/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/160619.mbx T R O U B L E D C O M P A N Y R E P O R T E R Sunday, June 19, 2016, Vol. 20, No. 171 Headlines BANC OF AMERICA 2004-5: Moody's Affirms Ba3 Rating on Cl. K Debt BANK OF AMERICA 2003-2: Fitch Affirms 'Dsf' Rating on 4 Tranches BANK OF AMERICA 2016-UBS10: Fitch Rates $10.95MM Cl. F Debt 'Bsf' BLACKROCK 1997-R1: Moody's Cuts Class A-WAC Debt Rating to Ca CARLYLE GLOBAL 20162: Moody's Assigns Ba3 Rating to Class D2 Notes CAVALRY CLO II: S&P Affirms BB- Rating on Class E Debt COLT 2016-1: Fitch to Rate $9.05MM Class M-1 Certs 'BBsf' COMM 2013-CCRE9: Fitch Affirms 'Bsf' Rating on Cl. F Debt COMM 2013-CCRE9: S&P Affirms BB- Rating on Class F Certificates COMM 2015-PC1: DBRS Confirms B Rating on Class F Debt COUNTRYWIDE 2007-MF1: Moody's Hikes Cl. A Debt Rating to Ba1 CREDIT SUISSE 2006-TFL2: Fitch Affirms 'Bsf' Rating on Cl. J Debt CSFB MORTGAGE 2005-C1: Moody's Affirms Ba3 Rating on Cl. E Certs DENALI CAPITAL CLO X: S&P Affirms B Rating on Cl. B-3L Notes FIGUEROA CLO 2013-1: S&P Affirms 'BB' Rating on Class D Notes GALAXY XXII: S&P Assigns Prelim. 'B-' Rating on Cl. F Notes GALAXY XXII: S&P Assigns Prelim. B- Rating on Class F Notes GMAC COMMERCIAL 2004-C3: S&P Raises Rating on Cl. C Certs to B+ GOLUB CAPITAL 2007-1: Moody's Hikes Class E Debt Rating From Ba1 GS MORTGAGE 2010-C1: Moody's Affirms Ba3 Rating on Cl. X Certs GS MORTGAGE 2013-G1: Fitch Affirms 'BBsf' Rating on Cl. DM Debt HERTZ VEHICLE 2016-3: Fitch Assigns BB Rating on Class D Notes HIGHLAND PARK: Moody's Hikes Class A-2 Notes Rating to Caa1(sf) HILLMARK FUNDING: Moody's Cuts Class D Notes Rating to B1(sf) HPS LOAN: Moody's Assigns Definitive Ba3 Rating to Class D2 Debt ICE 1: Moody's Lowers Rating on Class D Notes to 'Caa2(sf)' JP MORGAN 2004-PNC1: Fitch Raises Rating on Class F Certs to 'B' JP MORGAN 2005-OPT1: Moody's Hikes Cl. M-4 Debt Rating to Ba3(sf) JP MORGAN 2006-LDP6: Moody's Cuts Cl. X-1 Debt Rating to Caa3(sf) JP MORGAN 2006-LDP8: Moody's Affirms B2 Rating on Class D Certs JP MORGAN 2011-C5: Moody's Affirms B3(sf) Rating on Class G Debt JP MORGAN 2016-FL8: S&P Assigns B Rating on Class C Certificates JP MORGAN 20161: Moody's Assigns (P)Ba3 Ratings to Cl. B4 Certs JPMBB 2014-C22: Moody's Affirms Ba3 Rating on Class UHP Debt LB-UBS COMMERCIAL 2004-C7: Moody's Hikes Cl. M Debt Rating to Caa2 MARATHON CLO V: S&P Affirms 'BB' Rating on Class D Notes MARLBOROUGH STREET: Moody's Lowers Rating on Cl. E Notes to B2 MERRILL LYNCH 2005-MCP1: Moody's Hikes Cl. E Debt Rating to Ba1 MIDOCEAN CREDIT V: Moody's Assigns Ba3 Rating to Class E Notes MORGAN STANLEY 1998-CF1: Moody's Affirms Caa1 Rating on Cl. G Debt MORGAN STANLEY 2006-NC3: Moody's Hikes Cl. A-2d Debt Rating to B1 MORGAN STANLEY 2015-C23: DBRS Confirms BB(sf) Rating on Cl. E Debt MORGAN STANLEY 2015-MS1: DBRS Confirms B Rating on Class F Certs NEWFLEET CLO 2016-1: S&P Assigns 'BB-' Rating on Class E Notes NSTAR VIII: Moody's Affirms 'Caa1(sf)' Rating on Class C Debt OCEAN TRAILS VI: Moody's Assigns Ba3 Rating to Class E Notes OCP CLO 2013-3: S&P Affirms 'BB' Rating on Class D Notes OCTAGON INVESTMENT XV: S&P Affirms BB Rating on Class E Notes ONEMAIN FINANCIAL 2016-3: DBRS Rates Class D Notes 'BBsf' PAINE WEBBER 1999-C1: Moody's Affirms C Rating on Cl. H Debt PALMER SQUARE 2016-2: S&P Assigns BB Rating on Class D Notes RACE POINT VII: S&P Affirms 'BB-' Rating on Class E Notes REALT 2007-2: Moody's Affirms 'Ba1(sf)' Rating on Class F Debt RR TRUST 2014-1: DBRS Confirms B Rating on Class Certs SALUS CLO 2012-1: DBRS Confirms BB Rating on Cl. E-X Notes SEQUOIA MORTGAGE 20161: Moody's Assigns B1 Ratings to Cl. B4 Debt STACR 2016-DNA3: DBRS Assigns BB Ratings to 2 Tranches VIBRANT CLO IV: Moody's Assigns Ba3 Rating on Class E Notes WACHOVIA BANK 2004-C15: DBRS Cuts Ratings on 2 Tranches to Dsf WACHOVIA BANK 2004-C15: Moody's Cuts Cl. F Debt Rating to Caa1(sf) WESTCOTT PARK: Moody's Assigns (P)Ba3 Rating to Class E Notes WESTLAKE AUTOMOBILE 2015-2: DBRS Confirms BB Rating on Cl. E Secs. WESTLAKE AUTOMOBILE 2016-2: DBRS Gives Prov. BB Rating to E Debt YORK CLO-3: Moody's Assigns Ba3(sf) Def. Rating to Cl. E Notes [*] Moody's Raises Ratings on $220.3MM of Securities [*] S&P Takes Various Rating Actions on 8 RMBS Re-REMIC Deals ********* BANC OF AMERICA 2004-5: Moody's Affirms Ba3 Rating on Cl. K Debt ---------------------------------------------------------------- Moody's Investors Service has upgraded two classes and affirmed three classes in Banc of America Commercial Mortgage Inc. Commercial Mortgage Pass-Through Certificates, Series 2004-5 as: Cl. H, Upgraded to Aa2 (sf); previously on Oct. 23, 2015, Upgraded to A1 (sf) Cl. J, Upgraded to Baa1 (sf); previously on Oct. 23, 2015, Upgraded to Baa3 (sf) Cl. K, Affirmed B3 (sf); previously on Oct. 23, 2015, Upgraded to B3 (sf) Cl. L, Affirmed Caa3 (sf); previously on Oct. 23, 2015, Upgraded to Caa3 (sf) Cl. XC, Affirmed Caa2 (sf); previously on Oct. 23, 2015, Affirmed Caa2 (sf) RATINGS RATIONALE The ratings on two IG P&I classes, Classes H and J, were upgraded based on an increase in credit support from paydowns and amortization. The deal has paid down 16% since last review and 98% since securitization. The ratings on two P&I classes, Classes K and L, were affirmed because their ratings are consistent with Moody's expected loss. The rating on one IO class, Class XC, was affirmed based on the credit performance (or the weighted average rating factor or WARF) of the referenced class. Moody's rating action reflects a base expected loss of 0.0% of the current balance compared to 7.5% at last review. Moody's base plus realized loss totals 1.9% compared to 2.1% 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 Moody's does not anticipate losses from the remaining collateral in the current environment. However, over the remaining life of the transaction, losses may emerge from macro stresses to the environment and changes in collateral performance. Moody's ratings reflect the potential for future losses under varying levels of stress. 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. 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 2, the same as at last review. DEAL PERFORMANCE As of the May 10, 2016, distribution date, the transaction's aggregate certificate balance has decreased by 98% to $22.7 million from $1.4 billion at securitization. The certificates are collateralized by two mortgage loans ranging in size from 22% to 78% of the pool. There are no loans 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. Sixteen loans have been liquidated from the pool with ten of those liquidated loans resulting in an aggregate realized loss of $26.5 million (for an average loss severity of 13%). There are no loans in special servicing at this time. Moody's received full year 2014 and full year 2015 operating results for 100% of the pool. Moody's weighted average conduit LTV is 81%, compared to 82% 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 32% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.1%. Moody's actual and stressed conduit DSCRs are 1.33X and 1.23X, respectively, compared to 1.50X and 1.22X 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 performing loan is the L'Oreal Warehouse Loan ($17.7 million -- 78% of the pool), which is secured by a 649,250 SF mixed-use office and warehouse building that is 100% leased to L'Oreal through October 2019. Built to suit in 2004 for L'Oreal, the property has 51 overhead doors, 40 trailer parking spots and has good access to major highways connecting to Cleveland, Youngstown, Akron, Ohio and Pittsburgh, Pennsylvania. Due to the single tenant exposure, Moody's stressed the value of this property utilizing a lit/dark analysis. The L'Oreal lease is also coterminous with the loan maturity date. The loan has amortized 12% since securitization. Moody's LTV and stressed DSCR are 84% and 1.15X, respectively, compared to 85% and 1.14X at last review. The second largest performing loan is the Country Club Ridge Loan ($5.0 million -- 22% of the pool), which is secured by a 247-unit co-op property in Hartsdale, Westchester County, New York. The loan has amortized 10% since securitization. Moody's LTV and stressed DSCR are 67% and 1.52X, respectively, compared to 68% and 1.51X at last review. BANK OF AMERICA 2003-2: Fitch Affirms 'Dsf' Rating on 4 Tranches ---------------------------------------------------------------- Fitch Ratings has upgraded three classes of Bank of America Commercial Mortgage Inc. (BACM) commercial mortgage pass-through certificates, series 2003-2. KEY RATING DRIVERS The upgrades are due to the increase in the number of defeased loans (95.6% of the current balance) with classes H, J and K fully covered by defeased collateral. As of the May 2016 distribution date the pool's aggregate principal balance has been reduced by 96.54% to $58 million from $1.77 billion at issuance. Of the original 152 loans in the pool, six remain. All the remaining loans, with the exception of one specially serviced asset (3.48%), are defeased and mature in 2018. Interest shortfalls are currently affecting class L. The specially serviced asset is the Rustic Pines (3.48%), a 131-unit manufactured housing community located in Thompson, OH. The loan was originally transferred to the special servicer in October 2013 due to maturity default after the borrower was unable to refinance the loan. The property has been real estate owned (REO) since March 2015. The special servicer has indicated that the workout of this asset is near resolution as the property is currently under contract. The sale is anticipated to close later this month. RATING SENSITIVITIES The Rating Outlooks on classes H, J and K remain Stable as the collateral is defeased and therefore is a direct pass-through to the rating of the U.S. government. DUE DILIGENCE USAGE No third party due diligence was provided or reviewed in relation to this rating action. Fitch upgrades these classes: -- $20.8 million class H to 'AAAsf' from 'Asf'; Outlook Stable; -- $18.9 million class J to 'AAAsf' from 'Asf'; Outlook Stable; -- $10.5 million class K to 'AAAsf' from 'Asf'; Outlook Stable. Fitch affirms these classes as indicated: -- $7.9 million class L at 'Dsf'; RE 80%; -- $0 class M at 'Dsf'; RE 0%; -- $0 class N at 'Dsf'; RE 0%; -- $0 class O at 'Dsf'; RE 0%. The class A-1, A-1A, A-2, A-3, A-4, B, C, D, E, F, G, and BW Rakes certificates have paid in full. Fitch does not rate the class P and HS Rake certificates. Fitch previously withdrew the ratings on the interest-only class XC and XP certificates. BANK OF AMERICA 2016-UBS10: Fitch Rates $10.95MM Cl. F Debt 'Bsf' ----------------------------------------------------------------- Fitch Ratings has assigned the following ratings and Rating Outlooks to Bank of America Merrill Lynch Commercial Mortgage Trust 2016-UBS10 Commercial Mortgage Pass-Through Certificates: -- $31,300,000 class A-1 'AAAsf'; Outlook Stable; -- $135,900,000 class A-2 'AAAsf'; Outlook Stable; -- $49,500,000 class A-SB 'AAAsf'; Outlook Stable; -- $175,000,000 class A-3 'AAAsf'; Outlook Stable; -- $221,682,000 class A-4 'AAAsf'; Outlook Stable; -- $613,382,000b class X-A 'AAAsf'; Outlook Stable; -- $89,816,000b class X-B 'AA-sf'; Outlook Stable; -- $43,813,000 class A-S 'AAAsf'; Outlook Stable; -- $46,003,000 class B 'AA-sf'; Outlook Stable; -- $44,909,000 class C 'A-sf'; Outlook Stable; -- $51,480,000ab class X-D 'BBB-sf'; Outlook Stable; -- $21,906,000ab class X-E 'BBsf'; Outlook Stable; -- $10,954,000ab class X-F 'Bsf'; Outlook Stable; -- $51,480,000a class D 'BBB-sf'; Outlook Stable; -- $21,906,000a class E 'BBsf'; Outlook Stable; -- $10,954,000a class F 'Bsf'; Outlook Stable. (a) Notional amount and interest-only. (b) Privately placed and pursuant to Rule 144A. Fitch does not rate the $18,620,000ab class X-G, the $25,193,056ab class X-H, the $18,620,000a class G, and the $25,193,056a class H. The certificates represent the beneficial ownership interest in the trust, primary assets of which are 52 loans secured by 84 commercial properties having an aggregate principal balance of approximately $876.3 million as of the cut-off date. The loans were contributed to the trust by UBS Real Estate Securities, Inc., Barclays Bank PLC, Morgan Stanley Mortgage Capital Holdings, LLC, and Bank of America, National Association. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 79.6% of the properties by balance, cash flow analysis of 84.8%, and asset summary reviews on 100% of the pool. KEY RATING DRIVERS Higher Fitch Leverage: The transaction has higher leverage statistics than other recent Fitch-rated transactions. The Fitch debt service coverage ratio (DSCR) and loan to value (LTV) are 1.14x and 108.2%, respectively. This is worse than other Fitch-rated fixed-rate multiborrower transactions; the year-to-date (YTD) 2016 average Fitch DSCR is 1.17x and the YTD 2016 average Fitch LTV is 107.9%. High Concentration of Pari Passu Loans: Twelve loans representing 45.1% of the pool by balance are pari passu loans. Ten of the pari passu loans (35.5% of the pool) have their controlling notes securitized in other transactions. Two loans, In-Rel 8 (6.8% of the pool) and Grove City Premium Outlets (2.7% of the pool) have their controlling notes securitized in this transaction. Less Concentrated Pool: The top 10 loans make up 51.5% of the pool, which is below the YTD 2016 average of 54.8% for other Fitch-rated fixed-rate multiborrower transactions. The pool's Loan Concentration Index (LCI) of 359 is below the YTD 2016 average of 415. RATING SENSITIVITIES For this transaction, Fitch's net cash flow (NCF) was 15.2% 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 BACM 2016-UBS10 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 'A-sf' could result. In a more severe scenario, in which NCF declined a further 30% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'BBBsf' could result. DUE DILIGENCE USAGE Fitch was provided with third-party due diligence information from KPMG 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 50 mortgage loans. Fitch considered this information in its analysis and the findings did not have an impact on the analysis. BLACKROCK 1997-R1: Moody's Cuts Class A-WAC Debt Rating to Ca ------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of two tranches issued from two deals backed by small balance reperforming "scratch and dent" RMBS loans. Complete rating actions are as follows: Issuer: BlackRock Capital Finance L.L.C. 1997-R1 WAC, Downgraded to Caa2 (sf); previously on Sep 2, 2014 Downgraded to B2 (sf) Issuer: BlackRock Capital Finance L.L.C. 1997-R3 A-WAC, Downgraded to Caa2 (sf); previously on Jul 30, 2015 Downgraded to B3 (sf) RATINGS RATIONALE The actions are a result of the recent performance of the underlying pools and reflect Moody's updated loss expectations on the pools. These tranches consist of a principal component, which is tied to the arrearage balance, and an interest component. The interest-only components are evaluated using the published methodology "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. The downgrades reflect the increasing weight of this interest-only component, as well as a historical under-collateralization of the principal component. CARLYLE GLOBAL 20162: Moody's Assigns Ba3 Rating to Class D2 Notes ------------------------------------------------------------------ Moody's Investors Service, Inc. has assigned ratings to the following classes of notes issued by Carlyle Global Market Strategies 20162, Ltd. (the "Issuer" or "CGMS 20162"). Moody's rating action is as follows: U.S.$310,000,000 Class A1 Senior Secured Floating Rate Notes due 2027 (the "Class A1 Notes"), Definitive Rating Assigned Aaa (sf) US$55,000,000 Class A2a Senior Secured Floating Rate Notes due 2027 (the "Class A2a Notes"), Definitive Rating Assigned Aa2 (sf) US$15,000,000 Class A2b Senior Secured Fixed Rate Notes due 2027 (the "Class A2b Notes"), Definitive Rating Assigned Aa2 (sf) US$31,000,000 Class B Senior Secured Deferrable Floating Rate Notes due 2027 (the "Class B Notes"), Definitive Rating Assigned A2 (sf) US$28,000,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2027 (the "Class C Notes"), Definitive Rating Assigned Baa3 (sf) US$5,000,000 Class D1 Mezzanine Secured Deferrable Floating Rate Notes due 2027 (the "Class D1 Notes"), Definitive Rating Assigned Ba3 (sf) US$16,000,000 Class D2 Mezzanine Secured Deferrable Floating Rate Notes due 2027 (the "Class D2 Notes"), Definitive Rating Assigned Ba3 (sf) The Class A1 Notes, the Class A2a Notes, the Class A2b Notes, the Class B Notes, the Class C Notes, the Class D1 Notes and the Class D2 Notes are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE Moody's ratings of the Rated Notes address the expected losses posed to noteholders. The ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. CGMS 20162 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated first lien senior secured corporate loans. Subject to the covlite matrix, at least 92.5% of the portfolio must consist of senior secured loans and eligible investments, and up to 7.5% of the portfolio may consist of second lien loans and unsecured loans. The portfolio is approximately 70% ramped as of the closing date. Carlyle GMS CLO Management L.L.C. (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's four and a half year reinvestment period. Thereafter, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets, subject to certain restrictions. In addition to the Rated Notes, the Issuer will issue subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the Rated Notes in order of seniority. CAVALRY CLO II: S&P Affirms BB- Rating on Class E Debt ------------------------------------------------------ S&P Global Ratings affirmed its ratings on the class A, B-1, B-2, C, D, and E notes from Cavalry CLO II Ltd., a U.S. collateralized loan obligation (CLO) transaction that closed in February 2013 and is scheduled to reinvest until April 2017. The deal is managed by Sankaty Advisors LLC. The rating actions follow S&P's review of the transaction's performance using data from the April 25, 2016, trustee report. The transaction has benefited from an increase in the level of assets rated 'BB-' or higher since the May 2013 effective date. Specifically, the percentage of assets in the collateral pool rated 'BB-' through 'BB+' has increased by nearly 10%, while assets rated 'B' and 'B-' have declined by over 15%. Additionally, the collateral portfolio's weighted average life has reduced to 4.42 from 5.47 over the same period, according to the trustee report. Because time horizon weighs heavily into default probability, a shorter weighted average life positively affects the creditworthiness of the collateral pool. Despite overall improvement in the credit quality of the performing collateral portfolio, the transaction has experienced an increase in both defaults and assets rated 'CCC+' and below since the May 2013 effective date. Specifically, the amount of defaulted assets increased to $6.86 million as of April 2016 from $1.50 million as of the May 2013 effective date (1.61% and 0.35% of the aggregate principal balance, respectively). The level of assets rated 'CCC+' and below increased to $26.04 million from $3.09 million (6.11% and 0.73% of the aggregate principal balance, respectively) over the same period. The increase in defaulted assets, as well as other factors, has affected the level of credit support available to all tranches, as seen by the decline in the overcollateralization (O/C) ratios: -- The class A/B O/C decreased to 127.17% from 129.82%. -- The class C O/C decreased to 117.96% from 120.42%. -- The class D O/C decreased to 111.41% from 113.74%. -- The class E O/C decreased to 105.56% from 107.76%. Even with the decline in credit support, all coverage tests are currently passing and are above the minimum requirements. Overall, the increase in defaulted assets has been largely offset by the decline in the weighted average life and improved credit quality of the collateral portfolio. As such, the affirmed ratings reflect S&P's belief that the credit support available is commensurate with the current rating levels. However, if assets currently rated 'CCC+' or below deteriorate further, sensitivity tests show that class E may be vulnerable and subject to downgrade. Although S&P's cash flow analysis points to higher ratings for classes B-1, B-2, C, D, and E, S&P's rating actions take into account the fact that the transaction is still in the reinvestment phase, as well as additional sensitivities that capture any potential changes in the underlying portfolio that may occur before the notes begin to amortize. "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the aforementioned trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and on recoveries upon default under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest or ultimate principal to each of the rated tranches. The results of the cash flow analysis demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with this rating action," S&P said. 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 Previous implied Cash flow Final Class rating rating(i) cushion(ii) rating A AAA (sf) AAA (sf) 12.32% AAA (sf) B-1 AA (sf) AA+ (sf) 10.02% AA (sf) B-2 AA (sf) AA+ (sf) 10.02% AA (sf) C A (sf) AA- (sf) 0.53% A (sf) D BBB (sf) BBB+ (sf) 7.41% BBB (sf) E BB- (sf) BB (sf) 1.33% 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 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 equals rating 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-1 AA+ (sf) AA+ (sf) AA+ (sf) AA+ (sf) AA (sf) B-2 AA+ (sf) AA+ (sf) AA+ (sf) AA+ (sf) AA (sf) C 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-1 AA+ (sf) AA+ (sf) AA- (sf) AA (sf) B-2 AA+ (sf) AA+ (sf) AA- (sf) AA (sf) C AA- (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) RATINGS AFFIRMED Cavalry CLO II Ltd. Class Rating A AAA (sf) B-1 AA (sf) B-2 AA (sf) C A (sf) D BBB (sf) E BB- (sf) COLT 2016-1: Fitch to Rate $9.05MM Class M-1 Certs 'BBsf' --------------------------------------------------------- Fitch Ratings expects to rate COLT 2016-1 Mortgage Loan Trust (COLT 2016-1) as: -- $89,424,000 class A-1 certificates 'Asf'; Outlook Stable; -- $89,424,000 class A-1X certificates 'Asf'; Outlook Stable; -- $48,351,000 class A-2 certificates 'BBBsf'; Outlook Stable; -- $48,351,000 class A-2X certificates 'BBBsf'; Outlook Stable; -- $9,056,000 class M-1 certificates 'BBsf'; Outlook Stable. Fitch will not be rating these certificates: -- $14,877,659 class M-2 certificates. This is the first Fitch-rated RMBS transaction issued post-crisis that consists primarily of newly originated, non-prime mortgage loans. All of the mortgage loans were originated by Caliber Home Loans, Inc. (Caliber). The transaction is collateralized with 51% non-qualified (Non-QM) mortgages as defined by the Ability to Repay (ATR) rule while 41% is designated as Higher Priced-QM and the remainder either meets the criteria for Safe Harbor QM or ATR does not apply. Due to Caliber's limited performance history of non-prime loans, Fitch capped the highest achievable rating at 'Asf'. The certificates are supported by a pool of 368 mortgage loans with credit scores (701) similar to legacy Alt-A collateral. However, unlike legacy originations, the loans were underwritten to comprehensive Appendix Q documentation standards and 100% due diligence was performed confirming adherence to the guidelines. Fitch also notes Caliber's sound operational controls, which are expected to result in better loan performance than pre-crisis loans with similar reported attributes. The weighted average loan-to value ratio is roughly 79% and many of the borrowers have significant liquid reserves. The transaction also benefits from an alignment of interest as LSRMF Acquisitions I or a majority owned affiliate, affiliates of Caliber, will be retaining a 5% vertical interest in the offered certificates as part of risk retention requirements. Fitch applied a default penalty to 47% of the pool to account for borrowers with a mortgage derogatory as recent as two years prior to obtaining the new mortgage; increased its non-QM loss severity penalty to account for potentially greater number of challenges to the ATR Rule; and applied a loan concentration penalty due to the large loan balances that make up 25% of the pool by dollar amount but just 7% by count. Initial credit enhancement for the class A-1 certificates of 44.7% is substantially above Fitch's 'Asf' rating stress loss of 19.50%. The additional initial credit enhancement is primarily driven by the pro rata principal distribution between the A-1 and A-2 certificates, which will result in a significant reduction of the class A-1 subordination over time through principal payments to the A-2. The certificate sizing also reflects the allocation of collateral principal to pay only principal on the certificates and collateral interest to pay only certificate interest. Both of these features resulted in higher initial subordination to ensure that principal and ultimate interest (with interest accrued on deferred amounts) are paid in full by maturity under each class's respective rating stress scenario. KEY RATING DRIVERS New Asset Class (Concern): Due to the limited non-prime performance to date of the asset manager, Hudson Americas L.P. (Hudson), and originator of the loans, Caliber, Fitch capped the highest possible initial rating at 'Asf'. As more post-crisis non-prime performance history is established while upholding appropriate underwriting and operational controls, Fitch will consider a higher rating in the future. Non-Prime Credit Quality (Concern): The credit scores (on average, 701) resemble legacy Alt-A collateral and the pool was analyzed using Fitch's Alt-A model with positive adjustments made to account for the improved operational quality, due diligence review, and presence of liquid reserves, and negative adjustments to reflect the concentration of borrowers (47%) with recent credit events, increased risk of ATR rule challenges and loans with TILA RESPA Integrated Disclosure (TRID) exceptions. Appendix Q Compliant (Positive): Although not required for Non-QM, all loans in the mortgage pool were underwritten to the comprehensive Appendix Q documentation standards defined by ATR. While a due diligence review identified roughly 10% of loans as having minor variations to Appendix Q and would therefore not meet the documentation standards for QM, Fitch views those differences as immaterial and all loans as having full income documentation. Operational and Data Quality (Positive): Fitch reviewed Caliber's and Hudson's origination and acquisition platforms and found them to have sound underwriting and operational control environments, reflecting industry improvements following the financial crisis that are expected to reduce risk related to misrepresentation and data quality. All loans in the mortgage pool were reviewed by a third party due diligence firm and the results indicated strong underwriting and property valuation controls. Alignment of Interests (Positive): The transaction benefits from an alignment of interests between the issuer and investors. LSRMF Acquisition I, LLC as sponsor and securitizer will be retaining at least a 5% vertical interest in each class of offered certificates. In addition, the mezzanine certificates, representing 14.80% of the transaction will be retained by LSRMF, or an affiliate, as part of its focus on investing in residential mortgage credit. Lastly, the rep and warranties provided by Caliber, which is owned by LSRMF affiliates, also aligns the interest of the investors with those of LSRMF to maintain high quality origination standards and sound performance, as Caliber will be obligated to repurchase loans due to rep breaches. Modified Sequential Payment Structure (Mixed): The structure distributes collected principal pro rata among the class A certificates while shutting out the subordinate certificates from principal until both classes have been reduced to zero. To the extent that either the Cumulative Loss Trigger Event or the Credit Enhancement Trigger Event fail in a given period, principal will be distributed sequentially to the A-1 and A-2 bonds until they are reduced to zero. Servicing and Master Servicer (Positive): Servicing will be performed by Caliber, which Fitch rates 'RPS2-', Outlook Negative, due to its fast growing portfolio and regulatory scrutiny. Wells Fargo, rated 'RMS1', Outlook Stable, will act as master servicer and securities administrator. Advances required but not paid by Caliber will be paid by Wells Fargo. RATING SENSITIVITIES Fitch's analysis incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or may be considered in the surveillance of the transaction. Two sets of sensitivity analyses were conducted at the state and national levels to assess the effect of higher MVDs for the subject pool. This defined stress sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20%, and 30%, in addition to the model projected 7.2%. The analysis indicates that there is some potential rating migration with higher MVDs, compared with the model projection. Fitch also conducted sensitivities to determine the stresses to MVDs that would reduce a rating by one full category, to non-investment grade, and to 'CCCsf'. DUE DILIGENCE USAGE Fitch was provided with due diligence information from AMC Diligence, LLC (AMC) on 100% of the loans in the collateral pool. Fitch received certifications