/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/160828.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, August 28, 2016, Vol. 20, No. 241 Headlines ACIS CLO 2013-1: S&P Affirms BB Rating on Class E Notes BANC OF AMERICA 2006-5: Moody's Cuts Class A-J Debt Rating to Caa2 BBCMS 2016-ETC: S&P Assigns BB- Rating on Class E Certificates BLUE MOUNTAIN II: Moody's Affirms Ba2 Rating on Class D Notes CARLYLE GLOBAL 2013-3: S&P Affirms B Rating on Class E Notes CIFC FUNDING 2013-I: S&P Affirms BB Rating on Class D Notes CIFC FUNDING 2013-II: S&P Affirms B Rating on Cl. B-3L Notes COMM 2013-GAM: Fitch Affirms BB- Rating on Class F Notes CREST 2004-1: Moody's Affirms C(sf) Ratings on 4 Tranches CSFB MORTGAGE 2003-CPN1: Moody's Hikes Class G Debt Rating to B1 CSFB MORTGAGE 2004-C1: Moody's Cuts Class A-X Debt Rating to Caa3 CWABS 2004-13: Moody's Takes Action on $147MM of Subprime RMBS DRYDEN 43 SENIOR: Moody's Assigns Ba3 Rating on Class E Notes DRYDEN XXII SENIOR: S&P Raises Rating on Class D Notes to BB+ FIRST FRANKLIN 2004-FFA: Moody's Hikes Cl. M3-A Debt Rating to Ba1 FIRST UNION 1999-C2: Moody's Affirms Ca Rating on Class M Certs GALAXY CLO XV: S&P Affirms BB Rating on Class E Notes GREENWICH CAPITAL 2004-GG1: Moody's Affirms Ba2 Cl G Debt Rating HOME PARTNERS 2016-2: Moody's Rates Class E Certs (P)Ba2 JAY PARK CLO: Moody's Assigns Ba3 Rating to Class D Notes JP MORGAN 2003-CIBC6: Moody's Hikes Class J Debt Rating to Ba1 LIBERTY CLO: Moody's Lowers Class C Notes Rating to Caa1 LIME STREET: Moody's Lowers Rating on Class D Notes to Ba2 MERRILL LYNCH 2007-CAN21: Moody's Hikes Cl. G Debt Rating to Ba2 MILL CITY 2016-1: DBRS Assigns Bsf Rating to Class B2 Debt MILL CITY 2016-1: Fitch Assigns 'BBsf' Rating to Class B1 Notes MILL CITY 2016-1: Moody's Assigns Ba1 Rating on Class B1 Notes ML-CFC COMMERCIAL 2006-2: Moody's Hikes Class B Debt Rating to Ba1 MORGAN STANLEY 2013-C12: Moody's Affirms Ba2 Rating on Cl. E Notes MORGAN STANLEY 2014-C18: Fitch Affirms B Rating on Cl. 300-E Notes MRU STUDENT 2008-A: S&P Lowers Rating on 2 Note Classes to B- NEUBERGER BERMAN XV: S&P Affirms BB Rating on Class E Notes PARK AVENUE 2016-1: S&P Assigns BB- Rating on Class D Notes PORTER SQUARE I: Fitch Lowers Rating on Class C Notes to 'Dsf' RAIT CRE I: Moody's Affirms Caa3 Rating on 5 Tranches RITE AID 1999-1: Moody's Hikes Class A-2 Debt Rating to 'B2' SLM STUDENT 2013-5: Fitch Cuts Ratings on 2 Tranches to Bsf SYMPHONY CLO XI: S&P Affirms BB Rating on Class E Notes WELLS FARGO 2016-BNK1 P: Fitch Assigns BB- Rating on Cl. E Certs WFRBS COMMERCIAL 2014-C23: Fitch Affirms B Rating on X-D Certs WRIGHTWOOD CAPITAL 2005-1: Moody's Affirms Ba3 Rating on Cl. B Debt [*] Moody's Hikes $474MM of Subprime RMBS Issued 2001-2005 [*] Moody's Takes Action on $357MM of Alt-A and Option ARM RMBS [*] Moody's Takes Action on $45.4MM of Alt-A RMBS Issued 2004-2005 [*] Moody's Takes Action on $645.3MM of Alt-A and Option ARM RMBS [*] Moody's Takes Action on $924MM of Alt-A RMBS Issued 2004-2007 [*] S&P Completes Review on 13 Classes on 2 US RMBS Transactions [*] S&P Puts Ratings on 5 Tranches From 4 CLO Deals on Watch Neg. [*] S&P Puts Ratings on 58 Tranches From 16 CLO Deals on Watch Pos ********* ACIS CLO 2013-1: S&P Affirms BB Rating on Class E Notes ------------------------------------------------------- S&P Global Ratings affirmed its ratings on the class A-1, A-2A, A-2B, B, C, D, E, F, and combination notes from ACIS CLO 2013-1 Ltd., a U.S. collateralized loan obligation (CLO) transaction that closed in March 2013 and is managed by Acis Capital Management L.P. The rating affirmations follow S&P's review of the transaction's performance using data from the July 2016 trustee report. The transaction is scheduled to remain in its reinvestment period until April 2017. Since the transaction's effective date, the trustee-reported collateral portfolio's weighted average life has decreased to 4.72 years from 5.69 years. This seasoning has decreased the overall credit risk profile, which, in turn, has provided more cushion to the tranche ratings. In addition, the number of obligors in the portfolio increased during this period, which contributed to the portfolio's increased diversification. The transaction has experienced an increase in both defaults and assets rated in the 'CCC' range since the April 2013 effective date report. Specifically, the amount of defaulted assets increased to $1.99 million as of July 2016, from zero as of the April 2013 effective date report. The level of assets rated in the 'CCC' range increased to $46.58 million from $11.35 million over the same period. The increase in defaulted and 'CCC' rated 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 since the April 2013 effective date: -- The class A/B O/C ratio was 130.74%, down from 132.09%. -- The class C O/C ratio was 118.40%, down from 119.63%. -- The class D O/C ratio was 112.62%, down from 113.79%. -- The class E O/C ratio was 107.85%, down from 108.96%. -- The Interest Reinvestment test was 105.55%, down from 105.74% Even with the decline in credit support, all coverage tests are currently passing and are above the minimum requirements. Overall, the increase in defaulted and 'CCC' rated assets has been largely offset by the decline in the weighted average life. However, any significant deterioration in these metrics could negatively affect the deal in the future, especially the junior tranches. As such, 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 the class B, C, D, E, F, and combination notes, S&P's rating actions considered the increase in the defaults and decline in the portfolio's credit quality. In addition, the ratings reflect additional sensitivity runs that considered the exposure to specific distressed industries and allowed for volatility in the underlying portfolio given that the transaction is still in its reinvestment period. 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 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 will take rating actions as S&P deems necessary. RATINGS AFFIRMED ACIS CLO 2013-1 Ltd. Class Rating A-1 AAA (sf) A-2A AAA (sf) A-2B AAA (sf) B AA (sf) C A (sf) D BBB (sf) E BB (sf) F B (sf) Combo A (sf) BANC OF AMERICA 2006-5: Moody's Cuts Class A-J Debt Rating to Caa2 ------------------------------------------------------------------ Moody's Investors Service upgraded the ratings of two classes, affirmed two classes, and downgraded two classes in Banc of America Commercial Mortgage Inc., Commercial Mortgage Pass-Through Certificates, Series 2006-5 as follows: -- Cl. A-1A, Upgraded to Aaa (sf); previously on Feb 25, 2016 Upgraded to Aa1 (sf) -- Cl. A-4, Upgraded to Aaa (sf); previously on Feb 25, 2016 Upgraded to Aa1 (sf) -- Cl. A-M, Affirmed Baa1 (sf); previously on Feb 25, 2016 Affirmed Baa1 (sf) -- Cl. A-J, Downgraded to Caa2 (sf); previously on Feb 25, 2016 Affirmed Caa1 (sf) -- Cl. B, Affirmed C (sf); previously on Feb 25, 2016 Affirmed C (sf) -- Cl. XC, Downgraded to Caa1 (sf); previously on Feb 25, 2016 Downgraded to B2 (sf) RATINGS RATIONALE The ratings on Classes A-1A and A-4 were upgraded based primarily on an increase in credit support resulting from loan paydowns and amortization. The deal has paid down 58% since Moody's last review. The rating on the Class A-J was downgraded primarily due to higher realized losses from specially serviced and troubled loans. The rating on the Class A-M 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 rating on the Class B was affirmed because the ratings are consistent with Moody's expected loss. The rating on the IO Class (Class XC) was downgraded primarily 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 6.9% of the current balance compared to 10.4% at Moody's last review. Moody's base expected loss plus realized losses is now 13.5% of the original pooled balance, compared to 13.4% at the last review. FACTORS THAT COULD 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 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 31 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 August 10, 2016 distribution date, the transaction's aggregate certificate balance has decreased by 75% to $572 million from $2.24 billion at securitization. The certificates are collateralized by 48 mortgage loans ranging in size from less than 1% to 26% of the pool, with the top ten loans (excluding defeasance) constituting 68% of the pool. The pool contains no loans with investment-grade structured credit assessments. Two loans, constituting 1% of the pool, have defeased and are secured by US government securities. Thirty-eight loans, constituting 83% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Forty loans have been liquidated from the pool, contributing to an aggregate realized loss of $262 million (for an average loan loss severity of 57%). Eight loans, constituting 16% of the pool, are currently in special servicing. The largest specially serviced loan is the Camp Group Portfolio Loan ($39 million -- 7% of the pool), which is secured by nine camp properties located in New Hampshire, Maine, New York, Massachusetts and Michigan. The sponsor is one of the largest operators of summer camps in the United States. The loan transferred to special servicing in June 2016 for imminent default after the borrower indicated an inability to refinance the loans. The borrower has recently secured a letter of intent from a lender for refinance of the loans and the servicer is currently working with the borrower to facilitate a post-maturity payoff. The remaining seven specially serviced loans are secured by a mix of property types. Moody's estimates an aggregate $21 million loss for the specially serviced loans (23% expected loss on average). Moody's has assumed a high default probability for three poorly performing loans, constituting 7% of the pool, and has estimated an aggregate loss of $11 million (a 25% expected loss based on a 50% probability default) from these troubled loans. Moody's received full year 2015 operating results for 87% of the pool, and partial year 2016 operating results for 59% of the pool. Moody's weighted average conduit LTV is 94%, essentially unchanged from at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 11.9% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 8.2%. Moody's actual and stressed conduit DSCRs are 1.16X and 0.98X, respectively, compared to 1.27X and 1.05X 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 performing conduit loans represent 41% of the pool balance. The largest loan is the Southern Walgreens Portfolio Loan ($150 million -- 26% of the pool), which represents three cross collateralized and cross defaulted loans secured by 42 Walgreens stores in 16 states. Each property is leased to Walgreens under a bondable 75 year lease with expiration in 2077 and no termination options until 2027. The loan has an anticipated repayment date (ARD) of September 1, 2016. Moody's LTV and stressed DSCR are 93% and 0.76X, respectively, compared to 94% and 0.76X at prior review. The second largest loan is the Puerto Rico Self Storage Portfolio Loan ($52 million -- 9% of the pool). The loan is secured by four self-storage properties located in Puerto Rico. The properties were 77% occupied as of March 2016. The loan is set to mature on September 10, 2016. Moody's LTV and stressed DSCR are 120% and 0.86X, respectively, compared to 111% and 0.88X at the last review. The third largest loan is the Oaks at Park South -- A Note Loan ($31 million -- 5% of the pool). The loan is secured by a 510-unit multifamily property located in Oxon Hill, Maryland, approximately 9 miles south of downtown Washington, DC. The loan is currently on the watchlist. The loan was in special servicing between March 2010 and December 2014 and was returned to the master servicer with a loan modification which included a 30-month maturity extension to March 2019 and the creation of an additional $6.4 million B note which includes unpaid interest and expenses at the time of the modification. Moody's has identified this as a troubled loan. BBCMS 2016-ETC: S&P Assigns BB- Rating on Class E Certificates -------------------------------------------------------------- S&P Global Ratings assigned its ratings to BBCMS 2016-ETC Mortgage Trust's $512.5 million commercial mortgage pass-through certificates series 2016-ETC. The certificate issuance is a commercial mortgage-backed securities transaction backed by a $512.5 million portion of a $700.0 million whole commercial mortgage loan secured by a first-priority mortgage on the borrowers' fee-simple interest in Easton Town Center, a 1.8 million-sq.-ft. (1.3 million-sq.-ft. collateral) outdoor shopping center located in Columbus, Ohio. The ratings reflect S&P's view of the collateral's historical and projected performance, the sponsors' and manager's experience, the trustee-provided liquidity, the loans' terms, and the transaction's structure. S&P determined that the $700.0 million whole loan balance has a beginning and ending loan-to-value of 93.3% based on S&P's estimate for the long-term sustainable value of the collateral backing the transaction. The notional amount of the class X certificates now reflects the principal balance on the class A, B, and C certificates. RATINGS ASSIGNED BBCMS 2016-ETC Mortgage Trust Class Rating Amount ($) A AAA (sf) 150,000,000 X A- (sf) 281,300,000(i) B AA- (sf) 75,000,000 C A- (sf) 56,300,000 D BBB- (sf) 69,000,000 E BB- (sf) 93,700,000 F B- (sf) 68,500,000 (i)Notional balance. The notional amount will be equal to the principal amount of the class A, B, and C certificates. BLUE MOUNTAIN II: Moody's Affirms Ba2 Rating on Class D Notes ------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on these notes issued by Blue Mountain CLO II Ltd: $215,000,000 Class A Senior Floating Rate Notes Due 2018 (current outstanding balance of $46,508,827), Affirmed Aaa (sf); previously on July 16, 2014, Affirmed Aaa (sf) $80,000,000 Class A-2 Senior Delayed Draw Floating Rate Notes Due 2018 (current outstanding balance of $17,305,610), Affirmed Aaa (sf); previously on July 16, 2014, Affirmed Aaa (sf) $23,000,000 Class B Senior Floating Rate Notes Due 2018, Affirmed Aa1 (sf); previously on July 16, 2014, Affirmed Aa1 (sf) $24,000,000 Class C Deferrable Mezzanine Floating Rate Notes Due 2018, Affirmed Baa1 (sf); previously on July 16, 2014, Affirmed Baa1 (sf) $15,500,000 Class D Deferrable Mezzanine Floating Rate Notes Due 2018, Affirmed Ba2 (sf); previously on July 16, 2014, Affirmed Ba2 (sf) $11,500,000 Class E Deferrable Junior Floating Rate Notes Due 2018, Affirmed Caa1 (sf); previously on July 16, 2014, Downgraded to Caa1 (sf) Blue Mountain CLO II Ltd., issued in July 2006, is a collateralized loan obligation (CLO) backed primarily by a portfolio of senior secured loans. The transaction's reinvestment period ended in September 2012. RATINGS RATIONALE These rating affirmations are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since August 2015. The Class A and Class A-2 Notes have been paid down by approximately 55.5% or 79.6 million since then. Based on the trustee's July 2016 report, the OC Ratios for the Class B, Class D, and Class E notes are reported at 180.10%, 123.78%, and 113.45%, respectively, versus August 2015 levels of 141.76%, 114.57%, and 108.51%, respectively. Notwithstanding the benefits of deleveraging, Moody's affirmed the rating on each class of notes owing to market risk stemming from exposure to assets that mature after the notes do (long-dated assets). The underlying portfolio includes a significant number of long-dated assets. Based on the trustee's July 2016 report, long-dated assets currently make up $91.4 million, or 57.21% 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. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. Realization of higher than assumed recoveries would positively impact the CLO. 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. The deal's increased exposure owing to amendments to loan agreements extending maturities continues. In light of the deal's sizable exposure to long-dated assets, which increases its sensitivity to the liquidation assumptions in the rating analysis, Moody's ran scenarios using a range of liquidation value assumptions. However, actual long-dated asset exposures and prevailing market prices and conditions at the CLO's maturity will drive the deal's actual losses, if any, from long-dated assets. 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% (1951) Class A: 0 Class A-2: 0 Class B: 0 Class C: +2 Class D: 0 Class E: 0 Moody's Adjusted WARF + 20% (2923): Class A: 0 Class A-2: 0 Class B: 0 Class C: -1 Class D: 0 Class E: 0 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 $156.1 million, defaulted par of $3.60 million, a weighted average default probability of 8.74% (implying a WARF of 2439), a weighted average recovery rate upon default of 50.29%, a diversity score of 25 and a weighted average spread of 3.12% (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. In each case, historical and market performance and the collateral manager's latitude for trading the collateral are also factors. CARLYLE GLOBAL 2013-3: S&P Affirms B Rating on Class E Notes ------------------------------------------------------------ S&P Global Ratings affirmed its ratings on the class A-1A, A-1B, A-2A, A-2B, B, C, D, E, and P notes from Carlyle Global Market Strategies CLO 2013-3 Ltd., a U.S. collateralized loan obligation (CLO) transaction that closed in June 2013 and is managed by Carlyle Investment Management LLC. The rating actions follow S&P's review of the transaction's performance using data from the July 25, 2016, trustee report. The transaction is scheduled to remain in its reinvestment period until July 2017. Since the transaction's effective date in October 2013, the trustee-reported collateral portfolio's weighted average life has decreased to 4.62 years from 5.72 years. This seasoning, combined with improved credit quality, has decreased the overall credit risk profile, which, in turn, provided more cushion to the tranche ratings. However, the transaction has also experienced an increase in defaults and assets rated 'CCC+' and below since the effective date. Specifically, the amount of defaulted assets increased to $1.62 million (0.34% of the aggregate principal balance) as of July 2016, from zero as of the effective date report. The level of assets rated 'CCC+' and below increased to $18.03 million (3.79% of the aggregate principal balance) from $3.64 million (0.73% of the aggregate principal balance) 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 since the effective date: -- The class A O/C ratio was 135.48%, down from 136.48%. -- The class B O/C ratio was 121.37%, down from 122.27%. -- The class C O/C ratio was 114.70%, down from 115.56%. -- The class D O/C ratio was 108.62%, down from 109.42%. 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 collateral portfolio's decreased weighted average life and positive credit migration. However, any significant deterioration in these metrics could negatively affect the deal in the future, especially the junior tranches. As such, the affirmed class A-1A, A-1B, A-2A, A-2B, B, C, D, and E 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 indicated higher ratings for the classes A-2A, A-2B, B, C, and D notes, its rating actions consider additional sensitivity runs that allowed for volatility in the underlying portfolio given that the transaction is still in its reinvestment period. On a stand-alone basis, the results of the cash flow analysis indicated a lower rating on the class E notes than the rating action reflects. However, S&P affirmed the rating on class E after considering the margin of failure and the relatively minor decline in O/C ratios since the transaction's effective date. S&P also considered that the transaction will soon enter its amortization phase. As such, S&P expect the credit support available to the notes to increase as principal is collected and paydowns to the senior notes occur. S&P affirmed its rating on the class P notes based on the current rating of the underlying zero coupon bond issued by Citigroup Inc. that backs the principal portion of the notes. 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 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 will take rating actions as S&P deems necessary. RATINGS AFFIRMED Carlyle Global Market Strategies CLO 2013-3 Ltd. Class Rating A-1A AAA (sf) A-1B AAA (sf) A-2A AA (sf) A-2B AA (sf) B A (sf) C BBB (sf) D BB (sf) E B (sf) P(i) BBB+ (p)(sf) (i)The class P securities consist of approximately $1.50 million in subordinated notes and a zero-coupon note issued by Citigroup Inc. due July 10, 2020, with a total face value of $10.00 million. The 'p' subscript indicates that the rating addresses only the principal portion of the obligation. CIFC FUNDING 2013-I: S&P Affirms BB Rating on Class D Notes ----------------------------------------------------------- S&P Global Ratings raised its rating on the class A-2 notes and affirmed its ratings on the class A-1, B, C, D, and E notes from CIFC Funding 2013-I Ltd., a U.S. collateralized loan obligation (CLO) transaction that closed in March 2013 and is managed by CIFC Asset Management LLC. The rating actions follow S&P's review of the transaction's performance, using data from the July 6, 2016, trustee report. The transaction is scheduled to remain in its reinvestment period until April 2017. The upgrade primarily reflects credit quality improvement in the underlying collateral since S&P's effective date rating affirmations in January 2014. The transaction has also benefited from collateral seasoning, with the reported weighted average life decreasing to 4.70 years from 5.37 years in July 2013. This seasoning, combined with the improved credit quality (evident in the weighted average rating rising to 'B+' from 'B'), has decreased the overall credit risk profile, which, in turn, provided more cushion to the tranche ratings. In addition, the number of issuers in the portfolio has increased during this period, and the resultant diversification of the portfolio also contributed to the credit quality improvement. The transaction has experienced an increase in both defaults and assets rated 'CCC+' and below since the July 2013 effective date report. Specifically, the amount of defaulted assets increased to $4.04 million from none as of the effective date report. The level of assets rated 'CCC+' and below increased to $23.8 million from $9.6 million over the same period. Overall, the increase in defaulted assets and assets rated 'CCC+' and below has been largely offset by the decline in the weighted average life and positive portfolio credit migration of the collateral portfolio. 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 mild decline in the overcollateralization (O/C) ratios: -- The class A O/C ratio was 138.73%, down from the 139.49% reported in July 2013. -- The class B O/C ratio was 122.57%, down from 123.24%. -- The class C O/C ratio was 114.66%, down from 115.29%. -- The class D O/C ratio was 108.98%, down from 109.57%. -- The class E O/C ratio was 106.59%, down from 107.17%. However, the current coverage test ratios are all passing and well above their minimum threshold values. The upgrade of the rating on the class A-2 notes considers the overcollateralization supporting the notes in comparison to other transactions with similar diversity, weighted averaged ratings, and portfolio overlap. S&P's cash flow analysis indicated higher ratings for the class B and C notes; however, its rating actions take into account additional sensitivity runs that considered the exposure to specific distressed industries and allowed for volatility in the underlying portfolio given that the transaction is still in its reinvestment period. Although the cash flow results indicated a lower rating for the class E notes, S&P views the overall credit seasoning as an improvement to the transaction and also considered the relatively stable O/C ratios that currently have significant cushion over their minimum requirements. The affirmations of the ratings on the class A-1, B, C, D, and E 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 will take rating actions as S&P deems necessary. RATINGS LIST CIFC Funding 2013-I Ltd. Rating Class Identifier To From A-1 12549AAA8 AAA (sf) AAA (sf) A-2 12549AAC4 AA+ (sf) AA (sf) B 12549AAE0 A (sf) A (sf) C 12549AAG5 BBB (sf) BBB (sf) D 12548FAA8 BB (sf) BB (sf) E 12548FAC4 B (sf) B (sf) CIFC FUNDING 2013-II: S&P Affirms B Rating on Cl. B-3L Notes ------------------------------------------------------------ S&P Global Ratings affirmed its ratings on the class A-1L, A-2L, A-2F, A-3L, B-1L, B-2L, and B-3L notes from CIFC Funding 2013-II Ltd., a U.S. collateralized loan obligation (CLO) transaction that closed in June 2013 and is managed by CIFC Asset Management LLC. The rating actions follow S&P's review of the transaction's performance using data from the July 2016 trustee report. The transaction is scheduled to remain in its reinvestment period until July 2017. Since the transaction's effective date analysis, the portfolio's credit quality has improved, as evident in the weighted average rating rising to 'B+' from 'B' and collateral seasoning. The trustee-reported portfolio weighted average life has also decreased to 4.58 years from 5.37 years. These factors have decreased the overall credit risk profile. The number of obligors in the portfolio also increased during this period, which contributed to its increased diversification. That said, the transaction has also experienced an increase in both defaults and assets rated 'CCC+' and below since the November 2013 trustee report, which S&P used for its effective date analysis. Specifically, the amount of defaulted assets increased to $5.1 million (0.8% of the aggregate principal balance) as of July 2016, from none as of the November 2013 report. The level of assets rated 'CCC+' and below increased to $35.6 million (5.7% of the aggregate principal balance) from $11.6 million over the same period. Furthermore, according to the July 2016 trustee report, the overcollateralization (O/C) ratios for each class have exhibited mild declines since the November 2013 trustee report: -- The class A-2 O/C ratio was 133.44%, down from 134.35%. -- The class A O/C ratio was 119.89%, down from 120.70%. -- The class B-1L O/C ratio was 112.72%, down from 113.49%. -- The class B-2L O/C ratio was 106.78%, down from 107.50%. Even with the decline in credit support, all coverage tests are currently passing and are above the minimum requirements. However, any significant deterioration in the O/C or other aforementioned metrics could negatively affect the deal in the future, especially the junior tranches. As such, the affirmed ratings reflect S&P's belief that the credit support available is commensurate with the current rating levels. On a standalone basis, the results of the cash flow analysis indicated a higher rating on the class A-2F, A-2L, A-3L, and B-1L notes. However, though the portfolio's overall credit quality has improved, due to the transaction's exposure to 'CCC' rated collateral obligations and loans from companies in the energy and commodities sectors (which have come under significant pressure from falling oil and commodity prices in the past year), S&P affirmed the ratings to offset any future potential credit migration in the underlying collateral. Although the cash flow results indicated a lower rating for the class B-3L notes, as mentioned above, there has been an improvement in the portfolio's overall credit quality and the O/C ratios have remained relatively stable, with significant cushion over their minimum requirements. Overall, the aforementioned positive and negative factors largely offset each other. However, any increase in defaults and/or par losses could lead to potential negative rating actions on the class B-3L notes in the future. "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the aforementioned trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions," 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 will take rating actions as S&P deems necessary. RATINGS AFFIRMED CIFC Funding 2013- II Ltd. Class Rating A-1L AAA (sf) A-2F AA (sf) A-2L AA (sf) A-3L A (sf) B-1L BBB (sf) B-2L BB- (sf) B-3L B (sf) COMM 2013-GAM: Fitch Affirms BB- Rating on Class F Notes -------------------------------------------------------- Fitch Ratings has affirmed all classes of COMM 2013-GAM Mortgage Trust and maintained the Stable Outlook. KEY RATING DRIVERS The trust certificates represent the beneficial interests in a mortgage loan secured by the Green Acres Mall property located in Valley Stream, NY. The eight-year fixed-rate (3.43%) amortizing loan matures in February 2021. The affirmations are the result of sufficient credit enhancement and overall stable performance since issuance. The servicer-reported year-end 2015 (YE2015) debt service coverage ratio (DSCR) was 1.83x, compared to 1.91x YE2014 and 1.76x at issuance. Per the first-quarter 2016 (1Q16) rent roll, the property was 97.7% occupied, compared to 97.6% at YE2015, 98.1% at YE2014 and 96% at issuance. The property has been under renovation / redevelopment since May 2014 as outlined by the loan sponsor, Macerich, at issuance, to improve the appeal of the property and to attract more national retailers. Century 21 Department Store (4% net rentable area) has signed a 10-year lease and opened in October 2015. More new stores are expected to open at the premises. Fluctuation in occupancy and cash flow are expected during the process as the sponsor is working to re-tenant the spaces. The Green Acres Mall is a 1,811,441 square foot (sf) enclosed two-level regional mall located on Sunrise Highway in Valley Stream, NY. The anchor tenants include BJ's Wholesale Club, JC Penney, Kohl's, Macy's, Macy's Men's/Furniture, Sears, Wal-Mart (subject to ground lease), as well as the recent opened Century 21 Department Store, all of which are part of the collateral. Major in-line tenants include Michael's, Modell's Sporting Goods, Old Navy, H&M, Express, and Victoria's Secret. The subject property is located in one of the most densely populated areas of Nassau County, providing a strong shopper base for the mall. Although there are three other malls located within an approximate 15-mile radius, the property's in-line sales continue to remain strong despite the potential competition. Comparable in-line sales were $640 per square foot (psf ) as of trailing 12 months (TTM) March 2016, compared with $650 psf at YE2015, $580 psf at YE2014, $545 psf at YE2013 and $501 psf at issuance. Per the 2Q16 Reis report, the Long Island retail market had a vacancy rate of 6.2% with average asking rents of $27.96 psf. The mall average in-place rent is above market at $57.07 psf as of TTM March 2016. As of the August 2016 remittance report, the transaction has paid down 6.8% to $302.5 million, from $324.4 million at issuance. As part of its review, Fitch analyzed the performance of the loan and its underlying collateral. Fitch modeled cash flow based on YE2015 financials, as well as the March 2016 rent roll. As part of its analysis, Fitch looked at certain scenarios which stressed the cash flow by excluding revenue from several tenants with lease rollover in 2016. The Fitch stressed DSCR for the loan is 1.23x, compared with 1.11x at issuance. The Fitch stressed loan-to-value ratio is 71.8%, which is based on capitalization of the Fitch-adjusted net cash flow at a rate of 7.5%, compared to 79.7% at issuance. The improvement in performance indicators reflects slightly improved cash flow, as well as amortization since issuance. RATING SENSITIVITIES The Stable Outlooks for all rated classes indicates no near-term rating actions are expected unless there are material changes in property performance, including any significant changes to cash flow. Based on property performance over the past several years, cash flow has improved since issuance. However, given the fluctuation in historical cash flow on a year-to-year basis, a more consistent cash flow trend showing sustainable improvement is needed before upgrades to classes rated 'AA' and below would be considered. