/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/170326.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, March 26, 2017, Vol. 21, No. 84 Headlines ALESCO PREFERRED XVII: Moody's Hikes Cl. C-2 Notes Rating to Caa1 ANGEL OAK 2017-1: DBRS Finalizes B(sf) Ratings on Class B-2 Certs ANGEL OAK 2017-1: Fitch Assigns 'Bsf' Rating to Class B-2 Debt ANTHRACITE CDO III: Moody's Hikes Ratings on 2 Tranches to B1(sf) ARCAP 2005-1: S&P Affirms 'CCC-' Rating on Class A Notes BAMLL COMMERCIAL 2014-ICTS: S&P Hikes Cl. D Debt Rating to BB+ BARCLAYS BANK 2017-1: Fitch Corrects February 27 Release BAYVIEW OPPORTUNITY 2017-SPL1: Fitch to Rate Class B5 Notes 'Bsf' BAYVIEW OPPORTUNITY 2017-SPL2: Fitch to Rate Class B5 Notes Bsf BBCMS TRUST 2015-SLP: Fitch Affirms 'BB-sf' Rating on Cl. E Debt BHMS 2014-ATLS: S&P Affirms 'B-' Rating on 2 Cert. Classes BUSINESS LOAN 2001-2: Fitch Affirms 'Csf' Rating on Class M Notes CAN CAPITAL 2014-1: S&P Lowers Rating on Cl. B Notes to 'CCC' CARLYLE GLOBAL 2014-3: Moody's Gives Ba2 Rating to Cl. D-2-R Debt CBA COMMERCIAL 2006-1: Moody's Hikes Class A Debt Rating to Caa1 CBA COMMERCIAL 2007-1: Moody's Affirms C Rating on Cl. X-1 Debt CHICAGO SKYSCRAPER 2017-SKY: S&P Gives (P)B+ Rating to Cl. F Certs CITI HELD 2016-PM1: Fitch Affirms Bsf Rating on Class C Debt CITIGROUP 2015-GC29: Fitch Affirms 'Bsf' Rating on Class F Certs COMM 2007-FL14: Moody's Affirms Ba3 Rating on Class E Certificates CONN RECEIVABLES 2016-A: Fitch Affirms 'Bsf' Rating on Cl. C Debt CONNECTICUT AVENUE 2017-C02: Fitch to Rate 19 Tranches 'Bsf' CREDIT SUISSE 2007-C5: S&P Affirms 'B-' Rating on 2 Tranches CREST LTD 2003-2: Moody's Affirms Caa3 Ratings on 2 Tranches CSFB MORTGAGE 2003-C3: Moody's Affirms C(sf) Rating on Cl. K Debt CSMC TRUST 2015-TOWN: Fitch Affirms 'B-sf' Rating on Class F Debt CSMC TRUST 2017-HD: S&P Assigns Prelim. BB- Rating on Cl. E Certs CT CDO IV: S&P Affirms 'CC' Rating on Class C Notes DLJ COMMERCIAL 1998-CG1: Fitch Hikes Cl. B-7 Debt Rating From BB FREDDIE MAC 2017-SC01: Moody's Gives Ba3 Rating to Cl. M-2 Debt GALTON FUNDING 2017-1: DBRS Finalizes Bsf Rating on Cl. B5 Debt GE BUSINESS 2005-1: Fitch Affirms 'CCCsf' Rating on Cl. D Debt GOLD KEY 2014-A: S&P Puts BB Rating on CreditWatch Negative GREEN TREE 1993-04: Moody's Cuts Rating on Class B-2 Debt to C(sf) GRIPPEN PARK: Moody's Assigns Ba3 Rating to Class E Notes GS MORTGAGE 2014-GSFL: S&P Lowers Cl. X-EXT Certs Rating to B GS MORTGAGE 2016-ICE2: Moody's Affirms Ba3 Rating on Cl. E Notes GS MORTGAGE 2017-GS5: Fitch Assigns 'B-sf' Rating to Cl. F Certs HELLER FINANCIAL 2000-PH1: Moody's Affirms C Rating on Cl. H Debt ICE 1: Moody's Affirms Caa2(sf) Rating on Class D Sec. Term Notes JMP CREDIT III: Moody's Assigns Ba3 Rating to Class E-R Sec. Notes JP MORGAN 2005-CIBC12: Moody's Lowers Class B Debt Rating to B3 JP MORGAN 2005-LDP4: Moody's Affirms C(sf) Rating on Class D Debt JP MORGAN 2007-LDP11: Moody's Affirms Ba2 Rating on Cl. A-M Debt JP MORGAN 2013-LC11: Moody's Affirms B2 Rating on Class F Notes JP MORGAN 2014-PHH: S&P Affirms 'BB' Rating on Cl. E Certificates JPMDB TRUST 2017-C5: Fitch to Rate Class G-RR Notes 'Bsf' KATONAH 2007-I: Moody's Hikes Class B-2L Notes Rating From Ba1 LB-UBS COMMERCIAL 2007-C6: S&P Raises Rating on A-J Certs to BB- LEGACY BENEFITS 2004-1: Moody's Puts B1 Rating Under Review MASTR ADJUSTABLE 2005-5: Moody's Hikes Cl. A-X Debt Rating to Caa3 MCF CLO V: S&P Assigns 'BB-' Rating on Class E Notes MILL CITY 2017-1: DBRS Assigns Prov. B Ratings to Class B2 Debt MLFA 2007-CANADA: Moody's Affirms Ba1 Rating on Cl. F Debt MORGAN STANLEY 2007-HQ11: S&P Cuts Rating on 6 Tranches to D MORGAN STANLEY 2007-TOP25: DBRS Confirms CCC Rating on Cl. C Debt MOTEL 6 2015-MTL6: Fitch Affirms 'Bsf' Rating on Cl. F Certificates NEW RESIDENTIAL 2017-1: DBRS Finalizes Bsf Rating on Cl. B-5 Debt NEWSTAR COMMERCIAL 2017-1: S&P Gives BB- Rating on Cl. E-N Notes NORTHWOODS CAPITAL XII: S&P Assigns BB Rating on Cl. E-2-R Notes NXT CAPITAL 2017-1: S&P Assigns Prelim. BB Rating on Cl. E Notes OCTAGON INVESTMENT 30: Moody's Assigns Ba3 Rating to Class D Notes OCTAGON INVESTMENT XI: Moody's Hikes Rating on Cl. D Notes to Ba1 OMI TRUST 2002-C: Moody's Hikes Rating on Cl. A-1 Notes to Ba1 PETRA CRE 2007-1: Moody's Affirm C Rating on 6 Tranches PPM GRAYHAWK: Moody's Hikes Class D Debt Rating From Ba1(sf) PREFERRED TERM XIV: Moody's Hikes Rating on 3 Tranches to Ba2 RESOURCE CAPITAL 2014-CRE2: Moody's Hikes Cl. C Debt Rating to Ba3 SACO I 2005-GP1: Moody's Hikes Rating on Class A-1 Debt to Ba2 SHELLPOINT CO-ORIGINATOR: Moody's Rates Class B-4 Debt '(P)Ba2' SLM PRIVATE 2003-A: Moody's Lowers Rating on Class B Debt to B1 SLM STUDENT 2008-4: Fitch Lowers Rating on 2 Tranches to 'Bsf' SLM STUDENT 2008-5: Fitch Lowers Rating on 2 Tranches to 'Bsf' SLM STUDENT 2008-6: Fitch Cuts Rating on Class B Debt to 'Bsf' SLM STUDENT 2013-4: Fitch Hikes Ratings on 2 Tranches From Bsf SYMPHONY CLO XV: Moody's Hikes Rating on Class E Debt to Ba2 THL CREDIT 2017-1: Moody's Assigns Ba3 Rating to Cl. E Notes TOWD POINT 2015-1: DBRS Assigns BB(low) Ratings on 6 Tranches TRAPEZA CDO XI: Moody's Hikes Class B Secured Notes Rating to B2 TRUPS FINANCIALS 2017-1: Moody's Gives (P)Ba2 Rating to Cl. B Debt VOYA CLO 2017-1: Moody's Assigns (P)Ba3 Rating to Class D Notes WELLFLEET CLO 2017-1: Moody's Assigns (P)Ba3 Rating to Cl. D Notes WELLS FARGO 2004-DD: Moody's Ups Rating on Cl. II-A-8 Debt to B1 WELLS FARGO 2015-C27: DBRS Confirms B(low) Rating on Class F Debt WELLS FARGO 2016-C33: Fitch Affirms 'B-sf' Rating on Class F Debt WELLS FARGO 2017-RB1: Fitch to Rate 2 Tranches 'B-sf' WELLS FARGO 2017-RC1: DBRS Finalizes B(low) Ratings on 2 Tranches WELLS FARGO 2017-RC1: S&P Assigns BB- Rating on 2 Tranches WESTLAKE AUTOMOBILE 2017-1: S&P Assigns 'BB' Rating on Cl. E Notes WHITEHORSE IV: Moody's Hikes Rating on Class D Notes from Ba1 WRIGHTWOOD CAPITAL 2005-1: S&P Raises Rating on 2 Tranches to BB+ [*] Moody's Hikes $154.3MM Scratch & Dent RMBS Issued 2004-2006 [*] Moody's Hikes $23.4MM Scratch&Dent RMBS Issued 2003-2006 [*] Moody's Hikes $344MM of Scratch & Dent RMBS Issued 2006-2007 [*] Moody's Hikes $397MM of Subprime RMBS Issued 2003-2004 [*] Moody's Hikes $41.2MM of SAIL Subprime RMBS [*] Moody's Takes Action on $50.9MM of RMBS Issued 2002-2004 [*] Moody's Takes Action on $875.8MM of Housing-Backed Securities [*] S&P Completes Review on 78 Classes From 10 RMBS Deals [*] S&P Completes Review on 84 Classes From 12 RMBS Deals [*] S&P Completes Review on 95 Classes From 12 RMBS Deals [*] S&P Discontinues Ratings on 43 Tranches From 11 CDO Deals [*] S&P Takes Actions on 25 Classes From Nine RMBS Issued 2003-2010 [*] S&P Takes Rating Actions on 25 Tranches From 2 RMBS Deals ********* ALESCO PREFERRED XVII: Moody's Hikes Cl. C-2 Notes Rating to Caa1 ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by ALESCO Preferred Funding XVII, Ltd.: US$236,000,000 Class A-1 First Priority Senior Secured Floating Rate Notes Due 2038 (current balance of $178,343,209 ), Upgraded to Aa3 (sf); previously on May 27, 2015 Upgraded to A2 (sf) US$16,000,000 Class A-2 Second Priority Senior Secured Floating Rate Notes Due 2038, Upgraded to A1 (sf); previously on May 27, 2015 Upgraded to A3 (sf) US$44,000,000 Class B Deferrable Third Priority Secured Floating Rate Notes Due 2038, Upgraded to Baa3 (sf); previously on May 27, 2015 Upgraded to Ba2 (sf) US$42,000,000 Class C-1 Deferrable Fourth Priority Mezzanine Secured Floating Rate Notes Due 2038 (current balance, including interest shortfall, of $42,352,842), Upgraded to Caa1 (sf); previously on June 27 2013, Affirmed C (sf) US$500,000 Class C-2 Deferrable Fourth Priority Mezzanine Secured Fixed/Floating Rate Notes Due 2038 (current balance, including interest shortfall, of $510,140), Upgraded to Caa1 (sf); previously on June 27 2013, Affirmed C (sf) 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, the resumption of interest payments on previously deferring assets and partial repayment of the Class C notes' deferred interest balance since March 2016. The Class A-1 notes have been paid down by approximately 3% or $5.5 million since March 2016 using principal proceeds from the redemption of the underlying assets. The Class C notes' deferred interest balance has also been paid down by $5.2 million using excess interest since then. Based on Moody's calculations, the OC ratios for the Class A-1, Class A-2, Class B and Class C notes have improved to 159.9%, 146.8%, 119.7% and 101.4%, respectively, from March 2016 levels of 155.7%, 143.2%, 117.3% and 98.4%, respectively. Once the Class C notes' deferred interest balance is reduced to zero, the Class A-1 notes will benefit from the diversion of excess interest as long as the Class C OC test (currently reported at 102.14% versus a 110.16% trigger by the trustee) continues to fail. 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) 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(TM) 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 399) Class A-1:+1 Class A-2: +1 Class B: +3 Class C-1: +3 Class C-2: +3 Assuming a two-notch downgrade to assets with below-investment grade ratings or rating estimates (WARF of 924) Class A-1:-1 Class A-2: -2 Class B: -1 Class C-1: -2 Class C-2: -2 Loss and Cash Flow Analysis: Moody's applied a Monte Carlo simulation framework in Moody's CDOROM(TM) 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(TM) 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 $285.2 million, defaulted and deferring par of 30.0 million, a weighted average default probability of 7.57% (implying a WARF of 626), 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 mainly 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(TM), 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. ANGEL OAK 2017-1: DBRS Finalizes B(sf) Ratings on Class B-2 Certs ----------------------------------------------------------------- DBRS, Inc. on March 10, 2017, finalized its provisional ratings on the Mortgage-Backed Certificates, Series 2017-1 issued by Angel Oak Mortgage Trust I, LLC 2017-1 (AOMT 2017-1 or the Trust): -- $78.1 million Class A-1 at AAA (sf) -- $19.3 million Class A-2 at AA (low) (sf) -- $20.0 million Class A-3 at A (low) (sf) -- $9.4 million Class M-1 at BBB (low) (sf) -- $7.5 million Class B-1 at BB (low) (sf) -- $5.6 million Class B-2 at B (sf) The AAA (sf) ratings on the Certificates reflect the 46.65% of credit enhancement provided by subordinated Certificates in the pool. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf) and B (sf) ratings reflect 33.50%, 19.85%, 13.45%, 8.35% and 4.55% of credit enhancement, respectively. Other than the specified classes above, DBRS does not rate any other classes in this transaction. This transaction is a securitization of a portfolio of fixed- and adjustable-rate, non-prime, primarily first-lien residential mortgages. The Certificates are backed by 529 loans with a total principal balance of $146,469,496 as of the Cut-Off Date (February 1, 2017). Angel Oak Mortgage Solutions LLC (AOMS), Angel Oak Home Loans LLC (AOHL) and Angel Oak Prime Bridge LLC are the originators for 70.9%, 26.9% and 2.2% of the portfolio, respectively. The mortgages were originated under the following six programs: (1) Portfolio Select (74.2%) – Made to borrowers with near-prime credit scores who are unable to obtain financing through conventional or governmental channels because (a) they fail to satisfy credit requirements; (b) they are self-employed and need an alternate income calculation using 24 months of bank statements to qualify; (c) they may have a credit score that is lower than that required by government-sponsored entity underwriting guidelines; or (d) they may have been subject to a bankruptcy or foreclosure 24 or more months prior to origination. (2) Non-Prime General (6.4%) – Made to borrowers who have not sustained a housing event in the past 24 months, but whose credit reports show multiple 30+ and/or 60+ day delinquencies on any reported debt in the past 12 months. (3) Non-Prime Recent Housing (6.5%) – Made to borrowers who have completed or have had their properties subject to a short sale, deed-in-lieu, notice of default or foreclosure. Borrowers who have filed for bankruptcy 12 or more months prior to origination or have experienced severe delinquencies may also be considered for this program. (4) Non-Prime Foreign National (6.3%) – Made to investment property borrowers who are citizens of foreign countries that do not reside or work in the United States. Borrowers may use alternative income and credit documentation. Income is typically documented by the employer or accountant and credit is verified by letters from overseas credit holders. (5) Non-Prime Investment Property (0.7%) – Made to real estate investors who may have financed up to five mortgaged properties with the originators (or 20 mortgaged properties overall). (6) Investor Cash Flow (5.9%) – Made to real estate investors who are experienced in purchasing, renting and managing investment properties with an established five-year credit history and at least 24 months of clean housing payment history, but who are unable to obtain financing through conventional or governmental channels because (a) they fail to satisfy the requirements of such programs or (b) may be over the maximum number of properties allowed. Loans originated under the Investor Cash Flow program are considered business-purpose and are not covered by the ability-to-repay (ATR) rules or TRID (TILA-RESPA Integrated Disclosure) rule. Select Portfolio Servicing Inc. (SPS) is the servicer for the loans. Angel Oak Home Loans LLC will act as Servicing Administrator and Wells Fargo Bank, N.A. (Wells Fargo) will act as the Master Servicer. U.S. Bank National Association will serve as Trustee and Custodian. Although the mortgage loans were originated to satisfy the Consumer Financial Protection Bureau (CFPB) ATR rules, they were made to borrowers who generally do not qualify for agency, government or private label non-agency prime jumbo products for various reasons described above. In accordance with the CFPB Qualified Mortgage (QM) rules, none of the loans are designated as QM Safe Harbor, 5.0% as QM Rebuttable Presumption and 79.1% as non-QM. Approximately 16.0% of the loans are for investment properties and thus not subject to the QM rules. The servicing administrator or servicer will generally fund advances of delinquent principal and interest on any mortgage until such loan becomes 180 days delinquent and they are obligated to make advances in respect of taxes, insurance premiums and reasonable costs incurred in the course of servicing and disposing of properties. On or after the distribution date in March 2019, the Depositor has the option to purchase all of the outstanding certificates at a price equal to the outstanding class balance plus accrued and unpaid interest, including any cap carryover amounts. The transaction employs a sequential-pay cash flow structure with a pro rata principal distribution among the senior tranches. Principal proceeds can be used to cover interest shortfalls on the Certificates as the outstanding senior Certificates are paid in full. Further, excess spread can be used to cover realized losses first before being allocated to unpaid cap carryover amounts up to the Class M-1 Certificates. The ratings reflect transactional strengths that include the following: (1) Strong Underwriting Standards: Whether for prime or non-prime mortgages, underwriting standards have improved significantly from the pre-crisis era. All of the mortgage loans were underwritten in accordance with the eight underwriting factors of the ATR rules, although they may not necessarily comply with Appendix Q of Regulation Z. (2) Robust Loan Attributes and Pool Composition: -- The mortgage loans in this portfolio generally have robust loan attributes as reflected in combined loan-to-value (LTV) ratios, borrower household income and liquid reserves, including the loans in the Non-Prime programs that have weaker borrower credit. -- LTVs gradually reduce as the programs move down the credit spectrum, suggesting the consideration of compensating factors for riskier pools. -- The pool comprises 15.3% fixed-rate mortgages, which have the lowest default risk because of the stability of monthly payments. The pool comprises 84.7% hybrid adjustable-rate mortgages (ARMs) with an initial fixed period of five to ten years, allowing borrowers sufficient time to credit cure before rates reset. None of the loans are riskier hybrid ARMs with shorter teaser periods (two to three years). (3) Satisfactory Third-Party Due Diligence Review: A third-party due diligence firm conducted property valuation and credit reviews on 100% of the loans in the pool. For 94.2% of the loans (i.e., the entire pool excluding the 77 Investor Cash Flow loans), a third-party due diligence firm performed a regulatory compliance review. Data integrity checks were also performed on the pool. (4) Satisfactory Loan Performance to Date (Albeit Short): Angel Oak began originating non-agency loans in the fourth quarter of 2013. Of the approximately 1,644 mortgages originated as of November 2016, 12 were ever 30 days delinquent, one loan has been 60 days delinquent, four loans 90 days delinquent and six loans 120+ days delinquent. In addition, voluntary prepayment rates have been relatively high in previous Angel Oak securitizations, as these borrowers tend to credit cure and refinance into lower-cost mortgages. (5) Strong Servicer: SPS, a strong residential mortgage servicer and a wholly owned subsidiary of Credit Suisse, services the pool. In this transaction, AOHL, as the servicing administrator, or SPS, as the servicer, is responsible for funding advances to the extent required. In addition, the transaction employs Wells Fargo as the Master Servicer, rated AA (high) by DBRS. If the servicing administrator or the servicer fails in its obligation to make advances, Wells Fargo will be obligated to fund such servicing advances. The transaction also includes the following challenges and mitigating factors: (1) Geographic Concentration: Compared with other recent securitizations, the AOMT 2017-1 pool has a high concentration of loans located in Florida (37.3% of the pool). Mitigating factors include the following: -- Although the pool is concentrated in Florida, the loans are well dispersed among the metropolitan statistical areas (MSAs). The largest Florida MSA, Fort-Lauderdale-Pompano Beach-Deerfield, represents only 7.2% of the entire transaction. DBRS does not believe the AOMT 2017-1 pool is particularly sensitive to any deterioration in economic conditions or the occurrence of a natural disaster in any specific region. -- DBRS’s RMBS Insight model generates an elevated asset correlation, as determined by the loan size and geographic concentration, for this portfolio compared with pools with similar collateral, resulting in higher expected losses across all rating categories. (2) Representations and Warranties (R&W) Framework and Provider: Although slightly stronger than other comparable non-QM transactions rated by DBRS, the R&W framework for AOMT 2017-1 is weaker compared with post-crisis prime jumbo securitization frameworks. Instead of an automatic review when a loan becomes seriously delinquent, this transaction employs a mandatory review upon less immediate triggers. In addition, the R&W provider, guarantor or backstop provider are either unrated or have limited performance history in non-QM securitizations and may potentially experience financial stress that could result in the inability to fulfill repurchase obligations. DBRS notes the following mitigating factors: -- Satisfactory third-party due diligence was conducted on 100% of the loans included in the pool with respect to credit, property valuation and data integrity. A regulatory compliance review was performed on all but 77 Investor Cash Flow loans. A comprehensive due diligence review mitigates the risk of future R&W violations. -- An independent third-party R&W reviewer, Clayton Services LLC, is named in the transaction to review loans for alleged breaches of representations and warranties. -- DBRS conducted an on-site originator review of AOHL and AOMS and deems the mortgage companies to be operationally sound. -- The sponsor, an affiliate of Angel Oak, will retain an eligible vertical interest in the securities, as well as a horizontal residual interest in the Class XS certificates, which collectively represent at least 5% of the fair value of all the certificates, aligning sponsor and investor interest in the capital structure. -- Notwithstanding the above, DBRS adjusted the originator scores downward to account for the potential inability to fulfill repurchase obligations, the lack of performance history as well as the weaker R&W framework. A lower originator score results in increased default and loss assumptions and provides additional cushions for the rated securities. (3) Non-Prime, QM-Rebuttable Presumption or Non-QM Loans: As compared with post-crisis prime jumbo transactions, this portfolio contains mortgages originated to borrowers with weaker credits or who have prior derogatory credit events, as well as QM-rebuttable presumption or non-QM loans. In addition, certain loans were underwritten to 24-month bank statements for income (21.8%) or as business purpose loans (5.9%). DBRS notes the following mitigating factors: -- All loans were originated to meet the eight underwriting factors as required by the ATR rules. -- Underwriting standards have improved substantially since the pre-crisis era. -- Bank statement as income and business purpose loans are treated as less-than-full documentation in the RMBS Insight model, which increases expected losses on those loans. -- The RMBS Insight model incorporates loss severity penalties for non-QM and QM Rebuttable Presumption loans, as explained further in the Key Loss Severity Drivers section of the report. -- For loans in this portfolio that were originated through the Non-Prime General and Non-Prime Recent Housing Event programs, borrower credit events had generally happened, on average, 46 months and 23 months, respectively, prior to origination. In its analysis, DBRS applies additional penalties for borrowers with recent credit events within the past two years. (4) Servicer Advances of Delinquent Principal and Interest: The servicing administrator or servicer will advance scheduled principal and interest on delinquent mortgages until such loans become 180 days delinquent. This will likely result in lower loss severities to the transaction because advanced principal and interest will not have to be reimbursed from the trust upon the liquidation of the mortgages, but will increase the possibility of periodic interest shortfalls to the Certificateholders. Mitigating factors include that principal proceeds can be used to pay interest shortfalls to the Certificates as the outstanding senior Certificates are paid in full, as well as the fact that subordination levels are greater than expected losses, which may provide for payment of interest to the Certificates. DBRS ran cash flow scenarios that incorporated principal and interest advancing up to 180 days for delinquent loans; the cash flow scenarios are discussed in more detail in the Cash Flow Analysis section of the report. The DBRS ratings of AAA (sf) and AA (low) (sf) address the timely payment of interest and full payment of principal (excluding interest-only classes) by the legal final maturity date in accordance with the terms and conditions of the related Certificates. The DBRS ratings of A (low) (sf), BBB (low) (sf), BB (low) (sf) and B (sf) address the ultimate payment of interest and full payment of principal by the legal final maturity date in accordance with the terms and conditions of the related Certificates. ANGEL OAK 2017-1: Fitch Assigns 'Bsf' Rating to Class B-2 Debt -------------------------------------------------------------- Fitch Ratings has assigned ratings to Angel Oak Mortgage Trust I, LLC 2017-1 (AOMT 2017-1): -- $78,141,000 class A-1 certificates 'AAAsf'; Outlook Stable; -- $19,261,000 class A-2 certificates 'AAsf'; Outlook Stable; -- $19,993,000 class A-3 certificates 'Asf'; Outlook Stable; -- $9,374,000 class M-1 certificates 'BBBsf'; Outlook Stable; -- $7,470,000 class B-1 certificates 'BBsf'; Outlook Stable; -- $5,566,000 class B-2 certificates 'Bsf'; Outlook Stable. Fitch will not be rating the following certificates: -- $6,664,496 class B-3 certificates. This is the fourth Fitch-rated RMBS transaction issued post-crisis that consists primarily of newly originated, non-prime mortgage loans. Fitch is taking a cautious approach towards this developing sector as many of the entrants have limited operating histories and performance track records. As a result, some transactions are currently unable to achieve 'AAAsf' ratings from Fitch. This is most applicable to aggregators with less than three years experience acquiring loans from originators that Fitch is not familiar with. The 'AAAsf' for AOMT 2017-1 reflects the satisfactory operational review conducted by Fitch of the originators, 100% loan-level due diligence review with no material findings, a Tier 2 representation and warranty framework, and the transaction's structure. TRANSACTION SUMMARY The transaction is collateralized with 79% non-qualified (Non-QM) mortgages as defined by the Ability-to-Repay rule (ATR) while 5% is designated as higher-priced QMs (HPQMs) and the remainder comprises business purpose loans not subject to ATR. The certificates are supported by a pool of 529 mortgage loans with a weighted average original credit score of 698 and a weighted average original combined loan to value ratio (CLTV) of 76.9%. Roughly 29% consists of borrowers with prior credit events, 6% are foreign nationals and 4% are second lien loans. In addition, approximately 22% comprise loans to self-employed borrowers underwritten to a 24-month bank statement program. 100% loan level due diligence was performed to confirm adherence to guidelines and controls and the transaction also benefits from an alignment of interest as Angel Oak Real Estate Investment Trust I (Angel Oak REIT I) or a majority owned affiliate, will be retaining a vertical and horizontal interest in the transaction equal to not less than 5% of the aggregate fair market value of all the certificates in the transaction. The loan-level reps for this transaction are substantially consistent with Fitch criteria; however, the framework lacks a delinquency trigger for an automatic review and includes a testing construct for identifying breaches that, in Fitch's view, limit the breach reviewers ability to identify or respond to issues not fully anticipated at closing. Fitch added credit enhancement at each rating category (222 basis points at the 'AAAsf' rating category) to mitigate the limitations of the framework and the non-investment-grade counterparty risk of the providers. . Initial credit enhancement for the class A-1 certificates of 46.65% is substantially above Fitch's 'AAAsf' rating stress loss of 35.75%. The additional initial credit enhancement is primarily driven by the pro rata principal distribution between the A-1, A-2 and A-3 certificates, which will result in a significant reduction of the class A-1 subordination over time through principal payments to the A-2 and A-3. KEY RATING DRIVERS Nonprime Credit Quality (Concern): The pool has a weighted average (WA) original credit score of 698 and WA original combined loan-to-value ratio (CLTV) of 76.9%. Roughly 29% consists of borrowers with prior credit events, 6% are foreign nationals and 4% are second lien loans. Twenty two loans experienced a delinquency since origination, 17 of which were due to servicer transfer issues. Approximately 22% was made to self-employed borrowers underwritten to a 24-month bank statement program. An additional 13% allow for 30-day seasoning of assets to close compared to 60 days for full programs. Fitch applied default penalties to account for these attributes and loss severity was adjusted to reflect the increased risk of ATR challenges and loans with TILA RESPA Integrated Disclosure (TRID) exceptions. Satisfactory Originator Review and Track Record (Positive): Fitch conducted an operational review of AOMS and AOHL and assessed them as Average based on the companies' seasoned management team and extensive nonprime mortgage experience, a comprehensive sourcing strategy and sound underwriting and risk management practices. AOHL (retail platform) commenced agency loan originations in 2011 and ramped up its nonprime business in 2012. Correspondent and broker originations are conducted by AOMS, which began operations in 2014. Solid Due Diligence Results (Positive): Third-party loan-level due diligence was performed on 100% of the pool, the results of which generally reflect sound underwriting and operational controls. Of the 452 loans subject to consumer compliance testing (443 of which were subject to TRID), 60 were assigned 'C' grades due to material noncompliance with TRID, with the majority of findings concentrated in the fourth- and first-quarters of 2015 and 2016, respectively, around the time TRID was implemented. High Investor Property Concentration (Concern): Approximately 16% of the pool comprises investment properties, 6% of which were originated through the originators' investor cash flow program that targets real estate investors qualified on a cash flow ratio basis. While the borrower's credit score and LTV are used in the underwriting of the cash flow loans, the ratio of mortgage principal, interest, taxes, insurance and homeowner association dues as a percentage of market rent, which averages 74.9%, determines the cash flow ratio. In its analysis, Fitch assumed a 55% debt-to-income ratio (DTI) for these loans. The remaining investor properties were underwritten to borrower DTIs. Bank Statement Loans Included (Concern): Approximately 22% of the pool (67 loans) was made to self-employed borrowers underwritten to a 24-month bank statement program for verifying income in accordance with either AOHL or AOMS' guidelines, which is not consistent with Appendix Q standards and Fitch's view of a full documentation program. While employment is fully verified and assets partially confirmed, the limited income verification resulted in application of a probability of default (PD) penalty of approximately 1.5 times (x) for the bank statement loans at the 'AAAsf' rating category. Additionally, Fitch's assumed probability of ATR claims was doubled, which increased the loss severity (LS). Southeast Geographic Concentration (Concern): Over one-half of the pool is located in the southeastern United States in areas prone to hurricane risk. Approximately 18% is located in the Miami metropolitan statistical area (MSA), with concentrations on the Georgia and North Carolina coasts. To account for loan and geographic risk, Fitch increased the pool's loss expectations at every rating category (roughly 80 basis points [bps] in the 'AAAsf' scenario). R&W Framework (Mixed): As sponsor, the REIT, Angel Oak Real Estate Investment Trust I, (Angel Oak REIT I) will be providing loan-level representations (reps) and warranties (R&W) to the trust. If the REIT is no longer an ongoing business concern, it will assign to the trust its rights under the mortgage loan purchase agreements with the originators, which include repurchase remedies for rep and warranty breaches. While the loan-level reps for this transaction are substantially consistent with a Tier I framework, the lack of the delinquency trigger for an automatic review and the nature of the prescriptive breach tests limit the breach reviewers ability to identify or respond to issues not fully anticipated at closing. Fitch added credit enhancement at each rating category (222 bps at the 'AAAsf' rating category) to mitigate the limitations of the framework and the non-investment-grade counterparty risk of the providers. Alignment of Interests (Positive): The transaction benefits from an alignment of interests between the issuer and investors. Angel Oak REIT I as sponsor and securitizer, or an affiliate will retain a vertical and horizontal interest in the transaction equal to not less than 5% of the aggregate fair market value of all certificates in the transaction. As part of its focus on investing in residential mortgage credit, as of the closing date, Angel Oak REIT I and Angel Oak Strategic Mortgage Income Master Fund, Ltd, as co-sponsor, will retain the class B-2, B-3 and XS certificates. Lastly, the reps and warranties are provided by Angel Oak REIT I, or the originators in the event the REIT ceases operations, which aligns their interests with those of investors to maintain high quality origination standards and sound performance. Modified Sequential Payment Structure (Mixed): The structure distributes collected principal pro rata among the class A notes while shutting out the subordinate bonds from principal until all three classes have been reduced to zero. To the extent that either the cumulative loss trigger event or the delinquency trigger event occurs in a given period, principal will be distributed sequentially to the class A-1, A-2 and A-3 bonds until they are reduced to zero. Performance Triggers (Mixed): Delinquency and loan loss triggers convert principal distribution to a straight sequential payment priority in the event of poor asset performance. Under Fitch's front- and back-loaded default cash flow timing scenarios, the transaction reverts to a straight sequential pay relatively quickly, benefiting the senior classes. Additional scenarios were analyzed to stress the sensitivity of the delinquency trigger, which resulted in roughly 400-bp and 300-bp-increase to the 'AAAsf' and 'AAsf' credit enhancement levels, respectively, compared to levels using Fitch's standard default timing scenarios. Servicing and Master Servicer (Positive): Select Portfolio Servicing (SPS), rated 'RPS1-'/Outlook Stable by Fitch, will be the primary servicer. Wells Fargo Bank, N.A. (Wells Fargo), rated 'RMS1'/Outlook Negative, will act as master servicer. Advances required but not paid by SPS will be paid by Wells Fargo. Fitch does not rate any primary servicer higher than SPS and does not rate any master servicer higher than Wells Fargo. CRITERIA APPLICATION Fitch's analysis incorporated four criteria variations from the 'U.S. RMBS Loan Loss Model Criteria' which are described below. A variation was made to Fitch's 'U.S. RMBS Loan Loss Model Criteria' in regards to treatment of loans with prior credit events. Historical data suggests that borrowers with similar credit scores as those in the pool are nearly 20% more likely to default on a future mortgage, as compared to all outstanding borrowers, if they had a prior mortgage related credit event. This adjustment was applied to the roughly 29% of the pool that had a prior mortgage related credit event, resulting in approximately a 6% increase to the pool's probability of default at each rating category. Due to the structural features of the transaction, Fitch analyzed the collateral with a customized version of one of its loss models. Fitch's Alt-A Loan Loss Model was altered to include two additional inputs; operational quality and liquid reserves. These variables were not common in legacy Alt-A loans and were excluded in the derivation of Fitch's Alt-A model. Given the improvement in today's underwriting over legacy standards, these aspects were taken into consideration and a net credit was applied to the pool. A third variation was made as an outside of the model adjustment to account for the higher than average property values of the mortgage loans and its impact on the probability of default. Fitch's analysis showed that loans associated with property values significantly below the median exhibited higher default rates relative to those at or above the median value and larger properties are generally associated with higher income borrowers who may be less sensitive to income shocks than lower income borrowers. Less desirable, low-value properties may also increase the default risk if the borrower has more difficulty selling the home. The average property value for this pool was over $400k and there is a large distribution of loans with very high property values relative to those in the Alt-A model's data set. Because this variable is not considered in the Alt-A model, PDs are higher for these loans than what the data suggests. Fitch views the loans with a 30 day seasoning requirement for assets to close as having less than full documentation for verification of assets (VOA) as Fitch views 60 day seasoning for the assets as consistent with a full documentation VOA program. However, the customized Alt-A model only has two treatments for documentation, full or non-full. The non-full documentation treatment for partially verified assets is too punitive since both income and employment are fully verified and generally consistent with the ATR Appendix Q documentation. Fitch analyzed those loans (except for the foreign nationals, which requires 60 days) as a less than full VOA documentation category using its prime model to derive the PD penalty for these loans. The aggregate impact of these adjustments resulted in losses approximately two notches lower than unadjusted legacy Alt-A model output. RATING SENSITIVITIES Fitch's analysis incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or may be considered in the surveillance of the transaction. Two sets of sensitivity analyses were conducted at the state and national levels to assess the effect of higher MVDs for the subject pool. This defined stress sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20%, and 30%, in addition to the model projected 5.7%. 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'. ANTHRACITE CDO III: Moody's Hikes Ratings on 2 Tranches to B1(sf) ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of the following notes issued by Anthracite CDO III Collateralized Debt Obligations: Cl. D-FL, Upgraded to B1 (sf); previously on Apr 21, 2016 Upgraded to B3 (sf) Cl. D-FX, Upgraded to B1 (sf); previously on Apr 21, 2016 Upgraded to B3 (sf) Moody's has also affirmed the ratings on the following notes: Cl. C-FL, Affirmed Aaa (sf); previously on Apr 21, 2016 Upgraded to Aaa (sf) Cl. C-FX, Affirmed Aaa (sf); previously on Apr 21, 2016 Upgraded to Aaa (sf) Cl. E-FL, Affirmed C (sf); previously on Apr 21, 2016 Affirmed C (sf) Cl. E-FX, Affirmed C (sf); previously on Apr 21, 2016 Affirmed C (sf) RATINGS RATIONALE Moody's has upgraded the rating on two classes of notes due to positive credit migration within the underlying collateral pool as evidenced by the weighted average rating factor (WARF); combined with greater than expected paydown from the underlying collateral. This was more than offsetting to the number of defaulted assets, currently at 55.8% as of the prior trustee date. Moody's has affirmed the ratings on four classes of notes because the key transaction metrics are commensurate with the existing ratings. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO & Re-REMIC) transactions. Anthracite CDO III, Ltd. is a static cash transaction backed by a portfolio of i) commercial mortgage-backed securities (CMBS) (75.2% of the collateral pool balance), and ii) one credit tenant lease asset (CTL) (24.8%). As of the February 21, 2017 trustee report, the aggregate note balance of the transaction, including preferred shares, was $194.1 million, compared to $435.3 million as at issuance. The paydowns are a result of a combination of regular amortization and prepayments. The pool contains 10 assets totaling $26.1 million (55.8% of the collateral pool balance) that are listed as defaulted securities as of the trustee's February 21, 2017 report. Ten of these assets (100% of the defaulted balance) are CMBS. While there have been limited realized losses on the underlying collateral to date, Moody's does expect moderate/high losses to occur on the defaulted securities. Moody's has identified the following as key indicators of the expected loss in CRE CDO 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 CDO pool. Moody's has updated its assessments for the collateral it does not rate. The rating agency modeled a bottom-dollar WARF of 3006, compared to 3222 at last review. The current distribution of Moody's rated collateral and assessments for non-Moody's rated collateral is: Aaa-Aa3 and 69.5% compared to 61.8% at last review, A1-A3 and 0.0% compared to 5.6% at last review, B1-B3 and 0.7% compared to 0.6% at last review, Caa1-Ca/C and 29.8% compared to 31.9% at last review. Moody's modeled a WAL of 3.1 years, compared to 3.9 years at last review. The WAL is based on assumptions about extensions on the look-through underlying CMBS loan collateral. Moody's modeled a fixed WARR of 19.9%, compared to 15.2% at last review. Moody's modeled a MAC of 6.2%, compared to 1.8% 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 ratings of the underlying collateral and assessments. Holding all other parameters constant, 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 zero notches upward (e.g., one notch up implies a ratings movement of Baa3 to Baa2). Reducing the recovery rate of 100% of the collateral pool by -10% would result in an average modeled rating movement on the rated notes of zero to one notches downward (e.g., one notch down implies a ratings movement of Baa3 to Ba1). 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. ARCAP 2005-1: S&P Affirms 'CCC-' Rating on Class A Notes -------------------------------------------------------- S&P Global Ratings affirmed its 'CCC- (sf)' rating on the class A notes from ARCap 2005-1 Resecuritization Trust, a U.S. commercial real estate collateralized debt obligation (CRE CDO) transaction. The rating action follows S&P's review of the transaction's performance using data from the Jan. 31, 2017, trustee report. Though the interest coverage test and the par value ratio test (both measured at the class G level) continue to fail, the class A notes are current in their interest and are being paid down. Since S&P's previous review in March 2014, the class A notes have been paid down by $5.96 million, and the current outstanding balance of the notes is about 68%. However, the underlying portfolio has incurred losses since S&P's previous rating actions. Though the class A notes fail S&P's top obligor test at the 'CCC' category, S&P affirmed its 'CCC- (sf)' rating on the class A notes based on the quality of the assets backing the notes, its overcollateralization level, and S&P's expectation that the paydowns will continue as the notes are the senior most in the transaction. S&P's review of the transaction relied in part upon a criteria interpretation with respect to its May 8, 2014, criteria, "CDOs: Mapping A Third Party's Internal Credit Scoring System To Standard & Poor's Global Rating Scale," which allows S&P to use a limited number of public ratings from other Nationally Recognized Statistical Rating Organizations to assess the credit quality of assets not rated by S&P Global Ratings. The criteria provide specific guidance for the treatment of corporate assets not rated by S&P Global Ratings, while the interpretation outlines the treatment of securitized assets. S&P 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. BAMLL COMMERCIAL 2014-ICTS: S&P Hikes Cl. D Debt Rating to BB+ -------------------------------------------------------------- S&P Global Ratings lowered its ratings on five classes of commercial mortgage pass-through certificates from BAMLL Commercial Mortgage Securities Trust 2014-ICTS, a U.S. commercial mortgage-backed securities (CMBS) transaction. In addition, S&P affirmed its 'AAA (sf)' rating on class A from the same transaction. S&P's rating actions on the principal- and interest-paying certificate classes follow its analysis of the transaction, primarily using its criteria for rating U.S. and Canadian CMBS transactions. S&P's analysis included a review of the credit characteristics and current and future performance of the 607-room Intercontinental New York Times Square hotel in midtown Manhattan, which secures the $188.0 million floating-rate interest-only (IO) mortgage loan that serves as collateral for the stand-alone transaction. As part of S&P's analysis, S&P also reviewed the transaction's structure and the liquidity available to the trust. The downgrades on classes B, C, D, and E reflect S&P's expected available credit enhancement for the affected tranches, which S&P believes is less than its current estimate of necessary credit enhancement for the most recent rating levels. The affirmation on class A reflects S&P's view of the current and expected performance of the lodging collateral, the transaction's structure, and liquidity support. S&P lowered its rating on the class X-EXT IO certificates based on its criteria for rating IO securities, in which the ratings on the IO securities would not be higher than that of the lowest rated reference class. The notional balance on class X-EXT references classes A, B, C, and D. The analysis of stand-alone (single borrower) transactions is predominantly a recovery-based approach that assumes a loan default. Using this approach, S&P's property-level analysis included a revaluation of the lodging property that secures the mortgage loan in the trust. S&P also considered the volatile collateral performance, specifically the declines in revenue per available room (RevPAR), other departmental revenue, and net cash flow (NCF); reported RevPAR, other departmental revenue, and NCF were $291.36, $983,000, and $12.0 million, respectively, for the trailing 12 months ended Sept. 30, 2016, down from reported $315.21, $2.2 million, and $21.6 million, respectively, in 2014. S&P also considered the increase in operating expenses; reported real estate taxes were up to $7.4 million for the trailing 12 months ended September 2016 from $6.5 million in 2014, and reported general and administrative expenses were up to $8.0 million from $6.6 million in 2014. S&P derived its sustainable in-place NCF, which it divided by an 8.50% capitalization rate, to determine S&P's expected-case value. This yielded an overall S&P Global Ratings' loan-to-value ratio and debt service coverage (DSC) of 88.5% and 1.65x (using LIBOR cap and weighted average spread), respectively, on the trust balance. According to the Feb. 15, 2017, trustee remittance report, the IO mortgage loan has a trust and whole-loan balance of $188.0 million, pays an annual floating interest rate of LIBOR plus a weighted average spread of 2.17%, and matures in June 2017, with three one-year extension options remaining. In addition, there is $177.0 million of additional debt in the form of preferred equity. According to the transaction documents, the borrowers will pay the special servicing, work-out, and liquidation fees, as well as costs and expenses incurred from appraisals and inspections conducted by the special servicer. To date, the trust has not incurred any principal losses. S&P based its analysis partly on a review of the property's historical net operating income for the trailing 12 months ended Sept. 30, 2016, and years ended Dec. 31, 2015 and 2014, and S&P used the Sept. 30, 2016, Smith Travel Reports provided by the master servicer to determine our opinion of a sustainable cash flow for the lodging property. The master servicer, Wells Fargo Bank N.A., reported a DSC on the trust balance and occupancy of 2.47x and 92.7%, respectively, for the trailing 12 months ended Sept. 30, 2016. RATINGS LIST BAMLL Commercial Mortgage Securities Trust 2014-ICTS Commercial mortgage pass-through certificates series 2014-ICTS Rating Class Identifier To From A 05525LAA6 AAA (sf) AAA (sf) X-EXT 05525LAE8 BB+ (sf) BBB- (sf) B 05525LAG3 A+ (sf) AA- (sf) C 05525LAJ7 BBB+ (sf) A- (sf) D 05525LAL2 BB+ (sf) BBB- (sf) E 05525LAN8 B+ (sf) BB- (sf) BARCLAYS BANK 2017-1: Fitch Corrects February 27 Release -------------------------------------------------------- Fitch Ratings issued a correction of a release published Feb. 27, 2017 on Barclays Bank Commercial Mortgage Securities LLC Trust 2017-C1. It includes Fitch's 'Criteria for Rating Loan Servicers,' which was omitted from the original release. The revised press release is as follows: Fitch Ratings has assigned the following ratings and Rating Outlooks to Barclays Bank Commercial Mortgage Securities LLC Trust 2017-C1 commercial mortgage pass-through certificates, series 2017-C1: -- $22,421,053 class A-1 'AAAsf'; Outlook Stable; -- $66,989,474 class A-2 'AAAsf'; Outlook Stable; -- $152,631,581class A-3 'AAAsf'; Outlook Stable; -- $319,560,000 class A-4 'AAAsf'; Outlook Stable; -- $37,421,053 class A-SB 'AAAsf'; Outlook Stable; -- $599,023,161b class X-A 'AAAsf'; Outlook Stable; -- $110,176,843b class X-B 'AA-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; -- $82,366,320ab 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 rated by Fitch: -- $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). Since Fitch issued its expected ratings on Feb. 9, 2017, the following changes have occurred: the class A-3 balance increased from $105,263,158 to $152,631,581 and the class A-4 balance decreased from $366,928,423 to $319,560,000. Additionally, the class X-B notional balance is now equal to the aggregate balance of the class A-S and class B certificates. As such, Fitch's final rating for the class X-B has been changed from 'A-sf' to 'AA-sf'. The class X-D notional balance is now equal to the aggregate balance of the class C and class D certificates. As such, the class X- D notional balance increased from $43,856,843 to $82,366,320. 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 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 debt service coverage ratio (DSCR) of 1.17x is worse than the 2016 average of 1.21x. The pool's Fitch loan to value (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. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 Fitch was provided with due diligence information from Ernst & Young LLP. The due diligence focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis, and the findings did not have an impact on the analysis or conclusions. BAYVIEW OPPORTUNITY 2017-SPL1: Fitch to Rate Class B5 Notes 'Bsf' ----------------------------------------------------------------- Fitch Ratings expects to rate Bayview Opportunity Master Fund IVa Trust 2017-SPL1 (BOMFT 2017-SPL1): -- $222,332,000 class A notes 'AAAsf'; Outlook Stable; -- $222,332,000 class A-IOA notional notes 'AAAsf'; Outlook Stable; -- $222,332,000 class A-IOB notional notes 'AAAsf'; Outlook Stable; -- $27,661,000 class B1 notes 'AAsf'; Outlook Stable; -- $27,661,000 class B1-IOA notional notes 'AAsf'; Outlook Stable; -- $27,661,000 class B1-IOB notional notes 'AAsf'; Outlook Stable; -- $12,699,000 class B2 notes 'Asf'; Outlook Stable; -- $12,699,000 class B2-IO notional notes 'Asf'; Outlook Stable; -- $23,312,000 class B3 notes 'BBBsf'; Outlook Stable; -- $23,312,000 class B3-IOA notional notes 'BBBsf'; Outlook Stable; -- $23,312,000 class B3-IOB notional notes 'BBBsf'; Outlook Stable; -- $17,049,000 class B4 notes 'BBsf'; Outlook Stable; -- $17,049,000 class B4-IOA notional notes 'BBsf'; Outlook Stable; -- $17,049,000 class B4-IOB notional notes 'BBsf'; Outlook Stable; -- $13,918,000 class B5 notes 'Bsf'; Outlook Stable. The following classes will not be rated by Fitch: -- $30,966,529.97 class B6 notes; -- $30,966,529.97 class B6-IO notional notes. The notes are supported by a pool of 5,733 seasoned performing and re-performing (RPL) loans of which 92.6% are daily simple-interest mortgage loans totaling $347.94 million, which excludes $11.7 million in non-interest-bearing deferred principal amounts, as of the cut-off date. Distributions of principal and interest and loss allocations are based on a sequential pay, senior subordinate structure. The 'AAAsf' rating on the class A, A-IOA and A-IOB notes reflects the 36.10% subordination provided by the 7.95% class B1, 3.65% class B2, 6.70% class B3, 4.90% class B4, 4.00% class B5, and 8.90% class B6 notes. Fitch's ratings on the class notes reflect the credit attributes of the underlying collateral, the quality of the servicer (Bayview Loan Servicing, LLC, rated 'RSS2+'), the representation (rep) and warranty framework, minimal due diligence findings, and the sequential pay structure. KEY RATING DRIVERS Clean Current Loans (Positive): The loans are seasoned approximately 10 years with roughly 95.4% of the pool paying on time for the past 24 months and 91.6% current for the past three years. In addition, 39.5% of the pool has been modified due to performance issues, while the remaining loans were either not modified (28.6%) or had their interest rates reduced due to an interest rate reduction rider incorporated at origination (31.9%). Low Property Values (Concern): Based on Fitch's analysis, the average current property value of the pool is approximately $106,000, which is much lower than the average of other Fitch-rated RPL transactions of over $150,000. Historical data from CoreLogic Loan Performance indicate that recently observed loss severities (LS) have been higher for very low property values than that implied by Fitch's loan loss model. For this reason, LS floors were applied to loans with property values below $100,000, which ranged from 49%-100%, and increased Fitch 'AAAsf' loss expectation by roughly 240bps. Daily Simple-Interest Loans (Concern): Approximately 93% of the pool consists of daily simple-interest loans that accrue interest on a daily basis from the date of the borrower's last payment. While the monthly payment is fixed, if a borrower pays earlier than the due date, less of the payment is applied to interest and more is applied to principal. If the borrower pays late, more of the payment is applied to interest and less goes to principal. Because the bonds pay on a 30/360 day schedule, Fitch analyzed the risk of a disproportionate number of borrowers paying earlier than scheduled, which could cause the bonds to become undercollateralized solely due to the mismatch in application of payments between the loans and the bonds. Fitch analyzed pay dates of the borrowers and found that roughly the same number of borrowers pay either earlier or later than the due date. In addition, close to 55% of the borrowers are on autopay, which mitigates the payment date risk. Furthermore, Fitch believes the excess interest generated by the later pay borrowers that is available to pay down principal should offset the risk of undercollateralization. Portfolio Loans from a Single Originator (Positive): This transaction consists of a portfolio of loans that Bayview Asset Management (BAM) purchased from CitiFinancial Credit Company and its lending subsidiaries (CitiFinancial). Given that approximately 94% of the loans were originated and serviced by a single originator prior to sale to BAM, Fitch believes that the roughly 20% compliance, data integrity and pay history sample is sufficient to capture the potential risk of incomplete files that could accompany portfolios traded in the secondary market. A full custodial file review was conducted on 100% of the pool, and tax and title search was conducted on over 99% of the pool. In addition, BAM, with the guidance of Bayview Loan Servicing, LLC (BLS; as servicer and rated 'RSS2+'), reconstructed the past three years of pay histories for 100% of the loans. No Servicer P&I Advances (Mixed): The servicer will not be advancing delinquent monthly payments of P&I, which reduces liquidity to the trust. However, as P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust, the loan-level LS are less for this transaction than for those where the servicer is obligated to advance P&I. Structural provisions and cash flow priorities, together with increased subordination, provide for timely payments of interest to the 'AAAsf' and 'AAsf' rated classes. Sequential-Pay Structure (Positive): The transaction's cash flow is based on a sequential-pay structure, whereby the subordinate classes do not receive principal until the senior classes are repaid in full. Losses are allocated in reverse-sequential order. In addition, 40bps from the interest remittance amount will be used to pay down principal as well as any excess interest allocation from the loan-level daily interest accrual calculation. The provision to re-allocate principal to pay interest on the 'AAAsf' and 'AAsf' rated notes prior to other principal distributions, as well as the application of excess interest to the notes, is highly supportive of timely interest payments to those classes, in the absence of servicer advancing. Potential Interest Deferrals (Mixed): To address the lack of an external P&I advance mechanism, principal otherwise distributable to the notes may be used to pay monthly interest. While this helps provide stability in the cash flows to the high investment-grade-rated bonds, the lower rated bonds may experience long periods of interest deferral and will generally not be repaid until the note becomes the most senior outstanding. Per Fitch's criteria, it may assign ratings of up to 'Asf' on notes that incur deferrals if such deferrals are permitted under terms of the transaction documents, provided such amounts are fully recovered well in advance of the legal final maturity under the relevant rating stress. Tier I Representation Framework (Positive): Fitch considers the transaction's representation, warranty and enforcement (RW&E) mechanism framework to be consistent with Tier I quality. The transaction benefits from life-of-loan representations and warranties (R&Ws), as well as a backstop by BAM in the event the sponsor, Bayview Opportunity Master Fund IVa, L.P., is liquidated or terminated. Solid Alignment of Interest (Positive): The sponsor, Bayview Opportunity Master Fund IVa, L.P., will acquire and retain a 5% vertical interest in each class of the securities to be issued. In addition, the sponsor will also be the rep provider until at least January 2024. If the fund is liquidated or terminated, BAM will be obligated to provide a remedy for material breaches of R&Ws. CRITERIA APPLICATION Fitch's analysis incorporated six criteria variations from "U.S. RMBS Master Rating Criteria" and "U.S. RMBS Seasoned, Re-Performing and Non-Performing Loan Criteria." The first variation is the less than 100% TPR due diligence review for regulatory compliance, data integrity and pay history. Tax and title review was conducted on over 99% of the pool, and a custodial file review was conducted on 100% of the pool. The remaining tax and title review will be performed post close. The less than 100% TPR review is consistent with Fitch's criteria for seasoned performing pools. However, because Fitch's criteria states it views pools as seasoned performing if they consist of loans that were never modified, a criteria variation was made. Without this variation, the pool would have had to have 100% compliance, data integrity and pay history TPR review to achieve a 'AAAsf' rating. Fitch is comfortable with the reduced due diligence sample because roughly 94% of the loans were originated by a single lender and the sample provided is sufficient to provide a reliable indication of the operational quality of the lender. The second variation is that 19.8% of the pool, below Fitch's criteria of 20%, was reviewed for compliance, data integrity and pay history. Fitch believes the slight variation from criteria is immaterial as only nine more loans would be needed to meet the 20% threshold. In addition, as noted above, approximately 94% of the loans were originated by a single lender. The third variation is that 36.9% of the tax, title and lien review was conducted over 6 months prior to securitization. Of the 5,714 loans that were reviewed prior to closing, 5,691 were reviewed within 12 months. Twenty-two were conducted between 12-16 months ago. Fitch considered the robust servicing and ongoing monitoring from Bayview Loan Servicing, which is a high-touch servicing platform that specializes in seasoned loans. Given the strength of the servicer, Fitch considered the impact of slightly seasoned tax, title and lien reviews to be nonmaterial. The fourth variation is the use of Clear Capital's HDI valuation product as updated property values instead of an automated valuation model (AVM). Fitch's criteria allow for the use of an AVM product as updated values if there are sufficient compensating factors. Clear Capital's HDI product is not an AVM but, rather, an indexation product. Clear Capital is a reputable third-party vendor that provides valuation services. A review of the HDI product's white paper indicates values are based on a robust data set that goes down to the neighborhood level and incorporates REO sales. Fitch believes the HDI product to be an adequate alternative to an AVM. The HDI product was only used for loans that were clean current for the prior 24 months and had an LTV less than 60% based on the more conservative of the HDI value and Fitch's indexed value. The impact of using this product is neutral, as the HDI product is a sufficient alternative to an AVM product and was only used on loans with an LTV of less than 60%. The fifth variation is non-application of a default penalty to income documentation for loans with less than full income documentation that are over five years seasoned with no missed payment in the prior three years. Fitch conducted analysis comparing the performance of full documentation loans to non-full documentation loans at origination. The analysis showed that after five years of seasoning, the performance was the same. The impact on the loss expectations from application of this variation resulted in lower loss expectations of roughly 2 to 4 points, depending on the rating category. Lastly, an updated broker price opinion (BPO) will not be provided on 1.3% of the pool. Due to the rural location of the property, updated BPOs will not be received in time for the transaction. As such, a 24% haircut was applied to the original appraisal with no indexation applied, increasing the loss expectations by approximately 10bps, depending on rating category. These properties are located in rural areas and have an average original property value of $62,000. Given the unknown condition of the property and the rural location, there is a higher probability of decline in value. The 24% haircut used is based on the median value of available BPOs with a negative variance to the original appraisal. RATING SENSITIVITIES Fitch's analysis incorporates sensitivity analyses to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at both the metropolitan statistical area (MSA) and national levels. