/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/160508.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, May 8, 2016, Vol. 20, No. 129 Headlines BLACK DIAMOND 2016-1: S&P Assigns Prelim. BB- Rating on Cl. D Debt CANTOR COMMERCIAL 2016-C4: Fitch Expects to Rate Cl. F Cert. 'B- CHEVY CHASE 2005-B: Moody's Hikes 3 Tranches Rating to Ca CITIGROUP COMMERCIAL 2016-GC37: Fitch Rates Cl. E Certs 'BB-' COMM 2013-CCRE8: Moody's Affirms Ba2(sf) Rating on Class E Debt CRANBERRY RE LIMITED: Fitch Affirms B Rating on $300MM 2018 Notes CREDIT SUISSE 2007-C3: Moody's Affirms Ba1 Rating on Cl. A-M Debt CVS CREDIT: Moody's Affirms Ba1(sf) Rating on Cl. Series A-2 Debt FRANKLIN CLO VI: Moody's Cuts Class E Debt Rating to B1(sf) FREDDIE MAC 2016-DNA2: Moody's Gives (P)Ba2 Rating to Cl. M-3A Debt GALAXY XIV CLO: S&P Affirms BB Rating on Class E Notes GMAC COMMERCIAL 2003-C3: Moody's Affirms Ca Rating on Cl. L Debt JP MORGAN 2003-C1: Moody's Hikes Class F Debt Rating to Ba1(sf) JP MORGAN 2006-LDP9: Fitch Raises Rating on 2 Tranches to 'Bsf' JPMBB COMMERCIAL 2013-C12: Moody's Affirms B2 Rating on Cl. F Debt ML-CFC COMMERCIAL 2007-8: S&P Affirms BB Rating on AM Certificate MORGAN STANLEY 2005-HE3: Moody's Hikes Cl. M-5 Debt Rating to B2 MORGAN STANLEY 2013-C10: Fitch Affirms BB- Rating on Cl. G Certs NEUBERGER BERMAN XIII: S&P Affirms B+ Rating on Class F Notes SDART 2016-2: Moody's Gives (P)Ba3 Rating on Class E Debt WACHOVIA BANK 2006-C28: Moody's Hikes Cl. A-J Certs Rating to B1 WELLS FARGO 2013-LC12: Fitch Affirms 'Bsf' Rating on Cl. F Certs WFRBS COMMERCIAL 2011-C4: Moody's Affirms Ba3 Rating on X-B Debt WFRBS COMMERCIAL 2012-C7: Moody's Affirms B2 Rating on Cl. G Debt [*] Institutional Loan Market Defaults Surpass $1BB, Fitch Says [*] Moody's Takes Action on $9.6MM FHA/VA RMBS Issued 1999-2005 [*] S&P Takes Rating Actions on 20 RMBS & RMBS Re-REMIC Deals [*] S&P Takes Rating Actions on 20 RMBS and RMBS Re-REMIC Deals [*] S&P Takes Rating Actions on 63 U.S. RMBS 2nd Lien Deals ********* BLACK DIAMOND 2016-1: S&P Assigns Prelim. BB- Rating on Cl. D Debt ------------------------------------------------------------------ Standard & Poor's Ratings Services assigned its preliminary ratings to Black Diamond CLO 2016-1 Ltd./ Black Diamond CLO 2016-1 LLC's $321.3 million fixed and floating-rate notes. The note issuance is a CLO securitization backed by a revolving pool consisting primarily of broadly syndicated senior secured loans. The preliminary ratings are based on information as of April 27, 2016. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's assessment of: -- The credit enhancement provided to the preliminary rated notes through the subordination of cash flows that are payable to the subordinated notes. -- The transaction's credit enhancement, which is sufficient to withstand the defaults applicable for the supplemental tests (not counting excess spread), and cash flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by using the assumptions and methods outlined in Standard & Poor's corporate collateralized debt obligation (CDO) criteria. -- The transaction's legal structure, which is expected to be bankruptcy remote. -- The diversified collateral portfolio, which primarily comprises broadly syndicated speculative-grade senior secured term loans. -- The collateral manager's experienced management team. -- S&P's projections regarding the timely interest and ultimate principal payments on the preliminary rated notes, which S&P assessed using its cash flow analysis and assumptions commensurate with the assigned preliminary ratings under various interest-rate scenarios, including LIBOR ranging from 0.3439%-12.8655%. The transaction's overcollateralization and interest coverage tests, a failure of which will lead to the diversion of interest and principal proceeds to reduce the balance of the rated notes outstanding. -- The transaction's interest diversion test, a failure of which will lead to the reclassification of up to 50% of the excess interest proceeds that are available (before paying uncapped administrative expenses, the supplemental reserve account, subordinated and incentive collateral management fees, and subordinated note payments) as principal proceeds to purchase additional collateral obligations during the reinvestment period. PRELIMINARY RATINGS ASSIGNED Black Diamond CLO 2016-1 Ltd./Black Diamond CLO 2016-1 LLC Preliminary Preliminary Class rating amount (mil. $) A-1A AAA (sf) 193.50 A-1B AAA (sf) 20.00 A-2 AA (sf) 49.00 B A (sf) 27.50 C BBB- (sf) 15.40 D BB- (sf) 15.90 Sub notes NR 38.80 NR--Not rated. CANTOR COMMERCIAL 2016-C4: Fitch Expects to Rate Cl. F Cert. 'B- ---------------------------------------------------------------- Fitch Ratings has issued a presale report on the Cantor Commercial Real Estate CFCRE 2016-C4 Mortgage Trust Commercial Mortgage pass-through certificates. Fitch expects to rate the transaction and assign Rating Outlooks as: -- $32,507,800 class A-1 'AAAsf'; Outlook Stable; -- $24,787,000 class A-2 'AAAsf'; Outlook Stable; -- $46,464,000 class A-SB 'AAAsf'; Outlook Stable; -- $200,000,000 class A-3 'AAAsf'; Outlook Stable; -- $230,220,000 class A-4 'AAAsf'; Outlook Stable; -- $54,000,000 class A-HR 'AAAsf'; Outlook Stable; -- $596,975,000b class X-A 'AAAsf'; Outlook Stable; -- $54,000,000b class X-HR 'AAAsf'; Outlook Stable; -- $37,799,000b class X-B 'AA-sf'; Outlook Stable; -- $37,799,000b class X-C 'A-sf'; Outlook Stable; -- $62,997,000 class A-M 'AAAsf'; Outlook Stable; -- $37,799,000 class B 'AA-sf'; Outlook Stable; -- $37,799,000 class C 'A-sf'; Outlook Stable; -- $45,148,000ab class X-D 'BBB-sf'; Outlook Stable; -- $20,999,000ab class X-E 'BB-sf'; Outlook Stable; -- $9,450,000ab class X-F 'B-sf'; Outlook Stable; -- $45,148,000a class D 'BBB-sf'; Outlook Stable; -- $20,999,000a class E 'BB-sf'; Outlook Stable; -- $9,450,000a class F 'B-sf'; Outlook Stable. (a) Privately placed and pursuant to Rule 144A. (b) Notional amount and interest-only. The expected ratings are based on information provided by the issuer as of April 25, 2016. Fitch does not expect to rate these classes: -- $37,798,889 class X-G; -- $37,798,889 class G. The certificates represent the beneficial ownership interest in the trust, primary assets of which are 50 loans secured by 154 commercial properties having an aggregate principal balance of approximately $839.9 million as of the cutoff date. The loans were contributed to the trust by Cantor Commercial Real Estate Lending, L.P., Societe Generale and Benefit Street Partners CRE Finance LLC. Fitch reviewed a comprehensive sample of the transaction's collateral including site inspections on 66.9% of the properties by balance, cash flow analysis of 89.0%, and asset summary reviews on 89.0% of the pool. KEY RATING DRIVERS High Fitch Leverage: The pool has higher leverage statistics than other recent Fitch-rated, fixed-rate multiborrower transactions. The pool's Fitch DSCR of 1.12x is below the year-to-date (YTD) 2016 average of 1.17x and full-year 2015 average of 1.18x. The pool's Fitch LTV of 109.3% is above the YTD 2016 average of 107.9% and in line with the full-year 2015 average of 109.3%. Below-Average Amortization: The pool is scheduled to amortize by 11.6% of the initial pool balance prior to maturity, which is better than recent fixed-rate transactions and slightly worse than the 2015 average of 11.7%. Nine loans (30.2%) are full-term interest-only, and 12 loans (28.7%) are partial interest-only. Fitch-rated transactions YTD 2016 have an average full-term interest-only percentage of 31.3% and a partial interest-only percentage of 41.0%. Less Concentrated Pool: The largest 10 loans in the transaction compose 47.8% of the pool by balance. Compared to other Fitch-rated U.S. multiborrower deals, the concentration in this transaction is lower than the YTD 2016 and full-year 2015 average concentrations of 55.8% and 49.3%, respectively. The pool's concentration results in a loan concentration index (LCI) of 348, which is lower than the 2015 average of 367. RATING SENSITIVITIES For this transaction, Fitch's net cash flow (NCF) was 15.8% below the most recent year's net operating income (NOI; for properties for which a full-year NOI was provided, excluding properties that were stabilizing during this period). Unanticipated further declines in property-level NCF could result in higher defaults and loss severities on defaulted loans and in potential rating actions on the certificates. Fitch evaluated the sensitivity of the ratings assigned to CFCRE 2016-C4 certificates and found that the transaction displays average sensitivity 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 'BBB+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 pages 12-13. DUE DILIGENCE USAGE Fitch was provided with third-party due diligence information from Ernst & Young LLP. The third-party due diligence information was provided on Form ABS Due Diligence-15E and focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and the findings did not have an impact on the analysis. CHEVY CHASE 2005-B: Moody's Hikes 3 Tranches Rating to Ca --------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 8 tranches from one transaction, backed by Option ARM loans, issued by Chevy Chase. Complete rating actions are: Issuer: Chevy Chase Funding LLC, Mortgage-Backed Certificates, Series 2005-B Cl. A-1, Upgraded to Baa1 (sf); previously on Oct. 31, 2013, Upgraded to Baa3 (sf) Underlying Rating: Upgraded to Baa1 (sf); previously on Oct. 31, 2013, Upgraded to Baa3 (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. A-1I, Upgraded to Baa1 (sf); previously on Oct. 31, 2013, Upgraded to Baa3 (sf) Underlying Rating: Upgraded to Baa1 (sf); previously on Oct. 31, 2013, Upgraded to Baa3 (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. A-2, Upgraded to Baa1 (sf); previously on Oct. 31, 2013, Upgraded to Baa3 (sf) Cl. A-2I, Upgraded to Baa1 (sf); previously on Oct. 31, 2013, Upgraded to Baa3 (sf) Cl. A-NA, Upgraded to Baa1 (sf); previously on Oct. 31, 2013, Upgraded to Baa3 (sf) Underlying Rating: Upgraded to Baa1 (sf); previously on Oct. 31, 2013, Upgraded to Baa3 (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. B-1, Upgraded to Ca (sf); previously on Jan. 19, 2011, Downgraded to C (sf) Cl. B-1I, Upgraded to Ca (sf); previously on Jan. 19, 2011, Downgraded to C (sf) Cl. B-1NA, Upgraded to Ca (sf); previously on Jan. 19, 2011, Downgraded to C (sf) RATINGS RATIONALE The ratings upgraded are a result of the improving performance of the related pools and an increase in credit enhancement available to the bonds. The rating actions reflect the recent performance of the underlying pools and Moody's updated loss expectation on the pools. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in November 2013. 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 5.0% in March 2016 from 5.5% in March 2015. Moody's forecasts an unemployment central range of 4.5% to 5.5% for the 2016 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 2016. Lower increases than Moody's expects or decreases could lead to negative rating actions. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. A list of these actions including CUSIP identifiers may be found at: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF393237 A list of updated estimated transaction pool losses and bond recoveries are being posted on an ongoing basis for the duration of this review period and may be found at: Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF225686 CITIGROUP COMMERCIAL 2016-GC37: Fitch Rates Cl. E Certs 'BB-' ------------------------------------------------------------- Fitch Ratings has assigned these ratings and Rating Outlooks to Citigroup Commercial Mortgage Trust (CGCMT) 2016-GC37 Commercial Mortgage Pass-Through Certificates: -- $21,993,000 class A-1 'AAAsf'; Outlook Stable; -- $19,474,000 class A-2 'AAAsf'; Outlook Stable; -- $175,000,000 class A-3 'AAAsf'; Outlook Stable; -- $227,379,000 class A-4 'AAAsf'; Outlook Stable; -- $42,462,000 class A-AB 'AAAsf'; Outlook Stable; -- $526,255,000a class X-A 'AAAsf'; Outlook Stable; -- $33,868,000a class X-B 'AA-sf'; Outlook Stable; -- $39,947,000b class A-S 'AAAsf'; Outlook Stable; -- $33,868,000b class B 'AA-sf'; Outlook Stable; -- $106,814,000b class EC 'A-sf'; Outlook Stable; -- $32,999,000b class C 'A-sf'; Outlook Stable; -- $38,210,000c class D 'BBB-sf'; Outlook Stable; -- $38,210,000ac class X-D 'BBB-sf'; Outlook Stable; -- $19,105,000c class E 'BB-sf'; Outlook Stable; -- $7,816,000c class F 'B-sf'; Outlook Stable. (a) Notional amount and interest-only. (b) The class A-S, class B and class C certificates may be exchanged for class EC certificates, and class EC certificates may be exchanged for the class A-S, class B and class C certificates. (c) Privately placed and pursuant to Rule 144A. Fitch does not rate the $7,816,000 class G or the $28,657,724 class H. The certificates represent the beneficial ownership interest in the trust, primary assets of which are 54 loans secured by 64 commercial properties having an aggregate principal balance of approximately $697.4 million as of the cut-off date. The loans were contributed to the trust by Citigroup Global Markets Realty Corp., Rialto Mortgage Finance, LLC, The Bank of New York Mellon, Goldman Sachs Mortgage Company and RAIT Funding, LLC. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 76.4% of the properties by balance, cash flow analysis of 87.6%, and asset summary reviews on 100% of the pool. KEY RATING DRIVERS High Fitch Leverage: The pool has higher leverage statistics than other recent Fitch-rated transactions. The pool's weighted average (WA) Fitch debt service coverage ratio of 1.04x is below both the YTD 2016 average of 1.14x and the 2015 average of 1.18x. The pool's weighted average (WA) Fitch LTV of 115.3% is above both the YTD 2016 average of 108.7% and the 2015 average of 109.3%. High Pool Concentration: The largest 10 loans account for 56.1% of the pool by balance. This is in line with the YTD 2016 average of 56.2% and greater than the 2015 average of 49.3%. The pool's average concentration resulted in a loan concentration index (LCI) of 419, which is comparable to the YTD 2016 average of 430, but worse than the 2015 average of 367. Good Primary Market Exposure: Seven out of the top 10 properties totaling 39.7% of the pool are located in the central business districts of primary markets including New York, Denver, Los Angeles and Austin. Above-Average Hotel Exposure: There are six loans, representing 16.2% of the pool, that consist of hotel properties, plus a mixed-use building with a hotel component that makes up 5.7% of the pool. This is higher than the YTD 2016 average of 14.9% and the 2015 average hotel concentration of 17%. Hotels have the highest probability of default in Fitch's multiborrower CMBS model. RATING SENSITIVITIES For this transaction, Fitch's net cash flow (NCF) was 8.8% below the most recent year's net operating income (NOI; for properties for which a full-year NOI was provided, excluding properties that were stabilizing during this period). Unanticipated further declines in property-level NCF could result in higher defaults and loss severities on defaulted loans, and could result in potential rating actions on the certificates. Fitch evaluated the sensitivity of the ratings assigned to CGCMT 2016-GC37 certificates and found that the transaction displays average sensitivity to further declines in NCF. In a scenario in which NCF declined a further 20% from Fitch's NCF, a downgrade of the senior 'AAAsf' certificates to 'BBB+sf' could result. In a more severe scenario, in which NCF declined a further 30% from Fitch's NCF, a downgrade of the senior 'AAAsf' certificates to 'BBB-sf' could result. DUE DILIGENCE USAGE Fitch was provided with third-party due diligence information from Ernst & Young LLP. The third-party due diligence information was provided on Form ABS Due Diligence-15E and focused on a comparison and re-computation of certain characteristics with respect to each of the 54 mortgage loans. Fitch considered this information in its analysis and the findings did not have an impact on the analysis. COMM 2013-CCRE8: Moody's Affirms Ba2(sf) Rating on Class E Debt --------------------------------------------------------------- Moody's Investors Service affirmed the ratings of 16 classes in COMM 2013-CCRE8 Mortgage Trust as follows: Cl. A-1, Affirmed Aaa (sf); previously on May 1, 2015 Affirmed Aaa (sf) Cl. A-2, Affirmed Aaa (sf); previously on May 1, 2015 Affirmed Aaa (sf) Cl. A-SBFL, Affirmed Aaa (sf); previously on May 1, 2015 Affirmed Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on May 1, 2015 Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on May 1, 2015 Affirmed Aaa (sf) Cl. A-5, Affirmed Aaa (sf); previously on May 1, 2015 Affirmed Aaa (sf) Cl. A-M, Affirmed Aaa (sf); previously on May 1, 2015 Affirmed Aaa (sf) Cl. B, Affirmed Aa3 (sf); previously on May 1, 2015 Affirmed Aa3 (sf) Cl. C, Affirmed A3 (sf); previously on May 1, 2015 Affirmed A3 (sf) Cl. D, Affirmed Baa3 (sf); previously on May 1, 2015 Affirmed Baa3 (sf) Cl. E, Affirmed Ba2 (sf); previously on May 1, 2015 Affirmed Ba2 (sf) Cl. F, Affirmed B2 (sf); previously on May 1, 2015 Affirmed B2 (sf) Cl. X-A, Affirmed Aaa (sf); previously on May 1, 2015 Affirmed Aaa (sf) Cl. X-B, Affirmed Aa3 (sf); previously on May 1, 2015 Affirmed Aa3 (sf) Cl. X-C, Affirmed B3 (sf); previously on May 1, 2015 Affirmed B3 (sf) Cl. A-SBFX, Affirmed Aaa (sf); previously on May 1, 2015 Affirmed Aaa (sf) RATINGS RATIONALE The ratings on the P&I classes were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The ratings on the IO classes were affirmed because the credit performance (or the weighted average rating factor or WARF) of the referenced classes is consistent with Moody's expectations. Moody's rating action reflects a base expected loss of 2.7% of the current balance compared to 1.9% at Moody's last review. Moody's base expected loss plus realized losses is now 2.7% of the original pooled balance, compared to 1.9% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The methodologies used in these ratings were "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in December 2014, and "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in October 2015. DESCRIPTION OF MODELS USED Moody's review used the excel-based CMBS Conduit Model, which it uses for both conduit and fusion transactions. Credit enhancement levels for conduit loans are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate Moody's uses to estimate Moody's value). Moody's fuses the conduit results with the results of its analysis of investment grade structured credit assessed loans and any conduit loan that represents 10% or greater of the current pool balance. 