-1A have paid in full. Fitch does not rate the class Q certificates. Fitch previously withdrew the rating on AJ-FL and the interest-only class X certificates. NRMLT TRUST 2019-1: DBRS Assigns Prov. BB Rating on 7 Note Classes ------------------------------------------------------------------ DBRS, Inc. assigned provisional ratings to the following Mortgage-Backed Notes, Series 2019-1 (the Notes) to be issued by New Residential Mortgage Loan Trust 2019-1 (NRMLT or the Trust): -- $175.0 million Class A-1 at AAA (sf) -- $175.0 million Class A-IO at AAA (sf) -- $175.0 million Class A-1A at AAA (sf) -- $175.0 million Class A-1B at AAA (sf) -- $175.0 million Class A1-IOA at AAA (sf) -- $175.0 million Class A1-IOB at AAA (sf) -- $197.7 million Class A-2 at AAA (sf) -- $175.0 million Class A at AAA (sf) -- $22.7 million Class B-1 at AAA (sf) -- $22.7 million Class B1-IO at AAA (sf) -- $22.7 million Class B-1A at AAA (sf) -- $22.7 million Class B-1B at AAA (sf) -- $22.7 million Class B-1C at AAA (sf) -- $22.7 million Class B1-IOA at AAA (sf) -- $22.7 million Class B1-IOB at AAA (sf) -- $9.9 million Class B-2 at AA (sf) -- $9.9 million Class B2-IO at AA (sf) -- $9.9 million Class B-2A at AA (sf) -- $9.9 million Class B-2B at AA (sf) -- $9.9 million Class B-2C at AA (sf) -- $9.9 million Class B2-IOA at AA (sf) -- $9.9 million Class B2-IOB at AA (sf) -- $20.4 million Class B-3 at A (sf) -- $20.4 million Class B3-IO at A (sf) -- $20.4 million Class B-3A at A (sf) -- $20.4 million Class B-3B at A (sf) -- $20.4 million Class B-3C at A (sf) -- $20.4 million Class B3-IOA at A (sf) -- $20.4 million Class B3-IOB at A (sf) -- $19.8 million Class B-4 at BBB (sf) -- $19.8 million Class B-4A at BBB (sf) -- $19.8 million Class B-4B at BBB (sf) -- $19.8 million Class B-4C at BBB (sf) -- $19.8 million Class B4-IOA at BBB (sf) -- $19.8 million Class B4-IOB at BBB (sf) -- $19.8 million Class B4-IOC at BBB (sf) -- $13.3 million Class B-5 at BB (sf) -- $13.3 million Class B-5A at BB (sf) -- $13.3 million Class B-5B at BB (sf) -- $13.3 million Class B-5C at BB (sf) -- $13.3 million Class B5-IOA at BB (sf) -- $13.3 million Class B5-IOB at BB (sf) -- $13.3 million Class B5-IOC at BB (sf) -- $7.9 million Class B-6 at B (sf) -- $7.9 million Class B-6A at B (sf) -- $7.9 million Class B-6B at B (sf) -- $7.9 million Class B-6C at B (sf) -- $7.9 million Class B6-IOA at B (sf) -- $7.9 million Class B6-IOB at B (sf) -- $7.9 million Class B6-IOC at B (sf) -- $41.1 million Class B-8 at B (sf) Classes A-IO, A1-IOA, A1-IOB, B1-IO, B1-IOA, B1-IOB, B2-IO, B2-IOA, B2-IOB, B3-IO, B3-IOA, B3-IOB, B4-IOA, B4-IOB, B4-IOC, B5-IOA, B5-IOB, B5-IOC, B6-IOA, B6-IOB, and B6-IOC are interest-only notes. The class balances represent notional amounts. Classes A-1A, A-1B, A1-IOA, A1-IOB, A-2, A, B-1A, B-1B, B-1C, B1-IOA, B1-IOB, B-2A, B-2B, B-2C, B2-IOA, B2-IOB, B-3A, B-3B, B-3C, B3-IOA, B3-IOB, B-4A, B-4B, B-4C, B4-IOA, B4-IOB, B4-IOC, B-5A, B-5B, B-5C, B5-IOA, B5-IOB, B5-IOC, B-6A, B-6B, B-6C, B6-IOA, B6-IOB, B6-IOC and B-8 are exchangeable notes. These classes can be exchanged for combinations of initial exchangeable notes as specified in the offering documents. The AAA (sf) ratings on the Notes reflect the 30.25% of credit enhancement provided by subordinated notes in the pool. The AA (sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings reflect 26.75%, 19.55%, 12.55%, 7.85% and 5.05% of credit enhancement, respectively. Other than the specified classes above, DBRS does not rate any other classes in this transaction. This transaction is a securitization of a portfolio of seasoned performing and re-performing first-lien residential mortgages. The Notes are backed by 2,484 loans with a total principal balance of $283,390,635 as of the Statistical Calculation Date (December 1, 2018). The loans are significantly seasoned with a weighted-average age of 164 months. As of the Statistical Calculation Date, 95.8% of the pool is current, 4.2% is 30 days delinquent under the Mortgage Bankers Association (MBA) delinquency method and 1.0% is in bankruptcy (all bankruptcy loans are performing or 30 days delinquent). Approximately 76.5% and 91.0% of the mortgage loans have been zero times 30 days delinquent for the past 24 months and 12 months, respectively, under the MBA delinquency method. The portfolio contains 75.3% modified loans. The modifications happened more than two years ago for 91.6% of the modified loans. Approximately 97.7% of the pool is exempt from the Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules. The Seller, NRZ Sponsor VII LLC (NRZ), acquired the loans prior to the Closing Date in connection with the termination of various securitization trusts. Upon acquiring the loans, NRZ, through an affiliate, New Residential Funding 2019-1 LLC (the Depositor), will contribute the loans to the Trust. As the Sponsor, New Residential Investment Corp., through