/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/190623.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, June 23, 2019, Vol. 23, No. 173 Headlines ATLAS SENIOR XIV: Moody's Rates $22.8MM Class E Notes 'Ba2' BANK OF AMERICA 2015-HAUL: Fitch Affirms BB Rating on Class E Debt BEAR STEARNS 2005-PWR10: Fitch Affirms Dsf Rating on 14 Classes BENCHMARK 2019-B11: Fitch Assigns B-sf Rating on Class G Certs BUSINESS JET 2019-1: S&P Assigns BB (sf) Rating to Class C Notes CARVANA AUTO 2019-2: Moody's Assigns (P)B2 Rating on Class E Notes CD 2005-CD1: Moody's Affirms Caa3 Rating on Class G Certs CREDIT SUISSE 2005-C1: Fitch Affirms D Ratings on 7 Tranches CSAIL 2017-C8: Fitch Affirms BB- Rating on Class E Certificates CSAIL 2019-C16: DBRS Gives Prov. B(high) Rating on Class G-RR Certs CSFB COMMERCIAL 2005-C4: Moody's Affirms Caa3 Rating on Cl. F Certs DBJPM MORTGAGE 2017-C6: Fitch Affirms B- Rating on Cl. F-RR Certs ELEVATION CLO 2015-4: S&P Assigns BB- (sf) Rating to Class E Notes ELM CLO 2014-1: S&P Assigns Prelim BB-(sf) Rating to Cl. E-RR Notes FOURSIGHT CAPITAL 2019-1: Moody's Gives '(P)B2' Rating to F Notes GS MORTGAGE 2019-SOHO: Moody's Assigns B2 Rating on 2 Tranches JP MORGAN 2012-C8: Fitch Affirms B Rating on Class G Certs JP MORGAN 2013-C13: Moody's Affirms B2 Rating on Class F Certs LB-UBS COMMERCIAL 2005-C5: S&P Raises Class J Certs Rating to B(sf) LENDMARK FUNDING 2019-1: S&P Assigns Prelim BB Rating to D Notes MADISON PARK XXXVII: S&P Assigns Prelim BB- (sf) Rating to E Notes MILL CITY 2019-1: DBRS Finalizes B Rating on $22.5MM Class B2 Notes MORGAN STANLEY 2015-UBS8: Fitch Cuts Rating on 2 Tranches to CCC NEW RESIDENTIAL 2019-NQM3: DBRS Gives Prov. B Rating on B-2 Notes OBX TRUST 2019-INV2: DBRS Gives Prov. B Rating on Cl. B-5 Notes PALMER SQUARE 2015-1: S&P Assigns BB-(sf) Rating to Cl. D-R2 Notes PSMC TRUST 2019-1: Fitch Assigns Bsf Rating on Class B-5 Debt SUTHERLAND COMMERCIAL 2019-SBC8: DBRS Gives (P)B Rating on G Certs TICP CLO XIII: Moody's Rates $25.45MM Class E Notes 'Ba3' TOWD POINT 2019-HE1: Fitch to Rate $5.554MM Class B2 Notes 'Bsf' VIBRANT CLO XI: Moody's Assigns (P)Ba3 Rating on Class D Notes WACHOVIA BANK 2004-C11: Moody's Affirms C Ratings on 3 Tranches WELLS FARGO 2016-C35: Fitch Affirms B Rating on Class F Certs WELLS FARGO 2019-C51: Fitch to Rate Class G-RR Certs B-sf WESTLAKE AUTOMOBILE 2019-2: S&P Assigns B+ (sf) Rating to F Notes [*] S&P Takes Various Actions on 143 Classes From 35 US RMBS Deals [*] S&P Takes Various Actions on 92 Classes From 27 U.S. RMBS Deals ********* ATLAS SENIOR XIV: Moody's Rates $22.8MM Class E Notes 'Ba2' ----------------------------------------------------------- Moody's Investors Service has assigned ratings to seven classes of notes issued by Atlas Senior Loan Fund XIV, Ltd. Moody's rating action is as follows: US$1,950,000 Class X Senior Secured Floating Rate Notes due 2032 (the "Class X Notes"), Assigned Aaa (sf) US$256,000,000 Class A Senior Secured Floating Rate Notes due 2032 (the "Class A Notes"), Assigned Aaa (sf) US$24,000,000 Class B-1 Senior Secured Floating Rate Notes due 2032 (the "Class B-1 Notes"), Assigned Aa2 (sf) US$24,000,000 Class B-2 Senior Secured Fixed Rate Notes due 2032 (the "Class B-2 Notes"), Assigned Aa2 (sf) US$17,400,000 Class C Senior Secured Deferrable Floating Rate Notes due 2032 (the "Class C Notes"), Assigned A2 (sf) US$23,800,000 Class D Senior Secured Deferrable Floating Rate Notes due 2032 (the "Class D Notes"), Assigned Baa3 (sf) US$22,800,000 Class E Senior Secured Deferrable Floating Rate Notes due 2032 (the "Class E Notes"), Assigned Ba3 (sf) The Class X Notes, the Class A Notes, the Class B-1 Notes, the Class B-2 Notes, the Class C Notes, the Class D Notes and the Class E Notes are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE The rationale for the ratings is based on a consideration of the risks associated with the CLO's portfolio and structure as described in the methodology. Atlas Senior Loan Fund XIV is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of senior secured loans and eligible investments, and up to 10.0% of the portfolio may consist of second lien loans and unsecured loans. The portfolio is approximately 60% ramped as of the closing date. Crescent Capital Group LP will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer issued one class of subordinated notes and one class of combination 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 March 2019. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $400,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 2759 Weighted Average Spread (WAS): 3.40% Weighted Average Coupon (WAC): 6.00% Weighted Average Recovery Rate (WARR): 48.0% Weighted Average Life (WAL): 8.5 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in March 2019. 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 OF AMERICA 2015-HAUL: Fitch Affirms BB Rating on Class E Debt ------------------------------------------------------------------ Fitch Ratings has upgraded four and affirmed four classes of Bank of America Merrill Lynch BAMLL Commercial Mortgage Securities Trust 2015-HAUL. KEY RATING DRIVERS Improved Performance and Credit Metrics: The upgrades reflect continued improvements in portfolio performance and loan amortization. The loan has a Fitch-stressed debt service coverage ratio (DSCR) and loan-to-value (LTV) of 1.44x and 63%, respectively, compared to 1.22x and 78.3% at issuance, inclusive of an amortization factor of 75%. The loan has amortized 12.3% since issuance. Both portfolio occupancy and net cash flow (NCF) have improved since 2010. Occupancy has increased from 77.5% in 2010 to 87.3% at YE 2018. NCF decreased slightly in 2018 (down 4.1% from YE 2017), but it has experienced average YoY growth of 3.9% over the 2010 to 2018 period, with the 2018 NCF 34.5% above the 2010 level. Fully Amortizing Loan: The loan is structured with a 20-year amortization schedule providing full amortization over the term of the loan. The loan matures in July 2035. Collateral: The loan is secured by 60 cross-collateralized self-storage properties located across six states. No single property represents more than 3.5% of total outstanding balance. Ground Leases: Fifty-six of the properties are owned fee simple and four properties are held in leasehold. The four ground-leased properties secure approximately 7% of the portfolio by loan balance. The earliest fully extended ground lease maturity date is Aug. 31, 2043, eight years beyond the loan's maturity date. Experienced Sponsorship and Management: The loan is sponsored by Private Mini Storage, L.P. The sponsor is indirectly wholly owned and controlled by Blackwater Investments, Inc., which is controlled by Mark V. Shoen, the son of the original founders of U-Haul and a significant shareholder in AMERCO, the holding company of U-Haul. The portfolio is managed by U-Haul through management agreements with U-Haul subsidiaries in each of the states where the portfolio properties are located. U-Haul owns and operates approximately over 1,200 self-storage locations in the U.S. with over 450,000 units and 42 million sf of space. RATING SENSITIVITIES The Rating Outlook for all classes is Stable to reflect the improved portfolio cash flow and reduction in the loan balance due to scheduled amortization. With a sustained improvement in cash flow and continued paydown, future upgrades to classes C and D are likely. Should the loan's performance metrics decline significantly, downgrades are possible. Fitch has upgraded the following classes as indicated: -- $31.8 million class B to 'AAAsf' from 'AA-sf'; Outlook revised to Stable from Positive; -- $23.9 million class C to 'AAsf' from 'A-sf'; Outlook revised to Stable from Positive; -- $55.7 million class X-B(a) to 'AAsf' from 'A-sf'; Outlook revised to Stable from Positive; -- $38.5 million class D to 'Asf' from 'BBB-sf'; Outlook Stable; Fitch has affirmed the following classes: -- $60 million class A-1 at 'AAAsf'; Outlook Stable; -- $65 million class A-2 at 'AAAsf'; Outlook Stable; -- $125 million class X-A(a) at 'AAAsf'; Outlook Stable; -- $21.4 million class E at 'BBsf'; Outlook Stable. (a) Notional amount and interest-only. BEAR STEARNS 2005-PWR10: Fitch Affirms Dsf Rating on 14 Classes --------------------------------------------------------------- Fitch Ratings has upgraded one and affirmed 15 classes of Bear Stearns Commercial Mortgage Securities Trust (BSCMS), series 2005-PWR10 commercial mortgage pass-through certificates. Bear Stearns Commercial Mortgage Securities Trust 2005-PWR10 Debt Rating Prior ---- ------ ----- Class A-J 07387BEE9; LT AAAsf Affirmed; previously at AAAsf Class B 07387BEF6; LT AAAsf Upgrade; previously at Asf Class C 07387BEG4; LT Dsf Affirmed; previously at Dsf Class D 07387BEH2; LT Dsf Affirmed; previously at Dsf Class E 07387BEJ8; LT Dsf Affirmed; previously at Dsf Class F 07387BEK5; LT Dsf Affirmed; previously at Dsf Class G 07387BEN9; LT Dsf Affirmed; previously at Dsf Class H 07387BEP4; LT Dsf Affirmed; previously at Dsf Class J 07387BEQ2; LT Dsf Affirmed; previously at Dsf Class K 07387BER0; LT Dsf Affirmed; previously at Dsf Class L 07387BES8; LT Dsf Affirmed; previously at Dsf Class M 07387BET6; LT Dsf Affirmed; previously at Dsf Class N 07387BEU3; LT Dsf Affirmed; previously at Dsf Class O 07387BEV1; LT Dsf Affirmed; previously at Dsf Class P 07387BEW9; LT Dsf Affirmed; previously at Dsf Class Q 07387BEX7; LT Dsf Affirmed; previously at Dsf KEY RATING DRIVERS Stable Loss Expectations and Credit Enhancement: The upgrade of class B and affirmations of all other classes reflect the high percentage of defeased loans and stable performance of the remaining loans since Fitch's prior rating action. As of the June 2019 remittance report, the pool has been reduced by 95.9% to $107.2 million from $2.63 billion at issuance. Ten loans (73.4% of the current pool balance) totaling $78.7 million have been defeased. There have been $272.9 million in realized losses, and interest shortfalls are currently impacting class C and classes H through S. Alternative Loss Considerations: The pool is highly concentrated with only 16 of the original 214 loans remaining. Due to the concentrated nature of the pool, Fitch performed a sensitivity analysis that grouped the remaining loans based on loan structural features, collateral quality, and performance and ranked them by their perceived likelihood of repayment. The ratings reflect the sensitivity analysis. Class A-J is fully covered by defeasance, and class B is 74% covered by defeased collateral. In order for class B to pay in full, it would need a 31.1% recovery on the largest loan in the pool, 49 East 52nd Street (equating to $91 per square foot), or an 18.0% recovery on all remaining, non-defeased loans. Largest Loan: 49 East 52nd Street (15.4%) is a 56,338 sf class B office building in New York City. The loan is currently amortizing and had a YE 2018 NOI debt service coverage ratio (DSCR) of 1.27x and an occupancy rate of 87%. At maturity in October 2020 the loan will need to recover $281 per square foot to pay in full. The property has no upcoming tenant roll, though one sponsor-affiliated tenant is on a month-to-month lease. Fitch Loans of Concern: Three loans (10.1%) are designated as Fitch Loans of Concern due to upcoming tenant roll and DSCRs at or below 1.0x. The largest Fitch Loan of Concern is Haymaker Village (7.0%), a 102,129 sf grocery-anchored shopping center in Monroeville, PA. The grocery anchor, Shop 'N Save (48.5% NRA), has a lease expiration in November 2020, one month prior to the loan's maturity date. As of YE 2018, the property is 91% occupied and reported a 1.07x NOI DSCR. Maturity Concentration: 13 of the remaining loans (96.0%) mature in 2020, and the remaining three loans (4.0%) mature in 2025. BENCHMARK 2019-B11: Fitch Assigns B-sf Rating on Class G Certs -------------------------------------------------------------- Fitch Ratings has assigned the following ratings and Rating Outlooks to BENCHMARK 2019-B11 Mortgage Trust commercial mortgage pass-through certificates, Series 2019-B11: -- $14,700,000 class A-1 'AAAsf'; Outlook Stable; -- $81,700,000 class A-2 'AAAsf'; Outlook Stable; -- $18,615,000 class A-SB 'AAAsf'; Outlook Stable; -- $20,600,000 class A-3 'AAAsf'; Outlook Stable; -- $215,325,000 class A-4 'AAAsf'; Outlook Stable; -- $379,930,000 class A-5 'AAAsf'; Outlook Stable; -- $856,162,000a class X-A 'AAAsf'; Outlook Stable; -- $83,529,000a class X-B 'A-sf'; Outlook Stable; -- $125,292,000 class A-S 'AAAsf'; Outlook Stable; -- $43,070,000 class B 'AA-sf'; Outlook Stable; -- $40,459,000 class C 'A-sf'; Outlook Stable; -- $41,764,000ab class X-D 'BBB-sf'; Outlook Stable; -- $18,271,000ab class X-F 'BB-sf'; Outlook Stable; -- $10,441,000ab class X-G 'B-sf'; Outlook Stable; -- $23,492,000b class D 'BBBsf'; Outlook Stable; -- $18,272,000b class E 'BBB-sf'; Outlook Stable; -- $18,271,000b class F 'BB-sf'; Outlook Stable; -- $10,441,000b class G 'B-sf'; Outlook Stable. The following classes are not rated by Fitch: -- $33,934,181ab class X-H; -- $33,934,181b class H; -- $54,952,694bc class VRR Interest. (a) Notional amount and interest only. (b) Privately placed and pursuant to Rule 144A. (c) Vertical credit-risk retention interest, which represents approximately 5.00% of the certificate balance, notional amount or percentage interest of each class of certificates. The ratings are based on information provided by the issuer as of June 17, 2019. Since Fitch published its presale on May 16, 2019, the class balances for class A-4 and A-5 have been finalized. At the time the classes were assigned expected ratings, the class A-4 balance range was $75,000,000-$280,000,000 and the class A-5 balance range was $315,255,000-$520,255,000. The final class sizes for class A-4 and A-5 are $215,325,000 and $379,930,000, respectively. The classes reflect the final ratings and deal structure. The certificates represent the beneficial ownership interest in the trust, primary assets of which are 40 loans secured by 424 commercial properties with an aggregate principal balance of $1,099,053,875 as of the cut-off date. The loans were contributed to the trust by Citi Real Estate Funding Inc., JPMorgan Chase Bank, National Association, and German American Capital Corporation. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 74.1% of the properties by balance, cash flow analysis of 89.2%, and asset summary reviews on 100% of the pool. KEY RATING DRIVERS Fitch Leverage: The pool's Fitch leverage is better compared with other recent Fitch-rated, fixed-rate, multiborrower transactions. The pool's Fitch debt service coverage ratio (DSCR) of 1.22x is in line with YTD 2019 and 2018 averages of 1.21x and 1.22x, respectively. However, the pool's Fitch loan-to-value (LTV) of 96.7% is significantly better than the YTD 2019 and 2018 averages of 102.5% and 102.0%, respectively. Excluding investment-grade credit opinion loans, the pool has a Fitch DSCR and LTV of 1.18x and 108.2%, respectively. Investment-Grade Credit Opinion Loans: Five loans, representing 28.3% of the pool, have investment-grade credit opinions. This is significantly above the YTD 2019 and 2018 averages of 10.1% and 13.6%, respectively. ILPT Hawaii Portfolio (7.1% of the pool) received a credit opinion of 'BBBsf'* on a standalone basis. 3 Columbus Circle (9.1% of the pool), 101 California (4.5% of the pool), Moffett Towers II - Building 5 (3.9% of the pool), and Newport Corporate Center (3.7% of the pool) each received standalone credit opinions of 'BBB-sf'*. Limited Amortization: There are 23 loans that are full interest-only (76.8% of the pool), eight loans (12.7%) that are partial interest-only, and nine loans (10.5%) that are amortizing balloon loans. Based on the scheduled balance at maturity, the pool will pay down by just 3.5%, which is below the YTD 2019 and 2018 averages of 6.4% and 7.2%, respectively. RATING SENSITIVITIES For this transaction, Fitch's net cash flow (NCF) was 19.0% below the most recent year's NOI for properties for which a full-year NOI was provided, excluding properties that were stabilizing during this period. Unanticipated further declines in property-level NCF could result in higher defaults and loss severities on defaulted loans and in potential rating actions on the certificates. Fitch evaluated the sensitivity of the ratings assigned to the BMARK 2019-B11 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 'BBBsf' could result. BUSINESS JET 2019-1: S&P Assigns BB (sf) Rating to Class C Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to Business Jet Securities 2019-1 LLC's class A, B, and C fixed-rate notes. The note issuance is an asset-backed securities (ABS) transaction backed by 35 loans and leases, and the corresponding security or ownership interests in the underlying aircraft, and shares and beneficial interests in entities that directly and indirectly receive aircraft portfolio cash flows, among others. The ratings reflect: -- The likelihood of timely interest on the class A notes (excluding the post-anticipated repayment date (ARD) additional interest or deferred post-ARD additional interest) on each payment date; the timely interest on the class B notes (excluding the post-ARD additional interest or deferred post-ARD additional interest) when class A notes are no longer outstanding on each payment date; and the ultimate payment of interest and principal on the class A, B, and C notes on or before the legal final maturity at the respective rating stress ('A', 'BBB', and 'BB', respectively). -- The approximately 67% loan-to-value ratio (LTV, based on the aggregate asset value) on the class A notes, the 77% LTV on the class B notes, and the 83% LTV on the class C notes. -- A fairly diversified and young portfolio of business jets which are either on loan, financial lease, or operational lease to corporates or high net worth individuals. -- The scheduled amortization profile, which is straight line over 12.5 years for the class A and B notes and seven years for the class C notes. However, the amortization of all classes will switch to full turbo after year seven. -- The transaction's debt service coverage ratios, net loss trigger, and utilization trigger, a failure of which will result in sequential turbo amortization of the notes. The transaction's LTV test (class A notes balance divided by aggregate asset value),a failure of which will result in turbo amortization of the class A notes until the test is brought back to compliance. -- The subordination of class C notes' interest and principal to the class A and B notes'interest and principal. The sequential partial sweep payments to the class A and B notes to the extent of 25% of remaining available funds after all payments to the class A and B notes for 85 payment dates from closing. -- A liquidity reserve account, which is available to cover senior expenses and interest on the class A and B notes. The amount available will equal nine months of interest on the class A and B notes, fully funded at closing. RATINGS ASSIGNED Business Jet Securities 2019-1 LLC Class Rating Amount (mil. $) A A (sf) 417.400 B BBB (sf) 62.300 C BB (sf) 37.400 CARVANA AUTO 2019-2: Moody's Assigns (P)B2 Rating on Class E Notes ------------------------------------------------------------------ Moody's Investors Service has assigned provisional ratings to the notes to be issued by Carvana Auto Receivables Trust 2019-2. This is the second 144A auto loan transaction for Carvana, LLC, an indirect wholly owned subsidiary of Carvana Co. (B3 stable). The notes will be backed by a pool of retail automobile loan contracts originated by Carvana, who is also the administrator of the transaction. Bridgecrest Credit Company, LLC, an indirect wholly owned subsidiary of DriveTime Auto Group (B3 stable), will be the servicer of the transaction. The complete rating actions are as follow: Issuer: Carvana Auto Receivables Trust 2019-2 Class A-2 Notes, Assigned (P)Aaa (sf) Class A-3 Notes, Assigned (P)Aaa (sf) Class B Notes, Assigned (P)Aa1 (sf) Class C Notes, Assigned (P)A2 (sf) Class D Notes, Assigned (P)Baa3 (sf) Class E Notes, Assigned (P)B2 (sf) RATINGS RATIONALE The ratings are based on the quality of the underlying collateral originated by Carvana and its expected performance, the strength of the capital structure, the experience and expertise of Bridgecrest Credit as the servicer and the presence of First Associates Loan Servicing, LLC (unrated) as the backup servicer. Moody's median cumulative net loss expectation for the 2019-2 pool is 11% and the loss at a Aaa stress is 50%. The loss levels for CRVNA 2019-2 are the same as 2019-1, the last transaction it rated. Moody's based its cumulative net loss expectation on an analysis of the credit quality of the underlying collateral; the historical performance of similar collateral including Carvana's managed portfolio performance; the ability of Bridgecrest Credit to perform the servicing functions; and current expectations for the macroeconomic environment during the life of the transaction. At closing, the Class A notes, Class B notes, Class C notes Class D notes and Class E notes are expected to benefit from 49.05%, 33.80%, 23.65%, 12.20% and 4.00% of hard credit enhancement, respectively. Hard credit enhancement for the notes consists of a combination of overcollateralization, a non-declining reserve account and subordination except for the Class E notes which do not benefit from subordination. The notes may also benefit from excess spread. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Global Approach to Rating Auto Loan- and Lease-Backed ABS' published in March 2019. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the subordinated notes if, given current expectations of portfolio losses, levels of credit enhancement are consistent with higher ratings. In sequential pay structures, such as the one in this transaction, credit enhancement grows as a percentage of the collateral balance as collections pay down senior notes. Prepayments and interest collections directed toward note principal payments will accelerate this build of enhancement. Moody's expectation of pool losses could decline as a result of a lower number of obligor defaults or appreciation in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market, the market for used vehicles, and changes in servicing practices. Down Moody's could downgrade the notes if, given current expectations of portfolio losses, levels of credit enhancement are consistent with lower ratings. Credit enhancement could decline if excess spread is not sufficient to cover losses in a given month. Moody's expectation of pool losses could rise as a result of a higher number of obligor defaults or deterioration in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market, the market for used vehicles, and poor servicing. Other reasons for worse-than-expected performance include error on the part of transaction parties, inadequate transaction governance, and fraud. CD 2005-CD1: Moody's Affirms Caa3 Rating on Class G Certs --------------------------------------------------------- Moody's Investors Service, affirmed the rating on two classes of CD 2005-CD1 Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2005-CD1 Cl. G, Affirmed Caa3 (sf); previously on Jun 1, 2018 Affirmed Caa3 (sf) Cl. H, Affirmed C (sf); previously on Jun 1, 2018 Affirmed C (sf) RATINGS RATIONALE The ratings on the principal and interest (P&I) classes were affirmed because the ratings are consistent with Moody's expected loss plus realized losses. Class H has already experienced a 91% realized loss as result of previously liquidated loans. Moody's rating action reflects a base expected loss of 47.1% of the current pooled balance, compared to 19.4% at Moody's last review. Moody's base expected loss plus realized losses is now 5.9% of the original pooled balance, compared to 5.8% 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, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. DEAL PERFORMANCE As of the May 17, 2019 distribution date, the transaction's aggregate certificate balance has decreased by 99.0% to $41.8 million from $3.9 billion at securitization. The certificates are collateralized by seven mortgage loans. One loan, constituting 4.6% of the pool, have defeased and are secured by US government securities. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral (Herfindahl Index) Herf score is 40. The pool has a Herf of 5, compared to a Herf of 3 at Moody's last review. Forty-four loans have been liquidated from the pool, resulting in an aggregate realized loss of $209 million (for an average loss severity of 36%). Three loans, constituting 48.2% of the pool, are currently in special servicing. The largest specially serviced loan is the ICI-Glidden Research Center loan ($9.4 million -- 22.4% of the pool), which is secured by an approximately 194,600 SF single-tenant office property located in Strongsville, Ohio, a suburb of Cleveland. The property consists of two, Class B buildings previously utilized as an office, warehouse, and research facility. The loan transferred to special servicing in November 2018 due to imminent default upon notice that the sole tenant, AKZO Nobel Coatings, Inc., would not be renewing. The tenant consolidated to an adjacent property less than half a mile away and vacated upon the December 2018 lease expiration. The property is currently vacant and the loan defaulted as of its January 2019 payment date. A receiver was appointed in February 2019 and the special servicer indicated the loan is being dual tracked with foreclosure. The second largest specially serviced loan is the Super K -- Port Huron loan ($5.9 million -- 14.0% of the pool), which is secured by a 193,590 SF retail property located in Port Huron, Michigan, approximately 56 miles northwest of Detroit. The property is situated next to a Sam's Club (not part of the collateral) and was previously occupied solely by Super K Mart who had vacated the property in the fourth quarter of 2014. The tenant continued to make rental payments, however, the loan transferred to special servicing in November 2018 for imminent default due to the parent company, Sears Holding Corporation, filing for bankruptcy in October 2018. The special servicer indicated the loan is being dual tracked with foreclosure. The third largest specially serviced loan is the 2150 Joshua Path loan ($4.9 million -- 11.7% of the pool), which is secured by an approximately 41,000 SF suburban office building located in Hauppauge, NY. The loan transferred to special servicing in July 2012 due to payment default. The master servicer has deemed this loan non-recoverable. As of the May 2019 remittance statement cumulative interest shortfalls were $17.7 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. The three remaining performing loans represent 47.2% of the pool balance. The largest loan is the ConnectiCare Office Building loan ($12.7 million -- 30.5% of the pool), which is secured by an approximately 100,540 SF single tenant occupied office property located in Farmington, Connecticut. As of March 2019, the property was 100% occupied by ConnectiCare Insurance. The tenant has extended the lease with a lease expiration of February 2028 with a reduced rent from $21.10 PSF to $14.33 PSF. The loan passed its anticipated repayment date in July 2015 and has amortized 33% since securitization. Due to the single tenant exposure, Moody's incorporated a lit/dark analysis and Moody's loan-to-value (LTV) and stressed debt service coverage ratio (DSCR) are 116% and 0.99X, respectively, compared to 105% and 0.96X at the last review. Moody's stressed DSCR is based on Moody's net cash flow (NCF) and a 9.25% stress rate the agency applied to the loan balance. The second largest loan is the Crain Towers loan ($5.7 million -- 13.7% of the pool), which is secured by an approximately 67,000 SF medical office property located in Glen Burnie, Maryland. The property is located approximately 12 miles south of Baltimore and less than a mile from the University of Maryland Baltimore Washington Medical Center. As of the March 2019 rent roll, the property was 77% occupied, compared to 76% in 2018. Moody's LTV and stressed DSCR are 62% and 1.75X, respectively, compared to 63% and 1.59X at the last review. The third largest loan is the Edgewood at the Gables loan ($1.3 million -- 3.0% of the pool), which is secured by a 60-unit senior housing complex in Tulsa, OK. The property is located approximately five miles west of downtown Tulsa. As of the September 2018 rent roll, the property was 95% occupied, compared to 98% in 2016. Moody's LTV and stressed DSCR are 65% and 1.46X, respectively, compared to 68% and 1.38X at the last review. CREDIT SUISSE 2005-C1: Fitch Affirms D Ratings on 7 Tranches ------------------------------------------------------------ Fitch Ratings has upgraded one and affirmed seven distressed classes of Credit Suisse First Boston Mortgage Securities Corp. series 2005-C1, commercial mortgage pass-through securities. Entity/Debt Rating Prior ----------- ------ ----- Credit Suisse First Boston Mortgage Securities Corp. 2005-C1 Class F (225458DT2) LT BBBsf Upgrade previously Bsf Class H (225458DV7) LT Dsf Affirmed previously Dsf Class J (225458DW5) LT Dsf Affirmed previously Dsf Class K (225458DX3) LT Dsf Affirmed previously Dsf Class L (225458GM4) LT Dsf Affirmed previously Dsf Class M (225458DY1) LT Dsf Affirmed previously Dsf Class N (225458DZ8) LT Dsf Affirmed previously Dsf Class O (225458EA2) LT Dsf Affirmed previously Dsf KEY RATING DRIVERS Stable Performance and Loss Expectations: Overall pool performance and loss expectations have remained stable since Fitch's last rating action. The upgrade to class F reflects an increase in credit enhancement from scheduled amortization. Repayment of the class is reliant on the three remaining performing loans (59% of the pool) that are fully amortizing low leveraged loans, including a loan secured by a single tenant drug store (28% of the pool) located in Auburn, WA with an investment-grade tenant (Walgreens, rated BBBsf/Negative), whose lease runs past the loans March 2025 maturity. Increased Credit Enhancement: The pool has seen an increase in CE since Fitch's prior rating action. As of the May 2019 distribution date, the pool has been reduced by 99.6% to $6.6 million from $1.5 billion at issuance, which includes $83.5 million in realized losses to date (5.5% of the original pool balance). Concentrated Pool; Sensitivity Test: The pool is highly concentrated with only four of the original 166 loans remaining. Of the remaining loans/assets, three are fully amortizing loans (59% of the pool balance) and one is a Real Estate Owned (REO) anchored retail center located in Easton, MD. Due to the concentrated nature of the pool, Fitch performed a sensitivity analysis that grouped the remaining loans/assets based on loan structural features, collateral quality and performance, which ranked them by their perceived likelihood of repayment. The ratings reflect this sensitivity analysis. REO Asset: Staples Plaza (41% of the pool balance), is a 33,912 square foot anchored retail center located in Easton, MD. The loan transferred to special servicing in November 2014 for imminent default and had been in payment default since April 2015. The loan became REO in 2017. As of the December 2018 rent roll, the property was 80% occupied. The largest tenant, Staples (71% of net rentable area), executed a five-year lease renewal that expires in October of 2023. Fitch continues to monitor the status of any negotiations and/or resolution. RATING SENSITIVITIES The Stable Rating Outlook on class F is due to the class' high credit enhancement and the class being fully covered by fully amortizing low leveraged loans. Further upgrades to the class are unlikely due to the highly concentrated nature of the pool. CSAIL 2017-C8: Fitch Affirms BB- Rating on Class E Certificates --------------------------------------------------------------- Fitch Ratings has affirmed 16 classes of CSAIL 2017-C8 Commercial Mortgage Trust commercial mortgage pass-through certificates. KEY RATING DRIVERS Overall Stable Pool Performance and Slight Increase in Loss Expectations: Pool performance and loss expectations remain generally stable. One loan (2.5%) is currently in special servicing. No loans have paid off. Three loans (5.2%) are currently on the master servicer's watchlist, of which, two were considered Fitch loans of concern (FLOCs). The largest FLOC is the specially serviced loan, Acropolis Gardens (2.5% of the pool), which is secured by a multifamily cooperative property consisting of 16 buildings and 618 units located in Astoria, NY. The loan was transferred to special servicing in July 2018 for imminent default. The loan is due for the August 2018 payment. In addition to the payment default, there are multiple lawsuits against the borrower and property manager alleging fraud, misapplication of proceeds, failure to remediate life/safety issues. The lawsuits were filed by shareholders of the co-op. Per the special servicer, the lender filed foreclosure in October of 2018 and a receiver was appointed. The loan remains categorized as in foreclosure. Per the January 2019 rent roll, average rent at the property is $929 per unit. The special servicer is involved in a court ordered mediation with the borrower. Negotiations are in process to bring the loan current; however, an agreement has not yet been reached. The remaining two FLOCs are Alexandria Corporate Park (2.4%), an industrial warehouse property in Alexandria, VA, which has suffered a decline in occupancy due to GSA tenants vacating in 2018 and Bell Plaza Professional Building (0.8%), an office property located in Sun City, AZ with occupancy declines resulting from two tenants vacating at lease expiration in 2018. Minimal Changes in Credit Enhancement: As of the May 2019 remittance, the pool has been reduced by 0.5% to $806.9 million from $811 million at issuance. Based on the scheduled balance at maturity, the pool is only expected to be reduced by 6.4%. Approximately twelve loans (61.6% of the pool) are interest only. Ten loans (24.3% of the pool) are partial interest only. There is one anticipated repayment date (ARD) loan representing 2.8% of the pool. The remainder of the pool consists of 11 balloon loans representing 14.1% of the pool. Additional Considerations: Pool Concentrations: The top 15 loans comprise 77% of the pool. The pool is concentrated in the New York Metro area with 33.1% of the pool located in NYC and the surrounding suburbs in New York, New Jersey, and Connecticut. The largest property types include office (45.4% of the pool), hotels (14.6%), retail (14.4%) and multifamily (12.8%). Investment-Grade Credit Opinion Loans: Four loans, representing 34.4% of the pool, had investment-grade credit opinions. 85 Broad Street (11.1% of the pool), 245 Park Avenue (9.9% of the pool) and Apple Sunnyvale (8.7% of the pool) each has an investment-grade credit opinion of 'BBB-sf' on a stand-alone basis. Urban Union Amazon (4.7%) had an investment-grade credit opinion of 'AAsf' on a stand-alone basis. RATING SENSITIVITIES The Rating Outlooks for all classes remain Stable due to the overall stable performance of the pool. Fitch does not foresee positive or negative ratings migration until a material economic or asset-level event changes the transaction's portfolio level metrics. Entity/Debt Rating ----------- ------ CSAIL 2017-C8 Class A-1 (12595BAA9) LT AAAsf Affirmed Class A-2 (12595BAB7) LT AAAsf Affirmed Class A-3 (12595BAC5) LT AAAsf Affirmed Class A-4 (12595BAD3) LT AAAsf Affirmed Class A-S (12595BBF7) LT AAAsf Affirmed Class A-SB (12595BAE1) LT AAAsf Affirmed Class B (12595BAH4) LT AA-sf Affirmed Class C (12595BAJ0) LT A-sf Affirmed Class D (12595BAK7) LT BBB-sf Affirmed Class E (12595BAM3) LT BB-sf Affirmed Class F (12595BAP6) LT B-sf Affirmed Class V1-A (12595BBQ3) LT AAAsf Affirmed Class V1-B (12595BBR1) LT A-sf Affirmed Class V1-D (12595BBS9) LT BBB-sf Affirmed Class X-A (12595BAF8) LT AAAsf Affirmed Class X-B (12595BAG6) LT A-sf Affirmed CSAIL 2019-C16: 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-C16 to be issued by CSAIL 2019-C16 Commercial Mortgage Trust: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-SB at AAA (sf) -- Class X-A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (sf) -- Class X-B at A (sf) -- Class C at A (low) (sf) -- Class X-D at A (low) (sf) -- Class D at BBB (high) (sf) -- Class E-RR at BBB (low) (sf) -- Class F-RR at BB (sf) -- Class G-RR at B (high) (sf) All trends are Stable. The collateral consists of 47 fixed-rate loans secured by 96 commercial and multifamily properties. The transaction is a sequential-pay pass-through structure. Two loans in the pool, accounting for 10.2% of the pool, are shadow-rated investment grade by DBRS. 