/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/170219.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 19, 2017, Vol. 21, No. 49 Headlines AIR 2: Moody's Hikes Rating on Series A Notes to Ba3 AIR CANADA 2015-1: Fitch Affirms 'BB' Rating on Cl. C Certificates AIRLIE CLO 2006-II: S&P Lowers Rating on Class D Notes to CCC+ ALESCO PREFERRED IV: Moody's Hikes Rating on Series I Notes to B3 ALLEGRO CLO II: S&P Affirms 'B' Rating on Class E Notes BANC OF AMERICA 2006-6: Moody's Affirms C Rating on Class F Debt BANK OF AMERICA 2017-BNK3: Fitch Assigns 'B' Rating on Cl. F Certs BARCLAYS BANK 2017-C1: Fitch to Rate Class X-F Certificates 'B-sf' BAYVIEW OPPORTUNITY 2017-CRT1: Fitch Rates Class B-3 Notes 'B+' BEAR STEARNS 2003-TOP12: Moody's Affirms B3 Rating on Cl. X-1 Debt BEAR STEARNS 2006-PWR14: S&P Affirms 'B-' Rating on Class C Certs BOWMAN PARK: S&P Retains 'B' Rating on Class F Notes CARLYLE GLOBAL 2014-2: S&P Affirms 'B' Rating on Class F Notes CBA COMMERCIAL 2005-1: Moody's Affirms C Rating on Cl. M-1 Certs. CBA COMMERCIAL 2006-2: Moody's Affirms C Rating on Cl. X-1 Debt CD 2017-CD3: Fitch Assigns 'B-sf' Rating to Class F Certificates COBALT CMBS 2007-C3: Fitch Affirms 'CCCsf' Rating on 2 Tranches COBALT CMBS 2007-C3: S&P Lowers Rating on Class F Certs to D COMM 2004-RS1: S&P Lowers Rating on Class D Notes to 'CC' COMM 2016-CD2: Fitch Affirms 'BB-sf' Rating on 2 Tranches CREDIT SUISSE 2005-C5: S&P Raises Rating on Class G Certs to 'B+' CRYSTAL RIVER 2006-1: Moody's Affirms Csf Ratings on 9 Note Classes DENALI CAPITAL VII: Moody's Affirms Ba2 Rating on Class B-2L Debt EXETER AUTOMOBILE 2017-1: S&P Assigns BB Rating on Class D Notes EXETER AUTOMOTIVE: DBRS Reviews 33 Ratings From 10 ABS Deals FIRST INVESTORS 2017-1: S&P Gives Prelim. BB- Rating on Cl. E Debt FIRST UNION 2001-C2: Moody's Affirms C Rating on Class IO Notes FLAGSHIP CLO VIII: S&P Assigns Prelim. B Rating on Class F Notes FREDDIE MAC 2017-HQA1: Fitch to Rate 12 Note Classes 'Bsf' GAHR COMMERCIAL 2015-NRF: Fitch Affirms B- Rating on Cl. F-FX Debt GMAC COMMERCIAL 2004-C2: Moody's Lowers Cl. B Notes Rating to Ca GS MORTGAGE 2013-G1: DBRS Confirms BB Rating on Class DM Debt JP MORGAN 2005-CIBC13: Fitch Affirms CCC Rating on Class A-J Certs JP MORGAN 2005-LDP2: S&P Affirms 'B' Rating on Class G Certs JP MORGAN 2012-C6: Fitch Affirms 'Bsf' Rating on Class H Certs JP MORGAN 2017-1: Fitch to Rate Class B-5 Notes at 'Bsf' JP MORGAN 2017-1: Moody's Assigns (P)Ba3 Rating to Cl. B-5 Debt KKR CLO 17: Moody's Assigns Provisional Ba3 Rating to Class E Notes LB-UBS COMMERCIAL 2007-C6: Moody's Cuts Rating on 2 Tranches to C MARLBOROUGH STREET: Moody's Lowers Rating on Cl. E Notes to B3 MERRILL LYNCH 2007-CA23: Moody's Affirms Ba3 Rating on Cl. XC Debt MORGAN STANLEY 2004-TOP15: Moody's Hikes Rating on Cl. H Debt to B3 MORGAN STANLEY 2011-C2: Moody's Affirms Ba3 Rating on Cl. X-B Debt MORGAN STANLEY 2016-C28: Fitch Affirms 'B-' Rating on 2 Tranches MORGAN STANLEY 2017-PRME: S&P Assigns 'BB' Rating on Cl. E Certs NOMURA CRE 2007-2: Moody's Hikes Class B Notes Rating to B1(sf) NORTHSTAR 2013-1: Moody's Hikes Rating on Class C Notes to Ba1 NORTHWOODS CAPITAL XIV: S&P Affirms BB Rating on Cl. E Notes NXT CAPITAL 2013-1: Moody's Hikes Rating on Class E Notes to Ba1 OHA LOAN 2013-1: S&P Assigns Prelim. 'B' Rating on Class F Notes ONE MARKET 2017-1MKT: S&P Assigns Prelim. B Rating on Cl. F Certs PRIMUS CLO II: Moody's Affirms Ba3(sf) Rating on Class E Notes RACE POINT VIII: S&P Assigns Prelim. BB- Rating on Cl. E-R Certs REALT 2015-1: Fitch Affirms 'Bsf' Rating on Class G Certificates SDART 2017-1: Moody's Assigns (P)Ba3 Rating to Class E Notes SHACKLETON 2017-X: Moody's Assigns (P)Ba3 Rating to Class E Notes SSB RV 2001-1: S&P Lowers Rating on Class C Notes to 'CC' UBS-BB 2013-C5: Moody's Affirms B2(sf) Rating on Class F Notes UBS-BB 2013-C6: Moody's Affirms B2(sf) Rating on Class F Notes VENTURE XXVI: Moody's Rates $25.7MM Class E Notes 'Ba2' VERUS SECURITIZATION 2017-1: S&P Gives (P)B+ Rating to B-3 Certs WAMU COMMERCIAL 2006-SL1: Fitch Hikes Rating on Class D Certs to B WELLS FARGO 2011-C4: Fitch Affirms 'Bsf' Rating on Class G Certs WIRELESS CAPITAL 2013-1: Fitch Affirms BB- Rating on 2013-1B Notes WOODMONT 2017-1: S&P Assigns Prelim. BB Rating on Class E Notes [*] Moody's Hikes $243MM of Scratch & Dent RMBS Issued 2004-2006 [*] Moody's Hikes $61.7 Million of Alt-A RMBS Issued 2005 [*] Moody's Takes Action on $200.9MM of RMBS Issued 2003 & 2004 [*] Moody's Takes Action on $98MM of RMBS Issued 2003-2005 [*] S&P Completes Review of 89 Classes From 15 US RMBS Deals [*] S&P Discontinues Ratings on 102 Classes From 30 CDO Deals [*] S&P Lowers Ratings on 6 Classes From 3 CMBS Transactions [*] S&P Puts 46 Ratings on 25 RMBS Transactions on CreditWatch Pos. ********* AIR 2: Moody's Hikes Rating on Series A Notes to Ba3 ---------------------------------------------------- Moody's Investors Service announced that it has upgraded the rating on the Series A notes of the Air 2 US Enhanced Equipment Notes. The complete rating action is: Issuer: Air 2 US, Series A, B, C, D Enhanced Equipment Notes Ser. A, Upgraded to Ba3 (sf); previously on Jun 26, 2015 Upgraded to B1 (sf) RATINGS RATIONALE The rating action follows the upgrade of the senior unsecured rating of United Continental Holdings, Inc. ("United") by Moody's on January 23, 2017 to Ba3 from B1. United is the sublessee in the transaction. The Series A Equipment Notes depend, in large part, on United paying on its lease obligations. Should United default on its lease obligations, the transaction's ability to pay down the Series A Notes will be heavily dependent on Air 2 US' ability to re-lease the remaining A320-232 aircraft backing the deal, which could be difficult since the aircraft are on average about 20 years old. The principal methodology used in this rating was "Moody's Approach To Pooled Aircraft-Backed Securitization" published in March 1999. Factors that would lead to an upgrade or downgrade of the rating: Upgrade or downgrade of the ratings of United Continental Holdings, Inc. Loss and Cash Flow Analysis: For this rating action, Moody's examined the current lease revenues and expenses and analyzed potential cash flows to the bondholders based on priority of payments. AIR CANADA 2015-1: Fitch Affirms 'BB' Rating on Cl. C Certificates ------------------------------------------------------------------ Fitch Ratings has affirmed the ratings for the Air Canada Pass Through Trust 2015-1 and 2013-1 series of enhanced equipment trust certificates as follows: -- 2015-1 class A certificates due 2027 at 'A'; -- 2015-1 class C certificates due 2020 at 'BB'. -- 2013-1 class A certificates due 2025 at 'A'; -- 2013-1 class B certificates due 2021 at 'BBB-'; -- 2013-1 class C certificates due 2018 at 'BB'. In addition, Fitch has upgraded the following rating: -- 2015-1 class B certificates due 2023 to 'BBB' from 'BBB-'. KEY RATING DRIVERS The upgrade of the 2015-1 class B certificates was driven by improved recovery prospects resulting from the inclusion of updated appraisal data for the collateral in this pool (consisting of 787-9s and one 787-8), and due to Fitch's use of a lower asset-value stress rate for the 787-9 in its stress scenarios reflecting Fitch views of that aircraft as a high quality, tier 1 asset. These factors contributed to lower loan-to-values (LTVs) for the transaction, and higher recovery prospects for the class B certificates, which now pass Fitch's threshold for a one-notch recovery uplift. Generally, Fitch only applies a ratings uplift for subordinated EETC tranches in cases where recovery is expected to comfortably exceed 100% throughout the life of the transaction in Fitch 'BB' level rating scenario. Senior tranche ratings are primarily driven by a top-down analysis which evaluates the level of overcollateralization maintained in these transactions through a series of stress tests. Both the Air Canada 2013-1 and 2015-1 class A certificates remain sufficiently overcollateralized to pass Fitch's 'A' level stress tests when incorporating the latest available aircraft appraisal data. This suggests that senior tranche debtholders would be expected to achieve full principal recovery prior to the expiration of the transaction's liquidity facility even in a harsh downturn scenario. LTV ratios in the 2013-1 transaction, which is secured by five 777-300ERs, have remained roughly flat over the past year. Fitch calculates the current LTV at 52.3% and the maximum LTV in Fitch 'A' category stress case is 81.9%, indicating a good deal of headroom for senior tranche-holders in the case of a downturn. 777 values remain vulnerable to the introduction of Airbus' A350 family, the pending introduction of the 777x (scheduled for the 2020 timeframe), and in anticipation of a number of 777-300ERs scheduled to come off their initial leases over the next several years. Asset values and LTVs for the 2015-1 transaction have performed well since the transaction launched two years ago. The transaction is backed by one 787-8 and eight 787-9s, which continue to be highly sought-after aircraft. Fitch's 'A' level stress scenario produces a maximum LTV of 78.4% through the life of the transaction, which is down by roughly 400 basis points from Fitch's previous review. Fitch could upgrade the 2015-1 class A certificates to 'A+' if asset values continue to perform well and if Air Canada's corporate credit profile continues to improve. KEY ASSUMPTIONS Fitch's key assumptions within the rating case for both transactions include: -- Asset values in-line with those provided by Fitch's independent aircraft appraisers; -- Asset value depreciation for collateral aircraft at roughly 5%/year; -- Asset value stresses in line with those detailed in Fitch's EETC criteria. RATING SENSITIVITIES A tranche ratings are primarily driven by the value of the underlying collateral. The ratings for the 2013-1 class A certificates could be considered for a negative action if market values for the 777-300ER were to experience an unexpected and severe decline. Similarly, the 2015-1 class A certificates could be considered for a negative action if 787 values were to experience an unexpected and severe decline. However, both transactions feature significant amounts of downside cushion at their current rating levels. The 2015-1 class A certificates could be considered for an upgrade if 787 values continue to perform well and if Air Canada's credit profile continues to improve. The B and C tranche ratings are linked to the underlying airline Issuer Default Rating (IDR). Therefore, if Air Canada's IDR were to be downgraded, the B and C tranches would likely be downgraded in tandem. However, if Fitch were to upgrade the IDR to 'BB-', the subordinated tranches may not be upgraded, as the agency's EETC criteria provide for some ratings compression when airline IDRs are in the 'BB' category. Fitch currently rates Air Canada at 'B+'/Positive Outlook. AIRLIE CLO 2006-II: S&P Lowers Rating on Class D Notes to CCC+ -------------------------------------------------------------- S&P Global Ratings raised its rating on the class B notes and lowered its rating on the class D notes from Airlie CLO 2006-II Ltd., a U.S. collateralized loan obligation (CLO) managed by Airlie Opportunity Capital Management LLP. S&P also removed its rating on the class D notes from CreditWatch, where S&P placed them with negative implications on December 2016. At the same time, S&P affirmed its rating on the class A-2 and C notes from the same transaction. Finally, S&P discontinued its rating on the class A-1 notes following their paydown in full on the January payment date. The rating actions follow S&P's review of the transaction's performance using data from the Jan. 9, 2017, trustee report. The upgrade reflects the transaction's $97.940 million in collective paydowns to the class A-1 and A-2 notes since S&P's November 2015 rating actions, which has increased the overcollateralization (O/C) levels for the A-2, B, and C notes. On the Jan. 9, 2017, payment date, the class A-1 notes were paid down in full. The rating on this class is therefore being discontinued. These paydowns resulted in these reported O/C ratios since the Oct. 7, 2015, trustee report, which S&P used for its previous rating actions: -- The class A-2 O/C ratio improved to 291.24% from 147.81%. -- The class B O/C ratio improved to 166.43% from 124.57%. -- The class C O/C ratio improved to 123.54% from 110.50%. -- The class D O/C ratio decreased to 99.49% from 99.91%. The upgrade on class B reflects the improved credit support at the prior rating level. The affirmations classes A-2 and C reflect S&P's view that the credit support available is commensurate with the current rating levels. The transaction is failing the class D O/C principal coverage test as of the January 2017 trustee report (99.49% principal coverage test ratio compared with a required minimum of 101.90%). When calculating the class D O/C principal coverage test, the trustee haircuts a portion of the 'CCC' rated collateral that exceeds the threshold specified in the transaction documents. This threshold is currently in breach, leading the trustee to haircut an amount when calculating the O/C principal coverage test. The transaction continues to divert available interest proceeds to pay down the senior notes in connection with this failure and in line with the payment priority. In addition, S&P's analysis considered two recent defaults that occurred after the release of the January monthly trustee report. The downgrade on class D reflects S&P's view that the credit support available has deteriorated from the prior rating level. 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. RATING RAISED Airlie CLO 2006-II Ltd. Rating Class To From B AAA (sf) AA+ (sf) RATING LOWERED AND REMOVED FROM WATCH NEGATIVE Airlie CLO 2006-II Ltd. Rating Class To From D CCC+ (sf) B+ (sf)/Watch Neg RATINGS AFFIRMED Airlie CLO 2006-II Ltd. Class Rating A-2 AAA (sf) C A+ (sf) RATING WITHDRAWN Airlie CLO 2006-II Ltd. Rating Class To From A-1 NR AAA (sf) NR--Not rated. ALESCO PREFERRED IV: Moody's Hikes Rating on Series I Notes to B3 ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Alesco Preferred Funding IV, Ltd.: US$195,000,000 Class A-1 First Priority Senior Secured Floating Rate Notes Due 2034 (current balance of $79,158,021), Upgraded to Aa1 (sf); previously on July 22, 2014 Confirmed Aa2 (sf) US$63,000,000 Class A-2 Second Priority Senior Secured Floating Rate Notes Due 2034, Upgraded to Aa3 (sf); previously on July 22, 2014 Confirmed A2 (sf) US$7,000,000 Class A-3 Second Priority Senior Secured Fixed/Floating Rate Notes Due 2034, Upgraded to Aa3 (sf); previously on July 22, 2014 Confirmed A2 (sf) US$5,000,000 Series I Combination Notes Due 2034 (current rated balance of $2,154,954 ), Upgraded to B3 (sf); previously on July 22, 2014 Confirmed Caa1 (sf) Alesco Preferred Funding IV, Ltd., issued in May 2004, is a collateralized debt obligation (CDO) backed by a portfolio of bank trust preferred securities (TruPS). RATINGS RATIONALE The rating actions are primarily a result of the deleveraging of the Class A-1 notes, an increase in the transaction's over-collateralization (OC) ratios and the resumption of interest payments on previously deferring assets since February 2016. The Class A-1 notes have paid down by approximately 24% or $25.2 million since February 2016 using principal proceeds from the redemption of the underlying assets and the diversion of excess interest proceeds. Since then, one previously deferring bank with a total par of $7.5 million has resumed making interest payments on its TruPS; three assets with a total par of $22.0 million have redeemed at par. In addition, Moody's gave full par credit in its analysis to one deferring asset that meet certain criteria, totaling $6 million in par. Based on Moody's calculations, the OC ratios for the Class A-1 and Class A notes have improved to 286.3% and 151.9%, respectively, from February 2016 levels of 231.0% and 138.3%, respectively. The Class A-1 notes will continue to benefit from the diversion of excess interest and the use of proceeds from redemptions of any assets in the collateral pool. The rating action as to the Series I Combination Notes also reflects the correction of a prior error. Due to an error in internal documentation, the July 2014 rating action on these notes was based on incorrectly reported cash flow model results regarding the transaction. The error has now been corrected, and action on the Series I Combination Note reflects the correct cash flow modeling. Methodology Underlying the Rating Action The principal methodology used in these ratings was "Moody's Approach to Rating TruPS CDOs," 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, as described below: 1) Macroeconomic uncertainty: TruPS CDOs performance could be negatively affected by uncertainty about credit conditions in the general economy. Moody's has a stable outlook on the US banking sector. 2) Portfolio credit risk: Credit performance of the assets collateralizing the transaction that is better than Moody's current expectations could have a positive impact on the transaction's performance. Conversely, asset credit performance weaker than Moody's current expectations could have adverse consequences on the transaction's performance. 3) Deleveraging: One source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds and excess interest proceeds will continue and at what pace. Note repayments that are faster than Moody's current expectations could have a positive impact on the notes' ratings, beginning with the notes with the highest payment priority. 4) Resumption of interest payments by deferring assets: A number of banks have resumed making interest payments on their TruPS. The timing and amount of deferral cures could have significant positive impact on the transaction's over-collateralization ratios and the ratings on the notes. 5) Exposure to non-publicly rated assets: The deal contains a large number of securities whose default probability Moody's assesses through credit scores derived using RiskCalc™ or credit estimates. Because these are not public ratings, they are subject to additional uncertainties. 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): Assuming a two-notch upgrade to assets with below-investment grade ratings or rating estimates (WARF of 454) Class A-1: 0 Class A-2: +1 Class A-3: +1 Class B-1: +1 Class B-2: +1 Class B-3: +1 Series I Combination Notes: +2 Assuming a two-notch downgrade to assets with below-investment grade ratings or rating estimates (WARF of 1132) Class A-1: -1 Class A-2: -1 Class A-3: -1 Class B-1: -1 Class B-2: -1 Class B-3: -1 Series I Combination Notes: -1 Loss and Cash Flow Analysis: Moody's applied a Monte Carlo simulation framework in Moody's CDOROM™ to model the loss distribution for TruPS CDOs. The simulated defaults and recoveries for each of the Monte Carlo scenarios defined the reference pool's loss distribution. Moody's then used the loss distribution as an input in its CDOEdge™ cash flow model. CDOROM™ is available on www.moodys.com under Products and Solutions -- Analytical models, upon receipt of a signed free license agreement. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, and weighted average recovery rate, are based on its methodology and could differ from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool has having a performing par (after treating deferring securities as performing if they meet certain criteria) of $226.6 million, defaulted and deferring par of $70.8 million, a weighted average default probability of 7.83% (implying a WARF of 736), and a weighted average recovery rate upon default of 10.0%. In addition to the quantitative factors Moody's explicitly models, qualitative factors are part of rating committee considerations. Moody's considers the structural protections in the transaction, the risk of an event of default, recent deal performance under current market conditions, the legal environment and specific documentation features. All information available to rating committees, including macroeconomic forecasts, inputs from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. The portfolio of this CDO contains TruPS issued by small to medium sized U.S. community banks that Moody's does not rate publicly. To evaluate the credit quality of bank TruPS that do not have public ratings, Moody's uses RiskCalc™, an econometric model developed by Moody's Analytics, to derive credit scores. Moody's evaluation of the credit risk of most of the bank obligors in the pool relies on the latest FDIC financial data. ALLEGRO CLO II: S&P Affirms 'B' Rating on Class E Notes ------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1-R, A-2-R, B-R, and C-R replacement notes from Allegro CLO II Ltd., a collateralized loan obligation (CLO) originally issued in 2015 that is managed by AXA Investment Managers Inc. S&P withdrew its ratings on the original class A-1, A-2, B, and C notes following payment in full on the Feb. 9, 2017, refinancing date. At the same time, S&P affirmed its ratings on the class D and E notes. On the Feb. 9, 2017, refinancing date, the proceeds from the class A-1-R, A-2-R, B-R, and C-R replacement note issuances were used to redeem the original class A-1, A-2, B, and C notes as outlined in the transaction document provisions. Therefore, S&P withdrew its ratings on the original notes in line with their full redemption, and S&P is assigning ratings to the replacement notes. The replacement notes are being issued via a supplemental indenture and carry a lower spread over LIBOR than for the original 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. The assigned ratings reflect S&P's opinion that the credit support available is commensurate with the associated rating levels. S&P will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and S&P will take rating actions as it deems necessary. RATINGS ASSIGNED Allegro CLO II Ltd. Replacement class Rating Amount (mil $) A-1-R AAA (sf) 244.40 A-2-R AA (sf) 48.50 B-R A (sf) 32.50 C-R BBB- (sf) 24.80 RATINGS WITHDRAWN Allegro CLO II Ltd. Rating Original class To From A-1 NR AAA (sf) A-2 NR AA (sf) B NR A (sf) C NR BBB- (sf) RATINGS AFFIRMED Class Rating D BB- (sf) E B (sf) OTHER OUTSTANDING CLASSES Class Rating Subordinated notes NR NR--Not rated. BANC OF AMERICA 2006-6: Moody's Affirms C Rating on Class F Debt ---------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on two classes and downgraded the rating on one class in Banc of America Commercial Mortgage Inc. Commercial Mortgage Pass-Through Certificates, Series 2006-6: Cl. E, Affirmed Ca (sf); previously on Sep 8, 2016 Affirmed Ca (sf) Cl. F, Affirmed C (sf); previously on Sep 8, 2016 Affirmed C (sf) Cl. XC, Downgraded to Caa3 (sf); previously on Sep 8, 2016 Downgraded to B1 (sf) RATINGS RATIONALE The ratings on the P&I classes were affirmed because the ratings are consistent with expected recovery of principal and interest from specially and troubled loans as well as losses from previously liquidated loans. The rating on the IO Class, Cl. XC, was downgraded due to the decline in the credit performance of its reference classes resulting from principal paydowns of higher quality reference classes. Moody's rating action reflects a base expected loss of 63.3% of the current balance, compared to 14.0% at Moody's last review. Moody's base expected loss plus realized losses is now 7.3% of the original pooled balance, compared to 8.7% 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. XC 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 100% of the pool is in special. 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 class(es) and the recovery as a pay down of principal to the most senior class(es). 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 February 10, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 98% to $38.2 million from $2.46 billion at securitization. The certificates are collateralized by six specially serviced mortgage loans ranging in size from less than 3% to 40% of the pool. Twenty-two loans have been liquidated from the pool, contributing to an aggregate realized loss of $156 million (for an average loss severity of 37%). The largest specially serviced loan is the Marketplace College Ave Loan ($15.2 million -- 39.8% of the pool), which is secured by a 241,048 square feet (SF) anchored retail center located in Appleton, Wisconsin, approximately 33 miles southwest of Green Bay, Wisconsin. The loan transferred to special servicing effective April 2016 due to monetary default. The property faces short term rollover risk from two leases, representing 43% of the net rentable area (NRA), with lease expiration dates in 2018. The anchor tenant has already indicated that it plans to vacate upon its lease expiration in 2018. The special servicer indicated a foreclosure complaint has been filed and a foreclosure sale is projected to occur in June 2017. The second largest specially serviced loan is the Kettering Towne Center Loan ($10.1 million -- 26.4% of the pool), which is secured by an anchored retail center located in Kettering, Ohio, a suburb of Dayton, Ohio. The loan transferred to special servicing effective November 2016 due to a maturity default. The borrower has indicated it has been unsuccessful in its attempts to refinance the loan. As of December 2016, the property was 81% leased and the anchor tenant, Elder Beerman, occupies 41% of the NRA. The third largest specially serviced loan is the Tire Centers - Statesville, NC Loan ($4.8 million -- 12.5% of the pool), which is secured by a 150,000 SF industrial property located in Statesville, North Carolina, 47 miles north of the Charlotte CBD. The loan transferred to special servicing effective December 2016 due to a maturity default. The sole tenant, TCI Tire Centers, vacated upon its lease expiration date at the end of 2016. The special servicer has commenced its exercise of rights and remedies and will dual track foreclosure/receivership, while continuing to engage in workout discussions with the borrower. The remaining three specially serviced loans are secured by a mix of property types. Moody's estimates an aggregate $24.2 million loss for the specially serviced loans (63% expected loss on average). REGULATORY DISCLOSURES For further specification of Moody's key rating assumptions and sensitivity analysis, see the sections Methodology Assumptions and Sensitivity to Assumptions of the disclosure form. The analysis includes an assessment of collateral characteristics and performance to determine the expected collateral loss or a range of expected collateral losses or cash flows to the rated instruments. As a second step, Moody's estimates expected collateral losses or cash flows using a quantitative tool that takes into account credit enhancement, loss allocation and other structural features, to derive the expected loss for each rated instrument. Moody's did not use any stress scenario simulations in its analysis. For ratings issued on a program, series or category/class of debt, this announcement provides certain regulatory disclosures in relation to each rating of a subsequently issued bond or note of the same series or category/class of debt or pursuant to a program for which the ratings are derived exclusively from existing ratings in accordance with Moody's rating practices. For ratings issued on a support provider, this announcement provides certain regulatory disclosures in relation to the credit rating action on the support provider and in relation to each particular credit rating action for securities that derive their credit ratings from the support provider's credit rating. For provisional ratings, this announcement provides certain regulatory disclosures in relation to the provisional rating assigned, and in relation to a definitive rating that may be assigned subsequent to the final issuance of the debt, in each case where the transaction structure and terms have not changed prior to the assignment of the definitive rating in a manner that would have affected the rating. For any affected securities or rated entities receiving direct credit support from the primary entity(ies) of this credit rating action, and whose ratings may change as a result of this credit rating action, the associated regulatory disclosures will be those of the guarantor entity. Exceptions to this approach exist for the following disclosures, if applicable to jurisdiction: Ancillary Services, Disclosure to rated entity, Disclosure from rated entity. BANK OF AMERICA 2017-BNK3: Fitch Assigns 'B' Rating on Cl. F Certs ------------------------------------------------------------------ Fitch Ratings has assigned the following ratings and Rating Outlooks to Bank of America Merrill Lynch Commercial Mortgage Trust 2017-BNK3 commercial mortgage pass-through certificates, series 2017-BNK3: -- $27,490,000 class A-1 'AAAsf'; Outlook Stable; -- $52,680,000 class A-2 'AAAsf'; Outlook Stable; -- $33,360,000 class A-SB 'AAAsf'; Outlook Stable; -- $175,000,000 class A-3 'AAAsf'; Outlook Stable; -- $361,236,000 class A-4 'AAAsf'; Outlook Stable; -- $649,766,000b class X-A 'AAAsf'; Outlook Stable; -- $175,205,000b class X-B 'A-sf'; Outlook Stable; -- $92,824,000 class A-S'AAAsf'; Outlook Stable; -- $46,412,000 class B 'AA-sf'; Outlook Stable; -- $35,969,000 class C 'A-sf'; Outlook Stable; -- $38,290,000ab class X-D 'BBB-sf'; Outlook Stable; -- $38,290,000a class D 'BBB-sf'; Outlook Stable; -- $16,244,000a class E 'BB+sf'; Outlook Stable; -- $13,924,000a class F 'Bsf'; Outlook Stable. The following classes are not rated by Fitch: -- $34,809,005a class G; -- $48,854,631.88ac RR Interest. (a) Privately placed and pursuant to Rule 144A. (b) Notional amount and interest only. (c) Vertical credit risk retention interest representing 5% of the pool balance (as of the closing date). Since Fitch issued its expected ratings on Jan. 26, 2017, the following changes have occurred: the class A-3 balance increased from $110,000,000 to $175,000,000; and the class A-4 balance decreased from $426,236,000 to $361,236,000. Additionally, the class X-B notional balance is now equal to the aggregate certificates of the class A-S, class B, and class C certificates; Fitch's final rating has been updated to reflect the fact that the class X-B captures the excess spread from the associated class C certificates. The classes above reflect the final ratings and deal structure. The certificates represent the beneficial ownership interest in the trust, primary assets of which are 63 loans secured by 94 commercial properties having an aggregate principal balance of $977,092,638 as of the cut-off date. The loans were contributed to the trust by Wells Fargo Bank, National Association, Morgan Stanley Mortgage Capital Holdings LLC, and Bank of America, National Association. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 73% of the properties by balance, cash flow analysis of 81.4%, and asset summary reviews on 100% of the pool. KEY RATING DRIVERS Pool Diversity: The pool shows diversity with respect to loan size and property type. The top 10 loans represent 48.9% of the pool, and the loan concentration index (LCI) is 331; both metrics are below the respective 2016 averages of 54.8% and 422. No property type represents more than 29.6% of the pool (retail). Hotel properties only represent 12.4% of the pool, which is below the 2016 average of 16% for Fitch-rated multiborrower transactions. Fitch Leverage in Line with 2016 Average: The pool's leverage is in line with that of other Fitch-rated multiborrower transactions. The pool's Fitch DSCR and LTV are 1.21x and 103.9%, respectively, which are comparable to the 2016 averages of 1.21x and 105.2%. Excluding investment-grade credit opinion loans, the pool has a Fitch DSCR and LTV of 1.20x and 107%, respectively, better than the 2016 normalized averages of 1.16x and 109.9%. Investment-Grade Credit Opinion Loans: Two loans, representing 7.2% of the pool, have investment-grade credit opinions. 85 Tenth Avenue (5.1% of the pool) has an investment-grade credit opinion of 'BBBsf*' on a stand-alone basis. Potomac Mills (2.1% of the pool) has an investment-grade credit opinion of 'BBBsf*' on a stand-alone basis. Combined, the two credit opinion loans have a weighted average (WA) Fitch DSCR and LTV of 1.38x and 64.3%, respectively. RATING SENSITIVITIES For this transaction, Fitch's net cash flow (NCF) was 12.8% below the most recent year's net operating income (NOI) for properties for which a full-year NOI was provided, excluding properties that were stabilizing during this period). Unanticipated further declines in property-level NCF could result in higher defaults and loss severities on defaulted loans and in potential rating actions on the certificates. Fitch evaluated the sensitivity of the ratings assigned to the BACM 2017-BNK3 certificates and found that the transaction displays average sensitivities to further declines in NCF. In a scenario in which NCF declined a further 20% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB+sf' could result. BARCLAYS BANK 2017-C1: Fitch to Rate Class X-F Certificates 'B-sf' ------------------------------------------------------------------ Fitch Ratings has issued a presale report on Barclays Bank Commercial Mortgage Securities LLC Trust 2017-C1 commercial mortgage pass-through certificates, series 2017-C1. Fitch expects to rate the transaction and assign Rating Outlooks: -- $22,421,053 class A-1 'AAAsf'; Outlook Stable; -- $66,989,474 class A-2 'AAAsf'; Outlook Stable; -- $105,263,158 class A-3 'AAAsf'; Outlook Stable; -- $366,928,423 class A-4 'AAAsf'; Outlook Stable; -- $37,421,053 class A-SB 'AAAsf'; Outlook Stable; -- $599,023,161b class X-A 'AAAsf'; Outlook Stable; -- $148,686,317b class X-B 'A-sf'; Outlook Stable; -- $66,320,000 class A-S 'AAAsf'; Outlook Stable; -- $43,856,843 class B 'AA-sf'; Outlook Stable; -- $38,509,474 class C 'A-sf'; Outlook Stable; -- $43,856,846ab class X-D 'BBB-sf'; Outlook Stable; -- $21,393,690ab class X-E 'BB-sf'; Outlook Stable; -- $8,556,843ab class X-F 'B-sf'; Outlook Stable; -- $43,856,846a class D 'BBB-sf'; Outlook Stable; -- $21,393,690a class E 'BB-sf'; Outlook Stable; -- $8,556,843a class F 'B-sf'; Outlook Stable. The following classes are not expected to be rated: -- $8,557,895ab class X-G; -- $25,672,986ab class X-H; -- $8,557,895a class G; -- $25,672,986a class H; -- $42,787,408ac RR Interest. (a) Privately placed and pursuant to Rule 144A. (b) Notional amount and interest only. (c) Vertical credit risk retention interest representing 5% of the pool balance (as of the closing date). The expected ratings are based on information provided by the issuer as of Feb. 9, 2017. The certificates represent the beneficial ownership interest in the trust, primary assets of which are 58 loans secured by 75 commercial properties having an aggregate principal balance of $855,747,738 as of the cut-off date. The loans were contributed to the trust by Barclays Bank PLC, UBS AG, and Rialto Mortgage Finance, LLC. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 76.6% of the properties by balance, cash flow analysis of 81.6%, and asset summary reviews on 100% of the pool. KEY RATING DRIVERS Fitch Leverage Higher than 2016 Average: The pool has higher leverage than other Fitch-rated multiborrower transactions. The pool's Fitch DSCR of 1.17x is worse than the 2016 average of 1.21x. The pool's Fitch LTV of 106.0% is slightly worse than the 2016 average of 105.2%. Below-Average Amortization: Thirteen loans representing 47.3% of the pool are full-term interest-only and 18 loans representing 22.6% of the pool are partial interest-only. Fitch-rated transactions in 2016 had an average full-term interest-only percentage of 33.3% and a partial interest-only percentage of 33.3%. The pool is scheduled to amortize by 7.4% of the initial pool balance prior to maturity, below the average of 10.4% for other Fitch-rated transactions. Pool Diversity: The pool shows diversity with respect to loan size and property type. The top 10 loans represent 49.9% of the pool, and the loan concentration index (LCI) is 342; both metrics are below the respective 2016 averages of 54.8% and 422. RATING SENSITIVITIES For this transaction, Fitch's net cash flow (NCF) was 11.2% below the most recent year's net operating income (NOI) for properties for which a full-year NOI was provided, excluding properties that were stabilizing during this period). Unanticipated further declines in property-level NCF could result in higher defaults and loss severities on defaulted loans and in potential rating actions on the certificates. Fitch evaluated the sensitivity of the ratings assigned to the BBCMS 2017-C1 certificates and found that the transaction displays average sensitivities to further declines in NCF. In a scenario in which NCF declined a further 20% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB+sf' could result. In a more severe scenario, in which NCF declined a further 30% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB-sf' could result. BAYVIEW OPPORTUNITY 2017-CRT1: Fitch Rates Class B-3 Notes 'B+' --------------------------------------------------------------- Fitch Ratings has assigned ratings to Bayview Opportunity Master Fund IVb Trust 2017-CRT1 (BOMFT 2017-CRT1): -- $126,281,000 class M notes 'BBB-sf'; Outlook Stable; -- $21,704,000 class B-1 initial exchangeable notes 'BB+sf'; Outlook Stable; -- $17,758,000 class B-2 initial exchangeable notes 'BBsf'; Outlook Stable; -- $15,785,000 class B-3 initial exchangeable notes 'B+sf'; Outlook Stable; -- $126,281,000 class M-X notional notes 'BBB-sf'; Outlook Stable. The following classes will not be rated by Fitch: -- $15,786,398 class B-4 initial exchangeable notes; -- $71,033,398 class B subsequent exchangeable notes. BOMFT 2017-CRT1 is collateralized by 13 underlying securities from GSE Credit Risk Transfer (CRT) transactions. The underlying securities include M2 classes from various Fannie Mae Connecticut Avenue Securities (CAS) transactions and M3 classes from various Freddie Mac Structured Agency Credit Risk (STACR) transactions. The underlying securities are general unsecured obligations of Fannie Mae ('AAA'/Outlook Stable) and Freddie Mac ('AAA'/Outlook Stable) and are subject to the credit and principal payment risk of a reference pool of certain residential mortgage loans held in various Fannie Mae or Freddie Mac-guaranteed MBS. All of the underlying securities were issued between 2014 and 2016, and five of the underlying transactions rely on a fixed tiered loss severity schedule that is determined by the amount of cumulative credit events in the reference pool when passing credit losses to bondholders. Fitch currently holds public ratings on six of the 13 underlying securities ranging from 'Bsf' to 'BB+sf' and an additional four non-rated classes are in transactions where Fitch maintains ratings on separate classes. For the three unrated securities that are not in Fitch-rated transactions, Fitch relies on publicly available information in its credit analysis. The 'BBB-sf' rating for the M notes, the 'BB+sf' rating on the B-1 notes, the 'BBsf' rating on the B-2 notes, and the 'B+sf' rating on the B-3 notes reflects credit enhancement (CE) sufficient to protect against projected losses on the remaining underlying reference pool balances of approximately 2.15%, 1.80%, 1.50% and 1.00%, respectively, when the projected reference pool losses are weighted by the contributing balance of the underlying securities. To help ensure rating stability on the new notes, the initial CE provides protection one rating notch above Fitch's rating-stressed projected losses. For example, the M notes ('BBB-sf') are initially protected against Fitch's 'BBBsf' rating stress scenario and the B-1 notes ('BB+sf') are initially protected against Fitch's 'BBB-sf' rating stress scenario. The CE and projected recovery for the rated notes in this transaction were assessed by comparing the CE and class size for each underlying security to Fitch's loss projections for the related reference mortgage pools. For example, a hypothetical underlying security with CE of 2.00% and a class size of 1.00% is assumed to recover 50% of its class principal balance in a rating stress scenario with a 2.50% underlying reference pool loss. The total estimated principal recovery amount available to pay the rated notes is the aggregated projected recovery of each underlying security, weighted by its contributing balance. Fitch believes this is a conservative approach to estimating principal recovery for the new rated classes, since it does not allow for any rating benefit from the shorter remaining life of the M class. To the extent the new rated classes pay off in full before Fitch's projected losses on the underlying reference pools are fully realized, the classes will be able to sustain more severe stress scenarios than their initial rating reflects. The structure allows for interest collections to be used as principal payments on the senior class. If the transaction is not called at the Optional Redemption Date, the interest rate on the class M-X will fall to 0% and interest otherwise allocated to this class will be used to pay down the class M. Additionally, interest from the subordinate bonds will pay down the class M and this amount will accrue to the subordinate bond balances. While this change is a positive for the rated classes due to the potential build-up of overcollateralization, Fitch did not provide additional credit for this feature. The credit enhancement on each of the rated classes is sufficient to protect against Fitch's expected loss, regardless of the benefit from any excess spread. Fitch's credit rating reflects the probability of ultimate recovery of principal and the payment of bond interest up to the Net WAC cap. Fitch's credit analysis of BOMFT 2017-CRT1 focused primarily on principal recovery due to the transaction's definition of the Net WAC cap, which was defined as the interest collected (not due) on the underlying securities, net of expenses over the class principal balance of the P&I notes. In such a structure, interest shortfalls that can affect credit ratings on the new classes are generally not possible, since interest due is effectively defined as interest available. However, the structure allows for the repayment of Net WAC cap shortfalls to the M, B-1 and B-2 classes prior to paying interest due to the B-3 class. Consequently, interest shortfalls that can affect credit ratings are possible for the B-3 class. Fitch analysed scenarios that could result in interest shortfalls for the B-3 class, focusing on the potential for large extraordinary expenses after the coupon step-up date that could result in interest collections being diverted to pay Net WAC cap shortfalls to more senior classes than the B-3 class. Fitch believes the risk of interest shortfalls to the B-3 class is consistent with a 'B+sf' credit rating due to mitigating factors such as the annual limit on eligible extraordinary expenses and the margin between the coupon on the underlying securities and the new rated classes. KEY RATING DRIVERS Performance to Date (Positive): All of the underlying reference pools have performed well, incurring fewer than 5bps of loss to date. The performance has been driven by high credit quality and strong home price appreciation. The remaining loans have benefitted from an average of 15% home price appreciation since origination. Fixed Tiered Loss Severity Transactions (Positive): Five of the 13 underlying securities are from CRT transactions structured with a fixed loss severity schedule that is based upon the percentage of cumulative credit events. This structure limits potential losses to bondholders. Further, as the transactions age with strong performance, the potential for high loss severities becomes increasingly less probable, even in high-stress rating scenarios. Hard Maturity Date (Positive): All of the underlying transactions are structured to a final legal maturity at which time the related issuer will repay the outstanding balance of the transaction in full. The issuers are currently rated 'AAA' by Fitch and therefore Fitch considers the probability of repayment of any outstanding balances at the maturity date to be a 'AAA' credit risk. The final maturity date for each transaction is either 10 years or 12.5 years after issuance depending on whether it is a fixed loss severity transaction or an actual loss transaction. As the transactions continue to season and approach the maturity date, the window in which losses can be realized by the transaction decreases, resulting in lower loss expectations on the remaining balances. Fitch applies a reduction to its lifetime default expectations to account for this, with the most seasoned transactions receiving the largest benefit. Sequential Payment Priority (Positive): Due to the sequential payment priority among the non-senior classes in the underlying transactions, the underlying securities have benefitted from an increase in CE as a percentage of the underlying reference pool. Not Currently Receiving Principal (Negative): Only one of the underlying securities is currently receiving principal. However, Fitch estimates, on average, the underlying securities are likely to begin receiving principal within two years with a number of underlying securities projected to start receiving principal within the next 12 months. Class Thickness (Negative): The classes of the underlying securities make up a relatively small percentage of the underlying reference pool balance, with an average size between 2% and 3%. The small class sizes relative to the CRTs' capital structure may increase the potential volatility of recoveries in the event of a default. When considering the class thickness and recovery volatility of the underlying securities, Fitch considered the size of the class relative to the differences between projected reference pool losses in increasingly stressful rating scenarios. On average for the underlying securities, the difference between the scenario that causes a dollar of principal writedown and a scenario that results in a complete loss to the underlying security is approximately two full rating categories. Measured a different way in terms of national home price decline, Fitch estimates the difference between the scenarios that cause a dollar of loss and a complete loss on the underlying securities is, on average, a 10% further national home price decline, which Fitch believes is a meaningful difference in macroeconomic scenarios. Additionally, unlike recent vintage private-label U.S. RMBS where a relatively small number of loans can make up 2%-3% of a mortgage pool, the same percentage represents thousands of loans in CRT transactions, helping to mitigate idiosyncratic risk. Receivership Risk Considered (Neutral): Under the Federal Housing Finance Regulatory Reform Act, the Federal Housing Finance Agency (FHFA) must place Fannie Mae and Freddie Mac into receivership if it determines that the government-sponsored enterprise's (GSE) 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 Fannie Mae or Freddie Mac if it is determined that such action would promote an orderly administration of the GSE's affairs. Fitch believes that the U.S. government will continue to support both Fannie Mae and 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 the GSEs could be downgraded, and ratings on the notes for the underlying securities - and ultimately this transaction - could be affected. CRITERIA APPLICATION Although the transaction is not a Re-REMIC, since the underlying securities are not REMIC classes, Fitch's "U.S. RMBS Surveillance and Re-REMIC Criteria" was considered due to the similarities in transaction structure with Re-REMICs. Fitch made two variations to the criteria for this transaction. The first variation applies to which bonds are eligible for ratings in new issue Re-REMICs. While Fitch generally limits underlying bond eligibility to senior bonds that are currently receiving principal payments, Fitch believes there are sufficient mitigating factors with GSE CRT to provide ratings on the new classes. Such factors include the sequential pay structure and a hard maturity date (in 120 months on average), which is expected to mitigate tail risk common in U.S. RMBS. Additionally, performance to date on the reference pools has been strong, with many rated classes indicating positive rating pressure. Finally, the issuers of the underlying assets (Fannie Mae and Freddie Mac) hold unique leverage in the residential mortgage market, which is expected to help mitigate loan quality weakness and operational risk. The second variation from the above-referenced criteria is in relation to the application of Fitch's Portfolio Credit Model (PCM), typically used to rate multiple-bond Structured Credit transactions. The U.S. RMBS Re-REMIC criteria state that Fitch will utilize a hybrid approach between its RMBS and Structured Credit groups for transactions backed by more than five non-distressed RMBS. While Fitch ensured the projected U.S. RMBS default probability of the underlying securities was consistent, or higher than under the PCM approach, Fitch relied on the GSE CRT bond-level analysis (rather than the generic U.S. RMBS portfolio probabilities used in the Structured Credit PCM model) to estimate the recoveries of the underlying securities in the event of a default. Fitch used the GSE CRT bond-specific recoveries, rather than the generic U.S. RMBS portfolio assumptions from the PCM Structured Credit approach, due to structural features that are uncommon in U.S. RMBS mezzanine classes, such as sequential payment priority and hard maturity dates. The use of the bond-specific GSE CRT recoveries resulted in a rating approximately two to three ticks higher than the rating implied with the generic U.S. RMBS recoveries generated by the Structured Credit PCM approach. RATING SENSITIVITIES Fitch's analysis includes rating stress scenarios from 'CCCsf' to 'AAAsf'. The 'CCCsf' scenario is intended to be the most-likely base-case scenario. Rating scenarios above 'CCCsf' are increasingly more stressful and less likely to occur. Although many variables are adjusted in the stress scenarios, the primary driver of the loss scenarios is the home price forecast assumption. In the 'Bsf' scenario, Fitch assumes home prices decline 10% below their long-term sustainable level. The home price decline assumption is increased by 5% at each higher rating category up to a 35% decline in the 'AAAsf' scenario. Classes currently rated below 'Bsf' are at-risk to default at some point in the future. As default becomes more imminent, bonds currently rated 'CCCsf' and 'CCsf' will migrate towards 'Csf' and eventually 'Dsf'. The ratings of bonds currently rated 'Bsf' or higher will be sensitive to future mortgage borrower behavior, which historically has been strongly correlated with home price movements. Despite recent positive trends, Fitch currently expects home prices to decline in some regions before reaching a sustainable level. While Fitch's ratings reflect this home price view, the ratings of outstanding classes may be subject to revision to the extent actual home price and mortgage performance trends differ from those currently projected by Fitch. BEAR STEARNS 2003-TOP12: Moody's Affirms B3 Rating on Cl. X-1 Debt ------------------------------------------------------------------ Moody's Investors Service has upgraded the ratings on three classes and affirmed the ratings on four classes in Bear Stearns Commercial Mortgage Securities Trust, Commercial Mortgage Pass-Through Certificates, Series 2003-TOP12: Cl. H, Affirmed Aaa (sf); previously on Nov 11, 2016 Affirmed Aaa (sf) Cl. J, Affirmed Aaa (sf); previously on Nov 11, 2016 Upgraded to Aaa (sf) Cl. K, Affirmed Aaa (sf); previously on Nov 11, 2016 Upgraded to Aaa (sf) Cl. L, Upgraded to Aaa (sf); previously on Nov 11, 2016 Upgraded to Aa2 (sf) Cl. M, Upgraded to Aa2 (sf); previously on Nov 11, 2016 Upgraded to Baa1 (sf) Cl. N, Upgraded to Ba1 (sf); previously on Nov 11, 2016 Upgraded to B1 (sf) Cl. X-1, Affirmed B3 (sf); previously on Nov 11, 2016 Affirmed B3 (sf) RATINGS RATIONALE The ratings on three P&I classes were upgraded primarily due to a significant increase in defeasance, to 58% of the current pool balance from 19% at the last review. The ratings on three P&I classes were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The rating on the IO class, Class X-1, was affirmed based on the credit performance (or the weighted average rating factor or WARF) of its referenced classes. Moody's anticipates minimal 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 0.3% of the original pooled balance, the same as at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The methodologies used in these ratings were "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in December 2014, and "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in October 2015. 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 5, 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 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 97.7% to $26.9 million from $1.16 billion at securitization. The certificates are collateralized by 16 mortgage loans ranging in size from less than 1% to 41% of the pool. Five loans, constituting 58% of the pool, have defeased and are secured by US government securities. Five loans, constituting 25% 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. Ten loans have been liquidated from the pool with a loss, resulting in an aggregate realized loss of $3.3 million (for an average loss severity of 2.6%). No loans are currently in special servicing. Moody's received full year 2015 and full or partial year 2016 operating results for 100% of the pool (excluding defeased loans). Moody's weighted average conduit LTV is 32%, compared to 43% 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 20% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.5%. Moody's actual and stressed conduit DSCRs are 1.34X and 5.53X, respectively, compared to 1.52X and 3.74X 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. As of the January 2017 remittance statement, the top three non-defeased loans represent 26% of the pool balance. The largest loan is the Cokesbury Court Loan ($4.1 million -- 15.2% of the pool), which is secured by a 200 unit student housing apartment property located in Oklahoma City, Oklahoma. The property is located adjacent to Oklahoma City University. As of September 2015, the property was 96% leased. This loan is fully amortizing, having amortized over 53% since securitization and matures in August 2023. Moody's LTV and stressed DSCR are 40% and 2.50X, respectively. The second largest loan is the 3105 Glendale-Milford Road Loan ($1.9 million -- 7.0% of the pool), which is secured by a single tenant retail property leased to Walgreens and located in Evandale, Ohio, approximately 16 miles northeast of Cincinnati. The loan had an original loan term of 20 years and amortizes based on a 22-year schedule. The loan has amortized over 43% and is scheduled to mature in September 2023. Due to the single tenancy exposure, Moody's value incorporates a lit-dark analysis. Moody's LTV and stressed DSCR are 65% and 1.59X, respectively. The third largest loan is the Glendora Place Loan ($1.1 million -- 4.2% of the pool), which is secured by a retail complex located in Glendora, California, approximately 23 miles east of downtown Los Angeles. The property is anchored by an LA Fitness, which leases their space through September 2031. The loan is fully amortizing, having amortized over 83% since securitization and matures in August 2018. Moody's LTV and stressed DSCR are 10% and greater than 4.00X, respectively. BEAR STEARNS 2006-PWR14: S&P Affirms 'B-' Rating on Class C Certs ----------------------------------------------------------------- S&P Global Ratings raised its ratings on two classes of commercial mortgage pass-through certificates from Bear Stearns Commercial Mortgage Securities Trust 2006-PWR14, a U.S. commercial mortgage-backed securities (CMBS) transaction. In addition, S&P affirmed its rating on one other class from the same transaction. S&P's rating actions 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 A-J and B 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 reflect S&P's views regarding the current and future performance of the transaction's collateral and available liquidity support as well as the significant reduction in trust balance. The affirmation on class C reflects S&P's expectation that the available credit enhancement for this class will be within its estimate of the necessary credit enhancement required for the current rating. The affirmation also reflects S&P's view regarding the current and future performance of the transaction's collateral, the transaction structure, and liquidity support available to the classes. While available credit enhancement levels suggest further positive rating movements on classes AJ and B and positive rating movement on class C, S&P's analysis also considered the susceptibility to reduced liquidity support from the eight specially serviced assets ($104.8 million, 36.5%) and four corrected loans ($105.1 million, 36.6%). TRANSACTION SUMMARY As of the Jan. 11, 2017, trustee remittance report, the collateral pool balance was $287.4 million, which is 11.6% of the pool balance at issuance. The pool currently includes 19 loans and four real estate-owned (REO) assets (reflecting crossed loans), down from 250 loans at issuance. Eight of these assets ($104.8 million, 36.5%, reflecting crossed loans) are currently with the special servicer, including one loan that was transferred subsequent to the January remittance. Three loans ($23.3 million, 8.1%) are defeased, and six ($114.8 million, 40.0%) are on the master servicers' combined watchlist. The master servicers, Wells Fargo Bank N.A. and Prudential Asset Resources, reported financial information for 87.5% of the nondefeased loans in the pool, of which 38.8% was partial-year 2016 data, and the remainder was year-end 2015 data. S&P calculated a 1.29x S&P Global Ratings' weighted average debt service coverage (DSC) and a 90.1% S&P Global Ratings' weighted average loan-to-value (LTV) ratio using a 7.61% S&P Global Ratings' weighted average capitalization rate. The DSC, LTV, and capitalization rate calculations exclude the eight specially serviced assets, three defeased loans, and one subordinate B hope note ($9.7 million, 3.4%). The top 10 nondefeased loans have an aggregate outstanding pool trust balance of $234.9 million (81.8%). Using adjusted servicer-reported numbers, S&P calculated an S&P Global Ratings' weighted average DSC and LTV of 1.18x and 101.3%, respectively, for five of the top 10 nondefeased loans. The remaining five loans are specially serviced, and the two largest of these are discussed. To date, the transaction has experienced $136.0 million in principal losses, or 5.5% of the original pool trust balance. S&P expects losses to reach approximately 6.5% 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 eight specially serviced assets. CREDIT CONSIDERATIONS As of the Jan. 11, 2017, trustee remittance report, seven assets in the pool were with the special servicer, C-III Asset Management LLC (C-III), and one additional loan was transferred to C-III subsequent to the January remittance. Details on two of the five largest specially serviced assets, both of which are a top 10 nondefeased loan, are: -- The Fountain Square loan ($39.3 million, 13.7%) is the second-largest nondefeased loan in the pool and has a total reported exposure of $39.9 million. The loan is secured by retail property totaling 165,872 sq. ft. in Brookfield, Wis. The loan was transferred to the special servicer on Oct. 14, 2016. C-III stated that this loan may be resolved as a discounted payoff. The reported DSC and occupancy as of year-end 2015 were 1.10x and 100.0%, respectively. S&P expects a minimal loss upon this loan's eventual resolution. The City Center West and Molina Building crossed defaulted and crossed collateralized loans (aggregate balance of $30.4 million, 10.6%) have a total reported exposure of $31.3 million. The loans are secured by two office properties, a 106,176-sq.-ft. building in Las Vegas and a 127,614-sq.-ft. building in Albuquerque, N.M. The loans were transferred to the special servicer on Oct. 20, 2015, due to imminent default because the borrower stated that it could no longer fund property shortfalls. C-III indicated that a foreclosure sale for City Center West was scheduled for Feb. 8, 2017, and that it is working to resolve the Molina Building REO asset. The reported DSC and occupancy as of year-end 2015 were 0.42x and 86.6%, respectively. An appraisal reduction amount of $6.6 million is in effect against the City Center West loan. S&P expects a moderate loss upon the eventual resolution of the City Center West loan, and a minimal loss upon the eventual resolution of the Molina Building asset. The six remaining assets with the special servicer each have individual balances that represent less than 4.0% of the total pool trust balance. S&P estimated losses for the eight specially serviced assets, arriving at a weighted average loss severity of 24.2%. With respect to the specially serviced assets noted above, a minimal loss is less than 25% and a moderate loss is 26%-59%. RATINGS RAISED Bear Stearns Commercial Mortgage Securities Trust 2006-PWR14 Commercial mortgage pass-through certificates Rating Class To From Credit enhancement (%) A-J AA+ (sf) BB (sf) 47.15 B BBB- (sf) B (sf) 31.04 RATING AFFIRMED Bear Stearns Commercial Mortgage Securities Trust 2006-PWR14 Commercial mortgage pass-through certificates Class Rating Credit enhancement (%) C B- (sf) 22.45 BOWMAN PARK: S&P Retains 'B' Rating on Class F Notes ---------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-R, B-1-R, B-2-R, C-R, D-1-R, and D-2-R replacement notes from Bowman Park CLO Ltd., a collateralized loan obligation (CLO) originally issued in 2015 that is managed by GSO/Blackstone Debt Funds Management. The replacement notes will be issued via a proposed supplemental indenture. The currently outstanding class E and F notes are unaffected by this proposed amendment. The preliminary ratings on the proposed refinancing notes reflect S&P's opinion that the credit support available is commensurate with the associated rating levels. The preliminary ratings are based on information as of Feb. 9, 2017. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Feb. 23, 2017, refinancing date, the proceeds from the replacement note issuance are expected to redeem the original notes. At that time, S&P anticipates withdrawing the ratings on the original refinanced notes, assigning ratings to the new replacement notes, and affirming the ratings on the unaffected 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. CASH FLOW ANALYSIS RESULTS Current date after proposed refinancing Class Amount Interest BDR SDR Cushion (mil. $) rate (%) (%) (%) (%) A-R 304.60 LIBOR + 1.18 70.68 60.67 10.01 B-1-R 43.00 LIBOR + 1.55 63.43 53.24 10.19 B-2-R 25.00 3.5446 63.43 53.24 10.19 C-R 31.50 LIBOR + 2.25 58.08 47.40 10.68 D-1-R 22.80 LIBOR + 3.35 49.13 38.92 10.22 D-2-R 10.00 LIBOR + 3.35 49.13 38.92 10.22 Effective date Class Amount Interest BDR SDR Cushion (mil. $) rate (%) (%) (%) (%) A 304.60 LIBOR + 1.48 72.12 64.89 7.22 B-1 43.00 LIBOR + 2.25 66.76 57.24 9.52 B-2 25.00 4.21 66.76 57.24 9.52 C 31.50 LIBOR + 3.20 60.58 51.33 9.25 D-1 22.80 LIBOR + 3.70 51.99 42.27 9.72 D-2 10.00 LIBOR + 3.95 51.99 42.27 9.72 BDR--Break-even default rate. SDR--Scenario default rate. 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 Bowman Park CLO Ltd. Replacement class Rating Amount (mil. $) A-R AAA (sf) 304.60 B-1-R AA (sf) 43.00 B-2-R AA (sf) 25.00 C-R A (sf) 31.50 D-1-R BBB- (sf) 22.80 D-2-R BBB- (sf) 10.00 OTHER OUTSTANDING RATINGS Bowman Park CLO Ltd. Class Rating E BB- (sf) F B (sf) Subordinated notes NR NR--Not rated. CARLYLE GLOBAL 2014-2: S&P Affirms 'B' Rating on Class F Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-R, B-R, and C-R replacement notes from Carlyle Global Market Strategies CLO 2014-2 Ltd., a U.S. collateralized loan obligation (CLO) originally issued in June 2014, that is managed by Carlyle Investment Management LLC. S&P withdrew its ratings on the transaction's original class A, B-1, B-2, and C notes following payment in full on the Feb. 15, 2017, refinancing date. At the same time, S&P affirmed its ratings on the class D, E, and F notes, which were not part of the refinancing. On the Feb. 15, 2017, refinancing date, the proceeds from the class A-R, B-R, and C-R replacement note issuances were used to redeem the original class A, B-1, B-2, and C notes as outlined in the transaction document provisions. Therefore, S&P withdrew the ratings on original notes in line with their full redemption and are assigning ratings to 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. The ratings reflect S&P's opinion that the credit support available is commensurate with the associated rating levels. S&P will continue to review whether, in its view, the ratings assigned to the transaction remain consistent with the credit enhancement available to support them, and S&P will take rating actions as it deems necessary. RATINGS ASSIGNED Carlyle Global Market Strategies CLO 2014-2 Ltd. Replacement class Rating Amount (mil. $) A-R AAA (sf) 377.00 B-R AA (sf) 80.00 C-R A (sf) 40.00 RATINGS WITHDRAWN Carlyle Global Market Strategies CLO 2014-2 Ltd. Rating Original class To From A NR AAA (sf) B-1 NR AA (sf) B-2 NR AA (sf) C NR A (sf) RATINGS AFFIRMED Carlyle Global Market Strategies CLO 2014-2 Ltd. Class Rating D BBB (sf) E BB (sf) F B (sf) CBA COMMERCIAL 2005-1: Moody's Affirms C Rating on Cl. M-1 Certs. ----------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on three classes in CBA Commercial Assets, Small Balance Commercial Mortgage Pass-Through Certificates Series 2005-1: Cl. A, Affirmed Caa1 (sf); previously on Mar 10, 2016 Affirmed Caa1 (sf) Cl. M-1, Affirmed C (sf); previously on Mar 10, 2016 Affirmed C (sf) Cl. X-2, Affirmed Caa3 (sf); previously on Mar 10, 2016 Affirmed Caa3 (sf) RATINGS RATIONALE The ratings on the two P&I classes were affirmed because the ratings are consistent with Moody's expected loss. The rating on the IO class, Cl. X-2, was affirmed based on the credit performance (or the weighted average rating factor or WARF) of its referenced classes. This transaction is classified as a small balance CMBS transaction. Small balance transactions, which represent less than 1% of the Moody's rated conduit/fusion universe, have generally experienced higher defaults and losses than traditional conduit and fusion transactions. Moody's rating action reflects a base expected loss of 17.4% of the current balance, compared to 18.2% at Moody's last review. Moody's base expected loss plus realized losses is now 15.2% of the original pooled balance, compared to 15.6% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in December 2014. Additionally, the methodology used in rating Cl. X-2 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 2.2% of the pool is in special servicing and Moody's has identified additional troubled loans representing 55.5% 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 class 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 47 compared to 57 at Moody's last review. DEAL PERFORMANCE As of the January 25, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 89% to $23.8 million from $214.9 million at securitization. The certificates are collateralized by 86 mortgage loans ranging in size from less than 1% to 8% of the pool, with the top ten loans constituting 31% of the pool. One-hundred and fourteen loans have been liquidated from the pool, resulting in an aggregate realized loss of $28.4 million (for an average loss severity of 72%). Three loans, constituting 2% of the pool, are currently in special servicing. Moody's estimates an approximate aggregate $50,000 loss for specially serviced loans (66% expected loss on average). Moody's has also assumed a high default probability for 43 poorly performing loans, constituting 56% of the pool, and has estimated an aggregate loss of $3.2 million (a 25% expected loss on average) from these troubled loans. CBA COMMERCIAL 2006-2: Moody's Affirms C Rating on Cl. X-1 Debt --------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on two classes in CBA Commercial Assets, Small Balance Commercial Mortgage Pass-Through Certificates Series 2006-2: Cl. A, Affirmed Caa3 (sf); previously on Mar 10, 2016 Affirmed Caa3 (sf) Cl. X-1, Affirmed C (sf); previously on Mar 10, 2016 Affirmed C (sf) RATINGS RATIONALE The rating on the P&I class, Class A-1, was affirmed because the ratings are consistent with expected recovery of principal and interest from liquidated and troubled loans. The class has already experienced a 7.2% realized loss as result of previously liquidated loans. The rating on the IO class, Class X, was affirmed because the class does not, nor is expected to receive interest payments. Moody's rating action reflects a base expected loss of 25.7% of the current balance, compared to 29.2% at Moody's last review. Moody's base expected loss plus realized losses is now 26.4% of the original pooled balance, compared to 28.9% 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 " Approach to Rating US and Canadian Conduit/Fusion CMBS" published in December 2014. Additionally, the methodology used in rating Class 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 26.7% of the pool is in special servicing and Moody's has identified additional troubled loans representing 14.3% 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 class 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 33, compared to 37 at Moody's last review. DEAL PERFORMANCE As of the January 25, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 80.6% to $25.3 million from $130.4 million at securitization. The certificates are collateralized by 82 mortgage loans ranging in size from less than 1% to 10.3% of the pool, with the top ten loans (excluding defeasance) constituting 42.4% of the pool. There are no loans in the pool that have defeased. Five loans, constituting 20.2% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Eighty-seven loans have been liquidated from the pool, resulting in an aggregate realized loss of $27.9 million. Twenty-five loans, constituting 26.7% of the pool, are currently in special servicing. The specially serviced loans are secured by a mix of property types. Moody's estimates an aggregate $4.6 million loss for the specially serviced loans (68.5% expected loss on average). Moody's has assumed a high default probability for seven poorly performing loans, constituting 14.3% of the pool, and has estimated an aggregate loss of $1.3 million (a 35% expected loss based on a 50% probability default) from these troubled loans. As of the January 25, 2017 remittance statement cumulative interest shortfalls were $1.9 million. Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced loans and/or modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. Moody's weighted average conduit LTV is 92.8%, compared to 88.7% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 14.3% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.09%. Moody's actual and stressed conduit DSCRs are 1.39X and 1.33X, respectively, compared to 1.29X and 1.41X 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. CD 2017-CD3: Fitch Assigns 'B-sf' Rating to Class F Certificates ---------------------------------------------------------------- Fitch Ratings has assigned the following ratings and Rating Outlooks to CD 2017-CD3 Mortgage Trust Commercial Mortgage Pass-Through Certificates, Series 2017-CD3. -- $29,155,000 class A-1 'AAAsf'; Outlook Stable; -- $38,347,000 class A-2 'AAAsf'; Outlook Stable; -- $200,000,000 class A-3 'AAAsf'; Outlook Stable; -- $589,293,000 class A-4 'AAAsf'; Outlook Stable; -- $54,788,000 class A-AB 'AAAsf'; Outlook Stable; -- $78,136,000 class A-S 'AAAsf'; Outlook Stable; -- $989,719,000b class X-A 'AAAsf'; Outlook Stable; -- $61,857,000 class B 'AA-sf'; Outlook Stable; -- $61,857,000b class X-B 'AA-sf'; Outlook Stable; -- $63,485,000 class C 'A-sf'; Outlook Stable; -- $76,508,000ab class X-D 'BBB-sf'; Outlook Stable; -- $76,508,000a class D 'BBB-sf'; Outlook Stable; -- $35,812,000ad class E 'BB-sf'; Outlook Stable -- $14,651,000ad class F 'B-sf'; Outlook Stable. The following classes are not rated by Fitch: -- $60,229,959ad class G; -- $25,222,199ac VRR Interest. (a) Privately placed and pursuant to Rule 144A. (b) Notional amount and interest only. (c) Vertical credit risk retention interest representing 1.9% of the pool balance (as of the closing date). (d) Horizontal credit risk retention interest representing 3.1% of the pool balance (as of the closing date). Since Fitch issued its expected ratings on Jan. 23, 2017, the issuer removed the $63,485,000 interest-only class X-C from the transaction. The classes above reflect the final ratings and deal structure. The certificates represent the beneficial ownership interest in the trust, primary assets of which are 52 loans secured by 59 commercial properties having an aggregate principal balance of $1,327,484,158 as of the cut-off date. The loans were contributed to the trust by German American Capital Corporation and Citigroup Global Markets Realty Corp. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 67.4% of the properties by balance, cash flow analysis of 83.6%, and asset summary reviews on 100% of the pool. KEY RATING DRIVERS Fitch Leverage Higher than 2016 Average: The pool has higher leverage than other Fitch-rated multiborrower transactions. The pool's Fitch DSCR and LTV for the trust are 1.14x and 108.4%, respectively, while the 2016 averages are 1.21x and 105.2%, respectively. High Percentage of Investment-Grade Credit Opinion Loans: Two loans representing 10.2% of the pool have investment-grade credit opinions, which is above the 2016 average of 8.4%. The third largest loan in the pool, 85 Tenth Avenue (5.7% of the pool), has an investment-grade credit opinion of 'BBBsf*' on a stand-alone basis. Hilton Hawaiian Village Waikiki Beach Resort (4.5% of the pool) has an investment-grade credit opinion of 'BBB-sf*' on a stand-alone basis. The implied credit enhancement levels for the conduit portion of the transaction at 'AAAsf' and 'BBB-sf' are 26.000% and 9.500%, respectively. Well Below-Average Amortization: Sixteen loans representing 51.1% of the pool are full-term interest-only and 16 loans representing 27.1% of the pool are partial interest-only. Fitch-rated transactions in 2016 had an average full-term interest-only percentage of 33.3% and a partial interest-only percentage of 33.3%. The pool is scheduled to amortize by 6.9% of the initial pool balance prior to maturity, well below the average of 10.4% for other Fitch-rated transactions. RATING SENSITIVITIES For this transaction, Fitch's net cash flow (NCF) was 11.5% below the most recent year's net operating income (NOI); for properties for which a full-year NOI was provided, excluding properties that were stabilizing during this period). Unanticipated further declines in property-level NCF could result in higher defaults and loss severities on defaulted loans and in potential rating actions on the certificates. Fitch evaluated the sensitivity of the ratings assigned to CD 2017-CD3 certificates and found that the transaction displays average sensitivities to further declines in NCF. In a scenario in which NCF declined a further 20% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'A+sf' could result. In a more severe scenario, in which NCF declined a further 30% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB+sf' could result. COBALT CMBS 2007-C3: Fitch Affirms 'CCCsf' Rating on 2 Tranches --------------------------------------------------------------- Fitch Ratings has affirmed 17 classes of Cobalt CMBS Commercial Mortgage Trust's (COBALT) commercial mortgage pass-through certificates series 2007-C3. KEY RATING DRIVERS Increased Loss Expectations: Fitch modelled losses of 16.1% of the original pool balance, including 5.5% of losses incurred to date. Although modelled losses have increased from the previous rating action in February 2016 when loss expectations of the original pool balance were 15%, credit enhancement levels have also improved due to $201.4 million in principal repayment over the past 12 months. Maturity Concentration: All 74 loans (100% of pool) are scheduled to mature over the next 10 months, with 54 loans in the second quarter (66.8%), 19 loans in the third quarter (21.7%), and one loan in the fourth quarter (11.5%). Defeasance Collateral: As of January 2017, eight loans (24.1% of the pool) were defeased, including three of the top five loans (20.3%). All of the defeased loans are scheduled to mature over the next three months. In total, 38.5% of the original pool has paid down or is defeased. Fitch Loans of Concern: Fitch identified 12 loans (34.5% of the pool) as Fitch Loans of Concern (FLOC), including four loans (6.4%) that are currently in special servicing. Loans identified as FLOCs are generally due to high leverage (when current cash flow is considered) or tenancy-related issues. Identified risks within the top 15 loans include two specially serviced loans, modified debt, low debt service coverage ratio (DSCR), near term rollover and/or recent tenant vacancy's, and underperforming properties in secondary markets. Pool Concentration Risks: The top five loans in the pool represent 36.3% of the transaction, with the top 15 loans representing 60% of the entire pool. Excluding defeased loans, office properties make up 35% of the pool, including six of the top 15 (non-defeased) loans. A portion of the office component faces challenges including high leverage, tenant rollover, and secondary market concerns. The pool has a high concentration of California properties (21.3%), all of which are located in southern CA markets. In addition, interest-only loans account for 55.4% of the pool and partial interest-only loans represent 35.1% of the pool balance. As of the January 2017 distribution date, the pool's aggregate principal balance has been reduced by 41% to $1.19 billion from $2.02 billion at issuance. Interest shortfalls are currently affecting classes F through P. RATING SENSITIVITIES The Rating Outlooks on classes A-4 and A-1A are expected to remain Stable as the classes benefit from increasing credit enhancement and continued delevering of the transaction through amortization and repayment of maturing loans. The Negative Rating Outlook on class A-M reflects the overall high leverage and performance concerns on several loans in the top 15, including previously modified debt, tenant vacancies, low DSCR, and slow to recover specially serviced assets. A Stable Rating Outlook for the class may be considered should property performance stabilize and servicer updates indicate stronger refinance capability upon maturity or better recoveries from updated property valuations. 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 and revised Rating Outlooks as indicated: -- $553.6 million class A-4 at 'AAAsf'; Outlook Stable; -- $141.8 million class A-1A at 'AAAsf'; Outlook Stable; -- $201.7 million class A-M at 'Asf'; Outlook to Negative from Stable; -- $153.9 million class A-J at 'CCCsf'; RE 55%; -- $40.3 million class B at 'CCCsf'; RE 0%; -- $20.2 million class C at 'CCsf'; RE 0%; -- $25.2 million class D at 'CCsf'; RE 0%; -- $20.2 million class E at 'Csf'; RE 0%; -- $25.2 million class F at 'Csf'; RE 0%; -- $8.6 million class G at 'Dsf'; RE 0%; -- $0 million class H at 'Dsf'; RE 0%; -- Class J at 'Dsf'; RE 0%; -- Class K at 'Dsf'; RE 0%; -- Class L at 'Dsf'; RE 0%; -- Class M at 'Dsf'; RE 0%; -- Class N at 'Dsf'; RE 0%; -- Class O at 'Dsf'; RE 0%. The class A-1, A-2, A-3, and A-PB 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. COBALT CMBS 2007-C3: S&P Lowers Rating on Class F Certs to D ------------------------------------------------------------ S&P Global Ratings raised its ratings on three classes of commercial mortgage pass-through certificates from Cobalt CMBS Commercial Mortgage Trust 2007-C3, a U.S. commercial mortgage-backed securities (CMBS) transaction. In addition, S&P lowered its ratings on two classes and affirmed its ratings on four other classes from the same 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. S&P raised its ratings on classes A-4, A-1A, and A-M 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 collateral's current and future performance and available liquidity support. The upgrades also reflect the significant increase in defeasance in this transaction from under 0.5% of the total balance at the time of S&P's last review to 24.1% ($286.9 million) at present. The downgrade on class E reflects a reduction in the liquidity support available to this class from the loans with the special servicer. In addition, S&P lowered its rating on class F to 'D (sf)' because it expects the accumulated interest shortfalls to remain outstanding for the foreseeable future. The affirmations on the principal- and interest-paying 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. The affirmations also reflect S&P's views regarding the collateral's current and future performance, the transaction structure, and liquidity support available to the classes. TRANSACTION SUMMARY As of the Jan. 18, 2017, trustee remittance report, the collateral pool balance was $1.19 billion, which is 59.0% of the pool balance at issuance. The pool currently includes 72 loans (reflecting A/B notes as one loan), down from 124 loans at issuance. Four of these loans ($76.1 million, 6.4%) are with the special servicer, eight ($286.9 million, 24.1%) are defeased, and 22 ($495.5 million, 41.6%) are on the master servicer's watchlist. The master servicer, Wells Fargo Bank N.A., reported financial information for 99.5% of the nondefeased loans in the pool, of which 42.2% was year-end or partial-year 2015 data, and the remainder was partial- or year-end 2016 data. S&P calculated a 1.08x S&P Global Ratings weighted average debt service coverage (DSC) and 106.3% S&P Global Ratings weighted average loan-to-value (LTV) ratio using a 8.10% S&P Global Ratings weighted average capitalization rate. The DSC, LTV, and capitalization rate calculations exclude three of the four specially serviced loans, the defeased loans, and two subordinate B hope notes ($20.9 million, 1.8%). The top 10 nondefeased loans have an aggregate outstanding pool trust balance of $440.1 million (37.0%). Using adjusted servicer-reported numbers, S&P calculated an S&P Global Ratings weighted average DSC and LTV of 0.91x and 120.4%, respectively, for nine of the top 10 nondefeased loans. The remaining loan is specially serviced and discussed below. To date, the transaction has experienced $109.9 million in principal losses, or 5.4% of the original pool trust balance. S&P expects losses to reach approximately 6.1% of the original pool trust balance in the near term, based on losses incurred to date and additional losses we expect upon the eventual resolution of three of the four specially serviced loans. CREDIT CONSIDERATIONS As of the Jan. 18, 2017, trustee remittance report, four loans in the pool were with the special servicer, CWCapital Asset Management LLC. Details of the two largest specially serviced loans, both of which are top 10 nondefeased loans, are: The Alameda Media Centre loan ($36.0 million, 3.0%) is the fifth-largest nondefeased loan in the pool and has a total reported exposure of $36.3 million. The loan is secured by a 106,660-sq.-ft. office property in Burbank, Calif. The loan was transferred to the special servicer on Dec. 6, 2016, because of imminent monetary default. The loan is scheduled to mature on June 6, 2017. CWCapital stated that the property's occupancy rate is expected to decline due to leases expiring in 2017 that are not expected to renew. It also mentioned that the borrower has the property under contract for sale and the purchaser has requested an assumption and modification to the loan. The reported DSC as of year-end 2015 was 1.28x and the reported occupancy as of Sept. 30, 2016, was 80.0%. The Lynnhaven North Shopping Center loan ($24.1 million, 2.0%) is the ninth-largest nondefeased loan in the transaction and has a total reported exposure of $24.4 million. The loan is secured by a 173,191-sq.-ft. retail property in Virginia Beach, Va. The loan was transferred to the special servicer on Nov. 24, 2015, because of imminent default. The reported DSC as of year-end 2015 was 0.98x and the reported occupancy as of Sept. 30, 2016, was 63.0%. A receiver is in place pursuing leasing opportunities. S&P expects a moderate loss (between 26% and 59%) upon this loan's eventual resolution. The two remaining assets with the special servicer each have individual balances that represent less than 1.0% of the total pool trust balance. S&P estimated losses for three of the four specially serviced assets, arriving at a weighted average loss severity of 32.4%. RATINGS RAISED Cobalt CMBS Commercial Mortgage Trust 2007-C3 Commercial mortgage pass-through certificates Rating Class To From Credit enhancement (%) A-4 AAA (sf) AA+ (sf) 41.59 A-1A AAA (sf) AA+ (sf) 41.59 A-M BBB+ (sf) BB+ (sf) 24.65 RATINGS LOWERED Cobalt CMBS Commercial Mortgage Trust 2007-C3 Commercial mortgage pass-through certificates Rating Class To From Credit enhancement (%) E CCC (sf) B- (sf) 2.84 F D (sf) CCC- (sf) 0.72 RATINGS AFFIRMED Cobalt CMBS Commercial Mortgage Trust 2007-C3 Commercial mortgage pass-through certificates Class Rating Credit enhancement (%) A-J B- (sf) 11.73 B B- (sf) 8.35 C B- (sf) 6.65 D B- (sf) 4.54 COMM 2004-RS1: S&P Lowers Rating on Class D Notes to 'CC' --------------------------------------------------------- S&P Global Ratings lowered its rating on the class D notes from COMM 2004-RS1, a U.S. commercial mortgage-backed securities (CMBS) resecuritized real estate mortgage investment conduit (re-REMIC) transaction. In addition, S&P affirmed its rating on the class C notes from the same transaction. The rating actions follow S&P's review of the transaction's performance using data from the Dec. 30, 2016, trustee report. Since S&P's February 2014 rating actions, the class B-2 notes have been paid down in full, and the class C notes have started receiving paydowns. Following the Dec. 30, 2016, payment date, the outstanding balance of class C is about 91.96% of its original balance. The class D notes are backed by nonperforming assets and require more than 70% of recovery on these assets to be repaid in full. S&P lowered its rating on the class D notes to 'CC (sf)' to reflect S&P's view that the class is unlikely to be repaid in full. Additionally, there are only five assets remaining in the transaction, which has increased its obligor concentration risk. The application of the largest obligor default test, a supplemental stress test included in S&P's criteria, constrains the ratings on both classes. Although the class C notes are also backed by nonperforming assets, the affirmation reflect S&P's belief that the credit support available is commensurate with the current rating level, and a minimal recovery on the nonperforming assets can repay the class in full. 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 further rating actions as S&P deems necessary. RATING LOWERED COMM 2004-RS1 Class Rating To From D CC (sf) CCC- (sf) RATING AFFIRMED COMM 2004-RS1 Class Rating C CCC- (sf) COMM 2016-CD2: Fitch Affirms 'BB-sf' Rating on 2 Tranches --------------------------------------------------------- Fitch Ratings has affirmed 16 classes of Deutsche Bank Securities, Inc.'s COMM 2016-DC2 Mortgage Trust commercial mortgage pass-through certificates. KEY RATING DRIVERS The affirmations are based on the stable performance of the underlying collateral. As of the February 2017 distribution date, the pool's aggregate principal balance has been reduced by 0.5% to $802.1 million from $806.2 million at issuance. No loans are delinquent, in special servicing, or defeased. Stable Performance: The performance of the pool has been largely stable since issuance with no loans delinquent or in special servicing. Fitch Loan of Concern: The Columbus Park Crossing loan has been flagged as a loan of concern due to the recent announcement that its largest anchor tenant, Sears, will close. Physical occupancy will decline to 77.2% upon Sears' departure, from 100% as of October 2015, almost exclusively from Sears' departure. Property Type Concentration: Retail represents the largest property type concentration (31.2%), which is in line with the 2016 average of 31.4% and higher than the 2015 average of 26.7%. Manufactured housing communities represent 10.1% of the pool, significantly higher than the 2016 and 2015 averages of 1.6% and 2.3%, respectively. High Issuance Fitch Leverage: The transaction had higher issuance leverage than other recent Fitch-rated fixed-rate multiborrower transactions. The pool's Fitch debt service coverage ratio (DSCR) of 1.12x is lower than the 2016 and 2015 averages of 1.21x and 1.18x, respectively. The pool's Fitch loan-to-value (LTV) of 110.6% is higher than the 2016 and 2015 averages of 105.2% and 109.3%. Above-Average Amortization: At issuance, only four loans totaling 14.9% of current pool balance were interest-only, which is well below the 2016 and 2015 averages of 33.3% and 23.3%, respectively. Partial interest-only loans represented 54.6% of the pool or 23 loans, while 30.5% or 37 loans were amortizing balloon loans with terms of five to 10 years. The pool is scheduled to amortize by 12.8% of the initial pool balance prior to maturity, more than the respective 2016 and 2015 averages of 10.4% and 11.7%. RATING SENSITIVITIES The Rating Outlooks on all classes remain 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. Negative Outlooks may be assigned given further performance deterioration related to Columbus Park Crossing, which is a Fitch Loan of Concern. 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: -- $31,978,899 class A-1 'AAAsf'; Outlook Stable; -- $4,483,000 class A-2 'AAAsf'; Outlook Stable; -- $15,740,000 class A-3 'AAAsf'; Outlook Stable; -- $60,282,000 class A-SB 'AAAsf'; Outlook Stable; -- $200,000,000 class A-4 'AAAsf'; Outlook Stable; -- $248,192,000 class A-5 'AAAsf'; Outlook Stable; -- $610,663,795b class X-A 'AAAsf'; Outlook Stable; -- $50,387,000 class A-M 'AAAsf'; Outlook Stable; -- $40,310,000 class B 'AA-sf'; Outlook Stable; -- $42,325,000 class C 'A-sf'; Outlook Stable; -- $82,635,000ab class X-B 'A-sf'; Outlook Stable; -- $42,326,000ab class X-C 'BBB-sf'; Outlook Stable; -- $23,178,000ab class X-D 'BB-sf'; Outlook Stable; -- $42,326,000a class D 'BBB-sf'; Outlook Stable; -- $13,100,000a class E 'BB+sf'; Outlook Stable; -- $10,078,000a class F 'BB-sf'; Outlook Stable. (a) Privately placed and pursuant to Rule 144A. (b) Notional amount and interest-only. CREDIT SUISSE 2005-C5: S&P Raises Rating on Class G Certs to 'B+' ----------------------------------------------------------------- S&P Global Ratings raised its ratings on four classes of commercial mortgage pass-through certificates from Credit Suisse First Boston Mortgage Securities Corp.'s series 2005-C5, a U.S. commercial mortgage-backed securities (CMBS) transaction. S&P's upgrades follow its analysis of the transaction, primarily using its criteria for rating U.S. and Canadian CMBS transactions, which included a review of the credit characteristics and performance of the remaining assets in the pool, the transaction's structure, and the liquidity available to the trust. S&P raised its ratings on classes D, E, F, and G 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 reflect S&P's views regarding the current and future performance of the transaction's collateral and available liquidity support. While available credit enhancement levels may suggest further positive rating movement on the bonds, S&P's analysis also considered their susceptibility to reduced liquidity support from the three specially serviced assets ($40.3 million, 35.6%; discussed below) and one loan on the combined master servicers' watchlist ($42.2 million, 37.4%). TRANSACTION SUMMARY As of the Jan. 18, 2017, trustee remittance report, the collateral pool balance was $113.0 million (reflecting undercollateralization of $1.1 million), which is 3.9% of the pool balance at issuance. The pool currently includes 10 loans and one real estate-owned (REO) asset (reflecting cross-collateralized and cross-defaulted loans). Three of these assets ($40.3 million, 35.6%) are with the special servicer, one ($0.8 million, 0.7%) is defeased, and one ($42.2 million, 37.4%) is on the master servicers' combined watchlist. The master servicers, Berkadia Commercial Mortgage LLC and National Cooperative Bank N.A., reported financial information for 91.1% of the nondefeased loans in the pool, of which 80.4% was year-end 2015 data, and the remainder was partial- or full-year 2016 data. S&P calculated a 2.01x S&P Global Ratings' weighted average debt service coverage (DSC) and 81.6% S&P Global Ratings' weighted average loan-to-value (LTV) ratio using a 7.41% S&P Global Ratings' weighted average capitalization rate. The DSC, LTV, and capitalization rate calculations exclude the three specially serviced assets, one defeased loan, one subordinate B hope note ($14.5 million, 12.8%) and two performing loans secured by cooperative housing properties ($11.3 million, 10.0%). To date, the transaction has experienced $151.3 million in principal losses, or 5.2% of the original pool trust balance. S&P expects losses to reach approximately 5.4% 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 three specially serviced assets. CREDIT CONSIDERATIONS As of the Jan. 18, 2017, trustee remittance reports, three assets in the pool were with the special servicers, CWCapital Asset Management LLC and National Cooperative Bank N.A. -- The Kings Village Corp. loan ($25.9 million, 22.9%) is the second-largest loan in the pool and has a total reported exposure of $27.8 million. The loan is secured by a seven- story, 787-unit residential cooperative housing property in Brooklyn, N.Y. It was originally built in 1966 and converted to a cooperative housing property in 1987. The loan, which has a late payment status (less than one month), was transferred to the special servicer on March 11, 2015, due to imminent nonmonetary default, and the latest reporting comments indicate that the borrower has signed a short-term forbearance extension and is seeking refinancing. The reported year-end 2015 DSC and occupancy were 0.69x and 95.0%, respectively. S&P expects a minimal loss (less than 25%) upon this loan's eventual resolution. -- The Covington Plaza REO asset ($10.0 million, 8.8%) has a total reported exposure of $10.0 million. The asset is a 105,366-sq.-ft. retail property in Phoenix, Ariz. The loan was transferred to the special servicer on July 22, 2015, due to imminent maturity default, and the property became REO in March 2016. The special servicer indicated that the current strategy is to stabilize the property and then liquidate it. The reported DSC and occupancy as of June 30, 2016, were 0.25x and 86.8%, respectively. An appraisal reduction amount of $1.7 million is in effect against the asset. S&P expects a minimal loss upon this asset's eventual resolution. The Klein MF Portfolio (Quail and Greentree) loan ($4.4 million, 3.9%) has a total reported exposure of $4.6 million. The loan is secured by two multifamily properties totaling 369 units in Sulphur Springs, Texas, and Greenville, Texas. Pursuant to an August 2016 settlement conference, full payoff of the loan was expected by Nov. 1, 2016, but the borrower filed for bankruptcy protection on Oct. 31, 2016. The special servicer stated that it is working to protect the trust's position in the bankruptcy case. The reported DSC was 0.43x as of year-end 2015, and the January 2017 rent roll indicated consolidated property occupancy of 78.3%. Based on currently available information, S&P anticipates a minimal loss upon this loan's eventual resolution. S&P estimated losses for the three specially serviced assets, arriving at a weighted average loss severity of 12.5%. RATINGS RAISED Credit Suisse First Boston Mortgage Securities Corp. Commercial mortgage pass-through certificates series 2005-C5 Rating Class To From D AA+ (sf) BBB (sf) E AA (sf) BBB- (sf) F A+ (sf) BB (sf) G B+ (sf) CCC-(sf) CRYSTAL RIVER 2006-1: Moody's Affirms Csf Ratings on 9 Note Classes ------------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on the following notes issued by Crystal River Resecuritization 2006-1 Ltd.: Cl. A, Affirmed C (sf); previously on May 12, 2016 Affirmed C (sf) Cl. B, Affirmed C (sf); previously on May 12, 2016 Affirmed C (sf) Cl. C, Affirmed C (sf); previously on May 12, 2016 Affirmed C (sf) Cl. D, Affirmed C (sf); previously on May 12, 2016 Affirmed C (sf) Cl. E, Affirmed C (sf); previously on May 12, 2016 Affirmed C (sf) Cl. F, Affirmed C (sf); previously on May 12, 2016 Affirmed C (sf) Cl. G, Affirmed C (sf); previously on May 12, 2016 Affirmed C (sf) Cl. J, Affirmed C (sf); previously on May 12, 2016 Affirmed C (sf) Cl. K, Affirmed C (sf); previously on May 12, 2016 Affirmed C (sf) RATINGS RATIONALE Moody's has affirmed the ratings on nine classes of notes because the key transaction metrics are commensurate with existing ratings. The affirmation is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO and ReRemic) transactions. Crystal River 2006-1 is a static cash transaction backed by a portfolio of commercial mortgage backed securities (CMBS) (100.0% of the pool balance) issued between 2005 and 2007. As of the January 23, 2017 trustee report, the aggregate note balance of the transaction, including preferred shares, has decreased to $388.4 million, from $390.3 million at issuance. The transaction is currently under-collateralized by $66.6 million, with implied losses through the senior-most outstanding class of notes. The pool contains eleven assets totaling $41.2 million (92.7% of the collateral pool balance) that are listed as defaulted securities as of the January 23, 2017 trustee report. While there have been realized losses on the underlying collateral to date, Moody's does expect high losses to occur on the defaulted securities. Moody's has identified the following as key indicators of the expected loss in CRE CDO transactions: the weighted average rating factor (WARF), the weighted average life (WAL), the weighted average recovery rate (WARR), and Moody's asset correlation (MAC). Moody's typically models these as actual parameters for static deals and as covenants for managed deals. WARF is a primary measure of the credit quality of a CRE CDO pool. Moody's has updated its assessments for the collateral it does not rate. The rating agency modeled a bottom-dollar WARF of 10,000, compared to 9610 at last review. The current ratings on the Moody's-rated collateral and the assessments of the non-Moody's rated collateral follow: Caa1-Ca/C (100.0%, same as that at last review). Moody's modeled a WAL of 2.1 years, compared to 2.3 years at last review. The WAL is based on assumptions about extensions on the underlying CMBS collateral look-through assets. Moody's modeled a fixed WARR of 0%, same as that at last review. Moody's modeled a MAC of 100.0%, compared to 0.0% at last review. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Approach to Rating SF CDOs" published in 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. However, in light of the performance indicators noted above, Moody's believes that it is unlikely that the ratings announced are sensitive to further change. 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. DENALI CAPITAL VII: Moody's Affirms Ba2 Rating on Class B-2L Debt ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Denali Capital CLO VII, Ltd.: US$41,000,000 Class A-3L Floating Rate Notes Due January 2022, Upgraded to Aa1 (sf); previously on February 11, 2016 Upgraded to Aa3 (sf) US$22,500,000 Class B-1L Floating Rate Notes Due January 2022, Upgraded to Baa1 (sf); previously on February 11, 2016 Affirmed Baa2 (sf) Moody's also affirmed the ratings on the following notes: US$482,000,000 Class A-1L Floating Rate Notes Due January 2022 (current outstanding balance of $96,542,838), Affirmed Aaa (sf); previously on February 11, 2016 Affirmed Aaa (sf) US$150,000,000 Class A-1LR Variable Funding Notes Due January 2022 (current outstanding balance of $30,044,452), Affirmed Aaa (sf); previously on February 11, 2016 Affirmed Aaa (sf) US$42,000,000 Class A-2L Floating Rate Notes Due January 2022, Affirmed Aaa (sf); previously on February 11, 2016 Affirmed Aaa (sf) US$18,000,000 Class B-2L Floating Rate Notes Due January 2022, Affirmed Ba2 (sf); previously on February 11, 2016 Affirmed Ba2 (sf) Denali Capital CLO VII, Ltd., issued in May 2007, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The transaction's reinvestment period ended in July 2014. 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 February 2016. The Class A-1 notes have been paid down by approximately 61.4% or $201.2 million since February 2016. Based on the trustee's January 2017 report, the OC ratios for the Class A-2L, Class A-3L, Class B-1L and Class B-2L notes are reported at 142.88%, 122.84%, 114.06% and 107.89%, respectively, versus February 2016 levels of 129.59%, 116.65%, 110.59%, and 106.18%, respectively. Moody's notes that the trustee reported OC ratios do not reflect the January 2017 payment distribution when $82.7 million of principal proceeds were used to pay down the Class A-1 notes. Nevertheless, the credit quality of the portfolio has deteriorated since February 2016. Based on the trustee's January 2017 report, the weighted average rating factor is currently 2956 compared to 2736 in February 2016. Today's rating actions also reflect the correction of a prior error. In previous rating actions, the required minimum level of $55,000 was not applied to the administrative expense cap, resulting in an underestimation of administrative expenses. This error has been corrected, and today's actions reflect the correct modeling of administrative expenses. 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. 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% (2563) Class A-1LR: 0 Class A-1L: 0 Class A-2L: 0 Class A-3L: +1 Class B-1L: +2 Class B-2L: +1 Moody's Adjusted WARF + 20% (3845) Class A-1LR: 0 Class A-1L: 0 Class A-2L: 0 Class A-3L: -2 Class B-1L: -1 Class B-2L: -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 $276.3 million, defaulted par of $0.7 million, a weighted average default probability of 20.01% (implying a WARF of 3204), a weighted average recovery rate upon default of 50.98%, a diversity score of 48 and a weighted average spread of 3.56% (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. EXETER AUTOMOBILE 2017-1: S&P Assigns BB Rating on Class D Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to Exeter Automobile Receivables Trust 2017-1's $400.00 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: -- The availability of approximately 52.2%, 44.0%, 35.8%, and 29.5% credit support for the class A, B, C, and D notes, respectively, based on stressed cash flow scenarios (including excess spread), which provide coverage of approximately 2.50x, 2.05x, 1.55x, and 1.27x S&P's 19.75%- 20.75% expected cumulative net loss (CNL). These break-even scenarios withstand cumulative gross losses of approximately 83.5%, 70.4%, 57.3%, and 47.3%, respectively. -- The timely interest and principal payments that S&P believes will be made to the rated notes under stressed cash flow modeling scenarios that S&P believes are appropriate for the assigned ratings. -- S&P's expectation that under a moderate ('BBB') stress scenario, all else being equal, its ratings on the class A and B notes will remain within one rating category of S&P's 'AA (sf)' and 'A (sf)' ratings, respectively, during the first year and that S&P's ratings on the class C and D notes will remain within two rating categories of S&P's 'BBB (sf)' and 'BB (sf)' ratings during the first year. These potential rating movements are consistent with S&P's credit stability criteria, which outline the outer bound of credit deterioration as a one-category downgrade within the first year for 'AA' rated securities and a two-category downgrade within the first year for 'A' through 'BB' rated securities under the moderate stress conditions. -- The collateral characteristics of the subprime automobile loans securitized in this transaction, including the representations in the transaction documents that all contracts in the pool have made a least one payment. -- The transaction's payment, credit enhancement, and legal structures. This transaction includes a CNL trigger, which if breached increases the overcollateralization target. RATINGS ASSIGNED Exeter Automobile Receivables Trust 2017-1 Class Rating Type Interest Amount rate(%) (mil. $) A AA (sf) Senior 1.96 244.02 B A (sf) Subordinate 3.00 60.32 C BBB (sf) Subordinate 3.95 49.31 D BB (sf) Subordinate 6.20 46.35 EXETER AUTOMOTIVE: DBRS Reviews 33 Ratings From 10 ABS Deals ------------------------------------------------------------ DBRS, Inc. on February 6, 2017, reviewed 33 ratings from ten U.S. structured finance asset-backed securities transactions from Exeter Automotive Receivables Trusts. Of the 33 outstanding publicly rated classes reviewed, DBRS has confirmed 22 classes and upgraded 11 classes. For the ratings that were confirmed, performance trends are such that credit enhancement levels are sufficient to cover DBRS's expected losses at their current respective rating levels. For the ratings that were upgraded, performance trends are such that credit enhancement levels are sufficient to cover DBRS's expected losses at their new respective rating levels. 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 parties' capabilities with regard to origination, underwriting and servicing. -- The credit quality of the collateral pool and historical performance. A complete list of ratings is available free at: https://is.gd/MOI785 FIRST INVESTORS 2017-1: S&P Gives Prelim. BB- Rating on Cl. E Debt ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to First Investors Auto Owner Trust 2017-1's $225 million asset-backed notes. 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. 