/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/170528.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, May 28, 2017, Vol. 21, No. 147 Headlines ABACUS LTD 2006-10: Moody's Cuts Rating on Class B Notes to C(sf) ANTARES CLO 2017-1: S&P Assigns BB- Rating on Class E Notes BICENTENNIAL TRUST 2017-1: DBRS Finalizes B Ratings on Cl. G Certs BOMBARDIER CAPITAL: S&P Lowers Rating on Class A-3 Debt to CC CAPITALSOURCE REAL 2006-A: Fitch Affirms BBsf Rating on Class B Deb CATSKILL PARK: Moody's Assigns Ba3(sf) Rating on Class D Notes COLT MORTGAGE 2017-1: DBRS Finalizes Prov. BB Rating on B-1 Debt COMM 2013-300P: Fitch Affirms 'BB+sf' Rating on Class E Debt COMM 2014-CCRE18: DBRS Confirms B(low)(sf) Rating on Class F Debt COMM MORTGAGE 2006-C8: Fitch Cuts Rating on Cl. A-J Certs to CC COMM MORTGAGE 2006-C8: Moody's Affirms B3 Rating on Class A-J Certs CONNECTICUT AVENUE 2017-C03: DBRS Gives BB Ratings on 18 Tranches CSMC TRUST 2017-LSTK: Moody's Assigns B1 Rating to Cl. HRR Certs FLAGSHIP CREDIT 2016-2: DBRS Confirms BB(high) Rating on Cl. D Debt FREDDIE MAC 2017-1: DBRS Finalizes B(sf) Ratings on Cl. M-2 Debt FREMF 2013-KF02: Moody's Affirms Ba3(sf) Rating on Cl. X Certs HOME CAPITAL: DBRS Lowers Senior Debt Rating to CCC JP MORGAN 2003-CIBC7: Moody's Hikes Class H Debt Rating to B3(sf) JP MORGAN 2005-LDP2: Fitch Affirms Bsf Rating on Class E Certs JP MORGAN 2017-JP6: Fitch to Rate $7.8MM Class G-RR Certs 'B-sf' JPMBB 2014-C22: Moody's Ups Rating on Class UHP Certs. to Ba2 LEAF RECEIVABLES: DBRS Confirms 15 Ratings From 2 ABS Deals MORGAN STANLEY 2001-TOP3: Moody's Affirms Ca Rating on Cl. F Certs N-STAR REL VI: Fitch Affirms 'CCsf' Rating on Class K Debt N-STAR REL VI: Fitch Corrects May 19 Release N-STAR REL VIII: Fitch Affirms 'CCsf' Rating on Class N Debt NATIONSTAR HECM 2017-1: Moody's Gives (P)Ba3 Rating to Cl. M2 Debt PALMER SQUARE CLO 2015-1: S&P Gives (P)BB Rating to Cl. D-R Notes PROTECTIVE FINANCE 2007-PL: Fitch Affirms Bsf Rating on 2 Tranches RELIANCE INTERMEDIATE: DBRS Confirms BB Issuer Rating SDART 2017-2: S&P Gives Prelim. BB Rating on Cl. E Debt STEELE CREEK 2015-1: Moody's Assigns B2 Rating to Cl. F-R Notes TIAA SEASONED 2007-C4: Fitch Lowers Class E Debt Rating to Bsf TOWD POINT 2017-2: DBRS Assigns BB(sf) Ratings to Class B1 Debt VENTURE XXVII: Moody's Assigns Ba3(sf) Rating to Class E Notes WACHOVIA BANK 2005-C20: Fitch Hikes Cl. F Certs Rating to 'CCC' WELLS FARGO 2015-NXS1: DBRS Confirms B(low) Rating on Cl. F Debt [*] DBRS Reviews 105 Classes From 17 US RMBS Deals [*] Moody's Hikes $1.3BB of Subprime RMBS Issued 2005-2007 [*] Moody's Hikes $775MM of Subprime RMBS Issued 2003-2007 [*] Moody's Takes Action on $724MM of RMBS Issued 2002-2006 [*] S&P Completes Review of 74 Classes From 13 US RMBS Deals [*] S&P Takes Various Rating Actions on 34 Classes From 10 RMBS ********* ABACUS LTD 2006-10: Moody's Cuts Rating on Class B Notes to C(sf) ----------------------------------------------------------------- Moody's has downgraded the ratings on the following notes issued by Abacus 2006-10, Ltd.: Cl. A, Downgraded to Ca (sf); previously on Jul 15, 2016 Affirmed Caa3 (sf) Cl. B, Downgraded to C (sf); previously on Jul 15, 2016 Affirmed Ca (sf) Moody's has also affirmed the rating on the following notes: Cl. C, Affirmed C (sf); previously on Jul 15, 2016 Affirmed C (sf) RATINGS RATIONALE Moody's has downgraded the ratings of two classes of notes due to deterioration in the credit quality of the reference obligations as evidenced by the weighted average rating factor (WARF), and realized losses from the write-downs of certain reference obligations. Moody's has also affirmed the rating of one class of notes because the key transaction metrics are commensurate with existing ratings. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO Synthetic) transactions. Abacus 2006-10, Ltd. is a static synthetic transaction backed by a portfolio of credit default swaps on commercial mortgage backed securities (CMBS) (100% of the reference obligation pool balance) issued in 2004 and 2005. As of the April 28, 2017 trustee report, the aggregate notional balance of the transaction has decreased to $1.33 billion, from $3.75 billion at issuance. The decrease in the notional amount is the result of the combination of regular amortization and the write-downs from the underlying reference obligations. Moody's has identified the following as key indicators of the expected loss in CRE CDO transactions: 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 reference obligations it does not rate. The rating agency modeled a bottom-dollar WARF of 3725, compared to 3550 at last review. The current ratings on the Moody's-rated reference obligations and the assessments of the non-Moody's rated reference obligations follow: Aaa-Aa3 and 18.3% compared to 16.0% at last review; A1-A3 and 1.5% compared to 9.2% at last review; Baa1-Baa3 and 11.3% compared to 9.8% at last review; Ba1-Ba3 and 23.1% compared to 21.4% at last review; B1-B3 and 13.5% compared to 12.4% at last review; and Caa1-Ca/C and 32.4% compared to 31.2% at last review. Moody's modeled a WAL of 2.1 years, the same as that at last review. The WAL is based on extension assumptions about the look-through loans within the underlying reference obligations. Moody's modeled a fixed WARR of 0.0%, the same as that at last review. Moody's modeled a MAC of 7.9%, compared to 7.4% 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 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 reference obligations and credit assessments. Holding all other parameters constant, notching down 100% of the reference obligation pool by -1 notch 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). Notching up 100% of the reference obligation pool by +1 notch 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. ANTARES CLO 2017-1: S&P Assigns BB- Rating on Class E Notes ----------------------------------------------------------- S&P Global Ratings assigned its ratings to Antares CLO 2017-1 Ltd./Antares CLO 2017-1 LLC's $1.8585 billion middle-market floating-rate notes. The note issuance is a collateralized loan obligation transaction backed by middle-market speculative-grade senior secured term loans. The 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. RATINGS ASSIGNED Antares CLO 2017-1 Ltd./Antares CLO 2017-1 LLC Class Rating Amount (mil. $) A AAA (sf) 1,207.50 B AA (sf) 241.50 C (deferrable) A (sf) 153.30 D (deferrable) BBB- (sf) 123.90 E (deferrable) BB- (sf) 132.30 Subordinated notes NR 255.41 NR--Not rated. BICENTENNIAL TRUST 2017-1: DBRS Finalizes B Ratings on Cl. G Certs ------------------------------------------------------------------ DBRS Limited finalized the provisional ratings on the Mortgage Pass-Through Certificates, Series 2017-1 issued by Bicentennial Trust as follows: -- AAA (sf) on the Class A Certificates -- AA (sf) on the Class B Certificates -- A (sf) on the Class C Certificates -- BBB (sf) on the Class D Certificates -- BBB (low) (sf) on the Class E Certificates -- BB (sf) on the Class F Certificates -- B (sf) on the Class G Certificates (collectively, the Rated Certificates) The Rated Final Distribution Date is July 17, 2047. The Class H Certificates and Class Z Certificates (collectively with the Rated Certificates, the Certificates) are not rated by DBRS. The ratings are based on the following factors: (1) The collateral is a diversified pool of $2.0 billion first- lien, fixed-rate, conventional Canadian residential mortgages with a maximum loan-to-value (LTV) of 80% originated by Bank of Montreal (BMO). The weighted-average LTV was 66.5% as of the cut-off date based on indexed property value. (2) The experience of BMO in the residential mortgage market with strong performance history and servicing capability. (3) Pass-through structure increases subordination over time. (4) BMO provides lifetime representations and warranties. DBRS uses the Canadian RMBS model to estimate default frequency, loss severity and expected loss on a loan-level basis. The RMBS model output does not include the risk of mortgage default at maturity (i.e., balloon risk). Balloon risk is considered to be low in this transaction due to strong asset quality, the financial strength of the Seller, proven refinancing liquidity during the financial crisis and if the Seller does not offer to renew a performing mortgage (at a rate consistent with Seller's then prevailing posted mortgage rates) and the mortgage has not been renewed by any other lender prior to its maturity date, the Administrator (including a Replacement Administrator) will extend the maturity date up to five years (to no later than the Rated Final Distribution Date) and maintain the same interest rate that was in effect prior to extension in order to prevent the mortgage from becoming delinquent or defaulted at maturity. To assess the balloon risk, DBRS nevertheless considers the probability of no lender liquidity at the end of the loan tenure and a hypothetic percentage of loan defaults as a result of non-renewal. The balloon risk is in addition to the credit risk estimated by the RMBS model. When determining the loss severity of loans that default as a result of non-renewal, since such borrowers have been current on their mortgage payments and the timing of default is known, DBRS considers scheduled mortgage payments and a certain level of house price appreciation during the mortgage term. With the RMBS model results and adjustment for balloon risk, DBRS runs a proprietary cash flow model incorporating the transaction structure and assumptions for timing of default, interest rates and prepayments. The result was that the Rated Certificates with the proposed structure could withstand each stress scenario with no loss. The ability of the Issuer to repay interest and principal of the Rated Certificates is consistent with the respective ratings. The Seller and Administrator, BMO, is rated AA/R-1 (high) with Negative trends by DBRS as of July 28, 2016, and is the fourth-largest Schedule I bank in Canada as measured by assets with approximately $692.4 billion assets as of January 31, 2017. BOMBARDIER CAPITAL: S&P Lowers Rating on Class A-3 Debt to CC ------------------------------------------------------------- S&P Global Ratings lowered its rating on class A-3 from Bombardier Capital Mortgage Securitization Corp.'s series 1999-A to 'CC (sf)' from 'CCC- (sf)'. At the same time, S&P affirmed its 'B (sf)' rating on class A from series 1998-C and affirmed S&P's 'B- (sf)' ratings on classes A-4 and A-5 from series 1999-A. Series 1998-C and 1999-A are asset-backed securities transactions backed by manufactured housing loans originated by Bombardier Capital Inc. and currently serviced by Ditech Financial LLC. The rating actions reflect the transactions' collateral performance to date, S&P's views regarding future collateral performance, the transactions' structure, and credit enhancement available. Furthermore, S&P's analysis incorporated secondary credit factors such as credit stability, payment priorities under certain scenarios, and sector- and issuer-specific analysis. Although both transactions have performed worse than S&P's initial expectations, the pace of losses over the past few years has remained stable. The