TCR_Public/160710.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, July 10, 2016, Vol. 20, No. 192

                            Headlines

ACORN RE 2015-1: Fitch Affirms 'BBsf' Rating on Class A Notes
AMERIQUEST MORTGAGE 2005-R3: Moody's Hikes Cl. M-2 Debt to Caa1
CABELA'S CREDIT 2016-I: Fitch Assigns BB Rating on Class D Notes
COMM 2013-300P: Fitch Affirms BB+ Rating on Class E Debt
MONROE CAPITAL 2016-1: Moody's Assigns (P)Ba3 Ratings to Cl. E Debt

REALT 2006-1: Moody's Cuts Class XC-2 Debt Rating to B1(sf)
SARATOGA INVESTMENT 2013-1: S&P Affirms B Rating on Class F Notes
SEVEN STICKS: Moody's Assigns Ba3 Rating to Class D Notes
SIERRA AUTO 2016-1: S&P Assigns 'BB' Rating on Class C Notes
SIERRA TIMESHARE 2011-3: Fitch Affirms BB Rating on Cl. C Notes

WACHOVIA BANK 2003-C6: Moody's Cuts Cl. O Debt Rating to Ba1(sf)
WEST CLO 2012-1: S&P Lowers Rating on Class D Notes to BB-
WFRBS COMMERCIAL 2012-C9: Moody's Affirms B2 Rating on Cl. F Debt
[*] S&P Completes Review of 73 Classes From 12 RMBS Deals

                            *********

ACORN RE 2015-1: Fitch Affirms 'BBsf' Rating on Class A Notes
-------------------------------------------------------------
Fitch Ratings has affirmed Acorn Re Ltd. Series 2015-1 (a duly
formed special purpose insurer vehicle in Bermuda) principal
at-risk variable rate notes as:

   -- $300,000,000 2015-1 Class A principal at-risk variable rate
      notes; with an expected maturity of July 17, 2018 at 'BBsf';

      Outlook Stable

This affirmation is based on Fitch's annual surveillance review of
the notes that includes an evaluation of the natural catastrophe
risk, counterparty exposure, collateral assets and structural
performance.  Fitch continues to believe the natural catastrophe
risk is the weakest link in this transaction.

KEY RATING DRIVERS

The Series 2015-1 notes provide reinsurance protection to Hannover
Rueck SE ('A+' Issuer Default Rating/Outlook Stable).  The notes
are exposed to earthquakes for an area that includes the U.S.
states of California, Oregon, Washington, Idaho, Utah, Nevada and
Arizona; the British Columbia province of Canada, and the states of
Baja California, Baja California Sur and Sonora of Mexico. Hannover
Rueck SE also established a similar reinsurance agreement with Oak
Tree Assurance, Ltd. (not rated by Fitch) a wholly owned subsidiary
of Kaiser Foundation Health Plan, Inc. (IFS rated 'A+'/Outlook
Stable).

The trigger is per occurrence based on a parametric 'cat-in-a-box'
structure utilizing up to 430 predetermined Earthquake Box
Locations which are each a square box of size one degree by one
degree on the Earth's surface.  The area that comprises the group
of Earthquake Box Locations is delineated by latitudes 26 and 54
and longitudes -132 and -110.

The cumulative attachment probability over a three-year risk period
was initially estimated at 2.89% by RMS.  This indicates an implied
rating of 'BB' using the calibration matrix in Fitch's
"Insurance-Linked Securities Methodology," with a three-year
time-to-risk maturity assumption (the crossover point between 'BB'
and 'BB-' is 3.012%).  The cumulative modeled expected loss was
2.21%.

To date, there have been no reported Covered Events within the
three-year Risk Period that extends from July 11, 2015, through
July 10, 2018.

Fitch believes the notes and indirect counterparties are performing
as required.  There have been no reported early redemption notices
or events of default, and all agents remain in place.

RATING SENSITIVITIES

This rating is sensitive to the occurrence of Covered Event(s), the
counterparty risk of Hannover Rueck SE, the ratings of the assets
held in the Retrocession Trust Account or a potential Model Reset
Event.

In the case of a triggering Covered Event, Fitch will downgrade the
notes reflecting an effective loss of principal and impairment of
the notes, and issue a Recovery Rating.

To a lesser extent, the notes may be downgraded if Hannover Rueck
SE is significantly downgraded or fails to perform its obligations
under the Retrocession Agreement to Acorn Re Ltd.

Likewise, the ratings on the notes may be affected if the
International Bank for Reconstruction Development (IBRD) notes
should suffer a serious downgrade, or the terms of the IBRD notes
are altered or if the subsequent assets held in the Retrocession
Trust Account perform significantly worse than expectations for
high-quality, short-term investments.

A Model Reset Event may occur if RMS makes an updated version of
its North America Earthquake Models available for commercial use
prior to the commencement of any Accrual Period.  Fitch believes
RMS intends to update its model in 2017 (although it is not
certain).  Under this reset event, RMS would calculate an Updated
Expected Loss, which has no specified range or limits, and an
Updated Interest Spread for the notes.  This model risk may have an
adverse or beneficial effect on the rating of the notes.


AMERIQUEST MORTGAGE 2005-R3: Moody's Hikes Cl. M-2 Debt to Caa1
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 32 tranches
from 12 transactions backed by Subprime RMBS loans, and issued by
multiple issuers.

Complete rating actions are as follows:

Issuer: Ameriquest Mortgage Securities Inc., Series 2005-R3

Cl. M-6, Upgraded to Caa1 (sf); previously on Aug 28, 2015 Upgraded
to Caa2 (sf)

Issuer: Ameriquest Mortgage Securities Inc., Series 2006-R2

Cl. A-1, Upgraded to Aa2 (sf); previously on Aug 28, 2015 Upgraded
to A1 (sf)

Cl. A-2C, Upgraded to Aa2 (sf); previously on Aug 28, 2015 Upgraded
to A1 (sf)

Cl. M-2, Upgraded to Caa1 (sf); previously on Feb 18, 2014 Upgraded
to Ca (sf)

Issuer: Argent Securities Inc., Series 2005-W5

Cl. A-1, Upgraded to Baa3 (sf); previously on Aug 28, 2015 Upgraded
to Ba2 (sf)

Issuer: BNC Mortgage Loan Trust 2007-1

Cl. A3, Upgraded to A1 (sf); previously on Aug 21, 2015 Upgraded to
Baa2 (sf)

Cl. A4, Upgraded to B3 (sf); previously on Aug 21, 2015 Upgraded to
Caa2 (sf)