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, no loans had a DBRS Term Debt Service Coverage Ratio (DSCR) below 1.15 times (x), a threshold indicative of a higher likelihood of mid-term default. The weighted-average (WA) loan-to-value (LTV) ratio of the pool was 61.4% with a WA of 56.8% at maturity. Seven loans, representing 22.3% of the pool, are secured by properties that are located in areas with a market rank of 7 or 8, which are characterized as highly dense, urbanized areas. These areas tend to have increased liquidity that benefits from consistent investor demand, even in times of stress. All seven of the properties are located in the New York City area. In addition, 13 loans, which account for 32.7% of the pool, have an at issuance LTV of less than 60.0%. Historical data generally demonstrates that loans with lower LTVs at issuance have a lower probability of default. Two loans, representing 10.2% of the pool, 3 Columbus Circle and 787 Eleventh Avenue, exhibit credit characteristics consistent with investment-grade shadow ratings. The 3 Columbus Circle loan exhibits credit characteristics consistent with a BBB (high) shadow rating and 787 Eleventh Avenue exhibits credit characteristics consistent with an A (low) shadow rating. Seven loans, which account for 19.4% of the pool and 22.8% of the DBRS sample, are considered to have Above Average or Average (+) property quality based on physical attributes and/or a desirable location within their respective markets. Eight loans, which represent 12.4% of the pool, are secured by single-tenant properties. The largest of these loans is the headquarters of Darden Restaurants, Inc., a multi-brand restaurant operator headquartered in Orlando, Florida, representing 3.8% of the pool balance and 30.7% of the single-tenant concentration. Four of the properties are secured by free-standing fitness centers. Loans secured by properties occupied by single tenants are seen to be more exposed to event risk around their single tenant compared with properties with more diversified rent rolls. No properties were considered to be Below Average or Average (-) property quality. Higher-quality properties are more likely to retain existing tenants/guests and more easily attract new tenants/guests, resulting in more stable performance. CSFB COMMERCIAL 2005-C4: Moody's Affirms Caa3 Rating on Cl. F Certs ------------------------------------------------------------------- Moody's Investors Service, has affirmed the rating on one class in CSFB Commercial Mortgage Trust 2005-C4, Commercial Mortgage Pass Through Certificates, Series 2005-C4 as follows: Cl. F, Affirmed Caa3 (sf); previously on May 24, 2018 Affirmed Caa3 (sf) RATINGS RATIONALE The rating on the P&I class was affirmed because the rating is consistent with Moody's expected loss plus realized losses. Moody's rating action reflects a base expected loss of 37.6% of the current pooled balance, compared to 38.7% at Moody's last review. Moody's base expected loss plus realized losses is now 6.3% of the original pooled balance, the same as at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in this rating was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. DEAL PERFORMANCE As of the May 17, 2019 distribution date, the transaction's aggregate certificate balance has decreased by over 99% to $8.4 million from $1.33 billion at securitization. The certificates are collateralized by two remaining loans which represent an A/B note split modification of a single mortgage loan. Twenty-four loans have been liquidated from the pool, contributing to an aggregate realized loss of $81 million (for an average loss severity of 43%). The remaining loans are the Southport Centre - A Note Loan ($6.7 million -- 79% of the pool) and Southport Centre - B note ($1.8 million -- 21% of the pool). The loans are secured by an 86,000 square foot shadow-anchored retail center in Indianapolis, Indiana. The shadow anchor is a Walmart Supercenter, and other tenants at the property include Dollar Tree, Gamestop, and Key Bank. The property was 60% occupied as of March 2019 compared to 50% in 2017. The loan passed its anticipated repayment date (ARD) in August 2015. The original Southport Center loan was modified in December 2013 and split into an A Note ($7.4 million) and B Note ($1.6 million). The loans returned to the master servicer in March 2014, and are currently on the master servicer's watchlist due to low DSCR. The borrower is continuing efforts to lease up the property. Moody's identified the B Note as a troubled loan and estimates a high loss severity on this note. Moody's A Note LTV and stressed DSCR are 142% and 0.72X, respectively, compared to 145% and 0.71X at last review. DBJPM MORTGAGE 2017-C6: Fitch Affirms B- Rating on Cl. F-RR Certs ----------------------------------------------------------------- Fitch Ratings has affirmed 15 classes of DBJPM Mortgage Trust commercial mortgage pass-through certificates, series 2017-C6. Entity/Debt Rating Prior DBJPM 2017-C6 Class A-1 23312JAA1; LT AAAsf Affirmed; previously at AAAsf Class A-2 23312JAB9; LT AAAsf Affirmed; previously at AAAsf Class A-3 23312JAC7; LT AAAsf Affirmed; previously at AAAsf Class A-4 23312JAE3; LT AAAsf Affirmed; previously at AAAsf Class A-5 23312JAF0; LT AAAsf Affirmed; previously at AAAsf Class A-M 23312JAH6; LT AAAsf Affirmed; previously at AAAsf Class A-SB 23312JAD5; LT AAAsf Affirmed; previously at AAAsf Class B 23312JAJ2; LT AA-sf Affirmed; previously at AA-sf Class C 23312JAK9; LT A-sf Affirmed; previously at A-sf Class D 23312JAQ6; LT BBB-sf Affirmed; previously at BBB-sf Class E-RR 23312JAS2; LT BB-sf Affirmed; previously at BB-sf Class F-RR 23312JAU7; LT B-sf Affirmed; previously at B-sf Class X-A 23312JAG8; LT AAAsf Affirmed; previously at AAAsf Class X-B 23312JAL7; LT A-sf Affirmed; previously at A-sf Class X-D 23312JAN3; LT BBB-sf Affirmed; previously at BBB-sf KEY RATING DRIVERS Stable Performance and Loss Expectations: The affirmations reflect the pool's generally stable performance that remains in line with Fitch's expectations at issuance. No loans have transferred to special servicing since issuance and there are two Fitch Loans of Concern (FLOCs; 1.5%). The original 41 loans remain in the pool. As property-level performance is generally in line with issuance expectations, the original rating analysis was considered in affirming the transaction. Minimal Change to Credit Enhancement: As of the May 2019 distribution date, the pool's aggregate balance has been paid down by 0.5% to $1.126 billion from $1.132 billion at issuance. Based on the scheduled balance at maturity, the pool will pay down by 8.3%, which is below historical averages for similar vintages. Fourteen loans (59.7%) are full term interest only (IO), while 14 loans (22.8%) remain in their partial IO periods. Fitch Loans of Concern: Two loans (1.5%) have been designated as FLOCs due to delinquent payments. The first loan (0.9%) is 30+ days delinquent and is secured by a 39,175 sf unanchored neighborhood center, located in Richmond, TX. As of YE 2018, the property occupancy was 96% with an NOI debt service coverage ratio (DSCR) of 1.59x increasing from 1.10x at YE 2017. The second FLOC is secured by a 42 unit limited service hotel located in Brooklyn, NY. The loan (0.5% of the pool balance) is 30+ days delinquent and has not reported YE 2018 financials. Investment-Grade Credit Opinion Loans: Two loans representing 15.3% of the pool had investment-grade credit opinions at issuance. The largest loan in the pool, 245 Park Avenue (8.3%), had a credit opinion of 'BBB-sf' on a stand-alone basis. The third largest loan in the pool, Olympic Tower (7.1%), had a credit opinion of 'BBBsf' on a stand-alone basis. ELEVATION CLO 2015-4: S&P Assigns BB- (sf) Rating to Class E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R, D-R, and E-R replacement notes from Elevation CLO 2015-4 Ltd., a collateralized loan obligation (CLO) originally issued in 2015 as Arrowpoint CLO 2015-4 Ltd. that is managed by Arrowmark Colorado Holdings LLC. S&P withdrew its ratings on the original class A, B, C, D, and E notes following payment in full on the June 17, 2019, refinancing date. At the same time, S&P affirmed its ratings on the class F notes. On the June 17, 2019, refinancing date, the proceeds from the class A-R, B-R, C-R, D-R, and E-R replacement note issuances were used to redeem the original class A, B, C, D, and E notes as outlined in the transaction document provisions. Therefore, S&P withdrew its ratings on the original notes in line with their full redemption, and S&P is assigning ratings to the replacement notes. cThe replacement notes are being issued via a supplemental indenture, which, in addition to outlining the terms of the replacement notes, will also reestablish the noncall period until March 17, 2020. S&P's review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the trustee report, to estimate future performance. In line with 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 macroeconomic scenarios. In addition, the rating agency's analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches. "The assigned ratings reflect our opinion that the credit support available is commensurate with the associated rating levels," S&P said. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and we will take rating actions as we deem necessary," S&P said. RATINGS ASSIGNED Elevation CLO 2015-4 Ltd. Replacement class Rating Amount (mil $) A-R AAA (sf) 252.25 B-R AA (sf) 48.50 C-R A (sf) 28.25 D-R BBB (sf) 20.75 E-R BB- (sf) 18.00 RATING AFFIRMED Elevation CLO 2015-4 Ltd. Class Rating F B (sf) ELM CLO 2014-1: S&P Assigns Prelim BB-(sf) Rating to Cl. E-RR Notes ------------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Elm CLO 2014-1 Ltd.'s floating-rate notes. The note issuance is a collateralized loan obligation (CLO) transaction backed by speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. The preliminary ratings are based on information as of June 18, 2019. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the June 25, 2019 refinancing date, the proceeds from the issuance of the replacement notes are expected to redeem the original notes. At that time, S&P anticipates withdrawing the ratings on the original notes and assigning ratings to the replacement notes. However, if the refinancing doesn't occur, S&P said it may affirm the ratings on the original notes and withdraw its preliminary ratings on the replacement notes. The preliminary ratings reflect: -- The diversified collateral pool. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. PRELIMINARY RATINGS ASSIGNED Elm CLO 2014-1 Ltd./ Elm CLO 2014-1, LLC Class Rating Amount mil. ($) A-RR AAA (sf) 319.00 B-RR AA (sf) 55.25 C-RR (deferrable) A (sf) 35.25 D-1-RR (deferrable) BBB- (sf) 2.11 D-2-RR (deferrable) BBB- (sf) 26.14 E-RR (deferrable) BB- (sf) 18.50 Subordinated notes NR 44.50 NR--Not rated. FOURSIGHT CAPITAL 2019-1: Moody's Gives '(P)B2' Rating to F Notes ----------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to the notes to be issued by Foursight Capital Automobile Receivables Trust 2019-1. This is the first auto loan transaction of the year for Foursight Capital LLC (Foursight; unrated) and the third rated by Moody's. The notes will be backed by a pool of retail automobile loan contracts originated by Foursight, who is also the servicer and administrator for the transaction. The complete rating actions are as follows: Issuer: Foursight Capital Automobile Receivables Trust 2019-1 Class A-2 Notes, Assigned (P)Aaa (sf) Class A-3 Notes, Assigned (P)Aaa (sf) Class B Notes, Assigned (P)Aa2 (sf) Class C Notes, Assigned (P)A2 (sf) Class D Notes, Assigned (P)Baa2 (sf) Class E Notes, Assigned (P)Ba2 (sf) Class F Notes, Assigned (P)B2 (sf) RATINGS RATIONALE The ratings are based on the quality of the underlying collateral and its expected performance, the strength of the capital structure, the experience and expertise of Foursight as the servicer and administrator, a performance guarantee for the servicing and custodian function from Jefferies Financial Group (Baa3) and the backup servicing arrangement. Moody's cumulative net loss expectation for the 2019-1 pool is 9.50% and the loss at a Aaa stress is 42%, both higher than the initial 9.00% cumulative net loss expectation and loss at a Aaa stress of 40% assigned to 2018-2. Both loss assumptions for 2019-1 are higher as a result of the worse collateral characteristics compared to the 2018-2 transaction. Moody's based its cumulative net loss expectation and loss at a Aaa stress on an analysis of the credit quality of the underlying collateral; the historical performance of similar collateral, including securitization performance and managed portfolio performance; the ability of Foursight to perform the servicing functions; and current expectations for the macroeconomic environment during the life of the transaction. At closing, the Class A notes, Class B notes, Class C notes, Class D notes, Class E notes and Class F notes are expected to benefit from 34.50%, 28.00%, 21.60%, 15.30%, 10.00% and 4.75% of hard credit enhancement respectively. Hard credit enhancement for the notes consists of a combination of overcollateralization, a non-declining reserve account, and subordination, except for the Class F notes, which do not benefit from subordination. The notes may also benefit from excess spread. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Global Approach to Rating Auto Loan- and Lease-Backed ABS" published in March 2019. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the notes if, given current expectations of portfolio losses, levels of credit enhancement are consistent with higher ratings. In sequential pay structures, such as the one in this transaction, credit enhancement grows as a percentage of the collateral balance as collections pay down senior notes. Prepayments and interest collections directed toward note principal payments will accelerate this build of enhancement. Moody's expectation of pool losses could decline as a result of a lower number of obligor defaults or appreciation in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market, the market for used vehicles, and changes in servicing practices. Down Moody's could downgrade the notes if, given current expectations of portfolio losses, levels of credit enhancement are consistent with lower ratings. Credit enhancement could decline if excess spread is not sufficient to cover losses in a given month. Moody's expectation of pool losses could rise as a result of a higher number of obligor defaults or deterioration in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market, the market for used vehicles, and poor servicing. Other reasons for worse-than-expected performance include error on the part of transaction parties, inadequate transaction governance, and fraud. GS MORTGAGE 2019-SOHO: Moody's Assigns B2 Rating on 2 Tranches -------------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to seven classes of CMBS securities, issued by GS Mortgage Securities Corporation Trust 2019-SOHO, Commercial Mortgage Pass-Through Certificates, Series 2019-SOHO: Cl. A, Definitive Rating Assigned Aaa (sf) Cl. B, Definitive Rating Assigned Aa3 (sf) Cl. C, Definitive Rating Assigned A3 (sf) Cl. D, Definitive Rating Assigned Baa3 (sf) Cl. E, Definitive Rating Assigned Ba3 (sf) Cl. F, Definitive Rating Assigned B2 (sf) Cl. HRR, Definitive Rating Assigned B2 (sf) Note: Moody's previously assigned a provisional rating to Class X-CP of (P) Baa1 (sf) as described in the prior press release dated May 29, 2019. Subsequent to the release of the provisional ratings for this transaction, Class X-CP was eliminated and will not be offered. RATINGS RATIONALE The certificates are collateralized by one floating rate loan secured by a fee simple interest in One SoHo Square, a 791,808 SF, newly-redeveloped office property (with ground floor retail) located in New York, NY The ratings are based on the collateral and the structure of the transaction. Moody's approach to rating CMBS deals combines both commercial real estate and structured finance analysis. Based on commercial real estate analysis, Moody's determines the credit quality of each mortgage loan and calculates an expected loss on a loan specific basis. Under structured finance, the credit enhancement for each certificate typically depends on the expected frequency, severity, and timing of future losses. Moody's also considers a range of qualitative issues as well as the transaction's structural and legal aspects. The credit risk of loans is determined primarily by two factors: 1) Moody's assessment of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessment of the severity of loss upon a default, which is largely driven by each loan's LTV ratio. Moody's DSCR is based on its assessment of the portfolio's stabilized NCF. The Moody's first mortgage DSCR is 1.94x and Moody's first mortgage DSCR at a 9.25% stressed constant is 0.82x. The trust loan balance of $730.0 million represents a Moody's LTV ratio of 108.4% which is in line with the 2018 Large Loan and Single Asset/Single Borrower CMBS transaction average 108.3%. With the additional debt, the Moody's total debt LTV ratio rises to 133.7%. Moody's also considers both loan level diversity and property level diversity when selecting a ratings approach. The subject transaction is secured by a single property. Positive features of the transaction include location, property quality, credit tenancy, leasing momentum, and strong sponsorship. Offsetting these strengths are the lack of diversification, the loan's floating-rate and interest-only mortgage loan profile, lack of ongoing reserves, and credit negative loan structure and legal features. Moody's also grades properties on a scale of 0 to 5 (best to worst) and considers those grades when assessing the likelihood of debt payment. The factors considered include property age, quality of construction, location, market, and tenancy. The collateral's overall property quality grade is 0.75. The principal methodology used in these ratings was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. Moody's approach for single borrower and large loan multi-borrower transactions evaluates credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from its Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, and property type. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations These ratings: (a) are based solely on information in the public domain and/or information communicated to Moody's by the issuer at the date it was prepared and such information has not been independently verified by Moody's and (b) must be construed solely as a statement of opinion and not a statement of fact or an offer, invitation, inducement or recommendation to purchase, sell or hold any securities or otherwise act in relation to the issuer or any other entity or in connection with any other matter. Moody's does not guarantee or make any representation or warranty as to the correctness of any information, rating or communication relating to the issuer. Moody's shall not be liable in contract, tort, statutory duty or otherwise to the issuer or any other third party for any loss, injury or cost caused to the issuer or any other third party, in whole or in part, including by any negligence (but excluding fraud, dishonesty and/or willful misconduct or any other type of liability that by law cannot be excluded) on the part of, or any contingency beyond the control of Moody's, or any of its employees or agents, including any losses arising from or in connection with the procurement, compilation, analysis, interpretation, communication, dissemination, or delivery of any information or rating relating to the issuer. Factors that would lead to an upgrade or downgrade of the ratings: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan paydowns or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. Moody's ratings address only the credit risks associated with the transaction. Other non-credit risks have not been addressed and may have a significant effect on yield to investors. JP MORGAN 2012-C8: Fitch Affirms B Rating on Class G Certs ---------------------------------------------------------- Fitch Ratings has affirmed 11 classes of J.P. Morgan Chase Commercial Mortgage Securities Trust 2012-C8, commercial pass-through certificates, series 2012-C8. KEY RATING DRIVERS Slight Increase in Loss Expectations: The affirmations reflect the relatively stable performance relative to the slight increase in Fitch's base case loss expectations since the last rating action in June 2018. There are no specially serviced loans and four loans (28.1% of pool) were designated Fitch Loans of Concern (FLOCs). Fitch Loans of Concern: The largest loan, Battlefield Mall (15.4% of pool), secured by approximately one million sf of a 1.2 million sf regional mall in Springfield, MO, was designated a FLOC because of collateral anchor rollover concerns prior to loan maturity. Ashford Office Complex (7.1%), secured by a 570,039 sf office complex in Houston, TX, has seen declines in occupancy and performance stemming from the impact of energy sector volatility. The Crossings (4.4%), secured by a 529,290 sf office property in Dallas, TX, has experienced occupancy declines and a major tenant vacancy. One additional loan (1.2%), outside of the top 20, was designated a FLOC due to occupancy/performance declines. Increase in Credit Enhancement: As of the May 2019 distribution date, the pool's aggregate balance has been paid down by 33.2% to $759.5 million from $1.137 billion at issuance. Four loans ($65.1 million balance at disposition) were disposed since Fitch's last rating action of which three were prepaid with yield maintenance and one, which was in special servicing, had an impaired loan payoff. Twenty-eight loans (91.8% of pool) are amortizing. Two loans (5%) are fully defeased. Pool/Maturity Concentrations: Thirty-three of the original 43 loans remain in the pool. Loan maturities are concentrated in 2022 (97.3% of pool). Alternative Loss Considerations: To factor in upcoming refinance concerns, Fitch performed an additional sensitivity scenario on Battlefield Mall and Ashford Office Complex, which assumed potential outsized losses of 25% and 50% on their respective balloon balances. The scenario also factored in the expected paydown of the transaction from fully defeased loans. This scenario contributed to maintaining the Negative Rating Outlooks on classes E through G. RATING SENSITIVITIES The Negative Rating Outlooks for classes E through G reflect performance declines and/or refinance concerns with the Battlefield Mall and Ashford Office Complex, should the performance continue to decline in-line with the stressed scenario, downgrades would be likely. The Stable Rating Outlooks for classes A-3 through D reflect the stable performance of the majority of the underlying pool and expected continued paydown and increasing credit enhancement from amortization. Upgrades, although unlikely due to pool concentrations, could occur with significantly improved pool performance and additional credit enhancement through paydown or defeasance. JPMCC 2012-C8 Class A-3 (46638UAC0) LT AAAsf Affirmed Class A-S (46638UAH9) LT AAAsf Affirmed Class A-SB (46638UAD8) LT AAAsf Affirmed Class B (46638UAK2) LT AAsf Affirmed Class C (46638UAM8) LT Asf Affirmed Class D (46638UAR7) LT BBB+sf Affirmed Class E (46638UAT3) LT BBB-sf Affirmed Class EC (46638UAP1) LT Asf Affirmed Class F (46638UAV8) LT BBsf Affirmed Class G (46638UAX4) LT Bsf Affirmed Class X-A (46638UAE6) LT AAAsf Affirmed JP MORGAN 2013-C13: Moody's Affirms B2 Rating on Class F Certs -------------------------------------------------------------- Moody's Investors Service affirmed the ratings on seven classes, and upgraded the ratings on three classes in J.P. Morgan Chase Commercial Mortgage Securities Trust 2013-C13, Commercial Mortgage Pass-Through Certificates, Series 2013-C13 Cl. A-3, Affirmed Aaa (sf); previously on Apr 13, 2018 Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Apr 13, 2018 Affirmed Aaa (sf) Cl. A-S, Affirmed Aaa (sf); previously on Apr 13, 2018 Affirmed Aaa (sf) Cl. A-SB, Affirmed Aaa (sf); previously on Apr 13, 2018 Affirmed Aaa (sf) Cl. B, Upgraded to Aa1 (sf); previously on Apr 13, 2018 Affirmed Aa3 (sf) Cl. C, Upgraded to A1 (sf); previously on Apr 13, 2018 Affirmed A3 (sf) Cl. D, Upgraded to Baa2 (sf); previously on Apr 13, 2018 Affirmed Baa3 (sf) Cl. E, Affirmed Ba2 (sf); previously on Apr 13, 2018 Affirmed Ba2 (sf) Cl. F, Affirmed B2 (sf); previously on Apr 13, 2018 Affirmed B2 (sf) Cl. X-A* Affirmed Aaa (sf); previously on Apr 13, 2018 Affirmed Aaa (sf) * Reflects Interest Only Classes RATINGS RATIONALE The ratings on three principal and intrest (P&I) classes were upgraded based primarily on an increase in credit support resulting from loan paydowns and amortization. The deal has paid down 24% since Moody's last review. The ratings on six P&I classes were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The rating on the interest only (IO) class was affirmed based on the credit quality of the referenced classes. Moody's rating action reflects a base expected loss of 0.6% of the current pooled balance, compared to 2.0% at Moody's last review. Moody's base expected loss plus realized losses is now 0.4% of the original pooled balance, compared to 1.8% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The methodologies used in rating all classes except interest-only classes were "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in July 2017 and "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. The methodologies used in rating interest-only 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. DEAL PERFORMANCE As of the May 17, 2019 distribution date, the transaction's aggregate certificate balance has decreased by 30% to $674 million from $961 million at securitization. The certificates are collateralized by 34 mortgage loans ranging in size from less than 1% to 13.7% of the pool, with the top ten loans (excluding defeasance) constituting 70.0% of the pool. Two loans, constituting 16.3% of the pool, have investment-grade structured credit assessments. Six loans, constituting 9.3% 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 12, compared to 16 at Moody's last review. Four loans, constituting 11.5% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. There have been no loans liquidated from the pool which have resulted in a loss, and there are no loans currently in special servicing. Moody's received full year 2017 operating results, and full or partial year 2018 operating results for 96% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 93%, compared to 96% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 17.6% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 8.9%. Moody's actual and stressed conduit DSCRs are 1.87X and 1.08X, respectively, compared to 1.74X and 1.03X 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 Americold Cold Storage Portfolio ($92.6 million -- 13.7% of the pool), which represents a pari-passu portion of a $185.3 million mortgage loan. The loan is secured by a portfolio of 15 cold storage facilities located across nine U.S. states, with a total storage capacity of 3.6 million square feet (SF). The loan sponsor is Americold Realty Trust, the largest US operator of cold storage facilities. The property is also encumbered by $102 million of mezzanine debt. The loan benefits from amortization and Moody's structured credit assessment and stressed DSCR are a2 (sca.pd) and 1.90X, respectively, compared to a3 (sca.pd) and 1.83X at the last review. The other loan with a structured credit assessment is the 501 Fifth Avenue Loan ($17.5 million -- 2.6% of the pool), which is secured by a 159,000 SF, 23-story class B office building located in the Grand Central submarket in New York City. As of December 2018, the property was 95% occupied, compared to compared to 87% at last review. The rent roll is granular with 100+ tenant suites. Moody's structured credit assessment and stressed DSCR are a1 (sca.pd) and 1.48X, respectively, the same as at last review. The top three conduit loans represent 32.8% of the pool balance. The largest conduit loan is the IDS Center Loan ($85.8 million -- 12.7% of the pool), which represents a pari-passu portion of a $169.3 million mortgage loan. The loan is secured by a 1.4 million SF mixed-use property located in downtown Minneapolis, Minnesota. The collateral consists of a 57-story skyscraper office tower, an eight-story annex building, a 100,000 SF retail center, and an underground garage. The largest tenant, Briggs and Morgan, occupies 8.3% of the net rentable area (NRA), or 116,827 SF, on a lease that was renewed through May 2021. As of March 2019, the property was 88% occupied, compared to 85% in December 2017, and 82% in December 2016. Moody's LTV and stressed DSCR are 100% and 1.0X, respectively, compared to 102% and 0.98X at the last review. The second largest loan is the 589 Fifth Avenue Loan ($87.5 million -- 9.9% of the pool), which represents a pari-passu portion of a $175.0 million mortgage loan. The loan is secured by a 17-story, 169,000 SF mixed-use office and retail building property, located in New York City at the corner of 48th street and 5th avenue. The building has approximately 57,000 SF of retail space, while the remainder is used as office space. H&M leases 39% of the NRA for their flagship store. As of the December 2018 rent roll, the property was 100% occupied, unchanged from the last review. Moody's LTV and stressed DSCR are 100% and 0.88X, respectively, the same as at last review. The third largest loan is the SanTan Village Loan ($47.9 million -- 7.1% of the pool), which represents a pari-passu portion of a $120.2 million mortgage loan. The loan is secured by 707,615 SF of a 1,044,866 SF outdoor regional mall located in Gilbert, Arizona. The property is anchored by Dillard's, Macy's, Harkins Theatres, Dick's Sporting Goods, and Best Buy. Macy's and Dillard's each own their own land and improvements and are excluded from the collateral for the loan. As of December 2018, the total mall was 99% occupied, compared to 97% in December 2017 and 97% in December 2016. Moody's LTV and stressed DSCR are 76% and 1.28X, respectively, compared to 78% and 1.24X at the last review. LB-UBS COMMERCIAL 2005-C5: S&P Raises Class J Certs Rating to B(sf) ------------------------------------------------------------------- S&P Global Ratings raised its ratings on three classes of commercial mortgage pass-through certificates from LB-UBS Commercial Mortgage Trust 2005-C5, a U.S. commercial mortgage-backed securities (CMBS) transaction. For the upgrades, S&P's expectation of credit enhancement was in line with the raised rating levels. The upgrades also reflect the reduced trust balance. While available credit enhancement levels suggest further positive rating movement on classes H and J, S&P's analysis also considered the transaction's concentration risk in terms of property type and maturity schedule, as the entire pool consists of retail-backed loans with scheduled maturity dates (and in the case of one, an anticipated repayment date) in 2020. TRANSACTION SUMMARY As of the May 17, 2019, trustee remittance report, the collateral pool balance was $71.0 million, which is 3.0% of the pool balance at issuance. The pool currently includes eight loans, down from 115 loans at issuance. None of these loans are currently with the special servicer or defeased, but three ($22.4 million, 31.6%) appear on the master servicer's watchlist. S&P calculated a 1.15x S&P Global Ratings' weighted average debt service coverage and 78.8% S&P Global Ratings' weighted average loan-to-value ratio using a 7.37% S&P Global Ratings' weighted average capitalization rate. These calculations exclude one loan that the servicer indicated paid off subsequent to the release of the May 2019 remittance report. To date, the transaction has experienced $67.0 million in principal losses, or 2.9% of the original pool trust balance. RATINGS RAISED LB-UBS Commercial Mortgage Trust 2005-C5 Commercial mortgage pass-through certificates Rating Class To From G AA+ (sf) BBB+ (sf) H BBB (sf) B- (sf) J B (sf) CCC- (sf) LENDMARK FUNDING 2019-1: S&P Assigns Prelim BB Rating to D Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Lendmark Funding Trust 2019-1's personal consumer loan-backed notes. The note issuance is an asset-backed securities (ABS) transaction backed by personal consumer loan receivables. The preliminary ratings are based on information as of June 17, 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 47.9%, 42.4%, 35.1%, and 31.5% credit support to the class A, B, C, and D notes, respectively, in the form of subordination, overcollateralization, a reserve account, and excess spread. These credit support levels are sufficient to withstand stresses commensurate with the notes' preliminary ratings, based on S&P's stressed cash flow scenarios. -- S&P's expectation that under a moderate ('BBB') stress scenario, all else being equal, S&P's ratings on the class A, B, C, and D notes will remain within two rating categories of the assigned preliminary 'A (sf)', 'A- (sf)', 'BBB- (sf)', and 'BB (sf)' ratings, respectively, in the next 12 months, based on its credit stability criteria. -- The timely interest and full principal payments expected to be made under stressed cash flow modeling scenarios appropriate to the assigned preliminary ratings. -- The characteristics of the pool being securitized and the receivables expected to be purchased during the revolving period. -- The operational risks associated with Lendmark Financial Services LLC's decentralized business model. -- The transaction's payment and legal structures. PRELIMINARY RATINGS ASSIGNED Lendmark Funding Trust 2019-1 Class Rating Amount (mil. $)(i) A A (sf) 278.720 B A- (sf) 21.019 C BBB- (sf) 32.898 D BB (sf) 17.363 (i)The actual size of these tranches will be determined on the pricing date. MADISON PARK XXXVII: S&P Assigns Prelim BB- (sf) Rating to E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Madison Park Funding XXXVII Ltd.'s floating- and fixed-rate notes. The note issuance is a collateralized loan obligation transaction backed by primarily broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. The preliminary ratings are based on information as of June 14, 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 Madison Park Funding XXXVII Ltd. Class Rating Amount (mil. $) A-1 AAA (sf) 375.00 A-2 NR 15.00 B-1 AA (sf) 42.00 B-2 AA (sf) 15.00 C (deferrable) A (sf) 42.00 D (deferrable) BBB- (sf) 36.00 E (deferrable) BB- (sf) 21.00 Subordinated notes NR 50.65 NR--Not rated. MILL CITY 2019-1: DBRS Finalizes B Rating on $22.5MM Class B2 Notes ------------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following Asset-Backed Notes, Series 2019-1 (the Notes) issued by Mill City Mortgage Loan Trust 2019-1 (MCMLT 2019-1 or the Trust): -- $210.4 million Class A1A at AAA (sf) -- $52.6 million Class A1B at AAA (sf) -- $263.0 million Class A1 at AAA (sf) -- $293.4 million Class A2 at AA (sf) -- $316.9 million Class A3 at A (sf) -- $338.5 million Class A4 at BBB (sf) -- $30.4 million Class M1 at AA (sf) -- $23.6 million Class M2 at A (sf) -- $21.6 million Class M3 at BBB (sf) -- $22.2 million Class B1 at BB (sf) -- $22.5 million Class B2 at B (sf) Classes A1, A2, 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) rating on the Class A1A and A1B Notes reflects the 40.25% of credit enhancement provided by subordinated Notes in the pool. The AA (sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings reflect 33.35%, 28.00%, 23.10%, 18.05% and 12.95% of credit enhancement, respectively. Other than the specified classes above, DBRS does not rate any other classes in this transaction. This is a securitization of a portfolio of primarily first-lien, seasoned, performing and re-performing residential mortgages funded by the issuance of asset-backed notes (the Notes). The Notes are backed by 2,545 loans with a total principal balance of approximately $440,207,341 as of the Cut-Off Date (April 30, 2019). The loans are approximately 142 months seasoned. As of the Cut-Off Date, 89.9% of the pool is current, 5.3% is 30 days delinquent, 0.7% is 60–89 days delinquent, 0.6% is 90+ days delinquent under the Mortgage Bankers Association (MBA) delinquency method, and 3.5% of the pool is in bankruptcy. Approximately 29.1% of the pool has been zero times 30 (0 x 30) days delinquent for the past 24 months, 62.9% has been 0 x 30 for the past 12 months and 73.9% has been 0 x 30 for the past six months. Approximately 22.3% of loans were missing data in certain months and as such are not included when determining 0 x 30 days delinquent. Modified loans comprise 83.1% of the portfolio. The modifications happened more than two years ago for 72.1% of the modified loans. Within the pool, 937 loans have non-interest-bearing deferred amounts, which equates to 8.9% of the total principal balance. Included in the deferred amounts are the Home Affordable Modification Program and proprietary principal forgiveness amounts, which comprise less than 0.1% of the total principal balance. In accordance with the Consumer Financial Protection Bureau Qualified Mortgage (QM) rules, 4.0% of the loans are designated as QM Safe Harbor, 0.5% as QM Rebuttable Presumption and 0.7% as non-QM. Approximately 94.8% of the loans are not subject to the QM rules. Approximately 5.1% of the pool comprises non-first-lien loans. Through a series of transactions, Mill City Holdings, LLC (Mill City) will acquire the mortgage loans on the Closing Date. Prior to the Closing Date, the loans were held in one or more trusts that acquired the mortgage loans between April 2015 and March 2019. Such trusts are entities of which the Representation Provider or an affiliate thereof holds an indirect interest. Upon acquiring the loans, Mill City, through a wholly owned subsidiary (the Depositor), will contribute loans to the Trust. As the Sponsor, Mill City, through a majority-owned affiliate, will acquire and retain a 5.0% eligible vertical interest in each class of securities to be issued (other than any residual certificates) to satisfy the credit risk retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. These loans were originated and previously serviced by various entities through purchases in the secondary market. As of the Cut-Off Date, the loans are serviced by Fay Servicing, LLC (56.4%), Shellpoint Mortgage Servicing (42.5%) and Gateway Mortgage Group, LLC (1.1%). 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 in respect of taxes and insurance, reasonable costs and expenses incurred in the course of servicing and disposing of properties. The transaction employs a sequential-pay cash flow structure. Principal proceeds can be used to cover interest shortfalls on the Notes, but such shortfalls on Class M2 and more subordinate bonds will not be paid until the more senior classes are retired. The DBRS ratings of AAA (sf) and AA (sf) address the timely payment of interest and full payment of principal by the legal final maturity date in accordance with the terms and conditions of the related Certificates. The DBRS ratings of A (sf), BBB (sf), BB (sf) and B (sf) address the ultimate payment of interest and full payment of principal by the legal final maturity date in accordance with the terms and conditions of the related Certificates. Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2015-UBS8: Fitch Cuts Rating on 2 Tranches to CCC ---------------------------------------------------------------- Fitch Ratings has downgraded four classes and affirmed 13 classes of Morgan Stanley Capital I Trust Commercial Mortgage Pass-Through Certificates, series 2015-UBS8. KEY RATING DRIVERS Increased Loss Expectations: The rating downgrades to classes F, X-F, G and X-G reflect the increased loss expectations since the prior rating action. The increased losses are driven by declining performance of the six Fitch Loans of Concern (FLOCs; 14.3% of the pool), primarily the Meridian Office Complex (6.6%) and the specially serviced WPC Department Store Portfolio (2.6%) loans. Fitch Loans of Concern: Three of the top 15 loans have been identified as FLOCs, including one specially serviced loan. The largest FLOC, Meridian Office Complex (6.6%), is secured by a suburban office complex located in Carmel, IN, that suffered significant occupancy decline after losing its two largest tenants, Technicolor, Inc. (36.2% of total NRA) and St. Vincent Health (43.2%), in 2017 and 2018, respectively. Occupancy was 59.3% as of the May 2019 rent roll, compared with 63.8% at YE 2017 and 100% at YE 2016. Per the servicer, GEICO (40.7% NRA) is expected to expand its footprint by an additional 77,000-sf, which would bring total occupancy to 74%. The second largest FLOC, the specially serviced WPC Department Store Portfolio (2.6%), is secured by a portfolio of six department stores that were previously owned and operated by The Bon-Ton Stores Inc. and located in Wisconsin, Illinois and North Dakota. The loan transferred to special servicing on Aug. 6, 2018 after Bon-Ton filed for bankruptcy in February 2018 and subsequently liquidated all of its assets in August 2018. Fitch Ratings' request for leasing and/or disposition updates remains outstanding. The third largest FLOC, Radisson - Buena Park, CA (2.1%), is secured by a full-service hotel property located in Buena Park, CA that suffered significant cash flow decline due to renovations that commenced in May 2017 and remain ongoing. The servicer-reported NOI debt service coverage ratio fell to 0.21x at YE 2018 from 0.46x at YE 2017 and 1.60x at YE 2016. Per the servicer, renovations are scheduled to continue through 1Q21, and property operations will likely be negatively impacted for the foreseeable future. The remaining FLOCs are secured by a limited-service hotel property located in Atlanta, GA (1.3%) that has numerous property improvement plan items outstanding; a multifamily property located in Houston, TX (1.0%) that transferred to special servicing due to non-monetary default; and a retail convenience center in Romeoville, IL (0.7%) that transferred to special servicing due to payment delinquency but has been brought current as of May 2019. Fitch will continue to monitor all FLOCs. Minimal Change to Credit Enhancement: As of the May 2019 distribution date, the pool's aggregate principal balance has been paid down by 3.3% to $778.3 million from $805.0 million at issuance. One loan (0.8% of original pool) has paid off since issuance. One loan (0.9%) is defeased. There have been no realized losses to date. Eight loans (30.3% of the current pool balance), including the second largest loan, are fully interest-only, while six loans (15.6%) remain in partial interest-only periods. The transaction is scheduled to pay down by 11.3% of the original pool balance prior to maturity. The entire pool matures in 2025. Cumulative interest shortfalls totaling $150,795 are currently impacting the non-rated class J. Alternative Loss Considerations: The Negative Rating Outlooks on classes E, X-D, F and X-F reflect concerns surrounding the deteriorating performance of the Meridian Office Complex loan (6.6%) and the specially serviced WPC Department Store Portfolio loan (2.6%). Fitch performed an additional sensitivity scenario that assumed potential outsized losses of 25% on the Meridian Office Complex loan and 100% on the WPC Department Store Portfolio loan. ADDITIONAL CONSIDERATIONS High Retail Concentration: Retail properties comprise 44.1% of the pool, including eight of the top 15 loans. Four of these top 15 loans (19.1%) are secured by retail outlet centers owned by Simon Property Group. These outlets centers reported recent in-line sales ranging between $316 psf and $425 psf. Another top 15 loan, Mall de las Aguilas (3.1%), is secured by a regional mall located in Eagle Pass, TX that draws a significant portion of its customers from Mexico. While full-year 2018 sales were not available, the servicer-provided YTD September 2018 inline sales were 6.9% higher than at YTD September 2017. RATING SENSITIVITIES The Negative Rating Outlooks on classes E and F and the interest-only classes X-D and X-F primarily reflect the potential for outsized losses on the Meridian Office Complex and WPC Department Store Portfolio loans. Rating downgrades to these classes are possible if the WPC Department Store Portfolio disposes with significant losses or if the performance of the other FLOCs deteriorates further. The Stable Rating Outlooks on all other classes reflect the stable performance of the majority of the pool and sufficient credit enhancement relative to Fitch expected losses for the pool. Rating upgrades, while unlikely in the near term, may occur with improved pool performance, stabilization of the FLOCs and additional paydown or defeasance. Entity/Debt Rating Prior ----------- ------ ----- MSCI 2015-UBS8 Class A-1 (61691ABG7) LT AAAsf Affirmed previously AAAsf Class A-2 (61691ABH5) LT AAAsf Affirmed previously AAAsf Class A-3 (61691ABK8) LT AAAsf Affirmed previously AAAsf Class A-4 (61691ABL6) LT AAAsf Affirmed previously AAAsf Class A-S (61691ABN2) LT AAAsf Affirmed previously AAAsf Class A-SB (61691ABJ1) LT AAAsf Affirmed previously AAAsf Class B (61691ABP7) LT AA-sf Affirmed previously AA-sf Class C (61691ABQ5) LT A-sf Affirmed previously A-sf Class D (61691AAQ6) LT BBBsf Affirmed previously BBBsf Class E (61691AAS2) LT BBB-sf Affirmed previously BBB-sf Class F (61691AAU7) LT B-sf Downgrade previously BBsf Class G (61691AAW3) LT CCCsf Downgrade previously B-sf Class X-A (61691ABM4) LT AAAsf Affirmed previously AAAsf Class X-B (61691AAA1) LT AA-sf Affirmed previously AA-sf Class X-D (61691AAC7) LT BBB-sf Affirmed previously BBB-sf Class X-F (61691AAG8) LT B-sf Downgrade previously BBsf Class X-G (61691AAJ2) LT CCCsf Downgrade previously B-sf NEW RESIDENTIAL 2019-NQM3: DBRS Gives Prov. B Rating on B-2 Notes ----------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the Mortgage-Backed Notes, Series 2019-NQM3 (the Notes) to be issued by New Residential Mortgage Loan Trust 2019-NQM3 (the Issuer) as follows: -- $213.2 million Class A-1 at AAA (sf) -- $22.7 million Class A-2 at AA (sf) -- $25.6 million Class A-3 at A (sf) -- $15.8 million Class M-1 at BBB (sf) -- $11.9 million Class B-1 at BB (sf) -- $7.0 million Class B-2 at B (sf) The AAA (sf) rating on the Notes reflects the 30.00% of credit enhancement provided by subordinated Notes in the pool. The AA (sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings reflect 22.55%, 14.15%, 8.95%, 5.05% and 2.75% of credit enhancement, respectively. Other than the specified classes above, DBRS does not rate any other classes in this transaction. This transaction is a securitization of a portfolio of fixed- and adjustable-rate, prime, expanded prime and non-prime first-lien residential mortgages funded by the issuance of the Notes. The Notes are backed by 638 loans with a total principal balance of $304,602,771 as of the Cut-Off Date (June 1, 2019). All the loans were originated by NewRez LLC (NewRez) or by a correspondent and underwritten by NewRez. Shellpoint Mortgage Servicing is the Servicer. The mortgages were originated under the following programs: (1) SmartSelf and SmartSelf Plus (63.3%) — Generally made to self-employed borrowers using bank statements to support self-employed income for qualification purposes. (2) SmartEdge and SmartEdge Plus (22.0%) — Generally made to borrowers seeking flexible financing options (interest-only (IO) loans or higher debt-to-income ratios (DTIs)) who may have a had recent credit event (two or more years seasoned) that may preclude prequalification for another program. (3) SmartVest (11.4%) — Generally made to borrowers who are experienced real estate investors looking to purchase or refinance an investment property that is held for business purposes. (4) Portfolio Express ReFi (0.8%) — Generally made to existing borrowers seeking flexible-rate and term refinancing options that do not meet agency guidelines. (5) Smart Funds (0.6%) — Generally made to prime borrowers with significant assets who can purchase the property with their assets but choose to use a financing instrument for cash flow purposes. (6) SmartTrac (0.6%) — Generally made to borrowers seeking flexible financing options (IO loans or higher DTIs) that may have had a recent credit event (one to two or more years seasoned) that may preclude prequalification for another program. (7) SmartCondo (0.5%) — Generally made to prime borrowers seeking flexible financing options for condominium properties that do not meet agency guidelines. (8) High-Balance Extra (0.4%) — Generally made to prime borrowers with loan amounts exceeding the government-sponsored enterprise loan limits that may fall outside the Qualified Mortgage (QM) requirements based on documentation and DTI. (9) Portfolio Debt Consolidation (0.3%) — Generally made to existing borrowers seeking flexible refinance options to help consolidate debt that do not meet agency guidelines. New Residential Investment Corp. is the Sponsor of the transaction. Nationstar Mortgage LLC will act as the Master Servicer. Citibank, N.A. (rated AA (low) with a Stable trend by DBRS) will act as the Paying Agent, Note Registrar, and Owner Trustee. U.S. Bank National Association (rated AA (high) with a Stable trend by DBRS) will serve as Indenture Trustee. Citicorp Trust Delaware, National Association will serve as the Delaware Trustee. Wells Fargo Bank, N.A. (rated AA with a Stable trend by DBRS) will serve as Custodian. Although the applicable mortgage loans were originated to satisfy the Consumer Financial Protection Bureau (CFPB) Ability-to-Repay (ATR) rules, they were made to borrowers who generally do not qualify for an agency, government or private-label non-agency prime jumbo products for various reasons. In accordance with the CFPB QM/ATR rules, 74.3% of the loans are designated as non-QM. Approximately 25.7% of the loans are made to investors for business purposes and, hence, are not subject to the QM/ATR rules. The Servicer will fund advances of delinquent principal and interest on any mortgage until such loan becomes 180 days delinquent. The Servicer is also obligated to make advances in respect of taxes, insurance premiums and reasonable costs incurred in the course of servicing and disposing of properties. Through a majority-owned affiliate, the Sponsor intends to retain at least 5% of each class of Notes issued by the Issuer (other than the Class R Notes) to satisfy the credit risk retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. The Seller will have the option, but not the obligation, to repurchase any mortgage loan that becomes 60 or more days delinquent under the Mortgage Bankers Association method or any real estate–owned property acquired in respect of a mortgage loan at a price equal to the stated principal balance of such loan, provided that such repurchases in aggregate do not exceed 10% of the total principal balance as of the Cut-Off Date (Optional Repurchase Price). On or after the earlier of (1) the Payment Date occurring in June 2021 or (2) the date when the aggregate stated principal balance of the mortgage loans is reduced to 30% of the Cut-Off Date balance, the Depositor has the option to purchase all of the outstanding mortgage loans, thereby retiring the Notes, at a price equal to the outstanding aggregate stated principal balance of the mortgage loans plus accrued and unpaid interest. The transaction employs a sequential-pay cash flow structure with a pro rata principal distribution among the senior tranches. Principal proceeds can be used to cover interest shortfalls on the Notes as the outstanding senior Notes are paid in full. 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. The ratings reflect transactional strengths that include the following: -- Robust loan attributes and pool composition, -- ATR rules and Appendix Q compliance, -- Satisfactory third-party due diligence review and -- Improved underwriting standards. The transaction also includes the following challenges: -- Representations and warranties framework, -- Non-prime, non-QM and investor loans, -- Limited Servicer advances of delinquent principal and interest and -- Servicer's financial capability. Notes: All figures are in U.S. dollars unless otherwise noted. OBX TRUST 2019-INV2: DBRS Gives Prov. B Rating on Cl. B-5 Notes --------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following Mortgage-Backed Notes, Series 2019-INV2 (the Notes) to be issued by OBX 2019-INV2 Trust: -- $345.4 million Class A-1 at AAA (sf) -- $345.4 million Class A-2 at AAA (sf) -- $307.0 million Class A-3 at AAA (sf) -- $307.0 million Class A-4 at AAA (sf) -- $230.3 million Class A-5 at AAA (sf) -- $138.2 million Class A-6 at AAA (sf) -- $230.3 million Class A-7 at AAA (sf) -- $34.5 million Class A-8 at AAA (sf) -- $11.5 million Class A-9 at AAA (sf) -- $46.1 million Class A-10 at AAA (sf) -- $76.8 million Class A-11 at AAA (sf) -- $76.8 million Class A-11IO at AAA (sf) -- $76.8 million Class A-12 at AAA (sf) -- $76.8 million Class A-13 at AAA (sf) -- $38.4 million Class A-14 at AAA (sf) -- $38.4 million Class A-15 at AAA (sf) -- $268.6 million Class A-16 at AAA (sf) -- $268.6 million Class A-17 at AAA (sf) -- $76.8 million Class A-18 at AAA (sf) -- $115.1 million Class A-19 at AAA (sf) -- $115.1 million Class A-20 at AAA (sf) -- $138.2 million Class A-21 at AAA (sf) -- $34.5 million Class A-22 at AAA (sf) -- $11.5 million Class A-23 at AAA (sf) -- $46.1 million Class A-24 at AAA (sf) -- $38.4 million Class A-25 at AAA (sf) -- $172.7 million Class A-26 at AAA (sf) -- $172.7 million Class A-27 at AAA (sf) -- $57.6 million Class A-28 at AAA (sf) -- $57.6 million Class A-29 at AAA (sf) -- $92.1 million Class A-30 at AAA (sf) -- $92.1 million Class A-31 at AAA (sf) -- $345.4 million Class A-IO1 at AAA (sf) -- $345.4 million Class A-IO2 at AAA (sf) -- $76.8 million Class A-IO3 at AAA (sf) -- $38.4 million Class A-IO4 at AAA (sf) -- $345.4 million Class A-IO5 at AAA (sf) -- $138.2 million Class A-IO6 at AAA (sf) -- $345.4 million Class A-IO7 at AAA (sf) -- $34.5 million Class A-IO8 at AAA (sf) -- $11.5 million Class A-IO9 at AAA (sf) -- $46.1 million Class A-IO10 at AAA (sf) -- $307.0 million Class A-IO12 at AAA (sf) -- $76.8 million Class A-IO13 at AAA (sf) -- $230.3 million Class A-IO14 at AAA (sf) -- $38.4 million Class A-IO15 at AAA (sf) -- $268.6 million Class A-IO16 at AAA (sf) -- $115.1 million Class A-IO17 at AAA (sf) -- $172.7 million Class A-IO18 at AAA (sf) -- $57.6 million Class A-IO19 at AAA (sf) -- $92.1 million Class A-IO20 at AAA (sf) -- $307.0 million Class A-IO21 at AAA (sf) -- $9.6 million Class B-1 at A (high) (sf) -- $9.6 million Class B-IO1 at A (high) (sf) -- $9.6 million Class B-1A at A (high) (sf) -- $9.0 million Class B-2 at A (sf) -- $9.0 million Class B-IO2 at A (sf) -- $9.0 million Class B-2A at A (sf) -- $8.3 million Class B-3 at BBB (sf) -- $5.9 million Class B-4 at BB (sf) -- $2.1 million Class B-5 at B (sf) Classes A-IO1, A-IO2, A-IO3, A-IO4, A-IO5, A-IO6, A-IO7, A-IO8, A-IO9, A-IO10, A-11IO, A-IO12, A-IO13, A-IO14, A-IO15, A-IO16, A-IO17, A-IO18, A-IO19, A-IO20, A-IO21, B-IO1 and B-IO2 are interest-only 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-18, A-19, A-20, A-21, A-22, A-23, A-24, A-25, A-26, A-27, A-28, A-29, A-30, A-31, A-IO2, A-IO3, A-IO5, A-IO7, A-IO12, A-IO13, A-IO14, A-IO16, A-IO17, A-IO18, A-IO19, A-IO20, A-IO21, B-1A and B-2A are exchangeable notes. These classes can be exchanged for a combination of initial exchangeable notes as specified in the offering documents. Classes A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11, A-12, A-13, A-18, A-21, A-22, A-23, A-24, A-26, A-27, A-28, A-29, A-30 and A-31 are super senior notes. These classes benefit from additional protection from the senior support notes (Classes A-14, A-15 and A-25) with respect to loss allocation. The AAA (sf) ratings on the Notes reflect the 10.00% of credit enhancement provided by subordinated certificates in the pool. The A (high) (sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings reflect 7.50%, 5.15%, 3.00%, 1.45% and 0.90% of credit enhancement, respectively. Other than the specified classes above, DBRS does not rate any other classes in this transaction. This transaction is a securitization of a portfolio of prime, first-lien, fixed-rate, agency-eligible investment property residential mortgages funded by the issuance of mortgage-backed notes. The Notes are backed by 1,087 loans with a total principal balance of $383,759,828 as of the Cut-Off Date (June 1, 2019). The pool is composed of fully amortizing, fixed-rate conventional mortgages. All loans but one have original terms to maturity of 30 years. All loans in the pool were made to investors for business purposes and, consequently, are not subject to the Consumer Financial Protection Bureau Qualified Mortgage and Ability-to-Repay Rules. In addition, 33 borrowers have multiple mortgages (71 loans in total) included in the securitized portfolio, which comprise 6.6% of the pool by current balance. All mortgage loans in the portfolio were eligible for purchase by Fannie Mae or Freddie Mac. DBRS conducted extensive analysis on the Fannie Mae and Freddie Mac historical datasets dating back to 1999. Performance on these loans has generally outperformed their non-agency counterparts. In addition, DBRS further analyzed agency-conforming investor loans with FICO and loan-to-value profiles similar to the loans included in the OBX 2019-INV2 pool. Details on the performance of the Fannie Mae and Freddie Mac datasets can be found in the Historical Performance section of the presale report. The mortgage loans were originated by Quicken Loans Inc. (Quicken; 75.7%) and various other originators, each comprising less than 15.0% of the loans. The loans will be serviced by Quicken (75.7%), Select Portfolio Servicing, Inc. (19.9%) and Specialized Loan Servicing LLC (4.4%). Onslow Bay Financial LLC is the Seller, Sponsor and Principal & Interest (P&I) Advancing Party for the transaction. Wells Fargo Bank, N.A. (Wells Fargo; rated AA with a Stable trend by DBRS) will act as the Master Servicer, Paying Agent, Note Registrar, and Custodian. Wilmington Savings Fund Society, FSB will serve as the Owner Trustee and Indenture Trustee. Advances of delinquent P&I will be made on any loan until such loan becomes 120 days delinquent, to the extent that such advances are determined to be recoverable (for more details on the funding of advances for delinquent P&I, see the loss severity section of this report). The Servicers are obligated to make advances in respect of taxes, insurance premiums and reasonable costs incurred in the course of servicing and disposing of properties. The Seller intends to retain (directly or through a majority-owned affiliate) a horizontal residual interest in 5% of the fair value of all the Notes issued by the Issuer (other than the Class R Notes) and the trust certificate to satisfy the credit risk retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. The Seller will have the option, but not the obligation, to repurchase any mortgage loan that becomes 60 or more days delinquent under the Mortgage Bankers Association delinquency method or real estate-owned property, provided that such repurchase will occur at the optional repurchase price and that such repurchases in aggregate do not exceed 10% of the total principal balance as of the Cut-Off Date. 