transactions are currently performing in line with S&P's prior expected lifetime cumulative net losses. S&P is maintaining its expected lifetime cumulative net loss range for both transactions. Table 1 Collateral Performance (%) As of the April 2017 distribution Pool Current Expected Series Mo. factor CNL lifetime CNL(i) 1998-C 221 10.57 41.00 45.00-48.00 1999-A 219 11.20 41.19 45.00-48.00 (i)Lifetime CNL expectation based on current performance data. CNL--Cumulative net loss. Both transactions were initially structured with overcollateralization and subordination. Because of higher-than-expected losses, the transactions have depleted their overcollateralization. The only hard support for both transactions is the subordinated class M-1 certificates, which continue to experience monthly principal write-downs. However, the pace of class A principal payments outperforms the speed of the principal write-downs. This has helped maintain sufficient credit enhancement for the class A certificates, which are senior in priority to the class M-1 certificates. The class M-1 certificates provide 47.48% credit support for the class A certificates in series 1998-C, and provide 43.75% credit support for the class A certificates in series 1999-A. Each is a percentage of the current collateral balance. S&P lowered its rating on class A-3 from series 1999-A because the class is unlikely to pay down the full principal by the Jan. 15, 2018, maturity date due to high cumulative net losses, the speed of the principal paydown, and the expectation that the pro rata principal payments will continue. Class A-3 had a balance of $2,916,825.65 as of the April 2017 distribution date. Classes A-4 and A-5 from series 1999-A have maturity dates in March 2029. Class A from series 1998-C has a maturity date in January 2029. S&P affirmed its ratings on these classes at this time. S&P Global Ratings will continue to monitor the performance of these transactions and take rating actions as S&P considers appropriate. RATING LOWERED Bombardier Capital Mortgage Securitization Corp. Rating Series Class To From 1999-A A-3 CC (sf) CCC- (sf) RATINGS AFFIRMED Bombardier Capital Mortgage Securitization Corp. Series Class Rating 1998-C A B (sf) 1999-A A-4 B- (sf) 1999-A A-5 B- (sf) CAPITALSOURCE REAL 2006-A: Fitch Affirms BBsf Rating on Class B Deb ------------------------------------------------------------------- Fitch Ratings has affirmed eight classes of CapitalSource Real Estate Loan Trust 2006-A. Fitch's performance expectation incorporates prospective views regarding commercial real estate (CRE) market value and cash flow declines. KEY RATING DRIVERS The affirmations reflect sufficient credit enhancement (CE) relative to Fitch-modeled loss expectations. Although CE has improved as a result of amortization, asset payoffs and better recoveries than previously expected on assets disposed since the last rating action, Fitch's base case expected loss has increased to 58.4% from 50.3% at the last rating action. As of the April 2017 trustee report and since the last rating action, principal paydowns totaling $62.8 million (14% of the collateral balance at the last rating action) repaid in full classes A-1A, A-1R and A-2B and a portion of class B. Realized losses totaled $17.3 million over the same period. Capitalsource 2006-A is primarily collateralized by senior CRE debt, with 97.8% of the collateral pool consisting of whole loans or A-notes as of the April 2017 trustee report and per Fitch categorizations. Residential mortgage-backed securities bonds comprise the remaining 2.2% of the pool. Property type concentrations include healthcare (34.5%), undeveloped land (29.3%) and hotel (22.8%). The weighted average Fitch-derived rating for the non-CREL assets was 'B-'. The collateralized debt obligation (CDO) has become more concentrated with 19 assets remaining, compared to 23 assets at the last rating action. As a result of this concentration and additional loans being classified as Fitch Loans of Concern (FLOCs), the combined percentage of defaulted loans and FLOCs has increased to 66% of the current collateral balance, from 47.8% of the collateral balance at the last rating action. Defaulted loans currently comprise 36.7% and FLOCs 29.3%. Loan concentrations include the largest loan, nearly 32% of the collateral pool, which is secured by a portfolio of assisted living and skilled nursing facilities located across Indiana, and the second largest loan, which has defaulted and is nearly 23% of the pool, which is secured by a boutique hotel property located in Atlantic City, NJ. Under Fitch's methodology, approximately 67.6% of the portfolio is modeled to default in the base case stress scenario, defined as the 'B' stress. In this scenario, the modeled average cash flow decline is 10%, from, in general, third-quarter 2016 and year-end 2016 cash flows. Modeled recoveries are low at 13.6%, which reflects the concentration of non-traditional property types and the low credit quality of the non-CREL assets. This transaction was analyzed according to the 'Surveillance Criteria for U.S. CREL CDOs', which applies stresses to property cash flows and debt service coverage ratio tests to project future default levels for the underlying portfolio. Recoveries are based on stressed cash flows and Fitch's long-term capitalization rates. The default levels were then compared to the breakeven levels generated by Fitch's cash flow model of the CDO under the various default timing and interest rate stress scenarios, as described in the report 'Global Surveillance Criteria for Structured Finance CDOs'. The breakeven rates for classes B and C are generally consistent with the ratings assigned. The ratings for classes D through J are based upon a deterministic analysis that considers Fitch's base case loss expectation for the pool and the current percentage of defaulted assets and assets of concern, factoring in anticipated recoveries relative to each class' credit enhancement. As of the April 2017 remittance report, all interest coverage tests were passing. The class A/B overcollateralization (OC) and class C/D/E OC tests passed, but the class F/G/H OC test failed. Class J is capitalizing its missed interest. CapitalSource 2006-A was initially issued as a $1.3 billion CRE CDO managed by CapitalSource Finance, LLC (CapitalSource), a subsidiary of CapitalSource, Inc. In 2010, NS Advisors II, LLC (NS Advisors) became the delegated collateral manager for the CDO under the delegation provisions of the indenture. All collateral manager responsibilities and fees were delegated to NS Advisors at that time. In addition, an amendment to the servicing agreement replaced the special servicer of the CDO with NS Servicing, LLC (NS Servicing). NS Servicing assumed all rights, interests, duties, and obligations as special servicer under the servicing agreement previously held by CapitalSource. NS Advisors was previously a wholly-owned subsidiary of NorthStar Realty Finance Corp. (NRF). In January 2017, NRF, along with Northstar Asset Management, merged with Colony Capital, Inc. to form Colony Northstar Inc. RATING SENSITIVITIES The Stable Rating Outlook on classes B and C reflects increasing credit enhancement and expected continued paydowns. The distressed classes D through J may be subject to downgrade should loan performance decline and/or further losses be realized. Fitch has affirmed the following ratings: -- $76 million class B affirm at 'BBsf'; Outlook Stable; -- $62.4 million class C affirm at 'Bsf'; Outlook Stable; -- $30.2 million class D affirm at 'CCCsf'; RE 45%; -- $30.2 million class E affirm at 'CCCsf'; RE 0%; -- $26.7 million class F affirm at 'CCsf'; RE 0%; -- $33.2 million class G affirm at 'CCsf'; RE 0%; -- $31.2 million class H affirm at 'Csf'; RE 0%; -- $47.9 million class J affirm at 'Csf'; RE 0%. Class A-2A, A-1A, A-1R and A-2B notes have paid in full. CATSKILL PARK: Moody's Assigns Ba3(sf) Rating on Class D Notes -------------------------------------------------------------- Moody's Investors Service has assigned ratings to six classes of notes issued by Catskill Park CLO, Ltd. Moody's rating action is as follows: US$612,500,000 Class A-1a Senior Secured Floating Rate Notes due 2029 (the "Class A-1a Notes"), Definitive Rating Assigned Aaa (sf) US$47,000,000 Class A-1b Senior Secured Floating Rate Notes due 2029 (the "Class A-1b Notes"), Definitive Rating Assigned Aaa (sf) US$80,500,000 Class A-2 Senior Secured Floating Rate Notes due 2029 (the "Class A-2 Notes"), Definitive Rating Assigned Aa1 (sf) US$77,500,000 Class B Secured Deferrable Floating Rate Notes due 2029 (the "Class B Notes"), Definitive Rating Assigned A2 (sf) US$57,500,000 Class C Secured Deferrable Floating Rate Notes due 2029 (the "Class C Notes"), Definitive Rating Assigned Baa3 (sf) US$45,000,000 Class D Secured Deferrable Floating Rate Notes due 2029 (the "Class D Notes"), Definitive Rating Assigned Ba3 (sf) The Class A-1a Notes, the Class A-1b 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. Catskill Park is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated first lien senior secured corporate loans. At least 96% of the portfolio must consist of senior secured loans (excluding any second lien loans), cash, and eligible investments, and up to 4% of the portfolio may consist in the aggregate of second lien loans and unsecured loans. The portfolio is approximately 80% 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 5 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: $1,000,000,000 Diversity Score: 60 Weighted Average Rating Factor (WARF): 2772 Weighted Average Spread (WAS): 3.50% Weighted Average Coupon (WAC): 7.50% Weighted Average Recovery Rate (WARR): 47.0% 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 2772 to 3188) Rating Impact in Rating Notches Class A-1a Notes: 0 Class A-1b Notes: -1 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 2772 to 3604) Rating Impact in Rating Notches Class A-1a Notes: -1 Class A-1b Notes: -2 Class A-2 Notes: -4 Class B Notes: -4 Class C Notes: -2 Class D Notes: -1 COLT MORTGAGE 2017-1: DBRS Finalizes Prov. BB Rating on B-1 Debt ---------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the Mortgage Pass-Through Certificates, Series 2017-1 (the Certificates) issued by COLT 2017-1 Mortgage Loan Trust (the Trust) as follows: -- $265.3 million Class A-1 at AAA (sf) -- $33.2 million Class A-2 at AA (sf) -- $47.3 million Class A-3 at A (sf) -- $16.5 million Class M-1 at BBB (sf) -- $15.1 million Class B-1 at BB (sf) The AAA (sf) ratings on the Certificates reflect the 34.10% of credit enhancement provided by subordinated Certificates in the pool. The AA (sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings reflect 25.85%, 14.10%, 10.00%, 6.25% and 3.60% 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, prime and non-prime, first-lien residential mortgages. The Certificates are backed by 853 loans with a total principal balance of $402,646,289 as of the Cut-Off Date (April 1, 2017). Caliber Home Loans, Inc. (Caliber) is the originator and servicer for 78.3% of the portfolio. The Caliber mortgages were originated under the following five programs: (1) Premier Access (40.8%) - Generally made to borrowers with unblemished credit