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or be considered in the surveillance of the transaction. Fitch conducted sensitivity analysis determining how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20%, and 30%, in addition to the model-projected 36.3% at 'AAAsf'. The analysis indicates there is some potential rating migration with higher MVDs, compared with the model projection. Fitch also conducted sensitivities to determine the stresses to MVDs that would reduce a rating by one full category, to non-investment grade, and to 'CCCsf'. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by AMC Diligence, LLC (AMC), Westcor Land Title Insurance Company (Westcor), Linear Title & Closing Ltd. (Linear), Lincoln Abstract & Settlement Services, LLC (Lincoln), DRI Title and Escrow (DRI) and Digital Risk, LLC (Digital Risk). The third-party due diligence described in Form 15E focused on: regulatory compliance review, 24-month-pay history review, data integrity review, and BPO reconciliation on the loans. A servicing comment review was not performed as all loans have been current in the past 12 months. In addition, Westcor, Linear, Lincoln, and DRI were retained to perform an updated title and tax search, as well as a review to confirm that the mortgages were recorded in the relevant local jurisdiction and the related assignment chains. A sample due diligence review for regulatory compliance and data integrity was conducted on 19.9% and pay histories was conducted on approximately 22% of the pool (by loan count), while a custodial file review was conducted on 100% of the pool. A tax review was performed on 99.5% of the pool. The tax review on the remaining loans will be conducted post close. Digital Risk, LLC conducted a BPO reconciliation on approximately 20% of the BPOs obtained. The title review was completed on almost 100% of the pool and the remaining loans will be checked post deal closing to confirm clear title for the remaining 0.2% of the pool. Any title issues will be cleared within 90 days of closing, otherwise the loan will be repurchased. There were minimal findings by the TPRs. Fitch considered this information in its analysis and based on the findings made minor adjustments to its analysis. Fitch made an adjustment on 69 loans that were subject to federal, state, and/or local predatory testing. These loans contained material violations including an inability to test for high cost violations or confirm compliance, which could expose the trust to potential assignee liability. These loans were marked as "indeterminate". Typically, the HUD issues are related to missing the Final HUD, illegible HUDs, incomplete HUDs due to missing pages or only having estimated HUDs where the final HUD1 was not used to test for high-cost loans. To mitigate this risk, Fitch assumed a 100% LS for loans in the states that fall under Freddie Mac's "do not purchase" list of high-cost or "high-risk'" Fourteen loans were affected by this approach. For the remaining 55 loans subject to high-cost testing, the properties are not located in the states that fall under Freddie Mac's do not purchase list, and, therefore, the likelihood of all loans being high cost is lower. However, Fitch assumes the trust could potentially incur additional legal expenses. Fitch increased its LS expectations by 5% for these loans to account for the risk. There were 813 loans (21 loans which had Indeterminate HUD1 Adjustment applied) missing modification documents or a signature on modification documents. For these loans, timelines were extended by an additional three months, in addition to the six-month timeline extension applied to the entire pool. BAYVIEW OPPORTUNITY 2017-SPL2: Fitch to Rate Class B5 Notes Bsf --------------------------------------------------------------- Fitch Ratings expects to rate Bayview Opportunity Master Fund IVb Trust 2017-SPL2 (BOMFT 2017-SPL2): -- $123,136,000 class A notes 'AAAsf'; Outlook Stable; -- $123,136,000 class A-IOA notional notes 'AAAsf'; Outlook Stable; -- $123,136,000 class A-IOB notional notes 'AAAsf'; Outlook Stable; -- $15,061,000 class B1 notes 'AAsf'; Outlook Stable; -- $15,061,000 class B1-IOA notional notes 'AAsf'; Outlook Stable; -- $15,061,000 class B1-IOB notional notes 'AAsf'; Outlook Stable; -- $4,168,000 class B2 notes 'Asf'; Outlook Stable; -- $4,168,000 class B2-IO notional notes 'Asf'; Outlook Stable; -- $14,587,000 class B3 notes 'BBBsf'; Outlook Stable; -- $14,587,000 class B3-IOA notional notes 'BBBsf'; Outlook Stable; -- $14,587,000 class B3-IOB notional notes 'BBBsf'; Outlook Stable; -- $8,903,000 class B4 notes 'BBsf'; Outlook Stable; -- $8,903,000 class B4-IOA notional notes 'BBsf'; Outlook Stable; -- $8,903,000 class B4-IOB notional notes 'BBsf'; Outlook Stable; -- $7,389,000 class B5 notes 'Bsf'; Outlook Stable. The following classes will not be rated by Fitch: -- $16,197,433 class B6 notes; -- $16,197,433 class B6-IO notional notes. The notes are supported by a pool of 3,342 seasoned performing and re-performing (RPL) loans of which 91.4% are daily simple interest mortgage loans totaling $189.44 million, which excludes $5.7 million in non-interest-bearing deferred principal amounts, as of the cutoff date. Distributions of principal and interest and loss allocations are based on a sequential pay, senior subordinate structure. The 'AAAsf' rating on the class A, A-IOA and A-IOB notes reflects the 35.00% subordination provided by the 7.95% class B1, 2.20% class B2, 7.70% class B3, 4.70% class B4, 3.90% class B5, and 8.55% class B6 notes. Fitch's ratings on the notes reflect the credit attributes of the underlying collateral, the quality of the servicer (Bayview Loan Servicing, LLC, rated 'RSS2+'), the representation (rep) and warranty framework, minimal due diligence findings, and the sequential pay structure. KEY RATING DRIVERS Clean Current Loans (Positive): The loans are seasoned approximately 10 years with roughly 96.4% of the pool paying on time for the past 24 months and 92.4% current for the past three years. In addition, 36.1% of the pool has been modified due to performance issues, while the remaining loans were either not modified (29.6%) or had their interest rates reduced due to an interest rate reduction rider incorporated at origination (34.3%). Low Property Values (Concern): Based on Fitch's analysis, the average current property value of the pool is approximately $99,000, which is much lower than the average of other Fitch-rated RPL transactions of over $150,000. Historical data from CoreLogic Loan Performance indicate that recently observed loss severities (LS) have been higher for very low property values than that implied by Fitch's loan loss model. For this reason, LS floors were applied to loans with property values below $99,000, which ranged from 49%-100%, and increased Fitch 'AAAsf' loss expectation by roughly 250 basis points (bps). Daily Simple Interest Loans (Concern): Approximately 91% of the pool consists of daily simple interest loans that accrue interest on a daily basis from the date of the borrower's last payment. While the monthly payment is fixed, if a borrower pays earlier than the due date, less of the payment is applied to interest and more is applied to principal. If the borrower pays late, more of the payment is applied to interest and less goes to principal. Because the bonds pay on a 30/360 day schedule, Fitch analyzed the risk of a disproportionate number of borrowers paying earlier than scheduled, which could cause the bonds to become undercollateralized solely due to the mismatch in application of payments between the loans and the bonds. Fitch analyzed pay dates of the borrowers and found that roughly the same number of borrowers pay either earlier or later than the due date. In addition, close to 46% of the borrowers are on autopay, which mitigates the payment date risk. Furthermore, Fitch believes the excess interest generated by the later pay borrowers that is available to pay down principal should offset the risk of undercollateralization. Portfolio Loans from a Single Originator (Positive): This transaction consists of a portfolio of loans that Bayview Asset Management (BAM) purchased from CitiFinancial Credit Company and its lending subsidiaries (CitiFinancial). Given that roughly 95% of the loans were originated and serviced by a single originator prior to sale to BAM, Fitch believes that the approximately 20% compliance, data integrity and pay history sample is sufficient to capture the potential risk of incomplete files that could accompany portfolios traded in the secondary market. A full custodial file review was conducted on 100% of the pool, and tax and title search was conducted on over 99% of the pool. In addition, BAM, with the guidance of Bayview Loan Servicing, LLC (BLS; as servicer and rated 'RSS2+'), reconstructed the past three years of pay histories for 100% of the loans. No Servicer P&I Advances (Mixed): The servicer will not be advancing delinquent monthly payments of P&I, which reduces liquidity to the trust. However, as P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust, the loan-level LS are less for this transaction than for those where the servicer is obligated to advance P&I. Structural provisions and cash flow priorities, together with increased subordination, provide for timely payments of interest to the 'AAAsf' and 'AAsf' rated classes. Sequential-Pay Structure (Positive): The transaction's cash flow is based on a sequential-pay structure, whereby the subordinate classes do not receive principal until the senior classes are repaid in full. Losses are allocated in reverse-sequential order. In addition, 40bps from the interest remittance amount will be used to pay down principal as well as any excess interest allocation from the loan-level daily interest accrual calculation. The provision to re-allocate principal to pay interest on the 'AAAsf' and 'AAsf' rated notes prior to other principal distributions, as well as the application of excess interest to the notes, is highly supportive of timely interest payments to those classes, in the absence of servicer advancing. Potential Interest Deferrals (Mixed): To address the lack of an external P&I advance mechanism, principal otherwise distributable to the notes may be used to pay monthly interest. While this helps provide stability in the cash flows to the high investment-grade-rated bonds, the lower-rated bonds may experience long periods of interest deferral, and will generally not be repaid until the note becomes the most senior outstanding. Per Fitch's criteria, it may assign ratings of up to 'Asf' on notes that incur deferrals if such deferrals are permitted under terms of the transaction documents, provided such amounts are fully recovered well in advance of the legal final maturity under the relevant rating stress. Tier I Representation Framework (Positive): Fitch considers the transaction's representation, warranty and enforcement (RW&E) mechanism framework to be consistent with Tier I quality. The transaction benefits from life-of-loan representations and warranties (R&Ws), as well as a backstop by BAM in the event the sponsor, Bayview Opportunity Master Fund IVb, L.P., is liquidated or terminated. Solid Alignment of Interest (Positive): The sponsor, Bayview Opportunity Master Fund IVb, L.P., will acquire and retain a 5% vertical interest in each class of the securities to be issued. In addition, the sponsor will also be the rep provider until at least July 2021. If the fund is liquidated or terminated, BAM will be obligated to provide a remedy for material breaches of R&Ws. CRITERIA APPLICATION Fitch's analysis incorporated five criteria variations from 'U.S. RMBS Master Rating Criteria' and 'U.S. RMBS Seasoned, Re-Performing and Non-Performing Loan Criteria,' which are described below. The first variation is the less than 100% TPR due diligence review for regulatory compliance, data integrity and pay history. Tax and title review was conducted on over 99% of the pool, and a custodial file review was conducted on 100% of the pool. The remaining tax and title review will be performed post close. The less than 100% TPR review is consistent with Fitch's criteria for seasoned performing pools. However, because Fitch's criteria state it views pools as seasoned performing if they consist of loans that were never modified, a criteria variation was made. Without this variation, the pool would have had a 100% compliance, data integrity and pay history TPR review to achieve a 'AAAsf' rating. Fitch is comfortable with the reduced due diligence sample because roughly 95% of the loans were originated by a single lender and the sample provided is sufficient to provide a reliable indication of the operational quality of the lender. The second variation is that 34.2% of the tax, title and lien review was conducted over six months prior to securitization. Of the 3,511 loans that were reviewed prior to closing, seven were reviewed within 12 months. The remaining 3,504 were conducted between 12-16 months ago. Fitch considered the robust servicing and ongoing monitoring from Bayview Loan Servicing, which is a high-touch servicing platform that specializes in seasoned loans. Given the strength of the servicer, Fitch considered the impact of slightly seasoned tax, title and lien reviews to be nonmaterial. The third variation is the use of Clear Capital's HDI valuation product as updated property values instead of an automated valuation model (AVM). Fitch's criteria allow for the use of an AVM product as updated values if there are sufficient compensating factors. Clear Capital's HDI product is not an AVM but, rather, an indexation product. Clear Capital is a reputable third-party vendor that provides valuation services. A review of the HDI product's white paper indicates values are based on a robust data set that goes down to the neighborhood level and incorporates real estate owned (REO) sales. Fitch believes the HDI product to be an adequate alternative to an AVM. The HDI product was only used for loans that were clean current for the prior 24 months and had a loan to value (LTV) BBCMS TRUST 2015-SLP: Fitch Affirms 'BB-sf' Rating on Cl. E Debt ---------------------------------------------------------------- Fitch Ratings has affirmed five classes of BBCMS Trust 2015-SLP commercial mortgage pass-through certificates series 2015-SLP (BBCMS 2015-SLP). KEY RATING DRIVERS The affirmations reflect the continued overall stable performance of the pool. Credit enhancement has improved slightly due to the release of nine assets ($17.5 million by allocated balances) at a premium of 105%. The servicer provided trailing 12 months (TTM) September 2016 financials and STR reports for the portfolio. Per STR reporting, the portfolio weighted average TTM September 2016 revenue per available room (RevPAR) was $79.86, which is a 1.7% decline over the prior year's performance. Average RevPAR penetration for the period remained above average at 121.8%. Granular and Diverse Portfolio: The portfolio now consists of 126 properties located in 21 states with 15 different flags. No single asset accounts for more than 2.3% of the pool (by allocated loan balance). Flags include Fairfield Inn & Suites, Residence Inn, Springhill Suites, Courtyard, Hampton Inn, Staybridge Suites, Homewood Suites, Comfort Suites, and Townplace Suites. Market Position and Asset Quality: The portfolio is considered to have above-average performance within the respective markets with a TTM September 2016 weighted average RevPAR penetration level of approximately 121.8%. The properties are somewhat older with average age of approximately 20 years. Significant renovations or PIPs have occurred in the past seven years, including approximately $28 million reportedly spent in 2016. Exposure to Energy Markets: The portfolio includes 20.1% exposure to certain energy industry dependent sub-markets in Texas, Colorado, and Oklahoma. Fitch applied an additional credit loss in its analysis due to the portfolio's exposure to potential performance volatility within these markets. North Dakota Exposure: Approximately 6.5% of the pool (seven hotels) consists of hotels located in the state of North Dakota. None are within the Bakken Shale Formation. Three hotels (3%) are located in the state capitol, Bismarck, while three (3%) are located in Fargo and one is in Grand Forks (0.5%). Fargo and Grand Forks are nearer to the Minnesota border and not reliant on the oil industry. Bismarck is the state capital and a 1.5 to 2 hour drive from the Bakken region. Additional Debt: The total debt package includes mezzanine financing in the current amount of $70 million, which is not included in the trust. In addition, the borrower may obtain future mezzanine debt up to $72.5 million, subject to certain performance thresholds. Experienced Sponsorship and Property Management: The sponsor is an affiliate of Starwood Capital Group (Starwood). Starwood is a global private investment firm with a core focus on real estate. Starwood created Starwood Hotels & Resorts Worldwide, Inc. in 1995 and has since continued to acquire and operate hotels throughout the world. Capped Recourse Carveouts: The recourse carveout guarantors are TMI Hospitality, Inc. and SOF X U.S. Holdings, L.P. (with regard to the bankruptcy carveouts and capital work guaranty). The carveouts related to a bankruptcy event are subject to a cap on liability equal to 15% of the mortgage loan balance. TMI Hospitality is required to maintain a minimum aggregate net worth of $400 million exclusive of the properties. RATING SENSITIVITIES The Rating Outlook for all classes remains Stable. Due to volatility in the overall hotel market, Fitch has capped RevPAR at 2014 levels in its analysis. Fitch is unlikely to upgrade classes C through E unless there is significant sustained improvement in overall portfolio performance. However, upgrades to those classes could occur should there be a notable increase in property releases. All classes could be subject to downgrade should performance decline. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third-party due diligence was provided or reviewed in relation to this rating action. Fitch affirms the following ratings: -- $179.5 million class A at 'AAAsf'; Outlook Stable; -- $68 million class B at 'AAAsf'; Outlook Stable; -- $55.1 million class C at 'A+sf'; Outlook Stable; -- $75.6 million class D at 'BBB-sf'; Outlook Stable; -- $76.3 million class E at 'BB-sf'; Outlook Stable. BHMS 2014-ATLS: S&P Affirms 'B-' Rating on 2 Cert. Classes ---------------------------------------------------------- S&P Global Ratings affirmed its ratings on six classes of commercial mortgage pass-through certificates from BHMS 2014-ATLS Mortgage Trust, a U.S. commercial mortgage-backed securities (CMBS) transaction. The affirmations follow Forecast analysis of the transaction primarily using its criteria for rating global CMBS transactions. Forecast analysis included a review of the credit characteristics and the current and future performance of the first-lien mortgage on the borrowers' fee interest in the Atlantis resort and casino securing the loan in the trust, the transaction's structure, and the liquidity available to the trust. The affirmations also reflect Forecast expectation that the available credit enhancement for these classes will be, more or less, within its estimate of the necessary credit enhancement required for the current ratings and Forecast views regarding the collateral's current and future performance. The analysis of stand-alone (single-borrower) transactions is predominantly a recovery-based approach that assumes a loan default. Using this approach, Forecast property-level analysis included a revaluation of the Atlantis resort and casino in Paradise Island, Bahamas, which includes: four hotel towers totaling 2,917 keys, a 60,000-sq.-ft. casino, meeting and convention center space totaling 458,000 sq. ft., restaurant, food and beverage, and retail space, marine and water attraction facilities, marina facilities, a water plant, a supplemental water desalinization plant site, and a parking garage, warehouse, laundry facilities, roadways, and other support facilities, all of which secure the loan in the trust. Because the property is in the Bahamas, it is potentially subject to sovereign risk, which includes risks related to repatriation, expropriation, and currency inconvertibility. This risk has been somewhat mitigated by both the large proportion of revenues that are originated and collected from the property in U.S. dollars and the availability of servicer advancing through temporary cash shortfalls. The borrowers also obtained $800.0 million of political risk insurance to cover these risks for the loan's term. Forecast analysis considered the volatile collateral performance, specifically the recent declines in reported revenue per available room (RevPAR), casino revenue, and net cash flow (NCF) for the collateral property as of the trailing 12 months ended Sept. 30, 2016, from year-end 2015. S&P derived its sustainable in-place NCF, which S&P divided by a 10.39% weighted average capitalization rate, to determine S&P's expected-case value. This yielded a S&P Global Ratings loan-to-value ratio and debt service coverage (DSC) of 87.3% and 2.30x based on the fixed- and floating-rate (spread and LIBOR cap), respectively, on the trust balance. Additionally, S&P considered that properties located in the Bahamas are subject to a 10% transfer tax. However, the Bahamas Investment Authority has exempted the mortgage and mezzanine loans from any transfer tax that would be due upon a foreclosure or deed/assignment in lieu of foreclosure. In S&P's analysis, it accounted for the $18 million actual transfer tax the sponsor paid upon acquiring the property in 2012 by adjusting the loan's capital structure. According to the March 7, 2017, trustee remittance report, the trust consisted of a componentized fixed- and floating-rate interest-only mortgage loan with a $1.0 billion trust balance. The fixed-rate component totaled $650.0 million, pays a 4.6980% fixed interest rate, and matures on July 1, 2021. The floating-rate component totaled $350.0 million, pays a floating interest rate equal to LIBOR plus a 2.63% spread, and matures on July 1, 2017, with four 12-month extension options. In addition, the borrowers' equity interests in the whole loan secure mezzanine loans totaling $700.0 million. According to the transaction documents, the borrowers are responsible for the special servicing, work-out, and liquidation fees, as well as costs and expenses incurred from the special servicer's appraisals and inspections. To date, the trust has not incurred any principal losses. S&P based its analysis partly on a review of the property's historical NCF for the year-to-date ended Sept. 30, 2016, and years ended Dec. 31, 2015, 2014, and 2013 as provided by the master servicer to determine S&P's opinion of a sustainable cash flow for the collateral property. The master servicer, Wells Fargo Bank N.A., reported a DSC and occupancy of 3.63x and 68.6%, respectively, on the trust balance for the year ended Dec. 31, 2016. RATINGS LIST BHMS 2014-ATLS Commercial mortgage pass-through certificates Rating Rating Class Identifier To From D-FX 05544BAL1 BB+ (sf) BB+ (sf) E-FX 05544BAN7 BB- (sf) BB- (sf) F-FX 05544BAQ0 B- (sf) B- (sf) D-FL 05544BBC0 BB+ (sf) BB+ (sf) E-FL 05544BBE6 BB- (sf) BB- (sf) F-FL 05544BBG1 B- (sf) B- (sf) BUSINESS LOAN 2001-2: Fitch Affirms 'Csf' Rating on Class M Notes ----------------------------------------------------------------- Fitch Ratings affirms Business Loan Express SBA loan-backed adjustable-rate notes, series 2001-2 (2001-2) and series 2002-1 (2002-1): Business Loan Express SBA Loan-Backed Adjustable-Rate Notes, series 2001-2 -- Class A at 'CCsf', RE 100%; -- Class M at 'Csf', RE 100%. Business Loan Express SBA Loan-Backed Adjustable-Rate Notes, series 2002-1 -- Class A at 'BBBsf'; Outlook Stable; -- Class M at 'BBsf'; Outlook Stable. KEY RATING DRIVERS BLX 2001-2's affirmation reflects the recent stable performance of the transaction as credit enhancement (CE) has built for class A and M notes. However, the transaction remains under-collateralized and late-stage delinquencies remain elevated. For these reasons, default is considered a real possibility. Class A and M notes are expected to have a 100% recovery of current note balance. BLX 2002-1's affirmation for class A and M at 'BBBsf' and 'BBsf' respectively, reflects the increased CE available as the reserve balance has increased since last review. Fitch maintains the Stable Outlook as the CE is expected to provide sufficient protection from losses and future obligor concentrations. METHODOLOGY In reviewing the transactions, Fitch took into account analytical considerations outlined in Fitch's 'Global Structured Finance Rating Criteria', dated June 2016, including asset quality, CE, financial structure, legal structure, and originator and servicer quality. Fitch's analysis focused on concentration risks within the pool, by evaluating the impact of the default of the largest performing obligors. The obligor concentration analysis is consistent with Fitch's 'Criteria for Rating U.S. Equipment Lease and Loan ABS', dated December 2016. The analysis compares expected loss coverage relative to the default of a certain number of the largest obligors. The required net obligor coverage varies by rating category. The required number of obligors covered ranges from 20 at 'AAA' to five at 'B'. Fitch applied loss and recovery expectations based on collateral type and historical recovery performance to the largest performing obligors commensurate with the individual rating category. The expected loss assumption was then compared to the modeled loss coverage available to the outstanding notes given Fitch's expected losses on the currently delinquent loans. Fitch also applied the 'Criteria for Rating Caps and Limitations in Global Structured Finance Transactions' dated June 2016 in determining the ratings. Additionally, Fitch's analysis incorporated a review of collateral characteristics, in particular, focusing on delinquent and defaulted loans within the pool. All loans over 60 days delinquent were deemed defaulted loans. The defaulted loans were applied loss and recovery expectations based on collateral type and historical recovery performance to establish an expected net loss assumption for the transaction. Fitch stressed the cashflow generated by the underlying assets by applying its expected net loss assumption. Furthermore, Fitch applied a loss multiplier to evaluate break-even cash flow runs to determine the level of expected cumulative losses the structure can withstand at a given rating level. The loss multiplier scale utilized is consistent with that of other commercial ABS transactions. While the obligor concentration approach was the primary driver, its results were compared to the stresses loss approach and qualitative factors such the results of these approaches compared to prior reviews, recent performance, and available CE. The rating actions taken were ultimately the result of a combination of these factors. Fitch will continue to closely monitor these transactions and may take additional rating action in the event of changes in performance and credit enhancement measures. RATING SENSITIVITIES Unanticipated increases in the frequency of defaults and loss severity could produce loss levels higher than the current projected losses and impact available loss coverage and obligor coverage. Lower loss coverage could impact ratings and rating outlooks, depending on the extent of the decline in coverage. Should performance materially deteriorate, the decline in loss coverage could negatively impact current ratings. CAN CAPITAL 2014-1: S&P Lowers Rating on Cl. B Notes to 'CCC' ------------------------------------------------------------- S&P Global Ratings lowered its ratings on the class A and B notes from CAN Capital Funding LLC's series 2014-1 to 'BBB (sf)' and 'CCC (sf)' from 'A (sf)' and 'BBB- (sf)', respectively, and removed them from CreditWatch with negative implications. CAN Capital 2014-1 is an asset-backed securitization (ABS) transaction backed by a pool of loans and merchant cash advances (MCAs) made to U.S. small businesses to fund their working capital needs. S&P placed the ratings on the notes on CreditWatch with negative implications on Dec. 2, 2016, following an amortization event triggered by the overcollateralization falling below its required level. The transaction was initially established with a 30-month revolving period, with principal amortization scheduled to begin on May 15, 2017. However, certain assets were misclassified as eligible by the servicer when they were actually delinquent under the terms of the transaction documents resulting in $9,049,431 of nonperforming loans for the securitization when the issue was corrected. This amount comprised merchants who at some point had not remitted payments between 32 and 47 consecutive days but had been approved for a grace period. Because of how grace days had been implemented in the servicer's information systems, these assets were not properly classified as nonperforming. Once these assets were removed from the performing asset balance, the performing asset balance fell below its target balance, triggering a rapid amortization event. The use of grace day extensions increased starting in the fourth quarter of 2015. The originator no longer offers grace day extensions. The downgrade on the class A notes reflects S&P's view that the reduced credit enhancement is no longer sufficient to cover the losses commensurate with the previous rating level. The downgrade on the class B notes reflects S&P's view that the reduced credit enhancement is no longer sufficient to cover projected losses as a combined result of the declining collateral performance and the increase in nonperforming loans following the servicer's correction of the asset misclassification. According to the February 2017 servicer report, the outstanding class A note balance is $69.873, million, and the eligible performing asset balance is $89.201 million. The transaction distributes principal payments on a sequential basis. The class A notes are supported by the class B subordination of $20 million and the reserve account balance of $1 million. There is no overcollateralization as the eligible asset balance is less than the sum of the class A and B note balance. While the transaction was revolving, new performing assets could have been added to keep the excess spread at a stable level. Now that the deal is in rapid amortization, the excess spread has decreased materially due to the decline in performing assets. The one-month excess spread as of the February 2017 performance report is 4.18% compared with 26.32% as of Dec. 2, 2016, when S&P placed its ratings on CreditWatch negative. "We ran the current pool through our Small Business Portfolio Evaluator model. The model uses Monte Carlo simulations to determine a specific default distribution for small-business loan pools. As the collateral differs from small-business loans due to the loans' short tenor and the MCAs, we applied a conversion factor to convert the cumulative gross default levels generated by the Small Business Portfolio Evaluator into net loss levels. We then compared the net loss levels with the credit enhancement available to the notes. Given the rapid decline in excess spread, we anticipate minimal excess spread going forward and did not give credit to excess spread as a credit enhancement. The projected net loss level for the class A notes at the 'A' stress level is 23.82%, while the hard credit enhancement available to the class A note is 23.54%, leading to the downgrades," S&P said. As of the February 2017 servicer report, the outstanding class B note balance is $20 million. The class B notes are supported by the reserve account balance of $1 million and the one-month excess spread of 4.18%. The projected net loss level for the class B notes is 14.0% at the 'BBB-' level and 7.3% at the 'CCC' level. The hard credit enhancement available to the class B notes is 1.12%. Similarly to how S&P treats the excess spread for the class A notes, it do not give credit to excess spread as a credit enhancement going forward for the class B notes because of the rapid decline in excess spread. Although the 1.12% credit enhancement available to the class B notes is lower than the 7.3% that S&P would need for a 'CCC (sf)' rating, it lowered its rating to 'CCC (sf)' because the class B notes are paying timely interest and principal. S&P will continue to review whether, in its view, the ratings currently assigned to the notes remain consistent with the credit enhancement available to support them, and S&P will take further rating actions as it deems necessary. RATINGS LOWERED AND REMOVED FROM CREDITWATCH NEGATIVE CAN Capital Funding LLC Series 2014-1 Rating Rating Class To From A BBB (sf) A (sf)/Watch Neg B CCC (sf) BBB-(sf)/Watch Neg CARLYLE GLOBAL 2014-3: Moody's Gives Ba2 Rating to Cl. D-2-R Debt ----------------------------------------------------------------- Moody's Investors Service has assigned ratings to six classes of notes issued by Carlyle Global Market Strategies CLO 2014-3, Ltd.: US$359,400,000 Class A-1A-R Senior Secured Floating Rate Notes due 2026 (the "Class A-1A-R Notes"), Assigned Aaa (sf) US$90,000,000 Class A-2-R Senior Secured Floating Rate Notes due 2026 (the "Class A-2-R Notes"), Assigned Aa1 (sf) US$38,000,000 Class B-R Senior Secured Deferrable Floating Rate Notes due 2026 (the "Class B-R Notes"), Assigned A1 (sf) US$34,000,000 Class C-1-R Senior Secured Deferrable Floating Rate Notes due 2026 (the "Class C-1-R Notes"), Assigned Baa1 (sf) US$10,000,000 Class C-2-R Senior Secured Deferrable Floating Rate Notes due 2026 (the "Class C-2-R Notes"), Assigned Baa1 (sf) US$6,000,000 Class D-2-R Senior Secured Deferrable Floating Rate Notes due 2026 (the "Class D-2-R Notes"), Assigned Ba2 (sf) RATINGS RATIONALE Moody's ratings of the Class A-1A-R Notes, the Class A-2-R Notes, the Class B-R Notes, the Class C-1-R Notes, the Class C-2-R Notes, and the Class D-2-R Notes (the "Rated Notes") address the expected losses posed to noteholders. The ratings reflects the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. The Issuer has issued the Class A-1A-R Notes, the Class A-2-R Notes, the Class B-R Notes, the Class C-1-R Notes, the Class C-2-R Notes, and the Class D-2-R Notes in connection with a refinancing of the Class A-1A Notes, the Class A-2 Notes, the Class B Notes, the Class C-1 Notes, the Class C-2 Notes, and the Class D-2 Notes due 2026, originally issued on August 21, 2014 (the "Original Closing Date"). The Issuer used the proceeds from the issuance of Class A-1A-R Notes, the Class A-2-R Notes, the Class B-R Notes, the Class C-1-R Notes, the Class C-2-R Notes, and the Class D-2-R Notes to redeem in full the Class A-1A Notes, the Class A-2 Notes, the Class B Notes, the Class C-1 Notes, the Class C-2 Notes, and the Class D-2 Notes that were refinanced. In July 2016, the Issuer issued the Class A-1B-R Notes in connection with the refinancing of the Class A-1B Notes. The Issuer used the proceeds from the issuance of the Class A-1B-R Notes to redeem in full the Class A-1B Notes. The Class A-1B-R Notes is not subject to this refinancing. On the Original Closing Date, the Issuer also issued one class of subordinated notes, which, along with the two other classes of notes not subject to this refinancing, will remain outstanding. Carlyle CLO 2014-3 is a managed cash flow CLO. The issued notes are 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 underlying portfolio is 100% ramped as of the refinancing closing date. Carlyle Investment Management L.L.C. (the "Manager") manages the CLO. It directs the selection, acquisition, and disposition of collateral on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's remaining reinvestment period. After the reinvestment period, which ends in July 2018, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk obligations, subject to certain restrictions. 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. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $797,146,604 Defaulted par: $6,140,161 Diversity Score: 77 Weighted Average Rating Factor (WARF): 3000 Weighted Average Spread (WAS): 3.74% Weighted Average Recovery Rate (WARR): 49.74% Weighted Average Life (WAL): 5.60 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 3000 to 3450) Rating Impact in Rating Notches Class A-1A-R Notes: 0 Class A-2-R Notes: 0 Class B-R Notes: -1 Class C-1-R Notes: -1 Class C-2-R Notes: -1 Class D-2-R Notes: 0 Percentage Change in WARF -- increase of 30% (from 3000 to 3900) Rating Impact in Rating Notches Class A-1A-R Notes: 0 Class A-2-R Notes: -2 Class B-R Notes: -2 Class C-1-R Notes: -2 Class C-2-R Notes: -2 Class D-2-R Notes: -1 CBA COMMERCIAL 2006-1: Moody's Hikes Class A Debt Rating to Caa1 ---------------------------------------------------------------- Moody's Investors Service has upgraded the rating on one class and affirmed the rating on one class in CBA Commercial Assets, Small Balance Commercial Mortgage Pass-Through Certificates Series 2006-1: Cl. A, Upgraded to Caa1 (sf); previously on Apr 1, 2016 Upgraded to Caa2 (sf) Cl. X-1, Affirmed Caa3 (sf); previously on Apr 1, 2016 Upgraded to Caa3 (sf) RATINGS RATIONALE The rating on the P&I class, Class A, was upgraded due to loan paydowns and amortization. The balance of Class A has been reduced by 27.5% since Moody's prior review. The rating on the IO class was affirmed based on the credit performance (or the weighted average rating factor or WARF) of the referenced classes. Moody's rating action reflects a base expected loss of 25.4% of the current balance, compared to 28.6% at Moody's last review. Moody's base expected loss plus realized losses is now 18.3% of the original pooled balance, compared to 19.4% 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-1 was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in October 2015. Please note that on February 27, 2017, Moody's released a "Request for Comment" in which it has requested market feedback on proposed changes to its methodology for rating structured finance interest-only (IO) securities called "Moody's Approach to Rating Structured Finance Interest-Only Securities," dated October 20, 2015. If Moody's adopts the new methodology as proposed, the changes could affect the ratings of CBAC 2006-1. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 23.5% of the pool is in special servicing and Moody's has identified additional troubled loans representing 9.1% 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 35, compared to 43 at Moody's last review. DEAL PERFORMANCE As of the February 27, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 90.3% to $16.2 million from $166.8 million at securitization. The certificates are collateralized by 53 mortgage loans ranging in size from less than 1% to 6.2% of the pool, with the top ten loans (excluding defeasance) constituting 42.8% of the pool. Three loans, constituting 8.6% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Seventy-three loans have been liquidated from the pool, resulting in an aggregate realized loss of $26.5 million. Fourteen loans, constituting 23.5% of the pool, are currently in special servicing. Moody's estimates an aggregate $3.0 million loss for the specially serviced loans (80.3% expected loss on average). Moody's has assumed a high default probability for six poorly performing loans, constituting 9.1% of the pool, and has estimated an aggregate loss of $0.6 million (a 40% expected loss based on a 50% probability default) from these troubled loans. Moody's weighted average conduit LTV is 91.9%, compared to 93.3% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 18% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 10.02%. Moody's actual and stressed conduit DSCRs are 1.20X and 1.32X, respectively, compared to 1.27X and 1.29X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. CBA COMMERCIAL 2007-1: 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 2007-1: Cl. A, Affirmed Caa3 (sf); previously on Apr 14, 2016 Affirmed Caa3 (sf) Cl. X-1, Affirmed C (sf); previously on Apr 14, 2016 Affirmed C (sf) RATINGS RATIONALE The rating on Class A was affirmed because the rating is consistent with Moody's expected plus realized loss. Class A has already experienced a 14% realized loss from previously liquidated loans. The rating on the IO class, Class X-1, was affirmed based on the credit performance of its referenced classes. Moody's rating action reflects a base expected loss of 33.9% of the current balance, compared to 35.0% at Moody's last review. Moody's base expected loss plus realized losses is now 34.2% of the original pooled balance, compared to 35.1% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in December 2014. Additionally, the methodology used in rating Cl. X-1 was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in October 2015. Please note that on February 27, 2017, Moody's released a "Request for Comment" in which it has requested market feedback on proposed changes to its methodology for rating structured finance interest-only (IO) securities called "Moody's Approach to Rating Structured Finance Interest-Only Securities," dated October 20, 2015. If Moody's adopts the new methodology as proposed, the changes could affect the ratings of CBAC 2007-1. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 38% of the pool is in special servicing and Moody's has identified additional troubled loans representing 8% 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 40 at Moody's last review. DEAL PERFORMANCE As of the February 27, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 79% to $26.2 million from $127.6 million at securitization. The certificates are collateralized by 65 mortgage loans ranging in size from less than 1% to 9.7% of the pool, with the top ten loans (excluding defeasance) constituting 41% of the pool. Five loans, constituting 5% 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-five loans have been liquidated from the pool, resulting in an aggregate realized loss of $34.8 million (for an average loss severity of 76%). Twenty-three loans, constituting 38% of the pool, are currently in special servicing. Moody's estimates an aggregate $7.4 million loss for specially serviced loans (75% expected loss on average). Moody's has assumed a high default probability for seven poorly performing loans, constituting 8% of the pool, and has estimated an aggregate loss $0.8 million (a 38% expected loss based on a 50% probability default) from these troubled loans. CHICAGO SKYSCRAPER 2017-SKY: S&P Gives (P)B+ Rating to Cl. F Certs ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Chicago Skyscraper Trust 2017-SKY's $1.02 billion commercial mortgage pass-through certificates series 2017-SKY. The certificate issuance is a commercial mortgage-backed securities transaction backed by a $1.02 billion trust mortgage loan, secured by a first lien on the borrower's fee interest in Willis Tower, a class A, 110-story office building with a total of about 3.8 million sq. ft., located in Chicago, within the West Loop submarket. The preliminary ratings are based on information as of March 14, 2017. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of the collateral's historical and projected performance, the sponsor's and managers' experience, the trustee-provided liquidity, the loan's terms, and the transaction's structure. PRELIMINARY RATINGS ASSIGNED Chicago Skyscraper Trust 2017-SKY Class Rating Amount ($) A AAA (sf 506,628,000 X-CP BBB- (sf) 807,227,000(i) X-NCP BBB- (sf) 807,227,000(i) B AA- (sf) 112,584,000 C A- (sf) 84,438,000 D BBB- (sf) 103,577,000 E BB- (sf) 140,730,000 F B+ (sf) 20,731,000(ii) HRR B (sf) 51,312,000(ii) (i)Notional balance. The notional amount of the class X-CP and X-NCP certificates will be equal to the aggregate certificate balance of the class A, class B, class C, and class D certificates. (ii)The initial certificate balance of each of the class F and class HRR certificates is subject to change based on final pricing of all certificates and the final determination of the eligible horizontal residual interest that will be retained by a third-party purchaser in order for Goldman Sachs Mortgage Co., as retaining sponsor, to satisfy its U.S. risk retention requirements. OCM Credit Portfolio L.P. is expected to be the initial controlling class representative and the retaining third-party purchaser of the class HRR certificates. CITI HELD 2016-PM1: Fitch Affirms Bsf Rating on Class C Debt ------------------------------------------------------------ Fitch Ratings has taken the following rating actions on Citi Held for Asset Issuance 2016-PM1 (CHAI 2016-PM1), which is backed by marketplace loans originated via the Prosper platform: -- Class A upgraded to 'Asf' from 'A-sf'; Outlook Stable; -- Class B upgraded to 'BBBsf' from 'BBB-sf'; Outlook Stable; -- Class C affirmed at 'Bsf'; Outlook Stable. The rating actions above reflect the growth to date in hard credit enhancement (CE) available to the notes, despite weaker than expected trust performance. Fitch revised its lifetime gross default expectation for the initial pool from 11% at deal closing to 14.9%. Given the CNL trigger structure, the class C notes demonstrate exposure to further deterioration, and in particular back-loaded losses. KEY RATING DRIVERS Collateral Quality: The 2016-PM1 trust pool consists of 100% unsecured fixed rate consumer fully amortizing loans that are either 36- or 60-month loan terms originated and serviced on Prosper's marketplace online lending platform. Fitch's gross default assumption for life of the collateral is 14.9%, which translates to 16.5% of the current pool given delinquencies and the chargeoff lag. Fitch assumes a base case recovery rate of 7.5%. At the 'Asf' level, a default multiple of 2.8x and a recovery haircut of 30% are applied. CE and Liquidity Support: Hard CE for class A, B, and C is 52.7%, 39.4%, and 17.3%, respectively. Liquidity support is provided by a non-declining reserve account, which is currently 0.84% of the pool balance. While subordination available to the class A and B notes will grow as the transaction pays down, overcollateralization (OC) is at its target release level of 16.5%, and will not grow until it hits its floor of 2% of the initial balance ($6.29 million). In addition, a growing proportion of the OC consists of delinquent assets. As a result, the class C notes are particularly exposed to defaults occurring later in the transaction life, which is currently the key constraint to their ratings. Untested Performance Through a Full Economic Cycle: Loans originated and serviced via online platforms such as Prosper's do not yet have performance history through a recessionary environment. Further, given that the underlying consumer loans are unsecured and primarily intended for debt consolidation, Fitch would expect borrowers to treat paying down these loans with lower priority than other borrowings such as an auto loan or mortgage. As such, the pool could experience especially elevated default frequency in an economic downturn. Fitch placed a rating cap on this transaction of 'Asf' category. Servicing Capabilities: Prosper will service all of the loans in the 2016-PM1 trust, and Citibank, N.A. will act as the backup servicer. Fitch considers the servicing operations of Prosper of consumer loans to be acceptable and Citibank, as a backup servicer, to be effective. RATING SENSITIVITIES Unanticipated increases in the frequency of defaults or charge-offs on borrower accounts could produce loss levels higher than the base case and would likely result in declines of CE and remaining loss coverage levels available to the notes. Decreased CE may make certain ratings on the notes susceptible to potential negative rating actions, depending on the extent of the decline in coverage. Fitch conducts sensitivity analysis by stressing a transaction's initial base case charge-off assumption by an additional 10% and additional 25%, and examining the rating implications. The increases of the base case charge-offs are intended to provide an indication of the rating sensitivity of the notes to unexpected deterioration of a transaction's performance. During the sensitivity analysis, Fitch examines the magnitude of the multiplier compression by projecting the expected cash flows and loss coverage levels over the life of investments under higher than the initial base case charge-off assumptions. Fitch models cash flows with the revised charge-off estimates while holding constant all other modelling assumptions. Under the 10% stress, the notes would likely retain their current ratings. Under the 25% stress, the class A and B notes would likely be downgraded one notch, while the class C notes will fall into distressed categories. Given the short remaining life of the assets, Fitch modelled timing curves different from those described in the Global Consumer ABS Criteria. The front, even, and back curves, which are in three month intervals for the 36 month loans and six month intervals for the 60 month loans, were 40%/30%/20%/10%, 20%/20%/20%/15%/15%/10%, and 15%/15%/20%/15%/20%/15%, respectively. CITIGROUP 2015-GC29: Fitch Affirms 'Bsf' Rating on Class F Certs ---------------------------------------------------------------- Fitch Ratings has affirmed 15 classes of Citigroup Commercial Mortgage Trust Series 2015-GC29 Commercial Mortgage Pass-Through Certificates. KEY RATING DRIVERS The affirmations reflect overall stable performance of the pool since issuance. As of the March 2017 distribution date, the pool's aggregate principal balance has been reduced by 0.6% to $1.112 billion from $1.119 billion at issuance. Stable Performance: The pool has exhibited stable performance since issuance and pool performance is in line with Fitch's expectations. Concentrated Pool: The largest 10 loans account for 57.5% of the pool by balance. At issuance the top 10 loans represented a larger share than those typical of its vintage. Many of the largest loans have high leverage; however, four of the largest 10 loans (29.2% of the pool) are secured by properties located in New York City. Limited Hotel Exposure: Only 6.0% of the pool by balance consists of hotel properties, which is below the year to date 2015 average of 17.8% and the 2014 average of 14.2% noted at issuance; hotels have the highest probability of default in Fitch's multiborrower CMBS model. Limited Amortization: The pool is scheduled to amortize by only 8.4% of the initial pool balance prior to maturity, which is less than similar transactions of its vintage. Five loans (38.9%) are full-term interest-only and 45 loans (44.0%) are partial interest-only. At issuance Fitch-rated transactions in year to date 2015 and 2014 had average full-term interest-only percentages of 26.9% and 20.1%, respectively, and partial interest-only percentages of 42.6% and 42.8%, respectively. Pari Passu Loans: Six loans comprising 27.5% of the pool are part of a pari passu loan combination: Selig Office Portfolio (11.2% of the pool), 3 Columbus Circle (9.0% of the pool), 170 Broadway (4.5% of the pool), Crowne Plaza Bloomington (1.2% of the pool), Eastmont Town Center (1.1% of the pool) and Commerce Pointe I & II (0.4% of the pool). The Selig Office Portfolio, 170 Broadway and Crowne Plaza Bloomington loan combinations are serviced under the pooling and servicing agreement for this transaction. The controlling notes for the 3 Columbus Circle, Eastmont Town Center and Commerce Pointe I & II loan combinations are held outside the trust. RATING SENSITIVITIES The Rating Outlooks on all classes remain Stable. Due to the recent issuance of the transaction and stable performance, Fitch does not foresee positive or negative ratings migration until a material economic or asset level event changes the transaction's portfolio-level metrics. Additional information on rating sensitivity is available in the Citigroup Commercial Mortgage Trust 2015-GC29 (March 26, 2015) presale report, available at www.fitchratings.com. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third-party due diligence was provided or reviewed in relation to this rating action. Fitch has affirmed the following classes as indicated: -- $22,437,521 million class A-1 at 'AAAsf'; Outlook Stable; -- $146,427,000 class A-2 at 'AAAsf'; Outlook Stable; -- $220,000,000 million class A-3 at 'AAAsf'; Outlook Stable; -- $334,415,000 class A-4 at 'AAAsf'; Outlook Stable; -- $52,822,000 million class A-AB at 'AAAsf'; Outlook Stable; -- $838,892,000* class X-A at 'AAAsf'; Outlook Stable; -- $72,704,000* class X-B at 'AA-sf'; Outlook Stable; -- $55,926,000(a) class A-S at 'AAAsf'; Outlook Stable; -- $72,704,000(a) class B at 'AA-sf'; Outlook Stable; -- $180,362,000(a) class PEZ at 'A-sf'; Outlook Stable; -- $51,732,000(a) class C at 'A-sf'; Outlook Stable; -- $65,713,000 class D at 'BBB-sf'; Outlook Stable; -- $65,713,000* class X-D at 'BBB-sf; Outlook Stable; -- $23,769,000 class E at 'BBsf'; Outlook Stable; -- $11,185,000 class F at 'Bsf'; Outlook Stable. *Notional amount and interest only. (a) The class A-S, class B and class C certificates may be exchanged for class PEZ certificates, and class PEZ certificates may be exchanged for the class A-S, class B and class C certificates. Fitch does not rate the class G and H certificates. COMM 2007-FL14: Moody's Affirms Ba3 Rating on Class E Certificates ------------------------------------------------------------------ Moody's Investors Service affirmed the ratings of ten classes of COMM 2007-FL14 Commercial Mortgage Pass-Through Certificates, Series 2007-FL14: Cl. D, Affirmed Baa3 (sf); previously on Mar 17, 2016 Affirmed Baa3 (sf) Cl. E, Affirmed Ba3 (sf); previously on Mar 17, 2016 Affirmed Ba3 (sf) Cl. F, Affirmed Caa1 (sf); previously on Mar 17, 2016 Affirmed Caa1 (sf) Cl. G, Affirmed Caa2 (sf); previously on Mar 17, 2016 Affirmed Caa2 (sf) Cl. H, Affirmed Caa3 (sf); previously on Mar 17, 2016 Affirmed Caa3 (sf) Cl. J, Affirmed Caa3 (sf); previously on Mar 17, 2016 Upgraded to Caa3 (sf) Cl. K, Affirmed Caa3 (sf); previously on Mar 17, 2016 Upgraded to Caa3 (sf) Cl. X-2, Affirmed Caa1 (sf); previously on Mar 17, 2016 Affirmed Caa1 (sf) Cl. X-3-SG, Affirmed Caa3 (sf); previously on Mar 17, 2016 Affirmed Caa3 (sf) Cl. X-5-SG, Affirmed Caa3 (sf); previously on Mar 17, 2016 Affirmed Caa3 (sf) RATINGS RATIONALE The ratings of seven P&I classes, Classes D through K, were affirmed because the transaction's key metrics, including Moody's loan to value (LTV) ratio and Moody's stressed debt service coverage ratio (DSCR) are within acceptable ranges. The affirmations of interest-only (IO) Classes X-3SG and X-5SG were affirmed based on the credit performance of their referenced loan, the New Jersey Office Portfolio loan. The affirmation of IO Class X-2 is due to the weighted average rating factor or WARF of its referenced classes. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan pay downs or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. 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-2, Cl. X-3-SG, and Cl. X-5-SG was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in October 2015. Please note that on February 27, 2017, Moody's released a "Request for Comment" in which it has requested market feedback on proposed changes to its methodology for rating structured finance interest-only (IO) securities called "Moody's Approach to Rating Structured Finance Interest-Only Securities," dated October 20, 2015. If Moody's adopts the new methodology as proposed, the changes could affect the ratings of COMM 2007-FL14. 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, property type, and sponsorship. 