9, 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 35.8%, 30.8%, 24.0%, 18.6%, and 15.2% credit support for the class A, B, C, D, and E notes, respectively, based on stressed cash flow scenarios (including excess spread). These credit support levels provide approximately 3.50x, 3.00x, 2.30x, 1.75x, and 1.40x coverage of S&P's 9.75%-10.25% expected cumulative net loss range for the class A, B, C, D, and E notes, respectively. -- The timely interest and principal payments made under stressed cash flow modeling scenarios that are appropriate for the preliminary ratings. -- S&P's expectation that under a moderate ('BBB') stress scenario, the ratings on the class A and B notes would not drop by more than one rating category, and the ratings on the class C, D, and E notes would not drop by more than two rating categories within the first year. These potential rating movements are consistent with S&P's rating stability criteria. -- The collateral characteristics of the pool being securitized with direct loans accounting for approximately 22% of the cut-off pool. These loans historically have lower losses than the indirect-originated loans. Prefunding will be used in this transaction in the amount of $25.0 million, approximately 11% of the pool. The subsequent receivables, which amount to approximately 17%-23% of the 2016 company's quarterly origination volume, are expected to be transferred into the trust within three months from the closing date. -- First Investors Financial Services Inc.'s 26-year history of originating and underwriting auto loans, and 15-year history of self-servicing auto loans, as well as its track record of securitizing auto loans since 2000. -- First Investors' 13 years of origination static pool data, segmented by direct and indirect loans. -- Wells Fargo Bank N.A.'s experience as the committed back-up servicer. -- The transaction's sequential payment structure, which builds credit enhancement based on a percentage of receivables as the pool amortizes. PRELIMINARY RATINGS ASSIGNED First Investors Auto Owner Trust 2017-1 Class Rating Type Interest Amount rate(i) (mil. $) A-1 AAA (sf) Senior Fixed 130.00 A-2 AAA (sf) Senior Fixed 38.41 B AA (sf) Subordinate Fixed 13.05 C A (sf) Subordinate Fixed 19.35 D BBB (sf) Subordinate Fixed 15.19 E BB- (sf) Subordinate Fixed 9.00 (i)The actual coupons of the tranches will be determined on the pricing date. FIRST UNION 2001-C2: Moody's Affirms C Rating on Class IO Notes --------------------------------------------------------------- Moody's Investors Service has affirmed the rating of one class in First Union National Bank Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2001-C2: Cl. IO, Affirmed C (sf); previously on Mar 3, 2016 Affirmed C (sf) RATINGS RATIONALE The rating of the IO class was affirmed based on the credit performance of its referenced classes The IO class is the only outstanding Moody's-rated class in this transaction. Moody's rating action reflects a base expected loss of 30.5% of the current pooled balance, compared to 43.9% at Moody's last review. Moody's base expected loss plus realized losses is now 1.6% of the original pooled balance, compared to 1.7% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING: The rating of an IO class is based on the credit performance of its referenced classes. An IO class may be upgraded based on a lower weighted average rating factor or WARF due to an overall improvement in the credit quality of its reference classes. An IO class may be downgraded based on a higher WARF due to a decline in the credit quality of its reference classes, paydowns of higher quality reference classes or non-payment of interest. Classes that have paid off through loan paydowns or amortization are not included in the WARF calculation. Classes that have experienced losses are grossed up for losses and included in the WARF calculation, even if Moody's has withdrawn the rating. 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 the Cl. IO 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 100% of the pool is in special. 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 class and the recovery as a pay down of principal to the most senior class. DESCRIPTION OF MODELS USED Moody's review incorporated the use of 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. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. DEAL PERFORMANCE As of the January 13, 2017 distribution date, the transaction's pooled certificate balance has decreased by 99.6% to $4 million from $1 billion at securitization. Twenty-three loans have been liquidated from the pool, resulting in an aggregate realized loss of $14.4 million (12% loss severity on average). Additionally, there is a non-pooled (rake) class that is not rated by Moody's. The pooled certificates are collateralized by one specially serviced mortgage loan, TownePlace Suites - Tallahassee ($4 million -- 100% of the pool), which is secured by the leasehold interest in a 1.85-acre parcel improved with a limited-service, extended-stay lodging facility. The hotel opened in 1998 and features 95 rooms, and this loan transferred to special servicing in November 2010 for maturity default. Title to the property was taken on October 16, 2012. A property improvement plan (PIP) mandated by the flag was completed in 2013 and performance has since improved. The special servicer is currently evaluating next steps after the property failed to trade at auctions in November 2015 and October 2016. The loan has been deemed non-recoverable by the master servicer. FLAGSHIP CLO VIII: S&P Assigns Prelim. B Rating on Class F Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-R, B-R, and C-R replacement notes from Flagship CLO VIII Ltd., a collateralized loan obligation (CLO) originally issued in November 2014 that is managed by Deutsche Investment Management Americas Inc. The replacement notes will be issued via a proposed supplemental indenture. The class D, E, and F notes are not expected to be affected by the refinancing. The preliminary ratings reflect S&P's opinion that the credit support available is commensurate with the associated rating levels. The preliminary ratings are based on information as of Feb. 14, 2017. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Feb. 22, 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. Based on the proposed supplemental indenture and the information provided to S&P Global Ratings in connection with this review, the replacement notes are expected to be issued at a lower spread over LIBOR than the corresponding original notes. There is no proposed change to the reinvestment period duration, which ends in January 2019, or to the transaction's legal final maturity, scheduled for January 2026. The supplemental indenture is not expected to make other substantive changes to the transaction. REPLACEMENT AND ORIGINAL NOTE ISSUANCES Replacement Notes Class Amount Interest (mil. $) rate (%) A-R 275.000 LIBOR + 1.25 B-R 54.500 LIBOR + 1.70 C-R 30.125 LIBOR + 2.50 D 22.750 LIBOR + 3.70 E 20.800 LIBOR + 5.20 F 8.000 LIBOR + 5.85 Original Notes Class Amount Interest (mil. $) rate (%) A 275.000 LIBOR + 1.56 B 54.500 LIBOR + 2.49 C 30.125 LIBOR + 3.13 D 22.750 LIBOR + 3.70 E 20.800 LIBOR + 5.20 F 8.000 LIBOR + 5.85 The rating actions follow S&P's review of the transaction's performance using data from the Jan. 4, 2017, trustee report. Since the transaction's effective date, the trustee reported-collateral portfolio's weighted average life has decreased to 4.84 years from 5.16 years. This seasoning has decreased the overall credit risk profile of the underlying collateral. In addition, the number of obligors in the portfolio has increased during this period, which has resulted in increased portfolio diversification. However, the transaction has also experienced an increase in both defaults and assets rated 'CCC+' and below since the January 2015 trustee report, which S&P used for its effective date analysis. Specifically, the amount of defaulted assets increased to $1.25 million as of the January 2017 trustee report, from zero as of the effective date report. The par balance of collateral rated 'CCC+' and below by S&P Global Ratings increased to $19.63 million from $2.00 million over the same period. In addition, the weighted average rating of the underlying portfolio dropped to 'B' from 'B+' due to credit deterioration in the underlying collateral. The increase in defaulted assets combined with a drop in overall collateral of $7.86 million, as well as other factors, has affected the level of credit support available to all tranches, as seen by the decline in the overcollateralization (O/C) ratios reported in the January 2017 trustee report, as compared with the effective date trustee report: -- The class A/B O/C ratio was 131.18%, down from 133.83%. -- The class C O/C ratio was 120.19%, down from 122.62%. -- The class D O/C ratio was 113.04%, down from 115.33%. -- The class E O/C ratio was 107.21%, down from 109.38%. Even with the decline in credit support, all coverage tests are currently passing and are above the minimum requirements. On a standalone basis, the results of the cash flow analysis indicated a lower rating on the class F notes than its current rating level. However, S&P believes that as the transaction enters its amortization period following the end of its reinvestment period, the transaction may begin to pay down the rated notes sequentially, which, all else remaining equal, will begin to increase the O/C levels. In addition, because the transaction currently has minimal exposure to 'CCC' rated collateral obligations and no exposure to long-dated assets (i.e., assets maturing after the CLO's stated maturity), S&P believes it is not currently exposed to large risks that would impair the current rating on the notes. In line with this, there is no rating change anticipated for the class F notes at this time. 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 deem necessary. PRELIMINARY RATINGS ASSIGNED Flagship CLO VIII Ltd. Replacement class Rating Amount (mil. $) A-R AAA (sf) 275.000 B-R AA (sf) 54.500 C-R A (sf) 30.125 OTHER OUTSTANDING RATINGS Flagship CLO VIII Ltd. Class Rating D BBB (sf) E BB- (sf) F B (sf) FREDDIE MAC 2017-HQA1: Fitch to Rate 12 Note Classes 'Bsf' ---------------------------------------------------------- Fitch Ratings expects to rate Freddie Mac's risk-transfer transaction, Structured Agency Credit Risk Debt Notes Series 2017-HQA1 (STACR 2017-HQA1): -- $210,000,000 class M-1 notes 'BBB-sf'; Outlook Stable; -- $236,250,000 class M-2A notes 'BBsf'; Outlook Stable; -- $236,250,000 class M-2B notes 'Bsf'; Outlook Stable; -- $472,500,000 class M-2 exchangeable notes 'Bsf'; Outlook Stable; -- $472,500,000 class M-2R exchangeable notes 'Bsf'; Outlook Stable; -- $472,500,000 class M-2S exchangeable notes 'Bsf'; Outlook Stable; -- $472,500,000 class M-2T exchangeable notes 'Bsf'; Outlook Stable; -- $472,500,000 class M-2U exchangeable notes 'Bsf'; Outlook Stable; -- $472,500,000 class M-2I notional exchangeable notes 'Bsf'; Outlook Stable; -- $236,250,000 class M-2AR exchangeable notes 'BBsf'; Outlook Stable; -- $236,250,000 class M-2AS exchangeable notes 'BBsf'; Outlook Stable; -- $236,250,000 class M-2AT exchangeable notes 'BBsf'; Outlook Stable; -- $236,250,000 class M-2AU exchangeable notes 'BBsf'; Outlook Stable; -- $236,250,000 class M-2AI notional exchangeable notes 'BBsf'; Outlook Stable; -- $236,250,000 class M-2BR exchangeable notes 'Bsf'; Outlook Stable; -- $236,250,000 class M-2BS exchangeable notes 'Bsf'; Outlook Stable; -- $236,250,000 class M-2BT exchangeable notes 'Bsf'; Outlook Stable; -- $236,250,000 class M-2BU exchangeable notes 'Bsf'; Outlook Stable; -- $236,250,000 class M-2BI notional exchangeable notes 'Bsf'; Outlook Stable. The following classes will not be rated by Fitch: -- $55,000,000 class B-1 notes; -- $15,000,000 class B-2 notes; -- $28,398,372,780 class A-H reference tranche; -- $86,588,751 class M-1H reference tranche; -- $97,412,343 class M-2AH reference tranche; -- $97,412,343 class M-2BH reference tranche; -- $93,294,374 class B-1H reference tranche; -- $133,294,374 class B-2H reference tranche. The 'BBB-sf' rating for the M-1 notes reflects the 3.25% subordination provided by the 1.125% class M-2A notes, the 1.125% 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 2.125% subordination provided by the 1.125% class M-2B notes, the 0.50% class B-1 notes and the 0.50% class B-2 notes. The 'Bsf' rating for the M-2B notes reflects the 1.00% subordination provided by the 0.50% class B-1 notes and 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-HQA1 represents Freddie Mac's 15th 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 $29.65 billion pool of mortgage loans currently held and 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 123,472 fixed-rate fully amortizing loans with terms of 241 to 360 months, totaling $29.65 billion, acquired by Freddie Mac between April 1, 2016 and July 31, 2016. The pool has a weighted average (WA) credit score of 747 and WA debt-to-income (DTI) ratio of 35.4% and consists primarily of owner occupied purchase loans. The WA loan-to-value ratio (LTV) for this pool is 91.8%. ADDITIONAL RATING DRIVERS Higher LTV Loans (Concern): Starting with the previous Fitch-rated transaction (STACR 2016-HQA4), Freddie Mac increased its LTV parameter on its high LTV transactions to include loans with LTVs up to 97% from 95%. Fitch believes the increased risk associated with these loans is modest due to the relatively small number of loans represented (2.3%). Mortgage Insurance Guaranteed by Freddie Mac (Positive): 99.9% of the loans are covered either by borrower paid mortgage insurance (BPMI) or lender paid MI (LPMI). Loans without MI coverage are either originated in New York, where the appraised value was used to determine that the LTV was below 81%, or the loans were part of the HomeSteps Financing program. Freddie Mac will guarantee the MI coverage amount, which will typically be the MI coverage percentage multiplied by the sum of the unpaid principal balance as of the date of the default, up to 36 months of delinquent interest, taxes and maintenance expenses. While the Freddie Mac guarantee allows for credit to be given to MI, Fitch applied a haircut to the amount of BPMI available due to the automatic termination provision as required by the Homeowners Protection Act, when the loan balance is first scheduled to reach 78%. LPMI does not automatically terminate and remains for the life of the loan. Actual Loss Severities (Neutral): This will be Freddie Mac's 15th actual loss risk transfer transaction in which losses borne by the noteholders are based on loan-level 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, M-2B, B-1 and B-2 notes benefit from a 12.5-year legal final maturity. Thus, any losses on the reference pool that occur beyond year 12.5 are borne by Freddie Mac and do not affect the transaction. In addition, if a credit event occurs prior to maturity, but the losses from liquidations or loan modifications are not realized until after the final maturity date, the losses 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 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 the junior classes, together with the sequential pay structure, the class M-1 will de-lever and CE as a percentage of the outstanding pool will build faster than in a pro rata structure. Solid Alignment of Interests (Positive): While the transaction is designed to transfer credit risk to private investors, Fitch believes the transaction benefits from solid alignment of interests. Freddie Mac will retain credit risk in the transaction by holding the senior reference tranche A-H, which has 4.25% 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 29.2% 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 government-sponsored enterprise's (GSE) 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 the GSE'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 10.0%, 20.0% and 30.0%, in addition to the model projected 23.26% at the 'BBBsf' level and 18.46% at the 'BBsf' 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 35% would potentially move the 'BBBsf' rated class down one rating category, to non-investment grade, to 'CCCsf', respectively. GAHR COMMERCIAL 2015-NRF: Fitch Affirms B- Rating on Cl. F-FX Debt ------------------------------------------------------------------ Fitch Ratings has affirmed nine classes of GAHR Commercial Mortgage Trust 2015-NRF certificates. KEY RATING DRIVERS The affirmations reflect improving credit enhancement from property releases and the continued overall stable performance of the underlying pool. No upgrades were taken as Fitch is concerned about the redistribution of the portfolio towards less stable property types and potential volatility within the healthcare sector. The transaction is currently secured by interests in 179 medical office and healthcare related properties. Since issuance, 36 properties were released from the pool. The collateral currently consists of 107 medical office buildings (MOBs); 58 healthcare properties NNN leased to third party operators as skilled nursing facilities (SNFs), long-term acute care hospitals (LTACHs), and senior housing; and 14 healthcare properties subject to operating leases that are tied directly to free cash from the underlying property operations (RIDEA Properties ). The MOBs had an average occupancy of 89%, as of September 2016. All NNN leased properties remain 100% leased. The portfolio exhibits significant geographic diversity with assets located in 28 states and no individual state representing more than 10.2% of the allocated loan amount. Released Properties; Improved Credit Enhancement: There has been significant pay down to the senior floating rate classes from a total of 36 releases since issuance, including 35 MOBs released in January 2017 at 115% release premium. The other release, which involved a SNF, was anticipated at issuance and permitted to be released at par, thereafter. The transaction is now over collateralized by $62.6 million. Release Structure: Individual property releases are permitted subject to, among other things, 115% paydown of the allocated loan amount. However, there are no provisions to ensure the property type distribution at issuance is maintained. Therefore, disproportionate MOB property releases result in the redistribution of the remaining portfolio toward a larger weighting of collateral with material operating risk. Fitch's debt sizing hurdles have been adjusted higher to reflect the migration to more volatile property types. Portfolio Redistribution: The collateral is diversified among multiple assets types; however, due to the releases, which were primarily MOBs, the portfolio's weighting by asset type has changed. Fitch analyzed the most recently available cash flows provided by the servicer (generally YE 2015 or YTD Sept. 2016). The current Fitch NCF attributed to the more traditionally stable medical office property type has decreased to 32.1% from 49.5% at issuance, while Fitch NCF attributed to more volatile asset types has improved with NNN healthcare properties (SNFs, LTACH, and Senior Housing) now at 47.8% compared to 35.7% at issuance; and RIDEA properties at 20% compared to 14.8% at issuance. Operational Aspects of RIDEA Properties: 20% (by NCF) of the portfolio is secured by RIDEA properties whose cash flows are directly tied to the operations of independent living and assisted living facilities. These RIDEA properties are considered to have a greater risk of cash flow volatility due to the operational nature of the underlying assets. Further, the medical nature of the business the RIDEA Properties operates within poses a higher risk of liability claims given the large number of elderly residents and large number of employees. Additionally, changes to the Affordable Care Act could adversely affect these properties. Leverage Metrics; Additional Debt: The $1.3 billion mortgage loan has a Fitch Ratings DSCR and LTV of 0.94x and 101.1%, respectively. In addition to the trust debt there is a $284.7 million senior mezzanine loan, a $722,131 senior junior mezzanine loan, and a $306.9 million junior mezzanine loan. All mezzanine loans are fully subordinate to the mortgage loan and are subject to subordination and standstill agreements as well as an intercreditor agreement. The all in Fitch Ratings DSCR and LTV are 0.65x and 146.7% Experienced Sponsorship: The loan is sponsored by NorthStar Realty Finance Corp. The affiliated NorthStar Healthcare Income Inc. (NHI) is a public, non-traded REIT that was formed to originate and acquire assets in healthcare real estate. Based on the portfolio's acquisition price, the sponsors had approximately $1.3 billion of equity in the transaction at issuance. RATING SENSITIVITIES Rating Outlooks for all classes remain Stable as a result of the improved credit enhancement to the pool and overall stable performance of the underlying assets. Future upgrades may be limited due to concerns that the current pattern of releases, which involved only the more traditionally stable medical office properties, will continue. Further, Fitch expects to see a period of sustained improved performance prior to any upgrades. Downgrades to the classes are possible should an asset level or economic event cause a decline in pool 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 affirms the following ratings: -- $81.4 million A-FL1 at 'AAAsf'; Outlook Stable; -- $27.5 million class A-FL2 at 'AAAsf'; Outlook Stable; -- $119 million class A-FX at 'AAAsf'; Outlook Stable; -- $321.5 class X-FX* at 'AAsf'; Outlook Stable; -- $202.4 million class B-FX at 'AAsf'; Outlook Stable; -- $151.2 million class C-FX at 'Asf'; Outlook Stable; -- $192.2 million class D-FX at 'BBB-sf'; Outlook Stable; -- $215.5 million class E-FX at 'BB-sf'; Outlook Stable; -- $180 million class F-FX at 'B-sf'; Outlook Stable. *Interest only class. Fitch does not rate classes X-EXT and G-FX. GMAC COMMERCIAL 2004-C2: Moody's Lowers Cl. B Notes Rating to Ca ---------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on three classes and downgraded the ratings on two classes in GMAC Commercial Mortgage Securities, Inc., Series 2004-C2: Cl. B, Downgraded to C (sf); previously on Mar 24, 2016 Downgraded to Ca (sf) Cl. C, Affirmed C (sf); previously on Mar 24, 2016 Downgraded to C (sf) Cl. D, Affirmed C (sf); previously on Mar 24, 2016 Affirmed C (sf) Cl. E, Affirmed C (sf); previously on Mar 24, 2016 Affirmed C (sf) Cl. X-1, Downgraded to C (sf); previously on Mar 24, 2016 Affirmed Caa3 (sf) RATINGS RATIONALE The rating on one P&I class, Class B, was downgraded due to the anticipated loss from the specially serviced loan that was higher than Moody's had previously expected. The ratings on the three P&I classes, Classes C, D and E, were affirmed because the ratings are consistent with Moody's expected loss. The rating on the IO Class, Class X-1, was downgraded to C (sf) 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 99.4% of the current balance, compared to 79.3% at Moody's last review. Moody's base expected loss plus realized losses is now 14.8% of the original pooled balance, compared to 14.2% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The 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" published in October 2015. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 98% 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 [and troubled loans] to the most junior classes and the recovery as a pay down of principal to the most senior classes. DESCRIPTION OF MODELS USED Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 1, the same as 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 February 10, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 94.3% to $53.3 million from $933.7 million at securitization. The certificates are collateralized by two mortgage loans. There are no loans in the pool that have defeased. There are no loans on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Twelve loans have been liquidated from the pool, resulting in an aggregate realized loss of $85.2 million (for an average loss severity of 54.6%). One loan, constituting 98% of the pool, is currently in special servicing. The specially serviced loan is the Military Circle Mall Loan ($52.3 million -- 98% of the pool), which is secured by a regional mall located in Norfolk, Virginia. The mall was formerly anchored by Macy's(dark), JC Penney's (dark/not part of the collateral) and Sears (dark). The loan transferred to special servicing in August 2013 due to imminent default and became REO in September 2015. On average, incoming tenants have signed 1 year lease terms. Due to the March 2016 departure of Macy's, co-tenancy clauses were triggered, there are currently 9 tenants (20,993 SF) in violation of their co-tenancy clauses. Moody's estimates a significant loss on this loan. As of the February 10, 2017 remittance statement cumulative interest shortfalls were $8.2 million. Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced loans and/or modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. Moody's received full year 2015 operating results for 100% of the pool, and full or partial year 2016 operating results for 100% of the pool (excluding specially serviced and defeased loans). The only conduit loan in the pool represents 2% of the pool balance. The loan is the Cove Terrace Shopping Center Loan ($1 million -- 2% of the pool), which is secured by a retail shopping center located in Copperas Cove, Texas. As per the September 2016 rent roll the property was 84% leased, compared to 78% leased in September 2015. The loan is fully amortizing. Moody's LTV and stressed DSCR are 15.3% and 5.99X, respectively, compared to 20.5% and 4.49X at the last review. GS MORTGAGE 2013-G1: DBRS Confirms BB Rating on Class DM Debt ------------------------------------------------------------- DBRS Limited confirmed the ratings on the Commercial Mortgage Pass-Through Certificates, Series 2013-G1 issued by GS Mortgage Securities Trust, Series 2013-G1 as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (sf) -- Class C at A (sf) -- Class D at BBB (low) (sf) -- Class DM at BB (sf) All trends are Stable. The rating confirmations reflect the stable overall performance of the transaction. The collateral consists of three fixed-rate loans secured by two outlet malls and one regional mall; Great Lakes Crossing Outlets, Katy Mills and Deptford Mall, respectively, located in established suburban markets outside of Detroit, Houston and Philadelphia, respectively. As of the January 2017 remittance, all loans are reporting 2016 partial-year financials with a weighted-average (WA) debt service coverage ratio (DSCR) and WA debt yield of 2.94 times (x) and 14.2%, respectively, an increase from the YE2015 WA DSCR and WA debt yield of 2.80x and 12.9%, respectively. The three loans report an aggregate outstanding principal balance of $537.4 million as of the January 2017 remittance, representing a collateral reduction of 5.6% since issuance because of scheduled loan amortization. At issuance, DBRS shadow-rated all three loans as investment-grade. DBRS has today confirmed that the performance of these loans remains consistent with investment-grade loan characteristics. Overall, the collateralized properties are well established in their respective markets and have satisfactory in-line sales performance, high-quality sponsorship and low-leverage financing. JP MORGAN 2005-CIBC13: Fitch Affirms CCC Rating on Class A-J Certs ------------------------------------------------------------------ Fitch Ratings affirms 14 classes of J.P. Morgan Chase Commercial Mortgage Securities Corp. (JPMCC) commercial mortgage pass-through certificates, series 2005-CIBC13. KEY RATING DRIVERS The affirmations reflect the pool's significant concentration with only 21 loans remaining; six of which (29% of the pool) are specially serviced. As of the January 2017 distribution date, the pool's aggregate principal balance has been reduced by 95.3% to $128.4 million from $2.72 billion at issuance. Per the servicer reporting, two loans (25.4% of the pool) are defeased which includes the largest loan in the transaction (24%). Interest shortfalls are currently affecting classes B through NR. Increased Pool Concentration/Adverse Selection: The transaction is highly concentrated with only 21 loans remaining of the original 230 and the top 10 loans accounting for 79.3% of the pool. Fitch's modeled losses are high relative to the remaining pool balance at 26.64%; expected losses on the original pool balance are 13%, including $320.8 million (11.8%) of the original pool balance) in realized losses to date. Maturity Concentration: Four loans (38.5%) are scheduled to mature in 2017. Of the four, the largest loan in the deal, which is defeased (24.1%), matures Nov. 1, 2017. The remaining three (14.5%) matured on Feb. 1, 2017 and are currently in special servicing and losses are expected. High Property Type Concentrations: 52% of the remaining pool is secured by retail properties and 32% by office properties. High Concentration of Loans of Concern: 44% of the pool is considered Fitch loans of concern; of which 29% is in specially serviced. Of the specially serviced loans, 26.2% are in foreclosure or real estate owned (REO), while the remaining loan is past its maturity date and is categorized as Performing Matured. The specially serviced loans are past their maturity dates and include the second largest loan. The largest specially serviced loan is secured by a 93,669 square foot (sf) retail property located in Shreveport, LA. The loan was transferred to the special servicing in January 2014, for imminent default due to structural issues at the property. The issue affects the inline tenants which make up approximately 36% of the property. The borrower's engineering firm concluded that the best course of action is to demolish the impacted area, as remediation costs are greater than the cost to demolish and rebuild. The loan is currently in monetary default. The property is currently occupied by four tenants: Office Max, Barnes & Noble; Old Navy; and Mattress Firm; with lease expirations in December 2017, February 2018, August 2017, and November 2021 respectively. The property is 73.7% occupied as of March 2016. Per the special servicer, they were working on a deed-in-lieu but borrower is no longer willing to cooperate. They are proceeding with foreclosure with a receiver in place. RATING SENSITIVITIES Although the credit enhancement to class A-J has improved, future upgrades to the distressed classes are not expected due to the high concentration of specially serviced loans (29% of the pool), increased deal concentration, and adverse selection. In addition, several of the top 15 loans are secured by single-tenanted properties which carry binary risk. Losses remain possible. 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 and revises REs as indicated: -- $92.2 million class A-J at 'CCCsf'; RE 100%; -- $36.3 million class B at 'Dsf'; RE to 10% from 40%; -- $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%. The class A-1, A-1A, A-2, A-2FL, A-3A1, A-3A2, A-4, A-SB, A-2FX and A-M certificates 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 X-2 certificates. JP MORGAN 2005-LDP2: S&P Affirms 'B' Rating on Class G Certs ------------------------------------------------------------ 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-LDP2, a U.S. commercial mortgage-backed securities (CMBS) transaction. In addition, S&P affirmed its 'B (sf)' rating on class G from the same transaction. S&P's rating actions 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. S&P raised its ratings on classes C, D, E, and F to reflect its expectation of the available credit enhancement for these classes, which S&P believes is greater than its most recent estimate of the necessary credit enhancement for the respective rating levels. The upgrades also follow S&P's views regarding the collateral's current and future performance and lower trust balance. While available credit enhancement levels suggest further positive rating movement on class F, S&P's analysis also considered the susceptibility to reduced liquidity support from the three specially serviced loans ($40.6 million, 27.3%) and the largest loan on the master servicer's watchlist, the Reflections loan ($29.0 million, 19.5%), which was previously with the special servicer. The affirmation for class G reflects S&P's expectation that the available credit enhancement for this class is within its estimate of the necessary credit enhancement required for the current rating, as well as our views regarding the collateral's current and future performance. TRANSACTION SUMMARY As of the Jan. 17, 2017, trustee remittance report, the collateral pool balance was $148.9 million, which is 5.0% of the pool balance at issuance. The pool currently includes 23 loans, down from 295 loans at issuance. Three of these loans are with the special servicer, one ($0.9 million, 0.6%) is defeased, and five ($50.3 million, 33.8%) are on the master servicer's watchlist. The master servicer, Wells Fargo Bank N.A., reported financial information for 76.8% of the nondefeased loans in the pool, of which 46.6% was partial- or year-end 2016 data, and the remainder was year-end 2015 data. S&P calculated a 1.23x S&P Global Ratings weighted average debt service coverage (DSC) and 77.0% S&P Global Ratings weighted average loan-to-value (LTV) ratio using a 7.59% S&P Global Ratings weighted average capitalization rate. The DSC, LTV, and capitalization rate calculations exclude two ($31.0 million, 20.8%) of the three specially serviced loans, the defeased loan, and the subordinate B note ($4.8 million, 3.2%). The top 10 nondefeased loans have an aggregate outstanding pool trust balance of $128.4 million (86.3%). Using adjusted servicer-reported numbers, S&P calculated an S&P Global Ratings weighted average DSC and LTV of 1.21x and 85.2%, respectively, for eight of the top 10 nondefeased loans. The remaining loans are nonperforming specially serviced and discussed below. To date, the transaction has experienced $189.1 million in principal losses, or 6.3% of the original pool trust balance. S&P expects losses to reach approximately 6.7% 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 two of the three specially serviced loans. CREDIT CONSIDERATIONS As of the Jan. 17, 2017, trustee remittance report, three loans in the pool were with the special servicer, LNR Partners LLC (LNR). Details on the three specially serviced loans are: -- The Fort Knox Executive Office Center loan ($26.4 million, 17.7%) is the second-largest nondefeased loan in the pool and has a total reported exposure of $27.2 million. The loan is secured by a suburban office property totaling 291,288 sq. ft. in Tallahassee, Fla. The loan, which has a foreclosure-in-process payment status, was transferred to the special servicer on March 16, 2015, due to imminent default. LNR stated that the lender is reviewing alternatives to taking title through a foreclosure, including a potential note sale. An appraisal reduction amount (ARA) of $4.3 million is in effect against this loan. S&P expects a moderate loss upon its eventual resolution. The 33 Technology Drive loan ($9.6 million, 6.5%) is the seventh-largest nondefeased loan in the pool and has a total reported exposure of $9.7 million. The loan is secured by an office property totaling 102,323 sq. ft. in Warren, N.J. The loan transferred to the special servicer on June 3, 2015, due to maturity default. The loan was originally scheduled to mature on June 1, 2015. It is S&P's understanding from LNR that the loan was modified in July 2016. The modification included an extension of the maturity date to November 2017. The Landmark Retail Portfolio loan ($4.6 million, 3.1%), the smallest loan with the special servicer, has a total reported exposure of $4.9 million. The loan is secured by three retail properties totaling 78,131 sq. ft. in various cities in Ohio. The loan, which has a nonperforming matured balloon payment status, was transferred to special servicing on June 5, 2014, due to imminent default. LNR indicated that a foreclosure is anticipated in first-quarter 2017. The reported DSC and occupancy as of June 30, 2016, were 1.03x and 71.0% respectively. An ARA of $516,426 is in effect against this loan. S&P expects a minimal loss upon its eventual resolution. S&P estimated losses for two of the three specially serviced loans, arriving at a weighted average loss severity of 34.8%. For the specially serviced loans 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. Commercial mortgage pass-through certificates series 2005-LDP2 Rating Class To From Credit enhancement (%) C AAA (sf) A+ (sf) 88.09 D AA+ (sf) A (sf) 70.58 E AA (sf) BBB (sf) 53.07 F A (sf) BB- (sf) 33.06 RATING AFFIRMED JPMorgan Chase Commercial Mortgage Securities Corp. Commercial mortgage pass-through certificates series 2005-LDP2 Class Rating Credit enhancement (%) G B (sf) 15.55 JP MORGAN 2012-C6: Fitch Affirms 'Bsf' Rating on Class H Certs -------------------------------------------------------------- Fitch Ratings has affirmed 11 classes of J.P. Morgan Chase Commercial Mortgage Securities Trust commercial mortgage pass-through certificates, series 2012-C6. KEY RATING DRIVERS The affirmations reflect generally stable performance of the pool since issuance. As of the January 2017 distribution date, the pool's aggregate principal balance has been reduced by 18% to $929.4 million from $1.13 billion at issuance. One