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, extensive performance history, and satisfactory third-party due diligence review, structural enhancements and 100% current loans. PALMER SQUARE 2015-1: S&P Assigns BB-(sf) Rating to Cl. D-R2 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to the class A-1-R2, A-2-R2, B-R2, C-R2, and D-R2 replacement notes from Palmer Square CLO 2015-1 Ltd., a collateralized loan obligation (CLO) originally issued on May 21, 2015, that is managed by Palmer Square Capital Management LLC. The replacement notes were issued via a second supplemental indenture. On the June 17, 2019, second refinancing date, the proceeds from the issuance of the replacement notes were used to redeem the class A-1-R, A-2-R, B-R, C-R, and D-R notes as outlined in the transaction document provisions. Therefore, S&P withdrew its ratings on the outstanding notes in line with their full redemption, and it assigned ratings to the replacement notes. S&P's review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the trustee report, to estimate future performance. In line with 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 macroeconomic scenarios. In addition, S&P's analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and we will take further rating actions as we deem necessary," S&P said. RATINGS ASSIGNED Palmer Square CLO 2015-1 Ltd. Replacement class Rating Amount (mil. $) A-1-R2 AAA (sf) 457.0 A-2-R2 AA (sf) 84.2 B-R2 A (sf) 56.5 C-R2 BBB (sf) 36.1 D-R2 BB- (sf) 33.1 NR--Not rated. RATINGS WITHDRAWN Palmer Square CLO 2015-1 Ltd. Rating Class To From A-1-R NR AAA (sf) A-2-R NR AA (sf) B-R NR A (sf) C-R NR BBB (sf) D-R NR BB- (sf) NR--Not rated. PSMC TRUST 2019-1: Fitch Assigns Bsf Rating on Class B-5 Debt ------------------------------------------------------------- Fitch Ratings assigns ratings to American International Group, Inc.'s PSMC 2019-1 Trust (PSMC 2019-1). The notes are supported by one collateral group that consists of 472 prime fixed-rate mortgages acquired by subsidiaries of AIG from various mortgage originators with a total balance of approximately $295.99 million as of the cut-off date. The 'AAAsf' rating on the class A notes reflects the 5.10% subordination provided by the 2.00% class B-1, 1.15% class B-2, 0.85% class B-3, 0.50% class B-4, 0.25% class B-5 and 0.35% class B-6 notes. Entity/Debt Rating Prior ----------- ------ ----- PSMC 2019-1 Trust Class A-1 LT AAAsf New Rating previously at AAA(EXP)sf Class A-10 LT AAAsf New Rating previously at AAA(EXP)sf Class A-11 LT AAAsf New Rating previously at AAA(EXP)sf Class A-12 LT AAAsf New Rating previously at AAA(EXP)sf Class A-13 LT AAAsf New Rating previously at AAA(EXP)sf Class A-14 LT AAAsf New Rating previously at AAA(EXP)sf Class A-15 LT AAAsf New Rating previously at AAA(EXP)sf Class A-16 LT AAAsf New Rating previously at AAA(EXP)sf Class A-17 LT AAAsf New Rating previously at AAA(EXP)sf Class A-18 LT AAAsf New Rating previously at AAA(EXP)sf Class A-19 LT AAAsf New Rating previously at AAA(EXP)sf Class A-2 LT AAAsf New Rating previously at AAA(EXP)sf Class A-20 LT AAAsf New Rating previously at AAA(EXP)sf Class A-21 LT AAAsf New Rating previously at AAA(EXP)sf Class A-22 LT AAAsf New Rating previously at AAA(EXP)sf Class A-23 LT AAAsf New Rating previously at AAA(EXP)sf Class A-24 LT AAAsf New Rating previously at AAA(EXP)sf Class A-25 LT AAAsf New Rating previously at AAA(EXP)sf Class A-26 LT AAAsf New Rating previously at AAA(EXP)sf Class A-3 LT AAAsf New Rating previously at AAA(EXP)sf Class A-4 LT AAAsf New Rating previously at AAA(EXP)sf Class A-5 LT AAAsf New Rating previously at AAA(EXP)sf Class A-6 LT AAAsf New Rating previously at AAA(EXP)sf Class A-7 LT AAAsf New Rating previously at AAA(EXP)sf Class A-8 LT AAAsf New Rating previously at AAA(EXP)sf Class A-9 LT AAAsf New Rating previously at AAA(EXP)sf Class A-X1 LT AAAsf New Rating previously at AAA(EXP)sf Class A-X10 LT AAAsf New Rating previously at AAA(EXP)sf Class A-X11 LT AAAsf New Rating previously at AAA(EXP)sf Class A-X2 LT AAAsf New Rating previously at AAA(EXP)sf Class A-X3 LT AAAsf New Rating previously at AAA(EXP)sf Class A-X4 LT AAAsf New Rating previously at AAA(EXP)sf Class A-X5 LT AAAsf New Rating previously at AAA(EXP)sf Class A-X6 LT AAAsf New Rating previously at AAA(EXP)sf Class A-X7 LT AAAsf New Rating previously at AAA(EXP)sf Class A-X8 LT AAAsf New Rating previously at AAA(EXP)sf Class A-X9 LT AAAsf New Rating previously at AAA(EXP)sf Class B-1 LT AAsf New Rating previously at AA(EXP)sf Class B-2 LT Asf New Rating previously at A(EXP)sf Class B-3 LT BBBsf New Rating previously at BBB(EXP)sf Class B-4 LT BBsf New Rating previously at BB(EXP)sf Class B-5 LT Bsf New Rating previously at B(EXP)sf Class B-6 LT NRsf New Rating previously at NR(EXP)sf KEY RATING DRIVERS High-Quality Mortgage Pool (Positive): The pool consists of very high-quality 30-year fixed-rate fully amortizing Safe Harbor Qualified Mortgage (SHQM) loans to borrowers with strong credit profiles, relatively low leverage, and large liquid reserves. The loans are seasoned an average of nine months. The pool has a weighted average (WA) original FICO score of 777, which is indicative of very high credit-quality borrowers. Approximately 24% has an original FICO score above 750. In addition, the original WA CLTV ratio of 72.5% represents substantial borrower equity in the property and reduced default risk. Low Operational Risk (Positive): Operational risk is well controlled for in this transaction. AIG has strong operational practices and is assessed by Fitch as an 'Above Average' aggregator. AIG has experienced senior management and staff, strong risk management and corporate governance controls, and a robust due diligence process. Primary and master servicing will be performed by Cenlar, FSB and Wells Fargo Bank, N.A. rated 'RPS2' and 'RMS1-' by Fitch, respectively. Third-Party Due Diligence Results (Positive): Third-party due diligence was performed on 100% of loans in the transaction by American Mortgage Consultants, Inc. (AMC) and Opus Capital Markets Consultants LLC (Opus), respectively, assessed as Acceptable - Tier 1 and Acceptable - Tier 2 by Fitch. The results of the review identified no material exceptions with 92% graded 'A' for credit and 60% graded 'B' for compliance exceptions that were primarily cured with subsequent documentation. Fitch reduced its probability of default (PD) for the high percentage of loan level due diligence, lowering the 'AAAsf' loss expectation by 20 bps. Top Tier Representation and Warranty Framework (Positive): The loan-level representation, warranty and enforcement (RW&E) framework is consistent with Tier I quality. Fitch reduced its loss expectations by 18 bps at the 'AAAsf' rating category as a result of the Tier 1 framework and the 'A' Fitch-rated counterparty supporting the repurchase obligations of the RW&E providers. Straightforward Deal Structure (Positive): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the deal. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. CE Floor (Positive): To mitigate tail risk, which arises as the pool seasons and fewer loans are outstanding, a subordination floor of 1.25% of the original balance will be maintained for the certificates. The floor is sufficient to protect against the five largest loans defaulting at Fitch's 'AAAsf' average loss severity of 50.97%. Additionally, the stepdown tests do not allow principal prepayments to subordinate bondholders in the first five-years following deal closing. Geographic Concentration (Neutral): Approximately 38% of the pool is located in California, which is in line with or slightly lower than other recent Fitch-rated transactions. In addition, the metropolitan statistical area (MSA) concentration is minimal, as the top three MSAs account for only 23.7% of the pool. The largest MSA concentration is in the Los Angeles MSA (10.2%), followed by the San Francisco MSA (7.6%) and the San Diego MSA (5.8%). As a result, no geographic concentration penalty was applied. Extraordinary Expense Treatment (Neutral): The trust provides for expenses, including indemnification amounts and costs of arbitration, to be paid by the net WA coupon of the loans, which does not affect the contractual interest due on the certificates. Furthermore, the expenses to be paid from the trust are capped at $300,000 per annum, which can be carried over each year, subject to the cap until paid in full. RATING SENSITIVITIES Fitch's analysis incorporates sensitivity analyses to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at both the 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 6.6%. 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'. SUTHERLAND COMMERCIAL 2019-SBC8: DBRS Gives (P)B Rating on G Certs ------------------------------------------------------------------ DBRS, Inc. assigned provisional ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2019-SBC8 to be issued by Sutherland Commercial Mortgage Trust 2019-SBC8: -- Class A at AAA (sf) -- Class B at AA (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (high) (sf) -- Class F at BB (sf) -- Class G at B (sf) All trends are Stable. The collateral consists of 1,227 individual loans secured by 1,227 commercial and multifamily properties with an average loan balance of $248,456. The transaction is configured with a modified pro-rata pay pass-through structure. Given the complexity of the structure and granularity of the pool, DBRS applied its "North American CMBS Multi-borrower Rating Methodology" (CMBS Methodology) and the "RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology" (RMBS Methodology). CMBS Methodology Of the 1,227 individual loans, 276 loans, representing 20.2% of the pool, have a fixed interest rate with a straight average of 7.9%. The floating-rate loans are structured with interest-rate floors ranging from 0.0% to 1.125% with a straight average of 0.08% and interest-rate margin ranging from 1.25% to 5.875% with a straight average of 3.24%. To determine the probability of default (POD) and loss has given default inputs in the CMBS Insight Model, DBRS applied stress to the various indexes that corresponded with the remaining fully extended term of the loans and added the respective contractual loan spread to determine a stressed interest rate over the loan term. DBRS looked to the greater of the interest-rate floor or the DBRS stressed index rate when calculating stressed debt service. The DBRS weighted-average (WA) modeled coupon rate was 6.331%. The loans have original term lengths of ten- to 30-year basis and amortize over periods of 15 to 40 years. When the cut-off loan balances were measured against the DBRS Net Cash Flow and their respective actual constants or stressed interest rates, there were 112 loans, representing 10.4% of the pool, with term debt service coverage ratios (DSCRs) below 1.15 times (x), a threshold indicative of a higher likelihood of term default. The pool has an average original term length of 319 months or 26.6 years with an average remaining term of 156 months or 13 years. Based on the original loan balance and the appraisal at origination, the pool had an average loan-to-value (LTV) ratio of 63.8%. Based on the current loan amount, which reflects 37.2% amortization, and the appraisal at origination, the pool has an average LTV of 39.2%. DBRS applied a pool average LTV of 56.1%, which reflects a more recently obtained broker's opinion of value (BOV) for loans located in more urban markets and the lesser of the updated BOV or the original appraised value for loans located in all other markets. Furthermore, all but 38 of 1,227 loans fully amortize over their respective remaining loan terms, resulting in 96.4% expected amortization; this amount of amortization is not represented in typical commercial mortgage-backed security (CMBS) conduit pools. DBRS research indicates that, for CMBS conduit transactions securitized between 2000 and 2018, average amortization by year has ranged between 7.5% to 22.0% with an overall median of 12.5%. As contemplated and explained in DBRS's "Rating North American CMBS Interest-Only Certificates" methodology, the most significant risk to an interest-only (IO) cash flow stream is term default risk. As noted in that methodology, for a pool of approximately 63,000 CMBS loans that fully cycled through to their maturity dates, DBRS noted that the average total default rate across all property types was approximately 17%; the refinance default rate was 6% (approximately one-third of the total rate); and the term default rate was approximately 11%. DBRS recognizes the muted impact of refinancing risk on IOs by notching the IO rating up by one notch from the Reference Obligation rating. When using the ten-year Idealized Default Table default probability to derive a POD for a CMBS bond from its rating, DBRS estimates that, in general, a one-third reduction in the CMBS Reference Obligation POD maps to a tranche rating that is approximately one notch higher than the Reference Obligation or the Applicable Reference Obligation, whichever is appropriate. Therefore, following similar logic regarding term default risk supported the rationale for DBRS to reduce the POD in the CMBS Insight Model by one notch because refinance risk is largely absent for this pool of loans. RMBS Methodology The DBRS CMBS Insight Model does not contemplate the ability to repay loans, which is generally seen as credit positive since a prepaid loan cannot default. The CMBS predictive model was calibrated using loans which have prepayment lockout features. Those loans' historical prepayment performance is close to 0 conditional prepayment rate (CPR). If the CMBS predictive model had an expectation of prepayments, DBRS would expect the default levels to be reduced. Any loan that prepays is removed from the pool and can no longer default. This collateral pool does not have any prepayment lockout features. The historical prepayments have averaged around 12.5% and have been in a range from 4.5% to 26.0%. DBRS expects that this pool will continue to have some prepayments over the remainder of the transaction. DBRS applied the following to calculate a default rate prepayment haircut: using Intex Dealmaker, DBRS calculated a lifetime constant default rate (CDR) rate that approximated the default rate for each rating category. While applying the same lifetime CDR, DBRS applied a 2.0% CPR. When holding the CDR constant and applying 2.0% CPR, the cumulative default amount declined. The percentage change in the cumulative default prior to and after applying the prepayments was then applied to the cumulative default assumption to calculate a fully adjusted cumulative default assumption. The fully adjusted default assumption and model generated severity figures from the DBRS CMBS Insight Model were then applied to the RMBS Cash Flow Model, which is adept at modeling pro-rata structures on loan pools in excess of 1,000 loans. Historically, this pool has had CPR ranging from just above 25.0% in 2009 to a low of approximately 5.0% in 2018. The initial CPR in 2008 was about 15.0%, but the linear trend has reduced to just above 10.0% as of the end of 2018. As part of the RMBS Cash Flow Model, DBRS incorporated three CPR stresses – 5.0%, 10.0%, and 15.%. Additional assumptions in the RMBS Cash Flow Model include a 22-month recovery lag period, 100% servicer advancing and three default curves (uniform, front and back). The shape and duration of the default curves were based on the RMBS seasoned loss curves; however, the timing was adjusted to consider the 22-month recovery lag period. Lastly, rates were stressed, both upward and downward, based on their respective loan indices, including the one-year, three-year, five-year Constant Maturity Treasury and six-month LIBOR. The pool is relatively diverse based on loan size with an average balance of $248,456, a concentration profile equivalent to that of a pool with 710 equal-sized loans and a top-ten loan concentration of only 5.0%. Increased pool diversity helps to insulate the higher-rated classes from event risk. The loans are mostly secured by traditional property types (i.e., retail, multifamily, office and industrial) with no exposure to higher-volatility property types, such as hotels, self-storage or manufactured housing community. Furthermore, the loans have a DBRS average market rank of 4.9 with 1.6% in a market ranked 8 and 33.6% in a market ranked 6 or 7, indicative of more urban markets with more liquidity. Furthermore, only 4.7% of the pool is located in markets with a DBRS rank of either a 1 or 2, indicative of traditional tertiary or rural markets. Moreover, the pool has reduced term risk as supported by the strong WA DBRS DSCR of 2.58x, including the DBRS stressed interest rates. Furthermore, the pool has a cut-off LTV of 29.9% based on the BOVs dated between October 2018 and June 2019. Based on the origination appraised value and the cut-off balance, the pool still has a relatively low WA LTV of 39.2%. All but 38 loans in the pool fully amortize over their respective loan terms between 180 and 360 months, thus virtually eliminating refinance risk. Lastly, on average, the loans have a loan term of 26.6 years with 13.6 years of seasoning. Seasoned loans typically have a lower default rate because of market value appreciation. The pool is heavily concentrated with mixed-use (40.9% of the pool) and multifamily (27.8% of the pool) properties. Based on the DBRS inspections, the loans classified as mixed-use represented buildings with street-level commercial space and several floors of multifamily units above. Based on DBRS research, multifamily properties securitized in conduit transactions have had lower default rates than most other property types. Just over three-quarters of the loans by pool balance are located in strong suburban or urban markets, which typically have a stronger tenant demand for multifamily properties. Of the 50 loans on which DBRS performed exterior inspections, 22 loans, representing 3.8% of the pool (35.3% of the DBRS sample), were modeled with Average (-) to Below Average property quality and, on an overall basis, the mean DBRS property quality was between Average and Average (-). Lower-quality properties are less likely to retain existing tenants, resulting in less