/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/190303.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, March 3, 2019, Vol. 23, No. 61 Headlines AMERICAN CREDIT 2019-1: S&P Assigns Prelim B Rating on Cl. F Notes ANCHORAGE CAPITAL 13: S&P Assigns Prelim BB- Rating on Cl. E Notes ARES LII CLO: S&P Assigns Prelim BB- (sf) Rating on Class E Notes ARROYO MORTGAGE 2019-1: S&P Assigns B(sf) Rating on Cl. B-2 Certs ASSURANT CLO IV: Moody's Rates $22.5MM Class E Notes 'Ba3' BANK 2019-BNK16: DBRS Finalizes B Rating on 4 Tranches BBCMS MORTGAGE 2017-C1: DBRS Confirms B Rating on 3 Tranches CANADIAN COMMERCIAL 2018-4: DBRS Confirms B Rating on Cl. G Certs CARLYLE GLOBAL 2015-5: Moody's Rates $29.7MM Class D-R Notes 'Ba3' CITIGROUP COMMERCIAL 2015-GC29: Fitch Affirms B on Class F Certs COMM 2014-CCRE14: Moody's Cuts Class E Certs Rating to B3 CSAIL 2019-C15: DBRS Gives Prov. B(high) Rating on Class G-RR Certs CSMC TRUST 2019-RPL1: Fitch to Rate $6.23MM Class B-2 Notes 'Bsf' DRYDEN 75 CLO: S&P Assigns BB- (sf) Rating on Class E Notes FREDDIE MAC 2019-HQA1: Fitch Rates 16 Note Tranches 'B+sf' FREDDIE MAC 2019-HQA1: S&P Assigns B+(sf) Rating on Cl. M-2 Notes GALTON FUNDING 2019-1: S&P Assigns B-(sf) Rating on Class B5 Certs GRACE MORTGAGE 2014-GRCE: Fitch Affirms B on $25MM Class G Certs GS MORTGAGE 2019-GC38: Fitch Rates $7.5MM Class H-RR Certs 'B-sf' HOMEBANC MORTGAGE 2005-4: Moody's Hikes Class M-3 Debt to 'Caa3' JP MORGAN 2019-LTV1: DBRS Gives Prov. B Rating on Cl. B-5 Certs OCP CLO 2019-16: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes OFSI FUND VI: S&P Raises Class D-R Notes Rating to BB+ (sf) OFSI FUND VII: S&P Affirms B (sf) Rating on Class F Notes SOLARCITY LMC V: S&P Affirms BB (sf) Rating on Class B Notes TCW CLO 2019-1: S&P Assigns B- (sf) Rating on $6MM Class F Notes TOWD POINT 2019-2: DBRS Finalizes B Rating on$52MM Class B2 Notes TOWD POINT 2019-SJ1: Fitch Rates $19.29MM Class B2 Notes 'Bsf' VERUS SECURITIZATION 2019-1: S&P Assigns B+ Rating on Cl B-2 Certs WACHOVIA BANK 2006-C24: Moody's Lowers Class D Certs Rating to 'Ca' WELLS FARGO 2016-NXS5: Fitch Affirms BB- on $22.2MM Class F Debt WELLS FARGO 2017-RC1: DBRS Confirms B(low) Ratings on 2 Tranches WESTLAKE AUTOMOBILE 2019-1: DBRS Finalizes B on $58MM Cl. F Notes [*] S&P Takes Various Actions on 114 Classes From 19 US RMBS Deals [*] S&P Takes Various Actions on 54 Classes From 19 US RMBS Deals ********* AMERICAN CREDIT 2019-1: S&P Assigns Prelim B Rating on Cl. F Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to American Credit Acceptance Receivables Trust 2019-1's asset-backed notes. The note issuance is an asset-backed securities transaction backed by subprime auto loan receivables. The preliminary ratings are based on information as of Feb. 28, 2019. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The availability of approximately 65.6%, 58.6%, 48.7%, 41.5%, 36.0%, and 33.4% credit support for the class A, B, C, D, E, and F notes, respectively, based on break-even stressed cash flow scenarios (including excess spread). These credit support levels provide coverage of approximately 2.30x, 2.05x, 1.67x, 1.35x, 1.20x, and 1.10x S&P's 28.00%-29.00% expected net loss range for the class A, B, C, D, E, and F notes, respectively. -- The timely interest and principal payments made to the preliminary rated notes by the assumed legal final maturity dates under S&P's stressed cash flow modeling scenarios that it believes are appropriate for the assigned preliminary ratings. The expectation that under a moderate ('BBB') stress scenario, all else being equal, S&P's ratings on the class A, B, and C notes would not be lowered from its preliminary 'AAA (sf)', 'AA (sf)', and 'A (sf)' ratings during the first year; the rating on the class D notes would remain within two rating categories of its preliminary 'BBB (sf)' rating during the first year; and the ratings on the class E and F notes would remain within two categories of the preliminary 'BB- (sf)' and 'B (sf)' rating, respectively, in the first year, but the class E and F notes are expected to default by their legal final maturity date with approximately 64%-88% and 0% of principal repayment, respectively. These potential rating movements are within the limits specified in S&P's credit stability criteria." -- The collateral characteristics of the subprime automobile loans securitized in this transaction. -- The backup servicing arrangement with Wells Fargo Bank N.A. (Wells Fargo). -- The transaction's payment and credit enhancement structures. -- The transaction's legal structure. PRELIMINARY RATINGS ASSIGNED American Credit Acceptance Receivables Trust 2019-1 Class Rating Amount (mil. $) A AAA (sf) 101.50 B AA (sf) 30.52 C A (sf) 49.70 D BBB (sf) 32.62 E BB- (sf) 25.90 F B (sf) 14.28 ANCHORAGE CAPITAL 13: S&P Assigns Prelim BB- Rating on Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Anchorage Capital CLO 13 Ltd.'s floating-rate notes. The note issuance is a CLO transaction backed by primarily broadly syndicated speculative-grade senior secured term loans that are governed by collateral quality tests. The preliminary ratings are based on information as of Feb. 25, 2019. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The diversified collateral pool. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. PRELIMINARY RATINGS ASSIGNED Anchorage Capital CLO 13 Ltd. Class Rating Amount (mil. $) A NR 307.50 B AA (sf) 56.50 C A (sf) 35.00 D BBB- (sf) 31.00 E BB- (sf) 19.00 Subordinated notes NR 56.00 NR--Not rated. ARES LII CLO: S&P Assigns Prelim BB- (sf) Rating on Class E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Ares LII CLO Ltd.'s floating-rate notes. The note issuance is a collateralized loan obligation (CLO) transaction backed by primarily broadly syndicated speculative-grade senior secured term loans. The preliminary ratings are based on information as of Feb. 22, 2019. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The diversified collateral pool. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. PRELIMINARY RATINGS ASSIGNED Ares LII CLO Ltd. Class Rating Amount (mil. $) A-1 AAA (sf) 300.00 A-2 NR 25.00 B AA (sf) 52.50 C (deferrable) A (sf) 32.50 D (deferrable) BBB- (sf) 29.75 E (deferrable) BB- (sf) 17.75 Subordinated notes NR 50.00 NR--Not rated. ARROYO MORTGAGE 2019-1: S&P Assigns B(sf) Rating on Cl. B-2 Certs ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Arroyo Mortgage Trust 2019-1's mortgage pass-through certificates. The issuance is a residential mortgage-backed securities transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) secured by single-family residential properties, planned-unit developments, condominiums, cooperatives, and two- to four-family residential properties to both prime and nonprime borrowers. Since S&P published its presale on Feb. 14, 2019, the underlying mortgage loan collateral balance decreased because the cut-off date rolled forward one month to Feb. 1, 2019, and certain loans were either added or removed. As a result, the capital structure was updated; the initial credit enhancement levels, as a percentage, remained the same. The ratings reflect: -- The pool's collateral composition; -- The transaction's credit enhancement; -- The transaction's associated structural mechanics; -- The transaction's representation and warranty (R&W) framework; -- The geographic concentration; and -- The mortgage aggregator, Western Asset Management Co. LLC (Western Asset) as investment manager for Western Asset Mortgage Opportunity Fund L.P. RATINGS ASSIGNED Arroyo Mortgage Trust 2019-1 Class Rating Interest Amount rate(i) (mil. $)(i) A-1 AAA (sf) Fixed 237.068 A-2 AA (sf) Fixed 14.709 A-3 A (sf) Fixed 19.423 M-1 BBB (sf) Fixed 6.712 B-1 BB (sf) Net WAC 4.141 B-2 B (sf) Net WAC 2.428 B-3 NR Net WAC 1.143 A-IO-S NR Notional(ii) (iii) XS NR Notional(ii) (iv) R NR N/A N/A (i)Interest can be deferred on the classes. Fixed coupons are subject to the pool's net WAC rate. (ii)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period. (iii)Excess servicing strip. (iv)Certain excess amounts. WAC--Weighted average coupon. N/A--Not applicable. NR--Not rated. ASSURANT CLO IV: Moody's Rates $22.5MM Class E Notes 'Ba3' ---------------------------------------------------------- Moody's Investors Service has assigned ratings to five classes of notes issued by Assurant CLO IV, Ltd. Moody's rating action is as follows: US$290,000,000 Class A Senior Secured Floating Rate Notes due 2030 (the "Class A Notes"), Assigned Aaa (sf) US$52,000,000 Class B Senior Secured Floating Rate Notes due 2030 (the "Class B Notes"), Assigned Aa2 (sf) US$25,200,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2030 (the "Class C Notes"), Assigned A2 (sf) US$24,300,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2030 (the "Class D Notes"), Assigned Baa3 (sf) US$22,500,000 Class E Junior Secured Deferrable Floating Rate Notes due 2030 (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. Assurant CLO IV, Ltd. is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of first lien senior secured loans, cash, and eligible investments, and up to 10% of the portfolio may consist of second lien loans and unsecured loans. The portfolio is approximately 70% ramped as of the closing date. Assurant 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 three 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: $450,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 2683 Weighted Average Spread (WAS): 3.30% Weighted Average Coupon (WAC): 7.50% Weighted Average Recovery Rate (WARR): 46.5% Weighted Average Life (WAL): 7 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2017. The Credit Rating for Assurant CLO IV, 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 Assurant CLO IV, 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. BANK 2019-BNK16: DBRS Finalizes B Rating on 4 Tranches ------------------------------------------------------ DBRS, Inc. finalized the provisional ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2019-BNK16 to be issued by BANK 2019-BNK16: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at A (high) (sf) -- Class A-S at AAA (sf) -- Class B at AA (high) (sf) -- Class C at A (sf) -- Class X-D at BBB (sf) -- Class X-F at BB (high) (sf) -- Class X-G at B (high) (sf) -- Class X-H at B (sf) -- Class D at BBB (high) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (sf) -- Class G at B (sf) -- Class H at B (low) (sf) All trends are Stable. Classes X-D, X-F, X-G, X-H, D, E, F, G, and H have been privately placed. The Class X-A, X-B, X-D, X-F, X-G, and X-H balances are notional. The collateral consists of 69 fixed-rate loans secured by 115 commercial and multifamily properties. The transaction is a sequential-pay pass-through structure. Two loans, representing 9.2% of the pool, are shadow-rated investment grade by DBRS. Proceeds for the shadow-rated loans are floored at their respective ratings within the pool. When 9.2% of the pool has no proceeds assigned below the rated floor, the resulting subordination is diluted or reduced below the rated floor. The conduit pool was analyzed to determine the provisional ratings, reflecting the long-term probability of loan default within the term and its liquidity at maturity. When the cut-off loan balances were measured against the DBRS Stabilized net cash flow and their respective actual constants, two loans, representing 4.8% of the pool, have a DBRS Term debt service coverage ratio (DSCR) below 1.15 times (x), a threshold indicative of a higher likelihood of mid-term default. Additionally, to assess refinance risk given the current low interest-rate environment, DBRS applied its refinance constants to the balloon amounts. This resulted in 24 loans, representing 50.3% of the pool, having refinanced DSCRs below 1.00x, and 14 loans, representing 28.3% of the pool, having refinanced DSCRs below 0.90x. These credit metrics are based on whole-loan balances. Fourteen loans, representing 26.4% of the pool, are located in super-dense urban and urban markets with increased liquidity that benefits from consistent investor demand, even in times of stress. Urban markets with exposure in the pool include New York, Los Angeles, Dallas, Cleveland, and Indianapolis. Five loans, which include four of the top ten loans and represent 21.7% of the pool, exhibit Average (+) property quality. Additionally, only three loans, representing 5.4% of the pool, were assigned Average (-) property quality, while no properties were deemed Below Average. Two loans within the top 15 largest loans exhibit credit characteristics consistent with investment-grade shadow ratings. Millennium Partners Portfolio exhibits credit characteristics consistent with an A (high) shadow rating, while Willowbend Apartments exhibits credit characteristics consistent with a AAA shadow rating. These loans combine to represent 9.2% of the pool. The pool has low term default risk as indicated by the DBRS Term DSCR of 1.81x. When shadow-rated loans, representing 9.2% of the pool, and loans secured by cooperative properties, representing 4.0% of the pool, are both excluded, the pool still exhibits a strong DBRS Term DSCR of 1.65x. Twenty-four loans, representing 45.8% of the pool, including six of the largest 15 loans, are structured with interest-only (IO) payments for the full term. An additional 20 loans, representing 29.1% of the pool, have partial-IO periods ranging from 12 months to 60 months. This concentration includes Millennium Partners Portfolio, an investment-grade shadow-rated loan that represents 6.7% of the pool and 14.6% of the full-term IO concentration. Of the full-IO and partial-IO loans, five are located in either urban or super-dense urban markets with strong investor demand. These loans account for 30.6% of all IO loans and 22.9% of the pool as a whole. Expected amortization for the pool is 8.3%, which is in line with recent conduit securitizations, and 25 loans, representing 25.9% of the pool, are expected to amortize by 15.0% or more. The DBRS Refi DSCR of 1.16x indicates moderate refinance risk at the overall pool level, but when loans backed by cooperative properties and shadow-rated loans are excluded, the figure drops substantially to 1.02x. Fourteen loans, representing 28.3% of the pool, also have DBRS Refi DSCRs below 0.90x. These metrics are based on whole-loan balances. One of the pool's loans with a DBRS Refi DSCR below 0.90x – Millennium Partners Portfolio – is shadow-rated investment grade by DBRS and has a large piece of subordinate mortgage debt outside the trust. This loan accounts for approximately 6.7% of the pool. Based on A-note balances only, the deal's weighted-average DBRS Refi DSCR excluding cooperative loans improves to 1.09x. Classes X-A, X-B, X-D, X-F, X-G, and X-H are IO certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated reference tranche adjusted upward by one notch if senior in the waterfall. Notes: All figures are in U.S. dollars unless otherwise noted. BBCMS MORTGAGE 2017-C1: DBRS Confirms B Rating on 3 Tranches ------------------------------------------------------------ DBRS, Inc. confirmed all classes of Commercial Mortgage Pass-Through Certificates, Series 2017-C1 (the Certificates) issued by BBCMS Mortgage Trust 2017-C1: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AA (high) (sf) -- Class B at AA (sf) -- Class C at A (low) (sf) -- Class X-D at BBB (sf) -- Class D at BBB (low) (sf) -- Class X-E at BB (high) (sf) -- Class E at BB (sf) -- Class X-F at BB (low) (sf) -- Class F at B (high) (sf) -- Class X-G at B (sf) -- Class G at B (low) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction, which has remained generally in line with DBRS's expectations at issuance. The collateral consists of 58 fixed-rate loans secured by 75 commercial and multifamily properties. As of the February 2019 remittance, there has been a collateral reduction of 0.9% since issuance as a result of scheduled loan amortization as all original loans remain in the pool with a current outstanding balance of $848.1 million. According to YE2017 financial reporting, the transaction had a weighted-average (WA) debt service coverage ratio (DSCR) of 1.68 times (x), above the WA DBRS Term figure of 1.57x. The largest 15 loans, which collectively represent 62.1% of the outstanding pool balance, reported a YE2017 WA DSCR of 1.81x. Performance continued to improve in 2018 as the WA partial-year DSCR was 1.87x. There are ten loans on the servicer's watchlist, representing 11.4% of the current pool balance. The loans have been flagged for various reasons including cash flow declines, tenant rollover risk, and deferred maintenance. Classes X-A, X-B, X-D, X-E, X-F, and X-G are interest-only (IO) certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. CANADIAN