indicating that the loan-level due diligence was conducted in accordance with its published standards for reviewing loans and in accordance with the independence standards outlined in its criteria. The diligence results showed minimal findings with some nonmaterial exceptions or waivers. In addition, AMC identified 50 loans as having TRID errors, 38 of which were identified as potentially at risk for statutory damages. Fitch increased its loss severity as described below in criteria application to account for this risk. All such findings were sufficiently mitigated with compensating factors. Fitch believes the overall results of the review generally reflected strong underwriting controls. CRITERIA APPLICATION A variation was made to Fitch's 'U.S. RMBS Loan Loss Model Criteria' in regards to treatment of loans with prior credit events. Historical data suggests that borrowers with similar credit scores as those in the pool are nearly 20% more likely to default on a future mortgage, as compared to all outstanding borrowers, if they had a prior mortgage related credit event. This adjustment was applied to the roughly 47% of the pool that had a prior mortgage related credit event, resulting in nearly a 9% increase to the pool's probability of default at each rating category. A variation was made to Fitch's 'U.S. RMBS master Rating Criteria' for loans with potential TRID violations. Under this approach loans with TRID findings that are more likely to lead to statutory damages received an additional $15,500 to their projected loss. Out of the 50 loans with TRID errors, 38 received this adjustment increasing the expected loss by 36 basis points (bps). Due to the structural features of the transaction, Fitch analyzed the collateral with customized versions of two of its standard models. Fitch's Alt-A Loan Loss Model was altered to include three additional inputs; due diligence percentage, operational quality and liquid reserves. These variables were not common in legacy Alt-A loans and were excluded in the derivation of Fitch's Alt-A model. Given the improvement in today's underwriting over legacy standards, these aspects were taken into consideration and a net credit was applied to the pool. The second customized model was based off of Fitch's Cash Flow Assumptions workbook. The customized version was used to account for the limited servicer advancing. The delinquency timing scenarios are consistent with the pool's stressed projected default scenarios. COMM 2013-CCRE9: Fitch Affirms 'Bsf' Rating on Cl. F Debt --------------------------------------------------------- Fitch Ratings affirms 14 classes of Deutsche Bank Securities, Inc.'s COMM 2013-CCRE9 commercial mortgage pass-through certificates. KEY RATING DRIVERS The affirmations are based on relatively stable performance of the underlying collateral pool since issuance. There have been no delinquent loans since issuance. Fitch has designated two loans (1%) as Fitch Loans of Concern, which includes one specially serviced asset (.8%). As of the May 2016 distribution date, the pool's aggregate principal balance has been reduced by 5.8% to $1.22 billion from $1.29 billion at issuance. Per the servicer reporting, two loans (5.7% of the pool) are defeased. Interest shortfalls are currently affecting class G. The largest loan in the pool (6.5%), The Northridge Mall, is secured by a one million square foot (sf; (587,484 sf collateral) enclosed regional mall located in Salinas, CA. The property was built in 1972 and renovated most recently in 2006. The mall contains four anchor tenants including Macy's, Sears, JCPenney and Forever 21. Additional large tenants at the property that are not part of the collateral include Century Theaters, Toys R' Us, and Big 5 Sporting Goods. The mall faces limited direct competition, with the nearest enclosed regional mall located over 60 miles away in San Jose, CA. Debt service coverage ratio (DSCR) was reported at 1.93x at YE 2015 down from 2.20x at YE 2014. Overall mall occupancy was 93.2%, and collateral occupancy was 88.5% as of YE 2015 not including Ulta and DSW, who recently took occupancy in the mall. The second largest loan in the pool (6.2%), The Paramount Building, is secured by a 31 story 694,134 sf office and retail property located in the Times Square district of New York, NY. There is an additional $55 million pari-passu note in COMM 2013-CCRE8. The largest retail tenant is the Hard Rock Cafe (44,970 sf; 6.5% of net rentable area [NRA]) located on the ground floor and the largest office tenant is HQ Global Workplaces (39,854 sf; 5.7% of NRA). The servicer-reported DSCR of 3.89x at YE 2015 compared to 3.54x at YE 2014. Occupancy was reported at 65% as of YE 2015 compared to 68% as of YE 2014. The third largest loan in the pool (5.3%), The Valley Hills Mall, is a secured 936,682-sf regional mall (325,166 sf collateral) located in Hickory, NC approximately 60 miles northwest of the Charlotte CBD. The property is anchored by Belk, Sears, JCPenney, and Dillard's, none of which are part of the collateral. The subject is the only enclosed regional mall within a 35-mile radius and is the primary shopping destination in the Hickory-Lenoir-Morganton metropolitan statistical area. The servicer-reported DSCR was 1.35x as of YE 2015 compared to 1.54x at YE 2014. The overall mall occupancy is 95% as of December 2015. The specially serviced loan (.8%) is secured by 200,000 sf industrial property located in Los Angeles, California. The loan transferred to the special servicer in August 2015 due to the guarantor being forced into involuntary bankruptcy. The servicer is trapping cashflow as a result of a trigger caused by the guarantor bankruptcy. The loan remains current. The property has YE 2015 NOI DSCR of 1.58x and is 100% occupied by Gruma Corporation until October 2021. RATING SENSITIVITIES Rating Outlooks for all classes remain Stable as overall pool performance has been stable since issuance. Fitch does not foresee positive or negative ratings migration until a material economic or asset-level event changes the transaction's portfolio-level metrics. Additional information on rating sensitivity is available in the report 'COMM 2013-CCRE9' (Jan. 16, 2014), available at www.fitchratings.com. DUE DILIGENCE USAGE No third party due diligence was provided or reviewed in relation to this rating action. Fitch has affirmed the following ratings: -- $3.7 million class A-1 at 'AAAsf', Outlook Stable; -- $78 million class A-2 at 'AAAsf', Outlook Stable; -- $112.2 million class A-SB at 'AAAsf', Outlook Stable; -- $100 million class A-3 at 'AAAsf', Outlook Stable; -- $100 million class A-3FL at 'AAAsf', Outlook Stable; -- $0 class A-3FX at 'AAAsf', Outlook Stable; -- $436 million class A-4 at 'AAAsf', Outlook Stable; -- $127.8 million class A-M at 'AAAsf', Outlook Stable; -- $80.9 million class B at 'AA-sf', Outlook Stable; -- $45.3 million class C at 'A-sf', Outlook Stable; -- $50.1 million class D at 'BBB-sf', Outlook Stable; -- $27.5 million class E at 'BBsf', Outlook Stable; -- $12.9 million class F at 'Bsf', Outlook Stable; -- $1 billion class X-A at 'AAAsf', Outlook Stable. Fitch does not rate the class G or X-B certificates. COMM 2013-CCRE9: S&P Affirms BB- Rating on Class F Certificates --------------------------------------------------------------- S&P Global Ratings affirmed its ratings on 14 classes of commercial mortgage pass-through certificates from COMM 2013-CCRE9 Mortgage Trust, a U.S. commercial mortgage-backed securities (CMBS) transaction. S&P's rating actions 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 loans in the pool, the transaction's structure, and the liquidity available to the trust. The affirmations of the ratings on these certificates further reflects 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. S&P affirmed its 'AAA (sf)' rating on the class X-A interest-only (IO) certificates based on S&P's criteria for rating IO securities, in which the rating on the IO certificate would not be higher than that of the lowest-rated reference class. The notional balance on class X-A references classes A-1, A-2, A-3, A-4, A-3FL, A-3FX, A-SB, and A-M. TRANSACTION SUMMARY As of the May 12, 2016, trustee remittance report, the collateral pool balance was $1.22 billion, which is 94.2% of the pool balance at issuance. The pool currently includes 78 loans (reflecting cross-collateralized and cross-defaulted loans), down from 80 loans at issuance. One of these loans ($9.2 million, 0.8%) is with the special servicer; two ($69.6 million, 5.7%) are defeased; and five ($53.9 million, 4.4%) are on the master servicer's watchlist. The master servicer, KeyBank Real Estate Capital, reported financial information for 91.1% of the nondefeased loans in the pool, of which 84.6% was partial or year-end 2015 data, and the remainder 6.5% is year-end 2014 data. S&P calculated a 1.78x S&P Global Ratings' weighted average debt service coverage (DSC) and 82.4% S&P Global Ratings' weighted average loan-to-value (LTV) ratio using a 7.85% S&P Global Ratings' weighted average capitalization rate. The DSC, LTV, and capitalization rate calculations exclude the specially serviced loan and the two defeased loans. The top 10 nondefeased loans have an aggregate outstanding pool trust balance of $560.8 million (46.0%). Using servicer-reported numbers, S&P calculated a S&P Global Ratings' weighted average DSC and LTV of 1.91x and 83.5%, respectively, for the top 10 nondefeased loans. To date, the transaction has not experienced any principal losses. S&P expects losses to reach approximately 0.1% of the original pool trust balance in the near term, based on losses S&P expects upon the eventual resolution of the one specially serviced loan. CREDIT CONSIDERATIONS As of the May 12, 2016, trustee remittance report, the Commerce Distribution Center loan ($9.2 million, 0.8%) was the sole loan with the special servicer, Midland Loan Services. The loan, which has a total reported exposure of $9.2 million, is secured by a 200,000-sq.-ft. industrial property in Los Angeles, Calif. occupied by a single tenant on a triple net lease. The loan was transferred to special servicing in August 2015 as a result of the guarantor being forced into an involuntary bankruptcy. The reported DSC as of year-end 2015 was 1.53x. S&P expects a minimal loss upon this loan's eventual resolution, which S&P defines as a loss less than 25% of the loan's outstanding principal balance. RATINGS LIST COMM 2013-CCRE9 Mortgage Trust Commercial mortgage pass-through certificates series 2013-CCRE9 Rating Rating Class Identifier To From A-1 12625UAY9 AAA (sf) AAA (sf) A-2 12625UAZ6 AAA (sf) AAA (sf) A-SB 12625UBA0 AAA (sf) AAA (sf) A-3 12625UBB8 AAA (sf) AAA (sf) X-A 12625UBC6 AAA (sf) AAA (sf) A-M 12625UAC7 AAA (sf) AAA (sf) B 12625UAE3 AA- (sf) AA- (sf) C 12625UAG8 A- (sf) A- (sf) D 12625UAJ2 BBB- (sf) BBB- (sf) E 12625UAL7 BB (sf) BB (sf) F 12625UAN3 BB- (sf) BB- (sf) A-4 12625UBF9 AAA (sf) AAA (sf) A-3FL 12625UBE2 AAA (sf) AAA (sf) A-3FX 12625UBG7 AAA (sf) AAA (sf) COMM 2015-PC1: DBRS Confirms B Rating on Class F Debt ----------------------------------------------------- DBRS Limited confirmed all classes of Commercial Pass-Through Certificates, Series 2015-PC1 issued by COMM 2015-PC1 Mortgage Trust as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AAA (sf) -- Class X-C at AAA (sf) -- Class X-D at AAA (sf) -- Class X-E at AAA (sf) -- Class X-F at AAA (sf) -- Class A-M at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class F at B (low) (sf) All trends are Stable. The rating confirmations reflect the current performance of the pool, which has been stable from issuance. The collateral consists of 80 loans secured by 147 commercial properties. As of the May 2016 remittance, the pool has experienced collateral reduction of 0.4% due to scheduled amortization, with all of the original 80 loans remaining in the pool. There are 55 loans, representing 68.7% of the current pool balance, which are reporting YE2015 financials. These loans report a weighted-average (WA) debt service coverage ratio (DSCR) of 1.19 times (x) and a WA debt yield of 9.4%. At issuance, the pool reported a WA DSCR and debt yield of 1.51x and 9.6%, respectively. DBRS believes reported cash flows are likely artificially depressed for some of the loans showing YE2015 metrics, as first year reporting is often skewed as compared to underwritten or historical figures, particularly when it comes to expenses. As such, DBRS expects the WA DSCR for the pool will improve with the 2016 reporting. At the May 2016 remittance, there were two loans on the servicer’s watchlist, Prospectus ID #37, The Hub Shopping Center and Prospectus ID #72, Chapin Center, representing 1.0% and 0.33% of the current pool balance, respectively. The Chapin Center loan was flagged for upcoming tenant rollover and the Hub Shopping Center loan was flagged for a decline in cash flow from the Issuer’s underwritten figures. Both loans are reporting Q1 2016 figures and the servicer reports the cash flow decline for the former loan is likely the result of annualized expenses. The City Center at 735 Water Street loan (Prospectus ID#15, 1.8% of the current pool balance) is secured by a 353,000 square foot (sf) mixed-use, LEED-certified office and retail property in downtown Milwaukee, Wisconsin, situated directly on the Milwaukee River. According to the December 2015 rent roll, the property reported an occupancy rate of 88.3%; however, the third-largest tenant, Borgelt, Powell, Petersen & Frauen S.C. (Borgelt), appears to have vacated at its lease expiration in March 2016, and as such, occupancy may be as low as 80.0%. The second-largest tenant, National Business Furniture, occupies 7.8% of the net rentable area (NRA) with a lease expiring in April 2016 and one five-year renewal option remaining. As of June 2016, the tenant is still located at the subject property and DBRS has asked the servicer to verify the tenant’s current status. According to CoStar, Class B office properties larger than 100,000 sf within a 0.2-mile radius from the subject reported an average vacancy rate and availability rate of 12.1% and 19.6%, respectively. With Borgelt’s departure, vacancy at the subject property appears to be above the market vacancy, but in line with the market availability rate. The 833 East Michigan building, a 358,000 sf Class A office property recently completed in March 2016 is a direct competitor to the subject. This property is located less than a mile from the subject and offers similar amenities. According to CoStar, 833 Michigan is 70.2% occupied with asking rents ranging between $19.50 per square foot (psf) and $23.50 psf. In comparison, the subject’s asking rents range between $15.00 psf and $19.00 psf. Since the acquisition of the property, the sponsor has invested $23.6 million of capital improvements into the asset in order to maintain a competitive presence in the market. The YE2015 financials reported a DSCR of 1.64x, which is well above the DBRS underwritten DSCR of 1.16x. At issuance, DBRS underwrote an additional vacancy factor of 15.0% for the month-to-month tenants in place at the property, contributing to the variance from the Issuer’s net cash flow figure by -18.4%. COUNTRYWIDE 2007-MF1: Moody's Hikes Cl. A Debt Rating to Ba1 ------------------------------------------------------------ Moody's Investors Service has upgraded the rating on one class and affirmed the ratings on seven classes in Countrywide Commercial Mortgage Trust, Commercial Pass-Through Certificates, Series 2007-MF1 as: Cl. A, Upgraded to Ba1 (sf); previously on July 9, 2015, Upgraded to Ba2 (sf) Cl. B, Affirmed Caa1 (sf); previously on July 9, 2015, Affirmed Caa1 (sf) Cl. C, Affirmed Caa2 (sf); previously on July 9, 2015, Affirmed Caa2 (sf) Cl. D, Affirmed Caa3 (sf); previously on July 9, 2015, Affirmed Caa3 (sf) Cl. E, Affirmed C (sf); previously on July 9, 2015, Affirmed C (sf) Cl. F, Affirmed C (sf); previously on July 9, 2015, Affirmed C (sf) Cl. G, Affirmed C (sf); previously on July 9, 2015, Affirmed C (sf) Cl. H, Affirmed C (sf); previously on July 9, 2015, Affirmed C (sf) RATINGS RATIONALE The rating on Class A was upgraded primarily due to an increase in defeasance and 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 4% since Moody's last review and defeasance has increased to 22.3% of the current pool balance from 13.9% at the last review. In addition, loans constituting 57% of the pool that have debt yields exceeding 10.0% are scheduled to mature within the next 18 months. The ratings on the remaining seven P&I classes were affirmed because the ratings are consistent with Moody's expected loss. Moody's rating action reflects a base expected loss of 8.9% of the current balance, compared to 8.4% at Moody's last review. Moody's base expected loss plus realized losses is now 9.7% of the original pooled balance, compared to 9.6% 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 RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in 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 27, the same as at Moody's last review. DEAL PERFORMANCE As of the May 13, 2016, distribution date, the transaction's aggregate certificate balance has decreased by 61% to $250 million from $640 million at securitization. The certificates are collateralized by 77 mortgage loans ranging in size from less than 1% to 9% of the pool, with the top ten loans constituting 38% of the pool. Four loans, constituting 22% of the pool, have defeased and are secured by US government securities. Fifteen loans, constituting 12% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Twenty-seven loans have been liquidated from the pool, resulting in an aggregate realized loss of $40 million (for an average loss severity of 52%). Five loans, constituting 13% of the pool, are currently in special servicing. The largest specially serviced loan is the Carrington Park Apartments Homes Loan ($22.2 million -- 8.9% of the pool), which is secured by a 330-unit multi-family property located Jonesboro, Georgia. The loan was transferred to special servicing in November 2011 due to monetary default. The loan went to auction in March 2014, however, it was not sold because the reserve price was not met. The property was 93% leased as of December 2015 compared to 95% in April 2015 and 92% in December 2014. The remaining four specially serviced loans are secured by multi-family and mixed-use property types. Moody's estimates an aggregate $17.8 million loss for all specially serviced loans (55% expected loss on average). Moody's has assumed a high default probability for two poorly performing loans, constituting 3% of the pool, and has estimated an aggregate loss of $1.6 million (a 20% expected loss based on a 50% probability of default) from these troubled loans. As of the May 13, 2016, remittance statement cumulative interest shortfalls were $2.5 million. Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced loans and modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. Moody's received full year 2015 operating results for 90% of the pool, and full or partial year 2016 operating results for 47% of the pool. Moody's weighted average conduit LTV is 78%, compared to 84% 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 10% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 8.5%. Moody's actual and stressed conduit DSCRs are 1.47X and 1.25X, respectively, compared to 1.37X and 1.16X 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 14% of the pool balance. The largest loan is the Alliance Edgewater Loan ($13.0 million -- 5.2% of the pool), which is secured by a 228 unit multi-family property located in Lake Jackson, Texas. The property was 96% leased as of December 2015, compared to 98% in March 2014 and 94% in December 2013. Moody's LTV and stressed DSCR are 57% and 1.62X, respectively, compared to 61% and 1.52X at the last review. The second largest loan is the Spring Pointe Apartments Loan ($11.8 million -- 4.7% of the pool), which is secured by a 208-unit multifamily property in Richardson, Texas, about 20 miles northwest of Dallas. The property was 97% leased as of December 2015, compared to 95% in March 2015. Moody's LTV and stressed DSCR are 80% and 1.15X, respectively, compared to 82% and 1.12X at the last review. The third largest loan is the Grand Oaks Apartment Loan ($10.3 million -- 4.1% of the pool), which is secured by a 150-unit multifamily property in Gurnee, Illinois, about 40 miles north of Chicago. The property was 98% leased as of December 2015, compared to 99% as of March 2015. Moody's LTV and stressed DSCR are 83% and 1.07X, respectively, compared to 87% and 1.03X at the last review. CREDIT SUISSE 2006-TFL2: Fitch Affirms 'Bsf' Rating on Cl. J Debt ----------------------------------------------------------------- Fitch Ratings has upgraded two and affirmed three classes of Credit Suisse First Boston Mortgage Securities Corp., series 2006-TFL2. Since issuance, the transaction has been reduced by nearly 98% from paydown and dispositions. Only one loan, the JW Marriott Starr Pass, remains. KEY RATING DRIVERS The upgrades are due to greater confidence in the recovery prospects of the JW Marriott Starr Pass loan. Since Fitch's last rating action, the special servicer has made progress with open legal cases, settling a key case surrounding land access and usage. While this resolution is a positive development, open litigation on other matters remains. The outstanding judgements need to be settled before the servicer can move forward with the foreclosure process. The JW Marriott Starr Pass consists of a 575-room full service hotel and a 27-hole Arnold Palmer-designed championship golf course, located in Tucson, AZ. The hotel, which offers 88,000 square foot (sf) of meeting space, including a 20,000 sf ballroom, was opened in 2005 and maintains high curb appeal with well-kept landscaping and an attractive design. In April 2010, the loan transferred to special servicing for imminent default. Performance did not meet expectations from issuance, and the recession hit the Southwest, specifically the Tucson market, particularity hard. Resort performance improved as the U.S. lodging market rebounded from recessionary lows, but workout momentum has not been successfully maintained due to the open legal disputes that have carried on for years. The resort remains well kept however and maintains high curb appeal. RATING SENSITIVITIES The ratings are expected to remain stable in the near term. Future upgrades are unlikely given the loan's defaulted status as well as limited financial information available at the time of the review. While recovery prospects have improved, further downgrades to the already distressed classes are possible if workout negotiations continue to stall. DUE DILIGENCE USAGE No third party due diligence was provided or reviewed in relation to this rating action. Fitch has upgraded these classes: -- $949,356 class G to 'Asf' from 'BBBsf'; Outlook Stable; -- $20 million class H to 'BBBsf' from 'BBsf'; Outlook Stable. Fitch affirms these classes: -- $19 million class J at 'Bsf'; Outlook Stable; -- $22 million class K at 'CCCsf'; RE 60%; -- $16.1 million class L at 'Dsf'; RE 0%. CSFB MORTGAGE 2005-C1: Moody's Affirms Ba3 Rating on Cl. E Certs ---------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on six classes in CSFB Mortgage Securities Corp. Commercial Mtge Pass-Through Ctfs. 2005-C1 as: Cl. E, Affirmed Ba3 (sf); previously on June 12, 2015, Upgraded to Ba3 (sf) Cl. F, Affirmed Caa1 (sf); previously on June 12, 2015, Affirmed Caa1 (sf) Cl. G, Affirmed Caa3 (sf); previously on June 12, 2015, Affirmed Caa3 (sf) Cl. H, Affirmed C (sf); previously on June 12, 2015, Affirmed C (sf) Cl. J, Affirmed C (sf); previously on June 12, 2015, Affirmed C (sf) Cl. A-X, Affirmed Caa3 (sf); previously on June 12, 2015, Downgraded to Caa3 (sf) RATINGS RATIONALE The ratings on the P&I classes 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 46.0% of the current balance, compared to 36.2% at Moody's last review. Moody's base expected loss plus realized losses is now 5.2% of the original pooled balance, compared to 5.3% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in October 2015. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 90% of the pool is in special servicing and performing conduit loans only represent 10% of the pool. In this approach, Moody's determines a probability of default for each specially serviced loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss from specially serviced loans to the most junior classes and the recovery as a pay down of principal to the most senior classes. 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 3, compared to 5 at Moody's last review. Moody's analysis used the excel-based Large Loan Model. 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 and property type. 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 May 17, 2016, distribution date, the transaction's aggregate certificate balance has decreased by 96% to $57 million from $1.5 billion at securitization. The certificates are collateralized by thirteen mortgage loans ranging in size from 1% to 55% of the pool, with the top ten loans constituting 97% of the pool. One loan, constituting 3% of the pool, is on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. 37 loans have been liquidated from the pool, resulting in an aggregate realized loss of $53 million (for an average loss severity of 20%). Ten loans, constituting 90% of the pool, are currently in special servicing. The largest specially serviced loan is The Mall at Yuba City Loan ($31 million -- 55% of the pool), which is secured by a 306,000 square foot (SF) mall located approximately 40 miles north of Sacramento in Yuba City, California. The property is now known as Yuba Sutter Mall. The loan transferred to special servicing in March 2011 due to imminent default. The loan became real estate owned (REO) on January 10, 2014. The property is not currently on the market. As of December 2015, the total mall was 89% leased with in-line space being 78% leased compared to 90% and 77%, respectively, at last review. The remaining nine specially serviced loans are secured by a mix of property types. Moody's estimates an aggregate $25.9 million loss for the specially serviced loans (51% expected loss on average). As of the May 17, 2016, remittance statement cumulative interest shortfalls were $8.5 million. Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced loans and/or modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. Moody's received full or partial year 2015 operating results for 100% of the pool, and full year 2014 operating results for 100% of the pool. Moody's weighted average conduit LTV is 66%, 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 17% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.7%. Moody's actual and stressed conduit DSCRs are 1.13X and 1.79X, respectively, compared to 1.79X and 1.68X 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 three conduit loans represent 10% of the pool balance. The largest loan is the Walgreens (Auburn)) Loan ($2.6 million -- 4.6% of the pool), which is secured by a 14,560 SF single-tenant Walgreens located in Auburn, Washington (approximately 15 miles east of Tacoma). The Property is fully leased to Walgreens through June 2029. Moody's value is based on a lit/dark analysis. Moody's LTV and stressed DSCR are 70% and 1.47X, respectively, compared to 74% and 1.39X at the last review. The second largest loan is the Shops at Shawnee Ridge Loan ($1.8 million -- 3.1% of the pool), which is secured by a 18,360 SF unanchored strip retail center located in Suwanee, Georgia (30 miles northeast of Atlanta). The property was 100% leased as of April 2016 compared to 92% at last review. The loan has amortized 41% since securitization. Moody's LTV and stressed DSCR are 83% and 1.31X, respectively. The third largest loan is the Montgomery Plaza Apartments Loan ($1.1 million -- 2.0% of the pool), which is secured by a 65 unit multifamily complex located in Ardmore, Pennsylvania (approximately 10 miles northwest of the Philadelphia CBD). The property was 98% leased as of December 2015 compared to 100% at last review. Moody's LTV and stressed DSCR are 31% and 3.27X, respectively, compared to 29% and 3.52X at the last review. DENALI CAPITAL CLO X: S&P Affirms B Rating on Cl. B-3L Notes ------------------------------------------------------------ S&P Global Ratings raised its ratings on the class A-2L, A-3L, and B-1L notes from Denali Capital CLO X Ltd. At the same time, S&P affirmed its ratings on the class A-1L, B-2L, and B-3L notes from the same transaction. Denali Capital CLO X Ltd. is a U.S. CLO transaction that closed in March 2013 and is managed by DC Funding Partners LLC. The deal is currently in its reinvestment phase, which is scheduled to end in April 2017. As of the May 2016 report used for this analysis, the weighted average life of the portfolio has decreased to 4.54 years from 5.63 years at effective date in July 2013 which has positively affected the creditworthiness of the collateral pool. In addition, the number of obligors in the portfolio has also increased during this period, which contributed to the portfolio's improved diversification. The portfolio's credit quality has improved as the assets rated 'BB-' or above have increased; there are no defaulted assets in the portfolio. The 'CCC' rated assets have increased to $6.9 million (1.7%) from $0.9 million (0.2%) at the effective date; however, this is offset by the collateral seasoning and improvements in other portfolio parameters mentioned above. The transaction also has lower-than-average exposure to obligors in the commodities sector. The overcollateralization (O/C) ratios for all the classes have also increased marginally, with the class A-1L/A-2L O/C ratio at 137.42%, up from 137.11% at the effective date. The affirmed ratings reflect S&P's belief that the credit support available is commensurate with the current rating levels. Although S&P's cash flow analysis pointed to higher ratings for all classes except the class A-1L notes, it considered other stress tests to allow for volatility in the underlying portfolio given that the transaction is still in its reinvestment period. 