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third-party due diligence was provided or reviewed in relation to this rating action. Fitch has affirmed these classes: -- $33.2 million A-1 at 'AAAsf'; Outlook Stable; -- $154.9 million class A-2 at 'AAAsf'; Outlook Stable; -- IO class X-A at 'AAAsf'; Outlook Stable; -- $26 million class B at 'AA-sf'; Outlook Stable; -- $17 million class C at 'Asf'; Outlook Stable; -- $24.8 million class D at 'BBBsf'; Outlook Stable; -- $19 million class E at 'BBB-sf'; Outlook Stable; -- $27.6 million class F at 'BB-sf'; Outlook Stable. CREST 2004-1: Moody's Affirms C(sf) Ratings on 4 Tranches --------------------------------------------------------- Moody's Investors Service has upgraded the rating on the following note issued by Crest 2004-1. Collateralized Debt Obligations: -- Cl. D, Upgraded to Baa3 (sf); previously on Sep 17, 2015 Upgraded to Ba1 (sf) Moody's has also affirmed the ratings on the following notes: -- Cl. E-1, Affirmed Caa3 (sf); previously on Sep 17, 2015 Upgraded to Caa3 (sf) -- Cl. E-2, Affirmed Caa3 (sf); previously on Sep 17, 2015 Upgraded to Caa3 (sf) -- Cl. F, Affirmed C (sf); previously on Sep 17, 2015 Affirmed C (sf) -- Cl. G-1, Affirmed C (sf); previously on Sep 17, 2015 Affirmed C (sf) -- Cl. G-2, Affirmed C (sf); previously on Sep 17, 2015 Affirmed C (sf) -- Cl. H-1, Affirmed C (sf); previously on Sep 17, 2015 Affirmed C (sf) -- Cl. H-2, Affirmed C (sf); previously on Sep 17, 2015 Affirmed C (sf) RATINGS RATIONALE Moody's has upgraded the rating of one class of notes due to greater certainty about the timing of the expected full repayment of the tranche. Moody's has affirmed the ratings on seven classes of notes because its key transaction metrics are commensurate with existing ratings. The affirmation is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO and ReRemic) transactions. Crest 2004-1 is a static cash transaction backed by a portfolio of: i) commercial mortgage backed securities (CMBS) (96.0% of the current pool balance); and ii) and CRE CDOs (4.0%). As of the July 25, 2016 note valuation report, the aggregate note balance of the transaction, including preferred shares, has decreased to $165.7 million compared to $428.5 million at issuance, with pay down directed to the senior most outstanding class of notes as a result of scheduled amortization as well as the failure of certain par value tests. The pool contains seventeen assets totaling $39.5 million (76.2% of the collateral pool balance) that are listed as defaulted securities as of the trustee's July 29, 2016 report. While there have been realized losses on the underlying collateral to date, Moody's does expect significant losses to occur on the defaulted securities. Moody's has identified the following as key indicators of the expected loss in CRE CDO transactions: the weighted average rating factor (WARF), the weighted average life (WAL), the weighted average recovery rate (WARR), and Moody's asset correlation (MAC). Moody's typically models these as actual parameters for static deals and as covenants for managed deals. WARF is a primary measure of the credit quality of a CRE CDO pool. Moody's has updated its assessments for the collateral it does not rate. The rating agency modeled a bottom-dollar WARF of 4655, compared to 4771 at last review. The current ratings on the Moody's-rated collateral and the assessments of the non-Moody's rated collateral follow: Aaa-Aa3 (13.5% compared to 9.1% at last review), A1-A3 (1.1% compared to 5.4% at last review), Baa1-Baa3 (2.0% compared to 6.5% at last review), Ba1-Ba3 (21.4% compared to 22.9% at last review), B1-B3 (9.4% compared to 7.3% at last review) and Caa1-Ca/C (52.5% compared to 48.8% at last review). Moody's modeled a WAL of 1.3 years, compared to 1.7 years at last review. The WAL is based on assumptions about extensions on the loans within underlying collateral. Moody's modeled a fixed WARR of 0.0%, same as that at last review. Moody's modeled a MAC of 0.0%, compared to 5.5% at last review. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Approach to Rating SF CDOs" published in July 2015. Factors that would lead to an upgrade or downgrade of the ratings: The performance of the notes is subject to uncertainty, because it is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that are subject to change. The servicing decisions of the master and special servicer and surveillance by the operating advisor with respect to the collateral interests and oversight of the transaction will also affect the performance of the rated notes. Moody's Parameter Sensitivities: Changes to any one or more of the key parameters could have rating implications for some of the rated notes, although a change in one key parameter assumption could be offset by a change in one or more of the other key parameter assumptions. The rated notes are particularly sensitive to changes in the recovery rates of the underlying collateral and credit assessments. Holding all other parameters constant, increasing the recovery rates of 100% of the collateral pool by 10% would result in an average modeled rating movement on the rated notes of zero to one notch upward (e.g., one notch up implies a ratings movement of Baa3 to Baa2). The primary sources of uncertainty in Moody's assumptions are the extent of growth in the current macroeconomic environment given the weak recovery and certain commercial real estate property markets. Commercial real estate property values continue to improve modestly, along with a rise in investment activity and stabilization in core property type performance. Limited new construction and moderate job growth have aided this improvement. However, sustained growth will not be possible until investment increases steadily for a significant period, non-performing properties are cleared from the pipeline and fears of a euro area recession abate. CSFB MORTGAGE 2003-CPN1: Moody's Hikes Class G Debt Rating to B1 ---------------------------------------------------------------- Moody's Investors Service has upgraded one, downgraded one and affirmed the ratings one class in Credit Suisse First Boston Mortgage Securities Corp. Commercial Mortgage Pass-Through Certificates, Series 2003 CPN 1 as follows. Moody's has also assigned a rating to one previously withdrawn class.: -- Cl. G, Upgraded to B1 (sf); previously on Feb 25, 2016 Affirmed Caa3 (sf) -- Cl. H, Assigns to C (sf); previously on August 21, 2015 Withdrawn (sf) -- Cl. A-X, Downgraded to C (sf); previously on February 25, 2015 Affirmed Caa3 (sf) -- Cl. A-Y, Affirmed Aaa (sf); previously on Feb 25, 2016 Affirmed Aaa (sf) RATINGS RATIONALE The rating on 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 95% since Moody's last review. Class H was assigned a rating C (sf) following the reinstatement of principal to the class as reflected in the trustee's report dated March 15, 2016. Class H previously had a zero balance. Due to the zero balance, in a prior action on August 21, 2015, Moody's withdrew its rating for the Class. Prior to the withdrawal, the Class had a rating of C (sf). The rating on the IO class, class A-X, was downgraded due to the bond having expected future excess interest payments of zero. The rating on the IO class, class A-Y, was affirmed based on the structured credit assessments of its referenced loans. Moody's rating action reflects a base expected loss of 0.0% of the current balance, compared to 1.0% at Moody's last review. Moody's base expected loss plus realized losses is now 9.2% of the original pooled balance, compared to 9.5% at the last review. 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. “Our ratings reflect the potential for future losses under varying levels of stress.” Moody's said. Please note that on June 30, 2016, Moody's released a "Request for Comment" in which it has requested market feedback on potential clarifications to its methodology for rating IO securities called "Moody's Approach to Rating Structured Finance Interest-Only Securities," dated October 20, 2015. If the revised Credit Rating Methodology is implemented as proposed, we would withdraw the Credit Rating on Class A-X as this bond has expected future excess interest payments of zero and the obligation has in effect matured. Please refer to Moody's Request for Comment, titled "Interest-Only (IO) Securities" for further details regarding the implications of the proposed Credit Rating Methodology revisions on certain Credit Ratings. 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 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 one, compared to two 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 July 15, 2016 distribution date, the transaction's aggregate certificate balance has decreased by 99% to $527 thousand from $1.01 billion at securitization. The certificates are collateralized by eight mortgage loans ranging in size from less than 1% to 60% of the pool. The eight mortgage loans in the pool are secured by residential cooperative properties, primarily located in New York City. Three of the co-op loans, representing 40.4% of the pool, have defeased and are collateralized by U.S. Government securities. The co-op loans have a structured credit assessment of aaa (sca.pd), the same as last review. One co-op loan, constituting 6% 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. Eleven loans have been liquidated from the pool, resulting in an aggregate realized loss of $92.6 million (for an average loss severity of 64%). No loans are currently in special servicing. Moody's received full year 2014 operating results for 100% of the pool, and full year 2015 operating results for 60% of the pool. CSFB MORTGAGE 2004-C1: Moody's Cuts Class A-X Debt Rating to Caa3 ----------------------------------------------------------------- Moody's Investors Service has upgraded the rating on one class, affirmed the rating on one class, and downgraded the ratings on two classes of Credit Suisse First Boston Mortgage Securities Corp., Commercial Mortgage Pass-Through Certificates, Series 2004-C1 as follows: -- Cl. G, Upgraded to Baa1 (sf); previously on Oct 9, 2015 Affirmed Ba1 (sf) -- Cl. H, Downgraded to Ca (sf); previously on Oct 9, 2015 Affirmed Caa2 (sf) -- Cl. A-X, Downgraded to Caa3 (sf); previously on Oct 9, 2015 Affirmed Caa2 (sf) -- Cl. A-Y, Affirmed Aaa (sf); previously on Oct 9, 2015 Affirmed Aaa (sf) RATINGS RATIONALE The rating on Class G was upgraded based primarily on an increase in credit support resulting from loan paydowns and amortization. The deal has paid down 58% since Moody's last review. The rating on Class H was downgraded due to an increase in realized losses. Class H has already experienced a 53% realized loss as result of previously liquidated loans. The rating one IO class, Class A-X, was downgraded due to the decline in the credit performance of its referenced classes resulting from principal paydowns of higher quality referenced classes. The rating one IO class, Class A-Y, was affirmed based on the credit performance (or the weighted average rating factor or WARF) of the referenced loans. Moody's rating action reflects a base expected loss of 0% of the current balance, compared to 22.7% at Moody's last review. 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. Our ratings reflect the potential for future losses under varying levels of stress. Moody's base expected loss plus realized losses is now 4.3% of the original pooled balance, compared to 3.9% 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. 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 4, compared to 3 at 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 August 17, 2016 distribution date, the transaction's aggregate certificate balance has decreased by 99% to $21.8 million from $1.62 billion at securitization. The certificates are collateralized by 10 mortgage loans ranging in size from less than 1% to 37% of the pool. Two loans, constituting 8.8% of the pool, have investment-grade structured credit assessments. One loan, constituting 17.4% of the pool, has defeased and is secured by US government securities. Three loans, constituting 41% 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-one loans have been liquidated from the pool, resulting in an aggregate realized loss of $70.4 million (for an average loss severity of 59%). No loans are currently in special servicing. Moody's received full year 2015 operating results for 88% of the pool and full year 2014 operating results for 100% of the pool. Moody's weighted average conduit LTV is 64%, compared to 63% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 11% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.4%. Moody's actual and stressed conduit DSCRs are 1.42X and 1.99X, respectively, compared to 1.45X and 1.93X 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 structured credit assessments are associated with two residential cooperative loans which represent $1.9 million in total loan balance, or a 8.8% share of the overall pool balance. Moody's credit assessment for these loans is aaa (sca.pd). The top three conduit loans represent 58% of the pool balance. The largest loan is the Irving Towne Center Loan ($8.2 million -- 37% of the pool), which is secured by a Target shadow-anchored retail center located in Irving, Texas. Major tenants include Tuesday Morning, Anna's Linens, and Chili's. The property was 62% leased as of May 2016, compared to 82% leased as of June 2015. The borrower is currently working to lease up the vacant space. The loan fully amortizes over its term and has amortized 30% since securitization. Moody's LTV and stressed DSCR are 71% and 1.49X, respectively, compared to 66% and 1.59X at the last review. The second largest loan is the Chapel Ridge of Stillwater Phase I Loan ($2.8 million -- 13% of the pool), which is secured by a 120-unit multifamily property located approximately 70 miles north of Oklahoma City. The property was 98% leased as of December 2015, compared to 94% leased at last review. Moody's LTV and stressed DSCR are 66% and 1.49X, respectively, compared to 69% and 1.41X at the last review. The third largest loan is the Amistad Apartments Loan ($1.6 million -- 7.4% of the pool), which is by a 76-unit multifamily property in Donna, Texas, about 250 miles south of San Antonio and less than ten miles north of the US-Mexico border. The property was 96% leased as of July 2016, the same as at the prior review. Moody's LTV and stressed DSCR are 71% and 1.42X, respectively, compared to 74% and 1.35X at the last review. CWABS 2004-13: Moody's Takes Action on $147MM of Subprime RMBS -------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 8 tranches and assigned ratings to two tranches issued by CWABS Asset-Backed Certificates Trust 2004-13, a transaction backed by Subprime RMBS loans. Complete rating actions are: Issuer: CWABS Asset-Backed Certificates Trust 2004-13 Cl. AF-5A, Upgraded to Baa2 (sf); previously on July 22, 2016, Baa3 (sf) Placed Under Review for Possible Upgrade Cl. AF-5B, Upgraded to Baa2 (sf); previously on July 22, 2016, Baa3 (sf) Placed Under Review for Possible Upgrade Cl. AF-6, Upgraded to A3 (sf); previously on July 22, 2016, Baa1 (sf) Placed Under Review for Possible Upgrade Cl. MF-1, Upgraded to B1 (sf); previously on July 22, 2016, B2 (sf) Placed Under Review for Possible Upgrade Cl. MF-2, Upgraded to Caa3 (sf); previously on March 6, 2013, Affirmed C (sf) Cl. MF-6, Assigned to C (sf); previously on Oct. 16, 2015, C (sf) Withdrawn Cl. MV-4, Upgraded to Baa3 (sf); previously on July 22, 2016, Ba3 (sf) Placed Under Review for Possible Upgrade Cl. MV-5, Upgraded to Ba3 (sf); previously on July 22, 2016, B3 (sf) Placed Under Review for Possible Upgrade Cl. MV-6, Upgraded to B3 (sf); previously on March 6, 2013, Affirmed C (sf) Cl. MV-8, Assigned to C (sf); previously on May 7, 2014, C (sf) Withdrawn RATINGS RATIONALE The rating upgrades are primarily due to receipt of approximately $21.7 Million from the $8.5 Billion CWRMBS settlement and the related increase in the total credit enhancement available to the bonds. The assignment of ratings to the Class MF-6 and MV-8 reflect the fact that the prior ratings had been withdrawn as these tranches were previously written down due to losses, but the tranches have since been partially written back up due to the settlement proceeds. The assigned ratings reflect their reinstated balances. The rating actions conclude the review actions for this transaction announced on July 22, and reflect the recent performance of the underlying pools and Moody's updated loss expectation on these pools. In addition, today's rating actions reflect corrections to the cash-flow model used by Moody's in rating this transaction. In the previous actions, loan group 2 excess spread had been allocated to group 1 tranches, and loan group 1 excess spread had been allocated to group 2 tranches. This has been corrected, thereby changing modeled future excess spread benefit for these tranches. Although the correction had a small negative impact on the rating of Class MF-1, this has been offset by the total available 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 4.9% in July 2016 from 5.3% in July 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. DRYDEN 43 SENIOR: Moody's Assigns Ba3 Rating on Class E Notes ------------------------------------------------------------- Moody's Investors Service has assigned ratings to six classes of notes issued by Dryden 43 Senior Loan Fund. Moody's rating action is: $381,000,000 Class A Senior Secured Floating Rate Notes due 2029 Assigned Aaa (sf) $4,800,000 Class X Amortizing Senior Secured Floating Rate Notes due 2029, Assigned Aaa (sf) $75,000,000 Class B Senior Secured Floating Rate Notes due 2029 Assigned Aa2 (sf) $33,000,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2029, Assigned A2 (sf) $33,000,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2029, Assigned Baa3 (sf) $30,000,000 Class E Junior Secured Deferrable Floating Rate Notes due 2029, Assigned Ba3 (sf) The Class A Notes, the Class X 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. Dryden 43 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. The portfolio is approximately 97% ramped as of the closing date. PGIM, 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 five 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: $600,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 2750 Weighted Average Spread (WAS): 3.70% Weighted Average Coupon (WAC): 7.5% Weighted Average Recovery Rate (WARR): 47.5% Weighted Average Life (WAL): 9 years. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in 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 2750 to 3163) Rating Impact in Rating Notches Class A Notes: 0 Class X Notes: 0 Class B Notes: -2 Class C Notes: -2 Class D Notes: -1 Class E Notes: 0 Percentage Change in WARF -- increase of 30% (from 2750 to 3575) Rating Impact in Rating Notches Class A Notes: -1 Class X Notes: 0 Class B Notes: -3 Class C Notes: -4 Class D Notes: -2 Class E Notes: -1 DRYDEN XXII SENIOR: S&P Raises Rating on Class D Notes to BB+ ------------------------------------------------------------- S&P Global Ratings raised its ratings on the class A-2R, B-R, C-R, and D notes from Dryden XXII Senior Loan Fund, a U.S. collateralized loan obligation (CLO) transaction that closed in December 2011 and is managed by Prudential Investment Management Inc. At the same time, S&P affirmed its 'AAA (sf)' rating on the class A-1R notes from the same transaction. Dryden XXII Senior Loan Fund completed a refinancing of the class A, B, and C notes in January 2014, at which time the B-1 and B-2 notes were combined into class B-R. The class D notes were not included in the refinancing. The rating actions follow S&P's review of the transaction's performance using data from the June 30, 2016 trustee report. The upgrades reflect the transaction's $15.95 million in paydowns to the class A-1R notes. This has increased the reported class A overcollateralization (O/C) ratio when compared to the January 2014 refinancing. -- The class A O/C ratio improved to 137.11% from 136.15%. -- The class B O/C ratio declined to 122.63% from 122.70%. -- The class C O/C ratio declined to 115.77% from 116.26%. -- The class D O/C ratio declined to 110.34% from 111.13%. While the O/C ratios have declined slightly during the same period for classes B, C, and D, they have improved since the transaction's effective date in January 2012, and it is expected that they will continue to increase as principal proceeds are received and used to pay down the balance of the senior notes. The transaction has also benefited from collateral seasoning, with the reported weighted average life decreasing to 3.80 years from 5.23 years in January 2014. This seasoning, combined with stable credit quality, has decreased the overall credit risk profile, which, in turn, provided more cushion to the tranche ratings. On a standalone basis, the results of the cash flow analysis indicated a higher rating on the class B-R, C-R, and D notes. However, because the transaction currently has some exposure to 'CCC' rated collateral obligations and loans from companies in the energy and commodities sectors (which have come under significant pressure from falling oil and commodity prices in the past year), S&P limited the upgrade on some classes to offset future potential credit migration in the underlying collateral. 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 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 will take rating actions as it deems necessary. RATINGS RAISED Dryden XXII Senior Loan Fund Rating Class To From A-2R AAA (sf) AA (sf) B-R AA- (sf) A (sf) C-R BBB+ (sf) BBB (sf) D BB+ (sf) BB (sf) RATINGS AFFIRMED Dryden XXII Senior Loan Fund Class Rating A-1R AAA (sf) FIRST FRANKLIN 2004-FFA: Moody's Hikes Cl. M3-A Debt Rating to Ba1 ------------------------------------------------------------------ Moody's Investors Service has upgraded the rating of five tranches from two deals backed by second-lien RMBS loans. Complete rating actions are as follows: Issuer: Bear Stearns Second Lien Trust 2007-SV1 -- Cl. A-2, Upgraded to Baa3 (sf); previously on Oct 19, 2015 Upgraded to Ba2 (sf) -- Underlying Rating: Upgraded to Baa3 (sf); previously on Oct 19, 2015 Upgraded to Ba2 (sf) -- Financial Guarantor: Syncora Guarantee Inc. (Insured Rating Withdrawn Nov 08, 2012) -- Cl. A-3, Upgraded to Baa3 (sf); previously on Oct 19, 2015 Upgraded to Ba2 (sf) -- Underlying Rating: Upgraded to Baa3 (sf); previously on Oct 19, 2015 Upgraded to Ba2 (sf) -- Financial Guarantor: Syncora Guarantee Inc. (Insured Rating Withdrawn Nov 08, 2012) -- Cl. M-1, Upgraded to Ca (sf); previously on Jul 15, 2009 Downgraded to C (sf) Issuer: First Franklin Mortgage Loan Trust 2004-FFA -- Cl. M3-A, Upgraded to Ba1 (sf); previously on Oct 19, 2015 Upgraded to Ba2 (sf) -- Cl. M3-F, Upgraded to Ba1 (sf); previously on Oct 19, 2015 Upgraded to Ba2 (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. The ratings upgraded are primarily the result of an increase in credit enhancement available to the bonds. 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 4.9% in July 2016 from 5.3% in July 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. FIRST UNION 1999-C2: Moody's Affirms Ca Rating on Class M Certs --------------------------------------------------------------- Moody's Investors Service has affirmed the rating on one class, upgraded the rating on one class and downgraded the rating on one class in First Union National Bank-Chase Manhattan Bank Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 1999-C2 as: Cl. L, Upgraded to Aa2 (sf); previously on March 17, 2016, Upgraded to A1 (sf) Cl. M, Affirmed Ca (sf); previously on March 17, 2016, Upgraded to Ca (sf) Cl. IO, Downgraded to Caa3 (sf); previously on March 17, 2016, Affirmed Caa2 (sf) RATINGS RATIONALE The rating on the Class L was upgraded based primarily on an increase in credit support resulting from loan paydowns and amortization. The deal has paid down 34% since Moody's last review. The rating on the Class M was affirmed because the rating is consistent with Moody's expected loss. The rating on the IO Class (Class IO) 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 16.8% of the current balance, compared to 6.7% at Moody's last review. Moody's base expected loss plus realized losses is now 2.3% of the original pooled balance, compared to 2.2% 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. 