Issuer: First Franklin Mortgage Loan Trust 2006-FF1

Cl. I-A, Upgraded to Aa2 (sf); previously on Aug 28, 2015 Upgraded
to Aa3 (sf)

Cl. II-A-3, Upgraded to Aa3 (sf); previously on Aug 28, 2015
Upgraded to A1 (sf)

Cl. II-A-4, Upgraded to A2 (sf); previously on Aug 28, 2015
Upgraded to A3 (sf)

Issuer: GE-WMC Asset-Backed Pass-Through Certificates, Series
2005-1

Cl. A-2c, Upgraded to Aa2 (sf); previously on Aug 21, 2015 Upgraded
to A1 (sf)

Issuer: GSAMP Trust 2005-AHL2

Cl. A-1A, Upgraded to Aa3 (sf); previously on Aug 31, 2015 Upgraded
to A2 (sf)

Cl. A-2C, Upgraded to Ba3 (sf); previously on Aug 31, 2015 Upgraded
to B1 (sf)

Issuer: GSAMP Trust 2006-HE1

Cl. A-1, Upgraded to Aa2 (sf); previously on Aug 31, 2015 Upgraded
to Aa3 (sf)

Cl. A-2D, Upgraded to Aa2 (sf); previously on Aug 31, 2015 Upgraded
to A1 (sf)

Issuer: GSAMP Trust 2007-HSBC1

Cl. A, Upgraded to Aa2 (sf); previously on Jan 18, 2013 Downgraded
to A2 (sf)

Financial Guarantor: Assured Guaranty Municipal Corp (Affirmed at
A2, Outlook Stable on July 2, 2014)

Cl. M-5, Upgraded to B2 (sf); previously on Aug 31, 2015 Upgraded
to Caa1 (sf)

Issuer: Merrill Lynch Mortgage Investors Trust 2006-FF1

Cl. A-1, Upgraded to Aa1 (sf); previously on Aug 31, 2015 Upgraded
to Aa2 (sf)

Cl. B-1, Upgraded to Ba3 (sf); previously on Aug 31, 2015 Upgraded
to B3 (sf)

Cl. B-2, Upgraded to B2 (sf); previously on Aug 31, 2015 Upgraded
to Caa3 (sf)

Cl. B-3, Upgraded to Ca (sf); previously on Oct 22, 2008 Downgraded
to C (sf)

Cl. M-1, Upgraded to Aa2 (sf); previously on Aug 31, 2015 Upgraded
to A1 (sf)

Cl. M-2, Upgraded to Aa3 (sf); previously on Aug 31, 2015 Upgraded
to A2 (sf)

Cl. M-3, Upgraded to A1 (sf); previously on Aug 31, 2015 Upgraded
to A3 (sf)

Cl. M-4, Upgraded to A3 (sf); previously on Aug 31, 2015 Upgraded
to Baa2 (sf)

Cl. M-5, Upgraded to Baa2 (sf); previously on Aug 31, 2015 Upgraded
to Ba1 (sf)

Cl. M-6, Upgraded to Ba1 (sf); previously on Aug 31, 2015 Upgraded
to B1 (sf)

Issuer: Option One Mortgage Loan Trust 2006-1

Cl. I-A-1, Upgraded to A1 (sf); previously on Aug 21, 2015 Upgraded
to A3 (sf)

Cl. II-A-3, Upgraded to A3 (sf); previously on Aug 21, 2015
Upgraded to Baa3 (sf)

Cl. II-A-4, Upgraded to Baa3 (sf); previously on Aug 21, 2015
Upgraded to Ba2 (sf)

Cl. M-1, Upgraded to B2 (sf); previously on Aug 21, 2015 Upgraded
to Caa1 (sf)

Issuer: Soundview Home Loan Trust 2006-2

Cl. A-4, Upgraded to Aa2 (sf); previously on Jan 23, 2015 Upgraded
to A1 (sf)

RATINGS RATIONALE

The ratings upgraded are due to the total credit enhancement
available to the bonds. The rating actions are a result of the
recent performance of the underlying pools and reflects Moody's
updated loss expectation on these pools.

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.


CABELA'S CREDIT 2016-I: Fitch Assigns BB Rating on Class D Notes
----------------------------------------------------------------
Fitch Ratings assigns these ratings to Cabela's Credit Card Master
Note Trust's asset-backed notes, series 2016-I, as:

   -- $570,000,000 class A-1 fixed-rate 'AAAsf'; Outlook Stable;
   -- $280,000,000 class A-2 floating-rate 'AAAsf'; Outlook
      Stable;
   -- $80,000,000 class B fixed-rate 'Asf'; Outlook Stable;
   -- $42,500,000 class C fixed-rate 'BBBsf'; Outlook Stable;
   -- $27,500,000 class D fixed-rate 'BBsf'; Outlook Stable.

                       KEY RATING DRIVERS

Fitch's ratings are based on the underlying receivables pool,
available credit enhancement (CE), World's Foremost Bank's
underwriting and servicing capabilities, and the transaction's
legal and cash flow structures, which employ early redemption
triggers.

The transaction structure is similar to series 2015-II, with CE
totalling 15% for class A, 7% for the class B, 2.75% plus an amount
from a spread account for the class C, and CE of an amount from a
spread account for the class D notes only.

RATING SENSITIVITIES

Fitch models three different scenarios when evaluating the rating
sensitivity compared to expected performance for credit card
asset-backed securities transactions: 1) increased defaults; 2) a
reduction in monthly payment rate (MPR), and 3) a combination
stress of higher defaults and lower MPR.

Increasing defaults alone has the least impact on rating migration
even in the most severe scenario of a 75% increase in defaults. The
rating sensitivity to a reduction in MPR is more pronounced with a
moderate stress, of a 25% reduction, leading to possible downgrades
across all classes.  The harshest scenario assumes both stresses
occur simultaneously.  The severe stress could lead to more drastic
downgrades to all classes.

To date, the transaction has exhibited strong performance with all
performance metrics within Fitch's initial expectations.


COMM 2013-300P: Fitch Affirms BB+ Rating on Class E Debt
--------------------------------------------------------
Fitch Ratings has affirmed all rated classes of COMM 2013-300P
Mortgage Trust.

                         KEY RATING DRIVERS

The affirmations of COMM 2013-300P is based on the stable
performance of the underlying trust asset since issuance.  The loan
is interest-only for the entire 10-year term.

