/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/190922.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, September 22, 2019, Vol. 23, No. 264 Headlines 280 PARK 2017-280P: Fitch Affirms Bsf Rating on Cl. F Certs APIDOS CLO XI: S&P Rates $16MM Class E-RR Notes 'BB- (sf)' BEAR STEARNS 2004-HE11: Moody's Lowers Cl. M-2 Debt Rating to B1 BENCHMARK MORTGAGE 2019-B13: Fitch to Rate Cl. G-RR Debt 'B-(EXP)' CIFC FUNDING 2016-I: S&P Assigns Prelim B-(sf) Rating to F-R Notes COMM 2015-CCRE27: Fitch Affirms B-sf Rating on Cl. F Debt CREDIT SUISSE 2015-C1: Fitch Affirms Bsf Rating on 2 Tranches CROWN POINT 8: Moody's Assigns Ba3 Rating on $23.45MM Cl. E Notes FLAGSHIP CREDIT 2018-3: S&P Affirms BB- (sf) Rating on Cl. E Deals GCAT 2019-NQM2: S&P Assigns Prelim B(sf) Rating to Class B-2 Certs GS MORTGAGE 2012-GCJ9: Fitch Affirms Bsf Rating on Class F Certs GS MORTGAGE 2015-GS1: Fitch Corrects Sept. 12 Release ICG US 2019-1: Moody's Assigns Ba3 Rating on $19MM Cl. D Notes J.C. PENNEY 2007-1: S&P Lowers Class A-2 Certs Rating to 'CCC-' JP MORGAN 2002-CIBC4: Moody's Hikes Class D Certs Rating to B1 JP MORGAN 2005-CIBC12: Moody's Cuts Class B Certs to Caa3 JP MORGAN 2019-FL12: S&P Assigns Prelim 'B' Rating to EYT3 Certs JP MORGAN 2019-INV2: Fitch to Rate $7MM Cl. B-4 Notes 'BBsf' MCAP CMBS 2014-1: Fitch Affirms B Rating on Class G Debt MORGAN STANLEY 2013-C8: Fitch Affirms Bsf Rating on Class F Certs NASSAU LTD 2019-II: Moody's Assigns Ba3 Rating on $20MM Cl. E Notes NEW RESIDENTIAL 2019-NQM4: Fitch Assigns Class B-2 Certs 'Bsf' OCTAGON INVESTMENT 43: Moody's Rates $22MM Class E Notes Ba3(sf) OCTAGON INVESTMENT XIX: Moody's Cuts $7.5MM Cl. F Notes to B3 ROCKWALL CDO II: S&P Affirms BB+ (sf) Rating on Class B-2L Notes THL CREDIT II: Moody's Assigns Ba3 Rating on $21MM Cl. E Notes TICP CLO XIV: S&P Rates $14MM Class D Notes 'BB- (sf)' [*] S&P Cuts Ratings on 4 Classes from 3 U.S. CMBS Deals to 'D(sf)' [*] S&P Takes Various Actions on 121 Classes From 22 US RMBS Deals [*] S&P Takes Various Actions on 32 Classes From Six U.S. CLO Deals ********* 280 PARK 2017-280P: Fitch Affirms Bsf Rating on Cl. F Certs ----------------------------------------------------------- Fitch Ratings has affirmed seven classes of 280 Park Avenue Trust 2017-280P Mortgage Trust Commercial Mortgage Pass-Through Certificates. 280 Park Avenue Trust 2017-280P Class A 90205FAA8; LT AAAsf Affirmed; previously at AAAsf Class B 90205FAG5; LT AA-sf Affirmed; previously at AA-sf Class C 90205FAJ9; LT A-sf Affirmed; previously at A-sf Class D 90205FAL4; LT BBB-sf Affirmed; previously at BBB-sf Class E 90205FAN0; LT BB-sf Affirmed; previously at BB-sf Class F 90205FAQ3; LT Bsf Affirmed; previously at Bsf Class HRR 90205FAS9; LT B-sf Affirmed; previously at B-sf KEY RATING DRIVERS Overall Stable Performance and Property Cash Flow: The affirmations reflect stable property performance that remains relatively in-line with Fitch's expectations at issuance. The current Fitch-stressed net cash flow (NCF) as of YE 2018 is only 1% below the Fitch NCF at issuance. The property's occupancy has declined slightly to 91.5% as of June 2019 from 94.8% at issuance due to fifth largest tenant, Landesbank Baden-Wurtenburg vacating at lease expiration in November of 2018. Additionally, two street-level retail tenants totaling less than 3% NRA, Scottrade and the Four Seasons Restaurant have recently vacated. High-Quality Asset in Strong Location: 280 Park Avenue is a 43-story, class A office building located on Park Avenue between 48th and 49th Streets in the Grand Central office submarket of Midtown Manhattan. At issuance, Fitch assigned it a property quality grade of 'A'. High Overall Fitch Leverage: The $1.075 billion mortgage loan has a Fitch DSCR and LTV of 0.82x and 106.8%, respectively, and debt of $853psf. The capital stack also includes a $125.0 million mezzanine loan. The total debt Fitch DSCR and LTV are 0.73x and 119.2%, respectively, and the total debt amounts to $952psf. Creditworthy Tenancy: Approximately 20% of the NRA is leased to creditworthy tenants including: Franklin Templeton (not rated by Fitch), GIC (BBB+/F1), Orix USA (A-/F2), Wells Fargo Advisors (parent is rated AA-/F1+) and Starbucks (BBB+/F2). Capital Improvements: The sponsor acquired the property in 2011 and has spent $142.5 million ($113psf) on the redevelopment of the building. The redevelopment included a complete redesigning of the lobby and exterior plaza, installing a new breezeway, redeveloping the public plazas, repositioning the retail, upgrading the elevators, electrical, and plumbing systems, replacing the room and installing a modern HVAC system. Institutional Sponsorship: SL Green (BBB/Stable) is New York City's largest landlord with interests in 119 Manhattan buildings totaling 47.4 million sf. Vornado (BBB/Stable) is another large New York City landlord with over 24.0 million sf owned and managed RATING SENSITIVITIES The Rating Outlooks for all classes remain Stable due to overall stable collateral performance. No rating actions are anticipated unless there are material changes in property occupancy or cash flow. The property performance is consistent with issuance. APIDOS CLO XI: S&P Rates $16MM Class E-RR Notes 'BB- (sf)' ----------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-RR, B-RR, C-RR, D-RR, and E-RR replacement notes from Apidos CLO XI, a collateralized loan obligation (CLO) originally issued in January 2013 that is managed by CVC Credit Partners LLC. This is the second refinancing of its January 2013 transaction. The replacement notes were issued via a proposed supplemental indenture. The ratings reflect S&P's opinion that the credit support available is commensurate with the associated rating levels. On the Sept. 12, 2019, refinancing date, the proceeds from the issuance of the replacement notes were used to redeem the original 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 it is assigning ratings to the replacement notes. RATINGS ASSIGNED Apidos CLO XI/Apidos CLO XI LLC Replacement class Rating Amount (mil. $) A-RR AAA (sf) 260.00 B-RR AA (sf) 46.00 C-RR (deferrable) A (sf) 24.00 D-RR (deferrable) BBB- (sf) 22.00 E-RR (deferrable) BB- (sf) 16.00 F-RR (deferrable) NR 5.95 Subordinated notes NR 45.00 RATINGS WITHDRAWN Apidos CLO XI/Apidos CLO XI LLC Rating Original class To From A-R NR AAA (sf) B-R NR AA (sf) C-R NR A (sf) D-R NR BBB (sf) E-R NR BB (sf) NR--Not rated. BEAR STEARNS 2004-HE11: Moody's Lowers Cl. M-2 Debt Rating to B1 ---------------------------------------------------------------- Moody's Investors Service upgraded the ratings of 5 tranches and downgraded the ratings of 5 tranches from 5 RMBS transactions, backed by Alt-A and subprime loans. The complete rating actions are as follows: Issuer: Bear Stearns Asset Backed Securities I Trust 2004-HE11 Cl. M-2, Downgraded to B1 (sf); previously on Jul 21, 2014 Upgraded to Ba3 (sf) Issuer: Structured Asset Investment Loan Trust 2006-2 Cl. A3, Downgraded to B1 (sf); previously on Mar 22, 2016 Upgraded to Baa3 (sf) Issuer: Opteum Mortgage Acceptance Corporation Asset Backed Pass-Through Certificates 2005-4 Cl. I-A1D, Upgraded to Aaa (sf); previously on Dec 20, 2018 Upgraded to Aa1 (sf) Cl. I-A2, Upgraded to Aa2 (sf); previously on Dec 20, 2018 Upgraded to Aa3 (sf) Cl. I-APT, Upgraded to Aaa (sf); previously on Dec 20, 2018 Upgraded to Aa1 (sf) Cl. M-1, Downgraded to B1 (sf); previously on Mar 21, 2018 Upgraded to Ba2 (sf) Cl. M-2, Upgraded to Caa3 (sf); previously on Jan 12, 2011 Downgraded to C (sf) Issuer: Option One Mortgage Loan Trust 2003-5 Cl. M-1, Downgraded to B1 (sf); previously on Feb 1, 2016 Upgraded to Ba3 (sf) Issuer: Securitized Asset Backed Receivables LLC Trust 2004-OP1 Cl. M-1, Downgraded to B1 (sf); previously on Mar 4, 2011 Downgraded to Ba3 (sf) Cl. M-2, Upgraded to Caa1 (sf); previously on Mar 4, 2011 Downgraded to Caa3 (sf) RATINGS RATIONALE The rating upgrades are primarily due to improved performance of the underlying collateral and increased credit enhancement available to the bonds. The rating downgrades are due to the outstanding interest shortfalls on those bonds, which are not expected to be recouped. As of the July 2019 remittance report, Cl. M-2 from Bear Stearns Asset Backed Securities I Trust 2004-HE11, and Cl. M-1 from Option One Mortgage Loan Trust 2003-5, Securitized Asset Backed Receivables LLC Trust 2004-OP1 and Opteum Mortgage Acceptance Corporation Asset Backed Pass-Through Certificates 2005-4 have outstanding interest shortfalls ranging from 0.11% to 0.26% of their original balance, which are not expected to be recouped as they have a weak reimbursement mechanism for unpaid interest shortfalls. The rating downgrade of Cl. A3 from Structured Asset Investment Loan Trust 2006-2 reflects the interest shortfalls on the bond which are not expected to be recouped as the bond is significantly undercollateralized with respect to pool. The actions also reflect recent performance and Moody's updated loss expectations on the underlying pools. The principal methodology used for these ratings was "US RMBS Surveillance Methodology" published in February 2019. Factors that would lead to an upgrade or downgrade of the ratings: Ratings in the US RMBS sector remain exposed to the high level of macroeconomic uncertainty, and in particular the unemployment rate. The unemployment rate fell to 3.7% in August 2019 from 3.8% in August 2018. Moody's forecasts an unemployment central range of 3.5% to 4.5% for the 2019 year. Deviations from this central scenario could lead to rating actions in the sector. House prices are another key driver of US RMBS performance. Moody's expects house prices to continue to rise in 2019. Lower increases than Moody's expects or decreases could lead to negative rating actions. Finally, the performance of RMBS continues to remain highly dependent on servicer procedures. Any changes resulting from servicing transfers, or other policy or regulatory shifts can impact the performance of these transactions. BENCHMARK MORTGAGE 2019-B13: Fitch to Rate Cl. G-RR Debt 'B-(EXP)' ------------------------------------------------------------------ Fitch Ratings issued a presale report on BENCHMARK 2019-B13 Mortgage Trust commercial mortgage pass-through certificates, Series 2019-B13. The expected ratings are based on information provided by the issuer as of Sept. 16, 2019. The certificates represent the beneficial ownership interest in the trust, primary assets of which are 40 loans secured by 48 commercial properties having an aggregate principal balance of $951,712,563 as of the cut-off date. The loans were contributed to the trust by JPMorgan Chase Bank, National Association, Citi Real Estate Funding Inc. and German American Capital Corporation. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 79.5% of the properties by balance, cash flow analysis of 82.3% of the pool and asset summary reviews on 100% of the pool. BMARK 2019-B13 Class A-1; LT AAA(EXP)sf; Expected Rating Class A-2; LT AAA(EXP)sf; Expected Rating Class A-3; LT AAA(EXP)sf; Expected Rating Class A-4; LT AAA(EXP)sf; Expected Rating Class A-M; LT AAA(EXP)sf; Expected Rating Class A-SB; LT AAA(EXP)sf; Expected Rating Class B; LT AA-(EXP)sf; Expected Rating Class C; LT A-(EXP)sf; Expected Rating Class D; LT BBB(EXP)sf; Expected Rating Class E; LT BBB-(EXP)sf; Expected Rating Class F; LT BB-(EXP)sf; Expected Rating Class G-RR; LT B-(EXP)sf; Expected Rating Class H-RR; LT NR(EXP)sf; Expected Rating VRR Interest; LT NR(EXP)sf; Expected Rating Class X-A; LT AAA(EXP)sf; Expected Rating Class X-B; LT A-(EXP)sf; Expected Rating Class X-D; LT BBB-(EXP)sf; Expected Rating Class X-F; LT BB-(EXP)sf; Expected Rating KEY RATING DRIVERS High Fitch Leverage: The pool's Fitch loan to value ratio (LTV) is 106.8%, which is above the 2018 and 2019 YTD average of 102.0% and 101.4% for other Fitch-rated multiborrower transactions. Additionally, the pool's Fitch debt service coverage ratio (DSCR) of 1.17x is lower than the 2018 and 2019 YTD averages of 1.22x and 1.23x, respectively. Investment-Grade Credit Opinion Loans: Five loans, representing 21.8% of the pool, received an investment-grade credit opinion on a stand-alone basis. This is above the 2018 and 2019 YTD averages of 13.6% and 14.5%, respectively. Net of these loans, the Fitch LTV and DSCR are 116.8% and 1.15x, respectively, for this transaction. Loans with investment-grade credit opinions include Shoppes at Grand Canal (5.3%), Osborn Triangle (5.3%), 30 Hudson Yards (4.2%), 3 Columbus Circle (3.9%) and Woodlands Mall (3.2%). Each of these loans received an investment-grade credit opinion of 'BBB-sf*', with the exception of 30 Hudson Yards, which received an investment-grade credit opinion of 'A-sf*' on a stand-alone basis. Pool Concentration: The top 10 loans in the pool comprise 51.3% of the pool, reflecting concentration in line with the 2018 and 2019 YTD averages of 50.6% and 51.7%, respectively. Additionally, the pool's LCI of 382 is also in line with the 2018 and 2019 YTD averages of 373 and 387, respectively. The pool's SCI of 419 is also above the 2018 average of 398 and 2019 YTD average of 406. RATING SENSITIVITIES For this transaction, Fitch's net cash flow (NCF) was 11.4% 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-B13 certificates and found that the transaction displays average sensitivities to further declines in NCF. In a scenario in which NCF declined a further 20% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'A+sf' could result. In a more severe scenario, in which NCF declined a further 30% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB+sf' could result. The presale report includes a detailed explanation of additional stresses and sensitivities on page 12. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and the findings did not have an impact on the agency's analysis or conclusions. CIFC FUNDING 2016-I: S&P Assigns Prelim B-(sf) Rating to F-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the class X, A-1-R, A-2-R, B-R, C-R, D-1-R, D-2-R, E-R, and F-R fixed- and floating-rate replacement notes from CIFC Funding 2016-I Ltd./CIFC Funding 2016-I LLC, a collateralized loan obligation (CLO) transaction originally issued in 2016 that is managed by CIFC Asset Management LLC. The replacement notes will be issued via a proposed supplemental indenture. S&P Global Ratings did not rate the transaction when it was originally issued in 2016. The preliminary ratings reflect S&P's opinion that the credit support available is commensurate with the associated rating levels. The preliminary ratings are based on information as of Sept. 13, 2019. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Sept. 27, 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 assigning ratings to the replacement notes. However, if the refinancing doesn't occur, S&P will withdraw its preliminary ratings on the replacement notes. "Our review of this transaction included a cash flow analysis to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches," S&P said. "We will continue to review whether, in our view, the preliminary 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. PRELIMINARY RATINGS ASSIGNED CIFC Funding 2016-I Ltd./CIFC Funding 2016-I LLC Replacement class Rating Amount (mil $) X AAA (sf) 1.10 A-1-R AAA (sf) 298.00 A-2-R AAA (sf) 24.50 B-R AA (sf) 57.50 C-R (deferrable) A (sf) 30.00 D-1-R (deferrable) BBB+ (sf) 17.50 D-2-R (deferrable) BBB- (sf) 12.50 E-R (deferrable) BB- (sf) 20.00 F-R (deferrable) B- (sf) 4.00 Subordinated notes NR 49.25 COMM 2015-CCRE27: Fitch Affirms B-sf Rating on Cl. F Debt --------------------------------------------------------- Fitch Ratings affirmed 14 classes of Deutsche Bank Securities, Inc.'s COMM 2015-CCRE27 Mortgage Trust. COMM 2015-CCRE27 Current Rating Prior Rating Class A-1 LT AAAsf Affirmed; previously at AAAsf Class A-2 LT AAAsf Affirmed; previously at AAAsf Class A-3 LT AAAsf Affirmed; previously at AAAsf Class A-4 LT AAAsf Affirmed; previously at AAAsf Class A-M LT AAAsf Affirmed; previously at AAAsf Class A-SB LT AAAsf Affirmed; previously at AAAsf Class B LT AA-sf Affirmed; previously at AA-sf Class C LT A-sf Affirmed; previously at A-sf Class D LT BBB-sf Affirmed; previously at BBB-sf Class E LT BB-sf Affirmed; previously at BB-sf Class F LT B-sf Affirmed; previously at B-sf Class X-A LT AAAsf Affirmed; previously at AAAsf Class X-B LT AA-sf Affirmed; previously at AA-sf Class X-C LT BBB-sf Affirmed; previously at BBB-sf KEY RATING DRIVERS Stable Performance and Loss Expectations: The affirmations are based on the relatively stable performance and loss expectations for a majority of the underlying collateral with no material changes to pool metrics since issuance. Two loans (2.4%) are on the master servicer's watch list. Five loans (8.5% of pool) are designated as Fitch Loans of Concern (FLOCs), including one loan in the top 15 (2.9%). The largest FLOC, Green Valley Corporate Center (2.9%), is secured by three office buildings totaling 163,052 sf located in Henderson, NV. Occupancy has declined to 72% as of June 2019 from 95.7% at issuance. The previous largest tenant at the property, International Academy of Design and Technology, leased a full building (30.6% of total NRA) at issuance, downsized by approximately half to 15% in April 2016 (as was expected at issuance), and then vacated the building completely in December 2017. In November 2018 the property was acquired by JMA Ventures via a loan assumption for $34 million. The YE 2018 net operating income (NOI) DSCR is 1.24x down from 2.10x YE 2017 and 3.56x at YE 2015 after the interest only period expired in August 2017. The second largest FLOC, Village Square at Kiln Creek (2.2%), is secured by a 267,021 sf retail center located in Yorktown, VA. The largest tenant, Kmart, occupies 72% of the property's space with a lease expiring in November 2023, but according to recent news reports they are expected to close by December 2019. Kroger subleases approximately half of Kmart's space and invested $25 million in both the new grocery store and an 18-pump fuel station that opened in May 2015. The occupancy as of June 2019 was 98.4%, and the YE 2018 debt service coverage ratio (DSCR) was 1.85x compared to 1.64x at YE 2017. The specially serviced loan, Chestnut Street (1.1%), is secured by a mixed use property with 30 multifamily units and a 3,282 sf retail portion that is 100% occupied by Foot Locker. The loan transferred to the special servicer in December 2018. Footlocker's lease expired in June 2019, and the borrower has indicated that they have reached an agreement to extend the lease. The multifamily units have had strong occupancy since issuance and are currently at 100%. NOI has been declining since issuance, and the annualized June 2018 NOI DSCR was 1.10x compared to 1.51x at issuance. Two additional loans are considered FLOCs. The first is a loan secured by a limited-service hotel (1.3%) located in Kennewick, WA that has seen declining NOI since issuance. The second is a full service hotel (1.1%) located in Nashville, TN with declining occupancy and approximately a 50% drop in 2018 NOI compared to issuance. The largest loan in the pool, 11 Madison Avenue (7.75%), is an office building located on Madison Square Park in New York City. As of YE 2018 the property was 100% occupied with a 4.30 NOI DSCR. The property is 55% leased by Credit Suisse until 2037. Minimal Credit Enhancement Improvement Since Issuance: As of the August 2019 distribution date, the pool's aggregate principal balance has been reduced by only 3.0% to $913 million from $903.6 million at issuance. No loans have paid off, and there are seven defeased loans (7.8%) since issuance. Based on the scheduled balance at maturity, the pool is expected to pay down by 11.3%. Eight loans (21.3%), including the top two loans in the pool, are full-term, interest only, while seven loans (13.9%) remain in their partial interest-only periods. ADDITIONAL CONSIDERATIONS Multifamily Concentration: The pool has a high percentage of multifamily loans (36.8% of the current balance), followed by retail (19.3%), and office (18.4%). Four (23.4%) of the top five loans in the pool are multifamily loans. Limited Upcoming Maturities: Only 8% of the pool is scheduled to mature in 2020. The majority of the pool matures in 2025 (92%). RATING SENSITIVITIES Rating Outlooks for all classes remain Stable due to the overall stable performance of the pool and continued amortization. Rating upgrades may occur with improved pool performance and additional paydown or defeasance. Rating downgrades to the classes are possible should a material asset-level or economic event adversely affect pool performance. CREDIT SUISSE 2015-C1: Fitch Affirms Bsf Rating on 2 Tranches ------------------------------------------------------------- Fitch Ratings affirmed 15 classes of Credit Suisse USA CSAIL 2015-C1 commercial mortgage pass-through certificates. CSAIL 2015-C1 Current Rating Prior Rating Class A-1 LT PIFsf Paid In Full; previously at AAAsf Class A-2 LT AAAsf Affirmed; previously at AAAsf Class A-3 LT AAAsf Affirmed; previously at AAAsf Class A-4 LT AAAsf Affirmed; previously at AAAsf Class A-S LT AAAsf Affirmed; previously at AAAsf Class A-SB LT AAAsf Affirmed; previously at AAAsf Class B LT AA-sf Affirmed; previously at AA-sf Class C LT A-sf Affirmed; previously at A-sf Class D LT BBB-sf Affirmed; previously at BBB-sf Class E LT BBsf Affirmed; previously at BBsf Class F LT Bsf Affirmed; previously at Bsf Class X-A LT AAAsf Affirmed; previously at AAAsf Class X-B LT AA-sf Affirmed; previously at AA-sf Class X-D LT BBB-sf Affirmed; previously at BBB-sf Class X-E LT BBsf Affirmed; previously at BBsf Class X-F LT Bsf Affirmed; previously at Bsf KEY RATING DRIVERS Loss Expectations Higher than Issuance: While the pool overall has exhibited stable performance, Fitch's loss expectations have increased from issuance due to the realized or expected performance decline of a few larger assets. There are four Fitch Loans of Concern (FLOCs) in the Top 15, three of which are secured by regional malls. While none of these loans is currently in default, exposure to weakening tenants, stagnant sales, nearby competition and market location could contribute to challenges in refinancing these loans. There have been no realized losses or loans transferred to special servicing since issuance. Improved Credit Enhancement: Mitigating some of the concern regarding increased loss expectations is the continued collateral reduction. Since the last rating action, two loans have paid out of the pool, contributing $18.8 million in principal paydown. The pool has paid down by 4.9% since issuance. Three loans representing 2.8% of the pool are scheduled to mature in 2020. An additional 11loans representing 11% of the pool are fully defeased. Retail & Regional Mall Concentration: Retail properties comprise 26.3% of the pool, including five loans in the top 15 (16.7% of the pool). Of the top 15 retail exposure, one is an open-air outlet center in Chesterfield, MO operated by Simon Properties (2.2%) and three are enclosed regional malls, including two operated by Westfield (10.4%) in Trumbull, CT and Wheaton, MD and one operated by Rouse Properties (2%) in Eureka, CA. These properties are located mainly in secondary and tertiary markets. The two largest regional mall exposures, Westfield Trumbull and Westfield Wheaton, both of which are FLOCs, have exhibited fluctuating sales and occupancy and both face competition from nearby malls owned by the same sponsor. Bayshore Mall, another FLOC, will be losing its Sears anchor in the coming months. Westfield Trumbull (6.7% of the pool) is anchored by Target, JCPenney, Lord and Taylor, Macy's and LA Fitness. Macy's has an upcoming lease expiration in April 2020, and JCPenney's lease is scheduled to expire in May 2022. Both stores are also anchors at a competing mall owned by the same sponsor located 9.5 miles away. In addition, GGP/Brookfield is developing a new luxury mall 16 miles from the subject that is scheduled to open in October 2019. It will be anchored by Nordstrom and Bloomingdales. Westfield Wheaton (3.7% of the pool) is anchored by Target, JCPenney, Macy's and Costco. There are also groundlease outparcels leased to Giant Foods and Sears Outlet. Both JCPenney and Target have upcoming lease expirations in December 2019 and February 2020, respectively. Westfield owns a competing mall located 6.6 miles away from the subject that is anchored by Macy's, Nordstrom and Sears. Bayshore Mall (2% of the pool) is anchored by Walmart and Sears. Sears recently announced that it will be closing the store at this location. The loss of Sears will leave the asset with only one traditional anchor and bring collateral occupancy down to 70.9%. Fitch conducted a sensitivity test related to these three assets that remains as the basis for the Negative Rating Outlooks on classes E,F, X-E and X-F. RATING SENSITIVITIES The Rating Outlooks on classes E, F, X-E and X-F remain Negative, largely due to the sensitivities to Westfield Trumbull, Westfield Wheaton and Bayshore Mall, all in the Top 15. Fitch's analysis included an additional sensitivity stress, which assumed a loss of 25% on Westfield Trumbull and Westfield Wheaton and a 50% loss on Bayshore mall. Rating downgrades are possible if the performance of these properties decline significantly or if any of the loans default. The Rating Outlooks for classes A-1 through D remain Stable as the remaining pool continues to exhibit stable performance overall. CROWN POINT 8: Moody's Assigns Ba3 Rating on $23.45MM Cl. E Notes ----------------------------------------------------------------- Moody's Investors Service assigned ratings to five classes of notes issued by Crown Point CLO 8 Ltd. Moody's rating action is as follows: US$292,500,000 Class A Senior Secured Floating Rate Notes due 2032 (the "Class A Notes"), Definitive Rating Assigned Aaa (sf) US$47,500,000 Class B Senior Secured Floating Rate Notes due 2032 (the "Class B Notes"), Definitive Rating Assigned Aa2 (sf) US$21,000,000 Class C Secured Deferrable Mezzanine Floating Rate Notes due 2032 (the "Class C Notes"), Definitive Rating Assigned A2 (sf) US$27,300,000 Class D Secured Deferrable Mezzanine Floating Rate Notes due 2032 (the "Class D Notes"), Definitive Rating Assigned Baa3 (sf) US$23,450,000 Class E Secured Deferrable Junior Floating Rate Notes due 2032 (the "Class E Notes"), Definitive Rating 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. Crown Point 8 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of senior secured Loans, and up to 10% of the portfolio may consist of second lien loans or unsecured loans. The portfolio is approximately 80% ramped as of the closing date. Pretium Credit Management, LLC will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five-year reinvestment period. Thereafter, 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. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $450,000,000 Diversity Score: 60 Weighted Average Rating Factor (WARF): 2790 Weighted Average Spread (WAS): 3.45% Weighted Average Coupon (WAC): 6.50% Weighted Average Recovery Rate (WARR): 47.00% Weighted Average Life (WAL): 9.