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 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 Aug. 15, 2016, distribution date, the transaction's aggregate certificate balance has decreased by 99% to $18 million from $1.18 billion at securitization. The certificates are collateralized by 19 mortgage loans ranging in size from 2% to 11% of the pool, with the top ten loans constituting 61% of the pool. Eight loans, constituting 38% of the pool, have defeased and are secured by US government securities. The pool includes a credit tenant lease (CTL) component that includes ten loans, representing 51% of the pool. Two 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. Nineteen loans have been liquidated from the pool, resulting in an aggregate realized loss of $24 million (for an average loss severity of 29%). There are currently no loans in special servicing. The sole performing loan that is neither defeased nor part of the CTL component is the Whitehall Estates Loan ($2.0 million -- 11.3% of the pool), which is secured by a 252-unit multifamily property in Charlotte, North Carolina. The property was 95% leased as of April 2016, compared to 97% leased as of September 2015. The loan is fully amortizing and has amortized 80% since securitization. The loan matures in August 2018 and Moody's LTV and stressed DSCR are 16% and >4.00X, respectively, compared to 20% and >4.00X at last review. The CTL component consists of ten loans, constituting 51% of the pool, secured by properties leased to four tenants. The largest CTL exposures include Rite Aid Corporation (35% of the pool, Moody's senior unsecured rating of B3/Caa1 -- under review for possible upgrade), Walgreen Co. (9% of the pool; Moody's senior unsecured rating of Baa2 -- under review for possible downgrade), and CVS Health (7%; Moody's senior unsecured rating Baa1 -- stable outlook). The bottom-dollar weighted average rating factor (WARF) for this pool is 3842. WARF is a measure of the overall quality of a pool of diverse credits. The bottom-dollar WARF is a measure of default probability. GALAXY CLO XV: S&P Affirms BB Rating on Class E Notes ----------------------------------------------------- S&P Global Ratings raised its ratings on the class B and C notes and affirmed its ratings on the class A, D, and E notes from Galaxy XV CLO Ltd., a U.S. collateralized loan obligation (CLO) managed by PineBridge Investments LLC. The rating actions follow S&P's review of the transaction's performance, using data from the July 5, 2016, trustee report. The transaction is scheduled to remain in its reinvestment period until April, 2017. The upgrades primarily reflect credit quality improvement in the underlying collateral and some increase in credit support since S&P's effective date rating affirmations in January 2014. Collateral with an S&P Global Ratings' credit rating of 'BB-' or higher has increased significantly from the August 2013 effective date report used for S&P's previous review. In addition, the number of unique obligors referenced in the portfolio has increased to 354 from 240 as of the effective date report. This has reduced the portfolio's concentration risk. The transaction has also benefited from collateral seasoning, with the reported weighted average life decreasing to 4.52 years from 5.59 years since the effective date. This seasoning, combined with the improved credit quality, has decreased the overall credit risk profile, which, in turn, provided more cushion to the tranche ratings. The transaction has experienced an increase in both defaults and assets rated 'CCC+' and below since the August 2013 effective date report. Specifically, the amount of defaulted assets increased to $0.50 million from one asset as of the July 2016 trustee report from zero as of the effective date report. The amount of assets rated 'CCC+' and below increased to $31.48 million (5.43% of the aggregate principal balance) from $3.30 million over the same period. Overall, the increase in defaulted assets and assets rated 'CCC+' and below has been offset by the decline in the weighted average life and positive portfolio credit migration of the collateral portfolio. Additionally, par gain in the underlying portfolio since the effective date has led to a small increase in the overcollateralization (O/C) according to the July 2016 trustee report: -- The senior O/C ratio was 137.81%, up from 137.61% -- The class C O/C ratio was 123.00%, up from 122.82% -- The class D O/C ratio was 115.26%, up from 115.09% -- The class E O/C ratio was 109.62%, up from 109.46% -- The reinvestment O/C ratio was 109.62, up from 109.46% The affirmations reflect S&P's belief that the credit support available is commensurate with the current rating lev Although S&P's cash flow analysis indicated higher ratings for the class B, C, D, and E notes, its rating actions considers additional sensitivity runs that considered the exposure to specific distressed industries and allowed for volatility in the underlying portfolio given that the transaction is still in its reinvestment period. "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the aforementioned trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and recoveries upon default under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis 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 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 take rating actions as it deems necessary. RATINGS RAISED Galaxy XV CLO Ltd. Rating Class To From B AA+ (sf) AA (sf) C A+ (sf) A (sf) RATINGS AFFIRMED Galaxy XV CLO Ltd. Class Rating A AAA (sf) D BBB (sf) E BB (sf) GREENWICH CAPITAL 2004-GG1: Moody's Affirms Ba2 Cl G Debt Rating ---------------------------------------------------------------- Moody's Investors Service (Moody's) has downgraded the ratings of three classes and affirmed four classes in Greenwich Capital Commercial Funding Corp., Commercial Mortgage Trust 2004-GG1 as follows: -- Cl. F, Affirmed Baa1 (sf); previously on Mar 11, 2016 Affirmed Baa1 (sf) -- Cl. G, Affirmed Ba2 (sf); previously on Mar 11, 2016 Affirmed Ba2 (sf) -- Cl. H, Downgraded to Caa1 (sf); previously on Mar 11, 2016 Downgraded to B3 (sf) -- Cl. J, Downgraded to Caa3 (sf); previously on Mar 11, 2016 Downgraded to Caa2 (sf) -- Cl. K, Downgraded to C (sf); previously on Mar 11, 2016 Downgraded to Caa3 (sf) -- Cl. L, Affirmed C (sf); previously on Mar 11, 2016 Downgraded to C (sf) -- Cl. XC, Affirmed Caa2 (sf); previously on Mar 11, 2016 Downgraded to Caa2 (sf) RATINGS RATIONALE The ratings on Classes H, J and K were downgraded primarily due to higher realized losses from specially serviced and troubled loans. The ratings on Classes F and 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 rating on Class L was affirmed because the ratings are consistent with Moody's expected loss. The rating on the IO class, Class XC, was affirmed because the credit performance (or the weighted average rating factor or WARF) of the referenced classes is consistent with Moody's expectations. Moody's rating action reflects a base expected loss of 30% of the current balance compared to 47% at Moody's last review. Moody's base expected loss plus realized losses is now 4.4% of the original pooled balance, essentially unchanged from 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. 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 2, compared to 3 at Moody's last review. Because of the very low Herf score and small number of remaining loans in the pool, Moody's used the excel-based Large Loan Model in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan-level proceeds derived from Moody's loan-level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type and sponsorship. Moody's also further adjusts these aggregated proceeds for any pooling benefits associated with loan level diversity and other concentrations and correlations. DEAL PERFORMANCE As of the August 12, 2016 distribution date, the transaction's aggregate certificate balance has decreased by 96% to $116 million from $2.60 billion at securitization. The certificates are collateralized by six mortgage loans ranging in size from less than 1% to 71% of the pool. The pool contains no loans with investment-grade structured credit assessments. One loan, constituting less than 1% of the pool, has defeased and is secured by US government securities. The largest loan in 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. Twenty-three loans have been liquidated from the pool, contributing to an aggregate realized loss of $80 million (for an average loss severity of 33%). One loan, constituting 9% of the pool, is currently in special servicing. The specially serviced loan is the 510 Glenwood Avenue Loan ($10 million -- 9% of the pool), which is secured by a 67,000 square foot office property in Raleigh, North Carolina. As of April 2016, the property was 44% occupied compared to 92% occupied in December 2010 and compared to 96% at securitization. After borrower bankruptcy declaration and years of subsequent litigation, the servicer currently expects the loan to liquidate via a discounted payoff scheduled to occur in the fourth quarter of 2016. Moody's analysis incorporates a moderate loss for this loan. Moody's has assumed a high default probability for one troubled loan, the Aegon Center - B Note. This Hope Note constitutes 18% of the pool, and was cut from the Aegon Center - A Note loan as part of a previous loan modification that is discussed in greater detail below. Moody's analysis incorporates a full write off of the B Note. Moody's received full year 2015 and partial year 2016 operating results for 100% of the pool. Moody's weighted average conduit LTV is 118%, compared to 117% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 9.9% 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 2.05X and 1.12X, respectively, compared to 2.04X and 1.07X 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 performing conduit loans represent 72% of the pool balance. The largest loan is the Aegon Center -- A Note Loan ($82 million -- 71% of the pool), which is secured by a 760,000 square foot Class A high rise office property in downtown Louisville, Kentucky. The property, now known as 400 West Market, is the tallest in the state of Kentucky. After the former anchor tenant departed the property in 2012, property financial performance slumped and the loan entered special servicing for imminent monetary default. The loan was subsequently modified in August 2013 to include a an A/B note split ($82 million A Note / $21.1 million B Note), a maturity extension until April 2019, and a temporary interest rate reduction. The rate reduction is set to expire on August 31, 2016, after which date the rate will increase to the original 6.415% from the current 4.00%. The property was 73% occupied as of June 2016, compared to 71% occupied at Moody's last review. The loan remains on the watchlist for low occupancy. Moody's LTV and stressed DSCR are 120% and 0.88X, respectively, unchanged from the prior review. The second largest loan is the Bangor Plaza Loan ($1.2 million -- 1% of the pool). The loan is secured by a retail property in Pen Argyl, Pennsylvania. The loan is fully amortizing and has paid down 76% since securitization. Moody's LTV and stressed DSCR are 13% and >4.00X, respectively, compared to 20% and >4.00X at the last review. The third largest loan is the Rancho Santa Barbara MHP Loan ($492,000 -- less than 1% of the pool). The loan is secured by a 334-unit manufactured housing community in Santa Barbara, California. The loan is fully amortizing and has paid down 75% since securitization. Moody's LTV and stressed DSCR are 4% and, >4.00X, respectively, compared to 6% and >4.00X at the last review. HOME PARTNERS 2016-2: Moody's Rates Class E Certs (P)Ba2 -------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to five classes of certificates backed by one floating rate loan secured by a pool of 1,410 single-family rental properties (1,148 properties owned by the Borrower and 262 mortgage loans on single-family properties in Texas which are owned by a wholly-owned subsidiary of the Borrower). The complete rating action is: Issuer: Home Partners of America 2016-2 Trust Cl. A, Assigned (P)Aaa (sf) Cl. B, Assigned (P)Aa2 (sf) Cl. C, Assigned (P)A2 (sf) Cl. D, Assigned (P)Baa2 (sf) Cl. E, Assigned (P)Ba2 (sf) RATINGS RATIONALE Overview Moody's advance rate for this transaction at stresses consistent with a Aaa rating level is 47.2%. This rate is the ratio of the maximum size of senior certificates that would be consistent with a Aaa (sf) rating to its estimate of the initial value of the portfolio (the Moody's Value). To determine this advance rate, we took into account the transaction's key features and analyzed the recovery value of the portfolio under stressed market conditions and the sufficiency of the expected rental cash flow. Key transaction features Multiple-property pool: The loan is secured by multiple properties. A loan secured by multiple properties benefits from lower cash flow volatility because excess cash flow from one property can augment the cash flow of another to meet the debt service requirements. The loan also benefits from the pooling of equity from each underlying property. The loan is secured by a pool of 1,410 single-family rental properties (1,148 properties owned by the Borrower and 262 mortgage loans on single-family properties in Texas which are owned by a wholly-owned subsidiary of the Borrower) located in 42 MSAs in 18 states. Right to Purchase (RTP) Program: Nearly all of the properties (95.2%) are rented by residents who have a right to purchase the property in the future at an agreed upon exercise price. In the Right to Purchase Program, residents have identified a home that is within the resident's rental and acquisition budget and meets HPA's investment criteria. Renters with right to purchase options are therefore incentivized to maintain their properties well, and consumer-chosen properties may be in better school districts than properties otherwise acquired, which could benefit property recovery values in a liquidation scenario. Also, when renters exercise the right to purchase, the property will be released from the securitization at a premium which leads to faster deleveraging of the transaction, a credit positive. For this transaction, an interest reserve account of $250,000 will be funded at closing of the transaction. Subsequently on each Payment Date, the Borrower will deposit an amount equal to the excess of $250,000 (the "Required Interest Reserve Amount") over the amount on deposit therein on such Payment Date after giving effect to any withdrawals therefrom, to the extent of available funds. This reserve account will be used to pay delinquent interest payments on the class A to E certificates and any shortfalls to the $250,000 will be paid from rent prior to paying lender fees and prior to excess funds being returned to the Borrower. In an event of a default, the servicer can use the funds in the account to pay delinquent interest and principal owed on the bonds. Moody's views this account as credit neutral because although the inclusion of the reserve fund may be positive for the transaction, in a default scenario in which interest payments are not being made, there is a potential that the reserve fund will be depleted or underfunded. In this situation, there could potentially be no excess funds from the reserve to pay interest or principal payments. Effective property manager: The day to day property manager for this transaction, Home Partners of America LLC ("Manager") is a wholly owned subsidiary of the Loan Sponsor, Home Partners of America, Inc. The property sub-manager, is Pathlight Property Management ("Existing Sub Manager", which became wholly owned by Home Partners of America on April 29, 2016. The Manager has approximately 66 full-time personnel as of June 30, 2016, dedicated to property management, marketing, leasing, financial and administrative functions, and acquisition and renovation functions. The Manager has demonstrated its ability to effectively handle the day to day business of managing a disperse single family rental platform. The Existing Sub Manager has approximately 60 full-time personnel as of June 30, 2016, dedicated to various property management related activities. Servicing: Midland Loan Services (Midland), a division of PNC Bank, National Association (long-term deposit rating of Aa2) will be the master servicer and special servicer of this transaction. The master servicer will be responsible for the servicing of the loan and advancing of principal and interest. Also in a default scenario, the special servicer will be responsible for administrating/working out the loan. The master servicer and special servicer have experience servicing and managing commercial and multi-family mortgage loans and real estate assets. Midland has the resources and experience to manage and dispose of the assets in the event of a borrower default. The responsibilities of the master, primary and special servicer are similar to those in a typical The defined and active role of the special servicer is a credit positive. Legal Issues: Due to the presence of Right to Purchase Agreements, the transaction included certain structural features to comply with consumer laws in Texas which could limit the servicer's options to liquidate the Texas properties in a default scenario. Moody's has made some adjustments to its Texas foreclosure timeline assumption, but we believe that overall the impact of these additional structural features is minimal. Furthermore, the mortgages backing the transaction are subject to the leases and tenant right to purchase options which may make it more difficult to dispose of the properties than properties that are not subject to a right to purchase option. However, we believe the impact will be minimal because the tenant can only exercise the right to purchase option at a price that is in excess of allocated loan amount for any given property and that an investor considering whether to purchase the property would likely view having an existing rent-paying resident as a positive. Recovery Analysis The Final Recovery Value, which varies by rating levels, is calculated through the following steps. 1. The cumulative value (based predominantly on Broker Price Opinions) of the properties is approximately $437,918,303. Moody's determined the initial Moody's Value to be $371,300,674 after considering 1) the sponsor's acquisition cost adjusted for 50% of its estimate of home price appreciation (excluding lower-value properties) since acquisition, plus 48.7% of the rehabilitation cost; and 2) 85% of the most recent value. 2. Moody's assumed that a limited percentage of these properties will be purchased out of the transaction at full market value before the borrower defaults, netting proceeds equal to the allocated loan amounts plus a pre-determined premium on those properties. 3. For the remaining properties, we applied a home price depreciation factor to the properties' values ranging from 30% to 50% of the Moody's Value at a Aaa-stress level, depending on the MSA. 4. Under Moody's Aaa stress scenario, it assumed that the total cost required to maintain all the properties remaining in the pool after default, including real estate taxes, property management fees, vacancy, home owners association fees, insurance, repairs, and sales and marketing, would stretch for months while a portion of the properties would generate income for months. Moody's stress for foreclosure timeline for this transaction is lower than a typical RMBS transaction because Moody's expects the foreclosure process to be quicker since the trust does not have to foreclose on individual borrowers; instead, it will foreclose either on the special purpose vehicle borrower itself or the properties owned by a single entity. 5. Moody's estimated additional foreclosure costs, which included fixed legal costs, special servicing fees of 0.25% of the loan amount, special servicing liquidation fees of 0.75% of the property value, and transfer taxes . 6. Finally, Moody's assumed that the master servicer will continue to advance the interest (to the extent deemed recoverable) on the certificates until the properties are liquidated, and estimated the interest accrued on the servicer advances. Cash flow analysis To account for a sustainable level of income and expenses, we adjusted the sponsor's underwritten net cash flow by -20.1%, on a weighted average basis. Using its adjusted net cash flow and assumed starting interest rate, Moody's debt service coverage ratio was 1.57x. Factors that would lead to an upgrade or downgrade of the ratings: UP Moody's would consider upgrading the transaction or some of its tranches if, for example, properties underlying the portfolio were to appreciate substantially and the property conditions were to remain well maintained. DOWN Moody's would consider downgrading the transaction if the transaction were to breach its debt yield trigger. Additionally, breaches of certain loan covenants could lead to an event of default in the transaction and, if unremedied, a downgrade. Moody's will also monitor the transaction's portfolio mix for any unexpected changes. Unexpected negative changes could result from unusual patterns in the properties that are released by a sponsor as contemplated by the transaction documents. Also, where available, changes in rent renewal and lease turnover rates and time to re-rent could indicate performance issues. JAY PARK CLO: Moody's Assigns Ba3 Rating to Class D Notes --------------------------------------------------------- Moody's Investors Service, has assigned provisional ratings to five classes of notes to be issued by Jay Park CLO, Ltd. Moody's rating action is as follows: -- US$276,500,000 Class A-1 Senior Secured Floating Rate Notes, Assigned (P)Aaa (sf) -- US$53,500,000 Class A-2 Senior Secured Floating Rate Notes, Assigned (P)Aa1 (sf) -- US$41,000,000 Class B Secured Deferrable Floating Rate Notes, Assigned (P)A2 (sf) -- US$26,500,000 Class C Secured Deferrable Floating Rate Notes, Assigned (P)Baa3 (sf) -- US$16,500,000 Class D Secured Deferrable Floating Rate Notes, Assigned (P)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." 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. Jay Park CLO, Ltd. is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated first lien senior secured corporate loans. At least 96.0% of the portfolio must consist of senior secured loans, cash and eligible investments, and up to 4.0% of the portfolio may consist of second lien loans and unsecured loans. We expect the portfolio to be approximately 75% 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 4.75-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 the following base-case assumptions: -- Par amount: $450,000,000 -- Diversity Score: 58 -- Weighted Average Rating Factor (WARF): 2800 -- Weighted Average Spread (WAS): 3.75% -- Weighted Average Recovery Rate (WARR): 48.0% -- Weighted Average Life (WAL): 8 years Methodology Underlying the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in 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 2800 to 3220) Rating Impact in Rating Notches -- Class A-1 Notes: 0 -- Class A-2 Notes: -1 -- Class B Notes: -2 -- Class C Notes: -1 -- Class D Notes: 0 Percentage Change in WARF -- increase of 30% (from 2800 to 3640) Rating Impact in Rating Notches -- Class A-1 Notes: 0 -- Class A-2 Notes: -3 -- Class B Notes: -3 -- Class C Notes: -2 -- Class D Notes: -1 JP MORGAN 2003-CIBC6: Moody's Hikes Class J Debt Rating to Ba1 -------------------------------------------------------------- Moody's Investors Service affirmed the ratings on eight classes and upgraded the ratings on three classes in J.P. Morgan Chase Commercial Mortgage Securities Corp. Series 2003-CIBC6 as follows: -- Cl. D, Affirmed Aaa (sf); previously on Feb 26, 2016 Affirmed Aaa (sf) -- Cl. E, Affirmed Aaa (sf); previously on Feb 26, 2016 Affirmed Aaa (sf) -- Cl. F, Affirmed Aaa (sf); previously on Feb 26, 2016 Upgraded to Aaa (sf) -- Cl. G, Upgraded to Aa2 (sf); previously on Feb 26, 2016 Upgraded to A1 (sf) -- Cl. H, Upgraded to Baa2 (sf); previously on Feb 26, 2016 Affirmed Ba1 (sf) -- Cl. J, Upgraded to Ba1 (sf); previously on Feb 26, 2016 Affirmed Ba2 (sf) -- Cl. K, Affirmed B2 (sf); previously on Feb 26, 2016 Affirmed B2 (sf) -- Cl. L, Affirmed Caa3 (sf); previously on Feb 26, 2016 Affirmed Caa3 (sf) -- Cl. M, Affirmed C (sf); previously on Feb 26, 2016 Affirmed C (sf) -- Cl. N, Affirmed C (sf); previously on Feb 26, 2016 Affirmed C (sf) -- Cl. X-1, Affirmed B3 (sf); previously on Feb 26, 2016 Downgraded to B3 (sf) RATINGS RATIONALE The ratings on the P&I classes D, E & F were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The rating on the P&I classes, classes G, H & J 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 13% since Moody's last review. In addition, loans constituting 39% of the pool that have debt yields exceeding 11.5% are scheduled to mature within the next 24 months. The ratings on the P&I classes, K through N were affirmed because the ratings are consistent with Moody's expected loss. The rating on the IO Class, Class X-1 was affirmed based on the credit performance (or the weighted average rating factor or WARF) of the referenced classes. Moody's rating action reflects a base expected loss of 7.9% of the current balance, compared to 5.8% 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. 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 4, compared to 7 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 August 12, 2016 distribution date, the transaction's aggregate certificate balance has decreased by 91.8% to $85.17 million from $1.06 billion at securitization. The certificates are collateralized by 18 mortgage loans ranging in size from less than 1% to 31.8% of the pool, with the top ten loans constituting 71.3% of the pool. There are no loans with an investment-grade structured credit assessments. Five loans, constituting 26.4% of the pool, have defeased and are secured by US government securities. Five loans, constituting 20.2% 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. Twelve loans have been liquidated from the pool, resulting in an aggregate realized loss of $16.6 million (for an average loss severity of 36.8%). One loan, constituting 7.2% of the pool, is currently in special servicing. The Advance Office Building Loan ($6.2 million -- 7.2% of the pool), is secured by a 231,000 square foot (SF) office building located in Southfield, Michigan. The loan transferred to special servicing in March 2013 due to imminent maturity default and a receiver was appointed in November 2013. A foreclosure sale was conducted in December 2014 and the Note holder was the successful bidder. Per the June 2016 rent roll, the property was 63% leased. The Special Servicer indicated the asset is currently being held to complete new leases, negotiate renewals and to complete capital improvements. Moody's received full year 2014 operating results for 63% of the pool and full year 2015 operating results for 68% of the pool. Moody's weighted average conduit LTV is 80.4%, compared to 76.4% 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 4.3% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.4%. Moody's actual and stressed conduit DSCRs are 1.44X and 1.44X, respectively, compared to 1.45X and 1.46X 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 42.4% of the pool balance. The largest loan is the International Paper Office Loan ($27.1 million -- 31.8% of the pool), which is secured by a 214,000 square foot (SF) office building located in Memphis, Tennessee. The building is one of three identically designed buildings that make up the International Place office park. The collateral is 100% leased to International Paper Company (senior unsecured rating Baa2) through February 2027. International Paper has utilized the International Place office park as its headquarters since 1987. The loan has amortized 22.6% since securitization and matures in July 2017. Moody's analysis is based on a lit/dark analysis due to concerns about the property's single tenancy. Moody's LTV and stressed DSCR are 80% and 1.25X, respectively, compared to 81% and 1.23X, at last review. The second largest loan is the Old Orchard Village East Shopping Center Loan ($5.9 million -- 7.0% of the pool), which is secured by a 168,000 square foot (SF) grocery-anchored retail property located in Lewisville, TX. Winco Foods LLC commenced a 25-year lease for 50% of the GLA in June 2015. Occupancy as of June 2016 was 85% compared to 79% at YE 2015 and 28% at YE 2014. Moody's LTV and stressed DSCR are 120% and 0.99X, respectively, compared to 143% and 0.83X, at last review. The third largest loan is the Green Bay Manor Apartments Loan ($3.1 million -- 3.6% of the pool), which is secured by a 75-unit multifamily property in Waukegan, IL. The property was 96% leased as of March 2016 compared to 97% at YE 2015. The property is currently on the watchlist due to low DSCR as a result of increased property taxes. Moody's LTV and stressed DSCR are 97% and 0.95X, respectively, compared to 96% and 0.96X, at last review. LIBERTY CLO: Moody's Lowers Class C Notes Rating to Caa1 -------------------------------------------------------- Moody's Investors Service has downgraded the rating on the following notes issued by Liberty CLO, Ltd.: -- US$52,000,000 Class C Floating Rate Deferrable Senior Secured Extendable Notes (current outstanding balance of $30,378,081), Downgraded to Caa1 (sf); previously on March 31, 2016 Affirmed B2 (sf) Moody's also affirmed the rating on the following notes: -- US$49,000,000 Class B Floating Rate Deferrable Senior Secured Extendable Notes (current outstanding balance of $41,145,562), Affirmed A1 (sf); previously on March 31, 2016 Upgraded to A1 (sf) Liberty CLO, Ltd., issued in December 2005, is a collateralized loan obligation (CLO) backed primarily by a portfolio of senior secured loans, with some exposure to non-senior secured loans and CLO tranches. The transaction's reinvestment period ended in November 2012. RATINGS RATIONALE The rating downgrade on the Class C notes is primarily the result of the deal's large holding of assets that mature after the maturity of the notes (long-dated assets) and thinly traded assets. Based on Moody's calculations, long-dated assets have increased to 40.5% of the portfolio, versus 26.8% in March 2016. These assets could expose the Class C notes to market risk in the event of liquidation at the notes' impending maturity date in November 2017. In addition, the deal holds a material dollar amount of thinly traded or untraded loans, whose lack of liquidity may pose additional risks relating to the issuer's ultimate ability or inclination to pursue a liquidation of such assets, especially if the sales can be transacted only at heavily discounted price levels. The rating affirmation of the Class B notes reflects deleveraging of the notes and an increase in the Class B overcollateralization (OC) ratio, which offset deterioration in the portfolio. The Class B notes have been paid down by approximately $7.8 million or 16.0% since March 2016. Additionally, the Class A-4 notes were paid off completely by approximately $43.0 million or 100% since that time. Based on Moody's calculation, the Class B OC ratio (after taking into account the August 1, 2016 payment) has improved to 205.3% from 146.7% in March 2016. 