loan (0.8% of pool) is currently in special servicing and no loans are defeased. Interest shortfalls are currently affecting the non-rated class NR. Stable Performance: Overall pool performance remains stable and generally in line with issuance expectations. As of year-end (YE) 2015, aggregate pool-level net operating income (NOI) improved 5.3% from 2014. Loans of Concern: Fitch has designated four Fitch Loans of Concern (6% of pool), which includes one specially serviced loan (0.8%). One of the top 15 loans (2.8%) is a Fitch Loan of Concern due to significant occupancy declines. The largest Loan of Concern (2.8% of pool) is secured by a four-building office complex located in Vernon Hills, IL. The property's second largest tenant, CDW Corporation, occupied 25.6% of the net rentable area (NRA) before vacating at its scheduled lease expiration in February 2016. As a result, occupancy fell to 66.1% as of September 2016 from 92% at YE 2015. The property is located in the Northwest Suburbs office submarket, which reported a high overall vacancy rate of 26.4%, as of third quarter 2016 per Reis. The second largest Loan of Concern (1.4% of pool) is secured by a 162,909 square foot (sf) suburban office building located in Houston, TX. Property occupancy declined significantly to 67% as of September 2016 from 99% as of YE 2014 after the two largest tenants vacated at lease expiration in 2015. As a result, the property's NOI has fallen and the servicer-reported NOI debt service coverage ratio was 1.20x based on annualized year-to-date September 2016 operations compared to 2.16x as of YE 2014. The specially serviced loan (0.8% of pool) is secured by a 156,478 sf office building located in downtown Des Moines, IA. The loan transferred to special servicing in May 2016 for imminent default after two large tenants totaling 31% of the NRA vacated the property, reducing occupancy to 38% (excluding month-to-month tenants) as of September 2016. According to the special servicer, the property is not generating sufficient revenue to pay operating expenses and debt service. The loan is cash managed under a hard lockbox. Two discounted pay-off proposals were rejected by the special servicer in 2016 and a settlement proposal is currently being negotiated. The special servicer will move forward with foreclosure and receivership if the borrower does not perform. Pool Concentrations: Retail properties represent 43.2% of the pool and include five of the top 15 loans (27%). Office properties represent 38.2% of the pool and include six of the top 15 loans (28.4%). Additionally, the transaction has a higher than average concentration of properties located in secondary markets, with three of the top 15 loans (28.2%) located in Ohio and Georgia, particularly the Cleveland and Atlanta metro areas. Amortization: Nine loans (15.5% of pool) are interest-only for the full term. Additionally, 6.1% of the current pool consists of loans that still have a partial interest-only component during their remaining loan term, compared to 21.8% of the original pool at issuance. RATING SENSITIVITIES Rating Outlooks for all classes remain Stable due to overall stable pool performance and expected continued paydown. Future upgrades may occur with improved pool performance and additional paydown or defeasance. Downgrades, although not likely in the near term, may be possible should overall performance decline 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 ratings: -- $489.8 million class A-3 at 'AAAsf'; Outlook Stable; -- $99.5 million class A-SB at 'AAAsf'; Outlook Stable; -- $99.2 million class A-S at 'AAAsf'; Outlook Stable; -- $56.7 million class B at 'AAsf'; Outlook Stable; -- $25.5 million class C at 'A+sf'; Outlook Stable; -- $28.3 million class D at 'A-sf'; Outlook Stable; -- $55.3 million class E at 'BBB-sf'; Outlook Stable; -- $1.4 million class F at 'BBB-sf'; Outlook Stable; -- $15.6 million class G at 'BBsf'; Outlook Stable; -- $18.4 million class H at 'Bsf'; Outlook Stable; -- $688.5 million* class X-A at 'AAAsf'; Outlook Stable. *Notional amount and interest-only. The class A-1 and A-2 certificates have paid in full. Fitch does not rate the interest-only class X-B or class NR certificates. JP MORGAN 2017-1: Fitch to Rate Class B-5 Notes at 'Bsf' -------------------------------------------------------- Fitch Ratings expects to rate J.P. Morgan Mortgage Trust 2017-1 (JPMMT 2017-1): -- $626,778,000 class A-1 exchangeable certificates 'AA+sf'; Outlook Stable; -- $586,771,000 class A-2 exchangeable certificates 'AAAsf'; Outlook Stable; -- $440,078,000 class A-3 exchangeable certificates 'AAAsf'; Outlook Stable; -- $195,000,000 class A-4 certificates 'AAAsf'; Outlook Stable; -- $359,104,000 class A-5 certificates 'AAAsf'; Outlook Stable; -- $124,945,000 class A-6 certificates 'AAAsf'; Outlook Stable; -- $351,294,000 class A-7 exchangeable certificates 'AAAsf'; Outlook Stable; -- $226,349,000 class A-8 exchangeable certificates 'AAAsf'; Outlook Stable; -- $183,549,000 class A-9 certificates 'AAAsf'; Outlook Stable; -- $42,800,000 class A-10 certificates 'AAAsf'; Outlook Stable; -- $61,732,000 class A-11 certificates 'AA+sf'; Outlook Stable; -- $967,130,000 class A-12 exchangeable certificates 'AA+sf'; Outlook Stable; -- $905,398,000 class A-13 exchangeable certificates 'AAAsf'; Outlook Stable; -- $679,049,000 class A-14 exchangeable certificates 'AAAsf'; Outlook Stable; -- $340,352,000 class A-15 exchangeable certificates 'AA+sf'; Outlook Stable; -- $318,627,000 class A-16 exchangeable certificates 'AAAsf'; Outlook Stable; -- $238,971,000 class A-17 exchangeable certificates 'AAAsf'; Outlook Stable; -- $554,104,000 class A-18 exchangeable certificates 'AAAsf'; Outlook Stable; -- $967,130,000 class A-X-1 notional certificates 'AAAsf'; Outlook Stable; -- $11,833,000 class B-1 certificates 'AAsf'; Outlook Stable; -- $21,091,000 class B-2 certificates 'Asf'; Outlook Stable; -- $11,318,000 class B-3 certificates 'BBBsf'; Outlook Stable; -- $6,687,000 class B-4 certificates 'BBsf'; Outlook Stable; -- $3,601,000 class B-5 certificates 'Bsf'; Outlook Stable. Fitch will not be rating the following certificates: -- $967,130,000 class A-X-2 notional exchangeable certificates; -- $7,202,422 class B-6 certificates; -- $655,504,661 class A-IO-S certificates. KEY RATING DRIVERS High-Quality Mortgage Pool (Positive): The collateral pool consists of high-quality 30-year, fully amortizing conforming and non-conforming loans to borrowers with strong credit profiles and low leverage. The pool has a weighted average (WA) FICO score of 770 and an original combined loan-to-value (CLTV) ratio of 69.7%. The collateral attributes of the pool are generally consistent with recent JPMMT transactions, with some notable differences in liquid reserves and seasoning. ADDITIONAL RATING DRIVERS Tier 3 Representation and Warranty Framework (Concern): Fitch believes the value of the rep and warranty framework is diluted by the presence of qualifying and conditional language in conjunction with sunset provisions, which reduces lender breach liability. While Fitch believes the high credit-quality pool and clean diligence results mitigate these risks, Fitch considered the weaker framework in Fitch analysis. Strong Due Diligence Results (Positive): Loan-level due diligence was performed on 100% of the non-conforming loans and a statistical sample of the conforming loans. The diligence sample size and scope for the agency loans are consistent with those of other Fitch-rated transactions that include Chase-originated collateral. All the reviewed loans received a third-party 'A' or 'B' grade, indicating strong underwriting practices and sound quality control procedures. Above-Average Originator (Positive): Based on its review of Chase's origination platform for agency loans, Fitch believes the bank has strong processes and procedures in place, and views Chase's ability to originate and acquire agency loans as above average. Fitch reduced its PD by 50bps at the 'AAAsf' stress scenario to account for the strong operational quality of the Chase agency collateral. Roughly 59% of the agency loans were originated by correspondent sellers that have been approved by Chase. Most of these sellers are approved to deliver loans on a delegated basis. Chase has a strong approval and monitoring process in place for correspondent counterparties, which includes strict approval criteria for new correspondents. Geographic Concentration (Concern): The pool's primary concentration is in California, representing approximately 49% of the pool. However, no California MSA has a concentration of over 15%. The New York and Washington, D.C. MSAs account for 8.6% and 6.1% of the pool, respectively. The increased geographic distribution resulted in a minor probability of default (PD) penalty of 1%, which is lower than Fitch has observed in previous JPMMT deals. Straightforward Deal Structure (Positive): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the deal. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. To mitigate tail risk, which arises as the pool seasons and fewer loans are outstanding, a subordination floor of 0.50% of the original balance will be maintained for the certificates. Leakage from Reviewer Expenses (Concern): The trust is obligated to reimburse the breach reviewer, Pentalpha Surveillance LLC (Pentalpha), each month for any reasonable out-of-pocket expenses incurred if the company is requested to participate in any arbitration, legal or regulatory actions, proceedings or hearings. These expenses include Pentalpha's legal fees and other expenses incurred outside its annual fee schedule and are not subject to a cap or certificateholder approval. While Fitch accounted for the potential additional costs by upwardly adjusting its loss estimation for the pool, Fitch views this construct as adding potentially more ratings volatility than those that do not have this type of provision. Extraordinary Expense Adjustment (Concern): Extraordinary expenses, which include loan file review costs, arbitration expenses for enforcement of the reps and additional fees of Pentalpha, will be taken out of available funds and not accounted for in the contractual interest owed to the bondholders. This can result in principal and interest shortfalls to the bonds, starting from the bottom of the capital structure. To account for the risk of these noncredit events reducing subordination, Fitch adjusted its loss expectations upward by 35bps at the 'AAAsf' level and 30bps at the 'AA+sf' level. RATING SENSITIVITIES Fitch's analysis incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or may be considered in the surveillance of the transaction. Three sets of sensitivity analyses were conducted at the state and national levels to assess the effect of higher MVDs for the subject pool. This defined stress sensitivity analysis demonstrates how the ratings would react to steeper market value declines at the national level. The analysis assumes market value declines of 10%, 20% and 30%, in addition to the model-projected 5.1%. The analysis indicates that there is some potential rating migration with higher MVDs, compared with the model projection. Fitch also conducted sensitivities to determine the stresses to MVDs that would reduce a rating by one full category, to non-investment grade, and to 'CCCsf'. JP MORGAN 2017-1: Moody's Assigns (P)Ba3 Rating to Cl. B-5 Debt --------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to 24 classes of residential mortgage-backed securities (RMBS) issued by J.P. Morgan Mortgage Trust 2017-1. The ratings range from (P)Aaa (sf)-(P)Ba3 (sf). The certificates are supported by 1,645 30-year, fully-amortizing fixed rate mortgage loans with a total balance of $1,028,862,422 as of the Feb 1, 2017 Cut-off date. Unlike previous JPMMT deals, the pool consists of a large percentage (36.3% by loan balance, 724 loans) of high-balance conforming fixed-rate mortgages originated by JPMorgan Chase Bank, N.A. (Chase) and underwritten to the government-sponsored enterprise (GSE) guidelines in addition to 921 prime jumbo non-conforming mortgages purchased by J.P. Morgan Mortgage Acquisition Corp. (JPMMAC) from various originators and aggregators. Chase will be the servicer on the conforming loans, while Shellpoint Mortgage Servicing will be the servicer on the prime jumbo loans. Wells Fargo Bank, N.A. will be the master servicer and securities administrator. U.S. Bank Trust National Association will be the trustee. Pentalpha Surveillance LLC will be the representations and warranties breach reviewer. Distributions of principal and interest and loss allocations are based on a typical shifting-interest 'I' structure that benefits from a subordination floor. The complete rating actions are as follows: Issuer: J.P. Morgan Mortgage Trust 2017-1 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)Aa1 (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-X-1, Assigned (P)Aaa (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A2 (sf) Cl. B-3, Assigned (P)Baa2 (sf) Cl. B-4, Assigned (P)Ba1 (sf) Cl. B-5, Assigned (P)Ba3 (sf) RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Moody's expected cumulative net loss on the aggregate pool average 0.40% in a base scenario and reaches 5.05% at a stress level consistent with the Aaa ratings. Moody's calculated losses on the pool using Moody's US Moody's Individual Loan Analysis (MILAN) model based on the loan-level collateral information as of the Cut-off Date. Loan-level adjustments to the model results included adjustments to probability of default for higher and lower borrower debt-to-income ratios (DTIs), for borrowers with multiple mortgaged properties, self-employed borrowers, and for the default risk of Homeownership association (HOA) properties in super lien states. Moody's final loss estimates also incorporate adjustments for originator assessments, the financial strength of Representation & Warranty (R&W) providers, and extraordinary expenses. For the conforming loans, Moody's modeled Moody's severity estimate using conforming loan-specific severity data published by Freddie Mac. Moody's base provisional ratings on the certificates on the credit quality of the mortgage loans, the structural features of the transaction, Moody's assessments of the aggregators, originators and servicers, the strength of the third party due diligence and the representations and warranties (R&W) framework of the transaction. Collateral Description JPMMT 2017-1 is a securitization of a pool of 1,645 30-year, fully-amortizing mortgage loans with a total balance of $1,028,862,422 as of the cutoff date, with a weighted average (WA) remaining term to maturity of 355 months, and a WA seasoning of five months. The borrowers in this transaction have high FICO scores and sizeable equity in their properties. The WA current FICO score is 775 and the WA original combined loan-to-value ratio (CLTV) is 69.7%. The characteristics of the loans underlying the pool are generally comparable to other JPMMT transactions backed by 30-year fixed mortgage loans that Moody's has recently rated. In this transaction, 36.3% of the pool by loan balance was underwritten by Chase to Fannie Mae's and Freddie Mac's guidelines (conforming loans). Moreover, the conforming loans in this transaction have a high average current loan balance at $515,687. The higher conforming loan balance of loans in JPMMT 2017-1 is attributable to the greater amount of properties located in high-cost areas, such as the metro areas of New York City and San Francisco. Approximately 26% (by loan balance) of the pool consists of loans acquired by JPMMAC either directly or indirectly from TH TRS Corp. (Two Harbors). These loans were acquired by JPMMAC either directly from TH TRS Corp. (7.3% by loan balance) or indirectly through MAXEX, LLC, (MAXEX) (18.8% by loan balance), a financial services technology company which operates a mortgage loan exchange for the purchase and sale of mortgage loans called LNEX. MAXEX acts a central clearinghouse and single counterparty to exchange participants. As an independent market utility, MAXEX can provide consistency through standardized guidelines and procedures including a pre-settlement independent loan audit on all loans. Moreover, all Two Harbors loans were reviewed by an independent third-party due diligence firm, who checked the loans for adherence to Two Harbors guidelines, regulatory compliance and valuation. Among the originators contributing more than 10% to the pool, Quicken Loans Inc. represents 14.8% of the outstanding principal balance of the mortgage loans and United Shore Financial Services, LLC represents 14.8% of the outstanding principal balance of the mortgage loans. The remaining originators each account for less than 10% of the principal balance of the loans in the pool and provide R&W to the transaction. Self-employed borrowers constitute 18.3% (by loan balance) of the prime jumbo portion of the pool. For self-employed borrowers, the variable nature of self-employed income presents a greater risk than the fixed income typically derived from salaried employment. To address this risk, originators have verified self-employed income by reviewing two years of tax returns as well as requiring a greater number of reserves than those required of salaried borrowers. On average, the self-employed borrowers have approximately $282,000 in reserves compared to $217,000 for salaried borrowers. More than 50% of the mortgage loans in JPMMT 2017-1 were originated through correspondent and broker channels, which is in contrast to recent prime jumbo transactions where on average 70% are originated through the retail channel. Typically, loans originated through a broker or correspondent channel do not perform as well as loans originated through a retail channel, although performance is likely to vary by originator. Third-party Review The transaction benefits from third-party review on 100% of the prime jumbo loans, 100% of the conforming loans for regulatory compliance, and 36% of the conforming loans for credit and valuation. Opus Capital Markets Consultants LLC (Opus) reviewed 238 loans in the initial pool, AMC Diligence, LLC (AMC) reviewed 358 loans in the initial pool and Clayton Services LLC (Clayton) reviewed 340 loans in the initial pool. AMC reviewed a sample of the conforming loans for credit and property representing 36% of the conforming pool (271 loans randomly selected by AMC from an initial pool of 743 conforming loans). AMC reviewed 100% of the conforming loans for compliance. The due diligence results confirm compliance with the originators' underwriting guidelines for the vast majority of loans, no material compliance issues, and no material valuation issues. The loans that had exceptions to the originators' underwriting guidelines had significant compensating factors that were documented. Representations & Warranties (R&W) Framework The sellers have provided clear R&Ws, including an unqualified fraud R&W. There is a provision for binding arbitration in the event of a dispute between the trust and the R&W provider concerning R&W breaches. Further, R&W breaches are evaluated by an independent third party using a set of objective criteria. The R&W providers vary in financial strength. JPMorgan Chase Bank, N. A. (rated Aa2), who is the R&W provider for approximately 36.3% (by loan balance) of the loans, is the strongest R&W provider. For loans that JPMMAC acquired via the MAXEX platform, Central Clearing and Settlement LLC, (CCS) MAXEX's subsidiary and seller under the Assignment, Assumption and Recognition agreement (AAR), will make the R&Ws. The loans where CCS is the R&W provider represent 18.8% by loan balance of the pool. Under the AAR, JPMMAC will assign to the trust a backstop made by Five Oaks Acquisition Corp. (Five Oaks) where Five Oaks backstops CCS in the event that CCS is insolvent. Tail Risk & Subordination Floor This deal has a standard shifting-interest structure, with a subordination floor to protect against losses that occur late in the life of the pool when relatively few loans remain (tail risk). When the total senior subordination is less than 0.50% of the original pool balance ($5,144,312), the subordinate bonds do not receive any principal and all principal is then paid to the senior bonds. In addition, if the subordinate percentage drops below 6.00% of current pool balance, the senior distribution amount will include all principal collections and the subordinate principal distribution amount will be zero. The subordinate bonds themselves benefit from a floor. When the total current balance of a given subordinate tranche plus the aggregate balance of the subordinate tranches that are junior to it amount to less than 0.70% of the original pool balance ($7,202,422), those tranches do not receive principal distributions. Principal those tranches would have received are directed to pay more senior subordinate bonds pro-rata. Net WAC The net WAC definition is the greater of (1) (a) the weighted average of the net mortgage rates of the mortgage loans in that group as of the first day of the related due period, weighted on the basis of their stated principal balances, minus (b) the reviewer annual fee rate for such distribution date and (2) zero. The certificates that are at risk are the lockout classes, especially Class B-6, which has the longest weighted average life. Extraordinary Trust Expenses Extraordinary expenses, which include expenses to be reimbursed to the trustee, securities administrator and to the reviewer, as well as expenses related to enforcement for breach of R&Ws and others, will be taken out of the available distribution amount, which decreases funds available for payment of the certificates. 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. KKR CLO 17: Moody's Assigns Provisional Ba3 Rating to Class E Notes ------------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to five classes of notes to be issued by KKR CLO 17 Ltd. Moody's rating action is: US$325,000,000 Class A Senior Secured Floating Rate Notes due 2029 (the "Class A Notes"), Assigned (P)Aaa (sf) US$53,750,000 Class B Senior Secured Floating Rate Notes due 2029 (the "Class B Notes"), Assigned (P)Aa2 (sf) US$26,250,000 Class C Senior Secured Deferrable Floating Rate Notes due 2029 (the "Class C Notes"), Assigned (P)A2 (sf) US$32,500,000 Class D Senior Secured Deferrable Floating Rate Notes due 2029 (the "Class D Notes"), Assigned (P)Baa3 (sf) US$22,500,000 Class E Senior 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. KKR 17 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, cash, 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 75% ramped as of the closing date. KKR Financial Advisors II, LLC (the "Manager"), with KKR Credit Advisors (Ireland) Unlimited Company acting as sub-manager (the "Sub-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: 55 Weighted Average Rating Factor (WARF): 2850 Weighted Average Spread (WAS): 3.60% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 47.5% Weighted Average Life (WAL): 8.0 years. Methodology Underlying the Rating Action: The methodology Moody's 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 C Notes: -2 Class D Notes: -1 Class E Notes: -1 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 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. LB-UBS COMMERCIAL 2007-C6: Moody's Cuts Rating on 2 Tranches to C ----------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on 12 classes and downgraded the ratings on three classes of LB-UBS Commercial Mortgage Trust 2007-C6 as follows: Cl. A-1A, 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-M, Affirmed Baa2 (sf); previously on Mar 10, 2016 Affirmed Baa2 (sf) Cl. A-MFL, Affirmed Baa2 (sf); previously on Mar 10, 2016 Affirmed Baa2 (sf) Cl. A-J, Affirmed B2 (sf); previously on Mar 10, 2016 Affirmed B2 (sf) Cl. B, Affirmed Caa1 (sf); previously on Mar 10, 2016 Affirmed Caa1 (sf) Cl. C, Affirmed Caa2 (sf); previously on Mar 10, 2016 Affirmed Caa2 (sf) Cl. D, Affirmed Caa3 (sf); previously on Mar 10, 2016 Affirmed Caa3 (sf) Cl. E, Downgraded to C (sf); previously on Mar 10, 2016 Affirmed Ca (sf) Cl. F, Downgraded to C (sf); previously on Mar 10, 2016 Affirmed Ca (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, Downgraded to B3 (sf); previously on Mar 10, 2016 Affirmed B1 (sf) RATINGS RATIONALE The ratings on five 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 seven P&I classes were affirmed because the ratings are consistent with Moody's expected loss and realized losses from liquidated loans. The ratings on two P&I classes were downgraded due to the anticipated timing of losses of loans in special servicing. Three loans, representing 22% of the pool balance, are already real estate owned ("REO"). The rating on the IO Class (Class X) was downgraded due to a decline in the credit performance (or the weighted average rating factor or WARF) of its referenced classes. Moody's rating action reflects a base expected loss of 17.3% of the current balance, compared to 14.7% at Moody's last review. Moody's base expected loss plus realized losses is now 13.6% of the original pooled balance, compared to 13.8% 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 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 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 11, compared to a Herf of 13 at Moody's last review. When the Herf falls below 20, Moody's uses the excel-based Large Loan Model and then reconciles and weights the results from the conduit and large loan models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan-level proceeds derived from Moody's loan-level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type and sponsorship. Moody's also further adjusts these aggregated proceeds for any pooling benefits associated with loan level diversity and other concentrations and correlations. DEAL PERFORMANCE As of the January 18, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 52% to $1.42 billion from $2.98 billion at securitization. The certificates are collateralized by 129 mortgage loans ranging in size from less than 1% to 21% of the pool, with the top ten loans constituting 54% of the pool. Thirteen loans, constituting 16% of the pool, have defeased and are secured by US government securities. Twenty-three loans, constituting 24% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Twenty-one loans have been liquidated from the pool at a loss, resulting in an aggregate realized loss of $159 million (an average loss severity of 45%). Fifty loans, constituting 28% of the pool, are currently in special servicing. The largest specially serviced loan or portfolio is the PECO Portfolio ($297.2 million -- 21.0% of the pool), which is secured by 39 cross-collateralized and cross-defaulted loans. The loans are secured by 39 retail properties totaling 4.3 million square feet (SF) and located across 13 states. The average property size is 109,000 SF with no individual asset representing more than 6% of the total SF or 7% of the total portfolio balance. Major tenants include Tops, Bi-Lo, Food Lion, Publix, Staples and Dollar Tree. The loans transferred to special servicing in August 2012 due to imminent default. All 39 PECO loans have become became real-estate owned (REO) with eight properties having already been sold. The remaining 11 specially serviced loans are secured by a mix of property types. Moody's estimates an aggregate $185 million loss for troubled specially serviced loans (47% expected loss on average). Moody's has assumed a high default probability for 12 poorly performing loans, constituting 14% of the pool, and has estimated an aggregate loss of $45 million (a 23% expected loss based on a 53% probability default) from these troubled loans. Moody's received full year 2015 operating results for 99% of the pool and partial year 2016 operating results for 92% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 104%, compared to 105% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 12% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9%. Moody's actual and stressed conduit DSCRs are 1.21X and 0.95X, respectively, compared to 1.28X and 0.93X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The top three loans not in special servicing represent 19.7% of the pool balance. The largest loan is the McCandless Towers Loan ($110.3 million -- 7.8% of the pool), which is secured by two 11 story Class A office towers totaling 418,000 SF in Santa Clara, California. The property was 87% leased as of September 2016, compared to 93% leased as of December 2015. Moody's LTV and stressed DSCR are 113% and 0.86X, respectively, compared to 115% and 0.84X at the last review. The second largest loan is the Greensboro Park Loan ($106.9 million -- 7.5% of the pool), which is secured by two Class B office properties totaling 485,000 SF, located in McLean, Virginia in the Tyson's Corner submarket. The loan last transferred to Special Servicing in February 2015 for imminent default. The loan subsequently transferred back to the Master Servicer in August 2015 following a modification to the loan maturity date. Collectively, the properties were 84% leased as of September 2016, compared to 75% leased as of September 2015. Major tenants include BB&T Bank and Elbit Systems of America. Due to poor financial performance, Moody's has identified this as a troubled loan. The third largest loan is the Islandia Shopping Center -- A note ($61.8 million -- 4.4% of the pool), which is secured by a 377,000 SF anchored retail center located in Islandia, New York. The property is anchored by a Wal-Mart and a Stop & Shop. The property was 96% leased as of September 2016. In 2014 the loan was modified as an A/B note split. The B note is $10.1 million and is also held within the pool. Moody's A note LTV and stressed DSCR are 112% and 0.77X, respectively, compared to 113% and 0.77X at the last review. MARLBOROUGH STREET: Moody's Lowers Rating on Cl. E Notes to B3 -------------------------------------------------------------- Moody's Investors Service has downgraded the rating on the following notes issued by Marlborough Street CLO, Ltd.: US$9,000,000 Class E Secured Deferrable Floating Rate Notes due 2019, Downgraded to B3 (sf); previously on October 13, 2016 Affirmed B2 (sf) Moody's also affirmed the rating on the following notes: US$15,000,000 Class D Secured Deferrable Floating Rate Notes due 2019 (current outstanding balance of $12,734,779.75), Affirmed Aa1 (sf); previously on October 13, 2016 Upgraded to Aa1 (sf) Marlborough Street CLO, Ltd., issued in April 2007, is a collateralized loan obligation (CLO) backed primarily by a portfolio of senior secured loans. The transaction's reinvestment period ended in April 2013. RATINGS RATIONALE The rating downgrade on the Class E notes is primarily a result of a decrease in the Class E over-collateralization (OC) ratio and a deterioration in the credit quality of the portfolio since October 2016. Based on Moody's calculation, the OC ratio for the Class E notes is currently 100.36%, versus the October 2016 level of 101.13%. Moody's notes that $3.7 million or 18.6% of the portfolio is comprised of assets that are rated Ca/C, which were assumed to be defaulted in the base case. Additionally, the weighted average rating factor (WARF) is currently 3272 compared to 3130 in October 2016. Moody's affirmed the rating on the Class D notes primarily due to its reliance to a large extent on the performance of a few large obligors Moody's rates in the low speculative grade categories, despite the deleveraging since October 2016. The transaction's portfolio is currently comprised of only 18 performing obligors, and the largest five obligors make up approximately 55.4% of the portfolio. Furthermore, the portfolio includes a number of investments in securities that mature after the notes do (long-dated assets). Based on Moody's calculation, the long dated assets currently make up approximately 19.3% of the portfolio. These investments could expose the notes to market risk in the event of liquidation when the notes mature. Methodology Used for the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in 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, although it also analyzed defaulted recoveries assuming market price in the case of the Class E notes. 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. 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) Lack of portfolio granularity: The performance of the portfolio depends to a large extent on the credit conditions of a few large obligors Moody's rates Caa1, especially if they jump to default. Because of the deal's low diversity score and lack of granularity, Moody's supplemented its typical Binomial Expansion Technique analysis with a simulated default distribution using its CDOROMTM software or individual scenario analysis. In addition to the base case analysis, Moody's also conducted sensitivity analyses to test the impact of a number of default probabilities on the rated notes relative to the base case modeling results, which may be different from the current public ratings of the notes. Below is a summary of the impact of different default probabilities (expressed in terms of WARF) on all of the rated notes (by the difference in the number of notches versus the current model output, for which a positive difference corresponds to lower expected loss): Moody's Adjusted WARF -- 20% (2618) Class D: 0 Class E: 0 Moody's Adjusted WARF + 20% (3926) Class D: 0 Class E: 0 Loss and Cash Flow Analysis: Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." In addition, because of the collateral pool's low diversity, Moody's used CDOROM™ to simulate a default distribution that it then used as an input in the cash flow model. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. In its base case, Moody's analyzed the collateral pool as having a performing par and principal proceeds balance of $19.7 million, defaulted par of $5.1 million, a weighted average default probability of 13.82% (implying a WARF of 3272), a weighted average recovery rate upon default of 54.82%, a diversity score of 10 and a weighted average spread of 2.96% (before accounting for LIBOR floors). Moody's incorporates the default and recovery properties of the collateral pool in cash flow model analysis where they are subject to stresses as a function of the target rating on each CLO liability reviewed. Moody's derives the default probability from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate for future defaults is based primarily on the seniority of the assets in the collateral pool. Moody's generally applies recovery rates for CLO securities as published in "Moody's Approach to Rating SF CDOs". In some cases, alternative recovery assumptions may be considered based on the specifics of the analysis of the CLO transaction. In each case, historical and market performance and the collateral manager's latitude for trading the collateral are also factors. MERRILL LYNCH 2007-CA23: Moody's Affirms Ba3 Rating on Cl. XC Debt ------------------------------------------------------------------ Moody's Investors Service has affirmed the ratings on fourteen classes and upgraded the ratings on two classes in Merrill Lynch Financial Assets Inc. Series 2007-Canada 23 as follows: Cl. A-2, Affirmed Aaa (sf); previously on Mar 23, 2016 Affirmed Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on Mar 23, 2016 Affirmed Aaa (sf) Cl. A-J, Affirmed Aaa (sf); previously on Mar 23, 2016 Affirmed Aaa (sf) Cl. B, Upgraded to Aaa (sf); previously on Mar 23, 2016 Affirmed Aa1 (sf) Cl. C, Upgraded to Aa2 (sf); previously on Mar 23, 2016 Affirmed A1 (sf) Cl. D-1, Affirmed Baa1 (sf); previously on Mar 23, 2016 Affirmed Baa1 (sf) Cl. D-2, Affirmed Baa1 (sf); previously on Mar 23, 2016 Affirmed Baa1 (sf) Cl. E-1, Affirmed Baa3 (sf); previously on Mar 23, 2016 Affirmed Baa3 (sf) Cl. E-2, Affirmed Baa3 (sf); previously on Mar 23, 2016 Affirmed Baa3 (sf) Cl. F, Affirmed Ba1 (sf); previously on Mar 23, 2016 Affirmed Ba1 (sf) Cl. G, Affirmed Ba2 (sf); previously on Mar 23, 2016 Affirmed Ba2 (sf) Cl. H, Affirmed B1 (sf); previously on Mar 23, 2016 Affirmed B1 (sf) Cl. J, Affirmed B3 (sf); previously on Mar 23, 2016 Affirmed B3 (sf) Cl. K, Affirmed Caa1 (sf); previously on Mar 23, 2016 Affirmed Caa1 (sf) Cl. L, Affirmed Caa2 (sf); previously on Mar 23, 2016 Affirmed Caa2 (sf) Cl. XC, Affirmed Ba3 (sf); previously on Mar 23, 2016 Affirmed Ba3 (sf) RATINGS RATIONALE The ratings on the P&I classes, B and C were upgraded based primarily on an increase in credit support resulting from loan paydowns and amortization. The deal has paid down 3% since Moody's last review and additionally, there has been an increase in defeasance to 23% of the current pool balance from 20% at the last review. The ratings on the P&I classes, A-2 through A-J and D-1 through G were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The ratings on the P&I classes, H through L were affirmed because the ratings are consistent with Moody's expected loss. The rating on the IO class, XC 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 1.6% of the current balance, compared to 1.8% at Moody's last review. Moody's base expected loss plus realized losses is now 1.0% of the original pooled balance, compared to 1.1% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The 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. XC 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 10, compared to 11 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 12, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 41% to $252 million from $425 million at securitization. The certificates are collateralized by 36 mortgage loans ranging in size from less than 1% to 19% of the pool, with the top ten loans (excluding defeasance) constituting 67% of the pool. Eight loans, constituting 23% of the pool, have defeased and are secured by US government securities. Ten loans, constituting 22% 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 liquidated from the pool resulting in a realized loss and there are no loans in special servicing. Moody's has assumed a high default probability for two poorly performing loans, constituting 5.6% of the pool, and has estimated an aggregate loss of $2.2 million (a 15.5% expected loss based on a 50% probability default) from these troubled loans. Moody's received full year 2015 operating results for 98% of the pool, and full or partial year 2016 operating results for 27% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 76%, compared to 79% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 26% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.0%. Moody's actual and stressed conduit DSCRs are 1.47X and 1.37X, respectively, compared to 1.51X and 1.38X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The top three conduit loans represent 35% of the pool balance. The largest loan is the Kennedy Commons Loan ($33.3 million -- 13% of the pool), which is secured by a retail power center in the Scarborough section of Toronto, Ontario. The property was 100% leased as of year-end 2016, compared to 97% the prior year. The sponsor has overseen a remerchandising effort which included the replacement of a former AMC Theaters anchor space with new anchors LA Fitness and Michael's. The loan sponsor is RioCan, a Canadian real estate investment trust. Moody's LTV and stressed DSCR are 86% and 1.06X, respectively, compared to 87% and 1.06X at prior review. The second largest loan is the U-Haul Self-Storage Portfolio ($28.7 million -- 11% of the pool). The loan is secured by five cross-collateralized self-storage properties located in British Columbia and Quebec. Financial performance has been stable since securitization. The loan benefits from amortization. Moody's LTV and stressed DSCR are 77% and 1.26X, respectively, compared to 91% and 1.07X at the last review. The third largest loan is the Holloway Hotel Portfolio ($26.7 million -- 11% of the pool). The loan is secured by a portfolio of five limited service hotels containing a total of 526 rooms. Four of the properties are located in Alberta and one is located in British Columbia. Moody's LTV and stressed DSCR are 81% and, 1.51X, respectively, compared to 66% and 1.88X at the last review. MORGAN STANLEY 2004-TOP15: Moody's Hikes Rating on Cl. H Debt to B3 ------------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on three classes and affirmed the ratings on three classes in Morgan Stanley Capital I Trust 2004-TOP15: Cl. E, Affirmed Aaa (sf); previously on May 13, 2016 Upgraded to Aaa (sf) Cl. F, Upgraded to A1 (sf); previously on May 13, 2016 Upgraded to A3 (sf) Cl. G, Upgraded to Ba1 (sf); previously on May 13, 2016 Upgraded to Ba3 (sf) Cl. H, Upgraded to B3 (sf); previously on May 13, 2016 Upgraded to Caa1 (sf) Cl. J, Affirmed C (sf); previously on May 13, 2016 Affirmed C (sf) Cl. X-1, Affirmed Caa1 (sf); previously on May 13, 2016 Downgraded to Caa1 (sf) RATINGS RATIONALE The ratings on three P&I classes were upgraded based primarily on an increase in credit support resulting from loan paydowns and amortization. The deal has paid down 20% since Moody's last review. The rating Class E was affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The rating on Class J was affirmed because the ratings are consistent with Moody's expected loss plus realized losses. Class J has already experienced a 31% realized loss as result of previously liquidated loans. The rating on the IO Class , Class X-1, was affirmed based on the credit performance (or the weighted average rating factor or WARF) of its referenced classes. Moody's rating action reflects a base expected loss of 1.0% of the current balance, compared to 2.4% at Moody's last review. Moody's base expected loss plus realized losses is 1.6% of the original pooled balance, the same as at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The methodologies used in these ratings were "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in December 2014, and "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in October 2015. 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 uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 12, compared to 14 at last review. When the Herf falls below 20, Moody's uses the excel-based Large Loan Model and then reconciles and weights the results from the conduit and large loan models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan-level proceeds derived from Moody's loan-level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure and property type. Moody's also further adjusts these aggregated proceeds for any pooling benefits associated with loan level diversity and other concentrations and correlations. DEAL PERFORMANCE As of the January 13, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 97% to $28.1 million from $889.8 million at securitization. The certificates are collateralized by 20 mortgage loans ranging in size from 1% to 11% of the pool. Four loans, constituting approximately 11% of the pool, have defeased and are secured by US government securities. Five loans, constituting 31% 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. Ten loans have been liquidated from the pool, resulting in an aggregate realized loss of $14.4 million (for an average loss severity of 21%). There are no loans currently in special servicing. Moody's received full year 2015 operating results for 94% of the pool and partial year 2016 operating results for 63% of the pool. Moody's weighted average conduit LTV is 38%, compared to 40% at the previous 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 10.7% 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 1.53X and 3.82X, respectively, compared to 1.60X and 3.69X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The top three performing conduit loans represent 31% of the pool. The largest loan is the Elkhorn Plaza Shopping Center Loan ($3.2 million -- 11.2% of the pool), which is secured by a grocery anchored shopping center located in Sacramento, California. The loan is fully amortizing and matures in June 2024. The loan has amortized approximately 47% since securitization and Moody's LTV and stressed DSCR are 56% and 1.75X, respectively, compared to 60% and 1.63X at the last review. The second largest loan is the Braeswood Shopping Center Loan ($2.9 million -- 10.3% of the pool), which is secured by an open air, neighborhood shopping center located in Houston, Texas. The loan is fully amortizing and matures in June 2024. The loan has amortized approximately 49% since securitization and Moody's LTV and stressed DSCR are 23% and >4.00X, respectively, compared to 25% and >4.00X at the last review. The third largest loan is the Del Monte Plaza Loan ($2.5 million -- 9.0% of the pool), which is secured by an open air, neighborhood shopping center located in Reno, Nevada. The property is shadow anchored by a Whole Foods Market and less than 0.5 miles from Meadowood Mall, the dominant regional mall in the area. The loan is fully amortizing and matures in March 2024. The loan has amortized approximately 50% since securitization and Moody's LTV and stressed DSCR are 35% and 2.80X, respectively, compared to 38% and 2.59X at the last review. MORGAN STANLEY 2011-C2: Moody's Affirms Ba3 Rating on Cl. X-B Debt ------------------------------------------------------------------ Moody's Investors Service has affirmed the ratings on ten classes in Morgan Stanley Capital I Trust 2011-C2, Commercial Mortgage Pass-Through Certificates, Series 2011-C2: Cl. A-2, Affirmed Aaa (sf); previously on Mar 24, 2016 Affirmed Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on Mar 24, 2016 Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Mar 24, 2016 Affirmed Aaa (sf) Cl. B, Affirmed Aa2 (sf); previously on Mar 24, 2016 Affirmed Aa2 (sf) Cl. C, Affirmed A2 (sf); previously on Mar 24, 2016 Affirmed A2 (sf) Cl. D, Affirmed Baa2 (sf); previously on Mar 24, 2016 Affirmed Baa2 (sf) Cl. E, Affirmed Baa3 (sf); previously on Mar 24, 2016 Affirmed Baa3 (sf) Cl. F, Affirmed Ba2 (sf); previously on Mar 24, 2016 Affirmed Ba2 (sf) Cl. X-A, Affirmed Aaa (sf); previously on Mar 24, 2016 Affirmed Aaa (sf) Cl. X-B, Affirmed Ba3 (sf); previously on Mar 24, 2016 Affirmed Ba3 (sf) RATINGS RATIONALE The ratings on the P&I classes, A-2 through F were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The 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. Moody's rating action reflects a base expected loss of 3.7% of the current balance, compared to 2.7% at Moody's last review. Moody's base expected loss plus realized losses is now 2.5% of the original pooled balance, compared to 1.9% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE 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" 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 13, 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 33% to $816 million from $1.2 billion at securitization. The certificates are collateralized by 44 mortgage loans ranging in size from less than 1% to 17% of the pool, with the top ten loans (excluding defeasance) constituting 65% of the pool. One loan, constituting 2% of the pool, has an investment-grade structured credit assessment. Four loans, constituting 2.5% of the pool, have defeased and are secured by US government securities. One loan, constituting less than 1% 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. There have been no loans which have been liquidated from the pool at a loss. One loan, constituting 5.1% of the pool, is currently in special servicing. The specially serviced loan is the Georgetown Center Loan ($41.3 million, 5.1% of the pool), which is secured by two midrise office buildings totaling 282,497 SF and located in Washington, DC. The loan transferred to special servicing in January 2016 for imminent maturity default and was modified with an extended maturity date of February 2017 and required the borrower to pay down the principal balance by $5.3 million in addition to TI/LC and Capex reserves. As of the September 2016 rent roll, the property was 92% leased. Moody's has assumed a high default probability for one poorly performing loan, constituting 5.8% of the pool, and has estimated an aggregate loss of $19 million (a 40% 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 99% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 85%, compared to 88% 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 19% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.3%. Moody's actual and stressed conduit DSCRs are 1.54X and 1.22X, respectively, compared to 1.51X and 1.19X 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 FedEx Distribution Center Loan ($16.7 million -- 2.0% of the pool), which is secured by a 117,000 SF single tenant industrial property located in East Elmhurst, New York. The property is leased to FedEx Corporation on a triple net lease expiring in 2023, with rent bumps every five years. The loan had an original term of ten years and is amortizing on a 15 year schedule. The loan has an anticipated repayment date (ARD) of December 2020 and a final maturity in December 2022. Due to the single tenant nature of this building, Moody's has incorporated a lit/dark analysis into this review. Moody's current structured credit assessment and stressed DSCR are aa3 (sca.pd) and 1.51X, respectively. The top three conduit loans represent 39.5% of the pool balance. The largest conduit loan is the Deerbrook Mall Loan ($140.6 million -- 17.2% of the pool), which is secured by a 554,500 SF portion of a 1.2 million SF regional mall located in Humble, Texas. The property is anchored by Dillards, Macys, Sears, and JC Penney, all of which are owned by their respective tenants and not included as collateral for the loan. AMC Theater is the only borrower-owned anchor. Inline occupancy was 83% as of September 2016, the same as at last review. The loan had an original term of ten years and is now amortizing on a 30 year schedule, maturing in April 2021. For the twelve months ending September 2016, comparable sales (tenants MORGAN STANLEY 2016-C28: Fitch Affirms 'B-' Rating on 2 Tranches ---------------------------------------------------------------- Fitch Ratings has affirmed 17 classes of Morgan Stanley Bank of America Merrill Lynch Trust (MSBAM) Mortgage Trust 2016-C28 commercial mortgage pass-through certificates. KEY RATING DRIVERS The affirmations are the result of overall stable pool performance, which reflects no material changes to pool metrics 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 0.3% to $953 million from $955.6 million at issuance. There have been no specially serviced loans since issuance. No loans are defeased. Stable Performance with No Material Changes: All loans in the pool are current as of the January 2017 distribution with property level performance in line with issuance expectations and no material changes to pool metrics. Fitch has designated one loan (0.7% of the pool) as a Fitch Loan of Concern. The loan, which is secured by a 43,942 square foot retail center located in San Bernardino, CA, is on the master servicer's watchlist due to outstanding servicer advances for real estate taxes. Above-Average Pool Concentration: The top 10 loans comprise 57% of the pool, which is above the 2015 and 2014 averages of 49.3% and 50.5%, respectively. It was also noted at issuance that the loan concentration index (LCI) and sponsor concentration index (SCI) were higher than average for this transaction. Below-Average Amortization: The pool is scheduled to amortize by 8.8% of the initial pool balance prior to maturity. Six loans (27.1% of pool) are interest-only for the full term. As of January 2017, 49.2% of the current pool consists of loans that still have a partial interest-only component during their remaining loan term, compared to 54.2% of the original pool at issuance. Leasehold Interests: Approximately 12.6% of the pool consists of leasehold-only ownership interests, which is greater than the 2015 average of 3.5%. The leasehold-only collateral in this transaction includes two of the top 15 loans, Penn Square Mall (9.4% of pool) and Le Meridien Cambridge MIT (3.2%). RATING SENSITIVITIES The Rating Outlooks on all classes remain 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 ratings: -- $23.1 million class A-1 at 'AAAsf'; Outlook Stable; -- $43.8 million class A-2 at 'AAAsf'; Outlook Stable; -- $59.3 million class A-SB at 'AAAsf'; Outlook Stable; -- $215 million class A-3 at 'AAAsf'; Outlook Stable; -- $325.2 million class A-4 at 'AAAsf'; Outlook Stable; -- $666.3 million class X-A* at 'AAAsf'; Outlook Stable; -- $97.9 million class X-B* at 'AA-sf'; Outlook Stable; -- $47.8 million class A-S at 'AAAsf'; Outlook Stable; -- $50.2 million class B at 'AA-sf'; Outlook Stable; -- $46.6 million class C at 'A-sf'; Outlook Stable; -- $52.6 million class X-D* at 'BBB-sf'; Outlook Stable; -- $52.6 million class D at 'BBB-sf'; Outlook Stable; -- $14.3 million class E-1** at 'BBsf'; Outlook Stable; -- $14.3 million class E-2** at 'BB-sf'; Outlook Stable; -- $28.7 million class E** at 'BB-sf'; Outlook Stable; -- $9.6 million class F** at 'B-sf'; Outlook Stable; -- $38.2 million class EF** at 'B-sf'; Outlook Stable. *Notional amount and interest-only. ** The class E-1 and E-2 certificates may be exchanged for a related amount of class E certificates, and the class E certificates may be exchanged for a rateable portion of class E-1 and E-2 certificates. Additionally, a holder of class E-1, E-2, Class F-1 and F-2 certificates may exchange such classes of certificates (on an aggregate basis) for a related amount of class EF certificates, and a holder of class EF certificates may exchange that class EF for a rateable portion of each class of the class E-1, E-2, F-1 and F-2 certificates. Fitch does not rate the class F-1, F-2, G-1, G-2, H-1, H-2, G, H, or EFG certificates. MORGAN STANLEY 2017-PRME: S&P Assigns 'BB' Rating on Cl. E Certs ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to Morgan Stanley Capital I Trust 2017-PRME's $365.0 million commercial mortgage pass-through certificates. The certificate issuance is a commercial mortgage-backed securities transaction backed by one two-year, floating-rate commercial mortgage loan with five, one-year extension options totaling $365.0 million, secured by a first-lien mortgage on the borrowers' fee simple and leasehold interests in five hotel properties. The ratings reflect S&P's view of of the collateral's historical and projected performance, the sponsor's and managers' experience, the trustee-provided liquidity, the loan's terms, and the transaction's structure. RATINGS ASSIGNED Morgan Stanley Capital I Trust 2017-PRME Class Rating(i) Amount ($) A AAA (sf) 154,090,000 X-CP(ii) BBB- (sf) 139,650,000(ii) X-NCP(ii) BBB- (sf) 139,650,000(ii) B AA- (sf) 47,785,000 C A (sf) 22,325,000 D BBB- (sf) 69,540,000 E BB (sf) 53,010,000 RR interest(iii) NR 18,250,000 (i)The issuer will issue the certificates to qualified institutional buyers in-line with Rule 144A of the Securities Act of 1933. (ii)Notional balance. The notional amount of the class X-CP and C-NCP certificates will be reduced by the aggregate amount of principal distributions and realized losses allocated to the class B, C, and D certificates. (iii)Non-offered vertical interest certificate. NR--Not rated. NOMURA CRE 2007-2: Moody's Hikes Class B Notes Rating to B1(sf) --------------------------------------------------------------- Moody's Investors Service has upgraded ratings of one class of notes, and downgraded ratings of two classes of notes issued by Nomura CRE CDO 2007-2, Ltd.: Cl. B, Upgraded to B1 (sf); previously on Mar 24, 2016 Upgraded to B3 (sf) Cl. E, Downgraded to C (sf); previously on Mar 24, 2016 Affirmed Ca (sf) Cl. F, Downgraded to C (sf); previously on Mar 24, 2016 Affirmed Ca (sf) Moody's has also affirmed the ratings on the following notes: Cl. C, Affirmed Caa3 (sf); previously on Mar 24, 2016 Affirmed Caa3 (sf) Cl. D, Affirmed Ca (sf); previously on Mar 24, 2016 Affirmed Ca (sf) Cl. G, Affirmed C (sf); previously on Mar 24, 2016 Affirmed C (sf) Cl. H, Affirmed C (sf); previously on Mar 24, 2016 Affirmed C (sf) Cl. J, Affirmed C (sf); previously on Mar 24, 2016 Affirmed C (sf) Cl. K, Affirmed C (sf); previously on Mar 24, 2016 Affirmed C (sf) Cl. L, Affirmed C (sf); previously on Mar 24, 2016 Affirmed C (sf) Cl. M, Affirmed C (sf); previously on Mar 24, 2016 Affirmed C (sf) Cl. N, Affirmed C (sf); previously on Mar 24, 2016 Affirmed C (sf) Cl. O, Affirmed C (sf); previously on Mar 24, 2016 Affirmed C (sf) RATINGS RATIONALE Moody's has upgraded the ratings of one class of notes due to greater than expected repayment of high credit risk assets. The repayments more than offset the decrease in credit quality; as evidenced by the weighted average rating factor (WARF) and the weighted average recovery rate (WARR). The upgraded note is the senior most outstanding class of notes. Moody's has downgraded the ratings of two classes of notes due to the current level of defaulted assets and under-collateralization; reduced credit quality of the pool; and the non-senior position of these notes. Moody's has affirmed the ratings on ten classes of notes because the key transaction metrics are commensurate with existing ratings. The affirmation is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO CLO) transactions. Nomura CRE CDO 2007-2, Ltd. is a currently static cash transaction whose reinvestment period ended in February 2013. The transaction is backed by a portfolio of: i) whole loans (45.8% of the collateral pool balance); ii) b-notes (34.5%); and iii) CRE CDOs (19.7%). As of the November 21, 2016 note valuation report, the aggregate note balance of the transaction, including preferred shares, has decreased to $370.7 million, from $950.0 million at issuance with the paydown directed to the senior most outstanding class of notes. This is the result of regular amortization, recoveries on defaulted assets and the redirection of interest as principal as result of the failure of certain par value tests. The pool contains three assets totaling $81.9 million (50.5% of the collateral pool balance) that are listed as defaulted securities as of the January 31, 2017 trustee report. While there have been limited realized losses on the underlying collateral to date, Moody's does expect significant losses to occur on the defaulted securities. Moody's has identified the following as key indicators of the expected loss in CRE CLO transactions: the weighted average rating factor (WARF), the weighted average life (WAL), the weighted average recovery rate (WARR), and Moody's asset correlation (MAC). Moody's typically models these as actual parameters for static deals and as covenants for managed deals. WARF is a primary measure of the credit quality of a CRE CLO pool. Moody's has updated its assessments for the collateral it does not rate. The rating agency modeled a bottom-dollar WARF of 7415, compared to 5081 at last review. The current ratings on the Moody's-rated collateral and the assessments of the non-Moody's rated collateral follow: A1-A3(1.3% compared to 0.0% at last review; Baa1-Baa3(0.0% compared to 1.5% at last review); Ba1-Ba3(6.0% compared to 3.0% at last review); B1-B3 (14.9% compared to 23.7% at last review); Caa1-Ca/C (77.8% compared to 71.7% at last review). Moody's modeled a WAL of 1.5 years, compared to 2.0 years at last review. The WAL is based on assumptions about extensions on the underlying loan collateral. Moody's modeled a fixed WARR of 23.4%, compared to 27.4% at last review. Moody's modeled a MAC of 99.9%, compared to 36.5% at last review. The increase in MAC is due to high credit risk assets concentrated in a small number of 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. Holding all other parameters constant, reducing the recovery rates of 100% of the collateral pool by -10% would result in an average modeled rating movement on the rated notes of 0 to 4 notches downward (e.g., one notch down implies a ratings movement of Baa3 to Ba1). Increasing the recovery rate of 100% of the collateral pool by +10% would result in an average modeled rating movement on the rated notes of 0 to 5 notches upward (e.g., one notch up implies a ratings movement of Baa3 to Baa2). The primary sources of uncertainty in Moody's assumptions are the extent of growth in the current macroeconomic environment given the weak recovery and certain commercial real estate property markets. Commercial real estate property values continue to improve modestly, along with a rise in investment activity and stabilization in core property type performance. Limited new construction and moderate job growth have aided this improvement. However, sustained growth will not be possible until investment increases steadily for a significant period, non-performing properties are cleared from the pipeline and fears of a euro area recession abate. NORTHSTAR 2013-1: Moody's Hikes Rating on Class C Notes to Ba1 -------------------------------------------------------------- Moody's Investors Service has upgraded the rating on the following notes issued by NorthStar 2013-1: Class C Notes, Upgraded to Ba1 (sf); previously on Mar 23, 2016 Upgraded to Ba3 (sf) RATINGS RATIONALE Moody's has upgraded the rating on one class of notes due to: i) rapid amortization and of the underlying collateral; ii) material improvement of the interest-coverage and overcollateralization tests; and iii) a material improvement in the credit quality of the pool, as evidenced by WARF. However, it should be noted that asset concentration has increased as only two assets remain in the pool. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO CLO) transactions. NorthStar 2013-1 is a static cash transaction that is wholly backed by a portfolio of two whole loans and senior-participations secured by commercial real estate (100% of the collateral pool balance). Asset one is a full-service hotel property located in the Times Square neighborhood in New York; asset two is a suburban office portfolio located in Tyson's Corner, VA. As of the trustee's 19 January, 2017 report, the aggregate note balance of the transaction, including preferred shares, is $146.6 million, compared to $531.5 million at issuance. No assets had defaulted as of the trustee's January 19, 2017 report. Moody's has identified the following as key indicators of the expected loss in CRE CLO transactions: the WARF, the weighted average life (WAL), the weighted average recovery rate (WARR), and Moody's asset correlation (MAC). Moody's typically models these as actual parameters for static deals and as covenants for managed deals. WARF is a primary measure of the credit quality of a CRE CLO pool. Moody's has updated its assessments for the collateral it does not rate. The rating agency modeled a bottom-dollar WARF of 2485, compared to 4041 at last review. The current ratings on the Moody's-rated collateral and the assessments of the non-Moody's rated collateral follow: Baa1-Baa3 (54.9%, compared to 24.7% at last review); and Caa1-Ca/C (45.1%, compared to 48% at last review). Moody's modeled a WAL of 3.9 years, compared to 4.3 years at last review. The WAL is based on assumptions about extensions on the underlying loan collateral. Moody's modeled a fixed WARR of 49.5%, compared to 51.8% at last review. Moody's modeled a MAC of 71.4%, compared to 35.8% at last review. The increase in MAC is due to the concentration of the assets in two names; compared to six names as of last review. Methodology Underlying the Rating Action: The principal methodology used in this rating was "Moody's Approach to Rating SF CDOs" published in October 2016. Factors that would lead to an upgrade or downgrade of the rating: 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 the rated note, 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 note is particularly sensitive to changes in the recovery rates of the underlying collateral and credit assessments. Holding all other parameters constant, reducing the recovery rates of 100% of the collateral pool by -5% would result in an average modeled rating movement on the rated note of zero notches downward (e.g., one notch down implies a ratings movement of Baa2 to Baa3). Increasing the recovery rate of 100% of the collateral pool by +5% would result in an average modeled rating movement on the rated note of zero notches upward (e.g., one notch up implies a ratings movement of Baa2 to Baa1). 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. NORTHWOODS CAPITAL XIV: S&P Affirms BB Rating on Cl. E Notes ------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the class A-R, B-R, and C-R replacement notes from Northwoods Capital XIV Ltd., a collateralized loan obligation (CLO) originally issued in 2014 that is managed by Angelo, Gordon & Co., L.P. The replacement notes will be issued via a proposed supplemental indenture. The class D and E notes are not part of this refinancing, and S&P expects to affirm the current ratings 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. 10, 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 Amount Interest Class (mil. $) rate (%) A-R 316.00 LIBOR + 1.30 B-R 58.00 LIBOR + 1.70 C-R 41.00 LIBOR + 2.45 Original notes Amount Interest Class (mil. $) rate (%) A 316.00 LIBOR + 1.60 B 58.00 LIBOR + 2.46 C 41.00 LIBOR + 3.35 D 23.50 LIBOR + 3.95 E 24.00 LIBOR + 5.35 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 Northwoods Capital XIV Ltd. Replacement class Rating Amount (mil. $) A-R AAA (sf) 316.00 B-R AA (sf) 58.00 C-R A (sf) 41.00 OTHER OUTSTANDING RATINGS Northwoods Capital XIV Ltd. Class Rating D BBB (sf) E BB (sf) NXT CAPITAL 2013-1: Moody's Hikes Rating on Class E Notes to Ba1 ---------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by NXT Capital CLO 2013-1, LLC: US$30,750,000 Class C Secured Deferrable Floating Rate Notes due 2024, Upgraded to Aa1 (sf); previously on July 17, 2015 Upgraded to Aa3 (sf) US$16,250,000 Class D Secured Deferrable Floating Rate Notes due 2024, Upgraded to A1 (sf); previously on July 17, 2015 Upgraded to A3 (sf) US$31,250,000 Class E Secured Deferrable Floating Rate Notes due 2024, Upgraded to Ba1 (sf); previously on July 17, 2015 Affirmed Ba2 (sf) Moody's also affirmed the ratings on the following notes: US$200,000,000 Class A Senior Secured Floating Rate Notes due 2024 (current outstanding balance of $133,516,575.59), Affirmed Aaa (sf); previously on July 17, 2015 Affimed Aaa (sf) US$29,000,000 Class B Senior Secured Floating Rate Notes due 2024, Affirmed Aaa (sf); previously on July 17, 2015 Upgraded to Aaa (sf) NXT Capital CLO 2013-1, LLC, issued in March 2013, 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 April 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 April 2016. The Class A notes have been paid down by approximately 33% or $66.5 million since that time. Based on the trustee's January 12, 2017 report, the OC ratios for the Class A/B, Class C, Class D and Class E notes are reported at 164.68%, 140.73%, 130.68% and 114.91%, respectively, versus April 2016 levels of 152.36%, 134.32%, 126.41% and 113.55%, respectively. Moody's also notes, that the January 12, 2017 trustee-reported OC ratios did not account for approximately $18.2 million that was paid to the Class A notes on the January 25, 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% (3129) Class A: 0 Class B: 0 Class C: +1 Class D: +3 Class E: +2 Moody's Adjusted WARF + 20% (4693) Class A: 0 Class B: 0 Class C: -1 Class D: -1 Class E: -1 Loss and Cash Flow Analysis: Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. In its base case, Moody's analyzed the collateral pool as having a performing par and principal proceeds balance of $282.4 million, defaulted par of $3.5 million, a weighted average default probability of 24.36% (implying a WARF of 3911), a weighted average recovery rate upon default of 49.75%, a diversity score of 37 and a weighted average spread of 5.1% (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. OHA LOAN 2013-1: S&P Assigns Prelim. 'B' Rating on Class F Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-R, B-1-R, B-2-R, C-R, and D-R replacement notes from OHA Loan Funding 2013-1 Ltd., a collateralized loan obligation (CLO) originally issued in 2013 that is managed by Oak Hill Advisors L.P. 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 expected to be issued with a lower coupon than the original notes. The preliminary ratings are based on information as of Feb. 15, 2017. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the March 1, 2017, refinancing date, the proceeds from the replacement note issuance 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 our preliminary ratings on the replacement notes. The class E and F notes are not part of this refinancing, and S&P expects to raise the ratings on the class E notes and affirm the rating on the class F notes on the refinancing date. The replacement notes are being issued via a proposed supplemental indenture, which, in addition to outlining the terms of the replacement notes, will also incorporate the updated S&P Global Ratings recovery methodology and non-model version of Standard & Poor's CDO Monitor. REPLACEMENT AND ORIGINAL NOTE ISSUANCES Replacement notes Class Amount Interest (mil. $) rate (%) A-R 304.60 LIBOR + 1.11 B-1-R 41.70 LIBOR + 1.50 B-2-R 30.00 3.55 C-R 30.20 LIBOR + 2.30 D-R 26.70 LIBOR + 3.55 Original notes Class Amount Interest A 304.60 LIBOR + 1.25 B-1 41.70 LIBOR + 1.65 B-2 30.00 4.029 C 30.20 LIBOR + 3.25 D 26.70 LIBOR + 3.60 E 23.70 LIBOR + 5.15 F 15.00 LIBOR + 5.50 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 OHA Loan Funding 2013-1 Ltd. Replacement class Rating Amount (mil. $) A-R AAA (sf) 304.60 B-1-R AA+ (sf) 41.70 B-2-R AA+ (sf) 30.00 C-R AA- (sf) 30.20 D-R A- (sf) 26.70 OTHER OUTSTANDING RATINGS OHA Loan Funding 2013-1 Ltd. Class Rating E BB (sf) F B (sf) ONE MARKET 2017-1MKT: S&P Assigns Prelim. B Rating on Cl. F Certs ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to One Market Plaza Trust 2017-1MKT's $975.0 million commercial mortgage pass-through certificates series 2017-1MKT. The issuance is a commercial mortgage-backed securities transaction backed by The trust loan is a $975.0 million commercial mortgage loan encumbering the borrower's fee-simple interest in One Market Plaza, an approximately 1.6 million-sq.-ft. two-tower class A office building, a six-story adjoining office building, a subterranean parking garage, and the leasehold interest in approximately 19,533 sq. ft. of ground floor lobby and retail space in the adjacent Landmark Building, located in San Francisco's South Financial District. The preliminary ratings are based on information as of Feb. 13, 2017. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary rating reflect S&P's view of the collateral's historical and projected performance, the sponsor's experience, the trustee-provided liquidity, the loan's terms, and the transaction's structure. PRELIMINARY RATINGS ASSIGNED One Market Plaza Trust 2017-1MKT Class Rating Amount (mil. $) A AAA (sf) 463,732,000 B AA- (sf) 103,051,000 C A- (sf) 77,289,000 D BBB- (sf) 94,807,000 E BB- (sf) 128,815,000 F B (sf) 55,406,000(ii) HRR B- (sf) 51,900,000(ii) X-CP BBB- (sf) 738,879,000(i) X-NCP BBB- (sf) 738,879,000(i) X-E B- (sf) 236,121,000(i) (i)Notional balance. The notional amount of the class X-CP and X-NCP certificates will be equal to the balance of the class A, B, C, and D certificates, and the notional amount of the class X-E certificate will be equal to the balance on the class E, F, and HRR certificates. (ii)The initial certificate balances of the class F 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. PRIMUS CLO II: Moody's Affirms Ba3(sf) Rating on Class E Notes -------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Primus CLO II, Ltd. US$31,500,000 Class C Third Priority Deferrable Floating Rate Notes due 2021, Upgraded to Aa1 (sf); previously on October 18, 2016 Upgraded to Aa3 (sf) US$10,500,000 Class D Fourth Priority Deferrable Floating Rate Notes due 2021, Upgraded to A3 (sf); previously on October 18, 2016 Affirmed Baa3 (sf) Moody's also affirmed the ratings on the following notes: US$302,500,000 Class A Senior Secured Floating Rate Notes due 2021 (current balance of $46,137,770.67), Affirmed Aaa (sf); previously on October 18, 2016 Affirmed Aaa (sf) US$8,500,000 Class B Second Priority Floating Rate Notes due 2021, Affirmed Aaa (sf); previously on October 18, 2016 Affirmed Aaa (sf) US$15,500,000 Class E Fifth Priority Deferrable Floating Rate Notes due 2021 (current balance of $14,645,606.22), Affirmed Ba3 (sf); previously on October 18, 2016 Affirmed Ba3 (sf) Primus CLO II, Ltd. issued in July 2007, is a collateralized loan obligation (CLO) backed primarily by a portfolio of senior secured loans. The transaction's reinvestment period ended in July 2014. 