/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/170212.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, February 12, 2017, Vol. 21, No. 42 Headlines ARCAP 2003-1: Interest Payment on 6 Notes Deferred, Fitch Says ARES XLII: Moody's Assigns (P)Ba3 Rating to Class E Notes ATLAS SENIOR VI: S&P Assigns Prelim 'BB-' Rating on Class E Notes BANK OF AMERICA 2017-BNK3: DBRS Assigns (P)B Rating to Cl. F Debt BAYVIEW COMMERCIAL 2007-3: Moody's Confirms Caa3 Rating on A4A Debt BCAP LLC 2010-RR4-II: S&P Withdraws BB+ Rating on 4 Tranches BEAR STEARNS 2004-PWR4: Fitch Affirms 'Dsf' Rating on Cl. M Certs BEAR STEARNS 2005-PWR7: Moody's Lowers Rating on Cl. F Debt to C BEAR STEARNS 2006-PWR11: S&P Lowers Ratings on 2 Tranches to Dsf CALIFORNIA STREET CLO: Moody's Affirms Ba1 Rating on Class D Notes CAPMARK VII-CRE: Fitch Raises Rating on Cl. D Debt to 'CCCsf' CAVALRY CLO V: Moody's Affirms Ba2 Rating on Class E Notes CBA COMMERCIAL 2004-1: Fitch Affirms 'Csf' Rating on Cl. M-1 Debt CENT CDO 15: Moody's Lowers Rating on Class D Notes to B1 CGGS COMMERCIAL 2016-RND: Fitch Affirms BB- Rating on E-FX Debt CIFC FUNDING 2017-I: Moody's Assigns Ba3 Rating to Class E Notes CIT RV 1998-A: S&P Withdraws D Rating on Class B Notes CITIGROUP 2015-GC27: DBRS Confirms B(low) Rating on Class G Debt COMM 2014-LC15: DBRS Confirms Bsf Rating on Class F Debt COMM 2016-CCRE28: DBRS Confirms B(low) Rating on Class H Debt CREDIT SUISSE 2008-C1: Fitch Affirms 'CCC' Rating on Class C Certs CSAIL 2016-C5: Fitch Affirms 'B-sf' Rating on Class X-F Certs CSMC 2010-RR1: Moody's Hikes Rating on Cl. 1-B-B Debt From Ba1 DT AUTO OWNER 2017-1: S&P Assigns Prelim. BB Rating on Cl. E Notes EXETER AUTOMOBILE 2017-1: DBRS Assigns (P)BB Rating on Cl. D Debt FLAGSHIP CREDIT 2017-1: DBRS Assigns (P)BB Rating to Class E Debt FLAGSHIP CREDIT 2017-1: S&P Assigns BB- Rating on Class E Notes GE BUSINESS 2005-1: S&P Lowers Rating on Class C Loans to B GE COMMERCIAL 2003-C1: Moody's Affirms C Rating on 2 Tranches GREENWICH CAPITAL 2005-GG3: S&P Affirms CCC- Rating on Cl. E Certs GS MORTGAGE 2017-485L: S&P Gives Prelim BB- Rating to Cl. HRR Debt IMSCI 2015-6: DBRS Confirms Bsf Rating on Class G Certificates JP MORGAN 2002-CIBC5: Moody's Affirms C Rating on Class M Certs. JP MORGAN 2005-LDP4: DBRS Upgrades Class C Debt Rating to BB(sf) JP MORGAN 2005-LDP5: S&P Lowers Rating on Class J Certs to Dsf JP MORGAN 2006-CIBC15: Fitch Affirms 'CCC' Rating on Cl. A-M Debt JP MORGAN 2006-CIBC17: Fitch Affirms 'D' Rating on Cl. A-J Certs JP MORGAN 2014-FL4: S&P Affirms 'BB' Rating on 2 Tranches JP MORGAN 2014-FL4: S&P Affirms Ratings on 3 Tranches LEAF RECEIVABLES 2015-1: Moody's Ups Rating on Cl. E-2 Debt to Ba1 LIME STREET: Moody's Affirms B2 Rating on Class E Notes MERRILL LYNCH 2005-CIP1: DBRS Lowers Class E Debt Rating to D(sf) MERRILL LYNCH 2005-CKI1: Moody's Hikes Class D Debt Rating to Ba1 ML-CFC COMMERCIAL 2006-1: DBRS Lowers Class C Debt Rating to D(sf) MORGAN STANLEY 2005-HQ5: Fitch Affirms 'Dsf' Rating on Cl. G Debt MORGAN STANLEY 2006-HQ8: Moody's Cuts Rating on 2 Tranches to C MORGAN STANLEY 2007-IQ13: Fitch Affirms 'D' Rating on Cl. B Debt MORGAN STANLEY 2007-IQ14: Moody's Affirms C Rating on Cl. B Certs. MORGAN STANLEY 2013-C9: Moody's Affirms B3 Rating on Cl. H Debt MORGAN STANLEY 2015-C20: DBRS Confirms B(low) Rating on Cl. F Debt MORGAN STANLEY 2017-PRME: DBRS Gives (P)BB Rating to Cl. E Debt MSC MORTGAGE 2012-C4: DBRS Confirms Bsf Rating on Class G Debt NEWSTAR COMMERCIAL 2012-2: Moody's Affirms B2 Rating on Cl. F Notes NRZ ADVANCE 2017-T1: S&P Assigns 'BB' Rating on Class E-T1 Notes OCTAGON INVESTMENT XII: S&P Raises Rating on Cl. E-R Notes to BB+ OFSI FUND V: S&P Assigns 'BB-' Rating on Class B-2L Notes ONEMAIN DIRECT 2017-1: Moody's Assigns B2 Rating to Class E Notes RBSCF TRUST 2010-RR4: Moody's Hikes Cl. MSC-B2 Debt Rating From Ba1 RFC CDO 2007-1: Moody's Lowers Rating on Cl. A-2 Notes to C SCF EQUIPMENT 2017-1: Moody's Gives (P)B3 Rating to Class D Notes SEQUOIA MORTGAGE 2017-2: Moody's Gives (P)B2 Rating to Cl. B-4 Debt SRS DISTRIBUTION: Moody's Affirms B2 Corporate Family Rating STACR 2017-DNA1: Fitch Assigns B+ Rating to 12 Tranches THL CREDIT 2017-1: Moody's Assigns (P)Ba3 Rating to Class E Notes TOWD POINT 2017-1: DBRS Assigns Prov. B(sf) Rating to Cl. B2 Notes TOWD POINT 2017-1: Moody's Assigns (P)Ba2 Rating to Cl. B1 Notes TROPIC CDO V: Fitch Corrects June 10 Release UBS-BARCLAYS 2013-C6: Fitch Affirms 'Bsf' Rating on Class F Certs WACHOVIA BANK 2004-C12: Fitch Affirms 'Csf' Rating on Cl. O Debt WACHOVIA BANK 2004-C15: DBRS Cuts Class G Debt Rating to D(sf) WACHOVIA BANK 2005-C16: S&P Affirms BB+ Rating on Class H Certs WACHOVIA BANK 2006-C27: Moody's Cuts Class C Debt Rating to Caa3 WAMU: Moody's Takes Action on $89.2MM of Option-Arm RMBS WELLS FARGO 2016-C32: DBRS Confirms B Rating on Class F Debt WFRBS 2014-C19: Moody's Affirms Ba3 Rating on Class X-B Certs. [*] Fitch Lowers 113 Distressed Bonds in 73 US RMBS Deals to Dsf [*] Fitch Lowers 12 Bonds in 9 Transactions to D [*] Moody's Hikes $185.4MM of Subprime RMBS Issued 2006-2007 [*] Moody's Hikes $624.8MM of Subprime RMBS Issued 2005-2007 [*] Moody's Hikes $629MM of Subprime RMBS Issued 2002-2006 [*] Moody's Hikes $820MM of Subprime RMBS Issued 2001-2007 [*] Moody's Takes Action on $805.1MM of RMBS Issued 2004-2007 [*] S&P Completes Review of 116 Classes From 23 RMBS Deals [*] S&P Completes Review on 106 Classes From 13 U.S. RMBS Deals [*] S&P Completes Review on 55 Classes From 14 US RMBS Deals [*] S&P Takes Actions on 7 Tranches From 7 U.S. SCDO Transactions [] Moody's Takes Action on $207.1MM of RMBS Issued 2003-2004 ********* ARCAP 2003-1: Interest Payment on 6 Notes Deferred, Fitch Says -------------------------------------------------------------- Fitch Ratings has upgraded one and affirmed six classes issued by ARCap 2003-1 Resecuritization, Inc. KEY RATING DRIVERS The upgrade is due to continued deleveraging, increasing credit enhancement, and positive portfolio migration. Since the last rating action in February 2016, the transaction has continued to de-leverage with $18.6 million in paydown; the class C notes have paid-in-full and the class D notes have received $2.2 million in paydowns. Over this period, 34.4% of the underlying collateral has been upgraded a weighted average of 3.4 notches and none has been downgraded. Currently, 59.9% of the portfolio has a Fitch derived rating below investment grade and 43.8% has a rating in the 'CCC' category and below, compared to 63.4% and 33.7%, respectively, at the last rating action. As of the Jan. 20, 2017 payment date, the class E notes are deferring a portion of their interest payments and the class F through K notes are deferring their full interest payments. The pool has become increasingly concentrated with 15 assets and six obligors remaining. This transaction was analyzed under the framework described in the report 'Global Surveillance Criteria for Structured Finance CDOs' using the Portfolio Credit Model (PCM) for projecting future default levels for the underlying portfolio. However, while the PCM output was used as a reference point, due to the concentration of the pool a look-through analysis of the underlying obligors was the determining factor in the rating recommendations (see 'Global Surveillance Criteria for Structured Finance CDOs': Obligor Concentrations). The look-through analysis included a review of each asset to determine the collateral coverage for the remaining liabilities. Based on the analysis, the class D notes pass at the assigned rating. The ratings reflect these results as well as the risk of adverse selection as the portfolio continues to amortize. Based on this analysis, the credit enhancement for the class D notes is consistent with the rating actions below. For the class E through K notes, Fitch analyzed each class' sensitivity to the default of the distressed assets ('CCC' and below). Despite paydown, risk remains that class E will not pay interest timely after class becomes senior. Given the high probability of default of the underlying assets and the expected limited recovery prospects upon default, the class E through K notes have been affirmed at 'Csf', indicating that default is inevitable. RATING SENSITIVITIES The Stable Outlook on the class D notes reflects Fitch's view that the transaction will continue to delever. Fitch anticipates timely payment of interest and near-term pay-off of class D. However, negative migration and defaults as well as increasing concentration in assets of a weaker credit quality could lead to downgrades. If recoveries are better than expected, there could be additional upgrades to class E. Fitch has upgraded the following class as indicated: -- $13,188,547 class D notes to 'AAAsf' from 'Bsf'; Outlook Stable. Fitch has affirmed the following classes as indicated: -- $36,100,000 class E notes at 'Csf'. -- $13,000,000 class F notes at 'Csf'; -- $45,000,000 class G notes at 'Csf'; -- $9,000,000 class H notes at 'Csf'; -- $28,000,000 class J notes at 'Csf'; -- $24,000,000 class K notes at 'Csf'. The class A, B, and C notes have paid in full. Fitch does not rate the class L or class X notes. ARCAP 2003-1 is backed by 15 bonds from six commercial mortgage backed securities (CMBS) transactions and is considered a CMBS B-piece resecuritization (also referred to as first loss commercial real estate collateralized debt obligation [CRE CDO]/ReREMIC) as it includes the most junior bonds of CMBS transactions. The transaction closed Aug. 27, 2003. ARES XLII: Moody's Assigns (P)Ba3 Rating to Class E Notes --------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to six classes of notes to be issued by Ares XLII CLO Ltd. (the "Issuer" or "Ares XLII"). Moody's rating action is: US$248,000,000 Class A Senior Floating Rate Notes due 2028 (the "Class A Notes"), Assigned (P)Aaa (sf) US$46,500,000 Class B-1 Senior Floating Rate Notes due 2028 (the "Class B-1 Notes"), Assigned (P)Aa2 (sf) US$12,000,000 Class B-2 Senior Fixed Rate Notes due 2028 (the "Class B-2 Notes"), Assigned (P)Aa2 (sf) US$21,500,000 Class C Mezzanine Deferrable Floating Rate Notes due 2028 (the "Class C Notes"), Assigned (P)A2 (sf) US$21,600,000 Class D Mezzanine Deferrable Floating Rate Notes due 2028 (the "Class D Notes"), Assigned (P)Baa3 (sf) US$18,400,000 Class E Mezzanine Deferrable Floating Rate Notes due 2028 (the "Class E Notes"), Assigned (P)Ba3 (sf) The Class A Notes, the Class B-1 Notes, the Class B-2 Notes, the Class C Notes, the Class D Notes, and the Class E Notes are referred to herein 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. Ares XLII is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated first lien senior secured corporate loans. At least 96% of the portfolio must consist of senior secured loans and eligible investments purchased with principal proceeds, and up to 4% of the portfolio may consist of non-senior secured loans. Moody's expects the portfolio to be approximately 70%-80% ramped as of the closing date. Ares CLO 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 4.6 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 one class of 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 October 2016. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $400,000,000 Diversity Score: 60 Weighted Average Rating Factor (WARF): 2900 Weighted Average Spread (WAS): 3.75% Weighted Average Coupon (WAC): 7.50% Weighted Average Recovery Rate (WARR): 48.50% 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 October 2016. Factors That Would Lead to 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 2900 to 3335) Rating Impact in Rating Notches Class A Notes: 0 Class B-1 Notes: -2 Class B-2 Notes: -2 Class C Notes: -2 Class D Notes: -1 Class E Notes: 0 Percentage Change in WARF -- increase of 30% (from 2900 to 3770) Rating Impact in Rating Notches Class A Notes: -1 Class B-1 Notes: -3 Class B-2 Notes: -3 Class C Notes: -4 Class D Notes: -2 Class E Notes: -1 ATLAS SENIOR VI: S&P Assigns Prelim 'BB-' Rating on Class E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-R, B-R, C-R, and D-R replacement notes from Atlas Senior Loan Fund VI Ltd., a collateralized loan obligation (CLO) originally issued in 2014 that is managed by Crescent Capital Group LP. The replacement notes will be issued via a proposed supplemental indenture. The class E notes are not part of this refinancing, and S&P expects to affirm the current rating on the refinancing date. The preliminary ratings reflect S&P's opinion that the credit support available is commensurate with the associated rating levels. The refinanced notes are all being issued with a lower coupon than the original notes. The preliminary ratings are based on information as of Feb. 8, 2017. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Feb. 10, 2017, refinancing date, the proceeds from the issuance of the replacement notes are expected to redeem the original notes. At that time, S&P anticipates withdrawing the ratings on the original notes and assigning ratings to the replacement notes. However, if the refinancing doesn't occur, S&P may affirm the ratings on the original notes and withdraw its preliminary ratings on the replacement notes. The replacement notes are being issued via a proposed supplemental indenture, which includes no other substantial changes to the transaction. REPLACEMENT AND ORIGINAL NOTE ISSUANCES Replacement notes Class Amount Interest (mil. $) rate (%) A-R 340.45 LIBOR + 1.25 B-R 61.60 LIBOR + 1.60 C-R 47.85 LIBOR + 2.40 D-R 28.60 LIBOR + 3.60 Original notes Class Amount Interest (mil. $) rate (%) A 340.45 LIBOR + 1.54 B 61.60 LIBOR + 2.40 C 47.85 LIBOR + 3.00 D 28.60 LIBOR + 3.70 E 27.50 LIBOR + 5.20 S&P's review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the trustee report, to estimate future performance. In line with S&P's criteria, its cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, S&P's analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches. S&P will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and S&P will take further rating actions as it deems necessary. PRELIMINARY RATINGS ASSIGNED Atlas Senior Loan Fund VI Ltd. Replacement class Rating Amount (mil. $) A-R AAA (sf) 340.45 B-R AA (sf) 61.60 C-R A (sf) 47.85 D-R BBB (sf) 28.60 OTHER OUTSTANDING RATING Atlas Senior Loan Fund VI Ltd. Class Rating E BB- (sf) BANK OF AMERICA 2017-BNK3: DBRS Assigns (P)B Rating to Cl. F Debt ----------------------------------------------------------------- DBRS, Inc. on January 26, 2017, assigned provisional ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2017-BNK3 (the Certificates), issued by Bank of America Merrill Lynch Commercial Mortgage Trust 2017-BNK3. -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AAA (sf) -- Class X-D at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (sf) -- Class C at A (sf) -- Class D at BBB (sf) -- Class E at BB (high) (sf) -- Class F at B (high) (sf) All trends are Stable. Classes X-D, D, E and F will be privately placed. The Class X-A, X-B and X-D balances are notional. DBRS ratings on interest-only (IO) certificates address the likelihood of receiving interest based on the notional amount outstanding. DBRS considers the IO certificates' positions within the transaction payment waterfall when determining the appropriate ratings. On January 17, 2017, DBRS released a Request for Comment on its proposed methodology, "Rating North American CMBS Interest-Only Certificates." If this methodology is adopted without changes, DBRS indicates that potential rating actions could be either downgrades or confirmations to IO certificates. The collateral consists of 63 fixed-rate loans secured by 94 commercial and multifamily properties, comprising a total transaction balance of $977,092,638. The transaction has a sequential-pay pass-through structure. The trust assets contributed from two loans, representing 7.2% of the pool, are shadow-rated investment grade by DBRS. Proceeds for each shadow-rated loan are floored at their respective rating within the pool. When 7.2% of the pool has no proceeds assigned below the rated floor, the resulting pool subordination is diluted or reduced below that rated floor. The conduit pool was analyzed to determine the provisional ratings, reflecting the long-term probability of loan default within the term and its liquidity at maturity. When the cut-off loan balances were measured against the DBRS Stabilized net cash flow (NCF) and their respective actual constants, no loans had a DBRS Term debt service coverage ratio (DSCR) below 1.15 times (x), a threshold indicative of a higher likelihood of mid-term default. Twenty-four loans, representing 49.7% of the pool, have a DBRS Refinance (Refi) DSCR below 1.00x; however, these credit metrics are based on whole-loan balances. Two of the pool's loans with DBRS Refi DSCRs below 0.90x, 85 Tenth Avenue and Potomac Mills, which total 7.2% of the transaction balance, are shadow-rated and have large pieces of subordinate mortgage debt outside the trust. Based on A-note balances only, the deal's weighted-average (WA) DBRS Refi DSCR improves to 1.06x from 1.03x and the concentration of loans with DBRS Refi DSCRs below 1.00x reduces to 42.4%. As previously mentioned, two loans in the top 15, 85 Tenth Avenue and Potomac Mills, have trust participations that exhibit credit characteristics consistent with investment-grade shadow ratings. 85 Tenth Avenue has credit characteristics consistent with a BBB shadow rating while Potomac Mills has credit characteristics consistent with an A (low) shadow rating. In addition, 44 loans, representing 83.9% of the pool, have a DBRS Term DSCR in excess of 1.50x. This includes nine of the largest ten loans. Even when excluding the two shadow-rated loans, both of which have large pieces of subordinate mortgage debt held outside the trust, the deal continues to exhibit a favorable DBRS Term DSCR of 1.92x. Based on A-note balances only, the DBRS Term DSCR is even more robust at 2.02x. The transaction has six properties, representing 22.6% of the pool, located in urban markets. Properties in urban markets benefit from consistent investor demand, even in times of stress. Urban markets represented in the deal include Seattle, New York, Atlanta, Culver City, West Hollywood and Newark. There are only six properties, representing 5.7% of the pool, located in tertiary markets and no properties located in rural markets. None of the loans secured by properties located in tertiary markets are within the top 20 loans of the pool. Properties located in tertiary and rural markets are modeled with significantly higher loss severities than those located in urban and suburban markets. Five loans, comprising 39.9% of the DBRS sample (28.8% of the pool), were considered to be of Above Average property quality based on physical attributes and/or a desirable location within their respective markets. All five of these loans are within the top 15 (The Summit Birmingham, KOMO Plaza, JW Marriott Desert Springs, Storbox Self Storage and Platform). The transaction has a high concentration of loans that are secured by assets either fully or primarily used as retail at 34.9%. The retail sector has generally underperformed since the Great Recession because of a general decline in consumer spending power, store closures, chain bankruptcies and the rapidly growing popularity of ecommerce. According to the U.S. Census Bureau, e-commerce is projected to account for 10.0% of total retail sales in 2018, which is up from 7.8% in 2015. As the e-commerce share of sales is expected to continue to grow significantly in the coming years, the retail real estate sector may continue to be relatively weak. DBRS considers 55.0% of the pool's retail loans to be secured by either anchored or regional mall properties, which are more desirable and have shown historically lower rates of default. The retail outlets are predominantly located in established suburban markets and the retail loans in the top ten exhibit high sales figures. The Summit Birmingham featured in-line sales of $603.00 per square foot (psf; excluding Apple at $513.00 psf) as of the T-12 period ending August 2016. East Market, an anchored retail center in Fairfax, Virginia, purported sales figures of $1,010 psf for Whole Foods Market, the anchor tenant, as of YE2015. Additionally, Potomac Mills is shadow-rated A (low) by DBRS. The DBRS sample included 25 of the 62 loans in the pool. Site inspections were performed on 35 of the 94 properties in the portfolio (69.4% of the pool by allocated loan balance). The DBRS average sample NCF adjustment for the pool was -7.7% and ranged from -17.8% to +0.6%. The average DBRS sampled NCF haircut compares favorably with more recent transactions by DBRS where the average DBRS sampled haircut has averaged -8.3%. The rating assigned to Class F differs from the higher rating implied by the Large Pool Multi-borrower Parameters. DBRS considers this difference to be a material deviation from the methodology and, in this case, the ratings reflect the dispersion of loan-level cash flows expected to occur post-issuance. BAYVIEW COMMERCIAL 2007-3: Moody's Confirms Caa3 Rating on A4A Debt ------------------------------------------------------------------- Moody's Investors Service has downgraded the ratings on twelve tranches from three transactions of small business loans issued by Bayview Commercial Asset Trust, and confirmed the ratings of two tranches from two transactions. The rating actions were taken on tranches of transactions where Moody's found that the maturity dates of a number of loans underlying the four transactions were modified to dates beyond the maturity dates of the rated tranches. The loans are secured primarily by small commercial real estate properties in the U.S. owned by small businesses. Complete rating actions are: Issuer: Bayview Commercial Asset Trust 2007-3 Cl. A-1, Downgraded to Ba1 (sf); previously on Nov 22, 2016 A3 (sf) Placed Under Review for Possible Downgrade Cl. A-2, Downgraded to Ba3 (sf); previously on Nov 22, 2016 Ba2 (sf) Placed Under Review for Possible Downgrade Cl. M-1, Downgraded to B3 (sf); previously on Nov 22, 2016 B2 (sf) Placed Under Review for Possible Downgrade Cl. M-2, Downgraded to Caa1 (sf); previously on Nov 22, 2016 B3 (sf) Placed Under Review for Possible Downgrade Cl. M-3, Downgraded to Caa2 (sf); previously on Nov 22, 2016 Caa1 (sf) Placed Under Review for Possible Downgrade Issuer: Bayview Commercial Asset Trust 2007-6 Cl. A-4A, Confirmed at Caa3 (sf); previously on Nov 22, 2016 Caa3 (sf) Placed Under Review for Possible Downgrade Issuer: Bayview Commercial Asset Trust 2008-3 Cl. A-4, Downgraded to B2 (sf); previously on Nov 22, 2016 B1 (sf) Placed Under Review for Possible Downgrade Cl. M-1, Downgraded to Caa2 (sf); previously on Nov 22, 2016 Downgraded to Caa1 (sf) and Placed Under Review for Possible Downgrade Cl. M-2, Downgraded to Ca (sf); previously on Nov 22, 2016 Downgraded to Caa3 (sf) and Placed Under Review for Possible Downgrade Issuer: Bayview Commercial Asset Trust 2008-4 Cl. A-4, Confirmed at Ba1 (sf); previously on Nov 22, 2016 Ba1 (sf) Placed Under Review for Possible Downgrade Cl. M-1, Downgraded to B1 (sf); previously on Nov 22, 2016 Ba3 (sf) Placed Under Review for Possible Downgrade Cl. M-2, Downgraded to B3 (sf); previously on Nov 22, 2016 B2 (sf) Placed Under Review for Possible Downgrade Cl. M-3, Downgraded to Caa2 (sf); previously on Nov 22, 2016 Downgraded to Caa1 (sf) and Placed Under Review for Possible Downgrade Cl. M-4, Downgraded to Ca (sf); previously on Nov 22, 2016 Downgraded to Caa3 (sf) and Placed Under Review for Possible Downgrade RATINGS RATIONALE The downgrade actions on the 2007-3, 2008-3, and 2008-4 transactions reflect that between roughly 30% and in excess of 60% of the outstanding pool balances for these transactions consists of loans that were modified to have maturity dates in excess of the tranches' maturity dates. As a result, there is the potential for between approximately 5% and 20% of the current collateral pool for each transaction to be outstanding at the tranches' maturity dates, although this amount would be reduced by prepayments or higher than expected losses. The Cl. A-1 certificate of the 2007-3 transaction is particularly vulnerable to this issue given the transaction's pro rata pay structure coupled with the high balance of loans (in excess of 60% of the outstanding pool balance) that have been extended past the transaction's final maturity date. These factors may cause some of the Cl. A-1 certificate balance to remain outstanding as of its final maturity date. The Cl. A-1 certificate was downgraded to Ba1(sf) from A3(sf) as a result. Remaining tranches that were on review due to loan maturity date modifications past the final transaction maturity dates, including those from the sequential pay transactions (2007-6, 2008-3, and 2008-4), were confirmed or only incurred one-notch downgrades, reflecting in part that these tranches already had non-investment grade ratings. In the 2007-6, 2008-3, and 2008-4 transactions, loans extended past the transactions' final maturity dates were approximately 40%, 30%, and 30% of the respective outstanding pool balances. In general, for the Bayview small business ABS collateral pools, delinquencies of 60 days or more, including loans in foreclosure and REO, have improved with the average deal experiencing a decrease in delinquencies of nearly 4% on an absolute basis over the past year for the affected transactions. Delinquencies of 60 days or more ranged from 9% to 16% of the outstanding pool balances as of the January 2017 distribution date, versus 12% to 20% as of the January 2016 distribution date. Average severities are still high in the 70% to 80% range. A key factor in Moody's loss projections is its evaluation and treatment of modified loans. Bayview Loan Servicing has modified approximately 50% to 65% of the loan balance classified as current as of the January 2017 distribution date in the deals affected by rating actions. Most of these loans were delinquent before modification and are therefore more likely to become delinquent than non-modified loans in the future. Moody's evaluation of loan-level data indicates that current, modified loans are two to three times as likely to become defaulted compared to current, non-modified loans. The current ratings reflect the likelihood of security holders recovering outstanding interest shortfalls for the bonds on which they exist. Even though available credit enhancement to a tranche may be high, recovery of interest shortfalls may take several years for rated tranches with outstanding shortfalls. Transactions in this rating action that continue to be impacted by interest shortfalls include Bayview 2007-6, 2008-3 and 2008-4. METHODOLOGY The principal methodology used in these ratings was "Moody's Global Approach to Rating SME Balance Sheet Securitizations" published in October 2015. Moody's evaluated the sufficiency of credit enhancement by first analyzing the loans to determine an expected remaining net loss for each collateral pool. Moody's compared these expected net losses with the available credit enhancement, consisting of overcollateralization, subordination, excess spread, and a reserve account if any. For the lower subordinate tranches, Moody's identified relatively near term future write-downs by examining the expected losses from loans in foreclosure and REO in relation to a tranche's available credit enhancement. To forecast expected losses for the Bayview small business ABS collateral pools, Moody's evaluated each pool according to the delinquency and modification status of the underlying loans, applying different roll rates to default to loans according to each status. In order to determine the roll rates to default, Moody's assessed historical roll rate behavior according to their delinquency status. This approach leads to a wide range of lifetime loan default rates depending on vintage, modification status and delinquency status. For modified current loans, the remaining lifetime default rate assumption was 20%, more than two times the remaining lifetime default rate estimate of 8% for non-modified current loans. For delinquent loans, the lifetime default rates range from 30% to 75%. For loans in foreclosure or REO, the lifetime default rates are roughly 70% to 100%. For loss severities, Moody's generally applied 75% severities for both modified and non-modified loans. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against expected losses could drive the ratings up. Losses below Moody's expectations as a result of a decrease in seriously delinquent loans or lower severities than expected on liquidated loans. Reimbursement of interest shortfalls more rapidly than anticipated when applicable. For loans with maturities in excess of the transaction maturity date, levels of prepayments above expectations, or the further modification of those loans such that they mature prior to the transaction maturity date for their respective transactions. Down Levels of credit protection that are insufficient to protect investors against expected losses could drive the ratings down. Losses above Moody's expectations as a result of an increase in seriously delinquent loans and higher severities than expected on liquidated loans. Reimbursement of interest shortfalls slower than anticipated when applicable. For loans with maturities past the transaction maturity dates, levels of prepayments above expectations. For loans with maturities in excess of the transaction maturity date, levels of prepayments below expectations, or the modification of additional loans such that they mature after the transaction maturity date for their respective transactions. BCAP LLC 2010-RR4-II: S&P Withdraws BB+ Rating on 4 Tranches ------------------------------------------------------------ S&P Global Ratings withdrew its ratings on 13 classes from BCAP LLC 2010-RR4-II Trust, a U.S. residential mortgage-backed securities (RMBS) resecuritized real estate mortgage investment conduit (re-REMIC) transaction backed by two underlying classes secured by alternative-A mortgage loan collateral. All 13 ratings were on CreditWatch negative before the withdrawal. WITHDRAWALS S&P withdrew its ratings on the 13 classes due to lack of sufficient information of satisfactory quality to properly determine the ratings. S&P placed these ratings on CreditWatch negative on Nov. 25, 2015. At that time, S&P was seeking clarification from the administrative trustee (Deutsche Bank National Trust Co.) on how it was allocating losses on these classes, as S&P's interpretation of the transaction documents indicated a different loss allocation sequence than what the administrative trustee seemed to be applying. In S&P's view, a change to how losses are allocated would have a negative effect on our ratings on these classes. The trustee has allocated the realized losses between the subgroup III-1 certificates and the subgroup III-2 certificates (which include the 13 affected classes in this review) sequentially, with such losses allocated to the subgroup III-1 certificates first before the subgroup III-2 certificates (with the losses within each subgroup allocated in reverse order of priority). In S&P's view, this is inconsistent with how the allocation of losses between the two subgroups is stated in the transaction documents, which S&P believes to be a pro rata allocation of losses between the two subgroups. Following our Nov. 25, 2015, CreditWatch negative placements, the trustee filed a petition seeking court instructions on the appropriate method for allocating losses between the subgroup III-1 and subgroup III-2 certificates. The trustee has since placed all distributions to the class III-2-A8 (exchangeable from class III-2-A11) and class III-2-A12 (exchangeable from classes III-2-A13 and III-2-A14) certificate holders in escrow pending the outcome of the petition, since there may be adjustments to the balances of these classes. In its petition, the trustee also requested that the expenses it incurred from its legal action be reimbursed from the trust as an extraordinary expense. During the initial hearing on the trustee's petition on Aug. 22, 2016, the parties requested a continuance, and a new hearing date was set for Dec. 19, 2016. On that new date, the administrative trustee filed a verified amended petition, which superseded the original petition, and a new hearing date was set for May 1, 2017. Due to the continued deterioration of the underlying collateral because of heightened loss severity levels and steady monthly losses, S&P has observed significant erosion of credit support to these classes. However, the court's rulings regarding loss allocation, payment of legal expenses, and how the escrowed funds are ultimately distributed may cause the losses and credit support for each class to be adjusted, which in turn will likely cause a shift in S&P's ratings. Because the outcome and effects of the judicial proceeding are uncertain and will not be known until at least May of this year, S&P do not believe we can properly assess determine the ratings on these classes at this time. ECONOMIC OUTLOOK When determining a U.S. RMBS collateral pool's relative credit quality, S&P's loss expectations stem, to a certain extent, from its view of how the loans will behave under various economic conditions. S&P Global Ratings' baseline macroeconomic outlook assumptions for variables that it believes could affect residential mortgage performance are: -- An overall unemployment rate of 4.9 % in 2016, dipping to 4.6% in 2017; -- Real GDP growth of 1.6 % for 2016 and 2.4% in 2017; -- The inflation rate will be 2.2% in both 2016 and 2017; and -- The 30-year fixed mortgage rate will average about 3.6 % in 2016, rising to 4.1% in 2017. 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: -- The unemployment rate will remain at 4.9% for 2016 and inch up to 5.0% in 2017; -- Downward pressure causes GDP growth to fall to 1.5 % in 2016 and to 1.4% in 2017; -- Home price momentum slows as potential buyers are not able to purchase property; and -- While the 30-year fixed mortgage rate remains a low 3.6% in 2016 and 2017, limited access to credit and pressure on home prices will largely prevent consumers from capitalizing on these rates. RATINGS WITHDRAWN BCAP LLC 2010-RR4-II Trust Rating Class CUSIP To From III-A1 05532XDX8 NR AAA (sf)/Watch Neg III-1-A1 05532XCT8 NR AAA (sf)/Watch Neg III-1-A3 05532XCV3 NR AA (sf)/Watch Neg III-1-A9 05532XDB6 NR AA (sf)/Watch Neg III-A3 05532XDZ3 NR AA (sf)/Watch Neg III-A9 05532XEF6 NR AA (sf)/Watch Neg III-2-A7 05532XDP5 NR BBB (sf)/Watch Neg III-2-A8 05532XDQ3 NR BBB (sf)/Watch Neg III-2-A11 05532XDT7 NR BBB (sf)/Watch Neg III-A5 05532XEB5 NR BB+ (sf)/Watch Neg III-A10 05532XEG4 NR BB+ (sf)/Watch Neg III-1-A5 05532XCX9 NR BB+ (sf)/Watch Neg III-1-A10 05532XDC4 NR BB+ (sf)/Watch Neg NR--Not rated. BEAR STEARNS 2004-PWR4: Fitch Affirms 'Dsf' Rating on Cl. M Certs ----------------------------------------------------------------- Fitch Ratings has upgraded three and affirmed seven classes of Bear Stearns Commercial Mortgage Securities Trust commercial mortgage pass-through certificates, series 2004-PWR4. KEY RATING DRIVERS The upgrades reflect an increase in principal paydown since Fitch's last rating action and defeased collateral accounting for a higher percentage of the pool's current balance. The affirmations reflect the pool's stable performance over the same period. As of the January 2017 distribution date, the pool's aggregate principal balance has been reduced by 94.7% to $50.7 million from $955 million at issuance. All loans are current and there are no specially serviced loans remaining in the pool. Highly Concentrated Pool: Only three loans remain in the pool. Two loans are secured by office properties (94.2% of the current balance) and one is secured by a retail center (5.8%). Paydown and Amortization: Since Fitch's last rating action, the pool's principal balance has been reduced by 22%. One loan was prepaid with yield maintenance and two loans, one of which was previously with the special servicer, were disposed of for a total loss to the trust of $3.3 million. The actual loss was less severe than the loss modeled by Fitch at the time of its last rating action. The pool continues to benefit from amortization with the trust receiving $166,215 a month in scheduled principal payments according to the January 2017 remittance report. Defeasance: The largest remaining loan, accounting for 93.6% of the pool's current balance, is fully defeased. The loan's balance fully covers the current balance of classes E through K and partially covers (59.8%) the balance of class L. Underperformance of the Second Largest Loan: The second largest loan in the pool (5.8%) is secured by a 92,099 square foot (sf) retail center located in Sparks, NV. The loan, which is fully-amortizing and scheduled to mature on Feb. 11, 2023, is on the servicer's watch list due to the net operating income (NOI) debt service coverage ratio (DSCR) falling below the 1.0x threshold. Per servicer reporting, the NOI DSCR was 0.92x as of year-end (YE) 2015. While occupancy at the property has rebounded to 88% as of the January 2017 from a low of 57% in December 2011, in-place rental rates have remained compressed as the Reno market continues to recover from the economic downturn. As of the fourth quarter of 2016, Reis reported vacancy of 11.7% and asking rents of $20.23 psf for retail tenants in the greater Reno metropolitan area. According to the servicer provided January 2017 rent roll, in-place rents were substantially below market at an average of $12.80 psf. Fitch will continue to monitor the loan for a further decline in performance. RATING SENSITIVITIES Rating Outlooks for all classes remain Stable due to the overall stable performance of the pool and continued amortization. Further upgrades are unlikely given the concentrated nature of the pool. A downgrade to the distressed class is possible should either of the non-defeased loans experience a substantial decline in performance. 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 upgraded the following ratings: -- $3.6 million class J to 'AAAsf' from 'BBsf'; Outlook Stable; -- $4.8 million class K to 'AAAsf' from 'CCCsf'; Outlook Stable Assigned; -- $4.8 million class L to 'CCCsf' from 'CCsf'; RE 100%; Fitch has affirmed the following ratings: -- $7.8 million class E at 'AAAsf'; Outlook Stable; -- $9.5 million class F at 'AAAsf'; Outlook Stable; -- $8.4 million class G at 'AAAsf'; Outlook Stable; -- $10.7 million class H at 'AAAsf'; Outlook Stable; -- $1.4 million class M at 'Dsf'; RE 100%; -- $0 million class N at 'Dsf'; RE 0%; -- $0 million class P at 'Dsf'; RE 0%. The class A-1, A-2, A-3, B, C, and D certificates have paid in full. Fitch does not rate the class Q certificates. Fitch previously withdrew the rating on the interest-only class X certificates. BEAR STEARNS 2005-PWR7: Moody's Lowers Rating on Cl. F Debt to C ---------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on eight classes and downgraded the rating on two classes in Bear Stearns Commercial Mortgage Securities Trust 2005-PWR7: Cl. B, Affirmed A2 (sf); previously on Mar 10, 2016 Upgraded to A2 (sf) Cl. C, Affirmed Baa3 (sf); previously on Mar 10, 2016 Affirmed Baa3 (sf) Cl. D, Affirmed B3 (sf); previously on Mar 10, 2016 Affirmed B3 (sf) Cl. E, Downgraded to Caa3 (sf); previously on Mar 10, 2016 Affirmed Caa2 (sf) Cl. F, Downgraded to C (sf); previously on Mar 10, 2016 Affirmed Caa3 (sf) Cl. G, Affirmed C (sf); previously on Mar 10, 2016 Affirmed C (sf) Cl. H, Affirmed C (sf); previously on Mar 10, 2016 Affirmed C (sf) Cl. J, Affirmed C (sf); previously on Mar 10, 2016 Affirmed C (sf) Cl. K, Affirmed C (sf); previously on Mar 10, 2016 Affirmed C (sf) Cl. X-1, Affirmed Caa2 (sf); previously on Mar 10, 2016 Downgraded to Caa2 (sf) RATINGS RATIONALE The ratings on P&I Classes B & C 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 P&I Classes D, G, H, J & K were affirmed because the rating is consistent with Moody's expected loss. The rating on P&I Classes E & F were downgraded because realized and anticipated losses from specially serviced and troubled loans that were higher than Moody's had previously expected. The rating on the IO class X-1 was affirmed due to the credit performance (or the weighted average rating factor) of the referenced class. Moody's rating action reflects a base expected loss of 45.8% of the current balance, compared to 36.8% at Moody's last review. Moody's base expected loss plus realized losses is now 6.9% of the original pooled balance, compared to 1.2% 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/Single Asset-Single Borrower CMBS " published in October 2015. Additionally, the methodology used in rating Cl. X-1 was "Moody's Approach to Rating Structured Finance Interest-Only Securities" methodology 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 3, and remains unchanged since 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 January 11, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 90.6% to $105 million from $1.12 billion at securitization. The certificates are collateralized by 10 mortgage loans ranging in size from less than 1% to 46.8% of the pool. Three loans, constituting 2.5% of the pool, have defeased and are secured by US government securities. Three loans, constituting 10.9% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Seven loans have been liquidated from the pool with a loss, resulting in an aggregate realized loss of approximately $29.6 million (for an average loss severity of 48%). Two loans, constituting 74% of the pool, are currently in special servicing. The largest specially serviced loan is Shops at Boca Park ($49 million -- 46.8% of the pool), which is secured by a 139,000 square foot (SF) retail center located in Las Vegas, Nevada approximately 12 miles northwest of the Vegas strip. The loan transferred to special servicing in December 2015 due to imminent maturity default. Moody's received full year 2015 operating results for 98% of the pool. Moody's weighted average conduit LTV is 89% compared to 77% at last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 12% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.8%. Moody's actual and stressed conduit DSCRs are 1.03X and 1.49X, respectively, compared to 0.94X and 1.44X 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 19.1% of the pool balance. The largest loan is the 33 Route 304 Loan ($7.1 million -- 6.8% of the pool), which is secured by a 120,000 SF retail property in Nanuet, New York. The property was 100% leased as of November 2016 compared to 68% in December 2015 and 84% in December 2014. Moody's LTV and stressed DSCR are 91% and 1.13X, respectively, compared to 99% and 1.04X at the last review. The second largest loan is the Mission Paseo Loan ($7 million -- 6.7% of the pool), which is secured by a 61,000 SF retail property in Las Vegas, Nevada. The loan transferred to special servicing in January 2015 for maturity default and returned to master servicing after a term and rate modification in February 2016. The property was 84% leased as of June 2016 compared to 86% in August 2015 and 88% in December 2014. Moody's LTV and stressed DSCR are 136% and 0.83X, respectively, compared to 138% and 0.82X at the last review. The third largest loan is the Best Buy Plaza Loan ($5.9 million -- 5.6% of the pool), which is secured by a 109,000 SF retail property in Melbourne, Florida. The largest tenant is Best Buy, which leases approximately 42% of the NRA through February 2020. The property was 100% leased as of September 2016 and remains unchanged since December 2015. Moody's LTV and stressed DSCR are 67% and 1.44X, respectively, compared to 70% and 1.38X at the last review. BEAR STEARNS 2006-PWR11: S&P Lowers Ratings on 2 Tranches to Dsf ---------------------------------------------------------------- S&P Global Ratings lowered its ratings to 'D (sf)' on three classes of commercial mortgage pass-through certificates from Bear Stearns Commercial Mortgage Securities Trust 2006-PWR11 and JPMorgan Chase Commercial Mortgage Securities Trust 2006-LDP8, two U.S. commercial mortgage-backed securities (CMBS) transactions, due to principal losses as detailed in the respective trustee remittance reports. At the same time, S&P discontinued its ratings on classes A-M and A-J and withdrew its 'AAA (sf)' rating on the class X IO certificates from Bear Stearns Commercial Mortgage Securities Trust 2006-PWR11 transaction. Bear Stearns Commercial Mortgage Securities Trust 2006-PWR11 S&P lowered its ratings on classes E and F to 'D (sf)' to reflect principal losses as detailed in the Jan. 11, 2017, trustee remittance report. The reported net principal losses on classes E and F totaled $357,610 and $20.9 million, respectively, and resulted primarily from the liquidation of three assets. The largest two assets to liquidate were Investcorp Portfolios 1 and 2, which liquidated at loss severities of 35.2% and 5.8%, respectively, of their original trust balances. Consequently, classes E and F experienced a 1.9% and 100% loss of their $18.6 million and $20.1 million, original principal balances, respectively. In addition, S&P withdrew its ratings on classes A-M and A-J due to the full repayment of all outstanding principal. Also, based on S&P's criteria for rating IO securities, it withdrew the rating on class X-S following the full repayment of all principal- and interest-paying classes rated 'AA- (sf)' or higher. JPMorgan Chase Commercial Mortgage Securities Trust 2006-LDP8 S&P lowered its rating on class F to 'D (sf)' to reflect principal losses as detailed in the Jan. 17, 2017, trustee remittance report. The reported net principal losses to class D totaled $6.6 million and resulted primarily from the liquidation of the Foothills Mall asset, which liquidated at a loss severity of 70.3% of its original trust balance. Consequently, class F experienced a 17.2% loss of its $38.3 million original principal balance. RATINGS LOWERED Bear Stearns Commercial Mortgage Trust 2006-PWR11 Commercial mortgage pass-through certificates series 2006-PWR11 Rating Class To From E D (sf) B- (sf) F D (sf) CCC (sf) JPMorgan Chase Commercial Mortgage Securities Trust 2006-LDP8 Commercial mortgage pass-through certificates series 2006-LDP8 Rating Class To From F D (sf) CCC- (sf) RATINGS WITHDRAWN Bear Stearns Commercial Mortgage Trust 2006-PWR11 Commercial mortgage pass-through certificates series 2006-PWR11 Rating Class To From A-M NR (sf) AA (sf) A-J NR (sf) BB (sf) X-S NR (sf) AAA (sf) NR--Not rated. CALIFORNIA STREET CLO: Moody's Affirms Ba1 Rating on Class D Notes ------------------------------------------------------------------ Moody's Investors Service has upgraded the ratings on the following notes issued by California Street CLO II, Ltd.: U.S.