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 March 15, 2017 Payment Date, the transaction's certificate balance has declined by 98% to $48.7 million from $2.5 billion at securitization due to the payoff of 11 loans and the partial pay down of the one remaining loan, the New Jersey Office Portfolio loan. The New Jersey Office Portfolio loan was transferred to special servicing in January 2011 and became REO April 2012. The New Jersey Office Portfolio loan is secured by three office buildings and one industrial building leased as an exhibition center totaling a combined 945,310 square feet. Two additional office buildings originally in the portfolio were sold in 2014 and 2015 and released from the loan collateral. The most recent sale of 700 Atrium Drive closed August 2016 yielding net sale proceeds of $6.0 million which were applied to the outstanding principal balance. The properties are located in Franklin Township, New Jersey. As of the December 2016 rent rolls, the portfolio was 61% leased compared to 51% leased at last review and 48% at securitization. The loan is REO via a deed-in-lieu of foreclosure that closed in April 2012. The whole loan in the amount of $67.9 million includes subordinate mortgage debt held outside the trust in the amount of $19.1 million. The properties are challenged by high market vacancy. CONN RECEIVABLES 2016-A: Fitch Affirms 'Bsf' Rating on Cl. C Debt ----------------------------------------------------------------- Fitch Ratings has taken the following rating actions on Conn's Receivables Funding 2016-A, LLC (Conn's 2016-A), which is backed by consumer loans originated by Conn Appliances, Inc.: -- Class A affirmed at 'BBBsf'; Outlook Stable; -- Class B upgraded to 'BBBsf' from 'BBsf'; Outlook Stable; -- Class C affirmed at 'Bsf'; Outlook Stable. The upgrade of the class B note to 'BBBsf' from 'BBsf' is due to the credit enhancement (CE) that has built since closing. CE for the class A, B, and C notes will continue to grow until the target total overcollateralization (OC) level of 46% is reached. Total OC is 32.76% as of the February 2017 payment period. KEY RATING DRIVERS Collateral Quality: The 2016-A trust pool consists of 100% fixed-rate consumer loans originated and serviced by Conn's Appliances, Inc. The pool exhibits a weighted average FICO score of 606 and a weighted average borrower rate of 21.47%. The base case default rate for the 2016-A initial pool remains unchanged at 23.3%, which equates to a default rate as a percent of the remaining pool of 27.4%. Fitch applied a 2.2x stress at the 'BBBsf' level, reflecting the high absolute value of the historical defaults, along with the variability of default performance in recent years and the high geographic concentration. The recovery rate on defaulted loans for each note is assumed to be 3%. Fitch utilized a default definition of four months in modelling to account for currently delinquent assets. Dependence on Trust Triggers: The trust, and in particular the class C notes, depends on the two trust triggers - the Cumulative Net Loss Trigger and Annualized Net Loss Trigger - in order to ensure the payments due on the notes during times of degrading collateral performance. In stressed scenarios, especially with back loaded defaults, excess spread can be released from the trust before the triggers are activated, which currently constraints the class C note ratings. Rating Cap at 'BBBsf': Due to higher loan defaults in recent years, management changes at Conn's, and the credit risk profile of Conn's, Fitch retains a rating cap on this transaction at the 'BBBsf' category. Liquidity Support: Liquidity support is provided by a non-declining reserve account, which was fully funded at closing at 1.50% of the initial pool balance ($10,575,832), which is currently sufficient to cover approximately four months of bond interest and fees. Servicing Capabilities: Conn Appliances, Inc. demonstrates adequate abilities as originator, underwriter, and servicer with several decades of experience. The credit risk profile of the entity is mitigated by the backup servicing provided by Systems & Services Technologies, Inc. (SST), which is also experienced in servicing similar loan products. Criteria Variation Eligible Investments: Under Fitch's 'Counterparty Criteria for Structured Finance and Covered Bonds', Fitch looks to its own ratings in analyzing counterparty risk and assessing a counterparty's creditworthiness. The definition of permitted investments for this deal allows for the possibility of using investments not rated by Fitch, which represents a criteria variation. Since the only available funds to invest in are those held in the Collection Account and Reserve Account, the funds can only be invested for a short duration given the payment frequency of the notes, and the funds are currently invested in a highly rate money market fund focused on government securities, Fitch does not believe such variation has a measurable impact upon the ratings assigned. RATING SENSITIVITIES Unanticipated increases in the frequency of defaults or charge-offs on borrower accounts could produce loss levels higher than the base case and would likely result in declines of CE and remaining loss coverage levels available to the notes. Decreased CE may make certain ratings on the notes susceptible to potential negative rating actions, depending on the extent of the decline in coverage. Fitch conducts sensitivity analysis by stressing a transaction's initial base case charge-off assumption by an additional 10%, 25%, and 50%, and examining the rating implications. The increases of the base case charge-offs are intended to provide an indication of the rating sensitivity of the notes to unexpected deterioration of a transaction's performance. During the sensitivity analysis, Fitch examines the magnitude of the multiplier compression by projecting the expected cash flows and loss coverage levels over the life of investments under higher than the initial base case charge-off assumptions. Fitch models cash flows with the revised charge-off estimates while holding constant all other modelling assumptions. Under the 10% stress, the class A notes would likely retain their current ratings, and the class B and C notes would be downgraded one notch each to 'BBB-sf' and 'B-sf', respectively. Under the 25% stress, the class A would likely retain its current rating, the class B would likely be downgraded two notches to 'BB+sf', and the class C notes would likely fall one notch to 'B-sf'. Under the 50% stress, the class A would likely be downgraded one notch to 'BBB-sf', the class B would likely be downgraded three notches to 'BBsf', and the class C notes would likely fall into the distressed category. CONNECTICUT AVENUE 2017-C02: Fitch to Rate 19 Tranches 'Bsf' ------------------------------------------------------------ Fitch Ratings expects to assign the following ratings and Rating Outlooks to Fannie Mae's risk transfer transaction, Connecticut Avenue Securities, series 2017-C02: -- $379,890,000 class 2M-1 notes 'BBB-sf'; Outlook Stable; -- $246,928,000 class 2M-2A notes 'BB+sf'; Outlook Stable; -- $265,923,000 class 2M-2B notes 'BB-sf'; Outlook Stable; -- $246,928,000 class 2M-2C notes 'Bsf'; Outlook Stable; -- $759,779,000 class 2M-2 exchangeable notes 'Bsf'; Outlook Stable; -- $246,928,000 class 2A-I1 exchangeable notional notes 'BB+sf'; Outlook Stable; -- $246,928,000 class 2E-A1 exchangeable notes 'BB+sf'; Outlook Stable; -- $246,928,000 class 2A-I2 exchangeable notional notes 'BB+sf'; Outlook Stable; -- $246,928,000 class 2E-A2 exchangeable notes 'BB+sf'; Outlook Stable; -- $246,928,000 class 2A-I3 exchangeable notional notes 'BB+sf'; Outlook Stable; -- $246,928,000 class 2E-A3 exchangeable notes 'BB+sf'; Outlook Stable; -- $246,928,000 class 2A-I4 exchangeable notional notes 'BB+sf'; Outlook Stable; -- $246,928,000 class 2E-A4 exchangeable notes 'BB+sf'; Outlook Stable; -- $265,923,000 class 2B-I1 exchangeable notional notes 'BB-sf'; Outlook Stable; -- $265,923,000 class 2E-B1 exchangeable notes 'BB-sf'; Outlook Stable; -- $265,923,000 class 2B-I2 exchangeable notional notes 'BB-sf'; Outlook Stable; -- $265,923,000 class 2E-B2 exchangeable notes 'BB-sf'; Outlook Stable; -- $265,923,000 class 2B-I3 exchangeable notional notes 'BB-sf'; Outlook Stable; -- $265,923,000 class 2E-B3 exchangeable notes 'BB-sf'; Outlook Stable; -- $265,923,000 class 2B-I4 exchangeable notional notes 'BB-sf'; Outlook Stable; -- $265,923,000 class 2E-B4 exchangeable notes 'BB-sf'; Outlook Stable; -- $246,928,000 class 2C-I1 exchangeable notional notes 'Bsf'; Outlook Stable; -- $246,928,000 class 2E-C1 exchangeable notes 'Bsf'; Outlook Stable; -- $246,928,000 class 2C-I2 exchangeable notional notes 'Bsf'; Outlook Stable; -- $246,928,000 class 2E-C2 exchangeable notes 'Bsf'; Outlook Stable; -- $246,928,000 class 2C-I3 exchangeable notional notes 'Bsf'; Outlook Stable; -- $246,928,000 class 2E-C3 exchangeable notes 'Bsf'; Outlook Stable; -- $246,928,000 class 2C-I4 exchangeable notional notes 'Bsf'; Outlook Stable; -- $246,928,000 class 2E-C4 exchangeable notes 'Bsf'; Outlook Stable; -- $512,851,000 class 2E-D1 exchangeable notes 'BB-sf'; Outlook Stable; -- $512,851,000 class 2E-D2 exchangeable notes 'BB-sf'; Outlook Stable; -- $512,851,000 class 2E-D3 exchangeable notes 'BB-sf'; Outlook Stable; -- $512,851,000 class 2E-D4 exchangeable notes 'BB-sf'; Outlook Stable; -- $512,851,000 class 2E-D5 exchangeable notes 'BB-sf'; Outlook Stable; -- $512,851,000 class 2E-F1 exchangeable notes 'Bsf'; Outlook Stable; -- $512,851,000 class 2E-F2 exchangeable notes 'Bsf'; Outlook Stable; -- $512,851,000 class 2E-F3 exchangeable notes 'Bsf'; Outlook Stable; -- $512,851,000 class 2E-F4 exchangeable notes 'Bsf'; Outlook Stable; -- $512,851,000 class 2E-F5 exchangeable notes 'Bsf'; Outlook Stable; -- $512,851,000 class 2-X1 exchangeable notional notes 'BB-sf'; Outlook Stable; -- $512,851,000 class 2-X2 exchangeable notional notes 'BB-sf'; Outlook Stable; -- $512,851,000 class 2-X3 exchangeable notional notes 'BB-sf'; Outlook Stable; -- $512,851,000 class 2-X4 exchangeable notional notes 'BB-sf'; Outlook Stable; -- $512,851,000 class 2-Y1 exchangeable notional notes 'Bsf'; Outlook Stable; -- $512,851,000 class 2-Y2 exchangeable notional notes 'Bsf'; Outlook Stable; -- $512,851,000 class 2-Y3 exchangeable notional notes 'Bsf'; Outlook Stable; -- $512,851,000 class 2-Y4 exchangeable notional notes 'Bsf'; Outlook Stable. The following classes will not be rated by Fitch: -- $38,388,926,390 class 2A-H reference tranche; -- $19,994,649 class 2M-1H reference tranche; -- $12,997,022 class 2M-AH reference tranche; -- $13,996,255 class 2M-BH reference tranche; -- $12,997,023 class 2M-CH reference tranche; -- $189,945,000 class 2B-1 notes; -- $9,997,325 class 2B-1H reference tranche; -- $199,942,325 class 2B-2H reference tranche. The 'BBB-sf' rating for the 1M-1 note reflects the 3.00% subordination provided by the 0.65% class 1M-2A, the 0.70% class 1M-2B, the 0.65% class 1M-2C, the 0.50% class 1B-1 and their corresponding reference tranches as well as the 0.50% 1B-2H reference tranche. The notes are general senior unsecured obligations of Fannie Mae (rated 'AAA'/Outlook Stable) subject to the credit and principal payment risk of a pool of certain residential mortgage loans held in various Fannie Mae-guaranteed MBS. The reference pool of mortgages will consist of mortgage loans with loan to values (LTVs) greater than 80.01% and less than or equal to 97.00%. Connecticut Avenue Securities, series 2017-C02 (CAS 2017-C02) is Fannie Mae's 17th risk transfer transaction issued as part of the Federal Housing Finance Agency's Conservatorship Strategic Plan for 2013 to 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 Fannie Mae to private investors with respect to a $39.9 billion pool of mortgage loans currently held in previously issued MBS guaranteed by Fannie Mae where principal repayment of the notes are subject to the performance of a reference pool of mortgage loans. As loans liquidate, are modified or other credit events occur, the outstanding principal balance of the debt notes will be reduced by the loan's actual loss severity percentage related to those credit events. While the transaction structure simulates the behavior and credit risk of traditional RMBS mezzanine and subordinate securities, Fannie Mae will be responsible for making monthly payments of interest and principal to investors. Due to the counterparty dependence on Fannie Mae, Fitch's expected rating on the 2M-1, 2M-2A, 2M-2B and 2M-2C notes will be based on the lower of: the quality of the mortgage loan reference pool and credit enhancement (CE) available through subordination and on Fannie Mae's Issuer Default Rating. The 2M-1, 2M-2A 2M-2B, 2M-2C and 2B-1 notes will be issued as LIBOR-based floaters. In the event that the one-month LIBOR rate falls below the applicable negative LIBOR trigger value described in the offering memorandum, the interest payment on the interest-only notes will be capped at the excess of (i) the interest amount payable on the related class of exchangeable notes for that payment date over (ii) the interest amount payable on the class of floating rate related combinable and recombinable (RCR) notes included in the same combination for that payment date. If there are no floating rate classes in the related exchange, then the interest payment on the interest-only notes will be capped at the aggregate of the interest amounts payable on the classes of RCR notes included in the same combination that were exchanged for the specified class of interest-only RCR notes for that payment date. KEY RATING DRIVERS High Quality Mortgage Pool (Positive): The reference mortgage loan pool consists of high quality mortgage loans that were acquired by Fannie Mae from May 2016 through September 2016. In this transaction, Fannie Mae has only included one group of loans with loan-to-value ratios (LTVs) from 80.01% to 97.00%. Overall, the reference pool's collateral characteristics are similar to recent CAS transactions and reflect the strong credit profile of post-crisis mortgage originations. ADDITIONAL RATING DRIVERS Actual Loss Severities (Neutral): This will be Fannie Mae's tenth actual loss risk transfer transaction in which losses borne by the noteholders will not be based on a fixed loss severity (LS) schedule. The notes in this transaction will experience losses realized at the time of liquidation or modification, which will include both lost principal and delinquent or reduced interest. Mortgage Insurance Guaranteed by Fannie Mae (Positive): The majority of the loans in the pool are covered either by borrower-paid mortgage insurance (BPMI) or lender-paid MI (LPMI). Fannie Mae will be guaranteeing the mortgage insurance (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 Fannie Mae 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%. 12.5-Year Hard Maturity (Positive): The 2M-1, 2M-2A, 2M-2B, 2M-2C and 2B-1 notes benefit from a 12.5-year legal final maturity. As a result, any collateral losses on the reference pool that occur beyond year 12.5 are borne by Fannie Mae and do not affect the transaction. Fitch accounted for the 12.5-year window in its default analysis and applied a reduction to its lifetime default expectations. Limited Size/Scope of Third-Party Diligence (Neutral): This is the seventh transaction in which Fitch received third-party due diligence on a loan production basis as opposed to a transaction-specific review. Fitch believes that production-based diligence is sufficient for validating Fannie Mae's quality control (QC) processes. The sample selection was limited to 6,961 loans that were previously reviewed as part of Fannie Mae's post-purchase QC review and met the reference pool's eligibility criteria. Of those loans, 1,998 were selected for a full review (credit, property valuation and compliance) by third-party due diligence providers. Of the 1,998 loans, 416 were part of this transaction's reference pool. Fitch views the results of the due diligence review as consistent with its opinion of Fannie Mae as an above-average aggregator; as a result, no adjustments were made to Fitch's loss expectations based on due diligence. Advantageous Payment Priority (Positive): The 2M-1 class strongly benefits from the sequential pay structure and stable CE provided by the more junior 2M-2A, 2M-2B, 2M-2C and 2B-1 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 2M-1 class. Given the size of the 2M-1 class relative to the combined total of all the junior classes, together with the sequential pay structure, the class 2M-1 will de-lever and CE as a percentage will build faster than in a pro rata payment structure. Solid Alignment of Interests (Positive): While the transaction is designed to transfer credit risk to private investors, Fitch believes that it benefits from a solid alignment of interests. Fannie Mae will be retaining credit risk in the transaction by holding the 2A-H senior reference tranches, which has an initial loss protection of 4.00%, as well as 100%of the first loss 2B-2H reference tranche, sized at 50 bps. Fannie Mae is also retaining an approximately 5% vertical slice/interest in the 2M-1, 2M-2A, 2M-2B, 2M-2C and 2B-1 tranches. Receivership Risk Considered (Neutral): Under the Federal Housing Finance Regulatory Reform Act, the Federal Housing Finance Agency (FHFA) must place Fannie Mae into receivership if it determines that Fannie Mae's assets are less than its obligations for more than 60 days following the deadline of its SEC filing, as well as for other reasons. As receiver, FHFA could repudiate any contract entered into by Fannie Mae if it is determined that the termination of such contract would promote an orderly administration of Fannie Mae's affairs. Fitch believes that the U.S. government will continue to support Fannie Mae, and this is reflected in Fannie Mae's current rating. However, if, at some point, Fitch views the support as being reduced and receivership likely, the ratings of Fannie Mae could be downgraded and the 2M-1, 2M-2A, 2M-2B and 2M-2C notes' ratings 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 metropolitan statistical area (MSA) and national levels. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or be considered in the surveillance of the transaction. This defined stress sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model projected 'BBB' sMVD of 23.3% and 'BB' sMVD of 18.5%. It indicates 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 reduce the 'BBBsf' rated class down one rating category, to non-investment grade, and to 'CCCsf', respectively. DUE DILIGENCE USAGE Fitch was provided with due diligence information from Adfitech, Inc. and American Mortgage Consultants (AMC). The due diligence focused on credit and compliance reviews, desktop valuation reviews and data integrity. Adfitech and AMC examined selected loan files with respect to the presence or absence of relevant documents. Fitch received certifications indicating that the loan-level due diligence was conducted in accordance with Fitch's published standards. The certifications also stated that the company performed its work in accordance with the independence standards, per Fitch's criteria, and that the due diligence analysts performing the review met Fitch's criteria of minimum years of experience. Fitch considered this information in its analysis and the findings did not have an impact on the analysis. The offering documents for CAS 2017-C02 do not disclose any representations, warranties, or enforcement mechanisms (RW&Es) that are available to investors and which relate to the underlying asset pools. Please see Fitch's Special Report for further information regarding Fitch's approach to the disclosure of a transaction's RW&Es as required under SEC Rule 17g-7. CREDIT SUISSE 2007-C5: S&P Affirms 'B-' Rating on 2 Tranches ------------------------------------------------------------ S&P Global Ratings raised its ratings on the class A-4 and A-1A commercial mortgage pass-through certificates from Credit Suisse Commercial Mortgage Trust Series 2007-C5, a U.S. commercial mortgage-backed securities (CMBS) transaction. In addition, S&P affirmed its ratings on the class A-M and A-1-AM certificates 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 to 'AAA (sf)' on classes A-4 and A-1A to reflect its expectation of the available credit enhancement for these classes, which S&P believes is greater than its most recent estimate of necessary credit enhancement for the respective rating levels. The upgrades also follow S&P's views regarding the current and future performance of the transaction's collateral, the reduction in trust balance, and the increase in collateral defeasance. The affirmations on classes A-M and A-1-AM 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, as well as S&P's views regarding the current and future performance of the transaction's collateral. TRANSACTION SUMMARY As of the Feb. 17, 2017, trustee remittance report, the collateral pool balance was $1.11 billion, which is 40.7% of the pool balance at issuance. The pool currently includes 103 loans (reflecting cross-collateralized and cross-defaulted loans) and six real estate-owned (REO) assets, down from 187 loans at issuance. Twelve of these assets ($112.3 million, 10.2%) are with the special servicer, 12 loans ($219.7 million, 19.9%) are defeased, and 37 loans ($398.7 million, 36.2%) are on the master servicers' combined watchlist. The master servicers, KeyBank Real Estate Capital and Berkadia Commercial Mortgage LLC, reported financial information for 97.0% of the nondefeased loans in the pool, of which 55.5% was partial- or year-end 2016 data, and the remainder was year-end 2015 data. S&P calculated a 1.17x S&P Global Ratings weighted average debt service coverage (DSC) and 93.2% S&P Global Ratings weighted average loan-to-value (LTV) ratio using a 7.89% S&P Global Ratings weighted average capitalization rate. The DSC, LTV, and capitalization rate calculations exclude 13 specially serviced assets, including one that was transferred to special servicing subsequent to the February 2017 trustee remittance report ($116.8 million, 10.6%) and 16 defeased loans, including one that the master servicer informed S&P defeased after the February 2017 trustee remittance report ($244.8 million, 22.2%). The top 10 nondefeased loans have an aggregate outstanding pool trust balance of $422.4 million (38.3%). Using servicer-reported numbers, S&P calculated an S&P Global Ratings weighted average DSC and LTV ratio of 1.06x and 105.6%, respectively, for nine of the top 10 nondefeased loans. The remaining loan is specially serviced and discussed below. To date, the transaction has experienced $354.5 million in principal losses, or 13.0% of the original pool trust balance. S&P expects losses to reach approximately 15.1% 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 13 specially serviced assets. CREDIT CONSIDERATIONS As of the Feb. 17, 2017, trustee remittance report, 12 assets ($112.3 million, 10.2%) in the pool were with the special servicer, KeyBank Real Estate Capital. The master servicer indicated that one additional loan ($4.5 million, 0.4%) was transferred to special servicing because it has a reported 60-plus-days delinquent payment status. Details of the two largest specially serviced assets, one of which is a top 10 nondefeased loan, are: The Palmer-Rochester Portfolio 1st loan ($49.1 million, 4.5%) is the third-largest nondefeased loan in the trust and the largest loan with the special servicer, with a total reported exposure of $52.7 million. The loan is secured by a mix of five multifamily, mixed-use, and industrial properties totaling 441,026 sq. ft. located in Rochester, N.Y. The loan was transferred to the special servicer on Dec. 31, 2008, because of imminent payment default. The reported DSC and occupancy as of year-end 2015 were 0.11x and 82.8%, respectively. According to the special servicer, the loan has been embroiled in extensive litigation since 2010. The special servicer stated that it is attempting to obtain final judgment in order to pursue foreclosure. The loan has been deemed nonrecoverable by the master servicer. S&P expects a significant loss (60% or greater) upon the loan's eventual resolution. The Kukui Mall REO asset ($12.6 million, 1.1%) is the second-largest asset with the special servicer with a total reported exposure of $16.2 million. The asset is a retail property totaling 40,974 sq. ft. located in Kihei, Hawaii. The loan was transferred to the special servicer in October 2012 because of imminent default, and the property became REO on Oct. 24, 2013. The reported occupancy as of Dec. 31 2016, was 29.7%, and the reported cash flow was not sufficient to coverage debt service. An appraisal reduction amount of $5.5 million is in effect against the asset. S&P expects a significant loss upon the asset's eventual resolution. The 11 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 the 13 specially serviced assets, arriving at a weighted average loss severity of 48.9%. RATINGS LIST Credit Suisse Commercial Mortgage Trust, Series 2007-C5 Commercial mortgage pass-through certificates series 2007-C5 Rating Class Identifier To From A-4 22546BAF7 AAA (sf) BBB+ (sf) A-1-A 22546BAG5 AAA (sf) BBB+ (sf) A-M 22546BAH3 B- (sf) B- (sf) A-1-AM 22546BBV1 B- (sf) B- (sf) CREST LTD 2003-2: Moody's Affirms Caa3 Ratings on 2 Tranches ------------------------------------------------------------ Moody's Investors Service has affirmed the ratings on the following notes issued by Crest 2003-2, Ltd.: Cl. D-1, Affirmed A1 (sf); previously on Apr 5, 2016 Upgraded to A1 (sf) Cl. D-2, Affirmed A1 (sf); previously on Apr 5, 2016 Upgraded to A1 (sf) Cl. E-1, Affirmed Caa3 (sf); previously on Apr 5, 2016 Affirmed Caa3 (sf) Cl. E-2, Affirmed Caa3 (sf); previously on Apr 5, 2016 Affirmed Caa3 (sf) RATINGS RATIONALE Moody's has affirmed the ratings on the transaction 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 Re-REMIC). Crest 2003-2, Ltd. is a static cash transaction backed by a portfolio of: i) commercial mortgage backed securities (CMBS) (78.1% of the collateral pool balance); ii) CRE CDOs (6.3%); and iii) credit tenant leases (CTL) (15.6%). As of the December 23, 2016 note valuation report, the aggregate note balance of the transaction, including preferred shares, is $82.9 million, compared to $325.0 million at issuance. The pool contains seven assets totaling $15.2 million (45.5% of the collateral pool balance) that are listed as defaulted securities as of the trustee's February 28, 2017 report. While there have been limited realized losses on the underlying collateral to date, Moody's does expect moderate-to-high losses to occur on the 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 3187, compared to 3459 at last review. The current ratings on the Moody's-rated collateral and the assessments of the non-Moody's rated collateral follow: Aaa-Aa3 (35.0%, compared to 23.3% at last review); A1-A3 (16.0%, compared to 9.0% at last review); Baa1-Baa3 (0.0%, compared to 6.5% at last review); Ba1-Ba3 (12.7%, compared to 15.4% at last review); B1-B3 (9.8%, compared to 17.6% at last review); Caa1-Ca/C (26.%, compared to 28.2% at last review). Moody's modeled a WAL of 2.4 years, compared to 3.0 years at last review. The WAL is based on assumptions about extensions on the look-through underlying CMBS loan collateral. Moody's modeled a fixed WARR of 11.6%, compared to 9.6% at last review. Moody's modeled a MAC of 3.5%, compared to 4.7% 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. Holding all other parameters constant, reducing the recovery rates of the collateral pool by -10.0% would result in an average modeled rating movement on the rated notes of zero notches downward (e.g., one notch down implies a ratings movement of Baa3 to Ba1). Increasing the recovery rate of the collateral pool by +10.0% would result in an average modeled rating movement on the rated notes of zero to one notch upward (e.g., one notch up implies a ratings movement of Baa3 to Baa2). The primary sources of uncertainty in Moody's assumptions are the extent of growth in the current macroeconomic environment given the weak recovery and certain commercial real estate property markets. Commercial real estate property values continue to improve modestly, along with a rise in investment activity and stabilization in core property type performance. Limited new construction and moderate job growth have aided this improvement. However, sustained growth will not be possible until investment increases steadily for a significant period, non-performing properties are cleared from the pipeline and fears of a euro area recession abate. CSFB MORTGAGE 2003-C3: Moody's Affirms C(sf) Rating on Cl. K Debt ----------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on four classes in CSFB Mortgage Securities Corp. Commercial Mtge Pass-Through Ctfs. 2003-C3: Cl. J, Affirmed Caa3 (sf); previously on Apr 1, 2016 Affirmed Caa3 (sf) Cl. K, Affirmed C (sf); previously on Apr 1, 2016 Affirmed C (sf) Cl. A-X, Affirmed Caa3 (sf); previously on Apr 1, 2016 Affirmed Caa3 (sf) Cl. A-Y, Affirmed Aaa (sf); previously on Apr 1, 2016 Affirmed Aaa (sf) RATINGS RATIONALE The ratings of two P&I classes were affirmed because the ratings are consistent with Moody's expected losses plus realized losses. The rating on the IO Class A-X was affirmed based on the credit performance (or the weighted average rating factor or WARF) of the referenced classes. The rating on the IO class A-Y was affirmed based on the credit performance (or the weighted average rating factor of WARF) of the referenced loans. Moody's rating action reflects a base expected loss of 22.8% of the current balance, compared to 24.9% at Moody's last review. Moody's base expected loss plus realized losses is now 3.3% of the original pooled balance, compared to 3.4% 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. A-X and Cl. A-Y was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in October 2015. Please note that on February 27, 2017, Moody's released a "Request for Comment" in which it has requested market feedback on proposed changes to its methodology for rating structured finance interest-only (IO) securities called "Moody's Approach to Rating Structured Finance Interest-Only Securities," dated October 20, 2015. If Moody's adopts the new methodology as proposed, the changes could affect the ratings of CSFB 2003-C3. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 63% 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 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 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 five, 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 17 February, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 98.7% to $22.7 million from $1.7 billion at securitization. The certificates are collateralized by 10 mortgage loans ranging in size from less than 1% to 26.5% of the pool. Two loans, constituting 5.1% of the pool, have defeased and are secured by US government securities. One loan, constituting 0.2% 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. Nineteen loans have been liquidated from the pool, resulting in an aggregate realized loss of $51.9 million (for an average loss severity of 62.1%). Three loans, constituting 63.2% of the pool, are currently in special servicing. The largest specially serviced loan is the Honeywell International Building Loan ($6.0 million -- 26.5% of the pool), which is secured by a 163,000 SF office park located in Colorado Springs, Colorado, approximately 75 miles south of Denver. The loan was transferred to the special servicer in February 2013 due to maturity default. Honeywell exercised a three-year extension in 2013 but did not renew their lease when it expired in November 2016. The property is now 100% vacant. The second largest specially serviced loan is the Buffalo Square Shopping Center Loan ($4.3 million -- 18.8% of the pool), which is secured by 177,000 SF retail center located in Las Vegas, Nevada. The collateral is subject to a sandwich ground lease and this sandwich ground lease is subject to a master ground lease of the entire retail center. The loan was transferred to the special servicer in July 2014 due to the borrower changing the property manager without noteholder consent. The property was 95% occupied as of November 2016. The third largest specially serviced loan is the The Crossroads Loan ($4.1 million -- 17.9% of the pool), which is secured by a Class B office building located in Elmsford, New York, near White Plains. The loan was first transferred to the special servicer in December 2012 due to maturity default. The loan was extended through January 2015 but returned to the special servicer due to maturity default. The property was reported to be in fair condition and was 57% occupied as of the November 2016 rent roll. Moody's estimates an aggregate $5.2 million loss for specially serviced loans (62.3% expected loss on average). Moody's received full and partial 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). The top three performing loans represent 31.5% of the pool balance. The largest loan is the Polar Plastics Loan ($4.4 million -- 19.3% of the pool), which is secured by a 385,000 SF manufacturing facility located in Mooresville, North Carolina approximately 30 miles north of Charlotte. The property is 100% leased to Pactiv Corporation through March 2023. Moody's value incorporated a Lit/Dark analysis to account for the single-tenant risk. Moody's LTV and stressed DSCR are 36% and 2.94X, respectively, compared to 37% and 2.88X at the last review. The second largest loan is the ParkRidge at McPherson Loan ($1.6 million -- 7.0% of the pool), which is secured by a 72 unit multifamily property located in McPherson, Kansas, approximately 60 miles north of Wichita. The property was 96% occupied as of June 2016. Moody's LTV and stressed DSCR are 68% and 1.43X, respectively, compared to 70% and 1.39X at the last review. The third largest loan is the The Veranda at Twin Creek Apartments Loan ($1.2 million -- 5.2% of the pool), which is secured by an 88 unit multifamily property located in Killeen, Texas, approximately 50 miles north of Austin. The property was 99% occupied as of September 2016. Moody's LTV and stressed DSCR are 40% and 2.43X, respectively, compared to 41% and 2.38X at the last review. CSMC TRUST 2015-TOWN: Fitch Affirms 'B-sf' Rating on Class F Debt ----------------------------------------------------------------- Fitch Ratings has affirmed six classes of CSMC Trust, commercial mortgage pass-through certificates, series 2015-TOWN (CSMC 2015-TOWN). KEY RATING DRIVERS The affirmations reflect the continued overall stable performance of the portfolio since issuance. The portfolio has demonstrated an upward trend in servicer-reported net cash flow, with trailing 12 month (TTM) September 2016 net cash flow improving 6.7% from TTM September 2015 and 11.3% since issuance. As of TTM September 2016, the servicer-reported portfolio occupancy was 85.1%, compared to 87.4% for the TTM September 2015 period and 86.8% at issuance as of year-end (YE) 2014. Based upon the servicer-provided December 2016 STR reports for each of the underlying properties in the portfolio, the weighted-average weekly revenue per available room (RevPAR), based upon allocated loan balance, remained flat at $226 over the prior year and up from $203 at issuance as of YE 2014. The transaction represents the beneficial interest in a trust that holds a two-year, floating-rate, interest-only $380 million mortgage loan, which had an initial loan maturity of March 6, 2017, with three, one-year extension options. The servicer indicated the borrower requested to exercise the first of its extension options through March 2018. Fitch is awaiting confirmation that this extension has been finalized. Granular and Diverse Portfolio: The portfolio comprises 85 economy extended-stay hotels (10,764 keys) branded as InTown Suites, located across 18 states with concentrations in Texas (32.8% of the allocated loan balance), Florida (11.7%), Tennessee (9.5%) and Virginia (5%). The top three cities in Texas as a percentage of the total pool balance are Houston (9.7%), San Antonio (6.2%) and Arlington (4.1%). No single asset accounts for more than 2% of the outstanding loan balance. Exposure to Energy Markets: The portfolio comprises 28 properties (33.8%) located in energy-dependent states, including Texas (32.8%) and Oklahoma (1%). As of the most recent YE 2016 STR reports for these properties, the weighted average weekly RevPAR declined 3.3% between 2015 and 2016 with a weighted average RevPAR penetration for these properties of 91.5%. Fitch is concerned about the impact that recent oil price volatility may have on the overall economic performance in these markets and stressed revenues due to the portfolio's exposure to potential performance volatility. Experienced Sponsorship and Management: An affiliate of Starwood Capital Group acquired the InTown Suites chain in June 2013. Starwood is a global private investment firm that has $52 billion in assets under management. Capped Recourse Carveouts: The recourse carveout guarantors are InTown Hospitality Corp. and SOF IX U.S. Holdings, L.P. (with regard to the bankruptcy carveouts). The carveouts related to a bankruptcy event are subject to a cap on liability equal to 20% of the loan amount. InTown Hospitality Corp. is required to maintain a minimum aggregate net worth of $100 million exclusive of the properties. Additional Debt: At issuance, the total debt package included $120 million of mezzanine financing outside of the trust. Per the servicer, the mezzanine debt paid off at maturity on March 6, 2017. RATING SENSITIVITIES The Rating Outlook for all classes remains Stable. Due to volatility in the overall hotel market, Fitch has capped RevPAR at 2014 levels in its analysis. Fitch is unlikely to upgrade classes B through F unless there is significant sustained improvement in overall portfolio performance. All classes could be subject to downgrade should performance deteriorate 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: -- $138.5 million class A at 'AAAsf'; Outlook Stable; -- $36 million class B at 'AA-sf'; Outlook Stable; -- $24 million class C at 'A-sf'; Outlook Stable; -- $36.5 million class D at 'BBB-sf'; Outlook Stable; -- $67 million class E at 'BB-sf'; Outlook Stable; -- $69 million class F at 'B-sf'; Outlook Stable. Fitch does not rate the $9 million TF class certificates. CSMC TRUST 2017-HD: S&P Assigns Prelim. BB- Rating on Cl. E Certs ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to CSMC Trust 2017-HD's $218.6 million commercial mortgage pass-through certificates series 2017-HD. The issuance is a commercial mortgage-backed securities transaction backed by one three-year, floating-rate commercial mortgage loan totaling $218.6 million, with a one-year extension option, secured by a cross-collateralized and cross-defaulted first-priority lien mortgage on the borrowers' fee simple and leasehold interests, as applicable, in the 878-room Hudson and the 194-room Delano hotels. The preliminary ratings are based on information as of March 14, 2017. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of the collateral's historical and projected performance, the sponsors' and manager's experience, the trustee-provided liquidity, the loan's terms, and the transaction's structure. PRELIMINARY RATINGS ASSIGNED CSMC Trust 2017-HD Class Rating(i) Amount ($) A AAA (sf) 69,900,000 X-CP AAA (sf) 69,900,000(ii) X-EXT AAA (sf) 69,900,000(ii) B AA- (sf) 26,300,000 C A- (sf) 19,600,000 D BBB- (sf) 25,900,000 E BB- (sf) 40,800,000 F B (sf) 24,600,000 HRR B- (sf) 11,500,000 (i)The rating on each class of securities is preliminary and subject to change at any time. 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 X-EXT certificates will be reduced by the aggregate amount of principal distributions and realized losses allocated to the class A certificates. CT CDO IV: S&P Affirms 'CC' Rating on Class C Notes --------------------------------------------------- S&P Global Ratings affirmed its 'CC (sf)' rating on the class C notes from CT CDO IV Ltd., a U.S. commercial real estate collateralized debt obligation (CRE CDO) transaction. The rating action follows S&P's review of the transaction's performance using data from the Feb. 15, 2017, trustee report. The transaction has eight assets remaining in the portfolio, and the class C notes continue to defer their interest. S&P affirmed its 'CC (sf)' rating based on the quality of the assets backing it and also on the class' failure of the top obligor test at the 'CCC (sf)' rating. S&P's review of the transaction relied in part upon a criteria interpretation with respect to its May 2014 criteria, "CDOs: Mapping A Third Party's Internal Credit Scoring System To Standard & Poor's Global Rating Scale," which allows S&P to use a limited number of public ratings from other Nationally Recognized Statistical Rating Organizations to assess the credit quality of assets not rated by S&P Global Ratings. The criteria provide specific guidance for the treatment of corporate assets not rated by S&P Global Ratings, while the interpretation outlines the treatment of securitized assets. S&P will continue to review whether, in its view, the rating assigned to the notes remains consistent with the credit enhancement available to support them and will take rating actions as S&P deems necessary. DLJ COMMERCIAL 1998-CG1: Fitch Hikes Cl. B-7 Debt Rating From BB ---------------------------------------------------------------- Fitch Ratings has upgraded one and affirmed one class of DLJ Commercial Mortgage Corp. (DLJ) commercial mortgage pass-through certificates series 1998-CG1. KEY RATING DRIVERS Stable Performance and High Credit Enhancement: The upgrade is the result of stable performance and increased credit enhancement through amortization and defeasance since Fitch's last rating action. There continues to be no specially serviced loans. The transaction has paid down approximately $10 million since Fitch's last rating action. As of the March 2017 distribution date, the transaction has paid down 98% since issuance, to $28.6 million from $1.6 billion. Interest shortfalls are currently affecting the non-rated class C. Defeasance: In total, four loans (61.2%) have defeased, including one additional loan since Fitch's last rating action (2.4%). The largest loan in the transaction is defeased 39.5% and matures in 2023. Concentrated Pool: Only 11 of the original 303 loans remain. Due to the concentrated nature of the pool, Fitch's analysis included a sensitivity test which grouped the loans by structural features and current performance. The transaction's ratings are based on the remaining loans' perceived likelihood of repayment, which considered whether the loans are defeased, fully amortizing, balloon loans, as well as current performance and whether loans are considered Fitch loans of concern. Maturity Schedule: The remaining loans have final maturity dates in 2018 (16.3%); 2022 (8.5%); 2023 (56.6%); and 2028 (3.7%). Seven loans are fully amortizing (78%), two loans have anticipated repayment dates (10.9%) and two are balloon loans (10.7%). Largest Loans: The largest non-defeased loan is being monitored due to upcoming rollover. The loan (10.8%) is collateralized by a 107,094 square foot (sf) retail property in Dallas, TX. The property's largest two tenants, Tom Thumb (26% net rentable area [NRA]) and CVS (14% NRA) expire in October 2017 and November 2017, respectively. No information is known on whether the tenants plan to renew. Although the loan is considered a Fitch loan of concern, the loan is low levered with a debt per square foot (psf) of $29 and is fully amortizing. The loan matures in 2023. The second largest non-defeased loan (10%) is collateralized by a 180,719 sf industrial property in Timonium, MD. The loan is also being monitored by Fitch due to a decline in occupancy. As of September 2016, occupancy declined to 84% from 99% at year-end (YE) 2015 due to one larger tenant formerly occupying 12% of the NRA vacating at their lease expiration in 2016. The September 2016 debt service coverage ratio (DSCR) declined to 1.30x from 1.47x at YE 2015. The loan is low levered with a debt psf of $16, is fully amortizing and matures in 2022. The third largest non-defeased loan (6.5%) is collateralized by a 122,204 sf retail property located in Little Rock, AR. Occupancy was 70% as of September 2016 and 73% at YE 2015 compared to 85% in 2014. The loan is on the master servicer's watchlist due to the low occupancy and upcoming lease rollover; however, the DSCR continues to be strong with a reported 1.83x as of September 2016. The property's largest tenant with 31.2% of the NRA expires in June 2017. Another tenant's (9.3% of NRA) lease expired in September 2016 with no update provided by the borrower. However, based on the tenant's website, they remain at the property. The loan is low levered with a debt psf of $16, has an ARD in June 2018 and final maturity in 2023. RATING SENSITIVITIES The two remaining rated classes have Stable Outlooks as no rating changes are expected due to the concentrated nature of the pool. The rating of class B-7 is capped at 'Asf' due to the pool's significant concentration and lower collateral quality. However, further upgrades to class B-7 are possible with continued stable pool performance and increased credit enhancement due to additional paydown and/or defeasance. While downgrades are not expected, they are possible with significant performance decline. DUE DILIGENCE USAGE No third party due diligence was provided or reviewed in relation to this rating action. Fitch upgrades the following class: -- $15.6 million class B-7 to 'Asf' from 'BBsf', Outlook Stable. Fitch affirms the following class: -- $5.3 million class B-6 at 'AAAsf', Outlook Stable. The class A-1A, A-1B, A-1C, A-2, A-3, A-4, B-1, B-2, B-3, B-4, and B-5 certificates have paid in full. Fitch does not rate the class C certificates. Fitch previously withdrew the rating on the interest-only class S certificates. FREDDIE MAC 2017-SC01: Moody's Gives Ba3 Rating to Cl. M-2 Debt --------------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to two classes of residential mortgage-backed securities (RMBS) issued by Freddie Mac Whole Loan Securities Trust, Series 2017-SC01 (FWLS 2017-SC01). The ratings range from Baa1 (sf) to Ba3 (sf). The certificates are backed by two pools of fixed-rate super conforming prime residential mortgage loans. The collateral pools consist of loans acquired by Freddie Mac from four sellers (Caliber Home Loans (65.9%), Wells Fargo (19.1%), Quicken Loans (10.0%), and Fremont Bank (4.9%)), pursuant to the terms of the Freddie Mac Single-Family Seller/Servicer Guide. Freddie Mac will serve in a number of capacities with respect to the Trust. Freddie Mac will be the Guarantor of the Senior Certificates, Seller, Master Servicer, Master Document Custodian and Trustee. The complete rating actions are as follows: Issuer: Freddie Mac Whole Loan Securities Trust, Series 2017-SC01 Cl. M-1, Definitive Rating Assigned Baa1 (sf) Cl. M-2, Definitive Rating Assigned Ba3 (sf) RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Moody's expected loss on pool 1 average 0.45% in a base-case scenario and reach 6.00% at a stress level consistent with Aaa rating on the senior classes. Moody's expected losses on pool 2 average 0.90% in a base-case scenario and reach 10.80% at a stress level consistent with Aaa rating on the senior classes. Moodys arrived at these expected losses using Moodys MILAN model. Moodys Aaa stress loss for pool 1 is consistent with prime jumbo transactions Moodys has recently rated. The lower FICO scores and slightly higher CLTV on pool 2 contributed to the higher loss expectations on the pool. In Moodys analysis, Moodys considered the observed loss severity trends on Freddie Mac loans. Moodys did not make any adjustments related to servicers and originators' assessments. However, Moodys decreased Moodys base case and Aaa loss expectation by 5% due to the strong representation and warranties provider (Freddie Mac). Collateral Description The FWLS 2017-SC01 transaction is backed by a total of 1,227 fixed-rate super conforming prime residential mortgage loans with a balance of $639,914,335. Pool 1 is backed by 656 loans with a balance of $341,119,843 and pool 2 is backed by 571 loans with a balance of $298,794,492. The collateral pools consist of loans acquired by Freddie Mac from multiple sellers pursuant to the terms of the Freddie Mac Single-Family Seller/Servicer Guide. The weighted average CLTV is 74.9% for the aggregate pool, and 72.3% and 77.9% for pool 1 and pool 2 loans respectively. The weighted average FICO for the aggregate pool is 750, and 760 and 738 for pool 1 and pool 2 loans respectively. Third-Party Review(TPR) Clayton conducted a review of credit, property valuations, regulatory compliance (regulatory compliance was conducted only for loans in the sample which were in states with assignee liability laws and or regulations) and data accuracy checks for 314 mortgage loans (from an initial pool of 1,254 loans). Moodys reviewed the TPR reports and there were no exceptions for credit, property valuations, and regulatory compliance. The data accuracy exceptions were minor and did not pose a material risk. Representations & Warranties (R&Ws) Freddie Mac will make certain representations and warranties with respect to the mortgage loans and will be the only party from which the trust may seek repurchase of a mortgage loan as a result of any material breach that provides for repurchase as a remedy. Freddie Mac's Aaa senior ratings are underpinned by strong government support. Moodys believes that the US Government will stand behind obligations of the government-sponsored enterprises (GSEs).The loan-level R&Ws are strong and, in general, meet the baseline set of credit-neutral R&Ws Moodys has identified for US RMBS. Structural considerations The securitization has a two-pool 'Y' structure that distributes principal on a pro rata basis between the senior and subordinate classes subject to performance triggers, and sequentially amongst the subordinate certificates. The transaction has two distinct features: recoupment of unpaid interest on stop advance loans and shifting certain principal payments, subject to limits, to cover interest shortfalls to the rated subordinate bonds due to interest rate modifications and extra-ordinary expenses. In this transaction, Freddie Mac will stop advancing principal and interest on any real-estate owned (REO) property or loans that are 180 days or more delinquent. This will decrease the amount of interest remitted to the trust and could result in interest shortfalls to the bonds. However, interest accrued but not paid on the stop advance loans will be recovered from the liquidation proceeds (for liquidated loans), borrower payments, modification or repurchases and added to the interest remittance amount. This will result in subsequent recoveries of any interest shortfalls on subordinates bonds in the order of their payment priority. Also, in this transaction, the certificates are exposed to interest shortfalls due to interest rate modifications and extra-ordinary expenses. If the interest accrued on the Class B certificate is insufficient to absorb the reduction in interest amount caused by modification and extra-ordinary expenses, and to the extent that the Class B certificate is outstanding, the transaction allows for certain principal payments (up to subordinate percentage of scheduled principal) to be re-directed to cover interest shortfall to the rated bonds, with a corresponding write-down of Class B principal balance. As a result, before Classes M-1 or M-2 suffer any unrecoverable interest shortfall, the Class B certificate balance has to be reduced to zero. The Class B certificate represents 1% of the collateral. Factors that would lead to an upgrade or downgrade of the ratings: Downgrade 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. Upgrade 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. GALTON FUNDING 2017-1: DBRS Finalizes Bsf Rating on Cl. B5 Debt --------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following Mortgage Pass-Through Certificates, Series 2017-1 (the Certificates) issued by Galton Funding Mortgage Trust 2017-1 (GFMT 2017-1 or the Trust): -- $220.2 million Class A11 at AAA (sf) -- $220.2 million Class AX11 at AAA (sf) -- $220.2 million Class A12 at AAA (sf) -- $220.2 million Class AX12 at AAA (sf) -- $220.2 million Class A13 at AAA (sf) -- $220.2 million Class AX13 at AAA (sf) -- $203.6 million Class A21 at AAA (sf) -- $203.6 million Class AX21 at AAA (sf) -- $203.6 million Class A22 at AAA (sf) -- $203.6 million Class AX22 at AAA (sf) -- $203.6 million Class A23 at AAA (sf) -- $203.6 million Class AX23 at AAA (sf) -- $16.5 million Class A31 at AAA (sf) -- $16.5 million Class AX31 at AAA (sf) -- $16.5 million Class A32 at AAA (sf) -- $16.5 million Class AX32 at AAA (sf) -- $16.5 million Class A33 at AAA (sf) -- $16.5 million Class AX33 at AAA (sf) -- $152.7 million Class A41 at AAA (sf) -- $152.7 million Class AX41 at AAA (sf) -- $152.7 million Class A42 at AAA (sf) -- $152.7 million Class AX42 at AAA (sf) -- $152.7 million Class A43 at AAA (sf) -- $152.7 million Class AX43 at AAA (sf) -- $50.9 million Class A51 at AAA (sf) -- $50.9 million Class AX51 at AAA (sf) -- $50.9 million Class A52 at AAA (sf) -- $50.9 million Class AX52 at AAA (sf) -- $50.9 million Class A53 at AAA (sf) -- $50.9 million Class AX53 at AAA (sf) -- $16.5 million Class X3 at AAA (sf) -- $152.7 million Class X4 at AAA (sf) -- $50.9 million Class X5 at AAA (sf) -- $8.5 million Class B1 at AA (sf) -- $8.5 million Class BX1 at AA (sf) -- $10.8 million Class B2 at A (low) (sf) -- $10.8 million Class BX2 at A (low) (sf) -- $6.1 million Class B3 at BBB (low) (sf) -- $6.1 million Class BX3 at BBB (low) (sf) -- $2.5 million Class B4 at BB (sf) -- $3.3 million Class B5 at B (sf) Classes AX11, AX12, AX13, AX21, AX22, AX23, AX31, AX32, AX33, AX41, AX42, AX43, AX51, AX52, AX53, X3, X4, X5, BX1, BX2 and BX3 are interest-only (IO) certificates. The class balances represent notional amounts. Classes A11, AX11, A12, AX12, A13, AX13, A21, AX21, A22, AX22, A23, AX23, A31, AX32, A33, A41, AX42, A43, A51, AX52, A53 are exchangeable certificates. These classes can be exchanged for combinations of exchange certificates as specified in the offering documents. The AAA (sf) ratings on the Certificates reflect the 13.50% of credit enhancement provided by subordinated Certificates in the pool. The AA (sf), A (low) (sf), BBB (low) (sf), BB (sf) and B (sf) ratings reflect 10.15%, 5.90%, 3.50%, 2.50% and 1.20% of credit enhancement, respectively. Other than the classes specified above, DBRS does not rate any other classes in this transaction. This transaction is a securitization of a portfolio of mostly expanded prime qualified mortgage (QM) and non-QM first-lien residential mortgages. The Certificates are backed by 363 loans with a total principal balance of $254,554,479 as of the Cut-Off Date (February 1, 2017). The mortgage loans were originally acquired by GMRF Mortgage Acquisition Company LLC (the Sponsor) directly from either originators or a third-party aggregator. The Sponsor is a wholly owned subsidiary of Galton Mortgage Recovery Master Fund III, L.P. The majority of the loans in this securitization (92.3%) are Credit Grade A+ (Galton Program) borrowers with unblemished credit that may not meet prime jumbo or agency/government guidelines. While certain attributes are comparable with post-crisis prime transactions, the loans in the GFMT 2017-1 portfolio may have IO features, higher debt-to-income (DTI) and loan-to-value (LTV) ratios, lower credit scores and barbelled distribution of certain characteristics as compared with recent prime securitizations. However, the overall credit profile of the Galton pool is much stronger than those of other non-QM programs rated by DBRS. The originators for the mortgage pool are Priority Financial Network (17.6%); Parkside Lending, LLC (16.2%); RPM Mortgage, Inc. (15.3%); Oaktree Funding Corp. (14.9%); PHH Mortgage Corp. (5.6%); and various other originators, each comprising less than 5.0% of the mortgage loans. The loans will be serviced by New Penn Financial, LLC doing business as (dba) Shellpoint Mortgage Servicing. Galton Mortgage Loan Seller LLC (GMLS) will act as the Servicing Administrator. Wells Fargo Bank, N.A. (Wells Fargo; rated AA (high) with a Negative trend by DBRS) will act as the Master Servicer, Securities Administrator and Custodian. Wilmington Savings Fund Society, FSB, dba Christiana Trust, will serve as Trustee. In accordance with the CFPB QM rules, 22.3% of the loans are designated as QM Safe Harbor, 9.1% as QM Rebuttable Presumption and 35.1% as non-QM. Approximately 33.6% of the loans are not subject to the QM rules. The Servicing Administrator will generally fund advances of delinquent principal and interest (P&I) on any mortgage until such loan becomes 120 days delinquent and is obligated to make advances in respect of taxes, insurance premiums and reasonable costs incurred in the course of servicing and disposing of properties. The transaction employs a senior-subordinate shifting-interest cash flow structure that has been modified to allow available funds to pay interest to the Class B1 and BX1 Certificates before paying principal to the Senior Certificates. The ratings reflect transactional strengths, including the following: (1) Satisfactory Underwriting Standards: Underwriting standards have improved significantly from the pre-crisis era. The majority of loans in this transaction (78.5%) were underwritten to a full documentation standard with respect to verification of income (generally through two years of W-2 forms or personal tax statements), employment and assets. Some self-employed borrowers in this pool were underwritten for income verification using 24 months of bank statements (22.6% of the pool) and 12 months of bank statements (24.1% of the pool). These borrowers have also provided evidence of self-employment in the same business for the past two years with a business narrative, as needed. For loans that were underwritten to a less-than-full documentation standard, borrowers were required to have stronger credit profiles or more equity in their properties compared with a full-documentation loan. Nonetheless, DBRS penalized such less-than-full documentation loans by assigning lower documentation grades, which resulted in higher expected losses for such loans. (2) Robust Pool Composition: The loans in the pool, for the most part, have relatively low LTV and DTI ratios and are made to borrowers with robust FICO scores, incomes and reserves. The pool is composed of loans with a weighted-average (WA) FICO score (based on the lower of primary borrower and co-borrower's refreshed FICO scores) of 744 and WA original combined LTV (CLTV) of 67.6%. The borrowers have a WA DTI of 31.9% with WA reserves of approximately $563,010 and WA annual income (primary borrower) of approximately $444,318. Additionally, 93.4% of the pool consists of fixed-rate loans, with only 6.1% having IO features. Although, when compared with prime jumbo transactions, certain loan attributes, such as LTV ratios and FICO scores, have a more barbelled distribution, the Galton guidelines have compensating factors, such as capping the DTI ratio or requiring additional reserves for the riskier loans. (3) Satisfactory Third-Party Due Diligence Review: A third-party due diligence firm conducted property valuation, credit and compliance reviews on 100.0% of the loans in the pool. Data integrity checks were also performed on the pool. (4) Satisfactory Loan Performance to Date (Albeit Short): Galton established the conduit and commenced activity in September 2014. The first loan was acquired by the conduit in January 2015. Of approximately 575 first-lien mortgages that were aggregated as of December 2016, only four loans were ever 30-days delinquent (excluding any servicing transfer issues) and these loans self-cured shortly after. (5) 100% Current Loans: All loans are current as of the Cut-Off Date. Additionally, no loan in the securitization has had prior delinquencies since origination. The transaction also includes the following challenges and mitigating factors: (1) Geographic Concentration: This transaction has a high concentration of loans in California, which represents 76.5% of the loans in the transaction. Performance of loans that are highly concentrated in a particular region may be more sensitive to any deterioration in economic conditions or the occurrence of a natural disaster in that region. Some mitigating factors include the following: (a) DBRS's RMBS Insight model generates an elevated asset correlation, as determined by loan size and geographic concentration, for this portfolio compared with pools with similar collateral, resulting in higher expected losses across rating categories. (b) There is metropolitan statistical area (MSA) diversity in the pool for the loans from California. (c) Nonetheless, DBRS believes that the elevated concentration of Los Angeles loans demands additional penalties and credit protection. DBRS applied the following stresses in its RMBS Insight model, which increases the expected losses for the loans located in the Los Angeles area: (i) Increased the market value decline assumption for all properties in the Los Angeles area by an additional 50% at each rating category. (ii) Increased the unemployment rate stress for borrowers in the Los Angeles area. (2) QM Rebuttable Presumption, Non-QM and Investor Loans: This portfolio contains QM Rebuttable Presumption or non-QM loans, as well as a significant concentration of investor loans. Some mitigating factors include the following: (a) All loans were originated to meet the eight underwriting factors as required by the ATR rules. The loans were also underwritten to comply with the standards set forth in Appendix Q. (b) Underwriting standards have improved substantially since the pre-crisis era. (c) The DBRS RMBS Insight model incorporates loss severity penalties for non-QM and QM Rebuttable Presumption loans, as explained further in the Key Loss Severity Drivers section of the report for this transaction. (d) Investor loans represent higher default risk (1.2 times (x) to 1.8x penalty) relative to owner-occupied loans holding other attributes constant. In addition, investor loans in this pool have a better credit profile than the overall pool, with a WA FICO of 758, WA original CLTV of 56.0%, WA DTI of 31.1% and substantial liquid reserves at approximately $403,222. Finally, the Galton guidelines have certain LTV caps and FICO floors for investor properties. (3) Representations and Warranties Framework: This transaction employs a standard that includes materiality factors. Some of the originators in the transaction may have limited history in securitizations and/or may potentially experience financial stress that could result in their inability to fulfill repurchase obligations as a result of breaches of representations and warranties. This transaction provides the following mitigating factors: (a) Third-party due diligence was conducted on 100% of the pool with satisfactory results, which mitigates the risk of future representations and warranties violations. (b) The mortgage loans benefit from representations and warranties backstopped by GMLS in the event of an originator's bankruptcy or insolvency proceeding and if the originator fails to cure, repurchase or substitute loans for such a breach. (c) The performance of the aggregated collateral, although limited in history, has been satisfactory to-date. (d) Automatic reviews on certain representations are triggered on any loan that becomes 120-days delinquent or any loan that has incurred a cumulative loss. (e) The reviewer is required to review any triggered loans for breaches of representations and warranties in accordance with predetermined procedures and processes. (f) Certain disputes are ultimately subject to the determination made in a related arbitration proceeding. (g) Notwithstanding the above, DBRS reduced the originator scores, which resulted in higher expected losses. (4) Advances of Delinquent P&I: The Servicing Administrator will advance scheduled P&I on delinquent mortgages until such loans become 120-days delinquent. This will likely result in lower loss severities to the transaction because advanced P&I will not have to be reimbursed from the Trust upon the liquidation of the mortgages, but will increase the possibility of periodic interest shortfalls to the Certificateholders. Mitigating factors include available funds are used to pay interest to the Senior Certificates and Class B1 and Class B1X Certificates before paying principal to the Senior Certificates and subordination levels are greater than expected losses, which may provide for payment of interest to the Certificates. DBRS ran cash flow scenarios that incorporated P&I advancing up to 120 days for delinquent loans; the cash flow scenarios are discussed in more detail in the Cash Flow Analysis section of the report for this transaction. (5) Servicing Administrator's Financial Capability: In this transaction, the Servicing Administrator is responsible for funding advances to the extent required. The Servicing Administrator is an unrated entity and may face financial difficulties in fulfilling its servicing advance obligation in the future. Consequently, the transaction employs Wells Fargo as the Master Servicer. If the Servicing Administrator fails in its obligation to make advances, Wells Fargo will be obligated to fund such servicing advances. The DBRS ratings of AAA (sf) and AA (sf) address the timely payment of interest and full payment of principal by the legal final maturity date in accordance with the terms and conditions of the related Certificates. The DBRS ratings of A (low) (sf), BBB (low) (sf), BB (sf) and B (sf) address the ultimate payment of interest and full payment of principal by the legal final maturity date in accordance with the terms and conditions of the related Certificates. GE BUSINESS 2005-1: Fitch Affirms 'CCCsf' Rating on Cl. D Debt -------------------------------------------------------------- Fitch Ratings has affirmed four GE Business Loan Trusts: Series 2005-1 -- Class A-3 'BBsf'; Outlook Negative; -- Class B 'B+sf'; Outlook Negative; -- Class C 'Bsf'; Outlook Negative; -- Class D 'CCCsf'; RE 100%. Series 2005-2 -- Class A 'Asf'; Outlook Negative; -- Class B 'BBBsf''; Outlook Negative; -- Class C 'BBsf''; Outlook Negative; -- Class D 'Bsf''; Outlook Negative. Series 2006-1 -- Class A 'BBBsf'; Outlook Negative; -- Class B 'BBsf'; Outlook Negative; -- Class C 'B+sf'; Outlook Negative; -- Class D 'B-sf'; Outlook Negative. Series 2006-2 -- Class A 'Asf'; Outlook Negative; -- Class B 'BBBsf'; Outlook Negative; -- Class C 'BBsf'; Outlook Negative; -- Class D 'Bsf'; Outlook Negative. KEY RATING DRIVERS The affirmations of notes in 2005-2, 2006-1 and 2006-2 reflect the stable performance across the transactions and improved credit enhancement (CE) levels. While obligor concentrations remain a concern within these transactions, the concentrations haven't shifted materially since last review and remain consistent with those expected for their respective ratings. The affirmation of outstanding notes for 2005-1 reflects recent defaults over the past 18 months, which have substantially reduced the spread account exposing the notes to the current delinquencies. Available CE will likely not be able to support the loss coverage and obligor coverage levels. While recoveries on these loans and previously defaulted loans would provide some additional support, the timing and size of these recoveries is uncertain. Class D recovery estimate is 100%. The Negative Outlooks reflect Fitch's concern with growing obligor concentrations as the transactions continue to amortize. As the number of obligors decline, the risk exposure increases for a single obligor default within the pools further limiting the outstanding credit support's ability to sustain the default of a large obligor. Given current amortization and current concentrations, Fitch believes the trusts to have increasing risk exposure to additional obligor defaults. As such, Fitch will continue to diligently monitor these transactions and may take additional rating action. METHODOLOGY In reviewing the transactions, Fitch took into account analytical considerations outlined in Fitch's "Global Structured Finance Rating Criteria", issued June 2016, including asset quality, CE, financial structure, legal structure, and originator and servicer quality. Fitch's analysis focused on concentration risks within the pool, by evaluating the impact of the default of the largest performing obligors. The obligor concentration analysis is consistent with Fitch's "Criteria for Rating U.S. Equipment Lease and Loan ABS", dated Dec 2016. The analysis compares expected loss coverage relative to the default of a certain number of the largest obligors. The required net obligor coverage varies by rating category. The required number of obligors covered ranges from 20 at 'AAA' to five at 'B'. Fitch applied loss and recovery expectations based on collateral type and historical recovery performance to the largest performing obligors commensurate with the individual rating category. The expected loss assumption was then compared to the modeled loss coverage available to the outstanding notes given Fitch's expected losses on the currently delinquent loans. Fitch also applied the "Criteria for Rating Caps and Limitations in Global Structured Finance Transactions" dated June 2016 in determining the ratings. Additionally, Fitch's analysis incorporated a review of collateral characteristics, in particular, focusing on delinquent and defaulted loans within the pool. All loans over 60 days delinquent were deemed defaulted loans. The defaulted loans were applied loss and recovery expectations based on collateral type and historical recovery performance to establish an expected net loss assumption for the transaction. Fitch stressed the cashflow generated by the underlying assets by applying its expected net loss assumption. Furthermore, Fitch applied a loss multiplier to evaluate break-even cash flow runs to determine the level of expected cumulative losses the structure can withstand at a given rating level. The loss multiplier scale utilized is consistent with that of other commercial ABS transactions. While the obligor concentration approach was the primary driver, its results were compared to the stresses loss approach and qualitative factors such the results of these approaches compared to prior reviews, recent performance, and available CE. The rating actions taken were ultimately the result of a combination of these factors. Fitch will continue to closely monitor these transactions and may take additional rating action in the event of changes in performance and CE measures. RATING SENSITIVITIES Unanticipated increases in the frequency of defaults and loss severity could produce loss levels higher than the current projected losses and impact available loss coverage and obligor coverage. Lower loss coverage could impact ratings and Rating Outlooks, depending on the extent of the decline in coverage. Should performance materially deteriorate, the decline in loss coverage could negatively impact current ratings. GOLD KEY 2014-A: S&P Puts BB Rating on CreditWatch Negative ----------------------------------------------------------- S&P Global Ratings placed its ratings on each class from Gold Key Resorts 2014-A LLC, Diamond Resorts Owner Trust 2013-2, Diamond Resorts Owner Trust 2014-1, Diamond Resorts Owner Trust 2015-1, and Diamond Resorts Owner Trust 2015-2 on CreditWatch with negative implications. All of these transactions are asset-backed securities (ABS) transactions backed by vacation ownership interval (timeshare) loans. The CreditWatch negative placements reflect higher-than-expected delinquencies and gross defaults for each of these timeshare loan portfolios. As a percentage of total outstanding loans in Diamond Resorts International Inc.'s portfolio, which includes the above Diamond Resorts Owner Trust transactions, the 61-180 day delinquent loans comprised 3.07% in December 2012, 3.25% in December 2013, 3.04% in December 2014 and 4.14% in December 2015. By December 2016, the 61-180 day collection of loans comprised 6.08% of the total portfolio and by January 2017, it continued to rise to 6.57%. While this data does not include the Gold Key Resorts loans, S&P has observed similar increases in that portfolio as well. S&P will resolve the CreditWatch negative placements following the completion of a comprehensive review of each transaction. RATINGS PLACED ON CREDITWATCH NEGATIVE Gold Key Resorts 2014-A LLC Rating Class To From A A (sf)/Watch Neg A (sf) B BBB- (sf)/Watch Neg BBB- (sf) C BB (sf)/Watch Neg BB (sf) Diamond Resorts Owner Trust 2013-2 Rating Class To From A AA (sf)/Watch Neg AA (sf) B A+ (sf)/Watch Neg A+ (sf) Diamond Resorts Owner Trust 2014-1 Rating Class To From A A+ (sf)/Watch Neg A+ (sf) B A- (sf)/Watch Neg A- (sf) Diamond Resorts Owner Trust 2015-1 Rating Class To From A AA- (sf)/Watch Neg AA- (sf) B A (sf)/Watch Neg A (sf) Diamond Resorts Owner Trust 2015-2 Rating Class To From A AA- (sf)/Watch Neg AA- (sf) B A- (sf)/Watch Neg A- (sf) GREEN TREE 1993-04: Moody's Cuts Rating on Class B-2 Debt to C(sf) ------------------------------------------------------------------ Moody's Investors Service has downgraded the ratings of three tranches and upgraded the ratings of three tranches in six transactions issued between 1993 and 1998. The collateral backing these transactions consists primarily of manufactured housing units. Complete rating action follows: Issuer: Green Tree Financial Corporation MH 1993-04 B-2, Downgraded to C (sf); previously on Dec 29, 2003 Downgraded to Ca (sf) Issuer: Green Tree Financial Corporation MH 1994-01 B-2, Downgraded to C (sf); previously on Dec 29, 2003 Downgraded to Ca (sf) Issuer: Green Tree Financial Corporation MH 1995-10 B-1, Upgraded to A1 (sf); previously on Apr 21, 2016 Upgraded to Baa1 (sf) Issuer: Green Tree Financial Corporation MH 1996-02 M-1, Downgraded to Caa3 (sf); previously on Apr 21, 2016 Downgraded to Caa2 (sf) Issuer: Green Tree Financial Corporation MH 1996-07 M-1, Upgraded to B2 (sf); previously on Mar 30, 2009 Downgraded to B3 (sf) Issuer: Green Tree Financial Corporation MH 1998-07 A-1, Upgraded to Baa1 (sf); previously on Aug 1, 2014 Upgraded to Baa3 (sf) RATINGS RATIONALE The actions are a result of the recent performance of manufactured housing loans backed pools and reflect Moody's updated loss expectations on the pools. The tranches upgraded are primarily due to the build-up in credit enhancement. Green Tree Financial Corporation MH 1996-02 M-1 tranche downgrade is due to the depletion of credit enhancement available to the bond. Green Tree Financial Corporation MH 1993-04 and 1994-01 B-2 tranches are not expected to receive their full principal payments primarily due to the outstanding interest shortfalls, prompting their downgrades. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in January 2017. Factors that would lead to an upgrade or downgrade of the ratings: Ratings in the US RMBS sector remain exposed to the high level of macroeconomic uncertainty, and in particular the unemployment rate. The unemployment rate fell to 4.7% in February 2017 from 4.9% in February 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. GRIPPEN PARK: Moody's Assigns Ba3 Rating to Class E Notes --------------------------------------------------------- Moody's Investors Service has assigned ratings to five classes of notes issued by Grippen Park CLO, Ltd. Moody's rating action is: US$384,000,000 Class A Senior Secured Floating Rate Notes due 2030 (the "Class A Notes"), Definitive Rating Assigned Aaa (sf) US$66,000,000 Class B Senior Secured Floating Rate Notes due 2030 (the "Class B Notes"), Definitive Rating Assigned Aa2 (sf) US$37,800,000 Class C Secured Deferrable Floating Rate Notes due 2030 (the "Class C Notes"), Definitive Rating Assigned A2 (sf) US$37,800,000 Class D Secured Deferrable Floating Rate Notes due 2030 (the "Class D Notes"), Definitive Rating Assigned Baa3 (sf) US$26,400,000 Class E Secured Deferrable Floating Rate Notes due 2030 (the "Class E Notes"), Definitive Rating Assigned 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." 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. Grippen Park CLO is a managed cash flow CLO. The Rated 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 collateral obligations that are not senior secured loans, cash or eligible investments. The portfolio is approximately 70% ramped as of the closing date. GSO / Blackstone Debt Funds Management LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's 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 issued one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in October 2016. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $600,000,000 Diversity Score: 60 Weighted Average Rating Factor (WARF): 2850 Weighted Average Spread (WAS): 3.65% Weighted Average Coupon (WAC): 7.50% Weighted Average Recovery Rate (WARR): 47.5% Weighted Average Life (WAL): 9 years. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in 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: 0 Percentage Change in WARF -- increase of 30% (from 2850 to 3705) Rating Impact in Rating Notches Class A Notes: -1 Class B Notes: -3 Class C Notes: -4 Class D Notes: -2 Class E Notes: -1 GS MORTGAGE 2014-GSFL: S&P Lowers Cl. X-EXT Certs Rating to B ------------------------------------------------------------- S&P Global Ratings raised its ratings on the class B and C commercial mortgage pass-through certificates from GS Mortgage Securities Trust 2014-GSFL, a U.S. commercial mortgage-backed securities (CMBS) transaction. In addition, S&P lowered its ratings on three other classes and affirmed its ratings on two other classes from the same transaction. The rating actions on the principal- and interest-paying certificates follow S&P's analysis of the transaction primarily using its criteria for rating U.S. and Canadian CMBS transactions, in which S&P re-evaluated the collateral securing the four loans in the transaction, and reviewed the deal structure and liquidity available to the trust. The upgrades on classes B and C reflect S&P's expectation of the credit enhancement available to the classes, which it believes is greater than its estimates of credit enhancement necessary at the most recent rating levels, S&P's views regarding the current and future performance of the remaining loans, and the reduced trust balance. The downgrades on classes E and F reflect S&P's expected available credit enhancement available to the classes, which it believes is less than its current estimate of necessary credit enhancement for the most recent rating levels, and S&P's view of the collateral's current and future performance. The affirmations on classes A and D 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, and S&P's views regarding the current and future performance of the remaining loans. S&P lowered its rating on the class X-EXT interest-only (IO) certificates based on its criteria for rating IO securities, under which the ratings on the IO securities would not be higher than that of the lowest-rated reference class. The notional balance on class X-EXT references classes A, B, C, D, E, and F. The analysis of large-loan transactions is predominantly a recovery-based approach that assumes a loan default. Using this approach, S&P's property-level analysis included a re-evaluation of the lodging, retail, and industrial properties that secure the four mortgage loans in the trust. S&P's analysis also considered the volatile lodging collateral performance, specifically the recent declines in revenue per available room (RevPAR) and net cash flow (NCF) for the hotel property securing the Yotel loan as of the trailing 12 months ended Sept. 30, 2016, from year-end 2015. According to the Feb. 15, 2016, trustee remittance report, the trust consisted of four floating-rate IO loans with a $360.8 million aggregate trust balance, down from eight loans totaling $542.8 million at issuance. According to the transaction documents, the borrowers will pay the special servicing, work-out, and liquidation fees, as well as costs and expenses incurred from appraisals and inspections the special servicer conducts. To date, the trust has not incurred any principal losses. S&P based its analysis partly on a review of property's historical NCF for the year-to-date or trailing 12 months ended Sept. 30, 2016, and years ended Dec. 31, 2015, and 2014 and, where applicable, the most recent 2016 rent rolls and Smith Travel Research reports that the master servicer provided to determine our opinion of a sustainable cash flow for the properties. The JW Marriott Chicago Hotel loan is the largest loan in the pool with a $131.8 million (36.5%) trust and whole-loan balance. The borrower's equity interest in the whole loan also secures $133.2 million of mezzanine debt. The loan is IO, accrues interest at a rate of one-month LIBOR plus 2.739% per year, and had an initial maturity of July 9, 2016, with three one-year extension options with a final maturity of July 9, 2019. The master servicer, Berkadia Commercial Mortgage LLC (Berkadia), indicated that the borrower has exercised one of its extension options and the loan currently matures in July 2017. The loan is secured by a first-mortgage lien on a 610-key, luxury full-service hotel in the Central Loop submarket of Chicago's central business district and consists of the first 12 floors of a 22-story building formerly known as the City National Bank and Trust Co. Building. The property was developed and completed between 2008 and 2010. In addition, it is S&P's understanding from the master servicer that as of late 2016, there was outstanding litigation surrounding the loans' sponsors associated with the hotel. S&P's analysis considered the stable reported net operating income (NOI). Berkadia reported a 4.50x debt service coverage (DSC) for the trailing 12 months ended Sept. 30, 2016. S&P's expected-case value, using a 9.00% S&P Global Ratings capitalization rate, yielded an 82.9% S&P Global Ratings loan-to-value (LTV) ratio. The Rite Aid Portfolio loan is the second-largest loan in the pool with a $99.4 million (27.5%) trust balance. The loan is IO, pays floating-rate interest of one-month LIBOR plus a 3.56% spread, and matures on April 13, 2017, with two one-year extension options. The loan has a final maturity of April 13, 2019. The loan is secured by 44 individual single-tenant Rite Aid Corp. (Rite Aid; 'B/Watch Pos') stores that are cross-collateralized in 14 states. S&P's analysis considered the stable reported NOI as well as the recent merger announcement of Rite Aid Corp. and Walgreen Co. (BBB/Negative/A-2) and the possibility of divesting up to 1,200 Rite Aid stores. Berkadia reported a 2.95x DSC for the year-to-date Sept. 30, 2016. S&P's expected-case value, using an 8.08% S&P Global Ratings weighted average capitalization rate, yielded an 81.7% S&P Global Ratings LTV ratio. The Yotel loan is the third-largest loan in the pool with a $94.0 million (26.1%) trust balance. In addition, the borrower's equity interest in the whole loan secures $145.5 million in mezzanine debt. In addition, there is $5.0 million of additional debt in the form of preferred equity. The loan is IO, pays floating-rate interest of LIBOR plus a 2.561% spread, and initially matured on Aug. 9, 2015. The loan has three one-year extension options, and Berkadia stated that the loan currently matures in August 2017 and has one extension option remaining, with a final maturity of Aug. 9, 2018. The loan is secured by a first mortgage encumbering a 718-room limited-service hotel located near Times Square and the Jacob Javits Convention Center in New York City. The property was constructed in 2011 and is part of a 60-story mixed-use development. The hotel's reported performance has declined as of the trailing 12 months ended Sept. 30, 2016, from the year ended 2015 due to decreases in reported average daily rate caused primarily by market competition and fluctuations. Berkadia reported a 4.41x DSC for the trailing 12 months ended Sept. 30, 2016. S&P's expected-case value, using a 9.25% S&P Global Ratings capitalization rate, yielded an 88.6% S&P Global Ratings LTV ratio. The Premier Chicago Industrial Portfolio loan, the smallest-loan in the trust, has a $35.6 million (9.9%) trust balance. In addition, the borrower's equity interest in the whole loan secures $3.5 million in mezzanine debt. The loan is IO, pays floating-rate interest of one-month LIBOR plus a 2.831% spread, and had an initial maturity of Feb. 9, 2017, with two one-year extension options. Berkadia confirmed that the loan currently matures on Feb. 9, 2018, with a final maturity of Feb. 9, 2019. The loan is secured by a first mortgage encumbering seven industrial and warehouse facilities totaling 1.15 million sq. ft. in Cook County, Ill. S&P's analysis considered the stable reported NOI. Berkadia reported a 3.39x DSC for the year-to-date Sept. 30, 2016. S&P's expected-case value, using a 7.55% S&P Global Ratings weighted average capitalization rate, yielded an 82.5% S&P Global Ratings LTV ratio. RATINGS LIST GS Mortgage Securities Trust 2014-GSFL Commercial mortgage pass-through certificates series 2014-GSFL Rating Class Identifier To From A 36253TAA2 AAA (sf) AAA (sf) X-EXT 36253TBK9 B (sf) BB- (sf) B 36253TAG9 AA+ (sf) AA- (sf) C 36253TAK0 A (sf) A- (sf) D 36253TAN4 BBB- (sf) BBB- (sf) E 36253TAR5 BB- (sf) BB (sf) F 36253TBM5 B (sf) BB- (sf) GS MORTGAGE 2016-ICE2: Moody's Affirms Ba3 Rating on Cl. E Notes ---------------------------------------------------------------- Moody's Investors Service has affirmed the ratings of five classes in GS Mortgage Securities Corporation Trust 2016-ICE2, Commercial Mortgage Pass-Through Certificates, Series 2016-ICE2: Cl. A, Affirmed Aaa (sf); previously on Mar 24, 2016 Definitive Rating Assigned Aaa (sf) Cl. B, Affirmed Aa3 (sf); previously on Mar 24, 2016 Definitive Rating Assigned Aa3 (sf) Cl. C, Affirmed A3 (sf); previously on Mar 24, 2016 Definitive Rating Assigned A3 (sf) Cl. D, Affirmed Baa3 (sf); previously on Mar 24, 2016 Definitive Rating Assigned Baa3 (sf) Cl. E, Affirmed Ba3 (sf); previously on Mar 24, 2016 Definitive Rating Assigned Ba3 (sf) RATINGS RATIONALE The ratings on five principal and interest (P&I) classes were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio and Moody's stressed debt service coverage ratio (DSCR) are within acceptable ranges. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in October 2015. DESCRIPTION OF MODELS USED Moody's analysis used the excel-based Large Loan Model. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan-level proceeds derived from Moody's loan-level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, 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 February 15, 2017 distribution date, the transaction's aggregate certificate balance was $970 million, unchanged from at securitization. The transaction is secured by a floating rate, interest-only mortgage loan collateralized by a portfolio of 43 cold-storage facilities located across 14 US states (WA, CA, TX, GA, IL, NE, PA, NC, AL, KS, KY, OH, VA, and CO). Construction dates range between 1950 and 2014 and reflect an average age of 17.5 years. The loan sponsor is Lineage Logistics, a leading temperature-controlled storage, logistics, and warehousing company. The 43 properties comprising the loan collateral are 100% leased through a master lease agreement to the operating company Lineage Logistics, LLC, an affiliate of the loan sponsor. The master lease commenced in February 2016 with a base rent of $102.5 million per annum, subject to annual increases equal to the greater of 2% or CPI, not to exceed 3.5%. The largest subtenant is Walmart, which contributes approximately 9% of the portfolio revenue. The second largest tenant, Lamb Weston, contributes approximately 7% of portfolio revenue. Post securitization, Lamb Weston was spun off from former parent company ConAgra Foods, which carried a Moody's investment grade rating at securitization. Following the spinoff, Moody's, in October 2016, assigned a new, below investment-grade rating (Moody's Senior Unsecured Rating Ba3, Stable Outlook) to the spinoff, Lamb Weston Holdings, Inc., which reduced the share of credit subtenants at the portfolio. Moody's has accounted for this reduced share of credit subtenants in Moody's analysis. Moody's stabilized NCF is $112 million, the same as at securitization. Moody's trust LTV ratio is 89%, and Moody's stressed DSCR for the trust is at 1.25X. The trust has not experienced any losses or interest shortfalls since securitization. GS MORTGAGE 2017-GS5: Fitch Assigns 'B-sf' Rating to Cl. F Certs ---------------------------------------------------------------- Fitch Ratings has assigned the following ratings and Rating Outlooks to GS Mortgage Securities Trust 2017-GS5 commercial mortgage pass-through certificates: -- $13,770,000 class A-1 'AAAsf'; Outlook Stable; -- $51,316,000 class A-2 'AAAsf'; Outlook Stable; -- $248,000,000 class A-3 'AAAsf'; Outlook Stable; -- $381,598,000 class A-4 'AAAsf'; Outlook Stable; -- $28,604,000 class A-AB 'AAAsf'; Outlook Stable; -- $803,366,000a class X-A 'AAAsf'; Outlook Stable; -- $72,329,000a class X-B 'AA-sf'; Outlook Stable; -- $80,078,000 class A-S 'AAAsf'; Outlook Stable; -- $72,329,000 class B 'AA-sf'; Outlook Stable; -- $43,914,000 class C 'A-sf'; Outlook Stable; -- $43,914,000 class X-C 'A-sf'; Outlook Stable; -- $46,497,000b class D 'BBB-sf'; Outlook Stable; -- $46,497,000ab class X-D 'BBB-sf'; Outlook Stable; -- $21,957,000bd class E 'BB-sf'; Outlook Stable; -- $10,333,000bd class F 'B-sf'; Outlook Stable. The following are not expected to be rated: -- $34,873,240bd class G; -- $28,672,425ac VRR. a) Notional amount and interest only. b) Privately placed pursuant to Rule 144A. c) The VRR is not a class of certificates, but represents the vertically-retained interest in the issuing entity (representing 2.7% of the pool balance as of the closing date). d) Horizontal credit risk retention interest representing 6.5% of the pool balance (as of the closing date). The ratings are based on information provided by the issuer as of March 20, 2017. Since issuing its presale report, one interest-only class, X-C has been added to the capital structure. This does not affect Fitch's ratings on the other classes. The certificates represent the beneficial ownership interest in the trust, primary assets of which are 32 loans secured by 72 commercial properties having an aggregate principal balance of $1,061,941,665 as of the cut-off date. The loans were contributed to the trust by Goldman Sachs Mortgage Company and Goldman Sachs Commercial Real Estate, LP. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 85.5% of the properties by balance, asset summary reviews on 100% of the pool, and cash flow analysis of 93.6% of the pool. KEY RATING DRIVERS Better Than Average Leverage: The Fitch leverage for this transaction is better than that of other recent Fitch-rated transactions. Excluding credit opinion loans, the conduit-only Fitch debt service coverage ratio (DSCR) is 1.26x and the conduit-only Fitch loan to value (LTV) is 103.7%. Both metrics compare favorably to the year-to-date (YTD) 2017 and 2016 average DSCRs of 1.15x and 1.16x, respectively, as well as the YTD 2017 and 2016 average LTV ratios of 110.4% and 109.9%. The fusion pool has a Fitch DSCR of 1.28x and a Fitch LTV of 98.3%. High Percentage of Investment-Grade Credit Opinion Loans: Three loans representing 14.3% of the pool have investment-grade credit opinions. The proportion of investment-grade credit opinion loans in this securitization exceeds the 2016 average concentration of 8.4%. The largest loan, 350 Park Avenue (9.42%), has a stand-alone credit opinion of 'BBB-sf*'. The 14th largest loan, AMA Plaza (2.83%), has a stand-alone credit opinion of 'BBBsf*'. The 18th largest loan, 225 Bush Street (2.07%), has a stand-alone credit opinion of 'BBB+sf*'. Very Low Amortization: Based on the scheduled balance at maturity, the pool will pay down just 4.4%, the lowest to date of any Fitch-rated CMBS transaction. This is below the YTD 2017 average of 6.9% and the 2016 average of 10.4%. Fifteen full-term interest-only loans compose 63.7% of the pool, and 12 loans representing 21.8% of the pool are partial interest only. Highly Concentrated Pool: The top 10 loans in the pool make up 64.2% of the pool. This is above both the YTD 2017 average of 50.7% and the 2016 average of 54.8%. RATING SENSITIVITIES For this transaction, Fitch's net cash flow (NCF) was 10.3% 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 GSMS 2017-GS5 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 'AA-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 'A-sf' could result. HELLER FINANCIAL 2000-PH1: Moody's Affirms C Rating on Cl. H Debt ----------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on two classes Heller Financial Commercial Mortgage Asset Corp. 2000 PH-1: Cl. H, Affirmed C (sf); previously on Apr 20, 2016 Affirmed C (sf) Cl. X, Affirmed Caa3 (sf); previously on Apr 20, 2016 Affirmed Caa3 (sf) RATINGS RATIONALE The rating on Class H was affirmed because the rating is consistent with Moody's expected plus realized loss. Class H has already experienced a 69% realized loss as result of previously liquidated loans. The rating on the IO class, Class X, was affirmed based on the credit performance of its referenced class. Moody's does not anticipate losses from the remaining collateral in the current environment. However, over the remaining life of the transaction, losses may emerge from macro stresses to the environment and changes in collateral performance. Moody's ratings reflect the potential for future losses under varying levels of stress. Moody's base expected loss plus realized losses is now 7.1% of the original pooled balance, essentially unchanged from last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in October 2015. Additionally, the methodology used in rating Cl. X was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in October 2015. Please note that on February 27, 2017, Moody's released a "Request for Comment" in which it has requested market feedback on proposed changes to its methodology for rating structured finance interest-only (IO) securities called "Moody's Approach to Rating Structured Finance Interest-Only Securities," dated October 20, 2015. If Moody's adopts the new methodology as proposed, the changes could affect the ratings of HFCMC 2000-PH1. DESCRIPTION OF MODELS USED Moody's review used the excel-based CMBS Conduit Model, which it uses for both conduit and fusion transactions. Credit enhancement levels for conduit loans are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate Moody's uses to estimate Moody's value). Moody's fuses the conduit results with the results of its analysis of investment grade structured credit assessed loans and any conduit loan that represents 10% or greater of the current pool balance. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 2, and remains unchanged since Moody's last review. When the Herf falls below 20, Moody's uses the excel-based Large Loan Model and then reconciles and weights the results from the conduit and large loan models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan-level proceeds derived from Moody's loan-level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type and sponsorship. Moody's also further adjusts these aggregated proceeds for any pooling benefits associated with loan level diversity and other concentrations and correlations. DEAL PERFORMANCE As of the February 15, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 99.9% to $1.02 million from $956.9 million at securitization. The certificates are collateralized by three mortgage loans ranging in size from 20% to 53% of the pool. One loan, constituting 26.2% of the pool, has defeased and is secured by US government securities. Thirty-three loans have been liquidated with a loss from the pool, resulting in an aggregate realized loss of $68.2 million (for an average loss severity of 48%). The two remaining non-defeased loans represent 73.8% of the pool. The largest loan is the Walgreens-Vegas Loan ($544,086 -- 53% of the pool), which is secured by a 14,000 SF single tenant retail building located in Las Vegas, Nevada. Walgreens lease expiration is in 2048; however, the tenant has termination options every five years starting in 2018. The loan has amortized over 85% since securitization and matures in August 2018. Due to the single tenant exposure, Moody's value incorporated a lit / dark analysis. Moody's LTV and stressed DSCR are 13% and >4.00X, respectively, compared to 20% and >4.00X 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 second largest loan is the Tiny Tim Plaza Loan ($208,746 -- 20% of the pool), which is secured by a 17,000 SF retail center located in Santa Ana, California. The property is primarily occupied by local tenants. The loan has amortized over 67% and matures in December 2019. Moody's LTV and stressed DSCR are 18% and >4.00X, respectively, compared to 21% and >4.00X at the last review. ICE 1: Moody's Affirms Caa2(sf) Rating on Class D Sec. Term Notes ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by ICE 1: EM CLO Ltd.: US$95,000,000 Class A-3 Floating Rate Senior Secured Term Notes Due August 15, 2022 (current outstanding balance of $38,939,820), Upgraded to Aaa (sf); previously on June 8, 2016 Affirmed Aa2 (sf) US$51,000,000 Class B Floating Rate Senior Subordinate Secured Term Notes Due August 15, 2022, Upgraded to A1 (sf); previously on June 8, 2016 Affirmed Baa2 (sf) US$38,000,000 Class C Floating Rate Subordinate Secured Term Notes Due August 15, 2022, Upgraded to Ba2 (sf); previously on June 8, 2016 Downgraded to Ba3 (sf) Moody's also affirmed the rating on the following note: US$40,000,000 Class D Floating Rate Junior Subordinate Secured Term Notes Due August 15, 2022 (current outstanding balance of $34,291,813), Affirmed Caa2 (sf); previously on June 8, 2016 Downgraded to Caa2 (sf) ICE 1: EM CLO Ltd., issued in August 2007, is a collateralized debt obligation (CDO) backed primarily by a portfolio of senior unsecured bonds, senior secured loans and non-senior secured loans, with significant exposure to emerging market corporate and sovereign issuers. The transaction's reinvestment period ended in August 2013. RATINGS RATIONALE These rating actions are primarily a result of credit quality improvement in the portfolio and an increase in the transaction's over-collateralization (OC) ratios due to deleveraging of $111.5 million since June 2016. Based on the trustee's February 2017 report, the weighted average rating factor is currently 3090 compared to 4017 in June 2016. The OC ratios for the notes have also increased. The Class A-2 notes have been paid in full, and the Class A-3 notes and the Class D notes have been paid down by approximately 59.0% or $56.1 million and 4.48% or $1.6 million, respectively, since then. Based on Moody's calculations, the OC ratios for the Class A, Class B, Class C and Class D notes are 452.64%, 195.97%, 137.77% and 108.64%, respectively, versus June 2016 levels of 192.77%, 143.58%, 120.64% and 104.82%, respectively. Moody's notes that a significant portion of the proceeds used to pay down notes has been from asset sales and prepayments on the underlying collateral pool, including assets with ratings Caa3 or lower. Asset sales coupled with prepayments, have significantly reduced exposure in the portfolio to the oil and gas sector, particularly in countries with low speculative grade foreign currency ceilings, such as Venezuela. In addition, the deal continues to have a large, out-of-the-money interest rate swap, which matures in August 2017. The notional of this swap, however, decreased substantially in February 2017 and will decrease further in August 2017. On the latest payment date, the reduction in swap notional required less excess interest. Therefore, excess interest was available to deleverage the Class D notes following a D OC test failure. 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: This transaction is subject to a number of factors and circumstances that could lead to either an upgrade or downgrade of the ratings: 1) Macroeconomic uncertainty: CLO performance is subject to a) uncertainty about credit conditions in the general economy and b) the large concentration of upcoming speculative-grade debt maturities, which could make refinancing difficult for issuers. 2) Collateral Manager: Performance can also be affected positively or negatively by a) the manager's investment strategy and behavior and b) differences in the legal interpretation of CLO documentation by different transactional parties owing to embedded ambiguities. 3) Collateral credit risk: A shift towards collateral of better credit quality, or better credit performance of assets collateralizing the transaction than Moody's current expectations, can lead to positive CLO performance. Conversely, a negative shift in credit quality or performance of the collateral can have adverse consequences for CLO performance. 4) Deleveraging: An important source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will continue and at what pace. Deleveraging of the CLO could accelerate owing to high prepayment levels in the bond and loan markets 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) Country risk: The portfolio includes exposure to a large number of countries with foreign currency ceilings below Aa3, including significant exposure to Venezuela, Argentina, Russia, Azerbaijan and Ukraine. Country risk arises from (a) political, financial and economic factors either inside or outside the country, and (b) the transfer of and conversion into foreign currency. Countries in the same region could also be highly correlated because of mutual dependence on external capital flows, on commodity price, or on political regimes that could have spillover effects into neighboring countries. 6) Recovery of defaulted assets: The portfolio includes a large number of defaulted and Ca-rated assets, totaling $116.6 million, or approximately 46% of total par and principal proceeds. Fluctuations in the market value of defaulted assets reported by the trustee and those that Moody's assumes as having defaulted could result in volatility in the deal's OC levels. Further, the timing of recoveries and whether a manager decides to work out or sell defaulted assets create additional uncertainty. Realization of higher than assumed recoveries would positively impact the CLO. 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 or lower, especially if they jump to default. 8) The deal has a pay-fixed receive-floating interest rate swap that is currently out of the money. If fixed-rate assets prepay or default, the mismatch between the swap notional and the amount of fixed assets would be more substantial. In such cases, payments to hedge counterparties could consume a large portion or all of the interest proceeds, leaving the transaction, even with respect to the senior notes, with poor interest coverage. Payment timing mismatches between assets and liabilities can lead to additional concerns. If the deal does not receive sufficient principal proceeds on the payment date to supplement the interest proceeds shortfall, an interest payment default is much more likely to occur. Similarly, using principal proceeds to pay interest could lead to the risk of payment default on the principal of the notes. 9) 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. 10) 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 $25.4 million of par, Moody's ran a sensitivity case defaulting those assets. In addition to the base case analysis, Moody's also conducted sensitivity analyses to test the impact of a number of default probabilities on the rated notes relative to the base case modeling results, which may be different from the current public ratings of the notes. Below is a summary of the impact of different default probabilities (expressed in terms of WARF) on all of the rated notes (by the difference in the number of notches versus the current model output, for which a positive difference corresponds to lower expected loss): Moody's Adjusted WARF -- 20% (3238) Class A-3: 0 Class B: +1 Class C: +1 Class D: +1 Moody's Adjusted WARF + 20% (4856) Class A-3: 0 Class B: -1 Class C: -1 Class D: -2 Loss and Cash Flow Analysis: Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." In addition, because of the collateral pool's low diversity and exposure to countries with low foreign currency ceilings, Moody's used CDOROM™ to simulate a loss distribution that it then used as an input in the cash flow model, as described in Appendix III of "Moody's Approach to Rating Corporate Collateralized Synthetic Obligations." Moody's also supplemented its modeling with individual scenario analyses to assess the ratings impact of jump-to-default by large obligors. 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 $161.7 million, defaulted par of $91.2 million, a weighted average default probability of 17.47% (implying a WARF of 4047), a weighted average recovery rate upon default of 34.83%, a diversity score of 8, a weighted average coupon of 9.2% and a weighted average spread of 4.4%. Moody's incorporates the default and recovery properties of the collateral pool in cash flow model analysis where they are subject to stresses as a function of the target rating on each CLO liability reviewed. Moody's derives the default probability from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate for future defaults is based primarily on the seniority of the assets in the collateral pool. Moody's generally applies recovery rates for CLO securities as published in "Moody's Approach to Rating SF CDOs". In some cases, alternative recovery assumptions may be considered based on the specifics of the analysis of the CLO transaction. In each case, historical and market performance and the collateral manager's latitude for trading the collateral are also factors. A material proportion of the collateral pool includes debt obligations whose credit quality Moody's assesses through credit estimates. Moody's analysis reflects adjustments with respect to the default probabilities associated with credit estimates. Specifically, Moody's assumed an equivalent of Caa3 for assets with credit estimates that have not been updated within the last 15 months, which represent approximately 8.8% of the collateral pool. JMP CREDIT III: Moody's Assigns Ba3 Rating to Class E-R Sec. Notes ------------------------------------------------------------------ Moody's Investors Service has assigned ratings to five classes of notes issued by JMP Credit Advisors CLO III Ltd. US$228,000,000 Class A-R Senior Secured Floating Rate Notes due 2025 (the "Class A-R Notes"), Assigned Aaa (sf) US$41,700,000 Class B-R Senior Secured Floating Rate Notes due 2025 (the "Class B-R Notes"), Assigned Aa1 (sf) US$22,500,000 Class C-R Mezzanine Secured Deferrable Floating Rate Notes due 2025 (the "Class C-R Notes"), Assigned A1 (sf) US$21,600,000 Class D-R Mezzanine Secured Deferrable Floating Rate Notes due 2025 (the "Class D-R Notes"), Assigned Baa3 (sf) US$18,300,000 Class E-R Mezzanine Secured Deferrable Floating Rate Notes due 2025 (the "Class E-R Notes"), Assigned Ba3 (sf) The Class A-R Notes, the Class B-R Notes, the Class C-R Notes, the Class D-R Notes and the Class E-R 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. The Issuer has issued the Rated Notes in connection with the refinancing of five classes of secured notes (together, the "Refinanced Notes"), previously issued on September 30, 2014 (the "Original Closing Date"). The Issuer used the proceeds from the issuance of the Rated Notes to redeem in full the Refinanced Notes pursuant to this refinancing. On the Original Closing Date, in addition to the Refinanced Notes, the Issuer issued one class of subordinated notes, which are not subject to this refinancing and will remain outstanding. JMP CLO III is a managed cash flow CLO. The issued notes are collateralized primarily by broadly syndicated first lien senior secured corporate loans. At least 90% of the portfolio must consist of senior secured loans and eligible investments, and up to 10% of the portfolio may consist of second lien loans and senior unsecured loans. The underlying portfolio is 100% ramped as of the closing date of the refinancing. JMP Credit Advisors LLC (the "Manager") manages the CLO. It directs the selection, acquisition, and disposition of collateral on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's reinvestment period. After the reinvestment period, which ends in October 2018, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets and credit improved assets, subject to certain restrictions. 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. The key model inputs Moody's used in its analysis, such as par, the weighted average rating factor, diversity score and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Total portfolio par and principal proceeds balance: $358,864,323 Defaulted par: $2,953,447 Diversity Score: 78 Weighted Average Rating Factor (WARF): 2872 Weighted Average Spread (WAS): 3.98% Weighted Average Recovery Rate (WARR): 48.42% Weighted Average Life (WAL): 5.0 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 a 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 2872 to 3303) Rating Impact in Rating Notches Class A-R Notes: 0 Class B-R Notes: 0 Class C-R Notes: -1 Class D-R Notes: 0 Class E-R Notes: 0 Percentage Change in WARF -- increase of 30% (from 2872 to 3734) Rating Impact in Rating Notches Class A-R Notes: 0 Class B-R Notes: -1 Class C-R Notes: -2 Class D-R Notes: -1 Class E-R Notes: -1 JP MORGAN 2005-CIBC12: Moody's Lowers Class B Debt Rating to B3 --------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on three classes and downgraded the ratings on two classes in J.P. Morgan Chase Commercial Mortgage Securities Corp., Commercial Pass-Through Certificates, Series 2005-CIBC12: Cl. A-J, Affirmed Baa1 (sf); previously on Sep 1, 2016 Affirmed Baa1 (sf) Cl. B, Downgraded to B3 (sf); previously on Sep 1, 2016 Downgraded to B1 (sf) Cl. C, Downgraded to C (sf); previously on Sep 1, 2016 Downgraded to Caa3 (sf) Cl. D, Affirmed C (sf); previously on Sep 1, 2016 Affirmed C (sf) Cl. X-1, Affirmed Caa3 (sf); previously on Sep 1, 2016 Downgraded to Caa3 (sf) RATINGS RATIONALE The rating on the P&I class A-J was affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The rating on the P&I class D was affirmed because the ratings are consistent with Moody's expected loss. The ratings on the P&I classes B and C were downgraded due to realized and anticipated losses from specially serviced and troubled loans that were higher than Moody's had previously expected. The rating on the IO class 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 42.1% of the current balance, compared to 27.1% at Moody's last review. Moody's base expected loss plus realized losses is now 10.8% of the original pooled balance, compared to 10.3% 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" published in October 2015. Please note that on February 27, 2017, Moody's released a "Request for Comment" in which it has requested market feedback on proposed changes to its methodology for rating structured finance interest-only (IO) securities called "Moody's Approach to Rating Structured Finance Interest-Only Securities," dated October 20, 2015. If Moody's adopts the new methodology as proposed, the changes could affect the ratings of J.P. Morgan Chase Commercial Mortgage Securities Corp., Commercial Pass-Through Certificates, Series 2005-CIBC12. DESCRIPTION OF MODELS USED Moody's review used the excel-based CMBS Conduit Model, which it uses for both conduit and fusion transactions. Credit enhancement levels for conduit loans are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate Moody's uses to estimate Moody's value). Moody's fuses the conduit results with the results of its analysis of investment grade structured credit assessed loans and any conduit loan that represents 10% or greater of the current pool balance. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 4, compared to 5 at Moody's last review. 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 March 13th, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 94% to $123 million from $2.17 billion at securitization. The certificates are collateralized by nine mortgage loans ranging in size from less than 1% to 30% of the pool. Two loans, constituting 12% of the pool, have defeased and are secured by US government securities. One loan, constituting 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. Forty-five loans have been liquidated from the pool, resulting in an aggregate realized loss of $183 million (for an average loss severity of 37%). Two loans, constituting 55% of the pool, are currently in special servicing. The largest specially serviced loan is the Fort Steuben Mall Loan ($36.2 million -- 29.5% of the pool), which is secured by a Class B regional mall in Steubenville, Ohio. The mall was originally anchored by Sears, JC Penney, Walmart, Dick's Sporting Goods, and Macy's, and is the only regional mall within a 30 miles radius. The loan transferred to special servicing in January 2016 when the borrower stated it will no longer will fund shortfalls to cover debt service. Subsequent to the closure of the anchor tenant Sears in June 2016, another anchor tenant, Macy's, announced in January 2017 that the store at the mall will be closed in the early spring of 2017. The mall was 76% leased as of December 31th, 2016 (including Macy's occupancy). Foreclosure occurred in February 2017. The special servicer is awaiting court confirmation. Once the asset becomes real estate owned (REO), a hold/sell recommendation will be completed in order to determine timing and strategy of eventual REO sale. Moody's anticipates a significant loss on this loan. The second largest specially serviced loan is the South Brunswick Square Loan ($31.7 million -- 25.9% of the pool), a 260,980 square foot (SF) retail center located on Route 1 in South Brunswick / Monmouth Junction, New Jersey. Approximately 142,000 SF of the property is secured as collateral. The anchors at the property are Home Depot (not part of collateral) and Bob's Furniture. The loan transferred to special servicing in August 2014 due to imminent default. The former grocery anchor tenant, Stop & Shop, vacated at its lease expiration in July 2014. The special servicer indicated they are working to complete foreclosure of the collateral. All property cash flow is currently directed to a lender-controlled lockbox. The property was 75% leased as of December 2016, essentially the same as at Moody's last review. Moody's estimates an aggregate $50.7 million loss for the specially serviced loans (75 % expected loss on average). As of the March 2017 remittance statement cumulative interest shortfalls were $12.4 million. Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced 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 80% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 93%, compared to 84% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 13% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.7%. Moody's actual and stressed conduit DSCRs are 1.28X and 1.17X, respectively, compared to 1.51X and 1.37X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The top three conduit loans represent 29% of the pool balance. The largest loan is the Discovery Channel Building Loan ($25.5 million -- 20.8% of the pool). The loan is secured by a 149,000 SF office property located in downtown Silver Spring, Maryland. The property is 100% leased to Discovery Communications, a mass media company, through March 2025. The loan matures in July 2020. Moody's value incorporates a dark/lit analysis to recognize the single-tenant exposure. Moody's LTV and stressed DSCR are 98% and 1.12X, respectively, compared to 99% and 1.11X at the last review. The second largest loan is the Lewisville Town Center Loan ($5.0 million -- 4.1% of the pool). The loan is secured by a 47,000 SF retail property located in Lewistown a suburb of Dallas-Fort Worth, Texas. The property is located in a major retail corridor. The largest tenants include a JP Morgan Bank Branch, Korner Café and Italian Vila. As of September 2016, the property was 97% leased. Moody's LTV and stressed DSCR are 66% and 1.41X, respectively, compared to 65% and 1.43X at the last review. The third largest loan is the Fairway Park Manor Loan ($4.7 million -- 4% of the pool), which is secured by a 100-unit apartment complex located 3 miles south of Reno Downtown. As of September 2016, the occupancy was 96%, compared to 95% as of December 2015. Moody's LTV and stressed DSCR are 135% and 0.72X, respectively, compared to 137% and 0.71X at the last review. JP MORGAN 2005-LDP4: Moody's Affirms C(sf) Rating on Class D Debt ----------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on four J.P. Morgan Chase Commercial Mortgage Securities Corp. Series 2005-LDP4: Cl. B, Affirmed Baa1 (sf); previously on Mar 17, 2016 Upgraded to Baa1 (sf) Cl. C, Affirmed Caa1 (sf); previously on Mar 17, 2016 Upgraded to Caa1 (sf) Cl. D, Affirmed C (sf); previously on Mar 17, 2016 Affirmed C (sf) Cl. X-1, Affirmed Caa3 (sf); previously on Mar 17, 2016 Downgraded to Caa3 (sf) RATINGS RATIONALE The ratings of one P&I class was affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR), and the transaction's Herfindahl Index (Herf) are within acceptable ranges. The ratings on two P&I classes were affirmed because the ratings are consistent with Moody's expected loss plus realized losses. The rating on the IO class X-1 was affirmed based on the credit performance (or the weighted average rating factor or WARF) of the referenced classes. Moody's rating action reflects a base expected loss of 26.0% of the current balance, compared to 21.4% at Moody's last review. Moody's base expected loss plus realized losses is now 9.3% of the original pooled balance, compared to 9.1% 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. X-1 was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in October 2015. Please note that on February 27, 2017, Moody's released a "Request for Comment" in which it has requested market feedback on proposed changes to its methodology for rating structured finance interest-only (IO) securities called "Moody's Approach to Rating Structured Finance Interest-Only Securities," dated October 20, 2015. If Moody's adopts the new methodology as proposed, the changes could affect the ratings of JPMCC 2005-LDP4. 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 six, compared to seven 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 15 February, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 96.6% to $90.7 million from $2.7 billion at securitization. The certificates are collateralized by 13 mortgage loans ranging in size from less than 1% to 30.6% of the pool, with the top ten loans (excluding defeasance) constituting 98.0% of the pool. Three loans, constituting 14.0% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Twenty-seven loans have been liquidated from the pool, resulting in an aggregate realized loss of $224.2 million (for an average loss severity of 55.5%). Two loans, constituting 26% of the pool, are currently in special servicing. The largest specially serviced loan is the North Tenaya Loan ($15.3 million -- 16.9% of the pool), which is secured by an office building located in Las Vegas, Nevada. The property was transferred to the special servicer in August 2015 due to monetary default. The property was 48% occupied as of the January 2017 rent roll. The second largest specially serviced loan is the Inverness Regional Shopping Center Loan ($8.1 million -- 9.0% of the pool), which is secured by a 204,000 SF regional shopping center located in Inverness, Florida. At securitization, the property was anchored by a Publix, K-Mart, and Beall's Outlet. The property was 34% occupied as of the December 2016 rent roll. Moody's estimates an aggregate $18.3 million loss for specially serviced loans (78.3% expected loss on average). Moody's has assumed a high default probability for two poorly performing loans, constituting 13.5% of the pool, and has estimated an aggregate loss of $5.0 million (a 41.0% expected loss based on a 59.6% probability default) from these troubled loans. 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). Moody's weighted average conduit LTV is 89%, compared to 76% 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 24.1% 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 1.24X and 1.57X, respectively, compared to 1.46X and 1.66X 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 50.0% of the pool balance. The largest loan is the 23 Main Street Loan ($27.7 million -- 30.6% of the pool), which is secured by a 350,000 SF single-tenant office building located in Holmdel, New Jersey and serves as the corporate headquarters for Vonage. The property had previously been transferred to the special servicer due to uncertainty surrounding the renewal of the Vonage lease. Vonage elected to extend their lease through October 2023 and the loan was returned to the master servicer in May 2016. Moody's LTV and stressed DSCR are 113% and 1.00X, respectively, compared to 89% and 1.27X at the last review. Moody's value incorporates a Lit/Dark analysis to account for the single-tenant exposure. The second largest loan is the Silver Hills Apartments Loan ($9.7 million -- 10.7% of the pool), which is secured by a 273 unit multifamily property located in Orlando, Florida approximately eight miles northwest of the Orlando CBD. The property was 99% occupied as of the December 2016 rent roll. Moody's LTV and stressed DSCR are 72% and 1.24X, respectively, compared to 76% and 1.19X at the last review. The third largest loan is the Owens Corning Loan ($7.9 million -- 8.8% of the pool), which is secured by a 421,000 SF warehouse facility located in Chester, North Carolina, approximately 45 miles southwest of Charlotte and 60 miles north of Columbia, South Carolina. The property is 100% leased to Boral Stone Products, a subsidiary of Owens Corning. The loan is fully amortizing and has amortized 43% since securitization. Moody's LTV and stressed DSCR are 60% and 1.72X, respectively, compared to 51% and 2.02X at the last review. JP MORGAN 2007-LDP11: Moody's Affirms Ba2 Rating on Cl. A-M Debt ---------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on two classes and affirmed the ratings on five classes in J.P. Morgan Chase Commercial Mortgage Securities Trust 2007-LDP11, Commercial Mortgage Pass-Through Certificates, Series 2007-LDP11: Cl. A-4, Upgraded to A1 (sf); previously on Mar 11, 2016 Affirmed A3 (sf) Cl. A-1A, Upgraded to A1 (sf); previously on Mar 11, 2016 Affirmed A3 (sf) Cl. A-M, Affirmed Ba2 (sf); previously on Mar 11, 2016 Affirmed Ba2 (sf) Cl. A-J, Affirmed Caa3 (sf); previously on Mar 11, 2016 Affirmed Caa3 (sf) Cl. B, Affirmed C (sf); previously on Mar 11, 2016 Affirmed C (sf) Cl. C, Affirmed C (sf); previously on Mar 11, 2016 Affirmed C (sf) Cl. X, Affirmed Ca (sf); previously on Mar 11, 2016 Downgraded to Ca (sf) RATINGS RATIONALE The ratings on two P&I classes were upgraded based primarily on an increase in credit support resulting from loan paydowns and amortization. The deal has paid down 31% since Moody's last review. The rating on one P&I class was affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The ratings on three P&I classes were affirmed because the ratings are consistent with Moody's expected loss plus realized losses. The rating on the IO class, Class X, was affirmed because the class does not, nor is expected to, receive monthly interest payments. Moody's rating action reflects a base expected loss of 18.5% of the current balance, compared to 13.4% at Moody's last review. Moody's base expected loss plus realized losses is now 17.4% of the original pooled balance, compared to 17.8% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in December 2014. Additionally, the methodology used in rating Cl. X was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in October 2015. Please note that on February 27, 2017, Moody's released a "Request for Comment" in which it has requested market feedback on proposed changes to its methodology for rating structured finance interest-only (IO) securities called "Moody's Approach to Rating Structured Finance Interest-Only Securities," dated October 20, 2015. If Moody's adopts the new methodology as proposed, the changes could affect the ratings of J.P. Morgan Chase Commercial Mortgage Securities Trust 2007-LDP11. 