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 Denali Capital CLO X Ltd. Cash flow Previous implied Cash flow Final Class rating rating(i) cushion(ii) rating A-1L AAA (sf) AAA (sf) 11.43% AAA (sf) A-2L AA (sf) AAA (sf) 0.25% AA+ (sf) A-3L A (sf) AA- (sf) 1.92% A+ (sf) B-1L BBB (sf) A- (sf) 1.88% BBB+ (sf) B-2L BB- (sf) BB+ (sf) 4.43% BB- (sf) B-3L B (sf) B+ (sf) 0.84% 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 (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 equals rating 20.0 7.5 Above base case 25.0 10.0 10% Recovery Correlation Correlation Cash flow decrease increase decrease implied implied implied implied Final Class rating rating rating rating rating A-1L AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) A-2L AAA (sf) AA+ (sf) AA+ (sf) AAA (sf) AA+ (sf) A-3L AA- (sf) A+ (sf) A+ (sf) AA+ (sf) A+ (sf) B-1L A- (sf) BBB+ (sf) BBB+ (sf) A+ (sf) BBB+ (sf) B-2L BB+ (sf) BB- (sf) BB+ (sf) BB+ (sf) BB- (sf) B-3L B+ (sf) CCC+ (sf) B+ (sf) B+ (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-1L AAA (sf) AAA (sf) AAA (sf) AAA (sf) A-2L AAA (sf) AA+ (sf) AA+ (sf) AA+ (sf) A-3L AA- (sf) A+ (sf) A- (sf) A+ (sf) B-1L A- (sf) BBB+ (sf) BBB- (sf) BBB+ (sf) B-2L BB+ (sf) BB (sf) B+ (sf) BB- (sf) B-3L B+ (sf) CCC+ (sf) CCC- (sf) B (sf) RATINGS RAISED Denali Capital CLO X Ltd. Rating Class To From A-2L AA+ (sf) AA (sf) A-3L A+ (sf) A (sf) B-1L BBB+ (sf) BBB (sf) RATINGS AFFIRMED Denali Capital CLO X Ltd. Class Rating A-1L AAA (sf) B-2L BB- (sf) B-3L B (sf) FIGUEROA CLO 2013-1: S&P Affirms 'BB' Rating on Class D Notes ------------------------------------------------------------- S&P Global Ratings affirmed its ratings on the class A-1, A-2, B, C, and D notes from Figueroa CLO 2013-1 Ltd., a cash flow collateralized loan obligation (CLO) transaction. The rating affirmations on the classes reflect adequate credit support at their current rating levels. Although the cash flow results show higher ratings for the class A-2, B, C, and D notes, S&P considered the fact that the transaction is still in its reinvestment period, which is scheduled to end in March 2017 and has not yet paid down any principal to the rated notes. Future reinvestments could change some of the portfolio characteristics. According to the May 2016 trustee report that S&P used for this review, the overcollateralization (O/C) ratios for each class have decreased slightly since S&P's August 2013 rating affirmations: -- The class A ratio was 130.08%, down from the 132.69% reported in May 2013, which S&P referenced for its August 2013 rating actions. -- The class B ratio was 121.74%, down from the 124.19% reported in May 2013. -- The class C ratio was 114.76%, down from the 117.06% reported in May 2013. The class D ratio was 106.70%, down from the 108.84% reported in May 2013. In addition, there has been a modest increase in both the defaulted assets and the assets rated in the 'CCC' category. S&P's review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the aforementioned trustee report, to estimate future performance. In line with S&P's criteria, its cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, S&P's analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches. The cash flow analysis demonstrated, in S&P's view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions. 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 appropriate. CASH FLOW RESULTS AND SENSITIVITY ANALYSIS Figueroa CLO 2013-1 Ltd. Cash flow Previous implied Cash flow Final Class rating rating(i) cushion(ii) rating A-1 AAA (sf) AAA (sf) 11.62% AAA (sf) A-2 AA (sf) AA+ (sf) 14.66% AA (sf) B A (sf) AA+ (sf) 2.51% A (sf) C BBB (sf) A+ (sf) 3.61% BBB (sf) D BB (sf) BB+ (sf) 6.69% 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-1 AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) A-2 AA+ (sf) AA+ (sf) AA+ (sf) AAA (sf) AA (sf) B AA+ (sf) AA- (sf) AA (sf) AA+ (sf) A (sf) C A+ (sf) A- (sf) A+ (sf) AA- (sf) BBB (sf) D BB+ (sf) BB (sf) BB+ (sf) BBB- (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-1 AAA (sf) AAA (sf) AAA (sf) AAA (sf) A-2 AA+ (sf) AA+ (sf) AA+ (sf) AA (sf) B AA+ (sf) AA (sf) A+ (sf) A (sf) C A+ (sf) A (sf) BBB+ (sf) BBB (sf) D BB+ (sf) BB+ (sf) B+ (sf) BB (sf) RATINGS AFFIRMED Figueroa CLO 2013-1 Ltd. Class Rating A-1 AAA (sf) A-2 AA (sf) B A (sf) C BBB (sf) D BB (sf) GALAXY XXII: S&P Assigns Prelim. 'B-' Rating on Cl. F Notes ----------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Galaxy XXII CLO Ltd./Galaxy XXII CLO LLC's $394.00 million floating-rate notes (including the combination notes). The note issuance is a collateralized loan obligation transaction backed by broadly syndicated speculative-grade senior secured term loans. The preliminary ratings are based on information as of June 9, 2016. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The diversified collateral pool, which consists primarily of broadly syndicated speculative-grade senior secured term loans that are governed by collateral quality tests. The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. The transaction's legal structure, which is expected to be bankruptcy remote. PRELIMINARY RATINGS ASSIGNED Galaxy XXII CLO Ltd./Galaxy XXII CLO LLC Class Rating Amount (mil. $) A AAA (sf) 256.40 B-1 AA (sf) 41.80 B-2 AA (sf) 3.00 C-1 A (sf) 14.60 C-2 A (sf) 13.00 D BBB (sf) 19.20 E BB- (sf) 20.00 F B- (sf) 6.00 Subordination notes NR 26.00 Combination notes(i) A-p (sf) 20.00 (i) Combination note preliminary rating only addresses the ultimate repayment of the notional amount of $20 million by the transaction's legal final maturity. p -- Principal only. NR -- Not rated. GALAXY XXII: S&P Assigns Prelim. B- Rating on Class F Notes ----------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Galaxy XXII CLO Ltd./Galaxy XXII CLO LLC's $394.00 million floating-rate notes (including the combination notes). The note issuance is a collateralized loan obligation transaction backed by broadly syndicated speculative-grade senior secured term loans. The preliminary ratings are based on information as of June 9, 2016. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The diversified collateral pool, which consists primarily of broadly syndicated speculative-grade senior secured term loans that are governed by collateral quality tests. The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. The transaction's legal structure, which is expected to be bankruptcy remote. PRELIMINARY RATINGS ASSIGNED Galaxy XXII CLO Ltd./Galaxy XXII CLO LLC Class Rating Amount (mil. $) A AAA (sf) 256.40 B-1 AA (sf) 41.80 B-2 AA (sf) 3.00 C-1 A (sf) 14.60 C-2 A (sf) 13.00 D BBB (sf) 19.20 E BB- (sf) 20.00 F B- (sf) 6.00 Subordination notes NR 26.00 Combination notes(i) A-p (sf) 20.00 (i)Combination note preliminary rating only addresses the ultimate repayment of the notional amount of $20 million by the transaction's legal final maturity. p -- Principal only. NR -- Not Rated GMAC COMMERCIAL 2004-C3: S&P Raises Rating on Cl. C Certs to B+ --------------------------------------------------------------- S&P Global Ratings raised its ratings on three classes of commercial mortgage pass-through certificates from GMAC Commercial Mortgage Securities, Inc.'s series 2004-C3, a U.S. commercial mortgage-backed securities (CMBS) transaction. S&P's upgrades 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 upgrades also reflect S&P's expectation of the available credit enhancement for these classes, which S&P believes is greater than its most recent estimate of necessary credit enhancement for the respective rating levels, S&P's views regarding the collateral's current and future performance, and the reduced trust balance. While available credit enhancement levels suggest further positive rating movements on classes B, C, and D, S&P's analysis also considered the classes' interest shortfall history, their susceptibility to reduced liquidity support from the specially serviced asset ($9.6 million, 14.3%), refinancing risk with the largest loan in the pool, the Imperial Center Office loan ($42.8 million, 63.7%), and single tenancy exposure on two other loans ($12.5 million, 18.6%). Specifically, class D was previously lowered to 'D (sf)' due to accumulated interest shortfalls that S&P expected to remain outstanding for a prolonged period of time. S&P raised its rating on this class to 'B- (sf)' from 'D (sf)' because the interest shortfalls have been repaid in full, and S&P do not believe, at this time, a further default is virtually certain. TRANSACTION SUMMARY As of the May 10, 2016, trustee remittance report, the collateral pool balance was $67.2 million, which is 5.4% of the pool balance at issuance. The pool currently includes four loans and one real estate-owned (REO) asset, down from 92 loans at issuance. One asset is currently with the special servicer, C-III Asset Management LLC (C-III) and no loans are defeased or on servicer watchlists. The master servicer, Berkadia Commercial Mortgage LLC, reported financial information for 85.7% of the loans in the pool, of which 82.5% was year-end 2015 data and the remainder was year-end 2014 data. For the four performing loans, S&P calculated a 1.31x S&P Global Ratings weighted average debt service coverage (DSC) and 72.5% S&P Global Ratings weighted average loan-to-value (LTV) ratio using a 7.72% S&P Global Ratings weighted average capitalization rate. To date, the transaction has experienced $84.0 million in principal losses, or 6.7% of the original pool trust balance. S&P expects losses to reach approximately 7.0% of the original pool trust balance in the near term, based on loss incurred to date and additional loss S&P expects upon the eventual resolution of the specially serviced asset. CREDIT CONSIDERATIONS As of the May 10, 2016, trustee remittance report, one asset in the pool was with the special servicer. The Marketplace at Hillsboro REO asset is the third-largest asset in the pool and has a reported $12. 8 million in total exposure. The asset is a 113,936-sq.-ft. retail property in Coconut Creek, Fla. The loan was transferred to the special servicer on Aug. 8, 2011, because of imminent maturity default, and the property became REO on Jan. 28, 2014. The master servicer has deemed the asset nonrecoverable. C-III stated that it is currently working on selling the property. No updated performance data was provided. S&P expects a moderate loss upon this asset's eventual resolution, which it considers to be a loss between 26% and 59% of the outstanding asset balance. RATINGS LIST GMAC Commercial Mortgage Securities, Inc. Commercial mortgage pass-through certificates series 2004-C3 Rating Rating Class Identifier To From B 361849K43 BBB+ (sf) B- (sf) C 361849K50 B+ (sf) CCC- (sf) D 361849K68 B- (sf) D (sf) GOLUB CAPITAL 2007-1: Moody's Hikes Class E Debt Rating From Ba1 ---------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Golub Capital Management CLO 2007-1, Ltd.: US$19,750,000 Class D Deferrable Mezzanine Notes Due 2021, Upgraded to Aa2 (sf); previously on January 8, 2016 Upgraded to Aa3 (sf) US$20,250,000 Class E Deferrable Mezzanine Notes Due 2021, Upgraded to Baa3 (sf); previously on January 8, 2016 Upgraded to Ba1 (sf) Moody's also affirmed the ratings on the following notes: US$369,000,000 Class A Senior Notes Due 2021 (current outstanding $25,634,748), Affirmed Aaa (sf); previously on January 8, 2016 Affirmed Aaa (sf) US$28,000,000 Class B Senior Notes Due 2021, Affirmed Aaa (sf); previously on January 8, 2016 Affirmed Aaa (sf) US$32,000,000 Class C Deferrable Mezzanine Notes Due 2021, Affirmed Aaa (sf); previously on January 8, 2016 Upgraded to Aaa (sf) Golub Capital Management CLO 2007-1, Ltd., issued in July 2007, is a collateralized loan obligation (CLO) backed primarily by a portfolio of senior secured loans with significant exposure to middle market loans. The transaction's reinvestment period ended in July 2013. RATINGS RATIONALE These rating actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since January 2016. The Class A notes have been paid down by approximately 30.8% or $23.8 million since then. Based on the trustee's May 2016 report, the OC ratios for the Class A/B, Class C, Class D and Class E notes are reported at 277.2%, 173.6%, 141.1% and 118.4%, respectively, versus January 2016 levels of 227.9%, 161.3%, 136.6% and 118.1%, respectively. GS MORTGAGE 2010-C1: Moody's Affirms Ba3 Rating on Cl. X Certs -------------------------------------------------------------- Moody's Investors Service affirmed the ratings of eight classes of GS Mortgage Securities Corporation II Commercial Mortgages Pass-Through Certificates Series 2010-C1 as follows: Cl. A-1, Affirmed Aaa (sf); previously on Oct 30, 2015 Affirmed Aaa (sf) Cl. A-2, Affirmed Aaa (sf); previously on Oct 30, 2015 Affirmed Aaa (sf) Cl. B, Affirmed Aaa (sf); previously on Oct 30, 2015 Affirmed Aaa (sf) Cl. C, Affirmed Aa2 (sf); previously on Oct 30, 2015 Upgraded to Aa2 (sf) Cl. D, Affirmed A3 (sf); previously on Oct 30, 2015 Upgraded to A3 (sf) Cl. E, Affirmed Baa2 (sf); previously on Oct 30, 2015 Upgraded to Baa2 (sf) Cl. F, Affirmed Ba1 (sf); previously on Oct 30, 2015 Upgraded to Ba1 (sf) Cl. X, Affirmed Ba3 (sf); previously on Oct 30, 2015 Affirmed Ba3 (sf) RATINGS RATIONALE The affirmations of seven principal and interest (P&I) classes are due to key parameters, including Moody's loan to value (LTV) ratio and Moody's stressed debt service coverage ratio (DSCR) remaining within acceptable ranges. The affirmation of interest-only (IO) Class X is consistent with the weighted average rating factor or WARF of its referenced classes and thus is affirmed. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan 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. DEAL PERFORMANCE As of the May 12, 2016 Payment Date, the transaction's certificate balance has decreased 21% to $620.1 million from $788.5 million at securitization due to the payoff of four loans and scheduled amortization. The certificates are collateralized by 19 fixed-rate mortgage loans, including three loans that have defeased representing 17% of the trust balance. The defeased loans are The Mall at Partridge Creek, Oliveira Plaza and Canyon Point Market Place. The trust has not experienced losses or interest shortfalls since securitization. The largest loan in the pool is collateralized by 660 Madison Avenue Retail ($87.9 million -- 14% of the pool balance), a 264,498 square foot retail property 100% leased to Barney's NY. The property is located on Madison Avenue between East 60th Street and East 61st Street in the Plaza District submarket of New York City. The property serves as Barney's flagship store. Barney's lease expires in January 2019. The loan maturity date is July 6, 2020. Moody's current loan to value (LTV) ratio is 59%. Moody's current structured credit assessment is a1 (sca.pd). The Burnsville Center loan ($73.0 million -- 12%), the second largest non-defeased loan, is secured by the 523,692 square foot portion of a 1.1 million square foot regional mall located in Burnsville, Minnesota. Although the mall is not the dominant mall within its trade area, the property is the only regional mall within the market south of the Minnesota River. The improvements for the anchor stores, Macy's, Sears and JC Penney, are not part of the loan collateral. Additional anchor stores are Dick's Sporting Goods and Gormans. The property was 96% leased and the loan collateral was 91% leased, as of May 2016. Moody's current LTV is 65%. Moody's structured credit assessment is a3 (sca.pd). The Cole Portfolio loan ($62.9 million -- 10%), the third largest non-defeased loan, is secured by 20 retail properties and one office property containing a total of 530,826 square feet located throughout 14 states. The largest property, Sunset Valley Homestead, is a 138,757 square foot multi-tenanted office building located in Sunset Valley, Texas. The property was 99% leased, as of December 31, 2015. The remaining collateral consists of 18 single tenant retail properties, and one single tenant office property occupied by Cargill. Walgreens (Baa2 senior unsecured, ratings under review for possible downgrade) is the largest single tenant exposure accounting for 41% of the total leasable area of the single-tenanted properties. Other single-tenant retail property tenants include Kohl's, CVS, Advance Auto and Tractor Supply. The single-tenant properties were all 100% leased, as of December 31, 2015. Moody's LTV is 63%. Moody's current structured credit assessment is a1 (sca.pd). GS MORTGAGE 2013-G1: Fitch Affirms 'BBsf' Rating on Cl. DM Debt --------------------------------------------------------------- Fitch Ratings has upgraded three and affirmed four classes of Goldman Sachs & Co. GS Mortgage Securities Trust series 2013-G1. KEY RATING DRIVERS The upgrades to classes B through D reflect the improved performance of the assets in the pool. Fitch reviewed the most recently available rent rolls and financial performance of the collateral. Full-year 2015 performance data for all three malls were provided. As of the May 2016 distribution date, the pool's aggregate certificate balance declined by 4.7% to $543.1 million from $569 million at issuance due to scheduled amortization. The transaction consists of three mortgage loans secured by the Great Lakes Crossing Outlets (Great Lakes), located in Auburn Hills, MI; Deptford Mall (Deptford) in Deptford, NJ; and Katy Mills Mall (Katy Mills), in Katy, TX. All three malls are sponsored by large national real estate investment trusts focused on regional and super-regional shopping centers. Great Lakes (38.8% of the pool) is a 1.4 million square foot (sf) super-regional mall/outlet center anchored by Outdoor World, AMC Theater, Burlington Coat Factory, and The Sports Authority. Collateral consists of 1.1 million sf, which excludes Outdoor World and AMC Theater. Fitch expects the Sports Authority space to vacate. The servicer reported occupancy for the collateral space improved to 99.4% as of year-end (YE) 2015 from 94.1% at issuance. Upcoming rollover for the collateral space includes 3.8% in 2016 and 6.3% in 2017. Comparable sales increased to $356 psf at YE 2015 from $348 psf at YE 2014. Fitch stressed net cash flow (NCF) debt service coverage ratio (DSCR) improved to 1.42x as of YE 2015 compared to 1.34x at issuance. Deptford (35.4%) is a 1 million sf regional mall anchored by Macy's, JC Penney, Sears and Boscov's. Collateral for the loan consists of 343,910 sf of in-line space, which excludes the four anchor tenants. The servicer reported occupancy for the collateral space declined to 83% during the first half of 2015 following the loss and downsizing of several tenants. Occupancy has since improved to 96.6% as of YE 2015, in line with issuance (96.8%) due to newly executed leases including a new H&M store (6.5% of collateral space). Comparable sales increased to $566 psf at YE 2015 from $561 psf at YE 2014. Fitch stressed NCF DSCR improved to 1.25x as of YE 2015 compared to 1.13x at issuance. Upcoming rollover for the collateral space includes 9.5% in 2016 and 5.7% in 2017. Katy Mills (25.8% of the pool) is a 1.6 million sf regional, mall/outlet center whose major tenants include the following: Bass Pro Shops Outdoor, AMC Theaters, Marshalls, Burlington Coat Factory, Bed Bath & Beyond, Marshalls and Off-Fifth Saks Fifth Avenue. Collateral consists of 1.2 million sf, which excludes Wal-Mart and 12 additional outparcels. The servicer reported occupancy for the collateral space improved to 96.4% as of YE 2015 compared to 88.9% at issuance. Upcoming tenant rollover for the collateral includes 2.9% in 2016 and 5.3% in 2017. Sales for tenants of less than 10,000 sf were a reported $454 psf at YE 2015 compared to $445 psf as of YE 2014. Fitch stressed NCF DSCR improved to 1.62x as of YE 2015 compared to 1.43x at issuance. RATING SENSITIVITIES The Rating Outlook for all classes remains Stable. Future upgrades are possible should tenants with upcoming lease expirations renew their leases and overall performance continue to improve. Conversely, downgrades would be considered should property performance or cash flow decline. DUE DILIGENCE USAGE No third-party due diligence was provided or reviewed in relation to this rating action. Fitch has upgraded these classes: -- $76 million class B to 'AAsf' from 'AA-sf'; Outlook Stable; -- $49.7 million class C to 'Asf' from 'A-sf'; Outlook Stable; -- $38.3 million class D to 'BBBsf' from 'BBB-sf'; Outlook Stable. Fitch has affirmed these classes: -- $59.8 million class A-1 at 'AAAsf'; Outlook Stable; -- $295.7 million class A-2 at 'AAAsf'; Outlook Stable; -- Interest-only class X-A at 'AAAsf'; Outlook Stable; -- $23.6 million class DM* at 'BBsf'; Outlook Stable. *Class DM represents the interest solely in the subordinate note of the Deptford Mall loan. HERTZ VEHICLE 2016-3: Fitch Assigns BB Rating on Class D Notes -------------------------------------------------------------- Fitch Ratings has assigned these ratings and Rating Outlooks to the series 2016-3 and 2016-4 notes issued by Hertz Vehicle Financing II LP (HVF II): Series 2016-3 -- $299,979,000 class A notes 'AAAsf'; Outlook Stable; -- $77,116,000 class B notes 'Asf'; Outlook Stable; -- $22,905,000 class C notes 'BBBsf'; Outlook Stable; -- $24,177,000 class D notes 'BBsf'; Outlook Stable. Series 2016-4 -- $299,979,000 class A notes 'AAAsf'; Outlook Stable; -- $77,116,000 class B notes 'Asf'; Outlook Stable; -- $22,905,000 class C notes 'BBBsf'; Outlook Stable; -- $24,177,000 class D notes 'BBsf'; Outlook Stable. KEY RATING DRIVERS Diverse Vehicle Fleet: HVF II is deemed diverse under Fitch's criteria due to the high degree of manufacturer, model, segment, and geographic diversification in Hertz and Dollar Thrifty's rental fleets. Concentration limits, based on a number of characteristics, are present to help mitigate the risk of individual original equipment manufacturer (OEM) bankruptcies or failure to honor repurchase agreement obligations. OEM Financial Stability: OEMs with program vehicle concentrations in HVF II have all improved their financial position in recent years and have positioned themselves well to meet their respective repurchase agreement obligations. Fitch affirmed the Issuer Default Rating (IDR) of Fiat Chrysler Automobiles NV (FCA), the largest OEM in HVF II, at 'BB-' in October 2015 and recently upgraded the IDR of GM (third-largest) to 'BBB-' in June 2015. Consistent Performance: Hertz's historical vehicle fleet depreciation has been relatively stable, despite recent increases in 2014-2015 for non-program vehicles due to higher aging within the fleet. Historical vehicle disposition losses have been minimal for program vehicles (PV), while non-program vehicles (NPV) have recorded mostly gains. However, dispositions are expected to come under pressure over the next two to three years from the increasing vehicle supply in the U.S. wholesale market. Enhancement Covers Fitch's Expected Loss: Initial credit enhancement (CE) for the notes is dynamic and based on the HVF II fleet mix, with maximum and minimum levels. The dynamic CE levels proposed for all class of notes of each series covers Fitch's maximum and minimum expected loss (EL) levels for all classes under the requested ratings. Structural Features Mitigate Risk: Vehicle market value/disposition proceeds tests, amortization triggers and events of default all mitigate risks stemming from ongoing vehicle value volatility and weakness, ensuring parity between asset values and ongoing market conditions, resulting in low historical fleet disposition losses and stable depreciation rates. Adequate Fleet Servicer and Fleet Management: Hertz is deemed an adequate servicer and administrator, as evidenced by its historical fleet management and securitization performance to date. Fiserv is the backup disposition agent, and Lord Securities the backup administrator. Legal Structure Integrity: The legal structure of the transaction provides that a bankruptcy of Hertz would not impair the timeliness of payments on the securities. RATING SENSITIVITIES Fitch's rating sensitivity analysis focuses on two scenarios involving potentially extreme market disruptions that would force the agency to redefine its stress assumptions. The first examines the effect of moving Fitch's bankruptcy/liquidation timing scenario to eight months at 'AAAsf' with subsequent increases to each rating level. The second considers the effect of moving the disposition stresses to the higher end of the range at each rating level for a diverse fleet. For example, at 'AAAsf', the stress would move from 24% to 28%. Finally, the last scenario shows the impact of both stresses on the structure. The purpose of these stresses is to demonstrate the potential rating impact on a transaction if one or a combination of these scenarios occurs. Fitch determined ratings by applying expected loss levels for various rating categories until the enhancement proposed exceeded the expected loss from the sensitivity. Sensitivity scenarios were run on the 2016-4 five-year maturity structure, as this series has a slightly higher interest expense cost, and therefore, a slightly higher EL level than 2016-3. For all sensitivity scenarios, the class A notes show no sensitivity to any of the above scenarios. One-notch to one-level downgrades would occur to the subordinate notes under each scenario with greater sensitivity to the disposition stress scenario. Under the combined scenario, the subordinate notes would be placed under greater stress. DUE DILIGENCE USAGE Fitch was provided with third-party due diligence information from PricewaterhouseCoopers LLP (PwC). The third-party due diligence focused on a review of the procedures and related data for approximately 59 vehicles in the pool for each series, including these areas: -- Title, Lien and OEM; -- Capital Costs; -- Mark-to-Market and Disposition Proceeds. HIGHLAND PARK: Moody's Hikes Class A-2 Notes Rating to Caa1(sf) --------------------------------------------------------------- Moody's Investors Service has upgraded the rating on the following note issued by Highland Park CDO I: Cl. A-2, Upgraded to Caa1 (sf); previously on Jul 23, 2015 Affirmed Caa3 (sf) Moody's has also affirmed the ratings on the following notes: Cl. B, Affirmed Ca (sf); previously on Jul 23, 2015 Affirmed Ca (sf) Cl. C, Affirmed C (sf); previously on Jul 23, 2015 Affirmed C (sf) Cl. D, Affirmed C (sf); previously on Jul 23, 2015 Affirmed C (sf) Cl. E, Affirmed C (sf); previously on Jul 23, 2015 Affirmed C (sf) Cl. F, Affirmed C (sf); previously on Jul 23, 2015 Affirmed C (sf) RATINGS RATIONALE Moody's has upgraded the ratings on one class of notes due to unexpected proceeds resulting from prepayments and the sale of equity interests in the amount of $20.6 million (14.6% of the collateral balance). Additionally, the credit quality of the remaining pool is stable as evidenced by WARF and WARR. Moody's has affirmed the ratings on the transaction because its key transaction metrics are commensurate with existing ratings. The rating actions are the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO CLO) transactions. Highland Park CDO I is a static cash CRE CDO transaction backed by a portfolio of: i) CMBS securities (30.0% of the collateral pool balance); ii) CRE CDOs (21.3%); iii) whole loans (27.4%); iv) b-notes (10.0%); and v) senior secured corporate debt (11.3%). As of the May 18, 2016 trustee report, the aggregate note balance of the transaction, including preferred shares is $276.5 million compared to $600.0 million at issuance, with the paydown directed to the senior most outstanding notes. Please note, the collateral balances reported herein exclude equities held in the form of common stock and a $6.8 million whole loan which has repaid but is still reported as an asset as of the May 18, 2016 trustee report. The pool contains eighteen assets totaling $77.5 million (55.2% of the collateral pool balance) that are listed as impaired interest securities as of the trustee's May 18, 2016 report. Seven of these assets (40.8% of the impaired balance) are CMBS, four assets are CRE CDO (33.0%), three assets are commercial real estate whole loans collateralized by land (9.0%), and four assets are commercial real estate b-notes collateralized by land (17.2%). While there have been limited realized losses on the underlying collateral to date, Moody's does expect moderate to high losses to occur on the impaired interest securities. HILLMARK FUNDING: Moody's Cuts Class D Notes Rating to B1(sf) ------------------------------------------------------------- Moody's Investors Service has downgraded the rating on the following notes issued by Hillmark Funding Ltd.: US$15,250,000 