The subject is a 25-story, 771,634 square foot office building
located at 300 Park Avenue.  The building is situated along a full
block of Park Avenue between 49th and 50th streets in Manhattan,
within the Grand Central/Plaza District submarket.  The three
largest tenants are Colgate-Palmolive (65.3% of the net rentable
area [NRA], rated 'AA-'/Stable Outlook by Fitch), Greenhill &
Company (13.6% of the NRA) and GoldenTree (5.3% of the NRA), with
lease expirations in 2023, 2020 and 2018, respectively.  The
borrower has executed several new leases in the last year bringing
occupancy up slightly to 97.6%, according to the December 2015 rent
roll.

There is significant exposure to the largest tenant, whose lease
expiration is concurrent with the loan's scheduled maturity.  There
are not structural features in place to mitigate this lease roll;
however, Colgate-Palmolive has demonstrated a commitment to the
subject property through a long-term occupancy of 60 years, an
early lease renewal in 2008 for an additional 15 years and recent
ongoing investments to their space.  Additionally, the tenant's
lease contains two renewal options (one 10-year and one five-year)
each upon at least 24 months prior notice.

                      RATING SENSITIVITIES

The Rating Outlook for all classes remains Stable.  No rating
actions are expected unless there are material changes to the
property occupancy and cash flow.

Fitch affirms these classes as indicated:

   -- $222 million class A1 at 'AAAsf', Outlook Stable;
   -- $75 million class A1P at 'AAAsf', Outlook Stable;
   -- $297 million class X-A* at 'AAAsf', Outlook Stable;
   -- $61 million class B at 'AA-sf'; Outlook Stable;
   -- $42 million class C at 'A-sf'; Outlook Stable;
   -- $57 million class D at 'BBB-sf'; Outlook Stable;
   -- $28 million class E at 'BB+sf'; Outlook Stable.

*notional and interest-only.


MONROE CAPITAL 2016-1: Moody's Assigns (P)Ba3 Ratings to Cl. E Debt
-------------------------------------------------------------------
Moody's Investors Service assigned provisional ratings to five
classes of notes to be issued by Monroe Capital MML CLO 2016-1,
Ltd. (the "Issuer" or "Monroe Capital MML CLO 2016-1").

Moody's rating action is as follows:

U.S.$224,000,000 Class A Senior Floating Rate Notes due 2028 (the
"Class A Notes"), Assigned (P)Aaa (sf)

U.S.$41,000,000 Class B Floating Rate Notes due 2028 (the "Class B
Notes"), Assigned (P)Aa2 (sf)

U.S.$24,000,000 Class C Deferrable Mezzanine Floating Rate Notes
due 2028 (the "Class C Notes"), Assigned (P)A2 (sf)

U.S.$31,000,000 Class D Deferrable Mezzanine Floating Rate Notes
due 2028 (the "Class D Notes"), Assigned (P)Baa3 (sf)

U.S.$32,000,000 Class E Deferrable Mezzanine 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, "Monroe Capital MML CLO 2016-1 is a small to middle
enterprise ("SME") managed cash flow CLO. The issued notes will be
collateralized primarily by SME and 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. We expect the portfolio to be approximately 56%
ramped as of the closing date."

Monroe Capital 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 four year
reinvestment period. After the end of the reinvestment period, the
Manager may sell assets, subject to certain conditions, but is not
permitted to purchase any assets.


REALT 2006-1: Moody's Cuts Class XC-2 Debt Rating to B1(sf)
-----------------------------------------------------------
Moody's Investors Service has downgraded the ratings of two classes
in Real Estate Asset Liquidity Trust, Commercial Mortgage
Pass-Through Certificates, Series 2006-1 as follows:

Cl. XC-1, Downgraded to B1 (sf); previously on Jul 17, 2015
Affirmed Ba3 (sf)

Cl. XC-2, Downgraded to B1 (sf); previously on Jul 17, 2015
Affirmed Ba3 (sf)

RATINGS RATIONALE

The rating of the IO Classes were downgraded due to the decline in
credit performance of its reference classes as a result of
principal paydowns of higher quality reference classes. The IO
classes are the only outstanding Moody's-rated classes in this
transaction.

Moody's rating action reflects a base expected loss of 11.1% of the
current balance, compared to 1.7% at Moody's last review. The deal
has not experienced any realized losses, and Moody's base expected
loss plus realized losses is now 0.1% of the original pooled
balance, compared to 0.7% at the last review.

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

The rating of an IO class is based on the credit performance of its
referenced classes. An IO class may be upgraded based on a lower
weighted average rating factor or WARF due to an overall
improvement in the credit quality of its reference classes. An IO
class may be downgraded based on a higher WARF due to a decline in
the credit quality of its reference classes, paydowns of higher
quality reference classes or non-payment of interest. Classes that
have paid off through loan paydowns or amortization are not
included in the WARF calculation. Classes that have experienced
losses are grossed up for losses and included in the WARF
calculation, even if Moody's has withdrawn the rating.

DEAL PERFORMANCE

As of the June 13, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 99% to $3.03 million
from $396 million at securitization. The Certificates are
collateralized by two mortgage loans.

Moody’s said, “One loan, representing 90% of the pool, is on
the master servicer's watchlist. The watchlist includes loans which
meet certain portfolio review guidelines established as part of the
CRE Finance Council (CREFC) monthly reporting package. As part of
our ongoing monitoring of a transaction, Moody's reviews the
watchlist to assess which loans have material issues that could
impact performance.”

No loans have been liquidated from the pool with realized losses,
and no loans are currently in special servicing.

One of the two remaining loans is the Olive Plaza - USC - AB Loan
($2.7 million -- 90% of the pool), which is secured by a
multi-tenant strip shopping Centre situated on the north side of
Stony Plain Road at 173rd Street in west central Edmonton, Alberta,
Canada. The loan has been on the watchlist since July 2013 due to
the largest tenant went dark reportedly at the beginning of
February 2013. A new tenant moved in 2016. As of May 2016, the
property was 80% leased, compared to 23% leased as of June 2015.
Moody's LTV and stressed DSCR are 128% and 0.82X, respectively,
compared to 253% and 0.42X at prior review.

The other loan ($0.3 million -- 10% of the pool) is a fully
amortizing loan that has amortized 93% since securitization.
Moody's LTV and stressed DSCR are 5% and 21.1X, respectively,
compared to 12.4% and 8.3X at prior review.


SARATOGA INVESTMENT 2013-1: S&P Affirms B Rating on Class F Notes
-----------------------------------------------------------------
S&P Global Ratings affirmed its ratings on the class A-1, A-2, B,
C, D, E, and F notes from Saratoga Investment Corp. CLO 2013-1
Ltd., a U.S. collateralized loan obligation (CLO) managed by
Saratoga Investment Advisors LLC.