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 23, compared to a Herf of 35 at Moody's last review. DEAL PERFORMANCE As of the February 15, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 61% to $2.09 billion from $5.41 billion at securitization. The certificates are collateralized by 136 mortgage loans ranging in size from less than 1% to 11% of the pool, with the top ten loans constituting 50% of the pool. Thirteen loans, constituting 5% of the pool, have defeased and are secured by US government securities. Seventy-three loans, constituting 46% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Fifty-four loans have been liquidated from the pool with a loss, contributing to an aggregate realized loss of $559 million (for an average loss severity of 46%). Ten loans, constituting 20% of the pool, are currently in special servicing. The largest specially serviced loan is GSA Portfolio -- A Note Loan ($225.7 million -- 10.8% of the pool), which is secured by a portfolio of nine cross-collateralized properties located in five states (Colorado, New York, West Virginia, Kansas and Pennsylvania). The loan has transferred in and out of special servicing since 2012. The loan most recently transferred back to the Special Servicer in February 2016 due to leasing concerns. The portfolio was 95% leased as of September 2016. The loan's maturity date was extended to May 2017 as part of a loan modification which closed in the first quarter of 2014. The modification split the principal balance into an A Note and a $34 million B Note. There is also mezzanine debt associated with the property. The second largest specially serviced loan is the JQH Hotel Portfolio Loan ($50.0 million -- 2.4% of the pool), which represents a $50 million portion of a $150 million senior mortgage. The loan is secured by a portfolio of three full service hotels and two limited service hotels across three states -- Missouri, Texas and Tennessee. The loan transferred to special servicing in July 2016 due to a Chapter 13 bankruptcy filing. The other pari passu portion is held in BACM 2007-3. The remaining eight specially serviced loans are secured by a mix of property types. Moody's estimates an aggregate $170.7 million loss for the specially serviced loans (40% expected loss on average). Moody's has assumed a high default probability for 23 poorly performing loans, constituting 20% of the pool, and has estimated an aggregate loss of $130.7 million (a 31% expected loss based on a 60% probability default) from these troubled loans. Moody's received full year 2015 operating results for 94% of the pool and full or partial year 2016 operating results for 92% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 113%, compared to 112% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 16% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9%. Moody's actual and stressed conduit DSCRs are 1.28X and 0.91X, respectively, compared to 1.30X and 0.92X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The top three conduit loans represent 23% of the pool balance. The largest loan is the Maple Drive Portfolio Loan ($220.0 million -- 10.6% of the pool), which is secured by three office properties in Beverly Hills, California. The properties were 68% leased as of September 2016, compared to 97% leased as of September 2015. The largest tenant, New Corp., formerly occupied the entirety of property 407 North Maple Drive and vacated in 2016. Moody's LTV and stressed DSCR are 142% and 0.67X, respectively, compared to 134% and 0.71X at the last review. The second largest loan is the Save Mart Portfolio Loan ($153.0 million -- 7.3% of the pool), which is secured by a portfolio of 31 single tenant grocery stores with a total of 1,611,853 square feet (SF), spread across several locations in Northern California. As of September 2016, the portfolio was 100% leased, the same as at September 2015. The loan is currently on the watchlist due to low DSCR. Moody's LTV and stressed DSCR are 103% and 0.95X, respectively, compared to 105% and 0.93X at the last review. The third largest loan is the Franklin Mills -- A Note Loan ($112.9 million -- 5.4% of the pool), which represents a pari passu portion of a $188.2 million A note senior mortgage. The loan is secured by a super-regional mall located in Philadelphia, Pennsylvania. As of September 2016, the total property was 91% leased. This loan was modified in 2012 with an A/B note split, and the B note totals $90.0 million. This loan is pari passu with GSMS 2007-GG10. Moody's A Note LTV and stressed DSCR are 109% and 0.94X, respectively, compared to 113% and 0.91X at the last review. JP MORGAN 2013-LC11: Moody's Affirms B2 Rating on Class F Notes --------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on thirteen classes in J.P. Morgan Chase Commercial Mortgage Securities Trust 2013-LC11 as follows: Cl. A-2, Affirmed Aaa (sf); previously on Apr 21, 2016 Affirmed Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on Apr 21, 2016 Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Apr 21, 2016 Affirmed Aaa (sf) Cl. A-5, Affirmed Aaa (sf); previously on Apr 21, 2016 Affirmed Aaa (sf) Cl. A-S, Affirmed Aaa (sf); previously on Apr 21, 2016 Affirmed Aaa (sf) Cl. A-SB, Affirmed Aaa (sf); previously on Apr 21, 2016 Affirmed Aaa (sf) Cl. B, Affirmed Aa3 (sf); previously on Apr 21, 2016 Affirmed Aa3 (sf) Cl. C, Affirmed A3 (sf); previously on Apr 21, 2016 Affirmed A3 (sf) Cl. D, Affirmed Baa3 (sf); previously on Apr 21, 2016 Affirmed Baa3 (sf) Cl. E, Affirmed Ba2 (sf); previously on Apr 21, 2016 Affirmed Ba2 (sf) Cl. F, Affirmed B2 (sf); previously on Apr 21, 2016 Affirmed B2 (sf) Cl. X-A, Affirmed Aaa (sf); previously on Apr 21, 2016 Affirmed Aaa (sf) Cl. X-B, Affirmed A2 (sf); previously on Apr 21, 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, Classes X-A and X-B, were affirmed based on the credit performance (or the weighted average rating factor or WARF) of their referenced classes. Moody's rating action reflects a base expected loss of 3.5% of the current balance, compared to 2.7% at Moody's last review. Moody's base expected loss plus realized losses is now 3.2% 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 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-A and Cl. X-B was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in October 2015. Please note that on February 27, 2017, Moody's released a "Request for Comment" in which it has requested market feedback on proposed changes to its methodology for rating IO securities called "Moody's Approach to Rating Structured Finance Interest-Only Securities," dated October 20, 2015. If Moody's adopts the new methodology as proposed, the changes could affect the ratings of JPMCC 2013-LC11. 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 21, compared to 22 at Moody's last review. DEAL PERFORMANCE As of the February 17, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 10% to $1.2 billion from $1.3 billion at securitization. The certificates are collateralized by 51 mortgage loans ranging in size from less than 1% to 9.9% of the pool, with the top ten loans (excluding defeasance) constituting 60% of the pool. Five loans, constituting 13% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. There have been no loans liquidated from the pool and there are no loans currently in special servicing. Moody's received full year 2015 operating results for 96% of the pool, and full or partial year 2016 operating results for 79% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 100.2%, compared to 98.2% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 16.6% 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 1.63X and 1.04X, respectively, compared to 1.70X and 1.05X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The top three conduit loans represent 27% of the pool balance. The largest loan is the Grand Prairie Premium Outlets Loan ($118 million -- 9.9% of the pool), which is secured by a 417,000 SF outlet center located in Grand Prairie, Texas, 20 miles south of Dallas. The property opened in August 2012 and was 96% leased as of September 2016. The property is sponsored by Simon Property Group. Moody's LTV and stressed DSCR are 89% and 1.06X, respectively, compared to 90% and 1.05X at last review. The second largest loan is the World Trade Center I & II Loan ($113 million -- 9.5% of the pool), which is secured by two adjacent 28-story and 29-story Class A office buildings totaling 770,000 SF and located in the CBD of Denver, Colorado. The property is also encumbered with $17.6 million of additional mezzanine financing held outside of the trust. The property was 75% leased as of September 2016 compared to 81% in December 2015 and 91% at securitization. Moody's value incorporates the increased vacancy at the property and Moody's LTV and stressed DSCR are 106% and 0.92X, respectively, compared to 103% and 0.94X at last review. The third largest loan is the Pecanland Mall Loan ($87 million -- 7.3% of the pool), which is secured by a 433,200 SF component of a 965,238 SF super-regional mall in Monroe, Louisiana. Five tenants anchor the subject including Dillard's (165,930 SF), J.C. Penney (138,426 SF), Sears (122,032 SF), Belk (105,650 SF) and Burlington Coat Factory (63,436 SF). However, the land and improvements occupied by Dillard's, J.C. Penney, Belk and Sears are not contributed as collateral for the loan. J.C. Penney recently announced that they will be closing their store at this location. As of September 2016, the property was 98% leased. Moody's analysis incorporates the potential volatility concerns of B-Malls in tertiary locations. Moody's LTV and stressed DSCR are 114% and 0.95X, respectively, compared to 105% and 0.98X at last review. JP MORGAN 2014-PHH: S&P Affirms 'BB' Rating on Cl. E Certificates ----------------------------------------------------------------- S&P Global Ratings affirmed its ratings on seven classes of commercial mortgage pass-through certificates from J.P. Morgan Chase Commercial Mortgage Securities Trust 2014-PHH, a U.S. commercial mortgage-backed securities (CMBS) transaction. The affirmations on the principal- and interest-paying certificate classes follow S&P's analysis of the transaction primarily using its criteria for rating U.S. and Canadian CMBS transactions. S&P's analysis included a review of the 1,642-guestroom Palmer House Hilton hotel located in downtown Chicago, Ill., which secures the $260.0 million floating-rate interest-only (IO) loan that serves as collateral for the stand-alone transaction. S&P also considered the deal structure and liquidity available to the trust. The affirmations reflect subordination and liquidity that are consistent with the outstanding ratings. S&P affirmed its rating on the class X-EXT IO certificates based on its criteria for rating IO securities, in which the ratings on the IO securities would not be higher than the lowest-rated reference class. The notional amount of the class X-EXT certificate references the aggregate certificate balance of the class A, B, and C certificates. The analysis of stand-alone (single borrower) transactions is predominantly a recovery-based approach that assumes a loan default. Using this approach, S&P's property-level analysis included a revaluation of the lodging property that secures the mortgage loan in the trust. S&P based its analysis partly on a review of the servicer-reported financial performance to determine its opinion of a sustainable in-place net cash flow (NCF) for the lodging property. S&P based its analysis partly on a review of the property's financial performance for the years ended 2012 through 2015, as well as the trailing 12 months ended September 2016 historical net operating income (NOI) as provided by the master servicer. Historical performance remained stable in 2012 and 2013, and has improved in 2014 and 2015. In addition, S&P reviewed the Smith Travel Report and inspection report provided by the master servicer to determine our opinion of a sustainable NCF for the lodging property. The property benefits from Chicago's class L property tax abatement, which applies to landmarked properties and is intended to encourage and subsidize their restoration and preservation. The abatement began in 2009; it is scheduled to gradually reduce beginning in 2019 and will decrease to zero in 2021. As part of S&P's analysis, it accounted for this benefit by assuming an unabated tax expense in deriving S&P's cash flows and adding the abatement's discounted net present value to our value. Palmer House Hilton is a 1,642-key full-service hotel in downtown Chicago, built in 1871. Renovations included $131.0 million ($79,927 per guestroom) in capital improvements between 2006 and 2009, as well as guestroom renovations between 2013 and 2016. The master servicer, KeyBank Real Estate Capital, reported a combined debt service coverage (DSC) of 2.01x on the trust and mezzanine balance and occupancy of 80.2% for the trailing 12 months period ended Sept. 30, 2016. S&P's adjusted valuation, using a 9.00% capitalization rate, yielded an overall S&P Global Ratings' loan-to-value ratio of 80.1%. Using S&P's sustainable in-place NCF, it calculated a DSC of 2.75x (based on the maximum LIBOR cap plus spread) on the trust balance. As of the Feb. 15, 2017, trustee remittance report, the IO loan had a trust and whole-loan balance of $260.0 million and pays an annual floating interest rate of LIBOR plus 2.1889%. The loan had an initial two-year term with three one-year extension options. The borrower has exercised one of its three extension options, and the loan is currently scheduled to mature on Aug. 9, 2017. The borrower's equity interest also secures $160.0 million of mezzanine financing. According to the transaction documents, the borrowers will pay the special servicing fees, work-out fees, liquidation fees, and costs and expenses incurred from appraisals and inspections conducted by the special servicer. To date, the trust has not incurred any principal losses. RATINGS AFFIRMED J.P. Morgan Chase Commercial Mortgage Securities Trust 2014-PHH Commercial mortgage pass-through certificates Class Rating A AAA (sf) B AA- (sf) C A- (sf) D BBB- (sf) E BB (sf) F B+ (sf) X-EXT A- (sf) JPMDB TRUST 2017-C5: Fitch to Rate Class G-RR Notes 'Bsf' --------------------------------------------------------- Fitch Ratings has issued a presale report on JPMDB Commercial Mortgage Securities Trust 2017-C5 commercial mortgage pass-through certificates. Fitch expects to rate the transaction and assign Rating Outlooks: -- $32,683,000 class A-1 'AAAsf'; Outlook Stable; -- $37,129,000 class A-2 'AAAsf'; Outlook Stable; -- $11,341,000 class A-3 'AAAsf'; Outlook Stable; -- $135,000,000 class A-4 'AAAsf'; Outlook Stable; -- $457,116,000 class A-5 'AAAsf'; Outlook Stable; -- $57,148,000 class A-SB 'AAAsf'; Outlook Stable; -- $824,327,000b class X-A 'AAAsf'; Outlook Stable; -- $89,998,000b class X-B 'A-sf'; Outlook Stable; -- $93,910,000 class A-S 'AAAsf'; Outlook Stable; -- $44,347,000 class B 'AA-sf'; Outlook Stable; -- $45,651,000 class C 'A-sf'; Outlook Stable; -- $23,478,000a class D 'BBBsf'; Outlook Stable; -- $29,999,000ac class E-RR 'BBB-sf'; Outlook Stable; -- $20,869,000ac class F-RR 'BBsf'; Outlook Stable; -- $10,434,000ac class G-RR 'Bsf'; Outlook Stable. The following class is not expected to be rated: -- $44,347,191ac class NR-RR. (a) Privately placed and pursuant to Rule 144A. (b) Notional amount and interest-only. (c) Horizontal credit risk retention interest representing at least 5% of the estimated fair value of all classes of regular certificates issued by the issuing entity. The certificates represent the beneficial ownership interest in the trust, primary assets of which are 35 loans secured by 50 commercial properties having an aggregate principal balance of $1,043,452,191 as of the cut-off date. The loans were contributed to the trust by JP Morgan Chase Bank, National Association and German American Capital Corporation. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 81.2% of the properties by balance, cash flow analysis of 91.2%, and asset summary reviews on 100% of the pool. KEY RATING DRIVERS Lower Fitch Leverage: The pool's leverage statistics are slightly better than those of other recent Fitch-rated, fixed-rate multiborrower transactions. The pool's Fitch DSCR of 1.21x is slightly more favorable than the YTD 2017 average of 1.17x and in line with the 2016 average of 1.21x. The pool's Fitch LTV of 102.5% is better than average when compared with the YTD 2017 and 2016 averages of 106.1% and 105.2%, respectively. Excluding credit opinion loans, the pool has a Fitch DSCR of 1.17x and Fitch LTV of 109.7%. High Percentage of Investment-Grade Credit Opinion Loans: Three loans representing 16.2% of the pool have investment-grade credit opinions, which exceed the YTD 2017 and 2016 average concentrations of 5.8% and 8.4%, respectively. All three credit opinion loans in the pool: 350 Park Avenue (6.4% of the pool), Hilton Hawaiian Village (6.0%) and Moffett Gateway (3.8%), have investment-grade credit opinions of 'BBB-sf*' on a stand-alone basis. The three loans have a weighted average Fitch DSCR and Fitch LTV of 1.44x and 65.5%, respectively. Concentrated Pool by Loan Size: The largest 10 loans account for 53.7% of the pool, which is above the YTD 2017 average of 50.4% and slightly below the 2016 average of 54.8%. The pool's average loan size of $29.8 million is considerably greater than the YTD 2017 and 2016 averages of $18.6 million and $18.7 million, respectively. RATING SENSITIVITIES For this transaction, Fitch's net cash flow (NCF) was 11.9% 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 JPMDB 2017-C5 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 'BBBsf' could result. KATONAH 2007-I: Moody's Hikes Class B-2L Notes Rating From Ba1 -------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Katonah 2007-I CLO Ltd.: US$18,000,000 Class A-3L Floating Rate Notes, Due 2022, Upgraded to Aa1 (sf); previously on August 2, 2016 Upgraded to Aa3 (sf) US$11,000,000 Class B-1L Floating Rate Notes, Due 2022, Upgraded to A2 (sf); previously on August 2, 2016 Upgraded to Baa1 (sf) US$10,500,000 Class B-2L Floating Rate Notes, Due 2022, Upgraded Baa3 (sf); previously on August 2, 2016 Affirmed Ba1 (sf) Moody's also affirmed the ratings on the following notes: US$227,000,000 Class A-1L Floating Rate Notes, Due 2022 (current outstanding balance of $89,375,253.14), Affirmed Aaa (sf); previously on August 2, 2016 Affirmed Aaa (sf) US$26,000,000 Class A-2L Floating Rate Notes, Due 2022, Affirmed Aaa (sf); previously on August 2, 2016 Affirmed Aaa (sf) Katonah 2007-I CLO Ltd., issued in January 2008, is a collateralized loan obligation (CLO) backed primarily by a portfolio of senior secured loans. The transaction's reinvestment period ended in April 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 August 2016. The Class A-1L notes have been paid down by approximately 38.8% or $56.7 million since that time. Based on the trustee's February 2017 report, the OC ratios for the Senior Class A, Class A-3L, Class B-1L, and Class B-2L notes are reported at 157.83%, 136.53%, 126.13% and 115.69% respectively, versus August 2016 levels of 138.93%, 125.77%, 118.89%, and 112.99% respectively. Nevertheless, the credit quality of the portfolio has deteriorated since August 2016. Based on the trustee's February 2017 report, the weighted average rating factor (WARF) is currently 2741 compared to 2452 in August 2016. 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 a Downgrade of the Ratings: This transaction is subject to a number of factors and circumstances that could lead to either an upgrade or downgrade of the ratings: 1) Macroeconomic uncertainty: CLO performance is subject to a) uncertainty about credit conditions in the general economy and b) the large concentration of upcoming speculative-grade debt maturities, which could make refinancing difficult for issuers. 2) Collateral Manager: Performance can also be affected positively or negatively by a) the manager's investment strategy and behavior and b) differences in the legal interpretation of CLO documentation by different transactional parties owing to embedded ambiguities. 3) Collateral credit risk: A shift towards collateral of better credit quality, or better credit performance of assets collateralizing the transaction than Moody's current expectations, can lead to positive CLO performance. Conversely, a negative shift in credit quality or performance of the collateral can have adverse consequences for CLO performance. 4) Deleveraging: An important source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will continue and at what pace. Deleveraging of the CLO could accelerate owing to high prepayment levels in the loan market and/or collateral sales by the manager, which could have a significant impact on the notes' ratings. Note repayments that are faster than Moody's current expectations will usually have a positive impact on CLO notes, beginning with those with the highest payment priority. 5) Recovery of defaulted assets: Fluctuations in the market value of defaulted assets reported by the trustee and those that Moody's assumes as having defaulted could result in volatility in the deal's OC levels. Further, the timing of recoveries and whether a manager decides to work out or sell defaulted assets create additional uncertainty. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. Realization of higher than assumed recoveries would positively impact the CLO. 6) Post-Reinvestment Period Trading: Subject to certain requirements, the deal can reinvest certain proceeds after the end of the reinvestment period, and as such the manager has the ability to erode some of the collateral quality metrics to the covenant levels. Such reinvestment could affect the transaction either positively or negatively. In particular, Moody's tested for a possible extension of the actual weighted average life in its analysis given that the post-reinvestment period reinvesting criteria has loose restrictions on the weighted average life of the portfolio. 7) 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 $2.2 million of par, Moody's ran a sensitivity case defaulting those assets. In addition to the base case analysis, Moody's also conducted sensitivity analyses to test the impact of a number of default probabilities on the rated notes relative to the base case modeling results, which may be different from the current public ratings of the notes. Below is a summary of the impact of different default probabilities (expressed in terms of WARF) on all of the rated notes (by the difference in the number of notches versus the current model output, for which a positive difference corresponds to lower expected loss): Moody's Adjusted WARF -- 20% (2383) Class A-1L: 0 Class A-2L: 0 Class A-3L: +1 Class B-1L: +3 Class B-2L: +3 Moody's Adjusted WARF + 20% (3575) 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 $181.7 million, defaulted par of $1.2 million, a weighted average default probability of 17.69% (implying a WARF of 2979), a weighted average recovery rate upon default of 48.84%, a diversity score of 36 and a weighted average spread of 3.28% (before accounting for LIBOR floors). Moody's incorporates the default and recovery properties of the collateral pool in cash flow model analysis where they are subject to stresses as a function of the target rating on each CLO liability reviewed. Moody's derives the default probability from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate for future defaults is based primarily on the seniority of the assets in the collateral pool. Moody's generally applies recovery rates for CLO securities as published in "Moody's Approach to Rating SF CDOs". In some cases, alternative recovery assumptions may be considered based on the specifics of the analysis of the CLO transaction. In each case, historical and market performance and the collateral manager's latitude for trading the collateral are also factors. A proportion of the collateral pool includes debt obligations whose credit quality Moody's assesses through credit estimates. Moody's analysis reflects adjustments with respect to the default probabilities associated with credit estimates. Specifically, Moody's assumed an equivalent of Caa3 for assets with credit estimates that have not been updated within the last 15 months, which represent approximately 1.9% of the collateral pool. LB-UBS COMMERCIAL 2007-C6: S&P Raises Rating on A-J Certs to BB- ---------------------------------------------------------------- S&P Global Ratings raised its ratings on six classes of commercial mortgage pass-through certificates from LB-UBS Commercial Mortgage Trust 2007-C6, a U.S. commercial mortgage-backed securities (CMBS) transaction. In addition, S&P affirmed its ratings on two other classes from the same transaction. S&P's rating actions on the certificates follow its analysis of the transaction, primarily using its criteria for rating U.S. and Canadian CMBS transactions, which included a review of the credit characteristics and performance of the remaining assets in the pool, the transaction's structure, and the liquidity available to the trust. S&P raised its ratings on classes A-4, A-1A, A-M, A-MFL, 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 follow S&P's views regarding the current and future performance of the transaction's collateral, the reduced trust balance, and the increased in collateral defeasance. The affirmations reflect S&P's expectation that the available credit enhancement for these classes will be within S&P's estimate of the necessary credit enhancement required for the current ratings. TRANSACTION SUMMARY As of the Feb. 17, 2017, trustee remittance report, the collateral pool balance was $1.39 billion, which is 53.3% of the pool balance at issuance. The pool currently includes 86 loans and three real estate-owned (REO) assets (representing crossed loans and the subordinate B hope note), down from 140 loans at issuance. Twelve of these assets (representing crossed loans; $385.5 million, 27.7%) are with the special servicer, 14 ($246.1 million, 17.7%) are defeased, and 24 ($342.6 million, 24.7%) are on the master servicer's watchlist. The master servicer, Wells Fargo Bank N.A., reported financial information for 95.0% of the nondefeased loans in the pool, of which 32.5% was partial-year or year-end 2016, and the remainder was year-end 2015 data. S&P calculated a 1.08x S&P Global Ratings weighted average debt service coverage (DSC) and 101.5% S&P Global Ratings weighted average loan-to-value (LTV) ratio using a 7.28% S&P Global Ratings weighted average capitalization rate. The DSC, LTV, and capitalization rate calculations exclude the 12 specially serviced assets, 14 defeased loans, and a subordinate B hope note ($10.1 million, 0.7%). The top 10 nondefeased assets have an aggregate outstanding pool trust balance of $727.4 million (52.3%). Using adjusted servicer-reported numbers, S&P calculated an S&P Global Ratings weighted average DSC and LTV of 0.99x and 110.0%, respectively, for seven of the top 10 nondefeased assets. The remaining assets are specially serviced and discussed below. To date, the transaction has experienced $159.2 million in principal losses, or 5.3% of the original pool trust balance. S&P expects losses to reach approximately 9.8% 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 12 specially serviced assets (representing crossed loans). CREDIT CONSIDERATIONS As of the Feb .17, 2017, trustee remittance reports, 12 assets (representing crossed loans) in the pool were with the special servicer, LNR Partners LLC. Details of the three largest specially serviced assets, all of which are part of the top 10 nondefeased assets, are: The PECO Portfolio REO asset ($281.8 million, 20.3%) has a $283.5 million total reported exposure and is the largest asset in the pool. The asset originally consisted of 39 cross-collateralized and cross-defaulted loans secured by 39 retail properties totaling 4,250,370 sq. ft. across 13 states. The loans were transferred to the special servicer on Aug. 2, 2012, because of imminent payment default and became REO between June 2014 and March 2015. The special servicer stated that eight of the 39 properties have been sold and released to date, while the rest are in the evaluation and leasing program. It is S&P's understanding that the proceeds from the eight properties sold to date have been used to repay prior advances, deferred interest, and principal repayments. A $127.4 million appraisal reduction amount (ARA) is in effect against this asset. S&P expects a moderate loss upon this asset's eventual resolution. The Lakeland Town Center loan ($25.1 million, 1.8%) has a $25.4 million total reported exposure and is the second-largest asset with the special servicer. The loan is secured by an anchored retail center totaling 304,375 sq. ft., in Lakeland, Fla. The loan was transferred to the special servicer on Oct. 12, 2016, for imminent default. The special servicer stated that negotiations with the borrower are ongoing, while the loan is being dual-tracked for foreclosure until a resolution is achieved. No ARA is currently in effect against this loan. S&P expects a moderate loss upon this loan's eventual resolution. The Dolce Norwalk loan ($22.7 million, 1.6%) has a $25.6 million total reported exposure and is the third-largest asset with the special servicer. The loan is secured by a full-service hotel totaling 120 rooms in Norwalk, Conn. The loan was transferred to the special servicer on Oct. 9, 2015, because the borrowers requested a maturity extension and changes to the existing cash management waterfall. The loan had matured in April 2016. The special servicer stated that discussions regarding potential restructuring options with the borrower are ongoing, while the loan is being dual-tracked for foreclosure. A $5.7 million ARA is in effect against the loan. S&P expects a moderate loss upon this loan's eventual resolution. The remaining assets with the special servicer have each individual balances that represent less than 0.9% of the total pool trust balance. S&P estimated losses for the 12 specially serviced assets (representing crossed loans), arriving at a weighted average loss severity of 34.4%. With respect to the specially serviced assets noted above, a moderate loss is 26%-59%. RATINGS LIST LB-UBS Commercial Mortgage Trust 2007-C6 Commercial mortgage pass-through certificates series 2007-C6 Rating Class Identifier To From A-4 52109PAE5 AAA (sf) AA (sf) A-1A 52109PAF2 AAA (sf) AA (sf) A-M 52109PAG0 AA (sf) BB (sf) A-J 52109PAH8 BB- (sf) B- (sf) B 52109PAJ4 B (sf) B- (sf) C 52109PAK1 B- (sf) B- (sf) D 52109PAL9 CCC (sf) CCC (sf) A-MFL 52109PAU9 AA (sf) BB (sf) LEGACY BENEFITS 2004-1: Moody's Puts B1 Rating Under Review ----------------------------------------------------------- Moody's Investors Service has downgraded Class A notes and placed on review for possible downgrade for both the Class A notes and the Class B notes that were issued by Legacy Benefits Life Insurance Settlements 2004-1 LLC. The underlying collateral consists of a pool of universal life insurance policies and annuity contracts purchased on the lives of the insured individuals. Amounts received under the fixed payment annuity contracts are designated to cover the future premium payments on the corresponding insurance policies, as well as the interest and principal on the notes. The complete rating actions are: Issuer: Legacy Benefits Life Insurance Settlements 2004-1 LLC Cl. A, Downgraded to Ba2 (sf) and Placed Under Review for Possible Downgrade; previously on May 24, 2016 Downgraded to Baa1 (sf) Cl. B, B1 (sf) Placed Under Review for Possible Downgrade; previously on May 24, 2016 Downgraded to B1 (sf) RATINGS RATIONALE The cost of insurance has been rising with the aging of the insured. Consequently, the cash flow from the annuities is being diverted more and more to the payment of the premiums in order to keep the life insurance policies active while the portion left for the notes' interest payments and the Interest Reserve Account is steadily decreasing. The rating actions are prompted by an Event of Default on interest payments for the Class B notes and the likelihood of a future shortfall on Class A interest if current trends continue. On the February Payment Date, the funds available in the Collection Account and Interest Reserve Account were insufficient to pay the total amount of interest due on the Class B notes and thus incurred a shortfall of $39,644.72. According to deal documents related to the Event of Default, the transaction may be accelerated and the trustee can declare the principal and all accrued interest on the notes to be immediately due and payable, unless directed otherwise by the noteholders. Final actions on both the Class A notes and the Class B notes currently being placed under review will be resolved when Moody's receives more clarity on the decision. Loss and Cash Flow Analysis: The regular interest as well as the shortfall amount on the Class B notes may be paid back in the next payment date due to expected sizeable annuity payments. However, the shortfall scenario will likely to recur for the Class B notes in the future if the cash flow does not improve over time. The Class A notes are currently paying interest as scheduled, it may run into an interest shortfall situation in less than six months if future collection amounts and payments for the next several months are same as prior year periods where incoming payments have solely come from annuity payments. The principal methodology used in these ratings was "Moody's Approach to Monitoring Life Insurance ABS" published in January 2015. Factors that would lead to an upgrade or downgrade of the ratings: Change in mortality or lapse risk as well as change in the insurance financial strength ratings of the life insurance companies and annuity providers. MASTR ADJUSTABLE 2005-5: Moody's Hikes Cl. A-X Debt Rating to Caa3 ------------------------------------------------------------------ Moody's Investors Service has upgraded the ratings of two tranches issued by MASTR Adjustable Rate Mortgages Trust 2005-5, as a result of the upgrades on the underlying pledged security tranches. The transaction is a resecuritization of classes of certificates from Green Tree manufactured housing securitizations. The complete rating action is: Issuer: MASTR Adjustable Rate Mortgages Trust 2005-5 Cl. A-1, Upgraded to Caa2 (sf); previously on Oct 19, 2016 Confirmed at Ca (sf) Cl. A-X, Upgraded to Caa3 (sf); previously on Oct 19, 2016 Confirmed at Ca (sf) RATINGS RATIONALE The rating upgrade of Class A-1 is due to improved performance of the underlying assets and subsequent rating upgrades on the underlying tranches. Class A-X is an Interest Only tranche whose notional balance is equal to the sum of the principal balances of the Class A Notes and its rating upgrade is prompted by the rating upgrade of Class A-1. The principal methodology used in these ratings was "Moody's Approach to Rating Resecuritizations" published in February 2014. Additionally, the methodology used in rating Cl. A-X 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 4.7% in February 2017 from 4.9% in February 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 on the underlying transactions or other policy or regulatory change can impact the performance of these transactions. MCF CLO V: S&P Assigns 'BB-' Rating on Class E Notes ---------------------------------------------------- S&P Global Ratings assigned its ratings to MCF CLO V LLC's $262.25 million floating-notes. The note issuance is a collateralized loan obligation (CLO) transaction backed by middle market speculative-grade senior secured term loans. The 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. RATINGS ASSIGNED MCF CLO V LLC Class Rating Amount (mil. $) A AAA (sf) 173.50 B AA (sf) 25.00 C A (sf) 23.50 D BBB- (sf) 18.00 E BB- (sf) 22.25 Subordinate notes NR 40.595 NR--Not rated. MILL CITY 2017-1: DBRS Assigns Prov. B Ratings to Class B2 Debt --------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the Mortgage Backed Securities, Series 2017-1 (the Notes) issued by Mill City Mortgage Loan Trust 2017-1 (the Trust) as follows: -- $241.7 million Class A1 at AAA (sf) -- $32.2 million Class M1 at AA (sf) -- $24.1 million Class M2 at A (sf) -- $23.7 million Class M3 at BBB (sf) -- $18.2 million Class B1 at BB (sf) -- $16.0 million Class B2 at B (sf) The AAA (sf) ratings on the Notes reflect 38.85% of credit enhancement provided by subordinated Notes in the pool. The AA (sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings reflect 30.70%, 24.60%, 18.60%, 14.00% and 9.95% of credit enhancement, respectively. Other than the specified classes above, DBRS does not rate any other classes in this transaction. This transaction is a securitization of a portfolio of primarily first-lien, seasoned, performing and re-performing residential mortgages and home equity lines of credit mortgage loans (HELOCs). The Notes are backed by 1,660 loans with a total principal balance of approximately $395,316,146 as of the Cut-Off Date (February 28, 2017). The loans are approximately 110 months seasoned and all are current as of the Cut-Off Date, including 28 bankruptcy-performing loans. Approximately 43.3% and 58.9% of the mortgage loans have been zero times 30 days delinquent (0 x 30) for the past 36 months and 24 months, respectively, under the Mortgage Banker Associations method. The portfolio contains 58.9% modified loans. Within the pool, 507 loans have non-interest-bearing deferred amounts, which equates to 5.6% of the total principal balance as of the Cut-Off Date. The modifications happened more than two years ago for 89.1% of the modified loans. In accordance with the Consumer Financial Protection Bureau Qualified Mortgage (QM) rules, 5.9% of the loans are designated as QM Safe Harbor, less than 0.1% as QM Rebuttable Presumption and 0.1% as non-QM. Approximately 94.0% of the loans are not subject to the QM rules. Approximately 16.5% of the pool are HELOCs, of which 97.8% are first liens and 2.2% are second liens. These loans have a fixed credit limit for a 120-month draw period and then amortize for the remaining 240 months subject to a decreasing credit limit. HELOC borrowers may make draws on the mortgage up to the credit limit until maturity, which will increase the current principal balance of such loans. In addition, HELOC borrowers may also experience payment shocks when the amortization period begins. As of the Closing Date, Mill City Depositor, LLC (the Depositor) will fund a HELOC Draw Reserve Account to purchase future draws from the related servicer. For a detailed analysis of the HELOCs included in the pool, refer to the HELOC section in Key Probability of Default Drivers of the report. Through a series of transactions, Mill City Holdings, LLC (Mill City) will acquire the mortgage loans on the Closing Date. Prior to the Closing Date, the loans were held in one or more trusts that acquired the mortgage loans between 2013 and 2016. Such trusts are entities of which the Representation Provider or an affiliate thereof holds an indirect interest. Upon acquiring the loans, Mill City, through a wholly owned subsidiary (the Depositor), will contribute loans to the Trust. As the Sponsor, Mill City will acquire and retain a 5% eligible vertical interest in each class of securities to be issued (other than any residual certificates) to satisfy the credit risk retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. These loans were originated and previously serviced by various entities through purchases in the secondary market. As of the Cut-Off Date, the loans are serviced by Resurgent doing business as Shellpoint Mortgage Servicing (68.9%) and Fay Servicing, LLC (31.1%). There will not be any advancing of delinquent principal or interest on any mortgages by the servicers or any other party to the transaction; however, the servicers are obligated to make advances in respect of taxes and insurance, reasonable costs and expenses incurred in the course of servicing and disposing of properties. The lack of principal and interest advances on delinquent mortgages may increase the possibility of periodic interest shortfalls to the Noteholders; however, principal proceeds can be used to pay interest to the Notes sequentially and subordination levels are greater than expected losses, which may provide for timely payment of interest to the rated Notes. The transaction employs a sequential-pay cash flow structure. Principal proceeds can be used to cover interest shortfalls on the Notes, but such shortfalls on Class M2 and more subordinate bonds will not be paid until the more senior classes are retired. The ratings reflect transactional strength in that the underlying assets have generally performed well through the crisis. Additionally, a satisfactory third-party due diligence review was performed on the portfolio with respect to regulatory compliance, payment history, data capture as well as title and lien review. Updated broker price opinions or exterior appraisals were provided for 100.0% of the pool; however, a reconciliation was not performed on the updated values. The transaction employs a relatively weak representations and warranties framework that includes a 13-month sunset, an unrated provider (CVI CVF II Lux Master S.à.r.l.), certain knowledge qualifiers and fewer mortgage loan representations relative to DBRS criteria for seasoned pools. Mitigating factors include (1) significant loan seasoning and relative clean performance history in recent years, (2) a comprehensive due diligence review and (3) a representations and warranties enforcement mechanism, including a delinquency review trigger and a breach reserve account. The DBRS ratings of AAA(sf) and AA(sf) address the timely payment of interest and full payment of principal by the legal final maturity date in accordance with the terms and conditions of the related Notes. The DBRS ratings of A (sf), BBB (sf), BB (sf) and B (sf) address the ultimate payment of interest and full payment of principal by the legal final maturity date in accordance with the terms and conditions of the related Notes. MLFA 2007-CANADA: Moody's Affirms Ba1 Rating on Cl. F Debt ---------------------------------------------------------- Moody's Investors Service has affirmed the ratings on ten classes and upgraded the ratings on two classes in Merrill Lynch Financial Assets Inc. (MLFA) Commercial Mortgage Pass-Through Certificates, Series 2007-Canada 22 as follows: Cl. A-3, Affirmed Aaa (sf); previously on Mar 31, 2016 Affirmed Aaa (sf) Cl. B, Affirmed Aaa (sf); previously on Mar 31, 2016 Affirmed Aaa (sf) Cl. C, Upgraded to Aa2 (sf); previously on Mar 31, 2016 Affirmed Aa3 (sf) Cl. D, Upgraded to A3 (sf); previously on Mar 31, 2016 Affirmed Baa1 (sf) Cl. E, Affirmed Baa2 (sf); previously on Mar 31, 2016 Affirmed Baa2 (sf) Cl. F, Affirmed Ba1 (sf); previously on Mar 31, 2016 Affirmed Ba1 (sf) Cl. G, Affirmed Ba3 (sf); previously on Mar 31, 2016 Affirmed Ba3 (sf) Cl. H, Affirmed B2 (sf); previously on Mar 31, 2016 Affirmed B2 (sf) Cl. J, Affirmed Caa1 (sf); previously on Mar 31, 2016 Affirmed Caa1 (sf) Cl. K, Affirmed Caa2 (sf); previously on Mar 31, 2016 Affirmed Caa2 (sf) Cl. L, Affirmed Caa3 (sf); previously on Mar 31, 2016 Affirmed Caa3 (sf) Cl. XC, Affirmed Ba3 (sf); previously on Mar 31, 2016 Affirmed Ba3 (sf) RATINGS RATIONALE The ratings of Classes C and D were upgraded based primarily on an increase in credit support resulting from paydowns and loan amortization. The deal has paid down 58% since Moody's last review. The ratings on nine 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 XC, was affirmed because of the credit performance (or weighted average rating factor or WARF) of its referenced classes. Moody's rating action reflects a base expected loss of 2.3% of the current balance, compared to 2.6% at Moody's last review. Moody's base expected loss plus realized losses is now 1.2% of the original pooled balance, compared to 2.1% 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. Please note that on February 27, 2017, Moody's released a "Request for Comment" in which it has requested market feedback on proposed changes to its methodology for rating structured finance interest-only (IO) securities called "Moody's Approach to Rating Structured Finance Interest-Only Securities," dated October 20, 2015. If Moody's adopts the new methodology as proposed, the changes could affect the ratings of MLFA 2007-Canada 22. 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 seven, compared to 20 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 March 13, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 79% to $92.5 million from $434.4 million at securitization. The certificates are collateralized by 19 mortgage loans ranging in size from less than 1% to 14.6% of the pool, with the top ten loans (excluding defeasance) constituting 56% of the pool. Seven loans, constituting 42% of the pool, have defeased and are secured by US government securities. Twelve loans, constituting 58% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. One loans have been liquidated from the pool, resulting in an aggregate realized loss of $3.2 million (for a loss severity of 43.5%). Moody's has assumed a high default probability for two poorly performing loans, constituting 9.5% of the pool, and has estimated an aggregate loss of $1.8 million (a 20% expected loss based on a 50% probability default) from these troubled loans. Moody's received full or partial year 2015 operating results for 83% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 87%, compared to 85% 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 14.2% 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 1.35X and 1.26X, respectively, compared to 1.41X and 1.27X 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 32.4% of the pool balance. The largest loan is the Station Park London Loan ($13.5 million -- 14.6% of the pool), which is secured by four office buildings and a retail property located in the CBD of London, Ontario and are part of a mixed-use development. The property was 73% occupied as of the January 2017 rent roll. Moody's LTV and stressed DSCR are 114% and 0.86X, respectively, compared to 116% and 0.84X at the last review. The second largest loan is the Yorkgate Mall Loan ($10.0 million -- 10.9% of the pool), which represents a pari passu portion of a $20.1 million mortgage loan. The loan is secured by a 217,000 SF enclosed shopping mall located in Toronto, Ontario, Canada. The property is grocery anchored and was built in 1990. The property's largest tenant, Designer Depot, went bankrupt in 2016, but the space has been partially re-leased to Planet Fitness. Moody's LTV and stressed DSCR are 71% and 1.33X, respectively, compared to 72% and 1.32X at the last review. The third largest loan is the Hotel Gouverneur Pooled Pari Passu Interest Loan ($6.4 million -- 7.0% of the pool), which represents a pari passu portion of a $18.4 million mortgage loan. The loan is secured by a 352 key hotel located in Montreal, Quebec, Canada. The most-recent financial information from December 2015 lists the property as having had an occupancy rate of 71%. Moody's LTV and stressed DSCR are 85% and 1.47X, respectively, compared to 96% and 1.30X at the last review. MORGAN STANLEY 2007-HQ11: S&P Cuts Rating on 6 Tranches to D ------------------------------------------------------------ S&P Global Ratings lowered its ratings on six classes of commercial mortgage pass-through certificates from Morgan Stanley Capital I Trust 2007-HQ11, a U.S. commercial mortgage-backed securities (CMBS) transaction. In addition, S&P affirmed its rating on the class A-J certificates from the same transaction. S&P's rating actions on the certificates follow its analysis of the transaction, primarily using its criteria for rating U.S. and Canadian CMBS transactions, which included a review of the credit characteristics and performance of the remaining assets in the pool, the transaction's structure, the liquidity available to the trust, and its criteria to assess interest shortfalls on the affected tranches. The downgrades on classes B, C, D, E, F, and G to 'D (sf)' reflect accumulated interest shortfalls that we expect to remain outstanding in the near term as well as credit support erosion that we anticipate will occur upon the eventual resolution of the 14 specially serviced assets (including one loan on the master servicer's watchlist that was transferred to special servicing subsequent to the February 2017 remittance report, $282.9 million, 88.4%). Classes B, C, D, and E have accumulated interest shortfalls outstanding for six consecutive months, while classes F and G have been outstanding for eight consecutive months. According to the Feb. 14, 2017, trustee remittance (revised on Feb. 21, 2017), the current monthly interest shortfalls totaled $886,548 and resulted primarily from: -- Nonrecoverable interest amounts totaling $703,888; -- Appraisal subordinate entitlement reduction amounts totaling $103,707; and -- Special servicing fees totaling $59,643. The current interest shortfalls affected classes subordinate to and including class B. The affirmation on class A-J reflects S&P's expectation that the available credit enhancement for this class will be within S&P's estimate of the necessary credit enhancement required for the current rating and S&P's views regarding the current and future performance of the transaction's collateral. While available credit enhancement levels suggest positive rating movement on class A-J, S&P's analysis also considered the susceptibility to reduced liquidity support from the 14 specially serviced assets. TRANSACTION SUMMARY As of the Feb. 14, 2017, trustee remittance report (revised on Feb. 21, 2017), the collateral pool balance was $320.0 million, which is 13.2% of the pool balance at issuance. The pool currently includes 18 loans (reflecting the A/B note as one) and two real estate-owned assets, down from 171 loans at issuance. Thirteen of these assets ($278.5 million, 87.0%) were with the special servicer, no loans were defeased, and seven loans (reflecting the A/B note as one, $41.5 million, 13.0%) were on the master servicer's watchlist. The master servicer, Berkadia Commercial Mortgage LLC, reported year-end 2015, partial-year 2016, or year-end 2016 financial information for 43.6% of the loans in the pool. S&P calculated a 1.12x S&P Global Ratings weighted average debt service coverage (DSC) and an 89.9% S&P Global Ratings weighted average loan-to-value (LTV) ratio using a 7.73% S&P Global Ratings weighted average capitalization rate. The DSC, LTV, and capitalization rate calculations exclude the specially serviced assets, two watchlist loans ($15.9 million, 5.0%), which the master servicer indicated had paid off subsequent to the February 2017 remittance report, and one subordinate B hope note ($1.0 million, 0.3%). To date, the transaction has experienced $97.4 million in principal losses, or 4.0% of the original pool trust balance. S&P expects losses to reach approximately 10.6% 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 14 specially serviced assets. CREDIT CONSIDERATIONS As of the February 2017 trustee remittance report, 13 assets in the pool were with the special servicer, C-III Asset Management LLC (C-III). In addition, the master servicer informed S&P that the Country Brook Village loan ($4.4 million, 1.4%) was transferred to the special servicer subsequent to the February 2017 trustee remittance report because of environmental issues that are being addressed at the property. Details of the two largest specially serviced assets, both of which are top 10 assets, are: The Galleria at Pittsburgh Mills loan ($133.0 million, 41.6%) is the largest asset in the pool and has a total reported exposure of $133.6 million. The loan is secured by 887,007 sq. ft. of retail space in a 1,065,666-sq.-ft. regional mall in Tarentum, Pa. The loan was previously modified in 2011 but was transferred back to the special servicer on Feb. 13, 2015, as a result of the sponsor's request for an additional modification. C-III is evaluating its options after securing the property at a foreclosure sale in January 2017. No updated financial data was available for this property. This loan has been deemed non recoverable by the master servicer, and S&P expects a significant loss upon its eventual resolution. The 950 L'Enfant Plaza loan ($90.0 million, 28.1%) has a total reported exposure of $90.9 million. The loan is secured by a 272,006-sq.-ft. office building in Washington, D.C. The loan was transferred to the special servicer on March 24, 2016, because of imminent default. The borrower failed to pay the maturity balance due on Dec. 8, 2016. C-III indicated that negotiations with the borrower are ongoing. The reported DSC and occupancy for the three months ended March 31, 2016, were 1.08x and 87.9%, respectively. S&P expects a minimal loss upon this loan's eventual resolution. The 12 remaining assets with the special servicer each have individual balances that represent 6.1% or less of the total pool trust balance. S&P estimated losses for the 14 specially serviced assets, arriving at a weighted average loss severity of 56.2%. With respect to the specially serviced assets noted above, a minimal loss is less than 25%, a moderate loss is 26%-59%, and a significant loss is 60% or greater. RATINGS LIST Morgan Stanley Capital I Trust 2007-HQ11 Commercial mortgage pass-through certificates series 2007-HQ11 Rating Class Identifier To From A-J 61751NAH5 B+ (sf) B+ (sf) B 61751NAJ1 D (sf) B (sf) C 61751NAK8 D (sf) B (sf) D 61751NAL6 D (sf) B- (sf) E 61751NAM4 D (sf) B- (sf) F 61751NAN2 D (sf) B- (sf) G 61751NAQ5 D (sf) CCC (sf) MORGAN STANLEY 2007-TOP25: DBRS Confirms CCC Rating on Cl. C Debt ----------------------------------------------------------------- DBRS Limited confirmed the ratings of the Commercial Mortgage Pass-Through Certificates, Series 2007-TOP25 (the Certificates) issued by Morgan Stanley Capital I Trust, Series 2007-TOP25 as follows: -- Class X at AAA (sf) -- Class A-J at BBB (low) (sf) -- Class B at B (sf) -- Class C at CCC (sf) All trends are Stable with the exception of Class C, which has a rating that does not carry a trend. The rating confirmations reflect the current overall performance of the transaction. As of the February 2017 remittance, the trust has a current balance of $134.9 million with 14 of the original 204 loans remaining in the pool. To date, there has been collateral reduction of 91.3% since issuance. Since the transaction was placed Under Review with Developing Implications in December 2016, 17 loans have successfully repaid. The six loans that failed to repay at their respective loan maturities are now in special servicing. The remaining eight loans mature in 2021 and 2026 and are reporting a weighted-average (WA) debt service coverage ratio (DSCR) of 2.08 times and a WA debt yield of 16.4%, based on the most recently reported financials. Given the paydown, the pool is concentrated by loan size, with the three largest loans representing 73.8% of the total pool balance. Additionally, there is also significant property type concentration, with ten loans representing 87.0% of the pool secured by retail assets. As of the February 2017 remittance report, there are six loans, representing 75.3% of the pool balance, in special servicing for maturity default, with initial respective loan maturity dates occurring between September 2016 and January 2017, including the largest loan in the pool (Prospectus ID#3, Shoppes at Park Place; 52.6% of the pool balance). Given the recent transfer dates, workout strategies are still being determined, and updated appraisals have been ordered but not yet finalized; at this time, DBRS anticipates that the cumulative losses that will be realized at the loans’ resolutions will be contained to the unrated Class D bond. Additionally, there are two loans representing 5.9% of the pool balance on the servicer’s watchlist for credit-related concerns. The rating assigned to Class B materially deviates from the lower rating implied by the quantitative results. DBRS considers a material deviation to be a rating differential of three or more notches between the assigned rating and the rating implied by the quantitative results that is a substantial component of a rating methodology; in this case, the assigned ratings reflect the uncertain loan-level event risk associated with the resolution of the loans in special servicing. MOTEL 6 2015-MTL6: Fitch Affirms 'Bsf' Rating on Cl. F Certificates ------------------------------------------------------------------- Fitch Ratings has affirmed all 11 rated classes of the Motel 6 Trust 2015-MTL6 commercial mortgage pass-through certificates. KEY RATING DRIVERS Performance As Expected: The affirmations and Stable Outlooks reflect the stable-to-improving performance of the portfolio since issuance. The net cash flow (NCF) increased based on the conclusion of the capital improvement phase and institution of a rebranding strategy. The Fitch adjusted NCF has increased 11% since issuance. Additionally, the brand's cashflow on actual basis has increased substantially as Blackstone continued to increase the operating income through franchise segment. The total mortgage loan is secured by a first priority, mortgage loan consisting of a $90 million portion that enabled the sponsor to voluntary prepay through December 2016 and a $1.71 billion, five year fixed interest-only component. Additionally, the portfolio was encumbered with an additional $200 million in mezzanine financing. The borrower did not fully prepay the $90 million portion. Property Releases: 26 properties were released at a 10% premium which resulted in a 1% paydown to trust, and the paydown of approximately $20 million to class A-1. As of the March 2016 distribution date, the pool's aggregate certificate balance was $1.78 billion compared with $1.8 billion at issuance. Single-Borrower Hotel Concentration: The transaction is primarily secured by 481 of the original 507 owned economy hotels under the Motel 6 and Studio 6 brands. Hotel performance is considered to be more volatile due to their operating nature. Geographic Diversity: The portfolio exhibits strong geographic diversity across 47 states and one Canadian province. The largest state exposure is California, with 138 hotels representing 27.2% by number of properties. Experienced Ownership and Management: Blackstone, and its various real estate funds, is one of the largest hotel owners across a broad spectrum of hotel categories and brands. Current and past lodging investments include Hilton Hotels Corp., La Quinta, LXR Hospitality and Extended Stay America. Fitch considers Blackstone's operational expertise as a strength of this transaction. Texas Concentration: Fitch is concerned about the impact that recent pricing volatility may have on the overall economic performance in markets with a high exposure to the oil and gas industry. Sixty-four properties, approximately 13% of the portfolio by property count, are located in Texas (11.7% by allocated loan amount). Fitch applied an additional credit loss due to the portfolio's exposure to potential performance volatility within this region. Ground Lease Structure: 57 properties, 8.8% of the allocated loan amount, are leasehold interests. Many of the ground leases do not contain finance ability and protective measures typically found in ground leases, along with four ground leases maturing in the near term. Cash flow pledges have been provided by 14 ground leases that do not permit assignment of the ground lease to the borrower and/or a leasehold mortgage without the consent of the ground lessor. RATING SENSITIVITIES Fitch used conservative cash flow assumptions on the portfolio to ensure that revenues and incomes are sustainable over the long term. Fitch applied an additional credit loss to cash flows from properties located in Texas due to the potential performance volatility within this region. The Rating Outlook for all classes remains Stable. Upgrades may be limited due to the volatility of hotel performance over the long term, but may occur with sustained improved performance and additional paydown. Downgrades are possible with significant performance decline. Fitch affirms the following ratings: -- $69.7 million class A-1 at 'AAAsf'; Outlook Stable; -- $60 million class A-2A1 at 'AAAsf'; Outlook Stable; -- $436.8 million class A-2A2 at 'AAAsf'; Outlook Stable; -- $69.7 million class X-A at 'AAAsf'; Outlook Stable; -- $1.710 billion class X-CP at 'Bsf'; Outlook Stable; -- $1.710 billion class X-NCP at 'Bsf'; Outlook Stable; -- $310.9 million class B at 'AA-sf'; Outlook Stable; -- $140.4 million class C at 'A-sf'; Outlook Stable; -- $212 million class D at 'BBB-sf'; Outlook Stable; -- $350 million class E at 'BB-sf'; Outlook Stable; -- $200 million class F at 'Bsf'; Outlook Stable. NEW RESIDENTIAL 2017-1: DBRS Finalizes Bsf Rating on Cl. B-5 Debt ----------------------------------------------------------------- DBRS, Inc. finalized the following provisional ratings on the Mortgage-Backed Notes, Series 2017-1 (the Notes) issued by New Residential Mortgage Loan Trust 2017-1 (the Trust): -- $635.2 million Class A-1 at AAA (sf) -- $635.2 million Class A-IO at AAA (sf) -- $635.2 million Class A at AAA (sf) -- $26.1 million Class B-1 at AA (sf) -- $26.1 million Class B1-IO at AA (sf) -- $23.1 million Class B-2 at A (sf) -- $23.1 million Class B2-IO at A (sf) -- $18.9 million Class B-3 at BBB (sf) -- $15.9 million Class B-4 at BB (sf) -- $14.8 million Class B-5 at B (sf) In addition, DBRS has assigned new ratings to the following Notes issued by the Trust: -- $635.2 million Class A-1A at AAA (sf) -- $635.2 million Class A-1B at AAA (sf) -- $635.2 million Class A-1C at AAA (sf) -- $635.2 million Class A1-IOA at AAA (sf) -- $635.2 million Class A1-IOB at AAA (sf) -- $635.2 million Class A1-IOC at AAA (sf) -- $661.4 million Class A-2 at AA (sf) -- $26.1 million Class B-1A at AA (sf) -- $26.1 million Class B-1B at AA (sf) -- $26.1 million Class B-1C at AA (sf) -- $26.1 million Class B1-IOA at AA (sf) -- $26.1 million Class B1-IOB at AA (sf) -- $26.1 million Class B1-IOC at AA (sf) -- $23.1 million Class B-2A at A (sf) -- $23.1 million Class B-2B at A (sf) -- $23.1 million Class B-2C at A (sf) -- $23.1 million Class B2-IOA at A (sf) -- $23.1 million Class B2-IOB at A (sf) -- $23.1 million Class B2-IOC at A (sf) -- $18.9 million Class B-3A at BBB (sf) -- $18.9 million Class B-3B at BBB (sf) -- $18.9 million Class B-3C at BBB (sf) -- $18.9 million Class B3-IOA at BBB (sf) -- $18.9 million Class B3-IOB at BBB (sf) -- $18.9 million Class B3-IOC at BBB (sf) -- $15.9 million Class B-4A at BB (sf) -- $15.9 million Class B4-IOA at BB (sf) -- $14.8 million Class B-5A at B (sf) -- $14.8 million Class B5-IOA at B (sf) Classes A-IO, A1-IOA, A1-IOB, A1-IOC, B1-IO, B1-IOA, B1-IOB, B1-IOC, B2-IO, B2-IOA, B2-IOB, B2-IOC, B3-IOA, B3-IOB, B3-IOC, B4-IOA and B5-IOA are interest-only notes. The class balances represent notional amounts. Classes A-1A, A-1B, A-1C, A1-IOA, A1-IOB, A1-IOC, A-2, A, B-1A, B-1B, B-1C, B1-IOA, B1-IOB, B1-IOC, B-2A, B-2B, B-2C, B2-IOA, B2-IOB, B2-IOC, B-3A, B-3B, B-3C, B3-IOA, B3-IOB, B3-IOC, B-4A, B4-IOA, B-5A and B5-IOA are exchangeable notes. These classes can be exchanged for combinations of initial exchangeable notes as specified in the offering documents. The AAA (sf) ratings on the Notes reflect the 16.05% of credit enhancement provided by subordinated notes in the pool. The AA (sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings reflect 12.60%, 9.55%, 7.05%, 4.95% and 3.00% of credit enhancement, respectively. Other than the specified classes above, DBRS does not rate any other class in this transaction. This transaction is a securitization of a portfolio of seasoned performing and re-performing first-lien residential mortgages. The Notes are backed by 6,544 loans with a total principal balance of $756,694,458 as of the Cut-Off Date (February 1, 2017). The loans are significantly seasoned with a weighted-average age of 161 months. As of the Cut-Off Date, 94.0% of the pool is current, 5.0% is 30 days delinquent under the Mortgage Bankers Association (MBA) delinquency method and 1.0% is in bankruptcy (all bankruptcy loans are performing or 30 days delinquent). Approximately 76.5% and 83.8% of the mortgage loans have been zero times 30 days delinquent for the past 24 months and 12 months, respectively, under the MBA delinquency method. Modified loans constitute 25.1% of the portfolio. The modifications happened more than two years ago for 71.1% of the modified loans. Because of the seasoning of the collateral, none of the loans are subject to the Consumer Financial Protection Bureau Ability-to-Repay/Qualified Mortgage rules. The Seller, NRZ Sponsor V LLC (NRZ), will acquire the loans on or prior to the Closing Date in connection with the termination of various securitization trusts that had acquired the mortgage loans from various underlying sellers. Upon acquiring the loans from the securitization trusts, NRZ, through an affiliate, New Residential Funding 2017-1 LLC (the Depositor), will contribute loans to the Trust. As the Sponsor, New Residential Investment Corp., through a majority-owned affiliate, will acquire and retain a 5.0% eligible vertical interest in each class of securities to be issued (other than the residual certificates) to satisfy the credit risk retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. These loans were originated and previously serviced by various entities through purchases in the secondary market. As of the Cut-Off Date, 61.1% of the pool is serviced by Ocwen Loan Servicing, LLC and 38.9% by Nationstar Mortgage LLC (Nationstar). Nationstar will also act as the Master Servicer and the Special Servicer. The transaction employs a senior-subordinate shifting-interest cash flow structure that is enhanced from a pre-crisis structure. The ratings reflect transactional strengths that include underlying assets that have significant seasoning, relatively clean payment histories and robust loan attributes with respect to credit scores, product types and loan-to-value ratios. Additionally, historical NRMLT securitizations have exhibited fast voluntary prepayment rates and satisfactory deal performance. The transaction employs a relatively weak representations and warranties framework that includes an unrated representation provider (NRZ), certain knowledge qualifiers and fewer mortgage loan representations relative to DBRS criteria for seasoned pools. Satisfactory third-party due diligence was performed on the pool for regulatory compliance and title/lien but was limited with respect to payment history, data integrity and servicing comments. Updated Home Data Index and/or broker price opinions were provided for the pool; however, a reconciliation was not performed on the majority of updated values. Certain loans have missing assignments or endorsements as of the Closing Date. Given the relatively clean performance history of the mortgages and the operational capability of the servicers, DBRS believes the risk of impeding or delaying foreclosure is remote. NEWSTAR COMMERCIAL 2017-1: S&P Gives BB- Rating on Cl. E-N Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-T-N, A-R-N, B-N, C-N, D-N, and E-N replacement notes from NewStar Commercial Loan Funding 2017-1 LLC (formerly known as NewStar Commercial Loan Funding 2013-1 LLC), a collateralized loan obligation (CLO) originally issued in 2013 that is managed by NewStar Financial Inc. S&P withdrew its ratings on the original class A-T, A-R, B, C, D, E, F, and G notes following payment in full on the March 20, 2017, refinancing date. On the March 20, 2017, refinancing date, the proceeds from the class A-T-N, A-R-N, B-N, C-N, D-N, and E-N replacement note issuances were used to redeem the original class A-T, A-R, B, C, D, E, F, and G 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. 