seeking larger balance mortgages. These loans may have interest-only features, higher debt-to-income (DTI) and loan-to-value (LTV) ratios or lower credit scores compared with those in traditional prime jumbo securitizations. (2) Homeowner's Access (23.9%) - Made to borrowers who do not qualify for agency or prime jumbo mortgages for various reasons, such as loan size in excess of government limits, alternative or insufficient credit or prior derogatory credit events that occurred more than two years prior to origination. (3) Fresh Start (10.2%) - Made to borrowers with lower credit and significant recent credit events within the past 24 months. (4) Investor (2.9%) - Made to borrowers who finance investor properties where the mortgage loan would not meet agency or government guidelines because of such factors as property type, number of financed properties, lower borrower credit score or a seasoned credit event. (5) Foreign National (0.4%) - Made to non-resident borrowers holding certain types of visas who may not have a credit score. Sterling Bank and Trust, FSB (Sterling) is the originator and servicer for 21.7% of the portfolio. The Sterling mortgages were originated under Sterling's Advantage Home Ownership Program (Advantage), which focuses on high-quality borrowers with clean mortgage payment histories and substantial equity in their properties who seek alternative income documentation products. Wells Fargo Bank, N.A. (Wells Fargo) will act as the Master Servicer, Securities Administrator and Certificate Registrar. U.S. Bank National Association will serve as Trustee. Although the mortgage loans were originated to satisfy the Consumer Financial Protection Bureau (CFPB) ability-to-repay (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, 1.3% of the loans are designated as QM Safe Harbor, 26.1% as QM Rebuttable Presumption and 69.3% as non-QM. Approximately 3.3% of the loans are not subject to the QM rules. The servicers 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 earlier of (1) the two-year anniversary of the Closing Date and (2) the date when the aggregate stated principal balance of the mortgage loans is reduced to 20% of the Cut-Off Date balance, 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. The ratings reflect transactional strengths that include the following: (1) ATR Rules and Appendix Q Compliance: All of the mortgage loans were underwritten in accordance with the eight underwriting factors of the ATR rules. In addition, Caliber's underwriting standards comply with the Standards for Determining Monthly Debt and Income as set forth in Appendix Q of Regulation Z with respect to income verification and the calculation of DTI ratios. (2) Strong Underwriting Standards: Whether for prime or non-prime mortgages, underwriting standards have improved significantly from the pre-crisis era. The Caliber loans were underwritten to a full documentation standard with respect to verification of income (generally through two years of W-2s or tax returns), employment and asset. Generally, fully executed 4506-Ts are obtained and tax returns are verified with IRS transcripts if applicable. Although loans in the Sterling Advantage program were primarily underwritten to limited documentation standards, borrowers are required to have strong credit profiles, substantial equity in their properties and generally no delinquencies in the past 12 months. The Sterling loans were all originated through the retail channel and have a weighted-average (WA) original CLTV of 61.6%. (3) Robust Loan Attributes and Pool Composition: -- The mortgage loans in this portfolio generally have robust loan attributes as reflected in combined LTV ratios, borrower household income and liquid reserves, including the loans in Homeowner's Access and Fresh Start, the two programs with weaker borrower credit. -- The pool contains low proportions of cash-out and investor properties. -- As the programs move down the credit spectrum, certain characteristics, such as lower LTVs or DTIs, suggest the consideration of compensating factors for riskier pools. -- The pool is comprised of 25.9% fixed-rate mortgages, which have the lowest default risk because of the stability of monthly payments. The pool is comprised of 56.4% 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. The pool also includes hybrid ARMs with initial fixed periods of one year (9.9%) and three years (7.8%), all originated by Sterling. (4)Satisfactory Third-Party Due Diligence Review: A third-party due diligence firm conducted property valuation, credit and compliance reviews on 100% of the loans in the pool. Data integrity checks were also performed on the pool. (5)Satisfactory Loan Performance to Date (Albeit Short): Caliber began originating loans under the five programs in Q4 2014. Since the first transaction issued in November 2015, the historical performance for the COLT shelf has been robust, albeit short. For the four previous non-QM transactions issued from the COLT shelf, as of March 2017, 60+ day delinquency rates ranged from 0.0% to 2.4% and cumulative losses ranged from 0.0% to 0.05%. In addition, voluntary prepayment rates have been relatively high, as these borrowers tend to credit cure and refinance into lower-rate mortgages. COMM 2013-300P: Fitch Affirms 'BB+sf' Rating on Class E Debt ------------------------------------------------------------ Fitch Ratings has affirmed all rated classes of COMM 2013-300P Mortgage Trust. KEY RATING DRIVERS Low Trust Leverage: Fitch's stressed debt-service-coverage-ratio (DSCR) for the trust component of the debt is 1.27x, and the stressed loan to value (LTV) is 69.6%. Additionally, the 'AAAsf' rated debt is only $385 per square foot, which implies the property could sustain a 70% decline in value from its $1 billion appraised value at the time of issuance and still repay 'AAAsf' debt. Excellent Location: The property is located in the Grand Central submarket (just south of the Plaza submarket) between 49th and 50th Streets on the west side of Park Avenue. The location is four blocks north of Grand Central Terminal and offers excellent accessibility and proximity to public transportation. Tenant Concentration and Rollover Risk: During the 10-year loan term, 98.8% of the leased NRA rolls, including the largest tenant, Colgate-Palmolive, whose lease expires two months before the loan matures. Colgate-Palmolive has demonstrated a commitment to the property through long-term occupancy of more than 60 years, a 2008 early lease renewal for 15 years, and recent and ongoing investments in their space. Limited Structural Features: The loan has no upfront reserves other than real estate taxes, no structure in place to mitigate the Colgate-Palmolive lease expiration, springing cash management, and there is no carve-out guarantor. The property, also known as the Colgate Building, has acted as the global headquarters of Colgate-Palmolive since it was constructed in 1954. Colgate-Palmolive leases 65.3% of the NRA and has continuously invested in its space. The lease is scheduled to expire two months after the loan matures, and in 2015, shared-office provider WeWork subleased 110,000 sf of Colgate-Palmolive's space (21.8% of the tenant's total space, 14.2% of the NRA). Since the last rating action, Fitch has withdrawn its rating of Colgate-Palmolive. As noted above, the property is very well located and highly visible in the Grand Central submarket and the loan's leverage point is considered low. RATING SENSITIVITIES The Rating Outlook for all classes remains Stable due to the collateral's stable performance. No rating actions are expected unless there are material changes to the property occupancy and cash flow. Fitch has affirmed the following ratings: -- $222 million class A1 at 'AAASf'; Outlook Stable; -- $75 million class A1P at 'AAAsf'; Outlook Stable; -- $297 million* class X-A at 'AAAsf'; Outlook Stable; -- $61 million class B at 'AA-sf; Outlook Stable; -- $42 million class C at 'A-sf'; Outlook Stable; -- $57 million class D at 'BBB-sf'; Outlook Stable; -- $28 million class E at 'BB+sf'; Outlook Stable. COMM 2014-CCRE18: DBRS Confirms B(low)(sf) Rating on Class F Debt ----------------------------------------------------------------- DBRS Limited confirmed all classes of Commercial Mortgage Pass-Through Certificates, Series 2014-CCRE18 (the Certificates) issued by COMM 2014-CCRE18 Mortgage Trust as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-M at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class PEZ at A (low) (sf) -- Class X-B at BBB (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class X-C at B (sf) -- Class F at B (low) (sf) All trends are Stable. The rating confirmations reflects the overall stable performance exhibited by the transaction since issuance in 2014. The collateral consists of 49 fixed-rate loans secured by 60 commercial properties. As of the April 2017 remittance, all original loans remain in the pool with an aggregate principal balance of approximately $972.0 million, representing a collateral reduction of 2.5% since issuance as a result of scheduled loan amortization. One loan, Mellon Independence Center (Prospectus ID#3, 6.6% of the pool), is fully defeased. The pool is primarily concentrated by four property types: seven loans, representing 31.9% of the pool, are secured by office properties; 14 loans (26.1% of the pool) are secured by retail properties; 11 loans (18.0% of the pool) are secured by multifamily properties; and nine loans (13.8% of the pool) are secured by hotel properties. By geographical location, the pool is relatively diverse, as the largest concentration by state is California with seven loans (18.4% of the pool) followed by New York with four loans (16.2% of the pool), Texas with five loans (10.6% of the pool) and Pennsylvania with four loans (9.9% of the pool). By loan size, the pool is fairly concentrated as the Top 10 and Top 15 loans represent 57.8% and 69.9% of the pool, respectively. As of YE2016, the largest loan, Bronx Terminal Market (Prospectus ID#1, 13.6% of the pool) shows healthy performance metrics with a debt service coverage ratio (DSCR) of 1.72 times (x) compared with the DBRS issuance figure of 1.58x, which reflects 9.0% net cash flow (NCF) growth. Three loans (16.8% of the pool) are structured with full interest-only (IO) terms, while an additional five loans (18.4% of the pool) have partial IO periods remaining, ranging from one month to 25 months. To date, 44 loans (99.1% of the pool) have reported YE2016 NCF figures, while the remaining five loans (6.9% of the pool) have reported partial-year 2016 NCF figures only (all being Q3 2016). As calculated based on the most recent financials available (both partial-year and YE2016 NCFs), the transaction had a weighted-average (WA) amortizing DSCR and WA debt yield of 1.65x and 10.2%, respectively, compared with the DBRS issuance figures of 1.44x and 9.1%, respectively. Based on the most recent NCF figures (both partial-year and YE2016), the Top 15 loans reported a WA amortizing DSCR of 1.70x compared with the DBRS issuance figure of 1.49x, which is reflective of a WA NCF growth of 13.1%. There are two loans (9.3% of the pool) in the Top 15 exhibiting NCF declines as compared with the DBRS