Class D Secured Deferrable Floating Rate Notes due 2021 (current outstanding balance of $9,334,570.94), Downgraded to B1 (sf); previously on November 9, 2015 Affirmed Ba3 (sf) Moody's also affirmed the ratings on the following notes: US$368,000,000 Class A-1 Senior Secured Floating Rate Notes due 2021 (current outstanding balance of $126,422,946.47), Affirmed Aaa (sf); previously on November 9, 2015 Affirmed Aaa (sf) US$24,500,000 Class A-2 Senior Secured Floating Rate Notes due 2021, Affirmed Aaa (sf); previously on November 9, 2015 Affirmed Aaa (sf) US$28,000,000 Class B Senior Secured Deferrable Floating Rate Notes due 2021, Affirmed Aa3 (sf); previously on November 9, 2015 Affirmed to Aa3 (sf) US$25,000,000 Class C Senior Secured Deferrable Floating Rate Notes due 2021, Affirmed Baa3 (sf); previously on November 9, 2015 Upgraded to Baa3 (sf) Hillmark Funding Ltd., issued in November 2006, is a collateralized loan obligation (CLO) backed primarily by a portfolio of senior secured loans. The transaction's reinvestment period ended in November 2013. RATINGS RATIONALE The downgrade action on the rating of Class D notes is primarily a result of decrease in the Class D over-collateralization (OC) ratio and deterioration in the credit quality of the portfolio since November 2015. Based on the trustee's May 2016 report, the OC ratio for the Class D notes is reported at 102.66%, versus 105.48% in November 2015. Additionally, Moody's notes the credit quality of the portfolio has deteriorated since November 2015. Based on the trustee's May 2016 report, the weighted average rating factor (WARF) is currently 2937 compared to 2588 in November 2015. The affirmations on the ratings of Class A-1, A-2, B and C notes are primarily a result of deleveraging of the senior notes, whose benefit was offset by the deterioration in the credit quality of the portfolio since November 2015. The Class A-1 notes were paid down by 33.4% or $63.4 million since that time. Based on the trustee's May 2016 report, the OC ratios for the Class A, Class B, and Class C notes are reported at 140.00%, 120.34% and 106.93%, respectively, versus November 2015 levels of 136.15%, 120.42%, 109.16%, respectively. HPS LOAN: Moody's Assigns Definitive Ba3 Rating to Class D2 Debt ---------------------------------------------------------------- Moody's Investors Service has assigned ratings to six classes of notes issued by HPS Loan Management 92016, Ltd. (the "Issuer" or "HPS Loan Management 92016"). Moody's rating action is as follows: US$310,000,000 Class A1 Senior Secured Floating Rate Notes due 2027 (the "Class A1 Notes"), Definitive Rating Assigned Aaa (sf) US$65,000,000 Class A2 Senior Secured Floating Rate Notes due 2027 (the "Class A2 Notes"), Definitive Rating Assigned Aa2 (sf) US$30,000,000 Class B Mezzanine Secured Deferrable Floating Rate Notes due 2027 (the "Class B Notes"), Definitive Rating Assigned A2 (sf) US$29,000,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2027 (the "Class C Notes"), Definitive Rating Assigned Baa3 (sf) US$7,000,000 Class D1 Junior Secured Deferrable Floating Rate Notes due 2027 (the "Class D1 Notes"), Definitive Rating Assigned Ba3 (sf) US$19,000,000 Class D2 Junior Secured Deferrable Floating Rate Notes due 2027 (the "Class D2 Notes"), Definitive Rating Assigned Ba3 (sf) The Class A1 Notes, Class A2 Notes, Class B Notes, Class C Notes, Class D1 Notes and Class D2 Notes are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE Moody's ratings of the Rated Notes address the expected losses posed to noteholders. The ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. HPS Loan Management 92016 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated first lien senior secured corporate loans. At least 96% of the portfolio must be invested in senior secured loans or eligible investments and up to 4% of the portfolio may consist of second lien loans and unsecured loans. The portfolio is approximately 76% ramped as of the closing date. HPS Investment Partners, LLC (formerly known as Highbridge Principal Strategies, LLC) (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's four and onehalf year reinvestment period. Thereafter, the Manager may reinvest collateral principal collections constituting (i) unscheduled principal payments and (ii) the sale proceeds of credit risk obligations in additional collateral debt obligations, subject to certain restrictions. In addition to the Rated Notes, the Issuer issued subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. ICE 1: Moody's Lowers Rating on Class D Notes to 'Caa2(sf)' ----------------------------------------------------------- Moody's Investors Service has downgraded the ratings on the following notes issued by ICE 1: EM CLO Ltd.: US$38,000,000 Class C Floating Rate Subordinate Secured Term Notes Due August 15, 2022, Downgraded to Ba3 (sf); previously on March 17, 2016 Ba2 (sf) Placed Under Review for Possible Downgrade US$40,000,000 Class D Floating Rate Junior Subordinate Secured Term Notes Due August 15, 2022 (current outstanding balance of $35,901,461), Downgraded to Caa2 (sf); previously on March 17, 2016 Downgraded to B3 (sf) and Placed Under Review for Possible Downgrade Moody's also affirmed the ratings on the following notes: US$184,000,000 Class A2 Floating Rate Senior Secured Term Notes Due August 15, 2022 (current outstanding balance of $53,861,989), Affirmed Aaa (sf); previously on Nov 12, 2015 Affirmed Aaa (sf) US$95,000,000 Class A3 Floating Rate Senior Secured Term Notes Due August 15, 2022, Affirmed Aa2 (sf); previously on Nov 12, 2015 Upgraded to Aa2 (sf) US$51,000,000 Class B Floating Rate Senior Subordinate Secured Term Notes Due August 15, 2022, Affirmed Baa2 (sf); previously on Nov 12, 2015 Upgraded to Baa2 (sf) ICE 1: EM CLO Ltd., issued in August 2007, is a collateralized debt obligation (CDO) backed primarily by a portfolio of senior unsecured bonds, senior secured loans and nonsenior secured loans, with significant exposure to emerging market corporate and sovereign issuers. The transaction's reinvestment period ended in August 2013. RATINGS RATIONALE Moody's said, "These rating actions are primarily a result of credit quality deterioration in the portfolio and a decrease in the transaction's overcollateralization (OC) ratios since March 2016. Based on the trustee's May 2016 report, the weighted average rating factor is currently 4030 compared to 3594 in March 2016. The OC ratios for the notes have also decreased. The OC ratios for the Class A, B, C and D notes are reported at 192.9%, 143.7%, 120.7% and 96.4%, respectively, in May 2016, versus March 2016 levels of 196.9%, 146.7%, 123.2% and 97.6%, respectively. The Class D notes' OC ratio continues to breach the 106.6% trigger, and we expect the breach to continue in the near term." In addition, 45% of the performing assets in the portfolio have ratings with a negative outlook. A material proportion of these assets, or 28% of performing par according to the May 2016 report, are issued by a few large obligors whose ratings are Caa1 or lower. The portfolio also has material exposure to the oil and gas, metals and mining, banking and sovereign sectors in countries with low speculative grade foreign currency ceilings including Venezuela, Ukraine, Russia, Argentina and Azerbaijan, which represent approximately 49% of performing par. The deal also has a large, out-of-the-money interest rate swap, which will continue to reduce excess interest in the deal until it matures in August 2017. The notional of this swap, however, will decrease substantially over the next year, leaving excess interest available to deleverage the Class D notes as long as the Class D OC test continues to fail and the other OC tests remain in compliance. JP MORGAN 2004-PNC1: Fitch Raises Rating on Class F Certs to 'B' ---------------------------------------------------------------- Fitch Ratings has upgraded two and affirmed 12 classes of J.P. Morgan Chase Commercial Mortgage Securities Corp., series 2004-PNC1 commercial mortgage pass-through certificates (JPMCC 2004-PNC1). Fitch has also revised the Rating Outlook for class D to Positive from Stable. KEY RATING DRIVERS The upgrades reflect an increase in credit enhancement due to three loan payoffs since Fitch's previous rating action, as well as continued amortization and paydown. Fitch has applied additional stresses in its base case scenario to reflect the increasing risk of adverse selection as the pool becomes more concentrated. Despite high credit enhancement, ratings for classes D and E are capped at 'Asf' and 'BBBsf', respectively, due to concentration risk, quality of the remaining collateral, the percentage of Fitch Loans of Concern (FLOCs, 29.6%) and significant single-tenant exposure (three loans, 48.1%). These concerns increase the pool's exposure to single event risk, which can cause a significant loss or interest shortfall in the future. Currently, there are only 13 loans remaining in the transaction, compared to 101 at issuance. Fitch modeled losses of 28.3% of the remaining pool; expected losses on the original pool balance total 6.5%, including $49.6 million (4.5% of the original pool balance) in realized losses to date. Fitch has designated four loans as FLOCs, including one specially serviced asset (12.2%). As of the May 2016 distribution date, the pool's aggregate principal balance has been reduced by 92.8% to $78.7 million from $1.1 billion at issuance. One loan (4.7%) is defeased. Interest shortfalls totaling $2.85 million are currently affecting classes H, L, M, N, P and NR. The largest contributor to expected losses is a 146,279 square foot (sf) retail center (12.9%) located in Springdale, OH. The property is currently 57% occupied by two tenants. The former largest tenant, Dick's Sporting Goods, which occupied 43% of the property, vacated upon lease expiration in October 2015. The two remaining tenants have extended their leases until March 2019 and January 2021, respectively, but are paying reduced rents due to co-tenancy clauses with the former Dick's space. Historically, the borrower has been offering rent concessions in order to maintain occupancy, which has impacted property revenues. The loan has passed its anticipated repayment date (ARD) of May 2014. The final loan maturity date is May 1, 2034. The servicer-reported first quarter (1Q) 2016 debt service coverage ratio (DSCR) was 0.37x, compared to 0.94x at year-end (YE) 2015 and 1.52x at issuance. The second largest contributor to Fitch's modeled losses is an 180,000 sf suburban office property (12.2%) located in Farmington Hills, MI, a suburb of Detroit. The property is 100% occupied by the single tenant Jervis B. Webb Company, whose lease will expire in September 2017. The tenant is expected to vacate upon lease expiration. The loan transferred to the special servicer in October 2013 due to imminent payment default after the borrower was unable to secure refinancing proceeds prior to the April 2014 maturity date. The property was foreclosed on and became real estate owned (REO) in August 2015. The special servicer is working to identify replacement tenants. RATING SENSITIVITIES The Positive Outlook on class D indicates that future upgrades are possible if the tenant of the largest loan in the pool exercises its renewal option in December 2018. Swiss Re Management (US) Corp. occupies 100% of the ERC Overland Park property, a 320,198 sf office property located in Overland Park, KS (43.1% of the pool). Upgrades are also possible if this loan pays off on its Anticipated Repayment Date (ARD) of May 2019, as the pool's binary risk profile would decrease. Fitch expects the ratings on the classes C, E and F to remain stable, and does not anticipate any near-term rating actions at this time. Further upgrades to classes E and F may be limited due to the concentrated nature of the pool. In addition, the distressed classes (rated below 'B') may be subject to further rating actions as losses are realized. DUE DILIGENCE USAGE No third party due diligence was provided or reviewed in relation to this rating action. Fitch has upgraded these classes: -- $11 million class E to 'BBBsf' from 'Bsf'; Outlook Stable; -- $16.5 million class F to 'B' from 'CCCsf/RE100%'; Outlook Stable. Fitch has affirmed these classes: -- $11.7 million class C at 'AAAsf'; Outlook Stable; -- $17.8 million class D at 'Asf'; Outlook to Positive from Stable; -- $11 million class G at 'CCsf'; RE 90%; -- $10.8 million class H 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-2, A-3, A-4, A-1A and B notes have paid in full. Fitch does not rate the class NR notes. Fitch has previously withdrawn the rating on the interest-only class X certificates. JP MORGAN 2005-OPT1: Moody's Hikes Cl. M-4 Debt Rating to Ba3(sf) ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 14 tranches from 7 deals issued by J.P. Morgan Mortgage Acquisition Corp., backed by Subprime mortgage loans. Complete rating actions are as follows: Issuer: J.P. Morgan Mortgage Acquisition Corp. 2005-OPT1 Cl. M-4, Upgraded to Caa1 (sf); previously on Jul 6, 2015 Upgraded to Caa3 (sf) Issuer: J.P. Morgan Mortgage Acquisition Corp. 2006-ACC1 Cl. A-1, Upgraded to A3 (sf); previously on Jul 6, 2015 Upgraded to Baa3 (sf) Cl. A-4, Upgraded to A2 (sf); previously on Jul 6, 2015 Upgraded to Baa2 (sf) Cl. A-5, Upgraded to A3 (sf); previously on Jul 6, 2015 Upgraded to Baa3 (sf) Issuer: J.P. Morgan Mortgage Acquisition Corp. 2006-CW1 Cl. A-1B, Upgraded to Baa1 (sf); previously on Jul 6, 2015 Upgraded to Ba1 (sf) Cl. A-4, Upgraded to Baa1 (sf); previously on Jul 6, 2015 Upgraded to Ba1 (sf) Cl. A-5, Upgraded to Ba1 (sf); previously on Jul 6, 2015 Upgraded to B1 (sf) Issuer: J.P. Morgan Mortgage Acquisition Corp. 2006-FRE2 Cl. A-1, Upgraded to Baa1 (sf); previously on Jul 6, 2015 Upgraded to Baa3 (sf) Issuer: J.P. Morgan Mortgage Acquisition Corp. 2006-HE1, Asset-Backed Pass-Through Certificates, Series 2006-HE1 Cl. A-1, Upgraded to Ba1 (sf); previously on Jul 6, 2015 Upgraded to Ba3 (sf) Issuer: J.P. Morgan Mortgage Acquisition Trust 2006-NC1 Cl. A-1, Upgraded to Ba1 (sf); previously on Jul 6, 2015 Upgraded to Ba2 (sf) Cl. A-4, Upgraded to Ba1 (sf); previously on Jul 6, 2015 Upgraded to Ba3 (sf) Cl. A-5, Upgraded to B1 (sf); previously on Jul 6, 2015 Upgraded to B3 (sf) Issuer: J.P. Morgan Mortgage Acquisition Trust 2006-NC2 Cl. A-4, Upgraded to Ba1 (sf); previously on Jul 31, 2015 Upgraded to Ba3 (sf) Cl. A-5, Upgraded to Ba3 (sf); previously on Jul 31, 2015 Upgraded to B1 (sf) RATINGS RATIONALE The upgrades are a result of improving performance of the related pools and/or build-up in credit enhancement of the tranches. The actions reflect the recent performance of the underlying pools and Moody's updated loss expectations on the pools. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in November 2013. 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 ratings: Ratings in the US RMBS sector remain exposed to the high level of macroeconomic uncertainty, and in particular the unemployment rate. The unemployment rate fell to 4.7% in May 2016 from 5.5% in May 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. JP MORGAN 2006-LDP6: Moody's Cuts Cl. X-1 Debt Rating to Caa3(sf) ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on two classes, downgrade the rating on one class, and affirmed the rating on one class in J.P. Morgan Chase Commercial Mortgage Securities Corp., Commercial Pass-Through Certificates, Series 2006-LDP6 as follows: Cl. B, Upgraded to Baa1 (sf); previously on Jan 8, 2016 Upgraded to Ba2 (sf) Cl. C, Upgraded to B1 (sf); previously on Jan 8, 2016 Affirmed Caa2 (sf) Cl. D, Affirmed C (sf); previously on Jan 8, 2016 Affirmed C (sf) Cl. X-1, Downgraded to Caa3 (sf); previously on Jan 8, 2016 Downgraded to B2 (sf) RATINGS RATIONALE The ratings on Classes B and C were upgraded based primarily on an increase in credit support resulting from loan paydowns and amortization. The deal has paid down 90% since Moody's last review. The rating on Class D was affirmed because the ratings are consistent with Moody's expected loss. The rating on the IO Class, Class X-1, was downgraded due to the decline in the credit performance of its reference classes resulting from principal paydowns of higher quality reference classes. Moody's rating action reflects a base expected loss of 25.7% of the current balance, compared to 4.5% at Moody's last review. Moody's base expected loss plus realized losses is now 8.6% of the original pooled balance, compared to 9.2% 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 RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. DEAL PERFORMANCE As of the May 16, 2016 distribution date, the transaction's aggregate certificate balance has decreased by 96% to $78.3 million from $2.1 billion at securitization. The certificates are collateralized by 10 mortgage loans ranging in size from less than 3% to 23% of the pool. One loan, constituting 9.1% of the pool, has defeased and is secured by US government securities. Two 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. Thirty-eight loans have been liquidated with a loss from the pool, resulting in an aggregate realized loss of $163.3 million (for an average loss severity of 52%). Six loans, constituting 68% of the pool, are currently in special servicing. The largest specially serviced loan is the 71 Clinton Road Loan ($18.1 million -- 23.1% of the pool), which is secured by a 180,000 square foot (SF) industrial building in Garden City, New York. The loan transferred to special servicing in February 2016 due to imminent maturity default. The largest tenant, FedEx (63% of net rentable area), recently renewed its lease for ten years. The second largest special serviced loan is the Avis Centre XII Loan ($11.3 million -- 14.5% of the pool), which is secured by a 89,000 square foot (SF) office building in Ann Arbor, Michigan. The loan transferred to special servicing in February 2016 due to imminent maturity default. The largest tenant, Metevante (35% of net rentable area), recently renew its lease at a lower rental rate. As of February 2016, the property was 95% leased, unchanged since 2012. The special servicer indicated that the borrower is currently marketing the asset for sale. The remaining three specially serviced loans are secured by retail properties. Moody's estimates an aggregate $15 million loss for the specially serviced loans. Moody's has assumed a high default probability for two poorly performing loans, constituting 16% of the pool, and has estimated an aggregate loss of $5.2 million (a 42% expected loss on average) from these troubled loans. Excluding the defeased, troubled and specially serviced loans, the only remaining loan is the Arden's Run Apartment Loan ($5.5 million -- 7.0% of the pool). The loan is secured by a 240-unit student housing complex located less than a mile away from University of Maryland Eastern Shore, located in Princess Anne, Maryland. As of December 2015, the property was 94% leased, compared to 76% the prior year. Expenses have increased over the past three years while revenue has fluctuated. The university leases buildings C, D, and a portion of B from the borrower. Moody's LTV and stressed DSCR are 80% and 1.14X, respectively, compared to 84% 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. JP MORGAN 2006-LDP8: Moody's Affirms B2 Rating on Class D Certs --------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on eight classes, upgraded the ratings on three classes and downgraded the rating on one class in J.P. Morgan Chase Commercial Mortgage Securities Corp. Series 2006-LDP8, Commercial Mortgage Pass-Through Certificates, Series 2006-LDP8 as: Cl. A-1A, Affirmed Aaa (sf); previously on Aug. 27, 2015, Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Aug. 27, 2015, Affirmed Aaa (sf) Cl. A-M, Affirmed Aaa (sf); previously on Aug. 27, 2015, Affirmed Aaa (sf) Cl. A-J, Upgraded to Aa3 (sf); previously on Aug. 27, 2015, Affirmed Baa1 (sf) Cl. B, Upgraded to A3 (sf); previously on Aug. 27, 2015, Affirmed Ba1 (sf) Cl. C, Upgraded to Ba2 (sf); previously on Aug. 27, 2015, Affirmed Ba3 (sf) Cl. D, Affirmed B2 (sf); previously on Aug. 27, 2015, Affirmed B2 (sf) Cl. E, Affirmed B3 (sf); previously on Aug. 27, 2015, Affirmed B3 (sf) Cl. F, Affirmed Caa2 (sf); previously on Aug. 27, 2015, Affirmed Caa2 (sf) Cl. G, Affirmed Caa3 (sf); previously on Aug. 27, 2015, Affirmed Caa3 (sf) Cl. H, Affirmed C (sf); previously on Aug. 27, 2015, Affirmed C (sf) Cl. X, Downgraded to B1 (sf); previously on Aug. 27, 2015, Affirmed Ba3 (sf) RATINGS RATIONALE The ratings on the P&I classes A-1A, A-4 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 and C were 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 41% since Moody's last review. In addition, loans constituting 49% of the pool that have debt yields exceeding 10.0% are scheduled to mature within the next six months. The ratings on the P&I classes D through H were affirmed because the ratings are consistent with Moody's expected loss. The rating on the IO Class (Class X) was downgraded due to the decline in the credit performance of its reference classes resulting from principal paydowns of higher quality reference classes. Moody's rating action reflects a base expected loss of 11.2% of the current balance, compared to 10.4% at Moody's last review. Moody's base expected loss plus realized losses is now 6.8% of the original pooled balance, compared to 8.9% 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 RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The methodologies used in 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 10, compared to 13 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 May 16, 2016, distribution date, the transaction's aggregate certificate balance has decreased by 67% to $1.01 billion from $3.07 billion at securitization. The certificates are collateralized by 83 mortgage loans ranging in size from less than 1% to 22.6% of the pool, with the top ten loans constituting 58% of the pool. Eleven loans, constituting 13% of the pool, have defeased and are secured by US government securities. Forty loans, constituting 61% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Twenty-two loans have been liquidated from the pool, resulting in an aggregate realized loss of $96.6 million (for an average loss severity of 64.7%). Six loans, constituting 13% of the pool, are currently in special servicing. The largest specially serviced loan is the Foothills Mall loan (for $76.1 million 7.5% of the pool), which is secured by an indoor regional shopping mall located on the Northwest Side of Tucson, Arizona, in the community of Casas Adobes. The property is shadow anchored by a Walmart Supercenter. Leasing at the property has struggled since the opening of Tucson Premium Outlets, a Simon Premium Outlet property; major tenants Saks Fifth Avenue's Off Fifth, Old Navy's Outlet, Hanes & Nike Factory Store closed or rejected renewal options at the property to relocate to the new outlet mall. The remaining five specially serviced loans are secured by a mix of property types. Moody's estimates an aggregate $63 million loss for the specially serviced loans (47% expected loss on average). Moody's has assumed a high default probability for eight poorly performing loans, constituting 26% of the pool, and has estimated an aggregate loss of $42.4 million (a 16% expected loss based on a 50% probability default) 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 90%. Moody's weighted average conduit LTV is 86%, compared to 102% 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 11% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.1%. Moody's actual and stressed conduit DSCRs are 1.38X and 1.20X, respectively, compared to 1.29X and 0.99X 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 37% of the pool balance. The largest loan is the Gas Company Tower Loan ($229 million -- 22.6% of the pool), which represents a pari passu interest in a $458 million first mortgage loan. The loan is secured by a 1.3 million SF Class A office building located in downtown Los Angeles, California. The loan is on the watchlist due to declining occupancy and base rent. 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. Although occupancy has improved, performance is still significantly below that at securitization. The property was sold to Brookfield Office Properties in October 2013 for approximately $430 million. The loan is interest only for the entire term. Moody's views this loan as a troubled loan. Moody's LTV and stressed DSCR are 145% and 0.65X, respectively, the same as at last review. The second largest loan is the CNL/Welsh Portfolio Loan ($103.6 million -- 10.2% of the pool), which is secured by 10 industrial properties and 3 office buildings located across 10 states. As of June 2015, the portfolio is 93% leased; eleven properties are fully leased, one is 91% leased and another is 100% vacant. The largest tenant, Bluestern Brand Inc., leases 39% of the total space through 2023. Moody's LTV and stressed DSCR are 87% and 1.10X, respectively, compared to 88% and 1.09X at the last review. The third largest loan is the 1800-1880 John F Kennedy Boulevard Loan ($41.6 million -- 4.1% of the pool), which is secured by a twin-tower Class-A Office complex located in Center City, Philadelphia's major business district. As of March 2016, the two buildings are 98% occupied, compared to 94% at Year-End 2014. Moody's LTV and stressed DSCR are 84% and 1.16X, respectively, compared to 96% and 1.01X at the last review. JP MORGAN 2011-C5: Moody's Affirms B3(sf) Rating on Class G Debt ---------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on twelve classes in J.P. Morgan Chase Commercial Mortgage Securities Trust 2011-C5, Commercial Mortgage Pass-Through Certificates, Series 2011-C5 as follows: Cl. A-2, Affirmed Aaa (sf); previously on Jun 22, 2015 Affirmed Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on Jun 22, 2015 Affirmed Aaa (sf) Cl. A-S, Affirmed Aaa (sf); previously on Jun 22, 2015 Affirmed Aaa (sf) Cl. A-SB, Affirmed Aaa (sf); previously on Jun 22, 2015 Affirmed Aaa (sf) Cl. B, Affirmed Aa2 (sf); previously on Jun 22, 2015 Affirmed Aa2 (sf) Cl. C, Affirmed A2 (sf); previously on Jun 22, 2015 Affirmed A2 (sf) Cl. D, Affirmed Baa3 (sf); previously on Jun 22, 2015 Affirmed Baa3 (sf) Cl. E, Affirmed Ba2 (sf); previously on Jun 22, 2015 Affirmed Ba2 (sf) Cl. F, Affirmed B1 (sf); previously on Jun 22, 2015 Affirmed B1 (sf) Cl. G, Affirmed B3 (sf); previously on Jun 22, 2015 Affirmed B3 (sf) Cl. X-A, Affirmed Aaa (sf); previously on Jun 22, 2015 Affirmed Aaa (sf) Cl. X-B, Affirmed Ba3 (sf); previously on Jun 22, 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 (Class X-A and X-B) 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 2.5% of the current balance, compared to 2.2% at Moody's last review. Moody's base expected loss plus realized losses is now 2.2% of the original pooled balance, compared to 2.1% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. DEAL PERFORMANCE As of the May 17, 2016 distribution date, the transaction's aggregate certificate balance has decreased by 13% to $893 million from $1 billion at securitization. The certificates are collateralized by 39 mortgage loans ranging in size from less than 1% to 16% of the pool, with the top ten loans constituting 65% of the pool. Eight loans, constituting 13% 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, The Cove at Southern ($6 million), has been liquidated from the pool, resulting in a realized loss of less than a 1% of the loan balance. No loans are currently in special servicing. Moody's received full or partial year 2015 operating results for 90% of the pool. Moody's weighted average conduit LTV is 85%, compared to 86% 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 12% 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 1.75X and 1.26X, respectively, compared to 1.72X and 1.22X 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 35% of the pool balance. The largest loan is the InterContinental Hotel Chicago Loan ($140 million -- 15.7% of the pool), which is secured by a 792-key full-service hotel located on North Michigan Avenue in Chicago, Illinois. The property includes over 25,000 square feet (SF) of meeting space, a Michael Jordan's steakhouse restaurant, full service spa and an indoor junior Olympic size pool. The property saw a decline in performance in 2015. For the trailing-twelve month period ending December 2015, the property had a RevPAR penetration of 95.5% compared to its competitive set. The RevPAR penetration is down from the prior three years which were all in excess of 102%. Moody's LTV and stressed DSCR are 106% and 1.04X, respectively, compared to 91% and 1.22X at the last review. The second largest loan is the SunTrust Bank Portfolio I Loan ($100 million -- 11.2% of the pool). The loan is secured by 119 bank branches and two single-tenant office buildings. The properties are 100% leased to SunTrust Bank (Moody's senior unsecured rating Baa1, stable outlook) as part of a master lease agreement. The properties are located in nine Eastern states, from Maryland to Florida. Moody's LTV and stressed DSCR are 66% and 1.48X, respectively, compared to 66% and 1.47X at the last review. The third largest loan is the Asheville Mall Loan ($71 million -- 7.9% of the pool). The loan is secured by a 324,000 square foot component of a 974,000 square foot regional mall located in Asheville, North