$22,000,000 Class B Deferrable Mezzanine Notes Due 2020, Upgraded to Aaa (sf); previously on August 17, 2016 Upgraded to Aa1 (sf) U.S.$16,600,000 Class C Deferrable Mezzanine Notes Due 2020, Upgraded to A1 (sf); previously on August 17, 2016 Upgraded to A2 (sf) Moody's also affirmed the ratings on the following notes: U.S.$40,000,000 Class A-1 Senior Revolving Notes Due 2020 (current balance $19,931,184.86), Affirmed Aaa (sf); previously on August 17, 2016 Affirmed Aaa (sf) U.S.$205,000,000 Class A-2a Senior Notes Due 2020 (current balance $76,559,582.97), Affirmed Aaa (sf); previously on August 17, 2016 Affirmed Aaa (sf) U.S.$51,000,000 Class A-2b Senior Notes Due 2020, Affirmed Aaa (sf); previously on August 17, 2016 Affirmed Aaa (sf) U.S.$33,000,000 Class A-3 Senior Notes Due 2020, Affirmed Aaa (sf); previously on August 17, 2016 Affirmed Aaa (sf) U.S.$14,000,000 Class D Deferrable Mezzanine Notes Due 2020, Affirmed Ba1 (sf); previously on August 17, 2016 Affirmed Ba1 (sf) California Street CLO II, Ltd., issued in November 2006, is a collateralized loan obligation (CLO) backed primarily by a portfolio of senior secured loans. The transaction's reinvestment period ended in November 2013. RATINGS RATIONALE These rating actions are primarily a result of and an increase in the transaction's over-collateralization (OC) ratios since August 2016. The Class A notes have been paid down by approximately 31% or $43.7 million since that time. Based on the trustee's January 2016 report, the OC ratios for the Class A, Class B, Class C and Class D notes are reported at 145.5%, 129.6%, 119.8% and 112.6%, respectively, versus August 2016 levels of 136.7%, 124.5%, 116.6% and 110.7%, respectively. The portfolio includes a number of investments in securities that mature after the notes do. Based on Moody's February 2016 calculations, securities that mature after the notes do currently make up approximately 9.0% of the portfolio. These investments could expose the notes to market risk in the event of liquidation when the notes mature. Despite the increase in the OC ratio of the Class D notes, Moody's affirmed the rating on the Class D notes in part owing to market risk stemming from the exposure to these long-dated assets. 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 October 2016. 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 bond/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. 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) Post-Reinvestment Period Trading: Subject to certain requirements, the deal can reinvest certain proceeds after the end of the reinvestment period, and as such the manager has the ability to erode some of the collateral quality metrics to the covenant levels. Such reinvestment could affect the transaction either positively or negatively. 8) Exposure to assets with low credit quality and weak liquidity: The presence of assets rated Caa3 with a negative outlook, Caa2 or Caa3 on review for downgrade or 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 $7.4 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% (1778) Class A-1: 0 Class A-2a: 0 Class A-2b: 0 Class A-3: 0 Class B: 0 Class C: +3 Class D: +2 Moody's Adjusted WARF + 20% (2666) Class A-1: 0 Class A-2a: 0 Class A-2b: 0 Class A-3: 0 Class B: -1 Class C: -2 Class D: -1 Loss and Cash Flow Analysis: Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. In its base case, Moody's analyzed the collateral pool as having a performing par and principal proceeds balance of $253.2 million, defaulted par of $10.3 million, a weighted average default probability of 10.15% (implying a WARF of 2222, a weighted average recovery rate upon default of 48.52%, a diversity score of 35 and a weighted average spread of 2.91% (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. CAPMARK VII-CRE: Fitch Raises Rating on Cl. D Debt to 'CCCsf' ------------------------------------------------------------- Fitch Ratings has upgraded one distressed class and affirmed five distressed classes of Capmark VII-CRE, Ltd./Corp. KEY RATING DRIVERS The CDO is extremely concentrated with only one loan remaining. While significant principal recoveries on the loan are expected, the ratings remain distressed due to concerns regarding the loan's ability to continue to perform and/or payoff at maturity given its large tenant roll over the next year and maturity date of April 2018. Class C, the senior class, requires timely payment of interest, and should the underlying loan default, the payment of interest to that class could be disrupted, causing the class to default. Since Fitch's last rating action, class B paid in full while class C received significant pay down from the full payoff of 274 Brannan ($36.3 million). The CDO is under-collateralized by $214 million. Classes E and below have negative credit enhancement. A deterministic analysis was performed due to the extreme pool concentration; a 100% probability of default was assumed and a look through analysis was performed on the remaining asset with respect to principal coverage and interest coverage. The remaining loan is a whole loan in the amount of $17.3 million secured by six office properties (156,000 sf) located in a Monterey, CA office complex. The loan has a maturity date of April 2018 and a fully extended maturity date of April 2019. As of the December 2016 rent roll, the portfolio was 86.7% occupied with approximately 46% of the leased square footage rolling through Feb 2018. Per Reis (3Q 2016), the submarket was 13.2% vacant with asking rents of $25.08 psf. Per the rent roll, all in place contractual rents are below market. The largest tenant (23% of the leased square footage) has indicated that it will be relocating to another property. This transaction was analyzed according to the 'Surveillance Criteria for U.S. CREL CDOs'. Cash flow modeling was not performed, as it would not provide analytical value given that the single remaining asset is modeled at 100% default probability in all stresses. Capmark VII is a commercial real estate (CRE) CDO managed by CenterSquare Investment Management, a real estate investment subsidiary of BNY Mellon Asset Management. As of the January 2017 trustee report, the transaction was failing two of its principal coverage tests and one interest coverage test resulting in diverted interest to pay principal to class C and capitalized interest to classes F through K. RATING SENSITIVITIES There is one asset remaining. Classes C and D are subject to downgrade should the underlying loan default or should recoveries be lower than expected. Classes E and below are significantly under-collateralized and expected to ultimately default. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO RULE 17G-10 No third-party due diligence was provided or reviewed in relation to this rating action. Fitch has upgraded the following rating: -- $7.5 million class D to 'CCCsf' from 'CCsf'; RE 100%; Fitch has affirmed the following rating: -- $3.9 million class C at 'CCCsf'; RE 100%; -- $7.5 million class E at 'Csf'; RE 25%; -- $36.3 million class F at 'Csf'; RE 0%; -- $14.2 million class G at 'Csf'; RE 0%; -- $11.6 million class H at 'Csf'; RE 0%. Classes A-1 through B have paid in full. Classes J through M and the Income Notes are not rated by Fitch. CAVALRY CLO V: Moody's Affirms Ba2 Rating on Class E Notes ---------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Cavalry CLO V, Ltd.: US$18,000,000 Class C Secured Deferrable Floating Rate Notes due January 16, 2024, Upgraded to Aa1 (sf); previously on September 4, 2015 Upgraded to Aa3 (sf) US$14,000,000 Class D Secured Deferrable Floating Rate Notes due January 16, 2024, Upgraded to A2 (sf); previously on September 4, 2015 Upgraded to A3 (sf) Moody's also affirmed the ratings on the following notes: US$244,000,000 Class A Senior Secured Floating Rate Notes due January 16, 2024 (current outstanding balance of $102,444,769), Affirmed Aaa (sf); previously on September 4, 2015 Affirmed Aaa (sf) US$35,750,000 Class B Senior Secured Floating Rate Notes due January 16, 2024, Affirmed Aaa (sf); previously on September 4, 2015 Upgraded to Aaa (sf) US$20,000,000 Class E Secured Deferrable Floating Rate Notes due January 16, 2024, Affirmed Ba2 (sf); previously on September 4, 2015 Affirmed Ba2 (sf) Cavalry CLO V, Ltd., issued in December 2014, is a collateralized loan obligation (CLO) backed primarily by a portfolio of senior secured loans. The transaction's reinvestment period ended in January 2016. RATINGS RATIONALE These rating actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since January 2016. The Class A notes have been paid down by approximately 58.0% or $141.5 million since that time. Based on the trustee's January 2017 report, the OC ratios for the Class A/B, Class C, Class D and Class E notes are reported at 135.37%, 124.59%, 117.32% and 108.30%, respectively, versus January 2016 levels of 128.33%, 120.57%, 115.16% and 108.22%, respectively. Moody's note that the January 2017 trustee reported OC levels do not reflect the $69.8 million of principal proceeds paid to the Class A Notes on the January 17, 2017 payment date. Nevertheless, the credit quality of the portfolio has deteriorated since January 2016. Based on the trustee's January 2017 report, the weighted average rating factor is currently 2955 compared to 2832 at that time. 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 October 2016. 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) Post-Reinvestment Period Trading: Subject to certain requirements, the deal can reinvest certain proceeds after the end of the reinvestment period, and as such the manager has the ability to erode some of the collateral quality metrics to the covenant levels. Such reinvestment could affect the transaction either positively or negatively. 7) Exposure to assets with low credit quality, weak liquidity and low market value: The presence of assets rated Caa3 with a negative outlook, Caa2 or Caa3 on review for downgrade, the worst Moody's speculative grade liquidity (SGL) rating, SGL-4, or market value lower than 50%, 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 $6.1 million of par, Moody's ran a sensitivity case defaulting those assets. In addition to the base case analysis, Moody's also conducted sensitivity analyses to test the impact of a number of default probabilities on the rated notes relative to the base case modeling results, which may be different from the current public ratings of the notes. Below is a summary of the impact of different default probabilities (expressed in terms of WARF) on all of the rated notes (by the difference in the number of notches versus the current model output, for which a positive difference corresponds to lower expected loss): Moody's Adjusted WARF - 20% (2362) Class A: 0 Class B: 0 Class C: +1 Class D: +2 Class E: +2 Moody's Adjusted WARF + 20% (3543) Class A: 0 Class B: 0 Class C: -2 Class D: -2 Class E: -1 Loss and Cash Flow Analysis: Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. In its base case, Moody's analyzed the collateral pool as having a performing par and principal proceeds balance of $210.0 million, defaulted par of $2.9 million, a weighted average default probability of 20.38% (implying a WARF of 2953), a weighted average recovery rate upon default of 50.67%, a diversity score of 44 and a weighted average spread of 3.47% (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. CBA COMMERCIAL 2004-1: Fitch Affirms 'Csf' Rating on Cl. M-1 Debt ----------------------------------------------------------------- Fitch Ratings has affirmed all classes of CBA Commercial Assets, LLC series 2004-1. KEY RATING DRIVERS The affirmations are due to the relatively stable performance of the pool according to the information provided to Fitch. As of the January 2017 distribution date, six loans representing 16.6% of the pool are delinquent, with two loans (3.9%) in special servicing. At Fitch's last rating action, 13% of the underlying loans were delinquent, with three loans (10.4%) in special servicing. Concentration: The transaction's balance has been reduced by 87.5% to $12.7 million from $102 million at issuance and $16.7 million at Fitch's last rating action. The transaction is collateralized by 44 small balance commercial loans secured by multifamily, retail, office, industrial, and mixed use properties. Of the remaining loans, 71% are collateralized by multifamily properties and 35.7% are collateralized by properties located in California. Small Balance Pool: The loans are smaller than typical CMBS loans with an average loan size of $289,657 and historically have had higher loss severities than CMBS conduit loans. Fitch does not receive operating performance on the loans, as the loans were not subject to typical CMBS reporting requirements. Lack of Detailed Reporting: Per the Jan. 25, 2017 trustee report, the pool has experienced 10.1% in realized losses to date. Fitch modeled losses of 33.2% on the remaining pool. As Fitch receives limited financial reporting on the remaining loans, the analysis is based on historical performance statistics from a representative sample of similar small balance transactions. Fitch assumed a 30% default probability for the remaining performing loans, and a loss severity of 80% for all loans. RATING SENSITIVITIES The Rating Outlooks on classes A-1 through A-3 are Stable due to sufficient credit enhancement and continued paydown. The ratings of classes A-1 through A-3 are capped based on the poor historical performance of small balance loans, the lack of financial information reported on the loans, as well as the small class sizes which provides limited loss protection to the rated classes. Should delinquencies and/or losses increase, downgrades may be warranted in the future. 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 the following classes: -- $2.8 million class A-1 at 'Bsf'; Outlook Stable; -- $1.2 million class A-2 at 'Bsf'; Outlook Stable; -- $653.8 thousand class A-3 at 'Bsf'; Outlook Stable; -- $2.9 million class M-1 at 'Csf'; RE 10%; -- $3.6 million class M-2 at 'Csf'; RE 0%; -- $1.6 million class M-3 at 'Dsf'; RE 0%. -- $0 class M-5 at 'Dsf'; RE 0%. Classes M-4, M-6, M-7, and M-8 are not rated by Fitch. Fitch had previously withdrawn the rating of the interest-only class I/O. CENT CDO 15: Moody's Lowers Rating on Class D Notes to B1 --------------------------------------------------------- Moody's Investors Service has downgraded the ratings on the following notes issued by Cent CDO 15 Limited: US$23,000,000 Class C Deferrable Floating Rate Notes Due 2021, Downgraded to Ba1 (sf); previously on July 1, 2014 Affirmed Baa3 (sf) US$19,000,000 Class D Deferrable Floating Rate Notes Due 2021, Downgraded to B1 (sf); previously on July 1, 2014 Affirmed Ba3 (sf) Moody's also affirmed the ratings on the following notes: US$61,000,000 Class A-1 Floating Rate Notes Due 2021 (current balance of $54,459,982.24), Affirmed Aaa (sf); previously on July 1, 2014 Affirmed Aaa (sf) U.S. $350,000,000 Class A-2a Floating Rate Notes Due 2021 (current balance of $308,293,985.15), Affirmed Aaa (sf); previously on July 1, 2014 Affirmed Aaa (sf) US$39,000,000 Class A-2b Floating Rate Notes Due 2021, Affirmed Aaa (sf); previously on July 1, 2014 Upgraded to Aaa (sf) US$39,500,000 Class A-3 Floating Rate Notes Due 2021, Affirmed Aa1 (sf); previously on July 1, 2014 Upgraded to Aa1 (sf) US$33,500,000 Class B Deferrable Floating Rate Notes Due 2021, Affirmed A3 (sf); previously on July 1, 2014 Affirmed A3 (sf) Cent CDO 15 Limited, issued in July 2007, is a collateralized loan obligation (CLO) backed primarily by a portfolio of senior secured loans. The transaction's reinvestment period ended in September 2014. RATINGS RATIONALE According to Moody's, the ratings downgrades on the Class C and D notes are primarily a result of the deal's growing exposure to securities that mature after the maturity of the notes (long-dated assets), through amend-to-extend activities. Based on Moody's calculations, the transaction has increased its long-dated assets exposure to $143.0 million or 27.9% of performing par, from $69.0 million or 12.4% in August 2016. These investments could expose the notes to market value risk in the event of liquidation when the notes mature. In its base case, Moody's assumed the long-dated assets are liquidated at an average price of 64.15% at the maturity date of the notes. The liquidation price is low because about $108.5 million, or 75.9% of the long-dated assets mature more than one year after the maturity of the notes and are modeled at a liquidation value of 70% or below based on our CLO methodology. Although the market values of these long-dated assets are reasonably high at present, they could change quickly under distressed market conditions. However, in consideration of the current market values, Moody's also evaluated in its analysis scenarios when the long-dated assets are liquidated at an average price higher than 64.15%, which tempered the magnitude of the ratings downgrades. 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 October 2016. 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. 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. 7) Post-Reinvestment Period Trading: Subject to certain requirements, the deal can reinvest certain proceeds after the end of the reinvestment period, and as such the manager has the ability to erode some of the collateral quality metrics to the covenant levels. Such reinvestment could affect the transaction either positively or negatively. 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% (1914) Class A-1: 0 Class A-2a: 0 Class A-2b: 0 Class A-3: +3 Class B: +1 Class C: 0 Class D: 0 Moody's Adjusted WARF + 20% (2870) Class A-1: 0 Class A-2a: 0 Class A-2b: 0 Class A-3: -1 Class B: -1 Class C: -1 Class D: 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 $547.6 million, defaulted par of $4.8 million, a weighted average default probability of 13.15% (implying a WARF of 2392), a weighted average recovery rate upon default of 49.15%, a diversity score of 67 and a weighted average spread of 2.90% (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. CGGS COMMERCIAL 2016-RND: Fitch Affirms BB- Rating on E-FX Debt --------------------------------------------------------------- Fitch Ratings has affirmed nine classes of CGGS Commercial Mortgage Trust 2016-RND pass through certificates, series 2016-RND. KEY RATING DRIVERS Affirmations reflect stable performance with substantial paydown of the Pool B loan from released properties. The certificates represent the beneficial interest in a trust that holds two loans, each consisting of a separate collateral pool and secured primarily by lab office properties. The two loans in the trust consist of: -- One five-year, fixed-rate, interest-only $1.115 billion mortgage loan secured by the fee and leasehold interests in 30 lab office properties and one multifamily property with a total of 4.6 million square feet (sf) (Pool A); -- One two-year, floating-rate, interest-only $434 million mortgage loan secured by the fee and leasehold interests in 20 lab office properties with a total of 2.8 million sf (Pool B). Proceeds from the loans were used at issuance to facilitate Blackstone Real Estate Partners VIII's acquisition of BioMed Realty Trust Inc. (BioMed), a public REIT that owns, manages, and develops office and laboratory space. On Jan. 27, 2016, Blackstone and certain of its affiliates and subsidiaries completed the acquisition of BioMed for total consideration of approximately $8.8 billion. The properties securing the loans represent a substantial portion of BioMed's stabilized lab office portfolio. Stable Performance: Both loans in the pool are current as of the January 2017 remittance with property level performance in line with issuance expectations. Transaction Paydown: Pool B has paid down 34% with the release of eight properties since issuance. Seven properties were released in September 2016 resulting in a $74.8 million paydown and the 14200 Shady Grove property was released in January 2017 resulting in a $148.2 million principal paydown. High Quality Assets: Both Pool A and Pool B are collateralized by portfolios of high-quality lab office properties located in highly desirable and in-fill life science submarkets. At issuance, Pool A received a weighted average (WA) Fitch property quality grade of 'A-/B+' and over one-half (as a percentage of NOI) of the properties were built since 2000. Pool B received a WA Fitch property quality grade of 'B+' and approximately 75% of properties were built since 2000. Pool Diversity: Pool A is collateralized by the fee (28) and leasehold (three) interests in 31 (4.6 million sf) properties located across three states and four distinct markets. Pool B is collateralized by the fee interests in 20 (2.8 million sf) lab office buildings located across seven states. The largest tenant exposure for Pool A is 10.9% by total base rent (Ironwood Pharmaceuticals, Inc.), while Pool B is more concentrated with its largest individual exposure at 55.6% (Regeneron Pharmaceuticals, Inc.). Institutional Sponsorship: The sponsor of the loans is Blackstone Real Estate Partners VIII, which is owned by affiliates of the Blackstone Group, L.P. (Blackstone; 'A+/F1'). RATING SENSITIVITIES The Rating Outlooks remain Stable for the FX classes due to stable performance of Pool A collateral since issuance. Positive Outlooks on the FL classes reflect the potential for upgrade with further paydown and sustained improvement in Pool B collateral performance. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 Fitch was provided with third-party due diligence information from Ernst & Young LLP. The third-party due diligence information was provided on ABS Due Diligence Form-15E and focused on a comparison and re-computation of certain characteristics with respect to the mortgage loan and related mortgaged properties in the data file. Fitch considered this information in its analysis, and the findings did not have an impact on Fitch analysis. Fitch affirms the following classes and revises Outlooks as indicated: Pool A -- $607.7a million class A-FX certificates at 'AAAsf'; Outlook Stable; -- $134.3a million class B-FX certificates at 'AA-sf'; Outlook Stable; -- $78a million class C-FX certificates at 'A-sf'; Outlook Stable; -- $122a million class D-FX certificates at 'BBB-sf'; Outlook Stable; -- $173a million class E-FX certificates at 'BB-sf'; Outlook Stable. Pool B -- $241.6a million class A-FL certificates at 'AAAsf'; Outlook Stable; -- $74.8a million class B-FL certificates at 'AA-sf'; Outlook Positive from Stable; -- $45.6a million class C-FL certificates at 'A-sf'; Outlook Positive from Stable; -- $72a million class D-FL certificates at 'BBB-sf'; Outlook Positive from Stable. a Privately placed pursuant to Rule 144A. Fitch does not rate the P-FX and P-FL classes, which have been added to the capital structure. Fitch has withdrawn its expected ratings on the class X-FX-CP, X-FX-NCP, X-FL-CP, and X-FL-NCP certificates as the capital structure no longer includes these classes. CIFC FUNDING 2017-I: Moody's Assigns Ba3 Rating to Class E Notes ---------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to six classes of notes to be issued by CIFC Funding 2017-I, Ltd. Moody's rating action is: U.S.$503,600,000 Class A Senior Secured Floating Rate Notes due 2029 (the "Class A Notes"), Assigned (P)Aaa (sf) U.S.$92,000,000 Class B Senior Secured Floating Rate Notes due 2029 (the "Class B Notes"), Assigned (P)Aa1 (sf) U.S.$4,800,000 Class X Amortizing Senior Secured Deferrable Floating Rate Notes due 2029 (the "Class X Notes"), Assigned (P)Aa3 (sf) U.S.$60,400,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2029 (the "Class C Notes"), Assigned (P)A2 (sf) U.S.$46,400,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2029 (the "Class D Notes"), Assigned (P)Baa3 (sf) U.S.$33,600,000 Class E Junior Secured Deferrable Floating Rate Notes due 2029 (the "Class E Notes"), Assigned (P)Ba3 (sf) The Class A Notes, the Class B Notes, the Class X Notes, the Class C Notes, the Class D Notes and the Class E Notes are referred to herein, collectively, as the "Rated Notes." Moody's issues provisional ratings in advance of the final sale of financial instruments, but these ratings only represent Moody's preliminary credit opinions. Upon a conclusive review of a transaction and associated documentation, Moody's will endeavor to assign definitive ratings. A definitive rating, if any, may differ from a provisional rating. RATINGS RATIONALE Moody's provisional ratings of the Rated Notes address the expected losses posed to noteholders. The provisional ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. CIFC 2017-I is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated first lien senior secured corporate loans. At least 92.5% of the portfolio must consist of senior secured loans and eligible investments, and up to 7.5% of the portfolio may consist of second lien loans and unsecured loans. Moody's expects the portfolio to be approximately 65% ramped as of the closing date. CIFC CLO Management LLC (the "Manager"), an affiliate of CIFC Asset Management LLC, will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's four year reinvestment period. Thereafter, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets, subject to certain restrictions. In addition to the Rated Notes, the Issuer will issue subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in October 2016. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $800,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 2850 Weighted Average Spread (WAS): 3.80% Weighted Average Coupon (WAC): 7.50% 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 October 2016. 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 2850 to 3278) Rating Impact in Rating Notches Class A Notes: 0 Class B Notes: -2 Class X Notes: -1 Class C Notes: -2 Class D Notes: -1 Class E Notes: 0 Percentage Change in WARF -- increase of 30% (from 2850 to 3705) Rating Impact in Rating Notches Class A Notes: -1 Class B Notes: -3 Class X Notes: -3 Class C Notes: -4 Class D Notes: -2 Class E Notes: -1 Further details regarding Moody's analysis of this transaction may be found in the related pre-sale report, available soon on Moodys.com. CIT RV 1998-A: S&P Withdraws D Rating on Class B Notes ------------------------------------------------------ S&P Global Ratings lowered its rating on the class B notes from CIT RV Trust 1998-A, an asset-backed securities transaction backed by fixed-rate recreational vehicle loans originated by CIT Group Securitization Corp. II, to 'D (sf)' from 'CC (sf)'. S&P subsequently withdrew the rating. The downgrade and withdrawal reflect the nonpayment of full principal to investors by Jan. 15, 2017, the notes' stated final maturity date. Because cumulative net losses were higher than initially expected, the transaction did not generate enough collections each month to pay the complete scheduled principal amount due to the outstanding class B notes per the transaction documents. As of the Jan. 15, 2017, distribution date, the class B notes were not paid in full, with an approximate $834,177 remaining balance. CITIGROUP 2015-GC27: DBRS Confirms B(low) Rating on Class G Debt ---------------------------------------------------------------- DBRS Limited on February 1, 2017, confirmed the ratings on the Commercial Mortgage Pass-Through Certificates, Series 2015-GC27 issued by Citigroup Commercial Mortgage Trust 2015-GC27 as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-AB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AAA (sf) -- Class X-E at AAA (sf) -- Class X-F at AAA (sf) -- Class X-H at AAA (sf) -- Class B at AA (sf) -- Class C at A (low) (sf) -- Class PEZ at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class F at B (sf) -- Class G at B (low) (sf) All trends are Stable. The rating confirmations reflect the overall performance of the transaction, which has remained in line with DBRS's expectations since issuance. The collateral consists of 100 fixed-rate loans secured by 116 commercial properties, and as of the January 2017 remittance, there has been a collateral reduction of 1.2% since issuance. Loans representing 99.7% of the current pool balance are reporting YE2015 figures with a weighted-average (WA) debt service coverage ratio (DSCR) and WA debt yield of 1.69 times (x) and 9.6%, respectively. The DBRS underwritten WA DSCR and WA debt yield at issuance were 1.45x and 8.1%, respectively. The largest 15 loans in the pool collectively represent 50.4% of the transaction balance and reported YE2015 or trailing-12-month financials showing a WA net cash flow growth of 19.9% over the DBRS underwritten figures, with a WA DSCR and WA debt yield of 1.74x and 9.5%, respectively. As of the January 2017 remittance, there is one loan in special servicing and one loan on the servicer's watchlist, representing 0.5% and 0.7% of the current pool balance, respectively. DBRS has provided updated loan-level commentary and analysis for loans in special servicing and on the watchlist, as well as for the largest 15 loans in the pool, in the DBRS CMBS IReports platform. COMM 2014-LC15: DBRS Confirms Bsf Rating on Class F Debt -------------------------------------------------------- DBRS Limited on January 24, 2017, confirmed the ratings for all classes of Commercial Mortgage Pass-Through Certificates, Series 2014-LC15 (the Certificates) issued by COMM 2014-LC15 Mortgage Trust as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-4 at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AAA (sf) -- Class X-C at AAA (sf) -- Class A-M at AAA (sf) -- Class B at AA (sf) -- Class PEZ at A (sf) -- Class C at A (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class F at B (sf) All trends are Stable. DBRS does not rate the first loss piece, Class G. The rating confirmations reflect that the transaction's overall current performance remains stable. The collateral consists of 48 fixed-rate loans secured by 197 commercial properties. As of the January 2017 remittance, all 48 loans remain in the pool with an aggregate outstanding principal balance of approximately $903 million, representing a collateral reduction of 2.7% since issuance as a result of scheduled loan amortization. The pool is concentrated by loan size, as the Top 10 loans represent 62.5% of the current pool balance. Two loans (9.0% of the pool) are structured with full interest-only (IO) terms, while an additional six loans (23.3% of the pool) have partial IO periods remaining, ranging from one month to 26 months. To date, 36 loans (76.1% of the pool) have reported partial-year 2016 net cash flow (NCF) figures, while the remaining loans (excluding one loan (0.5% of the pool)) have reported YE2015 NCF figures. According to the YE2015 NCFs, the transaction had a weighted-average (WA) debt service coverage ratio (DSCR) and WA debt yield of 1.46 times (x) and 9.7%, respectively, compared with the DBRS underwritten (UW) figures of 1.37x and 9.1%, respectively. Based on the most recent cash flow reporting (ranging from YE2015 through partial-year 2016 financials), the Top 15 loans reported a WA DSCR of 1.46x compared with the DBRS UW figure of 1.32x, reflective of a WA amortizing NCF growth of 11.3%. There are four loans (14.3% of the pool) in the Top 15 exhibiting NCF declines compared with the DBRS UW figures, with declines ranging from 5.4% to 22.8%. These four loans include Akers Mill Square (Prospectus ID#5, 6.4% of the pool), GEM Hotel (Prospectus ID#10, 3.1% of the pool), The Dorchester at Forest Park (Prospectus ID#13, 2.7% of the pool) and Hilton Garden Inn Houston (Prospectus ID#14, 2.2% of the pool). As of the January 2017 remittance, there are two loans (1.1% of the pool) in special servicing and eight loans (13.3% of the pool) on the servicer's watchlist. The two loans in special servicing -- the Holiday Inn Express Snyder (0.6% of the pool) and the La Quinta Inn & Suites Floresville (0.5% of the pool) loans -- are both secured by limited-service hotels located in heavily energy-dependent markets. Based on the most recent appraisals (May 2016 and August 2016), property values have dropped by approximately 77.0% since issuance. Of the eight loans on the servicer's watchlist, five (9.7% of the pool) were flagged because of performance-related reasons. As of Q3 2016 financials, these loans had a WA DSCR of 1.08x compared with the WA DBRS UW figure of 1.34x, representing an 18.7% NCF decline. COMM 2016-CCRE28: DBRS Confirms B(low) Rating on Class H Debt ------------------------------------------------------------- DBRS Limited on January 24 confirmed the ratings for all classes of Commercial Mortgage Pass-Through Certificates, Series 2016-CCRE28 (the Certificates) issued by COMM 2016-CCRE28 Mortgage Trust (the Trust) as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-HR at AAA (sf) -- Class XP-A at AAA (sf) -- Class X-A at AAA (sf) -- Class X-HR at AAA (sf) -- Class A-M at AAA (sf) -- Class X-B at AAA (sf) -- Class X-C at AAA (sf) -- Class X-D at AAA (sf) -- Class X-E at AAA (sf) -- Class X-F at AAA (sf) -- Class B at AA (sf) -- Class C at A (sf) -- Class D at BBB (high) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (high) (sf) -- Class G at BB (low) (sf) -- Class H at B (low) (sf) All trends are Stable. DBRS does not rate the first loss piece, Class J. The rating confirmations reflect that the transaction's current performance remains stable. The collateral consists of 49 fixed-rate loans secured by 119 commercial properties. As of the January 2017 remittance, all 49 loans remain in the pool, with an aggregate outstanding principal balance of approximately $1.02 billion, representing a collateral reduction of 0.3% since issuance as a result of scheduled loan amortization. The pool has a high concentration of loans secured by properties that are either fully or primarily leased to single tenants, as 13 loans (32.2% of the pool) are secured by properties leased in this manner; however, of the six loans (26.7% of the pool) in the Top 15, four loans (14.2% of the pool) are leased to investment-grade tenants (Netflix, Inc., FedEx, the City and County of San Francisco, and Apple Inc.). Pool-wide, 11 loans (40.6% of the pool) are structured with full interest-only (IO) terms, while an additional 23 loans (43.9% of the pool) have partial IO periods remaining, ranging from three months to 48 months. To date, 43 loans (80.2% of the pool) have reported partial-year 2016 net cash flow (NCF) figures. Based on these financials, the transaction had a weighted-average (WA) debt service coverage ratio (DSCR) and WA debt yield of 1.57 times (x) and 8.9%, respectively, compared with the DBRS underwritten (UW) figures of 1.51x and 8.4%, respectively. As of the January 2017 remittance, there are no loans in special servicing and one loan (1.0% of the pool) on the servicer's watchlist. The Holiday Inn Corpus Christi Airport (Prospectus ID#32) is secured by a 237-key, limited-service hotel located in Corpus Christi, Texas. The loan was placed on the servicer's watchlist in September 2016, as a result of deferred maintenance. The servicer has sent a letter of deferred maintenance to the property contact and requested an updated plan of remediation. DBRS has provided updated loan-level commentary and analysis for larger and/or pivotal watchlisted and specially serviced loans, as well as for the largest 15 loans in the pool, in the DBRS CMBS IReports platform. CREDIT SUISSE 2008-C1: Fitch Affirms 'CCC' Rating on Class C Certs ------------------------------------------------------------------ Fitch Ratings has affirmed 22 classes of Credit Suisse Commercial Mortgage Trust commercial mortgage pass-through certificates series 2008-C1. KEY RATING DRIVERS The affirmations of the classes are due to overall stable performance since Fitch's last rating action. As of the January 2017 distribution date, the pool's aggregate principal balance has been reduced by 42% to $514.9 million from $887.2 million at issuance. Interest shortfalls are currently affecting classes F through S. Stable Loss Expectations: Fitch modelled losses of 11.8% of the original pool balance, including $75.1 million (8.5%) of losses incurred to date. This is a slight increase from the previous rating action in February 2016, when loss expectations of the original pool balance were 11.4%. There is one specially serviced real estate owned (REO) asset (.56%). Increasing Pool Concentration: The transaction is becoming increasingly concentrated with 39 of the original 62 loans remaining in the transaction. The largest five loans in the transaction represent 63% of the pool balance. Additionally, retail properties comprise 66% of the pool. Concentration of 2017 Maturities: Loan maturities are concentrated in 2017 with 74% of the pool maturing by the end of 2017 (excluding REO asset). Fitch's analysis included scenarios where the stronger performing loans were assumed to refinance and payoff at maturity. Defeasance: Six loans representing 9.5% of the pool are defeased. The defeased loans have loan maturities in 2017 and 2018. Adverse Selection: The higher quality assets will likely pay-off at maturity while the lower quality assets will transfer to special servicing, creating the potential for additional interest shortfalls. Sensitivity Analysis: Fitch's analysis included an additional stress applied to the Aguadilla Mall (6.28% of the pool). The grocery tenant, Amigo Supermarket, vacated 14.1% of the NRA at lease expiration. In addition, K-Mart, who leases 32% of the NRA has an expiration in December 2017. RATING SENSITIVITIES The Rating Outlooks on classes A-2 through A-J are Stable due to sufficient credit enhancement, increased defeasance, and continued paydown. The Negative Outlook on class B reflects the potential for downgrades should the Aguadilla Mall performance continue to decline. Downgrades are also possible if underperforming loans further decline. Additional upgrades may be limited due to increased concentrations and adverse selection as higher performing loans may refinance, and weaker, high leveraged loans may default at or prior to maturity. 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 the following classes: -- $9.2 million class A-2 at 'AAAsf'; Outlook Stable; -- $1 million class A-AB at 'AAAsf'; Outlook Stable; -- $258 million class A-3 at 'AAAsf'; Outlook Stable; -- $50.7 million class A-1-A at 'AAAsf'; Outlook Stable; -- $4.8 million class A-2FL at 'AAAsf'; Outlook Stable; -- $88.7 million class A-M at 'Asf'; Outlook Stable; -- $57.7 million class A-J at 'Bsf'; Outlook Stable; -- $8.9 million class B at 'Bsf'; Outlook to Negative from Stable; -- $8.9 million class C at 'CCCsf'; RE 100%; -- $12.2 million class D at 'CCCsf'; RE 45%; -- $10 million class E at 'CCsf'; RE 0%; -- $5.4 million class F at 'Dsf'; RE 0%; -- $0 class G at 'Dsf'; RE 0%; -- $0 class H at 'Dsf'; RE 0%; -- $0 class J at 'Dsf'; RE 0%; -- $0 class K at 'Dsf'; RE 0%; -- $0 class L at 'Dsf'; RE 0%; -- $0 class M at 'Dsf'; RE 0%; -- $0 class N at 'Dsf'; RE 0%; -- $0 class O at 'Dsf'; RE 0%; -- $0 class P at 'Dsf'; RE 0%; -- $0 class Q at 'Dsf'; RE 0%. The class A-1 certificates have paid in full. Fitch does not rate the class S certificates. Fitch previously withdrew the rating on the interest-only class A-X certificates. CSAIL 2016-C5: Fitch Affirms 'B-sf' Rating on Class X-F Certs ------------------------------------------------------------- Fitch Ratings has affirmed 17 classes of CSAIL 2016-C5 Commercial Mortgage Trust Pass-Through Certificates. KEY RATING DRIVERS Stable Performance With No Material Changes: The pool has exhibited stable performance since issuance with no material change to pool-wide metrics; therefore, the original rating analysis was considered in affirming the transaction. Property Type Concentration: The pool's largest concentration by property type is multifamily at 25.8%, followed by industrial properties at 22.2%. Hotels make up 21.2% of the pool. The industrial concentration is above the 2015 average of 4.2%. Additionally, the hotel concentration is above the 2015 average of 17% for other Fitch-rated fixed-rate multiborrower transactions. Pool Concentration: The top 10 loans represent 53.4% of the pool, which is higher than the 2015 average top 10 concentration of 49.3%. Amortization: Five loans representing 27.6% of the pool are full term interest only, which is higher than the 2015 average of 23.3% for other Fitch-rated multiborrower transactions. There are 32 loans, representing 49.8% of the pool, that are partial interest-only. Based on the scheduled balance at maturity, the pool is expected to pay down by 8.8%. As of the January 2017 distribution date, the pool's aggregate principal balance has been reduced by 0.4% to $933 million from $936 million at issuance. The largest loan in the pool, GLP Portfolio Pool A (9.3%) is secured by 114 industrial properties across nine states in 11 markets. As of September 2016, occupancy increased to 97% from 94% at issuance. RATING SENSITIVITIES The Rating Outlook for all classes remains Stable. Fitch does not foresee positive or negative ratings migration until a material economic or asset level event changes the transaction's overall portfolio-level metrics. 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 the following classes: -- $25.3 million class A-1 at 'AAAsf'; Outlook Stable; -- $121.6 million class A-2 at 'AAAsf'; Outlook Stable; -- $19.8 million class A-3 at 'AAAsf'; Outlook Stable; -- $170 million class A-4 at 'AAAsf'; Outlook Stable; -- $267.4 million class A-5 at 'AAAsf'; Outlook Stable; -- $48.1 million class A-SB at 'AAAsf'; Outlook Stable; -- $67.9 million class A-S at 'AAAsf'; Outlook Stable; -- $51.5 million class B at 'AA-sf'; Outlook Stable; -- $42.1 million class C at 'A-sf'; Outlook Stable; -- $46.8 million class D at 'BBB-sf'; Outlook Stable; -- $23.4 million class E at 'BB-sf'; Outlook Stable; -- $9.4 million class F at 'B-sf'; Outlook Stable; -- $723.1 million* class X-A at 'AAAsf'; Outlook Stable; -- $51.5 million* class X-B at 'AA-sf'; Outlook Stable; -- $46.8 million* class X-D at 'BBB-sf'; Outlook Stable; -- $23.4 million* class X-E at 'BB-sf'; Outlook Stable; -- $9.4 million* class X-F at 'B-sf'; Outlook Stable. * Notional amount and interest only. Fitch does not rate the class NR and X-NR certificates. CSMC 2010-RR1: Moody's Hikes Rating on Cl. 1-B-B Debt From Ba1 -------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following certificates issued by CSMC RE-REMIC CERTIFICATES, SERIES 2010-RR1: Cl. 1-B-A, Upgraded to Aa3 (sf); previously on Mar 3, 2016 Affirmed A1 (sf) Cl. 1-B, Upgraded to Baa1 (sf); previously on Mar 3, 2016 Affirmed Baa3 (sf) Cl. 1-B-B, Upgraded to Baa3 (sf); previously on Mar 3, 2016 Affirmed Ba1 (sf) Moody's has also affirmed the ratings on the following certificates: Cl. 1-A, Affirmed Aaa (sf); previously on Mar 3, 2016 Affirmed Aaa (sf) Cl. 1-A-A, Affirmed Aaa (sf); previously on Mar 3, 2016 Affirmed Aaa (sf) Cl. 1-A-B, Affirmed Aaa (sf); previously on Mar 3, 2016 Affirmed Aaa (sf) RATINGS RATIONALE Moody's has upgraded the ratings on three classes of certificates due to a recent upgrade of the Group 1 Underlying Certificate. The upgrade was primarily due to an increase in credit support resulting from loan paydowns and amortization on the Group 1 Underlying Certificate. Moody's has affirmed the ratings on three classes of certificates because the key transaction metrics are commensurate with the existing ratings. The rating action is the result of Moody's on-going surveillance of commercial real estate resecuritization (CRE Non-Pooled Re-Remic) transactions. CSMC 2010-RR1 is a non-pooled Re-Remic pass through trust ("Resecuritization") backed by three ring fenced commercial mortgage backed securities (CMBS) certificates. The Group 1 Certificates are backed by $46.3 Million, or 8.0% of the aggregate principal balance of Class A-4 which was issued by Morgan Stanley Capital I Trust, Commercial Mortgage Pass-Through Certificates, Series 2007-IQ14 (the "Group 1 Underlying Certificate"). The Group 1 Underlying Certificate is backed by fixed-rate mortgage loans secured by first liens on commercial and multifamily properties. This rating action only covers Group 1 Underlying Certificate. Moody's has upgraded the rating of the Group 1 Underlying Certificate on February 2, 2017. The rating action reflected a cumulative base expected loss of 14.9% of the current balance, compared to 11.3% as of the last review for the underlying transaction. Updates to key parameters, including the constant default rate (CDR), the constant prepayment rate (CPR), the weighted average life (WAL), and the weighted average recovery rate (WARR), materially reduced the expected loss estimate of certain resecuritized classes leading to the upgrade. The Group 1 Underlying Certificate has a WAL of 0.14 years; assuming a CDR of 0% and CPR of 0%. For delinquent loans (30+ days, REO, foreclosure, bankrupt), Moody's assumes a fixed WARR of 40% and a fixed WARR of 50% for current loans. Moody's also ran a sensitivity analysis on the classes assuming a WARR of 40% for current loans. This impacts the modeled ratings of the certificates by zero notches downward (e.g., one notch down implies a ratings movement of Baa3 to Ba1). Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Approach to Rating Resecuritizations" published in February 2014. Factors that would lead to an upgrade or downgrade of the ratings: The performance of the certificates are subject to uncertainty, because they are 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 certificates. Because the credit quality of the resecuritization depends on that of the underlying CMBS certificates, whose credit quality in turn depends on the performance of the underlying commercial mortgage pool, any change to the rating on the Group 1 Underlying Certificate could lead to a review of the ratings of the certificates. 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. DT AUTO OWNER 2017-1: S&P Assigns Prelim. BB Rating on Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to DT Auto Owner Trust 2017-1's $435.54 million asset-backed notes series 2017-1. The note issuance is an asset-backed securities transaction backed by subprime auto loan receivables. The preliminary ratings are based on information as of Feb. 3, 2017. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The availability of approximately 67.3%, 61.9%, 51.9%, 43.0%, and 38.0% credit support for the class A, B, C, D, and E notes, respectively, based on stressed break-even cash flow scenarios (including excess spread). These credit support levels provide approximately 2.20x, 2.00x, 1.65x, 1.35x, and 1.20x coverage of S&P's expected net loss range of 29.50%-30.50% for the class A, B, C, D, and E notes, respectively. -- The timely interest and principal payments made by the legal final maturity dates under stressed cash flow modeling scenarios that S&P deemed appropriate for the assigned preliminary ratings. -- S&P's expectation that under a moderate ('BBB') stress scenario, the ratings on the class A, B, and C notes would remain within one rating category of S&P's preliminary 'AAA (sf)', 'AA (sf)', and 'A (sf)' ratings, respectively, and the ratings on the class D and E notes would remain within two rating categories of our preliminary 'BBB (sf)' and 'BB (sf)' ratings, respectively, during the first year, although class E would ultimately default in the moderate ('BBB') stress. These potential rating movements are consistent with our credit stability criteria, which outline the outer bound of credit deterioration equal to a one- category downgrade within the first year for 'AAA' and 'AA' rated securities and a two-category downgrade within the first year for 'A' through 'BB' rated securities under moderate stress conditions. -- The collateral characteristics of the subprime pool being securitized, including a high percentage (over 85%) of obligors with higher payment frequencies (more than once a month), which S&P expects will result in a somewhat faster paydown of the pool. -- The transaction's sequential-pay structure, which builds credit enhancement (on a percentage-of-receivables basis) as the pool amortizes. PRELIMINARY RATINGS ASSIGNED DT Auto Owner Trust 2017-1 Class Rating Type Interest Amount rate (mil. $)(i) A AAA (sf) Senior Fixed 187.82 B AA (sf) Subordinate Fixed 55.80 C A (sf) Subordinate Fixed 76.22 D BBB (sf) Subordinate Fixed 68.05 E BB (sf) Subordinate Fixed 47.65 (i)The actual size of these tranches will be determined on the pricing date. EXETER AUTOMOBILE 2017-1: DBRS Assigns (P)BB Rating on Cl. D Debt ----------------------------------------------------------------- DBRS, Inc. on January 26, 2017, assigned provisional ratings to the following classes of notes issued by Exeter Automobile Receivables Trust 2017-1: -- Class A Notes rated AAA (sf) -- Class B Notes rated A (sf) -- Class C Notes rated BBB (sf) -- Class D Notes rated BB (sf) The ratings are based on DBRS's review of the following analytical considerations: -- Transaction capital structure, proposed ratings and form and sufficiency of available credit enhancement. The transaction benefits from credit enhancement in the form of overcollateralization, subordination, amounts held in the reserve fund and excess spread. Credit enhancement levels are sufficient to support DBRS-projected expected cumulative net loss assumptions under various stress scenarios. -- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the rating addresses the payment of timely interest on a monthly basis and principal by the legal final maturity date. -- Exeter Finance Corp.'s (Exeter) capabilities with regard to originations, underwriting, servicing and ownership by the Blackstone Group, Navigation Capital Partners, Inc. and Goldman Sachs Vintage Fund. -- DBRS has performed an operational review of Exeter and considers the entity to be an acceptable originator and servicer of subprime automobile loan contracts with an acceptable backup servicer. -- Exeter senior management team has considerable experience and a successful track record within the auto finance industry. -- The credit quality of the collateral and performance of Exeter's auto loan portfolio. -- The legal structure and presence of legal opinions that address the true sale of the assets to the Issuer, the non- consolidation of the special-purpose vehicle with Exeter and that the trust has a valid first-priority security interest in the assets and the consistency with the DBRS methodology, "Legal Criteria for U.S. Structured Finance." FLAGSHIP CREDIT 2017-1: DBRS Assigns (P)BB Rating to Class E Debt ----------------------------------------------------------------- DBRS, Inc. on January 24, 2017, assigned provisional ratings to the following classes issued by Flagship Credit Auto Trust 2017-1: -- $170,000,000 Series 2017-1, Class A at AAA (sf) -- $44,600,000 Series 2017-1, Class B at AA (sf) -- $36,000,000 Series 2017-1, Class C at A (sf) -- $28,660,000 Series 2017-1, Class D at BBB (sf) -- $22,260,000 Series 2017-1, Class E at BB (sf) The provisional ratings are based on DBRS's review of the following analytical considerations: -- Transaction capital structure, proposed ratings and form and sufficiency of available credit enhancement. -- Credit enhancement is in the form of overcollateralization (OC), subordination, amounts held in the reserve fund and excess spread. Credit enhancement levels are sufficient to support the DBRS-projected expected cumulative net loss assumption under various stress scenarios. -- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the ratings address the payment of timely interest on a monthly basis and the payment of principal by the legal final maturity date. -- The strength of the combined organization after the merger of Flagship Credit Acceptance LLC (Flagship or the Company) and CarFinance Capital LLC; DBRS believes the merger of the two companies provides synergies that make the combined company more financially stable and competitive. -- The capabilities of Flagship with regard to originations, underwriting and servicing. -- DBRS has performed an operational review of Flagship and considers the entity to be an acceptable originator and servicer of subprime automobile loan contracts with an acceptable backup servicer. -- The Flagship senior management team has considerable experience and a successful track record within the auto finance industry. -- DBRS used a proxy analysis in its development of an expected loss. -- A limited amount of performance data was available for the Company's current originations mix. -- A combination of Company-provided performance data and industry comparable data was used to determine an expected loss. -- Adjusted cumulative net loss data was provided which accounts for additional costs related to the repossession process which results in lower net liquidation proceeds. This adjusted data was used to determine the cumulative net loss assumption. -- The legal structure and presence of legal opinions that address the true sale of the assets to the Issuer, the non- consolidation of the special-purpose vehicle with Flagship, that the trust has a valid first-priority security interest in the assets and the consistency with DBRS's "Legal Criteria for U.S. Structured Finance" methodology. Flagship is an independent, full-service automotive financing and servicing company that provides financing to borrowers who do not typically have access to prime credit lending terms for the purchase of late-model vehicles and the refinancing of existing automotive financings. The rating on the Class A Notes reflects the 47.73% of initial hard credit enhancement provided by the subordinated notes in the pool (41.98%), the Reserve Account (2.00%) and OC (3.75%). The ratings on the Class B, Class C, Class D and Class E Notes reflect 33.50%, 22.00%, 12.86% and 5.75% of initial hard credit enhancement, respectively. Additional credit support may be provided from excess spread available in the structure. FLAGSHIP CREDIT 2017-1: S&P Assigns BB- Rating on Class E Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to Flagship Credit Auto Trust 2017-1's $301.52 million automobile receivables-backed notes series 2017-1. The note issuance is an asset-backed securities transaction backed by subprime auto loan receivables. The ratings reflect S&P's view of: -- The availability of approximately 51.23%, 41.94%, 33.27%, 26.27%, and 20.53% credit support (including excess spread) for the class A, B, C, D, and E notes, respectively, based on stressed cash flow scenarios. These credit support levels provide coverage of approximately 3.50x, 3.00x, 2.30x, 1.75x, and 1.40x our 13.00%-13.50% expected cumulative net loss range for the class A, B, C, D, and E notes, respectively. These break-even scenarios cover total cumulative gross defaults (using a recovery assumption of 40%) of approximately 85%, 69%, 54%, 42%, and 33, respectively. -- The timely interest and principal payments made under stressed cash flow modeling scenarios that are appropriate to the assigned ratings. -- The expectation that under a moderate ('BBB') stress scenario, all else being equal, S&P's ratings on the class A and B notes would remain within one rating category of S&P's 'AAA (sf)' and 'AA (sf)' ratings within the first year and S&P's ratings on the class C, D, and E notes would remain within two rating categories of S&P's 'A (sf)', 'BBB (sf)', and 'BB- (sf)' ratings, respectively, within the first year. This is within the one-category rating tolerance for 'AAA' and 'AA' rated securities and two-category rating tolerance for 'A', 'BBB', and 'BB' rated securities, as outlined in S&P's credit stability criteria. -- The credit enhancement in the form of subordination, overcollateralization, a reserve account, and excess spread. -- The characteristics of the collateral pool being securitized. The transaction's payment and legal structures. RATINGS ASSIGNED Flagship Credit Auto Trust 2017-1 Class Rating Type Interest Amount rate (mil. $) A AAA (sf) Senior Fixed 170.00 B AA (sf) Subordinate Fixed 44.60 C A (sf) Subordinate Fixed 36.00 D BBB (sf) Subordinate Fixed 28.66 E BB- (sf) Subordinate Fixed 22.26 GE BUSINESS 2005-1: S&P Lowers Rating on Class C Loans to B ----------------------------------------------------------- S&P Global Ratings lowered its ratings on all four classes from GE Business Loan Trust 2005-1 and two classes from GE Business Loan Trust 2006-1. At the same time, S&P affirmed two ratings on GE Business Loan Trust 2006-1. S&P also removed all eight ratings from CreditWatch, where it placed them with negative implications on Jan. 23, 2017. The transactions are asset-backed securitizations backed by payments from small business loans primarily collateralized by first liens on commercial real estate. The transactions distribute principal payments on a pro rata basis, with principal payments distributed to the rated classes based on set percentages. The downgrades reflect the shrinking portfolio size and the application of the largest obligor default test, a supplemental test S&P adopted in its 2014 U.S. small business loan securitization criteria update. In addition to the supplemental tests, S&P's analysis also considered the increased concentration in loans greater than $5 million and balloon loans in the underlying portfolio. S&P ran additional sensitivity scenarios to address these factors. The affirmed ratings reflect the adequate credit support available at the current rating levels. GE BUSINESS LOAN TRUST 2005-1 This transaction has paid down to approximately 12.4% of its original outstanding balance. There are 84 loans left in the pool, according to the January 2017 servicer report. The five largest obligors represent 36.6% of the pool and the 10 largest represent 52.2% of the pool. There were no delinquent or defaulted loans in the pool in January 2017. The reserve account's current balance is $3.4 million, which is below the current requisite amount of $10.7 million. GE BUSINESS LOAN TRUST 2006-1 This transaction has paid down to approximately 17.7% of its original outstanding balance. There are 63 loans left in the pool, according to the January 2017 servicer report. The five largest obligors represent 37.3% of the pool and the 10 largest represent 57.2% of the pool. There were no delinquent or defaulted loans in the pool in January 2017. The reserve account's current balance is $12.2 million, which is below the current requisite amount of $16.4 million. S&P will continue to review whether, in its view, the ratings currently assigned to the notes remain consistent with the credit enhancement available to support them, and S&P will take further rating actions as it deems necessary. RATING AND CREDITWATCH ACTIONS GE Business Loan Trust 2005-1 Rating Class To From A-3 BBB+ (sf) A+ (sf)/Watch Neg B B+ (sf) BB+ (sf)/Watch Neg C B (sf) B+ (sf)/Watch Neg D B- (sf) B+ (sf)/Watch Neg GE Business Loan Trust 2006-1 Rating Class To From A BBB+ (sf) A+ (sf)/Watch Neg B BBB+ (sf) A- (sf)/Watch Neg C BB+ (sf) BB+ (sf)/Watch Neg D B+ (sf) B+ (sf)/Watch Neg GE COMMERCIAL 2003-C1: Moody's Affirms C Rating on 2 Tranches ------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on two classes GE Commercial Mortgage Corporation 2003-C1: Cl. N, Affirmed C (sf); previously on Mar 10, 2016 Affirmed C (sf) Cl. X-1, Affirmed C (sf); previously on Mar 10, 2016 Affirmed C (sf) RATINGS RATIONALE The rating on P&I Class N was affirmed because the rating is consistent with Moody's expected loss. Class N has already realized a 46% loss as a result of previously liquidated loans. The rating on IO 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 84.7% of the current balance and remains the same since Moody's last review. Moody's base expected loss plus realized losses is now 3.2% of the original pooled balance and remains unchanged since last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in October 2015. Additionally, the methodology used in rating Cl. X-1 was "Moody's Approach to Rating Structured Finance Interest-Only Securities" methodology published in October 2015. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 73.9% of the pool is in special servicing and Moody's has identified one troubled loan representing approximately 3.7% of the pool. In this approach, Moody's determines a probability of default for each specially serviced loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss from specially serviced loans to the most junior classes and the recovery as a pay down of principal to the most senior classes. DESCRIPTION OF MODELS USED Moody's 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 1, compared to 4 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 January 10, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 99.6% to $5 million from $1.19 billion at securitization. The certificates are collateralized by one specially serviced mortgage loan. Twenty-one loans have been liquidated from the pool with a loss, resulting in an aggregate realized loss of approximately $33.5 million (for an average loss severity of 22.1%). The only remaining is the Shoppes at Audubon Loan ($5 million -- 100% of the pool), which is secured by a 46,000 square feet (SF) neighborhood shopping center located in Naples, FL. The loan transferred to special servicing in June 2011 for imminent default and the lender took title through a foreclosure sale in October 2012. As of June 2016, the property was 65% leased, the same as at last review. Moody's considered a high loss for this loan. GREENWICH CAPITAL 2005-GG3: S&P Affirms CCC- Rating on Cl. E Certs ------------------------------------------------------------------ S&P Global Ratings affirmed its 'CCC- (sf)' rating on the class E commercial mortgage pass-through certificates from Greenwich Capital Commercial Funding Corp.'s series 2005-GG3, a U.S. commercial mortgage-backed securities (CMBS) transaction. The rating action follows S&P's analysis of the transaction, primarily using its criteria for rating U.S. and Canadian CMBS transactions, which included a review of the credit characteristics and performance of the remaining loan in the pool, the transaction's structure, and the liquidity available to the trust. While available credit enhancement levels suggest positive rating movements on class E, S&P's analysis also considered the adverse selection of the remaining pool collateral, as well as the performance of the Doral Arrowwood Hotel, which was previously modified and will mature in February 2018. S&P's rating affirmation also considered the recent interest shortfalls that affected this certificate. The Doral Arrowwood Hotel loan is secured by a 374-room lodging property located in Rye Brook, N.Y. The loan had previously defaulted and was modified in August 2015. Some of the modification's terms included a lower interest rate as well as an interest-only payment and an extension of the maturity date to February 2018. TRANSACTION SUMMARY As of the Jan. 12, 2017, trustee remittance report, the collateral pool balance was $87.2 million, which is 2.4% of the pool balance at issuance. The pool currently includes five loans, down from 143 loans at issuance. One of the loans ($12.5 million, 14.3%) is with the special servicer, one ($58.6 million, 67.2%) is on the master servicer's watchlist, and none are defeased. The master servicer, Berkadia Commercial Mortgage LLC, reported financial information for 98.4% of the nondefeased loans in the pool, of which 83.7% was partial-year or year-end 2015 data and 16.3% was partial-year 2016 data. S&P calculated an S&P Global Ratings weighted average debt service coverage (DSC) of 1.37x and loan-to-value (LTV) ratio of 140.8% using an S&P Global Ratings weighted average capitalization rate of 8.92% for the transaction. The S&P Global Ratings DSC reflects the Doral Arrowwood Hotel's post-modification interest rate of 3.0%. The DSC, LTV, and capitalization rate calculations exclude the one specially serviced loan, which is discussed below. To date, the transaction has experienced $174.9 million in principal losses, or 4.87% of the original pool trust balance. S&P expects losses to reach approximately 4.93% of the original pool trust balance in the near term, based on losses incurred to date and additional loss S&P expects upon the eventual resolution of the specially serviced loan. CREDIT CONSIDERATIONS As of the Jan. 12, 2017, trustee remittance report, one loan ($12.5 million, 14.3%) in the pool is with the special servicer, CWCapital Asset Management LLC. Details of the loan are: The Magnolia Village loan ($12.5 million, 14.3%) is the third-largest nondefeased loan in the trust and the sole loan with the special servicer. It has a total reported exposure of $15.7 million. The loan is secured by an office property totaling 71,460 sq. ft. located in Reno, Nev. The loan was transferred to special servicing on Dec. 8, 2009, due to monetary default resulting from a low DSC ratio stemming from low occupancy. The borrower filed for bankruptcy on June 16, 2011. The special servicer indicated foreclosure as the potential workout strategy. The reported occupancy as of October 2016 was 97.3%. The loan has been deemed nonrecoverable by the master servicer. S&P expects a minimal loss (less than 25%) upon the loan's eventual resolution. GS MORTGAGE 2017-485L: S&P Gives Prelim BB- Rating to Cl. HRR Debt ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to GS Mortgage Securities Corporation Trust 2017-485L's $350.0 million commercial mortgage pass-through certificates series 2017-485L. The certificate issuance is commercial mortgage-backed securities transaction backed by a $350.0 million mortgage loan secured by a first lien on the borrower's fee interest in 485 Lexington Avenue, a 32-story office building totaling 935,452 sq. ft. and located within the East Side/U.N. office submarket in Midtown Manhattan. The preliminary ratings are based on information as of Jan. 31, 2017. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect of the collateral's historic and projected performance, the sponsor's and managers' experience, the trustee-provided liquidity, the loan's terms, and the transaction's structure. S&P determined that the mortgage loan has a beginning and ending loan-to-value ratio of 79.7%, based on S&P Global Ratings' value. PRELIMINARY RATINGS ASSIGNED GS Mortgage Securities Corporation Trust 2017-485L Class Rating Amount ($) A AAA (sf) 186,709,000 X-A AAA (sf) 186,709,000(i) X-B AA- (sf) 43,931,000(i) B AA- (sf) 43,931,000 C A- (sf) 32,949,000 D NR 63,911,000(ii) HRR BB- (sf) 22,500,000(ii) (i)Notional balance. The notional amount of the class X-A certificates will be equal to the class A certificate balance, and the notional amount of the class X-B certificates will be equal to the class B certificate balance. (ii)The initial certificate balances of the class D and HRR certificates are subject to change based on the final pricing of all certificates and the final determination of the eligible horizontal residual interest that will be held by a retaining third-party purchaser in order for Goldman Sachs Mortgage Co., as loan seller, to satisfy its U.S. risk retention requirements with respect to this securitization transaction. NR--Not rated. IMSCI 2015-6: DBRS Confirms Bsf Rating on Class G Certificates -------------------------------------------------------------- DBRS Limited on January 31 confirmed the ratings of the Commercial Mortgage Pass-Through Certificates (the Certificates), Series 2015-6 issued by Institutional Mortgage Securities Canada Inc. (IMSCI), Series 2015-6 (the Trust) as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class X at AAA (sf) -- Class B at AA (sf) -- Class C at A (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (sf) -- Class G at B (sf) All trends are Stable. DBRS does not rate the first loss piece, Class H. The rating confirmations reflect that the transaction's overall current performance remains stable. The collateral consists of 47 fixed-rate loans secured by 64 commercial properties. As of the January 2017 remittance, all 47 loans remain in the pool, with an aggregate outstanding principal balance of approximately $310 million, representing a collateral reduction of 4.8% since issuance due to scheduled loan amortization. To date, 46 loans (98.5% of the pool) have reported YE2015 net cash flow (NCF) figures. According to these figures, the transaction had a weighted-average (WA) debt service coverage ratio (DSCR) and WA debt yield of 1.53 times (x) and 10.5%, respectively, compared with the DBRS UW figures of 1.42x and 9.3%, respectively. The transaction is concentrated by loan borrower, as 37 loans (66.0% of the pool) have related borrowers to one or more loans within the pool. The most significant concentration of related borrowers is associated with Econo-Malls Management Corporation, which is the borrower of 11 loans (14.9% of the pool) within the pool. Transaction-wide, 18 loans (52.0% of the pool) have either full or partial recourse to their respective borrowers. Based on the YE2015 reporting, the Top 15 loans reported a WA DSCR of 1.36x, compared with the DBRS UW figure of 1.40x, reflective of a WA amortizing NCF decline of 1.1%. There are seven loans (25.9% of the pool) in the Top 15 exhibiting NCF declines compared with the DBRS UW figures, with declines ranging from 0.9% to 64.8%. The loan with the largest NCF decline, the Comfort Inn & Suites Airdrie loan (Prospectus ID#9, 3.4% of the pool), is secured by a 103-key, limited-service hotel, located in the town of Airdrie, Alberta, approximately 32 kilometers north of the Calgary CBD. As of YE2015, the loan reported a DSCR of 1.21x, compared to the DBRS UW figure of 1.64x. The decline in performance is predominantly tied to the recent downturn in the energy market, as the property's demand is largely dependent on corporate customers within the oil and gas industry. As a result of a drop in demand, both occupancy and daily rates have fallen well below issuance levels within the market. As of January 2017, the property reported a trailing 12-month occupancy rate and average daily rate (ADR) of 50.6% and $110.0, respectively, compared to 80.9% and $127.0 in September 2014. As of the January 2017 remittance, there are no loans in special servicing and one loan (1.7% of the pool) on the servicer's watchlist. The St. Laurent Industrial loan (Prospectus ID#20) is secured by a 322,360 square foot industrial building located in Montréal, Québec. The loan was placed on the watchlist with the June 2016 remittance because of a drop in occupancy. As of YE2015, the property was 56.0% occupied, down from 65.0% at issuance, resulting in a low DSCR of 1.02x; however, the servicer has confirmed that occupancy increased to 75.9% as of November 2016. Given the rise in occupancy and limited near-term rollover, performance is expected to stabilize within the near future. At issuance, DBRS assigned an investment-grade shadow rating to three loans, South Hill Shopping Centre (Prospectus ID#2, 6.6% of the pool), U-HAUL SAC 3 Portfolio (Prospectus IDs#33, 35, 36, 37, 41, 43, 44, 45, 46 and 47, 5.7% of the pool) and Markham Town Square (Prospectus ID#8, 3.8% of the pool). DBRS has today confirmed that the performance of these loans remain consistent with the investment-grade loan characteristics. JP MORGAN 2002-CIBC5: Moody's Affirms C Rating on Class M Certs. ---------------------------------------------------------------- Moody's has upgraded the ratings on three classes, affirmed the rating on one class and downgraded the rating on one class in J.P. Morgan Chase Commercial Mortgage Securities Corp., Commercial Mortgage Pass-Through Certificates, Series 2002-CIBC5: Cl. J, Upgraded to Aaa (sf); previously on Mar 11, 2016 Upgraded to Aa3 (sf) Cl. K, Upgraded to A1 (sf); previously on Mar 11, 2016 Upgraded to Baa3 (sf) Cl. L, Upgraded to Ba2 (sf); previously on Mar 11, 2016 Upgraded to B2 (sf) Cl. M, Affirmed C (sf); previously on Mar 11, 2016 Affirmed C (sf) Cl. X-1, Downgraded to Caa2 (sf); previously on Mar 11, 2016 Affirmed Caa1 (sf) RATINGS RATIONALE The ratings on three P&I classes were upgraded primarily due to an increase in credit support since Moody's last review, resulting from paydowns and amortization, as well as a significant increase in defeasance. The pool has paid down by 35% since Moody's last review and defeasance has increased to 50% of the current pool balance from 39% at the last review. The rating on Class M was affirmed because the ratings are consistent with Moody's expected plus realized losses. Class M has already experienced a 39% realized loss as result of previously liquidated loans. The rating on the IO Class (Class X-1) was downgraded due to the decline in the credit performance of its reference classes resulting from principal paydowns of higher quality reference classes. Moody's does not anticipate losses from the remaining collateral in the current environment. However, over the remaining life of the transaction, losses may emerge from macro stresses to the environment and changes in collateral performance. Moody's ratings reflect the potential for future losses under varying levels of stress. Moody's base expected loss plus realized losses is now 2.3% of the original pooled balance, the same as at last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE 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 "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in October 2015. DESCRIPTION OF MODELS USED Moody's analysis used the excel-based Large Loan Model. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan-level proceeds derived from Moody's loan-level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure and property type. Moody's also further adjusts these aggregated proceeds for any pooling benefits associated with loan level diversity and other concentrations and correlations. DEAL PERFORMANCE As of the January 12, 2017 distribution date, the transaction's aggregate pooled certificate balance has decreased by 97% to $25.9 million from $1.0 billion at securitization. The certificates are collateralized by eight mortgage loans ranging in size from 1.6% to 41.2% of the pool. Three loans, constituting 50% of the pool, have defeased and are secured by US government securities. Eight loans have been liquidated from the pool, resulting in an aggregate realized loss of $24 million (for an average loss severity of 45%). Moody's received full year 2015 operating results for 100% of the pool, and full or partial year 2016 operating results for 93% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 42%, compared to 56% 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 28% 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 1.01X and 2.48X, respectively, compared to 1.01X and 2.08X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The top three non-defeased loans represent 47% of the pool balance. The largest loan is the Southern Wine & Spirits Building Loan ($10.7 million -- 41.2% of the pool), which is secured by a 385,000 square foot (SF) warehouse and office building in Las Vegas, Nevada. The property is 100% leased to Southern Wine and Spirits, one of the largest distributors of wine, spirits and non-alcoholic beverages in the US, through December 2021 under a triple net lease. The loan has amortized 54% since securitization. Moody's LTV and stressed DSCR are 43% and 2.35X, respectively, compared to 46% and 2.20X at the last review. The second largest loan is the Eckerd-Staples Loan ($879,525 -- 3.4% of the pool), which is secured by a 12,700 SF drug store located in Corpus Christi, Texas. The property is 100% to CVS through June 2020. The loan has amortized 66% since securitization. Moody's LTV and stressed DSCR are 42% and 2.64X, respectively. The third largest loan is the Eckerd-Houston Loan ($590,826 -- 2.3% of the pool), which is secured by a 12,700 SF drug store located in Houston, Texas. The property is 100% to CVS through March 2021. The loan has amortized 74% since securitization. Moody's LTV and stressed DSCR are 33% and 3.40X, respectively. JP MORGAN 2005-LDP4: DBRS Upgrades Class C Debt Rating to BB(sf) ---------------------------------------------------------------- DBRS Limited on January 24, 2017, upgraded the ratings on the following classes of the Commercial Mortgage Pass-Through Certificates, Series 2005-LDP4 issued by J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP4 (the Trust): -- Class B to A (high) (sf) from BB (high) (sf) -- Class C to BB (sf) from B (sf) DBRS has also confirmed the rating on the following class: -- Class X-1 at AAA (sf) All trends are Stable. The rating upgrades reflect the increased credit support to the bonds as a result of loan amortization, proceeds recovered from loan liquidations and successful loan repayment. Since issuance, the pool has experienced a collateral reduction of 97.5%, with 12 of the original 184 loans outstanding as of the January 2017 remittance. Over the past year, three loans were liquidated from the Trust with combined realized losses totaling $3.6 million, which were contained to the defaulted Class D. In total, 30 loans have been liquidated from the Trust at a combined realized loss of $215.4 million since issuance. As of the January 2017 remittance, 11 loans, representing 82.7% of the current pool balance, are reporting YE2015 or trailing 12 months 2016 financials. Based on the most recent full-year financials reported, the weighted-average (WA) debt service coverage ratio and WA debt yield were 1.05 times and 11.6%, respectively. Two of the three largest loans, representing 42.5% of the current pool balance, are scheduled to mature in 2018. There are two loans in special servicing and two loans on the servicer's watchlist, representing 26.5% and 11.7% of the current pool balance, respectively. JP MORGAN 2005-LDP5: S&P Lowers Rating on Class J Certs to Dsf -------------------------------------------------------------- S&P Global Ratings raised its ratings on four classes of commercial mortgage pass-through certificates from JPMorgan Chase Commercial Mortgage Securities Corp.'s series 2005-LDP5, a U.S. commercial mortgage-backed securities (CMBS) transaction. At the same time, S&P lowered its rating on one other class from the same transaction. S&P's rating actions on the certificates follow its analysis of the transaction, primarily using its criteria for rating U.S. and Canadian CMBS transactions, which included a review of the credit characteristics and performance of the remaining assets in the pool, the transaction's structure, and the liquidity available to the trust. S&P raised its ratings on classes E, F, G, and H to reflect its expectation of the available credit enhancement for these classes, which S&P believes is greater than its most recent estimate of necessary credit enhancement for the respective rating levels. The upgrades also follow S&P's views regarding the current and future performance of the transaction's collateral, available liquidity support and the trust balance's significant reduction. The downgrade on class J to 'D (sf)' reflects the current and accumulated interest shortfall, which S&P believes will remain outstanding for the foreseeable future. According to the Jan. 17, 2017, trustee remittance report, the current monthly interest shortfalls totaled $1,013,039 and resulted primarily from: -- Workout fee totaling $791,110; -- Appraisal subordinate entitlement reduction (ASER) amounts totaling $195,710; and -- Interest modification totaling $117,696. The current interest shortfalls affected classes subordinate to and including class F. Based on information from the servicers, S&P expects less ongoing interest shortfalls to affect the trust next month because S&P do not expect the workout fee and interest modification related to the liquidated DRA – CRT Portfolio II loan to be recurring. While available credit enhancement levels suggest further positive rating movements on classes F, G, and H, S&P's analysis also considered the classes' current and projected interest shortfalls, the transaction's exposure to specially serviced assets ($114.6 million, 50.2%) and the performance of the remaining performing collateral. TRANSACTION SUMMARY As of the Jan. 17, 2017, trustee remittance report, the collateral pool balance was $228.3 million, which is 5.4% of the pool balance at issuance. The pool currently includes 13 loans (reflecting crossed loans), three real estate-owned (REO) assets, and one subordinate B-note, down from 195 loans at issuance. Four of these assets ($114.6 million, 50.2%) are with the special servicer, and three loans ($7.0 million, 3.1%) are on the master servicers' combined watchlist. The master servicers, Berkadia Commercial Mortgage LLC and Midland Loan Services, together reported financial information for 44.9% of the loans in the pool, of which 51.2% was year-end 2015 data, and 48.8% was partial-year 2016 data. S&P calculated a 1.18x S&P Global Ratings' weighted average debt service coverage (DSC) and 74.7% S&P Global Ratings' weighted average loan-to-value (LTV) ratio using a 7.58% S&P Global Ratings' weighted average capitalization rate. The DSC, LTV, and capitalization rate calculations exclude the four specially serviced assets and the DRA – CRT Portfolio II – B note ($25.6 million, 11.2%). The top 10 assets have an aggregate outstanding pool trust balance of $210.5 million (92.2%). Excluding the four specially serviced assets and the B note, and using adjusted servicer-reported numbers, S&P calculated a S&P Global Ratings' weighted average DSC and LTV of 1.15x and 78.8%, respectively, for five of the top 10 assets. To date, the transaction has experienced $158.5 million in principal losses, or 3.8% of the original pool trust balance. S&P expects losses to reach approximately 5.3% of the original pool trust balance in the near term, based on losses incurred to date and additional losses S&P expects upon the eventual resolution of the four specially serviced assets and subordinate B note. CREDIT CONSIDERATIONS As of the Jan. 17, 2017, trustee remittance report, four assets in the pool were with the special servicer, CWCapital Asset Management LLC (CWCapital). Details of the two largest specially serviced assets, both of which are top 10 assets, are: -- The Atlantic Development Portfolio loan ($80.3 million, 35.2%) is the largest loan in the pool and with the special servicer. It has an $85.3 million total reported exposure and has a nonperforming matured balloon payment status. The loan is currently secured by seven flex office buildings totaling 796,035 sq. ft., in Warren and Somerset, N.J. The loan was transferred back to special servicing on July 24, 2015, due to imminent default. CWCapital indicated that it is currently pursuing receivership and foreclosure. A $28.2 million appraisal reduction amount (ARA) is in effect against this loan. S&P expects a moderate loss upon this loan's eventual resolution. -- The Westwood Plaza REO asset ($14.3 million, 6.3%), the second-largest asset with the special servicer, is the fourth-largest asset in the pool. The asset has a $14.5 million total reported exposure and consists of a 168,306-sq.-ft. retail property in Cedar Rapids, Iowa. The loan was transferred to the special servicer on Sept. 23, 2015, due to imminent maturity default (matured on Nov. 11, 2015,), and the asset became REO on May 5, 2016. CWCapital stated that it plans to market the asset for sale in March 2017 with an expected disposition by June 2017. A $7.0 million ARA is in effect against this asset. S&P expects a moderate loss upon its eventual resolution. The two remaining assets with the special servicer each have individual balances that represent less than 6.0% of the total pool trust balance. S&P estimated losses on the four specially serviced assets and the liquidated DRA-CRT Portfolio II B note, arriving at a weighted-average loss severity of 46.2%. With respect to the specially serviced assets noted above, a minimal loss is less than 25%, a moderate loss is 26%-59%, and a significant loss is 60% or greater. RATINGS RAISED JPMorgan Chase Commercial Mortgage Securities Corp. 2005-LDP5 Commercial mortgage pass-through certificates Rating Credit Class To From enhancement (%) E AAA (sf) BBB+ (sf) 96.01 F AA+ (sf) BBB-(sf) 73.04 G AA- (sf) BB- (sf) 56.95 H BB (sf) B- (sf) 33.98 RATING LOWERED JPMorgan Chase Commercial Mortgage Securities Corp. 2005-LDP5 Commercial mortgage pass-through certificates Rating Credit Class To From enhancement (%) J D (sf) B- (sf) 12.75 JP MORGAN 2006-CIBC15: Fitch Affirms 'CCC' Rating on Cl. A-M Debt ----------------------------------------------------------------- Fitch Ratings has affirmed 15 distressed classes of JP Morgan Chase Commercial Mortgage Securities Corp commercial mortgage pass-through certificates series 2006-CIBC15 (JPM 2006-CIBC15). KEY RATING DRIVERS Fitch modeled losses of 45.9% of the remaining pool; expected losses on the original pool balance total 19.9%, including $124.3 million in realized losses to date. Since the last rating action in February 2016, the pool has paid down by an additional $779.7 million with realized losses over the period of $4.6 million. As of the January 2017 Remittance Report, the total pool has been reduced 87% to $274.8 million from $2.1 billion at issuance. The transaction is slightly undercollateralized by $3.7 million. Interest shortfalls are currently impacting classes A-J and below. There is one defeased loan (11.1% of the pool). High Percentage of Loans Of Concern (LOCS) and Specially Serviced Loans: Fitch LOCs account for 75.4% of the pool including 11 specially serviced loans/REO assets at 53.4%. Increased Pool Concentration/Adverse Selection: The pool is very concentrated with only 18 loans or REO assets remaining. The Top 10 loans/REO assets represent 82.6% of the transaction. Further, of the six non-specially serviced loans remaining, five (14.4%) are secured by properties leased to single tenants; however, these amortizing loans have been significantly paid down and have an average Fitch stressed LTV of 66%. The other non-specially serviced loan, which is the largest loan in the pool (21.1%), is secured by an underperforming hotel property. Largest Loan in the Pool; Fitch Loan of Concern: The Scottsdale Plaza Resort is secured by a 404-key hotel located immediately north of downtown Scottsdale, AZ. The property was originally built in 1973 and expanded to its current size in 1985. The property features 30,000 sf of meeting space, five outdoor swimming pools, two restaurants, two lounges, five tennis courts, a business center, a spa, and a gym. The property has generated less than breakeven cash flow since 2009. The servicer reported YE 2015 DSCR was 0.60x. Per the TTM August 2016 STR report, the property reported occupancy, ADR, and RevPAR of 56.8%, $141, and $80, respectively, with RevPAR penetration of only 72.9%. The loan was previously in specially servicing due to imminent maturity default in 2016. A loan modification, which provided a two year extension and option for a third year, in exchange for, among other conditions, a $4 million equity contribution from the borrower to fund renovations, additional guarantors, and a completion guaranty, was executed in April 2016. RATING SENSITIVITIES The 'CCCsf' rating on class A-M could be subject to upgrade should the transaction receive stronger than expected recoveries on the specially serviced assets. Downgrade to the class is also possible should estimated recoveries on the specially serviced loans continue to decline. 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 the following ratings: -- $148.8 million class A-M at 'CCCsf'; RE 100%. -- $126 million class A-J at 'Dsf'; RE 0%; -- $0 class B at 'Dsf'; RE 0%; -- $0 class C at 'Dsf'; RE 0%; -- $0 class D at 'Dsf'; RE 0%; -- $0 class E at 'Dsf'; RE 0%; -- $0 class F at 'Dsf'; RE 0%; -- $0 class G at 'Dsf'; RE 0%; -- $0 class H at 'Dsf'; RE 0%; -- $0 class J at 'Dsf'; RE 0%; -- $0 class K at 'Dsf'; RE 0%; -- $0 class L at 'Dsf'; RE 0%; -- $0 class M at 'Dsf'; RE 0%; -- $0 class N at 'Dsf'; RE 0%; -- $0 class P at 'Dsf'; RE 0%. Classes A-1 through A-4 have paid in full. Fitch does not rate the class NR certificates. Fitch previously withdrew the ratings on the interest-only class X-1 and and X-2 certificates. JP MORGAN 2006-CIBC17: Fitch Affirms 'D' Rating on Cl. A-J Certs ---------------------------------------------------------------- Fitch Ratings has upgraded one and affirmed 14 classes of J.P. Morgan Chase Commercial Mortgage Securities Corp commercial mortgage pass-through certificates series 2006-CIBC17. KEY RATING DRIVERS The upgrade reflects high credit enhancement relative to modeled losses. Fitch modeled losses of 49.8% of the remaining pool; expected losses on the original pool balance total 17.1%, including $313.2 million (12.4% of the original pool balance) in realized losses to date. Pool Concentration Risk: The pool is concentrated with 11 loans remaining, which includes two performing balloon loans ($34.5 million/14.4% of the pool) that are scheduled to mature in 2031 and 2021. Specially Serviced Loans: The majority of the pool is in special servicing, nine out of 11 loans or 85.6% of the pool. Fitch applied additional sensitivity analysis with increased losses to the specially serviced loans; estimated recoveries are adequate to cover class AM. The largest loan in the pool is a 1 million square foot (sf; 493,432 sf of collateral) regional mall located in Wilmington, NC known as the Independence Mall (45.9% of the pool). The non-owned anchors include Sears, Belk, and Dillard's. The largest collateral tenants, JC Penney (23.4% net rentable area [NRA]) and Shoe Depot (4.2% NRA), have extended their leases to August 2021 and July 2021, respectively. The year-to-date June 30, 2016 DSCR is 0.80x with occupancy at 93%. According to the special servicer a sales contract is in the final stages of negotiations, but a foreclosure is being dual tracked in the event that the sale does not occur. RATING SENSITIVITIES Class A-M is expected to remain stable due to high credit enhancement and continued expected paydown. Further upgrades to class A-M are not anticipated due to pool concentration including the high concentration of specially serviced loans. Downgrades to Class A-M are not likely as credit enhancement remains high. 