issuance figures, with declines ranging from -8.8% to -22.9%. These two loans include Southfield Town Center (Prospectus ID#4, 6.7% of the pool) and Met Center 10 (Prospectus ID#10, 2.8% of the pool). While the decline in performance of Met Center 10 was driven by an increase in expenses, the decline in performance of Southfield Town Center was driven by increased vacancy. DBRS will monitor these loans for developments and has provided detailed commentary for each on the DBRS IReports platform. As of the April 2017 remittance, there is one loan (1.3% of the pool) in special servicing, and six loans (6.8% of the pool) on the servicer's watchlist. The loan in special servicing, the GreatStay Hotel Portfolio (Prospectus ID#23), is secured by four full-service hotels totalling 613-keys, all of which are located in the Pittsburg metropolitan statistical area of Pennsylvania. The loan was transferred to special servicing with the April 2017 remittance when the loan hit the 90-day delinquency mark. Of the six loans currently on the servicer's watchlist, one loan (3.0% of the pool) was flagged because of deferred maintenance, four loans (3.5% of the pool) were flagged for performance-related reasons, while the remaining loan (0.4% of the pool) was flagged because of flood damage, with insurance claims made and renovations ongoing. Based on the most recent cash flow reporting (YE2016 NCFs), the four loans with performance-related decline reported a WA DSCR of 1.09x, compared with the DBRS issuance figure of 1.52x, which is reflective of a WA NCF decline of 17.2%. COMM MORTGAGE 2006-C8: Fitch Cuts Rating on Cl. A-J Certs to CC --------------------------------------------------------------- Fitch Ratings has downgraded two and affirmed 12 classes of COMM Mortgage Trust series 2006-C8 commercial mortgage pass-through certificates. KEY RATING DRIVERS Concentration & Adverse Selection: The pool is highly concentrated with only 13 of the original 177 loans remaining, compared to 118 at Fitch's last rating action. Since the last rating action, 97 loans have paid in full and eight were transferred to special servicing. Due to the concentrated nature of the pool, Fitch performed a sensitivity analysis that grouped the remaining loans based on collateral quality, current performance and the likelihood of repayment. The outstanding collateral consists of one defeased loan (6.1%) and 12 specially serviced assets (93.9%). As of the May 2017 distribution date, the pool's aggregate principal balance has been reduced by 89.2% to $407.8 million from $3.78 billion at issuance. Interest shortfalls in the amount of $40.7 million are affecting classes B through S. High Loss Expectations: The downgrades reflect greater certainty of losses to classes A-J and C due to the high concentration of specially serviced loans. The largest loan (26.6%) in the pool, which is specially serviced, is secured by a portfolio of seven flagged hotels totalling 1,701 rooms located in five states, including three Embassy Suites, one Holiday Inn Express, and one Courtyard by Marriott. The loan transferred to special servicing in July 2016, one month after the sponsor filed for bankruptcy. The bankruptcy proceedings are ongoing. The second largest asset (18.5%) in the pool is the real estate owned (REO) Sierra Vista Mall, consisting of 503,998 sf (collateral portion) of an overall 688,724-sf regional mall located in Clovis, CA. The mall is anchored by Target (109,648 sf non-collateral), Kohl's (75,088 sf non-collateral), Sears (116,641 sf), MB2 Raceway (58,210 sf), and Sierra Vista Cinema 16 (55,034 sf). The property is subject to a master ground lease which expires in October 2038, and has eight, five-year extension options. The loan was transferred to the special servicer in September 2013 due to payment default. The property became REO in January 2015. The servicer is focusing on lease-up at the property before disposition. As of the March 2017 rent roll, the property was 78.2% occupied. RATING SENSITIVITIES All remaining classes have distressed ratings (rated below 'B') which may be subject to further downgrades as losses are realized. Upgrades are not expected. Fitch has downgraded the following classes: -- $222 million class A-J to 'CCsf' from 'CCCsf'; RE 50%; -- $42.5 million class C to 'Csf' from 'CCsf'; RE 0%. Fitch has affirmed the following classes -- $28.3 million class B at 'CCsf'; RE 0%; -- $37.8 million class D at 'Csf'; RE 0%; -- $23.6 million class E at 'Csf'; RE 0%; -- $28.3 million class F at 'Csf'; RE 0%; -- $25.4 million class G at 'Dsf'; RE 0%; -- $0 class H at 'Dsf'; RE 0%; -- $0 class J at 'Dsf'; RE 0%; -- $0 class K at 'Dsf'; RE 0%; -- $0 class L at 'Dsf'; RE 0%; -- $0 class M at 'Dsf'; RE 0%; -- $0 class N at 'Dsf'; RE 0%; -- $0 class O at 'Dsf'; RE 0%. The classes A-1, A-2A, A-2B, A-3; A-BA; A-4, A-1A and A-M have paid in full. Fitch does not rate the class P, Q and S certificates. Fitch previously withdrew the ratings on the interest-only class X-P and X-S certificates. COMM MORTGAGE 2006-C8: Moody's Affirms B3 Rating on Class A-J Certs ------------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on seven classes and downgraded the rating on one class in COMM Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2006-C8 as follows: Cl. A-J, Affirmed B3 (sf); previously on May 26, 2016 Affirmed B3 (sf) Cl. B, Affirmed Caa1 (sf); previously on May 26, 2016 Affirmed Caa1 (sf) Cl. C, Affirmed Caa3 (sf); previously on May 26, 2016 Downgraded to Caa3 (sf) Cl. D, Affirmed C (sf); previously on May 26, 2016 Downgraded to C (sf) Cl. E, Affirmed C (sf); previously on May 26, 2016 Affirmed C (sf) Cl. F, Affirmed C (sf); previously on May 26, 2016 Affirmed C (sf) Cl. G, Affirmed C (sf); previously on May 26, 2016 Affirmed C (sf) Cl. XS, Downgraded to Caa3 (sf); previously on May 26, 2016 Downgraded to B2 (sf) RATINGS RATIONALE The ratings on seven P&I classes were affirmed because the ratings are consistent with Moody's expected loss. The rating on the IO Class (Class XS) was downgraded due to the decline in the credit performance of its reference classes resulting from principal paydowns of higher quality reference classes. Moody's rating action reflects a base expected loss of 42.7% of the current balance, compared to 8.4% at Moody's last review. Moody's base expected loss plus realized losses is now 11.7% of the original pooled balance, unchanged from 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. XS 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 2006-C8. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 94% of the pool is in special servicing. In this approach, Moody's determines a probability of default for each specially serviced loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss from specially serviced loans to the most junior classes and the recovery as a pay down of principal to the most senior class. DESCRIPTION OF MODELS USED Moody's analysis used the excel-based Large Loan Model. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan-level proceeds derived from Moody's loan-level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure and property type. Moody's also further adjusts these aggregated proceeds for any pooling benefits associated with loan level diversity and other concentrations and correlations. DEAL PERFORMANCE As of the May 10, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 89% to $407.8 million from $3.78 billion at securitization. The certificates are collateralized by 13 mortgage loans ranging in size from 1% to 27% of the pool. One loan, constituting 6.1% of the pool, has defeased and is secured by US government securities. The remaining non-defeased loans are in special servicing. Thirty-eight loans have been liquidated from the pool, contributing to an aggregate realized loss of $267.2 million (for an average loss severity of 40%). Twelve loans, constituting 94% of the pool, are currently in special servicing. The largest specially serviced loan is the JQH Hotel Portfolio Loan ($108.4 million -- 26.6% of the pool), which is secured by a portfolio of five lodging properties located in the following cities: Frisco, Texas; Junction City, Kansas; Hampton, Virginia; Hot Springs, Arkansas; and Springfield, Missouri. The loan transferred to special servicing due to the borrower filing Chapter 11 bankruptcy on June 26, 2016. Per the special servicer, the asset manager continues to monitor the bankruptcy proceedings. The second largest specially serviced loan is the Sierra Vista Mall Loan ($75.3 million -- 18.5% of the pool), which is secured by a 504,000 square foot (SF) portion of a 690,000 SF Class B regional mall in Clovis, California. The mall is anchored by Target and Kohl's, both non-collateral, Sears, MB2 Raceway and Sierra Vista Cinema. The loan transferred to special servicing in September 2013 for imminent default and became REO in January 2015. The third largest specially serviced loan is the Morgan Resort Portfolio -- A Note Loan ($34.1 million -- 8.4% of the pool), which was originally secured by 12 manufactured housing properties across eight states, however, only one property remains as collateral. The loan first transferred to special servicing in November 2009 for imminent default. A loan modification was completed in July 2010, which included the creation of a $15.9 million B-note and converted the A-note to interest-only payments for 12 months. Four of the 12 properties were released and seven were sold after becoming real estate owned (REO). The remaining property is a 71.14 acre RV/Campground site located in Saltlick Township, Pennsylvania. Per the special servicer, this property is not currently being marketed for sale. The remaining nine specially serviced loans are secured by a mix of property types. Moody's estimates an aggregate $174 million loss for the specially serviced loans (45% expected loss on average). As of the May 10, 2017 remittance statement cumulative interest shortfalls were $40.7 million. Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced loans and/or modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. CONNECTICUT AVENUE 2017-C03: DBRS Gives BB Ratings on 18 Tranches ----------------------------------------------------------------- DBRS, Inc. assigned the following provisional ratings to the Connecticut Avenue Securities (CAS), Series 2017-C03 notes (the Notes) issued by Fannie Mae (the Issuer): -- $568.2 million Class 1M-1 at BBB (sf) -- $199.8 million Class 1M-2A at BB (high) (sf) -- $203.8 million Class 1M-2B at BB (sf) -- $203.8 million Class 1M-2C at B (high) (sf) -- $607.3 million Class 1M-2 at B (high) (sf) -- $199.8 million Class 1A-I1 at BB (high) (sf) -- $199.8 million Class 1E-A1 at BB (high) (sf) -- $199.8 million Class 1A-I2 at BB (high) (sf) -- $199.8 million Class 1E-A2 at BB (high) (sf) -- $199.8 million Class 1A-I3 at BB (high) (sf) -- $199.8 million Class 1E-A3 at BB (high) (sf) -- $199.8 million Class 1A-I4 at BB (high) (sf) -- $199.8 million Class 1E-A4 at BB (high) (sf) -- $203.8 million Class 1B-I1 at BB (sf) -- $203.8 million Class 1E-B1 at BB (sf) -- $203.8 million Class 1B-I2 at BB (sf) -- $203.8 million Class 1E-B2 at BB (sf) -- $203.8 million Class 1B-I3 at BB (sf) -- $203.8 million Class 1E-B3 at BB (sf) -- $203.8 million Class 1B-I4 at BB (sf) -- $203.8 million Class 1E-B4 at BB (sf) -- $203.8 million Class 1C-I1 at B (high) (sf) -- $203.8 million Class 1E-C1 at B (high) (sf) -- $203.8 million Class 1C-I2 at B (high) (sf) -- $203.8 million Class 1E-C2 at B (high) (sf) -- $203.8 million Class 1C-I3 at B (high) (sf) -- $203.8 million Class 1E-C3 at B (high) (sf) -- $203.8 million Class 1C-I4 at B (high) (sf) -- $203.8 million Class 1E-C4 at B (high) (sf) -- $403.6 million Class 1E-D1 at BB (sf) -- $403.6 million Class 1E-D2 at BB (sf) -- $403.6 million Class 1E-D3 at BB (sf) -- $403.6 million Class 1E-D4 at BB (sf) -- $403.6 million Class 1E-D5 at BB (sf) -- $407.5 million Class 1E-F1 at B (high) (sf) -- $407.5 million Class 1E-F2 at B (high) (sf) -- $407.5 million Class 1E-F3 at B (high) (sf) -- $407.5 million Class 1E-F4 at B (high) (sf) -- $407.5 million Class 1E-F5 at B (high) (sf) -- $403.6 million Class 1-X1 at BB (sf) -- $403.6 million Class 1-X2 at BB (sf) -- $403.6 million Class 1-X3 at BB (sf) -- $403.6 million Class 1-X4 at BB (sf) -- $407.5 million Class 1-Y1 at B (high) (sf) -- $407.5 million Class 1-Y2 at B (high) (sf) -- $407.5 million Class 1-Y3 at B (high) (sf) -- $407.5 million Class 1-Y4 at B (high) (sf) The holders of Class 1M-2 may exchange for proportionate interests in the class 1M2A, 1M-2B and 1M-2C (Exchangeable Notes) and vice versa. Holders of the Exchangeable Notes may further exchange for proportionate interests in the Related Combinable or Recombinable (RCR) Notes and vice versa. Certain classes of the RCR Notes may be further exchanged for other classes of RCR Notes and vice versa. Classes 1M-2, 1A-I1, 1E-A1,1A-I2, 1E-A2, 1A-I3, 1E-A3, 1A-I4, 1E-A4, 1B-I1, 1E-B1, 1B-I2, 1E-B2, IB-I3, 1E-B3, IB-I4, 1E-B4, IC-I1, 1E-C1, IC-I2, 1E-C2, IC-I3, 1E-C3, IC-I4, 1E-C4, 1E-D1, 1E-D2, 1E-D3, 1E-D4,1E-D5, 1E-F1, 1E-F2, 1E-F3, 1E-F4,1E-F5, I-X1, 1-X2, 1-X3, 1-X4, 1-Y1, I-Y2, 1-Y3 and 1-Y4 are RCR Notes. Classes 1A-I1, 1A-I2, 1A-I3, 1A-I4, 1B-I1, 1B-I2, IB-I3, IB-I4, IC-I1, IC-I2, IC-I3, IC-I4, I-X1, 1-X2, 1-X3, 1-X4, 1-Y1, I-Y2, 1-Y3 and 1-Y4 are interest-only notes. The class balances represent notional amounts. The BBB (sf) ratings on the Notes reflect the 2.55% of credit enhancement provided by subordinated Notes in the pool. The BB (high), BB (sf) and B high (sf) ratings reflect 2.04%, 1.52% and 1.00% of credit enhancement, respectively. Other than the specified classes above, DBRS does not rate any other classes in this transaction. The Notes in the transaction represent unsecured general obligations of Fannie Mae. The Notes are subject to the credit and principal payment risk of a certain reference pool (the Reference Pool) of residential mortgages held in various Fannie Mae-guaranteed mortgage-backed securities. The Reference Pool consists of 167,115 greater than 20-year fully amortizing first-lien, fixed-rate mortgage loans underwritten to a full documentation standard with original loan-to-value ratios greater than 60% and less than or equal to 80%. Payments to the Notes will be determined by the credit performance of the Reference Pool. Cash flow from the Reference Pool will not be used to make any payment to the Noteholders; instead, Fannie Mae will be responsible for making monthly interest payments at the note rate and periodic principal payments on the Notes based on the actual principal payments it collects from the Reference Pool. This transaction is the 11th transaction in the CAS series where Note writedowns are based on actual realized losses and not on a predetermined set of loss severities. Furthermore, unlike earlier CAS transactions where a credit event could occur as early as the date on which a mortgage becomes 180 or more days delinquent, for this transaction a delinquent mortgage would typically need to go through the entire liquidation process for a credit event to occur. Fannie Mae is obligated to retire the Notes by October 2029 by paying an amount equal to the remaining class balance plus accrued and unpaid interest. The Notes also may be redeemed on or after (1) the date on which the Reference Pool pays down to less than 10% of its cut-off date balance or (2) the payment date in April 2027, whichever comes first. If there are unrecovered losses for any of the Notes as of the termination date, then Noteholders are entitled to certain projected recovery amounts. DBRS notes the following strengths and challenges for this transaction: STRENGTHS -- Seller (or lender)/servicer approval process and quality control platform, -- Well-diversified reference pool, -- Strong alignment of interest, -- Strong structural protections and -- Extensive performance history. CHALLENGES -- Unsecured obligation of Fannie Mae, -- Representation and warranties framework and -- Limited third-party due diligence. CSMC TRUST 2017-LSTK: Moody's Assigns B1 Rating to Cl. HRR Certs ---------------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to eight classes of CMBS securities, issued by CSMC Trust 2017-LSTK, Commercial Mortgage Pass-Through Certificates, Series 2017-LSTK: Cl. A, Definitive Rating Assigned Aaa (sf) Cl. B, Definitive Rating Assigned Aa3 (sf) Cl. C, Definitive Rating Assigned A3 (sf) Cl. D, Definitive Rating Assigned Baa3 (sf) Cl. E, Definitive Rating Assigned Ba2 (sf) Cl. HRR, Definitive Rating Assigned B1 (sf) Cl. XA-CP*, Definitive Rating Assigned Aaa (sf) Cl. XB-CP*, Definitive Rating Assigned A2 (sf) * Reflects interest-only class RATINGS RATIONALE The CSMC Trust 2017-LSTK is a securitization backed by a single loan secured by the borrower's fee simple and leasehold interests in land parcels beneath 885 Third Avenue in New York, NY, also known as "The Lipstick Building". Fee simple collateral includes Lot B, which is a 20,608 SF parcel that accounts for approximately 78.9% of the acreage. Leasehold collateral includes Lot A, which is a 5,500 SF parcel that accounts for the remaining 21.1% of the acreage. Lot A is a "sandwich" ground lease where the borrower is both the lessee of the owner of the land and the lessor of the owner of the improvements. Moody's assigned ratings for the securities by comparing the credit risk inherent in the Property with the credit protection offered by the structure. The structure's credit enhancement is quantified by the maximum deterioration in property value that the securities are able to withstand under various stress scenarios without causing an increase in the expected loss for various rating levels. In assigning single borrower ratings, Moody's also consider a range of qualitative issues as well as the transaction's structural and legal aspects. Our analysis uses our large loan and single-asset/single-borrower CMBS methodology. See Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS, October 30, 2015. The Lipstick Building itself does not serve as collateral for the mortgage loan; however, among our analytical scenarios, Moody's considered a "look-through" to the value of the non-collateral improvements in which the lessee defaulted on their ground lease payment obligations and ownership of the improvements passed to the borrower. In this scenario, our stressed value for the resulting fee simple property is well below the current market value of the collateral ground leases that are performing. The credit risk of commercial real estate loans is determined primarily by two factors: 1) the probability of default, which is largely driven by the DSCR, and 2) and the severity of loss in the event of default, which is largely driven by the LTV of the underlying loan. The first mortgage balance of $272,000,000 represents a Moody's LTV of 99.6%. The Moody's First Mortgage Actual DSCR is 1.94X and Moody's First Mortgage Actual Stressed DSCR is 0.70X. Notable strengths of the transaction include: priority of ground lease payment; quality of non-collateral improvements; strong occupancy/tenancy; New York City office market; debt service coverage ratio; and quality of both the ground lessor and lessee sponsorship. Notable credit challenges of the transaction include: lack of diversity for this single asset transaction; high expense of the ground lease payments; single tenant risk and tenant rollover; anticipated new supply in New York City Class A office market; no amortization from loan; encumbrance of debt-like preferred equity; and missing legal protections at the loan level. 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 Classes XA-CP and XB-CP was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in October 2015. Moody's review incorporated the use of the excel-based Large Loan Model, which it uses for single borrower and large loan multi-borrower transactions. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from our Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, and property type. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's analysis also uses the CMBS IO calculator which references the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit estimates; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type corresponding to an IO type as defined in the published methodology. Moody's Parameter Sensitivities: If Moody's value of the collateral used in determining the initial rating were decreased by 5%, 10% and the cap rate increased by 0.5%, and 15% and the cap rate increased by 1.0%: the model-indicated rating for the currently rated Aaa (sf) classes would be Aa1 (sf), Aa3 (sf), and A3 (sf), respectively; the model-indicated rating for the currently rated Aa3 (sf) classes would be A1 (sf), A3 (sf), and Baa3 (sf), respectively; the model-indicated rating for the currently rated A3 (sf) classes would be Baa1 (sf), Baa3 (sf), and Ba2 (sf), respectively; the model-indicated rating for the currently rated Baa3 (sf) classes would be Ba1 (sf), Ba3 (sf), and B1 (sf), respectively; the model-indicated rating for the currently rated Ba2 (sf) classes would be Ba3 (sf), B1 (sf), and B3 (sf), respectively; and the model-indicated rating for the currently rated B1 (sf) classes would be B2 (sf), Caa1 (sf), and Caa2 (sf), respectively. Parameter Sensitivities are not intended to measure how the rating of the security might migrate over time; rather they are designed to provide a quantitative calculation of how the initial rating might change if key input parameters used in the initial rating process differed. The analysis assumes that the deal has not aged. Parameter Sensitivities only reflect the ratings impact of each scenario from a quantitative/model-indicated standpoint. Qualitative factors are also taken into consideration in the ratings process, so the actual ratings that would be assigned in each case could vary from the information presented in the Parameter Sensitivity analysis. These ratings: (a) are based solely on information in the public domain and/or information communicated to Moody's by the issuer at the date it was prepared and such information has not been independently verified by Moody's; (b) must be construed solely as a statement of opinion and not a statement of fact or an offer, invitation, inducement or recommendation to purchase, sell or hold any securities or otherwise act in relation to the issuer or any other entity or in connection with any other matter. Moody's does not guarantee or make any representation or warranty as to the correctness of any information, rating or communication relating to the issuer. Moody's shall not be liable in contract, tort, statutory duty or otherwise to the issuer or any other third party for any loss, injury or cost caused to the issuer or any other third party, in whole or in part, including by any negligence (but excluding fraud, dishonesty and/or willful misconduct or any other type of liability that by law cannot be excluded) on the part of, or any contingency beyond the control of Moody's, or any of its employees or agents, including any losses arising from or in connection with the procurement, compilation, analysis, interpretation, communication, dissemination, or delivery of any information or rating relating to the issuer. 