Carolina. The mall anchors include Dillard's, Sears, JC Penney, Belk, and Barnes and Noble. The total mall was 99% leased as of December 2015 compared to 97% at last review and in-line space was 98% leased. The mall has reported occupancy above 94% since at least 2008. The loan sponsor is CBL & Associates Properties, Inc., a retail REIT based in Chattanooga, Tennessee. Moody's LTV and stressed DSCR are 74% and 1.36X, respectively, compared to 75% and 1.33X at the last review. JP MORGAN 2016-FL8: S&P Assigns B Rating on Class C Certificates ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to J.P. Morgan Chase Commercial Mortgage Securities Trust 2016-FL8's $337.0 million commercial mortgage pass-through certificates series 2016-FL8. The note issuance is a commercial mortgage-backed securities transaction backed by five floating-rate loans secured by the fee interest in an office property called Riverfront Plaza, by the fee and leasehold interest in the DoubleTree Suites Santa Monica, the fee interest in five retail properties called the Devonshire Retail Portfolio, the fee interest in five suburban office and industrial-flex properties called the Normandy Portfolio, and the fee interest in three suburban office and industrial-flex properties called the Jacksonville Office Portfolio. The ratings reflect S&P's view of the collateral's historical and projected performance, the sponsors' and managers' experience, the trustee-provided liquidity, the loans' terms, and the transaction's structure. RATINGS ASSIGNED J.P. Morgan Chase Commercial Mortgage Securities Trust 2016-FL8 Class Rating (i) Amount ($) A BBB- (sf) 271,400,000 X BBB- (sf) 136,595,620 (ii) B BB- (sf) 54,200,000 C B (sf) 11,400,000 (i) The certificates will be issued to qualified institutional buyers according to Rule 144A of the Securities Act of 1933. (ii) Notional balance. JP MORGAN 20161: Moody's Assigns (P)Ba3 Ratings to Cl. B4 Certs --------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to 26 classes of residential mortgagebacked securities (RMBS) issued by J.P. Morgan Mortgage Trust 20161 (JPMMT 20161). The ratings range from (P)Aaa (sf)(P)Ba3 (sf). The certificates are backed by one pool of prime quality, fixed rate, firstlien mortgage loans, originated by various originators. Wells Fargo Bank, N.A. is the master servicer and U.S. Bank Trust National Association will serve as the trustee. The complete rating actions are as follows: Issuer: J.P. Morgan Mortgage Trust 20161 Cl. A1 Certificate, Assigned (P)Aaa (sf) Cl. A2 Certificate, Assigned (P)Aaa (sf) Cl. A3 Certificate, Assigned (P)Aaa (sf) Cl. A4 Certificate, Assigned (P)Aaa (sf) Cl. A5 Certificate, Assigned (P)Aaa (sf) Cl. A6 Certificate, Assigned (P)Aaa (sf) Cl. A7 Certificate, Assigned (P)Aaa (sf) Cl. A8 Certificate, Assigned (P)Aaa (sf) Cl. A9 Certificate, Assigned (P)Aaa (sf) Cl. A10 Certificate, Assigned (P)Aaa (sf) Cl. A11 Certificate, Assigned (P)Aaa (sf) Cl. A12 Certificate, Assigned (P)Aaa (sf) Cl. A13 Certificate, Assigned (P)Aa1 (sf) Cl. A14 Certificate, Assigned (P)Aa1 (sf) Cl. AX1 Certificate, Assigned (P)Aaa (sf) Cl. AX2 Certificate, Assigned (P)Aaa (sf) Cl. AX3 Certificate, Assigned (P)Aaa (sf) Cl. AX4 Certificate, Assigned (P)Aaa (sf) Cl. AX5 Certificate, Assigned (P)Aaa (sf) Cl. AX6 Certificate, Assigned (P)Aaa (sf) Cl. AX7 Certificate, Assigned (P)Aaa (sf) Cl. AX8 Certificate, Assigned (P)Aa1 (sf) Cl. B1 Certificate, Assigned (P)Aa3 (sf) Cl. B2 Certificate, Assigned (P)A2 (sf) Cl. B3 Certificate, Assigned (P)Baa3 (sf) Cl. B4 Certificate, Assigned (P)Ba3 (sf) RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Moody's expected cumulative net loss on the aggregate pool is 0.50% in a base scenario and reaches 5.25% at a stress level consistent with the Aaa ratings. The collateral quality for this transaction, by itself, is consistent with other prime transactions that Moody's recently rated. The Aaa Moody's Individual Loan Analysis (MILAN) credit enhancement (CE), inclusive of concentration adjustments, for this pool is 4.51%. Moody's increased MILAN model's CE by 0.74% for qualitative factors and adjustments not factored in the model. Loan level adjustments included: adjustments to borrower probability of default for higher and lower borrower DTIs, channel of originations, selfemployed borrowers, and at a pool level, for the default risk of HOA properties in super lien states. The adjustment to Moody's Aaa stress loss above the model output also includes adjustments related to servicers and originators assessments, and representations and warranties framework. Moody's based the MILAN model on stressed trajectories of home prices, unemployment rates and interest rates, at a monthly frequency over a 10-year period. Collateral Description The JPMMT 20161 transaction is a securitization of 581 first lien residential mortgage loans with an unpaid principal balance of $412,661,428. This transactions has a comparatively high seasoning (12 months), low percentage of loans with prepayment penalty (1.6%), and diversified geographical concentration. There are 15 originators in the transaction. The largest originators in the pool by balance are New Penn Financial, LLC (19.69%), Primary Capital Mortgage, LLC (13.00%), Homestreet Bank (11.13%), PHH Mortgage Corporation( 10.55%) and Everbank (10.31%). No other single originator was responsible for 10% or more of the aggregate pool balance. There are 15 servicers that own the servicing rights of the loans in the transaction: by principal balance, New Penn Financial, LLC (19.69%), Primary Capital Mortgage (13.00%), Homestreet Bank (11.13%), PHH Mortgage Corporation (10.55%) and EverBank (10.31%). No other single servicer was responsible for 10% or more of the aggregate pool balance. Third party Review and Reps & Warranties Three third party due diligence firms verified the accuracy of the loanlevel information that the sponsor gave us. These firms conducted detailed credit, collateral, and regulatory reviews on 100% of the mortgage pool. The TPR results indicated compliance with the originators' underwriting guidelines for the vast majority of loans, no material compliance issues (except for a few TRID-related issues), and no appraisal defects. The loans that had exceptions to the originators' underwriting guidelines had good compensating factors and senior credit signoff. The originators and the sellers have provided unambiguous representations and warranties (R&Ws) including an unqualified fraud R&W. There is provision for binding arbitration in the event of dispute between investors and the R&W provider concerning R&W breaches. Although the TPR report identified compliance related exceptions relating to the TILARESPA Integrated Disclosure (TRID) rule,Moody's does not believe the majority to be material because either the sponsor or originator corrected the errors or the errors are of a type that would not likely lead to damages for the RMBS trust. However, we found a few loans where the TRIDrelated exception may lead to damages for the RMBS trust. For 3 loans where the TPR firm found a tolerance fee violation, the originator did not provide the borrower with a corrected closing disclosure, letter of explanation and refund within 60 days of consummation. Due to the small number of affected loans and amount of potential damages ($4,000 statutory damages per loan plus attorney fees), Moody's adjustment had a minimal impact on our credit enhancement levels. Trustee and Master Servicer The transaction trustee is U.S. Bank National Association. The custodians functions will be performed by Wells Fargo Bank, N.A. The paying agent and cash management functions will be performed by Wells Fargo Bank, N.A., rather than the trustee. In addition, Wells Fargo, as Master Servicer, is responsible for servicer oversight, and termination of servicers and for the appointment of successor servicers. In addition, Wells Fargo is committed to act as successor if no other successor servicer can be found. Tail Risk & Subordination Floor The transaction cash flows follow a shifting interest structure that allows subordinated bonds to receive principal payments under certain defined scenarios. Because a shifting interest structure allows subordinated bonds to pay down over time as the loan pool shrinks, senior bonds are exposed to increased performance volatility, known as tail risk. The transaction provides for a credit enhancement floor of 1.25 % of the closing pool balance, which mitigates tail risk by protecting the senior bonds from eroding credit enhancement over time. Factors that would lead to an upgrade or downgrade of the ratings: 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 worsethanexpected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. 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. JPMBB 2014-C22: Moody's Affirms Ba3 Rating on Class UHP Debt ------------------------------------------------------------ Moody's Investors Service has affirmed the ratings on seven classes in JPMBB Commercial Mortgage Securities Trust 2014-C22 as follows: Cl. A-1, Affirmed Aaa (sf); previously on Jun 12, 2015 Affirmed Aaa (sf) Cl. A-2, Affirmed Aaa (sf); previously on Jun 12, 2015 Affirmed Aaa (sf) Cl. A-3A1, Affirmed Aaa (sf); previously on Jun 12, 2015 Affirmed Aaa (sf) Cl. A-3A2, Affirmed Aaa (sf); previously on Jun 12, 2015 Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Jun 12, 2015 Affirmed Aaa (sf) Cl. A-SB, Affirmed Aaa (sf); previously on Jun 12, 2015 Affirmed Aaa (sf) Cl. UHP, Affirmed Ba3 (sf); previously on Jun 12, 2015 Affirmed Ba3 (sf) RATINGS RATIONALE The ratings on six P&I classes were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The rating on one non-pooled rake class, Class UHP, was affirmed due to the stable performance of the underlying collateral: the U-Haul Self-Storage Portfolio. Moody's rating action reflects a base expected loss of 4.1% of the current pooled balance, compared to 5.0% at Moody's last review. The deal has not experienced any realized losses and Moody's base expected loss plus realized losses is now 4.1% of the original pooled balance, compared to 5.0% at Moody's last review. il FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. DEAL PERFORMANCE As of the May 17th, 2016 distribution date, the transaction's aggregate pooled certificate balance has decreased by 1.1% to $1.11 billion from $1.12 billion at securitization. The certificates are collateralized by 76 mortgage loans ranging in size from less than 1% to 8% of the pool, with the top ten loans constituting 47% of the pool. Nine loans, constituting 9% 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 and there are currently no loans in special servicing. Moody's received full or partial year 2015 operating results for 98% of the pool. Moody's weighted average conduit LTV is 114%, essentially the same as 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 16% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.8%. Moody's actual and stressed conduit DSCRs are 1.45X and 0.95X, respectively, compared to 1.45X and 0.94X 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 22% of the pool balance. The largest loan is the Queens Atrium Loan ($90 million -- 8% of the pool), which represents a pari-passu interest in a $180 million loan. The loan is secured by two office properties in Long Island City, New York containing 1.0 million square feet (SF). The two buildings were 100% leased as of November 2015, of which 99% was leased by New York City agencies. The property benefits from three tax abatements that will fully expire in 2033. The loan is pari passu with WFRBS 2014-C21. Moody's LTV and stressed DSCR are 117% and 0.86X, respectively, the same as at Moody's last review. The second largest loan is the One Met Center Loan ($76 million -- 7% of the pool), which is secured by a 15-story, Class A office property located in East Rutherford, New Jersey. The property was built in 1986, and is located across from Metlife Stadium. As of March 2016, the property was 92.5% leased, compared to 100% leased as of May 2014. Moody's LTV and stressed DSCR are 113% and 0.91X, respectively, the same as at Moody's last review. The third largest loan is the Las Catalinas Mall Loan ($75 million -- 7% of the pool), which represents a pari-passu interest in a $130 million loan. The loan is secured by a 355,385 SF component of a 494,071 SF enclosed regional mall located in Caguas, Puerto Rico. The mall was built in 1997 and is anchored by Sears and Kmart. Sears is not part of the collateral. As of December 2015, the total mall was 95% occupied, compared to 96% in May 2014. Moody's LTV and stressed DSCR are 95% and 1.05X, respectively, the same as at Moody's last review. LB-UBS COMMERCIAL 2004-C7: Moody's Hikes Cl. M Debt Rating to Caa2 ------------------------------------------------------------------ Moody's Investors Service has upgraded three and affirmed four classes of LB-UBS Commercial Mortgage Trust 2004-C7 as: Cl. J, Affirmed Aaa (sf); previously on Aug. 28, 2015, Upgraded to Aaa (sf) Cl. K, Upgraded to Aaa (sf); previously on Aug. 28, 2015, Upgraded to Aa3 (sf) Cl. L, Upgraded to Aa3 (sf); previously on Aug. 28, 2015, Upgraded to Ba1 (sf) Cl. M, Upgraded to Caa2 (sf); previously on Aug. 28, 2015, Affirmed Ca (sf) Cl. N, Affirmed C (sf); previously on Aug. 28, 2015, Affirmed C (sf) Cl. X-CL, Affirmed Caa1 (sf); previously on Aug. 28, 2015, Affirmed Caa1 (sf) Cl. X-OL, Affirmed Aaa (sf); previously on Aug. 28, 2015, Affirmed Aaa (sf) RATINGS RATIONALE The ratings on two IG P&I classes, Classes K and L, were upgraded based on an increase in credit support from paydowns and amortization. The deal has paid down 30% since last review and 98% since securitization. The rating on one non-IG P&I class, Class M, was upgraded due to an increase in credit support from paydowns and amortization and lower anticipated losses from troubled loans. The ratings on two P&I classes, classes J and N, 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 IO classes, Classes X-CL and X-OL, were affirmed based on the credit performance (or the weighted average rating factor or WARF) of their referenced class. Moody's rating action reflects a base expected loss of 1.4% of the current balance compared to 1.7% at last review. Moody's base plus realized loss totals 1.8%, 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 RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "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 2, the same as at last review. DEAL PERFORMANCE As of the May 17, 2016, distribution date, the transaction's aggregate certificate balance has decreased by 97% to $34.9 million from $1.4 billion at securitization. The certificates are collateralized by three mortgage loans ranging in size from 6% to 86% of the pool. The largest loan in the pool, One Lincoln Street, constituting 86% of the pool, has defeased and is secured by US government securities. Two loans, constituting 14% 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. Fifteen loans have been liquidated from the pool of which eleven of those liquidated loans resulted in an aggregate realized loss of $24.9 million (for an average loss severity of 44%). There are no loans in special servicing. Moody's has assumed a high default probability for one poorly performing loan. Moody's estimates an aggregate $500,000 loss for the troubled loan (25% expected loss on average). Moody's received full year 2014 and full year 2015 operating results for 100% of the pool (excluding defeasance). Moody's weighted average conduit LTV is 94%, compared to 102% at 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 12% 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 1.05X and 1.03X, respectively, compared to 1.11X and 0.96X 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 two conduit loans represent 14% of the pool balance. The largest loan is the Garrison Ridge Loan ($2.8 million -- 8.2% of the pool), which is secured by an 18,200 strip retail center shadow anchored by Lowe's located in Marietta, Georgia. As of December 2015, the property was 66% leased compared to 74% at last review. Despite lower occupancy, property performance improved due to expense management and leasing efforts. The loan has also amortized 9% since securitization. Moody's LTV and stressed DSCR are 94% and 1.03X, respectively, compared 102% and 0.96X at the last review. The second largest loan is the Pecan Creek Loan ($2.0 million -- 5.7% of the pool), which is secured by 11,372 SF strip retail center located in Southlake, Texas. As of December 2015, the property was 68% leased, the same as at last review. The loan has amortized 8% since securitization. Moody's has identified this loan as a troubled loan. MARATHON CLO V: S&P Affirms 'BB' Rating on Class D Notes -------------------------------------------------------- S&P Global Ratings affirmed its ratings on the class A-1, A-2a, A-2b, B-1, B-2, C, and D notes from Marathon CLO V Ltd., a U.S. collateralized loan obligation (CLO) that closed in February 2013 and is managed by Marathon Asset Management LLC. The deal is currently in its reinvestment phase, which is scheduled to end in February 2017. Per the May 2016 trustee report, the weighted average life has decreased to 4.48 years from 5.34 years as of the May 2013 effective date. Because time horizon factors heavily into default probability, a shorter weighted average life positively affects the creditworthiness of the collateral pool. There has also been an increase in collateral with an S&P Global Ratings credit rating of 'BB-' or higher within the transaction's portfolio and overall credit seasoning through the same period. However, these improvements have mainly been offset by other factors. Since the transaction's effective date, the defaulted asset balance has increased to 2.1% of the collateral balance as of the May 2016 trustee report from zero. Over the same period, the amount of 'CCC' rated assets has increased to 10.4% from 4.2% of the collateral balance. Furthermore, although all coverage tests are passing with a good cushion, the total par for the portfolio has decreased since the effective date, which has led to decreased overcollateralization (O/C) ratios. The May 2016 trustee report indicated these O/C changes compared with the May 2013 report: -- The class A O/C decreased to 137.69% from 140.72%. -- The class B O/C ratio decreased to 121.22% from 123.88%. -- The class C O/C ratio decreased to 113.94% from 116.44%. -- The class D O/C ratio decreased to 107.55% from 109.91%. S&P's affirmations of the ratings also reflect the available credit support consistent with the current rating levels. Additionally, although the cash flow results showed higher ratings for the class A-2a, A-2b, B-1, B-2, C, and D notes, S&P took into account that the transaction is still in its reinvestment period, the decline of the O/C levels over time, exposure to distressed industries, and other sensitivity analyses to allow for volatility in the underlying portfolio. S&P's review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the aforementioned trustee report, to estimate future performance. In line with S&P's criteria, its cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, S&P's analysis considered the transaction's ability to pay timely interest, ultimate principal, or both to each of the rated tranches. The cash flow analysis demonstrated, in S&P's view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions. 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 Marathon CLO V Ltd. Cash flow Cash flow Previous implied cushion Final Class rating rating(i) (%)(ii) rating A-1 AAA (sf) AAA (sf) 10.93% AAA (sf) A-2a AA (sf) AA+ (sf) 14.76% AA (sf) A-2b AA (sf) AA+ (sf) 14.76% AA (sf) B-1 A (sf) AA- (sf) 1.10% A (sf) B-2 A (sf) AA- (sf) 1.10% A (sf) C BBB (sf) A- (sf) 0.72% BBB (sf) D BB (sf) BB+ (sf) 5.12% 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 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-1 AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) A-2a AA+ (sf) AA+ (sf) AA+ (sf) AAA (sf) AA (sf) A-2b AA+ (sf) AA+ (sf) AA+ (sf) AAA (sf) AA (sf) B-1 AA- (sf) A+ (sf) A+ (sf) AA+ (sf) A (sf) B-2 AA- (sf) A+ (sf) A+ (sf) AA+ (sf) A (sf) C A- (sf) BBB+ (sf) BBB+ (sf) A+ (sf) BBB (sf) D BB+ (sf) BB (sf) BB+ (sf) BBB- (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-1 AAA (sf) AAA (sf) AAA (sf) AAA (sf) A-2a AA+ (sf) AA+ (sf) AA+ (sf) AA (sf) A-2b AA+ (sf) AA+ (sf) AA+ (sf) AA (sf) B-1 AA- (sf) A+ (sf) BBB+ (sf) A (sf) B-2 AA- (sf) A+ (sf) BBB+ (sf) A (sf) C A- (sf) BBB+ (sf) BB+ (sf) BBB (sf) D BB+ (sf) BB (sf) B (sf) BB (sf) RATINGS AFFIRMED Marathon CLO V Ltd. Class Rating A-1 AAA (sf) A-2a AA (sf) A-2b AA (sf) B-1 A (sf) B-2 A (sf) C BBB (sf) D BB (sf) MARLBOROUGH STREET: Moody's Lowers Rating on Cl. E Notes to B2 -------------------------------------------------------------- Moody's Investors Service has downgraded the rating on these notes issued by Marlborough Street CLO, Ltd.: $9,000,000 Class E Secured Deferrable Floating Rate Notes Due April 18, 2019, Downgraded to B2 (sf); previously on Nov. 4, 2015, Affirmed Ba3 (sf) In addition, Moody's also affirmed the ratings on these notes: $93,000,000 Class A-1 Senior Secured Floating Rate Notes Due April 18, 2019, (current outstanding balance of $1,490,462), Affirmed Aaa (sf); previously on Nov. 4, 2015, Affirmed Aaa (sf) $14,000,000 Class A-2B Senior Secured Floating Rate Notes Due April 18, 2019, (current outstanding balance of $2,243,707), Affirmed Aaa (sf); previously on Nov. 4, 2015, Affirmed Aaa (sf) $13,000,000 Class B Senior Secured Floating Rate Notes Due April 18, 2019, Affirmed Aaa (sf); previously on Nov. 4, 2015, Affirmed Aaa (sf) $15,000,000 Class C Secured Deferrable Floating Rate Notes Due April 18, 2019, Affirmed Aaa (sf); previously on Nov. 4, 2015, Affirmed Aaa (sf) $15,000,000 Class D Secured Deferrable Floating Rate Notes Due April 18, 2019, Affirmed A1 (sf); previously on Nov. 4, 2015, Upgraded to A1 (sf) Marlborough Street CLO, Ltd., issued in April 2007, is a collateralized loan obligation (CLO) backed primarily by a portfolio of senior secured loans. The transaction's reinvestment period ended in April 2013. RATINGS RATIONALE The rating downgrade on the Class E notes reflects a decrease in the Class E OC ratio and deterioration in the credit quality of the underlying collateral portfolio. Based on the trustee's May 2016 report, the Class E OC ratio is at 104.86%, versus the October 2015 level of 105.60%. The erosion of the Class E OC ratio is a result of exposure to a new defaulted security with poor recovery prospects since November 2015. Additionally, the trustee's reported weighted average rating factor for May 2016 is 2901 compared to 2741 in October 2015, attributable in part to a sharp increase in exposures to collateral securities rated Caa1 or lower. The rating affirmations on the Class A-1, A-2B, B and C notes are primarily a result of deleveraging of the senior notes and an increase in the transaction's Class B, C and D over-collateralization (OC) ratios since November 2015. The Class A-1 and Class A-2B notes have been paid down by approximately 74.3% or $10.7 million since then. Based on the trustee's May 2016 report, the OC ratios for the Class B, C and D notes are reported at 349.26%, 184.17%and 125.06%, respectively, versus October 2015 levels of 219.73%, 155.21%, 119.98%, respectively. The portfolio includes a number of investments in securities that mature after the notes do. Based on Moody's calculation, securities that mature after the notes do currently make up approximately 8.3% of the portfolio. These investments could expose the notes to market risk in the event of liquidation when the notes mature. 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. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: 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. 7) 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 $3.3 million of par, Moody's ran a sensitivity case defaulting those assets. 8) Limited portfolio granularity: The performance of the portfolio will depends to a material extent on a few large obligors Moody's rates Caa1 or lower. Based on Moody's analysis, the collateral portfolio consists of seven securities rated Caa1 or lower comprising 22% in aggregate of the collateral. A jump to default by one or more of such securities could result in a notable reduction in the collateral par coverage, especially for the Class E notes. 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% (2552) Class A-1: 0 Class A-2A: 0 Class A-2B: 0 Class B: 0 Class C: 0 Class D: +1 Class E: +2 Moody's Adjusted WARF + 20% (3828) Class A-1: 0 Class A-2A: 0 Class A-2B: 0 Class B: 0 Class C: 0 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 $45.7 million, defaulted par of 8.2 million, a weighted average default probability of 15.48% (implying a WARF of 3190), a weighted average recovery rate upon default of 54.69%, a diversity score of 19 and a weighted average spread of 2.92% (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. MERRILL LYNCH 2005-MCP1: Moody's Hikes Cl. E Debt Rating to Ba1 --------------------------------------------------------------- Moody's Investors Service has upgraded one rating and affirmed the ratings on four classes in Merrill Lynch Mortgage Trust 2005-MCP1, Commercial Mortgage Pass-Through Certificates, Series 2005-MCP1 as: Cl. E, Upgraded to Ba1 (sf); previously on June 26, 2015, Affirmed B2 (sf) Cl. F, Affirmed Caa1 (sf); previously on June 26, 2015, Affirmed Caa1 (sf) Cl. G, Affirmed Caa3 (sf); previously on June 26, 2015, Affirmed Caa3 (sf) Cl. H, Affirmed C (sf); previously on June 26, 2015, Affirmed C (sf) Cl. XC, Affirmed Caa3 (sf); previously on June 26, 2015, Downgraded to Caa3 (sf) RATINGS RATIONALE The rating on the P&I class was upgraded primarily due to an increase in credit support since Moody's last review, resulting from paydowns and amortization. The pool has paid down by 61% since Moody's last review. The ratings on the P&I classes were affirmed because the ratings are consistent with Moody's expected loss. The rating on the IO Class (Class XC) was downgraded due to the decline in the credit performance of its reference classes resulting from principal paydowns of higher quality reference classes. Moody's rating action reflects a base expected loss of 15.1% of the current balance, compared to 15.3% at Moody's last review. Moody's base expected loss plus realized losses is now 4.6% of the original pooled balance, compared to 6.1% 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 RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in October 2015. DESCRIPTION OF MODELS USED Moody's analysis used the excel-based Large Loan Model. 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 and property type. 