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 upgraded the following class: -- $45.3 million class A-M to 'BBsf'' from 'Bsf''; Outlook revised to Stable from Negative. Fitch has affirmed the following classes: -- $194.2 million class A-J at 'Dsf'; RE 30%; -- $0 class B at 'Dsf'; RE 0%; -- $0 class C at 'Dsf'; RE 0%; -- $0 class D at 'Dsf'; RE 0%; -- $0 class E at 'Dsf'; RE 0%; -- $0 class F at 'Dsf'; RE 0%; -- $0 class G at 'Dsf'; RE 0%; -- $0 class H at 'Dsf'; RE 0%; -- $0 class J at 'Dsf'; RE 0%; -- $0 class K at 'Csf'; RE 0%; -- $0 class L at 'Dsf'; RE 0%; -- $0 class M at 'Dsf'; RE 0%; -- $0 class N at 'Dsf'; RE 0; -- $0 class P at 'Dsf'; RE 0%. The class A-1, A-3, A-4, A-SB, and A-1A certificates have paid in full. Fitch does not rate the class NR certificates. Fitch previously withdrew the rating on the interest-only class X certificates. JP MORGAN 2014-FL4: S&P Affirms 'BB' Rating on 2 Tranches --------------------------------------------------------- S&P Global Ratings raised its ratings on the class B and C certificates from J.P. Morgan Chase Commercial Mortgage Securities Trust 2014-FL4, a U.S. commercial mortgage-backed securities (CMBS) transaction. At the same time, S&P affirmed its ratings on three other classes from the same transaction. The rating actions follow S&P's analysis of the transaction, primarily using its criteria for rating U.S. and Canadian CMBS transactions and S&P's global CMBS criteria, in which it re-evaluated the collateral securing the transaction and reviewed the transaction structure and liquidity available to the trust. S&P's analysis included a review of the credit characteristics and the current and future performance of the lodging properties securing the two loans in the transaction, the deal's structure, and the liquidity available to the trust. The upgrades on the class B and C certificates reflect S&P's expectation that the available credit enhancement for these classes is greater than its most recent estimate of necessary credit enhancement for the rating levels. The affirmations on the class D and E certificates reflect S&P's expectation that the available credit enhancement for the classes will be within its estimate of the necessary credit enhancement required for the current ratings. S&P affirmed its rating on the class X-EXT interest-only (IO) certificates based on S&P's criteria for rating IO securities, in which the ratings on the IO securities would not be higher than that of the lowest-rated reference class. The notional balance of class X-EXT references classes B, C, D, and E. The analysis of large-loan transactions is predominantly a recovery-based approach that assumes a loan default. Using this approach, our property-level analysis included a re-evaluation of the properties that secure the mortgage loans in the trust. S&P also considered the servicer-reported net operating income (NOI) and occupancy for the past three years and considered the volatile collateral performance, specifically the significant declines in revenue per available room (RevPAR) and net cash flow (NCF) during the economic downturn in 2009. According to the Jan. 17, 2017, trustee remittance report, the trust consisted of two floating-rate loans with a $268.5 million aggregate trust balance (down from $755.3 million at issuance). According to the transaction documents, the borrowers will pay the special servicing fees, work-out fees, liquidation fees, and costs and expenses incurred from appraisals and inspections the special servicer conducts. To date, the trust has not incurred any principal losses. S&P based its analysis partly on a review of the properties' historical NOI for the trailing 12 months ending September 2016, and for the years ending Dec. 31, 2015, 2014, 2013, and 2012 that the master servicer provided to determine S&P's opinion of a sustainable cash flow for the hotel properties. Given the Hilton Los Cabos' location, it may be affected by sovereign risk, which includes transfer and convertibility restrictions, expropriation, and currency devaluation. S&P accounted for this additional risk by adjusting the loan's capital structure. The Waikiki Beach Marriott Resort & Spa loan, the larger of the two loans remaining in the trust, had a $220.0 million whole loan balance as of the Jan. 17, 2017, trustee remittance report. The loan pays interest at a rate of one-month LIBOR plus 2.48% per year (a one-time increase of 0.25% from 2.23% at issuance following the exercising of the extension option), and has an initial three-year term (initial maturity of Dec. 9, 2016) with two one-year extension options. The loan currently has one one-year extension option remaining after exercising the option to extend until December 2017. The master servicer, Midland Loan Services, reported a 3.1x debt service coverage (DSC) and $189.82 RevPAR for the nine months ended Sept. 30, 2016. S&P's expected-case value, using a 8.50% capitalization rate, yielded a 67.8% S&P Global Ratings loan-to-value (LTV) ratio on the trust balance. The Hilton Los Cabos Resort loan, the smaller loan in the trust, had a $48.5 million whole loan balance as of the Jan. 17, 2017, trustee remittance report. The loan pays interest at a rate of one-month LIBOR plus 3.27% per year (a one-time increase of 0.25% from 3.02% at issuance following the exercising of the extension option), and has an initial two-year term (initial maturity of Sept. 9, 2015,) with three one-year extension options. The loan currently has one one-year extension option remaining after having exercised two options until September 2017. The master servicer, Midland Loan Services, reported a 4.5x DSC and $147.74 RevPAR for the nine months ended Sept. 30, 2016. S&P's expected-case value, using a 9.75% capitalization rate, yielded a 54.5% S&P Global Ratings LTV ratio on the trust balance. RATINGS RAISED J.P. Morgan Chase Commercial Mortgage Securities Trust 2014-FL4 Class Rating To From B AAA (sf) AA- (sf) C AA+ (sf) A (sf) RATINGS AFFIRMED J.P. Morgan Chase Commercial Mortgage Securities Trust 2014-FL4 Class Rating D BBB- (sf) E BB (sf) X-EXT BB (sf) JP MORGAN 2014-FL4: S&P Affirms Ratings on 3 Tranches ----------------------------------------------------- S&P Global Ratings raised its ratings on the class B and C certificates from J.P. Morgan Chase Commercial Mortgage Securities Trust 2014-FL4, a U.S. commercial mortgage-backed securities (CMBS) transaction. At the same time, S&P affirmed the ratings on three other classes from the same transaction. The rating actions follow S&P's analysis of the transaction, primarily using its criteria for rating U.S. and Canadian CMBS transactions and S&P's global CMBS criteria, in which it re-evaluated the collateral securing the transaction and reviewed the transaction structure and liquidity available to the trust. S&P's analysis included a review of the credit characteristics and the current and future performance of the lodging properties securing the two loans in the transaction, the deal's structure, and the liquidity available to the trust. The upgrades on the class B and C certificates reflect S&P's expectation that the available credit enhancement for these classes is greater than its most recent estimate of necessary credit enhancement for the rating levels. The affirmed ratings on the class D and E certificates reflect S&P's expectation that the available credit enhancement for these classes will be within its estimate of the necessary credit enhancement required for the current ratings. S&P affirmed its ratings on the class X-EXT interest-only (IO) certificates based on its criteria for rating IO securities, in which the ratings on the IO securities would not be higher than that of the lowest-rated reference class. The notional balance on class X-EXT references classes B, C, D, and E. The analysis of large-loan transactions is predominantly a recovery-based approach that assumes a loan default. Using this approach, S&P's property-level analysis included a re-evaluation of the properties that secure the mortgage loans in the trust. S&P also considered the servicer-reported net operating income (NOI) and occupancy for the past three years and considered the volatile collateral performance, specifically the significant declines in revenue per available room (RevPAR) and net cash flow (NCF) during the economic downturn in 2009. According to the Jan. 17, 2017, trustee remittance report, the trust consisted of two floating-rate loans with a $268.5 million aggregate trust balance (down from $755.3 million at issuance). According to the transaction documents, the borrowers will pay the special servicing fees, work-out fees, liquidation fees, and costs and expenses incurred from appraisals and inspections the special servicer conducts. To date, the trust has not incurred any principal losses. S&P based its analysis partly on a review of the properties' historical NOI for the trailing 12 months ending September 2016, and for the years ending Dec. 31, 2015, 2014, 2013, and 2012 that the master servicer provided to determine S&P's opinion of a sustainable cash flow for the hotel properties. Given the Hilton Los Cabos' location, it may be affected by sovereign risk, which includes transfer and convertibility restrictions, expropriation, and currency devaluation. S&P accounted for this additional risk by adjusting the loan's capital structure. The Waikiki Beach Marriott Resort & Spa loan, the larger of the two loans remaining in the trust, had a $220.0 million whole loan balance as of the Jan. 17, 2017, trustee remittance report. The loan pays interest at a rate of one-month LIBOR plus 2.48% per year (a one-time increase of 0.25% from 2.23% at issuance following the exercising of the extension option) and has an initial three-year term (initial maturity of Dec. 9, 2016) with two one-year extension options. The loan currently has one one-year extension option remaining after exercising the option to extend until December 2017. The master servicer, Midland Loan Services, reported a 3.1x debt service coverage (DSC) and $189.82 RevPAR for the nine months ended Sept. 30, 2016. S&P's expected-case value, using a 8.50% capitalization rate, yielded a 67.8% S&P Global Ratings loan-to-value (LTV) ratio on the trust balance. The Hilton Los Cabos Resort loan, the smaller loan in the trust, had a $48.5 million whole loan balance as of the Jan. 17, 2017, trustee remittance report. The loan pays interest at a rate of one-month LIBOR plus 3.27% per year (a one-time increase of 0.25% from 3.02% at issuance following the exercising of the extension option), has an initial two-year term (initial maturity of Sept. 9, 2015,) with three one-year extension options. The loan currently has one one-year extension option remaining after having exercised two options until September 2017. The master servicer, Midland Loan Services, reported a 4.5x DSC and $147.74 RevPAR for the nine months ended Sept. 30, 2016. S&P's expected-case value, using a 9.75% capitalization rate, yielded a 54.5% S&P Global Ratings LTV ratio on the trust balance. RATINGS LIST J.P. Morgan Chase Commercial Mortgage Securities Trust 2014-FL4 Commercial mortgage pass-through certificates series 2014-FL4 Rating Class Identifier To From X-EXT 46641PAE2 BB (sf) BB (sf) B 46641PAG7 AAA (sf) AA- (sf) C 46641PAJ1 AA+ (sf) A (sf) D 46641PAL6 BBB- (sf) BBB- (sf) E 46641PAN2 BB (sf) BB (sf) LEAF RECEIVABLES 2015-1: Moody's Ups Rating on Cl. E-2 Debt to Ba1 ------------------------------------------------------------------ Moody's has upgraded six securities and affirmed fourteen securities from the LEAF Receivables Funding LLC, Series 2013-1, 2015-1, and 2016-1 transactions. The transactions are securitizations of small-ticket equipment leases serviced by LEAF Commercial Capital, Inc. The complete rating actions are as follow: Issuer: LEAF Receivables Funding 9, LLC, Series 2013-1 Class B, Affirmed Aaa (sf); previously on Mar 16, 2016 Affirmed Aaa (sf) Class C, Affirmed Aaa (sf); previously on Mar 16, 2016 Affirmed Aaa (sf) Class D, Affirmed Aaa (sf); previously on Mar 16, 2016 Upgraded to Aaa (sf) Class E-1, Upgraded to Aaa (sf); previously on Mar 16, 2016 Upgraded to Aa2 (sf) Class E-2, Upgraded to Aa2 (sf); previously on Mar 16, 2016 Upgraded to A1 (sf) Issuer: LEAF Receivables Funding 10, LLC Series 2015-1 Class A-3 Notes, Affirmed Aaa (sf); previously on Mar 16, 2016 Affirmed Aaa (sf) Class A-4 Notes, Affirmed Aaa (sf); previously on Mar 16, 2016 Affirmed Aaa (sf) Class B Notes, Affirmed Aaa (sf); previously on Mar 16, 2016 Upgraded to Aaa (sf) Class C Notes, Upgraded to Aaa (sf); previously on Mar 16, 2016 Upgraded to Aa3 (sf) Class D Notes, Upgraded to Aa3 (sf); previously on Mar 16, 2016 Upgraded to A3 (sf) Class E-1 Notes, Upgraded to A3 (sf); previously on Mar 16, 2016 Upgraded to Baa3 (sf) Class E-2 Notes, Upgraded to Ba1 (sf); previously on Mar 16, 2016 Affirmed Ba3 (sf) Issuer: LEAF Receivables Funding 11 LLC, Series 2016-1 Class A-2 Notes, Affirmed Aaa (sf); previously on May 27, 2016 Definitive Rating Assigned Aaa (sf) Class A-3 Notes, Affirmed Aaa (sf); previously on May 27, 2016 Definitive Rating Assigned Aaa (sf) Class A-4 Notes, Affirmed Aaa (sf); previously on May 27, 2016 Definitive Rating Assigned Aaa (sf) Class B Notes, Affirmed Aa2 (sf); previously on May 27, 2016 Definitive Rating Assigned Aa2 (sf) Class C Notes, Affirmed A1 (sf); previously on May 27, 2016 Definitive Rating Assigned A1 (sf) Class D Notes, Affirmed Baa1 (sf); previously on May 27, 2016 Definitive Rating Assigned Baa1 (sf) Class E-1 Notes, Affirmed Baa3 (sf); previously on May 27, 2016 Definitive Rating Assigned Baa3 (sf) Class E-2 Notes, Affirmed Ba3 (sf); previously on May 27, 2016 Definitive Rating Assigned Ba3 (sf) RATINGS RATIONALE The actions were prompted mainly by a build-up of credit enhancement due to sequential payment structure of the transactions and non-declining reserve accounts. The rating action on the LEAF Receivables Funding 10, LLC Series 2015-1 also takes into account the correction of an error in modeling used in prior rating actions on this transaction. Previously, Moody's has been utilizing an incorrect discount rate for this transaction which resulted in additional excess spread. The modeling has been changed to reflect the correct discount rate, resulting in a minor reduction in excess spread benefit. While this reduction in excess spread benefit is a minor credit negative for the 2015-1 transaction, it is more than offset by the build-up in credit enhancement on the notes. The lifetime cumulative net loss (CNL) expectations for 2013-1 and 2016-1 transactions were unchanged at 2.50% and 3.50% respectively. The lifetime CNL expectation for the 2015-1 transaction was lowered to 2.50% from 3.00%. Below are key performance metrics (as of the January 2017 distribution date) and credit assumptions for each affected transaction. The credit assumptions include Moody's expected lifetime CNL expectation which is expressed as a percentage of the original pool balance. Performance metrics include pool factor which is the ratio of the current collateral balance and the original collateral balance at closing; total hard credit enhancement (expressed as a percentage of the outstanding collateral pool balance) which typically consists of subordination, overcollateralization, reserve fund as applicable. Issuer: LEAF Receivables Funding 9, LLC, Series 2013-1 Lifetime CNL expectation -- 2.50%; Prior expectation (March 2016) -- 2.50% Lifetime Remaining CNL expectation -- 2.92% Aaa level -- 18.00% Pool factor -- 17.5% Total Hard credit enhancement -- Class B -- 96.3%, Class C -- 65.5%, Class D -- 52.3%, Class E-1 -- 33.2%, Class E-2 -- 20.0% Excess Spread per annum -- Approximately 0.0% Issuer - LEAF Receivables Funding 10, LLC, Series 2015-1 Lifetime CNL expectation -- 2.50%; Prior expectation (March 2016) -- 2.50% Lifetime Remaining CNL expectation -- 3.32% Aaa level -- 21.00% Pool factor -- 51.5% Total Hard credit enhancement -- Class A -- 46.9%, Class B -- 35.6%, Class C -- 27.6%, Class D -- 21.3%, Class E-1 -- 15.5%, Class E-2 -- 10.4% Excess Spread per annum -- Approximately 1.0% Issuer: LEAF Receivables Funding 11, LLC, Series 2016-1 Lifetime CNL expectation -- 3.50%; Original expectation (May 2016) -- 3.50% Lifetime Remaining CNL expectation -- 4.11% Aaa level -- 23.00% Pool factor -- 79.6% Total Hard credit enhancement -- Class A -- 27.7%, Class B -- 22.8%, Class C -- 17.6%, Class D -- 13.5%, Class E-1 -- 9.8%, Class E-2 -- 6.5% Excess Spread per annum -- Approximately 1.6% The principal methodology used in these ratings was "Moody's Approach to Rating ABS Backed by Equipment Leases and Loans" published in December 2015. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are greater than necessary to protect investors against expectations of future loss could lead to an upgrade of the rating. Moody's expectations of future loss may be better than its original expectations because of lower frequency of default by the underlying obligors or appreciation in the value of the equipment that secure the obligor's promise of payment. Performance of the US macro economy and the equipment markets are primary drivers of performance. Other reasons for better performance than Moody's expected include changes in servicing practices to maximize collections on the leases. Down Levels of credit protection that are insufficient to protect investors against expectations of future loss could lead to a downgrade of the ratings. Moody's expectations of future loss may be worse than its original expectations because of higher frequency of default by the underlying obligors of the loans or a deterioration in the value of the vehicles that secure the obligor's promise of payment. Performance of the US macro economy and the equipment markets are primary drivers of performance. Other reasons for worse performance than Moody's expected include poor servicing, error on the part of transaction parties, lack of transactional governance and fraud. LIME STREET: Moody's Affirms B2 Rating on Class E Notes ------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Lime Street CLO, Ltd.: U.S. $22,000,000 Class C Deferrable Floating Rate Notes Due 2021, Upgraded to Aa3 (sf); previously on August 22, 2016 Upgraded to A2 (sf) U.S. $15,000,000 Class D Deferrable Floating Rate Notes Due 2021, Upgraded to Baa3 (sf); previously on August 22, 2016 Downgraded to Ba2 (sf) Moody's also affirmed the ratings on the following notes: U.S. $290,000,000 Class A Senior Floating Rate Notes Due 2021 (current balance of $103,164,100.33), Affirmed Aaa (sf); previously on August 22, 2016 Affirmed Aaa (sf) U.S. $30,000,000 Class B Senior Floating Rate Notes Due 2021, Affirmed Aaa (sf); previously on August 22, 2016 Affirmed Aaa (sf) U.S. $12,600,000 Class E Deferrable Floating Rate Notes Due 2021 (current balance of $12,574,061.98), Affirmed B2 (sf); previously on August 22, 2016 Downgraded to B2 (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 These rating actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's overcollateralization (OC) ratios since August 2016. The Class A notes have been paid down by approximately 32.8% or $50.3 million since that time. Based on the trustee's January 2017 report, the OC ratios for the Class A/B, Class C and Class D notes are reported at 141.06%, 121.06% and 110.39%, respectively, versus August levels of 131.14%, 117.10%, and 109.13%, respectively. The portfolio includes a number of investments in securities that mature after the notes do (long-dated assets). Based on Moody's calculation, long-dated assets currently make up approximately 6.6% 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 October 2016. 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. 7) Post-Reinvestment Period Trading: Subject to certain requirements, the deal can reinvest certain proceeds after the end of the reinvestment period, and as such the manager has the ability to erode some of the collateral quality metrics to the covenant levels. Such reinvestment could affect the transaction either positively or negatively. 8) Exposure to assets with low credit quality and weak liquidity: The presence of assets rated Caa3 with a negative outlook, Caa2 or Caa3 on review for downgrade or 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 $1.9 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% (2295) Class A: 0 Class B: 0 Class C: +2 Class D: +2 Class E: +1 Moody's Adjusted WARF + 20% (3443) Class A: 0 Class B: 0 Class C: -2 Class D: -2 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 $185.5 million, defaulted par of $5.9 million, a weighted average default probability of 16.13% (implying a WARF of 2869), a weighted average recovery rate upon default of 48.47%, a diversity score of 36 and a weighted average spread of 3.77% (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 2005-CIP1: DBRS Lowers Class E Debt Rating to D(sf) ----------------------------------------------------------------- DBRS Limited on January 24, 2017, upgraded the rating of the following class of Commercial Mortgage Pass-Through Certificates, Series 2005-CIP1, issued by Merrill Lynch Mortgage Trust, Series 2005-CIP1 (MLMT 2005-CIP1 or the Trust): -- Class C to AA (sf) from BB (low) (sf) In addition, DBRS has downgraded the rating of one class as follows: -- Class E to D (sf) from C (sf) Finally, DBRS has confirmed the following ratings of the remaining classes in the transaction: -- Class D at C (sf) -- Class XC at AAA (sf) All trends are Stable with the exception of Classes D and E, which have ratings that do not carry trends. In addition to the rating actions above, DBRS has removed the Interest in Arrears designation on Classes D and E. The rating upgrade to Class C reflects the increased credit support to the bond as a result of loan amortization, principal proceeds recovered from liquidated loans and successful loan repayment. In the last 12 months, five loans have left the Trust, contributing to a principal paydown of $46.2 million. Two of these loans, the Residence Inn Hotel Portfolio loan (Prospectus ID#6) and Desert Professional Plaza loan (Prospectus ID#81) were liquidated from the Trust with a combined realized loss of $31.8 million with the January 2017 remittance, prompting the rating downgrade on Class E. The loans transferred to special servicing for monetary or maturity default in January 2014 and July 2015, respectively. The servicer reported proceeds of $9.0 million with the disposition of the properties and the Trust loss wiped the remaining balance on Class F and reduced the principal balance on Class E by 77.4%. As of the January 2017 remittance report, the pool has experienced collateral reduction of 97.7% since issuance with six of the original 135 loans still outstanding. Four loans, representing 61.8% of the current pool balance, are scheduled to mature by September 2020 with a debt service coverage ratio (DSCR) and exit debt yield of 2.12 times (x) and 15.7%, respectively, according to the most recent year-end reporting available. There are currently two loans in special servicing, representing 38.2% of the current pool balance, which are both non-performing matured balloon loans. Both of the loans in special servicing have been delinquent for more than 12 months. DBRS modeled losses for these loans based on recent property values, which have declined since issuance. Since issuance, 28 loans have been liquidated from the Trust at a combined realized loss of $165.8 million. MERRILL LYNCH 2005-CKI1: Moody's Hikes Class D Debt Rating to Ba1 ----------------------------------------------------------------- Moody's Investors Service upgraded the rating on one class and has affirmed the ratings on three classes in Merrill Lynch Mortgage Trust 2005-CKI1: Cl. D, Upgraded to Ba1 (sf); previously on Feb 18, 2016 Affirmed B1 (sf) Cl. E, Affirmed Caa3 (sf); previously on Feb 18, 2016 Affirmed Caa3 (sf) Cl. F, Affirmed C (sf); previously on Feb 18, 2016 Affirmed C (sf) Cl. X, Affirmed Ca (sf); previously on Feb 18, 2016 Downgraded to Ca (sf) RATINGS RATIONALE The rating on the P&I class was upgraded based primarily on an increase in credit support resulting from loan paydowns and amortization. The deal has paid down 39% since Moody's last review. The ratings on two P&I classes were affirmed because the ratings are consistent with Moody's expected loss. The rating on the IO class, Class X, was affirmed because the class does not, nor is expected to receive monthly interest payments. Moody's rating action reflects a base expected loss of 46.6% of the current balance, compared to 34.1% at Moody's last review. Moody's base expected loss plus realized losses is now 6.7% of the original pooled balance, compared to 6.9% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in October 2015. Additionally, the methodology used in rating Cl. X was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in October 2015. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 61.7% of the pool is in special servicing and Moody's has identified additional troubled loans representing 13.9% of the pool. In this approach, Moody's determines a probability of default for each specially serviced and troubled loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss from specially serviced and troubled loans to the most junior classes and the recovery as a pay down of principal to the most senior class. 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 three, compared to six 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 January 12, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 97% to $93.3 million from $3.07 billion at securitization. The certificates are collateralized by five mortgage loans ranging in size from less than 5% to 43.5% of the pool. One loan, constituting 24.4% of the pool, has an investment-grade structured credit assessment. One loan, constituting 13.9% 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. Thirty loans have been liquidated from the pool, contributing to an aggregate realized loss of $162.8 million (for an average loss severity of 34%). Three loans, constituting 61.7% of the pool, are currently in special servicing. The largest specially serviced loan is the EDS Portfolio Loan ($40.6 million -- 43.5% of the pool), which is secured by a portfolio of three office properties totaling 388,000 square feet (SF) across three states. The properties are located in East Pennsboro, Pennsylvania; Auburn Hills, Michigan; and Rancho Cordova, California. The loan transferred to special servicing in October 2015 for imminent maturity default due to upcoming lease expiration dates. The properties were occupied by a single tenant that vacated upon lease expiration in September 2015. Camp Hill and Auburn Hills Facilities are fully vacant; Rancho Cordova is 50% leased. CBRE has been engaged to manage and lease the properties. The second largest specially serviced loan is the Orchard Hardware Plaza Loan ($13.3 million -- 14.3% of the pool), which is secured by a 146,000 SF retail center in Rancho Cucamonga, California. The loan transferred to special servicing in August 2012, following a drop in occupancy from 93% to 57% in 2011. As of yearend 2016, the property was 92% leased, considered stabilized by the servicer, and being marketed for sale. The third largest specially serviced loan is the Waterfall Plaza Loan ($3.6 million -- 3.9% of the pool), which is secured by a 43,000 SF unanchored retail property in Waterford, Michigan. The loan transferred to special servicing in August 2015 due to maturity default and was foreclosed in December 2016. As of September 2016, the property was 74% leased, unchanged from yearend 2015. Moody's estimates an aggregate $43.5 million loss for specially serviced and troubled loans (a 62% expected loss on average). The loan with a structured credit assessment is the Blue Cross Building 31 Loan ($22.8 million -- 24.4% of the pool), which is secured by two adjacent office properties totaling 517,000 SF, located in Richardson, Texas. The buildings are 100% leased to Blue Cross Blue Shield through December 31, 2020 and subleased to Fossil. Moody's used a "lit/dark" approach to account for the single-tenant risk of the property. Due to the uncertainty surrounding the lease expiration and subsequent loan maturity in January 2021, Moody's structured credit assessment and stressed DSCR are baa2 (sca.pd) and 1.27X, respectively, compared to a3 (sca.pd) and 1.58X at the last review. The remaining performing loan is the Green Valley Technical Plaza 33 Loan ($12.97 million -- 13.9% of the pool), which is secured by a 108,000 SF suburban office property in Fairfield, California. As of September 2016, the property was 46% leased to two tenants, compared to 30% at yearend 2015. The loan had an anticipated repayment date (ARD) in October 2015 and has a final maturity in October 2035. Moody's considers this a troubled loan. ML-CFC COMMERCIAL 2006-1: DBRS Lowers Class C Debt Rating to D(sf) ------------------------------------------------------------------ DBRS Limited on January 24 downgraded the rating of the following class of Commercial Mortgage Pass-Through Certificates, Series 2006-1 issued by ML-CFC Commercial Mortgage Trust, Series 2006-1: -- Class C to D (sf) from C (sf) In addition to the rating action above, DBRS has removed the Interest in Arrears designation on Class C. The rating downgrade is the result of the most recent realized losses to the Trust, which occurred after the Junction Shoppes loan (Prospectus ID#85) was liquidated from the Trust at a loss of $3.7 million with the January 2017 remittance. The Junction Shoppes loan was secured by a retail property in Apache Junction, Arizona, and was transferred to special servicing in October 2012 for payment default. The property became real estate owned in September 2016. The last reported property valuation, dated May 2016, valued the property at $3.6 million, down from $8.0 million at issuance. The servicer reported proceeds of $1.8 million with the property's sale, with a loss severity of 66.8%. The loss wiped the remaining balance on Class D and reduced the principal balance on Class C by 6.2%. As of the January 2017 remittance, there are no loans remaining in special servicing and three loans on the servicer's watchlist with a cumulative outstanding principal balance of $22.1 million. MORGAN STANLEY 2005-HQ5: Fitch Affirms 'Dsf' Rating on Cl. G Debt ----------------------------------------------------------------- Fitch Ratings has affirmed 10 classes of Morgan Stanley Capital I Trust, commercial mortgage pass-through certificates, series 2005-HQ5 (MSCI 2005-HQ5). KEY RATING DRIVERS The affirmations reflect pool concentration and the stable performance of the remaining loans in the pool. Pool Concentration: The pool is highly concentrated with only three office loans from the same sponsor, Government Properties Trust, remaining. All three loans mature in March 2020. Single-Tenant Properties: Each of the three remaining loans is secured by an office property occupied by a General Services Administration (GSA) agency. The Charleston, South Carolina property (comprising 69.9% of the pool) is occupied by the Federal Court House on a lease through July 2019. The Baton Rouge, Louisiana property (23.2%) is occupied by the Department of Veteran Affairs - VA Clinic on a lease through June 2019. The Bakersfield, California property is occupied by the Drug Enforcement Agency on a lease through March 2021. Tenant Rollover Concern: With the exception of the single tenant at the Bakersfield property, the single tenant at the two other Charleston and Baton Rouge properties roll prior to loan maturity. Balloon Loans: An additional 9.6% of the current pool balance is schedule to amortize by loan maturity. RATING SENSITIVITIES The rating on class F has been capped at 'BBsf' due to the binary risk associated with the GSA single-tenancy of the remaining properties in the pool. A downgrade is not likely unless occupancy or cash flow deteriorates significantly. 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 the following classes as indicated: -- $5.2 million class F at 'BBsf'; Outlook Stable; -- $11.6 million class G at 'Dsf'; RE 75%; -- $0 class H at 'Dsf'; RE 0%; -- $0 class J at 'Dsf'; RE 0%; -- $0 class K at 'Dsf'; RE 0%; -- $0 class L at 'Dsf'; RE 0%; -- $0 class M at 'Dsf'; RE 0%; -- $0 class N at 'Dsf'; RE 0%; -- $0 class O at 'Dsf'; RE 0%; -- $0 class P at 'Dsf'; RE 0%. The class A-1, A-2, A-3, A-AB, A-4, A-J, B, C, D, and E certificates have paid in full. Fitch does not rate the class Q certificates. Fitch had previously withdrawn the ratings on the interest-only class X-1 and X-2 certificates. MORGAN STANLEY 2006-HQ8: Moody's Cuts Rating on 2 Tranches to C --------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on seven classes and downgraded the ratings on three classes in Morgan Stanley Capital I Trust, Commercial Mortgage Pass-Through Certificates, Series 2006-HQ8: Cl. A-J, Affirmed Baa1 (sf); previously on Mar 11, 2016 Affirmed Baa1 (sf) Cl. B, Affirmed Ba1 (sf); previously on Mar 11, 2016 Affirmed Ba1 (sf) Cl. C, Affirmed B1 (sf); previously on Mar 11, 2016 Affirmed B1 (sf) Cl. D, Downgraded to Caa3 (sf); previously on Mar 11, 2016 Affirmed Caa2 (sf) Cl. E, Downgraded to C (sf); previously on Mar 11, 2016 Affirmed Caa3 (sf) Cl. F, Affirmed C (sf); previously on Mar 11, 2016 Affirmed C (sf) Cl. G, Affirmed C (sf); previously on Mar 11, 2016 Affirmed C (sf) Cl. H, Affirmed C (sf); previously on Mar 11, 2016 Affirmed C (sf) Cl. J, Affirmed C (sf); previously on Mar 11, 2016 Affirmed C (sf) Cl. X, Downgraded to C (sf); previously on Mar 11, 2016 Downgraded to Caa2 (sf) RATINGS RATIONALE The ratings on two P&I classes were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The ratings on five P&I classes were affirmed because the ratings are consistent with Moody's expected loss. The ratings on two P&I classes were downgraded due to realized and anticipated losses from specially serviced and troubled loans that were higher than Moody's had previously expected. The rating on the IO Class (Cl. X) was downgraded to C (sf) because the class is not currently receiving, nor is expected to receive, interest payments. Moody's rating action reflects a base expected loss of 55.5% of the current balance, compared to 42.4% at Moody's last review. Moody's base expected loss plus realized losses is now 10.0% of the original pooled balance, compared to 9.8% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in this rating was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in October 2015. Additionally, the methodology used in rating Cl. X was "Moody's Approach to Rating Structured Finance Interest-Only Securities" methodology published in October 2015. DESCRIPTION OF MODELS USED Moody's analysis used the excel-based Large Loan Model. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan-level proceeds derived from Moody's loan-level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure and property type. Moody's also further adjusts these aggregated proceeds for any pooling benefits associated with loan level diversity and other concentrations and correlations. DEAL PERFORMANCE As of the January 13, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 91% to $245.66 million from $2.73 billion at securitization. The certificates are collateralized by 18 mortgage loans ranging in size from less than 1% to 23% of the pool, with the top ten loans constituting 93% of the pool. Two loans, constituting 16% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. The trust has realized an aggregate loss of $136.9 million (for an average loss severity of 40.8%) from liquidated loans. Fourteen loans, constituting 76% of the pool, are currently in special servicing. The largest specially serviced loan is the Marketplace at Northglenn Loan ($55.2 million -- 22.5% of the pool), which is secured by a 439,000 square foot (SF) retail power center in Northglenn, a suburb of Denver, Colorado. Top tenants include Bed Bath & Beyond, Ross Dress for Less, Marshalls and Petsmart. The loan transferred to special servicing in August 2011 for imminent default after several national tenants relocated to competing properties thereby triggering co-tenancy clauses and lower rents. Foreclosure occurred in March 2012 and the asset became real estate owned (REO) effective July 2012. As of March 2016, the property was 79% leased the same as at year-end 2015 and compared to 84% at year-end 2014. The remaining thirteen specially serviced loans are secured by a mix of property types. Moody's estimates an aggregate $123 million loss for the specially serviced loans (66% expected loss on average). Moody's has assumed a high default probability for one poorly performing loan, constituting 9% of the pool, and has estimated a loss of $8.7 million (a 38% expected loss based on a 75% probability default) from this troubled loan. Moody's received full year 2015 operating results for 100% of the pool, and full or partial year 2016 operating results for 100% of the pool. Moody's weighted average conduit LTV is 122%, compared to 104% 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 18% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.7%. Moody's actual and stressed conduit DSCRs are 1.05X and 0.90X, respectively, compared to 1.32X and 1.04X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The top three conduit loans represent 23.1% of the pool balance. The largest loan is the Inland BISYS Fund Loan ($22.9 million -- 9.4% of the pool), which is secured by a 240,000 SF office property built in 1995 and located in Columbus, Ohio. The property was 96% leased as of September 2016, the same as Moody's prior review. The loan had an Anticipated Repayment Date in 2012, with a final maturity in June 2035. To account for the single tenant exposure, Moody's incorporated a dark value analysis and identified the loan as troubled. The second largest loan is the Centre Properties Portfolio Loan ($17.9 million -- 7.3% of the pool), which is secured by five retail properties located in Indianapolis and Fishers, Indiana. Major tenants at the property include Hobby Lobby, Pep Boys, Party City and Panera Bread. The properties were 85% leased as of September 2016, compared to 71% at year-end 2015. The portfolio has significant tenant rollover risk as it approaches maturity in January 2018. Moody's LTV and stressed DSCR are 122% and 0.82X, respectively, compared to 124% and 0.8X at the last review. The third largest loan is the Bel Air Town Center Loan ($15.8 million -- 6.4% of the pool), which is secured by a 90,000 SF unanchored retail neighborhood center in Bel Air, Maryland. As of the September 2016, the property was 70% leased compared to 79% at year-end 2015 and 2014. Top tenants at the property include Long & Foster Real Estate, Chili's Grill and Stone's Cove. The loan is being monitored for low occupancy and increased expenses. Moody's LTV and stressed DSCR are 134% and 0.83X, respectively, compared to 146% and 0.76X at the last review. MORGAN STANLEY 2007-IQ13: Fitch Affirms 'D' Rating on Cl. B Debt ---------------------------------------------------------------- Fitch Ratings has affirmed 15 classes of Morgan Stanley Capital I Trust (MSC 2007-IQ13) commercial mortgage pass-through certificates series 2007-IQ13. KEY RATING DRIVERS The affirmations reflect sufficient credit enhancement in light of the transaction's increasing concentration risk and refinance uncertainty. Since February 2016, the pool has paid down $759 million (46% of the original pool balance), of which 85 loans totaling $651 million paid in full as of the January 2017 remittance date. Increasing Pool Concentration: The transaction is becoming increasingly concentrated with 44 of the original 176 loans remaining in the transaction. The largest five loans in the transaction represent 54% of the pool balance. Additionally, office properties comprise 48% of the pool. Refinance Uncertainty: The largest two loans, representing 39.7% of the pool balance, have imminent maturities in April 2017. The loans are secured by office properties located in Newark, NJ and Minneapolis, MN with upcoming rollover concerns related to large tenants. Concentrated Loan Maturities: Of the 44 remaining loans, 37 loans representing 94.6% of the pool balance have loan maturities in 2017. The majority of the maturities are concentrated in the first and second quarter of the year. Loans in Special Servicing: Six loans (7.9%) are in special servicing, two of which (2.9%) are categorized as real estate owned (REO) or in foreclosure. Defeasance: Five loans representing 10.4% of the pool are defeased. The defeased loans have loan maturities through April 2017. RATING SENSITIVITIES The Stable Outlooks reflect sufficient credit enhancement and continued delevering of the transaction through amortization and repayment of maturing loans. Fitch's analysis includes additional stresses applied to the Gateway I and AT&T Tower loans. Downgrades to the A-M class are possible should performance of loans deteriorate or loans unable to refinance at maturity result in higher losses. Distressed classes may be subject to downgrades as losses are realized. Fitch affirms the following classes and revises an Outlook as indicated: -- $28.4 million class A-1A at 'AAAsf'; Outlook Stable; -- $163.9 million class A-M at 'Asf'; Outlook to Stable from Negative; -- $149.6 million class A-J at 'Csf'; RE 100%; -- $26.6 million class B at 'Dsf'; RE 35%; -- $0 class C at 'Dsf'; RE 0%; -- $0 class D at 'Dsf'; RE 0%; -- $0 class E at 'Dsf'; RE 0%; -- $0 class F at 'Dsf'; RE 0%; -- $0 class G at 'Dsf'; RE 0%; -- $0 class H at 'Dsf'; RE 0%; -- $0 class J at 'Dsf'; RE 0%; -- $0 class K at 'Dsf'; RE 0%; -- $0 class L at 'Dsf'; RE 0%; -- $0 class M at 'Dsf'; RE 0%; -- $0 class N at 'Dsf'; RE 0%. Fitch does not rate the class O and P certificates. Classes A-1, A-2, A-3, A-4 have paid in full. Fitch previously withdrew the ratings on the interest-only class X and X-Y certificates. MORGAN STANLEY 2007-IQ14: Moody's Affirms C Rating on Cl. B Certs. ------------------------------------------------------------------ Moody's Investors Service has upgraded the ratings on three classes, affirmed the ratings on four classes and downgraded the ratings on three classes in Morgan Stanley Capital I Trust, Commercial Mortgage Pass-Through Certificates, Series 2007-IQ14: Cl. A-4, Upgraded to A2 (sf); previously on Feb 25, 2016 Affirmed A3 (sf) Cl. A-5, Upgraded to A2 (sf); previously on Feb 25, 2016 Affirmed A3 (sf) Cl. A-1A, Upgraded to A2 (sf); previously on Feb 25, 2016 Affirmed A3 (sf) Cl. A-M, Affirmed Ba2 (sf); previously on Feb 25, 2016 Affirmed Ba2 (sf) Cl. A-MFX, Affirmed Ba2 (sf); previously on Feb 25, 2016 Affirmed Ba2 (sf) Cl. A-J, Downgraded to Caa3 (sf); previously on Feb 25, 2016 Affirmed Caa2 (sf) Cl. A-JFX, Downgraded to Caa3 (sf); previously on Feb 25, 2016 Affirmed Caa2 (sf) Cl. B, Affirmed C (sf); previously on Feb 25, 2016 Affirmed C (sf) Cl. C, Affirmed C (sf); previously on Feb 25, 2016 Affirmed C (sf) Cl. X, Downgraded to Caa1 (sf); previously on Feb 25, 2016 Affirmed B2 (sf) RATINGS RATIONALE The ratings on Classes A-4, A-5, and A-1A 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 31% since Moody's last review. In addition, loans constituting 17% of the pool that have either defeased or have debt yields exceeding 12.0% are scheduled to mature within the next six months. The ratings on Classes A-M and A-MFX 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 Classes B and C were affirmed because the ratings are consistent with Moody's expected loss. The ratings on Classes A-J and A-JFX were downgraded due to higher realized and anticipated losses from specially serviced and troubled loans. The rating on the IO Class, Class X, was downgraded due to the decline in the credit performance of its reference classes resulting from principal paydowns of higher quality reference classes. Moody's rating action reflects a base expected loss of 14.9% of the current balance, compared to 11.3% at Moody's last review. Moody's base expected loss plus realized losses is now 16.7% of the original pooled balance, compared to 16.0% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The methodologies used in these ratings were "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in December 2014, and "Moody's Approach to Rating Structured Finance Interest-Only Securities" 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 24, compared to 35 at Moody's last review. DEAL PERFORMANCE As of the January 17, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 60% to $1.97 billion from $4.90 billion at securitization. The certificates are collateralized by 192 mortgage loans ranging in size from less than 1% to 13% of the pool, with the top ten loans (excluding defeasance) constituting 45% of the pool. Twenty-one loans, constituting 5% of the pool, have defeased and are secured by US government securities. One hundred thirty-one loans, constituting 67% 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. Eighty-nine loans have been liquidated from the pool, resulting in an aggregate realized loss of $527 million (for an average loss severity of 42%). Twelve loans, constituting 10% of the pool, are currently in special servicing. The largest specially serviced loan is the City View Center Loan ($81.0 million -- 4.1% of the pool), which is secured by a 506,000 square foot retail center located in Garfield Heights, Ohio. The loan transferred to special servicing in November 2008 due to imminent monetary default. The largest tenant, Wal-Mart, leased 29% of the GLA through 2027, but vacated in September 2008 because of concerns about environmental issues at the property. Since then, Home Depot, J.C. Penney, PetSmart, Bed Bath and Beyond, Dick's Sporting Goods, and Office Max have all vacated the property. The property was 18% leased as of November 2016. The property had previously been utilized as a quarry and later as a landfill that ceased operations in the 1970's. The landfill was subsequently capped and a gas extraction system was installed. The special servicer, on behalf of the trust, has filed claim against the Mortgage Loan Originator, Morgan Stanley, based on the misrepresentation of the nature of the environmental issues at the property. The case is scheduled to go to trial in February 2017. This loan has been deemed non-recoverable by the master servicer. The remaining 11 specially serviced loans are secured by a mix of property types. Moody's estimates an aggregate $113.5 million loss for the specially serviced loans (59% expected loss on average). Moody's has assumed a high default probability for 27 poorly performing loans, constituting 21% of the pool, and has estimated an aggregate loss of $115.3 million (a 28% expected loss on average) from these troubled loans. Moody's received full year 2015 operating results for 96% of the pool, and full or partial year 2016 operating results for 92% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 112%, compared to 104% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 10% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.8%. Moody's actual and stressed conduit DSCRs are 1.27X and 1.01X, respectively, compared to 1.33X and 1.03X 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 loans represent 28% of the pool balance. The largest performing loan is the Beacon Seattle and DC Portfolio Loan ($263.9 million -- 13.4% of the pool). The loan represents a participation interest in a $970.1 million mortgage loan secured by a portfolio of three office properties in Washington, DC and Northern Virginia. The loan is pari passu with five other securitizations and was originally collateralized by 17 properties and excess cash flow pledges on three additional properties. The mortgage loan includes a B-Note, which exists outside the trust and is only subordinate to the notes held in the BACM 2007-2 and BSCMS 2007-PWR16 transactions and not subordinate to the pooled balance in this transaction. The borrower, Beacon Capital Partners, is actively marketing the remaining properties for sale. The three remaining properties are located in Washington, D.C. and Virginia. As of September 2016, the occupancy for the remaining three properties was 89%. The loan was previously in special servicing but was modified in December 2010 and returned to the master servicer in May 2012. The loan modification included a five-year extension, a coupon reduction, along with an unpaid interest accrual feature and a waiver of yield maintenance to facilitate property sales. Moody's LTV and stressed DSCR on the mortgage loan are 147% and 0.70X, respectively. The second largest loan is the PDG Portfolio Loan ($199.8 million -- 10.1% of the pool). The loan is secured by a portfolio of ten cross-collateralized and cross-defaulted retail properties located in suburban Phoenix, Arizona. In September 2016, one of the original 11 properties was released from the portfolio and proceeds from the sale were used to pay down the loan. The loan had transferred to special servicing in October 2010 due to imminent monetary default and was modified in November 2011. The modification included an initial interest rate reduction to 4.25% (from 5.8%) through January 2013 and now has an interest rate of 4.5% through the loan maturity in May 2017. The loan modification also included several capital event provisions which allow for partial forgiveness of loan principal if certain conditions are met. As of June 2016, the portfolio was 72% leased, compared to 78% in June 2015. The loan is on the master servicer's watchlist due to low DSCR and Moody's has identified this as a troubled loan. The third largest loan is the Layton Hills Mall Loan ($89.7 million -- 4.6% of the pool), which is secured by a 728,000 SF regional mall located in Layton, UT. The mall is currently anchored by Macy's, a Cinemark theater and JC Penney. The property is also shadow anchored by Dick's Sporting Goods. As part of their most recent release of store closures, Macy's has identified the Layton Hills Mall location as one to close in 2017. The loan is on the watchlist due to the upcoming loan maturity date in April 2017. Moody's LTV and stressed DSCR are 114% and 0.90X, respectively, compared to 96% and 1.07X at the last review. MORGAN STANLEY 2013-C9: Moody's Affirms B3 Rating on Cl. H Debt --------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on seventeen classes in Morgan Stanley Bank of America Merrill Lynch Trust 2013-C9: Cl. A-2, Affirmed Aaa (sf); previously on Mar 3, 2016 Affirmed Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on Mar 3, 2016 Affirmed Aaa (sf) Cl. A-3FL, Affirmed Aaa (sf); previously on Mar 3, 2016 Affirmed Aaa (sf) Cl. A-3FX, Affirmed Aaa (sf); previously on Mar 3, 2016 Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Mar 3, 2016 Affirmed Aaa (sf) Cl. A-AB, Affirmed Aaa (sf); previously on Mar 3, 2016 Affirmed Aaa (sf) Cl. A-S, Affirmed Aaa (sf); previously on Mar 3, 2016 Affirmed Aaa (sf) Cl. B, Affirmed Aa3 (sf); previously on Mar 3, 2016 Affirmed Aa3 (sf) Cl. C, Affirmed A3 (sf); previously on Mar 3, 2016 Affirmed A3 (sf) Cl. D, Affirmed Baa3 (sf); previously on Mar 3, 2016 Affirmed Baa3 (sf) Cl. E, Affirmed Ba2 (sf); previously on Mar 3, 2016 Affirmed Ba2 (sf) Cl. F, Affirmed Ba3 (sf); previously on Mar 3, 2016 Affirmed Ba3 (sf) Cl. G, Affirmed B1 (sf); previously on Mar 3, 2016 Affirmed B1 (sf) Cl. H, Affirmed B3 (sf); previously on Mar 3, 2016 Affirmed B3 (sf) Cl. PST, Affirmed A1 (sf); previously on Mar 3, 2016 Affirmed A1 (sf) Cl. X-A, Affirmed Aaa (sf); previously on Mar 3, 2016 Affirmed Aaa (sf) Cl. X-B, Affirmed A2 (sf); previously on Mar 3, 2016 Affirmed A2 (sf) RATINGS RATIONALE The ratings on fourteen P&I classes were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The ratings on the IO classes were affirmed based on the credit performance (or the weighted average rating factor or WARF) of the referenced classes. The rating on class PST was affirmed due to the credit performance (or the weighted average rating factor or WARF) of the exchangeable classes. Moody's rating action reflects a base expected loss of 2.7% of the current balance, compared to 2.1% at Moody's last review. Moody's base expected loss plus realized losses is now 2.4% of the original pooled balance, compared to 1.9% 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 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. Additionally, the methodology used in rating Cl. X-A and Cl. X-B was Moody's Approach to Rating Structured Finance Interest-Only Securities methodology 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 17, the same as at Moody's last review. When the Herf falls below 20, Moody's uses the excel-based Large Loan Model and then reconciles and weights the results from the conduit and large loan models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan-level proceeds derived from Moody's loan-level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, 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 January 18, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 7.6% to $1.18 billion from $1.28 billion at securitization. The certificates are collateralized by 58 mortgage loans ranging in size from less than 1% to 14% of the pool, with the top ten loans (excluding defeasance) constituting 60% of the pool. One loan, constituting 14% of the pool, has an investment-grade structured credit assessments. Four loans, constituting 1.7% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. No loans have been liquidated from the pool and there are no specially serviced loans. Moody's received full year 2015 operating results for 97% of the pool, and full or partial year 2016 operating results for 81% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 94%, 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 17.2% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.8%. Moody's actual and stressed conduit DSCRs are 1.82X and 1.21X, respectively, compared to 1.75X and 1.14X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The loan with a structured credit assessment is the Milford Plaza Fee Loan ($165 million -- 14.0% of the pool), which represents a pari passu interest in a $275 million first mortgage. The loan is secured by the ground lease on the land beneath the Row NYC Hotel, formerly the Milford Plaza Hotel -- a 28-story, 1,331 key full-service hotel located in Midtown Manhattan. The triple net (NNN) ground lease commenced in 2013, expires in 2112 and includes annual CPI rent increases. The tenant has purchase options at the end of years 10, 20 and 30. Moody's structured credit assessment and stressed DSCR are baa1 (sca.pd) and 0.66X, respectively, compared to baa1 (sca.pd) and 0.65X at the last review. The top three conduit loans represent 27.6% of the pool balance. The largest loan is the Colonnade Office Loan ($158 million -- 13.4% of the pool), which is secured by a three-building, Class A office complex and attached parking structure located in Addison, Texas. The buildings contain approximately 1.05 million square feet (SF) and range from 12 to 16 stories tall. The property has undergone approximately $7.5 million of capital improvements and now has LEED Silver certification. As of September 2016, the property was 95% leased. Moody's LTV and stressed DSCR are 111% and 0.95X, respectively, compared to 119% and 0.88X at the last review. The second largest loan is the Ashford Hospitality Portfolio Loan ($105 million -- 8.9% of the pool), which is secured by two full-service hotels with a total of 969 rooms -- the Renaissance Nashville in Nashville, Tennessee and the Westin Princeton Forrestal in Princeton, New Jersey. The Renaissance Nashville is located in the Nashville central business district (CBD) and is contiguous to the Nashville Convention Center. The Westin Princeton Forrestal is situated near Princeton University in Princeton, New Jersey. Property performance at the Renaissance Nashville has increased substantially since securitization. Moody's LTV and stressed DSCR are 60% and 2.00X, respectively, compared to 69% and 1.72X at the last review. The third largest loan is the Dartmouth Mall Loan ($62.5 million -- 5.3% of the pool), which is secured by an approximately 531,000 SF component of a 671,000 SF regional mall in Dartmouth, Massachusetts. The property is anchored by Macy's, Sears, J.C. Penney and a 12-screen AMC theatre. The Macy's (26% of NRA) is not part of the collateral and was not included on the list of closures announced. The Sears (20% of NRA), included as collateral, renewed their lease in 2015 through April 2021 and was not included on the list of closures announced. As of June 2016, the property was 97% leased. Moody's LTV and stressed DSCR are 104% and 1.04X, respectively, compared to 106% and 1.02X at the last review. MORGAN STANLEY 2015-C20: DBRS Confirms B(low) Rating on Cl. F Debt ------------------------------------------------------------------ DBRS Limited on January 24, 2017, confirmed the ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2015-C20 (the Certificates) issued by Morgan Stanley Bank of America Merrill Lynch Trust 2015-C20: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-S at AAA (sf) -- Class A-SB at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AAA (sf) -- Class X-D at AAA (sf) -- Class X-E at AAA (sf) -- Class X-F at AAA (sf) -- Class B at AA (low) (sf) -- Class PST at A (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class F at B (low) (sf) All trends are Stable. The Class PST certificates are exchangeable for the Classes A-S, B and C certificates (and vice versa). These rating confirmations reflect the overall stable performance of the transaction. At issuance, the pool consisted of 88 loans secured by 102 commercial and multifamily properties. The pool has since experienced a collateral reduction of 1.4% as a result of scheduled amortization, with all of the original 88 loans outstanding. Based on YE2015 financials, with 100% of the pool reporting, the pool reported a weighted-average (WA) debt service coverage ratio (DSCR) of 1.53 times (x) and a WA debt yield of 9.4%. Comparatively, the YE2014 WA DSCR and WA debt yield were 1.40x and 8.3%, respectively. At issuance, the WA DBRS UW DSCR and debt yield figures were 1.47x and 8.9%, respectively. As of the December 2016 remittance, there are two loans, representing 3.2% of the current pool balance, on the servicer's watchlist. Both of these loans were placed on the watchlist for weather-related issues resulting in a temporary closure of the respected properties. Insurance proceeds have been received for both, with both open or scheduled to reopen within a month. The ratings assigned to Classes E and F materially deviate from the higher ratings implied by the quantitative model. DBRS considers a material deviation to be a rating differential of three or more notches between the assigned rating and the rating implied by the quantitative model that is a substantial component of a rating methodology; in this case, the assigned ratings reflect the sustainability of loan performance trends not demonstrated. MORGAN STANLEY 2017-PRME: DBRS Gives (P)BB Rating to Cl. E Debt --------------------------------------------------------------- DBRS, Inc. on January 23, 2017, assigned provisional ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series MSC 2017-PRME (the Certificates) to be issued by Morgan Stanley Capital I Trust 2017-PRME. The trends are Stable. -- Class A at AAA (sf) -- Class X-CP at AAA (sf) -- Class X-NCP at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) All classes will be privately placed. The Class X-CP and Class X-NCP balances are notional and interest accrual will be calculated based on the balance of the Class A certificate. DBRS ratings on interest-only (IO) certificates address the likelihood of receiving interest based on the notional amounts outstanding. DBRS considers the IO certificates' position within the transaction payment waterfall when determining the appropriate rating. On January 17, 2017, DBRS released a Request for Comment on its proposed methodology "Rating North American CMBS Interest-Only Certificates." If this methodology is adopted without changes, DBRS indicates that potential rating actions could be either downgrades or confirmations to IO certificates. Please refer to the January 17, 2017, DBRS press release for further details on the proposed methodology. The collateral for the transaction consists of five Marriott brand-managed hotels operating under three different flags in five different states across the United States. Combined, the hotels have a total room count of 1,959 keys. DBRS considers three of the assets, totaling a significant 72.4% of the total loan amount, to be located in core urban markets. The remaining two properties, representing 27.6% of the total loan amount, are well-located in established suburban areas with stable demand sources. All five of the hotels have been owned by the sponsor since 2007, and the current reported cost basis equates to approximately $559.0 million ($285,350 per key), well in excess of the subject's loan amount. Furthermore, the sponsor has displayed consistent commitment to the subject properties, investing roughly $51.7 million ($26,366 per key) since 2011, with additional funds budgeted for renovations and upgrades over the next few years. As with the overall hotel market, ADR and occupancy levels at the subject properties have been posting strong gains over the past few years, but more recent periods have been increasing at a declining rate. DBRS capped underwritten occupancies at levels below recent historicals to account for new supply coming online over the near term in each market, as well as the fact that the current environment could represent a very late phase of the lodging cycle. The occupancy caps vary by property and market and in each instance are in line with or below each hotel's five-year historical average. As a whole, the portfolio's T-12 October 2016 RevPAR represented growth of 2.9% over the YE2015 level. Such increase represents a decline from recent year-over-year increases of 8.3% at YE2015 and 10.0% at YE2014. The resulting DBRS UW portfolio RevPAR of $173.49 is approximately 3.4% below the T-12 October 2016 level, 1.2% below the YE2015 level and 2.1% below the borrower's budget. Independently, each hotel performs toward the top of its STR competitive set, as evidenced by the portfolio-wide October T-12 2016 RevPAR index of 119.3%. Loan proceeds refinanced prior existing debt of $335.5 million that was securitized across three loans in three separate 2007 CMBS conduit transactions (WBCMT 2007-C31, WBCMT 2007-C32 and WBCMT 2007-C33) and provided only minimal cash out to the sponsor. As of Q1 2007, the portfolio had an appraised value of $528.6 million ($269,831 per key), and YE2007 NCF totaled $38.3 million. Nearly ten years later, the subject's most recent NCF was reported at $51.4 million as of the T-12 ending October 31, 2016, representing a 34.1% increase from 2007, and is nearly double the portfolio's depressed YE2009 NCF of $26.0 million that occurred in the midst of the Great Recession. HVS Consulting & Valuation determined the as-is value of the portfolio to be $656.7 million ($335,222 per key), using cap rates ranging from 7.5% to 9.0%. The DBRS concluded value of $506.0 million ($258,286 per key) represents a significant 23.0% and a notable 30.9% discount to the as-is and stabilized appraised values, respectively, and is also well below the sponsor's total cost basis previously highlighted. The resulting DBRS LTV of 72.1% is indicative of leverage that is considered to be very favorable and is further supported by the loan's strong 13.1% DBRS Debt Yield. The loan has an initial five-year term followed by two one-year extension options and is IO throughout. The ratings assigned to the Certificates by DBRS are based exclusively on the credit provided by the transaction structure and underlying trust assets. All classes will be subject to ongoing surveillance, which could result in upgrades or downgrades by DBRS after the date of issuance. MSC MORTGAGE 2012-C4: DBRS Confirms Bsf Rating on Class G Debt -------------------------------------------------------------- DBRS Limited on January 30, 2017, upgraded the following class of MSC Mortgage Securities Trust, 2012-C4: -- Class D from BBB (high) (sf) to A (low) (sf) DBRS has also confirmed the following classes of MSC Mortgage Securities Trust 2012-C4 as follows: -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (high) (sf) -- Class C at A (high) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (sf) -- Class G at B (sf) -- Class X-A at AAA (sf) -- Class X-B at AAA (sf) All trends are Stable. DBRS does not rate the first loss piece, Class H. The rating upgrade to Class D reflects the increased credit support to the bond as a result of successful loan repayment and scheduled loan amortization as well as the performance of the underlying collateral. The collateral consists of 38 fixed-rate loans secured by 77 commercial properties. As of the January 2017 remittance, there has been collateral reduction of 24.4% since issuance with a current outstanding trust balance of $829.4 million. The top 15 loans reported a weighted-average (WA) YE2015 debt service coverage ratio (DSCR) of 1.72 times (x), representative of a WA improvement over the DBRS underwritten figures of 16.5% and a WA debt yield of 12.6%. The top 15 loans reported a WA 3.5% improvement in YE2015 net cash flow compared with YE2014 figures. According to partial-year 2016 reporting, positive cash flow trends are continuing. The pool is concentrated with retail properties, which represent approximately 50% of the pool balance and include two regional malls in the Top 15, both of which are anchored by relatively weak tenants in Macy's, Sears and JC Penney, all of which have experienced declining sales and store closures in recent times. One loan in the Top 15 was affected by recent announcements of Sears closing 150 stores nationwide; however, mall operator and sponsor, Pennsylvania Real Estate Investment Trust (PREIT), successfully found replacement tenants for the entire Sears space. As of the January 2017 remittance, there is one loan in special servicing, representing 2.3% of the pool balance, and five loans on the servicer's watchlist, representing 14.4% of the pool balance. The specially serviced loan is expected to resolved in the near future, which will cause a realized loss to the trust. The loss is expected to be contained to the unrated bond, Class H. At issuance, DBRS shadow-rated the ELS Portfolio (Prospectus ID#5, 7.3% of the pool balance) loan as investment grade. DBRS has today confirmed that the performance of the loans remains consistent with investment-grade loan characteristics. The ratings assigned to Classes C, E, F and G materially deviate from the higher ratings implied by the Large Pool Multi-borrower Parameters. DBRS considers this to be a methodology deviation when there is a rating differential of three or more notches between the assigned rating and the rating implied by the Large Pool Multi-borrower Parameters; in this case, the sustainability of loan performance trends were not demonstrated and, as such, was reflected in the ratings. NEWSTAR COMMERCIAL 2012-2: Moody's Affirms B2 Rating on Cl. F Notes ------------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by NewStar Commercial Loan Funding 2012-2 LLC: US$35,200,000 Class C Secured Deferrable Floating Rate Notes, Upgraded to Aa3 (sf); previously on October 14, 2015 Upgraded to A1 (sf) US$11,400,000 Class D Secured Deferrable Floating Rate Notes, Upgraded to A3 (sf); previously on October 14, 2015 Upgraded to Baa1 (sf) Moody's also affirmed the ratings on the following notes: US$190,700,000 Class A Senior Secured Floating Rate Notes (current outstanding balance of $112,107,632), Affirmed Aaa (sf); previously on October 14, 2015 Affirmed Aaa (sf) US$26,000,000 Class B Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on October 14, 2015 Upgraded to Aaa (sf) US$16,300,000 Class E Secured Deferrable Floating Rate Notes, Affirmed Ba1 (sf); previously on October 14, 2015 Affirmed Ba1 (sf) US$24,100,000 Class F Secured Deferrable Floating Rate Notes, Affirmed B2 (sf); previously on October 14, 2015 Affirmed B2 (sf) NewStar Commercial Loan Funding 2012-2 LLC, issued in December 2012, is a collateralized loan obligation (CLO) backed primarily by a portfolio of senior secured loans, with significant exposure to middle market loans. The transaction's reinvestment period ended in January 2016. RATINGS RATIONALE These rating actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since January 2016. The Class A notes have been paid down by approximately 41% or $78.6 million since that time. Based on the trustee's January 2017 report, the OC ratios for the Class A/B, Class C, Class D and Class E notes are reported at 166.01%, 137.54%, 130.30% and 121.18%, respectively, versus January 2016 levels of 151.80%, 130.58%, 124.93% and 117.65%, respectively. Moody's also notes, that the January 2017 Trustee reported OC levels, do not include approximately $32 million of principal proceeds that were distributed to the A notes on the January 20, 2017 payment date. 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 October 2016. 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) Exposure to credit estimates: The deal contains a large number of securities whose default probabilities Moody's has assessed through credit estimates. Moody's normally updates such estimates at least once annually, but if such updates do not occur, the transaction could be negatively affected by any default probability adjustments Moody's assumes in lieu of updated credit estimates. 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% (3098) Class A: 0 Class B: 0 Class C: +2 Class D: +3 Class E: +2 Class F: +1 Moody's Adjusted WARF + 20% (4647) Class A: 0 Class B: 0 Class C: -1 Class D: -1 Class E: -1 Class F: -3 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 $244.5 million, defaulted par of $5.9 million, a weighted average default probability of 25.95% (implying a WARF of 3872), a weighted average recovery rate upon default of 48.5%, a diversity score of 39 and a weighted average spread of 4.73% (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. 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 8.95% of the collateral pool. NRZ ADVANCE 2017-T1: S&P Assigns 'BB' Rating on Class E-T1 Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to NRZ Advance Receivables Trust 2015-ON1's $400 million advance receivables-backed notes series 2017-T1. The note issuance is a servicer advance transaction backed by servicer advance and accrued and unpaid servicing fee reimbursements. The ratings reflect: -- The strong likelihood of reimbursement of servicer advance receivables given the priority of such reimbursement payments; -- The transaction's revolving period, during which collections or draws on the outstanding variable-funding note (VFN) may be used to fund additional advance receivables, and the specified eligibility requirements, collateral value exclusions, credit enhancement test (the collateral test), and amortization triggers intended to maintain pool quality and credit enhancement during this period; -- The transaction's use of predetermined, rating category- specific advance rates for each receivable type in the pool that discount the receivables, which are non-interest bearing, to satisfy the interest obligations on the notes, as well as provide for dynamic overcollateralization; -- The projected timing of reimbursements of the servicer advance receivables, which, in the 'AAA', 'AA', and 'A' scenarios, reflects S&P's assumption that the servicer would be replaced, while in the 'BBB' and 'BB' scenarios, reflects the servicer's historical reimbursement experience; -- The credit enhancement in the form of overcollateralization, subordination, and the series reserve accounts; -- The timely interest and full principal payments made under S&P's stressed cash flow modeling scenarios consistent with the assigned ratings; and -- The transaction's sequential turbo payment structure that applies during any full amortization period. RATINGS ASSIGNED NRZ Advance Receivables Trust 2015-ON1 Series 2017-T1 Class Rating Type Interest Amount rate(%) (mil. $) A-T1 AAA (sf) Term note 3.2143 312.407 B-T1 AA (sf) Term note 3.3130 14.754 C-T1 A (sf) Term note 3.7072 17.357 D-T1 BBB (sf) Term note 4.0024 49.793 E-T1 BB (sf) Term note 5.8150 5.689 OCTAGON INVESTMENT XII: S&P Raises Rating on Cl. E-R Notes to BB+ ----------------------------------------------------------------- S&P Global Ratings raised its ratings on the class B-1-R, B-2-R, C-R, D-R, and E-R notes from Octagon Investment Partners XII Ltd. S&P also removed these ratings from CreditWatch, where it placed them with positive implications on Dec. 6, 2016. At the same time, S&P affirmed its 'AAA (sf)' rating on the class A-R notes from the same transaction. The rating actions follow S&P's review of the transaction's performance using data from the Dec. 25, 2016, trustee report. The upgrades reflect the transaction's $114.31 million in paydowns to the class A-R notes since our May 2014 rating actions. These paydowns resulted in improved reported overcollateralization (O/C) ratios since the March 25, 2014, trustee report, which S&P used for its previous rating actions: -- The class A/B O/C ratio improved to 153.31% from 133.31%. -- The class C O/C ratio improved to 136.74% from 124.67%. -- The class D O/C ratio improved to 124.06% from 117.47%. -- The class E O/C ratio improved to 113.26% from 110.88%. The collateral portfolio's credit quality has slightly deteriorated since S&P's last rating actions. Collateral obligations with ratings in the 'CCC' category have increased, with $8.62 million reported as of the December 2016 trustee report, compared with $2.75 million reported as of the March 2014 trustee report. Over the same period, the par amount of defaulted collateral has increased to $2.74 million from $1.70 million. However, despite the slightly larger concentrations in the 'CCC' category and defaulted collateral, the transaction has benefited from a drop in the weighted average life due to the underlying collateral's seasoning, with 3.17 years reported as of the December 2016 trustee report, compared with 5.15 years reported at the time of S&P's May 2014 rating actions. The upgrades reflect the improved credit support at the prior rating levels; the affirmation reflects S&P's view that the credit support available is commensurate with the current rating level. On a stand-alone basis, the results of the cash flow analysis indicated a higher rating on the class D-R and E-R 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), we limited the upgrade on these classes to offset future potential credit migration in the underlying collateral. S&P's review of the transaction relied in part upon a criteria interpretation with respect to its 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 AND REMOVED FROM CREDITWATCH POSITIVE Octagon Investment Partners XII Ltd. Rating Class To From B-1-R AAA (sf) AA (sf)/Watch Pos B-2-R AAA (sf) AA (sf)/Watch Pos C-R AA+ (sf) A (sf)/Watch Pos D-R A+ (sf) BBB (sf)/Watch Pos E-R BB+ (sf) BB- (sf)/Watch Pos RATINGS AFFIRMED Octagon Investment Partners XII Ltd. Class Rating A-R AAA (sf) OFSI FUND V: S&P Assigns 'BB-' Rating on Class B-2L Notes --------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-1LB-R, A-2L-R, A-2F-R, A-3L-R, A-3F-R, and B-1L-R replacement notes from OFSI Fund V Ltd., a collateralized loan obligation (CLO) originally issued in 2013 that is managed by OFS Capital Management LLC. The replacement notes will be issued via a proposed supplemental indenture and are expected to be issued at a lower spread over LIBOR or than a fixed coupon than for the original notes. Classes A-1LA, B-2L, and B-3L are not being refinanced, but S&P expects the refinancing will be beneficial to these classes due to a lower overall weighted average cost of debt and higher available excess spread resulting from the refinancing. Additionally, this transaction includes combination notes with components comprising the A-1LA, A-2L, and A-3L notes. The combination notes will be disbanded upon completion after refinancing, at which point S&P will discontinue our rating on the notes. The preliminary ratings reflect S&P's opinion that the credit support available is commensurate with the associated rating levels. On the Feb. 14, 2017 refinancing date, the proceeds from the issuance of the replacement notes are expected to redeem the original notes. At that time, S&P anticipates withdrawing the ratings on the original notes and assigning ratings to the replacement notes. However, if the refinancing doesn't occur, S&P may affirm the ratings on the original notes and withdraw its preliminary ratings on the replacement notes. S&P's review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the trustee report, to estimate future performance. In line with S&P's criteria, its cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, S&P's analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches. S&P will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and S&P will take further rating actions as it deems necessary. PRELIMINARY RATINGS ASSIGNED OFSI Fund V Ltd. Replacement class Rating Amount (mil. $) A-1LB-R AAA (sf) 108.00 A-2F-R AA (sf) 10.00 A-2L-R AA (sf) 34.50 A-3F-R A (sf) 5.00 A-3L-R A (sf) 21.00 B-1L-R BBB (sf) 19.00 OTHER OUTSTANDING RATINGS OFSI Fund V Ltd. Class Rating A-1LA AAA (sf) B-2L BB- (sf) B-3L B (sf) Combination notes A+ (sf) Subordinated notes NR NR--Not rated. ONEMAIN DIRECT 2017-1: Moody's Assigns B2 Rating to Class E Notes ----------------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to the notes issued by OneMain Direct Auto Receivables Trust 2017-1. This is the first ODART auto loan transaction of the year for Springleaf Finance Corporation (SFC; B3 Positive). The notes are backed by a pool of retail automobile loan contracts originated by SFC, who is also the servicer and administrator for the transaction. The complete rating actions are: Issuer: OneMain Direct Auto Receivables Trust 2017-1 $209,950,000, 2.16%, Class A Asset-Backed Notes, Definitive Rating Assigned Aa3 (sf) $26,990,000, 2.88%, Class B Asset-Backed Notes, Definitive Rating Assigned A2 (sf) $18,000,000, 3.91%, Class C Asset-Backed Notes, Definitive Rating Assigned Baa2 (sf) $26,990,000, 4.94%, Class D Asset-Backed Notes, Definitive Rating Assigned Ba2 (sf) $18,000,000, 6.90%, Class E Asset-Backed Notes, Definitive Rating Assigned B2 (sf) RATINGS RATIONALE The ratings are based on the quality of the underlying collateral and its expected performance, the strength of the capital structure, and the experience and expertise of SFC as the servicer. Moody's median cumulative net loss expectation for the 2017-1 pool is 7.0%. Moody's based its cumulative net loss expectation on an analysis of the credit quality of the underlying collateral; the historical performance of similar collateral, including securitization performance and managed portfolio performance; the ability of SFC to perform the servicing functions; and current expectations for the macroeconomic environment during the life of the transaction. At closing, the Class A notes, Class B notes, Class C notes, Class D notes and Class E notes are expected to benefit from 31.00%, 22.00%, 16.00%, 7.00%, and 1.00% of hard credit enhancement, respectively. Hard credit enhancement for the notes consists of a combination of overcollateralization, a non-declining reserve account, and subordination, except for the Class E notes, which do not benefit from subordination. The notes will also benefit from excess spread. The principal methodology used in these ratings was "Moody's Global Approach to Rating Auto Loan- and Lease-Backed ABS" published in October 2016. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the A, B, C, D, and E notes if, given current expectations of portfolio losses, levels of credit enhancement are consistent with higher ratings. In sequential pay structures, such as the one in this transaction, credit enhancement grows as a percentage of the collateral balance as collections pay down senior notes. Prepayments and interest collections directed toward note principal payments will accelerate this build of enhancement. Moody's expectation of pool losses could decline as a result of a lower number of obligor defaults or appreciation in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market, the market for used vehicles, and changes in servicing practices. Down Moody's could downgrade the notes if, given current expectations of portfolio losses, levels of credit enhancement are consistent with lower ratings. Credit enhancement could decline if excess spread is not sufficient to cover losses in a given month. Moody's expectation of pool losses could rise as a result of a higher number of obligor defaults or deterioration in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market, the market for used vehicles, and poor servicing. Other reasons for worse-than-expected performance include error on the part of transaction parties, inadequate transaction governance, and fraud. RBSCF TRUST 2010-RR4: Moody's Hikes Cl. MSC-B2 Debt Rating From Ba1 ------------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following certificates issued by RBSCF TRUST 2010-RR4: Cl. MSC-B, Upgraded to Baa1 (sf); previously on Mar 3, 2016 Affirmed Baa3 (sf) Cl. MSC-B1, Upgraded to Aa3 (sf); previously on Mar 3, 2016 Affirmed A1 (sf) Cl. MSC-B2, Upgraded to Baa3 (sf); previously on Mar 3, 2016 Affirmed Ba1 (sf) Moody's has also affirmed the ratings on the following certificates: Cl. MSC-A, Affirmed Aaa (sf); previously on Mar 3, 2016 Affirmed Aaa (sf) Cl. MSC-A1, Affirmed Aaa (sf); previously on Mar 3, 2016 Affirmed Aaa (sf) Cl. MSC-A2, Affirmed Aaa (sf); previously on Mar 3, 2016 Affirmed Aaa (sf) Cl. MSC-A3, Affirmed Aaa (sf); previously on Mar 3, 2016 Affirmed Aaa (sf) Cl. MSC-A4, Affirmed Aaa (sf); previously on Mar 3, 2016 Affirmed Aaa (sf) Cl. MSC-A5, Affirmed Aaa (sf); previously on Mar 3, 2016 Affirmed Aaa (sf) RATINGS RATIONALE Moody's has upgraded the ratings on three classes of certificates due to a recent upgrade of the Underlying MSC Certificate. The upgrade was primarily due to an increase in credit support resulting from loan paydowns and amortization on the Underlying MSC Certificate. Moody's has affirmed the rating on six classes of certificates because the key transaction metrics are commensurate with the existing ratings. The rating action is the result of Moody's on-going surveillance of commercial real estate resecuritization (CRE Non-Pooled Re-Remic) transactions. RBSCF TRUST 2010-RR4 is a non-pooled Re-Remic pass through trust ("Resecuritization") backed by four ring-fenced commercial mortgage backed securities (CMBS) certificates (collectively the "Underlying Certificates"): the Group WBCMT Certificates are backed by $19.2 million, or 5.12% of the aggregate class principal balance, of the super senior Class A-4 issued by Wachovia Bank Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2007-C31 (the "Underlying WBCMT Certificate"); the Group CMLT Certificates are backed by $147.7 million, or 28.97% of the aggregate class principal balance, of the super senior Class A-4B issued by Commercial Mortgage Loan Trust 2008-LS1, Commercial Mortgage Pass-Through Certificates, Series 2008-LS1 (the "Underlying CMLT Certificate"); the Group CSMC Certificates are backed by $42.8 million, or 7.08% of the aggregate class principal balance, of the super senior Class A-4 issued by Credit Suisse Commercial Mortgage Trust Series 2007-C5, Commercial Mortgage Pass-Through Certificates, Series 2007-C5 (the "Underlying CSMC Certificates"); and the Group MSC Certificates are backed by $24.6 million, or 4.24% of the aggregate class principal balance, of the super senior Class A-4 issued by Morgan Stanley Capital I Trust 2007-IQ14, Commercial Mortgage Pass-Through Certificates, Series 2007-IQ14 (the "Underlying MSC Certificate"). The Underlying Certificates are backed by fixed-rate mortgage loans secured by first liens on commercial and multifamily properties. This rating action only covers Group MSC Certificates. Moody's has upgraded the rating of the Underlying MSC Certificate on February 2, 2017. The rating action reflected a cumulative base expected loss of 14.9% of the current balance, compared to 11.3% as of the last review for the underlying transaction. Updates to key parameters, including the constant default rate (CDR), the constant prepayment rate (CPR), the weighted average life (WAL), and the weighted average recovery rate (WARR), materially reduced the expected loss estimate of certain resecuritized classes leading to the upgrade. The Underlying MSC Certificate has a WAL of 0.14 years; assuming a CDR of 0% and CPR of 0%. For delinquent loans (30+ days, REO, foreclosure, bankrupt), Moody's assumes a fixed WARR of 40% and a fixed WARR of 50% for current loans. Moody's also ran a sensitivity analysis on the classes assuming a WARR of 40% for current loans. This impacts the modeled ratings of the certificates by zero notches downward (e.g., one notch down implies a ratings movement of Baa3 to Ba1). Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Approach to Rating Resecuritizations" published in February 2014. Factors that would lead to an upgrade or downgrade of the ratings: The performance of the certificates are subject to uncertainty, because they are 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 certificates. Because the credit quality of the resecuritization depends on that of the underlying CMBS certificates, whose credit quality in turn depends on the performance of the underlying commercial mortgage pool, any change to the rating on the Underlying Certificates could lead to a review of the ratings of the certificates. 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. RFC CDO 2007-1: Moody's Lowers Rating on Cl. A-2 Notes to C ----------------------------------------------------------- Moody's Investors Service has downgraded the ratings on the following notes issued by RFC CDO 2007-1, Ltd.: Cl. A-2, Downgraded to C (sf); previously on Mar 10, 2016 Affirmed Ca (sf) Cl. A-2R, Downgraded to C (sf); previously on Mar 10, 2016 Affirmed Ca (sf) Moody's has also affirmed the ratings on the following notes: Cl. B, Affirmed C (sf); previously on Mar 10, 2016 Affirmed C (sf) Cl. C, Affirmed C (sf); previously on Mar 10, 2016 Affirmed C (sf) Cl. D, Affirmed C (sf); previously on Mar 10, 2016 Affirmed C (sf) Cl. E, Affirmed C (sf); previously on Mar 10, 2016 Affirmed C (sf) Cl. F, Affirmed C (sf); previously on Mar 10, 2016 Affirmed C (sf) Cl. G, Affirmed C (sf); previously on Mar 10, 2016 Affirmed C (sf) Cl. H, Affirmed C (sf); previously on Mar 10, 2016 Affirmed C (sf) Cl. J, Affirmed C (sf); previously on Mar 10, 2016 Affirmed C (sf) Cl. K, Affirmed C (sf); previously on Mar 10, 2016 Affirmed C (sf) Cl. L, Affirmed C (sf); previously on Mar 10, 2016 Affirmed C (sf) RATINGS RATIONALE Moody's has downgraded the ratings of two classes of notes due to approximately 42.0% in cumulative implied losses and decreasing credit quality of the remaining collateral pool as evidenced by WARF and WARR. Moody's has also affirmed the ratings of six classes because key transaction metrics are commensurate with the existing ratings. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation and collateralized loan obligation (CRE CDO CLO) transactions. RFC CDO 2007-1, Ltd. is a currently static cash transaction (the reinvestment period ended in April 2012) backed by a portfolio of: i) b-note debt (76.3% of collateral pool balance); and ii) commercial mortgage backed securities (CMBS) (23.7%). As of the December 30, 2016 monthly trustee report, the aggregate note balance of the transaction, including income notes and deferred interest, has decreased to $489.7 million from $1 billion at issuance, with the pay-down directed to the senior most classes of notes, as a result of the combination of principal repayment of collateral, resolution and sales of defaulted collateral and credit risk collateral, and the failing of certain par value tests. Currently, the transaction is under-collateralized by $420.4 million (42.0% of original aggregate note balance, compared to 40.8% at last review) due to implied losses on the collateral. The collateral pool contains four assets totaling $29.9 million (43.1% of the collateral pool balance) listed as defaulted interest as of the December 30, 2016 monthly trustee report. These are one b-note (19.4%) and three CMBS securities (23.7%). There have been over 42% of implied losses on the underlying collateral to date since securitization and Moody's does expect high severity of losses on the impaired 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 CDO pool. Moody's has updated its assessments for the collateral it does not rate. The rating agency modeled a bottom-dollar WARF of 9805, compared to 8109 at last review. The current distribution of Moody's rated collateral and assessments for non-Moody's rated collateral is: Ba1-Ba3 and 0.0% compared to 16.3% at last review, B1-B3 and 0.0% compared to 2.7% at last review, Caa1-Ca/C and 100.0% compared to 81.0% at last review. Moody's modeled a WAL of 1.2 years, the same as at last review The WAL is based on assumptions about extensions on underlying collateral and look-through CMBS collateral. Moody's modeled a fixed WARR of 0.0%, compared to 1.7% at last review. Moody's modeled a MAC of 0.0%, compared to 100.0% at last review. The low MAC is due to high credit risk collateral concentrated in a few collateral names. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Approach to Rating SF CDOs" published in October 2016. 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. Increasing the recovery rate of 100% of the collateral pool by +10.0% would result in an average modeled rating movement on the rated notes of zero notch upward (e.g., one notch upward 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. SCF EQUIPMENT 2017-1: Moody's Gives (P)B3 Rating to Class D Notes ----------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to the Equipment Contract Backed Notes, Series 2017-1, Class A, Class B, Class C and Class D (Series 2017-1 notes or the notes) to be issued by SCF Equipment Leasing 2017-1 LLC. The transaction is a securitization of equipment loans and leases sponsored by Stonebriar Commercial Finance, LLC (unrated; Stonebriar), which will also act as the servicer. The issuer is a wholly-owned, limited purpose subsidiary of Stonebriar. The equipment loans and leases were originated by Stonebriar, and are backed primarily by railcars and corporate aircraft. The complete rating action is: Issuer: SCF Equipment Leasing 2017-1 LLC $254,915,000, Equipment Contract Backed Notes, Series 2017-1, Class A, Assigned (P)A1 (sf) $15,784,000, Equipment Contract Backed Notes, Series 2017-1, Class B, Assigned (P)Baa3 (sf) $15,614,000, Equipment Contract Backed Notes, Series 2017-1, Class C, Assigned (P)Ba1 (sf) $25,118,000, Equipment Contract Backed Notes, Series 2017-1, Class D, Assigned (P)B3 (sf) RATINGS RATIONALE The Series 2017-1 transaction is the second securitization sponsored by Stonebriar, which was founded in 2015 and is led by a management team with an average of 25 years of experience in equipment financing. The provisional ratings that Moody's assigned to the notes are primarily based on: (1) the experience of Stonebriar's management team; (2) the weak credit quality and small number of obligors backing the loans and leases in the pool; (3) the assessed value of the collateral backing the loans and leases in the pool; (4) the credit enhancement, including overcollateralization, excess spread and a non-declining reserve account; (5) the sequential pay structure; (6) the experience and expertise of Stonebriar as the servicer; and (7) U.S. Bank National Association (rated long-term deposits Aa1/ long-term CR assessment Aa2(cr), short-term deposit P-1, BCA aa3) as backup servicer for contracts. Credit enhancement for the notes includes (i) initial overcollateralization of 8.25%, which is expected to grow to a target of 10.25%, (ii) excess spread, (iii) a non-declining reserve account funded at 1.5% of the initial collateral balance, and (iv) subordination in the case of the Class A, Class B and Class C notes (16.65%, 12.00% and 7.40%, respectively). The equipment loans and leases backing the notes were extended primarily to middle market obligors and are secured by various types of equipment including railcars (30.8% of securitization value), corporate aircraft (25.8%), water treatment facilities (6.8%), manufacturing and assembly equipment (6.4%) and marine vessels (6.4%). The pool consists of 64 contracts with 30 unique obligors and an initial securitization value of $339,434,545. The average securitization value per contract is $5,303,665. The weighted average original and remaining terms to maturity are 71 and 65 months, respectively. The largest obligor accounts for 7.5% of the initial securitization value and the top five obligors account for 32.5%. Nearly all of the contracts in this deal are fixed interest rate and monthly pay. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Approach to Rating ABS Backed by Equipment Leases and Loans" published in December 2015. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the ratings on the notes if levels of credit protection are greater than necessary to protect investors against current expectations of loss. Moody's updated expectations of loss may be better than its original expectations because of lower frequency of default by the underlying obligors or appreciation in the value of the equipment that secure the obligor's promise of payment. As the primary drivers of performance, positive changes in the US macro economy and the performance of various sectors where the lessees operate could also affect the ratings. Down Moody's could downgrade the ratings of the notes if levels of credit protection are insufficient to protect investors against current expectations of loss. Moody's updated expectations of loss may be worse than its original expectations because of higher frequency of default by the underlying obligors of the contracts or a greater than expected deterioration in the value of the equipment that secure the obligor's promise of payment. As the primary drivers of performance, negative changes in the US macro economy could also affect Moody's ratings. Other reasons for worse performance than Moody's expectations could include poor servicing, error on the part of transaction parties, lack of transactional governance and fraud. SEQUOIA MORTGAGE 2017-2: Moody's Gives (P)B2 Rating to Cl. B-4 Debt ------------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to the classes of residential mortgage-backed securities (RMBS) issued by Sequoia Mortgage Trust (SEMT) 2017-2. The certificates are backed by one pool of prime quality, first-lien mortgage loans. The assets of the trust consist of 485 fully amortizing, fixed rate mortgage loans, substantially all of which have an original term to maturity of 30 years. The borrowers in the pool have high FICO scores, significant equity in their properties and liquid cash reserves. The complete rating actions are: Issuer: Sequoia Mortgage Trust 2017-2 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aaa (sf) Cl. A-14, Assigned (P)Aaa (sf) Cl. A-15, Assigned (P)Aaa (sf) Cl. A-16, Assigned (P)Aaa (sf) Cl. A-17, Assigned (P)Aaa (sf) Cl. A-18, Assigned (P)Aaa (sf) Cl. A-19, Assigned (P)Aa1 (sf) Cl. A-20, Assigned (P)Aa1 (sf) Cl. A-21, Assigned (P)Aa1 (sf) Cl. A-22, Assigned (P)Aaa (sf) Cl. A-23, Assigned (P)Aaa (sf) Cl. A-24, Assigned (P)Aaa (sf) Cl. A-IO1, Assigned (P)Aaa (sf) Cl. A-IO2, Assigned (P)Aaa (sf) Cl. A-IO3, Assigned (P)Aaa (sf) Cl. A-IO4, Assigned (P)Aaa (sf) Cl. A-IO5, Assigned (P)Aaa (sf) Cl. A-IO6, Assigned (P)Aaa (sf) Cl. A-IO7, Assigned (P)Aaa (sf) Cl. A-IO8, Assigned (P)Aaa (sf) Cl. A-IO9, Assigned (P)Aaa (sf) Cl. A-IO10, Assigned (P)Aaa (sf) Cl. A-IO11, Assigned (P)Aaa (sf) Cl. A-IO12, Assigned (P)Aaa (sf) Cl. A-IO13, Assigned (P)Aaa (sf) Cl. A-IO14, Assigned (P)Aaa (sf) Cl. A-IO15, Assigned (P)Aaa (sf) Cl. A-IO16, Assigned (P)Aaa (sf) Cl. A-IO17, Assigned (P)Aaa (sf) Cl. A-IO18, Assigned (P)Aaa (sf) Cl. A-IO19, Assigned (P)Aaa (sf) Cl. A-IO20, Assigned (P)Aa1 (sf) Cl. A-IO21, Assigned (P)Aa1 (sf) Cl. A-IO22, Assigned (P)Aa1 (sf) Cl. A-IO23, Assigned (P)Aaa (sf) Cl. A-IO24, Assigned (P)Aaa (sf) Cl. A-IO25, Assigned (P)Aaa (sf) Cl. B-1, Assigned (P)A1 (sf) Cl. B-2, Assigned (P)Baa1 (sf) Cl. B-3, Assigned (P)Ba1 (sf) Cl. B-4, Assigned (P)B2 (sf) RATINGS RATIONALE Summary Credit Analysis Moody's expected cumulative net loss on the aggregate pool is 0.40% in a base scenario and reaches 4.85% at a stress level consistent with the Aaa ratings. Our loss estimates are based on a loan-by-loan assessment of the securitized collateral pool using Moody's Individual Loan Level Analysis (MILAN) model. Loan-level adjustments to the model included: adjustments to borrower probability of default for higher and lower borrower DTIs, borrowers with multiple mortgaged properties, self-employed borrowers, origination channels and at a pool level, for the default risk of HOA properties in super lien states. The adjustment to our Aaa stress loss above the model output also includes adjustments related to aggregator and originators assessments. The model combines loan-level characteristics with economic drivers to determine the probability of default for each loan, and hence for the portfolio as a whole. Severity is also calculated on a loan-level basis. The pool loss level is then adjusted for borrower, zip code, and MSA level concentrations. Collateral Description The SEMT 2017-2 transaction is a securitization of 485 first lien residential mortgage loans, with an aggregate unpaid principal balance of $347,384,036. There are 128 originators in the transaction. 8.30% of the mortgage loans by outstanding principal balance were originated by Quicken Loans, 4.03% of the mortgage loans by outstanding principal balance were originated by First Republic Bank and 6.41% of the mortgage loans by outstanding principal balance were purchased by Redwood from FHLB Chicago. The mortgage loans purchased by Redwood from FHLB Chicago were originated by various participating financial institution investors who provide R&Ws to FHLB, who then provides R&Ws to Redwood. None of the originators other than Quicken Loans represents more than 5.00% of the principal balance of the loans in the pool. The loan-level third party due diligence review (TPR) encompassed credit underwriting, property value and regulatory compliance. In addition, Redwood has agreed to backstop the rep and warranty repurchase obligation of all originators other than First Republic Bank (4.03% of the outstanding principal balance of the loans). The loans were all aggregated by Redwood Residential Acquisition Corporation (Redwood), which Moody's has assessed as an Above Average aggregator of prime jumbo residential mortgages. There have been no losses on Redwood-aggregated transactions that closed in 2010 and later, and delinquencies to date have also been very low. Structural considerations Similar to recent rated Sequoia transactions, in this transaction, Redwood is adding a feature prohibiting the servicer, or securities administrator, from advancing principal and interest to loans that are 120 days or more delinquent. These loans on which principal and interest advances are not made are called the Stop Advance Mortgage Loans ("SAML"). The balance of the SAML will be removed from the principal and interest distribution amounts calculations. Moody's views the SAML concept as something that strengthens the integrity of senior and subordination relationships in the structure. Yet, in certain scenarios the SAML concept, as implemented in this transaction, can lead to a reduction in interest payment to certain tranches even when more subordinated tranches are outstanding. The senior/subordination relationship between tranches is strengthened as the removal of SAML in the calculation of the senior percentage amount, directs more principal to the senior bonds and less to the subordinate bonds. Further, this feature limits the amount of servicer advances that could increase the loss severity on the liquidated loans and preserves the subordination amount for the most senior bonds. On the other hand, this feature can cause a reduction in the interest distribution amount paid to the bonds; and if that were to happen such a reduction in interest payment is unlikely to be recovered. The final ratings on the bonds, which are expected loss ratings, take into consideration our expected losses on the collateral and the potential reduction in interest distributions to the bonds. Furthermore, the likelihood that in particular the subordinate tranches could potentially permanently lose some interest as a result of this feature was considered. Tail Risk & Subordination Floor The transaction cash flows follow a shifting interest structure that allows subordinated bonds to receive principal payments under certain defined scenarios. Because a shifting interest structure allows subordinated bonds to pay down over time as the loan pool shrinks, senior bonds are exposed to increased performance volatility, known as tail risk. The transaction provides for a subordination floor of 1.50% of the closing pool balance, which mitigates tail risk by protecting the senior bonds from eroding credit enhancement over time. Third-party Review and Reps & Warranties One TPR firm conducted a due diligence review of 100% of the mortgage loans in the pool. For 478 loans, the TPR firm conducted a review for credit, property valuation, compliance and data integrity ("full review"). For the remaining seven loans, Redwood Trust elected to conduct a limited review, which did not include a TPR firm check for TRID compliance. For the full review loans, the third party review found that the majority of reviewed loans were compliant with Redwood's underwriting guidelines and had no valuation or regulatory defects. Most of the loans that were not compliant with Redwood's underwriting guidelines had strong compensating factors. Additionally, the third party review didn't identify material compliance-related exceptions relating to the TILA-RESPA Integrated Disclosure (TRID) rule for the full review loans. No TRID compliance reviews were performed by the TPR firm on the seven limited review loans. Therefore, there is a possibility that some of these loans could have unresolved TRID issues. We, however reviewed the initial compliance findings of loans from the same originator where a full review was conducted and there were no material compliance findings. As a result, Moody's did not increase our Aaa loss for the limited review loans. . The originators and the seller have provided unambiguous representations and warranties (R&Ws) including an unqualified fraud R&W. There is provision for binding arbitration in the event of dispute between investors and the R&W provider concerning R&W breaches. Trustee & Master Servicer The transaction trustee is Wilmington Trust, National Association. The paying agent and cash management functions will be performed by Citibank, N.A. and the custodian functions will be performed by Wells Fargo Bank, N.A., rather than the trustee. In addition, CitiMortgage Inc., as Master Servicer, is responsible for servicer oversight, and termination of servicers and for the appointment of successor servicers. In addition, CitiMortgage is committed to act as successor if no other successor servicer can be found. Factors that would lead to an upgrade or downgrade of the ratings: Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Methodology The principal methodology used in these ratings was "Moody's Approach to Rating US Prime RMBS" published in February 2015. The methodology used in rating Cl. A-IO1, Cl. A-IO2, Cl. A-IO3, Cl. A-IO4, Cl. A-IO5, Cl. A-IO6, Cl. A-IO7, Cl. A-IO8, Cl. A-IO9, Cl. A-IO10, Cl. A-IO11, Cl. A-IO12, Cl. A-IO13, Cl. A-IO14, Cl. A-IO15, Cl. A-IO16, Cl. A-IO17, Cl. A-IO18, Cl. A-IO19, Cl. A-IO20, Cl. A-IO21, Cl. A-IO22, Cl. A-IO23, Cl. A-IO24, Cl. A-IO25, was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in October 2015. In addition, Moody's publishes a weekly summary of structured finance credit ratings and methodologies, available to all registered users of our website, www.moodys.com/SFQuickCheck Significant weight was put on judgment taking into account the results of the modeling tools as well as the aggregate impact of the third-party review and the quality of the servicers and originators. SRS DISTRIBUTION: Moody's Affirms B2 Corporate Family Rating ------------------------------------------------------------ Moody's Investors Service affirmed SRS Distribution, Inc.'s B2 Corporate Family Rating and its B2-PD Probability of Default Rating following a proposed $175 million debt-financed dividend, since resulting debt credit metrics remain supportive for the current ratings. In related rating actions, Moody's affirmed the company's B2 senior secured term loan due 2022, which is being increased to about $708 million from $568 million, and its Caa1 second lien senior secured term loan maturing in 2023, which is being increased to $170 million from $130 million. Proceeds from the add-on portion of the existing term loans will be used to disburse a dividend to its equity owners and to pay related fees and expenses. Terms and conditions for each add-on will be the same as those for its respective term loan. SRS anticipates no change in rates for both the existing term loans and add-on portions. The rating outlook remains stable. Moody's views the proposed debt-financed dividend as an aggressive financial policy. In the last eight months, aggregate dividends total almost $440 million, representing several years of last twelve months of free cash flow. Berkshire Partners LLC, through its affiliates and majority owner of SRS, has returned capital in excess of its investment in SRS. The following ratings/assessments are affected by this action: Corporate Family Rating, affirmed at B2; Probability of Default Rating, affirmed at B2-PD; First Lien Senior Secured Term Loan due 2022, affirmed at B2 (LGD3); and, Second Lien Senior Secured Term Loan due 2023, affirmed at Caa1 (LGD5). RATINGS RATIONALE SRS's B2 Corporate Family Rating remains appropriate, even though key debt credit metrics are weakening, following a second, large debt-financed dividend. Balance sheet debt at closing approximates $878 million, nearly a 175% increase from February 2013, the month in which Berkshire Partners originally acquired SRS with about $320 million of debt, and is the greatest amount of debt SRS has ever carried. Moody's estimates debt leverage, defined as debt-to-EBITDA, increasing to approximately 5.6x on a pro forma basis from about 3.5x as of April 30, 2016 (the quarter prior to the first dividend), and remaining elevated. Interest coverage, defined as EBITA-to-interest expense, would decrease to about 2.0x on a pro forma basis from 3.0x for LTM 2Q16 (all ratios include Moody's standard adjustments). SRS will have difficulty generating large levels of free cash flow relative to its debt. Pro forma credit metrics include some earnings from recent acquisitions. Moody's standard adjustments add about $150 million of additional debt for operating lease commitments, resulting in total adjusted balance sheet debt of approximately $1.03 billion on a pro forma basis at FYE16 (October 2016). Providing offset to a large amount of debt in its capital structure is Moody's expectations of steady operating margins. Demand for roofing products, the driver of SRS's revenues and resulting earnings, is a source of stability within the repair and remodeling end market and will remain resilient. Also, a good liquidity profile characterized by free cash flow generation throughout the year, good revolver availability, and a moderately extended maturity profile gives SRS financial flexibility to contend with its more leveraged capital structure. The stable rating outlook reflects Moody's expectations that SRS's credit profile will remain supportive of its B2 Corporate Family Rating over the next 12 to 18 months. Over the near-term, upward rating migration is unlikely. However, positive rating actions could ensue if SRS's operating performance exceeds Moody's expectations and yields the following credit metrics (ratios include Moody's standard adjustments) and characteristics: -- Debt-to-EBITDA sustained below 4.5x -- EBITA-to-interest expense remains above 2.5x -- Permanent debt reduction or a better liquidity profile Negative rating pressures could result if operating performance falls below Moody's expectations, resulting in the following credit metrics (ratios include Moody's standard adjustments) and characteristics: -- Debt-to-EBITDA sustained above 6.0x -- EBITA-to-interest expense remains below 1.5x -- Significant deterioration in the company's liquidity profile -- Sizeable dividends -- Large debt-financed acquisitions The principal methodology used in these ratings was Distribution & Supply Chain Services Industry published in December 2015. SRS Distribution, Inc. ("SRS"), headquartered in McKinney, TX, is a national distributor of roofing supplies and related building materials in the United States. Berkshire Partners LLC, through its affiliates, is the primary owner of SRS. Revenues for the 12 months through October 31, 2016, totaled approximately $1.7 billion. STACR 2017-DNA1: Fitch Assigns B+ Rating to 12 Tranches ------------------------------------------------------- Fitch Ratings has assigned ratings to Freddie Mac's risk-transfer transaction, Structured Agency Credit Risk Debt Notes Series 2017-DNA1 (STACR 2017-DNA1): -- $290,000,000 class M-1 notes 'BBB-sf'; Outlook Stable; -- $187,500,000 class M-2A notes 'BBsf'; Outlook Stable; -- $187,500,000 class M-2B notes 'B+sf'; Outlook Stable; -- $375,000,000 class M-2 exchangeable notes 'B+sf'; Outlook Stable; -- $375,000,000 class M-2R exchangeable notes 'B+sf'; Outlook Stable; -- $375,000,000 class M-2S exchangeable notes 'B+sf'; Outlook Stable; -- $375,000,000 class M-2T exchangeable notes 'B+sf'; Outlook Stable; -- $375,000,000 class M-2U exchangeable notes 'B+sf'; Outlook Stable; -- $375,000,000 class M-2I notional exchangeable notes 'B+sf'; Outlook Stable; -- $187,500,000 class M-2AR exchangeable notes 'BBsf'; Outlook Stable; -- $187,500,000 class M-2AS exchangeable notes 'BBsf'; Outlook Stable; -- $187,500,000 class M-2AT exchangeable notes 'BBsf'; Outlook Stable; -- $187,500,000 class M-2AU exchangeable notes 'BBsf'; Outlook Stable; -- $187,500,000 class M-2AI notional exchangeable notes 'BBsf'; Outlook Stable; -- $187,500,000 class M-2BR exchangeable notes 'B+sf'; Outlook Stable; -- $187,500,000 class M-2BS exchangeable notes 'B+sf'; Outlook Stable; -- $187,500,000 class M-2BT exchangeable notes 'B+sf'; Outlook Stable; -- $187,500,000 class M-2BU exchangeable notes 'B+sf'; Outlook Stable; -- $187,500,000 class M-2BI notional exchangeable notes 'B+sf'; Outlook Stable. The following classes will not be rated by Fitch: -- $120,000,000 class B-1 notes; -- $17,000,000 class B-2 notes; -- $32,691,709,047 class A-H reference tranche; -- $117,584,943 class M-1H reference tranche; -- $75,731,942 class M-2AH reference tranche; -- $75,731,942 class M-2BH reference tranche; -- $49,827,059 class B-1H reference tranche; -- $152,827,059 class B-2H reference tranche. The 'BBB-sf' rating for the M-1 notes reflects the 2.55% subordination provided by the 0.77% class M-2A notes, the 0.77% class M-2B notes, the 0.50% class B-1 notes and the 0.50% class B-2 notes. The 'BBsf' rating for the M-2A notes reflects the 1.00% subordination provided by the 0.50% class B-1 notes and the 0.50% class B-2 notes. The 'B+sf' rating for the M-2B notes reflects the 0.50% subordination provided by the 0.50% class B-2 notes. The notes are general unsecured obligations of Freddie Mac ('AAA'/Outlook Stable) subject to the credit and principal payment risk of a pool of certain residential mortgage loans held in various Freddie Mac-guaranteed MBS. STACR 2017-DNA1 represents Freddie Mac's 14th risk transfer transaction applying actual loan loss severity (LS) issued as part of the Federal Housing Finance Agency's Conservatorship Strategic Plan for 2013 - 2017 for each of the government-sponsored enterprises (GSEs) to demonstrate the viability of multiple types of risk-transfer transactions involving single-family mortgages. The objective of the transaction is to transfer credit risk from Freddie Mac to private investors with respect to a $33.97 billion pool of mortgage loans currently held guaranteed by Freddie Mac where principal repayment of the notes is subject to the performance of a reference pool of mortgage loans. As loans liquidate or other credit events occur, the outstanding principal balance of the debt notes will be reduced by the actual loan's LS percentage related to those credit events, which includes borrower's delinquent interest. While the transaction structure simulates the behavior and credit risk of traditional RMBS senior-subordinate securities, Freddie Mac will be responsible for making monthly payments of interest and principal to investors. Because of the counterparty dependence on Freddie Mac, Fitch's expected rating on the M-1, M-2A and M-2B notes will be based on the lower of: the quality of the mortgage loan reference pool and credit enhancement (CE) available through subordination, and Freddie Mac's Issuer Default Rating. The M-1, M-2A M-2B, B-1, and B-2 notes will be issued as LIBOR-based floaters. In the event that the one-month LIBOR rate falls below zero and becomes negative, the coupons of the interest-only MAC notes may be subject to a downward adjustment, so that the aggregate interest payable within the related MAC combination does not exceed the interest payable to the notes for which such classes were exchanged. The notes will carry a 12.5-year legal final maturity. KEY RATING DRIVERS High-Quality Mortgage Pool (Positive): The reference pool consists of 137,250 high quality mortgage loans totaling $33.97 billion that were acquired by Freddie Mac between April 1, 2016 and June 30, 2016. The reference pool consists of loans with original loan-to-value ratios (LTVs) of over 60% and less than or equal to 80% with a weighted average (WA) original combined LTV of 76%. The WA debt-to-income (DTI) ratio of 34.9% and credit score of 751 reflect the strong credit profile of post-crisis mortgage originations. Actual Loss Severities (Neutral): This will be Freddie Mac's 14th actual loss risk transfer transaction in which losses borne by the noteholders will not be based on a fixed LS schedule. The notes in this transaction will experience losses realized at the time of liquidation or loan modification which will include both lost principal and delinquent interest. 12.5-Year Hard Maturity (Positive): The M-1, M-2A, and M-2B notes benefit from a 12.5-year legal final maturity. Thus, any credit events on the reference pool that occur beyond year 12.5 are borne by Freddie Mac and do not affect the transaction. In addition, credit events that occur prior to maturity with losses realized from liquidations or loan modifications that occur after the final maturity date will not be passed through to noteholders. Solid Lender Review and Acquisition Processes (Positive): Fitch found that Freddie Mac has a well-established and disciplined process in place for the purchase of loans and views its lender-approval and oversight processes for minimizing counterparty risk and ensuring sound loan quality acquisitions as positive. Loan quality control (QC) review processes are thorough and indicate a tight control environment that limits origination risk. Fitch has determined Freddie Mac to be an above-average aggregator for its 2013 and later product. The lower risk was accounted for by Fitch by applying a lower default estimate for the reference pool. Advantageous Payment Priority (Positive): The M-1 class strongly benefits from the sequential pay structure and stable CE provided by the more junior M-2A, M-2B, B-1, and B-2 classes, which are locked out from receiving any principal until classes with a more senior payment priority are paid in full. However, available CE for the junior classes as a percentage of the outstanding reference pool increases in tandem with the paydown of the M-1 class. Given the size of the M-1 class relative to the combined total of all the junior classes, together with the sequential pay structure, the class M-1 will de-lever and CE as a percentage will build faster than in a pro rata payment structure. Solid Alignment of Interests (Positive): While the transaction is designed to transfer credit risk to private investors, Fitch believes the transaction benefits from a solid alignment of interests. Freddie Mac will retain credit risk in the transaction by holding the senior reference tranche A-H, which has 3.75% of loss protection, as well as a minimum of 5% of the M-1, M-2A, M-2B, and B-1 tranches and a minimum of 75% of the first-loss B-2 tranche. Initially, Freddie Mac will retain an approximately 28.8% vertical slice/interest in the M-1, M-2A, and M-2B tranches. Receivership Risk Considered (Neutral): Under the Federal Housing Finance Regulatory Reform Act, the Federal Housing Finance Agency (FHFA) must place Freddie Mac into receivership if it determines that the GSE's assets are less than its obligations for longer than 60 days following the deadline of its SEC filing. As receiver, FHFA could repudiate any contract entered into by Freddie Mac if it is determined that such action would promote an orderly administration of Freddie Mac's affairs. Fitch believes that the U.S. government will continue to support Freddie Mac, as reflected in its current rating of the GSE. However, if, at some point, Fitch views the support as being reduced and receivership likely, the rating of Freddie Mac could be downgraded and ratings on the M-1, M-2A, and M-2B notes, along with their corresponding MAC notes, could be affected. 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 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. This defined stress sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model projected 24% at the 'BBBsf' level, 22.4% at the 'BBB-sf' level and 14.5% at the 'Bsf' level. The analysis indicates that there is some potential rating migration with higher MVDs, compared with the model projection. Fitch also conducted defined rating sensitivities which determine the stresses to MVDs that would reduce a rating by one full category, to non-investment grade, and to 'CCCsf'. For example, additional MVDs of 11%, 11% and 34% would potentially move the 'BBBsf' rated class down one rating category, to non-investment grade, to 'CCCsf', respectively. THL CREDIT 2017-1: Moody's Assigns (P)Ba3 Rating to Class E Notes ----------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to five classes of notes to be issued by THL Credit Wind River 2017-1 CLO Ltd. Moody's rating action is: U.S.$325,000,000 Class A Senior Secured Floating Rate Notes due 2029 (the "Class A Notes"), Assigned (P)Aaa (sf) U.S.$55,000,000 Class B Senior Secured Floating Rate Notes due 2029 (the "Class B Notes"), Assigned (P)Aa2 (sf) U.S.$30,000,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2029 (the "Class C Notes"), Assigned (P)A2 (sf) U.S.$27,500,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2029 (the "Class D Notes"), Assigned (P)Baa3 (sf) U.S.$22,500,000 Class E Junior Secured Deferrable Floating Rate Notes due 2029 (the "Class E Notes"), Assigned (P)Ba3 (sf) The Class A Notes, the Class B Notes, the Class C Notes, the Class D Notes and the Class E Notes are referred to herein, collectively, as the "Rated Notes." Moody's issues provisional ratings in advance of the final sale of financial instruments, but these ratings only represent Moody's preliminary credit opinions. Upon a conclusive review of a transaction and associated documentation, Moody's will endeavor to assign definitive ratings. A definitive rating, if any, may differ from a provisional rating. RATINGS RATIONALE Moody's provisional ratings of the Rated Notes address the expected losses posed to noteholders. The provisional ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. THL 2017-1 CLO 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 and eligible investments, and up to 10% of the portfolio may consist of second lien loans and unsecured loans. Moody's expects the portfolio to be approximately 80% ramped as of the closing date. THL Credit Advisors LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's four year reinvestment period. Thereafter, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets, subject to certain restrictions. 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 October 2016. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $500,000,000 Diversity Score: 60 Weighted Average Rating Factor (WARF): 2775 Weighted Average Spread (WAS): 3.90% Weighted Average Coupon (WAC): 6.50% Weighted Average Recovery Rate (WARR): 47.25% Weighted Average Life (WAL): 8.1 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 October 2016. 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 2775 to 3191) Rating Impact in Rating Notches Class A Notes: 0 Class B Notes: -1 Class C Notes: -2 Class D Notes: -1 Class E Notes: 0 Percentage Change in WARF -- increase of 30% (from 2775 to 3608) Rating Impact in Rating Notches Class A Notes: -1 Class B Notes: -3 Class C Notes: -3 Class D Notes: -2 Class E Notes: -1 TOWD POINT 2017-1: DBRS Assigns Prov. B(sf) Rating to Cl. B2 Notes ------------------------------------------------------------------ DBRS, Inc. on January 31, 2017, assigned the following provisional ratings to the Asset Backed Securities, Series 2017-1 (the Notes) issued by Towd Point Mortgage Trust 2017-1 (the Trust): -- $1,367.3 million Class A1 at AAA (sf) -- $116.3 million Class A2 at AA (sf) -- $121.5 million Class M1 at A (sf) -- $101.7 million Class M2 at BBB (sf) -- $95.5 million Class B1 at BB (sf) -- $74.8 million Class B2 at B (sf) -- $116.3 million Class A2A at AA (sf) -- $116.3 million Class A2B at AA (sf) -- $116.3 million Class X1 at AA (sf) -- $116.3 million Class X2 at AA (sf) -- $121.5 million Class M1A at A (sf) -- $121.5 million Class M1B at A (sf) -- $121.5 million Class X3 at A (sf) -- $121.5 million Class X4 at A (sf) -- $101.7 million Class M2A at BBB (sf) -- $101.7 million Class M2B at BBB (sf) -- $101.7 million Class X5 at BBB (sf) -- $101.7 million Class X6 at BBB (sf) The AAA (sf) ratings on the Notes reflect the 34.15% of credit enhancement provided by subordinated Notes in the pool. The AA (sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings reflect credit enhancement of 28.55%, 22.70%, 17.80%, 13.20% and 9.60%, 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 seasoned performing and re-performing first-lien residential mortgages. The Notes are backed by 11,459 loans with a total principal balance of $2,076,424,870 as of the Statistical Calculation Date (December 31, 2016). The portfolio contains 84.3% modified loans. Within the pool, 4,355 mortgages have non-interest-bearing deferred amounts, which equates to 8.5% of the total principal balance. The modifications happened more than two years ago for 91.6% of the modified loans. The loans are approximately 126 months seasoned. All loans (100.0%) were current as of the Statistical Calculation Date, including 0.8% bankruptcy-performing loans. Approximately 78.8% of the mortgage loans have been zero times 30 days delinquent (0 x 30) for at least the past 24 months under both the Office of Thrift Supervision (OTS) and Mortgage Bankers Association (MBA) delinquency methods. In accordance with the CFPB Qualified Mortgage (QM) rules, 0.9% of the loans are designated as QM Safe Harbor, 0.1% as QM Rebuttable Presumption and 0.2% as non-QM. Approximately 98.8% of the loans are not subject to the QM rules. FirstKey Mortgage, LLC (FirstKey) will acquire the loans from various transferring trusts on or prior to the Closing Date. The transferring trusts acquired the mortgage loans between 2013 and 2016 and are beneficially owned by both the Responsible Party and other funds managed by affiliates of Cerberus Capital Management, L.P. Upon acquiring the loans from the transferring trusts, FirstKey, through a wholly owned subsidiary, Towd Point Asset Funding, LLC, will contribute loans to the Trust. As the Sponsor, FirstKey, through a majority-owned affiliate, 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. These loans were originated and previously serviced by various entities through purchases in the secondary market. As of the Statistical Calculation Date, all loans are serviced by Select Portfolio Servicing, Inc. There will not be any advancing of delinquent principal or interest on any mortgages by the servicer or any other party to the transaction; however, the servicer is obligated to make advances in respect of taxes and insurance, reasonable costs and expenses incurred in the course of servicing and disposing of properties. FirstKey, as the Asset Manager, has the option to sell certain non-performing loans or real estate owned properties to unaffiliated third parties individually or in bulk sales. The asset sale price has to equal a minimum reserve amount to maximize liquidation proceeds of such loans or 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 M1 and more subordinate bonds will not be paid until the more senior classes are retired. The ratings reflect transactional strengths that include underlying assets that generally performed well through the crisis, strong servicers and Asset Manager oversight. Additionally, a satisfactory third-party due diligence review was performed on the portfolio with respect to regulatory compliance, payment history and data capture as well as title and tax review. Servicing comments were reviewed for a sample of loans. 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 representation provider (FirstKey) with a backstop by an unrated entity (Cerberus Global Residential Mortgage Opportunity Fund, L.P.), 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 strong representations and warranties enforcement mechanism, including delinquency review trigger and breach reserve accounts. 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. TOWD POINT 2017-1: Moody's Assigns (P)Ba2 Rating to Cl. B1 Notes ---------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to seventeen classes of notes issued by Towd Point Mortgage Trust 2017-1. The notes are backed by one pool of seasoned, performing and re-performing residential mortgage loans. The collateral pool is comprised of 11,459 first lien, fixed-rate and adjustable rate mortgage loans, and has a non-zero updated weighted average FICO score of 692 and a weighted average current LTV of 88.2%. Approximately 84.3% of the loans in the collateral pool have been previously modified. Select Portfolio Servicing, Inc. is the servicer for the loans in the pool. The complete rating actions are: Issuer: Towd Point Mortgage Trust 2017-1 Class A1, Assigned (P)Aaa (sf) Class A2, Assigned (P)Aa2 (sf) Class M1, Assigned (P)A2 (sf) Class M2, Assigned (P)Baa2 (sf) Class B1, Assigned (P)Ba2 (sf) Class A2A, Assigned (P)Aa2 (sf) Class A2B, Assigned (P)Aa2 (sf) Class X1, Assigned (P)Aa2 (sf) Class X2, Assigned (P)Aa2 (sf) Class M1A, Assigned (P)A2 (sf) Class M1B, Assigned (P)A2 (sf) Class X3, Assigned (P)A2 (sf) Class X4, Assigned (P)A2 (sf) Class M2A, Assigned (P)Baa2 (sf) Class M2B, Assigned (P)Baa2 (sf) Class X5, Assigned (P)Baa2 (sf) Class X6, Assigned (P)Baa2 (sf) RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Moody's expected losses on TPMT 2017-1's collateral pool is 10.0% in Moody's 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 January 2017 and "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in October 2015. Collateral Description TPMT 2017-1's collateral pool is primarily comprised of seasoned, re-performing mortgage loans. Approximately 84.3% 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. "We based Moody's expected losses on a pool of re-performing mortgage loans on Moody's 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 modification, and the amount of the reduction in monthly mortgage payments as a result of modification. The longer a borrower has been current on a re-performing loan, the less likely they are to re-default. Approximately 78.8% of the borrowers of the loans in the collateral pool have been current on their payments for the past 24 months at least," Moody's says. "We estimated expected losses using two approaches -- (1) pool-level approach, and (2) re-performing loan level analysis. In the pool-level approach, Moody's estimates losses on the pool by applying Moody's assumptions on expected future delinquencies, default rates, loss severities and prepayments as observed from Moody's surveillance of similar collateral. Moody's projected future annual delinquencies for eight years by applying annual default rates and delinquency burnout factors. The delinquency burnout factors reflect Moody's future expectations of the economy and the U.S. housing market. Based on the loan characteristics of the pool and the demonstrated pay histories, Moody's applied an expected annual delinquency rate of 8.0% for this pool to calculate the delinquencies on the collateral pool for year one. Moody's then calculated future delinquencies using default burnout and voluntary conditional prepayment rate (CPR) assumptions. Moody's aggregated the delinquencies and converted them to losses by applying pool specific lifetime default frequency and loss severity assumptions. Moody's CPR and loss severity assumptions are based on actual observed performance of GSE and non-GSE seasoned re-performing modified loans and prior TPMT deals. In applying Moody's loss severity assumptions, Moody's accounted for the lack of principal and interest advancing in this transaction," Moody's says. "We also conducted a loan level analysis on TPMT 2017-1's collateral pool. Moody's applied loan-level baseline lifetime propensity to default assumptions, and considered 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 deferred balance in this transaction is $177,235,735, representing approximately 8.5% of the total unpaid principal balance. Loans that have HAMP and proprietary remaining principal reduction amount (PRA) totaled $7,962,314, representing approximately 4.5% of total deferred balance. Under HAMP-PRA, the principal of the borrower's mortgage may be reduced by a predetermined amount called the PRA forbearance amount if the borrower satisfies certain conditions during a trial period. The principal reduction occurs over three years. More specifically, if the loan is in good standing on the first, second and third annual anniversaries of the effective date of the trial period, the loan servicer reduces the unpaid principal balance of the loan by one-third of the initial PRA forbearance amount on each anniversary date. This means that if the borrower continues to make timely payments on the loan for three years, the entire PRA forbearance amount is forgiven. Also, if the loan is in good standing and the borrower voluntary pays off the loan, the entire forbearance amount is forgiven. For non-PRA forborne amounts, the deferred balance is the full obligation of the borrower and must be paid in full upon (i) sale of property (ii) voluntary payoff and (iii) final scheduled payment date. For loans that default in future or get modified after the closing date, the servicer may opt for partial principal forgiveness to the extent permitted under the servicing agreement. "We assume that 100% of the remaining PRA amount would be forgiven and not recovered. Moody's assumption is based in large part on the performance of TPMT 2015-5, where approximately 95% of deferred losses to date are attributed to PRA amounts. Hence, Moody's expects very low recoveries, if any, from HAMP and proprietary PRA amounts. In addition, for non-PRA deferred balance, Moody's applied a slightly higher default rate for these loans than what Moody's assumed for the overall pool given that these borrowers have experienced past credit events that required loan modification, as opposed to borrowers who have been current and have never been modified. For non-PRA loans Moody's assumed approximately 85% severity based on SPS' experience to date across its portfolio in recovering deferred balance through either voluntary payoff or liquidation of the property after default. The final expected loss for the collateral pool reflects the due diligence findings of four independent third party review (TPR) firms as well as Moody's assessment of TPMT 2017-1's representations & warranties (R&Ws) framework," Moody's says. Transaction Structure TPMT 2017-1 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. Similarly, losses will be applied in the reverse order of priority. The Class A1, A2, A2A, A2B, M1, M2, M1A, M1B, M2A, M2B, X1, X2, X3, X4, X5 and X6 notes carry a fixed-rate coupon subject to the collateral adjusted net WAC and applicable available funds cap. The Class B1, B2, B3, B4 and B5 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. Additionally, the servicer will not advance any principal or interest on delinquent loans. With the exception of TPMT 2016-5, 2016-4, 2016-3, and 2015-1, in other previously issued TPMT 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 TPMT 2017-1'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 Four independent third party review (TPR) firms conducted due diligence on 100% of the loans in TPMT 2017-1's collateral pool for compliance, pay string history, title and tax review and data capture. The four TPR firms -- JCIII & Associates, Inc. (subsequently acquired by American Mortgage Consultants), Clayton Services, LLC, AMC Diligence, LLC, and Westcor Land Title Insurance Company -- 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. "Based on Moody's analysis of the third-party review reports, Moody's 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. FirstKey Mortgage, LLC, the asset manager for the transaction, retained Westcor and AMC Diligence, LLC to review the title and tax reports for the loans in the pool, and will oversee Westcor and monitor the loan sellers in the completion of the assignment of mortgage chains. 100% of the loans are in first lien position. In addition, FirstKey expects a significant number of the assignment and endorsement exceptions to be cleared within the first twelve months following the closing date of the transaction. The representation provider has deposited collateral of $0.5 million in Assignment Reserve Account to ensure that the asset manager completes the clearing of these exceptions," Moody's says. Representations & Warranties Moody's ratings also factor in TPMT 2017-1's weak representations and warranties (R&Ws) framework. The representation provider, FirstKey Mortgage, LLC and the responsible party, Cerberus Global Residential Mortgage Opportunity Fund, L.P., are unrated by Moody's. Moreover, FirstKey's obligations will be in effect for only thirteen months (until the payment date in March 2018). The R&Ws themselves are weak 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 a Breach Reserve Account to cover for any breaches of R&Ws, the size of the account is small relative to TPMT 2017-1's aggregate collateral pool ($2.07 billion). An initial deposit of $4.48 million will be remitted to the Breach Reserve Account on the closing date, with an initial Breach Reserve Account target amount of $7,703,534. Transaction Parties "The transaction benefits from a strong servicing arrangement. Select Portfolio Servicing, Inc. will service 100% of TPMT 2017-1's collateral pool. Moody's assess SPS higher compared to their peers. Furthermore, FirstKey Mortgage, LLC, the asset manager, will oversee the servicer, which strengthens the overall servicing framework in the transaction. Wells Fargo Bank National Association and U.S. Bank National Association are the Custodians of the transaction. The Delaware Trustee for TPMT 2017-1 is Wilmington Trust, National Association. TPMT 2017-1's Indenture Trustee is U.S. Bank National Association," Moody's says. 