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 may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan pay downs or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in overall performance and Property income, increased expected losses from a specially serviced and troubled loan or interest shortfalls. Moody's ratings address only the credit risks associated with the transaction. Other non-credit risks have not been addressed and may have a significant effect on yield to investors. The ratings do not represent any assessment of (i) the likelihood or frequency of prepayment on the mortgage loans, (ii) the allocation of net aggregate prepayment interest shortfalls, (iii) whether or to what extent prepayment premiums might be received, or (iv) in the case of any class of interest-only certificates, the likelihood that the holders thereof might not fully recover their investment in the event of a rapid rate of prepayment of the mortgage loans. FLAGSHIP CREDIT 2016-2: DBRS Confirms BB(high) Rating on Cl. D Debt ------------------------------------------------------------------- DBRS, Inc. confirmed the ratings of Flagship Credit Auto Trust 2016-2 (the Issuer) as follows: -- Series 2016-2, Class A-1 at AAA (sf) -- Series 2016-2, Class A-2 at AA (high) (sf) -- Series 2016-2, Class B at A (high) (sf) -- Series 2016-2, Class C at BBB (sf) -- Series 2016-2, Class D at BB (high) (sf) This rating action reflects the classes' credit enhancement levels, which are sufficient to cover DBRS's expected losses at their current respective rating levels. The Issuer's ratings are based on DBRS's review of the following analytical considerations: -- Transaction capital structure, proposed ratings and form and sufficiency of available credit enhancement. -- The transaction parties' capabilities with regard to origination, underwriting and servicing. -- Credit quality of the collateral pool and historical performance. The confirmation of the ratings of Flagship Credit Auto Trust 2016-2 reflects a reserve account of 2.58% and overcollateralization of 7.25%. As of the April 2017 payment date, the cumulative net loss ratio is 3.12% of the original collateral balance. FREDDIE MAC 2017-1: DBRS Finalizes B(sf) Ratings on Cl. M-2 Debt ---------------------------------------------------------------- DBRS, Inc. finalized the following provisional ratings on the Asset-Backed Securities, Series 2017-1 (the Certificates) issued by Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-1 (the Trust): -- $30.7 million Class M-1 at BB (high) (sf) -- $47.4 million Class M-2 at B (sf) The BB (high) (sf) and B (sf) ratings on the Certificates reflect 14.25% and 10.00% of credit enhancement, respectively, provided by subordinated Certificates in the pool. Other than the specified classes above, DBRS does not rate any other classes in this transaction. This transaction is a securitization of a portfolio of seasoned re-performing first-lien residential mortgages funded by the issuance of the Certificates, which are backed by approximately 4,361 loans with a total principal balance of $1,115,110,002 as of the Cut-Off Date (March 31, 2017). The mortgage loans were either purchased by Freddie Mac from securitized Freddie Mac Participation Certificates or retained by Freddie Mac in whole-loan form since their acquisition. The loans are currently held in Freddie Mac's retained portfolio and will be deposited into the Trust on the Closing Date. The portfolio contains 100% modified loans. Each mortgage loan was modified under either GSE HAMP or GSE non-HAMP modification programs. Within the pool, 3,986 mortgages have forborne principal amounts as a result of modification, which equates to 22.3% of the total principal balance as of the Cut-Off Date. For 96.3% of the modified loans, the modifications happened more than two years ago. The loans are approximately 121 months seasoned and all are current as of the Cut-Off Date. Under the Mortgage Bankers Association delinquency methods, 92.1% of the mortgage loans have been zero times 30 days delinquent for at least the past 24 months. None of the loans are subject to the Consumer Financial Protection Bureau's Qualified Mortgage rules. The mortgage loans will be serviced by Select Portfolio Servicing, Inc. There will not be any advancing of delinquent principal or interest on any mortgages by the servicer; however, the servicer is obligated to advance to third parties any amounts necessary for the preservation of mortgaged properties or real estate owned properties acquired by the Trust through foreclosure or a loss mitigation process. Freddie Mac will serve as the Sponsor and Trustee of the Trust. Wilmington Trust, National Association will serve as Trust Agent. Bank of New York Mellon Trust Company, N.A. will serve as the Custodian for the Trust. U.S. Bank National Association will serve as the Securities Administrator for the Trust and will act as paying agent, registrar, transfer agent and authenticating agent. Freddie Mac will make certain representations and warranties (R&W) with respect to the mortgage loans. It will be the only party from which the Trust may seek indemnification (or, in certain cases, a repurchase) as a result of a breach of R&Ws. If a breach review trigger occurs, the Trust Agent, Wilmington Trust, will be responsible for the enforcement of R&Ws. The warranty period will only be extended through May 2, 2020 (approximately three years from the Closing Date), for substantially all R&Ws other than the REMIC R&W. The mortgage loans will be divided into two loan groups: the Group M loans, which were subject to fixed-rate modifications, and Group H loans, which were subject to step-rate modifications. Principal and interest (P&I) on the Group M and Group H senior certificates (the Guaranteed Certificates) will be guaranteed by Freddie Mac. The Guaranteed Certificates will be backed by collateral from each group, respectively. The remaining Certificates, including the subordinate, interest-only, mortgage insurance and residual Certificates, will be cross-collateralized between the two groups. This is generally known as a Y-Structure. The transaction employs a sequential-pay cash flow structure. Certain principal proceeds can be used to cover interest shortfalls on the rated Class M-1 and Class M-2 Certificates. Senior classes benefit from guaranteed P&I payments by the Guarantor Freddie Mac; however, such guaranteed amounts, if paid, will be reimbursed to Freddie Mac from the interest and principal collections prior to any allocation to the subordinate certificates. The senior principal distribution amounts vary subject to the satisfaction of a series of step-down tests. Realized losses are allocated reverse sequentially. The ratings reflect transactional strengths that include underlying assets that generally performed well through the crisis (92.1% of the pool has remained consistently current in the past 24 months), good credit quality relative to other re-performing pools reviewed by DBRS and a strong servicer. Additionally, a third-party due diligence review, albeit on less than 100% of the portfolio, was performed on a sample that generally meets or exceeds DBRS's criteria. The due diligence results and findings on the sampled loans were satisfactory. Although improved from SCRT 2016-1, the transaction employs a relatively weak R&W framework that includes a 36-month sunset (as opposed to 12 months in SCRT 2016-1) without an R&W reserve account, substantial knowledge qualifiers (with claw back) and fewer mortgage loan representations relative to DBRS criteria for seasoned pools. DBRS increased loss expectations from the model results to capture the weaknesses in the R&W framework. Other mitigating factors include (1) significant loan seasoning and very clean performance history in the past three years, (2) stringent and automatic breach review triggers, (3) Freddie Mac as the R&W provider and (4) satisfactory third-party due diligence review. 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 rated Certificates, and subordination levels are greater than expected losses, which may provide for interest payments to the rated Certificates. The DBRS ratings 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. FREMF 2013-KF02: Moody's Affirms Ba3(sf) Rating on Cl. X Certs -------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on three CMBS classes and affirmed the ratings on two CMBS classes in FREMF 2013-KF02 Mortgage Trust, Multifamily Mortgage Pass-Through Certificates Series 2013-KF02 as follows: Cl. A-1, Affirmed Aaa (sf); previously on Jun 24, 2016 Affirmed Aaa (sf) Cl. A-2, Upgraded to Aaa (sf); previously on Jun 24, 2016 Affirmed Aa2 (sf) Cl. A-3, Upgraded to Aa3 (sf); previously on Jun 24, 2016 Affirmed A2 (sf) Cl. B, Upgraded to Baa1 (sf); previously on Jun 24, 2016 Affirmed Baa3 (sf) Cl. X, Affirmed Ba3 (sf); previously on Jun 24, 2016 Affirmed Ba3 (sf) The ratings on two classes were upgraded and the ratings on two classes were affirmed for Freddie Mac Structured Pass-Through Certificates (SPCs)**, Series K-F02 as follows: Cl. A-1, Affirmed Aaa (sf); previously on Jun 24, 2016 Affirmed Aaa (sf) Cl. A-2, Upgraded to Aaa (sf); previously on Jun 24, 2016 Affirmed Aa2 (sf) Cl. A-3, Upgraded to Aa3 (sf); previously on Jun 24, 2016 Affirmed A2 (sf) Cl. X, Affirmed Ba3 (sf); previously on Jun 24, 2016 Affirmed Ba3 (sf) **Each of the SPC Classes represents a pass-through interest in its associated underlying CMBS Class. SPC Class A-1 represents a pass-through interest in underlying CMBS Class A-1, SPC Class A-2 represents a pass-through interest in underlying CMBS A-2, SPC Class A-3 represents a pass-through interest in underlying CMBS Class A-3, and SPC Class X represents a pass-through interest in underlying CMBS Class X. RATINGS RATIONALE The ratings on three P&I classes were upgraded based primarily on an increase in credit support resulting from loan paydowns and amortization. The deal has paid down 61% since Moody's last review and 91% since securitization. The rating on Class A-1 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 IO class, Class X, was affirmed based on the credit performance (or the weighted average rating factor or WARF) of its referenced classes. The ratings on two SPC classes were upgraded and the ratings on two SPC classes were affirmed based on the ratings of their underlying CMBS classes. Moody's rating action reflects a base expected loss of 2.9% of the current balance, compared to 4.2% at Moody's last review. Moody's base expected loss plus realized losses is now 0.3% of the original pooled balance, compared to 1.0% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in October 2015. The methodology used in rating four Structured Pass-through Certificates (SPCs) was "Moody's Approach to Rating Repackaged Securities" published in June 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 FREMF 2013-KF02 and FHMS KF02. 