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Rating Action:

Moody's upgrades one, affirms two and downgrades one class of MLMI 1998-C1-CTL

02 Aug 2019

Approximately $15.2 million of structured securities affected

New York, August 02, 2019 -- Moody's Investors Service ("Moody's") has upgraded the rating on one class, affirmed the ratings on two classes, and downgraded the rating on one interest-only class in Merrill Lynch Mortgage Investors, Inc.,1998-C1-CTL, Mortgage Pass-Through Certificates, Series 1998-C1-CTL as follows:

Cl. A-PO, Affirmed Aaa (sf); previously on Aug 9, 2018 Affirmed Aaa (sf)

Cl. D, Affirmed Aaa (sf); previously on Aug 9, 2018 Affirmed Aaa (sf)

Cl. E, Upgraded to Aaa (sf); previously on Aug 9, 2018 Upgraded to Aa3 (sf)

Cl. IO*, Downgraded to Caa3 (sf); previously on Aug 9, 2018 Affirmed Caa2 (sf)

* Reflects Interest Only class

RATINGS RATIONALE

The rating on the Cl. E was upgraded due to an increase in credit support resulting from significant paydowns and loans amortization since the last review. The pool has paid down 35% since the prior review and defeasance now fully covers the class's outstanding balance.

The ratings on Cl. A-PO and Cl. D were affirmed due to the sufficiency of the credit support levels and the transaction's key metric, the weighted average rating factor (WARF), being within an acceptable range. Furthermore, these classes are both fully covered by defeasance.

The rating on the IO class, Cl. IO, was downgraded due to the decline in the credit quality of its reference classes resulting from principal paydowns of higher quality reference classes.

FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:

The ratings of Credit Tenant Lease (CTL) deals are primarily based on the senior unsecured debt rating (or the corporate family rating) of the tenants leasing the real estate collateral supporting the bonds. Other factors that are also considered are Moody's dark value of the collateral (value based on the property being vacant or dark), which is used to determine a recovery rate upon a loan's default and the rating of the residual insurance provider, if applicable. Factors that may cause an upgrade of the ratings include an upgrade in the rating of the corporate tenant or significant loan paydowns or amortization which results in a lower loan to dark value ratio. Factors that may cause a downgrade of the ratings include a downgrade in the rating of the corporate tenant or the residual insurance provider.

METHODOLOGY UNDERLYING THE RATING ACTION

The principal methodology used in ratings all classes except interest-only class was " Moody's Approach to Rating Credit Tenant Lease and Comparable Lease Financings " published in November 2018. The methodologies used in rating interest-only class were " Moody's Approach to Rating Credit Tenant Lease and Comparable Lease Financings " published in November 2018 and "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in February 2019. Please see the list of ratings at the top of this announcement to identify which class is interest-only (indicated by the *). Please see the Rating Methodologies page on www.moodys.com for a copy of these methodologies

DEAL PERFORMANCE

As of the July 16, 2019 distribution date, the transaction's aggregate certificate balance has decreased by 91% to $54.2 million from $630 million at securitization. The Certificates are collateralized by 60 mortgage loans ranging in size from less than 1% to 19% of the pool. Forty five of the loans are CTL loans secured by properties leased to five corporate credits. Fifteen loans, representing 30% of the pool, have defeased and are collateralized with U.S. Government securities.

Fourteen loans, constituting 11.7% of the pool, is on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance.

There are no loans currently in special servicing. Twenty-one loans have been liquidated from the pool, resulting in an aggregate realized loss of $35 million (for an average loss severity of 56%).

The pool's largest non-defeased exposures are: Rite Aid Corporation ($23.1 million -- 42.7% of the pool; senior unsecured rating: Caa1/Caa2 -- negative outlook), Georgia Power Company ($10.4 million -- 19.2% of the pool; senior unsecured rating: Baa1 -- stable outlook), and Kroger Co. (The) ($4.1 million -- 7.5% of the pool; senior unsecured rating: Baa1 -- stable outlook). The bottom-dollar WARF for this pool is 2871. WARF is a measure of the overall quality of a pool of diverse credits. The bottom-dollar WARF is a measure of default probability.

REGULATORY DISCLOSURES

For further specification of Moody's key rating assumptions and sensitivity analysis, see the sections Methodology Assumptions and Sensitivity to Assumptions of the disclosure form.

In rating this transaction, Moody's CDOROM™ is used to model the expected loss for each tranche. Moody's CDOROM™ is a Monte Carlo simulation tool which takes each underlying asset default probability as input. Each underlying asset default behavior is then modeled individually with a standard multi-factor model incorporating both intra- and inter-industry correlation. The correlation structure is based on a Gaussian copula. Each Monte Carlo scenario simulates defaults and if applicable, recovery rates, to derive losses on a portfolio. For a synthetic transaction, the model then allocates losses to the tranches in reverse order of priority to derive the loss on the tranches. By repeating this process and averaging over the number of simulations, Moody's can derive the expected loss on the tranches. For a cash transaction, the portfolio loss, or default, distribution produced by Moody's CDOROM™ may be input into a separate cash flow model in accordance with its priority of payment to determine each tranche's expected loss.

Moody's did not use any stress scenario simulations in its analysis.

For ratings issued on a program, series, category/class of debt or security this announcement provides certain regulatory disclosures in relation to each rating of a subsequently issued bond or note of the same series, category/class of debt, security or pursuant to a program for which the ratings are derived exclusively from existing ratings in accordance with Moody's rating practices. For ratings issued on a support provider, this announcement provides certain regulatory disclosures in relation to the credit rating action on the support provider and in relation to each particular credit rating action for securities that derive their credit ratings from the support provider's credit rating. For provisional ratings, this announcement provides certain regulatory disclosures in relation to the provisional rating assigned, and in relation to a definitive rating that may be assigned subsequent to the final issuance of the debt, in each case where the transaction structure and terms have not changed prior to the assignment of the definitive rating in a manner that would have affected the rating. For further information please see the ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.

For any affected securities or rated entities receiving direct credit support from the primary entity(ies) of this credit rating action, and whose ratings may change as a result of this credit rating action, the associated regulatory disclosures will be those of the guarantor entity. Exceptions to this approach exist for the following disclosures, if applicable to jurisdiction: Ancillary Services, Disclosure to rated entity, Disclosure from rated entity.

Regulatory disclosures contained in this press release apply to the credit rating and, if applicable, the related rating outlook or rating review.

Please see www.moodys.com for any updates on changes to the lead rating analyst and to the Moody's legal entity that has issued the rating.

Please see the ratings tab on the issuer/entity page on www.moodys.com for additional regulatory disclosures for each credit rating.

Dariusz Surmacz
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653

Matthew Halpern
VP-Sr Credit Officer
Structured Finance Group
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653

Releasing Office:
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653

No Related Data.
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