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in 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. FLAGSHIP CREDIT 2018-3: S&P Affirms BB- (sf) Rating on Cl. E Deals ------------------------------------------------------------------ S&P Global Ratings raised its ratings on 20 classes and affirmed its ratings on six classes from six Flagship Credit Auto Trust (FCAT) transactions. The rating actions reflect collateral performance to date and S&P's expectations regarding future collateral performance, as well as each transaction's structure and credit enhancement. Additionally, S&P incorporated secondary credit factors, including credit stability, payment priorities under various scenarios, and sector- and issuer-specific analysis. Considering all these factors, S&P believes the creditworthiness of the notes remains consistent with the raised and affirmed ratings. FCAT's series 2016-2, 2016-3, 2016-4, 2017-1, 2018-2, and 2018-3 transactions are performing in line with S&P's expectations and, consequently, it maintained the rating agency's loss expectations. Table 1 Collateral Performance (%) As of the August 2019 distribution date Pool Current 60+ day Series Mo. factor CNL delinq. FCAT 2016-2 39 27.80 10.65 5.54 FCAT 2016-3 36 31.11 10.49 5.55 FCAT 2016-4 33 34.63 9.95 5.39 FCAT 2017-1 30 40.91 8.13 4.97 FCAT 2018-2 15 70.68 2.88 4.22 FCAT 2018-3 12 77.67 2.35 3.06 Mo.--Month. Delinq.—Delinquencies. CNL--cumulative net loss. Table 2 CNL Expectations (%) Original Former Revised lifetime lifetime lifetime Series CNL exp. CNL exp.(i) CNL exp. (As of ept.2019) FCAT 2016-2 11.50-12.00 13.00-13.50 13.00-13.50 FCAT 2016-3 11.50-12.00 13.50-14.00 13.50-14.00 FCAT 2016-4 11.75-12.25 13.50-14.00 13.50-14.00 FCAT 2017-1 13.00-13.50 12.75-13.25 12.75-13.25 FCAT 2018-2 12.50-13.00 NA 12.50-13.00 FCAT 2018-3 12.50-13.00 NA 12.50-13.00 (i) FCAT 2016-2, 2016-3 and 2016-4 revised May 2018, and FCAT 2017-1 revised September 2018. CNL exp.--Cumulative net loss expectations. N/A–-Not applicable. Each transaction contains a sequential principal payment structure in which the notes are paid principal by seniority. Each also has credit enhancement in the form of a non-amortizing reserve account, overcollateralization, subordination for the higher-rated tranches, and excess spread. Each transaction's reserve amounts is at the specified target level. Except for FCAT 2016-2, the overcollateralization for each series is at its specified target or floor. The FCAT 2016-2 transaction's overcollateralization amount is approximately two basis points below the specified floor, but is expected to be back at its target in future months. For all the transactions, overall credit enhancement continues to grow as a percentage of the amortizing pool balance. In addition, since the transactions closed, the credit support for each series has increased as a percentage of the amortizing pool balance. The raised and affirmed ratings reflect S&P's view that the total credit support as a percentage of the amortizing pool balance, compared with its expected remaining losses, is commensurate with each of the current ratings. Table 3 Hard Credit Support (%) As of the August 2019 distribution date Total hard Current total hard credit support credit support Series Class at issuance(i) (% of current)(i) FCAT 2016-2 A-2 29.25 105.26 FCAT 2016-2 B 19.75 71.08 FCAT 2016-2 C 10.25 36.90 FCAT 2016-2 D 4.00 14.43 FCAT 2016-3 B 31.25 101.29 FCAT 2016-3 C 17.75 57.88 FCAT 2016-3 D 8.25 27.34 FCAT 2016-3 E 4.00 13.68 FCAT 2016-4 B 29.90 87.82 FCAT 2016-4 C 17.40 51.72 FCAT 2016-4 D 8.25 25.30 FCAT 2016-4 E 4.00 13.03 FCAT 2017-1 B 33.50 81.20 FCAT 2017-1 C 22.00 53.12 FCAT 2017-1 D 12.86 30.76 FCAT 2017-1 E 5.75 13.39 FCAT 2018-2 A 41.00 62.24 FCAT 2018-2 B 30.50 47.39 FCAT 2018-2 C 18.25 30.06 FCAT 2018-2 D 9.00 16.97 FCAT 2018-2 E 3.25 8.83 FCAT 2018-3 A 41.00 57.18 FCAT 2018-3 B 30.50 43.66 FCAT 2018-3 C 18.25 27.89 FCAT 2018-3 D 9.00 15.98 FCAT 2018-3 E 3.25 8.58 (i)Calculated as a percentage of the total gross receivable pool balance, consisting of a reserve account, overcollateralization, and, if applicable, subordination. S&P said, "We incorporated an analysis of the current hard credit enhancement compared to the remaining expected cumulative net losses for those classes in which hard credit enhancement alone without credit to the expected excess spread was sufficient, in our opinion, to upgrade the notes to, or affirm at, 'AAA (sf)'. For the other classes, we incorporated a cash flow analysis to assess the loss coverage level, giving credit to excess spread. Our various cash flow scenarios included forward-looking assumptions on recoveries, timing of losses, and voluntary absolute prepayment speeds that we believe are appropriate given each transaction's performance to date. Aside from our break-even cash flow analysis, we also conducted sensitivity analyses for these series to determine the impact that a moderate ('BBB') stress scenario would have on our ratings if losses began trending higher than our revised base-case loss expectation." "In our view, the results demonstrated that all of the classes have adequate credit enhancement at the current rating levels. We will continue to monitor the performance of all of the outstanding transactions to ensure that the credit enhancement remains sufficient, in our view, to cover our cumulative net loss expectations under our stress scenarios for each of the rated classes." RATINGS RAISED Flagship Credit Auto Trust Rating Series Class To From 2016-2 B AAA (sf) AA+ (sf) 2016-2 C AAA (sf) A- (sf) 2016-2 D BBB (sf) BB- (sf) 2016-3 B AAA (sf) AA+ (sf) 2016-3 C AAA (sf) AA (sf) 2016-3 D AA (sf) BBB+ (sf) 2016-3 E BBB (sf) BB (sf) 2016-4 B AAA (sf) AA+ (sf) 2016-4 C AAA (sf) AA- (sf) 2016-4 D A+ (sf) BBB+ (sf) 2016-4 E BBB (sf) BB (sf) 2017-1 C AAA (sf) AA (sf) 2017-1 D AA- (sf) A- (sf) 2017-1 E BBB- (sf) BB+ (sf) 2018-2 B AA+ (sf) AA (sf) 2018-2 C A+ (sf) A (sf) 2018-2 D BBB+ (sf) BBB (sf) 2018-3 B AA+ (sf) AA (sf) 2018-3 C A+ (sf) A (sf) 2018-3 D BBB+ (sf) BBB (sf) RATINGS AFFIRMED Flagship Credit Auto Trust Series Class Rating 2016-2 A-2 AAA (sf) 2017-1 B AAA (sf) 2018-2 A AAA (sf) 2018-2 E BB- (sf) 2018-3 A AAA (sf) 2018-3 E BB- (sf) GCAT 2019-NQM2: S&P Assigns Prelim B(sf) Rating to Class B-2 Certs ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to GCAT 2019-NQM2 Trust's mortgage pass-through certificates. The certificate issuance is a residential mortgage-backed securities (RMBS) transaction backed by U.S. residential mortgage loans. The preliminary ratings are based on information as of Sept. 13, 2019. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The pool's collateral composition; -- The credit enhancement provided for this transaction; -- The transaction's associated structural mechanics; -- The representation and warranty (R&W) framework for this transaction; and -- The mortgage aggregator, Blue River Mortgage TRS (BRM). PRELIMINARY RATINGS ASSIGNED GCAT 2019-NQM1 Trust Class Rating(i) Amount ($) A-1 AAA (sf) 296,992,000 A-2 AA (sf) 27,200,000 A-3 A (sf) 37,477,000 M-1 BBB (sf) 17,529,000 B-1 BB (sf) 11,485,000 B-2 B (sf) 8,664,000 B-3 NR 3,627,270 A-IO-S NR Notional(ii) X NR Notional(ii) R NR N/A (i)The collateral and structural information in this report reflects the term sheet dated Sept. 10, 2019. The preliminary ratings address S&P's expectation for the ultimate payment of interest and principal. (ii)The notional amount equals the loans' stated principal balance. N/A--Not applicable. NR--Not rated. GS MORTGAGE 2012-GCJ9: Fitch Affirms Bsf Rating on Class F Certs ---------------------------------------------------------------- Fitch Ratings upgraded one class and affirmed eight classes of GS Mortgage Securities Trust 2012-GCJ9 commercial mortgage pass-through certificates. GS Mortgage Securities Trust 2012-GCJ9 Current Rating Prior Rating Class A-3 LT AAAsf Affirmed; previously at AAAsf Class A-AB LT AAAsf Affirmed; previously at AAAsf Class A-S LT AAAsf Affirmed; previously at AAAsf Class B LT AAsf Upgrade; previously at AA-sf Class C LT A-sf Affirmed; previously at A-sf Class D LT BBB-sf Affirmed; previously at BBB-sf Class E LT BBsf Affirmed; previously at BBsf Class F LT Bsf Affirmed; previously at Bsf Class X-A LT AAAsf Affirmed; previously at AAAsf KEY RATING DRIVERS Stable Loss Expectations: The transaction's modelled loss expectations are inline with loss expectations at issuance. Overall, the pool has experienced stable to improved performance. Additionally a number of loans flagged as Fitch Loans of Concern (FLOC) at Fitch's prior rating action in 2018 have either exhibited improved performance expectations or have been defeased. As of this rating action, the pool has three loans in special servicing (1.7%); however, the largest specially serviced loan, Crossroads Executive Center (0.7%), has shown stabilized performance and will return to master servicing. The pool has six loans (10.2%) that have the designation of FLOC including two loans (6.9%) in the Top 15, and 13 loans (45.7%) on the servicer's watchlist for major tenant departures, deferred maintenance and poor performance. At Fitch's prior review, eight loans (17.7%) were considered FLOCs. Increased Credit Enhancement; High Defeasance Percentage: Credit Enhancement has improved due to both paydown and defeasance. As of the August 2019 distribution date, the pool has paid down by 23.2% since issuance, to $1.06 billion from $1.39 billion and 54.2% of the pool was amortizing. Additionally, 17 loans totalling 19.2% of the pool are defeased. One loan in special servicing at the time of Fitch's prior rating action in 2018, 40 Hart, disposed and incurred a loss of $7.6 million, which was consistent with Fitch's expectations at the last rating action. Additional Loss Considerations: Fitch applied two independent stress scenarios. One included an additional stress scenario that assumed a higher NOI stress (10% haircut) and higher stressed cap rates (100 bps over Fitch standard stressed cap rates) to test the viability of the upgrade to class B and revision of the Outlook to Positive. The second assumed the defeased loans as paid off. Fitch Loans of Concern: Miami Center (4.8%) is a Class A office property located in Miami, Florida and is the sixth largest loan in the pool. Per year-end 2018 reporting, occupancy has declined to 69.0% from 83.7% at issuance resulting in a 26.0% decline in NOI DSCR. In 2017 the borrower invested $20 million dollars in renovations into the property that have since been completed. While the borrower hoped these improvements would attract new tenants, but occupancy has not yet improved. Signature Office Place (2.1%) is an office property in Greensboro, NC and the 10th largest loan in the pool. The loan is considered a FLOC due to declining occupancy and NOI. Compared to underwritten occupancy and NOI at issuance, year-end 2018 occupancy and NOI were down 16.0% and 24.5%, respectively. Per March 2019 reporting, occupancy was 80.0%. The 40th largest loan in the pool, Crossroads Executive Center (0.7%) is a 142,739 SF, Class B suburban office building located Rolling Meadows, IL. The loan transferred to special servicing in August 2017 for imminent monetary default after occupancy declined and the property became cash managed. According to servicer commentary, a settlement agreement was executed in May 2019, and the loan was reinstated. Servicer-reported year-end 2017 occupancy and NOI DSCR were 82% and 2.07x, respectively. The loan is expected to be returned to the master servicer. The pool has two lodging properties that have transferred to special servicing for poor performance, Residence Inn - Albany Airport (0.6%) and Residence Inn - Buffalo (0.5%). The delinquency status of Residence Inn - Albany Airport and Residence Inn - Buffalo are REO and +90 days, respectively. The 18th largest loan, Parkway West (1.5%), securitized by two separate properties known as Parkview West and Parkview Fountain City, both are senior independent living apartment communities located west and north of the Knoxville, TN. Subject year-end 2018 NOI DSCR has fallen to 0.82x. This was a result of a decline in occupancy to 72.6% at year-end 2017 compared to 96.4% at issuance. The borrower has taken steps to improve performance, and year-end 2018 occupancy has returned to 97.6%. The property will be considered a FLOC until performance is shown inline with issuance expectations. RATING SENSITIVITIES The upgrade of and revision of the Outlook on class B to Positive reflects the increased credit enhancement from paydown and defeasance and potential for future upgrades given overall stable performance and continued expected increases to credit enhancement. The revision of the Outlook on class F to Stable also reflects the stable-to-improved pool performance, as well as the decline in FLOC to 10.2% as of this review, from 17.7% as of the last rating action. The revision also considers an additional stress scenario which assumed a higher NOI stressed scenario (10% haircut) in the base case in addition to loan specific adjustments. Upgrades to senior classes are possible with additional increased credit enhancement and stable pool performance. Although not expected, downgrades are possible if pool performance declines. GS MORTGAGE 2015-GS1: Fitch Corrects Sept. 12 Release ----------------------------------------------------- Fitch Ratings replaced a ratings release published on September 12, 2019 to correct the name of the obligor for the bonds. The amended release is as follows: Fitch Ratings affirmed 14 classes of GS Mortgage Securities Trust 2015-GS1 commercial mortgage pass-through certificates. GSMS 2015-GS1 Current Rating Prior Rating Class A-1 LT AAAsf Affirmed; previously at AAAsf Class A-2 LT AAAsf Affirmed; previously at AAAsf Class A-3 LT AAAsf Affirmed; previously at AAAsf Class A-AB LT AAAsf Affirmed; previously at AAAsf Class A-S LT AAAsf Affirmed; previously at AAAsf Class B LT AA-sf Affirmed; previously at AA-sf Class C LT A-sf Affirmed; previously at A-sf Class D LT BBB-sf Affirmed; previously at BBB-sf Class E LT BB-sf Affirmed; previously at BB-sf Class F LT B-sf Affirmed; previously at B-sf Class PEZ LT A-sf Affirmed; previously at A-sf Class X-A LT AAAsf Affirmed; previously at AAAsf Class X-B LT AA-sf Affirmed; previously at AA-sf Class X-D LT BBB-sf Affirmed; previously at BBB-sf KEY RATING DRIVERS Stable to Increasing Loss Expectations: While the overall pool performance has been stable since the last review, loss expectations have