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 May 12, 2016 distribution date, the transaction's aggregate certificate balance has decreased by 61% to $59 million from $1.7 billion at securitization. The certificates are collateralized by 6 mortgage loans ranging in size from 3% to 52% of the pool, with the top three loans constituting 87% of the pool. Three loans, constituting 38% 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. Seventeen loans have been liquidated from the pool, resulting in an aggregate realized loss of $71.1 million (for an average loss severity of 22.3%). Two loans, constituting 58% of the pool, are currently in special servicing. The largest specially serviced loan and largest loan in the pool is the Prium Office Portfolio II (for $30.6 million 52% of the pool), which is secured by a portfolio of nine class B suburban office buildings located throughout the state of Washington. As of May 2016, the portfolio was 78% leased. Most buildings in the portfolio are single tenant or two tenant offices leased to State of Washington agencies on five year leases. The remaining specially serviced loan is secured by a retail property in Indianapolis, Indiana constituting 6.4% of the pool. The property was 76% leased as of April 2016. The receiver is continuing to lease up the space to a stabilized occupancy after a major tenant vacated the property in 2012. Moody's estimates an aggregate $6.3 million loss for the specially serviced loans (18.4% expected loss on average). Moody's has assumed a high default probability for one poorly performing loan, constituting 16.3% of the pool, and has estimated an aggregate loss of $1.4 million (a 15% expected loss based on a 50% probability default) from this troubled loan. Moody's estimates an aggregate $7.7 million loss for the specially serviced and troubled loans (18% expected loss on average). Moody's received full or partial year 2015 operating results for 98% of the pool. Moody's weighted average conduit LTV is 102.6%, compared to 93.7%, at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 17% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.8%. Moody's actual and stressed conduit DSCRs are 1.46X and 1.29X, respectively, compared to 1.38X and 1.29X, 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 25% of the pool balance. The largest loan is the 844 Front Street Loan ($11.1 million -- 19% of the pool), which is secured by a 12,000 SF retail center located on the island of Maui in Lahaina, Hawaii. As of December 2015, the property was 95% leased. The loan matured on May 2015 and the borrower has requested a two year term extension. Moody's LTV and stressed DSCR are 123% and 0.88X, respectively. The second largest loan is the Madison Meadows Apartments Loan ($2.3 million -- 3.9% of the pool), which is secured by a 120 unit multifamily apartment complex located in Statesboro, Georgia approximately one hour northwest of Savannah, GA. As of September 2015 the property was 93% leased. Moody's LTV and stressed DSCR are 54% and 1.76X, respectively, compared to 54% and 1.74X, at last review. The third largest loan is the Linden Professional Tower Loan ($1.6 million -- 2.7% of the pool), which is secured by an office tower located in Linden, New Jersey approximately 9 miles southwest of Newark Airport. The property is occupied by primarily medical tenants and was 100% occupied at securitization. Moody's LTV and stressed DSCR are 31% and 3.51X, respectively, compared to 37% and 2.95X, at last review. MIDOCEAN CREDIT V: Moody's Assigns Ba3 Rating to Class E Notes -------------------------------------------------------------- Moody's Investors Service, Inc. has assigned ratings to the following classes of notes issued by MidOcean Credit CLO V. Moody's rating action is as follows: US$256,000,000 Class A Floating Rate Notes Due 2028 (the "Class A Notes"), Assigned Aaa (sf) US$40,000,000 Class B-1 Floating Rate Notes Due 2028 (the "Class B-1 Notes"), Assigned Aa2 (sf) US$1,000,000 Class B-2 Floating Rate Notes Due 2028 (the "Class B-2 Notes"), Assigned Aa2 (sf) US$31,000,000 Class C Deferrable Floating Rate Notes Due 2028 (the "Class C Notes"), Assigned A3 (sf) US$16,750,000 Class D Deferrable Floating Rate Notes Due 2028 (the "Class D Notes"), Assigned Baa3 (sf) US$23,250,000 Class E Deferrable Floating Rate Notes Due 2028 (the "Class E Notes"), Assigned Ba3 (sf) US$8,000,000 Class F Deferrable Floating Rate Notes Due 2028 (the "Class F Notes"), Assigned B3 (sf) The Class A Notes, the Class B-1 Notes, the Class B-2 Notes, the Class C Notes, the Class D Notes, the Class E Notes and the Class F Notes are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE Moody's ratings of the Rated Notes address the expected losses posed to noteholders. The ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. MidOcean V is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated first lien senior secured corporate loans. At least 90.0% of the portfolio must consist of senior secured loans and eligible investments, and up to 10% of the portfolio may consist of second lien loans and unsecured loans. The portfolio is approximately 90% ramped as of the closing date. MidOcean Credit Fund Management LP (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's four year reinvestment period. Thereafter, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets, subject to certain restrictions. In addition to the Rated Notes, the Issuer will issue income notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the Rated Notes in order of seniority. MORGAN STANLEY 1998-CF1: Moody's Affirms Caa1 Rating on Cl. G Debt ------------------------------------------------------------------ Moody's Investors Service has affirmed the ratings on two classes in Morgan Stanley Capital I Inc. 1998-CF1, Commercial Mortgage Pass-Through Certificates, Series 1998-CF1 as: Cl. G, Affirmed Caa1 (sf); previously on June 12, 2015, Upgraded to Caa1 (sf) Cl. X, Affirmed Caa3 (sf); previously on June 12, 2015, Affirmed Caa3 (sf) RATINGS RATIONALE The rating on the P&I class, Class G, was affirmed because the rating is consistent with Moody's expected loss. The rating on one IO class, Class X, was affirmed based on the credit performance (or the weighted average rating factor or WARF) of its referenced class. Moody's rating action reflects a base expected loss of 0.7% of the current balance compared to 1.0% at last review. Moody's base plus realized loss totals 7.2%, 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 RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "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 4, the same as at last review. DEAL PERFORMANCE As of the May 16, 2016, distribution date, the transaction's aggregate certificate balance has decreased by 98% to $26.8 million from $1.11 billion at securitization. The certificates are collateralized by 12 mortgage loans ranging in size from 1% to 29% of the pool. Five loans, constituting 28% of the pool, have defeased and are secured by US government securities. Three loans, constituting 29% 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. Fifty-six loans have been liquidated from the pool, resulting in an aggregate realized loss of $79.7 million (for an average loss severity of 46%). Moody's received full year 2014 operating results for 100% of the pool and full or partial year 2015 operating results for 99% of the pool. Moody's weighted average conduit LTV is 43%, compared to 48% 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 12% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 10%. Moody's actual and stressed conduit DSCRs are 1.69X and 2.99X, respectively, compared to 1.63X and 3.05X 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 63% of the pool balance. The largest loan is the Bristol Marketplace Loan ($7.7 million -- 29% of the pool), which is secured by a 99,256 square foot (SF) retail center located in Santa Ana, California. As of December 2015, the property was 95% leased compared to 94% at last review. Overall, the property financial performance has improved and the loan has amortized 33% since securitization. Moody's LTV and stressed DSCR are 46% and 2.23X, respectively, compared to 47% and 2.17X at last review. The second largest loan is the Van Dorn Station Loan ($5.8 million -- 22% of the pool), which is secured by a 74,464 SF retail center located in Alexandria, Virginia. Occupancy was 68% as of December 2015, the same as at last review. The loan has amortized 34% since securitization. Moody's LTV and stressed DSCR are 38% and 3.01X, respectively, compared to 43% and 2.63X at last review. The third largest loan is the Gardenside Shopping Center Loan ($3.4 million -- 13% of the pool), which is secured by a 187,866 SF anchored retail center located in Henderson, Kentucky. The property was 77% occupied as of December 2015, the same as at last review. Kmart and Goody's occupy 58% of the NRA. The loan has amortized 52% since securitization. Moody's LTV and stressed DSCR are 59% and 1.92X, respectively, compared to 66% and 1.71X at last review. MORGAN STANLEY 2006-NC3: Moody's Hikes Cl. A-2d Debt Rating to B1 ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of four tranches from three transactions backed by Subprime RMBS loans, and issued by Morgan Stanley. Complete rating actions are: Issuer: Morgan Stanley ABS Capital I Inc. Trust 2006-NC3 Cl. A-2d, Upgraded to B1 (sf); previously on Nov. 4, 2015, Upgraded to B2 (sf) Issuer: Morgan Stanley Capital I Inc. Trust 2006-HE1 Cl. A-4, Upgraded to B1 (sf); previously on Nov. 4, 2015, Upgraded to B2 (sf) Issuer: Morgan Stanley Structured Trust I 2007-1 Cl. A-1, Upgraded to A1 (sf); previously on Sept. 12, 2012, Upgraded to Baa1 (sf) Cl. A-2, Upgraded to Baa1 (sf); previously on Aug. 6, 2015, Upgraded to Baa2 (sf) RATINGS RATIONALE The ratings upgraded are due to the total credit enhancement available to the bonds. The rating actions reflect the recent performance of the underlying pools and Moody's updated loss expectation on these 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 4.7% in May 2016 from 5.5% in May 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 2015-C23: DBRS Confirms BB(sf) Rating on Cl. E Debt ------------------------------------------------------------------ DBRS Limited confirmed all classes of Commercial Mortgage Pass-Through Certificates, Series 2015-C23 issued by Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23 as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AAA (sf) -- Class X-FG at AAA (sf) -- Class X-H at AAA (sf) -- Class B at AA (sf) -- Class C at A (sf) -- Class PST at A (sf) -- Class D at BBB (low) (sf) -- Class E at BB (sf) -- Class F at B (high) (sf) -- Class G at B (low) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction since issuance. The collateral consists of 75 loans secured by 151 commercial properties. As of the May 2016 remittance, the pool has experienced collateral reduction of 0.5% as a result of scheduled amortization, with all of the original 75 loans remaining in the pool. There are 68 loans, representing 85.3% of the current pool balance, that are reporting YE2015 financials. These loans report a weighted-average (WA) debt service coverage ratio (DSCR) of 1.62 times (x) and a WA debt yield of 8.9%. At issuance, the pool reported a WA DSCR and debt yield of 1.64x and 8.6%, respectively. DBRS believes reported cash flows are likely artificially depressed for some of the loans showing YE2015 metrics, as first year reporting is often skewed compared with underwritten or historical figures, particularly when it comes to expenses. As such, DBRS expects the WA DSCR for the pool will improve with the 2016 reporting. At issuance, DBRS shadow-rated two loans investment grade, and with this review, DBRS confirms the performance of the loans to be consistent with investment-grade loan characteristics. At the May 2016 remittance, there were three loans on the servicer’s watchlist, representing 3.5% of the current pool balance. One loan, Snowcreek Crossing (Prospectus ID #26, 1.05% of the pool), was flagged for upcoming tenant rollover, and the remaining two loans were flagged for performance declines. These two loans are detailed below. The Aviare Place Apartments loan (Prospectus ID#16, 2.0% of the current pool balance) is secured by a 266-unit multifamily property located in Midland, Texas, a city highly dependent on the oil industry. This loan was placed on the watchlist because of the low YE2015 DSCR of 1.09x, a decrease from the DBRS underwritten DSCR of 1.51x. Property cash flows have declined despite a strong YE2015 occupancy rate of 95.1%, which compares well with the in-place occupancy level at issuance of 93.2%. The decline in net cash flow was primarily driven by a 35.4% increase in operating expenses from the DBRS underwritten figure, with increases concentrated in utilities, repairs and maintenance and general and administrative expenses. In addition, effective gross income decreased slightly by 4.6% as a result of a decrease in base rental revenue, driven by lower rents at the property since issuance. According to the December 2015 rent roll, the average rental rate was $915 per unit, a decrease from the in-place average rental rate at issuance of $1,142 per unit, but in line with the Odessa-Midland submarket of $919 per unit for properties of similar vintage. According to Reis, the submarket has experienced declining performance trends since issuance. As of the issuance data, the average rental rate and vacancy rate for properties of similar vintage was $1,089 per unit and 6.8%, respectively, compared with the Q1 2016 figures showing an average rental rate and vacancy rate of $919 per unit and 12.4%, respectively. Although the subject’s average rental rate is in line with the submarket, the subject's vacancy rate of 4.9% is significantly lower than the submarket. At issuance, the DBRS underwritten net cash flow figure represented a variance of -8.5% from the issuer’s underwritten figure, driven by a higher vacancy rate and operating expenses underwritten by DBRS. The Country Corners Shopping Center loan (Prospectus ID#52, 0.5% of the current pool balance) is secured by a 70,000-square foot (sf) retail property in Howell, Michigan, which is approximately 30 miles northwest of Ann Arbor. This loan was placed on the watchlist because of a depressed occupancy level, which was 63.1% as of YE2015, down from 84.1% at issuance. The former largest tenant, Total Fitness Now, occupied 18.2% of the net rentable area and vacated the property in December 2015 after renewal discussions for the September 2015 lease expiry fell through. DBRS has requested a leasing update from the servicer and is currently awaiting a response as of the date of this press release; there are no known co-tenancy clauses with the remaining tenants in relation to the loss of Total Fitness Now, which was paying a rental rate of $7.00 psf. At issuance, the loan had an upfront tenant reserve of $150,000 with ongoing collections to a ceiling of $200,000. As of May 2016, the balance of the reserve was $191,500. According to the YE2015 financials, the DSCR was reported at 1.36x; DBRS estimates the DSCR will fall to approximately 1.15x with the loss of Total Fitness Now, and modeled the loan with an increased probability of default given the projected decline in coverage. MORGAN STANLEY 2015-MS1: DBRS Confirms B Rating on Class F Certs ---------------------------------------------------------------- DBRS Limited confirmed the ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2015-MS1 issued by Morgan Stanley Capital I Trust 2015-MS1: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (low) (sf) -- Class PST at A (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (sf) -- Class F at B (sf) All trends are Stable. DBRS does not rate the first loss piece, Class G. The rating confirmations reflect that the performance of the transaction has remained stable since issuance in July 2015. The collateral consists of 54 fixed-rate loans secured by 59 commercial and multifamily properties. As of the May 2016 remittance, the pool has experienced a collateral reduction of 0.5% since issuance as a result of loan amortization, with all of the original 54 loans remaining in the pool. Approximately 43 loans, representing 69.4% of the current pool balance, are reporting partial or year-end 2015 financials. These loans reported a weighted-average (WA) debt service coverage ratio (DSCR) of 1.92 times (x) and a WA debt yield of 9.3%. At issuance, the pool reported a WA DSCR and debt yield of 1.75x and 8.7%, respectively. There are no loans on the servicer’s watchlist or in special servicing. The Premier Apartments loan (Prospectus ID#9, 3.8% of the pool balance) is secured by a 160-unit, Class A apartment complex in Silver Spring, Maryland. Built in 2014, the improvements consist of a 14-story apartment building with 2,635 square feet (sf) of ground-level commercial space. The YE2015 DSCR of 0.88x represents a decline from the DBRS UW (underwritten) DSCR of 1.08x. The net cash flow (NCF) decline of 17.6% was attributable to a 32.0% increase in operating expenses, while effective gross income was in line with expectations at issuance. The large increase in operating expense was due to elevated general & administrative expenses, which was reported at over six times the UW amount. DBRS expects the operating expenses to more closely align with expectations as full-year performance and financials become available. According to the March 2016 rent roll, the residential space was 92.5% occupied, compared with 95.6% at issuance. Additionally, the commercial space is occupied by Wells Fargo on a ten-year lease. According to Reis, the property is a part of the Silver Spring submarket. While the vacancy rate for similar class properties in the submarket is slightly lower compared to the subject at 6.4%, the average rental rate at the property is higher, at $1,837 per unit compared to $1,620 in the submarket, and has increased by 2.4% since issuance. At issuance, DBRS shadow-rated three loans investment-grade: 32 Old Slip Fee (Prospectus ID#3, 6.8% of the current pool), 841-853 Broadway (Prospectus ID#6, 5.7% of the current pool) and Alderwood Mall (Prospectus ID#5, 5.6% of the current pool). DBRS confirms with this review that the performance of these loans remain consistent with investment-grade loan characteristics. NEWFLEET CLO 2016-1: S&P Assigns 'BB-' Rating on Class E Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to Newfleet CLO 2016-1 Ltd./Newfleet CLO 2016-1 LLC's $320.00 million floating-rate notes. The note issuance is a CLO securitization backed by a revolving pool consisting primarily of broadly syndicated senior secured loans. The ratings reflect S&P's view of: -- The credit enhancement provided to the 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 S&P Global Ratings' CDO Evaluator model, as assessed by S&P using the assumptions and methods outlined in its corporate collateralized debt obligation (CDO) criteria. -- The transaction's legal structure, which is expected to be bankruptcy remote. -- The diversified collateral portfolio, which consists primarily of broadly syndicated speculative-grade senior secured term loans. -- The collateral manager's experienced management team. -- The transaction's timely interest and ultimate principal payments on the rated notes, which S&P assessed using its cash flow analysis and assumptions commensurate with the assigned rating under various interest rate scenarios, including LIBOR ranging from 0.3439% to 12.8133%. -- The transaction's overcollateralization and interest coverage tests, a failure of which would lead to the diversion of interest and principal proceeds to reduce the balance of the rated notes outstanding. -- During the reinvestment period, the transaction will benefit from an interest diversion test, a failure of which would lead to the reclassification of up to 50.0% of the excess interest proceeds that are available before paying subordinated management fees, uncapped administrative expenses, incentive management fees, and subordinate note payments, as principal proceeds to purchase additional collateral obligations. RATINGS ASSIGNED Newfleet CLO 2016-1 Ltd./Newfleet CLO 2016-1 LLC Amount Class Rating (mil. $) X AAA (sf) 0.50 A AAA (sf) 227.50 B AA (sf) 38.50 C (deferrable) A (sf) 21.00 D (deferrable) BBB (sf) 17.50 E (deferrable) BB- (sf) 15.00 Subordinated notes NR 36.30 NR--Not rated. NSTAR VIII: Moody's Affirms 'Caa1(sf)' Rating on Class C Debt ------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by NStar REL CDO VIII, Ltd: Cl. A1, Upgraded to Aa3 (sf); previously on Jul 30, 2015 Affirmed A3 (sf) Cl. A2, Upgraded to Baa3 (sf); previously on Jul 30, 2015 Affirmed B1 (sf) Cl. AR, Upgraded to Aa3 (sf); previously on Jul 30, 2015 Affirmed A3 (sf) Moody's has also affirmed the ratings on the following notes: Cl. B, Affirmed B3 (sf); previously on Jul 30, 2015 Affirmed B3 (sf) Cl. C, Affirmed Caa1 (sf); previously on Jul 30, 2015 Affirmed Caa1 (sf) Cl. D, Affirmed Caa2 (sf); previously on Jul 30, 2015 Affirmed Caa2 (sf) Cl. E, Affirmed Caa3 (sf); previously on Jul 30, 2015 Affirmed Caa3 (sf) Cl. F, Affirmed Ca (sf); previously on Jul 30, 2015 Affirmed Ca (sf) Cl. G, Affirmed Ca (sf); previously on Jul 30, 2015 Affirmed Ca (sf) Cl. H, Affirmed Ca (sf); previously on Jul 30, 2015 Affirmed Ca (sf) Cl. J, Affirmed Ca (sf); previously on Jul 30, 2015 Affirmed Ca (sf) Cl. K, Affirmed Ca (sf); previously on Jul 30, 2015 Affirmed Ca (sf) Cl. L, Affirmed C (sf); previously on Jul 30, 2015 Affirmed C (sf) Cl. M, Affirmed C (sf); previously on Jul 30, 2015 Affirmed C (sf) Cl. N, Affirmed C (sf); previously on Jul 30, 2015 Affirmed C (sf) RATINGS RATIONALE Moody's has upgraded the ratings on the transaction due to higher than anticipated recoveries on very high creditrisk collateral including certain commercial real estate whole loans and one CRE CDO; resulting in the amortization of approximately 17% of the collateral balance as of last review. Additionally, the credit quality of the remaining collateral pool has remained stable, as evidenced by WARF and WARR. Moody's has affirmed the ratings on the transaction because its key transaction metrics are commensurate with existing ratings. The affirmation is the result of Moody's ongoing surveillance of commercial real estate collateralized debt obligation (CRE CDO CLO) transactions. NStar REL CDO VIII is a static cash transaction, with a reinvestment period that ended in February 2012, and is backed by a portfolio of: i) CRE CDOs (6.1% of the collateral pool balance), ii) whole loans and seniorparticipations (52.3%); and iii) mezzanine interests (41.6%). As of the trustee's 17 April, 2016 report, the aggregate note balance of the transaction, including preferred shares, is $598.0 million, compared to $900.0 million at issuance, with paydowns directed to the seniormost outstanding class of notes and resulting from regular amortization and recoveries on defaulted assets. The reduction in note balance is also due to prior partial junior note cancellations of Class G and J, which occurred prior to this review. In general, holding all key parameters static, the junior note cancellations result in slightly higher expected losses and longer weighted average lives on the senior notes, while producing slightly lower expected losses on the mezzanine and junior notes. However, this does not cause, in and of itself, a downgrade or upgrade on any outstanding class of notes. OCEAN TRAILS VI: Moody's Assigns Ba3 Rating to Class E Notes ------------------------------------------------------------ Moody's Investors Service has assigned ratings to seven classes of notes issued by Ocean Trails CLO VI (the "Issuer" or "Ocean Trails VI"). Moody's rating action is as follows: US$130,480,000 Class A-1 Floating Rate Notes due 2028 (the "Class A-1 Notes"), Assigned Aaa (sf) US$52,640,000 Class A-2A Floating Rate Notes due 2028 (the "Class A-2A Notes"), Assigned Aaa (sf) US$6,880,000 Class A-2B Floating Rate Notes due 2028 (the "Class A-2B Notes"), Assigned Aaa (sf) US$41,500,000 Class B Floating Rate Notes due 2028 (the "Class B Notes"), Assigned Aa2 (sf) US$10,500,000 Class C Deferrable Floating Rate Notes due 2028 (the "Class C Notes"), Assigned A2 (sf) US$17,000,000 Class D Deferrable Floating Rate Notes due 2028 (the "Class D Notes"), Assigned Baa3 (sf) US$16,500,000 Class E Deferrable Floating Rate Notes due 2028 (the "Class E Notes"), Assigned Ba3 (sf) The Class A-1 Notes, The Class A-2A Notes, the Class A-2B Notes, the Class B Notes, the C Notes, the Class D Notes and the Class E Notes are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE Moody's ratings of the Rated Notes address the expected losses posed to noteholders. The ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. Ocean Trails VI is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated first lien senior secured corporate loans. At least 92.5% of the portfolio must consist of senior secured loans and eligible investments, and up to 7.5% of the portfolio may consist of second lien loans and unsecured loans. The portfolio is approximately 88% ramped as of the closing date. West Gate Horizons Advisors, LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's four year reinvestment period. Thereafter, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets, subject to certain restrictions. OCP CLO 2013-3: S&P Affirms 'BB' Rating on Class D Notes -------------------------------------------------------- S&P Global Ratings raised its ratings on the class A-2, B, and C notes from OCP CLO 2013-3 Ltd. At the same time, S&P affirmed its ratings on the class A-1 and D notes. OCP CLO 2013-3 Ltd. is a U.S. collateralized loan obligation (CLO) transaction that closed in March 2013 and is managed by Onex Credit Partners LLC. The rating actions follow S&P's review of the transaction's performance using data from the May 6, 2016, trustee report. The transaction remains in its reinvestment period until January 2017. Since S&P's effective date rating affirmations in September 2013, the transaction's credit quality has improved significantly, as collateral with an S&P Global Ratings' credit rating of 'BB-' or higher has nearly doubled to 26.94% from 14.22% in the June 2013 effective date report used in S&P's previous affirmations. The purchasing of this higher-rated collateral has resulted in a drop in reported weighted average spread to 3.95% from 4.40%, and a corresponding increase in the weighted average S&P Global Ratings recovery rate. Defaulted collateral remains low at only 1.39% of the aggregate principal balance. This improvement has also caused the reported overcollateralization (O/C) ratios to decrease by approximately 1.50% at each test level, as the manager moved out of lower-priced positions and purchased loans with a market value closer to par. All of the coverage tests are currently passing and S&P do not perceive any coverage test failures as likely in the near future. The transaction has also benefited from the collateral's seasoning, with the reported weighted average life decreasing to 4.43 years from 5.59 years in June 2013. This seasoning, combined with the improvement in credit quality, has decreased the transaction's overall credit risk profile, which in turn provided more cushion to the tranche ratings. The cash flow analysis pointed to multiple-notch upgrades for several of the tranches; however, S&P also considered a sensitivity run to allow for volatility in the underlying portfolio given that the transaction is still in its reinvestment period. The affirmations of the class A-1 and D notes reflect S&P's belief that the credit support available is commensurate with the current rating levels. S&P's review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the aforementioned trustee report, to estimate future performance. In line with S&P's criteria, its cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis demonstrated, in S&P's view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with this rating action. 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 ANALYSIS OCP CLO 2013-3 Ltd. Cash flow Previous implied Cash flow Final Class rating(i) rating(ii) cushion rating A-1 AAA (sf) AAA (sf) 16.36% AAA (sf) A-2 AA (sf) AAA (sf) 2.42% AA+ (sf) B A (sf AA+ (sf) 1.27% A+ (sf) C BBB (sf) A+ (sf) 0.65% BBB+ (sf) D BB (sf) BB+ (sf) 7.12% 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 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 equals rating 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-1 AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) A-2 AAA (sf) AA+ (sf) AA+ (sf) AAA (sf) AA+ (sf) B AA+ (sf) AA- (sf) AA- (sf) AA+ (sf) A+ (sf) C A+ (sf) BBB+ (sf) A- (sf) A+ (sf) BBB+ (sf) D BB+ (sf) BB (sf) BB+ (sf) BBB- (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-1 AAA (sf) AAA (sf) AAA (sf) AAA (sf) A-2 AAA (sf) AA+ (sf) AA+ (sf) AA+ (sf) B AA+ (sf) AA- (sf) A+ (sf) A+ (sf) C A+ (sf) A- (sf) BBB- (sf) BBB+ (sf) D BB+ (sf) BB+ (sf) B+ (sf) BB (sf) RATINGS RAISED OCP CLO 2013-3 Ltd. Rating Class To From A-2 AA+ (sf) AA (sf) B A+ (sf) A (sf) C BBB+ (sf) BBB (sf) RATINGS AFFIRMED OCP CLO 2013-3 Ltd. Class Rating A-1 AAA (sf) D BB (sf) OCTAGON INVESTMENT XV: S&P Affirms BB Rating on Class E Notes ------------------------------------------------------------- S&P Global Ratings raised its ratings on the class B-1, B-2, and C notes from Octagon Investment Partners XV Ltd., U.S. collateralized loan obligation (CLO) that closed in February 2013 and is managed by Octagon Credit Investors LLC. At the same time, S&P affirmed its ratings on the class A, 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 May 27, 2016, trustee report. The transaction remains in its reinvestment period until January 2017. The upgrades mainly reflect the stable performance and the underlying collateral pool's overall credit seasoning. According to the May 2016 trustee report, the overcollateralization (O/C) ratios are above the required minimums, though they have decreased marginally since the effective date. For instance, the class A/B ratio was 131.57% per the May 2016 monthly report, down from 132.28% in April 2013 (when transaction became effective), and the class E ratio is 108.10%, down from 108.69%. In addition, there has been a modest increase in both defaulted assets and assets rated in the 'CCC' category. However, these factors are offset by the underlying collateral pool's seasoning. The portfolio's weighted average life per the May 2016 trustee report was 4.64 years, down from 5.68 years in April 2013. There was also an increase in assets rated 'BB-' or higher over this period. Both the decline in weighted average life and the increase in assets rated 'BB-' or higher lowered the portfolio's credit risk profile. Although the cash flow results indicated a higher rating for all tranches other than the class A tranche, S&P's analysis and final ratings reflect additional sensitivities that capture any potential changes in the underlying portfolio until the notes begin to amortize. The affirmations of the class A, D, and E notes reflect S&P's belief that the credit support available is commensurate with the current rating levels. "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the aforementioned trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and on recoveries upon default under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest or ultimate principal to each of the rated tranches. The results of the cash flow analysis demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with this rating action," S&P said. S&P's review of the transaction relied in part upon a criteria interpretation with respect to S&P's May 8, 2014, criteria, "CDOs: Mapping A Third Party's Internal Credit Scoring System To Standard & Poor's Global Rating Scale," which allows S&P to use a limited number of public ratings from other NRSROs to assess the credit quality of assets S&P do not rate. The criteria provide specific guidance for the treatment of corporate assets not rated by S&P, while the interpretation outlines the treatment of securitized assets. 