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. RATINGS ASSIGNED NewStar Commercial Loan Funding 2017-1 LLC Amount Replacement class Rating (mil. $) A-T-N AAA (sf) 207.00 A-R-N AAA (sf) 25.00 B-N AA (sf) 40.00 C-N A (sf) 32.00 D-N BBB- (sf) 24.00 E-N BB- (sf) 20.00 Subordinated notes NR 49.25 RATINGS WITHDRAWN NewStar Commercial Loan Funding 2017-1 LLC Original class Rating To From A-T NR AAA (sf) A-R NR AAA (sf) B NR AA (sf) C NR A (sf) D NR BBB (sf) E NR BBB- (sf) F NR BB (sf) G NR B (sf) NR--Not rated. NORTHWOODS CAPITAL XII: S&P Assigns BB Rating on Cl. E-2-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R, D-R, and E-2-R replacement notes from Northwoods Capital XII Ltd., a collateralized loan obligation (CLO) originally issued in 2014 that is managed by Angelo, Gordon & Co. L.P. S&P withdrew its ratings on the original class A, B, C, D, and E-2 notes following payment in full on the March 15, 2017, refinancing date. On the March 15, 2017, refinancing date, the proceeds from the class A-R, B-R, C-R, D-R, and E-2-R replacement note issuances were used to redeem the original class A, B, C, D, and E-2 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 assigned ratings to the replacement notes. The replacement notes were issued via a proposed supplemental indenture, which included no other substantial changes to the transaction. 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 Northwoods Capital XII Ltd. Replacement class Rating Amount (mil $) A-R AAA (sf) 376.20 B-R AA (sf) 69.60 C-R A (sf) 52.20 D-R BBB (sf) 30.00 E-2-R BB (sf) 13.80 RATING AFFIRMED Northwoods Capital XII Ltd. Class Rating E-1 BB (sf) RATINGS WITHDRAWN Northwoods Capital XII Ltd. Rating Original class To From A NR AAA (sf) B NR AA (sf) C NR A (sf) D NR BBB (sf) E-2 NR BB (sf) NR--Not rated. NXT CAPITAL 2017-1: S&P Assigns Prelim. BB Rating on Cl. E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to NXT Capital CLO 2017-1 LLC's $349.350 million floating-rate notes. The note issuance is a collateralized loan obligation transaction backed primarily by middle-market speculative-grade senior secured term loans that are governed by collateral quality tests. The preliminary ratings are based on information as of March 20, 2017. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The diversified collateral pool, which consists primarily of 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 NXT Capital CLO 2017-1 LLC Class Rating Amount A AAA (sf) 226.70 B AA (sf) 39.70 C (deferrable) A (sf) 31.75 D (deferrable) BBB- (sf) 24.80 E (deferrable) BB (sf) 26.40 Subordinated notes (deferrable) NR 57.00 NR--Not rated. OCTAGON INVESTMENT 30: Moody's Assigns Ba3 Rating to Class D Notes ------------------------------------------------------------------ Moody's Investors Service has assigned ratings to five classes of notes issued by Octagon Investment Partners 30, Ltd. Moody's rating action is as follows: US$390,000,000 Class A-1 Senior Secured Floating Rate Notes due 2030 (the "Class A-1 Notes"), Definitive Rating Assigned Aaa (sf) US$66,000,000 Class A-2 Senior Secured Floating Rate Notes due 2030 (the "Class A-2 Notes"), Definitive Rating Assigned Aa2 (sf) US$36,000,000 Class B Secured Deferrable Floating Rate Notes due 2030 (the "Class B Notes"), Definitive Rating Assigned A2 (sf) US$34,200,000 Class C Secured Deferrable Floating Rate Notes due 2030 (the "Class C Notes"), Definitive Rating Assigned Baa3 (sf) US$25,800,000 Class D Secured Deferrable Floating Rate Notes due 2030 (the "Class D Notes"), Definitive Rating Assigned Ba3 (sf) The Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the Class C Notes and the Class D Notes are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE Moody's ratings of the Rated Notes address the expected losses posed to noteholders. The ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. Octagon 30 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, unsecured loans and first-lien last-out loans. The portfolio is at least 80% ramped as of the closing date. Octagon Credit Investors, 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 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 has issued subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. 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: $600,000,000 Diversity Score: 60 Weighted Average Rating Factor (WARF): 2793 Weighted Average Spread (WAS): 3.80% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 48.0% Weighted Average Life (WAL): 9 years Methodology Underlying the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in 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 2793 to 3212) Rating Impact in Rating Notches Class A-1 Notes: 0 Class A-2 Notes: -1 Class B Notes: -2 Class C Notes: -1 Class D Notes: 0 Percentage Change in WARF -- increase of 30% (from 2793 to 3631) Rating Impact in Rating Notches Class A-1 Notes: -1 Class A-2 Notes: -3 Class B Notes: -3 Class C Notes: -2 Class D Notes: -1 OCTAGON INVESTMENT XI: Moody's Hikes Rating on Cl. D Notes to Ba1 ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Octagon Investment Partners XI, Ltd.: US$19,000,000 Class C Secured Deferrable Floating Rate Notes Due 2021, Upgraded to Aa1 (sf); previously on November 16, 2016 Upgraded to A2 (sf) US$16,000,000 Class D Secured Deferrable Floating Rate Notes Due 2021, Upgraded to Ba1 (sf); previously on November 16, 2016 Upgraded to Ba2 (sf) Moody's also affirmed the ratings on the following notes: US$22,000,000 Class A-2 Senior Secured Floating Rate Notes Due 2021 (current outstanding balance of $17,425,108.30), Affirmed Aaa (sf); previously on November 16, 2016 Affirmed Aaa (sf) US$31,000,000 Class B Senior Secured Deferrable Floating Rate Notes Due 2021, Affirmed Aaa (sf); previously on November 16, 2016 Upgraded to Aaa (sf) Octagon Investment Partners XI, Ltd., issued in July 26, 2007, is a collateralized loan obligation (CLO) backed primarily by a portfolio of senior secured loans, with material exposures to bonds and CLO securities. The transaction's reinvestment period ended in August 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 November 2016. The Class A-1A and Class A-1B notes have been fully paid down, by $65.9 million, and the Class A-2 notes have been paid by approximately 20.8% or $4.6 million since then. Based on Moody's calculations, the OC ratios for the Class A, Class B, Class C and Class D notes are currently 549.96%, 197.90%, 142.13% and 114.87% respectively, versus November 2016 levels of 189.01%, 139.75%, 120.50% and 107.98%, respectively. 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: 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 collateral sales by the manager, which could have a significant impact on the notes' ratings. Note repayments that are faster than Moody's current expectations will usually have a positive impact on CLO notes, beginning with those with the highest payment priority. 5) Recovery of defaulted assets: Fluctuations in the market value of defaulted assets reported by the trustee and those that Moody's assumes as having defaulted could result in volatility in the deal's OC levels. Further, the timing of recoveries and whether a manager decides to work out or sell defaulted assets create additional uncertainty. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. Realization of higher than assumed recoveries would positively impact the CLO. 6) Long-dated assets: The presence of assets that mature after the CLO's legal maturity date exposes the deal to liquidation risk on those assets. This risk is borne first by investors with the lowest priority in the capital structure. Moody's assumes that the terminal value of an asset upon liquidation at maturity will be equal to the lower of an assumed liquidation value (depending on the extent to which the asset's maturity lags that of the liabilities) or the asset's current market value. 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% (2113) Class A-2: 0 Class B: 0 Class C: +1 Class D: +2 Moody's Adjusted WARF + 20% (3169) Class A-2: 0 Class B: 0 Class C: -2 Class D: -1 Loss and Cash Flow Analysis: Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. In its base case, Moody's analyzed the collateral pool as having a performing par and principal proceeds balance of $95.3 million, defaulted par of $2.7 million, a weighted average default probability of 12.81% (implying a WARF of 2641), a weighted average recovery rate upon default of 42.85%, a diversity score of 27 and a weighted average spread of 3.53% (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. OMI TRUST 2002-C: Moody's Hikes Rating on Cl. A-1 Notes to Ba1 -------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of six tranches issued from five transactions. The collateral backing these transactions consists primarily of manufactured housing units. Complete rating action follows: Issuer: Oakwood Mortgage Investors, Inc. Series 1998-A M, Upgraded to B1 (sf); previously on Apr 5, 2016 Upgraded to B2 (sf) Issuer: Oakwood Mortgage Investors, Inc., Series 1998-C A, Upgraded to Aa3 (sf); previously on Apr 5, 2016 Upgraded to A2 (sf) A-1 ARM, Upgraded to A1 (sf); previously on Apr 5, 2016 Upgraded to Baa1 (sf) Issuer: Oakwood Mortgage Investors, Inc., Series 1998-D A, Upgraded to Aa3 (sf); previously on Apr 5, 2016 Upgraded to A3 (sf) A-1 ARM, Upgraded to A1 (sf); previously on Aug 14, 2014 Upgraded to Baa2 (sf) Issuer: OMI Trust 2002-C Cl. A-1, Upgraded to Ba1 (sf); previously on Apr 5, 2016 Upgraded to Ba2 (sf) RATINGS RATIONALE The actions are a result of the recent performance of manufactured housing loans backed pools and reflect Moody's updated loss expectations on the pools. The tranches upgraded are primarily due to the build-up in credit enhancement available to the bonds. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in January 2017. Factors that would lead to an upgrade or downgrade of the ratings: Ratings in the US RMBS sector remain exposed to the high level of macroeconomic uncertainty, and in particular the unemployment rate. The unemployment rate fell to 4.7% in February 2017 from 4.9% in February 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. PETRA CRE 2007-1: Moody's Affirm C Rating on 6 Tranches ------------------------------------------------------- Moody's Investors Service has affirmed the ratings on the following notes issued by Petra CRE CDO 2007-1, Ltd.: Cl. E, Affirmed C (sf); previously on Jun 7, 2016 Affirmed C (sf) Cl. F, Affirmed C (sf); previously on Jun 7, 2016 Affirmed C (sf) Cl. G, Affirmed C (sf); previously on Jun 7, 2016 Affirmed C (sf) Cl. H, Affirmed C (sf); previously on Jun 7, 2016 Affirmed C (sf) Cl. J, Affirmed C (sf); previously on Jun 7, 2016 Affirmed C (sf) Cl. K, Affirmed C (sf); previously on Jun 7, 2016 Affirmed C (sf) RATINGS RATIONALE Moody's has affirmed the ratings on six 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. Petra CRE CDO 2007-1, Ltd. is a currently static cash transaction; the reinvestment period ended in June 2013. The transaction is currently backed solely by one defaulted mezzanine interest (100.0% of the current pool balance). As of the February 27, 2017 trustee report, the aggregate note balance of the transaction, including preferred shares, has decreased to $354.5 million from $1.0 billion at issuance with the pay-down currently directed to the senior most outstanding class of notes. The pay down is due to regular amortization, recoveries on defaulted assets, interest proceeds paid as principal as a result of failing certain par value triggers. On the April 25, 2016 payment date, an event of default occurred on the transaction as a result of a default in the payment of interest to the senior most outstanding class of notes. Moody's does expect significant losses to occur on the defaulted asset once realized and has accounted for this in its analysis. The asset is currently not paying ongoing interest payments in the trust. 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 10,000, the same as that at last review. The current ratings on the Moody's-rated collateral and the assessments of the non-Moody's rated collateral follow: Caa1-C (100.0%, the same as that at last review). Moody's modeled a WAL of 0.5 years, the same as that at last review. The WAL is based on assumptions about extensions on the underlying collateral. Moody's modeled a fixed WARR of 0.0%, the same as that at last review. Moody's did not model a MAC in its analysis as there is only one asset in the pool. The performance of the asset is directly linked to the performance of the notes. 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. PPM GRAYHAWK: Moody's Hikes Class D Debt Rating From Ba1(sf) ------------------------------------------------------------ Moody's Investors Service has upgraded the ratings on the following notes issued by PPM Grayhawk CLO, Ltd.: US$14,000,000 Class C Deferrable Mezzanine Notes Due 2021, Upgraded to Aaa (sf); previously on Nov 17, 2016 Upgraded to A1 (sf) US$14,450,000 Class D Deferrable Mezzanine Notes Due 2021 (current outstanding balance of $10,388,091.26), Upgraded to Baa3 (sf); previously on Nov 17, 2016 Upgraded to Ba1 (sf) Moody's also affirmed the ratings on the following notes: US$64,000,000 Class A-1 Senior Notes Due 2021 (current outstanding balance of $346,328.75), Affirmed Aaa (sf); previously on Nov 17, 2016 Affirmed Aaa (sf) US$50,000,000 Class A-2b Senior Notes Due 2021 (current outstanding balance of $1,352,846.68), Affirmed Aaa (sf); previously on Nov 17, 2016 Affirmed Aaa (sf) U.S. $16,000,000 Class A-3 Senior Notes Due 2021, Affirmed Aaa (sf); previously on Nov 17, 2016 Affirmed Aaa (sf) US$22,000,000 Class B Deferrable Mezzanine Notes Due 2021, Affirmed Aaa (sf); previously on Nov 17, 2016 Upgraded to Aaa (sf) PPM Grayhawk 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 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 November 2016. The Class A-1 and Class A-2b notes have been paid down by approximately 95% or $32.1 million since that time. Based on the trustee's February 2017 report, the OC ratios for the Class A, Class B, Class C and Class D notes are reported at 405.76%, 180.90%, 133.74% and 112.06%, respectively, versus November 2016 levels of 213.24%, 147.93%, 123.80% and 110.44%, respectively. 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: This transaction is subject to a number of factors and circumstances that could lead to either an upgrade or downgrade of the ratings: 1) Macroeconomic uncertainty: CLO performance is subject to a) uncertainty about credit conditions in the general economy and b) the large concentration of upcoming speculative-grade debt maturities, which could make refinancing difficult for issuers. 2) Collateral Manager: Performance can also be affected positively or negatively by a) the manager's investment strategy and behavior and b) differences in the legal interpretation of CLO documentation by different transactional parties owing to embedded ambiguities. 3) Collateral credit risk: A shift towards collateral of better credit quality, or better credit performance of assets collateralizing the transaction than Moody's current expectations, can lead to positive CLO performance. Conversely, a negative shift in credit quality or performance of the collateral can have adverse consequences for CLO performance. 4) Deleveraging: An important source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will continue and at what pace. Deleveraging of the CLO could accelerate owing to high prepayment levels in the loan market and/or collateral sales by the manager, which could have a significant impact on the notes' ratings. Note repayments that are faster than Moody's current expectations will usually have a positive impact on CLO notes, beginning with those with the highest payment priority. 5) Recovery of defaulted assets: Fluctuations in the market value of defaulted assets reported by the trustee and those that Moody's assumes as having defaulted could result in volatility in the deal's OC levels. Further, the timing of recoveries and whether a manager decides to work out or sell defaulted assets create additional uncertainty. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. Realization of higher than assumed recoveries would positively impact the CLO. 6) Long-dated assets: The presence of assets that mature after the CLO's legal maturity date exposes the deal to liquidation risk on those assets. This risk is borne first by investors with the lowest priority in the capital structure. Moody's assumes that the terminal value of an asset upon liquidation at maturity will be equal to the lower of an assumed liquidation value (depending on the extent to which the asset's maturity lags that of the liabilities) or the asset's current market value. However, actual long-dated asset exposures and prevailing market prices and conditions at the CLO's maturity will drive the deal's actual losses, if any, from long-dated assets. In addition to the base case analysis, Moody's also conducted sensitivity analyses to test the impact of a number of default probabilities on the rated notes relative to the base case modeling results, which may be different from the current public ratings of the notes. Below is a summary of the impact of different default probabilities (expressed in terms of WARF) on all of the rated notes (by the difference in the number of notches versus the current model output, for which a positive difference corresponds to lower expected loss): Moody's Adjusted WARF - 20% (1964) Class A-1: 0 Class A-2b: 0 Class A-3: 0 Class B: 0 Class C: 0 Class D: +2 Moody's Adjusted WARF + 20% (2946) Class A-1: 0 Class A-2b: 0 Class A-3: 0 Class B: 0 Class C: -1 Class D: -1 Loss and Cash Flow Analysis: Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. In its base case, Moody's analyzed the collateral pool as having a performing par and principal proceeds balance of $71.7 million, defaulted par of $384,366, a weighted average default probability of 12.2% (implying a WARF of 2455), a weighted average recovery rate upon default of 52.1%, a diversity score of 21 and a weighted average spread of 2.89% (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. PREFERRED TERM XIV: Moody's Hikes Rating on 3 Tranches to Ba2 ------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Preferred Term Securities XIV, Ltd: US$117,000,000 Floating Rate Class B-1 Mezzanine Notes Due June 24, 2034, Upgraded to Ba2 (sf); previously on October 6, 2015 Upgraded to B1 (sf) US$10,800,000 Fixed/Floating Rate Class B-2 Mezzanine Notes Due June 24, 2034, Upgraded to Ba2 (sf); previously on October 6, 2015 Upgraded to B1 (sf) US$13,000,000 Fixed/Floating Rate Class B-3 Mezzanine Notes Due June 24, 2034, Upgraded to Ba2 (sf); previously on October 6, 2015 Upgraded to B1 (sf) Moody's also affirmed the ratings on the following notes: US$257,800,000 Floating Rate Class A-1 Senior Notes Due June 24, 2034 (current balance of $130,153,623), Affirmed Aa1 (sf); previously on October 6, 2015 Upgraded to Aa1 (sf) US$62,000,000 Floating Rate Class A-2 Senior Notes Due June 24, 2034, Affirmed Aa2 (sf); previously on October 6, 2015 Upgraded to Aa2 (sf) Preferred Term Securities XIV, Ltd. issued in June 2004, is a collateralized debt obligation 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 of previously deferring assets since March 2016. The Class A-1 notes have paid down by approximately 15.5% or $24 million since March 2016, using principal proceeds from the redemptions, sales and distributions of the underlying assets and the diversion of excess interest proceeds. Based on Moody's calculations, the OC ratios for the Class A-1, Class A-2 and Class B notes have improved to 284.2%, 192.5% and 111.1%, respectively, from March 2016 levels of 228.2%, 163.6% and 99.6%, respectively. Two previously deferring assets with a total par of $26.75 million have resumed making interest payments on their TruPS. In additional, Moody's gave full par credit in its analysis to four deferring assets that meet certain criteria, totaling $15 million in par. Based on the trustee's June 2016 report, the Class B notes' OC ratio has improved to 104.2%, above the trigger of 103%, and therefore excess interest was used to pay $0.9 million of the Class C notes' deferred interest balance in June 2016. After the Class C notes' deferred interest balance was reduced to zero, 60% of the excess interest was diverted to pay down the notes in sequential order, while the remaining amounts were paid to the income notes. Nevertheless, the credit quality of the portfolio has deteriorated since March 2016. According to Moody's calculations, the weighted average rating factor (WARF) deteriorated to 866 from 589 in March 2016. 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 552) Class A-1: +1 Class A-2: 0 Class B-1: +3 Class B-2: +3 Class B-3: +3 Assuming a two-notch downgrade to assets with below-investment grade ratings or rating estimates (WARF of 1415) Class A-1: 0 Class A-2: -1 Class B-1: -2 Class B-2: -2 Class B-3: -2 Loss and Cash Flow Analysis: Moody's applied a Monte Carlo simulation framework in Moody's CDOROM(TM) 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(TM) cash flow model. CDOROM(TM) 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 $370 million, defaulted/deferring par of $37 million, a weighted average default probability of 9.16% (implying a WARF of 866), and a weighted average recovery rate upon default of 10%. 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 mainly 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(TM), 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. RESOURCE CAPITAL 2014-CRE2: Moody's Hikes Cl. C Debt Rating to Ba3 ------------------------------------------------------------------ Moody's Investors Service has upgraded the ratings on the following notes issued by Resource Capital Corp. 2014-CRE2, Ltd.: Cl. B, Upgraded to Baa1 (sf); previously on May 12, 2016 Affirmed Baa3 (sf) Cl. C, Upgraded to Ba3 (sf); previously on May 12, 2016 Affirmed B2 (sf) Moody's has also affirmed the rating on the following notes: Cl. A, Affirmed Aaa (sf); previously on May 12, 2016 Affirmed Aaa (sf) RATINGS RATIONALE Moody's has upgraded the ratings of two classes of notes because of greater than expected amortization resulting from prepayment on high credit risk collateral, while the credit quality of the collateral pool has been improving as evidenced by the weighted average rating factor (WARF) and the weighted average recovery rate (WARR). Moody's has also affirmed the rating of one class because key transaction metrics are commensurate with the existing ratings. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation and collateralized loan obligation (CRE CDO CLO) transactions. Resource Capital Corp. 2014-CRE2, Ltd. is a static cash transaction backed by a portfolio of whole loans and pari-passu participations collateralized by property types; primarily: i) multifamily (41.7% of the collateral pool balance; ii) retail (23.0%); iii) office (16.5%); iv) hospitality (10.6%); and v) mixed-use (8.2%). As of February 17, 2017 payment date, the aggregate note balance of the transaction, including preferred shares, has decreased to $218.5 million, from $353.9 million at issuance, as a result of pay-downs from prepayments of the underlying collateral. The transaction, while currently static, it has a mechanism that provides for a pari-passu acquisition of funded companion loan positions of existing assets arising from future funding. However. this companion note acquisition period ended in July 2016. No assets are listed as defaulted as of February 17, 2017 payment date. Moody's has identified the following as key indicators of the expected loss in CRE CLO transactions: WARF, the weighted average life (WAL), 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 3926, compared to 4094 at last review. The current distribution of Moody's rated collateral and assessments for non-Moody's rated collateral is: B1-B3 and 66.0% compared to 51.2% at last review, Caa1-Ca/C and 34.0% compared to 48.8% at last review. Moody's modeled a WAL of 2.4 years, compared to 3.3 years at last review The WAL is based on assumptions about extensions on the underlying collateral loan exposures. Moody's modeled a fixed WARR of 55.5%, compared to 54.7% at last review. Moody's modeled a MAC of 48.9%, compared to 40.4% at last review. The increase in MAC is due to a decrease in the number of collateral obligors since 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. Holding all other key parameters static, reducing the recovery rate of 100% of the collateral pool by -10.0% would result in an average modeled rating movement on the rated notes of zero to eleven notches downward (e.g. one notch down implies a rating movement from Baa3 to Ba1). Increasing the recovery rate of 100% of the collateral pool by +10.0% would result in an average modeled rating movement on the rated notes of zero notch upward (e.g., one notch upward implies a ratings movement of Baa3 to Baa2). The primary sources of uncertainty in Moody's assumptions are the extent of growth in the current macroeconomic environment given the weak recovery and certain commercial real estate property markets. Commercial real estate property values continue to improve modestly, along with a rise in investment activity and stabilization in core property type performance. Limited new construction and moderate job growth have aided this improvement. However, sustained growth will not be possible until investment increases steadily for a significant period, non-performing properties are cleared from the pipeline and fears of a euro area recession abate. SACO I 2005-GP1: Moody's Hikes Rating on Class A-1 Debt to Ba2 -------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of Class A-1 and Class A-2 from SACO I Trust 2005-GP1, a transaction backed by second-lien RMBS loans. Complete rating actions are as follows: Issuer: SACO I Trust 2005-GP1 Cl. A-1, Underlying Rating: Upgraded to Ba2 (sf); previously on Jul 31, 2015 Upgraded to B3 (sf) Financial Guarantor: Assured Guaranty Corp. (Affirmed at A3, Outlook Stable on August 8, 2016) Cl. A-2, Upgraded to Ba2 (sf); previously on Jul 31, 2015 Upgraded to B3 (sf) RATINGS RATIONALE The ratings upgraded are the result of an increase in credit enhancement available to the bonds, coupled with lowered loss expectations on the pool. The actions also reflect the recent performance of the underlying pool and reflect Moody's updated loss expectations on the pool. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in January 2017. Factors that would lead to an upgrade or downgrade of the ratings: Ratings in the US RMBS sector remain exposed to the high level of macroeconomic uncertainty, and in particular the unemployment rate. The unemployment rate fell to 4.7% in February 2017 from 4.9% in February 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. SHELLPOINT CO-ORIGINATOR: Moody's Rates Class B-4 Debt '(P)Ba2' ---------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to 53 classes of residential mortgage-backed securities (RMBS) issued by Shellpoint Co-Originator Trust 2017-1 (SCOT 2017-1). The ratings range from (P)Aaa (sf) to (P)Ba2 (sf). The certificates are backed by one pool of prime quality, 30 year and 15 year fixed and adjustable rate, first-lien mortgage loans originated by various originators. Shellpoint Mortgage Servicing is the primary servicer, Wells Fargo Bank, N.A. is the master servicer and Wilmington Savings Fund Society, FSB, d/b/a Christiana Trust is the trustee. The complete rating actions are as follows: Issuer: Shellpoint Co-Originator 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)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aaa (sf) Cl. A-14, Assigned (P)Aaa (sf) Cl. A-15, Assigned (P)Aaa (sf) Cl. A-16, Assigned (P)Aaa (sf) Cl. A-17, Assigned (P)Aaa (sf) Cl. A-18, Assigned (P)Aaa (sf) Cl. A-19, Assigned (P)Aa1 (sf) Cl. A-20, Assigned (P)Aa1 (sf) Cl. A-21, Assigned (P)Aa1 (sf) Cl. A-22, Assigned (P)Aaa (sf) Cl. A-23, Assigned (P)Aaa (sf) Cl. A-24, Assigned (P)Aaa (sf) Cl. A-IO1, Assigned (P)Aaa (sf) Cl. A-IO2, Assigned (P)Aaa (sf) Cl. A-IO3, Assigned (P)Aaa (sf) Cl. A-IO4, Assigned (P)Aaa (sf) Cl. A-IO5, Assigned (P)Aaa (sf) Cl. A-IO6, Assigned (P)Aaa (sf) Cl. A-IO7, Assigned (P)Aaa (sf) Cl. A-IO8, Assigned (P)Aaa (sf) Cl. A-IO9, Assigned (P)Aaa (sf) Cl. A-IO10, Assigned (P)Aaa (sf) Cl. A-IO11, Assigned (P)Aaa (sf) Cl. A-IO12, Assigned (P)Aaa (sf) Cl. A-IO13, Assigned (P)Aaa (sf) Cl. A-IO14, Assigned (P)Aaa (sf) Cl. A-IO15, Assigned (P)Aaa (sf) Cl. A-IO16, Assigned (P)Aaa (sf) Cl. A-IO17, Assigned (P)Aaa (sf) Cl. A-IO18, Assigned (P)Aaa (sf) Cl. A-IO19, Assigned (P)Aaa (sf) Cl. A-IO20, Assigned (P)Aa1 (sf) Cl. A-IO21, Assigned (P)Aa1 (sf) Cl. A-IO22, Assigned (P)Aa1 (sf) Cl. A-IO23, Assigned (P)Aaa (sf) Cl. A-IO24, Assigned (P)Aaa (sf) Cl. A-IO25, Assigned (P)Aaa (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A2 (sf) Cl. B-3, Assigned (P)Baa2 (sf) Cl. B-4, Assigned (P)Ba2 (sf) RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Moody's expected cumulative net loss on the aggregate pool is 0.45% in a base scenario and reaches 5.70% at a stress level consistent with the Aaa ratings. Moody's loss estimates are based on a loan-by-loan assessment of the securitized collateral pool using Moody's Individual Loan Level Analysis (MILAN) model. Loan-level adjustments to the model included: adjustments to borrower probability of default for higher and lower borrower DTIs, borrowers with multiple mortgaged properties, self-employed borrowers, origination channels and at a pool level, for the default risk of HOA properties in super lien states. The adjustment to Moody's Aaa stress loss above the model output also includes adjustments related to aggregator and originators assessments. The model combines loan-level characteristics with economic drivers to determine the probability of default for each loan, and hence for the portfolio as a whole. Severity is also calculated on a loan-level basis. The pool loss level is then adjusted for borrower, zip code, and MSA level concentrations. Collateral Description The SCOT 2017-1 transaction is a securitization of 392 first lien residential mortgage loans with an unpaid principal balance of $280,375,649. The loans in this transaction have strong borrower characteristics with a weighted average original FICO score of 768 and a weighted-average original combined loan-to-value ratio (CLTV) of 68.1%. In addition, 28.8% of the borrowers are self-employed and refinance loans comprise 54.1% of the aggregate pool. The pool has a high geographic concentration with 44.0% of the aggregate pool located in California and 12.4% located in the Los Angeles-Long Beach-Anaheim MSA. Out of the total 392 loans in this transaction, 6 loans (1.29% of stated principal balance) were originated or acquired by New Penn Financial, LLC ("New Penn"). The remaining 386 loans (98.71% of stated principal balance) were aggregated by Bank of America National Association (BANA) through its jumbo whole loan purchase program. There are 15 originators in the transaction. The largest originators in the pool with more than 5% by balance are QUICKEN LOANS INC. (31.2%), Stonegate Mortgage Corporation (15.0%), Guild Mortgage Company (10.5%), JMAC Lending Inc., (10.31%), Caliber Homes Inc., (5.86%), and PrimeLending (5.78%). Moody's reviewed the underwriting guidelines of BANA's jumbo whole loan purchase program. All the loans aggregated by BANA were underwritten to BANA's guidelines except for Quicken and Caliber. In addition, Moody's also reviewed the prime jumbo underwriting guidelines of Quicken. However, given that Moody's has limited performance information on the majority of the originators, Moody's increased Moody's base case and Aaa loss expectations for the loans aggregated by BANA with the exception of PrimeLending and Caliber Home Loans Inc. both of which Moody's has assessed as stronger than their peers. Moody's also assessed New Penn Financial LLC as an above average originator of prime jumbo residential mortgage loans. All of the mortgage loans in SCOT 2017-1 will be serviced by Shellpoint Mortgage Servicing (SMS). Moody's assessment of SMS as an above average primary servicer of residential mortgage loans reflects Shellpoint Mortgage Servicing's above average collection abilities, average loss mitigation results, above average foreclosure and REO timeline management, above average loan administration and below average servicing stability. Wells Fargo Bank, N.A. will serve as the master servicer. Third Party Review and Reps & Warranties (R&W) Three third party review (TPR) firms verified the accuracy of the loan-level information that the sponsor gave us. These firms conducted detailed credit, property valuation, data integrity and regulatory reviews on 100% of the mortgage pool. The TPR results indicate that the majority of reviewed loans were in compliance with originators' underwriting guidelines, no material compliance or data issues, and no appraisal defects. New Penn and each originator of a loan acquired by Bank of America and New Penn will provide comprehensive loan level R&W for their respective loans. For Bank of America aggregated loans, the bank will assign each originator's R&W to New Penn, who will assign to the depositor, which will assign to the trust. To mitigate the potential concerns regarding Bank of America originators' ability to meet their respective R&W obligations, New Penn will backstop the R&Ws for all originators' loans acquired by the bank as well as originators' loans acquired by New Penn. New Penn's obligation to backstop third party R&Ws will terminate 5 years after the closing date. While Moody's acknowledge New Penn's relatively weak financial strength, the collateral pool benefits from the diversity of the originators that sourced the loans. In addition, Shellpoint Partners LLC will act as guarantor for New Penn in the event that New Penn has insufficient funds to fulfill its repurchase obligation. Moody's note that Shellpoint Partners' financial strength is also weak. Trustee and Master Servicer The transaction trustee is Wilmington Savings Fund Society, FSB, d/b/a Christiana Trust. The custodian and securities administrator functions will be performed by Wells Fargo Bank, N.A. In addition, Wells Fargo is the master servicer and is responsible for servicer oversight, termination of servicers and for the appointment of successor servicers. As master servicer, Wells Fargo is also committed to act as successor if no other successor servicer can be found. Moody's assess Wells Fargo as a strong master servicer of residential loans. Tail Risk & Subordination Floor The transaction has a shifting interest structure that allows subordinated bonds to receive principal payments under certain defined scenarios. Because a shifting interest structure allows subordinated bonds to pay down over time as the loan pool shrinks, senior bonds are exposed to increased performance volatility, known as tail risk. The transaction provides for a senior subordination floor of 1.90% of the cut-off pool balance, which mitigates tail risk by protecting the senior bonds from eroding credit enhancement over time. Additionally there is a subordination lock-out amount which is 1.30% of the cut-off pool balance. Transaction Structure The transaction is structured as a one pool shifting interest structure in which the senior bonds benefit from a senior floor and a subordination floor. Funds collected, including principal, are first used to make interest payments to the senior bonds. Next principal payments are made to the senior bonds and then interest and principal payments are paid to the subordinate bonds in sequential order, subject to the subordinate class percentage of the subordinate principal distribution amounts. Realized losses are allocated in a reverse sequential order, first to the lowest subordinate bond. After the balances of the subordinate bonds are written off, losses from the pool begin to write off the principal balances of the senior support bonds until their principal balances are reduced to zero. Next realized losses are allocated to the super senior bonds until their principal balances are written off. As in all transactions with shifting-interest structures, the senior bonds benefit from a cash flow waterfall that allocates all prepayments to the senior bonds for a specified period of time, and allocates increasing amounts of prepayments to the subordinate bonds thereafter only if loan performance satisfies both delinquency and loss tests Factors that would lead to an upgrade or downgrade of the ratings: Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Methodology The principal methodology used in these ratings was "Moody's Approach to Rating US Prime RMBS," published on February 2015. Additionally, the methodology used in rating Cl. A-IO1, Cl. A-IO2, Cl. A-IO3, Cl. A-IO4, Cl. A-IO5, Cl. A-IO6, Cl. A-IO7, Cl. A-IO8, Cl. A-IO9, Cl. A-IO10, Cl. A-IO11, Cl. A-IO12, Cl. A-IO13, Cl. A-IO14, Cl. A-IO15, Cl. A-IO16, Cl. A-IO17, Cl. A-IO18, Cl. A-IO19, Cl. A-IO20, Cl. A-IO21, Cl. A-IO22, Cl. A-IO23, Cl. A-IO24, Cl. A-IO25, was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in October 2015. SLM PRIVATE 2003-A: Moody's Lowers Rating on Class B Debt to B1 --------------------------------------------------------------- Moody's Investors Service upgraded 19 classes and downgraded two classes from nine private student loan securitizations sponsored, administered and serviced by Navient Solutions, Inc. The securitizations are backed by private (i.e. not government-guaranteed) student loans. The complete rating actions are: Issuer: SLM Private Credit Student Loan Trust 2002-A Class B, Upgraded to Aaa (sf); previously on Apr 21, 2016 Confirmed at Aa1 (sf) Issuer: SLM Private Credit Student Loan Trust 2003-A Class B, Downgraded to B1 (sf); previously on Apr 21, 2016 Downgraded to Ba3 (sf) Issuer: SLM Private Credit Student Loan Trust 2003-B Class B, Downgraded to B1 (sf); previously on Apr 21, 2016 Downgraded to Ba3 (sf) Issuer: SLM Private Credit Student Loan Trust 2005-A Cl. A-4, Upgraded to Aaa (sf); previously on May 5, 2014 Affirmed Aa1 (sf) Cl. C, Upgraded to A2 (sf); previously on May 5, 2014 Affirmed Baa1 (sf) Issuer: SLM Private Credit Student Loan Trust 2005-B Cl. A-4, Upgraded to Aaa (sf); previously on May 5, 2014 Affirmed Aa1 (sf) Cl. B, Upgraded to Aa2 (sf); previously on May 5, 2014 Affirmed Aa3 (sf) Cl. C, Upgraded to A2 (sf); previously on May 5, 2014 Affirmed Baa1 (sf) Issuer: SLM Private Credit Student Loan Trust 2006-A Cl. A-5, Upgraded to Aaa (sf); previously on May 5, 2014 Affirmed Aa1 (sf) Cl. B, Upgraded to Aa1 (sf); previously on May 5, 2014 Affirmed A1 (sf) Cl. C, Upgraded to A1 (sf); previously on May 5, 2014 Affirmed A3 (sf) Issuer: SLM Private Credit Student Loan Trust 2006-B Cl. A-5, Upgraded to Aaa (sf); previously on May 5, 2014 Affirmed Aa1 (sf) Cl. B, Upgraded to Aa2 (sf); previously on May 5, 2014 Affirmed A1 (sf) Cl. C, Upgraded to A2 (sf); previously on May 5, 2014 Affirmed Baa1 (sf) Issuer: SLM Private Credit Student Loan Trust 2006-C Cl. A-5, Upgraded to Aaa (sf); previously on May 5, 2014 Affirmed Aa1 (sf) Cl. B, Upgraded to Aa1 (sf); previously on Dec 22, 2016 A2 (sf) Placed Under Review for Possible Upgrade Cl. C, Upgraded to A2 (sf); previously on May 5, 2014 Affirmed Baa1 (sf) Issuer: SLM Private Credit Student Loan Trust 2007-A Cl. A-2, Upgraded to Aaa (sf); previously on May 5, 2014 Affirmed Aa2 (sf) Cl. A-3, Upgraded to Aa1 (sf); previously on May 5, 2014 Affirmed A1 (sf) Cl. C-1, Upgraded to A3 (sf); previously on May 5, 2014 Affirmed Baa1 (sf) Cl. C-2, Upgraded to A3 (sf); previously on May 5, 2014 Affirmed Baa1 (sf) RATINGS RATIONALE The primary rationale for the upgrades is the improved performance of the underlying collateral pools with the ratios of total assets to total liabilities (total parity levels) increasing for most of the transactions over the 12-month period ending in December 2016. In addition, the top-pay senior classes are benefiting from rapid deleveraging. The downgrades are a result of the continuous deterioration in the total parity levels. The 2003-A, and 2003-B transactions suffer from high funding costs, because they are partially funded with auction rate securities. The high funding cost of auction-rate securities that are currently in the failed auction mode erode excess spread and expose the subordinated classes of notes in these transactions to a significant default risk. Moody's expected lifetime defaults as a percentage of original pool balance are approximately 14.0%, 16.5%, 18.5%, 26.0%, 23.0%, 24.25%, 26.75%, 29.5% and 29.5% for the 2002-A, 2003-A, 2003-B, 2005-A, 2005-B, 2006-A, 2006-B, 2006-C and 2007-A trusts, respectively. The principal methodology used in these ratings was "Moody's Approach to Rating U.S. Private Student Loan-Backed Securities" published in January 2010. Factors that would lead to an upgrade or downgrade of the ratings: Up Among the factors that could drive the ratings up are a decrease in defaults rates, higher recoveries on defaulted loans and/or lower net losses on the underlying assets than Moody's expects. Down Among the factors that could drive the ratings down are an increase in defaults rates, lower recoveries on defaulted loans and/or higher net losses on the underlying assets than Moody's expects. SLM STUDENT 2008-4: Fitch Lowers Rating on 2 Tranches to 'Bsf' -------------------------------------------------------------- Fitch Ratings has taken the following rating actions on SLM Student Loan Trust 2008-4: -- Class A-4 downgraded to 'Bsf' from 'AAAsf'; removed from Rating Watch Negative and assigned Outlook Stable; -- Class B downgraded to 'Bsf' from 'AA+sf'; removed from Rating Watch Negative and assigned Outlook Stable. The class A-4 notes miss their legal final maturity date under both Fitch's credit and maturity base cases. This technical default would result in interest payments being diverted away from class B, which would cause that note to default as well. In downgrading to 'Bsf' rather than 'CCCsf' or below, Fitch has considered qualitative factors such as Navient's ability to call the notes upon reaching 10% pool factor, the revolving credit agreement in place for the benefit of the noteholders, and the eventual full payment of principal in modelling. The trust has entered into a revolving credit agreement with Navient by which it may borrow funds at maturity in order to pay off the notes. Because Navient has the option but not the obligation to lend to the trust, Fitch cannot give full quantitative credit to this agreement. However, the agreement does provide qualitative comfort that Navient is committed to limiting investors' exposure to maturity risk. KEY RATING DRIVERS Collateral Quality: The trust collateral comprises 100% Federal Family Education Loan Program (FFELP) loans with guaranties provided by eligible guarantors and reinsurance provided by the U.S. Department of Education for at least 97% of principal and accrued interest. Fitch's current U.S. sovereign rating is 'AAA' with a Stable Outlook. Collateral Performance: Fitch assumes a base case default rate of 13.5% and a 40.5% default rate under the 'AAA' credit stress scenario. The base case default assumption of 13.5% implies a constant default rate of 3.9% (assuming a weighted average life of 3.49 years) consistent with the trailing 12 month (TTM) average constant default rate utilized in the maturity stresses. Fitch applies the standard default timing curve. The claim reject rate is assumed to be 0.50% for the base case and 3% for the 'AAA' case. The trailing 12 month average of deferment, forbearance, income-based repayment (prior to adjustment) and constant prepayment rate (voluntary and involuntary) are 9.8%, 16.6%, 16.2% and 13.7% respectively, which are used as the starting point in cash flow modeling. Subsequent declines or increases are modeled as per criteria. The borrower benefit is assumed to be approximately 0.07% based on information provided by the sponsor. Basis and Interest Rate Risk: Fitch applies its standard basis and interest rate stresses to this transaction as per criteria. Credit Enhancement: Credit enhancement (CE) is provided by excess spread, overcollateralization and, for the class A notes, subordination provided by the class B notes. As of December 2016, total and senior parity ratios (excluding the reserve account, as pool factor is below 40%) are 102.55% and 114.68%, respectively. Cash is being released from the trust given it has reached is release level of 102.55%. Liquidity Support: Liquidity support is provided by a reserve account equal to the greater of 0.25% of the pool balance and $999,985, currently sized at the floor. Servicing Capabilities: Day-to-day servicing is provided by Navient Solutions, Inc. Fitch believes Navient to be an acceptable servicer, due to its extensive track record as the largest servicer of FFELP student loans. CRITERIA VARIATIONS Eligible Investments: Under Fitch's 'Counterparty Criteria for Structured Finance and Covered Bonds', dated Sept. 1, 2016, Fitch looks to its own ratings in analyzing counterparty risk and assessing a counterparty's creditworthiness. The definition of permitted investments for this deal allows for the possibility of using investments not rated by Fitch, which represents a criteria variation. Since the available funds can only be invested for a short duration given the payment frequency of the notes, Fitch does not believe such variation has a measurable impact upon the ratings assigned. RATING SENSITIVITIES 'AAAsf' rated tranches of most FFELP securitizations will likely move in tandem with the U.S. sovereign rating, given the strong linkage to the U.S. sovereign by nature of the reinsurance and SAP provided by U.S. Department of Education. Sovereign risks are not addressed in Fitch's sensitivity analysis. Fitch conducted a CE sensitivity analysis by stressing both the related lifetime default rate and basis spread assumptions. In addition, Fitch conducted a maturity sensitivity analysis by running different assumptions for the IBR usage and prepayment rate. The results below should only be considered as one potential model implied outcome as the transaction is exposed to multiple risk factors that are all dynamic variables. Credit Stress Rating Sensitivity -- Default increase 25%: class A 'CCCsf'; class B 'CCCsf' -- Default increase 50%: class A 'CCCsf'; class B 'CCCsf' -- Basis Spread increase 0.25%: class A 'CCCsf'; class B 'CCCsf' -- Basis Spread increase 0.50%: class A 'CCCsf'; class B 'CCCsf' Maturity Stress Rating Sensitivity -- CPR decrease 50%: class A 'CCCsf'; class B 'CCCsf' -- CPR increase 100%: class A 'CCCsf'; class B 'CCCsf' -- IBR Usage increase 100%: class A 'CCCsf'; class B 'CCCsf' -- IBR Usage decrease 50%: class A 'CCCsf'; class B 'CCCsf' Stresses are intended to provide an indication of the rating sensitivity of the notes to unexpected deterioration in trust performance. Rating sensitivity should not be used as an indicator of future rating performance. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. SLM STUDENT 2008-5: Fitch Lowers Rating on 2 Tranches to 'Bsf' -------------------------------------------------------------- Fitch Ratings has taken the following rating actions on SLM Student Loan Trust 2008-5: -- Class A-4 downgraded to 'Bsf' from 'AAAsf'; removed from Rating Watch Negative and assigned Outlook Stable; -- Class B downgraded to 'Bsf' from 'AAAsf'; removed from Rating Watch Negative and assigned Outlook Stable. The class A-4 notes miss their legal final maturity date under both Fitch's credit and maturity base cases. This technical default would result in interest payments being diverted away from class B, which would cause that note to default as well. In downgrading to 'Bsf' rather than 'CCCsf' or below, Fitch has considered qualitative factors such as Navient's ability to call the notes upon reaching 10% pool factor, the revolving credit agreement in place for the benefit of the noteholders, and the eventual full payment of principal in modelling. The trust has entered into a revolving credit agreement with Navient by which it may borrow funds at maturity in order to pay off the notes. Because Navient has the option but not the obligation to lend to the trust, Fitch cannot give full quantitative credit to this agreement. However, the agreement does provide qualitative comfort that Navient is committed to limiting investors' exposure to maturity risk. KEY RATING DRIVERS Collateral Quality: The trust collateral comprises 100% Federal Family Education Loan Program (FFELP) loans with guaranties provided by eligible guarantors and reinsurance provided by the U.S. Department of Education for at least 97% of principal and accrued interest. Fitch's current U.S. sovereign rating is 'AAA' with a Stable Outlook. Collateral Performance: Fitch assumes a base case default rate of 14% and a 42% default rate under the 'AAA' credit stress scenario. The base case default assumption of 14% implies a constant default rate of 4.0% (assuming a weighted average life of 3.44 years) consistent with the trailing 12 month (TTM) average constant default rate utilized in the maturity stresses. Fitch applies the standard default timing curve. The claim reject rate is assumed to be 0.50% for the base case and 3.0% for the 'AAAsf' case. The trailing 12month average of deferment, forbearance, income-based repayment (prior to adjustment) and constant prepayment rate (voluntary and involuntary) are 10.2%, 16.3%, 16.9% and 13.3%, respectively, which are used as the starting point in cash flow modeling. Subsequent declines or increases are modeled as per criteria. The borrower benefit is assumed to be approximately 0.05% based on information provided by the sponsor. Basis and Interest Rate Risk: Fitch applies its standard basis and interest rate stresses to this transaction as per criteria. Credit Enhancement: Credit enhancement (CE) is provided by excess spread, overcollateralization and, for the class A notes, subordination provided by the class B notes. As of December 2016, total and senior parity ratios (excluding the reserve account, as pool factor is below 40%) are 103.79% and 113.32%, respectively. Cash is being released from the trust given it has reached its release level of 103.79%. Liquidity Support: : Liquidity support is provided by a reserve account equal to the greater of 0.25% of the pool balance and $4,124,895, currently sized at the floor. Servicing Capabilities: Day-to-day servicing is provided by Navient Solutions, Inc. Fitch believes Navient to be an acceptable servicer, due to its extensive track record as the largest servicer of FFELP student loans. CRITERIA VARIATIONS Eligible Investments: Under Fitch's 'Counterparty Criteria for Structured Finance and Covered Bonds', dated Sept. 1, 2016, Fitch looks to its own ratings in analyzing counterparty risk and assessing a counterparty's creditworthiness. The definition of permitted investments for this deal allows for the possibility of using investments not rated by Fitch, which represents a criteria variation. Since the available funds can only be invested for a short duration given the payment frequency of the notes, Fitch does not believe such variation has a measurable impact upon the ratings assigned. RATING SENSITIVITIES 'AAAsf' rated tranches of most FFELP securitizations will likely move in tandem with the U.S. sovereign rating, given the strong linkage to the U.S. sovereign by nature of the reinsurance and SAP provided by the U.S. Department of Education. Sovereign risks are not addressed in Fitch's sensitivity analysis. Fitch conducted a CE sensitivity analysis by stressing both the related lifetime default rate and basis spread assumptions. In addition, Fitch conducted a maturity sensitivity analysis by running different assumptions for the IBR usage and prepayment rate. The results below should only be considered as one potential model implied outcome as the transaction is exposed to multiple risk factors that are all dynamic variables. Credit Stress Rating Sensitivity -- Default increase 25%: class A 'CCCsf'; class B 'CCCsf' -- Default increase 50%: class A 'CCCsf'; class B 'CCCsf' -- Basis Spread increase 0.25%: class A 'CCCsf'; class B 'CCCsf' -- Basis Spread increase 0.50%: class A 'CCCsf'; class B 'CCCsf' Maturity Stress Rating Sensitivity -- CPR decrease 50%: class A 'CCCsf'; class B 'CCCsf' -- CPR increase 100%: class A 'Bsf'; class B 'Bsf' -- IBR Usage increase 100%: class A 'CCCsf'; class B 'CCCsf' -- IBR Usage decrease 50%: class A 'CCCsf'; class B 'CCCsf' Stresses are intended to provide an indication of the rating sensitivity of the notes to unexpected deterioration in trust performance. Rating sensitivity should not be used as an indicator of future rating performance. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. SLM STUDENT 2008-6: Fitch Cuts Rating on Class B Debt to 'Bsf' -------------------------------------------------------------- Fitch Ratings has taken the following rating actions on SLM Student Loan Trust 2008-6 (SLM 2008-6): -- Class A-3 affirmed at 'AAAsf'; removed from Rating Watch Negative and assigned Outlook Stable; -- Class A-4 downgraded to 'Bsf' from 'AAAsf'; removed from Rating Watch Negative and assigned Outlook Stable; -- Class B downgraded to 'Bsf' from 'Asf'; removed from Rating Watch Negative and assigned Outlook Stable. The class A-4 notes miss their legal final maturity date under both Fitch's credit and maturity base cases. This technical default would result in interest payments being diverted away from class B, which would cause that note to default as well. In downgrading to 'Bsf' rather than 'CCCsf' or below, Fitch has considered qualitative factors such as Navient's ability to call the notes upon reaching 10% pool factor, the revolving credit agreement in place for the benefit of the noteholders, and the eventual full payment of principal in modelling. The trust has entered into a revolving credit agreement with Navient by which it may borrow funds at maturity in order to pay off the notes. Because Navient has the option but not the obligation to lend to the trust, Fitch cannot give full quantitative credit to this agreement. However, the agreement does provide qualitative comfort that Navient is committed to limiting investors' exposure to maturity risk. KEY RATING DRIVERS U.S. Sovereign Risk: The trust collateral comprises 100% Federal Family Education Loan Program (FFELP) loans, with guaranties provided by eligible guarantors and reinsurance provided by the U.S. Department of Education (ED) for at least 97% of principal and accrued interest. The U.S. sovereign rating is currently 'AAA'/Outlook Stable. Collateral Performance: Fitch assumes a base case default rate of 14.75% and a 44.25% default rate under the 'AAA' credit stress scenario. The base case default assumption of 14.75% implies a constant default rate of 4.3% (assuming a weighted average life of 3.4 years) consistent with the trailing 12 month (TTM) average constant default rate utilized in the maturity stresses. Fitch applies the standard default timing curve. The claim reject rate is assumed to be 0.50% in the base case and 3% in the 'AAA' case. The TTM average of deferment, forbearance, income-based repayment (prior to adjustment) and constant prepayment rate (voluntary and involuntary) are 10.2%, 16.0%, 17.4% and 12.9%, respectively, which are used as the starting point in cash flow modeling. Subsequent declines or increases are modeled as per criteria. The borrower benefit is assumed to be approximately 0.04%, based on information provided by the sponsor. Basis and Interest Rate Risk: Fitch applies its standard basis and interest rate stresses to this transaction as per criteria. Payment Structure: Credit enhancement (CE) is provided by overcollateralization, excess spread and, for the class A notes, subordination. As of January 2017 distribution date, total and senior effective parity ratios (which includes the reserve account) are, respectively, 101.29% (1.27% CE) and 110.76% (9.71% CE). Liquidity support is provided by a reserve account sized at the greater of 0.25% of the pool balance, and $2,000,000, currently equal to $2,000,000. The transaction will continue to release cash as long as the target parity ratio of 101.01% (excluding the reserve, as pool factor is below 40%) is maintained. Maturity Risk: Fitch's student loan ABS cash flow model indicates that the class A-4 notes do not pay off before their maturity date in all of Fitch's modelling scenarios, including the base cases. If the breach of the class A maturity date triggers an event of default, interest payments will be diverted away from the class B notes, causing them to fail the base cases as well. Operational Capabilities: Day-to-day servicing is provided by Navient Solutions, Inc. Fitch believes Navient to be an acceptable servicer, due to its extensive track record as the largest servicer of FFELP loans. CRITERIA VARIATIONS Under the 'Counterparty Criteria for Structured Finance and Covered Bonds', dated Sept. 1, 2016, Fitch looks to its own ratings in analyzing counterparty risk and assessing a counterparty's creditworthiness. The definition of permitted investments for this deal allows for the possibility of using investments not rated by Fitch, which represents a criteria variation. Since the only available funds to invest are those held in the Collection Account, and the funds can only be invested for a short duration given the payment frequency of the notes, Fitch does not believe such variation has a measurable impact upon the ratings assigned. RATING SENSITIVITIES 'AAAsf' rated tranches of most FFELP securitizations will likely move in tandem with the U.S. sovereign rating, given the strong linkage to the U.S. sovereign by nature of the reinsurance and SAP provided by ED. Sovereign risks are not addressed in Fitch's sensitivity analysis. Fitch conducted a CE sensitivity analysis by stressing both the related lifetime default rate and basis spread assumptions. In addition, Fitch conducted a maturity sensitivity analysis by running different assumptions for the IBR usage and prepayment rate. The results below should only be considered as one potential model implied outcome as the transaction is exposed to multiple risk factors that are all dynamic variables. Credit Stress Rating Sensitivity -- Default increase 25%: class A 'CCCsf'; class B 'CCCsf' -- Default increase 50%: class A 'CCCsf'; class B 'CCCsf' -- Basis Spread increase 0.25%: class A 'CCCsf'; class B 'CCCsf' -- Basis Spread increase 0.50%: class A 'CCCsf'; class B 'CCCsf' Maturity Stress Rating Sensitivity -- CPR decrease 50%: class A 'CCCsf'; class B 'CCCsf' -- CPR increase 100%: class A 'CCCsf'; class B 'CCCsf' -- IBR Usage increase 100%: class A 'CCCsf'; class B 'CCCsf' -- IBR Usage decrease 50%: class A 'CCCsf'; class B 'CCCsf' It is important to note that the stresses are intended to provide an indication of the rating sensitivity of the notes to unexpected deterioration in trust performance. Rating sensitivity should not be used as an indicator of future rating performance. SLM STUDENT 2013-4: Fitch Hikes Ratings on 2 Tranches From Bsf -------------------------------------------------------------- Fitch Ratings has upgraded the ratings on the following classes of SLM Student Loan Trust 2013-4 (SLM 2013-4): -- Class A to 'AAAsf' from 'Bsf'; Outlook Stable; -- Class B to 'BBBsf' from 'Bsf'; Outlook Stable. On March 13, 2017, the legal final maturity date of the SLM 2013-4 class A and B notes were extended to June 2043 and December 2070 respectively. This effectively mitigates the maturity risk in Fitch's cash flow modelling, resulting in the upgrade. Because the class A notes no longer experiences technical defaults in modelling, which would have otherwise diverted interest away from the subordinate notes, the class B notes now pass BBB maturity cash flow stresses. Excluding the $150,000 per annum contingent Indenture Trustee fee in the cash flow modelling, the class B notes would be eligible for an upgrade to 'AA'. KEY RATING DRIVERS U.S. Sovereign Risk: The trust collateral comprises 100% Federal Family Education Loan Program (FFELP) loans, with guaranties provided by eligible guarantors and reinsurance provided by the U.S. Department of Education (ED) for at least 97% of principal and accrued interest. The U.S. sovereign rating is currently 'AAA'/Outlook Stable. Collateral Performance: Fitch assumes a base case default rate of 10.25% and a 30.75% default rate under the 'AAA' credit stress scenario. The base case default assumption of 10.25% implies a constant default rate of 3.0% (assuming a weighted average life of 3.4 years) consistent with the trailing-12- month (TTM) average constant default rate utilized in the maturity stresses. Fitch applies the standard default timing curve. The claim reject rate is assumed to be 0.50% in the base case and 3% in the 'AAA' case. The TTM average of deferment, forbearance, Income-based repayment (prior to adjustment) and constant prepayment rate (voluntary and involuntary) are 9.5%, 15.4%, 17.7% and 13.8%, respectively, which are used as the starting point in cash flow modeling. Subsequent declines or increases are modeled as per criteria. The borrower benefit is assumed to be approximately 0.11%, based on information provided by the sponsor. Basis and Interest Rate Risk: Fitch applies its standard basis and interest rate stresses to this transaction as per criteria. Payment Structure: Credit enhancement (CE) is provided by overcollateralization, excess spread and, for the class A notes, subordination. As of January 2017 distribution date, total and senior effective parity ratios (which includes the reserve account) are, respectively, 101.01% (1.00% CE) and 105.86% (5.54% CE). Liquidity support is provided by a reserve account sized at the greater of 0.25% of the pool balance, and $748,897, currently equal to $1,132,673.78. The trust will continue to release cash as long as the target overcollateralization amount of the greater of 1.00% of adjusted pool balance or $1,000,000 is maintained. Maturity Risk: Fitch's Student Loan ABS (SLABS) cash flow model indicates that the notes are paid in full on or prior to the legal final maturity dates under the commensurate rating scenario. Operational Capabilities: Day-to-day servicing is provided by Navient Solutions, Inc. Fitch believes Navient to be an acceptable servicer, due to its extensive track record as the largest servicer of FFELP loans. CRITERIA VARIATIONS Under the 'Counterparty Criteria for Structured Finance and Covered Bonds', dated Sept. 1, 2016, Fitch looks to its own ratings in analyzing counterparty risk and assessing a counterparty's creditworthiness. The definition of permitted investments for this deal allows for the possibility of using investments not rated by Fitch, which represents a criteria variation. Since the only available funds to invest are those held in the Collection Account, and the funds can only be invested for a short duration given the payment frequency of the notes, Fitch does not believe such variation has a measurable impact upon the ratings assigned. RATING SENSITIVITIES 'AAAsf' rated tranches of most FFELP securitizations will likely move in tandem with the U.S. sovereign rating, given the strong linkage to the U.S. sovereign by nature of the reinsurance and SAP provided by ED. Sovereign risks are not addressed in Fitch's sensitivity analysis. Fitch conducted a CE sensitivity analysis by stressing both the related lifetime default rate and basis spread assumptions. In addition, Fitch conducted a maturity sensitivity analysis by running different assumptions for the IBR usage and prepayment rate. The results below should only be considered as one potential model implied outcome as the transaction is exposed to multiple risk factors that are all dynamic variables. Credit Stress Rating Sensitivity -- Default increase 25%: class A 'AAAsf'; class B 'AAAsf' -- Default increase 50%: class A 'AAAsf'; class B 'AAAsf' -- Basis Spread increase 0.25%: class A 'AAAsf'; class B 'AAAsf' -- Basis Spread increase 0.50%: class A 'AAAsf'; class B 'CCCsf' Maturity Stress Rating Sensitivity -- CPR decrease 50%: class A 'AAAsf'; class B 'CCCsf' -- CPR increase 100%: class A 'AAAsf'; class B 'AAAsf' -- IBR Usage increase 100%: class A 'AAAsf'; class B 'AAAsf' -- IBR Usage decrease 50%: class A 'AAAsf'; class B 'BBsf' It is important to note that the stresses are intended to provide an indication of the rating sensitivity of the notes to unexpected deterioration in trust performance. Rating sensitivity should not be used as an indicator of future rating performance. SYMPHONY CLO XV: Moody's Hikes Rating on Class E Debt to Ba2 ------------------------------------------------------------ Moody's Investors Service has upgraded the rating on the following note issued by Symphony CLO XV, Ltd.: Class E Deferrable Mezzanine Floating Rate Notes, Upgraded to Ba2 (sf); previously on November 17, 2014 Definitive Rating Assigned Ba3 (sf) Moody's also affirmed the rating on the following note: Class F Deferrable Mezzanine Floating Rate Notes Affirmed B2 (sf); previously on November 17, 2014 Definitive Rating Assigned B2 (sf) Symphony CLO XV, Ltd., issued in November 2014, is a collateralized loan obligation (CLO) backed primarily by a portfolio of senior secured loans. The transaction's reinvestment period will end in October 2018. RATINGS RATIONALE These rating actions are primarily a result of the recent refinancing of the Class A, Class B-1, Class B-2, Class C and Class D notes on March 13, 2017, which increases excess spread available as credit enhancement to the rated notes. In addition, Moody's expects that the deal will benefit from a higher weighted average recovery rate (WARR) level compared to its covenant level. 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: 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 commence 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 $12.8 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% (2371) Class E: +2 Class F: +2 Moody's Adjusted WARF + 20% (3557) Class E: -1 Class F: -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 $597.6 million, defaulted par of $5.5 million, a weighted average default probability of 24.86% (implying a WARF of 2964), a weighted average recovery rate upon default of 50.00%, a diversity score of 62 and a weighted average spread of 3.67% (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. THL CREDIT 2017-1: Moody's Assigns Ba3 Rating to Cl. E Notes ------------------------------------------------------------ Moody's Investors Service has assigned ratings to five classes of notes issued by THL Credit Wind River 2017-1 CLO Ltd. Moody's rating action is: US$390,000,000 Class A Senior Secured Floating Rate Notes due 2029 (the "Class A Notes"), Assigned Aaa (sf) US$66,000,000 Class B Senior Secured Floating Rate Notes due 2029 (the "Class B Notes"), Assigned Aa2 (sf) US$36,000,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2029 (the "Class C Notes"), Assigned A2 (sf) US$33,000,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2029 (the "Class D Notes"), Assigned Baa3 (sf) US$27,000,000 Class E Junior Secured Deferrable Floating Rate Notes due 2029 (the "Class E Notes"), Assigned 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." 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. THL 2017-1 CLO is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated first lien senior secured corporate loans. At least 90% of the portfolio must consist of senior secured loans and eligible investments, and up to 10% of the portfolio may consist of second lien loans and unsecured loans. The portfolio is approximately 75% ramped as of the closing date. THL Credit Advisors LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's four year reinvestment period. Thereafter, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets, subject to certain restrictions. In addition to the Rated Notes, the Issuer has issued subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. 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: $600,000,000 Diversity Score: 60 Weighted Average Rating Factor (WARF): 2870 Weighted Average Spread (WAS): 3.90% Weighted Average Coupon (WAC): 6.50% Weighted Average Recovery Rate (WARR): 47.25% Weighted Average Life (WAL): 8.1 years. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in October 2016. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. Together with the set of modeling assumptions above, Moody's conducted an additional sensitivity analysis, which was a component in determining the ratings assigned to the Rated Notes. This sensitivity analysis includes increased default probability relative to the base case. Below is a summary of the impact of an increase in default probability (expressed in terms of WARF level) on the Rated Notes (shown in terms of the number of notch difference versus the current model output, whereby a negative difference corresponds to higher expected losses), assuming that all other factors are held equal: Percentage Change in WARF -- increase of 15% (from 2870 to 3301) 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 2870 to 3731) 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 TOWD POINT 2015-1: DBRS Assigns BB(low) Ratings on 6 Tranches ------------------------------------------------------------- DBRS, Inc. has assigned the following ratings to the Asset Backed Notes, Series 2015-1 (the Notes) issued by Towd Point Mortgage Trust 2015-1 (the Trust): -- $133.3 million Class A1 at AAA (sf) -- $34.6 million Class A2 at AAA (sf) -- $23.2 million Class A3 at AA (sf) -- $25.3 million Class A4 at A (sf) -- $23.0 million Class A5 at BBB (sf) -- $21.8 million Class A6 at BB (low) (sf) -- $133.3 million Class AES at AAA (sf) -- $133.3 million Class AESX at AAA (sf) -- $167.9 million Class AE at AAA (sf) -- $167.9 million Class AEX at AAA (sf) -- $167.9 million Class AE1 at AAA (sf) -- $191.1 million Class AE2 at AA (sf) -- $57.8 million Class AE3 at AA (sf) -- $216.4 million Class AE4 at A (sf) -- $83.1 million Class AE5 at A (sf) -- $48.5 million Class AE6 at A (sf) -- $239.4 million Class AE7 at BBB (sf) -- $106.1 million Class AE8 at BBB (sf) -- $71.4 million Class AE9 at BBB (sf) -- $48.3 million Class AE10 at BBB (sf) -- $127.8 million Class AE11 at BB (low) (sf) -- $93.2 million Class AE12 at BB (low) (sf) -- $70.0 million Class AE13 at BB (low) (sf) -- $44.7 million Class AE14 at BB (low) (sf) -- $261.1 million Class A at BB (low) (sf) Class AESX and Class AEX are interest-only notes. The class balances represent notional amounts. Classes AES, AESX, AE, AEX, AE1, AE2, AE3, AE4, AE5, AE6, AE7, AE8, AE9, AE10, AE11, AE12, AE13, AE14 and Class A are exchangeable notes. These classes can be exchanged for combinations of exchange notes as specified in the offering documents. The AAA (sf) ratings on the Notes reflect the 47.39% of credit enhancement provided by subordinated Notes in the pool. The AA (sf), A (sf), BBB (sf) and BB (low) (sf) ratings reflect 40.14%, 32.20%, 25.01% and 18.19% of credit enhancement, respectively. Other than the specified classes above, DBRS does not rate any other classes in this transaction. This transaction is a previously issued securitization closed in January 2015, consisting of a portfolio of seasoned performing and re-performing residential mortgages. Certain entities affiliated with Cerberus Capital Management, L.P. acquired the loans, which were originated and previously serviced by various entities through purchases in the secondary market. The loans are serviced by Select Portfolio Servicing, Inc. There is no advancing of delinquent principal or interest on any mortgages by the servicer; however, the servicer is obligated to make advances in respect of taxes and insurance, reasonable costs and expenses incurred in the course of servicing and disposing of properties. FirstKey Mortgage, LLC, as the Asset Manager, has the option to sell certain non-performing loans or real-estate owned (REO) properties to unaffiliated third parties. The asset sale price has to equal a minimum reserve amount to maximize liquidation proceeds of such loans or properties. The minimum reserve amount equals the product of 63.7% and the then-current principal amount of the mortgage loans or REO properties. The transaction employs a sequential-pay cash flow structure. Principal proceeds can be used to cover interest shortfalls on the Notes, but such shortfalls on Class A3 and more subordinate bonds will not be paid until the more senior classes are retired. The ratings reflect transactional strengths that include well-performing underlying assets, a strong servicer and Asset Manager oversight. Additionally, a satisfactory third-party due diligence review was performed on the portfolio with respect to regulatory compliance, payment history and data capture as well as title and tax review. Servicing comments were also reviewed for majority of the loans. Updated broker price opinions or exterior appraisals were provided for 100% of the pool. The transaction employs a relatively weak representations and warranties framework that includes a 13-month sunset, an unrated representation provider, certain knowledge qualifiers and fewer mortgage loan representations relative to DBRS criteria for seasoned pools. Mitigating factors include (1) significant loan seasoning and relative clean performance history in recent years, (2) a comprehensive due diligence review and (3) a strong representations and warranties enforcement mechanism, including delinquency review trigger and breach reserve accounts. The lack of principal and interest advances on delinquent mortgages may increase the possibility of periodic interest shortfalls to the Noteholders; however, principal proceeds can be used to pay interest to the Notes sequentially and subordination levels are greater than expected losses, which may provide for timely payment of interest to the rated Notes. The DBRS ratings address the timely payment of interest and full payment of principal by the legal final maturity date in accordance with the terms and conditions of the related Notes. TRAPEZA CDO XI: Moody's Hikes Class B Secured Notes Rating to B2 ---------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Trapeza CDO XI, Ltd.: US$281,000,000 Class A-1 First Priority Senior Secured Floating Rate Notes due 2041 (current balance of $136,054,893), Upgraded to A1 (sf); previously on February 8, 2016 Upgraded to A3 (sf) US$53,000,000 Class A-2 Second Priority Senior Secured Floating Rate Notes due 2041, Upgraded to A3 (sf); previously on February 8, 2016 Upgraded to Ba2 (sf) US$20,000,000 Class A-3 Third Priority Senior Secured Floating Rate Notes due 2041, Upgraded to Baa1 (sf); previously on February 8, 2016 Upgraded to B1 (sf) US$25,000,000 Class B Fourth Priority Secured Deferrable Floating Rate Notes Due 2041 (current balance including deferred interest of $26,657,764), Upgraded to B2 (sf); previously on June 29, 2015 Upgraded to Caa3 (sf) Trapeza CDO XI, Ltd, issued on November 8, 2006, is a collateralized debt obligation backed by a portfolio of bank, insurance, REIT trust preferred securities (TruPS) and corporate securities. 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 ratios (OC), the improvement in the credit quality of the underlying portfolio since March 2016 and the correction of prior errors. The Class A-1 notes have paid down by approximately 14% or $22.2 million since March 2016, using principal proceeds from the redemption of the underlying assets and the diversion of excess interest proceeds. Based on Moody's calculations, the OC ratios for the Class A-1, Class A-2, Class A-3 and Class B notes have improved to 202.5%, 145.7%; 131.8% and 116.9%, respectively, from March 2016 levels of 183.3%, 137.3%, 125.4% and 112.5%, 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 deal has also benefited from improvement in the credit quality of the underlying portfolio. According to Moody's calculations, the weighted average rating factor (WARF) improved to 2077 from 2247 in March 2016. The total par amount that Moody's treated as having defaulted declined to $63.0 million from $100.4 million in March 2016. Additionally, three assets with a total par of $14.5 million have redeemed at par since March 2016. The rating actions also reflect the correction of two prior errors. In previous rating actions, the amortization profile of REIT assets was not modeled correctly, resulting in an early amortization of the REIT assets and thus an underestimation of interest proceeds available to the notes. In addition, the recovery rate upon default on a corporate asset was not modeled correctly, resulting in an underestimation of weighted average recovery rate upon default of the portfolio. These errors have been corrected, and today's actions reflect the correct modeling of the amortization profile of the REIT assets and recovery rate upon default of the corporate asset. 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. Moody's maintains its stable outlook on the US insurance 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 1276) Class A-1: +1 Class A-2: +2 Class A-3: +3 Class B: +3 Class C: 0 Assuming a two-notch downgrade to assets with below-investment grade ratings or rating estimates (WARF of 2478) Class A-1: -1 Class A-2: -1 Class A-3: -1 Class B: -2 Class C: 0 Loss and Cash Flow Analysis: Moody's applied a Monte Carlo simulation framework in Moody's CDOROM(TM) 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(TM) cash flow model. 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 as having a performing par of $275.5 million, defaulted par of $63.0 million, a weighted average default probability of 24.78% (implying a WARF of 2077), and a weighted average recovery rate upon default of 10.54%. 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 mainly TruPS issued by small to medium sized U.S. community banks, insurance companies and REIT companies 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(TM), 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. For insurance TruPS that do not have public ratings, Moody's relies on the assessment of its Insurance team, based on the credit analysis of the underlying insurance firms' annual statutory financial reports. For REIT TruPS that do not have public ratings, Moody's REIT group assesses their credit quality using the REIT firms' annual financials. TRUPS FINANCIALS 2017-1: Moody's Gives (P)Ba2 Rating to Cl. B Debt ------------------------------------------------------------------ Moody's Investors Service has assigned provisional ratings to three classes of notes to be issued by TruPS Financials Note Securitization 2017-1 Ltd. Moody's rating action is: US$212,000,000 Class A-1 Senior Secured Floating Rate Notes due 2039 (the "Class A-1 Notes"), Assigned (P)Aa3 (sf) US$40,000,000 Class A-2 Senior Secured Fixed-Floating Rate Notes due 2039 (the "Class A-2 Notes"), Assigned (P)Aa3 (sf) US$36,000,000 Class B Mezzanine Deferrable Floating Rate Notes due 2039 (the "Class B Notes"), Assigned (P)Ba2 (sf) The Class A-1 Notes, the Class A-2 Notes and the Class B Notes are referred to herein as the "Rated Notes." Moody's issues provisional ratings in advance of the final sale of financial instruments, but these ratings only represent Moody's preliminary credit opinions. Upon a conclusive review of a transaction and associated documentation, Moody's will endeavor to assign definitive ratings. A definitive rating, if any, may differ from a provisional rating. RATINGS RATIONALE Moody's provisional ratings of the Rated Notes address the expected losses posed to noteholders. The provisional ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. TFINS 2017-1 is a static cash flow collateralized debt obligation (CDO). The issued notes will be collateralized primarily by a portfolio of (1) trust preferred securities ("TruPS"), senior notes and subordinated debt issued by US community banks and their holding companies and (2) TruPS and surplus notes issued by insurance companies and their holding companies. Moody's expects the portfolio to be 100% ramped as of the closing date. EJF CDO Manager LLC (the "Manager"), an affiliate of EJF Capital LLC, will direct the selection, acquisition and disposition of the assets on behalf of the Issuer. The Manager will direct the disposition of any defaulted securities or credit risk securities. The transaction prohibits any asset purchases or substitutions at any time. In addition to the Rated Notes, the Issuer will issue one class of preferred shares. 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. The transaction also includes an interest diversion feature whereby 40% of the interest at a junior step in the priority of interest payments is used to pay principal on the Class A Notes during the first eight years of the transaction and 55% of the interest is used thereafter for the same purpose until the Class A Notes' principal has been paid in full. The portfolio of this CDO consists of (1) TruPS, senior notes and subordinated debt issued by 49 US community banks and (2) TruPS and surplus notes issued by 11 insurance companies, the majority of which Moody's does not rate publicly. Moody's assesses the default probability of bank obligors that do not have public ratings through credit scores derived using RiskCalc™, an econometric model developed by Moody's Analytics. Moody's evaluation of the credit risk of the bank obligors in the pool relies on FDIC Q3-2016 financial data. Moody's assesses the default probability of insurance company obligors that do not have public ratings through credit assessments provided by its insurance team based on the credit analysis of the underlying insurance companies' annual statutory financial reports. Moody's assumes a fixed recovery rate of 10% for both the bank and insurance obligations. Moody's ratings of the Rated Notes also took into account the concentrated nature of the portfolio. There are 11 issuers that each make up between 2.8% and 3.0% of the portfolio par. Moody's ran a stress scenario in which Moody's assumed a two-notch downgrade for up to 30% of the portfolio par. This stress scenario was an important factor in the assigned ratings. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $360,203,000 Weighted Average Rating Factor (WARF): 759 Weighted Average Spread (WAS): 3.09% Weighted Average Coupon (WAC): 7.13% Weighted Average Recovery Rate (WARR): 10.0% Weighted Average Life (WAL): 16.0 years. In addition to the quantitative factors that Moody's explicitly models, qualitative factors were part of the rating committee consideration. Moody's considers the structural protections in the transaction, the risk of an event of default, 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 transaction, influenced the final rating decision. 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: The transaction's 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 and the US P&C insurance sector, and a negative outlook on the US life insurance 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 due to redemptions will occur and at what pace. Note repayments that are faster than Moody's current expectations could have an impact on the notes' ratings. 4) Exposure to non-publicly rated assets: The portfolio consists primarily of unrated assets whose default probability Moody's assesses through credit scores derived using RiskCalc™ or credit assessments. Because these are not public ratings, they are subject to additional estimation uncertainty. Loss and Cash Flow Analysis: Moody's obtained a loss distribution for this CDO's portfolio by simulating defaults using Moody's CDOROM(TM), which used Moody's assumptions for asset correlations and fixed recoveries in a Monte Carlo simulation framework. Moody's then used the resulting loss distribution, together with structural features of the CDO, as an input in its CDOEdge(TM) cash flow model. Moody's CDOROM(TM) is available on www.moodys.com under Products and Solutions -- Analytical Models, upon receipt of a signed free license agreement. In addition to the base case analysis, Moody's also conducted sensitivity analyses to test the impact of different default probabilities on the Rated Notes relative to the base case modeling results, which may be different from the ratings assigned to the Rated Notes. Below is a summary of the impact of different default probabilities (expressed in terms of WARF level) on the Rated Notes (shown in terms of the number of notch difference versus the base case modeling results, whereby a negative difference corresponds to higher expected losses), assuming that all other factors are held equal: Assuming a two-notch upgrade to assets with below-investment grade rating estimates (WARF of 562) Class A-1 Notes: +1 Class A-2 Notes: +1 Class B Notes: +1 Assuming a two-notch downgrade to assets with below-investment grade rating estimates (WARF of 1065) Class A-1 Notes: -1 Class A-2 Notes: -1 Class B Notes: -2 VOYA CLO 2017-1: Moody's Assigns (P)Ba3 Rating to Class D Notes --------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to six classes of notes to be issued by Voya CLO 2017-1, Ltd. Moody's rating action is as follows: US$3,100,000 Class X Floating Rate Notes due 2030 (the "Class X Notes"), Assigned (P)Aaa (sf) US$320,000,000 Class A-1 Floating Rate Notes due 2030 (the "Class A-1 Notes"), Assigned (P)Aaa (sf) US$60,000,000 Class A-2 Floating Rate Notes due 2030 (the "Class A-2 Notes"), Assigned (P)Aa1 (sf) US$32,500,000 Class B Deferrable Floating Rate Notes due 2030 (the "Class B Notes"), Assigned (P)A2 (sf) US$27,500,000 Class C Deferrable Floating Rate Notes due 2030 (the "Class C Notes"), Assigned (P)Baa3 (sf) US$20,000,000 Class D Deferrable Floating Rate Notes due 2030 (the "Class D Notes"), Assigned (P)Ba3 (sf) The Class X Notes, the Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the Class C Notes and the Class D Notes are referred to herein, collectively, as the "Rated Notes." Moody's issues provisional ratings in advance of the final sale of financial instruments, but these ratings only represent Moody's preliminary credit opinions. Upon a conclusive review of a transaction and associated documentation, Moody's will endeavor to assign definitive ratings. A definitive rating, if any, may differ from a provisional rating. RATINGS RATIONALE Moody's provisional ratings of the Rated Notes address the expected losses posed to noteholders. The provisional ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. Voya CLO 2017-1 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 underlying assets that are unsecured loans and second lien loans. Moodys expects the portfolio to be approximately 80% ramped as of the closing date. Voya Alternative Asset Management LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's 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 has issued subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. 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: 70 Weighted Average Rating Factor (WARF): 2700 Weighted Average Spread (WAS): 3.50% Weighted Average Coupon (WAC): 6.00% Weighted Average Recovery Rate (WARR): 48.50% Weighted Average Life (WAL): 9.0 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 2700 to 3105) Rating Impact in Rating Notches Class X Notes: 0 Class A-1 Notes: 0 Class A-2 Notes: -2 Class B Notes: -2 Class C Notes: -1 Class D Notes: 0 Percentage Change in WARF -- increase of 30% (from 2700 to 3510) Rating Impact in Rating Notches Class X Notes: 0 Class A-1 Notes: -1 Class A-2 Notes: -4 Class B Notes: -4 Class C Notes: -2 Class D Notes: -1 WELLFLEET CLO 2017-1: Moody's Assigns (P)Ba3 Rating to Cl. D Notes ------------------------------------------------------------------ Moody's Investors Service has assigned provisional ratings to five classes of notes to be issued by Wellfleet CLO 2017-1, Ltd. Moody's rating action is as follows: US$258,000,000 Class A-1 Senior Secured Floating Rate Notes due 2029 (the "Class A-1 Notes"), Assigned (P)Aaa (sf) US$47,000,000 Class A-2 Senior Secured Floating Rate Notes due 2029 (the "Class A-2 Notes"), Assigned (P)Aa2 (sf) US$22,000,000 Class B Mezzanine Secured Deferrable Floating Rate Notes due 2029 (the "Class B Notes"), Assigned (P)A2 (sf) US$25,000,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2029 (the "Class C Notes"), Assigned (P)Baa3 (sf) US$16,000,000 Class D Junior Secured Deferrable Floating Rate Notes due 2029 (the "Class D Notes"), Assigned (P)Ba3 (sf) The Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the Class C Notes and the Class D Notes are referred to herein, collectively, as the "Rated Notes." Moody's issues provisional ratings in advance of the final sale of financial instruments, but these ratings only represent Moody's preliminary credit opinions. Upon a conclusive review of a transaction and associated documentation, Moody's will endeavor to assign definitive ratings. A definitive rating, if any, may differ from a provisional rating. RATINGS RATIONALE Moody's provisional ratings of the Rated Notes address the expected losses posed to noteholders. The provisional ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. Wellfleet CLO 2017-1 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 (assuming eligible principal investments are senior secured loans), and up to 10% of the portfolio may consist of second lien loans, senior unsecured loans and first-lien last out loans. Moody's expects the portfolio to be approximately 80% ramped as of the closing date. Wellfleet Credit Partners, LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's four year reinvestment period. Thereafter, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets 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: $400,000,000 Diversity Score: 60 Weighted Average Rating Factor (WARF): 2750 Weighted Average Spread (WAS): 3.80% Weighted Average Coupon (WAC): 7.5% Weighted Average Recovery Rate (WARR): 47.0% Weighted Average Life (WAL): 8 years. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in October 2016. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. Together with the set of modeling assumptions above, Moody's conducted an additional sensitivity analysis, which was a component in determining the ratings assigned to the Rated Notes. This sensitivity analysis includes increased default probability relative to the base case. Below is a summary of the impact of an increase in default probability (expressed in terms of WARF level) on the Rated Notes (shown in terms of the number of notch difference versus the current model output, whereby a negative difference corresponds to higher expected losses), assuming that all other factors are held equal: Percentage Change in WARF -- increase of 15% (from 2750 to 3163) Rating Impact in Rating Notches Class A-1 Notes: 0 Class A-2 Notes: -1 Class B Notes: -2 Class C Notes: -1 Class D Notes: 0 Percentage Change in WARF -- increase of 30% (from 2750 to 3575) Rating Impact in Rating Notches Class A-1 Notes: -1 Class A-2 Notes: -3 Class B Notes: -3 Class C Notes: -2 Class D Notes: -1 WELLS FARGO 2004-DD: Moody's Ups Rating on Cl. II-A-8 Debt to B1 ---------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of three tranches from one transaction, backed by Prime Jumbo RMBS loans, issued by Wells Fargo Mortgage Backed Securities 2004-DD Trust. Complete rating actions are as follows: Issuer: Wells Fargo Mortgage Backed Securities 2004-DD Trust Cl. II-A-6, Upgraded to Baa3 (sf); previously on Apr 21, 2016 Upgraded to Ba2 (sf) Cl. II-A-7, Upgraded to Baa3 (sf); previously on Apr 21, 2016 Upgraded to Ba1 (sf) Cl. II-A-8, Upgraded to B1 (sf); previously on Apr 21, 2016 Upgraded to B3 (sf) RATINGS RATIONALE The rating actions reflect the recent performance of the underlying pools and Moody's updated loss expectation on the pools. The ratings upgraded are due to the improving performance of the related pool and an increase in credit enhancement available to the bonds. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in January 2017. Factors that would lead to an upgrade or downgrade of the ratings: Ratings in the US RMBS sector remain exposed to the high level of macroeconomic uncertainty, and in particular the unemployment rate. The unemployment rate fell to 4.7% in February 2017 from 4.9% in February 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. WELLS FARGO 2015-C27: DBRS Confirms B(low) Rating on Class F Debt ----------------------------------------------------------------- DBRS Limited confirmed the ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2015-C27 (the Certificates) issued by Wells Fargo Commercial Mortgage Trust 2015-C27: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-S at AAA (sf) -- Class A-SB at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AAA (sf) -- Class X-E at AAA (sf) -- Class X-F at AAA (sf) -- Class X-G at AAA (sf) -- Class B at AA (sf) -- Class C at A (low) (sf) -- Class PEX at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class F at B (low) (sf) All trends are Stable. DBRS does not rate the first loss piece, Class G. The Class PEX certificates are exchangeable for the Classes A-S, B and C certificates (and vice versa). These rating actions reflect the overall stable performance of the transaction. At issuance, the pool consisted of 95 loans secured by 124 commercial and multifamily properties. The pool has since experienced a collateral reduction of 1.1% as a result of scheduled amortization, with all of the original 95 loans outstanding. Approximately 91.1% of the pool reported YE2015 financials, which reported a weighted-average (WA) debt service coverage ratio (DSCR) of 1.71 times (x) and a WA debt yield of 10.0%. Comparatively, the DBRS issuance WA DSCR and WA debt yield figures for the pool were 1.51x and 8.7%, respectively. As of the February 2017 remittance, there were seven loans, representing 8.9% of the pool balance, on the servicer's watchlist and one loan, representing 0.3% of the pool balance, in special servicing. The largest loan on the servicer's watchlist, WP Carey Self Storage Portfolio VI (Prospectus ID#2, 4.6% of the pool), was placed on the watchlist following a fire that occurred at one of the nine self-storage properties which serve as collateral for the loan. Insurance proceeds have been received and construction was anticipated to be completed by January 2017. The other six loans on the watchlist are being monitored for various issues ranging from cash flow declines, deferred maintenance and tenant rollover, with a WA YE2015 DSCR of 1.38x. DBRS has provided updated loan-level commentary and analysis for larger and/or pivotal watchlisted and specially serviced loan, as well as for the largest 15 loans in the pool, in the DBRS CMBS IReports platform. The ratings assigned to Classes E and F materially deviate from the higher ratings implied by the quantitative results. DBRS considers a material deviation to be a rating differential of three or more notches between the assigned rating and the rating implied by the quantitative results that is a substantial component of a rating methodology; in this case, the assigned ratings reflect the sustainability of loan performance trends not demonstrated. WELLS FARGO 2016-C33: Fitch Affirms 'B-sf' Rating on Class F Debt ----------------------------------------------------------------- Fitch Ratings has affirmed 16 classes of Wells Fargo Commercial Mortgage Trust 2016-C33 commercial mortgage pass-through certificates. KEY RATING DRIVERS The affirmations follow the overall stable performance of the underlying loans. There have been no material changes to the pool since issuance, therefore the original rating analysis was considered in affirming the transaction. As of the February 2017 distribution date, the pool's aggregate principal balance has been reduced by 0.6% to $708 million from $712 million at issuance. There are three loans (6.8% of the pool) on the servicer's watchlist. Co-Op Collateral: The pool contains 14 loans (5.4% of the pool) secured by multifamily coops; 12 are in the New York City metro area, one is in Washington, D.C. and one is in Atlanta, GA. At issuance, the weighted average Fitch debt service coverage ratio (DSCR) and loan-to-value (LTV) of the co-op collateral in this transaction as rentals were 6.74x and 26.1%, respectively. Property Type Concentration: The pool's largest concentration by property type is office (32.5% of the pool), which is greater than the 2015 average of 23.5%. The pool also has an above average concentration of self-storage properties that compose 14% of the pool, higher than the 2015 average of 4%. Loans secured by hotel properties make up only 12.9% of the pool, which is below the 2015 average of 17%. Office properties have an average likelihood of default in Fitch's multiborrower model, and self-storage properties have a below-average likelihood of default, while hotels properties demonstrate more volatility and have higher default probabilities. Investment-Grade Credit Opinion Loan: At issuance Fitch had assigned an investment grade credit opinion of 'BBBsf' for the third largest loan in the pool, 225 Liberty Street (5.7%), on a standalone basis. The loan is currently on the servicer's watchlist due to reporting low DSCR, but the servicer OSAR reporting did not take into account rent reserve disbursements which was anticipated and established at closing for tenants in free rent period through December 2017. Including rent reserve disbursements, the second quarter 2016 DSCR would increase to 2.0x, compared to 0.98x as reported in the OSAR. 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 classes: -- $26.3 million class A-1 at 'AAAsf'; Outlook Stable; -- $84.5 million class A-2 at 'AAAsf'; Outlook Stable; -- $150 million class A-3 at 'AAAsf'; Outlook Stable; -- $191 million class A-4 at 'AAAsf'; Outlook Stable; -- $42.4 million class A-SB at 'AAAsf'; Outlook Stable; -- $53.4 million class A-S at 'AAAsf'; Outlook Stable; -- $547.8* million class X-A at 'AAAsf'; Outlook Stable; -- $70.3* million class X-B at 'A-sf'; Outlook Stable; -- $38.2 million class B at 'AA-sf'; Outlook Stable; -- $32 million class C at 'A-sf'; Outlook Stable; -- $35.6* million class X-D at 'BBB-sf'; Outlook Stable; -- $16.9* million class X-E at 'BB-sf'; Outlook Stable; -- $7.1* million class X-F at 'B-sf'; Outlook Stable; -- $35.6 million class D at 'BBB-sf'; Outlook Stable; -- $16.9 million class E at 'BB-sf'; Outlook Stable; -- $7.1 class F at 'B-sf'; Outlook Stable. *Notional amount and interest-only. Fitch does not rate the class G or class X-G certificates. WELLS FARGO 2017-RB1: Fitch to Rate 2 Tranches 'B-sf' ----------------------------------------------------- Fitch Ratings has issued a presale report on Wells Fargo Commercial Mortgage Trust Commercial Mortgage Pass Through Certificates, Series 2017-RB1. Fitch expects to rate the transaction and assign Rating Outlooks as follows: -- $10,516,000 class A-1 'AAAsf'; Outlook Stable; -- $19,868,000 class A-2 'AAAsf'; Outlook Stable; -- $5,556,000 class A-3 'AAAsf'; Outlook Stable; -- $160,000,000 class A-4 'AAAsf'; Outlook Stable; -- $203,194,000 class A-5 'AAAsf'; Outlook Stable; -- $24,840,000 class A-SB 'AAAsf'; Outlook Stable; -- $37,855,000 class A-S 'AAAsf'; Outlook Stable; -- $423,974,000b class X-A 'AAAsf'; Outlook Stable; -- $107,508,000b class X-B 'A-sf'; Outlook Stable; -- $42,397,000 class B 'AA-sf'; Outlook Stable; -- $27,256,000 class C 'A-sf'; Outlook Stable; -- $31,798,000ab class X-D 'BBB-sf'; Outlook Stable; -- $31,798,000a class D 'BBB-sf'; Outlook Stable; -- $14,385,000ac class E 'BB-sf'; Outlook Stable; -- $7,192,500ac class E-1 'BB+sf'; Outlook Stable; -- $7,192,500ac class E-2 'BB-sf'; Outlook Stable; -- $6,814,000ac class F 'B-sf'; Outlook Stable; -- $21,199,000ac class EF 'B-sf'; Outlook Stable. The following classes are not expected to be rated: -- $3,407,000ac class F-1; -- $3,407,000ac class F-2; -- $5,299,000ac class G; -- $2,649,500ac class G-1; -- $2,649,500ac class G-2; -- $26,498,000ac class EFG; -- $15,899,900ac class H; -- $7,949,950ac class H-1; -- $7,949,950ac class H-2; -- $31,877,784ad RR interest. (a) Privately placed and pursuant to Rule 144A. (b) Notional amount and interest-only. (c) Exchangeable certificates (d) Vertical credit risk retention interest representing at least 5% of the pool balance (as of the closing date). The certificates represent the beneficial ownership interest in the trust, primary assets of which are 37 loans secured by 72 commercial properties having an aggregate principal balance of $637,555,685 as of the cut-off date. The loans were contributed to the trust by Barclays Bank PLC, Wells Fargo Bank, National Association, UBS AG and Societe Generale. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 68.9% of the properties by balance, cash flow analysis of 91.3%, and asset summary reviews on 100% of the pool. KEY RATING DRIVERS Average Fitch Leverage: The pool has leverage statistics in line with recent Fitch-rated multiborrower transactions. The pool's Fitch DSCR of 1.19x is lower than the YTD 2017 average of 1.24x but similar to the 2016 average of 1.21x. The pool's Fitch LTV of 105% is in line with both the YTD 2017 and 2016 averages of 105.4% and 105.2%, respectively. Highly Concentrated Pool: The top 10 loans compose 57% of the pool, which is above the respective 2016 and YTD 2017 averages of 54.8% and 50.5%. The pool's loan concentration index (LCI) is 453, which is above the 2017 YTD average of 350. For this transaction, the losses estimated by Fitch's deterministic test at 'AAAsf' exceeded its base model loss estimate. Due to the high property quality (65.1% of the top 10 loans received a property quality grade of 'B+' or higher) and strong locations (67.3% of the top 10 loans are located in primary markets), Fitch's concluded loss estimate at 'AAAsf' is 100 basis points lower than indicated by its deterministic test. Weak Amortization: 13 loans (52.3%) are full-term interest only and 12 loans (33.1%) are partial interest only. Fitch-rated transactions at 2017 YTD had an average full-term interest-only percentage of 46.4% and a partial- interest- only percentage of 26.8%. Based on the scheduled balance at maturity, the pool will pay down by only 6.2%, which is below the 2017 YTD average of 7.7% and significantly below the 2016 average of 10.4%. RATING SENSITIVITIES For this transaction, Fitch's net cash flow (NCF) was 8.7% 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 WFCM 2017-RB1 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. WELLS FARGO 2017-RC1: DBRS Finalizes B(low) Ratings on 2 Tranches ----------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2017-RC1 (the Certificates), issued by Wells Fargo Commercial Mortgage Trust 2017-RC1. -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AAA (sf) -- Class X-D at AAA (sf) -- Class B at AA (sf) -- Class C at A (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class X-E at BB (low) (sf) -- Class F at B (low) (sf) -- Class X-F at B (low) (sf) All trends are Stable. Classes X-D, D, X-E, E, F and X-F have been privately placed. The Class X-A, X-B, X-D, X-E and X-F balances are notional. DBRS ratings on interest-only (IO) certificates address the likelihood of receiving interest based on the notional amount outstanding. DBRS considers the IO certificates' positions within the transaction payment waterfall when determining the appropriate ratings. On January 17, 2017, DBRS released a Request for Comment on its proposed methodology "Rating North American CMBS Interest-Only Certificates." If this methodology is adopted without changes, DBRS indicates that potential rating actions could be either downgrades or confirmations to IO certificates. Following the initial announcement of the transaction, the Holiday Inn Beaumont dropped from the pool, reducing the total loan count to 77 loans from 78 loans. The loan for Holiday Inn Beaumont previously represented 1.6% of the total transaction balance and was secured by the fee interest of a 253-key hotel in Beaumont, Texas. The collateral consists of 60 fixed-rate loans secured by 77 commercial and multifamily properties, comprising a total transaction balance of $624,913,732. The transaction has a sequential-pay pass-through structure. The conduit pool was analyzed to determine the ratings, reflecting the long-term probability of loan default within the term and its liquidity at maturity. When the cut-off loan balances were measured against the DBRS Stabilized net cash flow (NCF) and their respective actual constants, five loans, representing 8.5% of the total pool, had a DBRS Term debt service coverage ratio (DSCR) below 1.15 times (x), a threshold indicative of a higher likelihood of mid-term default. Additionally, to assess refinance risk given the current low interest rate environment, DBRS applied its refinance constants to the balloon amounts. This resulted in 21 loans, representing 44.5% of the pool, having refinance DSCRs below 1.00x. Term default risk is low as indicated by the relatively strong weighted-average (WA) DBRS Term DSCR of 1.76x. In addition, 30 loans, representing 55.2% of the pool, have a WA DBRS Term DSCR in excess of 1.50x. Fifteen loans, representing 7.9% of the pool, are secured by cooperative properties and are very low-leverage, with minimal term and refinance default risk Even when excluding the 15 loans secured by cooperative properties contributed by National Cooperative Bank, N.A. (NCB), the deal exhibits a favorable WA DBRS Term DSCR of 1.60x. The DBRS Refi DSCR, excluding the 15 NCB loans, is 1.06x, indicating a higher refinance risk on an overall pool level. Five loans, representing 14.9% of the pool, have DBRS Refi DSCRs below 0.90x, including three of the top ten loans and seven of the top 15 loans. Eleven loans, representing 33.7% of the pool, including six of the top 15 loans, are structured with IO payments for the full term. An additional 18 loans, representing 37.4% of the pool, have partial IO periods, ranging from ten months to 60 months. The DBRS Term DSCR is calculated by using the amortizing debt service obligation and the DBRS Refi DSCR is calculated considering the balloon balance and lack of amortization when determining refinance risk. DBRS determines the POD based on the lower of Term or Refi DSCR, so loans that lack amortization will be treated more punitively. The pool is concentrated based on loan size, with a concentration profile equivalent to that of a pool of 22 equal-sized loans. The largest five and ten loans total 32.8% and 51.6% of the pool, respectively. Three loans, comprising 19.6% of the transaction balance, are secured by properties that are either fully or primarily leased to a single tenant. Loans secured by properties occupied by single tenants have been found to suffer from higher loss severities in the event of default. As such, DBRS applied a higher POD and cash flow volatility to single-tenant properties with a compared with multi-tenant properties. The DBRS sample included 28 of the 60 loans in the pool. Site inspections were performed on 33 of the 77 properties in the portfolio (69.1% of the pool by allocated loan balance). The DBRS average sample NCF adjustment for the pool was -8.4% and ranged from -24.9% to 0.0%. The average DBRS sampled NCF haircut is in line with recent transactions by DBRS where the average DBRS sampled haircut has averaged -8.5%. The ratings assigned to Class C, Class D, Class E and Class F differ from the higher rating implied by the Large Pool Multi-borrower Parameters. DBRS considers this difference to be a material deviation from the methodology and, in this case, the ratings reflect the dispersion of loan-level cash flows expected to occur post-issuance. The ratings assigned to the Certificates by DBRS are based exclusively on the credit provided by the transaction structure and underlying trust assets. All classes will be subject to ongoing surveillance that could result in upgrades or downgrades by DBRS after the date of issuance. WELLS FARGO 2017-RC1: S&P Assigns BB- Rating on 2 Tranches ---------------------------------------------------------- S&P Global Ratings assigned its ratings to Wells Fargo Commercial Mortgage Trust 2017-RC1's $624.9 million commercial mortgage pass-through certificates series 2017-RC1. The certificate issuance is a commercial mortgage-backed securities transaction backed by 60 commercial mortgage loans with an aggregate principal balance of $624.9 million ($517.2 million of offered certificates), secured by the fee and leasehold interests in 77 properties across 21 states. The ratings reflect S&P's view of the underlying collateral's economics, the trustee-provided liquidity, the collateral pool's relative diversity, and S&P's overall qualitative assessment of the transaction. After the preliminary ratings were released, one loan, Holiday Inn Beaumont, which had a balance of $10.0 million (1.58% of pooled trust balance), was removed from the transaction. S&P Global Ratings re-evaluated the transaction following the removal of this loan and determined that its ratings on the certificates did not change from the preliminary ratings for any of the certificates. However, the removal of this loan has affected the pool composition and there were some minor, largely de minimis, changes that have occurred. Without the Holiday Inn Beaumont loan, the effective loan count in the transaction decreased to 27.3 from 28.0, which reflects a lower diversity in the transaction. The S&P Global Ratings' weighted average loan-to-value also decreased to 83.0% from 83.1%. The S&P Global Ratings' weighted average debt service coverage increased to 2.01x from 2.00x. Additionally, following the removal of the Holiday Inn Beaumont loan, the percentage of loans secured by assets located in tertiary markets dropped to 16.8% from 18.1%, and the percentage of hospitality properties decreased to 13.8% from 15.1%. RATINGS ASSIGNED Wells Fargo Commercial Mortgage Trust 2017-RC1 Class Rating(i) Amount ($) A-1 AAA (sf) 19,435,000 A-2 AAA (sf) 73,836,000 A-3 AAA (sf) 100,000,000 A-4 AAA (sf) 195,938,000 A-SB AAA (sf) 26,358,000 A-S AAA (sf) 46,009,000 X-A AAA (sf) 415,567,000(ii) X-B A (sf) 101,666,000(ii) B AA (sf) 28,942,000 C A (sf) 26,715,000 X-D(iii) BBB- (sf) 30,425,000(ii) X-E(iii) BB- (sf) 23,005,000(ii) X-F(iii) B+ (sf) 8,163,000(ii) X-G(iii) NR 14,842,045(ii) D(iii) BBB- (sf) 30,425,000 E(iii) BB- (sf) 23,005,000 F(iii) B+ (sf) 8,163,000 G(iii) NR 14,842,045 RR Interest(iii) NR 31,245,687 (i)The certificates will be issued to qualified institutional buyers according to Rule 144A of the Securities Act of 1933. (ii)Notional balance. (iii)Non-offered certificates. NR--Not rated. CHANGES FROM PRELIMINARY RATINGS WFCM 2017-RC1 WFCM 2017-RC1 (Final) (Prelim) Number of Loans 60 61 Average Loan Size $10,415,229 $10,408,422 S&P Global Ratings NCF Haircut -8.7% -8.8% S&P Global Ratings Trust LTV 83.0% 83.1% S&P Global Ratings Trust DSC 2.01 2.00 Effective Loan Count 27.3 28.0 Beginning Pool Balance $624,913,732 $634,913,732 Ending Pool Balance $565,757,963 $574,017,393 % Paydown -9.5% -9.6% Wt. Avg. Appraisal LTV 58.2% 58.2% Wt. Avg. Issuer DSC 2.19 2.18 Wt. Avg. S&P Global Ratings Value Variance -29.5% -29.7% Wt. Avg. S&P Global Ratings Cap Rate 7.99% 8.01% Wt. Avg. S&P Global Ratings LTV 76.4% 76.4% Wt. Avg. Mortgage Rate 4.99% 4.99% Wt. Avg. Amortizing Loan Constant 5.97% 5.98% WESTLAKE AUTOMOBILE 2017-1: S&P Assigns 'BB' Rating on Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Westlake Automobile Receivables Trust 2017-1's $700.00 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 47.93%, 41.19%, 31.49%, 24.48%, and 21.61% credit support for the class A, B, C, D, and E notes, respectively, based on stress cash flow scenarios (including excess spread). These provide approximately 3.50x, 3.00x, 2.30x, 1.75x, and 1.50x, respectively, of S&P's 13.00%-13.50% expected cumulative net loss range. -- The transaction's ability to make timely interest and principal payments under stress cash flow modeling scenarios 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 would not be lowered from the assigned ratings for the life of the deal; S&P's rating on the class C notes would remain within one rating category of the assigned rating; S&P's rating on the class D notes would remain within two rating categories of the assigned rating for the life of the deal; and S&P's rating on the class E notes would remain within two rating categories of the assigned rating over one year, but would ultimately default at month 60, which is within the bounds of S&P's credit stability criteria. -- The collateral characteristics of the securitized pool of subprime automobile loans. -- The originator/servicer's long history in the subprime/specialty auto finance business. -- S&P's analysis of approximately 10 years (2006-2016) of static pool data on the company's lending programs. -- The transaction's payment, credit enhancement, and legal structures. RATINGS ASSIGNED Westlake Automobile Receivables Trust 2017-1 Class Rating Type Interest Amount rate(i) (mil. $) A-1 A-1+ (sf) Senior Fixed 194.80 A-2 AAA (sf) Senior Fixed 246.96 B AA (sf) Subordinate Fixed 67.35 C A (sf) Subordinate Fixed 89.86 D BBB (sf) Subordinate Fixed 69.25 E BB (sf) Subordinate Fixed 31.78 (i)The Westlake 2017-1 transaction was upsized after S&P Global Ratings published its presale report on March 6, 2017. WHITEHORSE IV: Moody's Hikes Rating on Class D Notes from Ba1 ------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by WhiteHorse IV Ltd.: US$16,500,000 Class C Floating Rate Notes Due 2020, Upgraded to Aaa (sf); previously on June 18, 2015 Upgraded to A2 (sf) US$15,000,000 Class D Floating Rate Notes Due 2020, Upgraded to Baa1 (sf); previously on June 18, 2015 Upgraded to Ba1 (sf) Moody's also affirmed the ratings on the following notes: US$28,000,000 Class A-2 Floating Rate Notes Due 2020 (current outstanding balance of $13,766,382.18), Affirmed Aaa (sf); previously on June 18, 2015 Affirmed Aaa (sf) US$25,000,000 Class B Deferrable Floating Rate Notes Due 2020, Affirmed Aaa (sf); previously on June 18, 2015 Upgraded to Aaa (sf) WhiteHorse IV Ltd., issued in January 2007, is a collateralized loan obligation (CLO) backed primarily by a portfolio of senior secured loans. The transaction's reinvestment period ended in January 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 June 2016. The Class A-1 notes have been paid down completely, by $85.2 million, and the Class A-2 notes have been paid down by approximately 51% or $14.2 million since that time. Based on the trustee's February 2017 report, the OC ratios for the Class A, Class B, Class C and Class D notes are reported at 667.76%, 237.13%, 166.33% and 130.82%, respectively, versus June 2016 levels of 170.57%, 139.71%, 124.81% and 113.77%, respectively. Nevertheless, the credit quality of the portfolio has deteriorated since June 2016. Based on Moody's calculations, the portfolio's weighted average rating factor (WARF) worsened to 3918 from 3206 in June 2016, and its exposure to assets with a corporate family rating of Caa1 and below also increased to 35.0% from 19.5% over the same period. The portfolio also includes a number of investments in securities that mature after the notes do. Based on the Moody's calculations, securities that mature after the notes do currently make up approximately 22% of the portfolio. These investments could expose the notes to market risk in the event of liquidation when the notes mature. 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: This transaction is subject to a number of factors and circumstances that could lead to either an upgrade or downgrade of the ratings: 1) Macroeconomic uncertainty: CLO performance is subject to a) uncertainty about credit conditions in the general economy and b) the large concentration of upcoming speculative-grade debt maturities, which could make refinancing difficult for issuers. 2) Collateral Manager: Performance can also be affected positively or negatively by a) the manager's investment strategy and behavior and b) differences in the legal interpretation of CLO documentation by different transactional parties owing to embedded ambiguities. 3) Collateral credit risk: A shift towards collateral of better credit quality, or better credit performance of assets collateralizing the transaction than Moody's current expectations, can lead to positive CLO performance. Conversely, a negative shift in credit quality or performance of the collateral can have adverse consequences for CLO performance. 4) Deleveraging: An important source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will continue and at what pace. Deleveraging of the CLO could accelerate owing to high prepayment levels in the loan market and/or collateral sales by the manager, which could have a significant impact on the notes' ratings. Note repayments that are faster than Moody's current expectations will usually have a positive impact on CLO notes, beginning with those with the highest payment priority. 5) Recovery of defaulted assets: Fluctuations in the market value of defaulted assets reported by the trustee and those that Moody's assumes as having defaulted could result in volatility in the deal's OC levels. Further, the timing of recoveries and whether a manager decides to work out or sell defaulted assets create additional uncertainty. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. Realization of higher than assumed recoveries would positively impact the CLO. 6) Long-dated assets: The presence of assets that mature after the CLO's legal maturity date exposes the deal to liquidation risk on those assets. This risk is borne first by investors with the lowest priority in the capital structure. Moody's assumes that the terminal value of an asset upon liquidation at maturity will be equal to the lower of an assumed liquidation value (depending on the extent to which the asset's maturity lags that of the liabilities) or the asset's current market value. 