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 four, compared to a Herf of 11 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 April 25, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 91% to $139 million from $1.54 billion at securitization. The certificates are collateralized by six remaining mortgage loans. The deal was structured as initially having a pro rata payment priority, however, the Waterfall Trigger Event has occurred and principal proceeds are now distributed in sequential order. One loan, constituting 18% 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. Moody's received full year 2015 and full or partial year 2016 operating results for 100% of the pool. Moody's weighted average conduit LTV is 109%, compared to 102% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 14% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 8%. Moody's actual and stressed conduit DSCRs are 1.35X and 0.85X, respectively, compared to 1.71X and 0.94X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The top three loans represent 81% of the pool balance. The largest loan is the 597 Westport Loan ($63.4 million -- 45.6% of the pool), which is secured by a 235-unit Class-A multifamily complex located in Norwalk, Connecticut. The property was 96% leased as of December 2016, compared to 94% leased as of December 2015 and 97% at securitization. Property performance has improved since securitization due to an increase in average rental rates at the property. Moody's LTV and stressed DSCR are 107% and 0.83X, respectively, compared to 109% and 0.81X at the last review. The second largest loan is the Preserve at Palm Aire Loan ($25.1 million -- 18.1% of the pool), which is secured by a senior housing complex located in Pompano Beach, Florida. The property has been operating with low occupancy and high operating expenses due to renovations at the property in 2015 and 2016. The renovations have increased the number of beds from 299 to 315. Property performance suffered during the renovations due to high operating expenses and low occupancy. As a result, this loan is on the master servicer's watchlist and Moody's has identified this as a troubled loan. The third largest loan is the Century Parkside Apartments Loan ($23.8 million -- 17.1% of the pool), which is secured by a garden-style multifamily property located 5 miles south of the Charlotte, NC central business district. The property was 95% leased as of June 2016, up from 92% as of December 2014. Moody's LTV and stressed DSCR are 112% and 0.84X, respectively, compared to 115% and 0.82X at the last review. HOME CAPITAL: DBRS Lowers Senior Debt Rating to CCC --------------------------------------------------- DBRS Limited downgraded Home Capital Group Inc.'s (HCG or the Group) Senior Debt rating to CCC from BB and its Short-Term Instruments rating to R-5 from R-4. Additionally, DBRS has downgraded the ratings of Home Trust Company (HTC or the Trust Company), HCG's primary operating subsidiary, including the Issuer Rating as well as the Deposit and Senior Debt rating to B from BB (high). DBRS has also downgraded the Trust Company's Short-Term Instruments rating to R-5 from R-4. All ratings remain Under Review with Negative Implications. DBRS has also lowered HTC's Intrinsic Assessment to B from BB (high).The Support Assessment for HTC remains SA3, which implies no expected systemic support for the Trust Company. These rating actions reflect DBRS's concern over recent events, including HCG's announcement yesterday that it has postponed the release of its Q1 2017 earnings from May 2, 2017 to after market close on May 11, 2017. DBRS considers this delay in announcing results as a negative, especially given that the initial Ontario Securities Commission's (OSC) hearing regarding the Statement of Allegations made against three former members of HCG's senior management is scheduled for May 4, 2017. These events are likely to continue to draw unfavourable attention to the Group. Furthermore, in DBRS's opinion HTC has not demonstrated an ability to stabilize its funding and liquidity, as accelerated withdrawals of on-demand High Interest Savings Account (HISA) deposits continue. The Group announced that HISA balances had fallen to $391 million as of May 1, 2017, down from $1.4 billion as recently as April 24, 2017. Showing more stability, Guaranteed Investment Certificate (GIC) deposits stood at $12.86 billion as of April 28, 2017, down from $13.0 billion as of April 24, 2017. DBRS views GICs as more stable since the majority of these deposits are reportedly fixed and non-redeemable ahead of their maturity date. DBRS notes that there currently is no traded debt at the holding company, since HCG's $150 million debentures matured in May 2016. In addition, DBRS considers the recent decline in share price would make it very difficult for HCG to raise additional capital or issue debt. The review will focus on the ongoing viability of HCG. One consideration is HTC's ability to stabilize liquidity and funding at a reasonable cost. Another consideration is its ability to hire key senior management. The review will also consider the adverse impact of recent developments on the Group's franchise strength, including its ability to maintain broker relationships for both mortgage originations and funding. RATING DRIVERS Ratings could be lowered, if HCG is unable to stem deposit outflows and obtain funding at a reasonable cost. In addition, any significant negative consequences of the OSC hearing could also impact the ratings. Conversely, the ratings could revert to Stable, if HCG is able to stabilize its funding and liquidity profiles, while demonstrating a clear path to sustainable profitability. JP MORGAN 2003-CIBC7: Moody's Hikes Class H Debt Rating to B3(sf) ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on three classes, affirmed the ratings on three classes and downgraded the rating on one class in J.P. Morgan Chase Commercial Mortgage Securities Corp. Series 2003-CIBC7, Commercial Pass-Through Certificates, Series 2003-CIBC7 as follows: Cl. D, Affirmed Aaa (sf); previously on Jun 23, 2016 Affirmed Aaa (sf) Cl. E, Affirmed Aaa (sf); previously on Jun 23, 2016 Upgraded to Aaa (sf) Cl. F, Upgraded to Aa1 (sf); previously on Jun 23, 2016 Upgraded to Aa3 (sf) Cl. G, Upgraded to A2 (sf); previously on Jun 23, 2016 Upgraded to Baa1 (sf) Cl. H, Upgraded to B3 (sf); previously on Jun 23, 2016 Upgraded to Caa1 (sf) Cl. J, Affirmed C (sf); previously on Jun 23, 2016 Affirmed C (sf) Cl. X-1, Downgraded to Caa2 (sf); previously on Jun 23, 2016 Affirmed Caa1 (sf) RATINGS RATIONALE The ratings on Classes F, G and H were upgraded based primarily on an increase in credit support resulting from loan paydowns and amortization. The deal has paid down 19% since Moody's last review. The ratings on Classes D and E were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The rating on Class J was affirmed because the ratings are consistent with Moody's expected loss and realized losses. Class J has already experienced a 58% realized loss as result of previously liquidated loans. The rating on the IO Class (Class X-1) was downgraded due to the decline in the credit performance of its reference classes resulting from principal paydowns of higher quality reference classes. Moody's rating action reflects a base expected loss of 0.5% of the current balance, compared to 0.4% at Moody's last review. Moody's base expected loss plus realized losses is now 3.9% of the original pooled balance, the same as at last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The methodologies used in these ratings were "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 in J.P. Morgan Chase Commercial Mortgage Securities Corp. Series 2003-CIBC7. DESCRIPTION OF MODELS USED Moody's review used the excel-based CMBS Conduit Model, which it uses for both conduit and fusion transactions. Credit enhancement levels for conduit loans are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate Moody's uses to estimate Moody's value). Moody's fuses the conduit results with the results of its analysis of investment grade structured credit assessed loans and any conduit loan that represents 10% or greater of the current pool balance. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 11, compared to 10 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 May 12, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 95% to $75 million from $1.4 billion at securitization. The certificates are collateralized by 38 mortgage loans ranging in size from less than 1% to 16% of the pool. Five cross-collateralized loans, constituting 16% of the pool, have investment-grade structured credit assessments. Nine loans, constituting 31% of the pool, have defeased and are secured by US government securities. Two loans, constituting 3% 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-four loans have been liquidated from the pool, resulting in an aggregate realized loss of $53.3 million (for an average loss severity of 46%). There are currently no loans in special servicing. Moody's received full year 2015 operating results for 99% of the pool, and full year 2016 operating results for 92% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 34%, compared to 41% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 14% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.6%. Moody's actual and stressed conduit DSCRs are 1.53X and 4.32X, respectively, compared to 1.45X and 3.41X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The exposure with a structured credit assessment is the Brown Noltemeyer Apartments Portfolio ($12.2 million -- 16% of the pool), which is a portfolio of five cross-collateralized loans secured by eight multifamily properties located in Louisville, Kentucky. As of December 2015, the weighted average occupancy of the portfolio was approximately 93%, compared to 92% at last review. The loans are fully amortizing and have amortized 71% since securitization. The loan matures in November 2020 and Moody's structured credit assessment and stressed DSCR are aaa (sca.pd) and greater than 4.00X, respectively. The top three conduit loans represent 17% of the pool balance. The largest loan is the Crestpointe Corporate Center II Loan ($6.1 million -- 8% of the pool), which is secured by an approximately 122,000 SF office property located in Columbia, Maryland. The property was 100% leased as of November 2016, the same as at Moody's prior review. The loan is fully amortizing and has amortized 53% since securitization. The loan matures in October 2023 and Moody's LTV and stressed DSCR are 46% and 2.25X, respectively, compared to 51% and 2.03X at the prior review. The second largest loan is the Grande Communications Portfolio Loan ($3.7 million -- 5% of