increased due to the performance decline of several Fitch Loans of Concern (FLOCs; 18.7%) in the top 15. The pool has no delinquent or specially serviced loans; however, four loans (18.7%) are considered FLOCs, three of which are in the top 15. Performance declines have been the result of high vacancy, a non-collateral tenant departure and a hotel that is underperforming the market. The pool has three loans (6.6% of pool balance) on the servicer's watchlist for major tenant departures and borrower litigation. Two loans with the FLOC designation during Fitch's prior rating action in 2018 are no longer considered FLOCs. The Hammon's Hotel Portfolio (5.3%) loan was previously in special servicing after the borrower filed for bankruptcy; the loan transferred back to the master servicer on July 1, 2019. The portfolio's collateralized hotel properties have all exhibited occupancy, ADR and RevPAR metrics that outperform those of their respective competitive sets. Pine Creek Shopping Center (3.2%) was flagged as a FLOC due to JCPenney's lease expiration in November 2018. According to the June 2019 rent roll, JCPenney signed a five-year lease extension; as such, Pine Creek is no longer considered a FLOC. Minimal Change in Credit Enhancement: As of the August 2019 distribution period, the pool's aggregate principal balance was reduced 2.4% to $800.9 million from $820.6 million at issuance with 39 loans remaining. The pool has no defeased loans and no loans are scheduled to mature until 2025. Of the remaining pool balance, 33.3% is classified as partial interest only (IO), and 39.3% is classified as full IO. At issuance, the pool was scheduled to amortize by 9.63% of the initial pool balance prior to maturity. Fitch Loans of Concern: The largest FLOCs include Westin Boston Waterfront (8.2%), Glenbrook Square (7.3%) and Lake Forest Place (2.3%). These loans have been designated as loans as concern due to declines in performance and large tenant departures. Additional Consideration, Retail and Mall Concentration: As of the August 2019 distribution period, retail properties represent 37.3% of the pool balance and include two regional malls in the top 15 (16%) located in secondary markets with exposure to Macy's, JCPenney and vacated Sear's boxes. Properties classified as office represent the second largest property type concentration and 32.3% of the pool's loan balance. The top 15 includes two loans (6.2%) collateralized by suburban office properties, both properties are located in the suburban area of Cincinnati, OH and have the same sponsor. RATING SENSITIVITIES The Rating Outlook on class F is Negative as the result of performance deterioration on FLOCs totalling 18.7% of the pool. If performance continues to deteriorate or loans are considered likely to default, downgrades are possible. The Stable Outlooks on the remaining pool reflect sufficient credit enhancement in light of the increasing losses. Future rating upgrades, although unlikely in the near term, may occur with improved pool performance and additional defeasance or paydown. Rating downgrades to the classes are possible should overall pool performance decline. ICG US 2019-1: Moody's Assigns Ba3 Rating on $19MM Cl. D Notes -------------------------------------------------------------- Moody's Investors Service assigned ratings to six classes of notes issued by ICG US CLO 2019-1, Ltd. Moody's rating action is as follows: US$246,000,000 Class A-1A Senior Secured Floating Rate Notes due 2032 (the "Class A-1A Notes"), Assigned Aaa (sf) US$44,000,000 Class A-2 Senior Secured Floating Rate Notes due 2032 (the "Class A-2 Notes"), Assigned Aa2 (sf) US$5,500,000 Class B-1 Senior Secured Deferrable Floating Rate Notes due 2032 (the "Class B-1 Notes"), Assigned A2 (sf) US$14,000,000 Class B-2 Senior Secured Deferrable Floating Rate Notes due 2032 (the "Class B-2 Notes"), Assigned A2 (sf) US$25,500,000 Class C Senior Secured Deferrable Floating Rate Notes due 2032 (the "Class C Notes"), Assigned Baa3 (sf) US$19,000,000 Class D Senior Secured Deferrable Floating Rate Notes due 2032 (the "Class D Notes"), Assigned Ba3 (sf) The Class A-1A Notes, the Class A-2 Notes, the Class B-1 Notes, the Class B-2 Notes, the Class C Notes and the Class D 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. ICG US CLO 2019-1, Ltd. is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of first lien senior secured loans, cash, and eligible investments, and up to 10% of the portfolio may consist of second lien loans and unsecured loans. The portfolio is approximately 90% ramped as of the closing date. ICG Debt Advisors LLC -- Manager Series 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 secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in March 2019. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $400,000,000 Diversity Score: 58 Weighted Average Rating Factor (WARF): 2775 Weighted Average Spread (WAS): 3.60% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 47.0% 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. J.C. PENNEY 2007-1: S&P Lowers Class A-2 Certs Rating to 'CCC-' --------------------------------------------------------------- S&P Global Ratings lowered its ratings on eight classes from five transactions linked to J.C. Penney Co. Inc. debentures to 'CCC-' from 'CCC'. S&P said its ratings on all eight classes of certificates are dependent on its rating on the underlying security, J.C. Penney Co. Inc.'s 7.625% debentures due March 1, 2097 ('CCC-'). The rating actions reflect the Aug. 28, 2019, lowering of S&P's rating on the underlying security to 'CCC-' from 'CCC'. "We may take additional rating actions on these transactions due to subsequent changes in our rating assigned to the underlying security," S&P said. RATINGS LOWERED CABCO Trust For J.C. Penney Debentures Series 1999-1 US$52.65 million series trust certificates due 03/01/2097 Rating Class To From Certificates CCC- CCC CorTS Trust For J.C. Penney Debentures US$100 million corporate-backed trust securities (CorTS) certificates Rating Class To From Certificates CCC- CCC Corporate-Backed Callable Trust Certificates J.C. Penney Debenture-Backed Series 2006-1 US$27.5 million series 2006-1 Rating Class To From A-1 CCC- CCC A-2 CCC- CCC Corporate-Backed Callable Trust Certificates J.C. Penney Debenture-Backed Series 2007-1 Trust US$55 million corporate-backed callable trust certificates J.C. Penney debentures-backed series 2007-1 Rating Class To From A-1 CCC- CCC A-2 CCC- CCC Structured Asset Trust Unit Repackaging (SATURNS) J.C. Penney Co. US$54.5 million units series 2007-1 Rating Class To From A CCC- CCC B CCC- CCC JP MORGAN 2002-CIBC4: Moody's Hikes Class D Certs Rating to B1 -------------------------------------------------------------- Moody's Investors Service upgraded the rating on one class and affirmed the ratings on two classes in J.P. Morgan Chase Commercial Mortgage Securities Corp., Pass-Through Certificates, Ser. 2002-CIBC4, as follows: Cl. D, Upgraded to B1 (sf); previously on Mar 29, 2018 Affirmed Caa3 (sf) Cl. E, Affirmed C (sf); previously on Mar 29, 2018 Affirmed C (sf) Cl. X-1*, Affirmed C (sf); previously on Mar 29, 2018 Affirmed C (sf) * Reflects Interest Only Classes RATINGS RATIONALE The rating on one principal and interest (P&I) class, Cl. D, was upgraded based primarily on an increase in credit support resulting from loan paydowns and amortization. The deal has paid down 45% since Moody's last review and the deal balance has decreased over 99% since securitization. The rating on Cl. E was affirmed because the ratings are consistent with Moody's expected loss plus realized losses. Class E has already experienced a 94% realized loss as result of previously liquidated loans. The rating on the interest only (IO) class was affirmed based on the credit quality of the referenced classes. Moody's does not anticipate losses from the remaining collateral in the current environment. However, over the remaining life of the transaction, losses may emerge from macro stresses to the environment and changes in collateral performance. Its ratings reflect the potential for future losses under varying levels of stress. Moody's base expected loss plus realized losses is now 12.3% 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, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except the 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. DEAL PERFORMANCE As of the August 12, 2019 distribution date, the transaction's aggregate certificate balance has decreased by over 99% to $7.2 million from $799 million at securitization. The certificates are collateralized by six mortgage loans. Three loans, constituting 18% 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 two, the same as at Moody's last review. Twenty loans have been liquidated from the pool, resulting in an aggregate realized loss of $98 million (for an average loss severity of 29%). The three non-defeased loans represent 82% of the pool balance and each have a Moody's LTV of less than 40%. The largest loan is the Plainfield Commons Loan ($3.4 million -- 46.7% of the pool), which is secured by a 174,000 square foot (SF) anchored retail property in Plainfield, Indiana. The property was 99% leased as of December 2018, the same as of June 2017. The loan is fully amortizing and has amortized by 75% since securitization. The second largest loan is the 555 Post Street Loan ($1.4 million -- 19.8% of the pool), which is secured by a seven-story office property in downtown San Francisco, California, two blocks west of Union Square. The property was 100% leased as of December 2018, up from 53% leased as of December 2017. Two major tenants with lease expirations in July 2017 vacated the property and a new tenant, Make School, has backfilled that space. The loan is fully amortizing and has amortized 78% since securitization. The third largest loan is the Center at Panola Loan ($1.1 million -- 15.1% of the pool), which is secured by a grocery-anchored retail property located in Lithonia, Georgia, about 15 miles east of the Atlanta CBD. The property was 100% leased as of March 2019, the same as of December 2017. The loan is fully amortizing and has amortized 77% since securitization. JP MORGAN 2005-CIBC12: Moody's Cuts Class B Certs to Caa3 --------------------------------------------------------- Moody's Investors Service upgraded the rating on one class, affirmed the rating on one class and downgraded the rating on one class in J.P. Morgan Chase Commercial Mortgage Securities Corp., Commercial Pass-Through Certificates, Series 2005-CIBC12 as follows: Cl. A-J, Upgraded to A1 (sf); previously on Mar 2, 2018 Affirmed Baa1 (sf) Cl. B, Downgraded to Caa3 (sf); previously on Mar 2, 2018 Downgraded to Caa2 (sf) Cl. X-1*, Affirmed C (sf); previously on Mar 2, 2018 Affirmed C (sf) * Reflects Interest Only Classes RATINGS RATIONALE The rating on one principal and interest (P&I) class, Cl. A-J, was upgraded due to the class' significant paydowns as well as the increase in the transaction's share of defeasance. Defeasance has increased to 29% of the current pool balance from 12% at the last review and Class AJ has paid down 92% from its original balance. The rating on Cl. B was downgraded due to realized losses from previously liquidated loans. Class B has already experienced a 26% realized loss. The rating on the interest only (IO) class, Cl. X-1, was affirmed based on the credit quality of the referenced classes. Moody's rating action reflects a base expected loss of 3.7% of the current pooled balance, compared to 47.5% at Moody's last review. Moody's base expected loss plus realized losses is now 11.1% of the original pooled balance, compared to 11.0% 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 rating all classes except interest-only classes was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. The methodologies used in rating interest-only classes were "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017 and "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in February 2019. DEAL PERFORMANCE As of the August 12, 2019 distribution date, the transaction's aggregate certificate balance has decreased by 98% to $45.9 million from $2.17 billion at securitization. The certificates are collateralized by six mortgage loans. Two loans, constituting 29% 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 two, compared to a Herf of four at Moody's last review. Two loans, constituting 56% 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. Forty-seven loans have been liquidated from the pool, resulting in an aggregate realized loss of $239 million (for an average loss severity of 42%). Moody's received full year 2017 and 2018 operating results for 100% of the pool (excluding specially serviced and defeased loans). Moody's weighted average LTV for the four non-defeased loans is 106%. Moody's actual and stressed conduit DSCRs are 0.99X and 1.00X, respectively, compared to 1.13X and 1.06X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The top three non-defeased loans represent 68% of the pool balance. The largest loan is the Discovery Channel Building Loan ($24.2 million -- 52.8% of the pool), which is secured by a 148,530 square foot (SF) office property located in downtown Silver Spring, Maryland. The property is 100% leased to Discovery Communications, a mass media company, through March 2025. Discovery has ceased normal business operation at this property but continues to pay rent. The loan matures in July 2020 and has already amortized by 14% since securitization. Due to the single tenant exposure, Moody's value incorporates a dark/lit analysis. Moody's LTV and stressed DSCR are 120% and 0.83X, respectively, compared to 101% and 0.99X at the last review. The second largest loan is the Lewisville Town Center Loan ($4.6 million -- 10.1% of the pool), which is secured by a 47,698 SF retail center located in Lewistown, a suburb of Dallas-Fort Worth, Texas. The property is located in a major retail corridor. The largest tenants include JP Morgan Chase, Korner Café, and Batteries Plus Bulbs. As of March 2019, the property was 83% leased, up from 81% leased as of September 2017. The loan has amortized 25% since securitization and Moody's LTV and stressed DSCR are 73% and 1.28X, respectively, compared to 65% and 1.42X at the last review. The third largest loan is the Cypress Creek Retail Loan ($2.4 million -- 5.3% of the pool), which is secured by a retail property located in Cedar Park, Texas approximately 20 miles north of downtown Austin. The largest tenant, CVS, leases 57% of the NRA and has a lease through 2024. This loan is fully amortizing and has amortized 57% since securitization. Moody's LTV and stressed DSCR are 57% and 1.69X, respectively, compared to 76% and 1.28X at the last review. JP MORGAN 2019-FL12: S&P Assigns Prelim 'B' Rating to EYT3 Certs ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to J.P. Morgan Chase Commercial Mortgage Securities Trust 2019-FL12's $244.9 million (of which $158.3 million will be pooled) commercial mortgage pass-through certificates. The certificate issuance is backed by four floating-rate loans secured by the fee interest in the Ernst & Young Tower office building, the Hyatt Regency Indianapolis hotel, The Point at Las Colinas office building, and the Boston Marriott Quincy hotel. The preliminary ratings are based on information as of Sept. 18, 2019. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of the transaction's credit support provided by the transaction's structure, its view of the underlying collateral's economics, the trustee-provided liquidity, the collateral pool's relative diversity, and its overall qualitative assessment of the transaction. PRELIMINARY RATINGS ASSIGNED J.P. Morgan Chase Commercial Mortgage Securities Trust 2019-FL12 Class(i) Rating Amount ($) A A- (sf) 150,347,000 X(ii) A- (sf) 150,347,000(ii) EYT1(iii) BBB- (sf) 7,315,000 EYT2(iii) BB- (sf) 9,937,000 EYT3(iii) B (sf) 6,270,000 HRI1(iii) BBB- (sf) 8,113,000 HRI2(iii) BB- (sf) 12,882,000 HRI3(iii) B+ (sf) 4,275,000 BMQ1(iii) BBB- (sf) 6,992,000 BMQ2(iii) BB- (sf) 11,020,000 BMQ3(iii) B (sf) 6,270,000 PLC1(iii) BBB- (sf) 5,339,000 PLC2(iii) BB (sf) 3,895,000 VRR interest(iv) A- (sf) 7,913,000 VRR-EY(iii)(iv) B (sf) 1,238,000 VRR-HRI(iii)(iv) B+ (sf) 1,330,000 VRR-BMQ(iii)(iv) B (sf) 1,278,000 VRR-PLC(iii)(iv) BB (sf) 486,000 (i)The rating on each class of securities is preliminary and subject to change at any time. The certificates will be issued to qualified institutional buyers according to Rule 144A of the Securities Act of 1933. (ii)Interest-only class. Notional balance. (iii)Non-pooled loan-specific certificates. The class EYT1, EYT2, and EYT3 certificates are tied to the Ernst & Young Tower loan; the class HRI1, HRI2, and HRI3 certificates are tied to the Hyatt Regency Indianapolis loan; the class BMQ1, BMQ2, and BMQ3 certificates are tied to the Boston Marriott Quincy loan; and the class PLC1, and PLC2 certificates are tied to The Point at Las Colinas loan. (iv)Non-offered vertical risk retention certificates. NR--Not rated. JP MORGAN 2019-INV2: Fitch to Rate $7MM Cl. B-4 Notes 'BBsf' ------------------------------------------------------------ Fitch Ratings expects to rate J.P. Morgan Mortgage Trust 2019-INV2(JPMMT 2019-INV2) as follows: -- $426,282,000 class A-1 exchangeable notes 'AA+sf'; Outlook Stable; -- $387,520,000 class A-2 exchangeable notes 'AAAsf'; Outlook Stable; -- $251,888,000 class A-3 exchangeable notes 'AAAsf'; Outlook Stable; -- $188,916,000 class A-4 exchangeable notes 'AAAsf'; Outlook Stable; -- $62,972,000 class A-5 exchangeable notes 'AAAsf'; Outlook Stable; -- $157,274,000 class A-6 notes 'AAAsf'; Outlook Stable; -- $94,614,000 class A-7 exchangeable notes 'AAAsf'; Outlook Stable; -- $31,642,000 class A-8 notes 'AAAsf'; Outlook Stable; -- $43,943,000 class A-9 notes 'AAAsf'; Outlook Stable; -- $19,029,000 class A-10 notes 'AAAsf'; Outlook Stable; -- $135,632,000 class A-11 notes 'AAAsf'; Outlook Stable; -- $135,632,000 class A-11-X notional notes 'AAAsf'; Outlook Stable; -- $135,632,000 class A-12 exchangeable notes 'AAAsf'; Outlook Stable; -- $135,632,000 class A-13 exchangeable notes 'AAAsf'; Outlook Stable; -- $38,762,000 class A-14 exchangeable notes 'AA+sf'; Outlook Stable; -- $38,762,000 class A-15 notes 'AA+sf'; Outlook Stable; -- $277,083,300 class A-16 exchangeable notes 'AA+sf'; Outlook Stable; -- $149,198,700 class A-17 exchangeable notes 'AA+sf'; Outlook Stable; -- $426,282,000 class A-X-1 notional notes 'AA+sf'; Outlook Stable; -- $426,282,000 class A-X-2 notional exchangeable notes 'AA+sf'; Outlook Stable; -- $135,632,000 class A-X-3 notional exchangeable notes 'AAAsf'; Outlook Stable; -- $38,762,000 class A-X-4 notional notes 'AA+sf'; Outlook Stable; -- $18,166,000 class B-1 exchangeable notes 'AAsf'; Outlook Stable; -- $18,166,000 class B-1-A notes 'AAsf'; Outlook Stable; -- $18,166,000 class B-1-X notional notes 'AAsf'; Outlook Stable; -- $14,774,000 class B-2 exchangeable notes 'Asf'; Outlook Stable; -- $14,774,000 class B-2-A notes 'Asf'; Outlook Stable; -- $14,774,000 class B-2-X notional notes 'Asf'; Outlook Stable; -- $10,415,000 class B-3 exchangeable notes 'BBBsf'; Outlook Stable; -- $10,415,000 class B-3-A notes 'BBBsf'; Outlook Stable; -- $10,415,000 class B-3-X notional notes 'BBBsf'; Outlook Stable; -- $7,024,000 class B-4 notes 'BBsf'; Outlook Stable; -- $3,876,000 class B-5 notes 'Bsf'; Outlook Stable. Fitch will not be rating the following class: -- $3,875,316 class B-6 notes; TRANSACTION SUMMARY Fitch Ratings expects to rate the residential mortgage-backed certificates issued by J.P. Morgan Mortgage Trust 2019-INV2 (JPMMT 2019-INV2), as indicated. The transaction is JPMMT's second transaction in 2019 comprised solely of 100% investor loans that are underwritten to the borrower's credit risk. This transaction is expected to close on Sept. 27, 2019. The certificates are supported by 1176 prime-quality investor loans with a total balance of $484.41 million as of the cutoff date. 37% of the loans were originated by JPMorgan Chase Bank N.A. (JPMorgan Chase), 32% by Quicken Loans, 18% by United Shore Financial Services and the remaining various originators each contributed less than 10% to the transaction. KEY RATING DRIVERS High-Quality Mortgage Pool (Positive): The collateral consists of 30-year fixed rate fully amortizing loans, seasoned approximately four months in aggregate. Approximately 55% of the loans were originated through a retail channel. Although 100% of the borrowers in the pool are investors, the borrowers in this pool have strong credit profiles (769 Fitch Model FICO) and relatively low leverage (69.4% sLTV. 66.1% CLTV). 100% Investor Loans (Negative): 100% of the loans in the pool were made to investors, but are not investor cash flow loans (DSCR loans). The loans in the pool were underwritten to the borrower's credit risk unlike investor cashflow loans, which are underwritten to the property's income. Compared to owner occupied homes, Fitch views investor loans as risker and increases the PD by 50% and LS by 10% to reflect the additional risk compared to owner-occupied homes. As a result, the 'AAA' expected loss is 4.75% higher than a 100% owner-occupied pool with the same characteristics. 35% Multifamily (Negative): 35% of the loans in the pool are multifamily homes, which Fitch views as riskier than single-family homes, since the borrower may be relying on the rental income to pay the mortgage payment on the property. To account for this risk, Fitch adjusts the PD upwards by 25% from the baseline for multifamily homes. The 'AAA' expected loss is 0.5% higher than if these loans were single-family homes with the same characteristics. High Geographic Concentration (Negative): The pool's primary concentration is in California, representing 60% of the pool. Approximately 43% of the pool is located in the top three metropolitan statistical areas (MSAs): Los Angeles (24.4%), San Francisco (11.1%) and San Jose (7,5%). Given the pool's high regional concentration, the 'AAA' expected loss increased 0.47%. Low Operational Risk (Positive): Operational risk is well controlled for in this transaction. JP Morgan Chase has an extensive operating history in mortgage aggregations and is assessed by Fitch as an 'Above-Average' aggregator. The bank has a developed sourcing strategy and maintains strong internal controls that leverage the company's enterprise wide risk management framework. Approximately 50% of loans are serviced by Fitch-rated servicers and 50% of the loans are serviced by non-Fitch-rated servicers. Nationstar Mortgage, LLC, rated RMS2+, is the named master servicer for the transaction and is responsible for providing servicer oversight to account for non-reviewed entities. Fitch's 'AAAsf' loss expectations were reduced by 0.58% to reflect lower operational risks. Representation and Warranty Framework-Limited Automatic Review (Negative): The loan-level representations and warranties (R&Ws) are mostly consistent with a higher tier framework, but the framework has knowledge qualifiers without a clawback provision that ultimately contributed to its Tier 2 assessment. Fitch increased its loss expectations by 0.58% at the 'AAAsf' rating category to address the limitations of the framework and the non-investment-grade counterparty risk of the individual R&W providers. Third-Party Due Diligence (Positive): Third-party due diligence was performed on 100% of loans in the transaction by three different third-party review (TPR) firms; two firms are assessed by Fitch as 'Acceptable - Tier 1', while the remaining firm is assessed as 'Acceptable - Tier 2'. The review confirmed sound origination practices with no material exceptions. Loans with a final grade of 'B' were due to non-material exceptions that were mitigated with strong compensating factors. Fitch applied a credit to loans that received a full due diligence scope which reduced the 'AAAsf' loss expectation by 0.42%. 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. To mitigate tail risk, which arises as the pool seasons and fewer loans are outstanding, a subordination floor of 1.20% of the original balance will be maintained for senior certificates and a subordination floor of 0.8% of the original balance will be maintained for the subordinate certificates. RATING SENSITIVITIES Fitch's analysis incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or may be considered in the surveillance of the transaction. Three sets of sensitivity analyses were conducted at the state and national levels to assess the effect of higher MVDs for the subject pool. This defined stress sensitivity analysis demonstrates how the ratings would react to steeper market value declines at the national level. The analysis assumes market value declines of 10%, 20% and 30%, in addition to the model-projected 5.2%. The defined rating sensitivities determine the stresses to MVDs that would reduce a rating by one full category, to non-investment grade and to 'CCCsf'. CRITERIA VARIATION Fitch's analysis incorporated three criteria variations to the "U.S. RMBS Rating Criteria." The first two variations relate to originator operational assessments. Per criteria, Fitch expects to have an outstanding operational assessment conducted within 12-18 months of securitization date on originators contributing over 15% of an RMBS transaction pool. While Fitch has reviewed both Quicken Loans and United Shore Financial Services in the past and was comfortable with their origination platform. Fitch was comfortable with Quicken Loans and United Shore contributing over 15% of the loans in this transaction primarily because JP Morgan is the aggregator and is assessed by Fitch as 'Above Average'. JP Morgan has an established loan sourcing strategy and strong internal controls that leverage its enterprise wide risk management framework. The aggregator also manages an internal due diligence team that reviews acquired loans in addition to leveraging independent TPR firms. In addition, 100% of the transaction pool received loan level due diligence from independent TPR firms that are assessed by Fitch as 'Acceptable - Tier 1' and 'Acceptable - Tier 2'. The results of the due diligence review confirmed sound origination processes with no indication of material defects. Both Quicken Loans and United Shore are large contributors to non-agency PLS RMBS with over $1.5 and $2 billion of production included in non-agency securitization since 2016, respectively. Performance of this production has been strong with minimal defaults, and the credit characteristics are similar to other prime loans included in non-agency PLS. Lastly, all loans in this transaction sourced from Quicken Loans and United Shore have been current since origination and have not exhibited any early payment defaults (EPDs). There was no rating impact due to these variations. The third variation relates to AVM values being used as a secondary valuation product. Per criteria, AVMs are not accepted as a secondary value to validate the original appraised property value. AVMs were used on approximately 15% of loans in the transaction pool (178 loans). The use of AVMs for this transaction does not materially increase credit risk as 88% of these loans received a high confidence score from ClearCapital. A sensitivity analysis was performed on the remaining 12% of loans with AVMs that did not have high confidence scores. The analysis treated these loans as not receiving due diligence credit in the model and the test did not increase Fitch's proposed credit enhancement. There was no rating impact due to this variation 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 Opus Capital Market Consultants (Opus), Clayton Services, and AMC Diligence, LLC. The third-party due diligence described in Form 15E focused