The rating actions follow S&P's review of the transaction's
performance, using data from the trustee report dated May 4, 2016.
The transaction (originally GSC Investment Corp. CLO 2007 Ltd.)
experienced an optional redemption and refinancing in October 2013,
and remains in its reinvestment period until October 2016.

Since the refinancing, the transaction has maintained relatively
stable performance, with overcollateralization (O/C) levels roughly
equal to those in S&P's initial rating assignments.  Credit quality
of the underlying portfolio has deteriorated slightly, as the
weighted average rating decreased to 'B' from 'B+', but this has
been offset by a decrease in the weighted average life of the
collateral.  In addition, collateral rated 'CCC+' or lower by S&P
Global Ratings totals only 2.6% of the portfolio, and the
transaction holds only one defaulted position with a par balance of
$1.0 million.

The affirmed ratings reflect adequate credit support at the current
rating levels.  Although the cash flow results indicated higher
ratings for the class B, C, and D notes, S&P took into account that
the transaction is still in its reinvestment period for four more
months, and that it has not yet paid down any principal to the
rated notes.  Future reinvestment activity could change some of the
underlying portfolio characteristics.

The cash flow analysis pointed to a downgrade for the class F
notes, but S&P's decision to affirm was based on the overall stable
performance of the transaction and the low exposure to 'CCC' rated
assets.  However, S&P notes that the transaction has been
structured such that the class F notes will not be covered by an
O/C test after the transaction exits its reinvestment period, when
the interest diversion test is no longer calculated.  The notes
could, therefore, be susceptible to a downgrade if the transaction
begins to experience larger losses during the amortization period.

S&P's review of the transaction also relied, in part, on a criteria
interpretation with respect to "CDOs: Mapping A Third Party's
Internal Credit Scoring System To Standard & Poor's Global Rating
Scale," published May 8, 2014, which allows us to use a limited
number of public ratings from other nationally recognized
statistical rating organizations for the purposes of assessing the
credit quality of assets not rated by S&P Global Ratings.  The
criteria provide specific guidance for treatment of corporate
assets that S&P do not rate, and the interpretation outlines the
treatment of securitized assets.

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 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 Global Ratings 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 will take rating actions
as it deems necessary.

CASH FLOW RESULTS AND SENSITIVITY ANALYSIS

Saratoga Investment Corp. CLO 2013-1 Ltd.

                     Cash flow
       Previous      implied     Cash flow    Final   
Class  rating        rating (i)  cushion (ii) rating

A-1    AAA (sf)      AAA (sf)    11.02%       AAA (sf)
A-2    AAA (sf)      AAA (sf)    4.20%        AAA (sf)
B      AA (sf)       AA+ (sf)    2.54%        AA (sf)
C      A (sf)        A+ (sf)     3.76%        A (sf)
D      BBB (sf)      BBB+ (sf)   3.09%        BBB (sf)
E      BB (sf)       BB (sf)     0.44%        BB (sf)
F      B (sf)        CCC+ (sf)   2.18%        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                     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)    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      BB (sf)    B+ (sf)    BB- (sf)    BB+ (sf)    BB (sf)
F      CCC+ (sf)  CCC- (sf)  CCC+ (sf)   CCC+ (sf)   B (sf)

                  DEFAULT BIASING SENSITIVITY

To assess whether the current portfolio has sufficient diversity,
S&P biased defaults on the assets in the current collateral pool
with the highest spread and lowest base-case recoveries.

                    Spread        Recovery     
       Cash flow    compression   compression       
       implied      implied       implied       Final     
Class  rating       rating        rating        rating      

A-1    AAA (sf)     AAA (sf)      AAA (sf)      AAA (sf)
A-2    AAA (sf)     AAA (sf)      AA+ (sf)      AAA (sf)
B      AA+ (sf)     AA (sf)       A+ (sf)       AA (sf)
C      A+ (sf)      A+ (sf)       BBB+ (sf)     A (sf)
D      BBB+ (sf)    BBB (sf)      BB+ (sf)      BBB (sf)
E      BB (sf)      B+ (sf)       B- (sf)       BB (sf)
F      CCC+ (sf)    CCC (sf)      CCC- (sf)     B (sf)

RATINGS AFFIRMED

Saratoga Investment Corp. CLO 2013-1 Ltd.

Class     Rating

A-1       AAA (sf)
A-2       AAA (sf)
B         AA (sf)
C         A (sf)
D         BBB (sf)
E         BB (sf)
F         B (sf)


SEVEN STICKS: Moody's Assigns Ba3 Rating to Class D Notes
---------------------------------------------------------
Moody's Investors Service has assigned ratings to five classes of
notes issued by Seven Sticks CLO Ltd. (the "Issuer" or "Seven
Sticks").

Moody's rating action is as follows:

US$256,000,000 Class A-1 Senior Secured Floating Rate Notes due
2028 (the "Class A-1 Notes"), Assigned Aaa (sf)

US$44,300,000 Class A-2 Senior Secured Floating Rate Notes due 2028
(the "Class A-2 Notes"), Assigned Aa2 (sf)

US$20,600,000 Class B Mezzanine Secured Deferrable Floating Rate
Notes due 2028 (the "Class B Notes"), Assigned A2 (sf)

US$27,300,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2028 (the "Class C Notes"), Assigned Baa3 (sf)

US$20,000,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2028 (the "Class D Notes"), Assigned Ba3 (sf)

The Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the
Class C Notes and the Class D Notes are referred to herein,
collectively, as the "Rated Notes."

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.

Seven Sticks 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% of the portfolio must consist
of senior secured loans, cash and eligible investments, and up to
10% of the portfolio may consist of second lien loans and unsecured
loans. The portfolio is approximately 90% ramped as of the closing
date.

Guggenheim Partners Investment 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 four year
reinvestment period. Thereafter, the Manager may reinvest
unscheduled principal payments and proceeds from sales of credit
risk assets, subject to certain restrictions.


SIERRA AUTO 2016-1: S&P Assigns 'BB' Rating on Class C Notes
------------------------------------------------------------
S&P Global Ratings assigned its ratings to Sierra Auto Receivables
Securitization Trust 2016-1's $135 million automobile
receivables-backed notes series 2016-1.

The note issuance is an asset-backed securities transaction backed
by subprime auto loan receivables.

The ratings reflect:

   -- The availability of approximately 41.9%, 32.6%, and 26.8%
      credit support for the class A, B, and C notes,
      respectively, based on stressed cash flow scenarios
      (including excess spread), which provides coverage of more
      than 2.1x, 1.6x, and 1.3x our 19.00%-20.00% expected
      cumulative net loss.