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: -- 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. -- 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. -- 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. -- 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. -- 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. Realization of higher than assumed recoveries would positively impact the CLO. -- 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. The deal's increased exposure owing to amendments to loan agreements extending maturities continues. In light of the deal's sizable exposure to long-dated assets, which increases its sensitivity to the liquidation assumptions in the rating analysis, Moody's ran scenarios using a range of liquidation value assumptions. However, actual long-dated asset exposures and prevailing market prices and conditions at the CLO's maturity will drive the deal's actual losses, if any, from long-dated assets. -- Operational risk: The deal contains a large proportion of collateral assets that mature after the CLO's legal maturity date. Repayment of the notes at their maturity will be highly dependent on the issuer's successful monetization of the long-dated assets which will be contingent upon issuer's ability and willingness to sell these assets. -- Exposure to credit estimates: The deal contains a large number of securities whose default probabilities Moody's has assessed through credit estimates. If Moody's does not receive the necessary information to update its credit estimates in a timely fashion, the transaction could be negatively affected by any default probability adjustments Moody's assumes in lieu of updated credit estimates. -- Lack of portfolio granularity: The performance of the portfolio depends to a large extent on the credit conditions of a few large obligors Moody's rates non-investment grade, especially if they jump to default. Because of the deal's low diversity score and lack of granularity, Moody's supplemented its typical Binomial Expansion Technique analysis with a simulated default distribution using its CDOROM™ software or individual scenario analysis. 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% (2638) -- Class B: 0 -- Class C: 0 Moody's Adjusted WARF + 20% (3958) -- Class B: -1 -- Class C: -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." In addition, because of the collateral pool's low diversity, Moody's used CDOROM™ to simulate a default distribution that it then used as an input in the cash flow model. 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 $77.1 million, defaulted par of $41.7 million, a weighted average default probability of 8.77% (implying a WARF of 3298), a weighted average recovery rate upon default of 44.69%, a diversity score of 7 and a weighted average spread of 3.55% (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. A material proportion of the collateral pool includes debt obligations whose credit quality Moody's assesses through credit estimates. Moody's analysis reflects adjustments with respect to the default probabilities associated with credit estimates. Specifically, Moody's assumed an equivalent of Caa3 for assets with credit estimates that have not been updated within the last 15 months, which represent approximately 4.42% of the collateral pool. LIME STREET: Moody's Lowers Rating on Class D Notes to Ba2 ---------------------------------------------------------- Moody's Investors Service has upgraded the rating on these notes issued by Lime Street CLO, Ltd.: $22,000,000 Class C Deferrable Floating Rate Notes Due 2021, Upgraded to A2 (sf); previously on October 28, 2014 Upgraded to A3(sf) Moody's has downgraded the ratings on these notes: $15,000,000 Class D Deferrable Floating Rate Notes Due 2021, Downgraded to Ba2 (sf); previously on October 28, 2014 Upgraded to Ba1 (sf) $12,600,000 Class E Deferrable Floating Rate Notes Due 2021, Downgraded to B2 (sf); previously on October 28, 2014 Affirmed B1 (sf) In addition, Moody's affirmed the ratings on the following notes: U.S. $290,000,000 Class A Senior Floating Rate Notes Due 2021 (current outstanding balance of $153,505,804.55), Affirmed Aaa (sf); previously on October 28, 2014 Affirmed Aaa (sf) U.S. $30,000,000 Class B Senior Floating Rate Notes Due 2021, Affirmed Aaa (sf); previously on October 28, 2014 Upgraded to Aaa (sf) Lime Street CLO, Ltd., issued in August 2007, is a collateralized loan obligation (CLO) backed primarily by a portfolio of senior secured loans. The transaction's reinvestment period ended in September 2013. RATINGS RATIONALE The upgrade action on the Class C notes is primarily a result of deleveraging of the senior notes and an improvement in the portfolio's weighted average rating factor (WARF) since December 2015. The Class A notes have been paid down by approximately 1.2% or $1.8 million since then. Based on the trustee's August 2016 report, the WARF is reported at 2544, versus 2820 in December 2015. The downgrade actions on the Class D and E notes are primarily a result of declining overcollateralization (OC) ratios and an increase in assets rated Caa1 and below. Based on the trustee's August 2016 report, the Class D and Class E OC ratios are reported at 109.13% and 103.23%, respectively, versus December 2015 levels of 110.76% and 104.85%, respectively. Based on Moody's calculations, which include adjustments for ratings with a negative outlook and ratings on review for downgrade, assets with a Moody's default probability rating of Caa1 or below currently make up $39.3 million or 17.4% of the portfolio, compared to 13.7% in December 2015. The portfolio includes investments in securities that mature after the notes do (long-dated assets). Based on Moody's calculations, long-dated assets currently make up approximately 6.8% of the portfolio. These investments could expose the notes to market risk in the event of liquidation when the notes mature. These rating actions also reflect corrections to Moody's modeling. In prior rating actions, there were errors in the modeling of OC trigger levels and use of principal proceeds to pay deferred interest on the deferrable notes. The errors have now been corrected, and today's rating actions reflect these changes. 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 Rating This transaction is subject to a number of factors and circumstances that could lead to either an upgrade or downgrade of the ratings: 1) Macroeconomic uncertainty: CLO performance is subject to a) uncertainty about credit conditions in the general economy and b) the large concentration of upcoming speculative-grade debt maturities, which could make refinancing difficult for issuers. 2) Collateral Manager: Performance can also be affected positively or negatively by a) the manager's investment strategy and behavior and b) differences in the legal interpretation of CLO documentation by different transactional parties owing to embedded ambiguities. 3) Collateral credit risk: A shift towards collateral of better credit quality, or better credit performance of assets collateralizing the transaction than Moody's current expectations, can lead to positive CLO performance. Conversely, a negative shift in credit quality or performance of the collateral can have adverse consequences for CLO performance. 4) Deleveraging: An important source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will continue and at what pace. Deleveraging of the CLO could accelerate owing to high prepayment levels in the loan market and/or collateral sales by the manager, which could have a significant impact on the notes' ratings. Note repayments that are faster than Moody's current expectations will usually have a positive impact on CLO notes, beginning with those with the highest payment priority. 5) Recovery of defaulted assets: Fluctuations in the market value of defaulted assets reported by the trustee and those that Moody's assumes as having defaulted could result in volatility in the deal's OC levels. Further, the timing of recoveries and whether a manager decides to work out or sell defaulted assets create additional uncertainty. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. Realization of higher than assumed recoveries would positively impact the CLO. 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) Exposure to assets with low credit quality and weak liquidity: The presence of lowly rated assets trading at significant discounts to par or assets with the worst Moody's speculative grade liquidity (SGL) rating, SGL-4, exposes the notes to additional risks if these assets default. The historical default rate is higher than average for these assets. Due to the deal's exposure to such assets, which constitute around $6.2 million of par, Moody's ran a sensitivity case defaulting those assets. In addition to the base case analysis, Moody's also conducted sensitivity analyses to test the impact of a number of default probabilities on the rated notes relative to the base case modeling results, which may be different from the current public ratings of the notes. Below is a summary of the impact of different default probabilities (expressed in terms of WARF) on all of the rated notes (by the difference in the number of notches versus the current model output, for which a positive difference corresponds to lower expected loss): Moody's Adjusted WARF -- 20% (2308) Class A: 0 Class B: 0 Class C: +2 Class D: +2 Class E: +1 Moody's Adjusted WARF + 20% (3461) Class A: 0 Class B: -1 Class C: -2 Class D: 0 Class E: -2 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 $240.4 million, defaulted par of $8.4 million, a weighted average default probability of 17.6% (implying a WARF of 2884), a weighted average recovery rate upon default of 48.12%, a diversity score of 41 and a weighted average spread of 3.75% (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. In each case, historical and market performance and the collateral manager's latitude for trading the collateral are also factors. MERRILL LYNCH 2007-CAN21: Moody's Hikes Cl. G Debt Rating to Ba2 ---------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on seven classes and affirmed the ratings on six classes in Merrill Lynch Financial Assets Inc., Commercial Mortgage Pass-Through Certificates, Series 2007-Canada21 as: Cl. A-1, Affirmed Aaa (sf); previously on Oct. 16, 2015, Affirmed Aaa (sf) Cl. A-2, Affirmed Aaa (sf); previously on Oct. 16, 2015, Affirmed Aaa (sf) Cl. B, Affirmed Aaa (sf); previously on Oct. 16, 2015, Upgraded to Aaa (sf) Cl. C, Upgraded to Aa1 (sf); previously on Oct. 16, 2015, Upgraded to Aa3 (sf) Cl. D, Upgraded to A1 (sf); previously on Oct. 16, 2015, Upgraded to A3 (sf) Cl. E, Upgraded to A3 (sf); previously on Oct. 16, 2015, Upgraded to Baa1 (sf) Cl. F, Upgraded to Baa3 (sf); previously on Oct. 16, 2015, Upgraded to Ba1 (sf) Cl. G, Upgraded to Ba2 (sf); previously on Oct. 16, 2015, Upgraded to Ba3 (sf) Cl. H, Upgraded to B1 (sf); previously on Oct. 16, 2015, Affirmed B2 (sf) Cl. J, Upgraded to B2 (sf); previously on Oct. 16, 2015, Affirmed B3 (sf) Cl. K, Affirmed Caa2 (sf); previously on Oct. 16, 2015, Affirmed Caa2 (sf) Cl. L, Affirmed Caa3 (sf); previously on Oct. 16, 2015, Affirmed Caa3 (sf) Cl. XC, Affirmed Ba3 (sf); previously on Oct. 16, 2015, Affirmed Ba3 (sf) RATINGS RATIONALE The ratings on three P&I classes, A-1, A-2, and B, 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 seven P&I classes, C through J, were upgraded primarily due to an increase in credit support since Moody's last review, resulting from paydowns and amortization. The pool has paid down 18% since Moody's last review. The ratings on the Classes K and L were affirmed because the ratings are consistent with Moody's expected loss. The rating on the IO class, class XC, was affirmed based on 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 2.1% of the current balance, the same as at Moody's last review. Moody's base expected loss plus realized losses is now 1.2% of the original pooled balance, compared to 1.5% 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 principal 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 14, compared to 18 at 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 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 Aug. 12, 2016, distribution date, the transaction's aggregate certificate balance has decreased by 41% to $225.6 million from $385.2 million at securitization. The certificates are collateralized by 28 mortgage loans ranging in size from less than 1% to 16% of the pool, with the top ten loans constituting 66% of the pool. Twenty-seven of the loans, representing 96% of the pool balance, mature in the next six months. There are no loans with investment-grade structured credit assessments. Four loans, constituting 6.7% of the pool, have defeased and are secured by Canadian government securities. Nine loans, constituting 46% 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 no loans in special servicing. Moody's has assumed a high default probability for two poorly performing loans, constituting 3.5% of the pool, and has estimated an aggregate loss of $1.5 million (an 19% expected loss based on a 50% probability default) from these troubled loans. Moody's received full year 2015 operating results for 93% of the pool. Moody's weighted average conduit LTV is 78%, 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 11% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.4%. Moody's actual and stressed conduit DSCRs are 1.51X and 1.38X, respectively, compared to 1.48X and 1.31X 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 29.6% of the pool balance. The largest loan is the GTA Industrial Portfolio Loan ($35.5 million -- 15.7% of the pool), which is secured by eight industrial properties located in the greater Toronto area. As of May 2016, the portfolio was 97% leased compared to 87% at last review. The loan matures in October 2016 and Moody's LTV and stressed DSCR are 76% and 1.32X, respectively, compared to 84% and 1.20X at the last review. The second largest loan is the 550 - 11th Avenue Office Building Loan ($16.9 million -- 7.5% of the pool), which is secured by an 11-story, 97,000 SF office property located in the financial district of downtown Calgary, Alberta. As of December 2015, the property was 76% leased compared to 88% leased in April 2014 and 100% at securitization. The loan matures in November 2016 and Moody's LTV and stressed DSCR are 116% and 0.89X, respectively, compared to 112% and 0.92X at the last review. The third largest loan is the Quinpool Towers Halifax Loan ($14.4 million -- 6.4% of the pool), which is secured by a 233 unit multi-family housing complex located in Halifax, Nova Scotia. Occupancy was 94% as of December 2015, compared to 97% in 2014, and 96% at securitization. The loan matures in November 2016 and Moody's LTV and stressed DSCR are 70% and 1.32X, respectively, compared to 76% and 1.21X at the last review. MILL CITY 2016-1: DBRS Assigns Bsf Rating to Class B2 Debt ---------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the Mortgage Backed Securities, Series 2016-1 (the Notes) issued by Mill City Mortgage Loan Trust 2016-1 (the Trust): -- $322.2 million Class A1 at AAA (sf) -- $32.5 million Class M1 at AA (sf) -- $27.8 million Class M2 at A (sf) -- $21.9 million Class M3 at BBB (sf) -- $25.0 million Class B1 at BB (sf) -- $19.7 million Class B2 at B (sf) The AAA (sf) ratings on the Notes reflect 36.15% of credit enhancement provided by subordinated Notes in the pool. The AA (sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings reflect 29.70%, 24.20%, 19.85%, 14.90% and 11.00% of credit enhancement, respectively. Other than the specified classes above, DBRS does not rate any other classes in this transaction. This transaction is a securitization of a portfolio of first-lien, seasoned, performing and re-performing residential mortgages. The Notes are backed by 1,986 loans with a total principal balance of approximately $504,545,264 as of the Cut-Off Date (July 31, 2016). The loans are approximately 113 months seasoned and all are current as of the Cut-Off Date, including 36 bankruptcy-performing loans. Approximately 79.2% and 94.5% of the mortgage loans have been zero times 30 days delinquent for the past 24 months under the Mortgage Banker Associations and the Office of Thrift Supervision delinquency methods, respectively. The portfolio contains 70.1% modified loans. Within the pool, 520 loans have non-interest-bearing deferred amounts, which equates to 3.87% of the total principal balance as of the Cut-Off Date. The modifications happened more than two years ago for 93.8% of the modified loans. In accordance with the Consumer Financial Protection Bureau Qualified Mortgage (QM) rules, 0.3% of the loans are designated as QM Safe Harbor, less than 0.1% as QM Rebuttable Presumption and 0.1% as non-QM. Approximately 99.5% of the loans are not subject to the QM rules. Mill City Holdings, LLC (Mill City) will acquire the loans from six transferring trusts on the Closing Date. The transferring trusts acquired the mortgage loans between 2013 and 2016 and are entities of which the Representation Provider or an affiliate thereof holds an indirect interest. Upon acquiring the loans from the transferring trusts, Mill City, through a wholly owned subsidiary, Mill City Depositor, LLC, will contribute loans to the Trust. As the Sponsor, Mill City will acquire and retain a 5% eligible vertical interest in each class of securities to be issued (other than any residual certificates) to satisfy the credit risk retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. These loans were originated and previously serviced by various entities through purchases in the secondary market. As of the Cut-Off Date, the loans are serviced by Resurgent doing business as Shellpoint Mortgage Servicing (71.3%) and Fay Servicing, LLC (28.7%). There will not be any advancing of delinquent principal or interest on any mortgages by the servicers or any other party to the transaction; however, the servicers are obligated to make advances in respect of taxes and insurance, reasonable costs and expenses incurred in the course of servicing and disposing of properties. The transaction employs a sequential-pay cash flow structure. Principal proceeds can be used to cover interest shortfalls on the Notes, but such shortfalls on Class M2 and more subordinate bonds will not be paid until the more senior classes are retired. The ratings reflect transactional strength in that the underlying assets have generally performed well through the crisis. Additionally, a satisfactory third-party due diligence review was performed on the portfolio with respect to regulatory compliance, payment history, data capture as well as title and lien review. Updated broker price opinions or exterior appraisals were provided for 100.0% of the pool; however, a reconciliation was not performed on the updated values. The transaction employs a relatively weak representations and warranties framework that includes a 13-month sunset, an unrated provider (CVI CVF III Lux Master S.à.r.l.), certain knowledge qualifiers and fewer mortgage loan representations relative to DBRS criteria for seasoned pools. Mitigating factors include (1) significant loan seasoning and relative clean performance history in recent years, (2) a comprehensive due diligence review and (3) a representations and warranties enforcement mechanism, including a delinquency review trigger and a breach reserve account. The lack of principal and interest advances on delinquent mortgages may increase the possibility of periodic interest shortfalls to the Noteholders; however, principal proceeds can be used to pay interest to the Notes sequentially and subordination levels are greater than expected losses, which may provide for timely payment of interest to the rated Notes. The DBRS ratings of AAA (sf) and AA (sf) address the timely payment of interest and full payment of principal by the legal final maturity date in accordance with the terms and conditions of the related Notes. The DBRS ratings of A (sf), BBB (sf), BB (sf) and B (sf) address the ultimate payment of interest and full payment of principal by the legal final maturity date in accordance with the terms and conditions of the related Notes. Notes: All figures are in U.S. dollars unless otherwise noted. The applicable methodologies are RMBS Insight 1.2: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology, Unified Interest Rate Model for Rating U.S. Structured Finance Transactions, Third-Party Due Diligence Criteria for U.S. RMBS Transactions, Representations and Warranties Criteria for U.S. RMBS Transactions and Legal Criteria for U.S. Structured Finance, which can be found on our website under Methodologies. The rated entity or its related entities did participate in the rating process. DBRS had access to the accounts and other relevant internal documents of the rated entity or its related entities. MILL CITY 2016-1: Fitch Assigns 'BBsf' Rating to Class B1 Notes --------------------------------------------------------------- Fitch rates Mill City Mortgage Loan Trust 2016-1 as follows: -- $322,152,000 class A1 notes 'AAAsf'; Outlook Stable; -- $32,543,000 class M1 notes 'AAsf'; Outlook Stable; -- $27,750,000 class M2 notes 'Asf'; Outlook Stable; -- $21,948,000 class M3 notes 'BBBsf'; Outlook Stable; -- $24,975,000 class B1 notes 'BBsf'; Outlook Stable; -- $19,677,000 class B2 notes 'Bsf'; Outlook Stable. The following classes will not be rated by Fitch: -- $34,057,000 class B3 notes; -- $21,443,264.44 class B4 notes. The notes are supported by one collateral group that consists of 1,986 re-performing mortgages with a total balance of approximately $504.55 million (which includes $19.5 million, or 3.87%, of the aggregate pool balance in non-interest-bearing deferred principal amounts) as of the cutoff date. Distributions of principal and interest and loss allocations are based on a traditional senior subordinate, sequential structure. The sequential-pay structure locks out principal to the subordinated notes until the most senior notes outstanding are paid in full. The servicers will not be advancing delinquent monthly payments of principal and interest (P&I). The 'AAAsf' rating on the class A1 notes reflects the 36.15% subordination provided by the 6.45% class M1, 5.50% class M2, 4.35% class M3, 4.95% class B1, 3.90% class B2, 6.75% class B3 and 4.25% class B4 notes. Fitch's ratings on the class notes reflect the credit attributes of the underlying collateral, the quality of the servicers, Shellpoint Mortgage Servicing (Shellpoint), rated 'RSS3+' and Fay Servicing, LLC (Fay), rated 'RSS3+', and the representation (rep) and warranty framework, minimal due diligence findings and the sequential pay structure. KEY RATING DRIVERS Distressed Performance History (Concern): The collateral pool consists primarily of peak-vintage seasoned re-performing loans (RPLs), including loans that have been paying for the past 24 months, which Fitch identifies as 'clean current' (79.2%), and loans that are current but have recent delinquencies or incomplete paystrings, identified as 'dirty current' (20.8%). All loans were current as of the cutoff date. 70.1% of the loans have received modifications. Due Diligence Findings (Concern): The third-party review (TPR) firm's due diligence review resulted in approximately 282 loans (14%) graded 'C' and 'D', of which 122 were subject to a loss severity adjustment for issues regarding high cost testing. In addition, timelines were extended on 71 loans that were missing final modification documents. Fitch also assumed a 100% loss on 12 loans that did not receive a compliance review to account for the potential risk for high cost issues. The TPR firm did not review the servicing comments for the 62 loans that experienced a delinquency in the past 12 months. However, Fitch received and reviewed the servicing comments for these loans and the comments did not indicate any impending foreclosure. No Servicer P&I Advances (Mixed): The servicers will not be advancing delinquent monthly payments of P&I, which reduces liquidity to the trust. However, as P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust, the loan-level loss severity (LS) are less for this transaction than for those where the servicer is obligated to advance P&I. Structural provisions and cash flow priorities, together with increased subordination, provide for timely payments of interest to the 'AAAsf' and 'AAsf' rated classes. Although the lower rated bonds may experience long periods of interest deferral in a stress scenario, all classes are expected to ultimately recover all interest due in their respective rating stress scenarios. Sequential-Pay Structure (Mixed): The transaction's cash flow is based on a sequential-pay structure whereby the subordinate classes do not receive principal until the senior classes are repaid in full. Losses are allocated in reverse-sequential order. Furthermore, the provision to re-allocate principal to pay interest on the 'AAAsf' and 'AAsf' rated notes prior to other principal distributions is highly supportive of timely interest payments to those classes, in the absence of servicer advancing. Limited Life of Rep Provider (Concern): CVI CVF III Lux Master S.a.r.l., as rep provider, will only be obligated to repurchase a loan due to breaches prior to the payment date in September 2017. Thereafter, a reserve fund will be available to cover amounts due to noteholders for loans identified as having rep breaches. Amounts on deposit in the reserve fund, as well as the increased level of subordination, will be available to cover additional defaults and losses resulting from rep weaknesses or breaches occurring on or after the payment date in September 2017. The rep provider for this transaction is different from the prior two MCMLT transactions and is an indirect owner of the sponsor, Mill City Holdings, LLC. Tier 2 Representation Framework (Concern): Fitch generally considers the representation, warranty, and enforcement (RW&E) mechanism construct for this transaction to be generally consistent with a Tier 2 framework due to the inclusion of knowledge qualifiers and the exclusion of loans from certain reps as a result of third-party due diligence findings. Thus, Fitch increased its 'AAAsf' loss expectations by approximately 235 basis points (bps) to account for increased credit risk arising from weaknesses in the reps. Timing of Recordation and Document Remediation (Neutral): An updated title and tax search, as well as a review to confirm that the mortgage and subsequent assignments were recorded in the relevant local jurisdiction, was also performed. The review confirmed that all mortgages and subsequent assignments were recorded in the relevant local jurisdiction or were in the process of being recorded. While the expected timelines for recordation and remediation are viewed by Fitch as reasonable, the obligation of CVI CVF III Lux Master S.a.r.l. to repurchase loans, for which assignments are not recorded and endorsements are not completed by the payment date in September 2017, aligns the issuer's interests regarding completing the recordation process with those of noteholders. While there will not be an asset manager in this transaction, the indenture trustee will be reviewing the custodian reports. The indenture trustee will request CVI CVF III Lux Master S.a.r.l. to purchase any loans with outstanding assignment and endorsement issues two days prior to the September 2017 payment date. Clean Current Loans (Positive): Fitch's analysis of loans that have had clean pay histories for 24 months or more found a reduced probability of default relative to unseasoned loans with similar attributes. To account for this difference, Fitch reduced the pool's lifetime default expectations by approximately 20%. Deferred Amounts (Negative): Non-interest-bearing principal forbearance amounts totaling $19.5 million (3.87% of the unpaid principal balance) are outstanding on 520 loans. Fitch included the deferred amounts when calculating the borrower's LTV and sLTV, despite the lower payment and amounts not being owed during the term of the loan. The inclusion resulted in higher PDs and LS than if there were no deferrals. Fitch believes that borrower default behavior for these loans will resemble that of borrowers with higher LTVs, as exit strategies (that is, sale or refinancing) will be limited relative to those borrowers with more equity in the property. Bulk Sale Rights: On the first payment date in which the aggregate pool balance is less than 20% of the initial balance, the controlling holder will have the option to have the issuer sell the remaining loans in total as long as the proceeds are not less than the minimum price. The minimum price is set as the greater of the fair value price of all remaining loans (including any fees) and the sum of the outstanding class principal balance, unpaid interest and any fees, expenses and indemnification amounts. Solid Alignment of Interest (Positive): The sponsor, Mill City Holdings, LLC, will acquire and retain a 5% interest in each class of the securities to be issued. In addition, the rep provider is an indirect owner of the sponsor. CRITERIA APPLICATION Fitch's analysis incorporated one criteria variation. The TPR firm did not conduct a BPO reconciliation on a sample of the loans as described in the 'U.S. RMBS Seasoned and Re-performing Loan criteria'. There is no rating impact as the review is a cursory check to determine if the BPOs were conducted on the correct property. This review is conducted by an appraisal company, which Fitch reviewed, providing the BPOS as part of their quality control process. RATING SENSITIVITIES Fitch's analysis incorporates sensitivity analyses to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at both the metropolitan statistical area (MSA) and national levels. 