on three areas: a compliance review; a credit review; and a valuation review; and was conducted on 100% of the loans in the pool. Fitch considered this information in its analysis and believes the overall results of the review generally reflected strong underwriting controls. Fitch received certifications indicating that the loan-level due diligence was conducted in accordance with its published standards for reviewing loans and in accordance with the independence standards outlined in its criteria. MCAP CMBS 2014-1: Fitch Affirms B Rating on Class G Debt -------------------------------------------------------- Fitch Ratings upgraded one class and affirmed six classes of MCAP CMBS Issuer Corporation's commercial mortgage pass-through certificates, series 2014-1. All currencies are denominated in Canadian dollars. MCAP CMBS Issuer Corpation 2014-1 Current Rating Prior Rating Class A LT AAAsf Affirmed; previously at AAAsf Class B LT AAAsf Upgrade; previously at AAsf Class C LT Asf Affirmed; previously at Asf Class D LT BBBsf Affirmed; previously at BBBsf Class E LT BBB-sf Affirmed; previously at BBB-sf Class F LT BBsf Affirmed; previously at BBsf Class G LT Bsf Affirmed; previously at Bsf KEY RATING DRIVERS Increased Credit Enhancement: The upgrade to class B and Rating Outlook revisions to classes C and G reflect increased credit enhancement from loan payoffs and continued scheduled amortization since Fitch's last rating action. As of the August 2019 distribution date, the pool's aggregate principal balance has paid down by 59.7% to $90.3 million from $224.0 million at issuance. Since Fitch's last rating action, 10 loans ($69.0 million) were repaid at or prior to their 2018 and 2019 scheduled maturity dates, including one specially serviced loan (1177 11 Avenue SW; $8.7 million), which was repaid in February 2019 without incurring any losses. The pool has a weighted average amortization term of 25.8 years, which represents faster amortization than U.S. conduit loans. There are no partial or full term, interest-only loans. Stable Performance and Loss Expectations: The ratings reflect strong Canadian commercial real estate loan performance, including a low delinquency rate and low historical losses of less than 0.1%, as well as positive loan attributes, such as short amortization schedules, recourse to the borrower and additional guarantors. Of the remaining pool, 70.8% of the loans feature full or partial recourse to the borrower and/or sponsors. Overall pool performance and loss expectations have remained stable since issuance. There are currently no specially serviced loans. With the exception of the three designated Fitch Loans of Concern (FLOCs; 17.3% of pool), the remainder of the pool continues to perform within Fitch's expectations at issuance. Fitch Loans of Concern: Fitch has designated three loans (17.3% of pool) as FLOCs. However, all of the FLOCs have full recourse to the sponsors, which helps to mitigate any significant losses. The largest FLOC, 1121 Centre Street NW (10.4% of pool), which is secured by a 62,843 sf office building located in Calgary, AB, was flagged due to a recent decline in occupancy. Property occupancy declined to 74.8% in December 2018 from 94.3% in February 2018 after the second largest tenant, BGC Engineering, which occupied nearly 20% of the property's total net rentable area (NRA), vacated in 2018 and prior to its September 2019 lease expiration. The loan is currently on the master servicer's watchlist for its upcoming scheduled maturity date in October 2019; the servicer indicated that a payoff statement was issued to the borrower in July, but no additional information regarding the loan's expected repayment has been provided. The loan carries a full recourse guarantee from the sponsor and borrower, Riaz Mamdani and Irrational Exuberance Corp, on a joint and several basis. The second FLOC, 3405 Kennedy Road (4%), is secured by a mixed-use retail/office property in Toronto, ON. The property was 100% leased to two tenants at the time of issuance, with one of the tenants, Alpha International Academy, occupying two spaces totaling 38.6% of the NRA on leases that have since expired in February and August 2018. According to the servicer, the borrower has not provided any rent rolls and only two years of financial statements (2017 and 2018) since issuance. The servicer-reported YE 2018 NOI debt service coverage ratio (DSCR) was 1.08x, compared with 1.17x at YE 2017. The loan is currently on the master servicer's watchlist for its upcoming scheduled maturity date in November 2019. The loan carries a full recourse guarantee from the sponsor, Joe Sum. The third FLOC, 1916 8th Street SW (2.9%), a multifamily property in Calgary, AB, was flagged due to declining occupancy and cash flow and low NOI DSCR. Rental income has declined in recent years due to the borrower proactively reducing rental rates in order to maintain a high occupancy. However, occupancy declined to 87.5% in March 2019 from 100% in June 2018. The servicer-reported NOI DSCR has remained below 1.00x since YE 2016, dropping to 0.90x at YE 2018 from 0.97x at both YE 2016 and YE 2017. The loan carries a full recourse guarantee from the sponsor, Dominick Veliko Shapko. The loan is currently on the master servicer's watchlist for low DSCR and its recent August 2019 maturity date. According to the servicer, the borrower is in the process of selling the property; the servicer expects to loan to be refinanced by Oct. 1, 2019. Upcoming Loan Maturities: Ten loans (81.6% of pool) are scheduled to mature through November 2019, with the remaining four loans (18.4%) scheduled to mature in 2024. Alternative Loss Considerations: Fitch's analysis included two additional sensitivity scenarios to further support the upgrade to class B and the Outlook revisions for classes C and G. In the first sensitivity scenario, Fitch applied potential outsized losses of 25% and 50% on the maturity balance of two FLOCs, 1121 Centre Street NW and 3405 Kennedy Road loans, respectively, given existing performance concerns and their upcoming loan maturities, while factoring in the expected repayment from seven non-FLOCs scheduled to mature by YE 2019. The second sensitivity scenario included further stresses to the probability of default, cap rate and NOI haircut applied to the performing loans in the pool. ADDITIONAL CONSIDERATIONS Pool Concentration: The pool is highly concentrated as only 14 of the original 32 loans remain. The largest loan, 8555 Woodbine Avenue & 3000 Highway 7, accounts for 26.1% of the pool and the top five loans account for 70.9% of the pool. RATING SENSITIVITIES The Rating Outlook on class C has been revised to Positive from Stable due to increased credit enhancement and expected continued paydown. An upgrade to class C is possible with continued stable to improved performance and/or further paydown from maturing loans in 2019. The Stable Rating Outlooks on all other classes reflect the relatively stable performance for the majority of the pool. Downgrades, although not likely, may occur if performance of the FLOCs deteriorate significantly. MORGAN STANLEY 2013-C8: Fitch Affirms Bsf Rating on Class F Certs ----------------------------------------------------------------- Fitch Ratings affirmed 12 classes of Morgan Stanley Bank of America Merrill Lynch Trust, commercial mortgage pass-through certificates, series 2013-C8. Fitch has issued a focus report on this transaction. The report provides a detailed and up-to-date perspective on key credit characteristics of the MSBAM 2013-C8 transaction and property-level performance of the related trust loans. MSBAM 2013-C8 Current Rating Prior Rating Class A-3 61761QAD5; LT AAAsf Affirmed; previously at AAAsf Class A-4 61761QAE3; LT AAAsf Affirmed; previously at AAAsf Class A-S 61761QAG8; LT AAAsf Affirmed; previously at AAAsf Class ASB 61761QAC7; LT AAAsf Affirmed; previously at AAAsf Class B 61761QAH6; LT AA-sf Affirmed; previously at AA-sf Class C 61761QAK9; LT A-sf Affirmed; previously at A-sf Class D 61761QAN3; LT BBB-sf Affirmed; previously at BBB-sf Class E 61761QAQ6; LT BBsf Affirmed; previously at BBsf Class F 61761QAS2; LT Bsf Affirmed; previously at Bsf Class PST 61761QAJ2; LT A-sf Affirmed; previously at A-sf Class X-A 61761QAF0; LT AAAsf Affirmed; previously at AAAsf Class X-B 61761QAL7; LT AA-sf Affirmed; previously at AA-sf KEY RATING DRIVERS Slight Increase in Loss Expectations: The rating affirmations reflect the generally stable performance of the majority of the pool. Current loss expectations are slightly higher than issuance due to the Fitch Loans of Concern (FLOCs) but are offset by increased credit enhancement from loan amortization and payoffs. Increased Credit Enhancement: As of the August 2019 distribution date, the pool's aggregate principal balance had been reduced by 22.9% to $877.9 million from $1.1 billion at issuance. Four loans totaling 9.7% of the pool balance are defeased. The pool's aggregate pool-level NOI for the non-defeased loans remains in line with prior-year reporting and is 9% above issuance. Two loans are in special servicing (2.1%). Alternative Loss Considerations: Fitch Ratings performed an additional sensitivity test on the Anderson Mall loan (2%). The sensitivity test assumed a 50% loss on this loan given its declining occupancy, low sales and tertiary market. The mall has a dark anchor tenant, due to Sears vacating in September 2018. The Negative Rating Outlook on class F partially reflects this analysis. Fitch Loans of Concern: Five loans totaling 8.4% of the pool balance are designated as FLOCs, including three of the top-20 loans. The largest FLOC is the 11451 Katy Freeway loan (2.3% of the pool), which is secured by a 117,261 sf suburban office property located in Houston, TX. Cash flow at the property has decreased since issuance, driven by an occupancy decline. As of June 2019, occupancy reported at 73% with a YE 2018 NOI debt service coverage ratio (DSCR) of 1.11x. The second largest FLOC is the Anderson Mall loan (2%), which is secured by a 316,561 sf portion of a 671,000 sf regional mall located in Anderson County, SC. The mall is anchored by Belk and Dillard's, which own their own improvements, and J.C. Penney, which is included as collateral. One anchor space has remained vacant since Sears closed in September 2018. As of June 2019, total mall occupancy was reported at 80%, down from 91% in June 2018. The NOI DSCR continued to decline yoy and was reported at 1.56x at YE 2018. In-line sales were reported at $260 psf for the TTM June 2019. The next largest FLOC is the One Concourse loan (1.56%), which is secured by a 110,167 sf suburban office property located in Fishers, IN. The loan transferred to special servicing in December 2018 for imminent monetary default. As of YE 2018, occupancy was reported at 58% with a NOI DSCR of 0.58x. Additional FLOCs include a hotel, mixed-use property, multifamily property and an office building. The loans have been designated as FLOCs due to occupancy declines, significant upcoming rollover concerns and low DSCRs. Additional Considerations Strong Credit Metrics: As of the August 2019 distribution, the pool's weighted average DSCR was 2.49x based on borrower reporting and the weighted average stressed debt yield was 11.9%. The weighted average Fitch stressed LTV is 79.4%. RATING SENSITIVITIES The Stable Rating Outlooks on all classes, except for class F, are due to the generally stable performance of the majority of the pool, continued amortization and sufficient credit enhancement relative to expected losses. Rating upgrades may occur with improved pool performance and additional paydown or defeasance. The Negative Rating Outlook on class F reflects the potential for a downgrade should the FLOCs continue to experience performance issues. Fitch's analysis includes an additional sensitivity stress related to concerns with the regional mall in Anderson, SC. Rating downgrades to the non-investment-grade classes are possible should this loan continue to underperform. NASSAU LTD 2019-II: Moody's Assigns Ba3 Rating on $20MM Cl. E Notes ------------------------------------------------------------------- Moody's Investors Service assigned ratings to eight classes of debt issued by Nassau 2019-II Ltd. Moody's rating action is as follows: US$198,000,000 Class AL Loans maturing in 2032 (the "Class AL Loans"), Assigned Aaa (sf) US$33,000,000 Class AN Senior Secured Floating Rate Notes due 2032 (the "Class AN Notes"), Assigned Aaa (sf) US$25,000,000 Class AF Senior Secured Fixed Rate Notes due 2032 (the "Class AF Notes"), Assigned Aaa (sf) US$20,000,000 Class BN Senior Secured Floating Rate Notes due 2032 (the "Class BN Notes"), Assigned Aa2 (sf) US$28,000,000 Class BF Senior Secured Fixed Rate Notes due 2032 (the "Class BF Notes"), Assigned Aa2 (sf) US$20,000,000 Class C Senior Secured Deferrable Floating Rate Notes due 2032 (the "Class C Notes"), Assigned A2 (sf) US$24,000,000 Class D Senior Secured Deferrable Floating Rate Notes due 2032 (the "Class D Notes"), Assigned Baa3 (sf) US$20,000,000 Class E Secured Deferrable Floating Rate Notes due 2032 (the "Class E Notes"), Assigned Ba3 (sf) The Class AL Loans, Class AN Notes, Class AF Notes, Class BN Notes, the Class BF Notes, the Class C Notes, the Class D Notes and the Class E Notes are referred to herein, collectively, as the "Rated Debt." 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. Nassau 2019-II Ltd. is a managed cash flow CLO. The issued debt will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of first lien senior secured loans, cash, and eligible investments, and up to 10% of the portfolio may consist of second lien loans and unsecured loans. The portfolio is approximately 80% ramped as of the closing date. NCC CLO Manager LLC will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Debt, 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 debt 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: 75 Weighted Average Rating Factor (WARF): 2893 Weighted Average Spread (WAS): 3.95% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 46.5% Weighted Average Life (WAL): 9 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in March 2019. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Debt is subject to uncertainty. The performance of the Rated Debt 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 Debt. NEW RESIDENTIAL 2019-NQM4: Fitch Assigns Class B-2 Certs 'Bsf' -------------------------------------------------------------- Fitch Ratings assigned final ratings to the residential mortgage-backed certificates issued by New Residential Mortgage Loan Trust 2019-NQM4. The notes are supported by 734 loans with a balance of $380.60 million as of the cutoff date. This is the fourth Fitch-rated non-qualified mortgages transaction in 2019 comprised of loans solely originated by NewRez LLC (NewRez), which was formerly known as New Penn Financial, LLC. The notes are secured mainly by non-qualified mortgages as defined by the Ability to Repay Rule. Approximately 76% of the loans in the pool are designated as NQM and the remaining 24% are investor properties and, thus, not subject to the ATR Rule. Initial credit enhancement for the class A-1 notes of 27.35% is higher than Fitch's 'AAAsf' rating stress loss of 21.00%. The additional initial CE is primarily driven by the pro rata principal distribution between the A-1, A-2 and A-3 notes, which will result in a significant reduction of the class A-1 subordination over time through principal payments to the A-2 and A-3. The 'AAAsf' for NRMLT 2019-NQM4 reflects the satisfactory operational review conducted by Fitch of the originator, 100% loan-level due diligence review with no material findings, a Tier 2 representation and warranty framework, and the transaction's structure. NRMLT 2019-NQM4 Current Rating Prior Rating Class A-1; LT AAAsf New Rating; previously at AAA(EXP)sf Class A-2; LT AAsf New Rating; previously at AA(EXP)sf Class A-3; LT Asf New Rating; previously at A(EXP)sf Class A-IO-S; LT NRsf New Rating; previously at NR(EXP)sf Class B-1; LT BBsf New Rating; previously at BB(EXP)sf Class B-2; LT Bsf New Rating; previously at B(EXP)sf Class B-3; LT NRsf New Rating; previously at NR(EXP)sf Class M-1; LT BBBsf New Rating; previously at BBB(EXP)sf Class XS-1; LT NRsf New Rating; previously at NR(EXP)sf Class XS-2; LT NRsf New Rating; previously at NR(EXP)sf KEY RATING DRIVERS Expanded Prime Credit Quality (Positive): The collateral consists mostly of 30-year fixed-rate (59%) and five-, seven- and 10-year adjustable-rate mortgage (ARM) loans (38%). Roughly 8% are either five-year, seven, or 10-year interest-only (IO) ARMs. The weighted average (WA) Fitch model credit score is 734 and the WA combined loan-to-value ratio (CLTV) is 74%. Alternative Income Documentation (Negative): Approximately 51% of the pool was to self-employed borrowers underwritten using bank statements to verify income (48% using 12 months of statements and 3% using 24 months). Roughly 12% were to self-employed borrowers underwritten to full documentation. Fitch views the use of bank statements as a less reliable method of calculating income than the traditional method of two years of tax returns. Fitch applied approximately a 1.5x penalty to its probability of default (PD) for these loans. This adjustment assumes slightly less relative risk than a pre-crisis "stated income" loan. Investor Loans (Negative): Approximately 24% of the pool comprises investment property loans, including 8.7% underwritten to a cash flow ratio rather than the borrower's debt-to-income ratio. Investor property loans exhibit higher PDs and higher loss severities (LS) than owner-occupied homes. The borrowers of the investor properties in the pool have strong credit profiles having a WA FICO of 745 and an original combined LTV of 69% (loans underwritten to the cash flow ratio have a WA FICO of 745 and an original combined LTV of 66%). Fitch increased the default probability by approximately 2.0x for the cash flow ratio loans (relative to a traditional income documentation investor loan) to account for the increased risk. Geographic Concentration (Negative): Almost 40% of the pool is concentrated in California with relatively low MSA concentration. The largest MSA concentration is in the New York MSA (22.4%), followed by the Los Angeles MSA (21.0%) and the Miami MSA (6.9%). The top three MSAs account for 50.3% of the pool. As a result, there was a 1.08x adjustment for geographic concentration. Low Operational Risk (Neutral): Operational risk is well controlled for in this transaction. NewRez, a wholly owned subsidiary of New Residential Investment Corp. (NRZ), contributed 100% of the loans in the securitization pool. NewRez employs robust sourcing and underwriting processes and is assessed by Fitch as an 'Average' originator. Fitch believes NRZ has solid RMBS experience despite its limited NQM issuance, and is an 'Acceptable' aggregator. Primary and master servicing functions will be performed by Shellpoint Mortgage Servicing (Shellpoint) and Nationstar Mortgage, LLC/Mr. Cooper rated 'RPS3+' and 'RMS2+', respectively. The issuer's retention of at least 5% of each class of bonds helps to ensure an alignment of interest between the issuer and investors. R&W Framework (Negative): The seller is providing loan-level representations (reps) and warranties (R&W) with respect to the loans in the trust. The R&W framework for this transaction is classified as a Tier 2 due to the lack of an automatic review for loans other than those with ATR realized losses. While the seller, NRZ Sponsor XIII LLC, is not rated by Fitch, its parent, NRZ, has an internal credit opinion from Fitch. Through an agreement, NRZ ensures that the seller will meet its obligations and remain financially viable. Fitch increased its loss expectations 78bps at the 'AAAsf' rating category to account for the limitations of the Tier 2 framework and the counterparty risk. Third-Party Due Diligence Review (Positive): Third-party due diligence was performed on 100% of loans in the transaction by AMC Diligence, LLC (AMC), an 'Acceptable - Tier 1' TPR. The results of the review confirm strong origination practices with no material exceptions. Exceptions on loans with 'B' grades either had strong mitigating factors or were mostly accounted for in Fitch's loan loss model. Fitch applied a credit for the high percentage of loan-level due diligence, which reduced the 'AAAsf' loss expectation by 0.55% Modified Sequential Payment Structure (Neutral): The structure distributes collected principal pro rata among the class A notes while shutting out the subordinate bonds from principal until all three classes are reduced to zero. To the extent that either the cumulative loss trigger event or the delinquency trigger event occurs in a given period, principal will be distributed sequentially to the class A-1, A-2 and A-3 bonds until they are reduced to zero. Servicer and Master Servicer: Shellpoint Mortgage Servicing (Shellpoint), rated 'RPS3+'/Stable, will be the primary servicer for the loans. Nationstar Mortgage, LLC (Nationstar/Mr. Cooper), rated 'RMS2+'/Stable, will act as master servicer. Delinquent principal and interest (P&I) advances required but not paid by Shellpoint will be paid by Nationstar, and if Nationstar is unable to advance, advances will be made by Citibank, N.A., the transaction's paying agent. The servicer will be responsible for advancing P&I for 180 days of delinquency. RATING SENSITIVITIES Fitch's analysis incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or may be considered in the surveillance of the transaction. Two sets of sensitivity analyses were conducted at the state and national levels to assess the effect of higher MVDs for the subject pool. This defined stress sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0%, and 30.0%, in addition to the model projected 3.9% at the base case. The analysis indicates that there is some potential rating migration with higher MVDs, compared with the model projection. Fitch also conducted sensitivities to determine the stresses to MVDs that would reduce a rating by one full category, to non-investment grade, and to 'CCCsf'. OCTAGON INVESTMENT 43: Moody's Rates $22MM Class E Notes Ba3(sf) ---------------------------------------------------------------- Moody's Investors Service assigned ratings to five classes of notes issued by Octagon Investment Partners 43, Ltd.. Moody's rating action is as follows: US$310,000,000 Class A-1 Senior Secured Floating Rate Notes due 2032 (the "Class A-1 Notes"), Definitive Rating Assigned Aaa (sf) US$55,000,000 Class B Senior Secured Floating Rate Notes due 2032 (the "Class B Notes"), Definitive Rating Assigned Aa2 (sf) US$27,250,000 Class C Secured Deferrable Floating Rate Notes due 2032 (the "Class C Notes"), Definitive Rating Assigned A2 (sf) US$30,750,000 Class D Secured Deferrable Floating Rate Notes due 2032 (the "Class D Notes"), Definitive Rating Assigned Baa3 (sf) US$22,000,000 Class E Secured Deferrable Floating Rate Notes due 2032 (the "Class E Notes"), Definitive Rating Assigned Ba3 (sf) The Class A-1 Notes, the Class B Notes, the Class C Notes, the Class D Notes and the Class E Notes are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE The 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. Octagon 43 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of first lien senior secured loans, cash, and eligible investments, and up to 10.0% of the portfolio may consist of second lien loans and unsecured loans. The portfolio is approximately 85% ramped as of the closing date. Octagon Credit Investors, 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 issued one class of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in March 2019. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $500,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 2775 Weighted Average Spread (WAS): 3.6% Weighted Average Spread (WAC): 6.5% Weighted Average Recovery Rate (WARR): 46% 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. OCTAGON INVESTMENT XIX: Moody's Cuts $7.5MM Cl. F Notes to B3 ------------------------------------------------------------- Moody's Investors Service downgraded the rating on the following notes issued by Octagon Investment Partners XIX, Ltd.: US$7,500,000 Class F Secured Deferrable Floating Rate Notes Due April 15, 2026, Downgraded to B3 (sf); previously on April 10, 2014 Definitive Rating Assigned B2 (sf) Octagon Investment Partners XIX, Ltd., issued in April 2014 and partially refinanced in March 2017 is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in April 2018. RATINGS RATIONALE The downgrade rating action on the Class F notes reflects the specific risks to the junior notes posed by credit deterioration and par loss observed in the underlying CLO portfolio. Based on Moody's calculations, the weighted average rating factor (WARF) is at 2741 compared to 2546 in December 2018 and is currently failing its trigger level of 2441. Furthermore, the over-collateralization ratio for the Class F has fallen to 105.11% versus the December 2018 level of 105.42%. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. In its base case, Moody's analyzed the collateral pool as having a performing par and principal proceeds balance of $314.9 million, defaulted par of $2.9 million, a weighted average default probability of 18.41% (implying a WARF of 2741), a weighted average recovery rate upon default of 47.20%, a diversity score of 56 and a weighted average spread of 3.36%. Methodology Used for the Rating Action The principal methodology used in this rating 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 Rating: 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 CLO manager's investment decisions and management of the transaction will also affect the performance of the rated notes. ROCKWALL CDO II: S&P Affirms BB+ (sf) Rating on Class B-2L Notes ---------------------------------------------------------------- S&P Global Ratings raised its ratings on the class A-3L and B-1L notes from Rockwall CDO II Ltd., a U.S. hybrid CLO. At the same time, S&P affirmed its 'BB+ (sf)' rating on the class B-2L notes from the same transaction. The rating actions follow S&P's review of the transaction's performance using data from the July 23, 2019, trustee report. The upgrades reflect the transaction's $197.96 million in collective paydowns to the class A-1LB, A-2L, and A-3L notes since S&P's August 2017 rating actions. These paydowns resulted in improved reported overcollateralization (O/C) ratios since the July 21, 2017, trustee report, which S&P used for its previous rating actions: -- The class A-3L O/C ratio improved to 363.87% from 135.03%. -- The class B-1L O/C ratio improved to 190.72% from 120.58%. -- The class B-2L O/C ratio improved to 144.55% from 112.96%. The collateral portfolio's credit quality has deteriorated since S&P's last rating actions, which resulted in a reduction in the portfolio's weighted average rating. The concentration of trustee-reported 'CCC' obligations as a percentage of the aggregate par amount has increased, with 7.27% reported as of the July 23, 2019, trustee report, compared with 6.09% reported as of the July 21, 2017, trustee report. Over the same period, nonperforming obligations as a percentage of the aggregate par amount have increased to 20.30% from 11.35%. Despite the increase in 'CCC'-rated and defaulted collateral, the transaction has benefited from the paydowns and drop in the weighted average life due to the underlying collateral's seasoning. On a standalone basis, the results of the cash flow analysis indicated a higher rating on the class B-1L and B-2L notes. However, because the transaction has now become increasingly concentrated with only 20 remaining performing unique obligors, there has been a reduction in the portfolio's weighted average rating, and exposure to 'CCC'-rated and defaulted collateral obligations has increased, S&P limited its upgrades on class B-1L and affirmed its ratings on class B-2L in order to maintain rating cushion and to offset any future potential credit migration and concentration in the underlying collateral. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the aforementioned trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions." "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 will take rating actions as we deem necessary." RATINGS RAISED Rockwall CDO II Ltd. Rating Class To From A-3L AAA (sf) AA+ (sf) B-1L A+ (sf) BBB+ (sf) RATING AFFIRMED Rockwall CDO II Ltd. Class Rating B-2L BB+ (sf) THL CREDIT II: Moody's Assigns Ba3 Rating on $21MM Cl. E Notes -------------------------------------------------------------- Moody's Investors Service assigned ratings to five classes of notes issued by THL Credit Lake Shore MM CLO II, Ltd. Moody's rating action is as follows US$168,000,000 Class A-1 Senior Secured Floating Rate Notes due 2031 (the "Class A-1 Notes"), Assigned Aaa (sf) US$20,000,000 Class B Senior Secured Floating Rate Notes due 2031 (the "Class B Notes"), Assigned Aa2 (sf) US$24,000,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class C Notes"), Assigned A2 (sf) US$19,500,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class D Notes"), Assigned Baa3 (sf) US$21,000,000 Class E Junior Secured Deferrable Floating Rate Notes due 2031 (the "Class E Notes"), Assigned Ba3 (sf) The Class A-1 Notes, the Class B Notes, the Class C Notes, the Class D Notes and the Class E Notes are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE The 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. THL Credit MM II is a managed cash flow CLO. The issued notes will be collateralized primarily by small and medium enterprise loans. At least 96.75% of the portfolio must consist of senior secured loans and eligible investments, and up to 3.25% of the portfolio may consist of collateral obligations other than senior secured loans and eligible investments. The portfolio is approximately 80% ramped as of the closing date. THL Credit Advisors EU LLC will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's four year reinvestment period. Thereafter, the Manager may not reinvest in new assets and all principal proceeds, including sale proceeds, will be used to amortize the notes in accordance with the priority of payments. In addition to the Rated Notes, the Issuer issued Class A-2 Notes and subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in March 2019. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $300,000,000 Diversity Score: 40 Weighted Average Rating Factor (WARF): 3450 Weighted Average Spread (WAS): 4.70% Weighted Average Coupon (WAC): 7.50% Weighted Average Recovery Rate (WARR): 44.25% Weighted Average Life (WAL): 8.08 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. The CLO permits the manager to determine RiskCalc-derived rating factors, based on modifications to certain pre-qualifying conditions applicable to the use of RiskCalc, for obligors temporarily ineligible to receive Moody's credit estimates. Such determinations are limited to a small portion of the portfolio. Its rating analysis included a stress scenario in which Moody's assumed a rating factor commensurate with a Caa2 rating for such obligors. 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. TICP CLO XIV: S&P Rates $14MM Class D Notes 'BB- (sf)' ------------------------------------------------------ S&P Global Ratings assigned its ratings to TICP CLO XIV Ltd./TICP CLO XIV LLC's floating-rate notes. The note issuance is a CLO transaction backed primarily by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. The ratings reflect: -- The diversified collateral pool, which consists primarily of broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. RATINGS ASSIGNED TICP CLO XIV Ltd./TICP CLO XIV LLC Class Rating Amount (mil. $) A-1a AAA (sf) 248.00 A-1b NR 6.40 A-2 AA (sf) 49.60 B (deferrable) A (sf) 24.00 C (deferrable) BBB- (sf) 24.00 D (deferrable) BB- (sf) 14.00 Subordinated notes NR 36.35 NR--Not rated. [*] S&P Cuts Ratings on 4 Classes from 3 U.S. CMBS Deals to 'D(sf)' ------------------------------------------------------------------- S&P Global Ratings lowered its ratings on four classes of commercial mortgage pass-through certificates from three U.S. CMBS transactions to 'D (sf)' and then subsequently withdrew the ratings because the principal balances of these classes were reduced to zero. The downgrades reflect principal losses on the affected bonds as detailed in the transactions' respective August 2019 trustee remittance reports. The following are brief descriptions of the individual transactions and the resulting rating actions. According to the August 2019 trustee remittance report, the class E and F certificates from TRU Trust 2016-TOYS experienced $105.8 million in principal losses. This is due primarily to the liquidation of the sole underlying mortgage loan. Consequently, classes E and F experienced a loss of $43.0 million and $62.9 million, respectively. According to the August 2019 trustee remittance report, the class PHW2 certificate from J.P. Morgan Chase Commercial Mortgage Securities Trust 2014-FL6 experienced $3,005 in principal losses. This is due primarily to the payment of accrual interest shortfalls on the corresponding class. Consequently, class PHW2 experienced a 0.05% loss of its original bond balance. Based on the priority of payments stated in the transaction documents, interest accrued, along with previous interest shortfalls on the class PHW2 is repaid before principal. The Park Hyatt Washington DC loan was repaid in full in August 2019. According to the August 2019 trustee remittance report, the class F certificate from BBCMS Trust 2014-BXO experienced $33,482 in principal losses. This is due primarily to the payment of accrual interest shortfalls on the corresponding class. Consequently, class F experienced a 0.08% loss of its original bond balance. Based on the priority of payments stated in the transaction documents, interest accrued, along with previous interest shortfalls on the class is repaid before principal. The sole remaining loan in the transaction, Blackstone Office Portfolio loan, was repaid in full in August 2019. RATINGS LOWERED AND SUBSEQUENTLY WITHDRAWN TRU Trust 2016-TOYS Commercial mortgage pass-through certificates series Rating Class To Interim From E NR D (sf) CCC- (sf) F NR D (sf) CCC- (sf) J.P. Morgan Chase Commercial Mortgage Securities Trust 2014-FL6 Commercial mortgage pass-through certificates series Rating Class To Interim From PHW2 NR D (sf) B (sf) BBCMS Trust 2014-BXO Commercial mortgage pass-through certificates series Rating Class To Interim From F NR D (sf) B- (sf) [*] S&P Takes Various Actions on 121 Classes From 22 US RMBS Deals ------------------------------------------------------------------ S&P Global Ratings completed its review of 121 classes from 22 U.S. RMBS transactions issued between 2002 and 2005. All of these transactions are backed by Alternative-A and negative amortization collateral types. The review yielded 11 upgrades, five downgrades, 88 affirmations, four discontinuances, and 13 withdrawals. ANALYTICAL CONSIDERATIONS S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by its projected cash flows. These considerations are based on transaction-specific performance or structural characteristics (or both) and their potential effects on certain classes. Some of these considerations may include: -- Collateral performance or delinquency trends, -- Available subordination and/or overcollateralization, -- Erosion of or increases in credit support, -- Interest-only criteria, -- Principal-only criteria, and -- Small loan count RATING ACTIONS S&P said, "The rating changes reflect our opinion regarding the associated transaction-specific collateral performance and/or structural characteristics, as well as the application of specific criteria applicable to these classes. See the ratings list below for the specific rationales associated with the classes with rating transitions." "The affirmations reflect our opinion that our projected credit support and collateral performance on these classes have remained relatively consistent with our prior projections." "We withdrew our ratings on 11 classes from seven transactions due to the small number of loans remaining and the percentage of modified loans remaining on the related structure. Once a pool has declined to a de minimis amount, we believe there is a high degree of credit instability that is incompatible with any rating level." "The withdrawn ratings include our rating on class A-6A from Deutsche Alt-A Securities Inc. Mortgage Loan Trust Series 2003-4XS, which is insured by a bond insurer that we no longer rate. The withdrawal reflects the absence of relevant information regarding the insurers' creditworthiness that is needed to maintain a rating on this class. To date, there is a current draw amount on the insurance policy. Additionally, the rating on this class depends solely on whether the insurer continues to make payments when required, and we do not have the relevant information to make such a determination." A list of Affected Ratings can be viewed at: https://bit.ly/2mnSqEj [*] S&P Takes Various Actions on 32 Classes From Six U.S. CLO Deals ------------------------------------------------------------------- S&P Global Ratings took various rating actions on 32 classes of notes from six U.S. cash flow collateralized loan obligation (CLO) transactions. S&P said, "After publishing our updated global corporate CLO criteria, Global Methodology And Assumptions For CLOs And Corporate CDOs, on June 21, 2019, we placed certain ratings that could be affected under criteria observation (UCO). Following our review, our ratings on these classes are no longer under criteria observation and the UCO identifiers were removed." "The rating actions follow the application of our global corporate CLO criteria and our credit and cash flow analysis of each transaction, based on their respective trustee report. While our analysis of the transactions entailed a review of their performance (the ratings list table below discloses key performance metrics behind specific rating changes), in many cases our rating decisions also resulted from the application of our new criteria." The transactions are all in their amortization periods and the senior note balances have declined as they received paydowns. The lower balance of the notes typically increased the overcollateralization (O/C) levels, which is one of the primary reasons for the upgrades. S&P incorporates various considerations into its decisions to raise, lower, affirm, or limit the 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: -- Risk of imminent default, -- Ability to withstand steady state scenario or require a favorable state scenario, -- Exposure to assets in the 'CCC' rating category, -- Existing subordination or overcollateralization and recent trends, -- Cushion available for coverage ratios and comparative analysis with other CLO tranches with similar ratings, -- Exposure to assets in stressed industries and/or stressed market values, and -- Additional sensitivity runs to account for any of the above. The affirmations indicate S&P's opinion that the current enhancement available to those classes is commensurate with their current ratings. The downgrades are primarily due to a decline in each tranche's credit support at the previous rating level. This decline typically arises due to various reasons such as par losses, deterioration in the quality of the assets, or pay-off of higher rated assets that increase the transaction's exposure to lower quality assets, haircuts to the O/C tests, or a combination of such factors. The rating lowered to the 'CCC (sf)' category reflects S&P's view that the credit enhancement has deteriorated such that the class is vulnerable to and dependent on favorable market conditions. S&P said, "The ratings on the some classes were constrained by the application of the largest obligor default test, a supplemental stress test included as part of our corporate collateralized debt obligation criteria." "Our review of these transactions included a cash flow analysis, based on the portfolio and transaction as reflected in the aforementioned trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transactions ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis and other qualitative factors, as applicable, demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions." "We will continue to review whether the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." The list of Affected Ratings can be viewed at: https://bit.ly/2kNQHrt ********* 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. Assets, for example, reported at historical cost net of depreciation may understate the true value of a firm's assets. A company may establish reserves on its balance sheet for liabilities that may never materialize. The prices at which equity securities trade in public market are determined by more than a balance sheet solvency test. On Thursdays, the TCR delivers a list of recently filed Chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/books/to order any title today. Monthly Operating Reports are summarized in every Saturday edition of the TCR. 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. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. The TCR subscription rate is $975 for 6 months delivered via e-mail. Additional e-mail subscriptions for members of the same firm for the term of the initial subscription or balance thereof are $25 each. For subscription information, contact Peter A. Chapman at 215-945-7000. *** End of Transmission ***