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. TROPIC CDO V: Fitch Corrects June 10 Release -------------------------------------------- Fitch Ratings issued a correction of its release published June 10, 2016 on Tropic CDO V Ltd. It corrects the rating for class A-2L of Tropic CDO V LTD to 'CCsf', which was incorrectly stated as 'CCCsf' in the original Rating Action Report. The revised ratings release is as follows: Fitch Ratings has affirmed 79, upgraded eight, downgraded three, and revised or assigned Rating Outlooks on nine tranches from 11 collateralized debt obligations (CDOs) backed primarily by Trust Preferred (TruPS) securities issued by banks and insurance companies. KEY RATING DRIVERS Credit Quality of Collateral: In 11 transactions, the credit quality of the collateral portfolios, as measured by a combination of Fitch's bank scores and ratings, remained stable or improved. Five transactions reported new deferrals or defaults since last review. Collateral Redemptions: Eight CDOs received various levels of redemptions that paid down the senior-most notes and increased credit enhancement (CE) levels for rated liabilities. The magnitude of redemptions for each CDO is reported in the accompanying rating action report. Potential upgrades were weighed against the risk of adverse selection in the remaining portfolios, especially those concentrated in fewer performing issuers, and considered in the context of the likely time horizon for the notes' paydown. Resolution and Recovery of Defaults and Deferrals: In five transactions the number of cures continued to outpace deferrals and defaults, as Fitch reports in its monthly Fitch Bank TruPS CDO Default and Deferral Index report. Fitch assesses the likelihood of a cure for a current deferral based on the score history of a deferring issuer since deferral. Fitch assumes that 15% of recent cures, defined as curing within the last year, re-defer and are considered weak deferrals to account for observed re-deferrals by some issuers. The percentage of cures since last review for each CDO is reported in the accompanying rating action report. CDO Structure: Excess spread continued to contribute to deleveraging of eight CDOs due to either failing coverage tests or acceleration in the case of one CDO. In the remaining three CDOs, excess spread will be paying down capitalized interest on mezzanine notes. The uplift from the excess spread ranged from none to four notches. For non-deferrable notes, Fitch performs analysis of the notes' interest sensitivity to additional defaults and deferrals. Ratings for non-deferrable notes are capped at the rating stress level corresponding to the magnitude of additional defaults and deferrals that could trigger a missed interest payment. Performing CE Cap: The ratings on 44 classes of notes across all 11 transactions have been capped at their current rating level due to the application of performing CE cap as described in Surveillance Criteria for Trust Preferred CDOs. Fitch has downgraded the ratings on classes A-2 and A-3 in Preferred Term Securities XV Ltd./Inc. and the class B notes in Preferred Term Securities XIX Ltd./Inc. one rating category as their performing CE was below a minimum threshold defined by the criteria for their current rating category. RATING SENSITIVITIES Changes in the rating drivers could lead to rating changes in the TruPS CDO notes. To address potential risks of adverse selection and increased portfolio concentration Fitch applied a sensitivity scenario, as described in the criteria. DUE DILIGENCE USAGE No third-party due diligence was reviewed in relation to this rating action. A list of the Affected Ratings is available at: http://bit.ly/2k0rlAa UBS-BARCLAYS 2013-C6: Fitch Affirms 'Bsf' Rating on Class F Certs ----------------------------------------------------------------- Fitch Ratings has affirmed 14 classes of Barclays Commercial Mortgage Securities LLC's UBS-Barclays Commercial Mortgage Trust 2013-C6, commercial mortgage pass-through certificates. KEY RATING DRIVERS The affirmations follow the overall stable performance of the underlying loans. There have been no material changes to the pool since issuance, therefore the original rating analysis was considered in affirming the transaction. As of the January 2017 distribution date, the pool's aggregate principal balance has been reduced by 3.7% to $1.25 billion from $1.3 billion at issuance. Per the servicer reporting, three loans (2.4% of the pool) are defeased. Interest shortfalls are currently affecting class G. Stable Performance: There have been no material changes to the overall pool, and performance has remained stable since issuance. However, one loan (0.44%) is in special servicing, which Fitch will continue to monitor. Specially Serviced Loan: There is a specially serviced loan (0.4%) that is secured by a 352-unit multifamily property located in Houston, TX. The loan transferred to the special servicer in July 2016 for imminent monetary default. Occupancy has decreased 22% since September 2013. The borrower has been uncooperative in explaining reasons for delinquent payments and decline in occupancy. Per the servicer, the loan is expected to be defaeased in first quarter of 2017 after the loan is brought current. High Quality Assets in Major Markets: Five of the top 10 loans, totaling 28.9% of the pool, are secured by high-quality assets in major urban markets. Four of the assets are located in New York City and one in Philadelphia. Retail Concentration: Retail properties represent 46.6% of the pool, with eight retail loans in the top 10. Additionally, mixed-use properties make up 15.6% of the pool, with three mixed-use loans in the top 15. For 2012 vintage transactions, the average retail and mixed-use exposures were 35.9% and 4.2%, respectively. RATING SENSITIVITIES The Rating Outlook for all classes remains Stable due to stable collateral 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. DUE DILIGENCE USAGE PURSUANT TO SEC RULE 17G-10 No third party due diligence was provided or reviewed in relation to this rating. Fitch affirms the following classes: -- $18.3 million class A-1 at 'AAAsf'; Outlook Stable; -- $43 million class A-2 at 'AAAsf'; Outlook Stable; -- $155 million class A-3 at 'AAAsf'; Outlook Stable; -- $461.1 million class A-4 at 'AAAsf'; Outlook Stable; -- $87 million class A-SB at 'AAAsf'; Outlook Stable; -- $95 million class A-3FL at 'AAAsf'; Outlook Stable; -- $95 million class A-3FX at 'AAAsf'; Outlook Stable; -- $111.7 million class A-S at 'AAAsf'; Outlook Stable; -- $971.2 million* class X-A 'AAAsf'; Outlook Stable; -- $140.9 million* class X-B 'A-sf'; Outlook Stable; -- $90.7 million class B at 'AA-sf'; Outlook Stable; -- $50.2 million class C at 'A-sf'; Outlook Stable; -- $48.6 million class D at 'BBB-sf'; Outlook Stable; -- $25.9 million class E at 'BBsf'; Outlook Stable; -- $19.4 million class F at 'Bsf'; Outlook Stable. * Indicates notional amount and interest-only. All or a portion of the class A-3FL certificates may be exchanged for class A-3FX certificates. The aggregate certificate balance of the class A-3FL certificates and class A-3FX certificates will at all times equal the certificate balance of the class A-3FL regular interest. Fitch does not rate the interest-only class X-C or class G certificates. WACHOVIA BANK 2004-C12: Fitch Affirms 'Csf' Rating on Cl. O Debt ---------------------------------------------------------------- Fitch Ratings has upgraded two and affirmed seven classes of Wachovia Bank Commercial Mortgage Trust, commercial mortgage pass-through certificates, series 2004-C12. KEY RATING DRIVERS The upgrades reflect increased credit enhancement from scheduled amortization, one loan payoff and the disposition of the Mall at Waycross asset at better recoveries than expected since Fitch's last rating action. The affirmations reflect pool concentration and stable performance of the remaining loans. Fitch modeled losses of 25.4% of the remaining pool; expected losses on the original pool balance total 2.5%, including $14 million (1.3% of the original pool balance) in realized losses to date. As of the January 2017 distribution date, the pool's aggregate principal balance has been reduced by 95.4% to $48.7 million from $1.06 billion at issuance. Interest shortfalls are currently affecting class P. Pool Concentrations: The pool is highly concentrated with only 12 of the original 97 loans remaining. All of the remaining loans in the pool are secured by retail properties. The largest loan comprises 51.8% of the current pool balance. Strong Amortization: Two loans (7.8% of the current pool) are defeased, one of which is fully amortizing (3.8%). An additional six loans (26.5%) are fully amortizing. Loan Maturities: The loan maturity schedule consists of 51.8% of the pool in 2018, 22.8% in 2019, 19.5% in 2024 and 5.9% in 2026. Loans of Concern: Fitch has designated four loans (62.7%) as Fitch Loans of Concern which includes the largest loan, Eastdale Mall (51.8%), which is currently performing specially serviced. The three other non-specially serviced Loans of Concern include a vacant retail property in Daytona Beach, FL (1.7%) and two other retail properties with declining occupancy and tenant rollover concerns (9.2%). The Eastdale Mall loan is secured by a 481,422 square foot (sf) portion of a 757,411 sf regional mall located in Montgomery, AL. The sponsor is the Aronov Company. The loan re-transferred back to the special servicer for a second time in September 2015 for imminent default. When the loan was first transferred to special servicing in November 2013, it was modified whereby the anticipated repayment date provisions were eliminated and the final loan maturity was brought up to December 2018 from December 2027. Non-collateral anchors include Dillard's and JCPenney. One of the collateral anchors, Belk (26.6% of collateral net rentable area [NRA]), has a lease expiring in January 2018. The other collateral anchor, Sears (29.8%), closed its store at the property in July 2016, vacating prior to its February 2017 lease expiration. In November 2016, a home decor tenant, At Home, executed a new five-year lease for a portion of the former Sears space (21.8%) through October 2021, with three, five-year extension options. The remainder of the former Sears space (8%) was the former Sears garage, which remains vacant. At Home is expected to open for business in March 2017 once buildout is complete. Additionally, a new six-year lease with Evans Theatres (6%) was also executed on the former Eastdale Cinemas space through 2022, with two, two-year extension options. After factoring in the new leases with At Home and the Evans Theatres, overall mall occupancy is estimated to have improved to 91% and collateral occupancy to 86%. Upcoming lease rollover includes 36% of the collateral NRA in 2017 and 34% in 2018 (which includes Belk). Anchor and in-lines sales have both continued to decline. Belk reported lower sales of $124 per square foot (psf) in 2015, compared to $131 psf in 2014 and $135 psf in 2012 and 2013. In-line sales were $205 psf for those tenants with a full 12 months of reported sales in 2015, compared to $307 psf in 2014 and $286 psf at issuance. The borrower was previously in negotiations with a proposed purchaser for the property; however, the special servicer indicated these negotiations have gone radio silent for the past few months. The special servicer also indicated that if there are no further workout discussions, the loan would be returned to the master servicer. The loan remains current and performing. RATING SENSITIVITIES The Rating Outlooks on classes F and G remain Stable due to increasing credit enhancement, continued amortization, defeasance and overall stable performance of the pool. The class F balance is fully covered by defeasance. The class G balance is covered by a combination of defeased collateral and low leveraged or fully amortizing loans. The Negative Outlook on classes H through K reflect the large concentration of the Eastdale Mall loan and concerns of the property's significant upcoming lease rollover, including the Belk collateral anchor space, as well as declining anchor and in-line sales. Downgrades to these classes are possible should the loan be unable to refinance at its 2018 maturity or should performance decline significantly. Distressed classes may be subject to further downgrades as additional losses are realized or if losses exceed Fitch's expectations. 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 upgraded the following classes as indicated: -- $244,823 class F to 'AAAsf' from 'Asf'; Outlook Stable; -- $12 million class G to 'AAAsf' from 'Asf'; Outlook Stable. In addition, Fitch has affirmed and revised Rating Outlooks on the following classes as indicated: -- $13.3 million class H at 'BBB-sf'; Outlook to Negative from Stable; -- $4 million class J at 'BBsf'; Outlook Negative; -- $2.7 million class K at 'BBsf'; Outlook Negative; -- $5.3 million class L at 'CCCsf'; RE 95%; -- $4 million class M at 'CCsf'; RE 0%; -- $2.7 million class N at 'CCsf'; RE 0%; -- $2.7 million class O at 'Csf'; RE 0%. The class A-1, A-1A, A-2, A-3, A-4, B, C, D, E, and MAD certificates have paid in full. Fitch does not rate the class P certificates. Fitch previously withdrew the rating on the interest-only class IO certificates. WACHOVIA BANK 2004-C15: DBRS Cuts Class G Debt Rating to D(sf) -------------------------------------------------------------- DBRS, Inc. on January 30, 2017, downgraded the rating of the following class of Commercial Mortgage Pass-Through Certificates, Series 2004-C15 issued by Wachovia Bank Commercial Mortgage Trust, Series 2004-C15 (the Trust): -- Class G to D (sf) from C (sf) In addition to the rating action above, DBRS has removed the Interest in Arrears designation on the Class G and Class F certificates. The rating downgrade is the result of the most recent realized losses to the Trust, which occurred after the 10 East Baltimore Street loan (Prospectus ID#28) was liquidated from the Trust at a loss of $7.1 million with the January 2017 remittance. The 10 East Baltimore Street loan was secured by an office property in Baltimore, Maryland, and was transferred to special servicing in March 2013 for imminent default. The loan became real estate owned in March 2014. The last property valuation dated October 2016 valued the subject at $7.8 million, down from $16.7 million at issuance. The realized trust loss of $7.1 million resulted in a loss severity of 65.7%, as the servicer recovered liquidation proceeds of $3.3 million, which were applied to the outstanding principal balance of the Class E certificates. The loss wiped the remaining balance of the Class H certificates and reduced the principal balance on the Class G certificates by $51,183. As of the January 2017 remittance, one loan remains in special servicing, 4 Sylvan Way (Prospectus ID#13), with a remaining balance of $13.7 million (55.3% of the current pool balance). Of the three other remaining loans in the pool, two loans, representing approximately 37.6% of the current pool balance, are fully defeased. WACHOVIA BANK 2005-C16: S&P Affirms BB+ Rating on Class H Certs --------------------------------------------------------------- S&P Global Ratings affirmed its ratings on five classes of commercial mortgage pass-through certificates from Wachovia Bank Commercial Mortgage Trust series 2005-C16, a U.S. commercial mortgage-backed securities (CMBS) transaction. S&P's rating actions on the principal- and interest-paying certificates follow its analysis of the transaction, primarily using its criteria for rating U.S. and Canadian CMBS transactions, which included a review of the credit characteristics and performance of the remaining loans in the pool, the transaction's structure, and the liquidity available to the trust. The affirmations reflect S&P's expectation that the available credit enhancement for these classes will be within its estimate of the necessary credit enhancement required for the current ratings. While available credit enhancement levels suggest positive rating movements on the classes, S&P's analysis also considered their susceptibility to reduced liquidity support from the largest loan in the pool, AON Office Building ($43.2 million, 91.7%), which is currently with the special servicer and discussed below. TRANSACTION SUMMARY As of the Jan. 18, 2017, trustee remittance report, the collateral pool balance was $47.1 million, which is 2.3% of the pool balance at issuance. The pool currently includes six loans, down from 141 loans at issuance. One loan ($43.2 million, 91.7%) is with the zpecial servicer, and two loans ($1.1 million, 2.3%) are defeased. The master servicer, Wells Fargo Bank N.A., reported financial information for all of the nondefeased loans in the pool, of which 94.6% was year-end 2015 data, and the remainder was year-end 2016 data. S&P calculated a 1.28x S&P Global Ratings weighted average debt service coverage (DSC) and 37.4% S&P Global Ratings weighted average loan-to-value (LTV) ratio using a 7.98% S&P Global Ratings weighted average capitalization rate. The DSC, LTV, and capitalization rate calculations exclude the one specially serviced loan and two defeased loans. To date, the transaction has experienced $31.6 million in principal losses, or 1.5% of the original pool trust balance. Based on currently available information, S&P expects losses to reach approximately 1.7% of the original pool trust balance in the near term, based on losses incurred to date and additional losses S&P expects upon the eventual resolution of the specially serviced loan. CREDIT CONSIDERATIONS As of the Jan. 18, 2017, trustee remittance report, the AON Office Building loan ($43.2 million, 91.7%), the largest loan in the pool, was with the special servicer, CWCapital Asset Management LLC. The loan has a total reported exposure of $44.1 million and is secured by an office property totaling 412,411 sq. ft. in Glenview, Ill. The loan was transferred to the special servicer on Nov. 22, 2016, because of imminent monetary default. The property's single economic tenant, AON, previously vacated its space but continues to pay rent under a lease until its April 2017 expiration. AON currently has two subtenants occupying 98.2% of the property's net rentable area who will also be physically vacating the space upon AON's lease expiration. According to the special servicer, there has been little interest to date in this space. The reported DSC and occupancy as of year-end 2015 were 1.25x and 100.0%, respectively. Based on available information, S&P currently expects a minimal loss upon this loan's eventual resolution. RATINGS AFFIRMED Wachovia Bank Commercial Mortgage Trust Series 2005-C16 Class Rating H BB+ (sf) J BB (sf) K BB- (sf) L B+ (sf) M B (sf) WACHOVIA BANK 2006-C27: Moody's Cuts Class C Debt Rating to Caa3 ---------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on eight classes, upgraded the rating on one class and downgraded the ratings on two classes in Wachovia Bank Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificate, Series 2006-C27: Cl. A-M, Upgraded to A1 (sf); previously on Mar 17, 2016 Affirmed A2 (sf) Cl. A-J, Affirmed B1 (sf); previously on Mar 17, 2016 Affirmed B1 (sf) Cl. B, Affirmed Caa1 (sf); previously on Mar 17, 2016 Affirmed Caa1 (sf) Cl. C, Downgraded to Caa3 (sf); previously on Mar 17, 2016 Affirmed Caa2 (sf) Cl. D, Affirmed C (sf); previously on Mar 17, 2016 Affirmed C (sf) Cl. E, Affirmed C (sf); previously on Mar 17, 2016 Affirmed C (sf) Cl. F, Affirmed C (sf); previously on Mar 17, 2016 Affirmed C (sf) Cl. G, Affirmed C (sf); previously on Mar 17, 2016 Affirmed C (sf) Cl. H, Affirmed C (sf); previously on Mar 17, 2016 Affirmed C (sf) Cl. J, Affirmed C (sf); previously on Mar 17, 2016 Affirmed C (sf) Cl. X-C, Downgraded to Caa2 (sf); previously on Mar 17, 2016 Downgraded to B2 (sf) RATINGS RATIONALE The rating on the P&I class, A-M was upgraded based primarily on an increase in credit support resulting from loan paydowns and amortization. The deal has paid down 69% since Moody's last review. The ratings on the P&I classes, A-J 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 rating on the P&I class, C was downgraded due to the anticipated timing of losses of loans in special servicing. Fourteen loans, representing 55% of the pool balance, are already real estate owned ("REO"). The ratings on the P&I classes, D through J were affirmed because the ratings are consistent with Moody's expected loss. The rating on the IO Class (Class X-C) 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 35.5% of the current balance, compared to 12.4% at Moody's last review. Moody's base expected loss plus realized losses is now 10.3% of the original pooled balance, compared to 10.8% 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 methodology used in these rating was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in October 2015. Additionally, the methodology used in rating Cl. X-C was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in October 2015. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 96.5% of the pool is in special servicing. In this approach, Moody's determines a probability of default for each specially serviced and troubled loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss from specially serviced loans to the most junior classes and the recovery as a pay down of principal to the most senior classes. DESCRIPTION OF MODELS USED Moody's 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 January 18, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 83% to $531 million from $3.08 billion at securitization. The certificates are collateralized by 24 mortgage loans ranging in size from less than 1% to 24% of the pool, with the top ten loans (excluding defeasance) constituting 81% of the pool. Thirty loans have been liquidated from the pool, resulting in an aggregate realized loss of $132 million (for an average loss severity of 25.6%). Twenty-two loans, constituting 96.5% of the pool, are currently in special servicing. The largest specially serviced loan is the Glendale Center ($125 million -- 24% of the pool), which is secured, in part, by a fourteen story, 382,800 square foot (SF) office building located in Glendale, California. The property includes a one story retail building and a six level parking structure. The loan transferred to special servicing in October 2011 due to imminent default as a result of cash flow issues and has been REO since August 2012. The second largest specially serviced loan is 500-512 Seventh Avenue Loan ($97.6 million -- 18.7% of the pool), which represents a 50% pari-passu interest in a first mortgage loan. The loan is secured by a leasehold interest in three office buildings totaling 1.2 million SF. The buildings are located in the Garment District of Midtown Manhattan, New York. As of September 2016, the properties were 67% leased, compared to 72% at the prior review. This loan transferred to special servicing in September 2016 due to maturity default and was modified in December 2016. The third largest specially serviced loan is the BlueLinx Holdings Pool ($62.9 million -- 12% of the pool), which represents a 50% pari-passu interest in a first mortgage loan. The loan is secured by a portfolio of 44 industrial properties across multiple states. The properties are all master leased to BlueLinx through June 2026. The Lender and Borrower entered into an extension of the maturity date in March 2016 and the modification provides for up to 3 years of extensions to July 2019. The remaining 19 specially serviced loans are secured by a mix of property types. Moody's estimates an aggregate $185.2 million loss for the specially serviced loans (42% expected loss on average). The two performing non specially serviced loans represent 3.5% of the pool balance. The largest loan is the Centennial Plaza Loan ($12.3 million -- 2.4% of the pool), which is secured by a 59,630 SF movie theater-anchored retail center located in Oxnard, CA. The loan is fully amortizing and the property was 100% leased as of September 2016. Moody's LTV and stressed DSCR are 82.4% and 1.18X, respectively, compared to 84.2% and 1.16X at the last review. The second largest loan is the JC Penney -- Independence, MO Loan ($5.7 million -- 1.1% of the pool), which is secured by single tenant retail building located in Independence, MO. The entire building is leased to JC Penney through January 2021. Due to the single tenant concentration, Moody's value is based on a lit/dark analysis. Moody's LTV and stressed DSCR are 122.6% and 0.77X, respectively, compared to 99.5% and 0.95X at the last review. WAMU: Moody's Takes Action on $89.2MM of Option-Arm RMBS -------------------------------------------------------- Moody's Investors Service has upgraded the ratings of five tranches backed by Option-Arm RMBS loans, issued by Washington Mutual. Complete rating actions are: Issuer: WaMu Mortgage Pass-Through Certificates Series 2004-AR2 Trust Cl. A, Upgraded to Ba1 (sf); previously on Jun 22, 2015 Upgraded to Ba3 (sf) Cl. B-1, Upgraded to Caa3 (sf); previously on Feb 28, 2011 Downgraded to C (sf) Issuer: WaMu Mortgage Pass-Through Certificates Series 2005-AR6 Trust Cl. 1-A-1A, Upgraded to Ba3 (sf); previously on Dec 18, 2015 Upgraded to B2 (sf) Cl. 1-A-1B, Upgraded to Caa2 (sf); previously on Dec 3, 2010 Downgraded to Ca (sf) Cl. 2-A-1C, Upgraded to Caa2 (sf); previously on Dec 18, 2015 Upgraded to Caa3 (sf) RATINGS RATIONALE The rating upgrades reflect the reduction in loss expectations on the underlying group collateral and the overall credit enhancement available to the bonds. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in January 2017. Factors that would lead to an upgrade or downgrade of the ratings: Ratings in the US RMBS sector remain exposed to the high level of macroeconomic uncertainty, and in particular the unemployment rate. The unemployment rate fell to 4.7% in December 2016 from 5.0% in December 2015. Moody's forecasts an unemployment central range of 4.5% to 5.5% for the 2017 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 2017. 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. WELLS FARGO 2016-C32: DBRS Confirms B Rating on Class F Debt ------------------------------------------------------------ DBRS Limited on February 1, 2017, confirmed the ratings of all classes of Commercial Mortgage Pass-Through Certificates, Series 2016-C32 issued by Wells Fargo Commercial Mortgage Trust 2016-C32 as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-S at AAA (sf) -- Class A-3FL at AAA (sf) -- Class A-3FX at AAA (sf) -- Class X-A at AAA (sf) -- Class X-E at AAA (sf) -- Class X-F at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class X-D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class F at B (low) (sf) All trends are Stable. DBRS does not rate the first loss piece, Class G. The rating confirmations reflect that the transaction's current performance remains stable. The collateral consists of 112 fixed-rate loans secured by 152 commercial properties. As of the January 2017 remittance, all 112 loans remain in the pool with an aggregate outstanding principal balance of approximately $955 million, which represents a collateral reduction of 0.3% since issuance as a result of scheduled loan amortization. Pool-wide, four loans (15.6% of the pool) are structured with full interest-only (IO) terms, while an additional 38 loans (48.1% of the pool) have partial IO periods remaining, ranging from ten months to 72 months. According to the DBRS underwritten (UW) figures, the transaction had a weighted-average (WA) debt service coverage ratio (DSCR) and WA debt yield of 1.66 times (x) and 10.1%, respectively, or 1.45x and 8.9%, respectively, excluding loans secured by cooperative properties. To date, 99 loans (88.0% of the pool) have reported partial-year 2016 net cash flow (NCF) figures. The pool is relatively diverse based on loan size, as the Top 15 loans only represent 51.6% of the current pool balance. The 12 loans (45.4% of the pool) that reported annualized 2016 NCFs in the Top 15 reported a WA DSCR of 1.60x compared with the DBRS UW figure of 1.51x, which reflects a 7.4% NCF growth. As of the January 2017 remittance, there are no loans in special servicing and eight loans (4.9% of the pool) on the servicer's watchlist. The largest loan, Northline Industrial Center (Prospectus ID#12, 2.1% of the pool) is secured by a 1.1 million-square foot industrial warehouse located in Romulus, Michigan, 22 miles south of the Detroit central business district. The loan was placed on the watchlist with the December 2016 remittance because of the near-term rollover of the property's largest tenant, Renaissance Global Logistics (34.6% of the net rentable area (NRA)), which had lease expirations in September 2016 (8.6% of the NRA) and January 2017 (26.0% of the NRA). DBRS has requested a leasing update; however, to date, CoStar reports that the property has 0.0% vacancy. WFRBS 2014-C19: Moody's Affirms Ba3 Rating on Class X-B Certs. -------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on twelve classes in WFRBS Commercial Mortgage Trust, Commercial Pass-Through Certificates, Series 2014-C19: Cl. A-1, Affirmed Aaa (sf); previously on Mar 10, 2016 Affirmed Aaa (sf) Cl. A-2, Affirmed Aaa (sf); previously on Mar 10, 2016 Affirmed Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on Mar 10, 2016 Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Mar 10, 2016 Affirmed Aaa (sf) Cl. A-5, Affirmed Aaa (sf); previously on Mar 10, 2016 Affirmed Aaa (sf) Cl. A-S, Affirmed Aaa (sf); previously on Mar 10, 2016 Affirmed Aaa (sf) Cl. A-SB, Affirmed Aaa (sf); previously on Mar 10, 2016 Affirmed Aaa (sf) Cl. B, Affirmed Aa3 (sf); previously on Mar 10, 2016 Affirmed Aa3 (sf) Cl. C, Affirmed A3 (sf); previously on Mar 10, 2016 Affirmed A3 (sf) Cl. PEX, Affirmed A1 (sf); previously on Mar 10, 2016 Affirmed A1 (sf) Cl. X-A, Affirmed Aaa (sf); previously on Mar 10, 2016 Affirmed Aaa (sf) Cl. X-B, Affirmed Ba3 (sf); previously on Mar 10, 2016 Affirmed Ba3 (sf) RATINGS RATIONALE The ratings on the P&I classes, A-1 through C were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The ratings on the IO classes, X-A and X-B were affirmed based on the credit performance (or the weighted average rating factor or WARF) of the referenced classes. The rating on the exchangeable PEX class was affirmed due to the credit performance (or the weighted average rating factor or WARF) of the exchangeable classes. Moody's rating action reflects a base expected loss of 5.1% of the current balance, compared to 3.9% at Moody's last review. Moody's base expected loss plus realized losses is now 4.9% of the original pooled balance, compared to 3.8% 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 methodology used in these ratings was "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in December 2014. Additionally, the methodology used in rating Cl. X-A, Cl. X-B and Cl. PEX was "Moody's Approach to Rating Structured Finance Interest-Only Securities" 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 40, the same as at Moody's last review. DEAL PERFORMANCE As of the January 18, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 3.5% to $1.065 billion from $1.1 billion at securitization. The certificates are collateralized by 99 mortgage loans ranging in size from less than 1% to 9% of the pool, with the top ten loans (excluding defeasance) constituting 39% of the pool. Eight loans, constituting 3.2% of the pool, are New York City multifamily cooperative loans which have received investment-grade quality treatment. Fifteen loans, constituting 13% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. There have been no loans which have been liquidated from the pool. Two loans, constituting 1.7% of the pool, are currently in special servicing. The largest specially serviced loan is the Holiday Inn -- Houma, LA Loan ($11 million -- 1.0% of the pool), which is secured by a 97 key, full service hotel located in Houma, Louisiana. The loan transferred to special servicing in November 2016 due to imminent default. The area has been negatively impacted as a result of exposure to oil and gas production in the Gulf of Mexico. The remaining specially serviced loan is secured by a hotel property in Baton Rouge, LA. Moody's estimates an aggregate $13.9 million loss for the specially serviced loans (76% expected loss on average). Moody's received full year 2015 operating results for 87% of the pool, and full or partial year 2016 operating results for 99% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 103%, compared to 107% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 14% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 10.1%. Moody's actual and stressed conduit DSCRs are 1.48X and 1.08X, respectively, compared to 1.43X and 1.03X 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 20% of the pool balance. The largest loan is the Renaissance Chicago Downtown Loan ($90 million -- 8.4% of the pool), which is secured by a 27-story, 553-room hotel in Chicago's Loop. Amenities include a conference center, fitness center, and indoor swimming pool. Moody's LTV and stressed DSCR are 116% and 1.05X, respectively, unchanged since the last review. The second largest loan is the Lifetime Fitness Portfolio Loan ($72.9 million -- 6.8% of the pool), which is secured by a portfolio of five fitness centers located in Arizona, Virginia, Illinois, and Texas. All five properties are leased, triple-net, to Lifetime Fitness, Inc. the third largest operator of fitness centers in the United States. The loan benefits from amortization. Moody's LTV and stressed DSCR are 102% and 1.35X, respectively, compared to 105% and 1.31X at the last review. The third largest loan is the Nordic Cold Storage Portfolio Loan ($53.9 million -- 5.1% of the pool), which is secured by a portfolio of eight cross-collateralized, cross-defaulted cold storage warehouse and distribution facilities located in Alabama, Georgia, North Carolina, and Mississippi. The properties are occupied under a triple-net master lease with a November 2033 expiration. Moody's LTV and stressed DSCR are 115% and 0.97X, respectively, unchanged from the last review. [*] Fitch Lowers 113 Distressed Bonds in 73 US RMBS Deals to Dsf ---------------------------------------------------------------- Fitch Ratings has downgraded 113 distressed bonds in 73 U.S. RMBS transactions to 'Dsf'. The downgrades indicate that the bonds have incurred a principal write-down. Of the bonds downgraded to 'Dsf', 88 classes were previously rated 'Csf', nine classes were rated 'CCsf', and 16 classes were rated 'CCCsf'. All ratings below 'CCCsf' indicate a default is likely. The Recovery Estimates (REs) of the defaulted bonds were not revised as part of this review. In addition, the review focused only on the bonds which defaulted and did not include any other bonds in the affected transactions. Of the 113 classes affected by these downgrades, 70 are Prime, 21 are Alt-A, and 12 are Subprime. The remaining transaction types are various other sectors. Approximately 58% of the bonds have an RE of 75% to 100%, which indicates that the bonds will recover 75% to 100% of the current outstanding balance, while 4% have an RE of 0%. KEY RATING DRIVERS All of the affected classes had incurred a principal write-down and are expected to endure additional losses in the future. RATING SENSITIVITIES While the bonds that have defaulted are not expected to recover any material amount of lost principal in the future, there is a limited possibility that this may happen. In this unlikely scenario, Fitch would further review the affected class. A spreadsheet detailing Fitch's rating actions can be found at 'www.fitchratings.com' by performing a title search for 'Fitch Downgrades 113 Distressed Bonds to 'Dsf' in 73 U.S. RMBS Transactions'. These actions were reviewed by a committee of Fitch analysts. The spreadsheet provides the contact information for the performance analyst. A list of the Affected Ratings is available at: http://bit.ly/2k0Pmfb The spreadsheet also details Fitch's assignment of REs to the transactions. The Recovery Estimate scale is based upon the expected relative recovery characteristics of an obligation. For structured finance, REs are designed to estimate recoveries on a forward-looking basis. DUE DILIGENCE USAGE No third party due diligence was provided or reviewed in relation to this rating action. [*] Fitch Lowers 12 Bonds in 9 Transactions to D ------------------------------------------------ Fitch Ratings has taken various rating actions on already distressed U.S. commercial mortgage-backed securities (CMBS) bonds. Fitch downgraded 12 bonds in nine transactions to 'D', as the bonds have incurred a principal write-down. The bonds were all previously rated 'CC' or below, which indicates that losses were probable. Of these 12 bonds downgraded to 'D', the ratings on two of the classes (in two separate transactions) have simultaneously been withdrawn as the only remaining ratings in the transactions are now 'D' after this committee's actions; as a result the ratings are considered immaterial. Fitch has also withdrawn the ratings on 23 classes within four transactions (one transaction of which is in connection with the simultaneous downgrade and withdrawals referenced in the above paragraph) as a result of realized losses. The trust balances have been reduced to $0 or have experienced non-recoverable realized losses and are no longer considered by Fitch to be relevant to the agency's coverage. KEY RATING DRIVERS The downgrades are limited to just the bonds with write-downs. Any remaining bonds in these transactions have not been analyzed as part of this review. A spreadsheet detailing Fitch's rating actions on the affected transactions is available at 'www.fitchratings.com' by performing a title search for: 'Fitch Downgrades or Withdraws Ratings on Distressed Classes in 12 U.S. CMBS Transactions'.. RATING SENSITIVITIES While the bonds that have defaulted are not expected to recover any material amount of lost principal in the future, there is a limited possibility this may happen. In this unlikely scenario, Fitch would further review the affected classes. 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. [*] Moody's Hikes $185.4MM of Subprime RMBS Issued 2006-2007 ------------------------------------------------------------ Moody's Investors Service has upgraded the ratings of five tranches from two transactions issued by various issuers, and backed by subprime mortgage loans. Complete rating actions are: Issuer: NovaStar Mortgage Funding Trust, Series 2006-1 Cl. A-1A, Upgraded to Baa1 (sf); previously on Feb 24, 2016 Upgraded to Ba1 (sf) Cl. A-2C, Upgraded to Baa3 (sf); previously on Feb 24, 2016 Upgraded to Ba3 (sf) Cl. A-2D, Upgraded to B2 (sf); previously on Feb 24, 2016 Upgraded to Caa3 (sf) Issuer: RAMP Series 2007-RZ1 Trust Cl. A-2, Upgraded to Baa1 (sf); previously on Feb 24, 2016 Upgraded to Ba2 (sf) Cl. A-3, Upgraded to Baa3 (sf); previously on Feb 24, 2016 Upgraded to B3 (sf) RATINGS RATIONALE The rating 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 expectation on these pools. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in January 2017. 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 4.8% in January 2017 from 4.9% in January 2016. Moody's forecasts an unemployment central range of 4.5% to 5.5% for the 2017 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 2017. 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 Hikes $624.8MM of Subprime RMBS Issued 2005-2007 ------------------------------------------------------------ Moody's Investors Service has downgraded the rating of GSAA Home Equity Trust 2005-10 Class M-4 and upgraded the ratings of 36 tranches from 11 transactions issued by various issuers, and backed by subprime mortgage loans. Complete rating actions are: Issuer: ABFC 2007-NC1 Trust Cl. A-1 Certificate, Upgraded to Ba1 (sf); previously on Feb 24, 2016 Upgraded to B1 (sf) Cl. A-2 Certificate, Upgraded to B1 (sf); previously on Feb 24, 2016 Upgraded to Caa1 (sf) Issuer: ABFC Asset Backed Certificates, Series 2005-WF1 Cl. A-2C Certificate, Upgraded to Aaa (sf); previously on Feb 24, 2016 Upgraded to Aa2 (sf) Cl. M-3 Certificate, Upgraded to Ba1 (sf); previously on Feb 24, 2016 Upgraded to Ba3 (sf) Cl. M-4 Certificate, Upgraded to Ba1 (sf); previously on Feb 24, 2016 Upgraded to B1 (sf) Cl. M-5 Certificate, Upgraded to Ba3 (sf); previously on Feb 24, 2016 Upgraded to B3 (sf) Cl. M-6 Certificate, Upgraded to B3 (sf); previously on Feb 24, 2016 Upgraded to Caa3 (sf) Cl. M-7 Certificate, Upgraded to Caa2 (sf); previously on Feb 24, 2016 Upgraded to Ca (sf) Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2006-ASAP1 Cl. A-1 Certificate, Upgraded to Aaa (sf); previously on Feb 24, 2016 Upgraded to Aa2 (sf) Cl. A-2D Certificate, Upgraded to Aa1 (sf); previously on Feb 24, 2016 Upgraded to A3 (sf) Cl. M-1 Certificate, Upgraded to B1 (sf); previously on Feb 24, 2016 Upgraded to B3 (sf) Issuer: Ameriquest Mortgage Securities Inc., Series 2005-R4 Cl. A-1B Certificate, Upgraded to Aaa (sf); previously on Feb 24, 2016 Upgraded to Aa2 (sf) Cl. M-5 Certificate, Upgraded to B1 (sf); previously on Feb 24, 2016 Upgraded to Caa2 (sf) Cl. M-6 Certificate, Upgraded to Ca (sf); previously on Mar 13, 2009 Downgraded to C (sf) Issuer: GSAA Home Equity Trust 2005-10 Cl. M-4 Certificate, Downgraded to B2 (sf); previously on Sep 2, 2014 Upgraded to B1 (sf) Cl. M-5 Certificate, Upgraded to B2 (sf); previously on Feb 24, 2016 Upgraded to Caa1 (sf) Issuer: HSI Asset Securitization Corporation Trust 2005-I1 Cl. I-A Certificate, Upgraded to Ba3 (sf); previously on Aug 13, 2010 Downgraded to Caa1 (sf) Cl. II-A-3 Certificate, Upgraded to Ba1 (sf); previously on Feb 24, 2016 Upgraded to B2 (sf) Cl. II-A-4 Certificate, Upgraded to Ba3 (sf); previously on Feb 24, 2016 Upgraded to Caa1 (sf) Issuer: Merrill Lynch Mortgage Investors, Inc. 2005-WMC1 Cl. M-4 Certificate, Upgraded to Caa1 (sf); previously on Feb 24, 2016 Upgraded to Caa3 (sf) Cl. B-1 Certificate, Upgraded to Ca (sf); previously on Jul 19, 2010 Downgraded to C (sf) Issuer: Nomura Home Equity Loan Trust 2005-HE1 Cl. M-2 Certificate, Upgraded to Aaa (sf); previously on Feb 24, 2016 Upgraded to Aa2 (sf) Cl. M-3 Certificate, Upgraded to Aaa (sf); previously on Feb 24, 2016 Upgraded to Aa3 (sf) Cl. M-4 Certificate, Upgraded to A1 (sf); previously on Feb 24, 2016 Upgraded to Baa1 (sf) Cl. M-5 Certificate, Upgraded to Ba1 (sf); previously on Feb 24, 2016 Upgraded to B3 (sf) Cl. M-6 Certificate, Upgraded to Ca (sf); previously on Aug 13, 2010 Downgraded to C (sf) Issuer: NovaStar Mortgage Funding Trust, Series 2005-1 Cl. M-3 Certificate, Upgraded to Aaa (sf); previously on Feb 24, 2016 Upgraded to Aa2 (sf) Cl. M-4 Certificate, Upgraded to Aa1 (sf); previously on Feb 24, 2016 Upgraded to A1 (sf) Cl. M-5 Certificate, Upgraded to Baa1 (sf); previously on Feb 24, 2016 Upgraded to Baa2 (sf) Cl. M-6 Certificate, Upgraded to B1 (sf); previously on Feb 24, 2016 Upgraded to B3 (sf) Issuer: NovaStar Mortgage Funding Trust, Series 2005-2 Cl. M-1 Certificate, Upgraded to Aaa (sf); previously on Feb 24, 2016 Upgraded to Aa3 (sf) Cl. M-2 Certificate, Upgraded to Aa2 (sf); previously on Feb 24, 2016 Upgraded to A2 (sf) Cl. M-3 Certificate, Upgraded to Baa1 (sf); previously on Feb 24, 2016 Upgraded to Baa3 (sf) Cl. M-4 Certificate, Upgraded to Caa3 (sf); previously on Feb 24, 2016 Upgraded to Ca (sf) Issuer: NovaStar Mortgage Funding Trust, Series 2005-4 Cl. A-1A Certificate, Upgraded to Aaa (sf); previously on Feb 24, 2016 Upgraded to Aa3 (sf) Cl. A-2D Certificate, Upgraded to Aa2 (sf); previously on Feb 24, 2016 Upgraded to A1 (sf) Cl. M-2 Certificate, Upgraded to Caa1 (sf); previously on May 1, 2014 Upgraded to Caa3 (sf) RATINGS RATIONALE The rating upgrades are primarily due to the total credit enhancement available to the bonds. Additionally, the ratings upgrades on HSI Asset Securitization Corporation Trust 2005-I1 Classes I-A, II-A-3, and II-A-4 are also due to an improvement in pool performance and pool expected losses. The rating downgrade on GSAA Home Equity Trust 2005-10 Class M-4 is due to outstanding interest shortfalls which are not expected to be reimbursed. The actions reflect the recent performance of the underlying pools and Moody's updated loss expectation on these pools. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in January 2017. 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 4.8% in January 2017 from 4.9% in January 2016. Moody's forecasts an unemployment central range of 4.5% to 5.5% for the 2017 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 2017. 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 Hikes $629MM of Subprime RMBS Issued 2002-2006 ---------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 36 tranches from 16 transactions issued by various issuers, backed by subprime mortgage loans. Complete rating actions are: Issuer: Aames Mortgage Investment Trust 2005-4 Cl. M3 Certificate, Upgraded to Ba3 (sf); previously on Mar 11, 2016 Upgraded to B1 (sf) Cl. M4 Certificate, Upgraded to Caa3 (sf); previously on Jun 1, 2010 Downgraded to C (sf) Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2005-RM2 Cl. M-6 Certificate, Upgraded to Caa3 (sf); previously on May 28, 2015 Upgraded to Ca (sf) Issuer: Basic Asset Backed Securities Trust 2006-1 Cl. A-2 Certificate, Upgraded to Aa2 (sf); previously on Mar 11, 2016 Upgraded to A2 (sf) Cl. A-3 Certificate, Upgraded to A1 (sf); previously on Mar 11, 2016 Upgraded to A3 (sf) Issuer: Bear Stearns Asset Backed Securities I Trust 2006-HE8 Cl. I-A-3 Certificate, Upgraded to Ca (sf); previously on May 21, 2010 Downgraded to C (sf) Cl. II-1A-3 Certificate, Upgraded to Ba1 (sf); previously on Aug 7, 2013 Upgraded to B3 (sf) Cl. II-1A-2 Certificate, Upgraded to Baa3 (sf); previously on Aug 7, 2013 Upgraded to B1 (sf) Cl. II-2A Certificate, Upgraded to Baa2 (sf); previously on May 15, 2014 Upgraded to Ba3 (sf) Issuer: Equity One Mortgage Pass-Through Trust 2002-4 Cl. AV-1A Certificate, Upgraded to Aaa (sf); previously on Mar 8, 2016 Upgraded to Aa2 (sf) Underlying Rating: Upgraded to Aaa (sf); previously on Mar 8, 2016 Upgraded to Aa2 (sf) Financial Guarantor: Assured Guaranty Municipal Corp (Affirmed at A2, Outlook Stable on August 8, 2016) Cl. AV-1B Certificate, Upgraded to Aaa (sf); previously on Mar 8, 2016 Upgraded to Aa2 (sf) Cl. M-1 Certificate, Upgraded to Ba3 (sf); previously on Mar 8, 2016 Upgraded to B1 (sf) Issuer: Fieldstone Mortgage Investment Trust 2005-1 Cl. M6 Certificate, Upgraded to Ca (sf); previously on Mar 4, 2013 Affirmed C (sf) Issuer: GSAMP Trust 2005-WMC3 Cl. A-1A Certificate, Upgraded to A2 (sf); previously on Mar 22, 2016 Upgraded to Baa3 (sf) Cl. A-1B Certificate, Upgraded to Baa1 (sf); previously on Mar 22, 2016 Upgraded to Ba3 (sf) Cl. A-2B Certificate, Upgraded to Baa1 (sf); previously on Mar 22, 2016 Upgraded to Ba3 (sf) Cl. A-2C Certificate, Upgraded to Baa2 (sf); previously on Mar 22, 2016 Upgraded to B1 (sf) Issuer: GSAMP Trust 2006-HE4 Cl. A-1 Certificate, Upgraded to Baa3 (sf); previously on Mar 22, 2016 Upgraded to Ba3 (sf) Cl. A-2C Certificate, Upgraded to Baa3 (sf); previously on Mar 22, 2016 Upgraded to Ba3 (sf) Cl. A-2D Certificate, Upgraded to Ba1 (sf); previously on Mar 22, 2016 Upgraded to B1 (sf) Issuer: GSAMP Trust 2006-HE5 Cl. A-1 Certificate, Upgraded to B1 (sf); previously on Mar 22, 2016 Upgraded to B3 (sf) Cl. A-2C Certificate, Upgraded to B1 (sf); previously on Mar 22, 2016 Upgraded to Caa1 (sf) Cl. A-2D Certificate, Upgraded to B2 (sf); previously on Mar 22, 2016 Upgraded to Caa2 (sf) Issuer: J.P. Morgan Mortgage Acquisition Corp. 2005-OPT2 Cl. A-4 Certificate, Upgraded to Aaa (sf); previously on Mar 11, 2016 Upgraded to Aa3 (sf) Cl. M-3 Certificate, Upgraded to Ba2 (sf); previously on Apr 10, 2015 Upgraded to Ba3 (sf) Cl. M-4 Certificate, Upgraded to Ba2 (sf); previously on Mar 11, 2016 Upgraded to B1 (sf) Cl. M-5 Certificate, Upgraded to B2 (sf); previously on Mar 11, 2016 Upgraded to Caa2 (sf) Issuer: J.P. Morgan Mortgage Acquisition Corp. 2006-WMC3 Cl. A-1SS Certificate, Upgraded to Ba3 (sf); previously on Mar 22, 2016 Upgraded to B1 (sf) Issuer: Park Place Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2005-WHQ4 Cl. A-1A Certificate, Upgraded to Aaa (sf); previously on Mar 11, 2016 Upgraded to Aa2 (sf) Cl. A-2D Certificate, Upgraded to Aaa (sf); previously on Mar 11, 2016 Upgraded to Aa2 (sf) Issuer: Popular ABS Mortgage Pass-Through Trust 2005-D Cl. A-4 Certificate, Upgraded to Aa2 (sf); previously on Mar 22, 2016 Upgraded to A2 (sf) Cl. A-5 Certificate, Upgraded to A3 (sf); previously on Mar 22, 2016 Upgraded to Baa2 (sf) Issuer: SG Mortgage Securities Trust 2005-OPT1 Cl. A-3 Certificate, Upgraded to Aaa (sf); previously on Mar 22, 2016 Upgraded to Aa2 (sf) Cl. M-3 Certificate, Upgraded to B1 (sf); previously on Mar 22, 2016 Upgraded to Caa1 (sf) Issuer: Soundview Home Loan Trust 2005-1 Cl. M-5 Certificate, Upgraded to Ba2 (sf); previously on Mar 22, 2016 Upgraded to B1 (sf) Issuer: Soundview Home Loan Trust 2005-CTX1 Cl. M-5 Certificate, Upgraded to B2 (sf); previously on Mar 11, 2016 Upgraded to Caa2 (sf) RATINGS RATIONALE The rating 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 expectation on these pools. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in January 2017. Factors that would lead to an upgrade or downgrade of the ratings: Ratings in the US RMBS sector remain exposed to the high level of macroeconomic uncertainty, and in particular the unemployment rate. The unemployment rate fell to 4.7% in December 2016 from 5.0% in December 2015. Moody's forecasts an unemployment central range of 4.5% to 5.5% for the 2017 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 2017. 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 Hikes $820MM of Subprime RMBS Issued 2001-2007 ---------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 20 tranches, from 10 transactions issued by various issuers backed by Subprime mortgage loans. Complete rating actions are: Issuer: Ameriquest Mortgage Securities Inc., Series 2005-R2 Cl. M-5, Upgraded to Caa1 (sf); previously on Feb 26, 2013 Affirmed C (sf) Issuer: Asset Backed Securities Corporation Home Equity Loan Trust AEG 2006-HE1 Cl. A1, Upgraded to Aa1 (sf); previously on Mar 10, 2016 Upgraded to A1 (sf) Cl. A3, Upgraded to Aa1 (sf); previously on Mar 10, 2016 Upgraded to A3 (sf) Cl. A4, Upgraded to Aa3 (sf); previously on Mar 10, 2016 Upgraded to Baa1 (sf) Issuer: Conseco Finance Home Equity Loan Trust 2001-D Cl. B-1, Upgraded to B1 (sf); previously on Mar 11, 2016 Upgraded to B3 (sf) Issuer: Conseco Finance Home Equity Loan Trust 2002-B Cl. B-1, Upgraded to Ba2 (sf); previously on Mar 11, 2016 Upgraded to B1 (sf) Issuer: HSI Asset Securitization Corporation Trust 2006-OPT1 Cl. I-A, Upgraded to Aaa (sf); previously on Mar 10, 2016 Upgraded to Aa3 (sf) Cl. II-A-3, Upgraded to Aaa (sf); previously on Mar 10, 2016 Upgraded to A1 (sf) Cl. II-A-4, Upgraded to Aaa (sf); previously on Mar 10, 2016 Upgraded to Baa1 (sf) Cl. M-2, Upgraded to B2 (sf); previously on Mar 10, 2016 Upgraded to Caa2 (sf) Issuer: J.P. Morgan Mortgage Acquisition Corp. 2006-WMC1 Cl. A-1, Upgraded to Aaa (sf); previously on Mar 10, 2016 Upgraded to A1 (sf) Issuer: J.P. Morgan Mortgage Acquisition Trust 2006-CW2 Cl. AV-1, Upgraded to Baa2 (sf); previously on Mar 10, 2016 Upgraded to Baa3 (sf) Cl. AV-4, Upgraded to Ba1 (sf); previously on Mar 10, 2016 Upgraded to B1 (sf) Cl. AV-5, Upgraded to Ba2 (sf); previously on Mar 10, 2016 Upgraded to B2 (sf) Issuer: NovaStar Mortgage Funding Trust 2007-2 Cl. A-1A, Upgraded to B1 (sf); previously on Mar 10, 2016 Upgraded to B3 (sf) Issuer: Ownit Mortgage Loan Trust 2006-3 Cl. A-1, Upgraded to A3 (sf); previously on Mar 10, 2016 Upgraded to Ba1 (sf) Cl. A-2C, Upgraded to Ba1 (sf); previously on Mar 10, 2016 Upgraded to B2 (sf) Cl. A-2D, Upgraded to B1 (sf); previously on Mar 10, 2016 Upgraded to Caa2 (sf) Issuer: Soundview Home Loan Trust 2006-OPT5 Cl. II-A-3, Upgraded to B2 (sf); previously on Dec 2, 2013 Downgraded to Caa2 (sf) Cl. II-A-4, Upgraded to B3 (sf); previously on Jun 17, 2010 Downgraded to Caa3 (sf) RATINGS RATIONALE The 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 January 2017. 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 4.8% in January 2017 from 4.9% in January 2016. Moody's forecasts an unemployment central range of 4.5% to 5.5% for the 2017 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 2017. 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. [*] Moody's Takes Action on $805.1MM of RMBS Issued 2004-2007 ------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 46 tranches and downgraded 1 tranche from 14 transactions backed by Alt-A and Option ARM mortgage loans, issued by multiple issuers. Complete rating actions are: Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-76 Cl. 1-A-1 Certificate, Upgraded to B1 (sf); previously on Mar 21, 2016 Upgraded to B3 (sf) Issuer: Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-OA3 Cl. A-1 Certificate, Upgraded to Ba2 (sf); previously on Mar 22, 2016 Upgraded to B1 (sf) Issuer: Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-OA5 Cl. A-1A Certificate, Upgraded to Baa2 (sf); previously on Dec 3, 2010 Downgraded to Ba2 (sf) Cl. A-1B Certificate, Upgraded to Baa2 (sf); previously on Dec 3, 2010 Downgraded to Ba2 (sf) Issuer: IndyMac INDX Mortgage Loan Trust 2007-FLX3 Cl. A-1 Certificate, Upgraded to Baa2 (sf); previously on Dec 3, 2015 Upgraded to Ba1 (sf) Issuer: MASTR Alternative Loan Trust 2005-6 Cl. 1-A-1 Certificate, Upgraded to B2 (sf); previously on Aug 7, 2014 Downgraded to Caa1 (sf) Issuer: Nomura Asset Acceptance Corporation, Alternative Loan Trust, Series 2005-AR3 Cl. III-A-1 Certificate, Upgraded to B1 (sf); previously on May 11, 2015 Upgraded to B3 (sf) Issuer: Nomura Asset Acceptance Corporation, Alternative Loan Trust, Series 2005-WF1 Cl. I-A Certificate, Upgraded to Baa1 (sf); previously on Mar 21, 2016 Upgraded to Baa3 (sf) Cl. II-A-3 Certificate, Upgraded to Ba2 (sf); previously on Mar 21, 2016 Upgraded to B1 (sf) Cl. II-A-4 Certificate, Upgraded to B3 (sf); previously on Mar 21, 2016 Upgraded to Caa2 (sf) Cl. II-A-5 Certificate, Upgraded to Ba3 (sf); previously on Mar 21, 2016 Upgraded to B2 (sf) Issuer: RALI Series 2005-QA1 Trust Cl. A-1 Certificate, Upgraded to Aa1 (sf); previously on Mar 8, 2016 Upgraded to A1 (sf) Cl. A-2 Certificate, Upgraded to Aa2 (sf); previously on Mar 8, 2016 Upgraded to A2 (sf) Cl. M-1 Certificate, Upgraded to Baa1 (sf); previously on Mar 8, 2016 Upgraded to Ba1 (sf) Issuer: Structured Asset Securities Corp Trust 2004-19XS Cl. A3A Certificate, Upgraded to A1 (sf); previously on Mar 22, 2016 Upgraded to A3 (sf) Cl. A3B Certificate, Upgraded to Baa1 (sf); previously on Mar 22, 2016 Upgraded to Baa3 (sf) Cl. A3C Certificate, Upgraded to A2 (sf); previously on Mar 22, 2016 Upgraded to Baa1 (sf) Cl. A5 Certificate, Upgraded to A2 (sf); previously on Mar 22, 2016 Upgraded to Baa1 (sf) Cl. A6A Certificate, Upgraded to A2 (sf); previously on Mar 22, 2016 Upgraded to Baa1 (sf) Cl. A6B Certificate, Upgraded to A1 (sf); previously on Mar 22, 2016 Upgraded to A2 (sf) Cl. A6C Certificate, Upgraded to Baa1 (sf); previously on Mar 22, 2016 Upgraded to Baa2 (sf) Issuer: Structured Asset Securities Corp Trust 2004-21XS Cl. 2-A5A Certificate, Upgraded to A3 (sf); previously on May 27, 2015 Upgraded to Baa2 (sf) Cl. 2-A5B Certificate, Upgraded to Baa2 (sf); previously on May 27, 2015 Upgraded to Ba1 (sf) Cl. 2-A6A Certificate, Upgraded to A2 (sf); previously on May 27, 2015 Upgraded to Baa1 (sf) Cl. 2-A6B Certificate, Upgraded to Baa1 (sf); previously on May 27, 2015 Upgraded to Baa3 (sf) Issuer: Structured Asset Securities Corp Trust 2004-23XS Cl. 1-A3A Certificate, Upgraded to Aa2 (sf); previously on Mar 22, 2016 Upgraded to A2 (sf) Cl. 1-A3B Certificate, Upgraded to Aa3 (sf); previously on Mar 22, 2016 Upgraded to A3 (sf) Cl. 1-A3C Certificate, Upgraded to Aa2 (sf); previously on Mar 22, 2016 Upgraded to A2 (sf) Cl. 1-A3D Certificate, Upgraded to Aa2 (sf); previously on Mar 22, 2016 Upgraded to A2 (sf) Cl. 1-A4 Certificate, Upgraded to Aa2 (sf); previously on Mar 22, 2016 Upgraded to A2 (sf) Cl. 2-A1 Certificate, Upgraded to A2 (sf); previously on Mar 22, 2016 Upgraded to Baa2 (sf) Cl. 2-A2 Certificate, Upgraded to A1 (sf); previously on Mar 22, 2016 Upgraded to Baa1 (sf) Cl. 2-A3 Certificate, Upgraded to A3 (sf); previously on Mar 22, 2016 Upgraded to Baa3 (sf) Issuer: Structured Asset Securities Corp Trust 2005-2XS Cl. 1-A4 Certificate, Upgraded to A3 (sf); previously on Mar 2, 2016 Upgraded to Baa3 (sf) Underlying Rating: Upgraded to A3 (sf); previously on Mar 2, 2016 Upgraded to Baa3 (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. 1-A5A Certificate, Upgraded to A1 (sf); previously on Mar 2, 2016 Upgraded to Baa1 (sf) Cl. 1-A5B Certificate, Upgraded to A1 (sf); previously on Mar 2, 2016 Upgraded to Baa1 (sf) Underlying Rating: Upgraded to A1 (sf); previously on Mar 2, 2016 Upgraded to Baa1 (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. 2-A1 Certificate, Upgraded to Ba1 (sf); previously on Mar 2, 2016 Upgraded to Ba2 (sf) Underlying Rating: Upgraded to Ba1 (sf); previously on Mar 2, 2016 Upgraded to Ba2 (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. 2-A2 Certificate, Upgraded to Ba1 (sf); previously on Mar 2, 2016 Upgraded to Ba2 (sf) Issuer: Structured Asset Securities Corp Trust 2005-9XS Cl. 1-A3A Certificate, Upgraded to A2 (sf); previously on Mar 2, 2016 Upgraded to Baa2 (sf) Underlying Rating: Upgraded to A2 (sf); previously on Mar 2, 2016 Upgraded to Baa2 (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. 1-A3B Certificate, Upgraded to A2 (sf); previously on Mar 2, 2016 Upgraded to Baa2 (sf) Cl. 1-A3C Certificate, Upgraded to Baa2 (sf); previously on Mar 2, 2016 Upgraded to Ba2 (sf) Cl. 1-A3D Certificate, Upgraded to A2 (sf); previously on Mar 2, 2016 Upgraded to Baa2 (sf) Cl. 1-A4 Certificate, Upgraded to A1 (sf); previously on Mar 2, 2016 Upgraded to Baa1 (sf) Cl. 2-A1 Certificate, Upgraded to Ba1 (sf); previously on Mar 2, 2016 Upgraded to B1 (sf) Cl. 2-A2 Certificate, Upgraded to Ba1 (sf); previously on Mar 2, 2016 Upgraded to B1 (sf) Cl. 2-A3 Certificate, Upgraded to Ba2 (sf); previously on Mar 2, 2016 Upgraded to B2 (sf) Issuer: SunTrust Alternative Loan Trust 2006-1F Cl. PO Certificate, Downgraded to C (sf); previously on Nov 12, 2010 Confirmed at Ca (sf) RATINGS RATIONALE The rating upgrades are primarily due to increases in tranche-level credit enhancement in the context of stable or improving pool loss performance. The rating downgrade is due to the cumulative loss incurred on the bond to date that is unlikely to be recouped. The actions also reflect the recent performance of the underlying pools and Moody's updated loss expectation on these pools. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in January 2017. Factors that would lead to an upgrade or downgrade of the ratings: Ratings in the US RMBS sector remain exposed to the high level of macroeconomic uncertainty, and in particular the unemployment rate. The unemployment rate fell to 4.7% in December 2016 from 5.0% in December 2015. Moody's forecasts an unemployment central range of 4.5% to 5.5% for the 2017 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 2017. 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 of 116 Classes From 23 RMBS Deals ---------------------------------------------------------- S&P Global Ratings completed its review of 116 classes from 23 U.S. residential mortgage-backed securities (RMBS) transactions issued between 2001 and 2006. The review yielded 30 upgrades, nine downgrades, 73 affirmations, and four withdrawals. One of S&P's upgrades was due to an error correction caused by third-party data provider Intex Solutions Inc.'s incorrect model allocation of potential writedowns on the rated class. The transactions in this review are backed by a mix of fixed- and adjustable-rate Alternative-A and subprime mortgage loans, which are secured primarily by first liens on one- to four-family residential properties. With respect to insured obligations, where S&P maintains a rating on the bond insurer that is lower than what it would rate the class without bond insurance, or where the bond insurer is not rated, S&P relied solely on the underlying collateral's credit quality and the transaction structure to derive the rating on the class. In some instances, a class with a rating below that of the insurer rating may be driven by the application of S&P's loan modification criteria cap. Of the classes reviewed, the following are insured by an insurance provider that is currently rated by S&P Global Ratings: -- Ameriquest Mortgage Securities Inc.series 2003-5's class A-5 ('CCC (sf)'), insured by Assured Guaranty Municipal Corp. ('AA'); -- Ameriquest Mortgage Securities Inc. series 2003-9's class AF-3 ('BBB+(sf)'), insured by Assured Guaranty Municipal Corp; -- Argent Securities Inc.series 2003-W6's class AV-1 ('AAA (sf)'), insured by Assured Guaranty Municipal Corp.; -- Argent Securities Inc. series 2003-W6's class AF-5 ('BB+ (sf)'), insured by Assured Guaranty Municipal Corp.; -- Argent Securities Inc. 2003-W6's class M-1 ('AA (sf)'), insured by Assured Guaranty Municipal Corp.; -- Morgan Stanley Dean Witter Capital I Inc. Trust 2002-AM3's class A-2 ('AAA (sf)'), insured by MBIA Insurance Corp. ('CCC'); -- Residential Asset Securitization Trust 2003-A10's class A-2 ('BB- (sf)'), insured by MBIA Insurance Corp.; and -- Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-4 Trust's class CB-15 ('AA (sf)'), insured by Assured Guaranty Municipal Corp. The reviewed transactions also have three other classes that were insured by a rated insurance provider when the deal was originated, but S&P Global Ratings has since withdrawn the rating on the insurance provider of those classes. The rating actions reflect the application of S&P's interest-only (IO) criteria, which provide that S&P will maintain the current ratings on an IO class until all of the classes that the IO security references are either lowered to below 'AA- (sf)' or have been retired--at which time S&P will withdraw these IO ratings. Specifically, S&P will maintain active surveillance of these IO classes using the methodology applied before the release of this criteria. ANALYSIS Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by S&P's projected cash flows. These considerations are based on transaction-specific performance or structural characteristics (or both) and their potential effects on certain classes. CORRECTION S&P corrected its rating on class A-4 from Residential Asset Securitization Trust 2003-A10 by raising it to 'BB (sf)' from 'BB- (sf)'. Intex Solutions Inc., a third-party data provider, had previously and incorrectly modeled potential writedowns to class A-4 when its support class, A-5, maintained a balance. Intex Solutions Inc. has since revised its model for potential writedowns in this transaction. The revised rating reflects S&P's current view of class A-4's credit risk. UPGRADES The upgrades include nine ratings that were raised three or more notches. S&P's projected credit support for the affected classes is sufficient to cover its projected losses for these rating levels. The upgrades reflect one or more of these: -- Improved collateral performance/delinquency trends; -- Increased credit support relative to our projected losses; -- The class' expected short duration; -- Principal-only criteria; or -- An error correction. The upgrades on class A-1 from Aames Mortgage Trust 2001-3, classes A-2 and M-1 from ABFC 2002-WF2 Trust, and class IV-A-1 from Bear Stearns ALT-A Trust 2005-3 all reflect a decrease in S&P's projected losses and its belief that its projected credit support for these affected classes will be sufficient to cover S&P's revised projected loss at these rating levels. For these classes, S&P has decreased its projected losses because there have been fewer reported delinquencies during the most recent performance periods than those reported during the previous review dates. For Aames Mortgage Trust 2001-3, total delinquencies decreased to 31.73% in December 2016 from 37.74% in June 2014. Severe delinquencies, defined as 90 or more days delinquent, in ABFC 2002-WF2 decreased to 10.88% in December 2016 from 21.43% in June 2014, while those in Bear Stearns ALT-A Trust 2005-3 decreased to 9.33% in December 2016 from 13.49% in May 2014. S&P's upgraded classes A-1, A-2, A-3, and A-7 from Residential Asset Securitization Trust 2003-A5 because they experienced an increase in hard credit support to 23.75% in December 2016 from 17.36% in May 2014. S&P believes the increase in hard credit support allows the classes to withstand the potential for greater losses in the transaction. S&P upgraded classes II-A-1, II-A-2, IV-A-1, V-A-1, and VI-A-1 from Bear Stearns ALT-A Trust 2004-5 because they experienced an increase in credit support. The specific levels of increase for the classes were based on their respective group-directed support in December 2016 compared with May 2014. Group 2's group-directed credit support increased to 32.56% from 25.23%. Group 4's group-directed credit support increased to 37.96% from 30.42%. Class V-A-1's credit support increased to 29.68% from 22.41%. Class VI-A-1's credit support increased to 29.68% from 22.41%. S&P believes the increase in credit support allows the classes to withstand the potential for greater losses in the transaction. S&P upgraded class 1-A-1 from Residential Asset Securitization Trust 2004-A2 due to its expected duration. The class received around $899,000 in principal between January 2016 and December 2016. S&P raised its rating on these classes because S&P believes these classes are no longer vulnerable to default: -- Class 2-A-1 from Residential Asset Securitization Trust 2004-A2 to 'B+ (sf)' from 'CCC (sf)', Class B-1 from WaMu Mortgage-Backed Pass-Through Certificates Series 2001-AR5 to 'B- (sf)' from 'CCC (sf)', -- Class M-2 from ABFC 2002-WF2 Trust to 'BB- (sf)' from 'CCC (sf)', and Class IV-A-2 and IV-A-3 from Bear Stearns ALT-A Trust 2005-3 to 'B (sf)' from 'CCC (sf)'. S&P also raised five ratings to 'CCC (sf)' from 'CC (sf)' because it believes these classes are no longer virtually certain to default, primarily owing to the improved performance of the collateral backing these transactions. However, the 'CCC (sf)' ratings indicate that S&P believes that its projected credit support will remain insufficient to cover its projected losses for these classes and that the classes are still vulnerable to default. DOWNGRADES The downgrades included two ratings that were lowered three or more notches. S&P lowered its rating on one class to speculative-grade ('BB+' or lower) from investment-grade ('BBB-' or higher). Two other lowered ratings remained at an investment-grade level, while the remaining six downgraded classes already had speculative-grade ratings. The downgrades reflect S&P's belief that its projected credit support for the affected classes will be insufficient to cover its projected losses for the related transactions at a higher rating. The downgrades reflect one or more of these: -- Deteriorated credit performance trends; -- Observed interest shortfalls; -- Decreased credit support; -- Reduced interest payments over time due to loan modifications or other credit-related events; or -- Principal writedowns. S&P lowered two ratings to 'D (sf)' because of principal writedowns. S&P downgraded class M-1 from Aegis Asset Backed Securities Trust 2003-3 to 'AA- (sf)' from 'AA+ (sf)' because the class' credit support has decreased to 71.08% in December 2016 from 78.75% in June 2014. The decreased credit support makes it more prone to losses as the transaction pays down. Interest Shortfalls The downgrade on class A-6 from Ameriquest Mortgage Securities Inc. series 2003-5 was based on S&P's assessment of interest shortfalls to the affected class during recent remittance periods. The lowered rating was derived by applying S&P's interest shortfall criteria, which designate a maximum potential rating (MPR) to these classes. For those classes that have delayed reimbursement provisions, S&P projected the transaction's cash flows to assess the likelihood of the interest shortfalls' reimbursement under various rating scenarios. The resulting ratings reflect the application of S&P's criteria based on those projections. Loan Modifications And Imputed Promises S&P lowered its rating on class AF-3 from Ameriquest Mortgage Securities Inc. series 2003-9 to 'BBB+ (sf)' from 'AA+ (sf)', and S&P lowered its rating on class AF-5 from Argent Securities Inc. series 2003-W6 to 'BB+ (sf)' from 'AAA (sf)' to reflect the application of S&P's imputed promises criteria, which resulted in an MPR lower than the previous rating on the class. When a class of securities supported by a particular collateral pool is paid interest through a weighted average coupon (WAC) and the interest owed to that class is reduced because of loan modifications, S&P imputes an amount of interest owed to that class of securities by applying "Methodology For Incorporating Loan Modifications And Extraordinary Expenses Into U.S. RMBS Ratings," published April 17, 2015, and "Principles For Rating Debt Issues Based On Imputed Promises," published Dec. 19, 2014. Based on S&P's criteria, it applies an MPR to those classes of securities that are affected by reduced interest payments over time due to loan modifications. If S&P applies an MPR cap to a particular class, the resulting rating may be lower than if it had solely considered that class' paid interest based on the applicable WAC. AFFIRMATIONS The affirmations of ratings in the 'AAA' through 'B' rating categories reflect S&P's opinion that its projected credit support on these classes remained relatively consistent with S&P's prior projections and is sufficient to cover its projected losses for those rating scenarios. For certain transactions, S&P considered specific performance characteristics that, in its view, could add volatility to its loss assumptions and, in turn, to the ratings suggested by S&P's cash flow projections. When S&P's model recommended an upgrade, it either limited the extent of its upgrade or affirmed its ratings on those classes to account for this uncertainty and promote ratings stability. In general, these classes have one or more of these characteristics that limit any potential upgrade: -- Insufficient subordination, overcollateralization, or both; -- Delinquency trends; -- Historical interest shortfalls; -- Low priority in principal payments; and/or -- Significant growth in observed loss severities. In addition, some of the transactions have failed their delinquency triggers, resulting in reduced--or a complete stop of--unscheduled principal payments to their subordinate classes. However, these transactions allow for unscheduled principal payments to resume to the subordinate classes if the delinquency triggers begin passing again. This would result in eroding the credit support available for the more-senior classes. Therefore, S&P affirmed its ratings on certain classes in these transactions even though these classes may have passed at higher rating scenarios. "We affirmed our rating on class II-A-PO, a PO strip class from First Horizon Alternative Mortgage Securities Trust 2006-FA1, at 'CC (sf)'. PO strip classes receive principal primarily from discount loans within the related transaction. The credit risk of this type of class, in our view, is typically commensurate with the credit risk of the lowest-rated senior class in the transaction structure, which, in this case, has a rating of 'D (sf)'. However, there have not been any recent losses experienced by the discount loans within the transaction that would be allocated to this PO class. Therefore, because there are no subordinate classes remaining and, thus, no cash flow to reimburse this class in the event of a loss allocation, we affirmed our rating at 'CC (sf)' because we believe this class is vulnerable to default," S&P said. 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. Per "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. WITHDRAWALS S&P withdrew its ratings on three classes from Morgan Stanley Mortgage Loan Trust 2004-8AR and one class from Accredited Mortgage Loan Trust 2003-2 because the related pools have a small number of loans remaining. Once a pool has declined to a de minimis amount, S&P believes there is a high degree of credit instability that is incompatible with any rating level. ECONOMIC OUTLOOK When determining a U.S. RMBS collateral pool's relative credit quality, S&P's loss expectations stem, to a certain extent, from its view of how the loans will behave under various economic conditions. S&P Global Ratings' baseline macroeconomic outlook assumptions for variables that it believes could affect residential mortgage performance are: -- An overall unemployment rate of 4.9 % in 2016, dipping to 4.6% in 2017; -- Real GDP growth of 1.6 % for 2016 and 2.4% in 2017; -- The inflation rate will be 2.2% in both 2016 and 2017; and -- The 30-year fixed mortgage rate will average about 3.6 % in 2016, rising to 4.1% in 2017. S&P's outlook for RMBS is stable. Although S&P views overall housing fundamentals positively, it believes RMBS fundamentals still hinge on additional factors, such as the ultimate fate of modified loans, the propensity of servicers to advance on delinquent loans, and liquidation timelines. Under S&P's baseline economic assumptions, it expects RMBS collateral quality to improve. However, if the U.S. economy were to become stressed in line with S&P Global Ratings' downside forecast, S&P believes that U.S. RMBS credit quality would weaken. S&P's downside scenario reflects these key assumptions: -- The unemployment rate will remain at 4.9% for 2016 and inch up to 5.0% in 2017; -- Downward pressure causes GDP growth to fall to 1.5 % in 2016 and to 1.4% in 2017; -- Home price momentum slows as potential buyers are not able to purchase property; and -- While the 30-year fixed mortgage rate remains a low 3.6% in 2016 and 2017, 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/2kOCGb9 [*] S&P Completes Review on 106 Classes From 13 U.S. RMBS Deals --------------------------------------------------------------- S&P Global Ratings completed its review of 106 classes from 13 U.S. residential mortgage-backed securities (RMBS) transactions issued between 2003 and 2005. The review yielded 23 upgrades, four downgrades, 78 affirmations, and one discontinuance. The transactions in this review are backed by a mix of fixed- and adjustable-rate prime and subprime mortgage loans, which are secured primarily by first liens on one- to four-family residential properties. The rating actions on the interest-only (IO) classes reflect the application of S&P's IO criteria, which provide that S&P will maintain the current ratings on an IO class until all of the classes that the IO security references are either lowered to below 'AA- (sf)' or have been retired -- at which time S&P will withdraw these IO ratings. The ratings on each of these classes have been affected by recent rating actions on the reference classes upon which their notional balances are based. ANALYSIS Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by S&P's projected cash flows. These considerations are based on transaction-specific performance or structural characteristics (or both) and their potential effects on certain classes. UPGRADES The upgrades include three ratings that were raised three or more notches. S&P's projected credit support for the affected classes is sufficient to cover its projected losses for these rating levels. The upgrades reflect one or more of these: -- Improved collateral performance/severe delinquency trends (greater than 90 days delinquent, including foreclosures and real estate owned assets); -- Increased credit support (subordination, excess spread, or overcollateralization, where applicable) relative to S&P's projected losses; -- A change in payment allocation due to failure of the cumulative loss performance trigger and/or -- S&P's principal-only (PO) criteria. The upgrades on the following classes reflect a decrease in S&P's projected losses and its belief that its projected credit support for the affected classes will be sufficient to cover its revised projected losses at these rating levels. S&P has decreased its projected losses because there have been fewer reported severe delinquencies during the most recent performance periods compared to those reported during the previous review dates. Severe delinquencies have decreased for the collateral pools supporting these classes as: -- Class 2-A-1 from JP Morgan Mortgage Trust 2004-A3 decreased to 0% at January 2017 from 18.1% at January 2016; -- Class 3-A-3 from JP Morgan Mortgage Trust 2004-A3 decreased to 10.8% at January 2017 from 13.7% at March 2014; -- Classes 4-A-1 and 4-A-2 from JP Morgan Mortgage Trust 2004- A3 decreased to 0% at January 2017 from 2.1% at September 2014; -- Class 1-B-1 from JP Morgan Mortgage Trust 2004-A3 decreased to 4.4% at January 2017 from 5.2% at March 2014; -- Classes M-1, M-3, M-6, and B-1 from Home Equity Asset Trust 2004-4 decreased to 14.6% at January 2017 from 20.5% at May 2014; and -- Classes M-1, M-8, and M-9 from Home Equity Mortgage Loan Asset-Backed Trust SPMD 2004-B decreased to 16.8% at January 2017 from 21.8% at May 2014. The upgrade on class M-1 from Ameriquest Mortgage Securities Inc.'s series 2004-R3 to 'BB (sf)' from 'B+ (sf)' reflects an increase in credit support because the transaction's cumulative loss trigger failed, resulting in permanent sequential principal payments. Currently, classes A-1A and A-1B are prioritized in receiving all principal payments, and both classes have a 0.83% class factor. Both classes should pay down in the near future, and class M-1 will then receive all principal payments. This sequential principal payment mechanism prevents erosion of credit support and results in an earlier paydown to the more senior classes before back-end losses can occur. S&P raised its rating on class IIM-1 from Chase Funding Trust's series 2003-2 to 'B (sf)' from 'CCC (sf)' because S&P believes this class is no longer vulnerable to default. S&P also raised 10 ratings to 'CCC (sf)' from 'CC (sf)' because S&P believes these classes are no longer virtually certain to default, primarily owing to the improved performance of the collateral backing this transaction. However, the 'CCC (sf)' ratings indicate that S&P believes that its projected credit support will remain insufficient to cover S&P's projected losses for these classes and that the classes are still vulnerable to defaulting. DOWNGRADES Each of the lowered ratings were already speculative-grade. The downgrades reflect S&P's belief that its projected credit support for the affected classes will be insufficient to cover its projected losses for the related transactions at a higher rating. The downgrades reflect one or more of these: -- Deteriorated credit performance trends; -- Eroded credit support due to passing performance triggers; -- Observed interest shortfalls; and -- Principal write-downs. S&P lowered two ratings to 'D (sf)', one because of principal write-downs incurred by this class, and the other because of the application of S&P's interest shortfall criteria. Interest Shortfalls The downgrade to 'D (sf)' on class S-B-3 from JPMorgan Mortgage Trust 2004-A3 was based on S&P's assessment of interest shortfalls to this class and the application of its interest shortfall criteria, which designate a maximum potential rating (MPR) to this class. AFFIRMATIONS The affirmations of ratings in the 'AAA' through 'B' rating categories reflect S&P's opinion that its projected credit support on these classes has 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, it affirmed its ratings on those classes to account for this uncertainty and promote ratings stability. In general, these classes have one or more of these characteristics that limit any potential upgrade: -- Insufficient subordination, overcollateralization, or both; -- Interest-only criteria; and/or -- Imputed promises criteria. In addition, some of the transactions have failed their delinquency triggers, resulting in reduced -- or a complete stop of -- unscheduled principal payments to their subordinate classes. However, these transactions allow for unscheduled principal payments to resume to the subordinate classes if the delinquency triggers begin passing again. This would result in eroding the credit support available for the more senior classes. Therefore, S&P affirmed its ratings on certain classes in these transactions even though these classes may have passed at higher rating scenarios. The ratings affirmed at 'CCC (sf)' or 'CC (sf)' reflect S&P's belief that its projected credit support will remain insufficient to cover its 'B' expected-case projected losses for these classes. Pursuant to "Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings," 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. DISCONTINUANCE S&P discontinued its rating on class M-5 from Argent Securities Inc.'s series 2003-W5 because it was paid in full during recent remittance periods. ECONOMIC OUTLOOK When determining a U.S. RMBS collateral pool's relative credit quality, S&P's loss expectations stem, to a certain extent, from its view of how the loans will behave under various economic conditions. S&P Global Ratings' baseline macroeconomic outlook assumptions for variables that it believes could affect residential mortgage performance are: -- An overall unemployment rate of 4.9 % in 2016, dipping to 4.6% in 2017; -- Real GDP growth of 1.6 % for 2016 and 2.4% in 2017; -- The inflation rate will be 2.2% in both 2016 and 2017; and -- The 30-year fixed mortgage rate will average about 3.6 % in 2016, rising to 4.1% in 2017. S&P's outlook for RMBS is stable. Although S&P views overall housing fundamentals positively, it believes RMBS fundamentals still hinge on additional factors, such as the ultimate fate of modified loans, the propensity of servicers to advance on delinquent loans, and liquidation timelines. Under S&P's baseline economic assumptions, it expects RMBS collateral quality to improve. However, if the U.S. economy were to become stressed in line with S&P Global Ratings' downside forecast, S&P believes that U.S. RMBS credit quality would weaken. S&P's downside scenario reflects these key assumptions: -- The unemployment rate will remain at 4.9% for 2016 and inch up to 5.0% in 2017; -- Downward pressure causes GDP growth to fall to 1.5 % in 2016 and to 1.4% in 2017; -- Home price momentum slows as potential buyers are not able to purchase property; and -- While the 30-year fixed mortgage rate remains a low 3.6% in 2016 and 2017, 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/2lr8IHJ [*] S&P Completes Review on 55 Classes From 14 US RMBS Deals ------------------------------------------------------------ S&P Global Ratings completed its review of 55 classes from 14 U.S. residential mortgage-backed securities (RMBS) transactions issued between 1998 and 2005. The review resulted in nine upgrades, eight downgrades, and 38 affirmations. The transactions in this review are backed by a mix of fixed- and adjustable-rate subprime mortgage loans, which are secured primarily by first liens on one- to four-family residential properties. For insured obligations where S&P maintains a rating on the bond insurer that is lower than what it would rate the class without bond insurance, or where the bond insurer is not rated, S&P relied solely on the underlying collateral's credit quality and the transaction structure to derive the rating on the class. Of the classes reviewed, these are insured by an insurance provider that is currently rated by S&P Global Ratings: -- ITLA Mortgage Loan Securitization Corp.'s class A ('AA (sf)'), insured by Assured Guaranty Municipal Corp. ('AA'); -- CSFB ABS Trust Series 2002-HE4's class A-F ('AA (sf)'), insured by Assured Guaranty Municipal Corp. ('AA'); and -- IMC Home Equity Loan Trust 1998-3's classes A-7 ('AA (sf)')and A-8 ('AA (sf)'), insured by Assured Guaranty Municipal Corp. ('AA'). ANALYSIS Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by S&P's projected cash flows. These considerations are based on transaction-specific performance or structural characteristics (or both) and their potential effects on certain classes. UPGRADES S&P raised its ratings on nine classes, including four ratings that were raised three or more notches. S&P's projected credit support for the affected classes is sufficient to cover its projected losses for these rating levels. Of the four ratings raised by three or more notches, three were due to an increase in credit support. The credit support for classes M-2 and M-3 from Park Place Securities Inc., Series 2005-WHQ2 increased to 55.02% and 38.27%, from 39.54% and 27.17%, respectively, between April 2014 and November 2016. The raised rating on class AF-5 from C-Bass Mortgage Loan Asset-Backed Certificates 2003-CB6 Trust reflects both the credit support increase to 67.18% from 65.68% between January 2016 and November 2016 and the application of S&P's imputed promises criteria, which resulted in a maximum potential rating (MPR) higher than the previous rating on the class. The other raised rating reflects an increase in the prepayments observed for the loans in the underlying pool. The average 12-month constant prepayment rate (CPR) for Saxon Asset Securities Trust 2003-1's loan group 1 increased to 11.05% in November 2016 from the time of our last review in April 2014, when it was 4.62%. The increased payments resulted in paydowns to class AF-7, down to 5.6% of its original balance. S&P raised its ratings on class M-2 from CSFB ABS Trust Series 2002-HE4 and class AF-5 from 2003-CB6 Trust to 'B- (sf)' and 'BB (sf)', respectively, from 'CCC (sf)' because S&P believes the projected credit support for the affected classes is sufficient to cover its projected losses for these rating levels. S&P also raised two ratings to 'CCC (sf)' from 'CC (sf)' because it believes these classes are no longer virtually certain to default, primarily due to the improved performance of the collateral backing these transactions. However, the 'CCC (sf)' ratings indicate that S&P believes that its projected credit support will remain insufficient to cover its projected losses for these classes. DOWNGRADES S&P lowered its ratings on eight classes, including one rating that was lowered three or more notches. Of the eight downgrades, S&P lowered its ratings on one class to speculative-grade ('BB+' or lower) from investment-grade ('BBB-' or higher). Another five ratings remained at an investment-grade level, while the remaining downgraded classes already had speculative-grade ratings. The downgrades reflect S&P's belief that its projected credit support for the affected classes will be insufficient to cover its projected losses for the related transactions at a higher rating. The downgrades primarily reflect one or more of: -- Deteriorated credit performance trends; and/or -- Eroded credit support S&P lowered its rating on Ameriquest Mortgage Securities Inc., Series 2003-6's class M-3 to 'BB (sf)' from 'A- (sf)' due to passing payment allocation triggers, allowing principal payments to be made to more subordinate classes, and eroding projected credit support for the affected senior classes. The credit support decreased to 26.41% from 41.55% between September 2015 and December 2016. AFFIRMATIONS S&P affirmed its ratings on 27 classes in the 'AAA' through 'B' rating categories. These affirmations reflect S&P's opinion that its projected credit support on these classes remained relatively consistent with its 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, it either limited the extent of its upgrade or affirmed its ratings on those classes to account for this uncertainty and promote ratings stability. In general, these classes have one or more of these characteristics that limit any potential upgrade: -- Insufficient subordination, overcollateralization, or both; -- Delinquency trends; -- Historical interest shortfalls; -- Low priority in principal payments; and/or -- Significant growth in observed loss severities. In addition, some of the transactions have failed their delinquency triggers, resulting in reduced -- or a complete stop of -- unscheduled principal payments to their subordinate classes. However, these transactions allow for unscheduled principal payments to resume to the subordinate classes if the delinquency triggers begin passing again. This would result in eroding the credit support available for the more senior classes. Therefore, S&P affirmed its ratings on certain classes in these transactions even though these classes may have passed at higher rating scenarios. The ratings affirmed at 'CCC (sf)' or 'CC (sf)' reflect S&P's belief that S&P's 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 it believes could affect residential mortgage performance are: -- An overall unemployment rate of 4.9% in 2016, dipping to 4.6% in 2017; -- Real GDP growth of 1.6% for 2016 and 2.4% in 2017; -- The inflation rate will be 2.2% in both 2016 and 2017; and -- The 30-year fixed mortgage rate will average about 3.6% in 2016, rising to 4.1% in 2017. 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: -- The unemployment rate will remain at 4.9% for 2016 and inch up to 5.0% in 2017; -- Downward pressure caused GDP growth to fall to 1.5 % in 2016 and to 1.4% in 2017; -- Home price momentum slows as potential buyers are not able to purchase property; While the 30-year fixed mortgage rate remains a low 3.6% in 2016 and 2017, limited access to credit and pressure on home prices will largely prevent consumers from capitalizing on these rates. [*] S&P Takes Actions on 7 Tranches From 7 U.S. SCDO Transactions ----------------------------------------------------------------- S&P Global Ratings took various rating actions on seven tranches from seven corporate-backed U.S. synthetic collateralized debt obligation (SCDO) transactions. The rating actions follow S&P's periodic review of synthetic CDO transactions. The upgrades and CreditWatch placements reflect the transactions' seasoning, rating stability of the obligors in the underlying reference portfolio over the past few months, and a synthetic rated overcollateralization (SROC) ratio that rose above 100% at the next highest rating level as of the latest run, passing with sufficient cushion per our criteria. S&P will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and S&P will take further rating actions as it deems necessary. RATINGS RAISED Athenee CDO PLC 2007-3 Rating Class To From Notes BBB+ (sf) BB+ (sf) Athenee CDO PLC 2007-8 Rating Class To From Notes BBB+ (sf) BB+ (sf) RATING AFFIRMED Marvel Finance 2007-3 LLC Class Rating IA BB+(sf) RATINGS PLACED ON CREDITWATCH POSITIVE Cloverie PLC Series 43 Rating Class To From Notes BBB (sf)/Watch Pos BBB (sf) Cloverie PLC Series 44 Rating Class To From Notes BBB (sf)/Watch Pos BBB (sf) Morgan Stanley Managed ACES SPC 2007-9 Rating Class To From Notes B- (sf)/Watch Pos B- (sf) UBS AG (London Branch) 222 Rating Class To From Notes AA+ (sf)/Watch Pos AA+ (sf) [] Moody's Takes Action on $207.1MM of RMBS Issued 2003-2004 ------------------------------------------------------------ Moody's Investors Service has upgraded the ratings of 22 tranches and downgraded the ratings of one tranche from eight transactions, backed by Alt-A RMBS loans, issued by multiple issuers. Complete rating actions are: Issuer: Bear Stearns ALT-A Trust 2004-3 Cl. A-1 Certificate, Upgraded to A3 (sf); previously on Mar 29, 2016 Upgraded to Baa1 (sf) Cl. M-1 Certificate, Upgraded to Baa3 (sf); previously on Mar 29, 2016 Upgraded to Ba1 (sf) Cl. M-2 Certificate, Upgraded to Ba3 (sf); previously on Aug 21, 2014 Upgraded to B3 (sf) Cl. B Certificate, Upgraded to Caa2 (sf); previously on Mar 14, 2011 Downgraded to C (sf) Issuer: Bear Stearns ALT-A Trust 2004-6 Cl. I-A Certificate, Upgraded to Aa1 (sf); previously on Mar 29, 2016 Upgraded to Aa2 (sf) Cl. III-A Certificate, Upgraded to Aa1 (sf); previously on Mar 29, 2016 Upgraded to Aa3 (sf) Cl. M-2 Certificate, Upgraded to B1 (sf); previously on Mar 29, 2016 Upgraded to B3 (sf) Cl. B-1 Certificate, Upgraded to Caa1 (sf); previously on Mar 29, 2016 Upgraded to Caa3 (sf) Issuer: Bear Stearns ALT-A Trust 2004-8 Cl. I-A Certificate, Upgraded to Aa1 (sf); previously on Mar 29, 2016 Upgraded to Aa3 (sf) Cl. II-A Certificate, Upgraded to Aa1 (sf); previously on Mar 29, 2016 Upgraded to A1 (sf) Issuer: Bear Stearns ALT-A Trust 2004-9 Cl. VII-A-1 Certificate, Upgraded to Ba1 (sf); previously on Jun 2, 2015 Upgraded to Ba3 (sf) Issuer: GSAA Home Equity Trust 2004-10 Cl. AF-4 Certificate, Upgraded to Aa2 (sf); previously on Apr 1, 2016 Upgraded to A2 (sf) Cl. AF-5 Certificate, Upgraded to Aa1 (sf); previously on Apr 1, 2016 Upgraded to A1 (sf) Cl. M-1 Certificate, Downgraded to Caa1 (sf); previously on Jun 18, 2012 Downgraded to B3 (sf) Issuer: Impac Secured Assets Corp. Mortgage Pass-Through Certificates, Series 2003-1 Cl. M-1 Certificate, Upgraded to Ba1 (sf); previously on Aug 25, 2014 Downgraded to Ba2 (sf) Cl. M-2 Certificate, Upgraded to B1 (sf); previously on Jul 12, 2012 Downgraded to B3 (sf) Cl. B Certificate, Upgraded to Caa2 (sf); previously on Jul 12, 2012 Confirmed at Ca (sf) Issuer: RALI Series 2004-QS5 Trust Cl. A-3 Certificate, Upgraded to Ba3 (sf) ; previously on Apr 18, 2012 Downgraded to B1 (sf) Issuer: Structured Asset Securities Corp Trust 2004-6XS Cl. A3 Certificate, Upgraded to Aa3 (sf); previously on Apr 1, 2016 Upgraded to A3 (sf) Cl. A5A Certificate, Upgraded to Aa3 (sf); previously on Apr 1, 2016 Upgraded to A3 (sf) Cl. A5B Certificate, Upgraded to Aa3 (sf); previously on Apr 1, 2016 Upgraded to A3 (sf) Underlying Rating: Upgraded to Aa3 (sf); previously on Apr 1, 2016 Upgraded to A3 (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. A6 Certificate, Upgraded to Aa2 (sf); previously on Apr 1, 2016 Upgraded to A2 (sf) Cl. M1 Certificate, Upgraded to B2 (sf); previously on Apr 1, 2016 Upgraded to Caa2 (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 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 rating downgrade is due to outstanding interest shortfalls. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in January 2017. Factors that would lead to an upgrade or downgrade of the ratings: Ratings in the US RMBS sector remain exposed to the high level of macroeconomic uncertainty, and in particular the unemployment rate. The unemployment rate fell to 4.7% in December 2016 from 5.0% in December 2015. Moody's forecasts an unemployment central range of 4.5% to 5.5% for the 2017 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 2017. 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. ********* 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. TCR subscribers have free access to our on-line news archive. Point your Web browser to http://TCRresources.bankrupt.com/and use the e-mail address to which your TCR is delivered to login. ********* 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 2017. 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 ***