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 October 2016. The Class A notes have been paid down by approximately 33% or $22.4 million since then. Based on Moody's calculations, the OC ratios for the Class A/B, Class C, Class D and Class E notes are reported at 215.02%, 136.39%, 121.57% and 105.57%, respectively, versus October 2016 levels of 164.01%, 124.57%, 115.32% and 104.51%, respectively. 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 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 $2.1 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% (2236) Class A: 0 Class B: 0 Class C: +1 Class D: +3 Class E: +1 Moody's Adjusted WARF + 20% (3354) 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 $117.0 million, defaulted par of $1.7 million, a weighted average default probability of 16.24% (implying a WARF of 2795) a weighted average recovery rate upon default of 45.51%, a diversity score of 42 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. 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. RACE POINT VIII: S&P Assigns Prelim. BB- Rating on Cl. E-R Certs ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-R, B-R, C-R, D-R, and E-R replacement floating-rate notes from Race Point VIII CLO Ltd., a collateralized loan obligation (CLO) originally issued in 2013 that is managed by Bain Capital Credit L.P. The replacement notes will be issued via a proposed supplemental indenture. The preliminary ratings reflect S&P's opinion that the credit support available is commensurate with the associated rating levels. The preliminary ratings are based on information as of Feb. 13, 2017. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Feb. 21, 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. Based on provisions in the supplemental indenture: -- The replacement class A-R, D-R, and E-R notes are expected to be issued at a higher spread than the original notes. -- The replacement class B-R and C-R notes are expected to be issued at a lower spread than the original notes. -- The refinancing transaction is expected to be upsized from the original transaction. The upsized target par amount is expected to be $700.00 million, compared with $500.00 million in the original transaction. -- The stated maturity and reinvestment period will be extended five years. The non-call period will be two years from the refinancing closing date. -- 97.36% of the underlying collateral obligations have credit ratings assigned by S&P Global Ratings. -- 95.57% of the underlying collateral obligations have recovery ratings issued by S&P Global Ratings. PRELIMINARY RATINGS ASSIGNED Race Point VIII CLO Ltd./Race Point VIII CLO Corp. (Refinancing And Extension) Class Preliminary Balance rating (mil. $) A-R AAA (sf) 427.00 B-R AA (sf) 102.30 C-R A (sf) 40.20 D-R BBB (sf) 36.70 E-R BB- (sf) 37.40 Subordinated notes NR 94.05 NR--Not rated. REALT 2015-1: Fitch Affirms 'Bsf' Rating on Class G Certificates ---------------------------------------------------------------- Fitch Ratings has affirmed eight classes of Real Estate Asset Liquidity Trust's (REAL-T) commercial mortgage pass-through certificates, series 2015-1. A detailed list of rating actions follows at the end of this release. All currencies are in Canadian dollars (CAD). KEY RATING DRIVERS The affirmations are based on the stable performance of the underlying collateral since issuance. As of the January 2017 distribution date, the pool's aggregate principal balance has been reduced by 4.4% to $320.1 million from $334.8 million at issuance. No loans are defeased. Stable Performance: All loans in the pool continue to perform with property level performance generally in line with issuance expectations and no material changes to the pool metrics. Watch List Loan: There is one loan (2.2%) on the servicer's watch list that is secured by a 41,100 square foot industrial building located in Leduc, Alberta. The property's largest tenant (55% of net rentable area [NRA]) vacated after declaring backruptcy. The sponsor, York Realty, is working to retenant the space. The loan is full-recourse. Significant Amortization: There are no partial or full interest-only loans. The pool's maturity balance represents a paydown of 28.9% of the closing balance, which represents significantly more paydown than the 2014 averages for Canadian and U.S. multiborrower deals of 16.6% and 12.0%, respectively. Loans with Recourse: At issuance, 82.6% of the loans feature full or partial recourse to the borrowers and/or sponsors. Alberta Exposure: The pool has a 9% exposure to Alberta, a province dependent on the energy extraction industry. The transaction's six properties located in Alberta are composed of five industrial properties and one multifamily. Four of the five industrial properties are leased to tenants directly or indirectly involved in the energy extraction industry. However, two of the loans secured by Alberta properties fully amortize on a 10-year schedule, mitigating retenanting and refinance risk. RATING SENSITIVITIES Rating Outlooks on classes A-1 through G remain Stable due to increasing credit enhancement, continued paydown, and overall stable collateral performance. Fitch does not foresee positive or negative ratings migration unless a material economic or asset level event changes the underlying transaction's portfolio-level metrics. DUE DILIGENCE USAGE PURSUANT TO SEC RULE 17G-10 No third-party due diligence was provided or reviewed in relation to this rating. Fitch affirms the following: -- CAD$148.4 million class A-1 at 'AAAsf'; Outlook Stable; -- CAD $126.5 million class A-2 at 'AAAsf'; Outlook Stable; -- CAD $8 million class B at 'AAsf'; Outlook Stable; -- CAD $10 million class C at 'Asf'; Outlook Stable; -- CAD $9.6 million class D at 'BBBsf'; Outlook Stable; -- CAD $4.2 million class E at 'BBB-sf'; Outlook Stable; -- CAD $3.8 million class F at 'BBsf'; Outlook Stable; -- CAD $3.3 million class G at 'Bsf'; Outlook Stable. Fitch does not rate the class H or X certificates. SDART 2017-1: Moody's Assigns (P)Ba3 Rating to Class E Notes ------------------------------------------------------------ Moody's Investors Service has assigned provisional ratings to the notes to be issued by Santander Drive Auto Receivables Trust (SDART) 2017-1. This is the first SDART auto loan transaction of the year for Santander Consumer USA Inc. (SC; unrated). The notes will be backed by a pool of retail automobile loan contracts originated by SC, who is also the servicer and administrator for the transaction. The complete rating actions are: Issuer: Santander Drive Auto Receivables Trust 2017-1 Class A-1 Notes, Assigned (P)P-1 (sf) Class A-2 Notes, Assigned (P)Aaa (sf) Class A-3 Notes, Assigned (P)Aaa (sf) Class B Notes, Assigned (P)Aa1 (sf) Class C Notes, Assigned (P)Aa3 (sf) Class D Notes, Assigned (P)Baa2 (sf) Class E Notes, Assigned (P)Ba3 (sf) RATINGS RATIONALE The ratings are based on the quality of the underlying collateral and its expected performance, the strength of the capital structure, and the experience and expertise of SC as the servicer. Moody's median cumulative net loss expectation for the 2017-1 pool is 17.0% and the Aaa level is 49.0%. The Aaa level is the level of credit enhancement consistent with a Aaa (sf) rating. Moody's based its cumulative net loss expectation and Aaa level 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 SC 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 50.70%, 40.10%, 27.30%, 17.00% and 13.00% 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 subordinate 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. Additionally, Moody's could downgrade the Class A-1 short-term rating following a significant slowdown in principal collections that could result from, among other things, high delinquencies or a servicer disruption that impacts obligor's payments. SHACKLETON 2017-X: 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 Shackleton 2017-X CLO, Ltd.. Moody's rating action is: US$320,000,000 Class A Senior Floating Rate Notes due 2029 (the "Class A Notes"), Assigned (P)Aaa (sf) US$60,000,000 Class B Senior Floating Rate Notes due 2029 (the "Class B Notes"), Assigned (P)Aa2 (sf) US$30,000,000 Class C Mezzanine Deferrable Floating Rate Notes due 2029 (the "Class C Notes"), Assigned (P)A2 (sf) US$25,000,000 Class D Mezzanine Deferrable Floating Rate Notes due 2029 (the "Class D Notes"), Assigned (P)Baa3 (sf) US$25,000,000 Class E Junior 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. Shackleton 2017-X is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated first lien senior secured corporate loans. At least 90.0% of the portfolio must consist of senior secured loans, cash, and eligible investments, and up to 10.0% of the portfolio may consist of second lien loans, unsecured loans and first-lien last-out loans. We expects the portfolio to be approximately 75% ramped as of the closing date. Alcentra NY, 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 approximately four and a half year reinvestment period. Thereafter, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk and credit improved 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: 65 Weighted Average Rating Factor (WARF): 2940 Weighted Average Spread (WAS): 4.00% Weighted Average Coupon (WAC): 7.50% Weighted Average Recovery Rate (WARR): 48.0% Weighted Average Life (WAL): 8.5 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 2940 to 3381) Rating Impact in Rating Notches Class A Notes: 0 Class B Notes: -2 Class C Notes: -2 Class D Notes: -1 Class E Notes: 0 Percentage Change in WARF -- increase of 30% (from 2940 to 3822) Rating Impact in Rating Notches Class A Notes: -1 Class B Notes: -3 Class C Notes: -4 Class D Notes: -2 Class E Notes: -1 SSB RV 2001-1: S&P Lowers Rating on Class C Notes to 'CC' --------------------------------------------------------- S&P Global Ratings lowered its rating on the class C notes from SSB RV Trust 2001-1 to 'CC (sf)' from 'CCC (sf)'. The trust is an asset-backed securities transaction backed by recreational vehicle loans originated by CIT Group/Sales Financing. S&P revised its loss expectation for the transaction based on its view of future collateral performance (see table 1 for collateral performance and table 2 for S&P's revised cumulative net loss expectation). Table 1 Collateral Performance (%) As of the January 2017 distribution date Pool Current 60+ day Month factor CNL delinq. 181 0.60 9.40 5.25 CNL--Cumulative net loss. Table 2 CNL Expectations (%) As of the January 2017 distribution date Former Revised lifetime lifetime CNL exp. CNL exp. 9.55-9.75 9.40-9.60 CNL exp.--Cumulative net loss expectations. The lowered rating reflects undercollateralization of the class C notes. Because of higher-than-expected losses, the transaction has depleted its reserve account. As of the Jan. 15, 2017, distribution date, SSB RV Trust 2001-1 had a collateral balance of $3.9 million, while the note balance was $4.0 million. S&P believes the class C notes will likely fail to pay full principal by the legal final maturity date. UBS-BB 2013-C5: Moody's Affirms B2(sf) Rating on Class F Notes -------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on fourteen classes in UBS-BB 2013-C5, Commercial Mortgage Pass-Through Certificates, Series 2013-C5: Cl. A-1, Affirmed Aaa (sf); previously on Mar 11, 2016 Affirmed Aaa (sf) Cl. A-2, Affirmed Aaa (sf); previously on Mar 11, 2016 Affirmed Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on Mar 11, 2016 Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Mar 11, 2016 Affirmed Aaa (sf) Cl. A-AB, Affirmed Aaa (sf); previously on Mar 11, 2016 Affirmed Aaa (sf) Cl. A-S, Affirmed Aaa (sf); previously on Mar 11, 2016 Affirmed Aaa (sf) Cl. B, Affirmed Aa3 (sf); previously on Mar 11, 2016 Affirmed Aa3 (sf) Cl. C, Affirmed A3 (sf); previously on Mar 11, 2016 Affirmed A3 (sf) Cl. D, Affirmed Baa3 (sf); previously on Mar 11, 2016 Affirmed Baa3 (sf) Cl. E, Affirmed Ba2 (sf); previously on Mar 11, 2016 Affirmed Ba2 (sf) Cl. F, Affirmed B2 (sf); previously on Mar 11, 2016 Affirmed B2 (sf) Cl. X-A, Affirmed Aaa (sf); previously on Mar 11, 2016 Affirmed Aaa (sf) Cl. X-B, Affirmed Aa3 (sf); previously on Mar 11, 2016 Affirmed Aa3 (sf) Cl. EC, Affirmed A1 (sf); previously on Mar 11, 2016 Affirmed A1 (sf) RATINGS RATIONALE The ratings on the P&I classes were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The ratings on the IO classes, Cl. X-A and Cl X-B, were affirmed based on the credit performance (or the weighted average rating factor) of its referenced classes. The rating on class EC was affirmed due to the credit performance (or the weighted average rating factor) of the exchangeable classes. Moody's rating action reflects a base expected loss of 2.7% of the current balance, compared to 2.8% at Moody's last review. Moody's base expected loss plus realized losses is now 2.6% of the original pooled balance, compared to 2.7% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The methodologies used in these ratings were "Approach to Rating US and Canadian Conduit/ Fusion CMBS" published in December 2014, and "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in October 2015. Additional, the methodology used in rating Cl. X-A and Cl. X-B 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 15, compared to 16 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 12, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 5% to $1.415 billion from $1.485 billion at securitization. The certificates are collateralized by 81 mortgage loans ranging in size from less than 1% to 15% of the pool, with the top ten loans (excluding defeasance) constituting 59% of the pool. Six loans, constituting 3.3% of the pool, have defeased and are secured by US government securities. Five loans, constituting 7.7% 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. Two loans, constituting 0.8% of the pool, are currently in special servicing. The largest specially serviced loan is the Cherry Creek Place III ($6.3 million -- 0.4% of the pool), which is secured by a 107,364 square foot (SF) office building located in Aurora, Colorado. The loan transferred to special servicing in December 2016 due to imminent default. Two tenants have recently vacated the property, including the largest tenant that did not renew at its lease expiration in the Fall of 2016. Another tenant, a hotel leasing out office space as training facilities, recently defaulted on its lease. The Aurora submarket has a 9.6% vacancy rate compared to Denver's overall vacancy rate of 13.7%. The other specially serviced loan is secured by a hotel property in Decatur, Texas. Moody's estimates an aggregate $5.1 million loss for both specially serviced loans (47 % expected loss on average). Moody's received full or partial year 2015 operating results for 100% of the pool, and partial year 2016 operating results for 49% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 92%, compared to 93% 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 7% 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 2.02X and 1.13X, respectively, compared to 2.06X and 1.12X 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 38% of the pool balance. The largest loan is the Santa Anita Mall Loan ($215 million -- 15.2% of the pool), which is secured by 956,343 SF within a 1.47 million SF super-regional mall located in Arcadia, California. The A-note represents a pari-passu interest in a $285 million mortgage loan. Non-collateral tenants include: JC Penney, Macy's, and Nordstrom. The mall was expanded in 2009 to include the promenade portion of the center. This expansion added roughly 115,000 SF at a cost of approximately $120 million. The property is adjacent to the Santa Anita Park, a thoroughbred racetrack, which is a demand driver for the mall. As of September 2016 the property was 94% leased, with inline occupancy of 93%, compared to securitization occupancy levels of 97% for the total property and 93% for inline space. Performance dropped slightly in 2015 due to lower base rent; however, performance appears to have rebounded in 2016. Moody's LTV and stressed DSCR are 81% and 1.13X, respectively, unchanged from last review. The second largest loan is the Valencia Town Center Loan ($195 million -- 13.8% of the pool), which is secured by 646,121 SF within a 1.1 million SF super-regional mall located in Valencia, California. Non-collateral tenants include: Macy's, JC Penney, and Sears. The mall was expanded in 2010, adding roughly 180,000 SF of outdoor space at a cost of approximately $131 million. As of September 2016, the property was 95% leased, with inline occupancy of 88%, compared to securitization occupancy levels of 97% for the total property and 94% for inline space. Moody's LTV and stressed DSCR are 84% and 1.09X, respectively, unchanged from last review. The third largest loan is the Starwood Office Portfolio Loan ($129.7 million -- 9.2% of the pool), which is secured by a portfolio of six class A office buildings that total 1.287 million SF located across four states, Florida, South Carolina, North Carolina, and Pennsylvania. As of September 2016, the portfolio was 90% leased, compared to 97% in September 2014 and 99% in December 2012. Two large tenants recently vacated at two of the properties. However, the borrower has been able to backfill a large portion of that space. Edgewater Corporation successfully signed a number of tenants that were subleasing their space from HSBC, this property is now 100% leased. Lakepointe Corporate Center 3 & 5 lost a tenant that accounted for roughly 88% of the net rentable area. A new tenant signed at the property this past September, and the property is now 65% leased (the lowest among the portfolio). Property performance will increase as free rent periods burn off. Moody's LTV and stressed DSCR are 106% and 1.02X, respectively, compared to 110% and 1.13X at the last review. UBS-BB 2013-C6: Moody's Affirms B2(sf) Rating on Class F Notes -------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on fifteen classes in UBS-Barclays Commercial Mortgage Trust 2013-C6: 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-3FX, Affirmed Aaa (sf); previously on Mar 10, 2016 Affirmed Aaa (sf) Cl. A-3FL, 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-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. D, Affirmed Baa3 (sf); previously on Mar 10, 2016 Affirmed Baa3 (sf) Cl. E, Affirmed Ba2 (sf); previously on Mar 10, 2016 Affirmed Ba2 (sf) Cl. F, Affirmed B2 (sf); previously on Mar 10, 2016 Affirmed B2 (sf) Cl. X-A, Affirmed Aaa (sf); previously on Mar 10, 2016 Affirmed Aaa (sf) Cl. X-B, Affirmed A2 (sf); previously on Mar 10, 2016 Affirmed A2 (sf) RATINGS RATIONALE The ratings on the P&I classes were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The ratings on the IO classes were affirmed based on the credit performance (or the weighted average rating factor) of the referenced classes. Moody's rating action reflects a base expected loss of 1.5% of the current balance, compared to 1.6% at Moody's last review. Moody's base expected loss plus realized losses is now 1.4% of the original pooled balance, compared to 1.6% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The 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. Additional, the methodology used in rating Cl. X-A and Cl. X-B 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 19, compared to 20 at Moody's last review. DEAL PERFORMANCE As of the January 12, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 4% to $1.248 billion from $1.295 billion at securitization. The certificates are collateralized by 75 mortgage loans ranging in size from less than 1% to 13% of the pool, with the top ten loans (excluding defeasance) constituting 61% of the pool. One loan, constituting 10.1% of the pool, has an investment-grade structured credit assessments. Three loans, constituting 2.4% of the pool, have defeased and are secured by US government securities. One loan, constituting 0.4% 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. One loan, constituting 0.4% of the pool, is currently in special servicing. This loan is the Mira Vista Apartments ($5.4 million), which is secured by a 352 unit multifamily complex located in Houston, Texas. The loan transferred to special servicing in June 2015 due to imminent default and is currently paid thru the October 2016 payment date. Based on the year-end 2015 reported net operating income (NOI), the debt yield is over 12.5%. Moody's received full or partial year 2015 operating results for 100% of the pool, and partial year 2016 operating results for 64% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 92%, unchanged from Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 13% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.2%. Moody's actual and stressed conduit DSCRs are 1.86X and 1.14X, respectively, roughly unchanged from 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 575 Broadway Loan ($125.85 million -- 10.1% of the pool), which is secured by a 170,000 square foot (SF) mixed use retail and office building located in Manhattan's SoHo submarket. The property is encumbered by a ground lease that is scheduled to expire in June 2060. As of September 2016 the property was 100% leased, compared to 92% in June 2015 and 94% in September 2013. Property perfromance based on the trailing nine months as of September 2016 has improved in part due to office rents increasing to over $80 per square foot (PSF) from approximately $63 PSF at securitization. Current office rents are in line with the submarket. Moody's structured credit assessment and stressed DSCR are aa3 (sca.pd) and 1.38X, respectively, compared to aa3 (sca.pd) and 1.42X at the last review. The top three conduit loans represent 27% of the pool balance. The largest loan is the Gateway Center Loan ($160.0 million -- 12.8% of the pool), which is secured by three cross-collateralized and cross-defaulted loans secured by 354,762 SF within a 638,871 SF class A anchored retail center in Brooklyn, New York. The property was constructed in 2002 by The Related Companies. The properties are shadow anchored by Target and Home Depot. Collateral tenants include BJ's Wholesale Club (lease expiration: September 2027), Bed Bath & Beyond (January 2018), and Babies R US (January 2018). As of September 2016, the property was 100% leased, unchanged since securitization. Moody's LTV and stressed DSCR are 110% and 0.78X, respectively, unchanged since the last review. The second largest loan is the Broward Mall Loan ($95.0 million -- 7.6% of the pool), which is secured by 325,701 SF within a 1.042 million SF super-regional mall located in Plantation, Florida. The mall is anchored by Sears, Macy's, JC Penney and Dillards, none of which are part of the collateral. As of June 2016, total mall, collateral, and inline occupancy were 96%, 88%, and 85% leased, respectively, compared to securitization total mall, collateral, and inline occupancy levels of 95%, 83%, and 84% leased, respectively. Moody's LTV and stressed DSCR are 83% and 1.17X, respectively, unchanged from the last review. The third largest loan is The Shoppes at River Crossing Loan ($77.35 million -- 6.2% of the pool), which is secured by 527,963 SF within a 727,963 SF lifestyle center located in Macon, Georgia. Non-collateral anchors include Dillard's and Belk. Collateral tenants include Dick's Sporting Goods, Barnes & Noble, Jo-Ann Fabric and Crafts, and DSW Shoe Warehouse. As of September 2016, inline space was 95% leased. As of November 2016, the running 12-month comparable inline sales were $362 PSF, up from September 2015 running 12-month comparable inline sales of $329 PSF. Property performance increased in 2015 due to revenue outpacing expense growth. Moody's LTV and stressed DSCR are 108% and 0.98X, respectively, unchanged from the last review. VENTURE XXVI: Moody's Rates $25.7MM Class E Notes 'Ba2' ------------------------------------------------------- Moody's Investors Service has assigned ratings to five classes of notes issued by Venture XXVI CLO, Limited. Moody's rating action is: US$336,000,000 Class A Senior Secured Floating Rate Notes due 2029 (the "Class A Notes"), Definitive Rating Assigned Aaa (sf) US$59,850,000 Class B Senior Secured Floating Rate Notes due 2029 (the "Class B Notes"), Definitive Rating Assigned Aa2 (sf) US$32,550,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2029 (the "Class C Notes"), Definitive Rating Assigned A2 (sf) US$28,875,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2029 (the "Class D Notes"), Definitive Rating Assigned Baa3 (sf) US$25,700,000 Class E Junior Secured Deferrable Floating Rate Notes due 2029 (the "Class E Notes"), Definitive Rating Assigned Ba2 (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." RATINGS RATIONALE Moody's ratings of the Rated Notes address the expected losses posed to noteholders. The ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. Venture XXVI is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated first lien senior secured corporate loans. At least 90% of the portfolio must consist of senior secured loans, cash, and eligible investments, and up to 10% of the portfolio may consist of second lien loans and unsecured loans. The portfolio is required to be at least 95% ramped as of the closing date. MJX Venture Management LLC (the "Manager"), an affiliate of MJX 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 five year reinvestment period. Thereafter, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets, subject to certain restrictions. In addition to the Rated Notes, the Issuer will issue subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in October 2016. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $525,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2750 Weighted Average Spread (WAS): 4.00% Weighted Average Coupon (WAC): 6.50% Weighted Average Recovery Rate (WARR): 46.50% Weighted Average Life (WAL): 8.3 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 2750 to 3163) Rating Impact in Rating Notches Class A Notes: 0 Class B Notes: -1 Class C Notes: -2 Class D Notes: -1 Class E Notes: -1 Percentage Change in WARF -- increase of 30% (from 2750 to 3575) Rating Impact in Rating Notches Class A Notes: -1 Class B Notes: -3 Class C Notes: -4 Class D Notes: -2 Class E Notes: -2 VERUS SECURITIZATION 2017-1: S&P Gives (P)B+ Rating to B-3 Certs ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Verus Securitization Trust 2017-1's $145.017 million mortgage pass-through certificates. The issuance is a residential mortgage-backed securities transaction backed by first-lien, fixed- and hybrid-adjustable rate residential mortgage loans secured by single-family residential properties, planned-unit developments, condominiums, and two-four family residential properties to both prime and non-prime borrowers. The pool has 289 loans, which are primarily non-qualified mortgage loans. The preliminary ratings are based on information as of Feb. 9, 2017. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The pool's collateral composition; -- The credit enhancement provided for this transaction; -- The transaction's associated structural mechanics; -- The representation and warranty framework for this transaction; and -- The mortgage aggregator. PRELIMINARY RATINGS ASSIGNED Verus Securitization Trust 2017-1 Class Rating(i) Amount ($) A-1 AAA (sf) 87,300,000 A-2 AA (sf) 16,459,000 A-3 A (sf) 22,260,000 B-1 BBB (sf) 6,889,000 B-2 BB (sf) 4,495,000 B-3 B+ (sf) 3,045,000 B-4 NR 4,568,957 A-IOI-S NR Notional(ii) XS NR Notional(iii) R NR N/A (i)The rating on each class of securities is preliminary and subject to change at any time. The collateral and structural information in this report reflect the preliminary term sheet dated Feb. 8, 2017. Interest can be deferred on the classes; the preliminary ratings assigned to the classes address the ultimate payment of interest and principal. (ii)Notional equal to stated principal balance of loans. (iii)Notional equals to the aggregate balance of A-1, A-2, A-3, B-1, B-2, B-3, and B-4 certificates. N/A--Not applicable. NR--Not rated. WAMU COMMERCIAL 2006-SL1: Fitch Hikes Rating on Class D Certs to B ------------------------------------------------------------------ Fitch Ratings has upgraded four and affirmed eight classes of WaMu Commercial Mortgage Securities Trust 2006-SL1, small balance commercial mortgage pass-through certificates. KEY RATING DRIVERS Principal Paydown: Since Fitch's last rating action, the pool has experienced 17.1% collateral reduction, mainly as a result of prepayments. Every remittance over the last 12 months has included one or more prepayments. Credit enhancement has increased significantly as a result. Collateral Quality: The pool comprises small balance loans, the vast majority of which (85.9% of the pool) are secured by multifamily properties. The overall quality of the underlying properties is considered fair. Lack of Reporting: There was no current servicer commentary available for any of the specially serviced or watchlist loans. Fitch reviewed rent rolls and site inspections for the Top 15 loans where available; however, many reports were dated and no longer relevant. Approximately 13.2% of the pool does not have any history of reporting financial statements. Due to this lack of reporting conservative loss estimates were used in Fitch's analysis. Extended Maturity Profile: Although the majority of outstanding loans (87.5% of the pool) are fully amortizing, the amortization schedules are stretched over a 30-year period. As a result, scheduled monthly principal is minimal. Prepayments, which are difficult to predict, have contributed to the bulk of collateral reduction in the last twelve months. RATING SENSITIVITIES The Outlooks for classes A-1A, C and D are Stable. While unscheduled prepayments have increased the credit enhancement to these bonds, future scheduled paydown will be limited and many of the pooled loans do not remit regular financial reports. Upgrades to classes C and D may be possible if financial updates are provided more regularly and indicate improved collateral performance or if loans continue to prepay and tighten the pool's maturity profile. The Outlook for class B has been revised to Positive from Stable; should prepayments continue and credit enhancement continue to improve, an upgrade is likely. Downgrades to the distressed classes are possible as losses are realized or if additional defaults occur. 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: -- $18.7 million class A-1A to 'AAAsf' from 'Asf'; Outlook Stable; -- $10.2 million class B to 'Asf' from 'BBsf'; Outlook revised to Positive from Stable; -- $14.7 million class C to 'BBBsf' from 'Bsf'; Outlook Stable; -- $10.2 million class D to 'Bsf' from 'CCCsf'; Outlook Stable assigned. Fitch has affirmed the following classes: -- $7 million class E at 'CCsf'; RE 50%; -- $3.8 million class F at 'Csf'; RE 0%; -- $2.5 million 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%. The class A certificate has been paid in full. Fitch does not rate the class N certificate. Fitch previously withdrew the rating on the interest-only class X certificate. WELLS FARGO 2011-C4: Fitch Affirms 'Bsf' Rating on Class G Certs ---------------------------------------------------------------- Fitch Ratings has affirmed 11 classes of Wells Fargo Bank, N.A. (WFRBS) commercial mortgage pass-through certificates series 2011-C4. KEY RATING DRIVERS The affirmations reflect generally stable performance of the underlying loans. There have been minimal changes to the pool since issuance. Fitch modeled losses of 3.4% of the remaining pool; expected losses on the original pool balance total 2.6%. As of the January 2017 distribution date, the pool's aggregate principal balance has been reduced by 23.1% to $1.14 billion from $1.48 billion at issuance. Per the servicer reporting, six loans (13.7% of the pool) are defeased. Interest shortfalls are currently affecting class H. Stable Performance: Pool performance has been mostly stable since issuance. The transaction has paid down 23.1% and credit enhancement continues to increase. However, there are two loans (2.4% of the pool) that are in special servicing that Fitch will continue to monitor. Specially Serviced Loans: The Wausau Center loan (1.5% of the pool) transferred to the special servicer in June 2016 for imminent monetary default. The loan is secured by a 423,556 square foot (sf; 235,656 sf is collateral) shopping mall located in Wausau, WI. The mall's only anchor is Younkers after JC Penney and Sears both vacated. As of September 2016, the property occupancy was 54%, down from 94% at issuance. The borrower plans to relinquish title to the trust. The other loan in special servicing is Park Place Student Housing (0.8%), which transferred in November 2014. The borrower has continued to fund payments at a non-default rate, but remains in technical default due to failure to provide required financial reporting. Concentration: There is a significant amount of retail exposure within the pool. Loans secured by retail properties represent 50% of the pool, with five retail loans in the top 10. The transaction is also concentrated by loan size with the top three loans representing 30% of the pool and top 10 loans 55% of the pool. Secondary Locations: Seven out of the top 15 loans are located in secondary markets such as Appleton, WI and Bismarck, ND. RATING SENSITIVITIES Rating Outlooks on classes A-3 through G remain Stable due to increasing credit enhancement, continued paydown, and generally stable collateral performance. Fitch does not foresee positive or negative ratings migration unless a material economic or asset level event changes the underlying transaction's portfolio-level metrics. The Stable Outlooks also reflect a sensitivity analysis that was performed which applied additional stresses to the Wausau Center and Kirkwood Mall loans. Fitch has concerns as to the ultimate resolution of the specially serviced Wausau Center and the declining anchor sales of the Kirkwood Mall. The sensitivity analysis did not result in rating changes to the investment grade classes. 