a majority-owned affiliate, will acquire and retain a 5% eligible vertical interest in each class of securities to be issued (other than the residual notes) to satisfy the credit risk retention requirements under Section 15G of the “Securities Exchange Act of 1934” and the regulations promulgated thereunder. These loans were originated and previously serviced by various entities through purchases in the secondary market. As of the Statistical Calculation Date, 60.4% of the pool is serviced by Ocwen Loan Servicing, 28.8% of the pool is serviced by Nationstar Mortgage LLC (Nationstar), 4.6% of the pool is serviced by Select Portfolio Servicing Inc., 2.3% of the pool is serviced by Fay Servicing and 0.2% of the pool is serviced by Shellpoint Mortgage Servicing (SMS). Nationstar will also act as the Master Servicer, and SMS will act as the Special Servicer. The Seller will have the option to repurchase any loan that becomes 60 or more days delinquent under the MBA method or any real estate-owned property acquired in respect of a mortgage loan at a price equal to the principal balance of the loan (Optional Repurchase Price), provided that such repurchases will be limited to 10% of the principal balance of the mortgage loans as of the Cut-Off Date. Unlike other seasoned re-performing loan securitizations, the Servicers in this transaction will advance principal and interest on delinquent mortgages to the extent such advances are deemed recoverable. The transaction employs a senior-subordinate, shifting-interest cash flow structure that is enhanced from a pre-crisis structure. The ratings reflect transactional strengths that include underlying assets that have significant seasoning, relatively clean payment histories and robust loan attributes with respect to credit scores, product types and loan-to-value ratios. Additionally, historically, NRMLT securitizations have exhibited fast voluntary prepayment rates. The transaction employs a relatively weak representations and warranties framework that includes an unrated representation provider (NRZ), certain knowledge qualifiers and fewer mortgage loan representations relative to DBRS criteria for seasoned pools. Satisfactory third-party due diligence was performed on the pool for regulatory compliance, title/lien and payment history. Updated Home Data Index and/or broker price opinions were provided for the pool; however, reconciliation was not performed on the updated values. Certain loans have missing assignments or endorsements as of the Closing Date. Given the relatively clean performance history of the mortgages and the operational capability of the servicers, DBRS believes the risk of impeding or delaying foreclosure is remote. The DBRS ratings address the timely payment of interest and full payment of principal by the legal final maturity date in accordance with the terms and conditions of the related Notes. Notes: All figures are in U.S. dollars unless otherwise noted. RFC CDO 2006-1: Fitch Lowers $3.2MM Class B Debt to Dsf ------------------------------------------------------- Fitch Ratings has downgraded one and affirmed eight classes of RFC CDO 2006-1, Ltd. /LLC. KEY RATING DRIVERS The downgrade of class B to 'Dsf' from 'CCsf' reflects the declaration of an Event of Default by the trustee on Nov. 2, 2018 with respect to the class, as interest proceeds received were insufficient to pay timely interest to the class. No principal or interest proceeds are currently being received on the one remaining loan in the pool. The $20 million JW Marriott mezzanine loan is secured by an interest in a 575-room, full-service hotel located in Tucson, AZ. Litigation between the borrower and lender has remained ongoing for many years and outstanding judgements need to be settled before the special servicer on the senior loan can move forward with the foreclosure process. Default of classes C through K is considered inevitable as a full loss on the loan is expected. In addition, the collateralized debt obligation is undercollateralized by $140.7 million, as of the December 2018 trustee reporting. RATING SENSITIVITIES Classes C through K are subject to further downgrades to 'Dsf' as the classes are expected to default at or prior to legal 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 downgraded the following rating: -- $3.2 million class B to 'Dsf' from 'CCsf'; RE 0%. In addition, Fitch has affirmed the following ratings: -- $15 million class C at 'Csf'; RE 0%; -- $13.5 million class D at 'Csf'; RE 0%; -- $9 million class E at 'Csf'; RE 0%; -- $10.5 million class F at 'Csf'; RE 0%; -- $13.5 million class G at 'Csf'; RE 0%; -- $4.5 million class H at 'Csf'; RE 0%; -- $24 million class J at 'Csf'; RE 0%; -- $20.3 million class K at 'Csf'; RE 0%. Classes A-1 and A-2 have paid in full. Fitch does not rate the Preferred Shares. SDART 2018-1: Fitch Affirms BBsf Rating on