stable performance. DBRS increased the POD for these loans to account for the elevated risk. Furthermore, DBRS modeled any uninspected loans as Average (-), which has a slightly increased POD level. Limited property-level information was available for DBRS to review. Asset Summary Reports, Property Condition Reports (PCR), Phase I/II Environmental reports, appraisals, and historical financial cash flows were not provided in conjunction with this securitization. DBRS received a BOV, but not the actual report, for all loans and the appraised value from origination. To calculate the LTV for the DBRS model, DBRS relied on the BOV figure for assets located in urban markets identified with a DBRS Market Rank of 6, 7, or 8 as more likely to experience value appreciation since loan origination. For all other loans, DBRS assumed a value based on the lower of the appraisal or BOV. This hybrid assumption produced an averaged modeled LTV of 56.1% versus an LTV of 46.5% based solely on the BOV and the original loan amount. The DBRS LTV of 56.1% is also significantly greater than the LTV of 29.9% based on the cut-off loan amount and the BOV figure. While 63.3% of the loans DBRS inspected were of Average property quality, DBRS applied an Average - property quality to all non-sampled loans, given the lack of PCRs, which increases the default stress. No environmental reports were provided; however, only 6.7% of the pool consists of secured industrial properties, which would typically have an increased risk of environmental concerns originating at the property. DBRS was unable to perform a loan-level cash flow analysis on loans in the DBRS sample. Based on cash flow analysis from another small balance commercial loan pool, DBRS applied a -15.5% reduction to the BOV-estimated NOI for this transaction. This cash flow reduction is well above the median historical reduction of -8.0% and provides meaningful stress to the default levels. DBRS was provided no borrower information, net worth or liquidity information and very limited credit history. DBRS modeled loans with Weak borrower strength, which increases the stress on the default rate. Furthermore, DBRS was provided a 24-month pay history on each loan. Any loan with more than two late pays within this period or two consecutive late pays were modeled with additional stress to the default rate. This assumption was applied to 92 loans, representing 7.4% of the pool balance. Finally, a borrower FICO score as of May 1, 2019, was provided on 852 of the 1,227 loans with an average FICO score of 736. While the CMBS Methodology does not contemplate FICO scores, the RMBS Methodology does and would characterize a FICO score of 736 as "near-prime", where prime is considered greater than 750. A borrower with a FICO score of 736 could generally be described as potentially having had previous credit events (foreclosure, bankruptcy, etc.) but, if they did, it is likely that these credit events were cleared about two to five years ago. Notes: All figures are in U.S. dollars unless otherwise noted. TICP CLO XIII: Moody's Rates $25.45MM Class E Notes 'Ba3' --------------------------------------------------------- Moody's Investors Service assigned ratings to five classes of notes issued by TICP CLO XIII, Ltd. Moody's rating action is as follows: US$288,000,000 Class A Senior Secured Floating Rate Notes due 2032 (the "Class A Notes"), Assigned Aaa (sf) US$51,750,000 Class B Senior Secured Floating Rate Notes due 2032 (the "Class B Notes"), Assigned Aa2 (sf) US$18,900,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2032 (the "Class C Notes"), Assigned A2 (sf) US$26,550,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2032 (the "Class D Notes"), Assigned Baa3 (sf) US$25,450,000 Class E Junior Secured Deferrable Floating Rate Notes due 2032 (the "Class E Notes"), Assigned Ba3 (sf) The Class A Notes, the Class B Notes, the Class C Notes, the Class D Notes and the Class E Notes are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE The rationale for the ratings is based on a consideration of the risks associated with the CLO's portfolio and structure as described in its methodology. TICP CLO XIII is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of senior secured loans, cash, and eligible investments, and up to 10.0% of the portfolio may consist of second lien loans and unsecured loans. The portfolio is approximately 90% ramped as of the closing date. TICP CLO XIII 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, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. 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 March 2019. 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 manager's expected covenant values. In particular, Moody's took into account differences between the manager's reported diversity score for the identified portfolio, and Moody's own diversity score calculations. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $450,000,000 Diversity Score: 69 Weighted Average Rating Factor (WARF): 2981 Weighted Average Spread (WAS): 3.25% Weighted Average Coupon (WAC): 6.25% Weighted Average Recovery Rate (WARR): 48.0% Weighted Average Life (WAL): 7.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in March 2019. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. TOWD POINT 2019-HE1: Fitch to Rate $5.554MM Class B2 Notes 'Bsf' ---------------------------------------------------------------- Fitch Ratings expects to assign the following ratings and Rating Outlooks to Towd Point HE Trust 2019-HE1: -- $189,143,000 class A1 notes 'AAAsf'; Outlook Stable; -- $28,885,000 class A2 notes 'AAsf'; Outlook Stable; -- $218,028,000 class A3 exchangeable notes 'AAsf'; Outlook Stable; -- $28,608,000 class M1 notes 'Asf'; Outlook Stable; -- $246,636,000 class A4 exchangeable notes 'Asf'; Outlook Stable; -- $9,721,000 class M2 notes 'BBBsf'; Outlook Stable; -- $8,888,000 class B1 notes 'BBsf'; Outlook Stable; -- $5,554,000 class B2 notes 'Bsf'; Outlook Stable. Fitch will not be rating the following classes: -- $2,222,000 class B3 notes; -- $1,945,000 class B4 notes; -- $2,777,548 class B5 notes; -- $12,000,000 class XA notes; -- $277,743,549 class XS1 notional; -- $277,743,549 class XS2 notional certificates; -- $0 class D certificates. This is the first post-crisis U.S. RMBS transaction backed entirely by HELOC collateral. The credit quality of the pool is unusually strong and does not resemble pre-crisis HELOC pools. The majority of the HELOCs are first-lien mortgages, the loans are seasoned and performing over five years on average, the weighted-average credit score is 755, and the mark-to-market loan-to-value is 61.3% (sustainable loan-to-value of 65.5%). Additionally, the loan balances are relatively large ($327,406 for first liens and $99,592 for second liens). The collateral pool consists of 1,732 seasoned performing HELOCs totaling $277.74 million of outstanding draws. As of the statistical calculation date, approximately $126.48 million of the collateral consists of second liens while the remaining $151.26 million comprises first liens. The maximum draw amount as of the statistical calculation date is expected to be $351.09 million. The most notable structural feature is the Variable Funding Account that is used to fund future draws on the lines of credit. KEY RATING DRIVERS HELOC Collateral (Negative): This will be the first post-crisis transaction issued where the collateral entirely comprises HELOCs. Approximately 54% of the loans are first lien HELOCs with the remaining 46% comprising second liens. All of the loans are adjustable-rate mortgages (ARMs) that are still in an interest-only (IO) period. Additionally, all of the loans in the pool are still able to draw down additional amounts on their line of credit as long as the balance remains below the credit limit. The first lien portion is currently utilizing 70.6% of the total line and the second lien portion is using 92.4%. Based on the ability of the borrowers to draw down additional amounts and proposed structural features that do not completely protect against larger unpaid balances, the full draw amount was included in Fitch's loss analysis. Seasoned Performing Prime Credit Quality (Positive): The pool in aggregate is seasoned more than five years with the first lien portion seasoned roughly eight years and the second lien portion seasoned roughly two years. Nearly 94% of the first lien loans have been performing for at least the past two years with 98% of the second liens having paid on time for either two years or since origination. Additionally, the pool exhibits a very strong credit profile as shown by the 755-weighted average (WA) FICO as well as the 65.5% sustainable loan-to-value ratio (sLTV) (68.9% sLTV assuming full draw). Variable Funding Account (VFA) (Positive): As of the statistical calculation date, approximately 80% of the total available credit limit amount was drawn on the HELOCs. Borrower draws following deal closing will be funded first from the servicer and reimbursed from principal collections received on the mortgage loans. To the extent principal collected is insufficient, draws will be funded by the servicer and reimbursed by the holder of the class D certificates through deposits made into the VFA held by the Indenture Trustee. Any draws funded by the class D certificate holder will result in a corresponding increase in the class D certificate balance. Class D receives a pro rata share of principal and losses concurrently with the notes; however, if performance triggers fail, the deal reverts to a straight sequential pay structure with the class D certificates locked out from principal collected until the classes A, M and B notes are paid in full and will absorb all losses up to the outstanding balance, effectively increasing the available loss protection to the A, M and B notes. First Lien Amortization Profile (Negative): The first lien loans have a unique amortization profile following the expiration of the IO period. Starting in month 121, the amount of principal due is equal to the difference between the amount currently drawn and the new maximum current draw amount. The maximum draw amount for any given period declines linearly over the remaining 240 months. To the extent the borrower's current draw is less than the new maximum amount, no principal payment is due. In Fitch's analysis, the repayment terms for this product could result in a higher payment shock compared to a traditional 20-year amortization term. To account for this, Fitch increased its default assumption on these loans by 15%. Updated Property Valuation (Neutral): Fitch incorporated different valuation products in its analysis based on the lien position and seasoning of the loans. Updated valuations on the first lien population consisted of 397 broker price opinions (BPOs) and 65 values based on automatic valuation models (AVMs), which were used in accordance with Fitch's "U.S. RMBS Seasoned and Re-Performing Loan Rating Criteria" report. Of the second lien loans, 842 were applied a Home Price Index (HPI) value of up to 2 years (due to the limited seasoning no updated valuation was expected), while the remaining 428 used an HDI value haircut by 10%. Fitch applied indexation on a portion of the second liens due to the high percentage of 'A' grades in respect of the property valuation review as well as the 100% loss severity (LS) applied to the second lien portion. Moderate Operational Risk (Neutral): Operational risk is considered to be low for this transaction. The loan pool consisted of seasoned HELOC loans; approximately 67.9% of loans by UPB (100% of the first liens, 29.6% of the second liens), (40.6% of the pool by loan count - 100% of first liens, 19.1% of second liens) were reviewed for compliance. In addition to the compliance review, the same second lien sample was reviewed for credit and property valuation by a TPR firm consistent with Fitch criteria. Approximately 19.3% of the second liens by UPB (19.2% by loan count) received a pay history review. Of the 704 loans reviewed by a TPR, all but 32, or 95%, reviewed were graded 'A' or 'B'. The due diligence was performed by AMC Diligence, LLC (AMC), a Tier 1 third party review (TPR) firm, and the results are in line with seasoned loan 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. All of the loans were originated by two originators, and the sponsor's (or it's affiliate's) retention of at least 5% of the bonds should help mitigate the operation risk of the transaction. Modified Sequential Structure (Positive): The transaction utilizes a modified sequential pay structure in which principal collections are paid pro-rata to classes A1, A2 and M1 subject to transaction performance triggers with all classes below class M1 paying down sequentially. The class D certificates will receive their pro rata share of principal collections concurrently with classes A1, A2, and M1 so long as performance triggers are passing. Additionally, excess cash flow, following the retirement of the class XA notes, can be used to pay down the notes in the same order of priority of principal subject to the same triggers. To the extent any of the triggers are failing, all allocations of principal and excess cash flow are paid sequentially. In all instances, interest is paid sequentially with losses distributed reverse sequentially. Representation Framework (Negative): Fitch considers the representation, warranty and enforcement (RW&E) mechanism construct for this transaction 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 seasoned transactions. After a threshold event (which occurs when realized loss exceeds the class principal balance of the class 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 125bps 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 July 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 July 2020. RATING SENSITIVITIES Fitch's analysis incorporates sensitivity analyses to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at both the metropolitan statistical area (MSA) and national levels. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or be considered in the surveillance of the transaction. Fitch conducted sensitivity analysis determining how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model-projected 39.0% 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), and AMC Diligence, LLC (AMC). The third-party due diligence described in Form 15E for the first lien loans focused on regulatory compliance, pay history, the presence of key documents in the loan file and data integrity. The third-party due diligence described in Form 15E for the second lien loans focused on regulatory compliance, credit review, property valuation review, pay history, 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 on the first lien loans. Due Diligence in respect to the first lien loans (compliance only) was performed on all loans while diligence in respect of the second lien loans (compliance, credit, valuation) was performed on 242 out of 1,270 loans Only 32 of the reviewed loans received a 'C' grade. No loans received a grade of 'D'. 3 out of the 462 first lien loans reviewed received a grade of 'C' due to minor compliance issues while 29 of the second lien loans received a grade of 'C' in regards to credit. The credit 'C' grades were on the second lien loans were predominately for loans in FEMA disaster areas with no end dates listed. All of these loans have a clean 24-month pay history. Fitch did not make any loss adjustments based on the due diligence results. VIBRANT CLO XI: Moody's Assigns (P)Ba3 Rating on Class D Notes -------------------------------------------------------------- Moody's Investors Service assigned provisional ratings to five classes of notes to be issued by Vibrant CLO XI, Ltd. Moody's rating action is as follows: US$325,000,000 Class A-1 Senior Secured Floating Rate Notes due 2032 (the "Class A-1 Notes"), Assigned (P)Aaa (sf) US$55,000,000 Class A-2 Senior Secured Floating Rate Notes due 2032 (the "Class A-2 Notes"), Assigned (P)Aa2 (sf) US$25,000,000 Class B Secured Deferrable Floating Rate Notes due 2032 (the "Class B Notes"), Assigned (P)A2 (sf) US$30,000,000 Class C Secured Deferrable Floating Rate Notes due 2032 (the "Class C Notes"), Assigned (P)Baa3 (sf) US$22,500,000 Class D Secured Deferrable Floating Rate Notes due 2032 (the "Class D Notes"), Assigned (P)Ba3 (sf) The Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the Class C Notes and the Class D Notes are referred to herein, collectively, as the "Rated Notes." Moody's issues provisional ratings in advance of the final sale of financial instruments, but these ratings only represent Moody's preliminary credit opinions. Upon a conclusive review of a transaction and associated documentation, Moody's will endeavor to assign definitive ratings. A definitive rating, if any, may differ from a provisional rating. RATINGS RATIONALE The rationale for the ratings is based on a consideration of the risks associated with the CLO's portfolio and structure as described in its methodology. Vibrant XI is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of first lien senior secured loans, cash, and eligible investments, and up to 10.0% of the portfolio may consist of second lien loans and unsecured loans. Moody's expects the portfolio to be approximately at least 70% ramped as of the closing date. Vibrant Credit Partners, LLC will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer will issue subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in March 2019. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $500,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 2704 Weighted Average Spread (WAS): 3.40% Weighted Average Coupon (WAC): n/a Weighted Average Recovery Rate (WARR): 45.50% Weighted Average Life (WAL): 9 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in March 2019. 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. WACHOVIA BANK 2004-C11: Moody's Affirms C Ratings on 3 Tranches --------------------------------------------------------------- Moody's Investors Service affirmed the ratings on four classes in Wachovia Bank Commercial Mortgage Trust 2004-C11, Commercial Pass-Through Certificates, Series 2004-C11 as follows: Cl. J, Affirmed B3 (sf); previously on Jun 21, 2018 Affirmed B3 (sf) Cl. K, Affirmed C (sf); previously on Jun 21, 2018 Affirmed C (sf) Cl. L, Affirmed C (sf); previously on Jun 21, 2018 Affirmed C (sf) Cl. X-C*, Affirmed C (sf); previously on Jun 21, 2018 Affirmed C (sf) * Reflects Interest Only Classes RATINGS RATIONALE The ratings on three P&I classes were affirmed because the ratings are consistent with expected recovery of principal and interest from the pool's remaining loan. The rating on the IO class, Cl. X-C, was affirmed based on the credit quality of its referenced classes. Moody's rating action reflects a base expected loss of 40.5% of the current pooled balance, compared to 25.6% at Moody's last review. Moody's base expected loss plus realized losses is now 2.6% of the original pooled balance, compared to 2.4% 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, increased defeasance or an improvement in loan performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the loan or increased 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 the 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 there is only one remaining loan and Moody's has identified the loan as a troubled loan. 