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: -- $116.9 million class A-3 at 'AAAsf'; Outlook Stable; -- $90 million class A-FL at 'AAAsf'; Outlook Stable; -- $0 class A-FX at 'AAAsf'; Outlook Stable; -- $681.4 million class A-4 at 'AAAsf'; Outlook Stable; -- $888.3 million* X-A at 'AAAsf'; Outlook Stable; -- $42.6 million class B at 'AAsf'; Outlook Stable; -- $42.6 million class C at 'A+sf'; Outlook Stable; -- $33.3 million class D at 'A-sf'; Outlook Stable; -- $51.8 million class E at 'BBB-sf'; Outlook Stable; -- $20.4 million class F at 'BBsf'; Outlook Stable; -- $18.5 million class G at 'Bsf'; Outlook Stable. * Notional and interest-only. The class A-1 and A-2 certificates have paid in full. Fitch does not rate the class H or X-B certificates. WIRELESS CAPITAL 2013-1: Fitch Affirms BB- Rating on 2013-1B Notes ------------------------------------------------------------------ Fitch Ratings has affirmed the ratings for Wireless Capital Partners, LLC secured wireless site contract revenue notes series 2013-1 and 2013-2: -- $93,215,000 class 2013-1A at 'Asf'; Outlook Stable; -- $31,000,000 class 2013-1B at 'BB-sf'; Outlook Stable; -- $17,660,000 class 2013-2A at 'Asf'; Outlook Stable; -- $6,000,000 class 2013-2B at 'BB-sf'; Outlook Stable. The affirmations are due to stable performance and continued cash flow growth since issuance. The Stable Outlooks reflect the limited prospect for upgrades given the provision to issue additional notes. The certificates represent beneficial ownership interest in the trust, primary assets of which are 742 wireless sites securing one fixed-rate loan. As of the January 2017 distribution date, the aggregate principal balance of the notes has been reduced by 1.4% to $147.9 from $150 million since issuance. The transaction is structured with scheduled monthly principal payments that will amortize down the principal balance 10% by the anticipated repayment date (ARD) in year seven, reducing the refinance risk. The scheduled monthly principal payments are paid sequentially beginning in the third year from closing until the note's ARD. The ownership interest in the wireless sites consists of lease purchase sites, easements and fee interests in land, rooftops or other structures on which site space is allocated for placement of tower and wireless communication equipment. Unlike typical cell tower securitizations in which the towers serve as collateral, the collateral for this securitization generally consists of lease purchase sites, easements and the revenue stream from the payments the owner of the tower and/or tenants of the site pay to MelTel II Issuer LLC, formerly known as WCP Issuer LLC. MelTel II Issuer LLC, an affiliate of Melody Wireless Infrastructure, acquired Wireless Capital Holdings, LLC, the ultimate parent of WCP Guarantor LLC, now known as MelTel II Guarantor LLC, in January 2015. The manager was replaced by an affiliate of the new issuer. KEY RATING DRIVERS Stable Cash Flow: As of January 2017, Fitch stressed debt service coverage ratio (DSCR) was 1.51x, which compares with 1.47x at last review and 1.23x at issuance. The debt multiple relative to Fitch's net cash flow (NCF) was 7.30x which equates to a debt yield of 13.7%. Leases to Strong Tower Tenants: Cash flow is derived from 961 separate leases across 742 towers in markets throughout the United States. Investment grade tenants account for approximately 53.9% of run-rate revenue. Telephony towers account for 96.9% of run-rate revenue. Additional Notes: The borrower has the ability to issue additional notes in the future that will rank senior to, pari passu with, or subordinate to the rated notes. These may be issued without the benefit of additional collateral, provided the post-issuance DSCR is not less than 2.00x. The possibility of upgrades may be limited due to this provision. Risk of Technological Obsolescence: The notes have a rated final payment date in 2043, and the long-term tenor of the notes increases the risk that an alternative technology rendering obsolete the current transmission of wireless signals through cellular sites will be developed. Currently, WSPs depend on towers to transmit their signals and continue to invest in this technology. RATING SENSITIVITIES The Outlooks on all classes are expected to remain Stable. Downgrades are unlikely due to continued cash flow growth from annual rent escalations and automatic renewal clauses resulting in higher debt service coverage ratios (DSCR) since issuance. The ratings have been capped at 'A' and upgrades are unlikely due to the specialized nature of the collateral and the potential for changes in technology to affect long-term demand for wireless tower space. WOODMONT 2017-1: S&P Assigns Prelim. BB Rating on Class E Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Woodmont 2017-1 Trust's $434.70 million floating-rate notes. The note issuance is a collateralized loan obligation transaction backed by middle market speculative-grade senior secured term loans. 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. The preliminary ratings reflect S&P's view of: -- The diversified collateral pool, which consists primarily of middle market speculative-grade senior secured term loans that are governed by collateral quality tests. The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. The transaction's legal structure, which is expected to be bankruptcy remote. PRELIMINARY RATINGS ASSIGNED Woodmont 2017-1 Trust Class Rating Amount (mil. $) A AAA (sf) 284.30 B AA (sf) 48.60 C (deferrable) A (sf) 37.90 D (deferrable) BBB- (sf) 30.70 E (deferrable) BB (sf) 33.20 Certificates NR 71.50 NR--Not rated. [*] Moody's Hikes $243MM of Scratch & Dent RMBS Issued 2004-2006 ---------------------------------------------------------------- Moody's Investors Service, on Feb. 14, 2017, upgraded the ratings of 26 tranches issued from eight transactions backed by "scratch and dent" RMBS loans. Complete rating actions are: Issuer: Morgan Stanley ABS Capital I Inc. Trust 2004-SD3 Cl. B-1, Upgraded to Caa3 (sf); previously on May 20, 2011 Downgraded to C (sf) Cl. M-2, Upgraded to Ba2 (sf); previously on May 2, 2014 Upgraded to B1 (sf) Issuer: RAAC 2006-SP2 Trust Cl. A-3, Upgraded to Aa2 (sf); previously on Apr 4, 2016 Upgraded to A1 (sf) Cl. M-1, Upgraded to B2 (sf); previously on Jun 6, 2014 Upgraded to Caa1 (sf) Issuer: RAAC Series 2004-SP3 Trust Cl. A-I-4, Upgraded to A2 (sf); previously on Apr 4, 2016 Upgraded to A3 (sf) Cl. A-II, Upgraded to A1 (sf); previously on Apr 4, 2016 Upgraded to A3 (sf) Cl. A-I-5, Upgraded to A1 (sf); previously on Apr 4, 2016 Upgraded to A2 (sf) Cl. M-I-1, Upgraded to Ba2 (sf); previously on Apr 4, 2016 Upgraded to Ba3 (sf) Cl. M-II-1, Upgraded to Ba1 (sf); previously on Apr 4, 2016 Upgraded to Ba3 (sf) Cl. M-II-2, Upgraded to Caa1 (sf); previously on May 19, 2011 Downgraded to Caa3 (sf) Issuer: RAAC Series 2005-RP1 Trust Cl. M-3, Upgraded to A3 (sf); previously on Mar 14, 2016 Upgraded to Baa3 (sf) Cl. M-4, Upgraded to Ba3 (sf); previously on Mar 14, 2016 Upgraded to B2 (sf) Issuer: RAAC Series 2005-SP3 Trust Cl. A-3, Upgraded to Aa2 (sf); previously on Apr 4, 2016 Upgraded to A1 (sf) Cl. M-1, Upgraded to A3 (sf); previously on Apr 4, 2016 Upgraded to Baa1 (sf) Cl. M-2, Upgraded to Ba3 (sf); previously on Apr 4, 2016 Upgraded to B1 (sf) Cl. M-3, Upgraded to B2 (sf); previously on Apr 4, 2016 Upgraded to Caa1 (sf) Cl. M-4, Upgraded to Caa3 (sf); previously on May 4, 2009 Downgraded to C (sf) Issuer: RAAC Series 2006-RP1 Trust Cl. M-1, Upgraded to Aa2 (sf); previously on Mar 14, 2016 Upgraded to A1 (sf) Cl. M-2, Upgraded to Baa3 (sf); previously on Mar 14, 2016 Upgraded to Ba2 (sf) Cl. M-3, Upgraded to B3 (sf); previously on Mar 14, 2016 Upgraded to Caa3 (sf) Cl. M-4, Upgraded to Ca (sf); previously on May 4, 2009 Downgraded to C (sf) Issuer: RAAC Series 2006-RP4 Trust Cl. A, Upgraded to A1 (sf); previously on Mar 14, 2016 Upgraded to A3 (sf) Cl. M-1, Upgraded to B2 (sf); previously on Mar 14, 2016 Upgraded to Caa1 (sf) Issuer: RAAC Series 2006-SP3 Trust Cl. A-3, Upgraded to Aa3 (sf); previously on Apr 4, 2016 Upgraded to A3 (sf) Cl. M-1, Upgraded to A3 (sf); previously on Apr 4, 2016 Upgraded to Baa3 (sf) Cl. M-2, Upgraded to Caa3 (sf); previously on Apr 4, 2016 Upgraded to Ca (sf) RATINGS RATIONALE The upgrades are primarily due to the increase in credit enhancement available to the bonds. The actions also 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. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. [*] Moody's Hikes $61.7 Million of Alt-A RMBS Issued 2005 --------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 4 tranches from 3 transactions backed by Alt-A and mortgage loans, issued by multiple issuers. Complete rating actions are: Issuer: GSAA Home Equity Trust 2005-3 Cl. B-1, Upgraded to B2 (sf); previously on Apr 29, 2016 Upgraded to Caa2 (sf) Issuer: GSAA Home Equity Trust 2005-MTR1 Cl. A-4, Upgraded to A3 (sf); previously on Apr 29, 2016 Upgraded to Baa1 (sf) Cl. A-5, Upgraded to Ba1 (sf); previously on Apr 29, 2016 Upgraded to Ba2 (sf) Issuer: Opteum Mortgage Acceptance Corporation, Asset Backed Pass-Through Certificates, Series 2005-1 Cl. M-8, Upgraded to B2 (sf); previously on Mar 11, 2015 Upgraded to Caa3 (sf) RATINGS RATIONALE The rating upgrades are primarily due to improvement of credit enhancement available to the bonds. 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 4.8% 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 Takes Action on $200.9MM of RMBS Issued 2003 & 2004 --------------------------------------------------------------- Moody's Investors Service, on Feb. 14, 2017, upgraded the rating of 22 tranches and downgraded the rating of five tranches from seven transactions, backed by Alt-A mortgage loans, issued by multiple issuers. Complete rating actions are: Issuer: Bear Stearns ALT-A Trust 2004-11 Cl. I-A-1, Upgraded to Aa1 (sf); previously on May 5, 2016 Upgraded to Aa3 (sf) Cl. I-A-2, Upgraded to Aa2 (sf); previously on May 5, 2016 Upgraded to A1 (sf) Cl. II-A-1, Upgraded to B3 (sf); previously on Jun 6, 2012 Downgraded to Caa2 (sf) Cl. II-A-2, Upgraded to B3 (sf); previously on Jun 6, 2012 Downgraded to Caa2 (sf) Cl. II-A-3, Upgraded to B1 (sf); previously on Jun 6, 2012 Downgraded to B3 (sf) Cl. II-A-4, Upgraded to Ba2 (sf); previously on May 14, 2015 Downgraded to Ba3 (sf) Cl. II-A-5, Upgraded to Baa2 (sf); previously on May 5, 2016 Upgraded to Ba1 (sf) Cl. II-A-6a, Upgraded to B1 (sf); previously on May 5, 2016 Upgraded to B3 (sf) Cl. II-A-6b, Upgraded to Caa2 (sf); previously on Jun 6, 2012 Downgraded to Ca (sf) Cl. I-M-1, Upgraded to B1 (sf); previously on May 5, 2016 Upgraded to B3 (sf) Issuer: Bear Stearns Asset-Backed Securities Trust 2003-AC7 Cl. A-1, Downgraded to B1 (sf); previously on Oct 4, 2012 Downgraded to Ba2 (sf) Cl. A-2, Downgraded to B1 (sf); previously on Oct 4, 2012 Downgraded to Ba2 (sf) Cl. A-3, Downgraded to B1 (sf); previously on Oct 4, 2012 Downgraded to Ba2 (sf) Cl. A-4, Downgraded to B1 (sf); previously on Oct 4, 2012 Downgraded to Ba2 (sf) Cl. M-1, Downgraded to Caa3 (sf); previously on Oct 4, 2012 Downgraded to Caa2 (sf) Issuer: Deutsche Mortgage Securities, Inc. Mortgage Loan Loan Trust, Series 2004-3 Cl. I-A-5, Upgraded to Baa2 (sf); previously on Mar 15, 2016 Upgraded to Ba1 (sf) Underlying Rating: Upgraded to Baa2 (sf); previously on Mar 15, 2016 Upgraded to Ba1 (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. I-A-6, Upgraded to A3 (sf); previously on Mar 3, 2011 Downgraded to Baa3 (sf) Underlying Rating: Upgraded to A3 (sf); previously on Mar 3, 2011 Downgraded to Baa3 (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. II-AR-1, Upgraded to A1 (sf); previously on Mar 15, 2016 Upgraded to Baa1 (sf) Cl. II-AR-2, Upgraded to Aa3 (sf); previously on Aug 29, 2013 Upgraded to A3 (sf) Issuer: Deutsche Mortgage Securities, Inc. Mortgage Loan Trust, Series 2004-4 Cl. II-AR-1, Upgraded to Aa2 (sf); previously on Apr 4, 2016 Upgraded to A1 (sf) Issuer: Nomura Asset Acceptance Corporation, Alternative Loan Trust, Series 2004-AP3 Cl. A-5A, Upgraded to Baa2 (sf); previously on Apr 4, 2016 Upgraded to Ba1 (sf) Cl. A-5B, Upgraded to Baa2 (sf); previously on Apr 4, 2016 Upgraded to Ba1 (sf) Cl. A-6, Upgraded to Baa1 (sf); previously on Apr 4, 2016 Upgraded to Baa3 (sf) Underlying Rating: Upgraded to Baa1 (sf); previously on Apr 4, 2016 Upgraded to Baa3 (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: Structured Asset Securities Corp Trust 2004-11XS Cl. 1-A5A, Upgraded to B1 (sf); previously on May 14, 2012 Downgraded to B3 (sf) Cl. 1-A5B, Upgraded to B1 (sf); previously on Jan 19, 2016 Downgraded to B3 (sf) Underlying Rating: Upgraded to B1 (sf); previously on May 14, 2012 Downgraded to B3 (sf) Financial Guarantor: MBIA Insurance Corporation (Affirmed at Caa1, Outlook Developing on Dec 2, 2016) Cl. 1-A6, Upgraded to Ba2 (sf); previously on May 14, 2012 Downgraded to B1 (sf) Underlying Rating: Upgraded to Ba2 (sf); previously on May 14, 2012 Downgraded to B1 (sf) Financial Guarantor: MBIA Insurance Corporation (Affirmed at Caa1, Outlook Developing on Dec 2, 2016) Issuer: Thornburg Mortgage Securities Trust 2003-2 Cl. A, Upgraded to Aa2 (sf); previously on Nov 28, 2013 Downgraded to A1 (sf) RATINGS RATIONALE The actions reflect the recent performance of the underlying pools and Moody's updated loss expectation on these pools. The rating upgrades are due to the stable to improved collateral performance of the related underlying pools and the increase of credit enhancement available to the bonds. The rating upgrades on Classes II-A-1, II-A-3, II-A-4, II-A-6a and II-A-6b from Bear Stearns ALT-A Trust 2004-11, Classes I-A-5, I-A-6 and II-AR-1 from Deutsche Mortgage Securities, Inc. Mortgage Loan Trust, Series 2004-3, and Class A from Thornburg Mortgage Securities Trust 2003-2 are solely due to the increase of credit enhancement available to the bonds. The rating upgrades on tranches from Structured Asset Securities Corp Trust 2004-11XS are due to the credit enhancement available to the bonds and their current cash flow priority in a sequential pay waterfall. The rating downgrades are due to the deterioration of credit enhancement available to the bonds. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in January 2017. Additionally, the methodology used in rating Bear Stearns Asset-Backed Securities Trust 2003-AC7 Class A-4 was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in October 2015. 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 Takes Action on $98MM of RMBS Issued 2003-2005 ---------------------------------------------------------- Moody's Investors Service, on Feb. 9, 2017, downgraded the ratings of eleven tranches and upgraded the ratings of seven tranches from four transactions, backed by Prime Jumbo RMBS loans, issued by multiple issuers. Complete rating actions are: Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series 2004-AR2 Cl. I-A-1, Upgraded to Baa1 (sf); previously on Feb 28, 2014 Upgraded to Baa3 (sf) Cl. II-A-1, Upgraded to Baa1 (sf); previously on Feb 28, 2014 Upgraded to Baa3 (sf) Cl. III-A-1, Upgraded to Baa1 (sf); previously on Feb 28, 2014 Upgraded to Baa3 (sf) Cl. IV-A-1, Upgraded to Baa1 (sf); previously on Feb 28, 2014 Upgraded to Baa3 (sf) Cl. V-A-1, Upgraded to Baa1 (sf); previously on Feb 28, 2014 Upgraded to Baa3 (sf) Issuer: Merrill Lynch Mortgage Investors Trust MLCC 2004-D Cl. A-1, Downgraded to Ba3 (sf); previously on Apr 11, 2016 Downgraded to Ba1 (sf) Cl. A-2, Downgraded to Ba3 (sf); previously on Apr 11, 2016 Downgraded to Ba1 (sf) Cl. B-3, Downgraded to C (sf); previously on Apr 18, 2011 Downgraded to Ca (sf) Cl. X-A, Downgraded to Ba3 (sf); previously on Apr 11, 2016 Downgraded to Ba1 (sf) Cl. X-B, Downgraded to Ca (sf); previously on Apr 11, 2016 Downgraded to Caa3 (sf) Issuer: Thornburg Mortgage Securities Trust 2003-3 Cl. B1, Downgraded to Caa2 (sf); previously on Mar 2, 2012 Downgraded to B3 (sf) Cl. B2, Downgraded to C (sf); previously on Apr 20, 2011 Downgraded to Caa2 (sf) Cl. A1, Downgraded to Ba2 (sf); previously on Jun 17, 2015 Downgraded to Ba1 (sf) Cl. A2, Downgraded to Ba2 (sf); previously on Jun 17, 2015 Downgraded to Ba1 (sf) Cl. A3, Downgraded to Ba2 (sf); previously on Jun 17, 2015 Downgraded to Ba1 (sf) Cl. A4, Downgraded to Ba2 (sf); previously on Jun 17, 2015 Downgraded to Ba1 (sf) Issuer: Wells Fargo Mortgage Backed Securities 2005-AR7 Trust Cl. II-A-1, Upgraded to Baa1 (sf); previously on Aug 5, 2015 Upgraded to Baa3 (sf) Cl. II-A-2, Upgraded to Ba1 (sf); previously on Aug 5, 2015 Upgraded to B1 (sf) RATINGS RATIONALE The ratings upgrades on tranches issued by CSFB Mortgage-Backed Pass-Through Certificates, Series 2004-AR2 and Merrill Lynch Mortgage Investors Trust MLCC 2004-D are primarily due to the overall credit enhancement available to the bonds compared to their expected loss. The ratings downgrades on tranches issued by Thornburg Mortgage Securities Trust 2003-3 are due to the erosion of enhancement available to the bonds. The ratings upgrades on tranches issued by Wells Fargo Mortgage Backed Securities 2005-AR7 Trust are due to an increase in credit enhancement available to the bonds. The rating actions reflect the recent performance of the underlying pools and Moody's updated loss expectation on the pools. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in January 2017. Additionally, the methodology used in rating Merrill Lynch Mortgage Investors Trust MLCC 2004-D Cl. X-A and Cl. X-B was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in October 2015. 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. [*] S&P Completes Review of 89 Classes From 15 US RMBS Deals ------------------------------------------------------------ S&P Global Ratings completed its review of 89 classes from 15 U.S. residential mortgage-backed securities (RMBS) transactions issued between 2002 and 2005. The review yielded 16 upgrades, eight downgrades, 64 affirmations, and one withdrawal. 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. The rating on a bond-insured obligation will be the higher of the rating on the bond insurer and the rating on the underlying obligation, without considering the potential credit enhancement from the bond insurance. Of the classes reviewed, First Horizon Mortgage Pass-Through Trust 2005-6's class I-A-3 ('AA (sf)') is insured by Assured Guaranty Municipal Corp. ('AA (sf)'), which is currently rated by S&P Global Ratings: The rating actions on the interest-only (IO) classes reflect the application of S&P's IO criteria, which provides 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. UPGRADES The upgrades include five ratings that were raised three 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: -- Increased credit support relative to S&P's projected losses; -- Lower observed loss severities; -- Decreased delinquencies; -- A change in payment allocation due to senior classes above the subject being paid down in full; and/or -- Linked rating actions. The upgrades on classes 1-A-1, 1-A-8, 1-A-11, 1-A-12, 2-A-2, and 3-A-1 from GSR Mortgage Loan Trust 2003-10 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. Low realized losses and actual loss severities since our prior review in April 2014, combined with a slight decrease in severe delinquencies, have resulted in lower projected loss amounts. Cumulative losses to date are $1.316 million as of the November 2016 remittance period, and severe delinquencies declined to 3.19% in November 2016 from 3.37% in April 2014. The upgrades on classes 1-A-2 from GSR Mortgage Loan Trust 2003-13 and I-2-A-1, I-2-A-2, I-2-A-3, and I-3-A-1 from Bear Stearns ARM Trust 2004-9 are due to an increase in the credit support available to each class, allowing each class to withstand loss stresses at higher rating scenarios. The upgrade on class 1-A-23 from Banc of America Funding 2005-3 Trust reflects the class' prioritized principal payment priority after senior classes 1-A-21 and 1-A-22 were paid down. The upgrades on classes B9, B10, B10-S, and B11 from RESIX Finance Ltd. follow the Jan. 18, 2017, rating actions on the corresponding classes (B9, B10, and B11 notes) from RESI Finance Ltd. Partnership 2003-A (RESI 2003-A) and the related referenced prime risk transfer transaction. Each class of notes is linked to the rating on the corresponding class from RESI 2003-A. Each credit-linked note obtains credit exposure and cash flow from its corresponding class through a total return swap with Bank of America. DOWNGRADES Of the eight total downgrades, five ratings were lowered three or more notches. Seven of the lowered ratings remained at an investment-grade level, while the remaining downgraded class already had a speculative-grade rating. 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, including increased delinquencies and erosion of credit support; and/or -- Principal-only (PO) criteria. The downgrades on classes A-1, A-2, A-4, A-7, and B-2 from WaMu Mortgage Pass-Through Certificates Series 2003-S10 reflect the increase in S&P's projected losses and its belief that the projected credit support for the affected classes will be insufficient to cover the projected losses S&P applied at the previous rating levels. The increase in S&P's projected losses is due to higher reported delinquencies during the most recent performance periods when compared to those reported during the previous review dates. Total severe delinquencies for subgroup 1 increased to 8.07% in the November 2016 distribution from 6.85% in the June 2016 distribution, while severe delinquencies for subgroup 2 increased to 5.18% from 2.54% during the same period. The downgrade on class P from WaMu Mortgage Pass-Through Certificates Series 2003-S10 Trust reflects the application of S&P's PO criteria. The PO strip rating was lowered commensurate with the lowest-rated senior class within the structure. The downgrades on classes I-A-6 and I-A-7 from WaMu Mortgage Pass-Through Certificates Series 2003-AR9 reflect the impact of the passing of payment allocation triggers, which resulted in additional principal payments paid to more subordinate classes. This resulted in the erosion of credit support for the senior classes to 8.85% in November 2016 from 10.07% in January 2015. 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 its prior projections and is sufficient to cover S&P's 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 its projected credit support will remain insufficient to cover its 'B' expected case projected losses for these classes. Pursuant to "Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings," Oct. 1, 2012, the 'CCC (sf)' affirmations reflect S&P's view that these classes are still vulnerable to defaulting, and the 'CC (sf)' affirmations reflect our view that these classes remain virtually certain to default. WITHDRAWALS S&P withdrew its rating on class X from WaMu Mortgage Pass-Through Certificates Series 2003-S10 Trust according to S&P's IO criteria. The rating on the referenced class was lowered to 'BBB' during this review. 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 inch up to 5.0% in 2017; -- Downward pressure causes GDP growth to fall 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/2l7tNXB [*] S&P Discontinues Ratings on 102 Classes From 30 CDO Deals ------------------------------------------------------------- S&P Global Ratings discontinued its ratings on 100 classes from 28 cash flow (CF) collateralized loan obligation (CLO) transactions, one class from one CF collateral debt obligation (CDO) backed by commercial mortgage-backed securities (CMBS), and one rating from one guarantor trust certificate. The discontinuances follow the complete paydown of the notes as reflected in the most recent trustee-issued note payment reports for each transaction: -- ABCLO 2007-1 Ltd. (CF CLO): last remaining rated tranche paid down. -- ALM VII(R) Ltd. (CF CLO): optional redemption in December 2016. -- ARCap 2003-1 Resecuritization Trust (CF CDO of CMBS): senior-most tranche paid down; other rated tranches still outstanding. -- ARCap 2003-1 Resecuritization Trust Class C (guarantor trust certificate): senior-most tranche paid down; other rated tranches still outstanding. -- Ares XXIII CLO Ltd. (CF CLO): optional redemption in January 2017. -- Baker Street CLO II Ltd. (CF CLO): optional redemption in January 2017. -- Carlyle Global Market Strategies CLO 2012-1 Ltd. (CF CLO): optional redemption in January 2017. -- CIFC Funding 2007-II Ltd. (CF CLO): senior-most tranche paid down; other rated tranches still outstanding. -- Cornerstone CLO Ltd. (CF CLO): optional redemption in January 2017. -- Dryden XXIII Senior Loan Fund (CF CLO): optional redemption in January 2017. -- Four Corners CLO II Ltd. (CF CLO): senior-most tranche paid down; other rated tranches still outstanding. -- Landmark VIII CLO Ltd. (CF CLO): optional redemption in January 2017. -- LCM X Ltd. Partnership (CF CLO): optional redemption in January 2017. -- LCM XI Ltd. Partnership (CF CLO): optional redemption in January 2017. -- Limerock CLO I (CF CLO): optional redemption in January 2017. -- Madison Park Funding VIII Ltd. (CF CLO): optional redemption in January 2017. -- MAPS CLO Fund II Ltd. (CF CLO): optional redemption in January 2017. -- Marlborough Street CLO Ltd. (CF CLO): senior-most tranche paid down; other rated tranches still outstanding. -- MCF CLO III LLC (CF CLO): optional redemption in January 2017. -- Mountain Capital CLO VI Ltd. (CF CLO): senior-most tranche paid down; other rated tranches still outstanding. -- Mountain Hawk I CLO Ltd. (CF CLO): class A-X notes(i) paid down; other rated tranches still outstanding. -- Nautique Funding Ltd. (CF CLO): optional redemption in January 2017. -- Neuberger Berman CLO XII Ltd. (CF CLO): optional redemption in January 2017. -- Octagon Investment Partners X Ltd. (CF CLO): senior-most tranche paid down; other rated tranches still outstanding. -- Pangaea CLO 2007-1 Ltd. (CF CLO): last remaining rated tranche paid down. -- Prospect Park CDO Ltd. (CF CLO): senior-most tranche paid down; other rated tranches still outstanding. -- San Gabriel CLO I Ltd. (CF CLO): senior-most tranche paid down; other rated tranches still outstanding. -- Stone Tower CLO VI Ltd. (CF CLO): senior most tranches paid down; other rated tranches still outstanding. -- Voya CLO III Ltd. (CF CLO): senior most tranche paid down; other rated tranches still outstanding. -- Waterfront CLO 2007-1 Ltd. (CF CLO): senior most tranche paid down; other rated tranches still outstanding. (i)An "X note" within a CLO is generally a note with a principal balance intended to be repaid early in the CLO's life using interest proceeds from the CLO's waterfall. RATINGS DISCONTINUED ABCLO 2007-1 Ltd. Rating Class To From D NR BB+ (sf) ALM VII(R) Ltd. Rating Class To From A-1 NR AAA (sf) A-2 NR AAA (sf) B NR AA+ (sf) C NR BBB+ (sf) D NR BB+ (sf) E NR B (sf) ARCap 2003-1 Resecuritization Trust Rating Class To From C NR BBB+ (sf) ARCap 2003-1 Resecuritization Trust Class C Rating Class To From C NR BBB+ (sf) Ares XXIII CLO Ltd. Rating Class To From A-R NR AAA (sf) B-R-1 NR AA (sf)/Watch Pos B-R-2 NR AA (sf)/Watch Pos C-R NR A (sf)/Watch Pos D-R NR BBB (sf)/Watch Pos E NR BB (sf)/Watch Pos Baker Street CLO II Ltd. Rating Class To From A-1 NR AAA (sf) A-2 NR AAA (sf) B NR AAA (sf) C NR AAA (sf) D NR A+ (sf) E NR BB+ (sf) Carlyle Global Market Strategies CLO 2012-1 Ltd. Rating Class To From A-R NR AAA (sf) B-R NR AA (sf)/Watch Pos C-R NR A (sf)/Watch Pos D-R NR BBB (sf)/Watch Pos E NR BB (sf) CIFC Funding 2007-II Ltd. Rating Class To From A-1-J NR AAA (sf) Cornerstone CLO Ltd. Rating Class To From A-1--J NR AAA (sf) A-2 NR AAA (sf) B NR A+ (sf)/Watch Pos C NR BBB+ (sf)/Watch Pos D NR B- (sf)/Watch Pos Dryden XXIII Senior Loan Fund Rating Class To From A-1-R NR AAA (sf) A-2-R NR AA (sf) B-R NR A (sf) C-R NR BBB (sf) D-R NR BB (sf) E-R NR B (sf) Four Corners CLO II Ltd. Rating Class To From B NR AAA (sf) Landmark VIII CLO Ltd. Rating Class To From A-1 NR AAA (sf) A-2 NR AAA (sf) B NR AAA (sf) C NR AAA (sf) D NR AA+ (sf) E NR BBB+ (sf) LCM X Ltd. Partnership Rating Class To From A-R NR AAA (sf) B-R NR AA (sf)/Watch Pos C-R NR A (sf)/Watch Pos D-R NR BBB (sf)/Watch Pos E-R NR BB (sf)/Watch Pos LCM XI Ltd. Partnership Rating Class To From A NR AAA (sf) B NR AA+ (sf) C NR A+ (sf) D-1 NR BBB+ (sf) D-2 NR BBB+ (sf) E NR BB+ (sf) Limerock CLO I Rating Class To From A-1 NR AAA (sf) A-2 NR AAA (sf) A-3b NR AAA (sf) A-4 NR AAA (sf) B NR AA+ (sf) C NR A+ (sf) D NR BB+ (sf) Madison Park Funding VIII Ltd. Rating Class To From A-R NR AAA (sf) B-R NR AA (sf)/Watch Pos C-R NR A (sf)/Watch Pos D-R NR BBB (sf)/Watch Pos E NR BB (sf) MAPS CLO Fund II Ltd. Rating Class To From A-1 NR AAA (sf) A-1J NR AAA (sf) A-1S NR AAA (sf) A-2 NR AAA (sf) B NR AA+ (sf)/Watch Pos C NR A+ (sf)/Watch Pos D NR BB+ (sf)/Watch Pos Marlborough Street CLO Ltd. Rating Class To From C NR AA+ (sf) MCF CLO III LLC Rating Class To From A NR AAA (sf) B NR AA+ (sf) C NR AA- (sf) D NR A- (sf) E NR BB (sf) Mountain Capital CLO VI Ltd. Rating Class To From B NR AAA (sf) Mountain Hawk I CLO Ltd. Rating Class To From A-X NR AAA (sf) Nautique Funding Ltd. Rating Class To From A-3 NR AAA (sf) B-1 NR AAA (sf) B-2 NR AAA (sf) C NR AA (sf) D NR BBB+ (sf) Neuberger Berman CLO XII Ltd. Rating Class To From A-1-R NR AAA (sf) A-2R-R NR AAA (sf) B-R NR AA (sf) C-R NR A (sf) D-R NR BBB (sf) E-R NR BB (sf) Octagon Investment Partners X Ltd. Rating Class To From C NR AAA (sf) Pangaea CLO 2007-1 Ltd. Rating Class To From D NR B- (sf) Prospect Park CDO Ltd. Rating Class To From B NR AAA (sf) San Gabriel CLO I Ltd. Rating Class To From A-2L NR AAA (sf) Stone Tower CLO VI Ltd. Rating Class To From A-1 NR AAA (sf) A-2b NR AAA (sf) Voya CLO III Ltd. Rating Class To From A-3 NR AAA (sf) Waterfront CLO 2007-1 Ltd. Rating Class To From A-1 NR AAA (sf) NR--Not rated. [*] S&P Lowers Ratings on 6 Classes From 3 CMBS Transactions ------------------------------------------------------------ S&P Global Ratings lowered its ratings on six classes of commercial mortgage pass-through certificates from three U.S. commercial mortgage-backed securities (CMBS) transactions. Specifically, S&P lowered its ratings to 'D (sf)' on five classes from three U.S. CMBS transactions due to accumulated interest shortfalls that S&P expects to remain outstanding for the foreseeable future. S&P also lowered its rating to 'CCC- (sf)' on one class from one U.S. CMBS transaction because of current and potential interest shortfalls. The recurring interest shortfalls for the respective certificates are primarily due to one or more of these factors: -- Appraisal subordinate entitlement reduction (ASER) amounts in effect for specially serviced assets; -- The lack of servicer advancing for loans/assets where the servicer has made nonrecoverable advance declarations; -- Interest rate modifications or deferrals, or both, related to corrected mortgage loans; or -- Special servicing fees. S&P's analysis primarily considered the ASER amounts based on appraisal reduction amounts (ARAs) calculated using recent Member of the Appraisal Institute (MAI) appraisals. S&P also considered servicer-nonrecoverable advance declarations and special servicing fees that are likely, in S&P's view, to cause recurring interest shortfalls. The servicer implements ARAs and resulting ASER amounts according to each respective transaction's terms. Typically, these terms call for an ARA equal to 25% of the stated principal balance of a loan to be implemented when a loan is 60 days past due and an appraisal or other valuation is not available within a specified time frame. S&P primarily considered ASER amounts based on ARAs calculated from MAI appraisals when deciding which classes from the affected transactions to downgrade to 'D (sf)'. This is because ARAs based on a principal balance haircut are highly subject to change, or even reversal, once the special servicer obtains the MAI appraisals. Servicer-nonrecoverable advance declarations can prompt shortfalls due to a lack of debt-service advancing, the recovery of previously made advances after an asset was deemed nonrecoverable, or the failure to advance trust expenses when nonrecoverable declarations have been determined. Trust expenses may include property operating expenses, property taxes, insurance payments, and legal expenses. CREDIT SUISSE COMMERCIAL MORTGAGE TRUST SERIES 2007-C3 S&P lowered its ratings on the class A-J and B commercial mortgage pass-through certificates to 'CCC- (sf)' and 'D (sf)', respectively, to reflect accumulated interest shortfalls outstanding for one month and 10 months, respectively. Based on S&P's analysis, it expects interest shortfalls to continue in the near term for class B. For class A-J, S&P will continue to monitor the outstanding shortfalls and may take additional rating actions if the shortfalls are not repaid within the periods noted in S&P's temporary interest shortfall criteria. According to the Jan. 18, 2017, trustee remittance report, the current monthly interest shortfalls totaled $925,476 and resulted primarily from: -- Workout fees totaling $628,277; -- Interest adjustments due primarily to rate modification totaling $189,118; -- Current ASER totaling $88,717; and -- Special servicing fees totaling $19,353. The current reported interest shortfalls have affected all classes subordinate to and including class A-J. MORGAN STANLEY CAPITAL I TRUST 2005-HQ7 S&P lowered its rating on the class G commercial mortgage pass-through certificates to 'D (sf)' to reflect accumulated interest shortfalls outstanding for five months. Based on S&P's analysis, it expects interest shortfalls to continue in the near term. According to the Jan. 17, 2017, trustee remittance report, the current monthly interest shortfalls totaled $251,319 and resulted primarily from: -- Current ASER totaling $235,578; -- Special servicing fees totaling $14,213; and -- Workout fees totaling $1,528. The current reported interest shortfalls have affected all classes subordinate to and including class G. LB-UBS COMMERCIAL MORTGAGE TRUST 2001-C3 S&P lowered its ratings on the class D, E, and F commercial mortgage pass-through certificates to 'D (sf)' to reflect accumulated interest shortfalls outstanding for seven months each. Based on S&P's analysis, it expects interest shortfalls to continue in the near term. According to the Jan. 18, 2017, trustee remittance report, the current net monthly interest shortfalls totaled $583,214 (offset by principal proceeds of $48,356) and resulted primarily from: -- Interest not advanced totaling $561,924; -- Reimbursement of advances to Servicer totaling $50,000; and -- Special servicing fees totaling $19,286. The current reported interest shortfalls have affected all classes subordinate to and including class D. RATINGS LOWERED Credit Suisse Commercial Mortgage Trust Series 2007-C3 Commercial mortgage pass-through certificates Reported Rating interest shortfalls ($) Class To From Current Accumulated A-J CCC- (sf) CCC+ (sf) 605,301 605,301 B D (sf) CCC- (sf) 79,280 298,428 Morgan Stanley Capital I Trust 2005-HQ7 Commercial mortgage pass-through certificates Reported Rating interest shortfalls ($) Class To From Current Accumulated G D (sf) CCC (sf) 50,213 229,855 LB-UBS Commercial Mortgage Trust 2001-C3 Commercial mortgage pass-through certificates Reported Rating interest shortfalls ($) Class To From Current Accumulated D D (sf) CCC- (sf) 78,742 551,191 E D (sf) CCC- (sf) 104,250 729,750 F D (sf) CCC- (sf) 105,347 733,664 [*] S&P Puts 46 Ratings on 25 RMBS Transactions on CreditWatch Pos. ------------------------------------------------------------------- S&P Global Ratings placed its ratings on 46 classes from 25 U.S. residential mortgage-backed securities (RMBS) transactions on CreditWatch with positive implications. The transactions were issued between 2005 and 2007 and are backed by various collateral types. In December 2014, a settlement was reached regarding the alleged breach of certain representations and warranties in the governing agreements of 68 Citigroup legacy RMBS trusts. The settlement called for Citigroup Inc. to pay out $1.1 billion to related investors. The payments were primarily realized between the October 2016 and December 2016 remittance periods. The CreditWatch positive placements reflect a potential increase in credit support available to these classes due to these payments. Based on guidance from a New York state court to the trustees for the affected transactions, the payments were allocated either as subsequent recoveries or unscheduled principal payments, based on the transaction documents. The CreditWatch placements affect 15 subprime, three Alternative-A, four prime jumbo, one negative amortization, and two reperforming transactions. Over the next few weeks, S&P will review the payment information and remittance report data on these transactions to determine the degree of additional credit support available to, and any resulting upgrades on, these transactions. S&P expects the majority of the upgrades to be within one rating category; however, some ratings may experience upgrades of greater than one category. 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. ********* 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 ***