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) 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 $3.1 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% (3134) Class A-2: 0 Class B: :0 Class C: 0 Class D: +2 Moody's Adjusted WARF + 20% (4702) Class A-2: 0 Class B: 0 Class C: 0 Class D: -1 Loss and Cash Flow Analysis: Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. In its base case, Moody's analyzed the collateral pool as having a performing par and principal proceeds balance of $91.1 million, defaulted par of $5.4 million, a weighted average default probability of 19.3% (implying a WARF of 3918), a weighted average recovery rate upon default of 48.48%, a diversity score of 23 and a weighted average spread of 4.58% (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. WRIGHTWOOD CAPITAL 2005-1: S&P Raises Rating on 2 Tranches to BB+ ----------------------------------------------------------------- S&P Global Ratings raised its ratings on the class A-1, A-R, and B floating-rate notes from Wrightwood Capital Real Estate CDO 2005-1 Ltd., a commercial real estate collateralized debt obligation (CRE CDO) transaction. At the same time, S&P affirmed its ratings on the remaining six classes from the same transaction. The rating actions follow S&P's review of the transaction's performance using data from the Feb. 15, 2017, trustee report. The upgrades reflect increased credit support following the transaction's collective paydowns of $210.06 million to the class A-1 and A-R notes since S&P's September 2014 rating actions. As a result, their current balances are about 5% of their respective original balances. All coverage tests are passing and all tranches are current in their interest. Though defaults have decreased to $27.26 million from $29.21 million during S&P's last review, as a percentage of the portfolio, they have increased to 16.63% from the 7.74% in S&P's last review due to the decrease in the portfolio's size. With less than 10 performing obligors currently in the portfolio, the transaction's obligor concentration risk has increased. The application of the largest obligor default test, a supplemental stress test included in S&P's criteria, constrains the ratings on the class A-1, A-R, and B notes. Although S&P's model-implied rating for class C is a notch higher than the current rating, its rating action on this class reflects its analysis of the transaction's liability structure and the credit quality of the assets backing the notes. Though the class D, E, F, G, and H notes failed S&P's largest obligor default test at the 'CCC' category, its affirmations of the 'CCC- (sf)' ratings on these classes reflect the stable performance of the underlying assets, the lack of any interest deferral on any of their notes, and their respective overcollateralization levels. S&P will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and S&P will take further rating actions as it deems necessary. RATINGS RAISED Wrightwood Capital Real Estate CDO 2005-1 Ltd. Rating Class To From A-1 BB+ (sf) B- (sf) A-R BB+ (sf) B- (sf) B CCC+ (sf) CCC (sf) RATINGS AFFIRMED Wrightwood Capital Real Estate CDO 2005-1 Ltd. Class Rating C CCC- (sf) D CCC- (sf) E CCC- (sf) F CCC- (sf) G CCC- (sf) H CCC- (sf) [*] Moody's Hikes $154.3MM Scratch & Dent RMBS Issued 2004-2006 --------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 19 tranches issued from six transactions backed by "scratch and dent" RMBS loans. Complete rating actions are: Issuer: Bayview Financial Mortgage Pass-Through Certificates, Series 2004-D Cl. M-2, Upgraded to Aaa (sf); previously on Mar 3, 2008 Upgraded to Aa1 (sf) Cl. M-3, Upgraded to Aa2 (sf); previously on May 4, 2016 Upgraded to A1 (sf) Cl. M-4, Upgraded to Aa3 (sf); previously on May 4, 2016 Upgraded to A2 (sf) Issuer: Bayview Financial Mortgage Pass-Through Certificates, Series 2005-B Cl. B-1, Upgraded to A3 (sf); previously on May 4, 2016 Upgraded to Baa3 (sf) Cl. M-2, Upgraded to Aaa (sf); previously on May 4, 2016 Upgraded to Aa3 (sf) Cl. M-3, Upgraded to Aa2 (sf); previously on May 4, 2016 Upgraded to A1 (sf) Cl. M-4, Upgraded to Aa3 (sf); previously on May 4, 2016 Upgraded to A2 (sf) Issuer: Bayview Financial Mortgage Pass-Through Trust 2006-A Cl. M-2, Upgraded to A3 (sf); previously on May 4, 2016 Upgraded to Baa1 (sf) Cl. M-3, Upgraded to Ba1 (sf); previously on May 4, 2016 Upgraded to B2 (sf) Cl. M-4, Upgraded to B2 (sf); previously on May 4, 2016 Upgraded to Caa3 (sf) Cl. 1-A4, Upgraded to Aa2 (sf); previously on May 4, 2016 Upgraded to A1 (sf) Cl. 1-A5, Upgraded to Aaa (sf); previously on May 4, 2016 Upgraded to Aa2 (sf) Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-RP1 Cl. A-2, Upgraded to Aaa (sf); previously on May 4, 2016 Upgraded to Aa2 (sf) Cl. B-1, Upgraded to Caa2 (sf); previously on Jul 20, 2015 Upgraded to Ca (sf) Cl. M-3, Upgraded to B1 (sf); previously on Jul 20, 2015 Upgraded to B3 (sf) Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-RP2 Cl. A-3, Upgraded to Aa3 (sf); previously on May 4, 2016 Upgraded to A3 (sf) Cl. A-4, Upgraded to Baa3 (sf); previously on May 4, 2016 Upgraded to Ba3 (sf) Issuer: CS Mortgage-Backed Pass-Through Certificates, Series 2006-CF2 Cl. M-3, Upgraded to B1 (sf); previously on May 4, 2016 Upgraded to B2 (sf) Cl. B-1, Upgraded to Caa3 (sf); previously on Mar 30, 2009 Downgraded to C (sf) RATINGS RATIONALE The ratings upgraded are a result of increasing credit enhancement available to the bonds. The actions reflect the recent performance of the underlying pools and Moody's updated loss expectations on the pools. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in January 2017. Factors that would lead to an upgrade or downgrade of the ratings: Ratings in the US RMBS sector remain exposed to the high level of macroeconomic uncertainty, and in particular the unemployment rate. The unemployment rate fell to 4.7% in February 2017 from 4.9% in February 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 $23.4MM Scratch&Dent RMBS Issued 2003-2006 ------------------------------------------------------------ Moody's Investors Service has upgraded the ratings of six tranches issued from five transactions backed by "scratch and dent" RMBS loans. Complete rating actions are: Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-RP1 Cl. M-3, Upgraded to B3 (sf); previously on May 18, 2016 Upgraded to Caa1 (sf) Issuer: Citigroup Mortgage Loan Trust, Series 2003-HE4 Cl. M-5, Upgraded to Caa2 (sf); previously on Oct 28, 2014 Upgraded to Ca (sf) Issuer: Citigroup Mortgage Loan Trust, Series 2004-HE1 Cl. A, Upgraded to Aa2 (sf); previously on May 18, 2016 Upgraded to A1 (sf) Issuer: Credit Suisse Mortgage Capital Trust 2006-CF1 Cl. B-1, Upgraded to B2 (sf); previously on Oct 20, 2014 Upgraded to Caa1 (sf) Cl. B-2, Upgraded to Ca (sf); previously on Feb 4, 2013 Affirmed C (sf) Issuer: Quest Trust 2005-X1 Cl. M-4, Upgraded to B3 (sf); previously on Aug 13, 2015 Upgraded to Caa3 (sf) RATINGS RATIONALE The ratings upgraded are a result of increasing credit enhancement available to the bonds. The actions reflect the recent performance of the underlying pools and Moody's updated loss expectations on the pools. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in January 2017. Factors that would lead to an upgrade or downgrade of the ratings: Ratings in the US RMBS sector remain exposed to the high level of macroeconomic uncertainty, and in particular the unemployment rate. The unemployment rate fell to 4.7% in February 2017 from 4.9% in February 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 $344MM of Scratch & Dent RMBS Issued 2006-2007 ---------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 13 tranches issued from five transactions backed by "scratch and dent" RMBS loans. Complete rating actions are as follows: Issuer: RAAC Series 2006-SP1 Trust Cl. A-3 Certificate, Upgraded to Aa1 (sf); previously on May 5, 2016 Upgraded to Aa3 (sf) Cl. M-1 Certificate, Upgraded to Baa3 (sf); previously on May 5, 2016 Upgraded to Ba3 (sf) Issuer: RAAC Series 2006-SP4 Trust Cl. A-3 Certificate, Upgraded to Aa1 (sf); previously on May 5, 2016 Upgraded to A2 (sf) Cl. M-1 Certificate, Upgraded to Baa1 (sf); previously on May 5, 2016 Upgraded to Ba1 (sf) Cl. M-2 Certificate, Upgraded to Ba3 (sf); previously on May 5, 2016 Upgraded to B3 (sf) Cl. M-3 Certificate, Upgraded to Caa1 (sf); previously on May 5, 2016 Upgraded to Ca (sf) Issuer: RAAC Series 2007-SP1 Trust Cl. A-3 Certificate, Upgraded to A1 (sf); previously on May 5, 2016 Upgraded to Baa1 (sf) Cl. M-1 Certificate, Upgraded to Ba1 (sf); previously on May 5, 2016 Upgraded to B2 (sf) Cl. M-2 Certificate, Upgraded to Caa3 (sf); previously on May 4, 2009 Downgraded to C (sf) Issuer: RAAC Series 2007-SP2 Trust Cl. A-2 Certificate, Upgraded to Ba1 (sf); previously on Jul 6, 2015 Upgraded to B1 (sf) Cl. A-3 Certificate, Upgraded to Ba3 (sf); previously on Jul 6, 2015 Upgraded to B3 (sf) Issuer: RAAC Series 2007-SP3 Trust Cl. A-1 Certificate, Upgraded to Baa2 (sf); previously on May 5, 2016 Upgraded to Ba1 (sf) Cl. A-2 Certificate, Upgraded to Caa1 (sf); previously on May 5, 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 upgrades on RAAC Series 2007-SP2 Trust and 2007-SP3 Trust reflect the lower projected losses on the related underlying pools. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in January 2017. Factors that would lead to an upgrade or downgrade of the ratings: Ratings in the US RMBS sector remain exposed to the high level of macroeconomic uncertainty, and in particular the unemployment rate. The unemployment rate fell to 4.7% in February 2017 from 4.9% in February 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 $397MM of Subprime RMBS Issued 2003-2004 ---------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 45 tranches, from 13 transactions issued by RFC. Complete rating actions are as follows: Issuer: RAMP Series 2003-RS11 Trust A-I-6A Certificate, Upgraded to Baa2 (sf); previously on Jun 12, 2015 Upgraded to Ba2 (sf) A-I-6B Certificate, Upgraded to Baa2 (sf); previously on Jun 12, 2015 Upgraded to Ba2 (sf) Underlying Rating: Upgraded to Baa2 (sf); previously on Jun 12, 2015 Upgraded to Ba2 (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) A-I-7 Certificate, Upgraded to Baa1 (sf); previously on Jun 12, 2015 Upgraded to Baa3 (sf) M-II-2 Certificate, Upgraded to B3 (sf); previously on Mar 30, 2011 Downgraded to Caa3 (sf) Issuer: RAMP Series 2003-RS4 Trust Cl. A-II-B Certificate, Upgraded to Ba1 (sf); previously on Apr 12, 2016 Upgraded to B2 (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. A-II-A Certificate, Upgraded to Ba1 (sf); previously on Apr 12, 2016 Upgraded to B1 (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: RAMP Series 2003-RS6 Trust Cl. A-II-A Certificate, Upgraded to Ba2 (sf); previously on Apr 12, 2016 Upgraded to B2 (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. A-II-B Certificate, Upgraded to Ba2 (sf); previously on Apr 12, 2016 Upgraded to B3 (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: RAMP Series 2003-RS7 Trust M-II-1 Certificate, Upgraded to Baa2 (sf); previously on Apr 17, 2012 Downgraded to B1 (sf) M-II-2 Certificate, Upgraded to Ba3 (sf); previously on Apr 17, 2012 Downgraded to Ca (sf) Issuer: RAMP Series 2003-RS8 Trust A-I-6A Certificate, Upgraded to Baa1 (sf); previously on Apr 30, 2012 Confirmed at Baa2 (sf) A-I-6B Certificate, Upgraded to Baa1 (sf); previously on Apr 30, 2012 Confirmed at Baa2 (sf) Underlying Rating: Upgraded to Baa1 (sf); previously on Apr 30, 2012 Confirmed at Baa2 (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) A-I-8 Certificate, Upgraded to Baa1 (sf); previously on Apr 30, 2012 Confirmed at Baa2 (sf) M-I-1 Certificate, Upgraded to Caa1 (sf); previously on Mar 30, 2011 Downgraded to Caa3 (sf) M-II-1 Certificate, Upgraded to Ba1 (sf); previously on Apr 30, 2012 Downgraded to Ba2 (sf) M-II-2 Certificate, Upgraded to B3 (sf); previously on Apr 30, 2012 Downgraded to Caa2 (sf) M-II-3 Certificate, Upgraded to Caa3 (sf); previously on Mar 30, 2011 Downgraded to C (sf) Issuer: RAMP Series 2003-RS9 Trust Cl. A-I-6A Certificate, Upgraded to A2 (sf); previously on Jun 16, 2015 Upgraded to Baa2 (sf) Cl. A-I-6B Certificate, Upgraded to A2 (sf); previously on Jun 16, 2015 Upgraded to Baa2 (sf) Underlying Rating: Upgraded to A2 (sf); previously on Jun 16, 2015 Upgraded to Baa2 (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. A-I-7 Certificate, Upgraded to A1 (sf); previously on Jun 16, 2015 Upgraded to Baa1 (sf) Cl. M-II-2 Certificate, Upgraded to Caa3 (sf); previously on Mar 30, 2011 Downgraded to Ca (sf) Issuer: RAMP Series 2003-RZ5 Trust A-7 Certificate, Upgraded to A3 (sf); previously on Mar 30, 2011 Downgraded to Baa1 (sf) M-1 Certificate, Upgraded to B1 (sf); previously on Apr 4, 2012 Confirmed at Caa1 (sf) A-6-A Certificate, Upgraded to A3 (sf); previously on Apr 4, 2012 Confirmed at Baa2 (sf) A-6-B Certificate, Upgraded to A3 (sf); previously on Apr 4, 2012 Confirmed at Baa2 (sf) Underlying Rating: Upgraded to A3 (sf); previously on Apr 4, 2012 Confirmed at Baa2 (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: RAMP Series 2004-RS11 Trust Cl. M-1 Certificate, Upgraded to Aaa (sf); previously on Apr 12, 2016 Upgraded to Aa2 (sf) Cl. M-2 Certificate, Upgraded to Aa3 (sf); previously on Apr 12, 2016 Upgraded to A3 (sf) Cl. M-3 Certificate, Upgraded to Baa2 (sf); previously on Apr 12, 2016 Upgraded to Ba1 (sf) Cl. M-4 Certificate, Upgraded to B3 (sf); previously on Apr 12, 2016 Upgraded to Caa2 (sf) Issuer: RAMP Series 2004-RS9 Trust Cl. M-II-1 Certificate, Upgraded to A2 (sf); previously on Apr 12, 2016 Upgraded to Baa1 (sf) Issuer: RASC Series 2003-KS4 Trust Cl. A-I-5 Certificate, Upgraded to A1 (sf); previously on Jun 25, 2015 Upgraded to Baa1 (sf) Cl. A-I-6 Certificate, Upgraded to Aa3 (sf); previously on Jun 25, 2015 Upgraded to A3 (sf) Issuer: RASC Series 2004-KS10 Trust Cl. M-1 Certificate, Upgraded to Aa3 (sf); previously on Apr 26, 2016 Upgraded to Baa1 (sf) Cl. M-2 Certificate, Upgraded to Baa3 (sf); previously on Apr 26, 2016 Upgraded to Ba3 (sf) Cl. M-3 Certificate, Upgraded to Ba3 (sf); previously on Apr 26, 2016 Upgraded to B3 (sf) Cl. M-4 Certificate, Upgraded to Caa3 (sf); previously on Mar 30, 2011 Downgraded to C (sf) Issuer: RASC Series 2004-KS2 Trust Cl. A-I-5 Certificate, Upgraded to A3 (sf); previously on Jun 25, 2015 Upgraded to Baa3 (sf) Cl. A-I-6 Certificate, Upgraded to A2 (sf); previously on Jul 30, 2015 Confirmed at Baa1 (sf) Cl. M-I-1 Certificate, Upgraded to B1 (sf); previously on Apr 26, 2016 Upgraded to B2 (sf) Cl. M-II-1 Certificate, Upgraded to Ba1 (sf); previously on Apr 26, 2016 Upgraded to Ba3 (sf) Issuer: RASC Series 2004-KS8 Trust Cl. A-I-5 Certificate, Upgraded to Aa1 (sf); previously on Apr 12, 2016 Upgraded to A1 (sf) Cl. A-I-6 Certificate, Upgraded to Aa1 (sf); previously on Apr 12, 2016 Upgraded to A1 (sf) Cl. M-I-1 Certificate, Upgraded to A2 (sf); previously on Apr 12, 2016 Upgraded to Baa3 (sf) Cl. M-I-2 Certificate, Upgraded to Ba3 (sf); previously on Apr 12, 2016 Upgraded to B3 (sf) Cl. M-II-1 Certificate, Upgraded to Ba3 (sf); previously on Apr 12, 2016 Upgraded to B2 (sf) RATINGS RATIONALE The upgrades are primarily due to the total credit enhancement available to the bonds. The actions reflect the recent performance of the underlying pools and Moody's updated loss expectations on the pools. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in January 2017. Factors that would lead to an upgrade or downgrade of the ratings: Ratings in the US RMBS sector remain exposed to the high level of macroeconomic uncertainty, and in particular the unemployment rate. The unemployment rate fell to 4.7% in February 2017 from 4.9% in February 2016. Moody's forecasts an unemployment central range of 4.5% to 5.5% for the 2017 year. Deviations from this central scenario could lead to rating actions in the sector. House prices are another key driver of US RMBS performance. Moody's expects house prices to continue to rise in 2017. Lower increases than Moody's expects or decreases could lead to negative rating actions. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. [*] Moody's Hikes $41.2MM of SAIL Subprime RMBS ----------------------------------------------- Moody's Investors Service, on March 10, 2017, upgraded the ratings of four tranches from two transactions backed by Subprime RMBS loans. Complete rating actions are: Issuer: Structured Asset Investment Loan Trust 2003-BC9 Cl. M1, Upgraded to Ba3 (sf); previously on Dec 11, 2015 Upgraded to B2 (sf) Cl. M2, Upgraded to B2 (sf); previously on Nov 7, 2016 Upgraded to Caa1 (sf) Issuer: Structured Asset Investment Loan Trust 2004-10 Cl. A4, Upgraded to Aaa (sf); previously on May 25, 2012 Confirmed at Aa2 (sf) Cl. A7, Upgraded to Aaa (sf); previously on May 25, 2012 Confirmed at Aa3 (sf) RATINGS RATIONALE The ratings upgrades are primarily due to the total credit enhancement available to the bonds. The rating actions reflect the recent performance of the underlying pools and Moody's updated loss expectation on the pools. The rating action on Structured Asset Investment Loan Trust 2003-BC9 Class M-2 also reflects a correction to the cash-flow model previously used by Moody's in rating the transaction. In prior rating actions, the cash flow model did not properly allocate excess spread to reimburse projected tranche losses. This error has now been corrected, and today's rating action reflects this change. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in 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 $50.9MM of RMBS Issued 2002-2004 ------------------------------------------------------------ Moody's Investors Service has upgraded the ratings of 14 tranches from six transactions issued by various issuers, and backed by subprime mortgage loans. Complete rating actions are as follows: Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2004-HS1 Cl. A-2 Certificate, Upgraded to Aa2 (sf); previously on Apr 4, 2016 Upgraded to A1 (sf) Cl. A-3 Certificate, Upgraded to Aa2 (sf); previously on Apr 4, 2016 Upgraded to A1 (sf) Cl. M-2 Certificate, Upgraded to Caa1 (sf); previously on Apr 4, 2016 Upgraded to Caa3 (sf) Issuer: Carrington Mortgage Loan Trust, Series 2004-NC2 Cl. M-1 Certificate, Upgraded to B1 (sf); previously on May 4, 2012 Confirmed at B3 (sf) Issuer: CWABS, Inc. Asset-Backed Certificates, Series 2002-5 Cl. BV Certificate, Upgraded to B1 (sf); previously on Apr 16, 2012 Confirmed at B3 (sf) Issuer: Equifirst Mortgage Loan Trust 2004-2 Cl. M-6 Certificate, Upgraded to B1 (sf); previously on Apr 12, 2016 Upgraded to B3 (sf) Cl. M-7 Certificate, Upgraded to Caa2 (sf); previously on Apr 12, 2016 Upgraded to Ca (sf) Issuer: MASTR Asset Backed Securities Trust 2003-WMC2 Cl. M-2 Certificate, Upgraded to Ba2 (sf); previously on Oct 9, 2014 Upgraded to B1 (sf) Cl. M-3 Certificate, Upgraded to Ba3 (sf); previously on Aug 24, 2015 Upgraded to B2 (sf) Cl. M-4 Certificate, Upgraded to B2 (sf); previously on Oct 9, 2014 Upgraded to Caa2 (sf) Cl. M-5 Certificate, Upgraded to Caa2 (sf); previously on Oct 9, 2014 Upgraded to Caa3 (sf) Issuer: MASTR Asset Backed Securities Trust 2004-WMC3 Cl. M-3 Certificate, Upgraded to Ba2 (sf); previously on Nov 7, 2014 Upgraded to Ba3 (sf) Cl. M-4 Certificate, Upgraded to Ba3 (sf); previously on Oct 1, 2015 Upgraded to B1 (sf) Cl. M-5 Certificate, Upgraded to B3 (sf); previously on Nov 7, 2014 Upgraded to Caa3 (sf) RATINGS RATIONALE The rating upgrades are primarily due to the total credit enhancement available to the bonds. The actions reflect the recent performance of the underlying pools and Moody's updated loss expectation on these pools. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in January 2017. Factors that would lead to an upgrade or downgrade of the ratings: Ratings in the US RMBS sector remain exposed to the high level of macroeconomic uncertainty, and in particular the unemployment rate. The unemployment rate fell to 4.7% in February 2017 from 4.9% in February 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 $875.8MM of Housing-Backed Securities ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 12 tranches and downgraded the ratings of 16 tranches in 12 transactions issued between 1995 and 2002. The collateral backing these transactions consists primarily of manufactured housing units. Complete rating action follows: Issuer: Access Financial MH Contract Trust 1995-1 B-1, Downgraded to C (sf); previously on Apr 20, 2016 Downgraded to Ca (sf) Issuer: Access Financial MH Contract Trust 1996-1 Cl. A-6, Downgraded to C (sf); previously on Apr 20, 2016 Downgraded to Ca (sf) B-1, Downgraded to C (sf); previously on Mar 22, 2005 Downgraded to Ca (sf) Issuer: Bombardier Capital Mortgage Securitization Corp 1999-B A-5, Downgraded to C (sf); previously on Jul 28, 2004 Downgraded to Ca (sf) A-6, Downgraded to C (sf); previously on Jul 28, 2004 Downgraded to Ca (sf) Issuer: Bombardier Capital Mortgage Securitization Corp 2000-A Cl. A-1, Downgraded to C (sf); previously on Jul 28, 2004 Downgraded to Ca (sf) Cl. A-2, Downgraded to C (sf); previously on Jul 28, 2004 Downgraded to Ca (sf) Cl. A-3, Downgraded to C (sf); previously on Jul 28, 2004 Downgraded to Ca (sf) Cl. A-4, Downgraded to C (sf); previously on Jul 28, 2004 Downgraded to Ca (sf) Cl. A-5, Downgraded to C (sf); previously on Jul 28, 2004 Downgraded to Ca (sf) Issuer: Bombardier Capital Mortgage Securitization Corp 2001-A Cl. A, Upgraded to A1 (sf); previously on Apr 20, 2016 Upgraded to A3 (sf) Issuer: Conseco Finance Securitizations Corp. Series 2000-1 Cl. A-5, Downgraded to C (sf); previously on Mar 30, 2009 Downgraded to Ca (sf) Issuer: Conseco Finance Securitizations Corp. Series 2000-2 Cl. A-5, Downgraded to C (sf); previously on Mar 30, 2009 Downgraded to Ca (sf) Cl. A-6, Downgraded to C (sf); previously on Mar 30, 2009 Downgraded to Ca (sf) Issuer: Conseco Finance Securitizations Corp. Series 2000-4 Cl. A-5, Downgraded to C (sf); previously on Dec 15, 2011 Confirmed at Ca (sf) Cl. A-6, Downgraded to C (sf); previously on Mar 30, 2009 Downgraded to Ca (sf) Issuer: Conseco Finance Securitizations Corp. Series 2002-1 Class M-2, Downgraded to C (sf); previously on Mar 30, 2009 Downgraded to Ca (sf) Issuer: Deutsche Financial Capital Securitization LLC, Series 1997-I Class M, Upgraded to Ba1 (sf); previously on Apr 20, 2016 Upgraded to Ba2 (sf) Issuer: IndyMac MH Contract 1998-1 A-3, Upgraded to B2 (sf); previously on Apr 20, 2016 Upgraded to B3 (sf) A-4, Upgraded to B2 (sf); previously on Apr 20, 2016 Upgraded to B3 (sf) A-5, Upgraded to B2 (sf); previously on Apr 20, 2016 Upgraded to B3 (sf) Issuer: Lehman ABS Manufactured Housing Contract Trust 2001-B Cl. A-1, Upgraded to A1 (sf); previously on Apr 20, 2016 Upgraded to A2 (sf) Cl. A-2, Upgraded to A1 (sf); previously on Apr 20, 2016 Upgraded to A2 (sf) Cl. A-3, Upgraded to A1 (sf); previously on Apr 20, 2016 Upgraded to A2 (sf) Cl. A-4, Upgraded to A1 (sf); previously on Apr 20, 2016 Upgraded to A2 (sf) Cl. A-5, Upgraded to A1 (sf); previously on Apr 20, 2016 Upgraded to A2 (sf) Cl. A-6, Upgraded to A1 (sf); previously on Apr 20, 2016 Upgraded to A2 (sf) Cl. A-7, Upgraded to A1 (sf); previously on Apr 20, 2016 Upgraded to A2 (sf) RATINGS RATIONALE The actions are a result of the recent performance of manufactured housing loans backed pools and reflect Moody's updated loss expectations on the pools. The tranches upgraded are primarily due to the build-up in credit enhancement available to the bonds. The tranches downgraded are due to the depletion of available credit enhancement. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in January 2017. Factors that would lead to an upgrade or downgrade of the ratings: Ratings in the US RMBS sector remain exposed to the high level of macroeconomic uncertainty, and in particular the unemployment rate. The unemployment rate fell to 4.7% in February 2017 from 4.9% in February 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 on 78 Classes From 10 RMBS Deals --------------------------------------------------------- S&P Global Ratings completed its review of 78 classes from 10 U.S. residential mortgage-backed securities (RMBS) transactions issued between 2003 and 2005. The review yielded 17 upgrades, seven downgrades, 47 affirmations, and seven withdrawals. The transactions in this review are backed by subprime and Alternative-A collateral. The rating actions on the interest-only (IO) classes reflect the application of S&P's IO criteria, which provide that S&P will maintain the current rating on an IO class until all of the classes that the IO security references are either lowered to below 'AA- (sf)' or have been retired--at which time S&P will withdraw these IO ratings. The ratings on each of these classes have been affected by recent rating actions on the reference classes upon which their notional balances are based. Specifically, S&P will maintain active surveillance of these IO classes using the methodology applied before the release of S&P's 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 S&P's projected credit support for the affected classes is sufficient to cover its projected losses for these rating levels. The upgrades reflect one or more of these: -- Improved collateral performance/delinquency trends; -- Increased credit support relative to our projected losses; -- Principal-only (PO) criteria; and/or -- IO criteria. The upgrades include three ratings that were raised three or more notches because of increased credit support and the classes' ability to withstand a higher level of projected losses than previously anticipated. S&P raised its rating on class C-B-1 from Credit Suisse First Boston Mortgage Securities Corp. Series 2003-AR18 to 'A+ (sf)' from 'BBB+ (sf)' because credit support increased to 18.28% in February 2017 from 12.09% in November 2014. S&P raised its rating on class A-7 from Ameriquest Mortgage Securities Inc. Series 2004-FR1 to 'AA+ (sf)' from 'A- (sf)' because credit support increased to 40.24% in February 2017 from 32.52% in December 2014. And S&P raised its rating on class AF-4 from Ameriquest Mortgage Securities Inc. Series 2005-R9 to 'BBB+ (sf)' from 'BB+ (sf)' because credit support increased to 91.32% in February 2017 from 75.06% in October 2015. S&P raised its rating on class A-2 from Residential Asset Securitization Trust 2003-A9's series 2003-I to 'B- (sf)' from 'CCC (sf)' because S&P believes this class is no longer vulnerable to default. Accordingly, S&P upgraded class PO, a principal-only class, from the same transaction to 'B- (sf)' from 'CCC (sf)' based on the application of S&P's PO criteria. DOWNGRADES Of the seven downgrades, S&P lowered its ratings on two classes to speculative-grade ('BB+' or lower) from investment-grade ('BBB-' or higher). Another three of the lowered ratings remained at an investment-grade level, while the remaining two downgraded classes already had speculative-grade ratings. The downgrades reflect S&P's belief that its projected credit support for the affected classes will be insufficient to cover its projected losses for the related transactions at a higher rating. The downgrades reflect one or more of these: -- Deteriorated credit performance trends; -- Erosion of credit support; and/or -- Reduced interest payments over time due to loan modifications and imputed promises. The downgrades include five ratings that were lowered three or more notches. Of these, one was due to eroded credit support and the classes' inability to withstand projected losses at the prior rating levels, one reflects the increase in our projected losses due to increased delinquencies, and three were due to loan modification and imputed promises. S&P lowered its rating on class M-1 from Bear Stearns Asset Backed Securities I Trust 2004-HE7 to 'B (sf)' from 'BB (sf)' because of eroded credit support as principal payments were made to more-subordinate classes. Credit support decreased to 35.28% in February 2017 from 40.91% in June 2016. S&P lowered its ratings on classes AF-5 from Centex Home Equity Loan Trust 2003-A to 'A- (sf)' from 'AA (sf)' and on class AF-6 from the same transaction to 'A+ (sf)' from 'AA (sf)' to reflect the increase in S&P's projected losses and its belief that the projected credit support for these 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 because of higher reported delinquencies during the most recent performance periods compared with those reported during the previous review dates. Total delinquencies increased to 20.62% at February 2017 from 16.27% at June 2016, and severe delinquencies increased to 16.50% at February 2017 from 13.73% at June 2016. Loan Modifications And Imputed Promises S&P lowered its ratings on class AF-5 from Argent Securities Inc.' series 2004-W5 to 'BB+ (sf)' from 'AAA (sf)', on class AF-5 from Ameriquest Mortgage Securities Inc. Series 2003-10 to 'BBB+ (sf)' from 'AA+ (sf)', on class A-6 from Ameriquest Mortgage Securities Inc. Series 2004-FR1 to 'BB- (sf)' from 'BBB+ (sf)', and on class AF-5 from Ameriquest Mortgage Securities Inc. Series 2005-R9 to 'D (sf)' from 'CCC (sf)'. These downgrades reflect the application of S&P's imputed promises criteria, which resulted in a maximum potential rating (MPR) lower than the previous ratings on these classes. When a class of securities supported by a particular collateral pool is paid interest through a weighted average coupon (WAC) and the interest owed to that class is reduced because of loan modifications, S&P imputes an amount of interest owed to that class of securities by applying "Methodology For Incorporating Loan Modifications And Extraordinary Expenses Into U.S. RMBS Ratings," published April 17, 2015, and "Principles For Rating Debt Issues Based On Imputed Promises," published Dec. 19, 2014. Based on S&P's criteria, it applies an MPR to those classes of securities that are affected by reduced interest payments over time due to loan modifications. If S&P applies an MPR cap to a particular class, the resulting rating may be lower than if it had solely considered that class' paid interest based on the applicable WAC. AFFIRMATIONS The affirmations of ratings in the 'AAA' through 'B' rating categories reflect S&P's opinion that its projected credit support on these classes remained relatively consistent with its prior projections and is sufficient to cover its projected losses for those rating scenarios. For certain transactions, S&P considered specific performance characteristics that, in its view, could add volatility to its loss assumptions and, in turn, to the ratings suggested by S&P's cash flow projections. When S&P's model recommended an upgrade, it either limited the extent of its upgrade or affirmed its ratings on those classes to account for this uncertainty and promote ratings stability. In general, these classes have one or more of these characteristics that limit any potential upgrade: -- Insufficient subordination, overcollateralization, or both; -- Delinquency trends; -- Historical interest shortfalls; -- Low priority in principal payments; and/or -- Significant growth in observed loss severities. In addition, some of the transactions have failed their delinquency triggers, resulting in reduced--or a complete stop of--unscheduled principal payments to their subordinate classes. However, these transactions allow for unscheduled principal payments to resume to the subordinate classes if the delinquency triggers begin passing again. This would result in eroding the credit support available for the more-senior classes. Therefore, S&P affirmed its ratings on certain classes in these transactions even though these classes may have passed at higher rating scenarios. The ratings affirmed at 'CCC (sf)' or 'CC (sf)' reflect S&P's belief that its projected credit support will remain insufficient to cover its 'B' expected case projected losses for these classes. Per "Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings," published Oct. 1, 2012, the 'CCC (sf)' affirmations reflect S&P's view that these classes are still vulnerable to defaulting, and the 'CC (sf)' affirmations reflect S&P's view that these classes remain virtually certain to default. WITHDRAWALS S&P withdrew its ratings on classes II-A-1, II-A-2, III-M-1, C-B-1, C-B-2, and C-B-3 from Credit Suisse First Boston Mortgage Securities Corp.'s series 2003-AR9 and on class IV-M-2 from Credit Suisse First Boston Mortgage Securities Corp.' series 2003-AR18 because the related pools have a small number of loans remaining. Once a pool has declined to a de minimis amount, S&P believes there is a high degree of credit instability that is incompatible with any rating level. ECONOMIC OUTLOOK When determining a U.S. RMBS collateral pool's relative credit quality, S&P's loss expectations stem, to a certain extent, from its view of how the loans will behave under various economic conditions. S&P Global Ratings' baseline macroeconomic outlook assumptions for variables that it believes could affect residential mortgage performance are: -- An overall unemployment rate of 4.9 % in 2016, dipping to 4.6% in 2017; -- Real GDP growth of 1.6 % for 2016 and 2.4% in 2017; -- The inflation rate will be 2.2% in both 2016 and 2017; and -- The 30-year fixed mortgage rate will average about 3.6 % in 2016, rising to 4.1% in 2017. S&P's outlook for RMBS is stable. Although S&P views overall housing fundamentals positively, it believes RMBS fundamentals still hinge on additional factors, such as the ultimate fate of modified loans, the propensity of servicers to advance on delinquent loans, and liquidation timelines. Under S&P's baseline economic assumptions, it expects RMBS collateral quality to improve. However, if the U.S. economy were to become stressed in line with S&P Global Ratings' downside forecast, 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. A list of the Affected Ratings is available at: http://bit.ly/2mSFa6G [*] S&P Completes Review on 84 Classes From 12 RMBS Deals --------------------------------------------------------- S&P Global Ratings completed its review of 84 classes from 12 U.S. residential mortgage-backed securities (RMBS) transactions issued between 2003 and 2006. The review yielded 13 upgrades (one of which is an error correction), 16 downgrades, and 55 affirmations. The transactions in this review are backed by a mix of fixed- and adjustable-rate subprime mortgage loans, which are secured primarily by first liens on one- to four-family residential properties. For insured obligations where S&P maintains a rating on the bond insurer that is lower than what it would rate the class without bond insurance, or where the bond insurer is not rated, S&P relies solely on the underlying collateral's credit quality and the transaction structure to derive the rating on the class. In some instances S&P's rating on a class will be capped at a maximum potential rating (MPR) pursuant to S&P's loan modification criteria. Of the classes reviewed, the following are insured by an insurance provider that is currently rated by S&P Global Ratings: -- CWABS Asset-Backed Certificates Trust 2004-10's class AF-5B ('A+ (sf)'), insured by MBIA Insurance Corp. ('CCC'); -- New Century Home Equity Loan Trust Series 2005-A's class A-4w ('AA (sf)'), insured by Assured Guaranty Municipal Corp. ('AA'); and -- New Century Home Equity Loan Trust Series 2005-A's class A-5w ('CCC (sf)'), insured by Assured Guaranty Municipal Corp. ('AA'). Four of the reviewed classes were insured by a rated insurance provider when the classes were originated, but S&P Global Ratings has since withdrawn its rating on those insurance providers. 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. CORRECTIONS S&P corrected its rating on class MF-3 from CWABS Asset-Backed Certificates Trust 2005-1 by raising it to 'CCC (sf)' from 'D (sf)'. S&P lowered its rating on this class to 'D (sf)' on Oct. 30, 2015, pursuant to S&P's interest shortfall criteria, "Structured Finance Temporary Interest Shortfall Methodology," published Dec. 15, 2015, based on the trustee's reports of interest shortfalls. The trustee has since confirmed to S&P that it incorrectly reported interest shortfalls on this class and, accordingly, S&P raised its rating on the class to 'CCC (sf)' to reflect its view of the credit risk associated with this class. UPGRADES S&P's projected credit support for the affected classes is sufficient to cover its projected losses for these rating levels. The upgrades reflect one or more of these: -- Improved collateral performance/delinquency trends; -- Increased credit support relative to our projected losses; or -- Error correction. The upgrades include two ratings, classes A-4 and A-6 from Citicorp Residential Mortgage Trust Series 2006-1, which were raised three or more notches. S&P raised its ratings on these two classes due to an increase in credit support and the classes' ability to withstand a higher level of projected losses than previously anticipated. Credit support for class A-4 increased to 39.1% in January 2017 from 33.45% in October 2015. Credit support for class A-6 increased to 39.1% in January 2017 from 33.45% in October 2015. S&P raised four ratings to 'CCC (sf)' from 'CC (sf)' because it believes these classes are no longer virtually certain to default, primarily owing to the improved performance of the collateral backing this transaction. However, the 'CCC (sf)' ratings indicate that S&P believes that its projected credit support will remain insufficient to cover its projected losses for these classes and that the classes are still vulnerable to defaulting. DOWNGRADES Of the 16 downgrades, S&P lowered its ratings on eight classes to speculative grade ('BB+' or lower) from investment grade ('BBB-' or higher), five of the lowered ratings remained at an investment-grade level, and three classes remained at a speculative-grade level. The downgrades include 11 ratings that were lowered three or more notches. 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 are due to one or more of these: -- Reduced interest payments over time due to loan modifications; or -- Increased delinquencies. Specifically, S&P lowered its ratings on 15 classes from 11 transactions pursuant to its loan modification criteria. When a class of securities supported by a particular collateral pool is paid interest through a weighted average coupon (WAC) and the interest owed to that class is reduced because of loan modifications, S&P imputes an amount of interest owed to that class of securities according to its loan modification criteria, and "Principles For Rating Debt Issues Based On Imputed Promises," published Dec. 19, 2014. Pursuant to S&P's loan modification criteria, it applies an MPR to those classes of securities that are affected by reduced interest payments over time due to loan modifications. If S&P applies an MPR cap to a particular class, the resulting rating may be lower than if S&P had solely considered that class' paid interest based on the applicable WAC. For these 15 classes, the application of our loan modification criteria to each class resulted in an MPR that was lower than S&P's previous rating for these classes. In addition, S&P's downgrade on class A-II from New Century Home Equity Loan Trust's series 2003-5 reflects the increase in its projected losses on this class and S&P's belief that the projected credit support for this class will be insufficient to cover the projected losses S&P applied at the previous rating level. The projected losses for this class are due to higher reported delinquencies: total delinquencies for this class increased to 56.06% in January 2017 from 51% in January 2016. 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 S&P's 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; 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," published Oct. 1, 2012, the 'CCC (sf)' affirmations reflect S&P's view that these classes are still vulnerable to defaulting, and the 'CC (sf)' affirmations reflect its view that these classes remain virtually certain to default. ECONOMIC OUTLOOK When determining a U.S. RMBS collateral pool's relative credit quality, S&P's loss expectations stem, to a certain extent, from its view of how the loans will behave under various economic conditions. S&P Global Ratings' baseline macroeconomic outlook assumptions for variables that it believes could affect residential mortgage performance are: -- An overall unemployment rate of 4.9 % in 2016, dipping to 4.6% in 2017; -- Real GDP growth of 1.6 % for 2016 and 2.4% in 2017; -- The inflation rate will be 2.2% in both 2016 and 2017; and -- The 30-year fixed mortgage rate will average about 3.6 % in 2016, rising to 4.1% in 2017. S&P's outlook for RMBS is stable. Although S&P views overall housing fundamentals positively, it believes RMBS fundamentals still hinge on additional factors, such as the ultimate fate of modified loans, the propensity of servicers to advance on delinquent loans, and liquidation timelines. Under S&P's baseline economic assumptions, it expects RMBS collateral quality to improve. However, if the U.S. economy were to become stressed in line with S&P Global Ratings' downside forecast, S&P believes that U.S. RMBS credit quality would weaken. S&P's downside scenario reflects these key assumptions: -- The unemployment rate will remain at 4.9% for 2016 and inch up to 5.0% in 2017; -- Downward pressure causes GDP growth to fall to 1.5 % in 2016 and to 1.4% in 2017; -- Home price momentum slows as potential buyers are not able to purchase property; and -- While the 30-year fixed mortgage rate remains a low 3.6% in 2016 and 2017, limited access to credit and pressure on home prices will largely prevent consumers from capitalizing on these rates. A list of the Affected Ratings is available at: http://bit.ly/2n7IY6e [*] S&P Completes Review on 95 Classes From 12 RMBS Deals --------------------------------------------------------- S&P Global Ratings completed its review of 95 classes from 12 U.S. residential mortgage-backed securities (RMBS) transactions issued between 2003 and 2008. The review yielded 24 upgrades, 10 downgrades, 56 affirmations, and five discontinuances. ANALYSIS Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by S&P's projected cash flows. These considerations are based on transaction-specific performance or structural characteristics (or both) and their potential effects on certain classes. UPGRADES S&P's projected credit support for the affected classes is sufficient to cover its projected losses for these rating levels. The upgrades reflect one or more of these: -- Improved collateral performance; -- Increased credit support relative to our projected losses; and/or -- Decreased observed delinquencies. The 24 upgrades include 22 ratings that were raised three or more notches. Of these, one was due to the underlying collateral's improved performance during the most recent performance periods compared to previous review dates, and 21 were due to an increase in credit support and the classes' ability to withstand a higher level of projected losses than previously anticipated. The upgrade on class 3-A from HarborView Mortgage Loan Trust 2004-5 reflects a decrease in S&P's projected losses and its belief that its projected credit support for this class will be sufficient to cover its revised projected loss at this rating level. S&P has decreased its projected losses because there have been fewer reported delinquencies during the most recent performance period compared to those reported at the previous review date. Severe delinquencies for the group supporting the subject class decreased to 3.93% as of December 2016 compared to 9.86% in June 2014, the date of the prior review. The upgrades on classes 1-A and 2-A-6 from HarborView Mortgage Loan Trust 2004-5, classes 1-A-1, 2-A-1, 3-A-1, 3-A-2, 4-A-1, 5-A-1, and 5-A-2 from GSR Mortgage Loan Trust 2004-14, classes 1-A-3, 1-A-4, 1-A-6, 2-A-1, 3-A-1, 3-A-2, 3-A-5, and 4-A-1 from Morgan Stanley Mortgage Loan Trust 2005-1, and classes 1-A-2, 2-A-2, 2-A-3, 3-A-3, 3-A-4, and 5-A-1 from JPMorgan Mortgage Trust 2005-A5, reflect an increase in credit support and the classes' ability to withstand a higher level of projected losses than previously anticipated. Credit support for class 1-A from HarborView Mortgage Loan Trust 2004-5 increased to 42.40% in December 2016 from 31.48% at the prior review in June 2014. Credit support for class 2-A-6 from the same transaction increased to 17.97% in December 2016 from 13.46% at the prior review. Credit support for classes 3-A-1, 3-A-2, 4-A-1, 5-A-1, and 5-A-2 from GSR Mortgage Loan Trust 2004-14 increased to 12.98% in December 2016 from 9.05% at the prior review in June 2014. Classes 1-A-1 and 2-A-1 from the same transaction saw their credit support percentages increase to 38.43% in December 2016 from 30.29% at the prior review. Credit support for classes 1-A-4, 2-A-1, 3-A-1, 3-A-2, 3-A-5, and 4-A-1 from Morgan Stanley Mortgage Loan Trust 2005-1 increased to 12.35% in January 2017 from 9.32% at the prior review in June 2014. Classes 1-A-3 and 1-A-6 from the same transaction saw their credit support percentages increase to 16.86% in January 2017 from 14.76% at the prior review. Credit support for classes 1-A-2, 2-A-3, 3-A-4, and 5-A-1 from JPMorgan Mortgage Trust 2005-A5 increased to 12.06% in January 2017 from 9.06% at the prior review in June 2014. Credit support for class 2-A-2 from the same transaction increased to 15.47% in January 2017 from 12.45% at the prior review. Additionally, credit support for class 3-A-3 from the same transaction increased to 17.51% in January 2017 from 14.89% at the prior review. DOWNGRADES Of the 10 downgrades, six remained at an investment-grade level ('BBB-' or higher), while the remaining four downgraded classes already had speculative-grade ratings ('BB+' or lower). 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, specifically an increase in observed delinquencies; -- Erosion of credit support; and/or -- Declining constant prepayment rates (CPRs). The downgrades include four ratings that were lowered three notches. All four were due to the increase in S&P's projected losses due to increased delinquencies. The downgrades on classes 1-A-1, 1-A-2, 1-A-3, 2-A, and 4-A from Structured Asset Securities Corp 2003-24A and class B1 from GSR Mortgage Loan Trust 2003-9 reflect the increase in S&P's projected losses and our 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 at the previous review dates. For classes 1-A-1, 1-A-2, 1-A-3, 2-A, and 4-A from Structured Asset Securities Corp 2003-24A, total severe delinquencies increased to 8.48% as of January 2017 from 7.48% in August 2015. For class B1 from GSR Mortgage Loan Trust 2003-9, total severe delinquencies increased to 5.26% as of January 2017 from 4.75% in November 2014. The downgrades on class A-5 from WaMu Mortgage Pass-Through Certificates Series 2003-AR1 Trust and class 1-B-1 from GSR Mortgage Loan Trust 2004-14 reflect an observed decrease in credit enhancement available to the classes. Both of these classes have experienced the paydown and/or writedown of junior supporting classes, therefore, eroding credit support. While the credit support percentage for class A-5 from WaMu Mortgage Pass-Through Certificates Series 2003-AR1 Trust has remained stable, the actual hard dollar credit support amount has decreased to $2.52 million in January 2017 from $2.8 million in January 2016. Credit support for class 1B1 from GSR Mortgage Loan Trust 2004-14 decreased to 8.37% in January 2016 from 10.14% at the prior review in June 2014. This erosion of credit support exposes the downgraded classes to a greater risk of potential back-ended losses. The downgrades on classes 1-A-1 and 1-A-6 from GSR Mortgage Loan Trust 2005-2F reflect a decrease in the CPR observed for the underlying pool to 7.45% in January 2017 from 15.94% in November 2014. The lower CPR rate has limited principal payments to these more senior classes, extending their lives and making them more susceptible to back-end losses. 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 its projected losses for those rating scenarios. For certain transactions, S&P considered specific performance characteristics that, in its view, could add volatility to its loss assumptions and, in turn, to the ratings suggested by S&P's cash flow projections. When S&P's model recommended an upgrade, it either limited the extent of our upgrade or affirmed its ratings on those classes to account for this uncertainty and promote ratings stability. In general, these classes have one or more of these characteristics that limit any potential upgrade: -- Insufficient subordination, overcollateralization, or both; -- 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 S&P's view that these classes remain virtually certain to default. DISCONTINUANCES S&P discontinued its rating on class 4-A-1 from JPMorgan Mortgage Trust 2005-A5 because this class was paid in full during the February 2017 remittance period. S&P discontinued its 'D (sf)' ratings on classes with zero balances or classes that have experienced write-downs exceeding 10% of the bonds' initial balances. These classes have been written down as a result of realized losses that remain outstanding. S&P discontinued these ratings according to its surveillance and withdrawal policy, because S&P views a subsequent upgrade to a rating higher than 'D (sf)' to be unlikely under the relevant criteria. ECONOMIC OUTLOOK When determining a U.S. RMBS collateral pool's relative credit quality, S&P's loss expectations stem, to a certain extent, from its view of how the loans will behave under various economic conditions. S&P Global Ratings' baseline macroeconomic outlook assumptions for variables that it believes could affect residential mortgage performance are: -- An overall unemployment rate of 4.9% 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 remained at 4.9% for 2016 and will inch up to 5.0% in 2017; -- Downward pressure causes GDP growth to fall to 1.5% in 2016 and to 1.4% in 2017; -- Home price momentum slows as potential buyers are not able to purchase property; and -- While the 30-year fixed mortgage rate remains a low 3.6% in 2016 and 2017, limited access to credit and pressure on home prices will largely prevent consumers from capitalizing on these rates. A list of the Affected Ratings is available at: http://bit.ly/2nMfadr [*] S&P Discontinues Ratings on 43 Tranches From 11 CDO Deals ------------------------------------------------------------- S&P Global Ratings discontinued its ratings on 42 classes from 10 cash flow (CF) collateralized loan obligation (CLO) transactions and one class from one CF collateral debt obligations (CDO) backed by commercial mortgage-backed securities (CMBS). The discontinuances follow the complete paydown of the notes as reflected in the most recent trustee-issued note payment reports for each transaction: -- Atlas Senior Loan Fund Ltd. (CF CDO): optional redemption on February 2017. -- Carlyle McLaren CLO Ltd. (CF CLO): senior-most tranches paid down; other rated tranches still outstanding. -- Cedar Funding II CLO Ltd. (CF CLO): class A-X notes(i) paid down; other rated tranches still outstanding. -- CIFC Funding 2012-I Ltd. (CF CLO): optional redemption on March 2017. -- Dryden XXII Senior Loan Fund (CF CLO): optional redemption on January 2017. -- Flagship CLO VI (CF CLO): optional redemption on March 2017. -- Goldentree Loan Opportunities IV Ltd. (CF CLO): optional redemption on February 2017. -- LightPoint Pan-European CLO 2006 PLC (CF CLO): optional redemption on January 2017. -- Muir Woods CLO Ltd. (CF CLO): optional redemption on March 2017. -- Octagon Investment Partners XI Ltd. (CF CLO): senior-most tranches paid down; other rated tranches still outstanding. -- Sorin Real Estate CDO I Ltd. (CF CDO of CMBS): senior-most tranches 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 Atlas Senior Loan Fund Ltd. Rating Class To From A-1L-R NR AAA (sf) A-2L-R NR AA+ (sf) A-3L-R NR A+ (sf) B-1L-R NR BBB (sf) B-2L NR BB- (sf) B-3L NR B (sf) Carlyle McLaren CLO Ltd. Rating Class To From A-1L NR AAA (sf) A-1LV NR AAA (sf) Cedar Funding II CLO Ltd. Rating Class To From A-X NR AAA (sf) CIFC Funding 2006-II Ltd. Rating Class To From A-3L NR AAA (sf) B-1L NR AAA (sf) B-2L NR AA+ (sf) Dryden XXII Senior Loan Fund Rating Class To From A-1-R NR AAA (sf) A-2-R NR AAA (sf) B-R NR AA- (sf) C-R NR BBB+ (sf) D NR BB+ (sf) Flagship CLO VI Rating Class To From A-1b NR AAA (sf) A-2 NR AAA (sf) B NR AAA (sf) C NR AAA (sf) D NR A+ (sf) E NR BB (sf) Goldentree Loan Opportunities IV Ltd. Rating Class To From A-1a NR AAA (sf) A-1b NR AAA (sf) A-1cJ NR AAA (sf) A-1cS NR AAA (sf) A-2 NR AAA (sf) B NR AAA (sf) C NR AA+ (sf) D NR A+ (sf) LightPoint Pan-European CLO 2006 PLC Rating Class To From C NR AAA (sf) D NR BBB+ (sf) E NR B+ (sf) Muir Woods CLO Ltd. Rating Class To From A NR AAA (sf) B NR AA+ (sf) C NR A+ (sf) D NR BBB (sf) E NR BB (sf) F NR B (sf) Octagon Investment Partners XI Ltd. Rating Class To From A-1A NR AAA (sf) A-1B NR AAA (sf) Sorin Real Estate CDO I Ltd. Rating Class To From A-1 NR B+ (sf) NR-Not rated. [*] S&P Takes Actions on 25 Classes From Nine RMBS Issued 2003-2010 ------------------------------------------------------------------- S&P Global Ratings completed its review of 25 classes from nine U.S. residential mortgage-backed securities (RMBS) transactions issued between 2003 and 2010. The review yielded six upgrades, one downgrade, nine affirmations, and nine discontinuances. With respect to insured obligations, 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 of the underlying obligation, without considering the potential credit enhancement from the bond insurance. Class A-6 from RAMP Series 2003-RZ4 Trust and class A-6-B from RAMP Series 2003-RZ5 Trust were insured by a rated insurance provider when these deals were originated, but S&P Global Ratings has since withdrawn the rating on the insurance provider of those classes. 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 six upgrades reflect improved collateral performance and delinquency trends and/or increased credit support relative to S&P's projected losses. S&P's projected credit support for the affected classes is sufficient to cover its projected losses for the rating levels. S&P raised two ratings nine or more notches. The upgrades on classes M-1, M-2, M-3, and M-4 from RAAC Series 2005-SP3 Trust reflect a decrease in S&P's projected losses and its belief that its projected credit support for the affected classes will be sufficient to cover its revised projected losses at these rating levels. S&P has decreased its projected losses because there have been fewer reported delinquencies during the most recent performance periods compared to those reported during the previous review dates. Severe delinquencies decreased to 14.86% in January 2017 from 19.42% in June 2014. The upgrades on classes M-2 and B-1 from CWABS Inc. Series 2003-S2 reflect an increase in credit support and the classes' ability to withstand a higher level of projected losses than previously anticipated. Credit support for class M-2 increased to 43.31% in January 2017 from 15.36% in June 2014, and for class B-1 it increased to 34.45% in January 2017 from 11.85% in June 2014. DOWNGRADES The downgrade on class A from Mid-State Capital Trust 2010-1 reflects the increase in S&P's projected losses and its belief that the projected credit support for the affected class will be insufficient to cover the projected losses S&P applied at the previous rating level. The increase in S&P's projected losses is due to higher reported delinquencies during the most recent performance period compared to those reported during the previous review date. Severe delinquencies increased to 12.35% in February 2017 from 7.85% in February 2014. AFFIRMATIONS S&P affirmed its ratings on five classes in the 'AAA (sf)' through 'B (sf)' rating categories to reflect S&P's opinion that its projected credit support on these classes remained relatively consistent with our prior projections and is sufficient to cover our 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: -- Historical interest shortfalls; and/or -- Increased delinquencies In addition, per our second-lien criteria, the ratings on classes A-4 and A-5 from CWABS Inc. Series 2003-S2 are limited to a liquidity rating cap of 'A+ (sf)' because of an estimated payoff of greater than 24 months or insufficient hard credit enhancement for higher rating categories. S&P affirmed its rating on class B from WFHET NIM Co. 2005-4, a net interest margin class, at 'CCC (sf)' to reflect S&P's belief that this class may ultimately not be repaid its full amount of principal as it did not pass any of S&P's 'B-' cash flow stress scenarios. The remaining ratings affirmed at 'CCC (sf)' are based on S&P's belief that its projected credit support will remain insufficient to cover its 'B-' expected-case projected losses for these classes and that these classes are still vulnerable to defaulting. DISCONTINUANCES S&P discontinued its ratings on nine classes from two transactions, RAMP Series 2003-RZ4 Trust and RAMP Series 2003-RZ5 Trust, which were paid in full during recent remittance periods. The payments in full were due to a recent RMBS settlement with Residential Capital LLC and certain direct and indirect subsidiaries, including the seller and master servicer to these transactions, which resulted in large principal payments that were sufficient to pay down the classes. 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. A list of the Affected Ratings is available at: http://bit.ly/2mR7Dvs [*] S&P Takes Rating Actions on 25 Tranches From 2 RMBS Deals ------------------------------------------------------------- S&P Global Ratings completed its review of 25 classes from two U.S. residential mortgage-backed securities (RMBS) transactions issued between 2007 and 2008. The review yielded eight upgrades (all of which are error corrections), two downgrades, nine affirmations, and six withdrawals. The transactions in this review are backed by a mix of fixed- and adjustable-rate prime jumbo and reperforming mortgage loans, which are secured primarily by first liens on one- to four-family residential properties. ANALYSIS Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by S&P's projected cash flows. These considerations are based on transaction-specific performance or structural characteristics (or both) and their potential effects on certain classes. CORRECTIONS S&P corrected and raised its ratings on exchangeable classes A-1, 1-A-3, 2-A-5, 2-A-6, 2-A-7, 2-A-8, and 2-A-9 from Morgan Stanley ABS Capital I Inc. Trust 2007-SEA1 to either 'CC (sf)' or 'CCC (sf)' from 'D (sf)'. S&P downgraded these classes to 'D (sf)' on Aug. 28, 2013, due to the trustee's reports of interest shortfalls on these classes. The trustee has since confirmed to S&P that it incorrectly reported these interest shortfalls and will correct its reporting on these classes accordingly. The revised ratings reflect S&P's view of the credit risk for these seven classes. S&P also corrected and raised its rating on exchangeable class 1-A-5 from Banc of America Mortgage 2008-A Trust to 'CCC (sf)' from 'CC (sf)' to reflect the ratings on root classes 1-A-3 and 1-A-4. On Sept. 30, 2015, S&P incorrectly lowered its rating on exchangeable class 1-A-5 by not taking into consideration S&P's view of exchangeable class 1-A-5's root classes. Exchangeable class 1-A-5 bears the same credit and liquidity risk as root classes 1-A-3 and 1-A-4; therefore, S&P's cash flows should project pro rata principal writedowns in the same period for classes 1-A-3 and 1-A-4, which combined equal the principal writedowns for exchangeable class 1-A-5. S&P has applied this analysis to exchangeable class 1-A-5, and our revised rating reflects our view of the credit risk of exchangeable class 1-A-5. DOWNGRADES The downgrades on classes 1-A-2 and 2-A-4 from Morgan Stanley ABS Capital I Inc. Trust 2007-SEA1 reflect S&P's belief that default is virtually certain for these classes. These classes were downgraded to 'CC (sf)' from 'CCC (sf)' because unrealized writedowns have occurred since their credit support depleted, which lead S&P to believe that these classes will likely not receive principal payment in full. AFFIRMATIONS S&P affirmed nine 'CCC (sf)' ratings to reflect its belief that its projected credit support will remain insufficient to cover its 'B' expected case projected losses for these classes. Per "Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings," published Oct. 1, 2012, these 'CCC (sf)' affirmations reflect S&P's view that these classes are still vulnerable to defaulting. WITHDRAWALS S&P withdrew its ratings on six classes from Banc of America Mortgage 2008-A Trust because the related collateral group has a de minimus number of loans remaining. In this transaction, cross-subordination has been depleted because all junior classes have been written down; therefore, credit instability is addressed on the related collateral group level. Because the number of loans in the related collateral group has declined to a de minimis amount, S&P believes there is a high degree of credit instability that is incompatible with any rating level. ECONOMIC OUTLOOK When determining a U.S. RMBS collateral pool's relative credit quality, S&P's loss expectations stem, to a certain extent, from its view of how the loans will behave under various economic conditions. S&P Global Ratings' baseline macroeconomic outlook assumptions for variables that it believes could affect residential mortgage performance are: -- An overall unemployment rate of 4.9 % in 2016, dipping to 4.6% in 2017; -- Real GDP growth of 1.6 % for 2016 and 2.4% in 2017; -- The inflation rate will be 2.2% in both 2016 and 2017; and -- The 30-year fixed mortgage rate will average about 3.6 % in 2016, rising to 4.1% in 2017. S&P's outlook for RMBS is stable. Although S&P views overall housing fundamentals positively, it believes RMBS fundamentals still hinge on additional factors, such as the ultimate fate of modified loans, the propensity of servicers to advance on delinquent loans, and liquidation timelines. Under S&P's baseline economic assumptions, it expects RMBS collateral quality to improve. However, if the U.S. economy were to become stressed in line with S&P Global Ratings' downside forecast, S&P believes that U.S. RMBS credit quality would weaken. S&P's downside scenario reflects these assumptions: -- The unemployment rate will remain at 4.9% for 2016 and inch up to 5.0% in 2017; -- Downward pressure causes GDP growth to fall to 1.5 % in 2016 and to 1.4% in 2017; -- Home price momentum slows as potential buyers are not able to purchase property; and -- While the 30-year fixed mortgage rate remains a low 3.6% in 2016 and 2017, limited access to credit and pressure on home prices will largely prevent consumers from capitalizing on these rates. A list of the Affected Ratings is available at: http://bit.ly/2ncI9tv ********* 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 ***