COMMERCIAL 2018-4: DBRS Confirms B Rating on Cl. G Certs ----------------------------------------------------------------- DBRS Limited confirmed the ratings on the Commercial Mortgage Pass-Through Certificates, Series 2018-4 issued by Canadian Commercial Mortgage Origination Trust 4 as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class B at AA (sf) -- Class X at A (high) (sf) -- Class C at A (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (sf) -- Class G at B (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction. As of the January 2019 remittance, all 53 loans remain in the pool with an outstanding principal balance of approximately $537.1 million, representing the collateral reduction of 2.3% since issuance as a result of scheduled loan amortization. Due to the timing of the pool's securitization, the servicer has not yet received updated financials from the individual borrowers. Based on the DBRS analysis at issuance, the pool had a weighted-average DBRS Term Debt Service Coverage Ratio and DBRS Debt Yield of 1.33 times and 8.9%, respectively. There are currently no loans on the servicer's watchlist or in special servicing. Class X is an interest-only (IO) certificate that references a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. CARLYLE GLOBAL 2015-5: Moody's Rates $29.7MM Class D-R Notes 'Ba3' ------------------------------------------------------------------ Moody's Investors Service has assigned ratings to five classes of CLO refinancing notes issued by Carlyle Global Market Strategies CLO 2015-5, Ltd. Moody's rating action is as follows: US$310,000,000 Class A-1-R Senior Secured Floating Rate Notes due 2032 (the "Class A-1-R Notes"), Assigned Aaa (sf) US$64,700,000 Class A-2-R Senior Secured Floating Rate Notes due 2032 (the "Class A-2-R Notes"), Assigned Aa2 (sf) US$23,000,000 Class B-R Senior Secured Deferrable Floating Rate Notes due 2032 (the "Class B-R Notes"), Assigned A2 (sf) US$30,200,000 Class C-R Mezzanine Secured Deferrable Floating Rate Notes due 2032 (the "Class C-R Notes"), Assigned Baa3 (sf) US$29,700,000 Class D-R Mezzanine Secured Deferrable Floating Rate Notes due 2032 (the "Class D-R Notes"), Assigned Ba3 (sf) The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. Carlyle CLO Management L.L.C. (the "Manager") manages the CLO. It directs the selection, acquisition, and disposition of collateral on behalf of the Issuer. RATINGS RATIONALE As described in its methodology, the rating analysis considers the risks associated with the CLO's portfolio and structure. In addition to quantitative assessments of credit risks such as default and recovery risk of the underlying assets and their impact on the rated tranche, Moody's analysis also considers other various qualitative factors such as legal and documentation features as well as the role and performance of service providers such as the collateral manager. The Issuer has issued the Refinancing Notes on February 27, 2019 in connection with the refinancing of all classes of secured notes previously issued on December 22, 2015. On the Refinancing Date, the Issuer used proceeds from the issuance of the Refinancing Notes, along with the proceeds from the issuance of one additional class of subordinated notes, to redeem in full the Refinanced Original Notes. In addition to the issuance of the Refinancing Notes and additional subordinated notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and the non-call period; changes to certain collateral quality tests; and changes to the overcollateralization test levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2017. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $500,000,000 Diversity Score: 80 Weighted Average Rating Factor (WARF): 3072 Weighted Average Spread (WAS): 3.45% Weighted Average Coupon (WAC): 6.50% Weighted Average Recovery Rate (WARR): 47.5% Weighted Average Life (WAL): 9 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2017. The Credit Rating for Carlyle Global Market Strategies CLO 2015-5, Ltd. was assigned in accordance with Moody's existing Methodology entitled "Moody's Global Approach to Rating Collateralized Loan Obligations," dated August 31, 2017. Please note that on November 14, 2018, Moody's released a Request for Comment, in which it has requested market feedback on potential revisions to its Methodology for Collateralized Loan Obligations. If the revised Methodology is implemented as proposed, Moody's does not expect the changes to affect the Credit Rating on Carlyle Global Market Strategies CLO 2015-5, Ltd. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. CITIGROUP COMMERCIAL 2015-GC29: Fitch Affirms B on Class F Certs ---------------------------------------------------------------- Fitch Ratings has affirmed 14 classes of Citigroup Commercial Mortgage Trust series 2015-GC29 commercial mortgage pass-through certificates. KEY RATING DRIVERS Stable Overall Performance and Loss Expectations: The affirmations are based on the overall stable performance of the underlying collateral and expected losses that are generally in line with Fitch's last rating action. As of the February 2019 remittance report, there were three (1.1% of the pool) specially serviced loans and eight loans (5.4% of pool) that were flagged as Fitch Loans of Concern (FLOCs), including one loan in the top 15 (2.3%) with declining performance because of exposure to the oil and gas industry. There have been no realized losses to date. The largest FLOC (2.3%) is collateralized by a multifamily property in Lafayette, LA, which has experienced performance decline primarily due to exposure to the oil and gas industry, as many tenants are employed by energy companies. Servicer reported NOI DSCR and occupancy as of September 2018 declined to 1.28x and 89%, from 1.40x and 97.5%, respectively. Minimal Change to Credit Enhancement: As of the February 2019 distribution date, the pool's aggregate principal balance has been paid down by 3.4% to $1.08 billion from $1.12 billion at issuance. Five loans (3.5%) have been defeased. Interest shortfalls are currently affecting class H. At issuance, the pool was scheduled to amortize by 8.4% of the original pool balance through maturity. Of the current pool, five loans (40.3%) are full-term interest-only and 15 loans (17.9%) are partial-term interest-only that have not started to amortize. ADDITIONAL CONSIDERATIONS Pari Passu Loans: Six loans comprising 28% of the pool are part of a pari passu loan combination: Selig Office Portfolio (11.5% of the pool), 3 Columbus Circle (9.2% of the pool), 170 Broadway (4.6% of the pool), Crowne Plaza Bloomington (1.2% of the pool), Eastmont Town Center (1.1% of the pool) and Commerce Pointe I & II (0.5% of the pool). The Selig Office Portfolio, 170 Broadway and Crowne Plaza Bloomington loan combinations are serviced under the pooling and servicing agreement for this transaction. The controlling notes for the 3 Columbus Circle, Eastmont Town Center and Commerce Pointe I & II loan combinations are held outside the trust. Limited Hotel and Retail Exposure: Only 6.0% of the pool by balance consists of hotel properties. Retail properties make up 17.2% of the pool balance, and none are considered regional malls. Maturity Schedule: Five loans (11.9% of the pool) are scheduled to mature in 2020. The next scheduled loan maturities are in 2024 (five loans, 3.4% of the pool) with the remainder of the pool maturing in 2025 (74 loans; 84.7%). RATING SENSITIVITIES The Rating Outlook on all classes remains Stable given the relatively stable performance of the transaction since issuance. Fitch does not foresee positive or negative ratings migration until a material economic or asset-level event changes the transaction's overall portfolio level metrics. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third-party due diligence was provided or reviewed in relation to this rating. Fitch has affirmed the following classes: -- $137,930,675 class A-2 at 'AAAsf'; Outlook Stable; -- $220,000,000 million class A-3 at 'AAAsf'; Outlook Stable; -- $334,415,000 class A-4 at 'AAAsf'; Outlook Stable; -- $52,822,000 million class A-AB at 'AAAsf'; Outlook Stable; -- $801,093,675* class X-A at 'AAAsf'; Outlook Stable; -- $72,704,000* class X-B at 'AA-sf'; Outlook Stable; -- $55,926,000(a) class A-S at 'AAAsf'; Outlook Stable; -- $72,704,000(a) class B at 'AA-sf'; Outlook Stable; -- $180,362,000(a) class PEZ at 'A-sf'; Outlook Stable; -- $51,732,000(a) class C at 'A-sf'; Outlook Stable; -- $65,713,000 class D at 'BBB-sf'; Outlook Stable; -- $65,713,000* class X-D at 'BBB-sf; Outlook Stable; -- $23,769,000 class E at 'BBsf'; Outlook Stable; -- $11,185,000 class F at 'Bsf'; Outlook Stable. * Notional amount and interest only. (a) The class A-S, class B and class C certificates may be exchanged for class PEZ certificates, and class PEZ certificates may be exchanged for the class A-S, class B and class C certificates. Class A-1 has paid in full. Fitch does not rate the class G and H certificates. COMM 2014-CCRE14: Moody's Cuts Class E Certs Rating to B3 --------------------------------------------------------- Moody's Investors Service has affirmed the ratings on nine classes and downgraded the ratings on three classes in COMM 2014-CCRE14 Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2014-CCRE14 as follows: Cl. A-2, Affirmed Aaa (sf); previously on Apr 27, 2018 Affirmed Aaa (sf) Cl. A-SB, Affirmed Aaa (sf); previously on Apr 27, 2018 Affirmed Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on Apr 27, 2018 Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Apr 27, 2018 Affirmed Aaa (sf) Cl. A-M, Affirmed Aaa (sf); previously on Apr 27, 2018 Affirmed Aaa (sf) Cl. B, Affirmed Aa3 (sf); previously on Apr 27, 2018 Affirmed Aa3 (sf) Cl. C, Affirmed A3 (sf); previously on Apr 27, 2018 Affirmed A3 (sf) Cl. D, Downgraded to Ba1 (sf); previously on Apr 27, 2018 Affirmed Baa3 (sf) Cl. E, Downgraded to B3 (sf); previously on Apr 27, 2018 Downgraded to B1 (sf) Cl. F, Downgraded to Caa3 (sf); previously on Apr 27, 2018 Downgraded to Caa1 (sf) Cl. PEZ**, Affirmed A1 (sf); previously on Apr 27, 2018 Affirmed A1 (sf) Cl. X-A*, Affirmed Aaa (sf); previously on Apr 27, 2018 Affirmed Aaa (sf) * Reflects Interest Only Classes ** Reflects Exchangeable Classes RATINGS RATIONALE The ratings on seven principal and interest (P&I) classes were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The ratings on three P&I classes were downgraded due to anticipated losses from specially serviced and troubled loans. The rating on one interest only (IO) class was affirmed based on the credit quality of the referenced classes. The rating on one exchangeable class PEZ was affirmed due to the weighted average rating factor (WARF) of the exchangeable classes. Moody's rating action reflects a base expected loss of 5.4% of the current pooled balance, compared to 4.5% at Moody's last review. Moody's base expected loss plus realized losses is now 4.2% of the original pooled balance, the same as at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The methodologies used in rating all classes except exchangeable classes and interest-only classes were "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in July 2017 and "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. The methodologies used in rating exchangeable classes were "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in July 2017, "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017, and "Moody's Approach to Rating Repackaged Securities" published in June 2015. The methodologies used in rating interest-only classes were "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in July 2017, "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017, and "Moody's Approach to Rating Structured Finance Interest Only (IO) Securities" published in February 2019. The Credit Rating for COMM 2014-CCRE14 Mortgage Trust, Cl. PEZ was assigned in accordance with Moody's existing Methodology entitled "Moody's Approach to Rating Repackaged Securities" dated June 2015. Please note that on November 14, 2018, Moody's released a Request for Comment, in which it has requested market feedback on potential revisions to its Methodology for rating repackaged securities. If the revised Methodology is implemented as proposed, the Credit Rating on COMM 2014-CCRE14 Mortgage Trust, Cl. PEZ may be positively affected. DEAL PERFORMANCE As of the February 12, 2019 distribution date, the transaction's aggregate certificate balance has decreased by 22% to $1.08 billion from $1.38 billion at securitization. The certificates are collateralized by 49 mortgage loans ranging in size from less than 1% to 14% of the pool, with the top ten loans (excluding defeasance) constituting 61% of the pool. Two loans, constituting 25% of the pool, have investment-grade structured credit assessments. Three loans, constituting 3% of the pool, have defeased and are secured by US government securities. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 15, compared to a Herf of 18 at Moody's last review. Nine loans, constituting 20% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Five loans, constituting 4.4% of the pool, are currently in special servicing. The largest specially serviced loan is the McKinley Mall Loan ($25.7 million -- 2.4% of the pool), which represents a 73.7% pari-passu portion of a $34.8 million first mortgage loan. The loan is secured by a 728,133 square foot (SF) portion of an 847,000 SF regional mall located in Buffalo, New York. The loan transferred to special servicing in April 2018. The property lost anchor tenant Macy's in 2017 and anchor tenant Bon-Ton in 2018. Current anchors include: Sears and JC Penney. The property's revenue has declined year over year and the net operating income (NOI) is below that of securitization. The loan is delinquent and has taken significant appraisal reductions. The remaining four specially serviced loans are secured by multifamily properties in North Dakota. Moody's has also assumed a high default probability for one poorly performing loan, constituting less than 1% of the pool. Moody's estimates an aggregate $40.9 million loss for the specially serviced and troubled loans (a 72% expected loss on average). As of the February 12, 2019 remittance statement cumulative interest shortfalls were $2.1 million. Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced loans and/or modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. Moody's received full year 2017 operating results for 100% of the pool, and full or partial year 2018 operating results for 99% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 105%, compared to 106% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 14% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 10%. Moody's actual and stressed conduit DSCRs are 1.35X and 1.01X, respectively, compared to 1.35X and 1.00X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The largest loan with a structured credit assessment is the 60 Hudson Street Loan ($155.0 million -- 14.4% of the pool), which represents a 55.4% pari-passu portion of a $280.0 million mortgage loan. The loan is secured by a 24-story, mission critical telecommunications and data center building located in the Tribeca neighborhood of New York City. The property is widely regarded as one of the world's most connected telecommunications and data center buildings. As of September 2018, the property was 75% leased, compared to 76% as of February 2017 and August 2016. Moody's structured credit assessment and stressed DSCR are aaa (sca.pd) and 1.81X, respectively. The other loan with a structured credit assessment is the 625 Madison Avenue loan ($110.0 million, 10.2% of the pool), which represents a 56.4% pari-passu portion of a $195 million first mortgage loan. The loan is secured by the fee interest in a 0.81-acre parcel of land located at 625 Madison Avenue between East 58th and East 59th Street in New York City. The property is also encumbered with $195 million of mezzanine debt. The fee interest is subject to a ground lease pursuant to which the ground tenant constructed, developed and owns the improvements that sit on top of the ground. The improvements consist of a 17-story, mixed-use building, and the ground tenant's interest in the improvements is not collateral for the 625 Madison Avenue loan. Moody's structured credit assessment is aa2 (sca.pd). The top three conduit loans represent 22.5% of the pool balance. The largest loan is the Google and Amazon Office Portfolio Loan ($152.8 million -- 14.2% of the pool), which represents a 34.3% pari-passu portion of a $445.9 million mortgage. The property is also encumbered by $67.8 million of mezzanine debt. The loan is secured by an office portfolio located in Sunnyvale, California. The Moffett Towers Building D (Amazon Building) is a newly constructed eight-story, Class A office building containing 357,481 SF. It is part of a seven-building campus. A2Z Development, a wholly owned subsidiary of Amazon, will use the space for design and product development for the Kindle e-reader. The Google Campus is comprised of four, four-story, Class A office buildings totaling 700,328 SF, which is part of a six-building office campus known as Technology Corners. Moody's LTV and stressed DSCR are 110% and 0.92X, respectively, compared to 112% and 0.91X at the last review. The second largest loan is the Highland Hills Apartments Loan ($50.7 million -- 4.7% of the pool), which is secured by a 826-unit student housing property located in Mankato, Minnesota. The property was constructed in three separate phases between 1963 and 2011, consisting of Class B/C quality. The property is located directly across from Minnesota State University. As of September 2018, the property was 90% leased, compared to 83% leased as of September 2017, 76% as of December 2016, and 98% at securitization. Property performance declined along with occupancy in 2016 and 2017. Moody's LTV and stressed DSCR are 106% and 0.91X, respectively, compared to 108% and 0.90X at the last review. The third largest loan is the 175 West Jackson Loan ($38.7 million -- 3.6% of the pool), which is secured by a Class A, 22-story office building totaling 1.45 million SF and located within the CBD of Chicago, Illinois. The loan had transferred to special servicing March 2018 for imminent monetary default. The loan was assumed by Brookfield Property Group as the new sponsor, in connection with the purchase of the property. The loan returned to the master servicer in August 2018. Moody's LTV and stressed DSCR are 113% and 0.86X, respectively, compared to 114% and 0.85X at the last review. CSAIL 2019-C15: DBRS Gives Prov. B(high) Rating on Class G-RR Certs ------------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2019-C15 to be issued by CSAIL 2019-C15 Commercial Mortgage Trust: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (sf) -- Class X-B at A (high) (sf) -- Class X-D at A (low) (sf) -- Class C at A (sf) -- Class D at BBB (high) (sf) -- Class E-RR at BBB (sf) -- Class F-RR at BB (high) (sf) -- Class G-RR at B (high) (sf) All trends are Stable. The collateral consists of 36 fixed-rate loans secured by 83 commercial and multifamily properties. The transaction is a sequential-pay pass-through structure. Three loans, representing 15.6% of the pool, are shadow rated investment grade by DBRS. Proceeds for the shadow-rated loans are floored at their respective ratings within the pool. When 15.6% of the pool have no proceeds assigned below the rated floor, the resulting subordination is diluted or reduced below the rated floor. The conduit pool was analyzed to determine the ratings, reflecting the long-term probability of loan default within the term and its liquidity at maturity. When the cut-off loan balances were measured against the DBRS Stabilized net cash flow and their respective actual constants, nine loans, representing 26.3% of the pool balance have DBRS Term debt service coverage ratios (DSCRs) below 1.15 times (x), a threshold indicative of a higher likelihood of mid-term default. Additionally, to assess refinance risk given the current low-interest rate environment, DBRS applied its refinance constants to the balloon amounts. This action resulted in 22 loans, representing 69.7% of the pool, having refinanced DSCRs below 1.00x and 19 loans, representing 57.8% of the pool, having refinanced DSCRs below 0.90x. Six loans, representing 18.5% of the pool, have collateral in super-dense urban and urban markets with increased liquidity that benefits from consistent investor demand, even in times of stress. Urban markets represented in the deal include New York City, Brooklyn, Beverly Hills, Culver City, Seattle, and San Antonio. Only two loans, totaling 10.2% of the transaction balance, are secured by properties that are primarily leased to a single tenant. The largest of these loans is the headquarters of Darden Restaurants, Inc., a multi-brand restaurant operator headquartered in Orlando, Florida, representing 9.7% of the pool balance and 95.7% of the single-tenant concentration. Loans secured by properties occupied by single-tenants have been found to suffer higher loss severities in an event of default. Fifteen loans, representing 47.4% of the pool, including eight of the largest 15 loans, are structured with interest-only (IO) payments for the full term. An additional 15 loans, representing 46.6% of the pool, have partial-IO periods ranging from 23 months to 60 months. The full-term IO concentration includes 2 North 6th Place, SITE JV Portfolio and 787 Eleventh Avenue, the three shadow-rated loans, which collectively represent 15.6% of the pool and 33.0% of the full-term IO concentration. Of these 15 loans, six loans, representing 18.5% of the transaction's full-IO concentration, have excellent locations in super-dense urban and urban markets that benefit from steep investor demand. The DBRS Term DSCR is calculated using the amortizing debt-service obligation and the DBRS Refinance (Refi) DSCR is calculated considering the balloon balance and lack of amortization when determining to refinancing risk. DBRS determines the probability of default (POD) based on the lower of the DBRS Term DSCR or DBRS Refi DSCR; therefore, loans that lack amortization will be treated more punitively. The DBRS Refi DSCR is 0.92x, indicating a higher refinance risk on an overall pool level. In addition, 22 loans, representing 69.7% of the pool, have DBRS Refi DSCRs below 1.00x. Nineteen of these loans, comprising 57.8% of the pool, have DBRS Refi DSCRs less than 0.90x, including five of the top ten loans. These metrics are based on whole-loan balances. Two of the pool's loans with a DBRS Refi DSCR below 0.90x, 787 Eleventh Avenue and 2 North 6th Street, which represent 9.6% of the transaction balance, are shadow-rated investment grade by DBRS and have a large piece of subordinate mortgage debt outside the trust. Based on A-note balances only, the deal's weighted-average (WA) DBRS Refi DSCR improves substantially to 1.02x and the concentration of loans with DBRS Refi DSCRs below 1.00x and 0.90x reduces to 59.8% and 48.0%, respectively. The pool's DBRS Refi DSCRs for these loans are based on a WA stressed refinance constant of 9.91%, which implies an interest rate of 9.4% amortizing on a 30-year schedule. This represents a significant stress of 4.2% over the WA contractual interest rate of the loans in the pool. DBRS models the POD based on the more constraining of the DBRS Term DSCR and DBRS Refi DSCR. Classes X-A, X-B, and X-D are IO certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. Notes: All figures are in U.S. dollars unless otherwise noted. CSMC TRUST 2019-RPL1: Fitch to Rate $6.23MM Class B-2 Notes 'Bsf' ----------------------------------------------------------------- Fitch Ratings expects to rate Credit Suisse's CSMC 2019-RPL1 Trust (CSMC 2019-RPL1) as follows: -- $249,092,000 class A-1A notes 'AAAsf'; Outlook Stable; -- $43,957,000 class A-1B notes 'AAAsf'; Outlook Stable; -- $293,049,000 class A1 exchangeable notes 'AAAsf'; Outlook Stable; -- $20,230,000 class M-1 notes 'AAsf'; Outlook Stable; -- $18,150,000 class M-2 notes 'Asf'; Outlook Stable; -- $14,180,000 class M-3 notes 'BBBsf'; Outlook Stable; -- $7,752,000 class B-1 notes 'BBsf'; Outlook Stable; -- $6,239,000 class B-2 notes 'Bsf'; Outlook Stable. Fitch will not be rating the following classes: -- $9,075,000 class B-3 notes; -- $9,453,531 class B-4 notes; -- $32,519,531 class B-5 exchangeable notes; -- $1,241,251 class SA notes; -- $378,128,531 class PT exchangeable notes. Fitch Ratings expects to rate the residential mortgage-backed notes to be issued by CSMC 2019-RPL1 Trust (CSMC 2019-RPL1) as indicated above. The notes are supported by one collateral group that consists of 2,195 seasoned performing mortgages with a total balance of approximately $378.1 million, which includes $28.6 million, or 7.6%, of the aggregate pool balance in non-interest-bearing deferred principal amounts, as of the cut-off date. Distributions of principal and interest (P&I) and loss allocations are based on a traditional senior subordinate, sequential structure. The transaction is expected to close on Feb 28, 2019. The 'AAAsf' rating on the class A-1B notes reflects the 22.50% subordination provided by the 5.35% class M-1, 4.80% class M-2, 3.75% class M-3, 2.05% class B-1, 1.65% class B-2, 2.40% class B3, and 2.50% class B4 notes. Fitch's ratings on the notes reflect the credit attributes of the underlying collateral, the quality of the representation (rep) and warranty framework, minimal due diligence findings and the sequential pay structure. KEY RATING DRIVERS High Borrower Equity (Positive): The pool comprises loans that have some of the highest equity in the property for recent Fitch-rated RPL transactions even after taking into account Fitch's sustainable market value decline. The loans are seasoned close to 13 years and updated property values indicate a current LTV of 57.2 and an sLTV of 60.6 in the base case. The large borrower equity results in lower projected loss severities as well as a higher chance of ultimately resolving without a loss. Dirty Current Loans (Negative): Borrower performance as evidenced by the recent pay history is weaker compared to recent Fitch-rated RPL transactions. Only one-third of the pool has been paying on time for the past three years, with 62.7% paying on time for the past two years. Of the remaining 37.3% that has exhibited a recent delinquency, 17.3 % has been within the past year and 6.4% within the past six months. Sequential-Pay Structure (Positive): The transaction's cash flow is based on a sequential-pay structure, whereby the subordinate classes do not receive principal until the senior classes are repaid in full. Losses are allocated in reverse-sequential order. Furthermore, the provision to re-allocate principal to pay interest on the 'AAAsf' and 'AAsf' rated notes prior to other principal distributions is highly supportive of timely interest payments to those classes in the absence of servicer advancing. Deferred Amounts (Negative): Non-interest-bearing principal forbearance amounts totalling $28.6 million (7.6% of the pool) are outstanding on 750 loans. Fitch included the deferred amounts when calculating the borrower's LTV and sLTV despite the lower payment and amounts not being owed during the term of the loan. The inclusion resulted in higher PDs and LS than if there were no deferrals. Fitch believes that borrower default behavior for these loans will resemble that of the higher LTVs, as exit strategies (that is, sale or refinancing) will be limited relative to those borrowers with more equity in the property. Unpaid Interest in Loss (Mixed): The servicer will not be advancing delinquent monthly payments of P&I, which reduces liquidity to the trust. The loan-level loss severities (LS) for this transaction still assume the full interest carry on the loans as liquidation proceeds are allocated to the interest remittance amount. This resulted in higher loss severities compared to other Fitch-rated RPL transactions but resulted in a lower spread between the expected loss and required credit enhancement (CE). Representation Framework (Negative): Fitch considers the representation, warranty, and enforcement (RW&E) mechanism construct for this transaction to generally be consistent with what it views as a Tier 2 framework, due to the inclusion of knowledge qualifiers and the exclusion of loans from certain reps as a result of third-party due diligence findings. Fitch increased its 'AAAsf' expected loss expectations by roughly 134 bps to account for a potential increase in defaults arising from weaknesses in the reps. Limited Life of Rep Provider (Negative): The sponsor, DLJ Mortgage Capital, Inc.'s (DLJ), as rep provider, will only be obligated to repurchase a loan due to breaches prior to the payment date in February 2020. Thereafter, a reserve fund will be available to cover amounts due to noteholders for loans identified as having rep breaches. Amounts on deposit in the reserve fund, as well as the increased level of subordination, will be available to cover additional defaults and losses resulting from rep weaknesses or breaches occurring on or after the payment date in March. Low Operational Risk (Positive): Credit Suisse has an established track record in residential mortgage activities and has an 'Acceptable' aggregator assessment from Fitch. The transaction benefits from third-party due diligence performed primarily by a Fitch Tier 1 third-party review (TPR) firm on a high percentage (78%) of the pool. The results of the due diligence reviews are consistent with low operational risk, and the sponsor/affiliate's retention of at least 5% of the bonds should help align issuer and bondholder interests. CRITERIA APPLICATION Fitch analyzed the transaction in accordance with its criteria, as described in its report, "U.S. RMBS Rating Criteria." This incorporates a review of the originators' lending platforms, as well as an assessment of the transaction's R&Ws provided by the originators and arranger, which were found to be consistent with the ratings assigned to the certificates. Fitch's analysis incorporated one criteria variation from "U.S. RMBS Seasoned, Re-Performing and Non-Performing Loan Rating Criteria", which is described below. The variation to the "U.S. RMBS Seasoned, Re-Performing and Non-Performing Loan Rating Criteria" relates to the use of updated FICOs for all loans in the pool. Fitch normally uses the original FICO for loans that have had a delinquency within the past 12 months so as to not double penalize the loans as the updated FICO will already reflect the missed payments. As original FICOs were not provided for this pool, Fitch's default FICO assumption is more punitive than using the updated FICO which is counter-intuitive to the standard approach. While the updated FICOs already take into account the spotty pay history, this approach does not overly penalize the loans in the pool and is better reflective of the borrower's current credit profile. There was no impact on the expected ratings as a result of the variation. Modelling Fitch analyzed the credit characteristics of the underlying collateral to determine base case and rating stress loss expectations, using its residential mortgage loss model, which is fully described in its criteria report, "U.S RMBS Loan Loss Model Rating Criteria." Fitch simulated transaction cash flow scenarios using various cash flow modeling assumptions, as described in its criteria report, "U.S. RMBS Cash Flow Analysis Criteria." The structure was analyzed using a customized version of Fitch's US RMBS Cashflow Assumptions Model. The customization was done to differentiate between liquidation proceeds that should be allocated to the principal remittance amount and the interest remittance amount in accordance with the transaction documents. RATING SENSITIVITIES Fitch's analysis incorporates sensitivity analyses to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at both the metropolitan statistical area (MSA) and national levels. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or be considered in the surveillance of the transaction. Fitch conducted sensitivity analysis determining how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20%, and 30%, in addition to the model-projected 5.7% at the base case. The analysis indicates there is some potential rating migration with higher MVDs, compared with the model projection. Fitch also conducted sensitivities to determine the stresses to MVDs that would reduce a rating by one full category, to non-investment grade, and to 'CCCsf'. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by AMC Diligence, LLC (AMC), and Opus, which were engaged to perform a regulatory compliance and data integrity third-party due diligence review on the loans. Additionally, Fitch was provided with Form 15E from Residential RealEstate Review Management Inc. (RRR), which was engaged to perform a pay history review and tax, title and lien review. The third-party due diligence described in Form 15E focused on regulatory compliance review and 24-month pay-history review. The results of the reviews indicated that 274 loans or 13% of the loans subject to due diligence were graded 'D,' which is modestly lower than the industry average for Fitch reviewed transactions. Roughly half of the 'D' grade exceptions were due to missing documentation that did not prevent successful testing for predatory lending, and the exceptions did not carry assignee liability. Fitch did not make any loss adjustments for these findings. However, adjustments were applied to 147 loans for which predatory lending compliance could not be tested with confidence. These adjustments are common for RPL transactions and increased expected losses by approximately 25bps. DRYDEN 75 CLO: S&P Assigns BB- (sf) Rating on Class E Notes ----------------------------------------------------------- S&P Global Ratings assigned its ratings to Dryden 75 CLO Ltd.'s floating-rate notes. The note issuance is a collateralized loan obligation (CLO) transaction backed by at least 95.0% senior secured loans, with a minimum of 90.0% of the loan issuers required to be based in the U.S. or Canada. The ratings are based on information as of Feb. 11, 2019. Subsequent information may result in the assignment of final ratings that differ from the ratings. The ratings reflect: -- The diversified collateral pool, which consists primarily of broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests; -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization; -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading; and -- The transaction's legal structure, which is expected to be bankruptcy remote. RATINGS ASSIGNED Dryden 75 CLO Ltd./Dryden 75 CLO LLC Class Rating Amount (mil. $) A AAA (sf) 286.88 B AA (sf) 46.75 C (deferrable) A (sf) 25.50 D (deferrable) BBB- (sf) 14.88 E (deferrable) BB- (sf) 19.13 Subordinated notes NR 35.65 NR--Not rated. FREDDIE MAC 2019-HQA1: Fitch Rates 16 Note Tranches 'B+sf' ---------------------------------------------------------- Fitch Ratings has assigned ratings to Freddie Mac's Structured Agency Credit Risk Trust 2019-HQA1 (STACR 2019-HQA1) as follows: -- $131,000,000 class M-1 notes 'BBB-sf'; Outlook Stable; -- $152,500,000 class M-2A notes 'BBsf'; Outlook Stable; -- $152,500,000 class M-2B notes 'B+sf'; Outlook Stable; -- $305,000,000 class M-2 exchangeable notes 'B+sf'; Outlook Stable; -- $305,000,000 class M-2R exchangeable notes 'B+sf'; Outlook Stable; -- $305,000,000 class M-2S exchangeable notes 'B+sf'; Outlook Stable; -- $305,000,000 class M-2T exchangeable notes 'B+sf'; Outlook Stable; -- $305,000,000 class M-2U exchangeable notes 'B+sf'; Outlook Stable; -- $305,000,000 class M-2I notional exchangeable notes 'B+sf'; Outlook Stable; -- $152,500,000 class M-2AR exchangeable notes 'BBsf'; Outlook Stable; -- $152,500,000 class M-2AS exchangeable notes 'BBsf'; Outlook Stable; -- $152,500,000 class M-2AT exchangeable notes 'BBsf'; Outlook Stable; -- $152,500,000 class M-2AU exchangeable notes 'BBsf'; Outlook Stable; -- $152,500,000 class M-2AI notional exchangeable notes 'BBsf'; Outlook Stable; -- $152,500,000 class M-2BR exchangeable notes 'B+sf'; Outlook Stable; -- $152,500,000 class M-2BS exchangeable notes 'B+sf'; Outlook Stable; -- $152,500,000 class M-2BT exchangeable notes 'B+sf'; Outlook Stable; -- $152,500,000 class M-2BU exchangeable notes 'B+sf'; Outlook Stable; -- $152,500,000 class M-2BI notional exchangeable notes 'B+sf'; Outlook Stable; -- $152,500,000 class M-2RB exchangeable notes 'B+sf'; Outlook Stable; -- $152,500,000 class M-2SB exchangeable notes 'B+sf'; Outlook Stable; -- $152,500,000 class M-2TB exchangeable notes 'B+sf'; Outlook Stable; -- $152,500,000 class M-2UB exchangeable notes 'B+sf'; Outlook Stable. Fitch will not be rating the following classes: -- $19,825,770,945 class A-H reference tranche; -- $55,839,726 class M-1H reference tranche; -- $65,479,680 class M-2AH reference tranche; -- $65,479,680 class M-2BH reference tranche; -- $65,500,000 class B-1A notes; -- $27,919,863 class B-1AH reference tranche; -- $65,500,000 class B-1B notes; -- $27,919,863 class B-1BH reference tranche; -- $36,500,000 class B-2A notes; -- $15,399,924 class B-2AH reference tranche; -- $36,500,000 class B-2B notes; -- $15,399,924 class B-2BH reference tranche; -- $20,759,971 class B-3H reference tranche; -- $131,000,000 class B-1 exchangeable notes; -- $73,000,000 class B-2 exchangeable notes; -- $65,500,000 class B-1AR exchangeable notes; -- $65,500,000 class B-1AI notional exchangeable notes; -- $36,500,000 class B-2AR exchangeable notes; -- $36,500,000 class B-2AI notional exchangeable notes. TRANSACTION SUMMARY The reference pool for STACR 2019-HQA1 will consist of loans with loan to value ratios greater than 80% and less than or equal to 97% that were acquired by Freddie Mac between April 1, 2018 and June 30, 2018. The notes will be issued from a special-purpose trust whose security interest consists of the custodian account and a credit protection agreement with Freddie Mac. Funds in the custodian account will be used to pay principal on the notes and to make payments to Freddie Mac for mortgage loans that experience certain credit events. The notes will be issued as LIBOR-based floaters and carry a 30-year legal final maturity. Freddie Mac is responsible for making interest payments through a credit protection agreement with the trust. The ratings on the M-1, M-2A and M-2B notes are limited to the lower of 1) the quality of the mortgage loan reference pool and CE available through subordination and 2) Freddie Mac's IDR. KEY RATING DRIVERS High-Quality Mortgage Pool (Positive): The reference mortgage loan pool consists of high-quality loans acquired by Freddie Mac between April 1, 2018 and June 30, 2018. The reference pool will consist of loans with loan to value (LTV) ratios greater than 80% and less than or equal to 97%. Overall, the reference pool's collateral characteristics are similar to recent STACR transactions and reflect the strong credit profile of post-crisis mortgage originations. Home Possible Exposure (Negative): Approximately 26% of the reference pool (versus 18% in 2018-HQA1) was originated under Freddie Mac's Home Possible or Home Possible Advantage program, which is the largest concentration that Fitch has seen in a Fitch rated STACR transaction. The Home Possible program targets low- to moderate-income homebuyers or buyers in high-cost or underrepresented communities, and provides flexibility for a borrower's LTV, income, down payment and mortgage insurance coverage requirements. Fitch anticipates higher default risk for Home Possible loans due to measurable attributes (such as FICO, LTV and property value), which is reflected in increased credit enhancement. 30-year Legal Maturity (Negative): The M-1, M-2A, M-2B, B-1A, B-1B, B-2A and B-2B have a 30-year legal final maturity, which is different than prior Fitch-rated STACR DNA and HQA transactions, which have a 12.5-year maturity. Thus, life-of-loan losses on the reference pool will be passed through to noteholders. As a result, Fitch did not apply a maturity credit to reduce its default expectations. Clean Pay History for Loans in Disaster Areas (Positive): Freddie Mac will not remove loans in counties designated as natural disaster areas by the Federal Emergency Management Agency (FEMA). However, any loans with a prior delinquency were removed from the reference pool. In addition, Freddie Mac will remove loans that were on a disaster forbearance plan and become delinquent between the deal closing date and April 2019 if the loan is located in an area designated as a major disaster area by FEMA and FEMA authorized individual assistance to those homeowners prior to the closing date. As a result, Fitch does not consider there to be additional risk to the pool by including these loans. Mortgage Insurance Guaranteed by Freddie Mac (Positive): 98.7% of the loans are covered either by borrower paid mortgage insurance (BPMI) or lender paid MI (LPMI). While the Freddie Mac guarantee allows for credit to be given to MI, Fitch applied a haircut to the amount of BPMI available due to the automatic termination provision as required by the Homeowners Protection Act, when the loan balance is first scheduled to reach 78%. LPMI does not automatically terminate and remains for the life of the loan. Very Low Operational Risk (Positive): Fitch considers this transaction to have very low operational risk. Freddie Mac is an industry leader in residential mortgage activities and is as assessed as 'Above Average' aggregator due to the GSE's strong seller oversight and risk management controls. Due diligence for this transaction was performed by a Tier 2 third-party review firm on a statistically random sample of loans. The sampling methodology is consistent with Fitch criteria, and the results of the review indicate high loan origination quality and further verified a low level of operational risk. Solid Alignment of Interests (Positive): While the transaction is designed to transfer credit risk to private investors, Fitch believes the transaction benefits from solid alignment of interests. Freddie Mac will retain credit risk in the transaction by holding the senior reference tranche A-H, which has 4.50% of loss protection, as well as a minimum of 5% of the M-1, M-2A, M-2B, B-1A, B-1B, B-2A and B-2B reference tranches, and a 100% of the first-loss B-3H reference tranche. Initially, Freddie Mac will retain an approximately 29% vertical slice/interest through the M-1H, M-2AH, M-2BH, B-1AH, B-1BH, B-2AH and B-2BH reference tranches. Receivership Risk Considered (Neutral): Under the Federal Housing Finance Regulatory Reform Act, the Federal Housing Finance Agency (FHFA) must place Freddie Mac into receivership if it determines that the government-sponsored enterprise's (GSE) assets are less than its obligations for longer than 60 days following the deadline of its SEC filing. As receiver, FHFA could repudiate any contract entered into by Freddie Mac if it is determined that such action would promote an orderly administration of the GSE's affairs. Fitch believes that the U.S. government will continue to support Freddie Mac, as reflected in its current rating of the GSE. However, if, at some point, Fitch views the support as being reduced and receivership likely, the rating of Freddie Mac could be downgraded, and ratings on the M-1, M-2A, and M-2B notes, along with their corresponding MAC notes, could be affected. RATING SENSITIVITIES Fitch's analysis incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or may be considered in the surveillance of the transaction. Two sets of sensitivity analyses were conducted at the state and national levels to assess the effect of higher MVDs for the subject pool. This defined stress sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model projected 6.1% at the base case. The analysis indicates that there is some potential rating migration with higher MVDs, compared with the model projection. Fitch also conducted sensitivities to determine the stresses to MVDs that would reduce a rating by one full category, to non-investment grade, and to 'CCCsf'. FREDDIE MAC 2019-HQA1: S&P Assigns B+(sf) Rating on Cl. M-2 Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Freddie Mac STACR Trust 2019-HQA1's notes. The note issuance is a residential mortgage-backed securities transaction backed by fully amortizing, high loan-to-value, first-lien, fixed-rate residential mortgage loans secured by one- to four-family residences, planned-unit developments, condominiums, cooperatives, and manufactured housing to mostly prime borrowers. The ratings reflect: -- The credit enhancement provided by the subordinated reference tranches, as well as the associated structural deal mechanics; -- The credit quality of the collateral included in the reference pool--a majority of such collateral is covered by mortgage insurance backstopped by Freddie Mac; -- A credit-linked note structure that reduces the counterparty exposure to Freddie Mac for periodic principal payments but, at the same time, relies on credit premium payments from Freddie Mac (a highly rated counterparty) to make monthly interest payments and to make up for any investment losses; -- The issuer's aggregation experience and alignment of interests between the issuer and noteholders in the deal's performance, which, in S&P's view, enhances the notes' strength; and -- The enhanced credit risk management and quality control processes Freddie Mac uses in conjunction with the underlying representations and warranties framework. RATINGS ASSIGNED Freddie Mac STACR Trust 2019-HQA1 Class Rating Amount ($) A-H(i) NR 19,825,770,945 M-1 BBB (sf) 131,000,000 M-1H(i) NR 55,839,726 M-2 B+ (sf) 305,000,000 M-2R B+ (sf) 305,000,000 M-2S B+ (sf) 305,000,000 M-2T B+ (sf) 305,000,000 M-2U B+ (sf) 305,000,000 M-2I B+ (sf) 305,000,000 M-2A BB+ (sf) 152,500,000 M-2AR BB+ (sf) 152,500,000 M-2AS BB+ (sf) 152,500,000 M-2AT BB+ (sf) 152,500,000 M-2AU BB+ (sf) 152,500,000 M-2AI BB+ (sf) 152,500,000 M-2AH(i) NR 65,479,680 M-2B B+ (sf) 152,500,000 M-2BR B+ (sf) 152,500,000 M-2BS B+ (sf) 152,500,000 M-2BT B+ (sf) 152,500,000 M-2BU B+ (sf) 152,500,000 M-2BI B+ (sf) 152,500,000 M-2RB B+ (sf) 152,500,000 M-2SB B+ (sf) 152,500,000 M-2TB B+ (sf) 152,500,000 M-2UB B+ (sf) 152,500,000 M-2BH(i) NR 65,479,680 B-1 NR 131,000,000 B-1A NR 65,500,000 B-1AR NR 65,500,000 B-1AI NR 65,500,000 B-1AH(i) NR 27,919,863 B-1B NR 65,500,000 B-1BH(i) NR 27,919,863 B-2 NR 73,000,000 B-2A NR 36,500,000 B-2AR NR 36,500,000 B-2AI NR 36,500,000 B-2AH(i) NR 15,399,924 B-2B NR 36,500,000 B-2BH(i) NR 15,399,924 B-3H(i) NR 20,759,971 (i)Reference tranche only and will not have corresponding notes. Freddie Mac retains the risk of each of these tranches. NR--Not rated. GALTON FUNDING 2019-1: S&P Assigns B-(sf) Rating on Class B5 Certs ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Galton Funding Mortgage Trust 2019-1's mortgage pass-through certificates. The issuance is a residential mortgage-backed securities (RMBS) transaction backed by first-lien, fixed-rate, and adjustable-rate mortgage loans secured by one- to four-family residential properties, condominiums, and planned unit developments to primarily prime borrowers. The ratings reflect: -- The high-quality collateral in the pool; -- The available credit enhancement; -- The 100% due diligence sampling results, which is consistent with the represented loan characteristics; -- The representation and warranty framework for this transaction; and -- The transaction's associated structural mechanics. RATINGS ASSIGNED Galton Funding Mortgage Trust 2019-1 Class Rating Amount ($) A11 AA+ (sf) 223,194,000 AX11 AA+ (sf) 223,194,000(i) A12 AA+ (sf) 223,194,000 AX12 AA+ (sf) 223,194,000(i) A13 AA+ (sf) 223,194,000 AX13 AA+ (sf) 223,194,000(i) A21 AAA (sf) 197,626,000 AX21 AAA (sf) 197,626,000(i) A22 AAA (sf) 197,626,000 AX22 AAA (sf) 197,626,000(i) A23 AAA (sf) 197,626,000 AX23 AAA (sf) 197,626,000(i) A31 AA+ (sf) 25,568,000 AX31 AA+ (sf) 25,568,000(i) A32 AA+ (sf) 25,568,000 AX32 AA+ (sf) 25,568,000(i) A33 AA+ (sf) 25,568,000 AX33 AA+ (sf) 25,568,000(i) A41 AAA (sf) 158,100,800 AX41 AAA (sf) 158,100,800(i) A42 AAA (sf) 158,100,800 AX42 AAA (sf) 158,100,800(i) A43 AAA (sf) 158,100,800 AX43 AAA (sf) 158,100,800(i) A51 AAA (sf) 39,525,200 AX51 AAA (sf) 39,525,200(i) A52 AAA (sf) 39,525,200 AX52 AAA (sf) 39,525,200(i) A53 AAA (sf) 39,525,200 AX53 AAA (sf) 39,525,200(i) A61 AAA (sf) 29,643,900 AX61 AAA (sf) 29,643,900(i) A62 AAA (sf) 29,643,900 AX62 AAA (sf) 29,643,900(i) A63 AAA (sf) 29,643,900 AX63 AAA (sf) 29,643,900(i) A71 AAA (sf) 9,881,300 AX71 AAA (sf) 9,881,300(i) A72 AAA (sf) 9,881,300 AX72 AAA (sf) 9,881,300(i) A73 AAA (sf) 9,881,300 AX73 AAA (sf) 9,881,300(i) AX AA+ (sf) 223,194,000(i) B1 AA- (sf) 4,200,000 BX1 AA- (sf) 4,200,000(i) B2 A- (sf) 7,905,000 BX2 A- (sf) 7,905,000(i) B3 BBB- (sf) 4,817,000 B4 BB- (sf) 2,841,000 B5 B- (sf) 2,347,000 B6 NR 1,729,632 XS NR 247,033,632.73(i) R NR N/A LT-R NR N/A (i)Notional balance. NR--Not rated. N/A--Not applicable. GRACE MORTGAGE 2014-GRCE: Fitch Affirms B on $25MM Class G Certs ---------------------------------------------------------------- Fitch Ratings has affirmed the ratings for all classes of GRACE 2014-GRCE Mortgage Trust, commercial mortgage pass-through certificates. KEY RATING DRIVERS Stable Performance: Overall, the underlying property performance remains in line with Fitch's issuance expectations. Occupancy has improved to 95.2% in December 2018 from 85% in March 2017 as a result of new leasing activity and renewals. Although expenses have increased since issuance, this is mainly attributable to an increase in management fees, which are subordinate to the debt service. Major Upcoming Tenant Rollover: Home Box Office (HBO) is currently the largest tenant, leasing 22.4% of the NRA on a lease that has already expired as of December 2018. The tenant's parent company, Time Warner, is expected to take occupancy of the newly constructed space at 30 Hudson Yards sometime in 2019 