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 be considered in the surveillance of the transaction. Fitch conducted sensitivity analysis determining 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 38.6% at 'AAAsf'. The analysis indicates 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'. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 Fitch was provided with Form ABS Due Diligence-15E ('Form 15E') as prepared by JCIII & Associates (JCIII), AMC Diligence LLC (AMC) and Meridian Asset Services (Meridian). The third-party due diligence described in Form 15E focused on regulatory compliance, pay history, the presence of key documents in the loan file and data integrity. In addition, Meridian was retained to perform an updated title and tax search, as well as a review to confirm that the mortgage and subsequent assignments were recorded in the relevant local jurisdictions. A pay history and data integrity review was competed on 100% of the pool. A regulatory compliance review was conducted on 99% of the pool. A servicing comment review was not performed. Fitch considered this information in its analysis and as a result, Fitch made the following adjustment(s) to its analysis: Fitch made an adjustment on 122 loans that were subject to federal, state and/or local predatory testing. These loans contained material violations including an inability to test for high cost violations or confirm compliance, which could expose the trust to potential assignee liability. These loans were marked as 'indeterminate.' Typically, the HUD issues are related to missing the Final HUD, illegible HUDs, incomplete HUDs due to missing pages, or only having estimated HUDs where the final HUD1 was not used to test for high cost loans. To mitigate this risk, Fitch assumed a 100% LS for loans in the states that fall under Freddie Mac's 'do not purchase' list of high cost or 'high risk.' 21 loans were impacted by this approach. For the remaining 101 loans, where the properties are not located in the states that fall under Freddie Mac's 'do not purchase' list, the likelihood of all loans being high cost is lower. However, Fitch assumes the trust could potentially incur additional legal expenses. Fitch increased its LS expectations by 5% for these loans to account for the risk. There were 71 loans missing modification documents or a signature on modification documents. For these loans, timelines were extended by an additional three months, in addition to the six-month timeline extension applied to the entire pool. The statute of limitations had not expired for one loan for TILA. As a result, Fitch increased its loss severity expectations by 5% for this loan to account for the risk of the possibility of challenges to foreclosure and associated legal costs. Twelve loans did not receive a compliance review due to incomplete loan files. Fitch assumed a 100% loss on these loans due to the potential risk for high cost issues and assignee liability. MILL CITY 2016-1: Moody's Assigns Ba1 Rating on Class B1 Notes -------------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to five classes of notes issued by Mill City Mortgage Loan Trust 2016-1. The certificates are backed by one pool of seasoned, performing and re-performing residential mortgage loans. The collateral pool is comprised of 1,986 first lien, fixed-rate and adjustable rate mortgage loans, and has a non-zero updated weighted average FICO score of 699 and a weighted average current LTV of 82.4%. Approximately 70.1% of the loans in the collateral pool have been previously modified. Fay Servicing LLC and Shellpoint Mortgage Servicing, are the servicers for the loans in the pool. The servicers will not advance any principal or interest on the delinquent loans. The complete rating actions are: Issuer: Mill City Mortgage Loan Trust 2016-1 Cl. A1, Definitive Rating Assigned Aaa (sf) Cl. M1, Definitive Rating Assigned Aa2 (sf) Cl. M2, Definitive Rating Assigned A2 (sf) Cl. M3, Definitive Rating Assigned Baa2 (sf) Cl. B1, Definitive Rating Assigned Ba1 (sf) RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Moody's expected losses on MCMLT 2016-1's collateral pool average 11.00% in its base case scenario. Moody's loss estimates take into account the historical performance of Prime, Alt-A and Subprime loans that have similar collateral characteristics as the loans in the pool, and also incorporate an expectation of a continued strong credit environment for RMBS, supported by improving home prices over the next two to three years. The methodologies used in these ratings were "Moody's Approach to Rating Securitisations Backed by Non-Performing and Re-Performing Loans" published in August 2016 and "US RMBS Surveillance Methodology" published in November 2013. Collateral Description MCMLT 2016-1's collateral pool is primarily comprised of seasoned, re-performing mortgage loans. Approximately 70.1% of the loans in the collateral pool have been previously modified. The majority of the loans underlying this transaction exhibit collateral characteristics similar to that of seasoned Alt-A mortgages. Moody's based its expected losses on a pool of re-performing mortgage loans on its estimates of 1) the default rate on the remaining balance of the loans and 2) the principal recovery rate on the defaulted balances. The two factors that most strongly influence a re-performing mortgage loan's likelihood of re-default are the length of time that the loan has performed since a loan modification, and the amount of the reduction in the monthly mortgage payment as a result of the modification. The longer a borrower has been current on a re-performing loan, the less likely the borrower is to re-default. Approximately 79.2% of the borrowers have been current on their payments for at least the past 24 months. Moody's estimated expected losses for the pool using two approaches -- (1) pool-level approach, and (2) re-performing loan level analysis. In both approaches, we calculate the pool's total expected loss by adding the loans' non-deferred expected losses to 50% of the deferred principal amounts. In the pool-level approach, Moody's estimates losses on the pool by using a approach similar to our surveillance approach wherein we apply assumptions on expected future delinquencies, default rates, loss severities and prepayments as observed from Moody's surveillance of similar collateral. Moody's projects future annual delinquencies for eight years by applying an initial annual default rate and delinquency burnout factors. Moody's analysis indicates that post-2005 mortgage loans that have re-performed for 24 months since modification have approximately 13%-19% re-default rate across all asset types within the next year. The post 2005 loans that have not been modified show annualized default rate of 2%-14% across all asset types. Based on the loan characteristics of the pool and the demonstrated pay histories, Moody's expects an annual delinquency rate of 8.90% on the collateral pool for year one. Moody's then calculated future delinquencies on the pool using our default burnout and voluntary conditional prepayment rate (CPR) assumptions. The delinquency burnout factors reflect our future expectations of the economy and the U.S. housing market. Moody's then aggregated the delinquencies and converted them to losses by applying pool-specific lifetime default frequency and loss severity assumptions. Moody's loss severity assumptions are based off observed severities on liquidated seasoned loans and reflect the lack of principal and interest advancing on the loans. Moody's also conducted a loan level analysis on MCMLT 2016-1's collateral pool. Moody's applied loan-level baseline lifetime propensity to default assumptions based on the historical performance of seasoned Prime, Alt-A and Subprime loans with similar collateral characteristics and payment histories. Moody's then adjusted this base default propensity up for (1) adjustable-rate loans, (2) loans that have the risk of coupon step-ups and (3) loans with high updated loan to value ratios (LTVs). Moody's applied a higher baseline lifetime default propensity for interest-only loans, using the same adjustments. To calculate the final expected loss for the pool, Moody's applied a loan-level loss severity assumption based on the loans' updated estimated LTVs. Moody's further adjusted the loss severity assumption upwards for loans in states that give super-priority status to homeowner association (HOA) liens, to account for potential risk of HOA liens trumping a mortgage. The final expected loss for the collateral pool reflects the due diligence scope and findings of two independent third party review (TPR) firms as well as our assessment of MCMLT 2016-1's representations & warranties (R&Ws) framework. Transaction Structure MCMLT 2016-1 has a sequential priority of payments structure, in which a given class of notes can only receive principal payments when all the classes of notes above it have been paid off. To the extent that the overcollateralization amount is zero, realized losses will be allocated to the notes in a reverse sequential order starting with the lowest subordinate bond. The Class A1, M1, M2, and M3 notes carry a fixed-rate coupon subject to the collateral adjusted net weighted average coupon (WAC) and applicable available funds cap. The Class B1, B2, B3 and B4 are Variable Rate Notes where the coupon is equal to the lesser of adjusted net WAC and applicable available funds cap. There are no performance triggers in this transaction. In previously issued MCMLT transactions, the monthly excess cash flow can leak out after paying any net WAC shortfalls and previously unpaid expenses. However, the monthly excess cash flow in this transaction, after payment of such expenses, if any, will be fully captured to pay the principal balance of the bonds sequentially, allowing for a faster paydown of the bonds. Moody's modeled MCMLT 2016-1's cashflows using SFW, a cashflow tool developed by Moody's Analytics. To assess the final rating on the notes, Moody's ran 96 different loss and prepayment scenarios through SFW. The scenarios encompass six loss levels, four loss timing curves, and four prepayment curves. The structure allows for timely payment of interest and ultimate payment of principal with respect to the notes by the legal final maturity. Third Party Review Two independent third party review (TPR) firms conducted due diligence on approximately 100% of the loans in MCMLT 2016-1's collateral pool. The two TPR firms -- JCIII & Associates, Inc. (subsequently acquired by American Mortgage Consultants), and American Mortgage Consultants -- reviewed compliance, data integrity and key documents, to verify that loans were originated in accordance with federal, state and local anti-predatory laws. The TPR firms also conducted audits of designated data fields to ensure the accuracy of the collateral tape. Meridian Asset Services Inc., reviewed the title and tax reports for all the loans in the pool. Based on Moody's analysis of the third-party review reports, it determined that a portion of the loans had legal or compliance exceptions that could cause future losses to the trust. Moody's incorporated an additional hit to the loss severities for these loans to account for this risk. The title review includes confirming the recordation status of the mortgage and the intervening chain of assignments, the status of real estate taxes and validating the lien position of the underlying mortgage loan. Once securitized, delinquent taxes will be advanced on behalf of the borrower and added to the borrower's account. The servicer will be reimbursed for delinquent taxes from the top of the waterfall, as a servicing advance. The representation provider has deposited collateral of $1.0 million in Assignment Reserve Account to ensure one or more third parties monitored by the Depositor completes all assignment and endorsement chains and record an intervening assignment of mortgage as necessary. Representations & Warranties Moody's ratings also factor in MCMLT 2016-1's weak representations and warranties (R&Ws) framework because they contain many knowledge qualifiers and the regulatory compliance R&W does not cover monetary damages that arise from TILA violations whose right of rescission has expired. While the transaction provides for a Breach Reserve Account to cover for any breaches of R&Ws, the size of the account is small relative to MCMLT 2016-1's aggregate collateral pool ($504.5 million). An initial deposit of $1.1 million will be remitted to the Breach Reserve Account on the closing date, with an initial Breach Reserve Account target amount of $1.8 million. Transaction Parties The transaction benefits from an adequate servicing arrangement. Shellpoint Mortgage Servicing will service 71.3% of the pool and Fay Servicing LLC will service 28.7% of the pool. Moody's assess Shellpoint Mortgage Servicing ("Shellpoint") (SQ3+), higher compared to their peers. Deutsche Bank National Trust Company is the Custodian of the transaction. The Delaware Trustee for MCMLT 2016-1 is Wilmington Savings Fund Society, FSB, d/b/a, Christiana Trust. MCMLT 2016-1's Indenture Trustee is U.S. Bank National Association. Factors that would lead to an upgrade or downgrade of the ratings: 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 obligors defaulting 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. ML-CFC COMMERCIAL 2006-2: Moody's Hikes Class B Debt Rating to Ba1 ------------------------------------------------------------------ Moody's Investors Service has upgraded the ratings on two classes, affirmed the ratings on three classes and downgraded the rating on one class in ML-CFC Commercial Mortgage Trust 2006-2 as follows: -- Cl. AJ, Upgraded to A2 (sf); previously on Mar 23, 2016 Upgraded to Baa1 (sf) -- Cl. B, Upgraded to Ba1 (sf); previously on Mar 23, 2016 Affirmed Ba2 (sf) -- Cl. C, Affirmed B2 (sf); previously on Mar 23, 2016 Affirmed B2 (sf) -- Cl. D, Affirmed C (sf); previously on Mar 23, 2016 Affirmed C (sf) -- Cl. E, Affirmed C (sf); previously on Mar 23, 2016 Affirmed C (sf) -- Cl. X, Downgraded to Ca (sf); previously on Mar 23, 2016 Downgraded to B2 (sf) RATINGS RATIONALE The ratings on two P&I classes were upgraded based primarily on an increase in credit support resulting from loan paydowns and amortization. The deal has paid down 81% since Moody's last review. The ratings on three P&I classes were affirmed because the ratings are consistent with Moody's expected loss. The rating on the IO Class, Class X, was downgraded because it is not, nor expected to, receive monthly interest payments. Moody's rating action reflects a base expected loss of 39.5% of the current balance, compared to 7.9% at Moody's last review. Moody's base expected loss plus realized losses is now 9.6% of the original pooled balance, compared to 9.8% 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 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. Please note that on June 30, 2016, Moody's released a "Request for Comment" in which it has requested market feedback on potential clarifications to its methodology for rating IO securities called "Moody's Approach to Rating Structured Finance Interest-Only Securities," dated October 20, 2015. If the revised Credit Rating Methodology is implemented as proposed, we would withdraw the Credit Rating on Class X as this bond has expected future excess interest payments of zero and the obligation has in effect matured. Please refer to Moody's Request for Comment, titled "Interest-Only (IO) Securities" for further details regarding the implications of the proposed Credit Rating Methodology revisions on certain Credit Ratings. 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 12, compared to 52 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 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 August 8, 2016 distribution date, the transaction's aggregate certificate balance has decreased by 94% to $111 million from $1.84 billion at securitization. The certificates are collateralized by 16 mortgage loans ranging in size from less than 1% to 15% of the pool, with the top ten loans constituting 83% of the pool. 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. Thirty loans have been liquidated from the pool, resulting in an aggregate realized loss of $134 million (for an average loss severity of 51%). Twelve loans, constituting 75% of the pool, are currently in special servicing. The largest specially serviced loan is the Marketplace of Matteson Shopping Center Loan ($16.8 million -- 15.1% of the pool), which is secured by a 281,000 square foot (SF) retail center located in Matteson, Illinois. The loan transferred to special servicing in October 2013 due to imminent monetary default. The June 2016 economic occupancy was 78%, however, the physical occupancy was 56% with 49% of the NRA rolling in the next 12 months. The special servicer indicated that once the subject is stabilized, the disposition process will begin. The second largest specially serviced loan is the Sam's Club Timonium Loan ($14.9 million -- 13.5% of the pool), which is secured by a single tenant retail property in Timonium, Maryland. The loan transferred to special servicing in May 2016 for maturity default after the borrower failed to secure financing to pay off the loan when it matured in April 2016. Per the borrower, they are working with Walmart to have the Sam's Club lease extended ahead of the lease expiration. The special servicer is dual tracking exercising remedies and restructuring the loan with the borrower. The remaining ten specially serviced and troubled loans are secured by a mix of property types. Moody's estimates an aggregate $42.7 million loss for the specially serviced and troubled loans (49% expected loss on average). Moody's has also identified one troubled loan representing 4% of the pool. Moody's received full year 2015 operating results for 100% of the pool, and full or partial year 2016 operating results for 75% of the pool. Moody's weighted average conduit LTV is 115%, 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 26% 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 1.12X and 1.00X, respectively, compared to 1.44X 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 three conduit loans represent 21% of the pool balance. The largest loan is the Northwest Kinetics Building Loan ($8.4 million -- 7.6% of the pool), which is secured by a 77,000 SF office property located in Tacoma, Washington. The property is 100% leased to Charles River Laboratories through January 2021 and is used for clinical trials. The loan is on the watchlist after borrower was unable to payoff by the loan's anticipated repayment date ("ARD") in May 2016. Moody's incorporated a lit/dark analysis to account for the single tenant risk. Moody's LTV and stressed DSCR are 125% and 0.95X, respectively. The second largest loan is the Woodland Crossings Loan ($8.3 million -- 7.5% of the pool), which is secured by a 114,000 SF grocery anchored retail center in Woodland, California. As of March 2016, the property was 100% leased, unchanged since 2011 when the property was 88% leased. The loan has amortized approximately 17% and has a final maturity date in July 2017. Moody's LTV and stressed DSCR are 92% and 1.23X, respectively. The third largest loan is the Pioneer Plaza Loan ($6.7 million -- 6.1% of the pool), which is secured by a 99,000 SF grocery anchored retail shopping center in Arlington, Texas. As of March 2016, the property was 84% leased, unchanged from the prior year and down from 89% in 2014. The loan is on the watchlist after the borrower was unable to payoff by the May 2016 ARD. Moody's LTV and stressed DSCR are 131% and 0.78X, respectively. MORGAN STANLEY 2013-C12: Moody's Affirms Ba2 Rating on Cl. E Notes ------------------------------------------------------------------ Moody's Investors Service has affirmed the ratings on 13 classes in Morgan Stanley Bank of America Merrill Lynch Trust 2013-C12 Commercial Mortgage Pass-Through Certificates as follows: -- Cl. A-1, Affirmed Aaa (sf); previously on Sep 25, 2015 Affirmed Aaa (sf) -- Cl. A-2, Affirmed Aaa (sf); previously on Sep 25, 2015 Affirmed Aaa (sf) -- Cl. A-3, Affirmed Aaa (sf); previously on Sep 25, 2015 Affirmed Aaa (sf) -- Cl. A-4, Affirmed Aaa (sf); previously on Sep 25, 2015 Affirmed Aaa (sf) -- Cl. A-SB, Affirmed Aaa (sf); previously on Sep 25, 2015 Affirmed Aaa (sf) -- Cl. A-S, Affirmed Aaa (sf); previously on Sep 25, 2015 Affirmed Aaa (sf) -- Cl. B, Affirmed Aa3 (sf); previously on Sep 25, 2015 Affirmed Aa3 (sf) -- Cl. C, Affirmed A3 (sf); previously on Sep 25, 2015 Affirmed A3 (sf) -- Cl. D, Affirmed Baa3 (sf); previously on Sep 25, 2015 Affirmed Baa3 (sf) -- Cl. E, Affirmed Ba2 (sf); previously on Sep 25, 2015 Affirmed Ba2 (sf) -- Cl. F, Affirmed B1 (sf); previously on Sep 25, 2015 Affirmed B1 (sf) -- Cl. PST, Affirmed A1 (sf); previously on Sep 25, 2015 Affirmed A1 (sf) -- Cl. X-A, Affirmed Aaa (sf); previously on Sep 25, 2015 Affirmed Aaa (sf) RATINGS RATIONALE The ratings on eleven P&I classes were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The rating on the IO class, Class X-A, was affirmed based on the credit performance (or the weighted average rating factor or WARF) of its referenced classes. The rating the exchangeable class, Class PST, was affirmed based on the credit performance (or the weighted average rating factor or WARF) of its exchangeable classes. Moody's rating action reflects a base expected loss of 2.6% of the current balance. Moody's base expected loss plus realized losses is now 2.5% of the original pooled balance. 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 28, the same as at Moody's last review. DEAL PERFORMANCE As of the August 17, 2016 distribution date, the transaction's aggregate certificate balance has decreased by 2% to $1.23 billion from $1.28 billion at securitization. The certificates are collateralized by 72 mortgage loans ranging in size from less than 1% to 10.3% of the pool, with the top ten loans constituting 49% of the pool. Two loans, constituting 1.2% of the pool, have defeased and are secured by US government securities. Four loans, constituting 6% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. There are currently no loans in special servicing. Moody's received full year 2015 operating results for 98% of the pool and 2014 operating results for 100% of the pool. Moody's weighted average conduit LTV is 95%, compared to 98% 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 9.5%. Moody's actual and stressed conduit DSCRs are 1.60X and 1.11X, respectively, compared to 1.57X and 1.07X 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 24% of the pool balance. The largest loan is the Merrimack Premium Outlets Loan ($127.5 million -- 10.3% of the pool), which is secured by a 408,996 square foot (SF) outlet center located in Merrimack, New Hampshire. The outlet center is situated immediately off the Everett Turnpike within the Southern New Hampshire section of the greater Boston market area, approximately ten miles north of the Massachusetts/New Hampshire border. The property was developed by Simon Property Group, L.P. and opened for business in June 2012. As of March 2016, the property was 100% leased, the same as at securitization. Moody's LTV and stressed DSCR are 98% and 0.99X respectively, compared to 103% and 0.94X at the last review. The second largest loan is the 15 MetroTech Center Loan ($84.8 million -- 6.9% of the pool), which is secured by a 19-story, Class A office building containing 649,492 SF of net rentable area located in Brooklyn, New York. The loan represents a pari-passu interest in a $160.2 million mortgage loan. It is one of seven Class A buildings situated within the MetroTech Center, all of which are owned by the sponsor. The property was built in 2003 and contains a two-level below-grade parking garage offering 113 spaces. As of March 2016, the building was 100% leased by three credit tenants who signed leases prior to the building's completion. One of the tenants, WellPoint Inc. currently subleases 92% of their space to seven subtenants. The WellPoint Inc. lease represents 60% of the building's net rentable area (NRA) and is scheduled to expire on June 30, 2020. Moody's LTV and stressed DSCR are 86% and 1.13X, respectively, compared to 88% and 1.11X at the last review. The third largest loan is the City Creek Center Loan ($80.8 million -- 6.5% of the pool), which is secured by 348,537 SF of net rentable area contained within a 628,934 SF regional mall located in Salt Lake City, Utah. City Creek Center opened in March 2012 as part of a $1.5 billion mixed-used redevelopment of downtown Salt Lake City that was started in 2006. In addition to the subject property, the development contains 2.1 million SF of office space, 800 multi-family units and a 4,000-space subterranean garage. The center is anchored by Macy's and Nordstrom. Both anchor units are owned by their respective tenants and are not contributed as collateral for the loan. The borrower owns a leasehold interest in the majority of the collateral and a fee interest in three restaurants (27,685 SF). The ground-lease is with the Church of Latter-day Saints with an initial term of 30 years through March 21, 2042 and four additional 10-year options. Moody's LTV and stressed DSCR are 76% and 1.21X, respectively, compared to 78% and 1.19X at the last review. MORGAN STANLEY 2014-C18: Fitch Affirms B Rating on Cl. 300-E Notes ------------------------------------------------------------------ Fitch Ratings has affirmed Morgan Stanley Bank of America Merrill Lynch Trust (MSBAM) commercial mortgage pass-through certificates, series 2014-C18. The transaction is collateralized by 65 loans and 100 properties. Fitch has only issued ratings for the 300 North LaSalle B Note (300N Rake) certificates issued by MSBAM 2014-C18. These certificates are subordinate in right of payment of interest and principal to the 300 North LaSalle A notes and derive their cash flow solely from the 300 North LaSalle Street loan. The 300N Rake certificates are generally not subject to losses from any of the other loans collateralizing the MSBAM 2014-C18 transaction. No other classes issued by MSBAM 2014-C18 are rated by Fitch. KEY RATING DRIVERS The affirmations are the result of the stable performance of the underlying asset. The certificates represent the beneficial interests in the mortgage loan securing the fee interest in the 300 North LaSalle office property located in Chicago, IL. Per servicer reporting, the subject property was 98% occupied as of April 2016, with a net operating income (NOI) debt service coverage ratio (DSCR) of 2.44x as of year-end (YE) 2015. Constructed in 2009, 300 North LaSalle is a 60-story, class A, LEED Platinum building with a prime location within Chicago's central business district. The institutional-quality tenant roster at the subject includes Kirkland & Ellis LLP, with a lease encompassing 52.8% of net rentable area (NRA) that expires in February 2029, Boston Consulting Group (9.8% of NRA, expiry December 2024), and Quarles & Brady LLP (6.3% of NRA, expiry March 2024). Scheduled lease rollover is minimal in the near term, with in-place leases having an average of 11 years remaining. RATING SENSITIVITIES The Rating Outlook for all classes remains Stable. Due to the recent issuance of the transaction, limited historical servicer reporting, and stable performance, Fitch does not foresee positive or negative ratings migration until a material economic or asset-level event changes the transaction's portfolio-level metrics. The rated certificates are secured by a single property and are, therefore, more susceptible to single-event risk related to the market, sponsor or the largest tenants occupying the property. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third party due diligence was provided or reviewed in relation to this rating action. Fitch affirms these classes: -- $67.4 million class 300-A at 'AA-sf'; Outlook Stable; -- $39 million class 300-B at 'A-sf'; Outlook Stable; -- $57 million class 300-C at 'BBB-sf'; Outlook Stable; -- $49 million class 300-D at 'BB-sf'; Outlook Stable; -- $32 million class 300-E at 'Bsf'; Outlook Stable. Fitch does not rate the A-1, A-2, A-3 of any classes of Morgan Stanley Bank of America Merrill Lynch Trust, series 2014-C18 other than those listed above. MRU STUDENT 2008-A: S&P Lowers Rating on 2 Note Classes to B- ------------------------------------------------------------- S&P Global Ratings lowered its ratings on two classes from MRU Student Loan Trust 2008-A, an asset-backed securities (ABS) transaction backed by private student loans. At the same time, S&P affirmed the ratings on three classes. S&P lowered its ratings on the class A notes because high levels of defaults and the high cost of funds continue to cause a decline in credit enhancement (as measured by parity). Since S&P's last review of the class A notes, the pace of defaults has declined, and they have continued to benefit from the interest reprioritization of other classes. That said, the pace of defaults is still high. S&P will continue to monitor the changes in parity, the pace of defaults, and the benefits the notes receive from both the current interest reprioritization of class C and D interest and the expected future reprioritization of class B interest. S&P affirmed its rating on class B at 'CC (sf)' because it expects this class to experience interest shortfalls in the future and because S&P do not expect this class to be repaid by the legal final maturity date. S&P affirmed its ratings on classes C and D at 'D (sf)' because the affected classes are not receiving any interest payments and because S&P expects interest shortfalls to continue for these classes. Further, S&P also do not expect these classes to be repaid by their legal final maturity dates. S&P do not rate the class E notes. TRANSACTION STRUCTURE The transaction employs various interest subordination triggers. If any class' parity is less than 100%, then the principal payment to restore parity to that class will be made before the interest payment due to the next class with a lower rating. The funds that would otherwise be available to pay subordinate note interest would be allocated to pay principal to the most senior-paying class of notes. The transaction has depleted both the reserve fund and the cash capitalization account. The classes' note interest triggers are tested quarterly, and the transaction can cure a breach if it passes the appropriate performance tests on subsequent distribution dates. However, S&P do not believe the interest trigger, which caused classes C and D to miss interest payments, will be cured and they will continue to breach, considering the underlying private student loan pool's performance trends. CAPITAL STRUCTURE Current Note % of Coupon Class bal. ($)(i) factor (%) total type Maturity A-1 A 9,690,607 38.76 12.22 7.40% 1/25/2041 A-1 B 29,196,635 38.76 36.83 3ML+3.0% 1/25/2041 B 6,058,371 81.03 7.64 3ML+5.5% 1/25/2041 C 7,321,578 81.03 9.24 3ML+7.5% 1/25/2041 D 6,311,175 81.03 7.96 3ML+10.0% 1/25/2041 E 20,699,128 127.22 26.11 3ML+3.0% 1/25/2041 79,277,493 56.27 100.00 (i)Current note balance as of the July 25, 2016, distribution date. 3ML--Three-month LIBOR. The cost of funds is high relative to the interest received from the collateral. LOAN STATUS The following table shows the loan status as of June 2016 and March 2013. Levels of deferment have decreased significantly. The loans in non-paying status (deferment, forbearance, and 30+ delinquencies) have decreased to 9.99% in June 2016 from 28.48% in March 2013. Loan Status (%) Status June 2016 March 2013 In School 0.00 4.29 Repayment 94.31 71.97 Deferment 3.00 19.95 Forbearance 2.69 3.79 Total 100.00 100.00 4.30% of the loans in the repayment status are delinquent more than 30 days. REPORTED PARITY Reported parity continues to decline: Reported Parity (%) Class July 2016 April 2013 Change A 104.72 117.94 -13.22 B 92.05 106.89 -14.84 C 80.31 96.03 -15.72 D 72.36 88.29 -15.93 The reported parity for the classes above, which is used for the interest subordination triggers, uses the ending collateral balance and the beginning note balance for calculation. Class A's calculated parity (the ending collateral balance over the ending class A note balance) is 108.23%. The class A reported parity is expected to fall below 100% before the class A calculated parity. Accordingly, class A will begin receiving the reprioritization of class B's interest before class A is actually undercollateralized. REPORTED CUMULATIVE DEFAULT RATE Reported cumulative defaults have increased to 38.81% as of June 2016 from 26.35% as of March 2013. The defaults taken for the year ending June 2016 have fallen to 3.19% compared to defaults taken for the year ending March 2013 of 6.09%. Although the decrease in the pace of defaults is a positive, 3.19% annual defaults is still high. S&P expects lifetime cumulative gross defaults to potentially exceed 50% of the original pool balance. S&P will continue to monitor the performance of the student loan receivables backing this trust relative to our cumulative default expectations and available credit enhancement. RATINGS LOWERED MRU Student Loan Trust 2008-A Student loan asset-backed notes series 2008-A To From Class CUSIP Rating Rating A-1A 55348EAA2 B- (sf) B (sf) A-1B 55348EAB0 B- (sf) B (sf) RATINGS AFFIRMED MRU Student Loan Trust 2008-A Student loan asset-backed notes series 2008-A Class CUSIP Rating B 55348EAC8 CC (sf) C 55348EAD6 D (sf) D 55348EAE4 D (sf) NEUBERGER BERMAN XV: S&P Affirms BB Rating on Class E Notes ----------------------------------------------------------- S&P Global Ratings affirmed its ratings on the class A-1, A-2, B-1, B-2, C, D, E, and F notes from Neuberger Berman CLO XV Ltd., a U.S. collateralized loan obligation (CLO) transaction that closed in 2013. The rating actions follow S&P's review of the transaction's performance using data from the July 21, 2016, trustee report. The transaction is scheduled to remain in its reinvestment period until October 2017. Since the transaction's effective date, the trustee reported collateral portfolio's weighted average life has decreased to 4.66 years from 5.89 years. This seasoning has decreased the overall credit risk profile. However, the decrease to the credit risk profile from the portfolio seasoning has been offset by credit deterioration in the underlying portfolio. The transaction has seen an increase in assets rated 'CCC+' and below since the January 2014 effective date report, which S&P used for its February 2014 rating affirmations, with the par amount of assets rated 'CCC+' and below increasing to $19.05 million as of July 2016 from $9.68 million as of the effective date report. The weighted average rating of the portfolio has decreased to 'B' from 'B+' over the same period. The transaction does not currently have any exposure to long-dated or defaulted assets. In addition, the transaction has experienced a par loss of $3.33 million since the effective date. This, combined with other factors, has affected the level of credit support available to all tranches, as seen by the decline in the overcollateralization (O/C) ratios since the effective date trustee report: -- The class A/B O/C ratio has decreased to 132.20% from 133.35%. -- The class C O/C ratio has decreased to 120.54% from 121.59%. -- The class D O/C ratio has decreased to 113.39% from 114.38%. -- The class E O/C ratio has decreased to 107.91% from 108.86%. All coverage tests are currently passing and are above the minimum requirements. Although S&P's cash flow analysis indicates higher ratings for the class B-1, B-2, C, D, and F notes, its rating actions consider additional sensitivity runs that allowed for volatility in the underlying portfolio given that the transaction is still in its reinvestment period. The affirmations of the ratings 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, 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 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 will take rating actions as S&P deems necessary. RATINGS AFFIRMED Neuberger Berman CLO XV Ltd. Class Rating A-1 AAA (sf) A-2 AAA (sf) B-1 AA (sf) B-2 AA (sf) C A (sf) D BBB (sf) E BB (sf) F B (sf) PARK AVENUE 2016-1: S&P Assigns BB- Rating on Class D Notes ----------------------------------------------------------- S&P Global Ratings assigned its ratings to Park Avenue Institutional Advisers CLO Ltd. 2016-1/Park Avenue Institutional Advisers CLO LLC 2016-1's $363.00 million floating-rate notes. The note issuance is a collateralized loan obligation transaction backed by a revolving pool consisting primarily of broadly syndicated senior secured loans. The 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. RATINGS ASSIGNED Park Avenue Institutional Advisers CLO Ltd. 2016-1/Park Avenue Institutional Advisers CLO LLC 2016-1 Class Rating Amount (mil. $) A-1 AAA (sf) 250.50 A-2 AA (sf) 42.30 B (deferrable) A (sf) 34.40 C (deferrable) BBB- (sf) 23.20 D (deferrable) BB- (sf) 12.60 Subordinated notes (deferrable) NR 42.95 NR--Not rated. PORTER SQUARE I: Fitch Lowers Rating on Class C Notes to 'Dsf' -------------------------------------------------------------- Fitch Ratings has downgraded one class of Porter Square CDO I, Ltd./Inc. as: -- $21,993,286 class C notes to 'Dsf' from 'Csf'; Fitch does not rate the Preference Shares. KEY RATING DRIVERS Fitch's downgrade of the class C notes reflects an event of default occurring on the Aug. 15, 2016, payment date as a result of a default in the payment of interest due and payable on the class C notes. The defaulted rating on the class C notes will be withdrawn within 11 months. The class B notes were paid in full on the Feb. 16, 2016, payment date, causing the class C notes to be the senior most class of notes outstanding. Prior to the Feb. 16, 2016, payment date, the class C notes had been accruing interest since the payment date in February 2008. The transaction continues to be significantly undercollateralized and there are not enough interest proceeds to pay the senior administrative expenses and investment advisory fee, which are payable prior to class C interest in the interest waterfall. Any principal proceeds available after the payment of unpaid senior administrative expenses and the investment advisory fee will be applied towards the principal balance of the class C notes in the principal waterfall. Fitch does not expect the class C notes to receive any future payments towards interest and minimal principal recoveries are expected. RATING SENSITIVITIES The underlying portfolio is not expected to generate enough interest proceeds to pay interest due on the class C notes. Further, given the degree by which the class C notes are undercollateralized Fitch does not expect the class C noteholders to receive meaningful principal distributions by their legal maturity. As a result, Fitch expects the class C notes to remain in default until the ratings are withdrawn. RAIT CRE I: Moody's Affirms Caa3 Rating on 5 Tranches ----------------------------------------------------- Moody's Investors Service has affirmed the ratings on the following notes issued by RAIT CRE CDO I, Ltd.: -- Cl. A-1A, Affirmed Aa2 (sf); previously on Sep 2, 2015 Affirmed Aa2 (sf) -- Cl. A-1B, Affirmed Aa2 (sf); previously on Sep 2, 2015 Affirmed Aa2 (sf) -- Cl. A-2, Affirmed Baa3 (sf); previously on Sep 2, 2015 Affirmed Baa3 (sf) -- Cl. B, Affirmed B1 (sf); previously on Sep 2, 2015 Affirmed B1 (sf) -- Cl. C, Affirmed Caa1 (sf); previously on Sep 2, 2015 Affirmed Caa1 (sf) -- Cl. D, Affirmed Caa2 (sf); previously on Sep 2, 2015 Affirmed Caa2 (sf) -- Cl. E, Affirmed Caa3 (sf); previously on Sep 2, 2015 Affirmed Caa3 (sf) -- Cl. F, Affirmed Caa3 (sf); previously on Sep 2, 2015 Affirmed Caa3 (sf) -- Cl. G, Affirmed Caa3 (sf); previously on Sep 2, 2015 Affirmed Caa3 (sf) -- Cl. H, Affirmed Caa3 (sf); previously on Sep 2, 2015 Affirmed Caa3 (sf) -- Cl. J, Affirmed Caa3 (sf); previously on Sep 2, 2015 Affirmed Caa3 (sf) RATINGS RATIONALE Moody's has affirmed the ratings on eleven classes of notes because the key transaction metrics are commensurate with the existing ratings. While the credit quality of the remaining pool has deteriorated as evidenced primarily by WARF, this was offset by approximately $93 million of mid to high credit risk loans that have fully amortized since last review. The transaction is highly sensitive to WARR, however expected recovery assumptions have resulted in the current affirmations. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO CLO) transactions. RAIT CRE CDO I, Ltd. is a cash transaction wholly backed by a portfolio of: i) whole loans (75.7% of the deal balance), and ii) mezzanine loans and preferred equity participations (24.3%). They are collateralized by the following property types: i) office (34.8% of the collateral pool balance); ii) anchored retail (26.2%); iii) multifamily (24.4%); iv) industrial (4.8%); v) hospitality (4.0%); and vi) non-core property types (5.8%). As of the trustee's July 5, 2016 report, the aggregate note balance of the transaction, including preferred shares, is $712.7 million, down from $1.018 billion at issuance. Previously, there were partial cancellations to the Class D, F, G and H Notes. In general, holding all key parameters static, the junior note cancellations results 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 of any outstanding classes of notes. The pool contains seven assets totaling $53.4 million (7.6% of the collateral pool balance) that are listed as defaulted securities as of the trustee's July 5, 2016 report. These assets (100% of the defaulted balance) are commercial real estate loans. While there have been limited realized losses on the underlying collateral to date, Moody's does expect significant losses to occur on the defaulted securities. Moody's has identified the following as key indicators of the expected loss in CRE CLO transactions: the weighted average rating factor (WARF), the weighted average life (WAL), the weighted average recovery rate (WARR), and Moody's asset correlation (MAC). Moody's typically models these as actual parameters for static deals and as covenants for managed deals. WARF is a primary measure of the credit quality of a CRE CLO pool. Moody's has updated its assessments for the collateral it does not rate. The rating agency modeled a bottom-dollar WARF (excluding defaulted securities) of 8101, compared to 7941 at last review. The current distribution of Moody's rated collateral and assessments for non-Moody's rated collateral is as follows: Aaa-Aa3 and 0.8% compared to 0.2% at last review, A1-A3 and 1.4% compared to 0.0% at last review, Ba1-Ba3 and 0.2% compared to 0.2% at last review, B1-B3 and 2.7% compared to 4.1% at last review, Caa1-Ca/C and 94.8% compared to 95.4% at last review. Moody's modeled a WAL of 2.8 years, compared to 3.5 years at last review. The WAL is based on assumptions about extensions on the underlying collateral. Moody's modeled a fixed WARR of 44.7%, compared to 42.7% at last review. Moody's modeled a MAC of 100.0%, the same as at last review. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Approach to Rating SF CDOs" published in July 2015. Factors that would lead to an upgrade or downgrade of the ratings: The performance of the notes is subject to uncertainty, because it is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that are subject to change. The servicing decisions of the master and special servicer and surveillance by the operating advisor with respect to the collateral interests and oversight of the transaction will also affect the performance of the rated notes. Moody's Parameter Sensitivities: Changes to any one or more of the key parameters could have rating implications for some of the rated notes, although a change in one key parameter assumption could be offset by a change in one or more of the other key parameter assumptions. The rated notes are particularly sensitive to changes in the recovery rates of the underlying collateral and credit assessments. Reducing the recovery rates of the collateral pool by 10.0% would result in an average modeled rating movement on the rated notes of zero to nine notches downward (e.g., one notch down implies a ratings movement of Baa3 to Ba1). Increasing the recovery rate of the collateral pool by 10.0% would result in an average modeled rating movement on the rated notes of zero to six notches upward (e.g., one notch up implies a ratings movement of Baa3 to Baa2). The primary sources of uncertainty in Moody's assumptions are the extent of growth in the current macroeconomic environment given the weak recovery and certain commercial real estate property markets. Commercial real estate property values continue to improve modestly, along with a rise in investment activity and stabilization in core property type performance. Limited new construction and moderate job growth have aided this improvement. However, sustained growth will not be possible until investment increases steadily for a significant period, non-performing properties are cleared from the pipeline and fears of a euro area recession abate. RITE AID 1999-1: Moody's Hikes Class A-2 Debt Rating to 'B2' ------------------------------------------------------------ Moody's Investors Service upgraded the rating of Rite Aid Pass-Through Trust Certificates, Series 1999-1 and remained the rating under review for possible upgrade as follows: -- Cl. A-2, Upgraded to B2 and Remains On Review for Possible Upgrade; previously on Oct 30, 2015 B3 Placed Under Review for Possible Upgrade RATINGS RATIONALE The rating of the Class A-2 was upgraded due to the value of the real estate collateral relative to the outstanding loan balance which has significantly amortized since securitization (the transaction balance has decreased 45% since securitization , the current balance is $109 per square foot (PSF) compared to $199 PSF at securitization), and the support provided by a residual value insurance provider, which is an investment grade rated entity. The rating of the Class A-2 remained on review for possible upgrade due Rite Aid Corporation senior unsecured rating B3/Caa1 being under review for possible upgrade. On October 28, 2015, the rating of Rite Aid Corporation was placed on review for possible upgrade due to Walgreen Boots Alliance, Inc. (senior unsecured rating Baa2, under review for possible downgrade) pending acquisition of Rite Aid Corporation for $9 per share plus Rite Aid's existing debt in a transaction valued at about $17.2 billion. The transaction is expected to close during the second half of calendar 2016. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING: The ratings of Credit Tenant Lease (CTL) deals are primarily based on the senior unsecured debt rating (or the corporate family rating) of the tenants leasing the real estate collateral supporting the bonds. Other factors that are also considered are Moody's dark value of the collateral (value based on the property being vacant or dark), which is used to determine a recovery rate upon a loan's default and the rating of the residual insurance provider, if applicable. Factors that may cause an upgrade of the ratings include an upgrade in the rating of the corporate tenant or significant loan paydowns or amortization which results in a higher dark loan to value. Factors that may cause a downgrade of the ratings include a downgrade in the rating of the corporate tenant or the residual insurance provider. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in this ratins was "Commercial Real Estate Finance: Moody's Approach to Rating Credit Tenant Lease Financings" published in May 2015. No model was used in this review. DEAL PERFORMANCE As of August 2, 2016, the transaction balance has decreased by 45% to $91.8 million from $167.6 million at securitization. Originally there were two classes, Cl A-1 and Cl A-2. The Cl A-1 paid off in full on July 2, 2016. The outstanding Cl A-2 balance has begun amortizing and will have a balloon payment approximately of $54 million or $64 PSF that is protected by residual insurance. This credit-tenant lease (CTL) transaction is supported by a mortgage on a portfolio of 53 drug stores with a total of 841,411 square feet located in 14 states and the District of Columbia. Each property is subject to a fully bondable, triple net lease guaranteed by Rite Aid Corporation, which provides pharmacy services as well as over-the-counter medication and household items. Residual insurance covers 51 of the 53 properties and is provided by Hartford Fire Insurance Company (Moody's insurance financial strength rating of A1) of The Hartford Financial Services Group (Moody's senior unsecured debt rating of Baa2; stable outlook). The two properties not covered by the residual insurance secure loans will fully amortize by lease expiration. SLM STUDENT 2013-5: Fitch Cuts Ratings on 2 Tranches to Bsf ----------------------------------------------------------- Fitch Ratings has taken the following rating actions on SLM Student Loan Trust 2013-5 (SLM 2013-5): -- Class A-2 affirmed at 'AAAsf'; Outlook Stable; -- Class A-3 downgraded to 'Bsf' from 'AAAsf'; removed from Rating Watch Negative and assigned Outlook Stable; -- Class B downgraded to 'Bsf' from 'A+sf'; removed from Rating Watch Negative and assigned Outlook Stable. The class A-3 notes miss their legal final maturity date under both Fitch's credit and maturity base cases. This technical default would result in interest payments being diverted away from class B, which would cause that note to default as well. In downgrading to 'Bsf' rather than 'CCCsf' or below, which constitutes a criteria variation, Fitch has considered qualitative factors such as Navient's historical commitment to the performance of its securitizations, the revolving credit agreement in place for the benefit of the noteholders, and the eventual full payment of principal in modelling. The trust has entered into a revolving credit agreement with Navient by which it may borrow funds at maturity in order to pay the off notes. Because Navient has the option but not the obligation to lend to the trust, Fitch cannot give full quantitative credit to this agreement. However, the agreement does provide qualitative comfort that Navient is committed to limiting investors' exposure to maturity risk. KEY RATING DRIVERS U.S. Sovereign Risk: The trust collateral comprises 100% Federal Family Education Loan Program (FFELP) loans, with guaranties provided by eligible guarantors and reinsurance provided by the U.S. Department of Education (ED) for at least 97% of principal and accrued interest. The U.S. sovereign rating is currently 'AAA'/Outlook Stable. Collateral Performance: Fitch assumes a base case default rate of 6.5% and a 19.5% default rate under the AAA credit stress scenario. The claim reject rate is assumed to be 0.50% in the base case and 3% in the 'AAA' case. Fitch applies the standard default timing curve, as well as the trailing twelve month (TTM) constant default rate (CDR) and prepayment levels as assumptions for FFELP loans in its cash flow analysis. TTM levels of deferment, forbearance and IBR are 11.18%, 17.41%, and 17.74%, respectively, which are used as the starting point in cash flow modelling. Subsequent declines or increases are modelled as per criteria. The borrower benefit is assumed to be approximately 0.17%, based on information provided by the sponsor. Basis and Interest Rate Risk: Fitch applies its standard basis and interest rate stresses to this transaction as per criteria. Payment Structure: Credit enhancement is provided by overcollateralization, excess spread and, for the class A notes, subordination. As of June 2016, total and senior parity ratios are 101.01% (1.00% CE) and 105.33% (5.06% CE), respectively. Liquidity support is provided by a reserve sized at the greater of 0.25% of the pool balance and $998,874, currently equal to $1,684,566. The transaction will continue to release cash as long as the target OC amount of 1.00% (with a floor of $1,250,000) is maintained. Maturity Risk: Fitch's SLABS cash flow model indicates that the A-2 notes are paid in full on or prior to the legal final maturity date under the 'AAA' rating scenarios. The class A-3 notes, however, do not pay off before their maturity date in any of Fitch's modelling scenarios, including the base cases. If the breach of the class A-3 maturity date triggers an event of default, interest payments will be diverted away from the class B notes, causing them to fail the base cases as well. Operational Capabilities: Day-to-day servicing is provided by Navient Solutions, Inc. (formerly known as Sallie Mae, Inc.). Fitch believes Navient to be an acceptable servicer of FFELP student loans. CRITERIA VARIATIONS For transactions in surveillance, Fitch will treat certain assets such as claims filed as short-term assets in its cash flow analysis. Given that Fitch's current criteria is silent on the treatment of such assets, this treatment is considered a criteria variation. Under the 'Counterparty Criteria for Structured Finance and Covered Bonds', dated July 18, 2016, Fitch looks to its own ratings in analyzing counterparty risk and assessing a counterparty's creditworthiness. The definition of permitted investments for this deal allows for the possibility of using investments not rated by Fitch, which represents a criteria variation. Fitch does not believe such variation has a measurable impact upon the ratings assigned. While under Fitch's maturity and credit base case scenarios the class A-3 notes miss their legal final maturity date, and the class B notes suffer an interest shortfall due to the default of the class A-3 notes, Fitch is downgrading to 'Bsf', rather than 'CCCsf' or below, which constitutes a criteria variation. SYMPHONY CLO XI: S&P Affirms BB Rating on Class E Notes ------------------------------------------------------- S&P Global Ratings raised its ratings on the class B-1, B-2, C, and D notes and affirmed its ratings on the class A and E notes from Symphony CLO XI Ltd. Partnership, a U.S. collateralized loan obligation (CLO) transaction that closed in February 2013 and is managed by Symphony Asset Management LLC. The rating actions follow S&P's review of the transaction's performance, using data from the July 7, 2016, trustee report. The transaction is scheduled to remain in its reinvestment period until January 2017. The upgrades primarily reflect credit quality improvement in the underlying collateral and an increase in credit support since S&P's effective date rating affirmations in December 2013, which referenced the April 2013 trustee report. Collateral with an S&P Global Ratings' credit rating of 'BB-' or higher has increased significantly from the April 2013 effective date report used for S&P's previous review. The purchasing of this higher-rated collateral has raised the portfolio's weighted average rating to 'B+' from 'B'. The transaction has also benefited from collateral seasoning, with the reported weighted average life decreasing to 4.57 years from 5.61 years in April 2013. This seasoning, combined with the improved credit quality, has decreased the overall credit risk profile, which, in turn, provided more cushion to the tranche ratings. Additionally, par gain in the underlying portfolio since the effective date has led to a modest increase in the overcollateralization (O/C) ratios from the April 2013 trustee report: -- The class A/B O/C ratio was 137.14%, up from the 136.92% reported in April 2013. -- The class C O/C ratio was 123.73%, up from 123.54%. -- The class D O/C ratio was 116.18%, up from 116.00%. -- The class E O/C ratio was 109.88%, up from 109.71%. Although S&P's cash flow analysis indicated higher ratings for the class E notes, its rating actions consider additional sensitivity runs that considered the exposure to specific distressed assets and allowed for volatility in the underlying portfolio given that the transaction is still in its reinvestment period. The affirmations reflect S&P's belief that the credit support available is commensurate with the current rating levels. S&P's review of the transaction relied, in part, upon a criteria interpretation with respect to our May 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 Nationally Recognized Statistical Rating Organizations (NRSROs) to assess the credit quality of assets not rated by S&P Global Ratings. The criteria provide specific guidance for the treatment of corporate assets not rated by S&P Global Ratings, while 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 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 will take rating actions as S&P deems necessary. RATINGS RAISED Symphony CLO XI Ltd. Partnership Rating Class To From B-1 AA+ (sf) AA (sf) B-2 AA+ (sf) AA (sf) C A+ (sf) A (sf) D BBB+ (sf) BBB (sf) RATINGS AFFIRMED Symphony CLO XI Ltd. Partnership Class Rating A AAA (sf) E BB (sf) WELLS FARGO 2016-BNK1 P: Fitch Assigns BB- Rating on Cl. E Certs ---------------------------------------------------------------- Fitch Ratings has assigned these ratings and Rating Outlooks to Wells Fargo Commercial Mortgage Trust 2016-BNK1 commercial mortgage pass-through certificates, series 2016-BNK1: -- $36,136,000 class A-1 'AAAsf'; Outlook Stable; -- $230,000,000 class A-2 'AAAsf'; Outlook Stable; -- $267,018,000 class A-3 'AAAsf'; Outlook Stable; -- $45,766,000 class A-SB 'AAAsf'; Outlook Stable; -- $67,197,000 class A-S 'AAAsf'; Outlook Stable; -- $578,920,000b class X-A 'AAAsf'; Outlook Stable; -- $150,933,000b class X-B 'A-sf'; Outlook Stable; -- $44,452,000 class B 'AA-sf'; Outlook Stable; -- $39,284,000 class C 'A-sf'; Outlook Stable; -- $39,284,000ab class X-D 'BBB-sf'; Outlook Stable; -- $18,608,000ab class X-E 'BB-sf'; Outlook Stable; -- $8,271,000ab class X-F ' B-sf'; Outlook Stable; -- $39,284,000a class D 'BBB-sf'; Outlook Stable; -- $18,608,000a class E 'BB-sf'; Outlook Stable; -- $8,271,000a class F 'B-sf'; Outlook Stable. a) Privately placed pursuant to Rule 144A. b) Notional amount and interest-only. c) Vertical credit risk retention interest representing 5% of pool balance (as of the closing date). Fitch does not rate the $31,013,795a class G, $31,013,795ab class X-G, or $43,527,883.97ac RRI Interest. The classes above reflect the final ratings and deal structure. The certificates represent the beneficial ownership interest in the trust, primary assets of which are 40 loans secured by 46 commercial properties having an aggregate principal balance of $870,557,680 as of the cut-off date. The loans were contributed to the trust by Wells Fargo Bank, National Association, Bank of America, National Association, and Morgan Stanley Mortgage Capital Holdings LLC. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 85.6% of the properties by balance, asset summary reviews on 100.0% of the pool, and cash flow analysis on 88.7% of the pool. KEY RATING DRIVERS Lower Fitch Leverage: The pool's leverage statistics are lower than those of other recent Fitch-rated, fixed-rate multiborrower transactions. The pool's Fitch debt service coverage ratio (DSCR) and Fitch loan to value (LTV) of 1.22x and 100.5%, respectively, are better than the year-to-date (YTD) 2016 average Fitch DSCR and Fitch LTV of 1.16x and 107.5%, respectively. Excluding credit-opinion loans, the pool's Fitch DSCR and Fitch LTV is 1.18x and 108.9%, respectively. Investment-Grade Credit Opinion Loans: The two largest loans in the pool, The Shops at Crystals (9.2% of the pool) and Vertex Pharmaceutical HQ (9.2% of the pool), have investment grade credit opinions. The Shops at Crystals has an investment-grade credit opinion of 'BBB+sf*' on a stand-alone basis. Vertex Pharmaceutical HQ has an investment-grade credit opinion of 'BBB-sf*' on a stand-alone basis. The two loans have a weighted average Fitch DSCR and Fitch LTV of 1.41x and 62.7%, respectively. Higher Pool Concentration: The top 10 loans comprise 58.7% of the pool, which is greater than the YTD 2016 average of 54.6% and 49.3%. The pool's loan concentration index (LCI) is 471, which is above the YTD 2016 average of 420. Additionally, the resulting sponsor concentration index (SCI) delta compared to the LCI is 23.4%, which is above the YTD 2016 average delta of 16.7%. Simon Property Group, L.P. (rated 'A'/F1') is the sponsor of two of the top 10 loans, representing 13.5% of the pool. RATING SENSITIVITIES For this transaction, Fitch's net cash flow (NCF) was 19.6% below the most recent year's net operating income (NOI; for properties for which a full-year NOI was provided, excluding properties that were stabilizing during this period). Unanticipated further declines in property-level NCF could result in higher defaults and loss severities on defaulted loans and in potential rating actions on the certificates. Fitch evaluated the sensitivity of the ratings assigned to WFCM 2016-BNK1 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 'Asf' could result. In a more severe scenario, in which NCF declined a further 30% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB+sf' could result. WFRBS COMMERCIAL 2014-C23: Fitch Affirms B Rating on X-D Certs -------------------------------------------------------------- Fitch Ratings has affirmed 16 classes of WFRBS Commercial Mortgage Trust 2014-C23 commercial mortgage pass-through certificates. KEY RATING DRIVERS The affirmations of the WFRBS 2014-C23 certificates are based on the stable performance of the underlying collateral pool. There have been no delinquent or specially serviced loans since issuance. The stable performance reflects no material changes to pool metrics since issuance, therefore the original rating analysis was considered in affirming the transaction. The pool's aggregate principal balance has been paid down 1.16% to $930 million from $941 million. Fitch has designated one loan (3%) as a Fitch Loan of Concern (FLOC). The FLOC (3% of the pool) is secured by 677 Broadway, a 177,039 square foot (sf) 12-story office property developed in 2004 and located in the CBD of Albany, NY. Overall performance has declined since issuance. Occupancy declined to 84% as of March 2016 from 96% at issuance. As a result of the lower occupancy, as of December 2015, net operating income (NOI) is 20% lower than Fitch's stressed cash flow at issuance. Fitch will continue to monitor the performance of the property. The largest loan of the pool (12.5%) is secured by Bank of America Plaza, a 1.4 million sf, LEED Gold Certified office building located in the Bunker Hill area of downtown Los Angeles, CA. Occupancy at the subject has remained stable at 92% since issuance. The servicer reported a debt service coverage ratio (DSCR) based off of year-end (YE) 2015 financials of 2.45x, compared with 2.28x at issuance. The second largest loan (8.1%) is secured by the Columbus Square Portfolio, which contains five retail and community facility units and an underground parking garage, totaling 494,244 sf and located on Manhattan's Upper West Side. As of March 2016, the property was 96% occupied. The largest tenants include Quik Park (21.9% of net rentable area [NRA]), Whole Foods (12.6% of NRA), Mandell School (11.1% of NRA) and TJ Maxx (8.2% of NRA). As of YE 2015, debt service coverage ratio (DSCR) was 1.37x, compared with 1.39x at issuance. RATING SENSITIVITIES Rating Outlooks on classes A-1 through F remain Stable due to the relatively stable performance of the pool since issuance. No positive or negative rating changes are expected in the near term unless there are material changes to pool performance. Additional information on key rating drivers and rating sensitivities are further described in the new issue report WFRBS Commercial Mortgage Trust 2014-C23 (Sept. 30, 2014). USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. Fitch has affirmed these ratings: -- $32.41 million class A-1 at 'AAAsf'; Outlook Stable; -- $33.2 million class A-2 at 'AAAsf'; Outlook Stable; -- $8.5 million class A-3 at 'AAAsf'; Outlook Stable; -- $245 million class A-4 at 'AAAsf'; Outlook Stable; -- $257.8 million class A-5 at 'AAAsf'; Outlook Stable; -- $70.8 million class A-SB at 'AAAsf'; Outlook Stable; -- $56.5 million class A-S at 'AAAsf'; Outlook Stable; -- $44.7 million class B at 'AA-sf'; Outlook Stable; -- $35.3 million class C at 'A-sf'; Outlook Stable; -- $136.4 million class PEX at 'A-sf'; Outlook Stable; -- $76.4 million class D at 'BBB-sf'; Outlook Stable; -- $11.8 million class E at 'BBsf'; Outlook Stable; -- $17.6 million class F at 'Bsf'; Outlook Stable; -- $703.6 million* class X-A at 'AAAsf'; Outlook Stable; -- $11.8 million* class X-C at 'BBsf'; Outlook Stable; -- $17.6 million* class X-D at 'Bsf'; Outlook Stable. Class A-S, B, and C certificates may be exchanged for class PEX certificates. *Notional Amount and interest only. Fitch does not rate class G, X-B, X-E, X-Y certificates. WRIGHTWOOD CAPITAL 2005-1: Moody's Affirms Ba3 Rating on Cl. B Debt ------------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on these notes issued by Wrightwood Capital Real Estate CDO 2005-1: Cl. A-1, Affirmed Aa3 (sf); previously on Sept. 11, 2015, Affirmed Aa3 (sf) Cl. A-R, Affirmed Aa3 (sf); previously on Sept. 11, 2015, Affirmed Aa3 (sf) Cl. B, Affirmed Ba3 (sf); previously on Sept. 11, 2015, Affirmed Ba3 (sf) Cl. C, Affirmed B2 (sf); previously on Sept. 11, 2015, Affirmed B2 (sf) Cl. D, Affirmed B3 (sf); previously on Sept. 11, 2015, Affirmed B3 (sf) Cl. E, Affirmed Caa3 (sf); previously on Sept. 11, 2015, Affirmed Caa3 (sf) Cl. F, Affirmed Caa3 (sf); previously on Sept. 11, 2015, Affirmed Caa3 (sf) Cl. G, Affirmed Caa3 (sf); previously on Sept. 11, 2015, Affirmed Caa3 (sf) Cl. H, Affirmed Caa3 (sf); previously on Sept. 11, 2015, Affirmed Caa3 (sf) RATINGS RATIONALE Moody's has affirmed the ratings on nine classes of notes because the key transaction metrics are commensurate with the existing ratings. While the credit quality of the remaining pool has deteriorated as evidenced by WARF, this was offset by approximately $100 million of mid to high credit risk collateral that has fully amortized since last review. The transaction is highly sensitive to WARR, however the testing of different recovery assumptions has resulted in the current affirmations. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO CLO) transactions. Wrightwood 2005-1 is a cash transaction whose reinvestment period ended in August 2010. The transaction is wholly backed by a portfolio of whole loans and senior participations collateralized by the following property types: i) office (49.4% of the collateral pool balance), ii) industrial (25.3%), iii) multifamily (16.3%), and iv)retail (8.9%). As of the trustee's July 29, 2016, report, the aggregate note balance of the transaction, including preferred shares, is $259.2 million, down from $650.0 million at issuance. The pool contains two assets totaling $37.8 million (17.3% of the collateral pool balance) that are listed as defaulted securities as of the trustee's July 29, 2016 report. These assets (100% of the defaulted balance) are commercial real estate loans. While there have been limited realized losses on the underlying collateral to date, Moody's does expect moderate/high losses to occur on the defaulted securities. Moody's has identified the following as key indicators of the expected loss in CRE CLO transactions: the weighted average rating factor (WARF), the weighted average life (WAL), the weighted average recovery rate (WARR), and Moody's asset correlation (MAC). Moody's typically models these as actual parameters for static deals and as covenants for managed deals. WARF is a primary measure of the credit quality of a CRE CLO pool. Moody's has updated its assessments for the collateral it does not rate. The rating agency modeled a bottom-dollar WARF of 8455, compared to 7745 at last review. The current distribution of Moody's rated collateral and assessments for non-Moody's rated collateral is as follows: Caa1-Ca/C and 100.0% compared to 100.0% at last review. Moody's modeled a WAL of 2.0 years, compared to 1.6 years at last review. The WAL is based on assumptions about extensions on the underlying collateral. Moody's modeled a fixed WARR of 57.5%, compared to 58.0% at last review. Moody's modeled a MAC of 100.0%, the same as at last review. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Approach to Rating SF CDOs" published in July 2015. Factors that would lead to an upgrade or downgrade of the ratings: The performance of the notes is subject to uncertainty, because it is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that are subject to change. The servicing decisions of the master and special servicer and surveillance by the operating advisor with respect to the collateral interests and oversight of the transaction will also affect the performance of the rated notes. Moody's Parameter Sensitivities: Changes to any one or more of the key parameters could have rating implications for some of the rated notes, although a change in one key parameter assumption could be offset by a change in one or more of the other key parameter assumptions. The rated notes are particularly sensitive to changes in the recovery rates of the underlying collateral and credit assessments. Reducing the recovery rates of the collateral pool by 10.0% would result in an average modeled rating movement on the rated notes of zero to ten notches downward (e.g., one notch down implies a ratings movement of Baa3 to Ba1). Increasing the recovery rate of the collateral pool by 10.0% would result in an average modeled rating movement on the rated notes of zero to eighteen notches upward (e.g., one notch up implies a ratings movement of Baa3 to Baa2). The primary sources of uncertainty in Moody's assumptions are the extent of growth in the current macroeconomic environment given the weak recovery and certain commercial real estate property markets. Commercial real estate property values continue to improve modestly, along with a rise in investment activity and stabilization in core property type performance. Limited new construction and moderate job growth have aided this improvement. However, sustained growth will not be possible until investment increases steadily for a significant period, non-performing properties are cleared from the pipeline and fears of a euro area recession abate. [*] Moody's Hikes $474MM of Subprime RMBS Issued 2001-2005 ---------------------------------------------------------- Moody's Investors Service, on Aug. 18, 2016, upgraded the ratings of 30 tranches from 12 transactions backed by Subprime mortgage loans. Complete rating actions are as follows: Issuer: ABSC Home Equity Loan Trust Pass-Through Certificates, Series 2001-HE3 -- Cl. A-1, Upgraded to A2 (sf); previously on Sep 18, 2015 Upgraded to Baa1 (sf) -- Cl. B, Upgraded to B1 (sf); previously on Sep 18, 2015 Upgraded to B3 (sf) Issuer: Argent Securities Inc., Series 2003-W3 -- Cl. M-2, Upgraded to B1 (sf); previously on Apr 1, 2013 Affirmed B2 (sf) Issuer: Argent Securities Inc., Series 2004-W8 -- Cl. A-2, Upgraded to Aa2 (sf); previously on Sep 18, 2015 Upgraded to Aa3 (sf) -- Cl. A-5, Upgraded to Aa1 (sf); previously on Sep 18, 2015 Upgraded to Aa2 (sf) -- Cl. M-2, Upgraded to B1 (sf); previously on Sep 18, 2015 Upgraded to Caa2 (sf) -- Cl. M-3, Upgraded to Caa1 (sf); previously on Apr 13, 2012 Downgraded to C (sf) Issuer: Asset Backed Sec Corp Home Equity Loan Tr 2004-HE8 -- Cl. M2, Upgraded to B3 (sf); previously on Mar 11, 2011 Downgraded to Caa3 (sf) Issuer: Asset Backed Securities Corporation Home Equity Loan Trust 2004-HE6 -- Cl. M2, Upgraded to Ba2 (sf); previously on Sep 18, 2015 Upgraded to B1 (sf) -- Cl. M3, Upgraded to B2 (sf); previously on Sep 18, 2015 Upgraded to Caa2 (sf) Issuer: Credit Suisse First Boston Mortgage Securities Corp. Series 2004-2 -- Cl. M-1, Upgraded to Ba1 (sf); previously on Apr 9, 2012 Downgraded to Ba3 (sf) -- Cl. M-2, Upgraded to Caa2 (sf); previously on Apr 9, 2012 Downgraded to Ca (sf) Issuer: First Franklin Mortgage Loan Trust 2003-FF1 -- Cl. M-1, Upgraded to Ba2 (sf); previously on Dec 4, 2012 Downgraded to Caa1 (sf) Issuer: First Franklin Mortgage Loan Trust 2005-FF12 -- Cl. A-1, Upgraded to Aa1 (sf); previously on Sep 4, 2015 Upgraded to Aa3 (sf) -- Cl. A-2B, Upgraded to Aa2 (sf); previously on Sep 4, 2015 Upgraded to A1 (sf) -- Cl. A-2C, Upgraded to Aa3 (sf); previously on Sep 4, 2015 Upgraded to A3 (sf) -- Cl. M-1, Upgraded to Ba1 (sf); previously on Sep 4, 2015 Upgraded to Ba3 (sf) -- Cl. M-2, Upgraded to Ca (sf); previously on Apr 6, 2010 Downgraded to C (sf) Issuer: First Franklin Mortgage Loan Trust 2005-FF3 -- Cl. M3, Upgraded to Aa1 (sf); previously on Sep 4, 2015 Upgraded to Aa3 (sf) -- Cl. M4, Upgraded to Aa3 (sf); previously on Sep 4, 2015 Upgraded to A2 (sf) -- Cl. M5, Upgraded to Baa1 (sf); previously on Sep 4, 2015 Upgraded to Baa3 (sf) -- Cl. M6, Upgraded to Caa2 (sf); previously on Sep 4, 2015 Upgraded to Caa3 (sf) Issuer: First Franklin Mortgage Loan Trust 2005-FFH1 -- Cl. M-1, Upgraded to A1 (sf); previously on Sep 4, 2015 Upgraded to A3 (sf) Issuer: People's Choice Home Loan Securities Trust 2004-2 -- Cl. M1, Upgraded to Aa2 (sf); previously on Sep 18, 2015 Upgraded to Aa3 (sf) -- Cl. M2, Upgraded to Baa2 (sf); previously on Sep 18, 2015 Upgraded to Ba1 (sf) -- Cl. M3, Upgraded to Caa1 (sf); previously on Apr 1, 2013 Affirmed Caa3 (sf) Issuer: Structured Asset Investment Loan Trust 2004-4 -- Cl. M1, Upgraded to Baa3 (sf); previously on Sep 18, 2015 Upgraded to Ba2 (sf) -- Cl. M2, Upgraded to Ba3 (sf); previously on Sep 18, 2015 Upgraded to B3 (sf) -- Cl. M4, Upgraded to Caa1 (sf); previously on Mar 4, 2011 Downgraded to Ca (sf) -- Cl. M5, Upgraded to Caa2 (sf); previously on Mar 4, 2011 Downgraded to Ca (sf) RATINGS RATIONALE The ratings upgrades are primarily due to the total credit enhancement available to the bonds. 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. 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 4.9% in July 2016 from 5.3% in July 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. [*] Moody's Takes Action on $357MM of Alt-A and Option ARM RMBS --------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 31 tranches and confirmed the ratings of eight tranches from 10 transactions, backed by Alt-A and Option ARM RMBS loans, issued by multiple issuers. Complete rating actions are: Issuer: American Home Mortgage Investment Trust 2004-3 Cl. II-A, Upgraded to Baa3 (sf); previously on May 30, 2014, Upgraded to Ba2 (sf) Cl. III-A, Upgraded to Baa3 (sf); previously on May 30, 2014, Upgraded to Ba2 (sf) Cl. IV-A, Upgraded to A3 (sf); previously on Nov. 2, 2015, Upgraded to Baa3 (sf) Cl. V-A, Upgraded to Aa1 (sf); previously on Nov. 2, 2015, Upgraded to Aa3 (sf) Cl. VI-A1, Upgraded to Baa2 (sf); previously on March 16, 2011, Downgraded to Baa3 (sf) Cl. VI-A5, Upgraded to Ba1 (sf); previously on Nov. 2, 2015, Upgraded to B1 (sf) Issuer: Banc of America Funding 2004-C Trust Cl. 2-A-1, Upgraded to Ba3 (sf); previously on Jan. 15, 2015, Upgraded to B3 (sf) Cl. 2-A-2, Upgraded to Ba3 (sf); previously on Jan. 15, 2015, Upgraded to B3 (sf) Cl. 3-A-1, Upgraded to B3 (sf); previously on May 17, 2013, Downgraded to Caa1 (sf) Cl. 4-A-1, Upgraded to Baa2 (sf); previously on Nov. 2, 2015, Upgraded to Ba1 (sf) Cl. 4-A-3A, Upgraded to Ba1 (sf); previously on Nov. 2, 2015, Upgraded to B2 (sf) Issuer: Bear Stearns ALT-A Trust 2004-13 Cl. A-1, Upgraded to Aa3 (sf); previously on Oct. 28, 2015, Upgraded to A2 (sf) Cl. A-2, Upgraded to A1 (sf); previously on Oct. 28, 2015, Upgraded to A3 (sf) Issuer: Bear Stearns Asset-Backed Securities I Trust 2004-AC2 Cl. I-A1, Upgraded to Baa1 (sf); previously on April 17, 2012, Downgraded to Baa3 (sf) Issuer: CHL Mortgage Pass-Through Trust 2003-53 Cl. A-1, Upgraded to B2 (sf); previously on Oct. 4, 2012, Downgraded to Caa1 (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-27 Cl. 1-A-1, Confirmed at Caa3 (sf); previously on July 22, 2016, Caa3 (sf) Placed Under Review for Possible Upgrade Cl. 1-A-2, Upgraded to B2 (sf); previously on July 22, 2016, Caa2 (sf) Placed Under Review for Possible Upgrade Cl. 1-A-3, Upgraded to Ba2 (sf); previously on July 22, 2016, Caa1 (sf) Placed Under Review for Possible Upgrade Cl. 1-A-4, Confirmed at Caa3 (sf); previously on July 22, 2016, Caa3 (sf) Placed Under Review for Possible Upgrade Cl. 1-A-5, Upgraded to B2 (sf); previously on July 22, 2016, Caa2 (sf) Placed Under Review for Possible Upgrade Cl. 1-A-6, Upgraded to Caa1 (sf); previously on July 22, 2016, Ca (sf) Placed Under Review for Possible Upgrade Cl. 1-A-10, Confirmed at Caa3 (sf); previously on July 22, 2016, Caa3 (sf) Placed Under Review for Possible Upgrade Cl. 1-X-2, Upgraded to Caa1 (sf); previously on July 22, 2016, Ca (sf) Placed Under Review for Possible Upgrade Cl. 2-A-1, Confirmed at Ca (sf); previously on July 22, 2016, Ca (sf) Placed Under Review for Possible Upgrade Cl. 2-A-2, Confirmed at Ca (sf); previously on July 22, 2016, Ca (sf) Placed Under Review for Possible Upgrade Cl. 2-A-3, Upgraded to Caa1 (sf); previously on July 22, 2016, Caa3 (sf) Placed Under Review for Possible Upgrade Cl. 3-A-1, Confirmed at Caa3 (sf); previously on July 22, 2016, Caa3 (sf) Placed Under Review for Possible Upgrade Cl. 3-A-2, Confirmed at Ca (sf); previously on July 22, 2016, Ca (sf) Placed Under Review for Possible Upgrade Cl. 3-A-3, Confirmed at Ca (sf); previously on July 22, 2016, Ca (sf) Placed Under Review for Possible Upgrade Issuer: Deutsche Alt-A Securities, Inc. Alternative Loan Trust Series 2003-1 CL. A-2, Upgraded to A3 (sf); previously on April 9, 2014, Downgraded to Baa3 (sf) Issuer: Impac CMB Trust Series 2002-9F Cl. A-1, Upgraded to Aa3 (sf); previously on June 18, 2013, Downgraded to A3 (sf) Cl. B, Upgraded to Baa2 (sf); previously on Oct. 7, 2015, Upgraded to Ba1 (sf) Cl. M-1, Upgraded to A2 (sf); previously on June 18, 2013, Downgraded to Baa2 (sf) Cl. M-2, Upgraded to A3 (sf); previously on Oct. 7, 2015, Upgraded to Baa3 (sf) Issuer: Impac CMB Trust Series 2003-2F Cl. A-1, Upgraded to A3 (sf); previously on June 18, 2013, Downgraded to Baa2 (sf) Cl. B, Upgraded to B3 (sf); previously on Oct. 7, 2015, Upgraded to Caa2 (sf) Cl. M-1, Upgraded to Baa3 (sf); previously on Oct. 7, 2015, Upgraded to Ba2 (sf) Cl. M-2, Upgraded to Ba3 (sf); previously on Oct. 7, 2015, Upgraded to B2 (sf) Issuer: Impac Secured Assets Corp. Mortgage Pass-Through Certificates, Series 2004-4 Cl. M-4, Upgraded to Ba2 (sf); previously on Oct. 28, 2015, Upgraded to B1 (sf) RATINGS RATIONALE The rating upgrades on CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-27 are primarily driven by the receipt of approximately $26 million settlement funds and the related increase in credit enhancement available to the bonds. They also, to a lesser extent, reflect the improving performance of the underlying pools, and Moody's updated loss expectations on these pools. The rating actions on CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-27 conclude the review actions on these bonds announced on July 22nd, 2016, relating to the distribution of settlement funds from the $8.5 billion Countrywide RMBS settlement. The other rating actions are a result of the recent performance of the underlying pools and reflect Moody's updated loss expectation on the pools. The rating upgrades are a result of the improving performance of the related pools and/or an increase in credit enhancement available to the bonds. 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 4.9% in July 2016 from 5.3% in July 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. [*] Moody's Takes Action on $45.4MM of Alt-A RMBS Issued 2004-2005 ------------------------------------------------------------------ Moody's Investors Service has downgraded ratings of 8 tranches from two transaction backed by Alt-A RMBS loans, issued by multiple issuers. Complete rating actions are as follows: Issuer: ChaseFlex Trust Series 2005-2 -- Cl. A-X, Downgraded to Caa2 (sf); previously on Aug 27, 2012 Downgraded to Caa1 (sf) -- Cl. 1-A1, Downgraded to Caa2 (sf); previously on Jun 4, 2010 Downgraded to Caa1 (sf) -- Cl. 2-A1, Downgraded to Caa2 (sf); previously on Jun 4, 2010 Downgraded to Caa1 (sf) -- Cl. 2-A2, Downgraded to Caa2 (sf); previously on Jun 4, 2010 Downgraded to Caa1 (sf) -- Cl. 4-A1, Downgraded to Caa2 (sf); previously on Jun 4, 2010 Downgraded to Caa1 (sf) -- Cl. 4-A2, Downgraded to Caa2 (sf); previously on Jun 4, 2010 Downgraded to Caa1 (sf) -- Cl. 4-A3, Downgraded to Caa2 (sf); previously on Jun 4, 2010 Downgraded to Caa1 (sf) Issuer: RALI Series 2004-QS3 Trust -- Cl. A-I-1, Downgraded to B3 (sf); previously on Sep 2, 2014 Downgraded to B1 (sf) RATINGS RATIONALE Today's rating actions reflect the recent performance of the underlying pools and Moody's updated loss expectation on the pools. The action on RALI Series 2004-QS3 Trust is primarily due to the correction of the cashflow model used in rating this transaction. In prior modeling, the cross collateralization for undercollateralized tranches was incorrectly applied even after credit support depletion. In addition, due to an incorrect calculation, the amount of funds available for cross collateralization was also overestimated. These have now been corrected. The downgrade actions on ChaseFlex Trust Series 2005-2 reflects lower expected recoveries on the bonds. 