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 19. When the Herf falls below 20, Moody's uses the excel-based Large Loan Model and then reconciles and weights the results from the conduit and large loan models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan-level proceeds derived from Moody's loan-level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type and sponsorship. Moody's also further adjusts these aggregated proceeds for any pooling benefits associated with loan level diversity and other concentrations and correlations. DEAL PERFORMANCE As of the April 12, 2016 distribution date, the transaction's aggregate certificate balance has decreased by 3% to $1.34 billion from $1.38 billion at securitization. The certificates are collateralized by 59 mortgage loans ranging in size from less than 1% to 16% of the pool, with the top ten loans (excluding defeasance) constituting 58% of the pool. Two loans, constituting 20% of the pool, have investment-grade structured credit assessments. Five loans, constituting 4% 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. Two loans, constituting 1% of the pool, are currently in special servicing. The largest specially serviced loan is the Georgetown MHC Portfolio ($9.9 million), which is secured by a 502-pad manufactured housing community in Georgetown, Kentucky, located just outside the city of Lexington. The loan transferred to special servicing in March 2014 due to delinquency. The property was 76% occupied as of December 2015, down from 81% in December 2014 and 97% at securitization. The loan is currently in foreclosure. The other loan in special servicing is a hotel property that is in a market primarily for the petroleum industry. Moody's analysis incorporates a modest loss for the specially serviced loans. Moody's received full year 2014 operating results for 96% of the pool, and full or partial year 2015 operating results for 67% of the pool. Moody's weighted average conduit LTV is 101%, compared to 103% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 5.6% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.5%. Moody's actual and stressed conduit DSCRs are 1.59X and 1.03X, respectively, compared to 1.59X and 1.01X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The largest loan with a structured credit assessment is the 375 Park Avenue Loan ($209 million -- 16% of the pool), which represents a participation interest in a $418 million senior mortgage loan. The loan is secured by the Seagram Building, a trophy, landmark office tower located in Midtown Manhattan. The property was 88% leased as of December 2015, the same as at last review. Reported recent new leasing increases percentage leased to 96%. The loan is also encumbered by a $364.8 million B note and $217.3 million of mezzanine debt. Moody's structured credit assessment and stressed DSCR are aaa and 1.64X, respectively. The second largest loan with a structured credit assessment is the Paramount Building Loan ($55 million -- 4% of the pool), which represents a participation interest in a $130 million mortgage loan. The loan is secured by a 31-story, Class A office property in the Times Square section of Midtown Manhattan. The property was originally constructed in 1926 and received a major overhaul in 2006. The property incudes ground floor retail space leased to national retail and restaurant tenants. Moody's structured credit assessment and stressed DSCR are aaa and 1.67X. The top three performing conduit loans represent 19% of the pool balance. The largest loan is the Moffett Towers Phase II Loan ($115 million -- 9% of the pool), which is secured by three, eight-story, Class A suburban office properties in Sunnyvale, California. The properties were 100% occupied as of December 2015, the same as at last review and compared to 91% at securitization. The two tenants occupying the property are the Hewlett-Packard Company and a subsidiary of Amazon.com, Inc. Moody's LTV and stressed DSCR are 107% and 0.94X, respectively, unchanged from the prior review. The second largest loan is the 175 Park Avenue Loan ($73 million -- 5% of the pool). The loan is secured by a 270,000 square foot, Class A, suburban office property in Madison, New Jersey. The property was originally built in 1971 and was extensively renovated into the headquarters office for Realogy Holdings Corporation, the real estate conglomerate. Realogy occupies 100% of the property under a lease set to expire in March 2030, six years after scheduled loan maturity. After an initial interest-only period, the loan is now amortizing. Moody's LTV and stressed DSCR are 100% and 1.03X, respectively, compared to 103% and 1.00X at the last review. The third largest loan is the Westin San Diego Loan ($67 million -- 5% of the pool). The loan is secured by a 27-story, 436-room, full service hotel property in downtown San Diego, California. The hotel property is part of a larger, mixed use development which contains non-collateral components, including condominium residences and offices. Moody's LTV and stressed DSCR are 94% and, 1.17X, respectively, compared to 96% and 1.15X at the last review. CRANBERRY RE LIMITED: Fitch Affirms B Rating on $300MM 2018 Notes ----------------------------------------------------------------- Fitch Ratings has affirmed at 'Bsf' the rating for the Principal At-Risk Variable Rate Notes issued by Cranberry Re Limited, a special purpose insurer vehicle in Bermuda as: -- $300,000,000 Principal At-Risk Variable Rate Notes; scheduled maturity July 6, 2018. The Rating Outlook is Stable. This affirmation is based on Fitch's annual surveillance review of the notes and includes an updated evaluation of the natural catastrophe risk, counterparty exposure, collateral assets and structural performance KEY RATING DRIVERS The notes are exposed to insured property losses caused by 'named storms', 'severe thunderstorms' and 'winter storms' on an annual aggregate basis using an indemnity trigger, from Subject Business written by the Massachusetts Property Insurance Underwriting Association (MPIUA, also known as the MA FAIR Plan). To date, there have been no reported Covered Events exceeding the Attachment Level of $300 million in the first Annual Risk Period of the transaction that extends from July 1, 2015 through June 30, 2016. On Feb. 1, 2016, AIR Worldwide (AIR), acting as the Reset Agent, completed the Reset Report that indicated an annual attachment probability of 3.152% for the second Annual Risk Period, July 1, 2016 through June 30, 2017. This corresponds to an implied rating of 'B' per the calibration table listed in Fitch's "Insurance-Linked Securities Methodology." The updated attachment probability reflects updated property exposures within the Subject Business in the Covered Area that have been run through the escrowed AIR model. This is a small increase over the initial attachment probability of 3.081%. The Updated Attachment Level and Updated Exhaustion Level remain unchanged from the prior levels at $300 million and $1.4 billion, respectively. Per a specified formula in the Indenture (Risk Spread Calculation), the Updated Risk Interest Spread will be reset to 3.86% effective July 1, 2016. This is a slight increase from the initial risk spread (3.80%) reflecting the increase in the Updated Modeled Expected Loss of 1.407% versus the initial expected loss of 1.377%. Hannover Rueck SE, a reinsurance company that acts as a transformer, sits between MPIUA and Cranberry Re. Hannover's Fitch Issuer Default Rating (IDR) was downgraded to 'A+' with a Stable Outlook on July 21, 2015. Hannover had an IDR of 'AA-' on the closing date of the notes. This downgrade did not affect the rating of the Cranberry Re Note as Fitch rates to the weakest link which is currently the implied rating of the catastrophe event. The collateral asset, the BlackRock Treasury Trust, meets Fitch's criteria requirement for a highly-rated U.S. money market fund. Fitch believes the notes and indirect counterparties are performing as required. There have been no reported early redemption notices or events of default, and all agents remain in place. RATING SENSITIVITIES This rating is sensitive to the occurrence of a qualifying event(s), MPIUA's election to reset the note's attachment level, changes in the data quality or purpose of MPIUA, the counterparty rating of Hannover Rueck SE and the rating on the assets held in the collateral account. If qualifying covered events occur that cause annual aggregate losses to exceed the Updated Attachment Level ($300 million), Fitch will downgrade the notes reflecting an effective default and issue a Recovery Rating. In the event of a reset election by MPIUA for the third and final risk period, the rating would not change if the attachment probability reached the Minimum Attachment Level of 4.00%. However, if MPIUA elected to set the attachment probability closer to the Maximum Attachment Level of 1.50%, the notes could be upgraded to as high as 'BB-sf'. To a lesser extent, the notes may be downgraded if the money market funds should 'break the buck', Hannover Rueck SE fails to make timely retrocession premium payments or MPIUA materially changes its mission or operations. The catastrophe risk element is highly model-driven and actual losses may differ from the results of the simulation analysis. The escrow models may not reflect future methodology enhancements by AIR which may have an adverse or beneficial effect on the implied rating of the notes were such future methodology considered. DUE DILIGENCE USAGE No third party due diligence was provided or reviewed in relation to this rating action. CREDIT SUISSE 2007-C3: Moody's Affirms Ba1 Rating on Cl. A-M Debt ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on three classes and affirmed the ratings on seven classes in Credit Suisse Commercial Mortgage Trust 2007-C3 as follows: Cl. A-AB, Affirmed Aaa (sf); previously on Apr 30, 2015 Affirmed Aaa (sf) Cl. A-1-A1, Upgraded to Aa1 (sf); previously on Apr 30, 2015 Affirmed Aa2 (sf) Cl. A-1-A2, Upgraded to Aa1 (sf); previously on Apr 30, 2015 Affirmed Aa2 (sf) Cl. A-4, Upgraded to Aa1 (sf); previously on Apr 30, 2015 Affirmed Aa2 (sf) Cl. A-M, Affirmed Ba1 (sf); previously on Apr 30, 2015 Affirmed Ba1 (sf) Cl. A-J, Affirmed Caa2 (sf); previously on Apr 30, 2015 Affirmed Caa2 (sf) Cl. B, Affirmed Caa3 (sf); previously on Apr 30, 2015 Affirmed Caa3 (sf) Cl. C, Affirmed C (sf); previously on Apr 30, 2015 Affirmed C (sf) Cl. D, Affirmed C (sf); previously on Apr 30, 2015 Affirmed C (sf) Cl. A-X, Affirmed B3 (sf); previously on Apr 30, 2015 Downgraded to B3 (sf) RATINGS RATIONALE The ratings on the P&I classes A-1-A1, A-1-A2, and A-4 were upgraded primarily due to an increase in defeasance since Moody's last review, as well as Moody's expectation of additional increases in credit support resulting from the payoff of loans approaching maturity that are well positioned for refinance. Defeasance has increased to 15.3% of the current pool balance from 2.8% at Moody's last review. In addition, loans constituting 33% of the pool that have debt yields exceeding10.0% are scheduled to mature within the next 15 months. The ratings on the P&I classes A-AB and A-M were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The ratings on the P&I classes A-J, B, C and D were affirmed because the ratings are consistent with Moody's expected loss. The rating on the IO class was affirmed based on the credit performance (or the weighted average rating factor or WARF) of the referenced classes. Moody's rating action reflects a base expected loss of 9.6% of the current balance, compared to 12.2% at Moody's last review. Moody's base expected loss plus realized losses is now 15.3% of the original pooled balance, compared to 16.6% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in December 2014. DESCRIPTION OF MODELS USED Moody's review used the excel-based CMBS Conduit Model, which it uses for both conduit and fusion transactions. Credit enhancement levels for conduit loans are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate Moody's uses to estimate Moody's value). Moody's fuses the conduit results with the results of its analysis of investment grade structured credit assessed loans and any conduit loan that represents 10% or greater of the current pool balance. 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 33, compared to 41 at Moody's last review. DEAL PERFORMANCE As of the April 15th, 2016 distribution date, the transaction's aggregate certificate balance has decreased by 45% to $1.49 billion from $2.68 billion at securitization. The certificates are collateralized by 161 mortgage loans ranging in size from less than 1% to 11% of the pool, with the top ten loans constituting 35% of the pool. Eighteen loans, constituting 15% of the pool, have defeased and are secured by US government securities. Forty-seven loans, constituting 33% 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. Sixty-two loans have been liquidated from the pool, resulting in an aggregate realized loss of $269 million (for an average loss severity of 33%). Two loans, constituting 1% of the pool, are currently in special servicing. Moody's estimates an aggregate $4.7 million loss for the specially serviced loans (35% expected loss on average). Moody's has assumed a high default probability for 23 poorly performing loans, constituting 28% of the pool, and has estimated an aggregate loss of $112 million (a 27% expected loss based on a 55% probability default) from these troubled loans. Moody's received full year 2014 operating results for 94% of the pool, and full or partial year 2015 operating results for 86% of the pool. Moody's weighted average conduit LTV is 97%, compared to 105% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 9% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.2%. Moody's actual and stressed conduit DSCRs are 1.49X and 1.11X, respectively, compared to 1.40X and 1.02X 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 conduit loans represent 17.5% of the pool balance. The largest loan is the Main Plaza Loan ($160.7 million -- 10.8% of the pool), which is secured by a two Class A office buildings with a total square footage of 583,000 located in Irvine, California. As of January 2016, the buildings were 83% leased compared to 80% as of January 2015. In July 2010 the loan was transferred into special servicing for imminent default when the borrower requested a loan modification. The borrower subsequently withdrew the modification request and the loan returned to the master servicer in June 2011 and has remained current. Due to ongoing weak property performance, Moody's has recognized this loan as a troubled loan. The second largest loan is the Ardenwood Corporate Park Loan ($50.2 million -- 3.4% of the pool). The loan is secured by a research and development property located in Fremont, California. The property occupancy decreased from 100% to 52% as Logitech vacated their space upon lease expiration in 2013. As of December 2015 the property was 51% leased, essentially the same as at Moody's last review. Moody's LTV and stressed DSCR are 129% and 0.8X, respectively, compared to 117% and 0.88X at the last review. The third largest loan is the Wedgewood South Loan ($50.0 million -- 3.4% of the pool). The loan is secured by three office and industrial buildings in Frederick, Maryland. As of December 2015, the buildings were 100% leased , compared to 96% as of December 2014 and 87% as of December 2013. Moody's LTV and stressed DSCR are 128% and 0.72X, respectively, compared to 134% and 0.69X at the last review. CVS CREDIT: Moody's Affirms Ba1(sf) Rating on Cl. Series A-2 Debt ----------------------------------------------------------------- Moody's Investors Service has affirmed the rating of CVS Credit Lease Backed Pass-Through Certificates, Series A-1 and Series A-2 as follows: Cl. Series A-2, Affirmed Ba1 (sf); previously on May 6, 2015 Affirmed Ba1 (sf) RATINGS RATIONALE The rating was affirmed based on the support of the long term triple net lease guaranteed by CVS Health (Moody's senior unsecured debt rating Baa1, stable outlook), as well as the residual value insurance policies provided by the Royal Indemnity Company, which is unrated by Moody's. The rating on the A-2 Certificate is lower from CVS's rating due to the size of the loan balance at maturity relative to the value of the collateral assuming the existing tenant is no longer in occupancy (the dark value). FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING: 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 higher dark loan to value. 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 this rating was "Commercial Real Estate Finance: Moody's Approach to Rating Credit Tenant Lease Financings" published in May 2015. No model was used in this review. DEAL PERFORMANCE The Certificate is supported by 96 single-tenant, stand-alone retail buildings leased to CVS Health. Each building is subject to a fully bondable triple net lease guaranteed by CVS Health. The properties are located across 17 states. The rated final distribution date is January 10, 2023. During the term of the transaction, the A-2 Certificate is supported by CVS Health lease obligations. The balloon payment is insured under residual value insurance policies. CVS Health, headquartered in Woonsocket, Rhode Island, is the only fully integrated pharmacy health care company in the United States. The company fills or manages more than 1 billion prescriptions annually. It operates more than 9,500 retail pharmacy stores in the US, Puerto Rico, and Brazil. In addition, it has a pharmacy benefits management operation, a mail order and specialty pharmacy division, an on-line pharmacy, more than 1,100 walk in clinics, and a dedicated senior pharmacy care business. FRANKLIN CLO VI: Moody's Cuts Class E Debt Rating to B1(sf) ----------------------------------------------------------- Moody's Investors Service has downgraded the rating on the following notes issued by Franklin CLO VI, Ltd.: US$11,500,000 Class E Senior Secured Deferrable Floating Rate Notes Due 2019 (current outstanding balance of $11,035,647.14), Downgraded to B1 (sf); previously on July 11, 2014 Affirmed Ba2 (sf) Moody's also affirmed the ratings on the following notes: US$272,000,000 Class A Senior Secured Floating Rate Notes Due 2019 (current outstanding balance of $190,137,597.42), Affirmed Aaa (sf); previously on July 11, 2014 Affirmed Aaa (sf) US$38,000,000 Class B Senior Secured Floating Rate Notes Due 2019, Affirmed Aa1 (sf); previously on July 11, 2014 Upgraded to Aa1 (sf) US$18,000,000 Class C Senior Secured Deferrable Floating Rate Notes Due 2019, Affirmed A3 (sf); previously on July 11, 2014 Upgraded to A3 (sf) US$15,000,000 Class D Senior Secured Deferrable Floating Rate Notes Due 2019, Affirmed Ba1 (sf); previously on July 11, 2014 Affirmed Ba1 (sf) Franklin CLO VI, Ltd. issued in July 2007, is a collateralized loan obligation (CLO) backed primarily by a portfolio of senior secured loans. The transaction's reinvestment period ended in August 2013. RATINGS RATIONALE The rating downgrade on the Class E is primarily a result of deterioration in credit quality of the portfolio and decrease in the Class E OC. Based on the trustee's March 2016 report, the weighted average rating factor is currently 2771 compared to 2532 in April 2015. Additionally, the Class E OC ratio is currently 103.93% compared to 106.00% in April 2015. The portfolio includes a number of investments in securities that mature after the notes do. Based on the trustee's March 2016 report, securities that mature after the notes do currently make up approximately 21.2% of the portfolio compared to 16.5% in April 2015. These investments could expose the notes to market risk in the event of liquidation when the notes mature. Nevertheless, the transaction has benefitted from deleveraging of the Class A notes and improvement in weighted average recovery rate (WARR) assumption. The Class A notes have been paid down by approximately 6% or $12.4 million since April 2015. Also, based on the trustee's March 2016 report, the Moody's weighted averaged recovery rate assumption has improved to 53.2% versus 51.8% in April 2015. Methodology Used for the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2015. Please see the Ratings Methodologies page on www.moodys.com for a copy of this methodology. Factors that Would Lead to an Upgrade or Downgrade of the Rating: This transaction is subject to a number of factors and circumstances that could lead to either an upgrade or downgrade of the ratings: 1) Macroeconomic uncertainty: CLO performance is subject to a) uncertainty about credit conditions in the general economy and b) the large concentration of upcoming speculative-grade debt maturities, which could make refinancing difficult for issuers. 