Class E Debt ------------------------------------------------------- As part of its ongoing surveillance, Fitch Ratings has taken the following rating actions on Santander Drive Auto Receivables Trust (SDART) 2018-1: Santander Drive Auto Receivables Trust 2018-1: -- Class A-2 affirmed at 'AAAsf'; Outlook Stable; -- Class A-3 affirmed at 'AAAsf'; Outlook Stable; -- Class B upgraded to 'AAAsf' from 'AAsf'; Outlook Stable -- Class C affirmed at 'Asf'; Outlook revised to Positive from Stable; -- Class D affirmed at 'BBBsf'; Outlook revised to Positive from Stable; -- Class E affirmed at 'BBsf'; Outlook revised to Positive from Stable. KEY RATING DRIVERS The rating actions are based on available credit enhancement (CE) and cumulative net loss (CNL) performance to date. The collateral pool continues to perform within Fitch's expectations, resulting in hard CE build for the notes. The securities are able to withstand stress scenarios consistent with the recommended ratings, and make full payments to investors in accordance with the terms of the documents. The Positive Outlooks on classes C, D and E reflect the possibility for an upgrade in the next one to two years. As of the December 2018 servicer report, 61+ day delinquencies were 4.16% of the remaining collateral balance, and CNL was at 2.90%, tracking below Fitch's initial base case of 16.50%. Further, hard CE has grown to 77.14% for class A, 57.21% for class B, 38.66% for class C, 25.64% for class D and 15.45% for class E. Based on transaction specific performance to date, Fitch revised the lifetime CNL proxy to 15.50% of the initial pool due to the strong performance to date and the build in CE for the notes, but maintained conservatism due to high pool factor. The lowered lifetime CNL proxy considers the transaction's remaining amortization and pool composition. Further, the proxy considers future macro-economic conditions, which drive loss frequency, along with the state of wholesale vehicle values, which impact recovery rates and ultimately transaction losses. Under Fitch's stressed cash flow assumptions, loss coverage for the class A and B notes are able to support multiples in excess of 3.00x, class C notes in excess of 2.00x, class D notes in excess of 1.50x, and the class E notes in line with 1.25x, for 'AAAsf', 'Asf', 'BBBsf', and 'BBsf' ratings, respectively. RATING SENSITIVITIES Unanticipated increases in the frequency of defaults and loss severity could produce loss levels higher than the current projected base case loss proxies and impact available loss coverage and multiples levels for the transactions. Lower loss coverage could impact ratings and Rating Outlooks, depending on the extent of the decline in coverage. To date, the transaction has exhibited consistent performance with losses within Fitch's initial expectations, with rising loss coverage and multiple levels consistent with the current ratings. A material deterioration in performance would have to occur within the asset pools to have potential negative impact on the outstanding ratings. SEQUIOA MORTGAGE 2019-1: Moody's Gives (P)Ba3 Rating to B-4 Certs ----------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to the classes of residential mortgage-backed securities issued by Sequoia Mortgage Trust 2019-1. The certificates are backed by one pool of prime quality, first-lien mortgage loans, including 185 agency-eligible high balance mortgage loans. The assets of the trust consist of 537 fully amortizing, fixed-rate mortgage loans. The borrowers in the pool have high FICO scores, significant equity in their properties and liquid cash reserves. Nationstar Mortgage LLC will serve as the master servicer for this transaction. There are six servicers for this pool: Shellpoint Mortgage Servicing (59.3% by loan balance), TIAA, FSB (18.4%), Quicken Loans Inc. (16.5%), HomeStreet Bank (2.4%), First Republic Bank (1.8%) and Associated Bank, N.A. (1.6%). The complete rating actions are as follows: Issuer: Sequoia Mortgage Trust 2019-1 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aaa (sf) Cl. A-14, Assigned (P)Aaa (sf) Cl. A-15, Assigned (P)Aaa (sf) Cl. A-16, Assigned (P)Aaa (sf) Cl. A-17, Assigned (P)Aaa (sf) Cl. A-18, Assigned (P)Aaa (sf) Cl. A-19, Assigned (P)Aa1 (sf) Cl. A-20, Assigned (P)Aa1 (sf) Cl. A-21, Assigned (P)Aa1 (sf) Cl. A-22, Assigned (P)Aaa (sf) Cl. A-23, Assigned (P)Aaa (sf) Cl. A-24, Assigned (P)Aaa (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A3 (sf) Cl. B-3, Assigned (P)Baa3 (sf) Cl. B-4, Assigned (P)Ba3 (sf) RATINGS RATIONALE Summary Credit Analysis Moody's expected cumulative net loss on the aggregate pool is 0.30% in a base scenario and reaches 4.70% at a stress level consistent with the Aaa (sf) ratings. its loss estimates are based on a loan-by-loan assessment of the securitized collateral pool using Moody's Individual Loan Level Analysis (MILAN) model. Loan-level adjustments to the model included: adjustments to borrower probability of default for higher and lower borrower DTIs, borrowers with multiple mortgaged properties, self-employed borrowers, origination channels and at a pool level, for the default risk of HOA properties in super lien states. The adjustment to its Aaa stress loss below the model output also includes adjustments related to aggregation and origination quality. The model combines loan-level characteristics with economic drivers to determine the probability of default for each loan, and hence for the portfolio as a whole. Severity is also calculated on a loan-level basis. The pool loss level is then adjusted for borrower, zip code, and MSA level concentrations. Collateral Description The SEMT 2019-1 transaction is a securitization of 537 first-lien residential mortgage loans, with an aggregate unpaid principal balance of $349,572,158. There are 69 originators in this pool, including loanDepot.com, LLC (22.2%), TIAA, FSB (18.4%) and Quicken Loans (17.9%). None of the originators other than loanDepot.com, LLC, TIAA, FSB, and Quicken Loans contributed 10% or more of the principal balance of the loans in the pool. The loan-level third party due diligence review (TPR) encompassed credit underwriting, property value and regulatory compliance. In addition, Redwood has agreed to backstop the rep and warranty repurchase obligation of all originators other than First Republic Bank. The loans were all aggregated by Redwood Residential Acquisition Corporation (Redwood). Moody's considers Redwood, the mortgage loan seller, to have strong aggregation and origination practices compared to peers. Borrowers of the mortgage loans backing this transaction have a demonstrated ability to save and to manage credit. In addition, the 61.7% of the borrowers in the pool have more than 24 months of liquid cash reserves or enough money to pay the mortgage for two years should there be an interruption to the borrower's cash flow. Consistent with prudent credit management, the borrowers have high FICO scores, with a weighted average score of 770. In general, the borrowers have high income, significant liquid assets and a stable employment history, all of which have been verified as part of the underwriting process and reviewed by the TPR firms. Borrowers also have significant equity in their homes (WA CLTV 70.7%) consistent with recent SEMT transactions. About 40% of the loans in the pool were purchased based on a reliance letter. These loans were originated by loanDepot.com, LLC and TIAA, FSB and were underwritten to their respective originator guidelines. Redwood will rely upon the due diligence carried out by an independent third party review firm for the originators. Moody's independently reviewed the underwriting guidelines of these originators and factored it in its analysis. Moody's reduced its base case and Aaa stress loss assumption for the loans originated by TIAA, FSB, due to its strong origination practices. The third party review carried out for the originator could result in a potential conflict of interest, as the originator can waive conditions at its own discretion. Moody's reviewed the original third party review and the exceptions and took that into consideration in its analysis. All waived exceptions were within its expectation. Overall Moody's considered the TPR framework to be credit neutral. Approximately, 12.5% of the mortgage loans by aggregate stated principal balance are secured by mortgaged properties located in the areas that the Federal Emergency Management Agency (FEMA) had designated for federal assistance during the prior 12 months. Redwood has engaged a third party to inspect these properties. No material visible damage was detected from the inspection and the related mortgage was included in the transaction pool. Representations and warranties as to the mortgage loans will have been made to the effect that in general, the mortgage loans will be free of material damage as of the closing date. Structural considerations Similar to recently rated Sequoia transactions, in this transaction, Redwood is adding a feature prohibiting the servicer, or securities administrator, from advancing principal and interest to loans that are 120 days or more delinquent. These loans on which principal and interest advances are not made are called the Stop Advance Mortgage Loans ("SAML"). The balance of the SAML will be removed from the principal and interest distribution amounts calculations. In its opinion, the SAML feature strengthens the integrity of senior and subordination relationships in the structure. Yet, in certain scenarios the SAML feature, as implemented in this transaction, can lead to a reduction in interest payments to certain tranches even when more subordinated tranches are outstanding. The senior/subordination relationship between