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 further rating actions as it deems necessary. CASH FLOW RESULTS AND SENSITIVITY ANALYSIS Octagon Investment Partners XV Ltd. Cash flow Previous implied Cash flow Final Class rating rating cushion(i) rating A AAA (sf) AAA (sf) 12.56% AAA (sf) B-1 AA (sf) AA+ (sf) 10.46% AA+ (sf) B-2 AA (sf) AA+ (sf) 10.46% AA+ (sf) C A (sf) A+ (sf) 6.35% A+ (sf) D BBB (sf) BBB+ (sf) 5.92% BBB (sf) E BB (sf) BB+ (sf) 2.25% BB (sf) (i)The cash flow cushion is the excess of the tranche break-even default rate above the scenario default rate at the cash flow implied rating for a given class of rated notes. RECOVERY RATE AND CORRELATION SENSITIVITY In addition to S&P's base-case analysis, it generated 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. 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-1 AA+ (sf) AA+ (sf) AA+ (sf) AAA (sf) AA+ (sf) B-2 AA+ (sf) AA+ (sf) AA+ (sf) AAA (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) BB- (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-1 AA+ (sf) A+ (sf) AA- (sf) AA+ (sf) B-2 AA+ (sf) A+ (sf) AA- (sf) AA+ (sf) C A+ (sf) BB+ (sf) BBB+ (sf) A+ (sf) D BBB+ (sf) B- (sf) BB+ (sf) BBB (sf) E BB+ (sf) CC (sf) CCC+ (sf) BB (sf) RATINGS RAISED Octagon Investment Partners XV Ltd. Rating Class To From B-1 AA+ (sf) AA (sf) B-2 AA+ (sf) AA (sf) C A+ (sf) A (sf) RATINGS AFFIRMED Octagon Investment Partners XV Ltd. Class Rating A AAA (sf) D BBB (sf) E BB (sf) ONEMAIN FINANCIAL 2016-3: DBRS Rates Class D Notes 'BBsf' --------------------------------------------------------- DBRS, Inc. assigned ratings to the following notes issued by OneMain Financial Issuance Trust 2016-3 (Series 2016-3): -- $248,700,000 Series 2016-3 Notes, Class A rated AA (sf) -- $38,710,000 Series 2016-3 Notes, Class B rated A (sf) -- $29,530,000 Series 2016-3 Notes, Class C rated BBB (sf) -- $33,060,000 Series 2016-3 Notes, Class D rated BB (sf) The ratings are based on a review by DBRS of the following analytical considerations: -- Transaction capital structure, proposed ratings and form and sufficiency of available credit enhancement. -- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the rating addresses the payment of timely interest on a monthly basis and principal by the legal final maturity date. -- OneMain Financial, Inc.’s (OneMain) capabilities with regard to originations, underwriting and servicing. -- Acquisition of OneMain by Springleaf Holdings, Inc. -- The credit quality of the collateral and performance of OneMain’s consumer loan portfolio. DBRS has used a hybrid approach in analyzing the OneMain portfolio that incorporates elements of static pool analysis, employed for assets such as consumer loans, and revolving asset analysis, employed for such assets as credit card master trusts. -- The legal structure and presence of legal opinions which address the true sale of the assets to the Issuer, the non- consolidation of the special-purpose vehicle with OneMain and that the trust has a valid first-priority security interest in the assets and is consistent with DBRS’s “Legal Criteria for U.S. Structured Finance” methodology. DBRS has assigned ratings to Series 2016-3. The Series 2016-3 transaction represents the eighth securitization of a portfolio of non-prime and subprime personal loans originated through OneMain’s branch network. Credit enhancement in the transaction consists of overcollateralization, subordination, excess spread and a reserve account. The rating on the Class A Note reflects the 37.40% of initial hard credit enhancement provided by the subordinated notes in the pool, the Reserve Account (1.00%), and overcollateralization (10.49%). The ratings on the Class B, Class C and Class D Notes reflect 27.50%, 19.95% and 11.49% of initial hard credit enhancement, respectively. Additional credit support may be provided from excess spread available in the structure. PAINE WEBBER 1999-C1: Moody's Affirms C Rating on Cl. H Debt ------------------------------------------------------------ Moody's Investors Service has upgraded the rating on one class and affirmed the ratings on two classes in Paine Webber Mortgage Acceptance Corporation V 1999-C1 as: Cl. G, Upgraded to A1 (sf); previously on July 24, 2015, Upgraded to A3 (sf) Cl. H, Affirmed C (sf); previously on July 24, 2015, Affirmed C (sf) Cl. X, Affirmed Caa1 (sf); previously on July 24, 2015, Affirmed Caa1 (sf) RATINGS RATIONALE The rating on the P&I Class G was upgraded based primarily on an increase in credit support resulting from loan paydowns and amortization. The deal has paid down 13% since Moody's last review. The rating on the P&I Class H was 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 13.1% of the current balance, compared to 12.9% at Moody's last review. Moody's base expected loss plus realized losses is now 2.4% of the original pooled balance, compared to 2.5% 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 RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The methodologies used in these ratings were "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in October 2015, and "Commercial Real Estate Finance: Moody's Approach to Rating Credit Tenant Lease Financings" published in May 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 4, compared to 5 at Moody's last review. Moody's analysis used the excel-based Large Loan Model. 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 and property type. Moody's also further adjusts these aggregated proceeds for any pooling benefits associated with loan level diversity and other concentrations and correlations. In evaluating the Credit Tenant Lease (CTL) component, Moody's used a Gaussian copula model, incorporated in its public CDO rating model CDOROM to generate a portfolio loss distribution to assess the ratings. DEAL PERFORMANCE As of the May 16, 2016, distribution date, the transaction's aggregate certificate balance has decreased by 96.6% to $24 million from $705 million at securitization. The certificates are collateralized by xx mortgage loans ranging in size from 1.3% to 28.9% of the pool, with the top ten loans constituting 80.5% of the pool. Four loans, constituting 19.5% of the pool, have defeased and are secured by US government securities. Three loans, constituting 6.3% 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. Thirteen loans have been liquidated from the pool, resulting in an aggregate realized loss of $13.8 million (for an average loss severity of 36%). There are currently no loans in special servicing. Moody's received full year 2014 operating results for 100% of the pool, and full year 2015 operating results for 61% of the pool. Moody's weighted average conduit LTV is 30%, compared to 36% 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 16.5% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 11.0%. Moody's actual and stressed conduit DSCRs are 1.51X and 4.76X, respectively, compared to 1.43X and 3.93X 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 11.5% of the pool balance. The largest loan is the Post Haste Plaza Loan ($1.5 million -- 6.4% of the pool), which is secured by a 35,890 square foot (SF) retail property located in Hollywood, Florida. As of December 2015, the property was 100% leased. The loan is fully amortizing and has amortized by 45% since securitization. The loan matures in October 2023. Moody's LTV and stressed DSCR are 27% and greater than 4.00X, respectively, compared to 30% and greater than 4.00X at last review. The second largest loan is the Best Western Regent Inn Loan ($676,050 -- 2.8% of the pool), which is secured by an 88-room limited service hotel located in Mansfield Center, Connecticut. The loan is fully amortizing and has amortized by 75% since securitization. The loan matures in September 2018. The loan is on the servicer's watchlist due to low DSCR. Moody's LTV and stressed DSCR are 44% and 2.96X, respectively, compared to 52% and 2.49X at last review. The third largest loan is the Hard Rock Cafe Loan ($531,043 -- 2.2% of the pool), which is secured by a 15,650 SF retail property in San Diego's Gaslamp Quarter. As of March 2016, the property was 100% leased; major tenants include the Hard Rock Café and the Allure Restaurant. Moody's LTV and stressed DSCR are 15% and greater than 4.00X, respectively, compared to 20% and greater than 4.00X at the last review. The CTL component consists of four loans, totaling 62% of the pool, secured by properties leased to four tenants. The two largest exposures are Beckman Coulter, Inc. ($6.9 million -- 28.9% of the pool; Beckman was acquired by Danaher Corporation) and Regal Cinemas Corporation, ($6.1 million -- 25.2% of the pool; Regal Entertainment Group). The bottom-dollar weighted average rating factor (WARF) for the CTL component is 2,310 compared to 2,423 at last review. WARF is a measure of the overall quality of a pool of diverse credits. The bottom-dollar WARF is a measure of the default probability within the pool. PALMER SQUARE 2016-2: S&P Assigns BB Rating on Class D Notes ------------------------------------------------------------ S&P Global Ratings assigned its ratings to Palmer Square Loan Funding 2016-2 Ltd./Palmer Square Loan Funding 2016-2 LLC's $185.00 million floating-rate notes. The note issuance is backed by a static pool consisting primarily of broadly syndicated senior secured loans. The ratings reflect: -- The credit enhancement provided to the 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 S&P Global Ratings using the assumptions and methods outlined in its corporate collateralized debt obligation criteria. -- The transaction's legal structure, which is expected to be bankruptcy remote. -- The diversified collateral portfolio, which consists primarily of broadly-syndicated speculative-grade senior secured term loans. -- The collateral servicer's experienced management team. -- The transaction's ability to make timely interest and ultimate principal payments on the rated notes, which S&P assessed using its cash flow analysis and assumptions commensurate with the assigned ratings under various interest rate scenarios, including LIBOR ranging from 0.3439%-11.6654%. -- 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. RATINGS ASSIGNED Palmer Square Loan Funding 2016-2 Ltd./Palmer Square Loan Funding 2016-2 LLC Class Rating Amount (mil. $) A-1 AAA (sf) 135.000 A-2 AA (sf) 18.400 B (deferrable) A (sf) 16.900 C (deferrable) BBB (sf) 7.650 D (deferrable) BB (sf) 7.050 Subordinated notes NR 15.775 NR--Not rated. RACE POINT VII: S&P Affirms 'BB-' Rating on Class E Notes --------------------------------------------------------- S&P Global Ratings affirmed its ratings on the class A, B, C, D, and E notes from Race Point VII CLO Ltd. Race Point VII CLO Ltd. is a U.S. CLO transaction that closed in November 2012 and is managed by Sankaty Advisors LLC. The deal is currently in its reinvestment phase, which is scheduled to end in November 2016. Since the transaction's effective date, the weighted average life of the collateral portfolio has decreased to 4.57 years from 5.43 years, which positively affected the creditworthiness of the collateral pool. In addition, the number of obligors in the portfolio has also increased during this period, which contributed to the portfolio's diversification. Though the amount of 'CCC' rated and defaulted assets have increased to $14.2 million and $9.7 million, respectively, from none at the effective date, these negative factors were offset mostly by the overall credit seasoning of the portfolio. Furthermore, the increase in defaults has led to a drop in the overcollateralization (O/C) ratios. The April 2016 trustee report indicated these O/C changes when compared to the January 2013 report: -- Class A/B O/C decreased to 130.91% from 133.51%. -- Class C O/C decreased to 119.08% from 121.44%. -- Class D O/C decreased to 112.32% from 114.54%. -- Class E O/C decreased to 106.57% from 108.68%. The cash flow results showed higher ratings for the class B, C, and D notes, but S&P took into account that the transaction has experienced par loss as well as deterioration in the portfolio's credit quality since the effective date, and considered to maintain additional cushion to allow for further volatility in the underlying portfolio. Although the cash flow results indicated a lower rating for the class E notes, S&P affirmed its rating on the tranche to account for the class' relatively stable O/C level and collateral seasoning. However, any increase in defaults and/or par losses could lead to potential negative rating actions on the class E notes in the future. 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 Race Point VII CLO Ltd. Cash flow Previous implied Cash flow Final Class rating rating(i) cushion(ii) rating A AAA (sf) AAA (sf) 6.88% AAA (sf) B AA (sf) AA+ (sf) 8.08% AA (sf) C A (sf) A+ (sf) 4.08% A (sf) D BBB (sf) BBB+ (sf) 2.07% BBB (sf) E BB- (sf) B+ (sf) 4.57% 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 equals rating 20.0 7.5 Above base case 25.0 10.0 10% 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) BBB+ (sf) BBB (sf) E B+ (sf) B (sf) B+ (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) 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 B+ (sf) B (sf) CC (sf) BB- (sf) RATINGS AFFIRMED Race Point VII CLO Ltd. Class Rating A AAA (sf) B AA (sf) C A (sf) D BBB (sf) E BB- (sf) REALT 2007-2: Moody's Affirms 'Ba1(sf)' Rating on Class F Debt -------------------------------------------------------------- Moody's Investors Service affirmed the ratings on 17 classes of Real Estate Asset Liquidity Trust 2007-2, Commercial Mortgage Pass-Through Certificates, Series 2007-2 as follows: Cl. A-1, Affirmed Aaa (sf); previously on Jun 24, 2015 Affirmed Aaa (sf) Cl. A-2, Affirmed Aaa (sf); previously on Jun 24, 2015 Affirmed Aaa (sf) Cl. A-J, Affirmed Aaa (sf); previously on Jun 24, 2015 Affirmed Aaa (sf) Cl. B, Affirmed Aa2 (sf); previously on Jun 24, 2015 Affirmed Aa2 (sf) Cl. C, Affirmed A2 (sf); previously on Jun 24, 2015 Affirmed A2 (sf) Cl. D-1, Affirmed Baa2 (sf); previously on Jun 24, 2015 Affirmed Baa2 (sf) Cl. D-2, Affirmed Baa2 (sf); previously on Jun 24, 2015 Affirmed Baa2 (sf) Cl. E-1, Affirmed Baa3 (sf); previously on Jun 24, 2015 Affirmed Baa3 (sf) Cl. E-2, Affirmed Baa3 (sf); previously on Jun 24, 2015 Affirmed Baa3 (sf) Cl. F, Affirmed Ba1 (sf); previously on Jun 24, 2015 Affirmed Ba1 (sf) Cl. G, Affirmed Ba3 (sf); previously on Jun 24, 2015 Affirmed Ba3 (sf) Cl. H, Affirmed B2 (sf); previously on Jun 24, 2015 Affirmed B2 (sf) Cl. J, Affirmed B3 (sf); previously on Jun 24, 2015 Affirmed B3 (sf) Cl. K, Affirmed Caa1 (sf); previously on Jun 24, 2015 Affirmed Caa1 (sf) Cl. L, Affirmed Caa2 (sf); previously on Jun 24, 2015 Affirmed Caa2 (sf) Cl. XC-1, Affirmed Ba3 (sf); previously on Jun 24, 2015 Affirmed Ba3 (sf) Cl. XC-2, Affirmed Ba3 (sf); previously on Jun 24, 2015 Affirmed Ba3 (sf) RATINGS RATIONALE The ratings on elevan P&I classes, Class A-1 through G, 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 four P&I classes, Class H, J, K, and L, were affirmed because the ratings are consistent with Moody's expected loss. The ratings on the IO classes, XC-1 and XC-2, were affirmed based on the credit performance (or the weighted average rating factor) of the referenced classes. Moody's rating action reflects a base expected loss of 3.2% of the current balance compared to 2.5% at Moody's last review. Moody's base expected loss plus realized losses is now 2.2% of the original pooled balance, compared to 1.8% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan 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. DEAL PERFORMANCE As of the May 12, 2016 distribution date, the transaction's aggregate certificate balance has decreased by 35% to $246.8 million from $377.3 million at securitization. The certificates are collateralized by 31 mortgage loans ranging in size from less than 1% to 15% of the pool, with the top ten loans constituting 72.5% of the pool. One loan, constituting 15% of the pool, has an investment-grade structured credit assessment. One loan, constituting 2% of the pool, has defeased and is secured by Canadian Government securities. Three loans, constituting 17% 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. The pool has experienced a $486,897 realized loss to date due to one loan modification. There are currently no loans in special servicing. Moody's has assumed a high default probability for two poorly performing loans, constituting 16.1% of the pool, and has estimated an aggregate loss of $5.4 million (a 14% expected loss on average). Moody's received full or partial year 2014 operating results for 100% of the pool and full or partial year 2015 operating results for 62% of the pool. Moody's weighted average conduit LTV is 77% 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 13% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.0%. Moody's actual and stressed conduit DSCRs are 1.46X and 1.39X, respectively, compared to 1.32X and 1.21X 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 Atrium Pooled Interest Loan ($37.4 million -- 15.2% of the pool), which represents a participation interest in the senior component of a $186 million mortgage loan. There is a subordinate B Note held outside the trust. The loan is secured by a 1 million square foot (SF) retail and office complex located in the Downtown North submarket of Toronto, Ontario. The property is directly above a TTC subway stop, Toronto's mass transit subway system. The loan's sponsor is H&R REIT. Moody's structured credit assessment and stressed DSCR are aa1 (sca.pd) and 1.89X, respectively. The top three conduit loans represent 23.2% of the pool balance. The largest loan is the Sundance Pooled Interest Loan ($23.3 million -- 9.4% of the pool), which represents a 50% participation interest in a $46.5 million loan. The loan is secured by an 176,000 SF office building located in Calgary, Alberta. Flour Canada Ltd. is the lead tenant at the property, occupying approximately 25% of the net rentable area through October 2016. As of April 2016, the property was 35% leased compared to 53% in April 2015 and 100% in March 2014. Due to the low occupancy, Moody's has identified this as a troubled loan. Moody's LTV and stressed DSCR are 148% and 0.64X, respectively, compared to 110% and 0.86X at the last review. The second largest loan is the 55 St. Clair Pooled Interest Loan ($17.3 million -- 7.0% of the pool), which represents a participation interest in a $34.7 million loan. The loan is secured by a 250,000 SF office building located in downtown Toronto, Ontario. This loan is full recourse to the borrower, Incore Equities, Inc. and Slate Toronto Core Office, Inc. As of December 2015 the property was 85% leased compared to 91% in December 2014 and 87% as of December 2013. Moody's LTV and stressed DSCR are 96% and 1.02X, respectively, compared to 104% and 0.94X at the last review. The third largest loan is the Dominion Centre Loan ($16.7 million -- 6.8% of the pool), which is secured by a 99,000 SF office located in downtown Calgary, Alberta. The property was 100% leased as of December 2015, compared to 92% a year earlier in December 2014. This loan is recourse to the borrower and is scheduled to mature in June 2017. Moody's LTV and stressed DSCR are 104% and 0.94X, respectively, compared to 117% and 0.83X at the last review. RR TRUST 2014-1: DBRS Confirms B Rating on Class Certs ------------------------------------------------------ DBRS, Inc. confirmed ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series RR issued by Series RR 2014-1 Trust. The trends are Stable. -- Class A at A (sf) -- Class B at BBB (sf) -- Class AB at BBB (sf) -- Class C at BBB (low) (sf) -- Class AC at BBB (low) (sf) -- Class D at BB (sf) -- Class E at B (sf) This transaction is a resecuritization collateralized by the beneficial interest in one CMBS pass-through certificate from one deal issued in 2014. The ratings are dependent on the performance of the underlying transaction. SALUS CLO 2012-1: DBRS Confirms BB Rating on Cl. E-X Notes ---------------------------------------------------------- DBRS, Inc. confirmed the notes issued by Salus CLO 2012-1, Ltd., pursuant to the Salus CLO 2012-1, Ltd. Second Amended and Restated Indenture dated as of June 3, 2015. The ratings on the Class A-2-X Notes and the Class B Notes address the timely payment of interest and the ultimate payment of principal on or before their respective Stated Maturity (as defined in the Indenture). The ratings on the Class C-X Notes, the Class D-X Notes and the Class E-X Notes address the ultimate payment of interest and the ultimate payment of principal on or before their respective Stated Maturity (as defined in the Indenture). The notes issued by Salus CLO 2012-1, Ltd. are collateralized by a portfolio of primarily senior secured middle-market loans originated by Salus Capital Partners, LLC (Salus), a subsidiary of Harbinger Group, Inc. Salus Capital Partners II, LLC, a subsidiary of Salus, acts as the collateral manager for Salus CLO 2012-1 Ltd. The ability of the transaction to pay the current interest on the Class A-2-X Notes and Class B Notes depends on the sustainability of interest payments from the performing loans and the timing of recoveries on previously defaulted loans. While DBRS does not currently foresee a disruption in the payment of timely interest to these notes, further deterioration of the remaining collateral or significantly delayed recovery realization could affect timely interest payments on the Class A-2-X and Class B Notes going forward. DBRS will continue to monitor the performance of the portfolio and the realization of recoveries as compared with expectations. The affected debt classes are: Debt Rated Action Rating ---------- ------ ------ Class A-2-X Notes Confirmed AAA (sf) Class B-X Notes Confirmed AA (sf) Class C-X Notes Confirmed A (sf) Class D-X Notes Confirmed BBB (sf) Class E-X Notes Confirmed BB (sf) SEQUOIA MORTGAGE 20161: Moody's Assigns B1 Ratings to Cl. B4 Debt ----------------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to 53 classes of residential mortgage-backed securities (RMBS) issued by Sequoia Mortgage Trust 20161. The certificates are backed by one pool of prime quality, first lien mortgage loans. The assets of the trust consist of 493 fully amortizing, fixed rate mortgage loans, substantially all of which have an original term to maturity of 30 years. The borrowers in the pool have high FICO scores, significant equity in their properties and liquid cash reserves. The complete rating actions are as follows: Issuer: Sequoia Mortgage Trust 20161 Cl. A1, Definitive Rating Assigned Aaa (sf) Cl. A2, Definitive Rating Assigned Aaa (sf) Cl. A3, Definitive Rating Assigned Aaa (sf) Cl. A4, Definitive Rating Assigned Aaa (sf) Cl. A5, Definitive Rating Assigned Aaa (sf) Cl. A6, Definitive Rating Assigned Aaa (sf) Cl. A7, Definitive Rating Assigned Aaa (sf) Cl. A8, Definitive Rating Assigned Aaa (sf) Cl. A9, Definitive Rating Assigned Aaa (sf) Cl. A10, Definitive Rating Assigned Aaa (sf) Cl. A11, Definitive Rating Assigned Aaa (sf) Cl. A12, Definitive Rating Assigned Aaa (sf) Cl. A13, Definitive Rating Assigned Aaa (sf) Cl. A14, Definitive Rating Assigned Aaa (sf) Cl. A15, Definitive Rating Assigned Aaa (sf) Cl. A16, Definitive Rating Assigned Aaa (sf) Cl. A17, Definitive Rating Assigned Aaa (sf) Cl. A18, Definitive Rating Assigned Aaa (sf) Cl. A19, Definitive Rating Assigned Aa1 (sf) Cl. A20, Definitive Rating Assigned Aa1 (sf) Cl. A21, Definitive Rating Assigned Aa1 (sf) Cl. A22, Definitive Rating Assigned Aaa (sf) Cl. A23, Definitive Rating Assigned Aaa (sf) Cl. A24, Definitive Rating Assigned Aaa (sf) Cl. AIO1, Definitive Rating Assigned Aaa (sf) Cl. AIO2, Definitive Rating Assigned Aaa (sf) Cl. AIO3, Definitive Rating Assigned Aaa (sf) Cl. AIO4, Definitive Rating Assigned Aaa (sf) Cl. AIO5, Definitive Rating Assigned Aaa (sf) Cl. AIO6, Definitive Rating Assigned Aaa (sf) Cl. AIO7, Definitive Rating Assigned Aaa (sf) Cl. AIO8, Definitive Rating Assigned Aaa (sf) Cl. AIO9, Definitive Rating Assigned Aaa (sf) Cl. AIO10, Definitive Rating Assigned Aaa (sf) Cl. AIO11, Definitive Rating Assigned Aaa (sf) Cl. AIO12, Definitive Rating Assigned Aaa (sf) Cl. AIO13, Definitive Rating Assigned Aaa (sf) Cl. AIO14, Definitive Rating Assigned Aaa (sf) Cl. AIO15, Definitive Rating Assigned Aaa (sf) Cl. AIO16, Definitive Rating Assigned Aaa (sf) Cl. AIO17, Definitive Rating Assigned Aaa (sf) Cl. AIO18, Definitive Rating Assigned Aaa (sf) Cl. AIO19, Definitive Rating Assigned Aaa (sf) Cl. AIO20, Definitive Rating Assigned Aa1 (sf) Cl. AIO21, Definitive Rating Assigned Aa1 (sf) Cl. AIO22, Definitive Rating Assigned Aa1 (sf) Cl. AIO23, Definitive Rating Assigned Aaa (sf) Cl. AIO24, Definitive Rating Assigned Aaa (sf) Cl. AIO25, Definitive Rating Assigned Aaa (sf) Cl. B1, Definitive Rating Assigned A1 (sf) Cl. B2, Definitive Rating Assigned Baa1 (sf) Cl. B3, Definitive Rating Assigned Ba1 (sf) Cl. B4, Definitive Rating Assigned B1 (sf) RATINGS RATIONALE Summary Credit Analysis Moody's expected cumulative net loss on the aggregate pool is 0.35%. Aaa (sf) subordination for this transaction is 5.00%, which is 0.75% higher than Moody's Aaa stress loss on the collateral of 4.25%. The Aaa MILAN CE, inclusive of concentration adjustments, for this pool is 4.25%. Loan level adjustments included: adjustments to borrower probability of default for higher and lower borrower DTIs, borrowers with multiple mortgaged properties, self employed borrowers, and at a pool level, for the default risk of HOA properties in super lien states. The MILAN model is based on stressed trajectories of HPA, unemployment rates and interest rates, at a monthly frequency over a ten year period. The model combines loan level characteristics with economic drivers to determine the probability of default for each loan, and hence for a portfolio as a whole. Severity is also calculated on a loan level basis. The pool loss level is then adjusted for borrower, zip code, and MSA level concentrations. Collateral Description The Sequoia Mortgage Trust 20161 transaction is a securitization of 493 first lien residential mortgage loans, with an aggregate unpaid principal balance of $ $344,889,837. There are 109 originators in the transaction including Quicken Loans, Inc. representing 16.4% of the outstanding principal balance of the loans, First Republic Bank representing 6.4% of the outstanding principal balance of the loans and PrimeLending, a PlainsCapital Company representing 5.3% of the outstanding principal balance of the mortgage loans. The remaining originators each account for less than 5.0% of the principal balance of the loans in the pool. The loan level review encompassed credit underwriting, property value and regulatory compliance. In addition, Redwood has agreed to backstop the rep and warranty repurchase obligation of all originators other than First Republic Bank. The loans were all aggregated by Redwood Residential Acquisition Corporation (Redwood), which Moody's has assessed as an Above Average aggregator of prime jumbo residential mortgages. There have been no losses on Redwood-aggregated transactions that closed in 2010 and later, and delinquencies to date have also been very low. Structural considerations Similar to recent rated Sequoia transactions, in this transaction, Redwood is adding a feature prohibiting the servicer, or securities administrator, from advancing principal and interest to loans that are 120 days or more delinquent. These loans on which principal and interest advances are not made are called the Stop Advance Mortgage Loans ("SAML"). The balance of the SAML will be removed from the principal and interest distribution amounts calculations. Moody's views the SAML concept as something that strengthens the integrity of senior and subordination relationships in the structure. Yet, in certain scenarios the SAML concept, as implemented in this transaction, can lead to a reduction in interest payment to certain tranches even when more subordinated tranches are outstanding. The senior/subordination relationship between tranches is strengthened as the removal SAML in the calculation of the senior percentage amount, directs more principal to the senior bonds and less to the subordinate bonds. Further, this feature limits the amount of servicer advances that could increase the loss severity on the liquidated loans and preserves the subordination amount for the most senior bonds. On the other hand, this feature can cause a reduction in the interest distribution amount paid to the bonds; and if that were to happen such a reduction in interest payment is unlikely to be recovered. The final ratings on the bonds, which are expected loss ratings, take into consideration our expected losses on the collateral and the potential reduction in interest distributions to the bonds. Furthermore, the likelihood that in particular the subordinate tranches could potentially permanently lose some interest as a result of this feature was considered. Tail Risk & Subordination Floor The transaction cash flows follow a shifting interest structure that allows subordinated bonds to receive principal payments under certain defined scenarios. Because a shifting interest structure allows subordinated bonds to pay down over time as the loan pool shrinks, senior bonds are exposed to increased performance volatility, known as tail risk. The transaction provides for a subordination floor of 1.70% of the closing pool balance, which mitigates tail risk by protecting the senior bonds from eroding credit enhancement over time. Thirdparty Review and Reps & Warranties Third party due diligence firms verified the accuracy of the loan level information the sponsor provided us. One TPR firm reviewed 100% of the mortgage loans for credit, property valuation, compliance and data integrity. Two other TPR firms reviewed a sample of mortgage loans for property valuation and data integrity. The custodian reviewed the mortgage files and did not find any exceptions. The review found that the majority of reviewed loans were compliant with Redwood's underwriting guidelines and had no valuation or regulatory defects. Most of the loans that were not compliant with Redwood's underwriting guidelines had strong compensating factors. Moody's said, "although the TPR report identified compliancerelated exceptions relating to the TILARESPA Integrated Disclosure (TRID) rule, we did not believe these to be material because either the sponsor or originator corrected the errors or the errors are of a type that would not likely lead to damages for the RMBS trust." The originators and the seller have provided unambiguous representations and warranties (R&Ws) including an unqualified fraud R&W. There is provision for binding arbitration in the event of dispute between investors and the R&W provider concerning R&W breaches. Trustee & Master Servicer The transaction trustee is Wilmington Trust, National Association. The paying agent and cash management functions will be performed by Citibank, N.A. and the custodian functions will be performed by Wells Fargo, N.A., rather than the trustee. In addition, CitiMortgage, as Master Servicer, is responsible for servicer oversight, and termination of servicers and for the appointment of successor servicers. In addition, CitiMortgage is committed to act as successor if no other successor servicer can be found. Factors that would lead to an upgrade or downgrade of the ratings: 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. 