2) Collateral Manager: Performance can also be affected positively or negatively by a) the manager's investment strategy and behavior and b) differences in the legal interpretation of CLO documentation by different transactional parties owing to embedded ambiguities. 3) Collateral credit risk: A shift towards collateral of better credit quality, or better credit performance of assets collateralizing the transaction than Moody's current expectations, can lead to positive CLO performance. Conversely, a negative shift in credit quality or performance of the collateral can have adverse consequences for CLO performance. 4) Deleveraging: An important source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will continue and at what pace. Deleveraging of the CLO could accelerate owing to high prepayment levels in the loan market and/or collateral sales by the manager, which could have a significant impact on the notes' ratings. Note repayments that are faster than Moody's current expectations will usually have a positive impact on CLO notes, beginning with those with the highest payment priority. 5) Recovery of defaulted assets: Fluctuations in the market value of defaulted assets reported by the trustee and those that Moody's assumes as having defaulted could result in volatility in the deal's OC levels. Further, the timing of recoveries and whether a manager decides to work out or sell defaulted assets create additional uncertainty. 6) Long-dated assets: The presence of assets that mature after the CLO's legal maturity date exposes the deal to liquidation risk on those assets. This risk is borne first by investors with the lowest priority in the capital structure. Moody's assumes that the terminal value of an asset upon liquidation at maturity will be equal to the lower of an assumed liquidation value (depending on the extent to which the asset's maturity lags that of the liabilities) or the asset's current market value. In light of the deal's sizable exposure to long-dated assets, which increases its sensitivity to the liquidation assumptions in the rating analysis, Moody's ran scenarios using a range of liquidation value assumptions. However, actual long-dated asset exposures and prevailing market prices and conditions at the CLO's maturity will drive the deal's actual losses, if any, from long-dated assets. 7) Post-Reinvestment Period Trading: Subject to certain requirements, the deal can reinvest certain proceeds after the end of the reinvestment period, and as such the manager has the ability to erode some of the collateral quality metrics to the covenant levels. Such reinvestment could affect the transaction either positively or negatively. 8) Higher-than-average exposure to assets with weak liquidity: The presence of assets with the worst Moody's speculative grade liquidity (SGL) rating, or SGL-4, exposes the notes to additional risks if these assets default. The historical default rate is far higher for companies with SGL-4 ratings than those with other SGL ratings. Due to the deal's high exposure to SGL-4 rated assets, which constitute around $14.1 million of par, Moody's ran a sensitivity case defaulting those assets. In addition to the base case analysis, Moody's also conducted sensitivity analyses to test the impact of a number of default probabilities on the rated notes relative to the base case modeling results, which may be different from the current public ratings of the notes. Below is a summary of the impact of different default probabilities (expressed in terms of WARF) on all of the rated notes (by the difference in the number of notches versus the current model output, for which a positive difference corresponds to lower expected loss): Moody's Adjusted WARF -- 20% (2269) Class A: 0 Class B: +1 Class C: +1 Class D: +1 Class E: +1 Moody's Adjusted WARF + 20% (3403) Class A: 0 Class B: -2 Class C: -2 Class D: -1 Class E: -1 Loss and Cash Flow Analysis: 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 $281.6 million, defaulted par of $4.6 million, a weighted average default probability of 15.52% (implying a WARF of 2836), a weighted average recovery rate upon default of 52.30%, a diversity score of 40 and a weighted average spread of 3.27% (before accounting for LIBOR floors). Moody's incorporates the default and recovery properties of the collateral pool in cash flow model analysis where they are subject to stresses as a function of the target rating on each CLO liability reviewed. Moody's derives the default probability from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate for future defaults is based primarily on the seniority of the assets in the collateral pool. Moody's generally applies recovery rates for CLO securities as published in "Moody's Approach to Rating SF CDOs". In some cases, alternative recovery assumptions may be considered based on the specifics of the analysis of the CLO transaction. In each case, historical and market performance and the collateral manager's latitude for trading the collateral are also factors. FREDDIE MAC 2016-DNA2: Moody's Gives (P)Ba2 Rating to Cl. M-3A Debt ------------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to nine classes of notes on Freddie Mac STACR 2016-DNA2, a securitization designed to provide credit protection to the Federal Home Loan Mortgage Corporation (Freddie Mac) against the performance of approximately $30.1 billion reference pool of mortgages. All of the Notes in the transaction are direct, unsecured obligations of Freddie Mac and as such investors are exposed to the credit risk of Freddie Mac (currently Aaa Stable). The complete rating action is as follows: $187.0 million of Class M-1 notes, Assigned (P)Baa1 (sf) $198.0 million of Class M-2 notes, Assigned (P)Baa3 (sf) The Class M-2 noteholders can exchange their notes for the following notes: $198.0 million of Class M-2F exchangeable notes, Assigned (P)Baa3 (sf) $198.0 million of Class M-2I exchangeable notes, Assigned (P)Baa3 (sf) $247.5 million of Class M-3A notes, Assigned (P)Ba2 (sf) The Class M-3A noteholders can exchange their notes for the following notes: $247.5 million of Class M-3AF exchangeable notes, Assigned (P)Ba2 (sf) $247.5 million of Class M-3AI exchangeable notes, Assigned (P)Ba2 (sf) $247.5 million of Class M-3B notes, Assigned (P)B3 (sf) The Class M-3A and M-3B noteholders can exchange their notes for the following notes: $495.0 million of Class M-3 notes, Assigned (P)B1 (sf) Freddie Mac STACR 2016-DNA2 is the fifth transaction in the DNA series issued by Freddie Mac. Similar to Freddie Mac STACR 2016-DNA1, Freddie Mac STACR 2016-DNA2's note write-downs are determined by actual realized losses and modification losses on the loans in the reference pool, and not tied to a pre-set tiered severity schedule. In addition, the interest amount paid to the notes can be reduced by the amount of modification loss incurred on the mortgage loans. Freddie Mac STACR 2016-DNA2 is also the eighth transaction in the STACR series (including STACR-HQA) to have a legal final maturity of 12.5 years, as compared to 10 years in STACR-DN and STACR-HQ securitizations. Unlike typical RMBS transactions, Freddie Mac STACR 2016-DNA2 noteholders are not entitled to receive any cash from the mortgage loans in the reference pool. Instead, the timing and amount of principal and interest that Freddie Mac is obligated to pay on the notes are linked to the performance of the mortgage loans in the reference pool. Moody's rating on the transaction is based on both quantitative and qualitative analyses. This included a quantitative evaluation of the credit quality of the reference pool and the impact of the structural mechanisms on credit enhancement, as well as qualitative assessments regarding the operational strength of Freddie Mac to oversee its sellers and servicers. Moody's base-case expected loss on for the reference pool is 1.10% and is expected to reach 9.30% at a stress level consistent with a Aaa rating. The Notes The M-1 notes are adjustable rate P&I notes with an interest rate that adjusts relative to LIBOR. The M-2 notes are adjustable rate P&I notes with an interest rate that adjusts relative to LIBOR. The holders of the M-2 notes can exchange those notes for an M-2I exchangeable note and an M-2F exchangeable note. The M-2I exchangeable notes are fixed rate interest only notes that have a notional balance that equals the M-2 note balance. The M-2F notes are adjustable rate P&I notes that have a balance that equals the M-2 note balance and an interest rate that adjusts relative to LIBOR. The M-3A notes are adjustable rate P&I notes with an interest rate that adjusts relative to LIBOR. The holders of the M-3A notes can exchange those notes for an M-3AI exchangeable note and an M-3AF exchangeable note. The M-3AI exchangeable notes are fixed rate interest only notes that have a notional balance that equals the M-3A note balance. The M-3AF notes are adjustable rate P&I notes that have a balance that equals the M-3A note balance and an interest rate that adjusts relative to LIBOR. The M-3B notes are adjustable rate P&I notes with an interest rate that adjusts relative to LIBOR. The M-3 notes are adjustable rate P&I notes with an interest rate that adjusts relative to LIBOR. The holders of the M-3 notes can exchange those notes for the M-3A and M-3B notes, and vice versa. The M-3 exchangeable notes have a balance equal to the sum of the M-3A and M-3B note balance, and a note rate based upon the exchange portions of the related M-3A and M-3B notes, which is effectively equal to the weighted average of M-3A and M-3B note rates. Freddie Mac will only make principal payments on the notes based on the scheduled and unscheduled principal payments that are actually collected on the reference pool mortgages. Losses on the notes occur as a result of credit events and modifications, and are determined by actual realized and modification losses on loans in the reference pool, and not tied to a pre-set loss severity schedule. Freddie Mac is obligated to retire the notes in October 2028 if balances remain outstanding. Credit events in Freddie Mac STACR 2016-DNA2 occur when a short sale is settled, when a seriously delinquent mortgage note is sold prior to foreclosure, when the mortgaged property that secured the related mortgage note is sold to a third party at a foreclosure sale, when an REO disposition occurs, or when the related mortgage note is charged-off. This differs from STACR-DN and STACR-HQ securitizations, where credit events occur as early as when a reference obligation is 180 or more days delinquent. RATINGS RATIONALE Summary Credit Analysis and Rating Rationale As part of its analysis, Moody's considered historic Freddie Mac performance and severity data, the eligibility criteria of loans in the reference pool, and the high credit quality of the underlying collateral. The reference pool consists of loans that Freddie Mac acquired between July 1, 2015 and September 30, 2015, and have no previous 30-day delinquencies since purchase. The loans in the reference pool are to strong borrowers, as the weighted average credit score of 752 indicates. The weighted average CLTV of 77% is higher than recent private label prime jumbo deals, which typically have CLTVs in the high 60's range, but is similar to the weighted average CLTV of other STACR-DN and STACR-DNA transactions. Structural considerations We took structural features such as the principal payment waterfall of the notes, a 12.5-year bullet maturity, performance triggers, as well as the allocation of realized losses and modification losses into consideration in our cash flow analysis. The final structure for the transaction reflects consistent credit enhancement levels available to the notes per the term sheet provided for the provisional ratings. For modification losses, we have taken into consideration the level of rate modifications based on the projected defaults, the weighted average coupon of the reference pool (4.18%), and compared that with the available credit enhancement on the notes, the coupon and the accrued interest amount of the most junior bonds. Class B and Class B-H reference tranches represent 1.00% of the pool. The final coupons on the notes will have an impact on the amount of interest available to absorb modification losses from the reference pool. The ratings are linked to Freddie Mac's rating. As an unsecured general obligation of Freddie Mac, the rating on the notes will be capped by the rating of Freddie Mac, which Moody's currently rates Aaa (stable). Collateral Analysis The reference pool consists of approximately 127,400 loans that meet specific eligibility criteria, which limits the pool to first lien, fixed rate, fully amortizing loans with 30 year terms and LTVs that range between 60% and 80% on one to four unit properties. Overall, the reference pool is of prime quality. The credit positive aspects of the pool include borrower, loan and geographic diversification, and a high weighted average FICO of 752. There are no interest-only (IO) loans in the reference pool and all of the loans are underwritten to full documentation standards. Methodology The principal methodology used in these ratings was "Moody's Approach to Rating US Prime RMBS," published in February 2015. While assessing the ratings on this transaction, Moody's did not deviate from its published methodology. The severities for this transaction were estimated using the data on Freddie Mac's actual loss severities. Factors that would lead to an upgrade or downgrade of the rating: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. As an unsecured general obligation of Freddie Mac, the ratings on the notes depend on the rating of Freddie Mac, which Moody's currently rates Aaa. GALAXY XIV CLO: S&P Affirms BB Rating on Class E Notes ------------------------------------------------------ Standard & Poor's Ratings Services raised its rating on the class B notes from Galaxy XIV CLO Ltd., a U.S. collateralized loan obligation (CLO) managed by PineBridge Investments LLC. At the same time, S&P' affirmed its ratings on the class A, C-1, C-2, D, and E notes from the same transaction. The rating actions follow S&P's review of the transaction's performance using data from the March 15, 2016, trustee report. Since S&P's review in May 2013, this transaction has exhibited stable performance. Overcollateralization (O/C) ratios have increased since the effective date, with the senior O/C ratio increasing to 135.85% from 135.01% as of the March 2013 trustee report that was used for S&P's last rating actions. The portfolio's credit quality as also remained stable, with the 'CCC' bucket at 2.27% of the portfolio and no defaults reported in the March 2016 trustee report. Additionally, there has been a notable increase in diversification as the number of unique obligors has about doubled. Due to the improvement in the rating cushions as well as the decline in the portfolio's weighted average life, S&P raised its rating on the class B note and affirmed its rating on the class A note. S&P notes this transaction does have some exposure to loans from issuers that have negative rating outlooks, some of which are from commodities-related industries with distressed prices. S&P affirmed its ratings on the other classes of notes to maintain rating cushion as this deal continues to reinvest until November 2016. S&P will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and S&P will take rating actions as it deems necessary. CASH FLOW RESULTS AND SENSITIVITY ANALYSIS Galaxy XIV CLO Ltd. Cash flow Cash flow Previous implied cushion Final Class rating rating(i) (%)(ii) rating A AAA (sf) AAA (sf) 13.22 AAA (sf) B AA (sf) AAA (sf) 0.50 AA+ (sf) C-1 A (sf) AA (sf) 0.11 A (sf) C-2 A (sf) AA (sf) 0.11 A (sf) D BBB (sf) BBB+ (sf) 6.80 BBB (sf) E BB (sf) BB+ (sf) 1.26 BB (sf) (i) The cash flow implied rating considers the actual spread, coupon, and recovery of the underlying collateral. (ii) The cash flow cushion is the excess of the tranche break-even default rate (BDR) above the scenario default rate (SDR) at the assigned rating for a given class of rated notes using the actual spread, coupon, and recovery. RECOVERY RATE AND CORRELATION SENSITIVITY In addition to S&P's base-case analysis, it generated additional scenarios in which it made negative adjustments of 10% to the current collateral pool's recovery rates relative to each tranche's weighted average recovery rate. S&P also generated other scenarios by adjusting the intra- and inter-industry correlations to assess the current portfolio's sensitivity to different correlation assumptions assuming the correlation scenarios outlined below. Correlation Scenario Within industry (%) Between industries (%) Below base case 15.0 