tranches is strengthened since the removal of SAML in the calculation of the senior percentage amount directs more principal to the senior bonds and less to the subordinate bonds. Further, this feature limits the amount of servicer advances that could increase the loss severity on the liquidated loans and preserves the subordination amount for the most senior bonds. On the other hand, this feature can cause a reduction in the interest distribution amount paid to the bonds; and if that were to happen such a reduction in interest payment is unlikely to be recovered. The final ratings on the bonds take into consideration its expected losses on the collateral and the potential reduction in interest distributions to the bonds. Furthermore, the likelihood that the subordinate tranches could potentially permanently lose some interest as a result of this feature was considered. Moody's believes there is a low likelihood that the rated securities of SEMT 2019-1 will incur any losses from extraordinary expenses or indemnification payments owing to potential future lawsuits against key deal parties. First, the loans are of prime quality and were originated under a regulatory environment that requires tighter controls for originations than pre-crisis, which reduces the likelihood that the loans have defects that could form the basis of a lawsuit. Second, Redwood, who initially retains the subordinate classes and provides a back-stop to the representations and warranties of all the originators except for First Republic Bank, has a strong alignment of interest with investors, and is incentivized to actively manage the pool to optimize performance. Third, historical performance of loans aggregated by Redwood has been very strong to date. Fourth, the transaction has reasonably well defined processes in place to identify loans with defects on an ongoing basis. In this transaction, an independent breach reviewer must review loans for breaches of representations and warranties when a loan becomes 120 days delinquent, which reduces the likelihood that parties will be sued for inaction. Tail Risk & Subordination Floor The transaction cash flows follow a shifting interest structure that allows subordinated bonds to receive principal payments under certain defined scenarios. Because a shifting interest structure allows subordinated bonds to pay down over time as the loan pool shrinks, senior bonds are exposed to increased performance volatility, known as tail risk. The transaction provides for a subordination floor of 1.25% of the closing pool balance, which mitigates tail risk by protecting the senior bonds from eroding credit enhancement over time. Third-party Review and Reps & Warranties Two TPR firms conducted a due diligence review of nearly 100% of the mortgage loans in the pool. Generally, the TPR firms conducted a review for credit, property valuation, compliance and data integrity ("full review loans"). The TPR firms randomly selected two mortgage loans for limited review that were originated by First Republic Bank. Generally, for the full review loans, the sponsor or the originator corrected all material errors identified by following defined methods of error resolution under the TRID rule or TILA 130(b) as per the proposed SFIG TRID framework. The sponsor or the originator provided the borrower with a corrected Closing Disclosure and letter of explanation as well as a refund where necessary. All technical errors on the Loan Estimate were subsequently corrected on the Closing Disclosure. Moody's believes that the TRID noncompliance risk to the trust is immaterial due to the good-faith efforts to correct the identified conditions. No TRID compliance reviews were performed on the limited review loans. Therefore, there is a possibility that some of these loans could have unresolved TRID issues. Moody's reviewed the initial compliance findings of loans from the same originator where a full review was conducted and there were no material compliance findings. As a result, Moody's did not increase its Aaa stress loss. After a review of the TPR appraisal findings, Moody's notes that there are 3 loans with final grade 'D' due to escrow holdback distribution amounts. The review for these loans was incomplete because the related appraisals were subject to the completion of renovation work or missing evidence of disbursement of escrow funds. In the event the escrow funds greater than 10% have not been disbursed within six months of the closing date, the seller shall repurchase the affected escrow holdback mortgage loan, on or before the date that is six months after the closing date at the applicable repurchase price. Given that the seller has the obligation to repurchase, Moody's did not make an adjustment for these loans. Each of the originators makes the loan-level R&Ws for the loans it originated, except for loans acquired by