and consolidate the operations of the subject tenant at the new building. The servicer has not provided a move-out date yet, and the date of delivery of space at 30 Hudson Yards has not been confirmed. At issuance, Fitch was aware that HBO was not likely to renew its lease at the subject. Bank of America has already leased three floors of HBO's space (6.4% of the NRA). Additionally, the second largest tenant Cooley, LLP (7.4% of the NRA) also has an upcoming lease expiration in April 2019 and will be vacating. The Trade Desk has signed a lease for the majority of this space (6.1% of the NRA) and a smaller existing tenant will be expanding into the remaining space. Collateral Quality: The Grace Building is a well-known class A office tower with an iconic design. The property received $34.5 million of renovations between 2010 and 2014, including upgrades to the building's common areas, plaza renovations, modernization of the lobby and entrances, new elevator cabs, enhanced security and upgraded retail spaces. Fitch assigned The Grace Building a property quality grade of 'A' at issuance. Excellent Location: The asset is situated in a highly desirable location overlooking Bryant Park in Manhattan's Grand Central submarket. It has excellent access to public transportation. High Trust Leverage: Fitch's stressed debt service coverage ratio (DSCR) for the trust component of the debt is 0.92x, and the stressed loan to value (LTV) is 94.9%. The Fitch stressed value, which represents a significant cut to the appraiser's value at issuance, is considered conservative relative to the property's quality, location and recent comparable sales in the submarket. Structural Features: The loan, which is interest only for the full seven-year term, has cash management provisions. The certificates follow a standard sequential pay structure. All upfront reserves that were funded at securitization have been depleted. The Grace Building is 49.9% owned by an affiliate of Trizec Properties, Inc. (controlled by a partnership of Brookfield Office Properties Inc.) and 50% owned by an affiliate of The Swig Company, LLC. The property is managed by TRZ Holdings IV LLC and sub-managed by Brookfield Properties under a management agreement that initially expired in February 2017, but was renewed through February 2022. The management agreement automatically renews for additional five-year terms unless notice or cancellation is provided at least 30 days prior to the end of a term. RATING SENSITIVITIES The Rating Outlook for all classes is Stable, based on the stable collateral performance, the asset's excellent market location and collateral quality. Although there is concern regarding the upcoming departure of two major tenants, the borrower and leasing team have shown their capacity to retenant the property as indicated by recent leasing activity. Should occupancy decline and remain below market for an extended period of time, downgrades may occur. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third-party due diligence was received or reviewed in relation to this rating action. Fitch has affirmed the following ratings: -- $520,598,000 class A at 'AAAsf'; Outlook Stable; -- $74,078,000 class B at 'AA-sf'; Outlook Stable; -- $594,676,000* class X-A at 'AA-sf'; Outlook Stable; -- $51,324,000 class C at 'A-sf'; Outlook Stable; -- $18,000,000 class D at 'A-sf'; Outlook Stable; -- $96,000,000 class E at 'BBB-sf'; Outlook Stable; -- $115,000,000 class F at 'BB-sf'; Outlook Stable; -- $25,000,000 class G at 'Bsf'; Outlook Stable. * Notional amount and interest-only GS MORTGAGE 2019-GC38: Fitch Rates $7.5MM Class H-RR Certs 'B-sf' ----------------------------------------------------------------- Fitch Ratings has assigned the following ratings and Rating Outlooks to GS Mortgage Securities Trust 2019-GC38 Commercial Mortgage Pass-Through Certificates, Series 2019-GC38: -- $9,271,000 class A-1 'AAAsf'; Outlook Stable; -- $77,492,000 class A-2 'AAAsf'; Outlook Stable; -- $190,000,000 class A-3 'AAAsf'; Outlook Stable; -- $235,678,000 class A-4 'AAAsf'; Outlook Stable; -- $17,070,000 class A-AB 'AAAsf'; Outlook Stable; -- $590,026,000a class X-A 'AAAsf'; Outlook Stable; -- $71,862,000a class X-B 'A-sf'; Outlook Stable; -- $60,515,000 class A-S 'AAAsf'; Outlook Stable; -- $36,877,000 class B 'AA-sf'; Outlook Stable; -- $34,985,000 class C 'A-sf'; Outlook Stable; -- $20,916,000b class D 'BBBsf'; Outlook Stable; -- $20,916,000ab class X-D 'BBBsf'; Outlook Stable; -- $17,852,000bc class E-RR 'BBB-sf'; Outlook Stable; -- $9,456,000bc class F-RR 'BB+sf'; Outlook Stable; -- $8,510,000bc class G-RR 'BB-sf'; Outlook Stable; -- $7,564,000bc class H-RR 'B-sf'; Outlook Stable. The following class is not rated by Fitch: -- $30,258,365bc class I-RR. (a) Notional amount and interest-only. (b) Privately placed and pursuant to Rule 144A. (c) Horizontal credit risk retention interest. Since Fitch published its expected ratings on Feb. 7, 2019, the balances for class A-3, class A-4, class D, class E-RR, class X-D certificates were finalized. At the time that the expected ratings were assigned, the exact initial certificate balances of the class A-3 and class A-4 were unknown and expected to be within the range of $50,000,000 to $190,000,000 for class A-3 and between $235,678,000 to $375,678,000 for class A-4. The final class balances for class A-3 and class A-4 are $190,000,000 and $235,678,000, respectively. The initial certificate balance of each of the class D and class E-RR certificates and the initial notional amount of the class X-D certificates were subject to changes based on final pricing of all certificates and the final determination of the class E-RR, class F-RR, class G RR, class H-RR and class I-RR certificates. The final class balances for class D, class E-RR and class X-D are $20,916,000, $17,852,000 and $20,916,000, respectively. In addition, class X-B increased in size from $36,877,000 to $71,862,000 as it now reflects the aggregate certificate balance of the related classes B and C. Fitch's rating on class X-B has been updated to 'A-sf' to reflect the rating of the lowest referenced tranche whose payable interest has an impact on the interest-only payments. The classes above reflect the final ratings and deal structure. The certificates represent the beneficial ownership interest in the trust, primary assets of which are 36 loans secured by 53 commercial properties having an aggregate principal balance of $756,444,365 as of the cut-off date. The loans were contributed to the trust by Goldman Sachs Mortgage Company and Citi Real Estate Funding Inc. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 78.3% of the properties by balance, cash flow analysis of 83.8% and asset summary reviews on 100% of the pool. KEY RATING DRIVERS Higher Fitch Leverage than Recent Transactions: The pool has slightly higher leverage relative to other recent Fitch-rated multiborrower transactions. The pool's Fitch DSCR of 1.16x is lower than the 2017 average of 1.26x and the 2018 average of 1.22x, while the pool's Fitch LTV of 102.7% is in line with the 2017 and 2018 averages of 101.6% and 102.0%, respectively. Excluding credit opinion loans, the pool has a Fitch DSCR and LTV of 1.13x and 108.4%, respectively, compared with the normalized 2018 Fitch metrics of 1.16x and 108.6%. Investment-Grade Credit Opinion Loans: Two loans received investment-grade credit opinions, including 365 Bond (8.6% of the pool by balance) and Alberston's Industrial - IL (5.5%). The pool's credit opinion loan concentration of 14.1% is higher than the 2017 average of 11.7% and is in line with the 2018 average of 13.6% for Fitch-rated multiborrower transactions. Limited Amortization: Nineteen loans (71.9% of the pool) are full-term interest-only, and nine loans (12.6%) are partial interest-only. Based on the scheduled balance at maturity, the pool will pay down by 3.6%, which is below both the 2017 average of 7.9% and the 2018 average of 7.2%. RATING SENSITIVITIES For this transaction, Fitch's net cash flow (NCF) was 9.0% below the most recent year's net operating income (NOI) for properties for which a full-year NOI was provided, excluding properties that were stabilizing during this period. Unanticipated further declines in property-level NCF could result in higher defaults and loss severities on defaulted loans and in potential rating actions on the certificates. Fitch evaluated the sensitivity of the ratings assigned to the GSMS 2019-GC38 certificates and found that the transaction displays average sensitivities to further declines in NCF. In a scenario in which NCF declined a further 20% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'A-sf' could result. In a more severe scenario, in which NCF declined a further 30% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB-sf' could result. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and the findings did not have an impact on the analysis or conclusions. HOMEBANC MORTGAGE 2005-4: Moody's Hikes Class M-3 Debt to 'Caa3' ---------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of two tranches issued by HomeBanc Mortgage Trust 2005-4. Complete rating actions are as follows: Issuer: HomeBanc Mortgage Trust 2005-4 Cl. M-2, Upgraded to B1 (sf); previously on Oct 1, 2018 Upgraded to B3 (sf) Cl. M-3, Upgraded to Caa2 (sf); previously on Oct 14, 2010 Downgraded to C (sf) RATINGS RATIONALE Moody's rating actions are primarily due to the recent performance of the underlying pool which has improved with higher than expected prepayments. The rating actions reflect recent performance and Moody's updated loss expectation on the pool. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in February 2019. Factors that would lead to an upgrade or downgrade of the ratings: Ratings in the US RMBS sector remain exposed to the high level of macroeconomic uncertainty, and in particular the unemployment rate. The unemployment rate fell to 4.0% in January 2019 from 4.1% in January 2018. Moody's forecasts an unemployment central range of 3.5% to 4.5% for the 2019 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 2019. Lower increases than Moody's expects or decreases could lead to negative rating actions. 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. Finally, a change in Moody's understanding of how interest or principal will be paid in the future could lead to rating actions. JP MORGAN 2019-LTV1: DBRS Gives Prov. B Rating on Cl. B-5 Certs --------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the Mortgage Pass-Through Certificates, Series 2019-LTV1 (the Certificates) to be issued by J.P. Morgan Mortgage Trust 2019-LTV1 as follows: -- $322.4 million Class A-1 at AAA (sf) -- $293.1 million Class A-2 at AAA (sf) -- $222.7 million Class A-3 at AAA (sf) -- $167.0 million Class A-4 at AAA (sf) -- $55.7 million Class A-5 at AAA (sf) -- $139.0 million Class A-6 at AAA (sf) -- $83.7 million Class A-7 at AAA (sf) -- $28.0 million Class A-8 at AAA (sf) -- $44.5 million Class A-9 at AAA (sf) -- $11.2 million Class A-10 at AAA (sf) -- $70.3 million Class A-11 at AAA (sf) -- $70.3 million Class A-11-X at AAA (sf) -- $70.3 million Class A-12 at AAA (sf) -- $70.3 million Class A-13 at AAA (sf) -- $29.3 million Class A-14 at AAA (sf) -- $29.3 million Class A-15 at AAA (sf) -- $245.0 million Class A-16 at AAA (sf) -- $77.4 million Class A-17 at AAA (sf) -- $322.4 million Class A-X-1 at AAA (sf) -- $322.4 million Class A-X-2 at AAA (sf) -- $70.3 million Class A-X-3 at AAA (sf) -- $29.3 million Class A-X-4 at AAA (sf) -- $11.7 million Class B-1 at AA (sf) -- $10.6 million Class B-2 at A (sf) -- $8.8 million Class B-3 at BBB (sf) -- $7.0 million Class B-4 at BB (sf) -- $2.6 million Class B-5 at B (sf) Classes A-11-X, A-X-1, A-X-2, A-X-3 and A-X-4 are interest-only (IO) notes. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-4, A-5, A-7, A-12, A-13, A-14, A-16, A-17, A-X-2 and A-X-3 are exchangeable certificates. These classes can be exchanged for a combination of depositable certificates, as specified in the offering documents. Classes A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11, A-12 and A-13 are super-senior certificates. These classes benefit from additional protection from the senior support certificates (Classes A-14 and A-15) with respect to loss allocation. The AAA (sf) ratings on the Certificates reflect the 12.00% of credit enhancement provided by subordinated certificates in the pool. The AA (sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings reflect 8.80%, 5.90%, 3.50%, 1.60% and 0.90% of credit enhancement, respectively. Other than the specified classes above, DBRS does not rate any other classes in this transaction. The Certificates are backed by 585 loans with a total principal balance of $366,319,629 as of the Cut-Off Date (February 1, 2019). Compared with other post-crisis prime pools, this portfolio consists of higher loan-to-value (LTV) fully amortizing fixed-rate mortgages with original terms to maturity of 30 years. The weighted-average original combined LTV (CLTV) for the portfolio is 87.5%, and almost the entire pool (98.5%) comprises loans with current CLTV ratios greater than 79.0%. The high LTV attribute of this portfolio is mitigated by certain strengths, such as high FICO, low debt-to-income (DTI) ratio, robust income, and reserves, as well as other default drivers. Details on the underwriting of conforming loans can be found in the Key Probability of Default Drivers section of the related presale report. The originators for the aggregate mortgage pool are United Shore Financial Services (60.6%), SoFi Lending Corp. (10.6%) and various other originators, each comprising less than 5.0% of the mortgage loans. Approximately 8.0% of the loans sold to the mortgage loan seller were acquired by MaxEx Clearing LLC, which purchased such loans from the related originators or an unaffiliated third party that directly or indirectly purchased such loans from the related originators. The mortgage loans will be serviced or sub-serviced by NewRez, LLC (formerly known as New Penn Financial, LLC) doing business as Shellpoint Mortgage Servicing (SMS). Servicing will be transferred to JPMorgan Chase Bank, N.A. (JPMCB; rated AA with a Stable trend by DBRS) from SMS on the servicing transfer date (April 1, 2019, or a later date) as determined by the issuing entity and JPMCB. For this transaction, the servicing fee payable for mortgage loans serviced by SMS (and subsequently serviced by JPMCB) is composed of three separate components: the aggregate base servicing fee, the aggregate delinquent servicing fee, and the aggregate additional servicing fee. These fees vary based on the delinquency status of the related loan and will be paid from interest collections before distribution to the securities. Wells Fargo Bank, N.A. (rated AA with a Stable trend by DBRS) will act as the Master Servicer, Securities Administrator and Custodian. U.S. Bank Trust National Association will serve as Delaware Trustee. Pentalpha Surveillance LLC will serve as the Representations and Warranties (R&W) Reviewer. The transaction employs a senior-subordinate shifting-interest cash flow structure that is enhanced from a pre-crisis structure. The ratings reflect transactional strengths that include high-quality underlying assets, well-qualified borrowers and a satisfactory third-party due diligence review. This transaction employs an R&W framework that contains certain weaknesses, such as materiality factors, some unrated R&W providers, knowledge qualifiers and sunset provisions that allow for certain R&Ws to expire within three to six years after the Closing Date. The framework is perceived by DBRS to be limiting compared with traditional lifetime R&W standards in certain DBRS-rated securitizations. To capture the perceived weaknesses in the R&W framework, DBRS reduced the originator scores in this pool. A lower originator score results in increased default and loss assumptions and provides additional cushions for the rated securities. OCP CLO 2019-16: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to OCP CLO 2019-16 Ltd.'s floating-rate notes. The note issuance is a collateralized loan obligation (CLO) transaction backed by primarily of broadly syndicated speculative-grade senior secured term loans that are governed by collateral quality tests. The preliminary ratings are based on information as of Feb. 26, 2019. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The diversified collateral pool. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. PRELIMINARY RATINGS ASSIGNED OCP CLO 2019-16 Ltd. Class Rating Amount (mil. $) A-1 AAA (sf) 305.00 A-2 NR 20.00 B AA (sf) 30.00 C (deferrable) A (sf) 50.00 D (deferrable) BBB- (sf) 35.00 E (deferrable) BB- (sf) 17.00 Subordinated Notes NR 48.10 NR--Not rated. OFSI FUND VI: S&P Raises Class D-R Notes Rating to BB+ (sf) ----------------------------------------------------------- S&P Global Ratings raised its ratings on four classes from OFSI Fund VI Ltd. and removed them from CreditWatch, where it had placed them with positive implications on Dec. 20, 2018. At the same time, S&P affirmed ratings on two classes from the transaction. The rating actions follow S&P's review of the transaction's performance using data from the Jan. 3, 2019, trustee report. The upgrades reflect the transaction's $178.45 million collective paydowns to the class A-1R notes since S&P's March 2018 rating actions. These paydowns resulted in improved reported overcollateralization (O/C) ratios since the Jan. 3, 2018, trustee report, which S&P used for its previous rating actions: -- The class A O/C ratio improved to 180.19% from 131.75%, -- The class B O/C ratio improved to 140.01% from 119.12%, -- The class C O/C ratio improved to 121.50% from 111.80%, -- The class D O/C ratio improved to 111.44% from 107.29%, and -- The class E O/C ratio improved to 104.34% from 103.86%. The collateral portfolio's credit quality has deteriorated since S&P's March 2018 rating actions. Collateral obligations with ratings in the 'CCC' category have increased, with $21.94 million reported as of the January 2019 trustee report, compared with $15.96 million reported as of the January 2018 trustee report. The transaction's 'CCC' exposure remains elevated at more than 11.5% of the aggregate collateral balance. As a result of amortization in the underlying collateral, the portfolio has become more concentrated, comprising 242 assets from 86 obligors--an increase 209 assets but a decline from 156 obligors. In addition, the weighted average spread declined to 3.49% from 3.77%. The upgrades also reflect the improved credit support at the prior rating levels due to senior note paydowns, and the affirmations reflect S&P's view that the credit support available is commensurate with the current rating levels. On a standalone basis, the results of the cash flow analysis indicated higher ratings on the class C-R and D notes. However, given the portfolio's heightened exposure to 'CCC' rated and defaulted collateral obligations, assets trading at distressed prices, obligor concentration, decline in weighted average spread, and par loss, S&P limited the upgrade on the class C-R and D notes to offset future potential credit migration in the underlying collateral and increased concentration risk as the assets mature or prepay. Although S&P's cash flow results indicated lower ratings for the class E notes, it considered the transaction's improvements in terms of overcollateralization. "We do not believe these tranches are currently vulnerable to nonpayment or dependent on favorable market conditions to be fully repaid," S&P said. "However, additional deterioration in credit quality or weighted average spread could lead to potential negative rating actions on the notes in the future." S&P's review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the aforementioned trustee report, to estimate future performance. In line with its criteria, S&P's cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and economic scenarios. In addition, S&P's analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in S&P's view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and we will take further rating actions as we deem necessary," S&P said. RATINGS RAISED AND REMOVED FROM CREDITWATCH POSITIVE OFSI Fund VI Ltd. Rating Class To From A-2R AAA (sf) AA (sf)/Watch Pos B-R AA+ (sf) A (sf)/Watch Pos C-R A (sf) BBB(sf)/Watch Pos D-R BB+ (sf) BB (sf)/Watch Pos RATINGS AFFIRMED OFSI Fund VI Ltd. Class Rating A-1R AAA (sf) E B (sf) OFSI FUND VII: S&P Affirms B (sf) Rating on Class F Notes --------------------------------------------------------- S&P Global Ratings raised its ratings on three classes from OFSI Fund VII Ltd. and removed them from CreditWatch, where it had placed them with positive implications on Dec. 20, 2018. At the same time, S&P affirmed its ratings on three classes and withdrew its rating on one class from the transaction. The rating actions follow S&P's review of the transaction's performance using data from the Jan. 8, 2019, trustee report. The upgrades reflect the transaction's $61.72 million collective paydowns to the class A-R notes since S&P's October 2017 rating actions. These paydowns resulted in improved reported overcollateralization (O/C) ratios since the Aug. 8, 2017, trustee report, which S&P used for its previous rating actions: -- The class A/B O/C ratio improved to 140.79% from 134.18%, -- The class C O/C ratio improved to 125.48% from 122.35%, -- The class D O/C ratio improved to 116.42% from 115.09%, -- The class E O/C ratio improved to 109.88% from 109.72%, and -- The interest diversion test declined to 107.33% from 107.59%. The collateral portfolio's credit quality has deteriorated since S&P's October 2017 rating actions. Collateral obligations with ratings in the 'CCC' category have increased, with $21.05 million reported as of the January 2019 trustee report, compared with $18.33 million reported as of the August 2017 trustee report. Defaulted collateral also increased, with $2.68 million reported as of the January 2019 trustee report, compared to zero reported as of the August 2017 trustee report. In addition, the weighted average spread has declined to 3.45% from 3.98%. The upgrades also reflect the improved credit support at the prior rating levels due to senior note paydowns, and the affirmations reflect S&P's view that the credit support available is commensurate with the current rating levels. The withdrawal followed the full repayment of the class X notes. On a standalone basis, the results of the cash flow analysis indicated higher ratings on the class C-R, D-R, and E-R notes. However, given the portfolio's heightened exposure to 'CCC' rated and defaulted collateral obligations, decline in weighted average spread, par loss, and current overcollateralization levels, S&P limited the upgrade on the class C-R, D-R, and E-R notes to offset future potential credit migration in the underlying collateral. "Although our cash flow results indicated a lower rating for the class F notes, we considered the tranches stable overcollateralization ratio and benefits received due to seasoning in the underlying collateral," S&P said. S&P said it does not believe these tranches are currently vulnerable to nonpayment or dependent on favorable market conditions to be fully repaid. However, additional deterioration in credit quality or weighted average spread could lead to potential negative rating actions on the notes in the future, according to S&P. S&P's review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the aforementioned trustee report, to estimate future performance. In line with its criteria, S&P's cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and economic scenarios. In addition, S&P's analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis -- and other qualitative factors as applicable -- demonstrated, in S&P's view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and we will take further rating actions as we deem necessary," S&P said. RATINGS RAISED AND REMOVED FROM CREDITWATCH POSITIVE OFSI Fund VII Ltd. Rating Class To From B-R AAA (sf) AA (sf)/Watch Pos C-R A+ (sf) A (sf)/Watch Pos D-R BBB+ (sf) BBB (sf)/Watch Pos RATINGS AFFIRMED OFSI Fund VII Ltd. Class Rating A-R AAA (sf) E-R BB (sf) F B (sf) RATING WITHDRAWN Rating Class To From X NR AAA (sf) NR--Not rated. SOLARCITY LMC V: S&P Affirms BB (sf) Rating on Class B Notes ------------------------------------------------------------ S&P Global Ratings affirmed its ratings on the class 2016-1 notes from SolarCity LMC Series V LLC's series 2016-1. This issuance is an asset-backed securities (ABS) transaction backed by the rights, title, and interest in a portfolio of solar assets, including customer agreements, solar equipment, permits, manufacturer's warranties, and cash flow associated with the ownership of these assets. The affirmations reflect that the notes' performance is in line with projections and expectations at closing. The transaction has had steady performance and has paid down the notes per expectations. According to the performance reports from the servicer, no performance triggers were breached; there has been no early amortization, no debt-service coverage ratio sweep, and no manager termination event; and the transactions met their reserve account and overcollateralization requirements. S&P will continue to review whether the ratings assigned to the notes remain consistent with the credit enhancement available to support them and will take rating actions as it deems necessary. RATINGS AFFIRMED SolarCity LMC Series V LLC Series 2016-1 Class Rating A BBB (sf) B BB (sf) TCW CLO 2019-1: S&P Assigns B- (sf) Rating on $6MM Class F Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to TCW CLO 2019-1 AMR Ltd./TCW CLO 2019-1 AMR LLC's floating-rate notes. The ratings reflect: -- The diversified collateral pool, which consists primarily of broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests; -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading; and -- The transaction's legal structure, which is expected to be bankruptcy remote. RATINGS ASSIGNED TCW CLO 2019-1 AMR Ltd./TCW CLO 2019-1 AMR LLC Class Rating Amount (mil. $) X AAA (sf) 3.00 A AAA (sf) 240.00 A-J NR 18.00 B AA (sf) 50.00 C A (sf) 22.00 D BBB- (sf) 21.30 E BB- (sf) 12.00 F B- (sf) 6.00 Z1 NR 0.40 Z2 NR 0.40 Subordinated notes NR 30.60 NR--Not rated. TOWD POINT 2019-2: DBRS Finalizes B Rating on$52MM Class B2 Notes ----------------------------------------------------------------- DBRS, Inc. finalized provisional ratings on the following Asset-Backed Securities, Series 2019-2 (the Notes) issued by Towd Point Mortgage Trust 2019-2 (TPMT 2019-2 or the Trust): -- $1.9 billion Class A1A at AAA (sf) -- $420.0 million Class A1B at AAA (sf) -- $191.1 million Class A2 at AA (sf) -- $132.5 million Class M1 at A (sf) -- $107.9 million Class M2 at BBB (sf) -- $67.8 million Class B1 at BB (sf) -- $52.4 million Class B2 at B (sf) -- $2.3 billion Class A1 at AAA (sf) -- $2.5 billion Class A3 at AA (sf) -- $2.7 billion Class A4 at A (sf) Classes A1, A3 and A4 are exchangeable notes. These classes can be exchanged for combinations of exchange notes as specified in the offering documents. The AAA (sf) ratings on the Notes reflect 24.30% of credit enhancement provided by subordinated notes in the pool, respectively. The AA (sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings reflect credit enhancement of 18.10%, 13.80%, 10.30%, 8.10% and 6.40%, 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 primarily first-lien residential mortgages. The Notes are backed by 16,685 loans with a total principal balance of $3,082,268,047, as of the Cut-Off Date (January 31, 2019). The Notes are backed by 17,096 loans with a total principal balance of $3,137,847,580 as of the Statistical Calculation Date (December 31, 2018). Unless specified otherwise, all the statistics regarding the mortgage loans in the report are based on the Statistical Calculation Date. The portfolio is approximately 149 months seasoned and contains 87.3% modified loans. The modifications happened more than two years ago for 96.4% of the modified loans. Within the pool, 2,768 mortgages have non-interest-bearing deferred amounts, which equate to 11.7% of the total principal balance. Included in the deferred amounts are Home Affordable Modification Program and proprietary principal forgiveness amounts, which comprise less than 0.1% of the total principal balance. As of the Statistical Calculation Date, 98.4% of the pool is current, 1.2% is 30 days delinquent under the Mortgage Bankers Association (MBA) delinquency method and 0.4% is in bankruptcy (all bankruptcy loans are performing or 30 days delinquent). Approximately 82.9% of the mortgage loans have been zero times 30 days delinquent for at least the past 24 months under the MBA delinquency method. All but 0.2% of the pool are exempt from the Ability-to-Repay/Qualified Mortgage (QM) rules. These loans are designated as Temporary QM Safe Harbor. FirstKey Mortgage, LLC (FirstKey) will acquire the loans from various transferring trusts on or prior to the Closing Date. The transferring trusts acquired the mortgage loans between 2015 and 2018 and are beneficially owned by funds managed by affiliates of Cerberus Capital Management, L.P. Upon acquiring the loans from the transferring trusts, FirstKey, through a wholly owned subsidiary, Towd Point Asset Funding, LLC, will contribute loans to the Trust. As the Sponsor, FirstKey, through a majority-owned affiliate, will acquire and retain a 5% eligible vertical interest in each class of securities to be issued (other than any residual certificates) to satisfy the credit risk retention requirements. These loans were originated and previously serviced by various entities through purchases in the secondary market. The loans will be serviced by Select Portfolio Servicing, Inc. The servicing fee for the TPMT 2019-2 portfolio will be 0.13% per annum, lower than transactions backed by similar collateral. DBRS stressed such servicing expenses in its cash flow analysis to account for a potential fee increase in a distressed scenario. There will not be any advancing of delinquent principal or interest on any mortgages by the servicers or any other party to the transaction; however, the servicers are obligated to make advances for first-lien loans in respect of homeowner association fees, taxes and insurance, installment payments on energy improvement liens and reasonable costs and expenses incurred in the course of servicing and disposing of properties. FirstKey, as the Asset Manager, has the option to sell certain non-performing loans or real estate owned (REO) properties to unaffiliated third parties individually or in bulk sales. Bulk sales require an asset sale price to equal a minimum reserve amount of 65.64% and the current principal amount of the mortgage loans or REO properties as of the bulk sale date. When the aggregate pool balance of the mortgage loans is reduced to less than 30.0% of the Cut-Off Date balance, the holders of more than 50% of the Class X Certificates will have the option to cause the Issuer to sell all of its remaining property (other than amounts in the Breach Reserve Account) to one or more third-party purchasers so long as the aggregate proceeds meet a minimum price. When the aggregate pool balance is reduced to less than 10.0% of the balance as of the Cut-off Date, the holder(s) of more than 50% of the most subordinate class of Notes or their affiliates may purchase all of the mortgage loans, REO properties and other property from the Issuer as long as the aggregate proceeds meet a minimum price. The transaction employs a sequential-pay cash flow structure. Principal proceeds and excess interest can be used to cover interest shortfalls on the Notes, but such shortfalls on Class M1 and more subordinate bonds will not be paid from principal proceeds until the more senior classes are retired. The lack of principal and interest advances on delinquent mortgages may increase the possibility of periodic interest shortfalls to the Noteholders; however, principal proceeds can be used to pay interest to the Notes sequentially and subordination levels are greater than expected losses, which may provide for timely payment of interest to the rated Notes. The ratings reflect transactional strengths that include underlying assets that generally performed well through the crisis, a strong servicer and Asset Manager oversight. Additionally, a satisfactory third-party due diligence review was performed on the portfolio with respect to regulatory compliance, payment history, and data capture, as well as a title and tax review. Servicing comments were reviewed for a sample of the loans. Updated broker price opinions or exterior appraisals were provided for most of the pool; however, a reconciliation was not performed on the updated values. The DBRS ratings of AAA (sf) and AA (sf) address the timely payment of interest and full payment of principal by the legal final maturity date in accordance with the terms and conditions of the related Notes. The DBRS ratings of A (sf), BBB (sf), BB (sf) and B (sf) address the ultimate payment of interest and full payment of principal by the legal final maturity date in accordance with the terms and conditions of the related Notes. TOWD POINT 2019-SJ1: Fitch Rates $19.29MM Class B2 Notes 'Bsf' -------------------------------------------------------------- Fitch