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 4.9% in July 2016 from 5.3% in July 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. [*] Moody's Takes Action on $645.3MM of Alt-A and Option ARM RMBS ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 14 tranches from four transactions, downgraded ratings of 8 tranches from two transaction and confirmed ratings of 52 tranches from 6 transactions, backed by Alt-A and Option ARM RMBS loans, issued by multiple issuers. Complete rating actions are: Issuer: Banc of America Alternative Loan Trust 2004-1 Cl. 1-A-1, Upgraded to Ba2 (sf); previously on June 17, 2016, Ba3 (sf) Placed Under Review Direction Uncertain Cl. 2-A-1, Confirmed at Ba3 (sf); previously on June 17, 2016, Ba3 (sf) Placed Under Review Direction Uncertain Cl. 3-A-1, Confirmed at B3 (sf); previously on June 17, 2016, B3 (sf) Placed Under Review Direction Uncertain Cl. 4-A-1, Downgraded to B3 (sf); previously on June 17, 2016, B2 (sf) Placed Under Review Direction Uncertain Cl. 5-A-1, Downgraded to B3 (sf); previously on June 17, 2016, B2 (sf) Placed Under Review Direction Uncertain Cl. 5-A-2, Downgraded to B3 (sf); previously on June 17, 2016 B1 (sf) Placed Under Review Direction Uncertain Cl. 5-A-3, Confirmed at Caa3 (sf); previously on June 17, 2016, Caa3 (sf) Placed Under Review Direction Uncertain Cl. 3-IO, Confirmed at B3 (sf); previously on June 17, 2016, B3 (sf) Placed Under Review Direction Uncertain Cl. 15-IO, Downgraded to B3 (sf); previously on June 17, 2016, B2 (sf) Placed Under Review Direction Uncertain Cl. CB-IO, Confirmed at Ba3 (sf); previously on June 17, 2016, Ba3 (sf) Placed Under Review Direction Uncertain Cl. PO, Confirmed at B3 (sf); previously on June 17, 2016, B3 (sf) Placed Under Review Direction Uncertain Issuer: Banc of America Funding 2004-1 Trust Cl. 1-A-1, Confirmed at B1 (sf); previously on June 17, 2016, B1 (sf) Placed Under Review Direction Uncertain Cl. 2-A-1, Confirmed at Ba3 (sf); previously on June 17, 2016, Ba3 (sf) Placed Under Review Direction Uncertain Cl. 3-A-1, Upgraded to Ba1 (sf); previously on June 17, 2016, Ba2 (sf) Placed Under Review Direction Uncertain Cl. 4-A-1, Confirmed at Ba3 (sf); previously on June 17, 2016, Ba3 (sf) Placed Under Review Direction Uncertain Cl. 5-A-1, Upgraded to B1 (sf); previously on June 17, 2016, B2 (sf) Placed Under Review Direction Uncertain Cl. 6-A-1, Upgraded to Baa3 (sf); previously on June 17, 2016, Ba1 (sf) Placed Under Review Direction Uncertain Cl. 7-A-1, Upgraded to Ba2 (sf); previously on June 17, 2016, B1 (sf) Placed Under Review Direction Uncertain Cl. 8-A-1, Confirmed at Baa1 (sf); previously on June 17, 2016, Baa1 (sf) Placed Under Review Direction Uncertain Cl. 8-IO, Confirmed at Ba3 (sf); previously on June 17, 2016, Ba3 (sf) Placed Under Review Direction Uncertain Cl. CB-IO, Confirmed at B1 (sf); previously on June 17, 2016, B1 (sf) Placed Under Review Direction Uncertain Cl. NC-IO, Confirmed at B3 (sf); previously on June 17, 2016, B3 (sf) Placed Under Review Direction Uncertain Cl. PO, Confirmed at Ba3 (sf); previously on June 17, 2016, Ba3 (sf) Placed Under Review Direction Uncertain Issuer: CHL Mortgage Pass-Through Trust 2004-12 Cl. 1-A-1, Confirmed at Caa2 (sf); previously on July 22, 2016, Caa2 (sf) Placed Under Review for Possible Upgrade Cl. 2-A-1, Confirmed at Caa2 (sf); previously on July 22, 2016, Caa2 (sf) Placed Under Review for Possible Upgrade Cl. 3-A-1, Confirmed at Caa2 (sf); previously on July 22, 2016, Caa2 (sf) Placed Under Review for Possible Upgrade Cl. 4-A-1, Confirmed at Caa2 (sf); previously on July 22, 2016, Caa2 (sf) Placed Under Review for Possible Upgrade Cl. 5-A-1, Confirmed at Caa2 (sf); previously on June 17, 2016, Caa2 (sf) Placed Under Review Direction Uncertain Cl. 6-A-1, Confirmed at Caa2 (sf); previously on July 22, 2016, Caa2 (sf) Placed Under Review for Possible Upgrade Cl. 7-A-1, Confirmed at Caa2 (sf); previously on June 17, 2016, Caa2 (sf) Placed Under Review Direction Uncertain Cl. 8-A-1, Confirmed at Caa2 (sf); previously on June 17, 2016, Caa2 (sf) Placed Under Review Direction Uncertain Cl. 9-A-1, Confirmed at Caa2 (sf); previously on July 22, 2016, Caa2 (sf) Placed Under Review for Possible Upgrade Cl. 10-A-1, Confirmed at Caa2 (sf); previously on July 22, 2016, Caa2 (sf) Placed Under Review for Possible Upgrade Cl. 11-A-1, Confirmed at Caa2 (sf); previously on July 22, 2016, Caa2 (sf) Placed Under Review for Possible Upgrade Cl. 12-A-1, Confirmed at Caa2 (sf); previously on July 22, 2016, Caa2 (sf) Placed Under Review for Possible Upgrade Cl. 13-A-1, Confirmed at Caa2 (sf); previously on June 17, 2016, Caa2 (sf) Placed Under Review Direction Uncertain Cl. 14-A-1, Confirmed at Caa2 (sf); previously on July 22, 2016, Caa2 (sf) Placed Under Review for Possible Upgrade Cl. 15-A-1, Confirmed at Caa2 (sf); previously on July 22, 2016, Caa2 (sf) Placed Under Review for Possible Upgrade Cl. 16-A-1, Confirmed at Caa2 (sf); previously on July 22, 2016, Caa2 (sf) Placed Under Review for Possible Upgrade Cl. 11-A-2, Confirmed at Caa2 (sf); previously on July 22, 2016, Caa2 (sf) Placed Under Review for Possible Upgrade Cl. 14-A-3, Confirmed at Caa2 (sf); previously on July 22, 2016, Caa2 (sf) Placed Under Review for Possible Upgrade Cl. II-X, Confirmed at Caa3 (sf); previously on July 22, 2016, Caa3 (sf) Placed Under Review for Possible Upgrade Issuer: Citigroup Mortgage Loan Trust, Series 2005-2 Cl. I-A1, Confirmed at Caa1 (sf); previously on June 17, 2016, Caa1 (sf) Placed Under Review Direction Uncertain Cl. I-A3, Confirmed at Caa1 (sf); previously on June 17, 2016, Caa1 (sf) Placed Under Review Direction Uncertain Cl. I-A4, Confirmed at Caa1 (sf); previously on June 17, 2016, Caa1 (sf) Placed Under Review Direction Uncertain Cl. I-A2A, Upgraded to Ba1 (sf); previously on June 17, 2016, B1 (sf) Placed Under Review Direction Uncertain Cl. I-A3A, Upgraded to B2 (sf); previously on June 17, 2016, B3 (sf) Placed Under Review Direction Uncertain Cl. I-A5A, Upgraded to B1 (sf); previously on June 17, 2016, B3 (sf) Placed Under Review Direction Uncertain Cl. I-A2B, Upgraded to Caa1 (sf); previously on June 17, 2016, Caa3 (sf) Placed Under Review Direction Uncertain Cl. I-A5B, Confirmed at Ca (sf); previously on June 17, 2016, Ca (sf) Placed Under Review Direction Uncertain Cl. I-A3B, Confirmed at Ca (sf); previously on June 17, 2016, Ca (sf) Placed Under Review Direction Uncertain Cl. II-A1-1, Confirmed at B1 (sf); previously on June 17, 2016, B1 (sf) Placed Under Review Direction Uncertain Cl. II-A1-2, Confirmed at B2 (sf); previously on June 17, 2016, B2 (sf) Placed Under Review Direction Uncertain Cl. II-A2, Confirmed at Ba3 (sf); previously on June 17, 2016, Ba3 (sf) Placed Under Review Direction Uncertain Cl. II-B1, Confirmed at Ca (sf); previously on June 17, 2016, Ca (sf) Placed Under Review Direction Uncertain Cl. II-PO1, Confirmed at B1 (sf); previously on June 17, 2016, B1 (sf) Placed Under Review Direction Uncertain Cl. II-PO2, Confirmed at B1 (sf); previously on June 17, 2016, B1 (sf) Placed Under Review Direction Uncertain Cl. II-XS2, Confirmed at Ba3 (sf); previously on June 17, 2016, Ba3 (sf) Placed Under Review Direction Uncertain Cl. II-XS1, Confirmed at B1 (sf); previously on June 17, 2016, B1 (sf) Placed Under Review Direction Uncertain Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2004-12CB Cl. 1-A-1, Upgraded to Baa2 (sf); previously on July 22, 2016, Ba1 (sf) Placed Under Review for Possible Upgrade Cl. 2-A-1, Upgraded to Baa3 (sf); previously on June 17, 2016, Ba2 (sf) Placed Under Review Direction Uncertain Cl. 3-A-1, Upgraded to Ba1 (sf); previously on June 17, 2016, Ba3 (sf) Placed Under Review Direction Uncertain Cl. 2-A-2, Upgraded to Baa3 (sf); previously on June 17, 2016, Ba2 (sf) Placed Under Review Direction Uncertain Cl. 1-A-3, Upgraded to Baa2 (sf); previously on July 22, 2016, Ba1 (sf) Placed Under Review for Possible Upgrade Cl. PO, Confirmed at Ba3 (sf); previously on June 17, 2016, Ba3 (sf) Placed Under Review Direction Uncertain Issuer: Structured Asset Mortgage Investments II Trust 2004-AR2 Cl. I-A, Confirmed at Baa1 (sf); previously on June 17, 2016, Baa1 (sf) Placed Under Review Direction Uncertain Cl. II-A, Confirmed at Baa3 (sf); previously on June 17, 2016, Baa3 (sf) Placed Under Review Direction Uncertain Cl. III-A, Confirmed at Baa3 (sf); previously on June 17, 2016, Baa3 (sf) Placed Under Review Direction Uncertain Cl. M, Confirmed at Caa3 (sf); previously on June 17, 2016, Caa3 (sf) Placed Under Review Direction Uncertain Cl. X, Confirmed at Caa1 (sf); previously on June 17, 2016, Caa1 (sf) Placed Under Review Direction Uncertain Issuer: Structured Asset Securities Corp Trust 2004-13 Cl. 1-A1, Downgraded to B3 (sf); previously on June 17, 2016, B1 (sf) Placed Under Review Direction Uncertain Cl. 1-A2, Downgraded to B1 (sf); previously on June 17, 2016, Ba3 (sf) Placed Under Review Direction Uncertain Cl. 1-A3, Downgraded to B3 (sf); previously on June 17, 2016, B1 (sf) Placed Under Review Direction Uncertain Cl. 2-A1, Downgraded to B3 (sf); previously on June 17, 2016, B1 (sf) Placed Under Review Direction Uncertain RATINGS RATIONALE Today's actions on CWALT, Inc. Mortgage Pass-Through Certificates, Series 2004-12CB and CHL Mortgage Pass-Through Trust 2004-12 conclude the review actions on these bonds announced on July 22nd, 2016 and June 17th 2016, relating to the distribution of settlement funds from the $8.5 billion Countrywide RMBS settlement and the existence of an error in the prepayment shift percentage input to the cash-flow waterfalls used by Moody's to review these transactions since their prior rating actions. The cash-flow waterfalls did not capture the correct prepayment shift percentages and were allocating an incorrect portion of principal prepayments to subordinate bonds. The errors have now been corrected. The rating upgrades on CWALT, Inc. Mortgage Pass-Through Certificates, Series 2004-12CB CL. 2A1, 2A2, and 3A1 are mainly due to the error correction. The rating upgrades on CL. 1A1 and 1A3 are mainly due to build up in credit enhancement available to the bonds. The rating actions on these five bonds and class PO from CWALT, Inc. Mortgage Pass-Through Certificates, Series 2004-12CB, and on 19 tranches issued by CHL Mortgage Pass-Through Trust 2004-12, also reflect the appropriate allocation of principal prepayments, credit enhancement available to the bonds, the recent performance of the underlying pools, and Moody's updated loss expectations on these pools. The actions on Citigroup Mortgage Loan Trust 2005-2 conclude the review actions on these bonds announced on June 17, 2016, relating to the existence of an error in the prepayment shift percentage input to the cash-flow waterfalls, and an inconsistency between the prepayment shift percentage value calculated per the transaction documents and the distributions being made by the administrator according to the remittance reports. The administrator has since corrected its calculation, and today's rating actions on these 19 bonds reflect the corrected prepayment shift input and the appropriate allocation of principal prepayments. The rating upgrade on CL. 1A3A is mainly due to the correction of the error. The upgrades on CL. 1A5A, 1A2A, 1A2B are mainly due to the increase in credit enhancement available to the bonds. These rating actions, as well as the confirmations of other tranches of this transaction, also reflect the recent performance of the underlying pools and Moody's updated loss expectation on the pools. The rating actions on Banc of America Funding 2004-1 Trust, Banc of America Alternative Loan Trust 2004-1, Structured Asset Mortgage Investments II Trust 2004-AR2 and Structured Asset Securities Corp Trust 2004-13 conclude the review actions on these bonds announced on June 17th, 2016 relating to an apparent inconsistency between the prepayment shift percentage value calculated per the transaction documents and the distributions being made by the administrators according to the remittance reports. Only Structured Asset Securities Corp Trust 2004-13 required a correction by the administrator in its calculation of the prepayment percentage shift value; the calculation for the remaining three transactions required no changes. There are no model changes for these four transactions. The rating actions on these transactions are driven by the recent performance of the underlying pools and reflect Moody's updated loss expectations on the pools. Upgrades are due to an increase in credit enhancement available to the bonds and downgrades are due to erosion of 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 4.9% in July 2016 from 5.3% in July 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. [*] Moody's Takes Action on $924MM of Alt-A RMBS Issued 2004-2007 ----------------------------------------------------------------- Moody's Investors Service, on Aug. 22, 2016, upgraded the rating of 47 tranches and downgraded the rating of 23 tranches from 13 transactions, backed by Alt-A RMBS loans, issued by multiple issuers. Complete rating actions are: Issuer: Citigroup Mortgage Loan Trust 2006-AR9 Cl. 1-A4, Upgraded to B2 (sf); previously on Nov. 4, 2015, Upgraded to Caa2 (sf) Cl. 1-M1, Upgraded to Caa2 (sf); previously on Feb. 4, 2009, Downgraded to C (sf) Issuer: Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series 2005-3 Cl. III-A-1, Downgraded to Caa1 (sf); previously on June 16, 2010, Downgraded to B2 (sf) Cl. III-A-2, Downgraded to Caa1 (sf); previously on June 16, 2010, Downgraded to B2 (sf) Cl. III-A-3, Downgraded to Caa1 (sf); previously on June 16, 2010, Downgraded to B2 (sf) Issuer: GSAA Home Equity Trust 2005-4 Cl. A-3, Upgraded to Aa1 (sf); previously on Oct. 30, 2015, Upgraded to Aa3 (sf) Cl. A-4, Upgraded to A1 (sf); previously on Oct. 30, 2015, Upgraded to A3 (sf) Cl. A-5, Upgraded to Aa1 (sf); previously on Oct. 30, 2015, Upgraded to Aa2 (sf) Cl. A-6, Upgraded to A1 (sf); previously on Oct. 30, 2015, Upgraded to A3 (sf) Cl. M-1, Upgraded to Baa3 (sf); previously on Oct. 30, 2015, Upgraded to Ba2 (sf) Cl. M-2, Upgraded to Caa2 (sf); previously on April 25, 2014, Upgraded to Ca (sf) Issuer: GSAA Home Equity Trust 2005-6 Cl. A-3, Upgraded to Aa2 (sf); previously on Oct. 30, 2015, Upgraded to A1 (sf) Cl. M-1, Upgraded to Baa3 (sf); previously on Oct. 30, 2015, Upgraded to Ba2 (sf) Cl. M-2, Upgraded to Ba3 (sf); previously on Oct. 30, 2015, Upgraded to B3 (sf) Cl. M-3, Upgraded to Caa2 (sf); previously on Oct. 30, 2015, Upgraded to Ca (sf) Issuer: GSAA Home Equity Trust 2005-8 Cl. A-3, Upgraded to A3 (sf); previously on Oct. 30, 2015, Upgraded to Baa2 (sf) Cl. A-4, Upgraded to Aa3 (sf); previously on Oct. 30, 2015, Upgraded to A2 (sf) Cl. A-5, Upgraded to Baa1 (sf); previously on Oct. 30, 2015, Upgraded to Baa3 (sf) Cl. M-1, Upgraded to Caa3 (sf); previously on Feb. 12, 2015, Upgraded to Ca (sf) Issuer: Lehman Mortgage Trust 2006-5 Cl. 1-A1, Downgraded to Ca (sf); previously on Dec. 22, 2010, Downgraded to Caa2 (sf) Cl. 1-A2, Downgraded to Ca (sf); previously on Dec. 22, 2010, Downgraded to Caa2 (sf) Cl. 1-A3, Downgraded to Ca (sf); previously on Dec. 22, 2010, Downgraded to Caa2 (sf) Cl. 1-A5, Downgraded to Ca (sf); previously on Dec. 22, 2010, Confirmed at Caa2 (sf) Cl. 1-A6, Downgraded to Ca (sf); previously on Dec. 22, 2010, Confirmed at Caa2 (sf) Cl. 1-A7, Downgraded to Ca (sf); previously on Dec. 22, 2010, Confirmed at Caa2 (sf) Cl. 1-A8, Downgraded to Ca (sf); previously on Dec. 22, 2010, Confirmed at Caa2 (sf) Cl. 1-A9, Downgraded to Ca (sf); previously on Dec. 22, 2010, Confirmed at Caa2 (sf) Cl. 1-A10, Downgraded to Ca (sf); previously on Dec. 22, 2010, Confirmed at Caa2 (sf) Cl. 1-A11, Downgraded to Ca (sf); previously on Dec. 22, 2010, Confirmed at Caa2 (sf) Cl. 1-A12, Downgraded to Ca (sf); previously on Dec. 22, 2010, Confirmed at Caa2 (sf) Cl. 1-A13, Downgraded to Ca (sf); previously on Dec. 22, 2010, Confirmed at Caa2 (sf) Cl. 1-A14, Downgraded to Ca (sf); previously on Dec. 22, 2010, Confirmed at Caa2 (sf) Cl. 1-A15, Downgraded to Ca (sf); previously on Dec. 22, 2010, Confirmed at Caa2 (sf) Cl. 1-A16, Downgraded to Ca (sf); previously on Dec. 22, 2010, Confirmed at Caa2 (sf) Issuer: MASTR Adjustable Rate Mortgages Trust 2007-2 Cl. A-1, Upgraded to B3 (sf); previously on Nov. 4, 2015, Upgraded to Caa1 (sf) Cl. A-2, Upgraded to Ba1 (sf); previously on Nov. 4, 2015, Upgraded to B1 (sf) Cl. A-3, Upgraded to B3 (sf); previously on Nov. 4, 2015, Upgraded to Caa2 (sf) Issuer: Merrill Lynch Mortgage Investors Trust 2005-A6 Cl. I-A-1, Upgraded to Baa3 (sf); previously on Nov. 3, 2015, Upgraded to Ba1 (sf) Cl. I-A-2, Upgraded to B1 (sf); previously on Nov. 3, 2015, Upgraded to Caa1 (sf) Cl. II-A-3, Upgraded to A3 (sf); previously on Nov. 3, 2015, Upgraded to Baa3 (sf) Cl. II-A-4, Upgraded to Baa3 (sf); previously on Nov. 3, 2015, Upgraded to Ba3 (sf) Issuer: Merrill Lynch Mortgage Investors Trust 2005-A8 Cl. A-1A, Upgraded to Aa1 (sf); previously on July 24, 2013, Upgraded to A1 (sf) Cl. A-1B3, Upgraded to Aa1 (sf); previously on Nov. 3, 2015, Upgraded to A1 (sf) Cl. A-1B4, Upgraded to Aa1 (sf); previously on Nov. 3, 2015, Upgraded to Aa2 (sf) Cl. A-1C2, Upgraded to Aa1 (sf); previously on Nov. 3, 2015, Upgraded to A1 (sf) Cl. A-2A, Upgraded to Baa3 (sf); previously on Feb. 12, 2015, Upgraded to Ba3 (sf) Cl. A-2B1, Upgraded to Baa3 (sf); previously on Feb. 12, 2015, Upgraded to Ba3 (sf) Cl. A-2B2, Upgraded to Ba1 (sf); previously on Nov. 3, 2015, Upgraded to B1 (sf) Cl. A-3A2, Upgraded to Baa1 (sf); previously on Feb. 12, 2015, Upgraded to Ba1 (sf) Cl. A-3A3, Upgraded to Baa3 (sf); previously on Feb. 12, 2015, Upgraded to Ba3 (sf) Cl. M-1, Upgraded to Caa3 (sf); previously on April 1, 2010, Downgraded to C (sf) Issuer: Morgan Stanley Mortgage Loan Trust 2004-4 Cl. 1-A-P, Upgraded to Baa2 (sf); previously on Jan. 13, 2016, Upgraded to Ba1 (sf) Cl. 1-A-3, Upgraded to Baa1 (sf); previously on Jan. 13, 2016, Upgraded to Baa2 (sf) Cl. 1-A-4, Upgraded to Baa1 (sf); previously on Jan. 13, 2016, Upgraded to Baa2 (sf) Cl. 1-A-5, Upgraded to Baa2 (sf); previously on Jan. 13, 2016, Upgraded to Baa3 (sf) Cl. 1-A-8, Upgraded to Baa3 (sf); previously on Jan. 13, 2016, Upgraded to Ba1 (sf) Cl. 1-A-15, Upgraded to Baa1 (sf); previously on Jan. 13, 2016, Upgraded to Baa2 (sf) Cl. 2-A, Upgraded to Baa1 (sf); previously on Jan. 13, 2016, Upgraded to Baa3 (sf) Cl. 3-A, Upgraded to Baa3 (sf); previously on Jan. 13, 2016, Upgraded to Ba1 (sf) Issuer: MortgageIT Trust 2005-1 Cl. 1-A-2, Upgraded to Baa1 (sf); previously on Feb. 12, 2015, Upgraded to Baa3 (sf) Issuer: RALI Series 2004-QA1 Trust Cl. A-I, Upgraded to Aa2 (sf); previously on Jan. 19, 2016, Upgraded to A1 (sf) Cl. A-II, Upgraded to Aa2 (sf); previously on Jan. 19, 2016, Upgraded to A1 (sf) Cl. M-1, Upgraded to Baa1 (sf); previously on Jan. 19, 2016, Upgraded to Baa3 (sf) Cl. M-2, Upgraded to Ba3 (sf); previously on Jan. 19, 2016, Upgraded to B3 (sf) Cl. M-3, Upgraded to Caa2 (sf); previously on March 30, 2011, Downgraded to C (sf) Issuer: RAMP Series 2005-SL2 Trust Cl. A-II, Downgraded to Caa1 (sf); previously on Aug. 30, 2012, Downgraded to B3 (sf) Cl. A-III, Downgraded to Caa2 (sf); previously on Aug. 30, 2012, Downgraded to Caa1 (sf) Cl. A-IV, Downgraded to Caa2 (sf); previously on Aug. 30, 2012, Downgraded to B3 (sf) Cl. A-IO, Downgraded to Caa2 (sf); previously on Aug. 30, 2012, Downgraded to B3 (sf) Cl. A-PO, Downgraded to Caa1 (sf); previously on Aug. 30, 2012, Downgraded to B2 (sf) RATINGS RATIONALE The rating actions are a result of the recent performance of the underlying pools and reflect Moody's updated loss expectation on these pools. The rating upgrades are primarily due to the stable or stronger collateral performance of the related underlying pools backing all of the transactions issued after 2004, and the stable to improving credit enhancement available to all of the bonds in all of the transactions. The rating downgrades are due to the weaker collateral performance of the related underlying pool from Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series 2005-3, and the decline or full depletion of credit enhancement available to the bonds for the remaining transactions. The rating action on RALI Series 2004-QA1 Trust also reflects a correction to the cash-flow model used by Moody's in rating this transaction. In prior rating actions, interest payments due to Class M-2 after the Optional Termination Date (when the aggregate mortgage loan balance is less than 10% of the original mortgage loan balance) were calculated incorrectly, resulting in lower interest payments and higher principal payments to Class M-2 than is called for in the transaction documents. This error has now been corrected, and today's rating action reflects this change. 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 4.9% in July 2016 from 5.3% in July 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 Completes Review on 13 Classes on 2 US RMBS Transactions ---------------------------------------------------------------- S&P Global Ratings completed its review of 13 classes from two U.S. residential mortgage-backed securities (RMBS) transactions issued in 2003 and 2004. Of the 13 ratings, S&P raised one and affirmed 12. 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. UPGRADE S&P's projected credit support for the upgraded class is sufficient to cover its projected loss at this rating level. The upgrade reflects a decrease in delinquencies as well as an increase in credit support relative to S&P's projected loss. Total 60-plus-days delinquencies decreased to 2.04% at July 2016 from 4.13% at December 2013. AFFIRMATIONS The affirmations of ratings in the 'AAA' through 'B' rating categories reflect S&P's opinion that our 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 for certain classes, it affirmed its ratings on those classes to account for this uncertainty and promote ratings stability. Long Beach Mortgage Loan Trust 2004-5 has permanently failed its loss trigger, resulting in a permanent sequential payment of principal. No principal will be paid to its subordinate classes until the senior classes have been paid in full. Therefore, S&P affirmed its ratings on certain classes in this transaction 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," published 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. 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 2.0% for 2016; -- The inflation rate will be 2.2% in 2016; and -- The 30-year fixed mortgage rate will average about 3.7% 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 4.9% for 2016; -- Downward pressure causes GDP growth to fall to 1.8% in 2016; -- Home price momentum slows as potential buyers are not able to purchase property; and -- While the 30-year fixed mortgage rate remains a low 3.7% in 2016, limited access to credit and pressure on home prices will largely prevent consumers from capitalizing on these rates. A list of the Affected Ratings is available at: http://bit.ly/2bPGAZO [*] S&P Puts Ratings on 5 Tranches From 4 CLO Deals on Watch Neg. ----------------------------------------------------------------- S&P Global Ratings, on Aug. 22, 2016, placed its ratings on five tranches from four U.S. collateralized loan obligation (CLO) transactions on CreditWatch with negative implications. The CreditWatch placements follow S&P's recent portfolio review of U.S. cash flow CLO transactions. Since the beginning of this year, reinvesting CLO transactions have experienced increased exposure to defaulted obligors as the global corporate default tally continues to climb. This increase in defaults has contributed to declines in the transactions' overcollateralization (O/C) ratios since December 2015: -- Avery Point II CLO Ltd: The class E O/C ratio was 105.92% as of the July 2016 monthly report, down from 107.20% in December 2015. -- BNPP IP CLO 2014-1 Ltd.: The class E O/C ratio was 103.25% as of the July 2016 monthly report, down from 104.03% in December 2015. -- Limerock CLO II Ltd.: The class E O/C ratio was 106.63% as of the July 2016 monthly report, down slightly from 106.80% in December 2015. Among several reinvesting CLO 2.0s, exposures to assets rated 'BB-' and above have increased since the start of the year. Despite the reinvestment into 'BB' rated assets, downgrades and defaults continue, causing the 'CCC' rated and defaulted buckets for several transactions to increase. The increase in 'BB' rated assets may benefit the senior and mezzanine CLO notes; however, the slight decline in O/C, the increase in 'CCC' rated and defaulted buckets, and the decline in weighted average spread strain the subordinate 'B' rated CLO notes. Therefore, S&P placed its 'B (sf)' ratings from each of the three transactions listed above on CreditWatch with negative implications because S&P believes the credit support available to these notes may no longer be commensurate with their current ratings. Among the amortizing CLO 1.0s, percentage exposures to defaulted and long-dated assets have started to rise, increasing concentration risks for the subordinate notes of some transactions as they approach their legal final maturities. S&P placed its 'BB+ (sf)' ratings from Jasper CLO Ltd. on CreditWatch with negative implications because S&P believes the credit support available to these notes may no longer be commensurate with their current ratings due to an increase in the percentage exposure to long-dated assets. The affected tranches are subordinate within their respective capital structures and therefore more vulnerable to distressed market conditions and losses from the underlying collateral. The affected transactions also have significant exposure to assets from companies with an S&P Global Ratings corporate rating with a negative outlook, assets from distressed sectors, and assets currently trading at distressed prices. These negative factors also contributed to S&P's CreditWatch actions. S&P expects to resolve the CreditWatch negative placements within 90 days after S&P completes a cash flow analysis and committee review. S&P will continue to monitor these transactions and it will take rating actions, including CreditWatch placements, as S&P deems appropriate. RATINGS PLACED ON CREDITWATCH NEGATIVE Avery Point II CLO Ltd. Rating Class To From F B (sf)/Watch Neg B (sf) BNPP IP CLO 2014-1 Ltd. Rating Class To From E B (sf)/Watch Neg B (sf) Jasper CLO Ltd. Rating Class To From D-1 BB+ (sf)/Watch Neg BB+ (sf) D-2 BB+ (sf)/Watch Neg BB+ (sf) Limerock CLO II Ltd. Rating Class To From F B (sf)/Watch Neg B (sf) [*] S&P Puts Ratings on 58 Tranches From 16 CLO Deals on Watch Pos ------------------------------------------------------------------ S&P Global Ratings placed its ratings on 58 tranches from 16 U.S. collateralized loan obligation (CLO) transactions on CreditWatch with positive implications. The CreditWatch placements follow S&P's surveillance review of U.S. cash flow collateralized debt obligation (CDO) transactions. The affected tranches had an original issuance amount of $1.99 billion. The CreditWatch positive placements resulted from increased overcollateralization due to paydowns to the senior tranches of these CLO transactions. All of the transactions have exited their reinvestment periods. The table below reflects the year of issuance for the 16 transactions whose ratings were placed on CreditWatch. Year of issuance No. of deals 2006 1 2007 9 2012 1 2013 2 2014 2 2015 1 S&P expects to resolve the CreditWatch placements within 90 days after S&P completes a comprehensive cash flow analysis and committee review for each of the affected transactions. S&P will continue to monitor the CLO transactions it rates and take rating actions, including CreditWatch placements, as S&P deems appropriate. RATINGS PLACED ON CREDITWATCH POSITIVE ALM VII(R) Ltd. Rating Class To From A-2 AA (sf)/Watch Pos AA (sf) B A (sf)/Watch Pos A (sf) C BBB- (sf)/Watch Pos BBB- (sf) D BB- (sf)/Watch Pos BB- (sf) E B (sf)/Watch Pos B (sf) ALM VII(R)-2 Ltd. Rating Class To From A-2 AA (sf)/Watch Pos AA (sf) B A (sf)/Watch Pos A (sf) C BBB- (sf)/Watch Pos BBB- (sf) D BB- (sf)/Watch Pos BB- (sf) E B (sf)/Watch Pos B (sf) Battalion CLO 2007-1 Ltd. Rating Class To From C AA+ (sf)/Watch Pos AA+ (sf) D A (sf)/Watch Pos A (sf) E BB+ (sf)/Watch Pos BB+ (sf) Black Diamond CLO 2006-1 (Luxembourg) S.A. Rating Class To From B AA+ (sf)/Watch Pos AA+ (sf) C AA (sf)/Watch Pos AA (sf) D AA- (sf)/Watch Pos AA- (sf) E BBB+ (sf)/Watch Pos BBB+ (sf) CIFC Funding 2007-II Ltd. Rating Class To From B AA+ (sf)/Watch Pos AA+ (sf) C A (sf)/Watch Pos A (sf) D BB+ (sf)/Watch Pos BB+ (sf) CIFC Funding 2007-III Ltd. Rating Class To From B AA (sf)/Watch Pos AA (sf) C A- (sf)/Watch Pos A- (sf) D BB+ (sf)/Watch Pos BB+ (sf) Elm CLO 2014-1 Ltd. Rating Class To From B-1 AA (sf)/Watch Pos AA (sf) B-2 AA (sf)/Watch Pos AA (sf) C A (sf)/Watch Pos A (sf) D BBB (sf)/Watch Pos BBB (sf) E BB- (sf)/Watch Pos BB- (sf) Fore CLO Ltd. 2007-1 Rating Class To From C A+ (sf)/Watch Pos A+ (sf) D BB- (sf)/Watch Pos BB- (sf) Golden Knight II CLO Ltd. Rating Class To From C AA+ (sf)/Watch Pos AA+ (sf) D A- (sf)/Watch Pos A- (sf) E B+ (sf)/Watch Pos B+ (sf) Inwood Park CDO Ltd. Rating Class To From C AA+ (sf)/Watch Pos AA+ (sf) D BBB+ (sf)/Watch Pos BBB+ (sf) Landmark IX CDO Ltd. Rating Class To From C AA+ (sf)/Watch Pos AA+ (sf) D A+ (sf)/Watch Pos A+ (sf) E BB+ (sf)/Watch Pos BB+ (sf) Madison Park Funding III Ltd. Rating Class To From A-3 AA+ (sf)/Watch Pos AA+ (sf) B AA- (sf)/Watch Pos AA- (sf) C BBB+ (sf)/Watch Pos BBB+ (sf) Mariner CLO 2015-1 LLC Rating Class To From B-1 AA (sf)/Watch Pos AA (sf) B-2 AA (sf)/Watch Pos AA (sf) C A (sf)/Watch Pos A (sf) D BBB (sf)/Watch Pos BBB (sf) E BB (sf)/Watch Pos BB (sf) NXT Capital CLO 2012-1 LLC Rating Class To From B AA+ (sf)/Watch Pos AA+ (sf) C A+ (sf)/Watch Pos A+ (sf) D BBB+ (sf)/Watch Pos BBB+ (sf) E BB+ (sf)/Watch Pos BB+ (sf) Race Point V CLO Ltd. Rating Class To From B-R AA (sf)/Watch Pos AA (sf) C-R A (sf)/Watch Pos A (sf) D-R BBB (sf)/Watch Pos BBB (sf) E-R BB (sf)/Watch Pos BB (sf) Voya CLO IV Ltd. Rating Class To From A-2 AA+ (sf)/Watch Pos AA+ (sf) B AA- (sf)/Watch Pos AA- (sf) C BBB+ (sf)/Watch Pos BBB+ (sf) D BB+ (sf)/Watch Pos BB+ (sf) ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers public debt and equity securities about which we report. Each Tuesday edition of the TCR contains a list of companies with insolvent balance sheets whose shares trade higher than $3 per share in public markets. At first glance, this list may look like the definitive compilation of stocks that are ideal to sell short. Don't be fooled. Assets, for example, reported at historical cost net of depreciation may understate the true value of a firm's assets. A company may establish reserves on its balance sheet for liabilities that may never materialize. The prices at which equity securities trade in public market are determined by more than a balance sheet solvency test. On Thursdays, the TCR delivers a list of recently filed Chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/books/to order any title today. Monthly Operating Reports are summarized in every Saturday edition of the TCR. The Sunday TCR delivers securitization rating news from the week then-ending. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter is a daily newsletter co-published by Bankruptcy Creditors Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., USA. Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Valerie Udtuhan, Howard C. Tolentino, Carmel Paderog, Meriam Fernandez, Joel Anthony G. Lopez, Cecil R. Villacampa, Sheryl Joy P. Olano, Psyche A. Castillon, Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2016. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. The TCR subscription rate is $975 for 6 months delivered via e-mail. Additional e-mail subscriptions for members of the same firm for the term of the initial subscription or balance thereof are $25 each. For subscription information, contact Peter A. Chapman at 215-945-7000 or Nina Novak at 202-362-8552. *** End of Transmission ***