Redwood from the FHLB Chicago. The mortgage loans purchased by Redwood from the FHLB Chicago were originated by various participating financial institution originators. For these mortgage loans, FHLB Chicago will provide the loan-level R&Ws that are assigned to the trust. In line with other SEMT transactions, the loan-level R&Ws for SEMT 2019-1 are strong and, in general, either meet or exceed the baseline set of credit-neutral R&Ws Moody's identified for US RMBS. Among other things, the R&Ws address property valuation, underwriting, fraud, data accuracy, regulatory compliance, the presence of title and hazard insurance, the absence of material property damage, and the enforceability of the mortgage. The R&W providers vary in financial strength, which include some financially weaker originators. To mitigate this risk, Redwood will backstop any R&W providers who may become financially incapable of repurchasing mortgage loans, except for First Republic Bank, which is one of the strongest originators. Moreover, a third-party due diligence firm conducted a detailed review on the loans of all of the originators, which mitigates the risk of unrated and financially weaker originators. Trustee & Master Servicer The transaction trustee is Wilmington Trust, National Association. The paying agent and cash management functions will be performed by Citibank, N.A. and the custodian functions will be performed by Wells Fargo Bank, N.A., rather than the trustee. In addition, Nationstar Mortgage LLC, as master servicer, is responsible for servicer oversight, and termination of servicers and for the appointment of successor servicers. In addition, Nationstar Mortgage LLC is committed to act as successor if no other successor servicer can be found. Factors that would lead to an upgrade or downgrade of the ratings: Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Methodology The principal methodology used in these ratings was "Moody's Approach to Rating US Prime RMBS" published in November 2018. Significant weight was put on judgment taking into account the results of the modeling tools as well as the aggregate impact of the third-party review and the quality of the servicers and originators. TIDEWATER AUTO 2016-A: S&P Hikes Class E Notes Rating to BB+ ------------------------------------------------------------ S&P Global Ratings raised its ratings on three classes of notes from Tidewater Auto Receivables Trust (TMCAT) 2016-A. The transaction is backed by subprime retail auto loans originated and serviced by Tidewater Motor Credit (TMC). S&P said, "The rating actions reflect the transaction's collateral performance to date and our views regarding future collateral performance, the economic outlook, the transaction's structure, and the respective credit enhancement levels. In addition, our analysis incorporated secondary credit factors, such as credit stability, payment priorities under various scenarios, and sector- and issuer-specific analyses. "TMCAT 2016-A is performing in line with our revised expectations and better than our initial expectations. Therefore, we maintained our expected lifetime credit loss on the transaction at the 13.00%-13.50% range. As of the December 2018 distribution date, the transaction had 34 months of performance and 24.36% of the pool remaining. To date, the transaction has incurred 10.31% in cumulative net credit losses. Sixty-plus-day delinquencies as of the December 2018 distribution date were 14.79%." Table 1 CNL Expectations (%) Former Revised Initial lifetime lifetime lifetime CNL exp. CNL exp. Series CNL exp. (April 2018) (Jan. 2019) 2016-A 13.75-14.75 13.00-13.50 13.00-13.50 CNL exp.--Cumulative net loss expectations. The transaction has a sequential principal payment structure and was structured with credit enhancement consisting of overcollateralization and a non-amortizing reserve account. The more senior tranches also benefit from subordination. The credit enhancement levels for TMCAT 2016-A are at the specified overcollateralization and reserve targets. The reserve account is at its target of 1.0% of the initial collateral balance. The overcollateralization is at its target level of 15.10% of the current collateral balance. TMCAT 2016-A features a cumulative net loss trigger that will cause the overcollateralization target to increase. The cumulative net loss triggers are tested monthly and are not curable once breached, although the overcollateralization floor remains at 2.0%. The target overcollateralization amount will increase to 28.0% of the current pool balance if the cumulative net loss triggers are breached between months one through 18, and it will increase to 38% of the current pool balance if the cumulative net loss triggers are breached at month 19 or thereafter. The triggers are sized for a cumulative net loss level gradually reaching 17.0%. To date, the cumulative