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 the troubled loan to the most junior classes and the recovery as a pay down of principal to the most senior classes. DEAL PERFORMANCE As of the May 15, 2019 distribution date, the transaction's aggregate certificate balance has decreased by 98.6% to $14.3 million from $1.04 billion at securitization. The certificates are collateralized by one remaining mortgage loan. Five loans have been liquidated from the pool, resulting in an aggregate realized loss of $21 million (for an average loss severity of 55%). The sole remaining loan is the University Mall Loan ($14.3 million -- 100% of the pool), which is secured by a 653,600 square feet (SF) regional mall located in Tuscaloosa, Alabama. The property is located three miles southeast of downtown Tuscaloosa and two miles south of the University of Alabama. The mall was anchored by JC Penney, Belk, and Sears (Sears & JC Penny own their stores). However, Sears closed its store at this location in January 2018. As of December 2018, the total mall's occupancy was 70.5%, down from 88% in September 2018 and 91% as of March 2017. The loan passed its anticipated repayment date (ARD) in March 2019 as the borrower has not been able to obtain financing to pay off the existing debt. Property performance has been declining annually since 2013 due to consistent declines in rental revenues. Moody's has identified the loan as a troubled loan and estimated a moderate loss from this loan. WELLS FARGO 2016-C35: Fitch Affirms B Rating on Class F Certs ------------------------------------------------------------- Fitch Ratings has affirmed 15 classes of Wells Fargo Bank, National Association commercial mortgage pass-through certificates, series 2016-C35. KEY RATING DRIVERS Generally Stable Overall Performance: The affirmations are a result of the majority of the pool continuing to perform as expected. There are 17 loans (14.7%) on the servicer's watchlist, mostly due to occupancy declines, increases in expenses and deferred maintenance; however, all loans remain current. High Retail and Hotel Concentration: Loans backed by retail properties represent 34.1% of the pool, including six (23.9%) in the top 15. Hotel loans represent 19.3% of the pool, including two (7.5%) in the top 15. The largest loan in the pool, Epps Bridge Center (6.5%), is a 336,554 square foot (sf) retail property anchored by Dick's Sporting Goods (expires 2024), Best Buy (expires 2025), Marshall's (expires 2023), Ross (expires 2027) and Bed Bath & Beyond (expires 2026) located in Athens, GA. As of year-end (YE) 2018, the debt service coverage ratio (DSCR) and occupancy were reported to be 1.73x and 100%, respectively. The second largest loan, The Mall at Rockingham Park (6%), is secured by 540,867sf of a 1.024 million sf regional mall located in Salem, NH. Lord & Taylor is a collateral anchor and JCPenney and Macy's are non-collateral anchors. Sears, a former non-collateral anchor, closed this location in November 2018. The Sears box, owned by Seritage, was partially subleased to Dick's Sporting Goods before Sears closed. Comparable in-line tenant sales excluding Apple have increased slightly to $527 psf for the TTM ended August 2018 from $501 psf at issuance. Collateral occupancy was 94% as of September 2018, and servicer-reported NOI debt service coverage ratio (DSCR) was 2.20x as of the TTM ended September 2018. Per servicer updates, a 12-screen Cinemark theater is under construction on the Seritage parcel and is projected to open in September of 2019. Seritage has also received town approval for two restaurants to occupy the former Sears Auto Center; however, they do not expect to ramp up leasing the restaurants until the theater is closer to opening. Fitch Loans of Concern: Five loans (7.7%) have been designated as Fitch Loans of Concern (FLOC). The largest FLOC is the fifth largest loan in the pool, the Mall at Turtle Creek. The loan is secured by 329,398sf of inline space within an enclosed mall located in Jonesboro, AR (approximately 60 miles northwest of Memphis). Non-collateral anchor tenants include JCPenney, Dillard's and Target. The largest collateral tenants include Barnes and Noble, Bed Bath & Beyond, Best Buy and H&M. Although the mall benefits from limited direct competition, occupancy and tenant sales have both declined since issuance. Collateral occupancy declined to 82% as of YE 2018 from 90.9% in December 2017 and 90.8% at issuance. The recent occupancy decline was primarily due to tenants vacating at lease expiration, including Dress Barn, Express and Versona. Additionally, in-line tenant sales have dropped to $329 psf as of YE 2018 from $349 psf around the time of issuance (as of TTM March 2016). Given the occupancy decline and tertiary market, Fitch ran a scenario for this loan assuming a 50% loss severity to the maturity balance to reflect the potential for outsized losses. The second largest FLOC is San Fernando Value Square, which is secured by a 118,611sf retail property located in Sylmar, CA (approximately 25 miles to the south of Los Angeles). The property is part of a larger development and adjacent to a Home Depot. It was previously anchored by Sam's Club (82% of the net rentable area), until it was announced that it would be one of the 63 stores closing. A liquidation sale was held in January 2018 and the space is now vacant. The Sam's Club lease runs through November 2006 and the tenant is marketing the space for sublease. The loan transferred to special servicing in April 2018 for a non-monetary default, but returned to the master servicer in April 2019 after cash management was implemented. The loan remains current, but Fitch ran a scenario assuming a 25% loss severity to the maturity balance to account for the possibility that the Sam's Club space remains dark and the loan has difficulty refinancing. The additional loss scenario for this loan and the Mall at Turtle Creek loan resulted in the Outlook on class F remaining Negative. Minimal Credit Enhancement Improvement: As of the May 2019 distribution date, the pool's aggregate balance has been reduced by 2.5% to $997.4 million from $1.023 billion at issuance. Interest shortfalls are currently affecting class G. RATING SENSITIVITIES The Rating Outlook for class F remains Negative due to concerns with the FLOCs and the overall retail concentration in the top 15. Downgrades are possible if the FLOCs or any other loans experience significant performance declines. The Rating Outlook for class E has been revised to Stable based on further clarification of ongoing rental payments for the San Fernando Value Square loan. Fitch reduced the loss estimates in the additional sensitivity scenario as it has been confirmed that the tenant continues to pay rent, the loan has returned to the master servicer and remains current. Rating Outlooks for classes A-1 through D remain Stable due to overall stable performance and continued amortization. Upgrades may occur with improved pool performance and additional paydown or defeasance. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third-party due diligence was provided or reviewed in relation to this rating. Fitch has affirmed the following ratings and revised Outlooks as indicated: -- $22.4 million class A-1 at 'AAAsf'; Outlook Stable; -- $58.7 million class A-2 at 'AAAsf'; Outlook Stable; -- $265 million class A-3 at 'AAAsf'; Outlook Stable; -- $227.4 million class A-4 at 'AAAsf'; Outlook Stable; -- $67.1 million class A-SB at 'AAAsf'; Outlook Stable; -- $50 million class A-4FL at 'AAAsf'; Outlook Stable; -- $0 class A-4FX at 'AAAsf'; Outlook Stable; -- $69 million class at A-S 'AAAsf'; Outlook Stable; -- Interest-Only class X-A at 'AAAsf'; Outlook Stable; -- $49.9 million class B at 'AA-sf'; Outlook Stable; -- $48.6 million class C at 'A-sf'; Outlook Stable; -- Interest-Only class X-D at 'BBB-sf'; Outlook Stable; -- $56.3 million class D at 'BBB-sf'; Outlook Stable; -- $21.7 million class E at 'BBsf'; Outlook to Stable from Negative; -- $11.5 million class F at 'Bsf'; Outlook Negative. Fitch does not rate the class G and interest-only class X-B certificates. WELLS FARGO 2019-C51: Fitch to Rate Class G-RR Certs B-sf --------------------------------------------------------- Fitch Ratings has issued a presale report on Wells Fargo Commercial Mortgage Trust 2019-C51 Commercial Mortgage Pass-Through Certificates, Series 2019-C51. Fitch expects to rate the transaction and assign Rating Outlooks as follows: -- $22,389,000 class A-1 'AAAsf'; Outlook Stable; -- $45,489,000 class A-2 'AAAsf'; Outlook Stable; -- $29,432,000 class A-SB 'AAAsf'; Outlook Stable; -- $125,000,000a class A-3 'AAAsf'; Outlook Stable; -- $288,326,000a class A-4 'AAAsf'; Outlook Stable; -- $510,636,000b class X-A 'AAAsf'; Outlook Stable; -- $130,394,000b class X-B 'A-sf'; Outlook Stable; -- $62,005,000 class A-S 'AAAsf'; Outlook Stable; -- $36,474,000 class B 'AA-sf'; Outlook Stable; -- $31,915,000 class C 'A-sf'; Outlook Stable; -- $11,854,000bc class X-D 'BBB+sf'; Outlook Stable; -- $11,854,000c class D 'BBB+sf'; Outlook Stable; -- $25,532,000cd class E-RR 'BBB-sf'; Outlook Stable; -- $18,237,000cd class F-RR 'BB-sf'; Outlook Stable; -- $7,295,000cd class G-RR 'B-sf'; Outlook Stable. The following classes are not expected to be rated by Fitch: -- $25,532,090cd class H-RR. (a)The initial certificate balances of class A-3 and A-4 are unknown and expected to be $413,326,000 in aggregate. The certificate balances will be determined based on the final pricing of those classes of certificates. The expected class A-3 balance range is $50,000,000 to $200,000,000, and the expected class A-4 balance range is $213,326,000 to $363,326,000. (b)Notional amount and interest only. (c)Privately placed and pursuant to Rule 144A. (d)Horizontal credit risk retention interest representing no less than 5% of the estimated fair value of all classes of regular certificates issued by the issuing entity as of the closing date. The expected ratings are based on information provided by the issuer as of June 17, 2019. The certificates represent the beneficial ownership interest in the trust, primary assets of which are 54 loans secured by 105 commercial properties with an aggregate principal balance of $729,480,091 as of the cut-off date. The loans were contributed to the trust by Wells Fargo Bank, National Association, UBS AG, Rialto Mortgage Finance, LLC, Barclays Capital Real Estate Inc., and C-III Commercial Mortgage LLC. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 67.9% of the properties by balance, cash flow analysis of 84.7%, and asset summary reviews on 100% of the pool. KEY RATING DRIVERS Fitch Leverage Inline with Recent Transactions: The pool's Fitch DSCR of 1.21x is consistent with the 2018 and 2019 YTD averages of 1.22x and 1.22x, respectively, for other Fitch-rated multi-borrower transactions. The pool's Fitch LTV of 105.6% is slightly above the 2018 and 2019 YTD averages of 102.0% and 101.8%, respectively, Above-Average Pool Concentration: The pool is more concentrated than recent Fitch-rated multi-borrower transactions. The largest 10 loans comprise 54.7% of the pool, greater than the average top 10 concentrations for 2018 and 2019 YTD of 50.6% and 51.1%, respectively. The concentration results in an LCI of 406, which is higher than the respective 2018 and 2019 YTD averages of 373 and 380. For this transaction, the losses estimated by Fitch's deterministic test at 'AAAsf' exceeded the base model loss estimate. High Office Concentration: The largest property-type concentration is office at 44.7% of the pool, followed by retail at 29.9%. The pool's office concentration is substantially above the 2018 and 2019 YTD averages for office of 31.9% and 32.9%, respectively, for other Fitch-rated multiborrower transactions. Loans secured by office properties have an average probability of default in Fitch's multiborrower model. WESTLAKE AUTOMOBILE 2019-2: S&P Assigns B+ (sf) Rating to F Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Westlake Automobile Receivables Trust 2019-2's automobile receivables-backed notes series 2019-2. The note issuance is an asset-backed securities (ABS) transaction backed by subprime auto loan receivables. The ratings reflect: -- The availability of approximately 48.7%, 42.1%, 33.7%, 26.2%, 22.5%, and 19.1% credit support for the class A, B, C, D, E, and F notes, respectively, based on stressed cash flow scenarios (including excess spread). These provide approximately 3.50x, 3.00x, 2.30x, 1.75x, 1.50x, and 1.23x, respectively, of S&P's 13.00%-13.50% expected cumulative net loss range. -- The transaction's ability to make timely interest and principal payments under stressed cash flow modeling scenarios appropriate for the assigned ratings. -- S&P's expectation that under a moderate ('BBB') stress scenario, all else being equal and for the transaction's life, its rating on the class A notes would not likely be lowered from the assigned rating; its ratings on the class B and C notes would likely remain within one rating category of the assigned ratings; and its rating on the class D notes would likely remain within two rating categories of the assigned rating. S&P's ratings on the class E and F notes would likely remain within two rating categories of the assigned ratings during the first year but would ultimately default under its 'BBB' moderate stress scenario, which is within the bounds of its credit stability criteria. -- The collateral characteristics of the securitized pool of subprime automobile loans. -- The originator/servicer's long history in the subprime/specialty auto finance business. -- S&P's analysis of approximately 13 years (2006-2018) of static pool data on the company's lending programs. -- The transaction's payment, credit enhancement, and legal structures. RATINGS ASSIGNED Westlake Automobile Receivables Trust 2019-2 Class Rating Amount (mil. $) A-1 A-1+ (sf) 236.00 A-2-A AAA (sf) 380.90 A-2-B AAA (sf) 100.00 B AA (sf) 105.80 C A (sf) 134.20 D BBB (sf) 125.50 E BB (sf) 54.80 F B+ (sf) 62.80 [*] S&P Takes Various Actions on 143 Classes From 35 US RMBS Deals ------------------------------------------------------------------ S&P Global Ratings completed its review of 143 classes from 35 U.S. residential mortgage-backed securities (RMBS) transactions issued between 1998 and 2006. All of these transactions are backed by subprime, Alternative-A, and negative amortization collateral. The review yielded 22 upgrades, 36 downgrades, 84 affirmations, and one discontinuance. Analytical Considerations S&P incorporate various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by its projected cash flows. These considerations are based on transaction-specific performance or structural characteristics (or both) and their potential effects on certain classes. Some of these considerations may include: -- Collateral performance/delinquency trends; -- Historical interest shortfalls/missed interest payments; -- Available subordination and/or overcollateralization; -- Erosion of/or increases in credit support; -- Loan modification criteria; and/or -- Expected short duration. Rating Actions "The rating changes reflect our opinion regarding the associated transaction-specific collateral performance and/or structural characteristics, and/or reflect the application of specific criteria applicable to these classes. Please see the ratings list below for the specific rationales associated with each of the classes with rating transitions," S&P said. "The affirmations of ratings reflect our opinion that our projected credit support and collateral performance on these classes has remained relatively consistent with our prior projections," the rating agency said. The downgrades on classes are due to ultimate interest repayments not being likely at higher rating levels, which are based on S&P's assessment of missed interest payments to the affected classes during recent remittance periods. The lowered ratings were derived by applying S&P's interest shortfall criteria, which impose a maximum rating threshold on classes that have incurred missed interest payments resulting from credit or liquidity erosion. In applying the criteria, the rating agency looked to see if the applicable class received additional compensation beyond the imputed interest due as direct economic compensation for the delay in interest payment, which these classes have. Additionally, these classes have delayed reimbursement provisions. As such, S&P used its projections in determining the likelihood that the shortfall would be reimbursed under various scenarios. A list of Affected Ratings can be viewed at: https://bit.ly/2InVh8D [*] S&P Takes Various Actions on 92 Classes From 27 U.S. RMBS Deals ------------------------------------------------------------------- S&P Global Ratings completed its review of 92 ratings from 27 U.S. residential mortgage-backed securities (RMBS) transactions issued between 2004 and 2007. All of these transactions are backed by various residential mortgage loan collateral types. The review yielded 27 upgrade, 16 downgrades, and 49 affirmations. ANALYTICAL CONSIDERATIONS S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by its projected cash flows. These considerations are based on transaction-specific performance or structural characteristics (or both) and their potential effects on certain classes. Some of these considerations may include: -- Collateral performance and delinquency trends; -- Historical interest shortfalls or missed interest payments; -- Available subordination or overcollateralization; -- Erosion of credit support; -- Expected short duration; and -- Principal-only criteria. RATING ACTIONS The rating changes reflect S&P's opinion regarding the associated transaction-specific collateral performance and structural characteristics and reflect the application of specific criteria applicable to these classes. "The ratings affirmations reflect our opinion that our projected credit support and collateral performance on these classes has remained relatively consistent with our prior projections," S&P said. A list of Affected Ratings can be viewed at: https://bit.ly/2ZvDC4F ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers public debt and equity securities about which we report. Each Tuesday edition of the TCR contains a list of companies with insolvent balance sheets whose shares trade higher than $3 per share in public markets. At first glance, this list may look like the definitive compilation of stocks that are ideal to sell short. Don't be fooled. 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The Sunday TCR delivers securitization rating news from the week then-ending. TCR subscribers have free access to our on-line news archive. 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. 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