   -- The timely interest and principal payments made to the rated

      notes by the assumed legal final maturity dates under
      stressed cash flow modeling scenarios that S&P believes is
      appropriate for the assigned ratings.

   -- S&P's expectation that under a moderate ('BBB') stress
      scenario, all else being equal, its rating on the class A
      notes would remain within one rating category of S&P's
      'A (sf)' rating during the first year, and that its ratings
      on the class B and C notes would remain within two rating
      categories of S&P's 'BBB (sf)' and 'BB (sf)' ratings,
      respectively, during the first year.  These potential rating

      movements are consistent with S&P's credit stability
      criteria, which outline the outer bound of credit
      deterioration as a two-category downgrade within the first
      year for 'A (sf)', 'BBB (sf)', and 'BB (sf)' rated
      securities under moderate stress conditions.

   -- The collateral characteristics of the overall nonprime
      automobile loan pool securitized in this transaction.

   -- The transaction's payment and legal structures.

RATINGS ASSIGNED

Sierra Auto Receivables Securitization Trust 2016-1

Class   Rating        Type            Interest     Amount
                                      rate       (mil. $)
A       A (sf)        Senior          Fixed        102.20
B       BBB (sf)      Subordinate     Fixed         16.90
C       BB (sf)       Subordinate     Fixed         15.90


SIERRA TIMESHARE 2011-3: Fitch Affirms BB Rating on Cl. C Notes
---------------------------------------------------------------
Fitch Ratings has affirmed the notes issued by various Sierra
Timeshare Receivables transactions.

KEY RATING DRIVERS

The rating affirmations reflect the ability of each transaction's
credit enhancement (CE) to provide loss coverage consistent with
the current ratings.  Since Fitch's prior review of the
transactions, cumulative gross default (CGD) performance has been
stable, with the majority of transactions tracking within their
respective initial base case proxy.  The Stable Outlook designation
for all five transactions reflects Fitch's expectation that the
notes will remain sufficiently enhanced to cover stressed loss
levels for the next 12 to 18 months.

Fitch will continue to monitor economic conditions and their impact
to trust level performance variables and update the ratings
accordingly.

RATING SENSITIVITIES

Unanticipated increases in the frequency of defaults could produce
cumulative gross default (CGD) levels higher than the base case and
would likely result in declines of credit enhancement and remaining
default coverage levels available to the notes. Additionally,
unanticipated increases in prepayment activity could also result in
a decline in coverage.  Decreased default coverage may make certain
note ratings susceptible to potential negative rating actions,
depending on the extent of the decline in coverage.

At the time of initial rating, Fitch conducted sensitivity analysis
stressing each of the transaction's initial base case CGD and
prepayment assumptions by 1.5x and 2.0x and examining the rating
implications on all classes of issued notes.  The 1.5x and 2.0x
increases of each transaction's base case CGD and prepayment
assumptions represent moderate and severe stresses, respectively,
and are intended to provide an indication of the rating sensitivity
of notes to unexpected deterioration of a trust's performance.

DUE DILIGENCE USAGE

No third party due diligence was provided or reviewed in relation
to this rating action.

Fitch has affirmed these ratings:

Sierra Timeshare 2011-3 Receivables Funding, LLC
   -- Class A notes at 'Asf'; Outlook Stable;
   -- Class B notes at 'BBBsf'; Outlook Stable;
   -- Class C notes at 'BBsf'; Outlook Stable.

Sierra Timeshare 2012-3 Receivables Funding, LLC
   -- Class A notes at 'Asf'; Outlook Stable;
   -- Class B notes at 'BBBsf'; Outlook Stable.

Sierra Timeshare 2013-3 Receivables Funding, LLC
   -- Class A notes at 'Asf'; Outlook Stable;
   -- Class B notes at 'BBBsf'; Outlook Stable.

Sierra Timeshare 2014-3 Receivables Funding, LLC
   -- Class A notes at 'Asf'; Outlook Stable;
   -- Class B notes at 'BBBsf'; Outlook Stable.

Sierra Timeshare 2015-3 Receivables Funding, LLC
   -- Class A notes at 'Asf'; Outlook Stable;
   -- Class B notes at 'BBBsf'; Outlook Stable.


WACHOVIA BANK 2003-C6: Moody's Cuts Cl. O Debt Rating to Ba1(sf)
----------------------------------------------------------------
Moody's Investors Service affirmed one class and downgraded one
class in Wachovia Bank Commercial Mortgage Trust, Commercial
Mortgage Pass-Through Certificates, Series 2003-C6 as follows:

Cl. O, Downgraded to Ba1 (sf); previously on Jul 30, 2015 Upgraded
to Baa3 (sf)

Cl. IO, Affirmed Caa3 (sf); previously on Jul 30, 2015 Affirmed
Caa3 (sf)

RATINGS RATIONALE

The rating on one P&I class, Class O, was downgraded due to
anticipated interest shortfalls from a specially serviced loan that
is higher than Moody's had previously expected.

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 22.6% of the
current balance compared to 20.3% at Moody's prior review. Moody's
base expected loss plus realized losses increased to 0.9% of the
original pooled balance compared to 0.8% at 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 June 15, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 99% to $10 million
from $953 million at securitization. The Certificates are
collateralized by five mortgage loans ranging in size from 5% to
40% of the pool.

Seven loans have been liquidated from the pool, resulting in an
aggregate realized loss of $6.0 million (19% loss severity on
average). One loan, the Trader Joe's Plaza Loan ($4.0 million --
40.4% of the pool), is currently in special servicing. The loan is
secured by a 45,000 square foot (SF) retail property located in Las
Vegas, Nevada. The loan transferred to special servicing in July
2013 due to maturity default and the Borrower filed for Chapter 11
Bankruptcy in March 2014. The special servicer indicated the
Bankruptcy proceedings are ongoing. The property was 80% occupied
as of December 2015 compared to 68% in December 2014. The property
is anchored by Trader Joe's which represents 28% of the rentable
area. Trader Joe's lease expired in October 2015 and they are
currently at the property on a month to month basis.

Moody's received full year 2015 operating results for 100% of the
pool. Moody's weighted average LTV is 78% compared to 70% 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 33% 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 DSCRs are 0.81X and 1.51X,
respectively, compared to 0.98X and 1.67X 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 top three performing conduit loans represent 55% of the pool
balance. The largest loan is the Rite Aid -- Las Vegas, NV Loan
($2.35 million -- 23.5% of the pool), which is secured by a 17,000
SF retail property located in Las Vegas, Nevada. The property is
fully leased to Rite Aid, which subleases the space to Dollar
General. The loan is fully amortizing and matures in June 2023. The
loan and lease are co-terminous. Due to the single tenant nature of
the property, Moody's incorporated a lit/dark analysis for this
property. Moody's LTV and stressed DSCR are 71% and 1.51X,
respectively, compared to 80% and 1.35X at last review.