5.0 Base case 20.0 7.5 Above base case 25.0 10.0 Recovery Correlation Correlation Cash flow decrease increase decrease implied implied implied implied Final Class rating rating rating rating rating A AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) B AAA (sf) AA+ (sf) AA+ (sf) AAA (sf) AA+ (sf) C-1 AA (sf) A+ (sf) A+ (sf) AA+ (sf) A (sf) C-2 AA (sf) A+ (sf) A+ (sf) AA+ (sf) A (sf) D BBB+ (sf) BBB (sf) BBB+ (sf) A (sf) BBB (sf) E BB+ (sf) B+ (sf) BB (sf) BB+ (sf) BB (sf) DEFAULT BIASING SENSITIVITY To assess whether the current portfolio has sufficient diversity, S&P biased defaults on the assets in the current collateral pool with the highest spread and lowest base-case recoveries. Spread Recovery Cash flow compression compression implied implied implied Final Class rating rating rating rating A AAA (sf) AAA (sf) AAA (sf) AAA (sf) B AAA (sf) AA+ (sf) AA+ (sf) AA+ (sf) C-1 AA (sf) A+ (sf) BBB+ (sf) A (sf) C-2 AA (sf) A+ (sf) BBB+ (sf) A (sf) D BBB+ (sf) BBB+ (sf) BB+ (sf) BBB (sf) E BB+ (sf) BB- (sf) CCC+ (sf) BB (sf) RATING RAISED Galaxy XIV CLO Ltd. Rating Class To From B AA+ (sf) AA (sf) RATINGS AFFIRMED Galaxy XIV CLO Ltd. Class Rating A AAA (sf) C-1 A (sf) C-2 A (sf) D BBB (sf) E BB (sf) GMAC COMMERCIAL 2003-C3: Moody's Affirms Ca Rating on Cl. L Debt ---------------------------------------------------------------- Moody's Investors Service upgraded the ratings on two classes and affirmed two classes of GMAC Commercial Mortgage Securities, Inc., Commercial Mortgage Pass-Through Certificates, Series 2003-C3 as follows: Cl. J, Upgraded to Aaa (sf); previously on Jun 4, 2015 Upgraded to Aa3 (sf) Cl. K, Upgraded to Baa3 (sf); previously on Jun 4, 2015 Upgraded to Ba3 (sf) Cl. L, Affirmed Ca (sf); previously on Jun 4, 2015 Upgraded to Ca (sf) Cl. X-1, Affirmed Caa3 (sf); previously on Jun 4, 2015 Affirmed Caa3 (sf) RATINGS RATIONALE Classes J and K were upgraded due to an increase in credit support from a 28% increase in defeasance and the benefits of amortization because 72% of the pool's outstanding balance is fully amortizing. The deal has also paid down 6% since Moody's last review. Class L was affirmed because the ratings are consistent with Moody's expected loss. The rating of the IO Class, Class X-1, was affirmed based on the credit performance (or the weighted average rating factor or WARF) of its reference classes. Moody's rating action reflects a base expected loss of 0% of the current balance compared to 0.2% at last review. Moody's base expected loss plus realized losses is now 3.3%, the same as at last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING: 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 pay downs or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in October 2015. Please see the Ratings Methodologies page on www.moodys.com for a copy of this methodology. DESCRIPTION OF MODELS USED 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 Conduit Loan Herf of 2, compared to 3 at the prior review. When the Herf falls below 20, Moody's uses the excel-based Large Loan Model and then reconciles and weights the results from the conduit and large loan models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan-level proceeds derived from Moody's loan-level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type and sponsorship. Moody's also further adjusts these aggregated proceeds for any pooling benefits associated with loan level diversity and other concentrations and correlations. DEAL PERFORMANCE As of the April 11, 2016 distribution date, the transaction's aggregate certificate balance has decreased by 99% to $19 million from $1.3 billion at securitization. The certificates are collateralized by five mortgage loans ranging in size from 6% to 45% of the pool. There are two defeased loans, constituting 42% of the pool, which are backed by U.S. government securities. There are no loans on the master servicer's watchlist or in special servicing. Eight loans have been liquidated from the pool, resulting in an aggregate realized loss of $44.3 million (for an average loss severity of 30%). Moody's received full year 2015 operating results for 58% of the pool and full year 2014 operating results for 100% of the pool. Moody's weighted average conduit LTV is 62%, compared to 69% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 14.2% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.2%. Moody's actual and stressed conduit DSCRs are 0.96X and 1.71X, respectively, compared to 1.04X and 1.47X 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 conduit loans represent 58% of the pool balance. The largest loan is the Shaw's Lewiston Loan ($8.5 million -- 45% of the pool), which is secured by a 64,657 square foot (SF) Shaw's grocery store in Lewiston, Maine, approximately 35 miles from Portland, Maine. As of April 2016, the property was fully leased to Shaw's through 2024. Moody's LTV and stressed DSCR are 70% and 1.47X, respectively, compared to 70% and 1.35X at the last review. The second largest loan is the Walgreens Meridian Loan ($1.2 million -- 7% of the pool), which is secured by a 14,560 SF single-tenant Walgreens property in Meridian, Mississippi. As of April 2016, the property was fully leased to Walgreens until 2078. Moody's LTV and stressed DSCR are 40% and 2.29X, respectively, compared to 40% and 2.22X at the last review. The third largest loan is the Walgreens Hattiesburg Loan ($1.1 million -- 6% of the pool), which is secured by a 13,659 SF single-tenant Walgreens property in Hattiesburg, Mississippi. As of April 2016, the property was fully leased to Walgreens until 2078. Moody's LTV and stressed DSCR are 30% and 2.92X, respectively, compared to 31% and 2.86X, respectively at last review. JP MORGAN 2003-C1: Moody's Hikes Class F Debt Rating to Ba1(sf) --------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on two classes and affirmed the ratings on two classes in J.P. Morgan Chase Commercial Mortgage Securities Corp. 2003-C1 as follows: Cl. E, Upgraded to Aa2 (sf); previously on Nov 16, 2015 Affirmed Baa1 (sf) Cl. F, Upgraded to Ba1 (sf); previously on Nov 16, 2015 Affirmed B1 (sf) Cl. G, Affirmed C (sf); previously on Nov 16, 2015 Downgraded to C (sf) Cl. X-1, Affirmed Caa3 (sf); previously on Nov 16, 2015 Affirmed Caa3 (sf) RATINGS RATIONALE The ratings on two P&I classes were upgraded based primarily on an increase in credit support resulting from loan paydowns and amortization. The deal has paid down 36% since Moody's last review. The rating on one P&I class was affirmed because the ratings are consistent with Moody's expected and realized loss. The rating on the IO class was affirmed based on the credit performance (or the weighted average rating factor or WARF) of the referenced classes. Moody's rating action reflects a base expected loss of 3.1% the current balance. Moody's base expected loss plus realized losses is now 8.6% of the original pooled balance. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in October 2015. Please see the Ratings Methodologies page on www.moodys.com for a copy of this methodology. DESCRIPTION OF MODELS USED 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 three, compared to a Herf of four at Moody's last review. When the Herf falls below 20, Moody's uses the excel-based Large Loan Model in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan-level proceeds derived from Moody's loan-level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type and sponsorship. Moody's also further adjusts these aggregated proceeds for any pooling benefits associated with loan level diversity and other concentrations and correlations. DEAL PERFORMANCE As of the April 12, 2016 distribution date, the transaction's aggregate certificate balance has decreased by 98% to $25.2 million from $1.07 billion at securitization. The certificates are collateralized by seven mortgage loans ranging in size from 2% to 48% of the pool. Two loans, constituting 11% of the pool, have defeased and are secured by US government securities. Fifteen loans have been liquidated from the pool with a loss, resulting in an aggregate realized certificate loss of $91.5 million (for an average loss severity of 69%). One loan, constituting 11% of the pool, is currently in special servicing. The specially serviced loan is the Blue Ash Corporate Center Loan ($2.7 million -- 10.6% of the pool), which is secured by a 57,000 square foot (SF) office property located in Blue Ash, Ohio. The loan transferred to the Special Servicer in December 2012 for payment default and then subsequently maturity default. A receiver was appointed in September 2015. As of February 2016, the property was 70% leased. Moody's received full year 2014 operating results for 100% of the pool and full or partial year 2015 operating results for 87% of the pool. Moody's weighted average conduit LTV is 61%, compared to 63% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 23% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9%. Moody's actual and stressed conduit DSCRs are 1.00X and 1.73X, respectively, compared to 0.97X and 1.64X 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 conduit loans represent 69% of the pool balance. All top three conduit loans are fully amortizing loans with a January 2023 loan maturity. Each of the top three loans has amortized between 50% and 51% since securitization. The largest loan is the Mark IV Las Vegas Loan ($12.1 million -- 48.0% of the pool), which is secured by three adjoining industrial properties totaling 451,000 SF. The collateral is located in Las Vegas, Nevada. The collateral is 100% leased as of September 2015, compared to 84% in 2014. Moody's LTV and stressed DSCR are 61% and 1.68X, respectively, compared to 64% and 1.60X at the last review. The second largest loan is the Ocoee Crossing Shopping Center Loan ($2.8 million -- 11.3% of the pool), which is secured by a 63,000 SF grocery-anchored retail center located in Cleveland, Tennessee. The property was 100% leased as of December 2015, compared to 97% as of January 2014. Moody's LTV and stressed DSCR are 44% and 2.34X, respectively, compared to 50% and 2.07X at the last review. The third largest loan is the Walgreens-Lyndon Lane Loan ($2.5 million -- 10.0% of the pool), which is secured by a 15,000 SF retail property. Walgreens leases the entire property via a long term triple net lease expiring in October 2061. Moody's LTV and stressed DSCR are 51% and 2.00X, respectively, compared to 54% and 1.92X at the last review. JP MORGAN 2006-LDP9: Fitch Raises Rating on 2 Tranches to 'Bsf' --------------------------------------------------------------- Fitch Ratings has upgraded two and affirmed 26 classes of JP Morgan Chase Commercial Mortgage Securities Corp., commercial mortgage pass-through certificates, series 2006-LDP9 (JPMCC 2006-LDP). KEY RATING DRIVERS The upgrades reflect lower loss expectations, primarily as a result of the defeasance of the Galleria Towers loan and better than expected recoveries on the Bank of America Plaza real-estate owned (REO) asset that was disposed of in January 2016. Fitch modeled losses of 17.4% of the remaining pool; expected losses on the original pool balance total 18.5%, including $408.7 million (8.4% of original pool balance) in realized losses to date. Fitch has designated 44 loans (40.5% of current pool balance) as Fitch Loans of Concern, which includes 23 specially serviced assets (21.9%). Eight of these specially serviced loans (2.5%) were transferred to special servicing since Fitch's last rating action. Over 6% of the pool is currently REO. As of the April 2016 distribution date, the pool's aggregate principal balance has been reduced by 41.3% to $2.87 billion from $4.89 billion at issuance. According to servicer reporting, 27 loans (17.7%) have been defeased, including the second largest loan (Galleria Towers; 8.1%), representing an increase from 17 loans (6%) at the last rating action pool balance). Cumulative interest shortfalls totaling $54.2 million are currently affecting classes A-J/A-JS through NR. A significant amount of the pool is scheduled to mature this year, including 17.2% which has been defeased, 0.6% in the second quarter, 0.2% in the third quarter, and 53.2% in the fourth quarter. The largest contributor to Fitch-modeled losses, which remains the same since the last rating action, is the Americold Portfolio loan (6.8% of current pool). The interest-only loan, which matures in December 2016, is secured by a portfolio of four cold storage warehouse/distribution facilities totaling 3.3 million square feet (sf) located across four states (MO, TX, KS, and MS). The loan has reported a low occupancy and low debt service coverage ratio (DSCR) since 2010 due to the West Point, MS property ceasing physical operations in 2010 as a result of minimal occupancy and in an effort to reduce operating expenses. Despite the property being completely vacant, the borrower has continued to maintain the warehouse. However, the borrower has recently indicated that a new broker has been engaged to try to lease up the vacant space at this property. As of year-end (YE) 2015, the underlying occupancies for the three other properties were 42% (Garden City, KS), 74% (Carthage, MO), and 92% (Fort Worth, TX). YE 2015 DSCR, on a net operating income (NOI) basis, was 1.02x, an improvement from 0.89x in 2014, but still below the 1.85x reported at issuance. The 2015 NOI improved 14.5% from 2014 primarily due to increased rents and expense reimbursements, as well as slightly lower operating expenses. The sponsor has historically in the past covered debt service shortfalls out of pocket. The next largest contributor to Fitch-modeled losses is the specially serviced Colony IV Portfolio loan (5%). The loan is secured by a cross-collateralized and cross-defaulted portfolio of 20 remaining properties comprised of 32 buildings totaling 1.8 million sf located across four states (IL, VA, MA, and NJ). As of the February 2016 rent roll, the overall portfolio occupancy was 56%, a decline from 68% in March 2015. Nine of the properties are leased to single tenants, one remains vacant (and has been since 2009 when IBM vacated), and the remaining 10 are multi-tenanted properties. The loan was transferred to special servicing in September 2014 for imminent default when the borrower indicated to the master servicer it was not able to abide by the paydown terms through the sale of properties to qualify for the next extension option, according to terms set forth in the loan modification from 2012. At the time of the modification, the interest rate was lowered and scheduled principal paydowns and minimum reserve levels through individual property sales were established. The borrower had reportedly been coming out of pocket to cover debt service in 2014 and was remitting any excess cash flow from the properties, but stated it would no longer continue to fund the shortfalls. The special servicer has indicated that receivership documentation has been prepared and filed for each of the jurisdictions. The special servicer expects the courts to grant receivership over the next few weeks. Once the receivers are appointed, the special servicer will evaluate each of the properties individually to determine strategies. The third largest contributor to Fitch-modeled losses is the specially serviced 131 South Dearborn loan (8.2%). The loan is secured by a 1.5 million sf, 37-story office property located in the Central Loop submarket of Chicago, IL. As of the February 2016 rent roll, the property was 95.2% occupied, remaining relatively unchanged from 95.6% one year earlier. The loan, which matures in December 2016, was transferred to special servicing in May 2014 due to the borrower requesting loan modification discussions stemming from complex lease negotiations with JP Morgan Chase, which wanted to downsize by over 50% of its occupied space and extend its lease. JPMorgan Chase had already sublet nearly half of the space it leased to another tenant in the building, Citadel, at substantially below-market rates until 2017. The sublet was the result of excess office space the company had in downtown Chicago after the JP Morgan Chase merger. In addition, another large tenant, Seyfarth Shaw LLP (20% of NRA), is terminating its lease, vacating in 2017 ahead of its 2022 lease expiration. The special servicer expects debt service payments to remain current for the foreseeable future; however, the property will face significant leasing challenges in 2017 as property occupancy is expected to drop to approximately 55%. JPMorgan Chase extended its lease on 17% of the NRA to December 2023 from December 2017, but downsized from occupying over 35% of the NRA at issuance. Holland and Knight (6.9% of NRA) signed a three-year extension to July 2019. Leasing of the Seyfarth Shaw LLP space remains on-going and discussions with Citadel on direct lease extension on its subleased space are active. The special servicer indicated a loan modification with the borrower has been agreed upon and is currently being documented. In exchange for the modification, the borrower will be contributing $27 million of guaranteed new equity to re-tenant and stabilize the property. Terms of the modification include bifurcating the trust component into a $200 million A-note and a $36 million B-note, extending the maturity date for an additional five years to December 2020, and lowering the current pay interest rate. RATING SENSITIVITIES The Stable Rating Outlooks on classes A-3, A-3SFL, A-3SFX, and A-1A reflect these classes' seniority, increasing credit enhancement and expected continued paydowns. Upgrades were not considered for these classes due to concerns of future potential interest shortfalls, as well as the potential for increased losses from the specially serviced loans. Future upgrades may be possible as the specially serviced loans are resolved. Stable Rating Outlooks were assigned to classes A-M and A-MS to reflect sufficient credit enhancement. Further upgrades to classes A-M and A-MA were limited based on significant upcoming maturities and the potential for additional loan defaults. Fitch had applied additional stresses to maturing loans when considering the upgrade to account for refinance risk. Distressed classes (those rated below 'Bsf') may be subject to further rating actions as losses are realized. DUE DILIGENCE USAGE No third-party due diligence was reviewed or provided in relation to this rating action. Fitch has upgraded these classes and assigned Rating Outlooks as indicated: -- $364 million class A-M to 'Bsf' from 'CCCsf'; Outlook Stable assigned; -- $121.4 million class A-MS to 'Bsf' from 'CCCsf'; Outlook Stable assigned. Fitch has affirmed these classes as indicated: -- $1.5 billion class A-3 at 'Asf'; Outlook Stable; -- $32.7 million class