Ratings has assigned the following ratings and Rating Outlooks to Towd Point Mortgage Trust 2019-SJ1 (TPMT 2019-SJ1): -- $257,225,000 class A1 notes 'AAAsf'; Outlook Stable; -- $36,605,000 class A2 notes 'AAsf'; Outlook Stable; -- $34,131,000 class M1 notes 'Asf'; Outlook Stable; -- $32,154,000 class M2 notes 'BBBsf'; Outlook Stable; -- $25,228,000 class B1 notes 'BBsf'; Outlook Stable; -- $19,291,000 class B2 notes 'Bsf'; Outlook Stable; -- $293,830,000 class A3 exchangeable notes 'AAsf'; Outlook Stable; -- $327,961,000 class A4 exchangeable notes 'Asf'; Outlook Stable; -- $360,115,000 class A5 exchangeable notes 'BBBsf'; Outlook Stable. Fitch will not be rating the following classes: -- $25,723,000 class B3 notes; -- $24,733,000 class B4 notes; -- $39,574,323 class B5 notes; -- $494,664,323 class A6 exchangeable notes; -- $28,500,000 class XA notes. The notes are supported by one collateral group that consists of 14,056 seasoned performing and re-performing mortgages with a total balance of approximately $510.59 million, which includes $2.5 million, or 0.5% of the aggregate pool balance in non-interest-bearing deferred principal amounts, as of the statistical calculation date. KEY RATING DRIVERS Closed-End Second Liens (Negative): The collateral pool consists of 100% closed-end, second lien, seasoned performing loans and RPLs with a weighted average (WA) model credit score of 713, sustainable loan to value ratio (sLTV) of 81%, 68% 36 months of clean pay history and seasoning of approximately 144 months. Fitch assumes 100% loss severity (LS) on all defaulted second lien loans. Fitch assumes second lien loans default at a rate comparable to first lien loans, after controlling for credit attributes, no additional default penalty was applied. Re-Performing Loans (Negative): No loans were delinquent as of the statistical calculation date, and 75% of the pool has been "current" for over two years. Twenty-five percent of loans are current but have recent delinquencies or incomplete pay strings. Of the total pool, 18.2% have received modifications. The average time since loan modification is approximately 57 months. Sequential-Pay Structure With Higher CE (Positive): The transaction's cash flow is based on a sequential-pay structure whereby the subordinate classes do not receive principal until the senior classes are repaid in full. Losses are allocated in reverse-sequential order. Furthermore, a provision to re-allocate principal to pay interest on the 'AAAsf' and 'AAsf' rated notes prior to other principal distributions is supportive of timely interest payments to those classes. Notably, the bonds benefit from credit enhancement (CE) 100-200 basis points (bps) above the minimum needed for each respective rating category. While the additional CE is not enough to warrant a higher initial rating, it will provide added protection against downgrades and losses for investors. Realized Loss and Writedown Feature (Positive): Loans that are delinquent for 180 days or more will be considered a realized loss and, therefore, will cause the most subordinated class to be written down. Despite the 100% LS assumed for each defaulted loan, Fitch views the writedown feature positively as cash flows will not be needed to pay timely interest to the 'AAAsf' and 'AAsf' notes during loan resolution by the servicer. In addition, subsequent recoveries realized after the writedown at 180 days delinquent will be passed on to bondholders as principal. Moderate Operational Risk (Negative): Operational risk is considered to be moderate for this transaction since not all loans were subject to a due diligence review by a third party review (TPR) firm. Approximately 37% of loans by UPB (23% by loan count) were reviewed. The due diligence was performed by Tier 1 TPR firms and the results were consistent with the sponsor's prior transactions. FirstKey Mortgage, LLC (FirstKey) has a well-established track record as an aggregator of seasoned performing and RPL mortgages and has an 'Average' aggregator assessment from Fitch. Most of the loans were originated by a single large bank seller, and the sponsor's (or its affiliate's) retention of at least 5% of the bonds should help mitigate the operational risk of the transaction. Low Aggregate Servicing Fee (Negative): Fitch determined that the initial servicing fee of 30 bps may be insufficient to attract subsequent servicers under a period of poor performance and high delinquencies. In the event that a successor servicer is appointed, the servicing fee can be increased to an amount greater than the cap. To reflect the risk of an increased servicing fee, Fitch assumed a 75-bp servicing fee in its cash flow analysis to test the adequacy of CE and excess spread. Third-Party Due Diligence (Neutral): A third-party due diligence sample review of 23% by loan count and 37% by unpaid principal balance (UPB) was conducted and focused on regulatory compliance, pay history (Clayton and AMC, both assessed by Fitch as Tier 1 third-party review firms) and a tax and title lien search (WestCor and AMC). The diligence findings and lack of 100% tax and title review did not result in an additional adjustment due to the 100% LS assumption applied by Fitch. Representation Framework (Negative): Fitch believes the representation, warranty and enforcement (RW&E) mechanism construct for this transaction is generally consistent with what it views as a Tier 2 framework, due to the inclusion of knowledge qualifiers and the exclusion of certain reps that Fitch typically expects for RPL transactions. After a threshold event (which occurs when realized loss exceeds the class principal balance of the B3, B4 and B5 notes), loan reviews for identifying breaches will be conducted on loans that experience a realized loss of $10,000 or more. To account for the Tier 2 framework, Fitch increased its 'AAAsf' loss expectations by roughly 314 bps to account for a potential increase in defaults and losses arising from weaknesses in the reps. Limited Life of Rep Provider (Negative): FirstKey, as rep provider, will only be obligated to repurchase a loan due to breaches prior to the payment date in March 2020. Thereafter, a reserve fund will be available to cover amounts due to noteholders for loans identified as having rep breaches. Amounts on deposit in the reserve fund, as well as the increased level of subordination, will be available to cover additional defaults and losses resulting from rep weaknesses or breaches occurring on or after the payment date in March 2020. Deferred Amounts (Negative): Non-interest-bearing principal forbearance amounts totaling $2.5 million (0.5%) of the UPB are outstanding on 190 loans. Fitch included the deferred amounts when calculating the borrower's loan to value ratio (LTV) and sustainable LTV (sLTV), despite the lower payment and amounts not owed during the term of the loan. The inclusion resulted in a higher probability of default (PD) than if there were no deferrals. Because deferred amounts are due and payable by the borrower at maturity, Fitch believes that borrower default behavior for these loans will resemble that of the higher LTVs, as exit strategies (that is, sale or refinancing) will be limited relative to those borrowers with more equity in the property. RATING SENSITIVITIES Fitch's analysis incorporates sensitivity analyses to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at both the metropolitan statistical area (MSA) and national levels. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or be considered in the surveillance of the transaction. Fitch conducted sensitivity analysis determining how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model-projected 38.0% at 'AAAsf'. The analysis indicates there is some potential rating migration with higher MVDs, compared with the model projection. Fitch also conducted sensitivity analysis to determine the stresses to MVDs that would reduce a rating by one full category, to non-investment grade, and to 'CCCsf'. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by WestCor Land Title Insurance Company (WestCor), Clayton Services LLC and AMC Diligence, LLC (AMC). The third-party due diligence described in Form 15E focused on regulatory compliance, pay history, servicing comments, the presence of key documents in the loan file and data integrity. In addition, AMC and Westcor were retained to perform an updated title and tax search, as well as a review to confirm that the mortgages were recorded in the relevant local jurisdiction and the related assignment chains. A regulatory compliance and data integrity review was completed on 37.2% of the pool by balance. 344 of the reviewed loans received either a "C" or "D" grade. For 193 of these loans, this was due to missing documents that prevented testing for predatory lending compliance. The inability to test for predatory lending may expose the trust to potential assignee liability, which creates added risk for bond investors. Typically, Fitch makes an LS adjustment to account for this; however, all loans in the pool are already receiving 100% LS; therefore, no adjustments were made. Reasons for the remaining 151 "C" and "D" grades include missing final HUD1s that are not subject to predatory lending, missing state disclosures and other compliance-related documents. Fitch believes these issues do not add material risk to bondholders, since the statute of limitations has expired. No adjustment to loss expectations were made for any of the 344 loans that received either a "C" or "D" grade. CRITERIA VARIATION Fitch's analysis incorporated two criteria variations from the "U.S. RMBS Seasoned, Re-Performing and Non-Performing Loan Rating Criteria" and one variation from the "U.S. RMBS Loan Loss Model Criteria." The first variation relates to the tax/title review. An updated tax/title review was not completed on 11,161 loans. While a tax/title review was not completed, Fitch's analysis already assumed that these loans were not in first-lien position, and Fitch assumes 100% LS for all second liens. There was no rating impact due to this variation. VERUS SECURITIZATION 2019-1: S&P Assigns B+ Rating on Cl B-2 Certs ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Verus Securitization Trust 2019-1's mortgage pass-through certificates. The issuance is a residential mortgage-backed securities (RMBS) transaction backed by U.S. residential mortgage loans. The ratings reflect: -- The pool's collateral composition; -- The credit enhancement provided for this transaction; -- The transaction's associated structural mechanics; -- The representation and warranty framework for this transaction; and -- The mortgage aggregator, Invictus Capital Partners. RATINGS ASSIGNED Verus Securitization Trust 2019-1 Class Rating Amount ($) A-1 AAA (sf) 457,227,000 A-2 AA (sf) 42,834,000 A-3 A (sf) 74,378,000 M-1 BBB- (sf) 39,514,000 B-1 BB- (sf) 26,232,000 B-2 B+ (sf) 5,312,000 B-3 NR 18,595,303 A-IO-S NR Notional(i) XS NR Notional(i) P NR 100 R NR N/A (i)The notional amount equals the loans' stated principal balance. N/A--Not applicable. NR--Not Rated. WACHOVIA BANK 2006-C24: Moody's Lowers Class D Certs Rating to 'Ca' ------------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on four classes and downgraded the rating on one class in Wachovia Bank Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2006-C24 as follows: Class B, Affirmed B2 (sf); previously on March 2, 2018 Affirmed B2 (sf) Class C, Affirmed B3 (sf); previously on March 2, 2018 Affirmed B3 (sf) Class D, Downgraded to Ca (sf); previously on March 2, 2018 Affirmed Caa3 (sf) Class E, Affirmed C (sf); previously on March 2, 2018 Affirmed C (sf) Class X-C*, Affirmed C (sf); previously on March 2, 2018 Affirmed C (sf) * Reflects Interest Only Classes RATINGS RATIONALE The ratings on three principal and interest (P&I) classes, Class B, Class C and Class E were affirmed because the ratings are consistent with Moody's expected loss plus realized losses. Class E has already experienced a 26% realized loss as result of previously liquidated loans. The ratings on the interest only (IO) Class X-C was affirmed based on the credit quality of the referenced classes. The rating on one P&I class, Class D was downgraded due to anticipated losses from specially serviced and troubled loans. Moody's rating action reflects a base expected loss of 38.1% of the current pooled balance, compared to 32.0% at Moody's last review. Moody's base expected loss plus realized losses is now 10.4% of the original pooled balance, compared to 10.3% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. The methodologies used in rating interest-only classes were "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017 and "Moody's Approach to Rating Structured Finance Interest Only (IO) Securities" published in February 2019. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 10.4% of the pool is in special servicing and Moody's has identified additional troubled loans representing 85.5% of the pool. In this approach, Moody's determines a probability of default for each specially serviced and troubled loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss from specially serviced and troubled loans to the most junior class(es) and the recovery as a pay down of principal to the most senior class(es). DEAL PERFORMANCE As of the February 15, 2019 distribution date, the transaction's aggregate certificate balance has decreased by 97.1% to $58.3 million from $2.0 billion at securitization. The certificates are collateralized by four mortgage loans ranging in size from less than 5% to 80% of the pool. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 2, the same as at Moody's last review. Three loans, constituting 89.6% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Twenty-five loans have been liquidated from the pool, resulting in an aggregate realized loss of $186.6 million (for an average loss severity of 47.7%). The only specially serviced loan is the Union Square Loan ($6.1 million -- 10.4% of the pool), which is secured by a 75,000 square foot (SF) retail property located in Monroe, North Carolina. Two anchor tenants, representing a combined 55% of the net rentable area (NRA), vacated the property in 2015. The loan subsequently transferred to special servicing in January 2016 for imminent default, and is currently REO. Moody's has also assumed a high default probability for two poorly performing loans, constituting 85.5% of the pool, and has estimated an aggregate loss of $22.3 million (a 39.9% expected loss on average) from these specially serviced and troubled loans. The three performing loans not in special servicing represent 89.6% of the pool balance. The largest loan is the Bank of America -- Pasadena, CA Loan ($46.9 million -- 80.1% of the pool), which is secured by a 346,000 SF office building in Pasadena, California. The property operates on a triple net basis and is 100% occupied by Bank of America through October 2019. The borrower was unable to pay off the loan by the September 2015 anticipated repayment date (ARD). Starting in October 2015, the loan entered into a hyper-amortization period through the final maturity date in December 2019. On May 23, 2018, Bank of America announced that it would be closing this office in early 2019, laying off numerous employees. Due to the single tenant exposure, Moody's value incorporates a "lit/dark" analysis. The loan is on the master servicer's watchlist due to low DSCR and Moody's has identified this as a troubled loan. The second largest loan is the Walgreens -- East Ridge, TN Loan ($2.9 million -- 5.0% of the pool), which is secured by a 15,000 SF single tenant retail property constructed in 2001 and located in East Ridge, Tennessee. The property is leased and occupied by Walgreens through 2060. The loan, which did not pay off by its ARD in December 2015, has a final maturity in December 2035. Within two miles of the subject, there is a CVS and Rite Aid. Moody's value incorporated a "lit/dark" analysis due to the single tenant exposure. The loan remains on the master servicer's watchlist for passing its ARD and Moody's has identified this as a troubled loan. The third largest loan is the St. Laurent Warehouses Pool Loan ($2.6 million -- 4.5% of the pool), which is secured by a portfolio of five flex industrial buildings constructed in various years between 1973 and 2003. As of September 2018, the overall portfolio was fully leased, virtually unchanged from 2017. The fully amortizing loan has amortized 50% since securitization and matures in March 2026. Moody's LTV and stressed DSCR are 56.9% and 1.67X, respectively, compared to 63.1% and 1.51X at the last review. WELLS FARGO 2016-NXS5: Fitch Affirms BB- on $22.2MM Class F Debt ---------------------------------------------------------------- Fitch Ratings has affirmed 20 classes and revised Rating Outlooks to Negative from Stable on four classes of Wells Fargo Commercial Mortgage Trust Pass-Through Certificates, series 2016-NXS5 (WFCM 2016-NXS5). KEY RATING DRIVERS Stable Loss Expectations: Performance and loss expectations for the majority of the pool have remained relatively stable since issuance. One loan (0.4% of the pool) has been defeased. Fitch has designated seven loans as Fitch Loans of Concern (FLOCs), including three loans in the top 15 (13.9%), one of which is specially serviced and four additional specially serviced loans outside of the top 15 (2.7%). Fitch Loans of Concern: The largest FLOC is the second largest loan, One Court Square (8.8% of the pool), which is secured by a 50-story, 1.4 million sf office building located in Long Island City, NY. The property is 100% leased to Citibank (rated A+/F1). In March 2018, Citibank announced their intention to vacate approximately one million sf in 2020, thus reducing its footprint to 400,000 sf. Amazon had previously signed a letter of intent in November 2018 to lease that one million square feet at the property as part of its efforts to build a second headquarters in New York City. However, in February 2019, Amazon cancelled those plans and announced it was no longer pursuing opening a second campus in New York City and as a result, would no longer lease the space at One Court Square. The loan is scheduled to mature in September 2020. The second largest FLOC is 4400 Jenifer Street (3.1%), which is secured by an 83,777 sf office building located in Washington, DC. The loan was flagged as a FLOC after the third largest tenant, Sundance Getaways (previously 8.8% of the NRA), vacated their space in 2018, resulting in occupancy declining to 86% from 94.8% at YE 2017. Additionally, the property's second largest tenant, Long & Foster (occupying 21.9% of the NRA), renewed a portion of its lease (7.6% of the NRA) for a short term basis to October 2018 and the remaining 13.5% of the NRA through October 2021. The third largest FLOC is the specially serviced 1006 Madison Avenue (2%), which is secured by a single-tenant retail property located in Manhattan on 78th Street and Madison Avenue which was originally leased to Roland Mouret through 2025. The tenant vacated ahead of their lease expiration on Oct. 31, 2018. The tenant and landlord exercised a good guy guarantee as part of its lease agreement. The remaining specially serviced loans outside of the top 15 include two hotel loans that are greater than 90 days delinquent, one multifamily loan reported as 30 days delinquent and an office loan that remains current; these properties have experienced performance issues due to declining occupancy. Alternative Loss Considerations: In addition to modelling a base case loss, Fitch applied an additional sensitivity analysis whereby a potential outsized loss of 25% was applied to the One Court Square loan given the near term lease rollover of Citibank. Minimal Changes in Credit Enhancement: There have been minimal changes to credit enhancement since issuance. As of the February 2019 remittance report, the transaction's aggregate balance has been paid down by 2.2% to $855.6 million from $875.1 million at issuance. There have been no realized losses to date. Based on the scheduled balance at maturity, the initial pool balance will pay down by 11.2% prior to maturity. Seven loans (29% of the pool) are full-term, interest only and six loans (14.3%) remain in their partial, interest only period. ADDITIONAL RATING DRIVERS Single Tenant Properties: The pool includes six loans (18.3% of pool) secured by properties which are exclusively occupied or leased by a single tenant. Loans in the top 10 secured by properties with single tenant exposure include One Court Square (8.8%), Walgreens-CVS Portfolio (5.2%) and Keurig Green Mountain (3.3%). RATING SENSITIVITIES The Negative Rating Outlooks on classes F, G, X-F and X-G reflect an additional sensitivity analysis performed on the One Court Square loan to address the significant upcoming rollover concerns and the potential for ratings downgrades should the performance of the FLOCs and specially serviced loans continue to deteriorate. The Stable Outlooks on classes A-1 through E reflect the relatively stable performance of the majority of the pool, increasing credit enhancement and expected continued pay down. 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 action. Fitch has affirmed and revised Rating Outlooks to the following ratings: -- $13.6 million class A-1 at 'AAAsf'; Outlook Stable; -- $121.9 million class A-2 at 'AAAsf'; Outlook Stable; -- $35.8 million class A-3 at 'AAAsf'; Outlook Stable; -- $65 million class A-4 at 'AAAsf'; Outlook Stable; -- $85 million class A-5 at 'AAAsf'; Outlook Stable; -- $164.8 million class A-6 at 'AAAsf'; Outlook Stable; -- $50 million class A-6FL at 'AAAsf'; Outlook Stable; -- $0 class A-6FX at 'AAAsf'; Outlook Stable; -- $57 million class A-SB at 'AAAsf'; Outlook Stable; -- $50.3 million class A-S at 'AAAsf'; Outlook Stable; -- $52.5 million class B at 'AA-sf'; Outlook Stable; -- $39.4 million class C at 'A-sf'; Outlook Stable; -- $26.3 million class D at 'BBBsf'; Outlook Stable; -- $20.8 million class E at 'BBB-sf'; Outlook Stable; -- $22.2 million class F at 'BB-sf'; Outlook revised to Negative from Stable; -- $9.5 million class G at 'B-sf'; Outlook revised to Negative from Stable; -- Interest-only class X-A at 'AAAsf'; Outlook Stable; -- Interest-only class X-B at 'AA-sf'; Outlook Stable; -- Interest-only class X-F at 'BB-sf'; Outlook revised to Negative from Stable; -- Interest-only class X-G at 'B-sf'; Outlook revised to Negative from Stable. Fitch does not rate the class H or class X-H certificates. WELLS FARGO 2017-RC1: DBRS Confirms B(low) Ratings on 2 Tranches ---------------------------------------------------------------- DBRS Limited confirmed all classes of the Commercial Mortgage Pass-Through Certificates, Series 2017-RC1 issued by Wells Fargo Commercial Mortgage Trust 2017-RC1 as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-S at AAA (sf) -- Class A-SB at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (sf) -- Class X-B at A (high) (sf) -- Class C at A (sf) -- Class X-D at BBB (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class X-E at BB (low) (sf) -- Class F at B (low) (sf) -- Class X-F at B (low) (sf) All trends are Stable. The rating confirmations reflect the overall performance of the transaction, which has remained in line with DBRS expectations since issuance. The collateral consists of 61 fixed-rate loans secured by 78 commercial and multifamily properties. As at the January 2019 remittance, there has been a collateral reduction of 1.1% as a result of scheduled loan amortization. Eleven loans, representing 34.0% of the pool balance, are structured with full-term interest-only (IO) payments. An additional nine loans, representing 19.6% of the pool, have partial IO payments remaining, with three of those loans (3.2% of the pool) scheduled to begin amortizing in the next year. Loans representing 93.6% of the current pool balance reported Q3 2018 financials and reported a weighted-average (WA) debt service coverage ratio (DSCR) and debt yield of 1.88 times (x) and 11.0%, respectively. All but one of the largest 15 loans reported partial-year 2018 financials, with a WA DSCR and WA debt yield of 1.98x and 10.9%, respectively, representing a WA cash flow improvement of 7.8% over the preceding net cash flow figures. As of the January 2019 remittance, there were five loans on the servicer's watchlist, collectively representing 2.9% of the pool, and no loans in special servicing. One loan was flagged for minor deferred maintenance issues and another loan was flagged for a low DSCR; however, this loan is secured a co-operative property. Two of the loans on the watchlist are being monitored for occupancy related issues, a result of weakened market conditions. The last loan was flagged for an upcoming major tenant lease expiry; however, the tenant in question has since renewed its lease. Classes X-A, X-B, X-D, X-E, and X-F are IO certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. WESTLAKE AUTOMOBILE 2019-1: DBRS Finalizes B on $58MM Cl. F Notes ----------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following classes of notes issued by Westlake Automobile Receivables Trust 2019-1 (the Issuer): -- $208,000,000 Class A-1 at R-1 (high) (sf) -- $294,320,000 Class A-2-A at AAA (sf) -- $90,000,000 Class A-2-B at AAA (sf) -- $58,970,000 Class F at B (sf) In addition, DBRS upgraded and finalized its outstanding provisional ratings on the following classes of notes issued by Westlake Automobile Receivables Trust 2019-1. DBRS upgraded these tranches one notch each between the time the provisional rating report was issued and closing due to the estimated coupons in credit enhancement cash flow exercises versus those the issuer obtained in pricing the transaction: -- $88,200,000 Class B at AA (high) (sf) -- $111,790,000 Class C at A (high) (sf) -- $104,620,000 Class D at BBB (high) (sf) -- $44,100,000 Class E at BB (high) (sf) The ratings are based on a review by DBRS of the following analytical considerations: -- Transaction capital structure, proposed ratings and form and sufficiency of available credit enhancement. -- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the rating addresses the timely payment of interest on a monthly basis and principal by the legal final maturity date for each class. -- The credit quality of the collateral and performance of the auto loan portfolio by origination channels. -- The capabilities of Westlake Services, LLC (Westlake) with regards to originations, underwriting, and servicing. -- The quality and consistency of provided historical static pool data for Westlake originations and performance of the Westlake auto loan portfolio. -- Wells Fargo Bank, N.A. (rated AA /R-1 (high) with Stable trends by DBRS) has served as a backup servicer for Westlake since 2003 when a conduit facility was put in place. -- The legal structure and presence of legal opinions that will address the true sale of the assets to the Issuer, the non-consolidation of the special-purpose vehicle with Westlake, that the trust has a valid first-priority security interest in the assets and the consistency with the DBRS "Legal Criteria for U.S. Structured Finance." The collateral securing the notes consists entirely of a pool of retail automobile contracts secured by predominantly used vehicles that typically have high mileage. The loans are primarily made to obligors who are categorized as subprime largely because of their credit history and credit scores. The ratings on the Class A Notes reflect the 43.25% of initial hard credit enhancement provided by the subordinated notes in the pool, the Reserve Account (1.00%) and overcollateralization (2.50%). The ratings on Class B, Class C, Class D, Class E, and Class F Notes reflect 34.65%, 23.75%, 13.55%, 9.25% and 3.50% of initial hard credit enhancement, respectively. Additional credit support may be provided from excess spread available in the structure. [*] S&P Takes Various Actions on 114 Classes From 19 US RMBS Deals ------------------------------------------------------------------ S&P Global Ratings completed its review of 114 classes from 19 U.S. residential mortgage-backed securities (RMBS) transactions issued between 2001 and 2006. The transactions are backed by a mix of Alternative-A and negative amortization collateral. The review yielded 20 upgrades, 38 downgrades, 55 affirmations, and one discontinuance. ANALYTICAL CONSIDERATIONS S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by its projected cash flows. These considerations are based on transaction-specific performance or structural characteristics (or both) and their potential effects on certain classes. Some of these considerations may include: -- Collateral performance or delinquency trends, -- Historical interest shortfalls or missed interest payments, -- Available subordination and/or overcollateralization, -- Erosion of or increases in credit support, -- Expected short duration, -- Interest-only criteria, and -- Principal-only criteria. RATING ACTIONS The rating changes reflect S&P's opinion regarding the associated transaction-specific collateral performance, structural characteristics, and/or the application of specific criteria applicable to these classes. The affirmations reflect S&P's opinion that its projected credit support and collateral performance on these classes have remained relatively consistent with its prior projections. S&P lowered 10 ratings after assessing the impact of missed interest payments on the affected classes. These classes receive additional compensation for outstanding missed interest payments, and, per S&P's criteria, the downgrades are based on cash flow projections used to determine the likelihood that the missed interest payments would be reimbursed under various rating scenarios. S&P lowered its ratings on class A-5 from Deutsche Mortgage Securities Inc. Mortgage Loan Trust, Series 2004-2, class A-3B from MASTR Asset Backed Securities Trust 2006-AB1, and class 3-A-2 from Banc of America Funding 2006-G Trust. The downgrades reflect the reduced interest payments resulting from loan modifications in the collateral loan pools: 21.25%, 54.24%, and 30.61%, respectively, of the total loans in the related pools have been modified, many with rate reductions. These credit events have resulted in lessened interest to the three classes because the cumulative interest reduction amounts (CIRA) have exceeded the max potential rating thresholds at the prior rating levels." A list of Affected Ratings can be viewed at: https://bit.ly/2GNL8CJ [*] S&P Takes Various Actions on 54 Classes From 19 US RMBS Deals ----------------------------------------------------------------- S&P Global Ratings completed its review of 54 classes from 19 U.S. residential mortgage-backed securities (RMBS) resecuritized real estate mortgage investment conduit (re-REMIC) transactions issued between 2004 and 2010. All of these transactions are backed by alternative-A, negative-amortization (neg-am), and prime jumbo collateral. The review yielded six upgrades, one downgrade, 39 affirmations, one withdrawal, and one discontinuance. Additionally, S&P placed six ratings on CreditWatch with negative implications. Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by its projected cash flows. These considerations are based on transaction-specific performance or structural characteristics (or both) and their potential effects on certain classes. Some of these considerations include: -- Collateral performance/delinquency trends; -- Historical interest shortfalls/missed interest payments; -- Erosion of or increases in credit support; -- Expected short duration; -- Interest-only criteria; and -- Available subordination and/or overcollateralization. Rating Actions The affirmations of ratings reflect S&P's opinion that its projected credit support and collateral performance on these classes has remained relatively consistent with its prior projections. S&P placed its 'AA+ (sf)' ratings on classes A-3, A-4, A-5, A-6, A-11, and A-12 from WaMu Mortgage Pass-Through Certificates Series 2004-RS1 Trust on CreditWatch with negative implications. The CreditWatch negative placements reflect S&P's review of a legal expense incurred in the October 2018 remittance period, which could have a negative impact on its ratings on the affected classes. After verifying with the trustee the nature of this expense and the impact, if any, on these classes, S&P will take rating actions that it considers appropriate per its criteria, including downgrades to the low speculative-grade range and/or withdrawals." A list of Affected Ratings can be viewed at: https://bit.ly/2Emqgit ********* 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. 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Point your Web browser to http://TCRresources.bankrupt.com/and use the e-mail address to which your TCR is delivered to login. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter is a daily newsletter co-published by Bankruptcy Creditors Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., USA. Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Valerie Udtuhan, Howard C. Tolentino, Carmel Paderog, Meriam Fernandez, Joel Anthony G. Lopez, Cecil R. Villacampa, Sheryl Joy P. Olano, Psyche A. Castillon, Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 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. 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