The second largest loan is the Bailey Building Loan ($1.93 million
-- 19.3% of the pool), which is secured by a 45,000 SF office
located in Montgomery, Alabama. The property was 83% leased as of
June 2016 compared to 81% leased in June 2015. Moody's LTV and
stressed DSCR are 92% and 0.96X, respectively, compared to 80% and
1.29X at last review.

The third largest loan is the Rite Aid -- Bayville, NJ Loan ($1.21
million -- 12.1% of the pool), which is secured by an 11,000 SF
retail property located in Bayville, New Jersey. The property is
fully leased to Rite Aid through September 2018 (the same as the
loan maturity date). The loan is not fully amortizing, but has
amortized 45% since securitization. Due to the single tenant nature
of the property, Moody's incorporated a lit/dark analysis for this
property. Moody's LTV and stressed DSCR are 86% and 1.25X,
respectively, compared to 74% and 1.46X at last review.


WEST CLO 2012-1: S&P Lowers Rating on Class D Notes to BB-
----------------------------------------------------------
S&P Global Ratings lowered its rating on the class D notes from
West CLO 2012-1 Ltd., a U.S. collateralized loan obligation (CLO)
managed by Allianz Global Investors Capital that closed in November
2012.  At the same time, S&P removed this rating from CreditWatch
negative, where it placed it on May 25, 2016.  In addition, S&P
affirmed its ratings on the class A-1, A-2, B, and C notes from the
same transaction.

The rating actions follow S&P's review of the transaction's
performance using data from the May 18, 2016, trustee report.  The
transaction is scheduled to remain in its reinvestment period until
October 2016, and S&P anticipates the manager will continue to
reinvest principal proceeds in line with the transaction documents.


Since S&P's effective date rating affirmations in June 2013, the
transaction has experienced par loss and credit deterioration in
the underlying collateral portfolio.  The reported
overcollateralization (O/C) ratios for each of the rated notes have
decreased due to the aforementioned par loss, as well as a haircut
on the amount of 'CCC' rated assets, as of the May 2016 report from
the 2013 effective date report:

   -- The class A O/C ratio decreased to 130.37% from 134.28%.
   -- The class B O/C ratio decreased to 117.32% from 120.83%.
   -- The class C O/C ratio decreased to 111.19% from 114.51%.
   -- The class D O/C ratio decreased to 105.85% from 109.02%.

In addition, the interest diversion test on the class D notes has
decreased, for the same reasons as noted above, to 105.85% from
109.02%, and was failing by 0.15% as of the May trustee report.  If
this test is still failing on the determination date for the July
payment date, the transaction will divert excess interest proceeds
to purchase additional collateral in an amount equal to the lesser
of the amount necessary to cause this test to pass and 50% of the
total excess interest.

The transaction has benefited from the collateral's seasoning, as
the reported weighted average life decreased to 3.99 years from
5.13 years.  This has helped to partially mitigate the
deterioration in credit quality, as defaulted assets and those with
an S&P Global Ratings' credit rating of 'CCC+' or lower have
increased to 4.79% and 7.69% of the aggregate principal balance,
respectively, from 0% at the effective date.  An above-average
exposure to the distressed energy sector has contributed to this
distressed collateral total, as assets with an S&P Global Ratings'
industry categorization of oil and gas and nonferrous
metals/minerals were reported at 11.94% of the aggregate principal
balance.  A large percentage of the 'CCC' and defaulted collateral
come from these two industry categories.

While the cash flow analysis pointed to an affirmation with slim
cushion for the class D notes, S&P considered the negative factors
mentioned above in its decision to downgrade the notes by one notch
to 'BB- (sf)'.

The affirmations of the ratings assigned to the other classes of
notes reflect S&P's belief that the credit support available is
commensurate with the current rating levels.

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 AND SENSITIVITY ANALYSIS

West CLO 2012-1 Ltd.

                           Cash flow
       Previous            implied      Cash flow    Final
Class  rating              rating(i)    cushion(ii)  rating
A-1    AAA (sf)            AAA (sf)        7.62%     AAA (sf)
A-2    AA (sf)             AA+ (sf)       11.09%     AA (sf)
B      A (sf)              A+ (sf)         4.84%     A (sf)
C      BBB (sf)            BBB+ (sf)       3.49%     BBB (sf)
D      BB (sf)/Watch Neg   BB (sf)         0.21%     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 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    AA+ (sf)   AA+ (sf)   AA+ (sf)    AAA (sf)    AA (sf)
B      A+ (sf)    A- (sf)    A+ (sf)     AA- (sf)    A (sf)
C      BBB+ (sf)  BBB- (sf)  BBB+ (sf)   BBB+ (sf)   BBB (sf)
D      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-1    AAA (sf)     AAA (sf)      AA+ (sf)      AAA (sf)
A-2    AA+ (sf)     AA+ (sf)      AA- (sf)      AA (sf)
B      A+ (sf)      A+ (sf)       BBB+ (sf)     A (sf)
C      BBB+ (sf)    BBB (sf)      BB- (sf)      BBB (sf)
D      BB (sf)      B+ (sf)       CCC- (sf)     BB- (sf)

RATING LOWERED AND REMOVED FROM CREDITWATCH

West CLO 2012-1 Ltd.

                Rating
Class       To          From
D           BB- (sf)    BB (sf)/Watch Neg

RATINGS AFFIRMED

West CLO 2012-1 Ltd.