A-3SFL at 'Asf'; Outlook Stable; -- $15.8 million class A-3SFX at 'Asf'; Outlook Stable; -- $275.8 million class A-1A at 'Asf'; Outlook Stable; -- $318.5 million class A-J at 'CCsf'; RE 20%; -- $106.3 million class A-JS at 'CCsf'; RE 20%; -- $72.8 million class B at 'Csf'; RE 0%; -- $24.3 million class B-S at 'Csf'; RE 0%; -- $22.8 million class C at 'Csf'; RE 0%; -- $7.6 million class C-S at 'Csf'; RE 0%; -- $7.5 million class D at 'Dsf'; RE 0%; -- $2.5 million class D-S at 'Dsf'; RE 0%; -- $0 class E at 'Dsf'; RE 0%; -- $0 class E-S at 'Dsf'; RE 0%; -- $0 class F at 'Dsf'; RE 0%; -- $0 class F-S at 'Dsf'; RE 0%; -- $0 class G at 'Dsf'; RE 0%; -- $0 class G-S at 'Dsf'; RE 0%; -- $0 class H at 'Dsf'; RE 0%; -- $0 class H-S at 'Dsf'; RE 0%; -- $0 class J at 'Dsf'; RE 0%; -- $0 class K at 'Dsf'; RE 0%; -- $0 class L at 'Dsf'; RE 0%; -- $0 class M at 'Dsf'; RE 0%; -- $0 class N at 'Dsf'; RE 0%; -- $0 class P at 'Dsf'; RE 0%. The class A-1, A-1S, A-2, A-2S, A-2SFL and A-2SFX certificates have paid in full. Fitch does not rate the class NR certificates. Fitch previously withdrew the rating on the interest-only class X certificates. JPMBB COMMERCIAL 2013-C12: Moody's Affirms B2 Rating on Cl. F Debt ------------------------------------------------------------------ Moody's Investors Service affirmed the ratings of 13 classes in JPMBB Commercial Mortgage Securities Trust 2013-C12 as follows: Cl. A-1, Affirmed Aaa (sf); previously on May 14, 2015 Affirmed Aaa (sf) Cl. A-2, Affirmed Aaa (sf); previously on May 14, 2015 Affirmed Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on May 14, 2015 Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on May 14, 2015 Affirmed Aaa (sf) Cl. A-5, Affirmed Aaa (sf); previously on May 14, 2015 Affirmed Aaa (sf) Cl. A-SB, Affirmed Aaa (sf); previously on May 14, 2015 Affirmed Aaa (sf) Cl. A-S, Affirmed Aaa (sf); previously on May 14, 2015 Affirmed Aaa (sf) Cl. B, Affirmed Aa3 (sf); previously on May 14, 2015 Affirmed Aa3 (sf) Cl. C, Affirmed A3 (sf); previously on May 14, 2015 Affirmed A3 (sf) Cl. D, Affirmed Baa3 (sf); previously on May 14, 2015 Affirmed Baa3 (sf) Cl. E, Affirmed Ba2 (sf); previously on May 14, 2015 Affirmed Ba2 (sf) Cl. F, Affirmed B2 (sf); previously on May 14, 2015 Affirmed B2 (sf) Cl. X-A, Affirmed Aaa (sf); previously on May 14, 2015 Affirmed Aaa (sf) RATINGS RATIONALE The ratings on the P&I classes were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The rating on the IO class, Class X-A, was affirmed based on the credit performance (or the weighted average rating factor or WARF) of the referenced classes. Moody's rating action reflects a base expected loss of 2.1% of the current balance, compared to 2.0% at Moody's last review. Moody's base expected loss plus realized losses is now 2.0% of the original pooled balance, the same as at last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in December 2014. DESCRIPTION OF MODELS USED Moody's review used the excel-based CMBS Conduit Model, which it uses for both conduit and fusion transactions. Credit enhancement levels for conduit loans are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate Moody's uses to estimate Moody's value). Moody's fuses the conduit results with the results of its analysis of investment grade structured credit assessed loans and any conduit loan that represents 10% or greater of the current pool balance. 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 30, the same as at Moody's last review. DEAL PERFORMANCE As of the April 15, 2016 distribution date, the transaction's aggregate certificate balance has decreased by 4% to $1.29 billion from $1.34 billion at securitization. The certificates are collateralized by 76 mortgage loans ranging in size from less than 1% to 9.7% of the pool, with the top ten loans constituting 45% of the pool. One loan, constituting 8% of the pool, has an investment-grade structured credit assessment. One loan, constituting less than 1% of the pool, has defeased and is secured by US government securities. Nine loans, constituting 7% 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. No loans have been liquidated from the pool. Two cross-collateralized loans, constituting 3.5% of the pool, are currently in special servicing. The specially serviced loans make up the Colony Hills Portfolio Loans ($45.2 million -- 3.5% of the pool) which are secured by three apartment properties located in Mobile, Alabama. The loans were transferred to the Special Servicer in September 2015, for non-monetary default due to an unauthorized pledge of interest. As of July 2015, property occupancy exceeded 90% for all three properties Moody's received full year 2014 operating results for 99% of the pool, and full or partial year 2015 operating results for 74%. Moody's weighted average conduit LTV is 96%, compared to 101% at Moody's last review. Moody's conduit component excludes loans with credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 13% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.6%. Moody's actual and stressed conduit DSCRs are 1.70X and 1.11X, respectively, compared to 1.63X and 1.04X 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 loan with a structured credit assessment is the Americold Cold Storage Portfolio Loan ($102.1 million -- 7.9% of the pool), which represents a participation interest in the senior component of a $204.1 million mortgage loan. The loan is secured by a portfolio of 15 cold storage facilities located across nine U.S. states, with a total storage capacity of 3.6 million square feet (77 million cubic feet). The loan sponsor is Americold Realty Trust, the largest US operator of cold storage facilities. The loan benefits from amortization. The property is also encumbered by $102 million of mezzanine debt. Moody's structured credit assessment and stressed DSCR are baa1 (sca.pd) and 1.67X, respectively. The top three performing conduit loans represent 20.3% of the pool balance. The largest loan is the Legacy Place Loan ($125.0 million -- 9.7% of the pool), which represents a participation interest in the senior component of a $200 million mortgage loan. The loan is secured by a 484,000 square foot lifestyle retail center in Deedham, Massachusetts, a suburb of Boston. The property was developed in 2009 and consists of six buildings and parking for approximately 2,800 vehicles. The property was 97% leased as of December 2015 compared to 96% leased at last review. Moody's LTV and stressed DSCR are 103% and 0.86X, respectively, the same as at last review. The second largest loan is the IDS Center Loan ($88.6 million -- 6.9% of the pool). The loan is a participation interest in the senior portion of a $180 million mortgage loan. The loan is secured by a 1.4 million square foot property in downtown Minneapolis, which consists of a 57-story skyscraper office tower, plus an eight-story annex building, a 100,000 square foot retail center, and an underground garage. Nearly 100% of the leases are set to expire during the loan's ten-year term. Nevertheless, the property benefits from a diverse tenant base, with the largest tenant occupying 9% of the net rentable area (NRA), which mitigates some of the economic risk of rolling leases. The largest tenant, a law firm, renewed their lease through May 2021. Moody's LTV and stressed DSCR are 100% and 1.00X, respectively, compared to 103% and 0.97X at last review. The third largest loan is the Southridge Mall Loan ($49.3 million -- 3.8% of the pool). The loan represents a participation interest in a larger, $123.2 million senior loan, which is secured by a 550,000 square foot portion of a 1.1 million square foot regional mall in Greendale, Wisconsin, a suburb of Milwaukee. The mall underwent a $45 million renovation in 2012, during which a new Macy's anchor opened on the site of a former Dillard's. Moody's LTV and stressed DSCR are 106% and 0.91X, respectively, compared to 108% and 0.90X at last review. ML-CFC COMMERCIAL 2007-8: S&P Affirms BB Rating on AM Certificate ----------------------------------------------------------------- Standard & Poor's Ratings Services affirmed its ratings on five classes of commercial mortgage pass-through certificates from ML-CFC Commercial Mortgage Trust 2007-8, a U.S.commercial mortgage-backed securities (CMBS) transaction. S&P's affirmations on the principal- and interest-paying certificates follow its analysis of the transaction, primarily using its criteria for rating U.S. and Canadian CMBS transactions, which included a review of the credit characteristics and performance of the remaining assets in the pool, the transaction's structure, and the liquidity available to the trust. The affirmations further reflect S&P's expectation that the available credit enhancement for these classes will be within its estimate of the necessary credit enhancement required for the current ratings and S&P's views regarding the collateral's current and future performance. S&P affirmed its 'AAA (sf)' rating on the class X interest-only (IO) certificates based on S&P's criteria for rating IO securities. TRANSACTION SUMMARY As of the April 14, 2016, trustee remittance report, the collateral pool balance was $1.69 billion, which is 69.2% of the pool balance at issuance. The pool currently includes 168 loans and seven real estate-owned (REO) assets (reflecting cross-collateralized and cross-defaulted loans), down from 300 loans at issuance. As of the latest trustee remittance report date, 12 of these assets (with Spring Gate A and B note treated as one cross-collateralized/cross-defaulted loan)($482.2 million, 28.4%) were with the special servicer, 22 ($129.5 million, 7.6%) were defeased, and 42 ($204.8 million, 12.1%) were on the master servicer's watchlist. The master servicers,KeyBank N.A. and Wells Fargo Bank N.A., reported financial information for 99.6% of the nondefeased loans in the pool, of which 90.8% was partial- or year-end 2015 data, and the remainder was partial- or year-end 2014 data. S&P calculated a 1.24x Standard & Poor's weighted average debt service coverage (DSC) and 101.8% Standard & Poor's weighted average loan-to-value (LTV) ratio using a 7.76% Standard & Poor's weighted average capitalization rate. The DSC, LTV, and capitalization rate calculations exclude the 12 specially serviced assets, 22 defeased loans and one subordinate B hope note that was created as part of a loan modification. The top 10 assets have an aggregate outstanding pool trust balance of $694.1 million (40.8%). Using servicer-reported numbers, S&P calculated a Standard & Poor's weighted average DSC and LTV of 0.93x and 157.6%, respectively, for seven of the top 10 assets. The three excluded assets are specially serviced, one of which is discussed below. To date, the transaction has experienced $117.1 million in principal losses, or 4.8% of the original pool trust balance. S&P expects losses to reach approximately 7.1% of the original pool trust balance in the near term, based on loss incurred to date and additional losses S&P expects primarily from the eventual resolution of the assets currently with the special servicer. CREDIT CONSIDERATIONS As of the April 14, 2016, trustee remittance reports, 12 assets in the pool were with the special servicer, LNR Partners LLC (LNR). Details of the two-largest specially serviced assets, both of which are top 10 assets, are: -- The Spring Gate – A note and Spring Gate – B subordinate note loan ($316.9 million, 18.6%) is the largest loan in the pool and has a total reported exposure of $316.9 million. The loan is secured by 56 garden-style multifamily properties located across five states (Florida, Ohio, Indiana, Kentucky, and Pennsylvania). The loan was transferred to the special servicer on Dec. 1, 2010, for imminent default. The reported DSC and occupancy as of year-end 2014 were 0.46x and 85.0%, respectively. The loan was modified following the assumption of the loan by another sponsor. Some terms of the modifications include the creation of the B subordinate note, the addition of two one- year extension options to the loan's maturity in June 2017, as well as equity contribution from the new sponsor. -- The Towers at University Town Center REO asset ($49.1 million, 2.9%) is the second-largest asset with the special servicer and the fourth largest asset in the pool with a total reported exposure of $59.6 million. The asset is a high-rise student housing building totaling 244 units with 910 beds in Hyattsville, Md. The loan was transferred to the special servicer on July 23, 2010, because of delinquent payments and the property became REO on Oct. 24, 2012. An appraisal reduction amount of $338,785 is in effect against this asset. S&P expects a minimal loss upon this asset's eventual resolution, which S&P considers to be a loss of less than 25% of the loan's current balance. The 10 remaining assets with the special servicer have individual balances that represent less than 2.5% of the total pool trust balance. S&P estimated losses for 10 of the 12 specially serviced assets, arriving at a weighted-average loss severity of 36.9%. RATINGS LIST ML-CFC Commercial Mortgage Trust 2007-8 Commercial mortgage pass-through certificates series 2007-8 Rating Class Identifier To From A-3 60688BAD0 AA (sf) AA (sf) AM 60688BAF5 BB (sf) BB (sf) A-1A 60688BAE8 AA (sf) AA (sf) AM-A 60688BAQ1 BB (sf) BB (sf) X 60688BBD9 AAA (sf) AAA (sf) MORGAN STANLEY 2005-HE3: Moody's Hikes Cl. M-5 Debt Rating to B2 ---------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 13 tranches from ten transactions and downgraded the ratings of two tranches from one transaction. The transactions are backed by Subprime mortgage loans and issued by Morgan Stanley. Complete rating actions are: Issuer: Morgan Stanley ABS Capital I Inc. Trust 2005-HE3 Cl. M-2, Downgraded to Baa3 (sf); previously on March 12, 2013, Downgraded to A3 (sf) Cl. M-4, Downgraded to B1 (sf); previously on Sept. 17, 2014, Upgraded to Ba3 (sf) Cl. M-5, Upgraded to B2 (sf); previously on June 25, 2015, Upgraded to Caa1 (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2005-HE5 Cl. M-3, Upgraded to Caa2 (sf); previously on Feb. 21, 2014, Upgraded to Ca (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2005-HE6 Cl. A-2c, Upgraded to Aa2 (sf); previously on June 25, 2015, Upgraded to A1 (sf) Cl. M-2, Upgraded to B1 (sf); previously on June 25, 2015, Upgraded to B3 (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2005-WMC3 Cl. M-5, Upgraded to B2 (sf); previously on June 25, 2015, Upgraded to Caa2 (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2005-WMC6 Cl. M-4, Upgraded to B1 (sf); previously on June 25, 2015, Upgraded to B3 (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2006-NC1 Cl. A-4, Upgraded to Aa3 (sf); previously on June 25, 2015, Upgraded to A2 (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2007-HE7 Cl. A-2A, Upgraded to B1 (sf); previously on Dec. 20, 2013, Downgraded to Caa2 (sf) Cl. A-2B, Upgraded to Caa3 (sf); previously on July 15, 2010, Downgraded to Ca (sf) Issuer: Morgan Stanley Capital I Inc. Trust 2006-NC2 Cl. A-1, Upgraded to Ba1 (sf); previously on June 25, 2015, Upgraded to Ba3 (sf) Issuer: Morgan Stanley Home Equity Loan Trust 2005-2 Cl. M-5, Upgraded to B1 (sf); previously on June 25, 2015, Upgraded to Caa1 (sf) Issuer: Morgan Stanley Home Equity Loan Trust 2006-1 Cl. A-1, Upgraded to A1 (sf); previously on June 25, 2015, Upgraded to A3 (sf) Cl. A-2c, Upgraded to A3 (sf); previously on June 25, 2015, Upgraded to Baa2 (sf) RATINGS RATIONALE The rating actions are a result of the recent performance of the underlying pools and reflects Moody's updated loss expectation on these pools. The ratings upgraded are due to the stronger performance of the underlying collateral and the credit enhancement available to the bonds. The ratings downgraded are primarily due to interest shortfalls that are unlikely to be recouped. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in November 2013. 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 5.0% in March 2016 from 5.5% in March 2015. Moody's forecasts an unemployment central range of 4.5% to 5.5% for the 2016 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 2016. Lower increases than Moody's expects or decreases could lead to negative rating actions. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. MORGAN STANLEY 2013-C10: Fitch Affirms BB- Rating on Cl. G Certs ---------------------------------------------------------------- Fitch Ratings has affirmed 18 classes of Morgan Stanley Bank of America Merrill Lynch Trust (MSBAM) commercial mortgage pass-through certificates series 2013-C10. KEY RATING DRIVERS The affirmations reflect overall stable performance of the pool. Fitch has not designated any loans as Fitch Loans of Concern, and no loans are in special servicing. There is a notable hotel exposure within the transaction; 16.5% of the pool is secured by hotel properties, including three of the top 15 loans. As of the April 2016 distribution date, the pool's aggregate principal balance has been reduced by 4.3% to $1.42 billion from $1.49 billion at issuance. No loans are defeased. Interest shortfalls are currently affecting class J. The largest loan (9.8% of the pool) is secured by a 1.1 million square foot (sf) (506,914-sf collateral) regional mall located in Tampa, FL. The collateral is approximately 97% occupied as of year-end (YE) 2015 and includes a 20-screen Regal Cinemas Theater, several junior anchor spaces, and 287,872 sf of in-line space. The property, built in 1999, completed a $10 million renovation in 2007 that included the addition of a Dick's Sporting Goods. The servicer reported debt service coverage ratio (DSCR) was 1.96x as of YE 2015 compared to 1.69x at issuance. The next largest loan (7.7% of the pool) is secured by the leased fee interest in a 19,862 sf parcel of land below a full-service hotel in Manhattan. The property is subject to a net lease, which is supported by hotel operations, and has a term of 99 years. The recently renovated, 1,331-key hotel spans an entire city block and is located in the theater district, one block west of Times Square. The servicer reported DSCR as of June 2015 was 1.69x. The third largest loan (7.4% of the pool) is secured by a nine-story 232,521-sf office property located in Washington, D.C. Built in 1965, the property underwent a complete renovation and re-tenanting and is now leased to six tenants. The property is located in the Capital Hill submarket and has close proximity to Union Station and the U.S. Capital Building. Occupancy as of YE 2015 was reported to be 93%. The DSCR at YE 2015 was reported to be 2.30x compared to 2.08x at issuance. RATING SENSITIVITIES Rating Outlooks on classes A-1 through H remain Stable due to overall stable collateral performance. Fitch does not foresee positive or negative ratings migration unless a material economic or asset level event changes the underlying transaction's portfolio-level metrics. DUE DILIGENCE USAGE No third party due diligence was provided or reviewed in relation to this rating action. Fitch affirms these classes: -- $30.7 million class A-1 at 'AAAsf'; Outlook Stable; -- $34.2 million class A-2 at 'AAAsf'; Outlook Stable; -- $126.5 million class A-SB at 'AAAsf'; Outlook Stable; -- $200 million class A-3 at 'AAAsf'; Outlook Stable; -- $125 million class A-3FL at 'AAAsf'; Outlook Stable; -- $0 class A-3FX at 'AAAsf'; Outlook Stable; -- $516.4 million class X-A at 'AAAsf'; Outlook Stable; -- $359.5 million class A-4 at 'AAAsf'; Outlook Stable; -- $100 million class A-5 at 'AAAsf'; Outlook Stable; -- $111.4 million class A-S* at 'AAAsf'; Outlook Stable; -- $100.3 million class B* at 'AA-sf'; Outlook Stable; -- $52 million class C* at 'A-sf'; Outlook Stable; -- $0 class PST* at 'A-sf'; Outlook Stable; -- $53.9 million class D at 'BBB-sf'; Outlook Stable; -- $22.3 million class E at 'BBB-sf'; Outlook Stable; -- $16.7 million class F at 'BB+sf'; Outlook Stable; -- $20.4 million class G at 'BB-sf'; Outlook Stable; -- $16.7 million class H at 'Bsf'; Outlook Stable. *Classes A-S, B, and C certificates may be exchanged for class PST certificates, and class PST certificates may be exchanged for classes A-S, B, and C certificates. Fitch does not rate the class J certificates. NEUBERGER BERMAN XIII: S&P Affirms B+ Rating on Class F Notes ------------------------------------------------------------- Standard & Poor's Ratings Services affirmed its ratings on the class A, B, C, D, E, and F notes from Neuberger Berman CLO XIII Ltd., a U.S. collateralized loan obligation (CLO) that closed in December 2012 and is managed by Neuberger Berman Fixed Income LLC. The deal is currently in its reinvestment phase, which is scheduled to end in January 2017. Since the transaction's effective date, the defaulted asset balance has increased to $2.00 million as of the March 2016 trustee report. Over the same period, the amount of 'CCC' rated assets has increased to $10.43 million. Additional investment-grade collateral, as well as the overall credit seasoning, offsets the increase in defaults and 'CCC' rated assets. Per the March 2016 trustee report, the weighted average life has decreased to 3.96 years from 5.85 years as of the effective date, which has led to lower scenario default rates and an increase in the cash flow cushion for each class. The total par for the portfolio has decreased since the effective date, which has led to a decrease of the overcollateralization (O/C) ratios. The March 2016 trustee report indicated these O/C changes when compared to the February 2013 report: -- The class A/B O/C decreased to 127.57% from 128.94%. -- The class C O/C ratio decreased to 118.14% from 119.41%. -- The class D O/C ratio decreased to 112.93% from 114.14%. -- The class E O/C ratio decreased to 106.74% from 107.89%. -- The class F O/C ratio decreased to 104.63% from 105.75%. S&P's affirmations of the ratings on the class A, B, C, D, E and F notes reflect the available credit support consistent with the current rating levels. Additionally, though S&P's cash flow results indicated a lower rating, the class F notes were affirmed at 'B+ (sf)' to account for credit seasoning of the collateral, improved recovery rates, low exposure to distressed industries, and the relative stability of the O/C levels over time. S&P will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and S&P will take rating actions as it deems necessary. CASH FLOW RESULTS AND SENSITIVITY ANALYSIS Neuberger Berman CLO XIII Ltd. Cash flow Cash flow Previous implied cushion Final Class rating rating(i) (%)(ii) rating A AAA (sf) AAA (sf) 10.71% AAA (sf) B AA (sf) AA+ (sf) 8.73% AA (sf) C A (sf) A+ (sf) 6.88% A (sf) D BBB (sf) BBB+ (sf) 7.27% BBB (sf) E BB (sf) BB (sf) 0.53% BB (sf) F B+ (sf) CCC+ (sf) 2.32% B+ (sf) (i) The cash flow implied rating considers the actual spread, coupon, and recovery of the underlying collateral. (ii) The cash flow cushion is the excess of the tranche break-even default rate above the scenario default rate at the assigned rating for a given class of rated notes using the actual spread, coupon, and recovery. RECOVERY RATE AND CORRELATION SENSITIVITY In addition to S&P's base-case analysis, it generated additional scenarios in which it made negative adjustments of 10% to the current collateral pool's recovery rates relative to each tranche's weighted average recovery rate. S&P also generated other scenarios by adjusting the intra- and inter-industry correlations to assess the current portfolio's sensitivity to different correlation assumptions assuming the correlation scenarios outlined below. Correlation Scenario Within industry (%) Between industries (%) Below base case 15.0 5.0 Base case 20.0 7.5 Above base case 25.0 10.0 Recovery Correlation Correlation Cash flow decrease increase decrease implied implied implied implied Final Class rating rating rating rating rating A AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) B AA+ (sf) AA+ (sf) AA+ (sf) AA+ (sf) AA (sf) C A+ (sf) A+ (sf) A+ (sf) AA (sf) A (sf) D BBB+ (sf) BBB (sf) BBB+ (sf) A (sf) BBB (sf) E BB (sf) B+ (sf) BB- (sf) BB+ (sf) BB (sf) F CCC+ (sf) CCC- (sf) CCC+ (sf) CCC+ (sf) B+ (sf) DEFAULT BIASING SENSITIVITY To assess whether the current portfolio has sufficient diversity, S&P biased defaults on the assets in the current collateral pool with the highest spread and lowest base-case recoveries. Spread Recovery Cash flow compression compression implied implied implied Final Class rating rating rating rating A AAA (sf) AAA (sf) AA+ (sf) AAA (sf) B AA+ (sf) AA+ (sf) A+ (sf) AA (sf) C A+ (sf) A+ (sf) BBB+ (sf) A (sf) D BBB+ (sf) BBB+ (sf) BB+ (sf) BBB (sf) E BB (sf) B+ (sf) CCC- (sf) BB (sf) F CCC+ (sf) CCC- (sf) CC (sf) B+ (sf) RATINGS AFFIRMED Neuberger Berman CLO XIII Ltd. Class Rating A AAA (sf) B AA (sf) C A (sf) D BBB (sf) E BB (sf) F B+ (sf) SDART 2016-2: Moody's Gives (P)Ba3 Rating on Class E Debt --------------------------------------------------------- Moody's Investors Service assigned provisional ratings to the notes to be issued by Santander Drive Auto Receivables Trust 2016-2 (SDART 2016-2). This is the second SDART transaction of the year for Santander Consumer USA Inc. (SC). The complete rating actions are as follows: Issuer: Santander Drive Auto Receivables Trust 2016-2 Class A-1 Notes, Assigned (P)P-1 (sf) Class A-2-A Notes, Assigned (P)Aaa (sf) Class A-2-B Notes, Assigned (P)Aaa (sf) Class A-3 Notes, Assigned (P)Aaa (sf) Class B Notes, Assigned (P)Aa1 (sf) Class C Notes, Assigned (P)A1 (sf) Class D Notes, Assigned (P)Baa2 (sf) Class E Notes, Assigned (P)Ba3 (sf) RATINGS RATIONALE The ratings are based on the quality of the underlying auto loans and their expected performance, the strength of the structure, the availability of excess spread over the life of the transaction, and the experience and expertise of SC (NR) as servicer. Moody's median cumulative net loss expectation for the 2016-2 pool is 17.0% and the Aaa level is 49.0%. The loss expectation was based on an analysis of SC's portfolio vintage performance as well as performance of past securitization pools, and current expectations for future economic conditions. The principal methodology used in these ratings was "Moody's Global Approach to Rating Auto Loan- and Lease-Backed ABS" published in December 2015. Factors that would lead to an upgrade or downgrade of the rating: Up Moody's could upgrade the notes if levels of credit protection are higher than necessary to protect investors against current expectations of portfolio losses. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the vehicles securing an obligor's promise of payment. Transaction performance also depends greatly on the US job market. Other reasons for better-than-expected performance include changes to servicing practices that enhance collections or refinancing opportunities that result in prepayments. Down Moody's could downgrade the notes if levels of credit protection are insufficient to protect investors against current expectations of portfolio losses. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the vehicles securing an obligor's promise of payment. Transaction performance also depends greatly on the US job market and the market for used vehicles. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Additionally, Moody's could downgrade the Class A-1 short-term rating following a significant slowdown in principal collections that could result from, among other things, high delinquencies or a servicer disruption that impacts obligor's payments. WACHOVIA BANK 2006-C28: Moody's Hikes Cl. A-J Certs Rating to B1 ---------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on nine classes and upgraded the ratings on two classes in Wachovia Bank Commercial Mortgage Securities Trust Commercial Mortgage Pass-Through Certificates, Series 2006-C28 as follows: Cl. A-1A Certificate, Affirmed Aaa (sf); previously on May 6, 2015 Affirmed Aaa (sf) Cl. A-4 Certificate, Affirmed Aaa (sf); previously on May 6, 2015 Affirmed Aaa (sf) Cl. A-4FL Certificate, Affirmed Aaa (sf); previously on May 6, 2015 Affirmed Aaa (sf) Cl. A-M Certificate, Upgraded to A1 (sf); previously on May 6, 2015 Affirmed Baa2 (sf) Cl. A-J Certificate, Upgraded to B1 (sf); previously on May 6, 2015 Affirmed B3 (sf) Cl. B Certificate, Affirmed Caa1 (sf); previously on May 6, 2015 Affirmed Caa1 (sf) Cl. C Certificate, Affirmed Caa2 (sf); previously on May 6, 2015 Affirmed Caa2 (sf) Cl. D Certificate, Affirmed Caa3 (sf); previously on May 6, 2015 Affirmed Caa3 (sf) Cl. E Certificate, Affirmed C (sf); previously on May 6, 2015 Affirmed C (sf) Cl. F Certificate, Affirmed C (sf); previously on May 6, 2015 Affirmed C (sf) Cl. IO Certificate, Affirmed B1 (sf); previously on May 6, 2015 Affirmed B1 (sf) RATINGS RATIONALE The ratings on three P&I classes, classes A-4, A-4FL & A-1A , were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The ratings on two P&I classes, classes A-M & A-J were upgraded upgraded primarily due to an increase in credit support since Moody's last review, resulting from paydowns and amortization, as well as Moody's expectation of additional increases in credit support resulting from the payoff of loans approaching maturity that are well positioned for refinance. The pool has paid down by 3.8% since Moody's last review. In addition, loans constituting 32.8% of the pool that have debt yields exceeding 12.0% are scheduled to mature within the next 12 months. The ratings on five P&I classes, classes B, C, D, E & F, were affirmed because the ratings are consistent with Moody's expected loss. The rating on the IO class was affirmed based on the credit performance (or the weighted average rating factor or WARF) of the referenced classes. Moody's rating action reflects a base expected loss of 7.6% of the current balance, compared to 8.4% at Moody's last review. Moody's base expected loss plus realized losses is now 11.9% of the original pooled balance, compared to 12.3% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in December 2014. DESCRIPTION OF MODELS USED Moody's review used the excel-based CMBS Conduit Model, which it uses for both conduit and fusion transactions. Credit enhancement levels for conduit loans are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate Moody's uses to estimate Moody's value). Moody's fuses the conduit results with the results of its analysis of investment grade structured credit assessed loans and any conduit loan that represents 10% or greater of the current pool balance. 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 23, compared to 28 at last review. DEAL PERFORMANCE As of the April 15, 2016 distribution date, the transaction's aggregate certificate balance has decreased by 42% to $2.08 billion from $3.6 billion at securitization. The certificates are collateralized by 149 mortgage loans ranging in size from less than 1% to 11% of the pool, with the top ten loans constituting 46.6% of the pool. 18 loans, constituting 10.1% of the pool, have defeased and are secured by US government securities. Forty-eight loans, constituting 33.4% 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. Thirty-six loans have been liquidated from the pool with a loss, resulting in an aggregate realized loss of $271 million (for an average loss severity of 40%). Four loans, constituting 4.1% of the pool, are currently in special servicing. The largest specially serviced loan is the Westin -- Falls Church Loan ($59.6 million -- 2.9% of the pool), which is secured by a 405-key full service Westin located in Tysons Corner, Virginia, about 13 miles west of Washington, DC. The loan transferred to special servicing in June 2014 for balloon/maturity default and became REO in June 2015. Over the past couple of years, the property has suffered from a decrease in income as a result of government budgetary challenges. The February 2016 trailing twelve month occupancy was 63%, with an $143.57 ADR and $90 RevPAR, compared to the December 2015 trailing twelve month occupancy of 63.8%, with an $145.61 ADR and $92.89 RevPar. The special servicer indicated that their current strategy is to complete current renovations by April 2016 and stabilize the operation following completion. The remaining three specially serviced loans are secured by a mix of property types. Moody's estimates an aggregate $45.4 million loss for the specially serviced loans (53.2% expected loss on average). Moody's has assumed a high default probability for 18 poorly performing loans, constituting 24.1% of the pool, and has estimated an aggregate loss of $85.7 million (a 17% expected loss on average) from these troubled loans. Moody's received full year 2014 operating results for 99% of the pool and full or partial year 2015 operating results for 95% of the pool. Moody's weighted average conduit LTV is 96.6%, compared to 98.5% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 11.7% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.6%. Moody's actual and stressed conduit DSCRs are 1.41X and 1.07X, respectively, compared to 1.40X and 1.08X 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 conduit loans represent 26.5% of the pool balance. The largest loan is the Gas Company Tower Loan ($229 million -- 11% of the pool), which represents a pari passu interest in a $458.0 million first mortgage loan. The loan is secured by a 1.3 million square foot (SF) Class A office building located in downtown Los Angeles, California. The largest tenant, Southern California Gas Company, lease expiration in October 2026, significantly reduced both its space and base rent in November 2011. Additionally, a tenant representing 8% of NRA vacated in November 2011 and Morrison & Forrester LLP (which leased nearly 11% of the NRA) vacated in September 2013. As per the January 2016 rent roll the property was 83.7% occupied, compared to 74% leased in December 2014 and 68% as of March 2014. The loan is interest only for the entire term. The sponsor is Brookfield Office Properties who acquired the property from Maguire Properties in 2013. Although occupancy has improved, performance is still significantly below that at securitization.. Moody's views this as a troubled loan. The second largest loan is the 1180 Peachtree Street Loan ($193.9 million -- 9.3% of the pool), which is secured by a 41-story, 670,000 square foot (SF) Class A office building located in midtown Atlanta, Georgia. The largest tenant is King & Spalding, which leases 66% of the NRA through March 2021. As per the December 2015 rent roll, the property was 92% leased, compared to 93% leased in March 2015. The loan is interest-only throughout its entire term and matures in October 2016. Moody's LTV and stressed DSCR are 109.4% and 0.89X, respectively, compared to 114% and 0.85X at the last review. The third largest loan is the Newport Bluffs Loan ($132 million -- 6.3% of the pool), which represents a pari passu interest in a $264.0 million first mortgage loan. The loan is secured by a 1,052 unit multifamily property in Newport Beach, California. As per the December 2015 rent roll the property was 93% leased, compared to 94% leased as of June 2014. Performance has improved over the past three years due to rising rental revenue. The loan sponsor is The Irvine Company. Moody's LTV and stressed DSCR are 99% and 0.90X, respectively, compared to 112.1% and 0.8X at the last review. WELLS FARGO 2013-LC12: Fitch Affirms 'Bsf' Rating on Cl. F Certs ---------------------------------------------------------------- Fitch Ratings has affirmed 15 classes of Wells Fargo Commercial Mortgage Trust 2013-LC12 certificates due to stable performance since issuance. KEY RATING DRIVERS The affirmations are based on the stable performance of the underlying collateral pool. As of the April distribution, the pool's aggregate principal balance has been paid down by 2.59% to $1.37 billion from $1.41 billion at issuance. Based on the annualized and full year 2015 reported net operating income (NOI) of the 98.8% of the pool that reported, the pool's overall NOI has improved 10.1% since issuance and 5.3% higher than 2014 reported NOI. There are currently no delinquent or specially serviced loans and eight loans on the servicer watchlist (10.2%). No loans are currently defeased. Four of the properties on the watchlist are encountering occupancy issues that were anticipated at issuance and represent minimal asset risk. The remaining four properties are on the servicer watchlist for deferred maintenance issues that are expected to be addressed by the respective sponsors. Concentrations in the pool include 14.4% full-term interest-only loans and 48.2% partial-term interest-only. The transaction is primarily composed of four real estate sectors encompassing retail (40.2%), office (21.6%), manufactured housing (13.2%), and lodging (11.7%). The transaction's retail concentration includes five retail loans in the top 15 (26.6%), four of which are regional malls (24.6%). Furthermore, significant sponsor concentration exists with General Growth Properties and RHP Properties Inc. comprising 30.4% of the pool. The largest loan in the pool (7.3%) is secured by a portfolio of 13 suburban office properties, Innsbrook Office Portfolio, located in the Richmond, VA MSA, 20 miles northwest of the central business district. The portfolio's rent roll is diversified with 96 unique tenants. Two tenants, The Hanover Insurance Company and Wells Fargo which occupy 2.1% and 4.5% of the total NRA respectively, recently exited their leasable space during the first quarter of 2016. Two more tenants, Capital One and AT&T which occupy 13.6% and 3.2% of the total