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. STACR 2016-DNA3: DBRS Assigns BB Ratings to 2 Tranches ------------------------------------------------------ DBRS, Inc. assigned the following provisional ratings to the Structured Agency Credit Risk Debt Notes, Series 2016-DNA3 (STACR 2016-DNA3) notes (the Notes) issued by Freddie Mac (the Issuer): -- $190.0 million Class M-1 at A (low) (sf) -- $180.5 million Class M-2 at BBB (sf) -- $180.5 million Class M-2F at BBB (sf) -- $180.5 million Class M-2I at BBB (sf) -- $190.0 million Class M-3A at BB (sf) -- $190.0 million Class M-3AF at BB (sf) -- $190.0 million Class M-3AI at BB (sf) Classes M-2F, M-2I, M-3AF and M-3AI are Modifiable and Combinable STACR Notes (MAC Notes). Holders of the Class M-2 or M-3A notes can exchange all or part of such classes for the related classes of MAC Notes and vice versa. Classes M-2I and M-3AI are interest-only MAC Notes. The A (low) (sf), BBB (sf) and BB (sf) ratings reflect 4.00%, 3.05% and 2.05% of credit enhancement, respectively. Other than the specified classes above, DBRS does not rate any other classes in this transaction. The Notes represent unsecured general obligations of Freddie Mac, the Issuer. The Notes are subject to the credit and principal payment risk of a certain reference pool (the Reference Pool) of residential mortgage loans held in various Freddie Mac-guaranteed mortgage-backed securities. The Reference Pool consists of 114,903 30-year fully amortizing first-lien fixed-rate mortgage loans underwritten to a full documentation standard with original loan to-value (LTV) ratios greater than 60% and less than or equal to 80%. Payments to the Notes will be determined by the credit performance of the Reference Pool. Cash flow from the Reference Pool will not be used to make any payment to the STACR 2016-DNA3 noteholders; instead, Freddie Mac will be responsible for making monthly interest payments at the note rate and periodic principal payments on the Notes in accordance with the actual principal payments it collects from the Reference Pool. STACR 2016-DNA3 is the sixth below 80% LTV transaction in the STACR series where note writedowns are based on actual realized losses and not on a predetermined set of loss severities. The maturity date for this transaction have been extended to 12.5 years compared with a ten-year maturity in prior STACR transactions with a predetermined set of loss severities. The originators for the Reference Pool are Wells Fargo Bank, N.A. (Wells Fargo, 12.2%), US Bank, N.A. (US Bank, 6.1%), Quicken Loan, Inc. (Quicken Loan, 5.1%) and various other originators, each comprising less than 5.0% of the Reference Pool. The loans in the Reference Pool will be serviced by Wells Fargo (12.2%), US Bank (6.1%), Quicken Loan (5.1%) and various other servicers, each comprising less than 5.0% of the Reference Pool. U.S. Bank National Association will act as the Global Agent. Freddie Mac will act as the Master Servicer. DBRS notes the following strengths and challenges for this transaction: Strengths: -- Seller (or Lender)/Servicer approval process and quality control platform -- Well-diversified Reference Pool -- Strong alignment of interest -- Strong structural protections -- Extensive performance history Challenges: -- Unsecured obligation of Freddie Mac -- Representation and warranties framework -- Limited third-party due diligence VIBRANT CLO IV: Moody's Assigns Ba3 Rating on Class E Notes ----------------------------------------------------------- Moody's Investors Service has assigned ratings to six classes of notes issued by Vibrant CLO IV, Ltd. Moody's rating action is: $236,000,000 Class A-1 Senior Secured Floating Rate Notes due 2028, Assigned Aaa (sf) $24,000,000 Class A-2 Senior Secured Floating Rate Notes due 2028, Assigned Aaa (sf) $42,000,000 Class B Senior Secured Floating Rate Notes due 2028, Assigned Aa2 (sf) $21,600,000 Class C Secured Deferrable Floating Rate Notes due 2028, Assigned A2 (sf) $22,400,000 Class D Secured Deferrable Floating Rate Notes due 2028, Assigned Baa3 (sf) $20,000,000 Class E Secured Deferrable Floating Rate Notes due 2028, Assigned Ba3 (sf) The Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the Class C Notes, the Class D Notes and the Class E Notes are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE Moody's ratings of the Rated Notes address the expected losses posed to noteholders. The ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. Vibrant IV is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated first lien senior secured corporate loans. At least 95% of the portfolio must consist of senior secured loans, cash and eligible investments, and up to 5% of the portfolio may consist of second lien loans and unsecured loans. The portfolio is approximately 78% ramped as of the closing date. DFG Investment Advisers, Inc. will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's four year reinvestment period. Thereafter, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets, subject to certain restrictions. In addition to the Rated Notes, the Issuer will issue subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2015. For modeling purposes, Moody's used these base-case assumptions: Par amount: $400,000,000 Diversity Score: 53 Weighted Average Rating Factor (WARF): 2700 Weighted Average Spread (WAS): 3.85% Weighted Average Coupon (WAC): 7.0% Weighted Average Recovery Rate (WARR): 47.0% Weighted Average Life (WAL): 8 years. Methodology Underlying the Rating Action: The prinicpal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2015. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. Together with the set of modeling assumptions above, Moody's conducted an additional sensitivity analysis, which was a component in determining the ratings assigned to the Rated Notes. This sensitivity analysis includes increased default probability relative to the base case. Below is a summary of the impact of an increase in default probability (expressed in terms of WARF level) on the Rated Notes (shown in terms of the number of notch difference versus the current model output, whereby a negative difference corresponds to higher expected losses), assuming that all other factors are held equal: Percentage Change in WARF -- increase of 15% (from 2700 to 3105) Rating Impact in Rating Notches Class A-1 Notes: 0 Class A-2 Notes: -1 Class B Notes: -2 Class C Notes: -2 Class D Notes: -1 Class E Notes: 0 Percentage Change in WARF -- increase of 30% (from 2700 to 3510) Rating Impact in Rating Notches Class A-1 Notes: 0 Class A-2 Notes: -2 Class B Notes: -3 Class C Notes: -4 Class D Notes: -2 Class E Notes: -1 WACHOVIA BANK 2004-C15: DBRS Cuts Ratings on 2 Tranches to Dsf -------------------------------------------------------------- DBRS Limited downgraded the rating of the following classes of Commercial Mortgage Pass-Through Certificates, Series 2004-C15 (the Certificates) issued by Wachovia Bank Commercial Mortgage Trust, Series 2004-C15 (WBCMT 2004-C15 or the Trust): -- Class H to D (sf) from C (sf) -- Class J to D (sf) from C (sf) In addition to the rating actions above, DBRS has removed the Interest in Arrears designation on Class H and Class J. The rating downgrades are the result of the most recent realized losses to the trust, which occurred after one of the few remaining loans in the pool, the Gale Office Pool (Prospectus ID#4) loan, was liquidated from the trust at a loss of $10.8 million, with the May 2016 remittance. The Gale Office Pool loan was secured by four office properties throughout northern New Jersey and the loan transferred to special servicing for maturity default in August 2014. The lender dual tracked foreclosure, along with alternative workout strategies that included a potential discounted payoff, but it is not clear how the loan was ultimately resolved. The last reported property valuation dated December 2015 valued the pool at $57.2 million, down from $89.6 million at issuance. With the May 2016 remittance, the loan showed principal repayment of $52.0 million, resulting in a loss severity of 17.2% at disposition from the trust. The trust loss wiped the remaining balance on Class K and Class J and reduced the principal balance on Class H by 15.2%. As of the May 2016 remittance, three of the remaining six loans are in special servicing, with a cumulative outstanding principal balance of $40.0 million. WACHOVIA BANK 2004-C15: Moody's Cuts Cl. F Debt Rating to Caa1(sf) ------------------------------------------------------------------ Moody's Investors Service has upgraded one class, affirmed one class, and downgraded four classes in Wachovia Bank Commercial Mortgage Trust 2004-C15, Commercial Mortgage Pass-Through Certificates, Series 2004-C15 as follows: Cl. D, Upgraded to Aa2 (sf); previously on Jun 26, 2015 Affirmed A2 (sf) Cl. E, Affirmed Baa2 (sf); previously on Jun 26, 2015 Affirmed Baa2 (sf) Cl. F, Downgraded to Caa1 (sf); previously on Jun 26, 2015 Affirmed Ba1 (sf) Cl. G, Downgraded to C (sf); previously on Jun 26, 2015 Downgraded to B3 (sf) Cl. H, Downgraded to C (sf); previously on Jun 26, 2015 Affirmed Caa3 (sf) Cl. X-C, Downgraded to Caa3 (sf); previously on Jun 26, 2015 Downgraded to Caa1 (sf) RATINGS RATIONALE The rating on Class D was upgraded based primarily on an increase in credit support resulting from loan paydowns and amortization. The deal has paid down 56% since Moody's last review. The rating on Class E was 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 Classes F, G, and H were downgraded due to realized and anticipated losses from specially serviced and troubled loans that were higher than Moody's had previously expected. The rating on the IO Class (Class X-C) was downgraded due to a decline in the credit performance (or the weighted average rating factor or WARF) of its referenced classes. Moody's rating action reflects a base expected loss of 55.7% of the current balance compared to 29.6% at Moody's prior review. Moody's base expected loss plus realized losses is now 6.2% of the original pooled balance compared to 5.8% at the prior 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 RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. DEAL PERFORMANCE As of the May 17, 2016 distribution date, the transaction's aggregate certificate balance has decreased by 96% to $51.4 million from $1.15 billion at securitization. The Certificates are collateralized by six mortgage loans ranging in size from less than 4% to 31% of the pool. One loan, representing 8.9% of the pool, has defeased and is secured by US Government securities. The pool is currently undercollateralized by approximately $6.1 million (11.9% of the pool balance) due to non-recoverable advances that were reimbursed to the master servicer. Ten loans have been liquidated from the pool, resulting in an aggregate realized loss of $42.8 million (41% loss severity on average). Three loans, representing 78% of the pool, are in special servicing. The largest specially serviced loan is the 10 Independence Boulevard Loan ($15.9 million -- 30.9% of the pool), which is secured by a 121,000 square foot SF office building located in Warren, New Jersey. The loan transferred to special servicing in October 2013 due to imminent default. The property was 98.5% leased as of March 2016. The second largest specially serviced loan is the 4 Sylvan Way Loan ($13.7 million -- 26.7% of the pool), which is secured by a 105,140 SF office building located in Parsippany, New Jersey. As of February 2016, the property was 100% leased to T-Mobile through May 2017. The loan transferred to the special servicing in August 2014 due to imminent maturity default. The property has been REO since September 2015. A November 2015 appraisal valued the property at $7.3 million. The third largest specially serviced loan is the 10 East Baltimore Street Loan ($10.5 million -- 20.4% of the pool), which is secured by a 168,400 SF office building in Baltimore, Maryland's central business district. As of April 2016, the property was 60% leased. The property transferred to special servicing in March 2013 due to imminent default the property became REO in August 2014. Moody's estimates an aggregate $22.5 million loss for the specially serviced loans (56% expected loss on average). The two performing conduit loans represent 13.2% of the pool balance. The largest loan is the Peter Jefferson V Loan ($4.9 million -- 9.6% of the pool), which is secured by a 74,000 SF office property located in Charlottesville, Virginia. As of March 2016, the property was 95% leased. The loan matures in August 2019. Moody's LTV and stressed DSCR are 42% and 2.46X, respectively, compared to 43% and 2.42X at the last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The second largest loan is the CVS-Cedar, Park Texas Loan ($1.8 million -- 3.6% of the pool), which is secured by a former single tenant CVS property that has since been sublet to Goodwill. The property is located in Cedar Park Texas. The loan matures in September 2024 and is fully amortizing. Moody's LTV and stressed DSCR are 61% and 1.60X, respectively, compared to 56% and 1.65X at the last review. WESTCOTT PARK: Moody's Assigns (P)Ba3 Rating to Class E Notes ------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to five classes of notes to be issued by Westcott Park CLO, Ltd. (the "Issuer" or "Westcott Park"). Moody's rating action is as follows: US$413,440,000 Class A Senior Secured Floating Rate Notes due 2028 (the "Class A Notes"), Assigned (P)Aaa (sf) US$70,400,000 Class B Senior Secured Floating Rate Notes due 2028 (the "Class B Notes"), Assigned (P)Aa2 (sf) US$34,560,000 Class C Secured Deferrable Floating Rate Notes due 2028 (the "Class C Notes"), Assigned (P)A2 (sf) US$38,400,000 Class D Secured Deferrable Floating Rate Notes due 2028 (the "Class D Notes"), Assigned (P)Baa3 (sf) US$32,000,000 Class E Secured Deferrable Floating Rate Notes due 2028 (the "Class E Notes"), Assigned (P)Ba3 (sf) The Class A Notes, the Class B Notes, the Class C Notes, the Class D Notes and the Class E Notes are referred to herein, collectively, as the "Rated Notes." Moody's issues provisional ratings in advance of the final sale of financial instruments, but these ratings only represent Moody's preliminary credit opinions. Upon a conclusive review of a transaction and associated documentation, Moody's will endeavor to assign definitive ratings. A definitive rating, if any, may differ from a provisional rating. RATINGS RATIONALE Moody's provisional ratings of the Rated Notes address the expected losses posed to noteholders. The provisional ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. Moody's said, "Westcott Park is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated first lien senior secured corporate loans. At least 92.5% of the portfolio must consist of senior secured loans (excluding any second lien loans), cash and eligible investments, and up to 7.5% of the portfolio may consist of collateral obligations that are not senior secured loans, cash or eligible investments. We expect the portfolio to be approximately 85% ramped as of the closing date." GSO / Blackstone Debt Funds Management LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's 4.8 year reinvestment period. Thereafter, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets, subject to certain restrictions. WESTLAKE AUTOMOBILE 2015-2: DBRS Confirms BB Rating on Cl. E Secs. ------------------------------------------------------------------ DBRS, Inc., on June 6, 2016, conducted a review of three publicly rated U.S. structured finance asset-backed securities with 15 outstanding publicly rated classes. The 15 publicly rated classes reviewed were confirmed as credit enhancement levels are sufficient to cover DBRS’s expected losses at their current respective rating levels. The following public transactions were reviewed: -- SNAAC Auto Receivables Trust 2013-1 -- CPS Auto Receivables Trust 2015-B -- Westlake Automobile Receivables Trust 2015-2 The DBRS ratings are based on its review of the following analytical considerations: -- Transaction capital structure, proposed ratings and form and sufficiency of available credit enhancement. -- The transaction parties' capabilities with regard to origination, underwriting and servicing. -- Credit quality of the collateral pool and historical performance. The confirmation of the outstanding ratings of SNAAC Auto Receivables Trust 2013-1 reflects 84.84% of current credit enhancement provided by subordination, the Reserve Account (24.29%) and overcollateralization (6.50%). As of the May 2016 payment date, the total delinquency ratio was 6.22%. The cumulative net loss ratio was 11.83% of the original collateral balance. The confirmation of the outstanding ratings of CPS Auto Receivables Trust 2015-B reflects 46.45% of current credit enhancement provided by subordination, the Reserve Account (1.24%) and overcollateralization (4.00%). As of the May 2016 payment date, the total delinquency ratio was 7.97%. The cumulative net loss ratio was 2.40% of the original collateral balance. The confirmation of the outstanding ratings of Westlake Automobile Receivables Trust 2015-2 reflects 60.04% of current credit enhancement provided by subordination, the Reserve Account (1.61%) and overcollateralization (7.40%). As of the May 2016 payment date, the total delinquency ratio was 7.14%. The cumulative net loss ratio was 5.67% of the original collateral balance. SNAAC Auto Receivables Trust 2013-1 Debt Action Rating Rated Class C Confirmed A (sf) Class D Confirmed BB (sf) Class B Disc.-Repaid Discontinued CPS Auto Receivables Trust 2015-B Debt Action Rating Rated Class A Confirmed AAA (sf) Class B Confirmed A (sf) Class C Confirmed BBB (sf) Class D Confirmed BB (sf) Class E Confirmed B (sf) Westlake Automobile Receivables Trust 2015-2 Debt Action Rating Rated Class A-1 Disc.-Repaid Class A-2A Confirmed AAA (sf) Class A-2B Confirmed AAA (sf) Class B Confirmed AA (sf) Class C Confirmed A (sf) Class D Confirmed BBB (sf) Class E Confirmed BB (sf) WESTLAKE AUTOMOBILE 2016-2: DBRS Gives Prov. BB Rating to E Debt ---------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following classes issued by Westlake Automobile Receivables Trust 2016-2: -- $149,000,000 Class A-1 rated R-1 (high) (sf) -- Class A-2-A rated AAA (sf)* -- Class A-2-B rated AAA (sf)* -- $42,000,000 Class B rated AA (sf) -- $60,800,000 Class C rated A (sf) -- $50,660,000 Class D rated BBB (sf) -- $28,540,000 Class E rated BB (sf) * The combination of Classes A-2-A and A-2-B is expected to equal $219 million. The provisional ratings are based on a review by DBRS of the following analytical considerations: -- Transaction capital structure, proposed ratings and form and sufficiency of available credit enhancement. -- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the rating addresses the payment of timely interest on a monthly basis and principal by the legal final maturity date for each class. -- The credit quality of the collateral and performance of the auto loan portfolio by origination channels. -- The capabilities of Westlake Services, LLC (Westlake) with regard to originations, underwriting and servicing. -- The quality and consistency of provided historical static pool data for Westlake originations and performance of the Westlake auto loan portfolio. -- Wells Fargo Bank, N.A. (rated AA (high)/R-1 (high)/Stable by DBRS) has served as a backup servicer for Westlake since 2003, when a conduit facility was put in place. -- The legal structure and presence of legal opinions that address the true sale of the assets to the Issuer, the non- consolidation of the special-purpose vehicle with Westlake, that the trust has a valid first-priority security interest in the assets and the consistency with the DBRS "Legal Criteria for U.S. Structured Finance" methodology. The collateral securing the notes consists primarily of a pool of retail automobile contracts secured by predominantly used vehicles that typically have high mileage. The loans are primarily made to obligors that are categorized as subprime, largely because of their credit history and credit scores. YORK CLO-3: Moody's Assigns Ba3(sf) Def. Rating to Cl. E Notes -------------------------------------------------------------- Moody's Investors Service has assigned ratings to ten classes of debt issued by York CLO-3 Ltd.. Moody's rating action is as follows: US$1,500,000 Class X Floating Rate Notes due 2025 (the "Class X Notes"), Definitive Rating Assigned Aaa (sf) US$200,000,000 Class A Floating Rate Notes due 2025 (the "Class A Notes"), Definitive Rating Assigned Aaa (sf) Up to US$68,000,000 Class AL Floating Rate Notes due 2025 (the "Class AL Notes"), Definitive Rating Assigned Aaa (sf) US$68,000,000 Class A Loans maturing in 2025 (the "Class A Loans"), Definitive Rating Assigned Aaa (sf) US$23,000,000 Class B-1 Floating Rate Notes due 2025 (the "Class B-1 Notes"), Definitive Rating Assigned Aa2 (sf) US$18,000,000 Class B-2 Fixed Rate Notes due 2025 (the "Class B-2 Notes"), Definitive Rating Assigned Aa2 (sf) US$19,500,000 Class C Deferrable Floating Rate Notes due 2025 (the "Class C Notes"), Definitive Rating Assigned A2 (sf) US$11,000,000 Class D-1 Deferrable Floating Rate Notes due 2025 (the "Class D-1 Notes"), Definitive Rating Assigned Baa3 (sf) US$10,500,000 Class D-2 Deferrable Floating Rate Notes due 2025 (the "Class D-2 Notes"), Definitive Rating Assigned Baa3 (sf) US$20,000,000 Class E Deferrable Floating Rate Notes due 2025 (the "Class E Notes"), Definitive Rating Assigned Ba3 (sf) At closing, the Class AL Notes will have a zero principal balance. However, the Class AL Notes' principal balance may be increased up to $68,000,000 upon the exercise of a conversion option, and the conversion of the Class A Loans into an equivalent principal amount of Class AL Notes. The Class X Notes, the Class A Notes, the Class AL Notes, the Class A Loans, the Class B-1 Notes, the Class B-2 Notes, the Class C Notes, the Class D-1 Notes, the Class D-2 Notes and the Class E Notes are referred to herein, collectively, as the "Rated Debt." RATINGS RATIONALE Moody's ratings of the Rated Debt address the expected losses posed to debtholders. The ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. York CLO-3 is a managed cash flow CLO. The issued debt will be collateralized primarily by broadly syndicated first lien senior secured corporate loans. At least 92.5% of the portfolio must consist of senior secured loans, cash, and eligible investments, and up to 7.5% of the portfolio may consist of second lien loans and unsecured loans. The portfolio is approximately 75% ramped as of the closing date. York CLO Managed Holdings, LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's two year reinvestment period. Thereafter, reinvestment is prohibited. In addition to the Rated Debt, the Issuer issued subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the debt in order of seniority. [*] Moody's Raises Ratings on $220.3MM of Securities ---------------------------------------------------- Moody's Investors Service, on June 10, 2016, upgraded the ratings of 13 tranches in six transactions issued from 1999 to 2002. The collateral backing these transactions consists primarily of manufactured housing units. Complete rating action: Issuer: CSFB ABS Trust Manufactured Housing Pass-Through Certificates 2001-MH29 Cl. M-1, Upgraded to Aa3 (sf); previously on Aug. 7, 2015, Upgraded to A2 (sf) Cl. M-2, Upgraded to Baa3 (sf); previously on Aug. 7, 2015, Upgraded to Ba2 (sf) Issuer: CSFB Manufactured Housing Pass-Through Certificates, Series 2002-MH3 Cl. M-1, Upgraded to Ba1 (sf); previously on Aug. 7, 2015, Upgraded to Ba2 (sf) Issuer: Lehman ABS Manufactured Housing Contract Trust 2002-A Cl. A, Upgraded to Aa3 (sf); previously on July 24, 2015, Upgraded to A1 (sf) Cl. B-2, Upgraded to A3 (sf); previously on July 24, 2015, Upgraded to Baa1 (sf) Cl. M-1, Upgraded to A1 (sf); previously on July 24, 2015, Upgraded to A2 (sf) Cl. M-2, Upgraded to A2 (sf); previously on July 24, 2015, Upgraded to A3 (sf) Issuer: Madison Avenue Manufactured Housing Contract Trust 2002-A Cl. B-1, Upgraded to A3 (sf); previously on July 24, 2015, Upgraded to Baa2 (sf) Cl. B-2, Upgraded to Caa2 (sf); previously on July 24, 2015, Upgraded to Caa3 (sf) Issuer: MERIT Securities Corp Series 12 Cl. 1-A-3, Upgraded to Aa2 (sf); previously on July 24, 2015, Upgraded to A1 (sf) Cl. 1-M1, Upgraded to B1 (sf); previously on July 24, 2015, Upgraded to B2 (sf) Issuer: MERIT Securities Corp Series 13 Cl. A4, Upgraded to Aa2 (sf); previously on July 24, 2015, Upgraded to A1 (sf) Cl. M1, Upgraded to Caa1 (sf); previously on July 24, 2015, Upgraded to Caa3 (sf) RATINGS RATIONALE The actions are a result of the recent performance of manufactured housing loans backed pools and reflect Moody's updated loss expectations on the pools. The tranches upgraded are primarily due to the build-up in credit enhancement. 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 4.7% in May 2016 from 5.5% in May 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 Various Rating Actions on 8 RMBS Re-REMIC Deals ------------------------------------------------------------- S&P Global Ratings, on June 8, 2016, took various actions on 18 classes from eight U.S. residential mortgage-backed securities (RMBS) resecuritized real estate mortgage investment conduit (re-REMIC) transactions. S&P raised four ratings and affirmed 13 ratings. In addition, one rating remains on CreditWatch negative. All of the transactions in this review were issued in 2008 and 2009 and are supported by underlying classes backed by a mix of various mortgage loan collateral types. Subordination, overcollateralization (where available), and excess interest, as applicable, provide credit support for the re-REMIC transactions' underlying securities. 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 four classes because the projected credit support for these classes is sufficient to cover S&P's projected losses at these rating levels. The upgrades reflect increased credit support to these classes. AFFIRMATIONS S&P affirmed four ratings in the 'AAA' through 'B' categories. These affirmations reflect S&P's opinion that its projected credit support is sufficient to cover our projected losses in those rating scenarios. S&P also affirmed nine 'CCC (sf)' ratings. S&P believes that its projected credit support will remain insufficient to cover S&P's projected losses to these classes. RATING REMAINING ON CREDITWATCH NEGATIVE S&P's rating on class 3-A-1 from Citigroup Mortgage Loan Trust 2009-10 remains on CreditWatch negative as S&P investigates the weighted average coupon deterioration in the affected pools in accordance with our loan modification criteria to determine what effect such deterioration may have on S&P's 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. S&P Global Ratings' baseline macroeconomic outlook assumptions for variables that S&P 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 -- An average 30-year fixed mortgage rate of 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 S&P Global Ratings' downside forecast, S&P 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. ********* 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. 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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 ***