Class       Rating
A-1         AAA (sf)
A-2         AA (sf)
B           A (sf)
C           BBB (sf)


WFRBS COMMERCIAL 2012-C9: Moody's Affirms B2 Rating on Cl. F Debt
-----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on 12 classes in
WFRBS Commercial Mortgage Trust, Commercial Pass-Through
Certificates, Series 2012-C9 as follows:

Cl. A-1, Affirmed Aaa (sf); previously on Aug 27, 2015 Affirmed Aaa
(sf)

Cl. A-2, Affirmed Aaa (sf); previously on Aug 27, 2015 Affirmed Aaa
(sf)

Cl. A-3, Affirmed Aaa (sf); previously on Aug 27, 2015 Affirmed Aaa
(sf)

Cl. A-S, Affirmed Aaa (sf); previously on Aug 27, 2015 Affirmed Aaa
(sf)

Cl. A-SB, Affirmed Aaa (sf); previously on Aug 27, 2015 Affirmed
Aaa (sf)

Cl. B, Affirmed Aa3 (sf); previously on Aug 27, 2015 Affirmed Aa3
(sf)

Cl. C, Affirmed A3 (sf); previously on Aug 27, 2015 Affirmed A3
(sf)

Cl. D, Affirmed Baa3 (sf); previously on Aug 27, 2015 Affirmed Baa3
(sf)

Cl. E, Affirmed Ba2 (sf); previously on Aug 27, 2015 Affirmed Ba2
(sf)

Cl. F, Affirmed B2 (sf); previously on Aug 27, 2015 Affirmed B2
(sf)

Cl. X-A, Affirmed Aaa (sf); previously on Aug 27, 2015 Affirmed Aaa
(sf)

Cl. X-B, Affirmed A1 (sf); previously on Aug 27, 2015 Affirmed A1
(sf)

RATINGS RATIONALE

The ratings on 10 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 two IO classes were affirmed based on the credit
performance (or the weighted average rating factor or WARF) of the
referenced classes.

Moody's rating action reflects a base expected loss of 2.8% of the
current balance, compared to 3.2% at Moody's last review. Moody's
base expected loss plus realized losses is now 2.6% of the original
pooled balance, compared to 3.1% 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 June 17, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 6% to $987 million
from $1.05 billion at securitization. The certificates are
collateralized by 72 mortgage loans ranging in size from less than
1% to 11% of the pool, with the top ten loans constituting 44% of
the pool. Five loans, constituting 6% of the pool, have defeased
and are secured by US government securities.

Seven loans, constituting 8% 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.

Moody's received full year 2015 operating results for 98% of the
pool and partial year 2016 operating results for 63% of the pool.
Moody's weighted average conduit LTV is 91%, compared to 95% at
Moody's last review. Moody's conduit component excludes loans with
structured credit assessments, defeased and CTL loans, and
specially serviced and troubled loans. Moody's net cash flow (NCF)
reflects a weighted average haircut of 14% 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 1.63X and 1.23X,
respectively, compared to 1.58X 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 21% of the pool balance. The
largest loan is the Chesterfield Towne Center Loan ($105.5 million
-- 10.7% of the pool), which is secured by a nearly one million
square foot (SF) regional mall plus an adjacent 72,000 SF retail
property in North Chesterfield, Virginia. The malls anchors are
Macy's, Garden Ridge, Sears, and JC Penney. Sears and JC Penney
occupy their spaces on ground leases, while the Macy's and Garden
Ridge boxes are owned by the borrower. As of December 2015, the
total mall and inline spaces were 96% and 80% leased, compared to
95% and 80% as of June 2014. Moody's LTV and stressed DSCR are 95%
and 1.05X, respectively, compared to 96% and 1.04X at the last
review.

The second largest loan is the Town Pavilion Loan ($56.9 million --
5.8% of the pool), which is secured by 844,000 SF of office and
parking garages in downtown Kansas City, Missouri. The loan
consists of four office buildings, two parking garages and includes
the 38-story Town Pavilion office tower, the second tallest
building in Kansas City. As of December 2015, the properties were
94% leased, up from 92% leased as of June 2014. Moody's LTV and
stressed DSCR are 87% and 1.21X, respectively, compared to 93% and
1.14X at the last review.

The third largest loan is the Christiana Center Loan ($46.9 million
-- 4.8% of the pool), which is secured by a 303,000 SF power center
located in Newark, Delaware. The collateral consists of 162,000 SF
of owned retail space plus the land beneath a Costco store. As of
December 2015, the property was 100% leased, unchanged from August
2014 and securitization. In addition to Costco, anchors include
Dick's Sporting Goods (lease expiration: November 2023), HHGregg
(lease expiration: May 2020) and Michaels (lease expiration:
February 2018). Moody's LTV and stressed DSCR are 101% and 0.97X,
respectively, compared to 105% and 0.93X at the last review.


[*] S&P Completes Review of 73 Classes From 12 RMBS Deals
---------------------------------------------------------
S&P Global Ratings, on June 29, 2016, completed its review of 73
classes from 12 U.S. residential mortgage-backed securities (RMBS)
transactions issued between 2002 and 2006.  The review yielded
various upgrades, downgrades, affirmations, withdrawals, and one
discontinuance.

The transactions in this review are backed by a mix of fixed- and
adjustable-rate prime jumbo and alternative-A mortgage loans, which
are secured primarily by first liens on one- to four-family
residential properties.

                            ANALYSIS

Analytical Considerations

S&P 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 transaction-specific performance or
structural characteristics (or both) and their potential effects on
certain classes.

UPGRADES
The upgrades include three ratings that were raised three or more
notches.  S&P's projected credit support for the affected classes
is sufficient to cover its projected losses for these rating
levels.  The upgrades reflect one or more of:

   -- Improved collateral performance/delinquency trends; and/or
   -- The class' expected short duration.

The upgrade on class M-2 from Merrill Lynch Mortgage Investors,
Series 2003-A4 reflects a decrease in S&P's projected losses and
its belief that its projected credit support for the affected
classes will be sufficient to cover S&P's revised projected losses
at these rating levels.  S&P has decreased its projected losses
because there have been fewer reported delinquencies during the
most recent performance periods than the amount reported during the
previous review dates.  Severe delinquencies decreased to 8.96% at
May 2016 from 13.7% at June 2015.

DOWNGRADES

The downgrades include five ratings that were lowered three or more
notches.  S&P lowered its ratings on one class to speculative grade
('BB+' or lower) from investment grade ('BBB-' or higher). Another
six of the lowered ratings remained at an investment-grade level,
while the remaining four downgraded classes already had
speculative-grade ratings.  The downgrades reflect S&P's belief
that its projected credit support for the affected classes will be
insufficient to cover its projected losses for the related
transactions at a higher rating.  The downgrades reflect one or
more of:

   -- Deteriorated credit performance trends;
   -- Decreased credit enhancement available to the classes;
      and/or
   -- Tail risk.

S&P lowered the rating on the B-3 class from Banc of America
Funding 2002-2 Trust to 'D (sf)' because of principal write-downs
incurred by this class.  The downgrades on classes 1-A and 2-A from
HarborView Mortgage Loan Trust 2004-3 reflect the impact of the
passing of the payment allocation triggers, allowing principal
payments to be made to more subordinate classes, eroding projected
credit support for the affected senior classes.