NRA respectively, are scheduled to vacate their premises during the second half of 2016. The resulting expected portfolio occupancy is approximately 81%. The possible tenant exits were contemplated at issuance and a leasing reserve of $1.5 million, as well as ongoing leasing reserves, were established to mitigate portfolio risk and fund leasing costs to backfill the space. Fitch's analysis was based on a stressed full year 2015 NOI adjusted to reflect the tenant exits, as well as a stressed cap rate. The second largest loan, Carolina Place (6.6%), is a 1.2 million square foot regional mall located 10 miles southwest of the Charlotte CBD. The loan is sponsored by a joint venture between General Growth Properties and the New York State Common Retirement Fund. The mall has undergone two rounds of redevelopment in less than 10 years and is the dominant property in the South Charlotte/North Rock Hill trade area. A newly constructed property by Simon Properties and Taubman, Carolina Premium Outlets, opened at the end of the July 2014. This property is located 10 miles from the subject on a site that is in close proximity to Interstate 485 and 77. The opening of the center appears to have had limited negative impact on Carolina Place's 2015 tenant sales. A second phase of development is projected to begin shortly that will add an additional 50,000 sf of retail space. Simon properties dominant retail center in the Charlotte market, South Park Mall, is currently expanding its footprint and is expected to open a new H&M anchor in 2016. Fitch will monitor the renewal activity at the property along with any further negative impacts from the opening of the Premium Outlet and South Park redevelopment. Fitch is monitoring the performance of the sixth largest loan, Rimrock Mall (5.6%), which is a 702,317-sf regional mall, located in Billings, MT. The loan is sponsored by Starwood Capital Group. The property is anchored by JC Penney, Dillard's, and Dillard's Men & Children. As of December 2015, the servicer reported total mall occupancy fell to 79% from full occupancy at year end 2013. Several in-line tenants, including Wet Seal, Abercrombie and Fitch, Deb Shop, Aeropostle, and Gap vacated in 2015. The sponsor is looking to backfill a significant portion of the vacancy with H&M and Lane Bryant during the 2016 calendar year. Fitch's analysis was based on a stressed full year 2015 NOI which reflected the decrease in occupancy and a stressed cap rate. Fitch will continue to monitor the loan's performance as the Billings, MT region's economic activity is related to the oil and gas industry. RATING SENSITIVITIES Fitch used a deterministic stress in its analysis of the pool. The Rating Outlook for all classes remains Stable as overall performance of the transaction is as expected. Fitch will continue to monitor the property type and sponsor concentrations as well as the performance of the Fitch loans of concern. If pool performance deteriorates, negative rating implications are possible. DUE DILIGENCE USAGE No third-party due diligence was provided or reviewed in relation to this rating action. Fitch affirms these classes: -- $94 million Class A-1 at 'AAAsf'; Outlook Stable; -- $80 million Class A-2 at 'AAAsf'; Outlook Stable; -- $160 million Class A-3 at 'AAAsf'; Outlook Stable; -- $363.1 million Class A-4 at 'AAAsf'; Outlook Stable; -- $149.9 million Class A-SB at 'AAAsf'; Outlook Stable; -- $103(#)(a) million Class A-3FL at 'AAAsf'; Outlook Stable; -- $0.0a million Class A-3FX at 'AAAsf'; Outlook Stable; -- $116.3(b) million Class A-S at 'AAAsf'; Outlook Stable; -- $88.1(b) million Class B at 'AA-sf'; Outlook Stable; -- $56.4(b) million Class C 'A-sf'; Outlook Stable; -- $260.7(b) million Class PEX at 'A-sf'; Outlook Stable; -- $976.8(*) million Class X-A at 'AAAsf'; Outlook Stable; -- $66.9(a) million Class D at 'BBB-sf'; Outlook Stable; -- $28.2(a) million Class E at 'BBsf'; Outlook Stable; -- $14.1(a) million Class F at 'Bsf'; Outlook Stable. Fitch does not rate class G or the interest-only class X-B. The rating on class A-5 was withdrawn. # Floating rate. * Notional amount and interest-only. a Privately placed pursuant to Rule 144A. b Class A-S, Class B and Class C certificates may be exchanged for Class PEX certificates; and Class PEX certificates may be exchanged for Class A-S, Class B and Class C certificates. WFRBS COMMERCIAL 2011-C4: Moody's Affirms Ba3 Rating on X-B Debt ---------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on thirteen classes in WFRBS Commercial Mortgage Trust 2011-C4, Commercial Mortgage Pass-Through Certificates, Series 2011-C4 as follows: Cl. A-2, Affirmed Aaa (sf); previously on May 1, 2015 Affirmed Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on May 1, 2015 Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on May 1, 2015 Affirmed Aaa (sf) Cl. A-FL, Affirmed Aaa (sf); previously on May 1, 2015 Affirmed Aaa (sf) Cl. A-FX, Affirmed Aaa (sf); previously on May 1, 2015 Affirmed Aaa (sf) Cl. B, Affirmed Aa2 (sf); previously on May 1, 2015 Affirmed Aa2 (sf) Cl. C, Affirmed A2 (sf); previously on May 1, 2015 Affirmed A2 (sf) Cl. D, Affirmed Baa1 (sf); previously on May 1, 2015 Affirmed Baa1 (sf) Cl. E, Affirmed Baa3 (sf); previously on May 1, 2015 Affirmed Baa3 (sf) Cl. F, Affirmed Ba2 (sf); previously on May 1, 2015 Affirmed Ba2 (sf) Cl. G, Affirmed B2 (sf); previously on May 1, 2015 Affirmed B2 (sf) Cl. X-A, Affirmed Aaa (sf); previously on May 1, 2015 Affirmed Aaa (sf) Cl. X-B, Affirmed Ba3 (sf); previously on May 1, 2015 Affirmed Ba3 (sf) RATINGS RATIONALE The ratings on the P&I classes were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The ratings on the two IO classes were affirmed based on the credit performance (or the weighted average rating factor or WARF) of the referenced classes. Moody's rating action reflects a base expected loss of 1.8% of the current balance, compared to 1.9% at Moody's last review. Moody's base expected loss plus realized losses is now 1.5% of the original pooled balance, compared to 1.7% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in December 2014. DESCRIPTION OF MODELS USED Moody's review used the excel-based CMBS Conduit Model, which it uses for both conduit and fusion transactions. Credit enhancement levels for conduit loans are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate Moody's uses to estimate Moody's value). Moody's fuses the conduit results with the results of its analysis of investment grade structured credit assessed loans and any conduit loan that represents 10% or greater of the current pool balance. 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 22, compared to 26 at Moody's last review. DEAL PERFORMANCE As of the April 15, 2016 distribution date, the transaction's aggregate certificate balance has decreased by 16% to $1.2 billion from $1.5 billion at securitization. The certificates are collateralized by 67 mortgage loans ranging in size from less than 1% to 12% of the pool, with the top ten loans constituting 45% of the pool. Three loans, constituting 11% of the pool, have defeased and are secured by US government securities. Twelve loans, constituting 16% 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. One loan, constituting less than 1% of the pool, is currently in special servicing. This loan is the Park Place Student Housing Loan ($9.6 million -- 0.8% of the pool), which is secured by a 252 room student housing complex in Fredonia, New York, approximately 50 miles south of Buffalo, close to Lake Erie. The property is situated directly next to the State University of New York at Fredonia. The loan transferred to special servicing in November 2014 due to imminent default and the loan is paid thru March 2016. Moody's has also assumed a high default probability for two poorly performing loans, constituting 1.5% of the pool, and has estimated an aggregate loss of $4.2 million (a 15% expected loss on average) from the specially serviced and troubled loans. Moody's received full year 2014 operating results for 96% of the pool, and full or partial year 2015 operating results for 99% of the pool. Moody's weighted average conduit LTV is 73%, compared to 77% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 11% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.5%. Moody's actual and stressed conduit DSCRs are 1.90X and 1.54X, respectively, compared to 1.84X and 1.48X 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 conduit loans represent 26% of the pool balance. The largest loan is the Fox River Mall Loan ($151 million -- 12% of the pool), which is secured by a 649,000 SF portion of a a 1.2 million square foot (SF) super-regional mall in Appleton, Wisconsin. The mall is anchored by Macy's, Target, Younkers and Scheel's. Scheel's is the only anchor that is part of the collateral. The collateral was 97% leased as of December 2015, compared to 96% at last review, and 92% at securitization. Performance has remained stable. Moody's LTV and stressed DSCR are 71% and 1.37X, respectively, the same as at last review. The second largest loan is the Preferred Freezer Portfolio Loan ($111 million -- 9% of the pool), which is secured by seven industrial cold storage facilities. The portfolio is subject to a 25-year triple net lease through 2033 to Preferred Freezer Operating, LLC. The lease provides for rent steps every five years. Moody's LTV and stressed DSCR are 63% and 1.71X, respectively, compared to 64% and 1.70X at the last review. The third largest loan is the Cole Retail Portfolio ($60 million -- 5% of the pool), which is secured by 13 single-tenant properties and one anchored multi-tenanted property located across 11 states. Tenants include CVS, Carmax, On the Border, and Bed Bath and Beyond. As of September 2015, the portfolio was 100% leased compared to 99% at last review. Moody's LTV and stressed DSCR are 89% and 1.12X, respectively, the same as at the last review. WFRBS COMMERCIAL 2012-C7: Moody's Affirms B2 Rating on Cl. G Debt ----------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on thirteen classes in WFRBS Commercial Mortgage Trust 2012-C7, Commercial Mortgage Pass-Through Certificates, Series 2012-C7 as follows: Cl. A-1, Affirmed Aaa (sf); previously on May 8, 2015 Affirmed Aaa (sf) Cl. A-2, Affirmed Aaa (sf); previously on May 8, 2015 Affirmed Aaa (sf) Cl. A-S, Affirmed Aaa (sf); previously on May 8, 2015 Affirmed Aaa (sf) Cl. A-FL, Affirmed Aaa (sf); previously on May 8, 2015 Affirmed Aaa (sf) Cl. A-FX, Affirmed Aaa (sf); previously on May 8, 2015 Affirmed Aaa (sf) Cl. B, Affirmed Aa2 (sf); previously on May 8, 2015 Affirmed Aa2 (sf) Cl. C, Affirmed A2 (sf); previously on May 8, 2015 Affirmed A2 (sf) Cl. D, Affirmed Baa1 (sf); previously on May 8, 2015 Affirmed Baa1 (sf) Cl. E, Affirmed Baa3 (sf); previously on May 8, 2015 Affirmed Baa3 (sf) Cl. F, Affirmed Ba2 (sf); previously on May 8, 2015 Affirmed Ba2 (sf) Cl. G, Affirmed B2 (sf); previously on May 8, 2015 Affirmed B2 (sf) Cl. X-A, Affirmed Aaa (sf); previously on May 8, 2015 Affirmed Aaa (sf) Cl. X-B, Affirmed Ba3 (sf); previously on May 8, 2015 Affirmed Ba3 (sf) RATINGS RATIONALE The ratings on the P&I classes were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The ratings on the IO classes were affirmed based on the credit performance (or the weighted average rating factor or WARF) of the referenced classes. Moody's rating action reflects a base expected loss of 1.7% of the current balance, compared to 2.4% at Moody's last review. Moody's base expected loss plus realized losses is now 1.6% of the original pooled balance, compared to 2.3% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The methodologies used in these ratings were "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in December 2014, and "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in October 2015. DESCRIPTION OF MODELS USED Moody's review used the excel-based CMBS Conduit Model, which it uses for both conduit and fusion transactions. Credit enhancement levels for conduit loans are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate Moody's uses to estimate Moody's value). Moody's fuses the conduit results with the results of its analysis of investment grade structured credit assessed loans and any conduit loan that represents 10% or greater of the current pool balance. 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 16, the same as at Moody's last review. When the Herf falls below 20, Moody's uses the excel-based Large Loan Model and then reconciles and weights the results from the conduit and large loan models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan-level proceeds derived from Moody's loan-level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type and sponsorship. Moody's also further adjusts these aggregated proceeds for any pooling benefits associated with loan level diversity and other concentrations and correlations. DEAL PERFORMANCE As of the April 15th, 2016 distribution date, the transaction's aggregate certificate balance has decreased by 6.5% to $1.03 billion from $1.10 billion at securitization. The certificates are collateralized by 60 mortgage loans ranging in size from less than 1% to 14% of the pool, with the top ten loans constituting 63% of the pool. One loan, constituting 3% of the pool, has defeased and is secured by US government securities. Five loans, constituting 6% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. One loan has been liquidated from the pool with no realized loss. Two loans, constituting 1.4% of the pool, are currently in special servicing. Moody's estimates an aggregate $ 3.4 million loss for specially serviced loans (23% expected loss on average). Moody's has assumed a high default probability for one poorly performing loan, constituting 0.3% of the pool, and has estimated a modest loss from the troubled loan. Moody's received full year 2014 operating results for 100% of the pool, and full or partial year 2015 operating results for 95% of the pool. Moody's weighted average conduit LTV is 90%, compared to 89% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 15.8% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.9%. Moody's actual and stressed conduit DSCRs are 1.68X and 1.20X, respectively, compared to 1.73X and 1.23X 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 performing conduit loans represent 35% of the pool balance. The largest loan is the Northridge Fashion Center Loan ($147.8 million -- 14.3% of the pool), which is secured by the borrower's interest in a 644,000 square fee(SF) portion of a 1.5 million SF super regional mall in located in Northridge, California. The loan represents a 63.7% pari-passu interest in a $231.9 million loan. The property was originally built in 1971 then rebuilt after the 1994 Northridge earthquake and expanded in 1998. The property is anchored by Macy's, Macy's Men and Home, Sears and JC Penney (none of which are part of the collateral). Major tenants include Sports Authority, Pacific Theatres, and Forever 21. The collateral was 97% leased as of year-end 2015, compared to 98% as of year-end 2014. The loan is benefiting from amortization. Moody's LTV and stressed DSCR are 93% and 1.04X, respectively, compared to 90% and 1.09X at the last review. The second largest loan is the Town Center at Cobb Loan ($126.3 million -- 12.2% of the pool). The loan is secured by a 600,000 SF portion of a 1.28 million SF super regional mall in Kennesaw, Georgia, approximately 25 miles northwest of the Atlanta CBD. The loan represents a 65.0% pari-passu interest in a $194.3 million loan. The property was built in 1985 and most recently renovated in 2011. As of December 2015 the collateral was 88% leased compared to 90% as of December 2014. The property is anchored by Macy's, Macy's Furniture, Belk, Sears and JC Penney. Only Belk and a 31,000 SF portion of JC Penney are included in the collateral. Moody's LTV and stressed DSCR are 93% and 1.02X, respectively, compared to 94% and 1.00X at the last review. The third largest loan is the Florence Mall Loan ($90.0 million -- 8.7% of the pool), which is secured by the borrower's interest in a 384,000 SF portion of a 957,000 SF regional mall located in Florence, Kentucky, approximately 12 miles southwest of the Cincinnati CBD.The property is anchored by Macy's, Macy's Home, Sears and JC Penney (none of which are part of the collateral). The collateral was 84% leased as of December 2015, compared to 89% leased as of December 2014. Moody's LTV and stressed DSCR are 79% and 1.27X, respectively, the same as at the last review. [*] Institutional Loan Market Defaults Surpass $1BB, Fitch Says --------------------------------------------------------------- Three loan defaults pushed the trailing 12-month (TTM) institutional leveraged loan default rate to 1.8% in April, up from 1.6% at end-March, according to Fitch Ratings. Peabody Energy's bankruptcy filing along with Vertellus Specialty's missed payment and Stallion Oilfield's small distressed debt exchange added $1.7 billion to the default tally so far in April. The metals/mining sector rate rose to 29%, up from 25% at end-March, while the coal subsector rate rose to 57% with the addition of Peabody's $1.2 billion term loan. The loan default rates for energy and the E&P subsector will likely close April at 11% and 20%, respectively. Together, energy and metals/mining account for 65% of TTM volumes. "With six consecutive months of defaults totaling $1 billion or more now under its belt, the institutional leveraged loan universe is experiencing the highest consecutive monthly default volumes since 2009-2010," said Eric Rosenthal, Senior Director of Leveraged Finance. April is also the 12th consecutive month the institutional leveraged loan universe recorded a default from the energy or metals/mining sectors -- a trend that should continue as Seventy Seven Energy's restructuring support agreement, finalized on April 19, paves the way for a bankruptcy filing before May 26. Fitch expects the institutional leveraged loan default rate will end 2016 at 2.5%, with energy and metals/mining contributing the most, in terms of both defaulted issuers and volume. Despite the heightened defaults, CLO portfolio exposure to defaulted obligors remains largely manageable. Peabody Energy, April's largest default, was held by 29 of the 233 Fitch-rated CLOs, averaging 0.6% exposure. [*] Moody's Takes Action on $9.6MM FHA/VA RMBS Issued 1999-2005 --------------------------------------------------------------- Moody's Investors Service, on April 28, 2016, downgraded the ratings of three tranches and upgraded the ratings of two tranches from three transactions issued by GSMPS Mortgage Loan Trust 2005-LT1, RBSGC Mortgage Loan Trust 2005-RP1 and SACO I Trust 1999-5. The collateral backing these deals consists of first-lien fixed and adjustable rate mortgage loans insured by the Federal Housing Administration (FHA) an agency of the U.S. Department of Urban Development (HUD) or guaranteed by the Veterans Administration (VA). Complete rating actions are as follows: Issuer: GSMPS Mortgage Loan Trust 2005-LT1 Cl. A-1, Upgraded to Aa3 (sf); previously on Jun 1, 2015 Upgraded to A1 (sf) Cl. M-1, Upgraded to A2 (sf); previously on Jun 1, 2015 Upgraded to A3 (sf) Issuer: RBSGC Mortgage Loan Trust 2005-RP1 Cl. I-B-1, Downgraded to Caa1 (sf); previously on Jun 1, 2015 Downgraded to B3 (sf) Cl. I-B-2, Downgraded to Ca (sf); previously on Sep 30, 2011 Downgraded to Caa3 (sf) Issuer: SACO I Trust 1999-5 Cl. A, Downgraded to Ba3 (sf); previously on Jun 1, 2015 Downgraded to Ba2 (sf) RATINGS RATIONALE The rating actions are a result of the recent performance of the FHA-VA portfolio and reflect Moody's updated loss expectations on these pools and the structural nuances of the transactions. The tranches downgraded are primarily due to the erosion of credit enhancement supporting these bonds, as a result of the amortization of the subordinate bonds and losses incurred by the subordinate bonds. The tranches upgraded are primarily due to the buildup of credit enhancement on the bonds. A FHA guarantee covers 100% of a loan's outstanding principal and a large portion of its outstanding interest and foreclosure-related expenses in the event that the loan defaults. A VA guarantee covers only a portion of the principal based on the lesser of either the sum of the current loan amount, accrued and unpaid interest, and foreclosure expenses, or the original loan amount. HUD usually pays claims on defaulted FHA loans when servicers submit the claims, but can impose significant penalties on servicers if it finds irregularities in the claim process later during the servicer audits. This can prompt servicers to push more expenses to the trust that they deem reasonably incurred than submit them to HUD and face significant penalty. The rating actions consider the portion of a defaulted loan normally not covered by the FHA or VA guarantee and other servicer expenses they deemed reasonably incurred and passed on to the trust. The principal methodology used in these ratings was "FHA-VA US RMBS Methodology" published in November 2013. Factors that would lead to an upgrade or downgrade of the rating: 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 5.0% in March 2016 from 5.5% in March 2015. Moody's forecasts an unemployment central range of 4.5% to 5.5% for the 2016 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 2016. Lower increases than Moody's expects or decreases could lead to negative rating actions. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. [*] S&P Takes Rating Actions on 20 RMBS & RMBS Re-REMIC Deals ------------------------------------------------------------- Standard & Poor's Ratings Services, on April 27, 2016, took various rating actions on 109 classes from 20 U.S. residential mortgage-backed securities (RMBS) and RMBS resecuritized real estate mortgage investment conduit (re-REMIC) transactions. S&P raised 13 ratings, lowered 11 ratings, affirmed 61 ratings, discontinued six ratings, and withdrew two ratings. Sixteen ratings remain on CreditWatch negative. All of the transactions in this review were issued between 1997 and 2009 and are supported by a mix of fixed- and adjustable-rate alternative-A, first-lien high loan-to-value (LTV), negative amortization, subprime, and prime jumbo mortgage loan collateral. Subordination, overcollateralization (where available), excess interest, as applicable, and bond insurance, provide credit enhancement for the transactions in this review. Where the bond insurer is rated lower than what S&P would rate the respective class, S&P relied solely on the underlying collateral's credit quality and the transaction structure to derive the rating. In addition, the re-REMICs' capital structures contain subordination. ANALYTICAL CONSIDERATIONS S&P routinely incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by S&P's projected cash flows. These considerations are based on specific performance or structural characteristics, or both, and their potential effects on certain classes. UPGRADES S&P raised its ratings on 13 classes. The projected credit support for the affected classes is sufficient to cover S&P's projected losses at these rating levels. The upgrades reflect one or more of: -- Improved collateral performance/delinquency trends; -- Increased credit support; and -- Expected short duration. DOWNGRADES S&P lowered its ratings on 11 classes due to deteriorating collateral performance and/or the erosion of credit support. AFFIRMATIONS For certain transactions, S&P considered specific performance characteristics that, in its view, could add volatility to its loss assumptions and, in turn, to the ratings suggested by S&P's cash flow projections. In these circumstances, S&P affirmed, rather than raised, its ratings on those classes to promote ratings stability. In general, the bonds that were affected reflect one or more of: -- Delinquency trends; -- Historical interest shortfalls; -- Significant growth in observed loss severities; -- A low priority of principal payments; -- A high proportion of re-performing loans in the pool; and -- Low subordination or overcollateralization, or both. S&P affirmed 39 ratings in the 'AAA' through 'B' categories. These affirmations reflect S&P's opinion that its projected credit support is sufficient to cover its projected losses in those rating scenarios. S&P also affirmed 22 'CCC (sf)' and 'CC (sf)' ratings. S&P believes that its projected credit support will remain insufficient to cover S&P's projected losses to these classes. As defined in "Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' ratings," published Oct. 1, 2012, the 'CCC (sf)' affirmations indicate that S&P believes these classes are still vulnerable to default, and the 'CC (sf)' affirmations reflect S&P's belief that these classes remain virtually certain to default. DISCONTINUANCES S&P discontinued its ratings on six classes because these classes have has been paid in full or were redeemed in December 2015. WITHDRAWALS Two of the reviewed classes have received bond insurance payments from insurers that S&P no longer rates. Such payments were made in anticipation of an expected payment default. S&P withdrew the ratings on these classes because S&P no longer have sufficient information about the insurers' creditworthiness to form the basis of an insurer-dependent rating. Before S&P's withdrawals, the ratings were on CreditWatch negative due a lack of information necessary to apply S&P's loan modification criteria. CREDITWATCH NEGATIVE PLACEMENTS Sixteen ratings remain on CreditWatch negative to reflect the lack of information necessary to apply our loan modification criteria. ECONOMIC OUTLOOK When determining a U.S. RMBS collateral pool's relative credit quality, S&P's loss expectations stem, to a certain extent, from its view of how the loans will behave under various economic conditions. Standard & Poor's baseline macroeconomic outlook assumptions for variables that it believes could affect residential mortgage performance are: -- An overall unemployment rate of 4.8% in 2016; -- Real GDP growth of 2.3% for 2016; -- The inflation rate will be 1.8% in 2016; and -- The 30-year fixed mortgage rate will average about 4.1% in 2016. S&P's outlook for RMBS is stable. Although S&P views overall housing fundamentals positively, it believes RMBS fundamentals still hinge on additional factors, such as the ultimate fate of modified loans, the propensity of servicers to advance on delinquent loans, and liquidation timelines. Under S&P's baseline economic assumptions, it expects RMBS collateral quality to improve. However, if the U.S. economy were to become stressed in line with Standard & Poor's downside forecast, it believes that U.S. RMBS credit quality would weaken. S&P's downside scenario reflects these key assumptions: -- Total unemployment will tick up to 5.1% for 2016; -- Downward pressure causes GDP growth to fall to 1.3% in 2016; -- Home price momentum slows as potential buyers are not able to purchase property; and -- While the 30-year fixed mortgage rate remains a low 3.7% in 2016, limited access to credit and pressure on home prices will largely prevent consumers from capitalizing on these rates. A list of the Affected Ratings is available at: http://is.gd/YZ5psE [*] S&P Takes Rating Actions on 20 RMBS and RMBS Re-REMIC Deals --------------------------------------------------------------- Standard & Poor's Ratings Services, on April 27, 2016, took various rating actions on 109 classes from 20 U.S. residential mortgage-backed securities (RMBS) and RMBS resecuritized real estate mortgage investment conduit (re-REMIC) transactions. S&P raised 13 ratings, lowered 11 ratings, affirmed 61 ratings, discontinued six ratings, and withdrew two ratings. Sixteen ratings remain on CreditWatch negative. All of the transactions in this review were issued between 1997 and 2009 and are supported by a mix of fixed- and adjustable-rate alternative-A, first-lien high loan-to-value (LTV), negative amortization, subprime, and prime jumbo mortgage loan collateral. Subordination, overcollateralization (where available), excess interest, as applicable, and bond insurance, provide credit enhancement for the transactions in this review. Where the bond insurer is rated lower than what S&P would rate the respective class, it relied solely on the underlying collateral's credit quality and the transaction structure to derive the rating. In addition, the re-REMICs' capital structures contain subordination. ANALYTICAL CONSIDERATIONS S&P routinely incorporate various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by S&P's projected cash flows. These considerations are based on specific performance or structural characteristics, or both, and their potential effects on certain classes. UPGRADES S&P raised its ratings on 13 classes. The projected credit support for the affected classes is sufficient to cover S&P's projected losses at these rating levels. The upgrades reflect one or more of: -- Improved collateral performance/delinquency trends; -- Increased credit support; and -- Expected short duration. DOWNGRADES S&P lowered its ratings on 11 classes due to deteriorating collateral performance and/or the erosion of credit support. AFFIRMATIONS For certain transactions, S&P considered specific performance characteristics that, in its view, could add volatility to its loss assumptions and, in turn, to the ratings suggested by S&P's cash flow projections. In these circumstances, S&P affirmed, rather than raised, its ratings on those classes to promote ratings stability. In general, the bonds that were affected reflect one or more of: -- Delinquency trends; -- Historical interest shortfalls; -- Significant growth in observed loss severities; -- A low priority of principal payments; -- A high proportion of re-performing loans in the pool; and -- Low subordination or overcollateralization, or both. S&P affirmed 39 ratings in the 'AAA' through 'B' categories. These affirmations reflect S&P's opinion that its projected credit support is sufficient to cover its projected losses in those rating scenarios. S&P also affirmed 22 'CCC (sf)' and 'CC (sf)' ratings. S&P believes that its projected credit support will remain insufficient to cover its projected losses to these classes. As defined in "Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings," published Oct. 1, 2012, the 'CCC (sf)' affirmations indicate that S&P believes these classes are still vulnerable to default, and the 'CC (sf)' affirmations reflect S&P's belief that these classes remain virtually certain to default. DISCONTINUANCES S&P discontinued its ratings on six classes because these classes have has been paid in full or were redeemed in December 2015. WITHDRAWALS Two of the reviewed classes have received bond insurance payments from insurers that S&P no longer rates. Such payments were made in anticipation of an expected payment default. S&P withdrew the ratings on these classes because it no longer has sufficient information about the insurers' creditworthiness to form the basis of an insurer-dependent rating. Before S&P's withdrawals, the ratings were on CreditWatch negative due a lack of information necessary to apply its loan modification criteria. CREDITWATCH NEGATIVE PLACEMENTS Sixteen ratings remain on CreditWatch negative to reflect the lack of information necessary to apply S&P's loan modification criteria. ECONOMIC OUTLOOK When determining a U.S. RMBS collateral pool's relative credit quality, S&P's loss expectations stem, to a certain extent, from its view of how the loans will behave under various economic conditions. Standard & Poor's baseline macroeconomic outlook assumptions for variables that it believes could affect residential mortgage performance are: -- An overall unemployment rate of 4.8% in 2016; -- Real GDP growth of 2.3% for 2016; -- The inflation rate will be 1.8% in 2016; and -- The 30-year fixed mortgage rate will average about 4.1% in 2016. S&P's outlook for RMBS is stable. Although S&P views overall housing fundamentals positively, it believes RMBS fundamentals still hinge on additional factors, such as the ultimate fate of modified loans, the propensity of servicers to advance on delinquent loans, and liquidation timelines. Under S&P's baseline economic assumptions, it expects RMBS collateral quality to improve. However, if the U.S. economy were to become stressed in line with Standard & Poor's downside forecast, it believes that U.S. RMBS credit quality would weaken. S&P's downside scenario reflects these key assumptions: -- Total unemployment will tick up to 5.1% for 2016; -- Downward pressure causes GDP growth to fall to 1.3% in 2016; -- Home price momentum slows as potential buyers are not able to purchase property; and -- While the 30-year fixed mortgage rate remains a low 3.7% in 2016, limited access to credit and pressure on home prices will largely prevent consumers from capitalizing on these rates. A list of the Affected Ratings is available at: http://bit.ly/1TNGmCK [*] S&P Takes Rating Actions on 63 U.S. RMBS 2nd Lien Deals ----------------------------------------------------------- Standard & Poor's Ratings Services, on April 27, 2016, took various rating actions on 99 classes from 63 U.S. residential mortgage-backed securities (RMBS) second-lien transactions. S&P lowered seven ratings, affirmed 69 ratings, and withdrew 23 ratings. All of the classes within this review were rated 'CCC (sf)', 'CC (sf)', or 'D (sf)' before this review, and none of the ratings are rated higher than 'CCC (sf)' following this review. All of the reviewed transactions were issued between 2001 and 2007 and are backed by a mix of adjustable- and fixed-rate second-lien mortgage loans. Subordination, overcollateralization (when available), excess interest, pool policies (as applicable), and bond insurance (as applicable) provide credit enhancement for the reviewed transactions. Where the bond insurer is no longer rated, S&P relied solely on the underlying collateral's credit quality and the transaction structure to derive the rating. ANALYTICAL CONSIDERATIONS S&P routinely incorporates various considerations into its decisions to raise, lower, and/or affirm ratings when reviewing the indicative ratings suggested by S&P's projected cash flows. These considerations are based on specific performance or structural characteristics, or both and their potential effects on certain classes. For ratings below the indicative ratings suggested by S&P's cash flow projections, the negative characteristics include: -- Deteriorating credit performance trends; -- Anticipated volatility or instability in the break-even cash flow scenarios; -- Observed interest shortfalls; and/or -- Insufficient credit enhancement relative to S&P's projected losses. DOWNGRADES The seven downgrades primarily reflect deteriorated collateral performance, principal write-downs, and/or interest shortfalls. AFFIRMATIONS S&P affirmed 69 'CCC (sf)' or 'CC (sf)' ratings. S&P believes that its projected credit support will remain insufficient to cover S&P's projected losses to these classes. As defined in S&P's criteria, the 'CCC (sf)' affirmations indicate that it believes these classes are still vulnerable to default, and the 'CC (sf)' affirmations reflect S&P's belief that these classes remain virtually certain to default. WITHDRAWALS Twenty-three of the reviewed classes have received bond insurance payments from insurers that S&P no longer rates. Such payments were made in anticipation of an expected payment default. S&P withdrew the ratings on these classes because it no longer have sufficient information about the insurers' creditworthiness to form the basis of an insurer-dependent rating. ECONOMIC OUTLOOK When determining a U.S. RMBS collateral pool's relative credit quality, S&P's loss expectations stem, to a certain extent, from its view of how the loans will behave under various economic conditions. Standard & Poor's baseline macroeconomic outlook assumptions for variables that it believes could affect residential mortgage performance are: -- An overall unemployment rate of 4.8% in 2016; -- Real GDP growth of 2.3% for 2016; -- An inflation rate of 1.8% in 2016; and -- The 30-year fixed mortgage rate will average about 4.1% in 2016. S&P's outlook for RMBS is stable. Although S&P views overall housing fundamentals positively, it believes RMBS fundamentals still hinge on additional factors, such as the ultimate fate of modified loans, the propensity of servicers to advance on delinquent loans, and liquidation timelines. Under S&P's baseline economic assumptions, it expects RMBS collateral quality to improve. However, if the U.S. economy were to become stressed in line with Standard & Poor's downside forecast, it believes that U.S. RMBS credit quality would weaken. S&P's downside scenario reflects these key assumptions: -- Total unemployment will tick up to 5.1% for 2016; -- Downward pressure causes GDP growth to fall to 1.3% in 2016; -- Home price momentum slows as potential buyers are not able to purchase property; and -- While the 30-year fixed mortgage rate remains a low 3.7% in 2016, limited access to credit and pressure on home prices will largely prevent consumers from capitalizing on these rates. A list of the Affected Ratings is available at: http://is.gd/BZohHu ********* 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. ********* 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 2016. 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 or Nina Novak at 202-362-8552. *** End of Transmission ***