net loss triggers have not been breached. Table 2 Hard Credit Support As of the December 2018 distribution date Total hard Current total hard credit support credit support Series Class at issuance (%)(i) (% of current)(i) 2016-A C 27.50 84.49 2016-A D 15.90 36.86 2016-A E 11.60 19.21 (i)Calculated as a percentage of the total receivable pool balance, consisting of a reserve account, overcollateralization, and, if applicable, subordination. S&P said, "We incorporated an analysis of the current hard credit enhancement compared to the remaining expected cumulative net loss for class C in which hard credit enhancement alone--without credit to the stressed excess spread--was sufficient, in our opinion, to raise the rating. For the other classes, we incorporated a cash flow analysis to assess the loss coverage level, giving credit to excess spread. Our various cash flow scenarios included forward-looking assumptions on recoveries, timing of losses, and voluntary absolute prepayment speeds that we believe are appropriate given each transaction's performance to date. Aside from our break-even cash flow analysis, we also conducted sensitivity analyses for this transaction to determine the impact that a moderate ('BBB') stress scenario would have on our ratings if losses begin trending higher than our revised base-case loss expectations. "We believe the results have demonstrated that all of the classes have adequate credit enhancement for the raised ratings. We will continue to monitor the performance of all the outstanding transactions to ensure that the credit enhancement remains sufficient, in our view, to cover our cumulative net loss expectations under our stress scenarios for each of the rated classes." RATINGS RAISED Tidewater Auto Receivables Trust 2016-A Rating Class To From C AAA (sf) AA (sf) D AA- (sf) BBB (sf) E BB+ (sf) BB (sf) WACHOVIA BANK 2004-C12: Fitch Lowers Class H Certs Rating to Bsf ---------------------------------------------------------------- Fitch Ratings has downgraded six classes and affirmed two classes of Wachovia Bank Commercial Mortgage Trust, commercial mortgage pass-through certificates, series 2004-C12. KEY RATING DRIVERS Increased Loss Expectations; Concentration of Specially Serviced Loan: The downgrades and Negative Outlook on class H reflects the increased loss expectations on the specially-serviced Eastdale Mall loan (56% of current pool), which is secured by a 481,442 sf portion of a 757,411 sf regional mall located in Montgomery, AL. The loan transferred to special servicing for the third time on Oct. 19, 2018 due to imminent monetary default. Per the special servicer, the borrower is cooperating with the lender to appoint a receiver and has confirmed they will neither contribute new equity into the property nor seek a loan restructure. Collateral occupancy has remained relatively stable at 76.3% as of October 2018, compared to 77.2% at October 2017 and 64% at year-end (YE) 2016; however, net operating income (NOI) has declined 23.2% between YE 2016 and YE 2017, and 27.4% between YE 2016 and Annualized year-to-date (YTD) June 2018. Comparable in-line tenant sales declined 7.6% to $281 psf at YE 2017 from $304 psf at YE 2016 and collateral anchor sales (Belk) declined 6.8% to $114 psf at YE 2017 from $122 psf at YE 2016. Given the low sales, tertiary market location and likelihood for the property to be Real Estate Owned and/or have a protracted workout Fitch expects outsized losses on this loan. Pool Concentration/Fitch Loans of Concern: The pool is highly concentrated with only twelve loans remaining. Four of which are considered Fitch Loans of Concern (FLOC) (66.3% of current pool) including the largest loan. 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 fourth largest loan, Callabridge Commons (5.7%), which is secured by an unanchored retail center located in Charlotte, NC, has continued to underperform with NOI DSCR falling to 0.74x as of September 2018 YTD, compared to 0.86x at YE 2017, 0.81x at YE 2016 and 1.01x at YE 2015. Occupancy remains low at 66.2% as of June 2018, compared to 66% at YE 2017, 52% at YE 2016 and 64% at YE 2015. The ninth largest loan, Crossroads Shopping Center (3%), which is secured by a former grocery-anchored retail property in Savannah, GA, lost its grocer (Bi-Lo) in April 2018 prior to the tenant's December 2028 lease expiration. The borrower has remained unresponsive regarding the temporary tenants that have backfilled the former grocer space. Per the master servicer, the property was 49.1% occupied as of the third quarter of 2018 (3Q18) with NOI DSCR declining to 1.08x as of 3Q18, compared to 1.82x at YE 2017 and 1.98x at YE 2016. Near-term lease rollover is also a concern with 5.9% of the NRA expiring in 2019 (across two tenants) and 22.7% of the NRA expiring in 2020 (five tenants). The 10th largest loan, Food Lion - Ormond Beach, FL (1.6%), which is secured by a retail property located in Ormond Beach, FL and had been vacant since February 2013, has been leased by a new grocer (Lucky's Market). Per the master servicer, the new tenant will make repairs to the property and take occupancy in March 2019 with rent payments beginning April 2019. Alternative Loss Considerations: Fitch assumed losses of 100% on the Eastdale Mall and performed an additional sensitivity scenario on the Callabridge Commons loan, which assumed a potential outsized loss of 30% on the loan's current balance due to the collateral's continued underperformance, near-term lease rollover concern and increased retail competition. The Negative Outlook on class H incorporates this analysis. Increase in Credit Enhancement: As of the November 2018 distribution date, the pool's aggregate balance had been reduced by 96% to $42.3 million from $1.06 billion at issuance. The affirmation of class G reflects the high credit enhancement and the expected amortization from non-FLOC including 11.4% in defeased collateral. There have been $13.9 million in realized losses to date, accounting for 1.3% of the original pool balance. Cumulative interest shortfalls are currently impacting class P. ADDITIONAL CONSIDERATIONS Loan Maturities: Of the remaining non-specially serviced loans, six (20.6% of pool) mature in 2019, four (17.7%) in 2024, and one (5.7%) in 2026. RATING SENSITIVITIES The Negative Outlook on class H reflects the potential for a full loss on the specially-serviced Eastdale Mall loan. Downgrades are possible should this occur. The Stable Outlook on class G reflects the class' high credit enhancement and expected continued paydown from scheduled amortization and upcoming loan maturities in 2019. Upgrades are not likely unless the Eastdale Mall performance improve. Distressed classes will be downgraded as 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 action. Fitch has downgraded the following classes: -- $13.3 million class H to 'Bsf' from 'BBB-sf'; Outlook Negative; -- $4 million class J to 'CCCsf' from 'BBsf'; RE 0%; -- $2.7 million class K to 'CCCsf' from 'BBsf';RE 0% -- $5.3 million class L to 'CCsf' from 'CCCsf'; RE 0%; -- $4 million class M to 'Csf' from 'CCsf'; RE 0%; -- $2.7 million class N to 'Csf' from 'CCsf'; RE 0%. Fitch has affirmed the following ratings: -- $5.7 million class G at 'AAAsf'; Outlook Stable; -- $2.7 million class O at 'Csf'; RE 0%. The class A-1, A-1A, A-2, A-3, A-4, B, C, D, E, F and MAD 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. Z CAPITAL CREDIT 2018-1: Moody's Rates $25MM Class E Notes 'Ba3' ---------------------------------------------------------------- Moody's Investors Service has assigned ratings to seven classes of notes issued by Z Capital Credit Partners CLO 2018-1 Ltd. Moody's rating action is as follows: US$82,000,000 Class A-1 Senior Secured Floating Rate Notes due 2031 (the "Class A-1 Notes"), Assigned Aaa (sf) US$102,000,000 Class A-2 Senior Secured Floating Rate Notes due 2031 (the "Class A-2 Notes"), Assigned Aaa (sf) US$4,500,000 Class A-X Amortizing Senior Secured Floating Rate Notes due 2031 (the "Class A-X Notes"), Assigned Aaa (sf) US$28,000,000 Class B Senior Secured Floating Rate Notes due 2031 (the "Class B Notes"), Assigned Aa2 (sf) US$26,000,000 Class C Secured Deferrable Floating Rate Notes due 2031 (the "Class C Notes"), Assigned A2 (sf) US$28,000,000 Class D Secured Deferrable Floating Rate Notes due 2031 (the "Class D Notes"), Assigned Baa3 (sf) US$25,000,000 Class E Secured Deferrable Floating Rate Notes due 2031 (the "Class E Notes"), Assigned Ba3 (sf) The Class A-1 Notes, the A-2 Notes, the A-X Notes, the Class B Notes, the Class C Notes, the Class D Notes and the Class E Notes are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE 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. Z Capital Credit Partners CLO 2018-1 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 92.5% of the portfolio must consist of senior secured loans, cash, and eligible investments, and up to 7.5% of the portfolio may consist of second lien loans and senior unsecured loans. The portfolio is approximately 50% ramped as of the closing date. Z Capital 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 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: $352,500,000 Diversity Score: 40 Weighted Average Rating Factor (WARF): 4030 Weighted Average Spread (WAS): 4.90% Weighted Average Coupon (WAC): 7.50% Weighted Average Recovery Rate (WARR): 43.0% 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 Z Capital Credit Partners CLO 2018-1 Ltd. was assigned in accordance with Moody's existing Methodology entitled "Moody's Global Approach to Rating Collateralized Loan Obligations," dated August 31, 2017. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. 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