Tail Risk

Some of the transactions in this review are backed by a small
remaining pool of mortgage loans.  S&P believes that pools with
less than 100 loans remaining create an increased risk of credit
instability, because a liquidation and subsequent loss on one loan,
or a small number of loans, at the tail end of a transaction's life
may have a disproportionate impact on a given RMBS tranche's
remaining credit support.  S&P refers to this as "tail risk."

S&P addressed the tail risk on the classes in this review by
conducting a loan-level analysis that assessed this risk, as set
forth in S&P's tail risk criteria.  This review resulted in S&P's
lowering of the ratings on First Horizon Mortgage Pass-Through
Trust 2005-AR4 classes IV-A-1, IV-A-2, and IV-A-3.

AFFIRMATIONS
The affirmations of ratings in the 'AAA' through 'B' rating
categories reflect S&P's opinion that its projected credit support
on these classes remained relatively consistent with S&P's prior
projections and is sufficient to cover its projected losses for
those rating scenarios.

For certain transactions, S&P considered specific performance
characteristics that, in its view, could add volatility to its loss
assumptions and, in turn, to the ratings suggested by S&P's cash
flow projections.  When S&P's model recommended an upgrade, S&P
either limited the extent of our upgrade or affirmed its ratings on
those classes to account for this uncertainty and promote ratings
stability.  In general, these classes have one or more of these
characteristics that limit any potential upgrade:

   -- Insufficient subordination, overcollateralization, or both;
   -- Historical interest shortfalls;
   -- Low priority in principal payments; and/or
   -- Tail risk.

In addition, some of the transactions have failed their delinquency
triggers, resulting in reduced -- or a complete stop of --
unscheduled principal payments to their subordinate classes.
However, these transactions allow for unscheduled principal
payments to resume to the subordinate classes if the delinquency
triggers begin passing again.  This would result in eroding the
credit support available for the more senior classes.  Therefore,
S&P affirmed its ratings on certain classes in these transactions
even though these classes may have passed at higher rating
scenarios.

The ratings affirmed at 'CCC (sf)' or 'CC (sf)' reflect S&P's
belief that its projected credit support will remain insufficient
to cover its 'B' expected case projected losses for these classes.
Pursuant to"Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC'
Ratings," Oct. 1, 2012, the 'CCC (sf)' affirmations reflect S&P's
view that these classes are still vulnerable to defaulting, and the
'CC (sf)' affirmations reflect S&P's view that these classes remain
virtually certain to default.

WITHDRAWALS

S&P withdrew its ratings on classes from Banc of America Mortgage
Trust 2004-9, First Horizon Mortgage Pass-Through Trust 2005-AR4,
and Banc of America Funding 2006-5 Trust because the related pools
have a small number of loans remaining.  Once a pool has declined
to a de minimis amount, S&P believes there is a high degree of
credit instability that is incompatible with any rating level.

DISCONTINUANCES

S&P discontinued its 'D (sf)' rating on class M-3 from RALI Series
2002-QS11 Trust, which had a zero balance.  This class has been
written down to zero as a result of realized losses that remain
outstanding.  S&P discontinued this rating according to its
surveillance and withdrawal policy, as S&P views a subsequent
upgrade to a rating higher than 'D (sf)' to be unlikely under the
relevant criteria.

ECONOMIC OUTLOOK

When determining a U.S. RMBS collateral pool's relative credit
quality, S&P's loss expectations stem, to a certain extent, from
its view of how the loans will behave under various economic
conditions.  S&P Global Ratings' baseline macroeconomic outlook
assumptions for variables that it believes could affect residential
mortgage performance are:

   -- An overall unemployment rate of 4.8% in 2016;
   -- Real GDP growth of 2.3% for 2016;
   -- An inflation rate of 1.8% in 2016; and
   -- 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, it believes that U.S. RMBS credit quality would weaken.
S&P's downside scenario reflects these key assumptions:

   -- Total unemployment will tick up to 5.1% for 2016;
   -- Downward pressure will cause GDP growth to fall to 1.3% in
      2016;
   -- Home price momentum will slow as potential buyers are not
      able to purchase property; and
   -- While the 30-year fixed mortgage rate remains a low 3.7% in
      2016, limited access to credit and pressure on home prices
      will largely prevent consumers from capitalizing on these
      rates.

A list of the Affected Ratings is available at:

               http://bit.ly/29DkgTK


                            *********

Monday's edition of the TCR delivers a list of indicative prices
for bond issues that reportedly trade well below par.  Prices are
obtained by TCR editors from a variety of outside sources during
the prior week we think are reliable.  Those sources may not,
however, be complete or accurate.  The Monday Bond Pricing table
is compiled on the Friday prior to publication.  Prices reported
are not intended to reflect actual trades.  Prices for actual
trades are probably different.  Our objective is to share
information, not make markets in publicly traded securities.
Nothing in the TCR constitutes an offer or solicitation to buy or
sell any security of any kind.  It is likely that some entity
affiliated with a TCR editor holds some position in the issuers
public debt and equity securities about which we report.

Each Tuesday edition of the TCR contains a list of companies with
insolvent balance sheets whose shares trade higher than $3 per
share in public markets.  At first glance, this list may look like
the definitive compilation of stocks that are ideal to sell short.
Don't be fooled.  Assets, for example, reported at historical cost
net of depreciation may understate the true value of a firm's
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equity securities trade in public market are determined by more
than a balance sheet solvency test.

On Thursdays, the TCR delivers a list of recently filed
Chapter 11 cases involving less than $1,000,000 in assets and
liabilities delivered to nation's bankruptcy courts.  The list
includes links to freely downloadable images of these small-dollar
petitions in Acrobat PDF format.

Each Friday's edition of the TCR includes a review about a book of
interest to troubled company professionals.  All titles are
available at your local bookstore or through Amazon.com.  Go to
http://www.bankrupt.com/books/to order any title today.

Monthly Operating Reports are summarized in every Saturday edition
of the TCR.

The Sunday TCR delivers securitization rating news from the week
then-ending.

                            *********

S U B S C R I P T I O N   I N F O R M A T I O N

Troubled Company Reporter is a daily newsletter co-published
by Bankruptcy Creditors Service, Inc., Fairless Hills,
Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., USA.  
Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine
Tumanda, Valerie Udtuhan, Howard C. Tolentino, Carmel Paderog,
Meriam Fernandez, Joel Anthony G. Lopez, Cecil R. Villacampa,
Sheryl Joy P. Olano, Psyche A. Castillon, Ivy B. Magdadaro, Carlo
Fernandez, Christopher G. Patalinghug, and Peter A. Chapman,
Editors.

Copyright 2016.  All rights reserved.  ISSN: 1520-9474.

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                   *** End of Transmission ***