the pool), which is secured by a portfolio of four office properties located throughout Texas. The four properties are fully leased to Grande Communications. Due to the single tenant exposure, Moody's value incorporated a lit/dark analysis. The loan is fully amortizing, has amortized 51% since securitization and matures in September 2023. Moody's LTV and stressed DSCR are 26% and greater than 4.00X, respectively. The third largest loan is the Hopkins Emporia Loan ($3.2 million -- 4% of the pool), which is secured by a 321,000 SF industrial property in Emporia, Kansas. The property serves as the headquarters for Hopkins Manufacturing Corporation and includes warehouse and production space on 16.6 acres. Hopkins Manufacturing's lease ends in December 2020, and the loan matures in September 2023. Due to the single tenant exposure, Moody's value incorporated a lit/dark analysis. The loan is fully amortizing, has amortized 53% since securitization and matures in September 2023. Moody's LTV and stressed DSCR are 27% and 3.81X, respectively, compared to 28% and 3.71X at the last review. JP MORGAN 2005-LDP2: Fitch Affirms Bsf Rating on Class E Certs -------------------------------------------------------------- Fitch Ratings has affirmed 13 classes of J.P. Morgan Chase Commercial Mortgage Securities Corp.'s commercial mortgage pass-through certificates series 2005-LDP2 (JPMCC 2005-LDP2). KEY RATING DRIVERS Pool Concentration: The transaction is highly concentrated with 23 loans remaining of the original 295. The top 15 loans represent 93.7% of the pool. High Fitch Percentage of Loans of Concern: Fitch's loans of concern total 44.2% of the pool and include the largest loan (19.9%), which is collateralized by two vacant office properties and five other loans (20%) in the top 15. There is one loan in special servicing (3.7%). The largest loan is collateralized by two office properties (187,799 sf) located in Reston, VA. The loan previously transferred to the special servicer in January 2013 due to imminent default as each property lost its sole tenant in 2010 and 2012. The loan was modified in December 2014 and was returned to the master servicer in February 2015. The loan modification extended the maturity date to December 2017 from April 2015 and bifurcated the loan into a $24.2 million A and $4.8 million B note. The properties remain vacant, resulting in negative cash flow for the last several years. However, the loan remains current. Property Type Concentration: Retail properties represent 44.5% of the pool. Maturity Concentration: Maturities total $43.2 million in 2017, $16.9 million in 2018, $52.3 million in 2020, $906,000 in 2022 and $8 million in 2025. With respect to 2017 maturities, $38.6 million is secured by vacant collateral with negative cash flow and the remaining $4.5 million is specially serviced. RATING SENSITIVITIES The Stable Outlooks on classes D and E reflect increasing credit enhancement and expected continued paydown. Fitch's analysis included a sensitivity analysis whereby additional stresses were applied to Fitch loans of concern, including the one specially serviced loan and five loans within the top 15 (30% of the pool) including the largest loan (19.9% of the pool). This limited the potential for upgrades on class D and F. Ratings for class E were capped at 'B' due to the pool's retail and maturity concentration. Upgrades are possible in the future with the potential for paydown in 2018, when $16.9 million in loans mature. Downgrades are possible if expected losses increase. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third-party due diligence was provided or reviewed in relation to this rating action. Fitch has affirmed the following ratings: -- $23.4 million class D at 'BBBsf'; Outlook Stable; -- $26.1 million class E at 'Bsf'; Outlook Stable; -- $29.8 million class F at 'CCsf'; RE 0%; -- $26.1 million class G at 'CCsf'; RE 0%; -- $15.9 million class H at 'Dsf'; RE 0%; -- $0 class J at 'Dsf'; RE 0%; -- $0 class K at 'Dsf'; RE 0%; -- $0 class L at 'Dsf'; RE 0%; -- $0 class M at 'Dsf'; RE 0%; -- $0 class N at 'Dsf'; RE 0%; -- $0 class O at 'Dsf'; RE 0%; -- $0 class P at 'Dsf'; RE 0%; -- $0 class Q at 'Dsf'; RE 0%. Classes A-1 through C were paid in full. Fitch does not rate the class NR certificates. Fitch previously withdrew the ratings on the interest-only class X-1 and X-2 certificates. JP MORGAN 2017-JP6: Fitch to Rate $7.8MM Class G-RR Certs 'B-sf' ---------------------------------------------------------------- Fitch Ratings has issued a presale report on J.P. Morgan Chase Commercial Mortgage Securities Trust 2017-JP6 commercial mortgage pass-through certificates. Fitch expects to rate the transaction and assign Rating Outlooks as follows: -- $26,228,000 class A-1 'AAAsf'; Outlook Stable; -- $123,971,000 class A-2 'AAAsf'; Outlook Stable; -- $86,731,000 class A-3 'AAAsf'; Outlook Stable; -- $80,000,000 class A-4 'AAAsf'; Outlook Stable; -- $200,074,000 class A-5 'AAAsf'; Outlook Stable; -- $33,632,000 class A-SB 'AAAsf'; Outlook Stable; -- $627,331,000b class X-A 'AAAsf'; Outlook Stable; -- $68,830,000b class X-B 'A-sf'; Outlook Stable; -- $76,695,000 class A-S 'AAAsf'; Outlook Stable; -- $34,415,000 class B 'AA-sf'; Outlook Stable; -- $34,415,000 class C 'A-sf'; Outlook Stable; -- $9,832,000a class D 'BBB+sf'; Outlook Stable; -- $29,499,000ac class E-RR 'BBB-sf'; Outlook Stable; -- $16,715,000ac class F-RR 'BB-sf'; Outlook Stable; -- $7,867,000ac class G-RR 'B-sf'; Outlook Stable. The following classes are not expected to be rated: -- $26,548,166ac 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 42 loans secured by 72 commercial properties having an aggregate principal balance of $786,622,167 as of the cut-off date. The loans were contributed to the trust by JP Morgan Chase Bank, National Association, Benefit Street Partners CRE Finance LLC and Starwood Mortgage Funding VI LLC. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 81.1% of the properties by balance, cash flow analysis of 85.1%, and asset summary reviews on 100% of the pool. KEY RATING DRIVERS Lower Leverage Than Recent Transactions: The Fitch leverage for this transaction is better than other recent Fitch-rated transactions. The pool's weighted average (WA) Fitch debt service coverage ratio (DSCR) of 1.21x is in line with than both the year-to-date (YTD) 2017 average of 1.22x and the 2016 average of 1.21x. The pool's WA Fitch loan to value (LTV) of 99.5% is lower than both the YTD 2017 average of 104.7% and the 2016 average of 105.2%. The lower WA Fitch LTV is due in part to two credit opinion loans in the pool. When excluding these loans, the WA Fitch LTV increases to 104.4%. High Percentage of Credit Opinion Loans: Two loans representing 15% of the pool have investment-grade credit opinions. The largest loan in the pool, 245 Park Avenue (12.46%), has a credit opinion of 'BBB-*' on a stand-alone basis and the 15th largest loan, Moffett Gateway (2.54%), has a credit opinion of 'BBB-*' on a stand-alone basis. High Pool Concentration: The largest 10 loans comprise 52.47% of the pool, which is in line with the average top-10 concentration of 53.2% for YTD 2017 and 54.8% for 2016. Of note, the largest loan representing 12.46% of the pool is materially higher than the average largest loan of 7.9% for YTD 2017 and 8.9% for 2016. RATING SENSITIVITIES For this transaction, Fitch's net cash flow (NCF) was 6.3% 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 JPMCC 2017-JP6 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. JPMBB 2014-C22: Moody's Ups Rating on Class UHP Certs. to Ba2 ------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on six classes and upgraded the rating on one class in JPMBB Commercial Mortgage Securities Trust 2014-C22 as follows: Cl. A-1, Affirmed Aaa (sf); previously on Jun 9, 2016 Affirmed Aaa (sf) Cl. A-2, Affirmed Aaa (sf); previously on Jun 9, 2016 Affirmed Aaa (sf) Cl. A-3A1, Affirmed Aaa (sf); previously on Jun 9, 2016 Affirmed Aaa (sf) Cl. A-3A2, Affirmed Aaa (sf); previously on Jun 9, 2016 Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Jun 9, 2016 Affirmed Aaa (sf) Cl. A-SB, Affirmed Aaa (sf); previously on Jun 9, 2016 Affirmed Aaa (sf) Cl. UHP, Upgraded to Ba2 (sf); previously on Jun 9, 2016 Affirmed Ba3 (sf) RATINGS RATIONALE The ratings on six 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 one non-pooled rake class, Class UHP, was upgraded due to the improved LTV metrics based on loan amortization of the underlying collateral: the U-Haul Self-Storage Portfolio. Moody's rating action reflects a base expected loss of 4.0% of the current pooled balance, compared to 4.1% at Moody's last review. Moody's base expected loss plus realized losses is now 3.9% of the original pooled balance, compared to 4.1% 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. 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 30, compared to 31 at Moody's last review. DEAL PERFORMANCE As of the April 17, 2017 distribution date, the transaction's aggregate pooled certificate balance has decreased by 2% to $1.097 billion from $1.120 billion at securitization. The certificates are collateralized by 76 mortgage loans ranging in size from less than 1% to 8% of the pool, with the top ten loans (excluding defeasance) constituting 48% of the pool. Two loans, constituting less than 1% of the pool, have defeased and are secured by US government securities. One loan, the U-Haul Self Storage Portfolio, has additional debt that is structured as a non-pooled single-class rake existing inside of the trust in the amount of $15.099 million. Nine 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. No loans have been liquidated from the pool and there are currently no loans in special servicing. Moody's has assumed a high default probability for one poorly performing loan. Moody's received full year 2015 operating results for 100% of the pool, and full or partial year 2016 operating results for 99% of the pool (excluding specially serviced and defeased loans). Moody's weighted average pooled conduit LTV is 113%, compared to 114% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 18% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.9%. Moody's actual and stressed pooled conduit DSCRs are 1.46X and 0.96X, respectively, compared to 1.45X and 0.95X 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 22% of the pool balance. The largest loan is the Queens Atrium Loan ($90.0 million -- 8.2% of the pool), which represents a pari-passu interest in a $180 million mortgage loan. The loan is secured by two office properties in Long Island City, New York containing 1.0 million square feet (SF). The two buildings were 100% leased as of September 2016, of which 99% was leased by New York City agencies. The property benefits from three tax abatements that will fully expire in 2033. The loan is pari passu with WFRBS 2014-C21. Moody's LTV and stressed DSCR are 117% and 0.86X, respectively, the same as at Moody's last review. The second largest loan is the One Met Center Loan ($76.1 million -- 6.9% of the pool), which is secured by a 15-story, Class A office property located in East Rutherford, New Jersey. The property was built in 1986, and is located across from MetLife Stadium. As of March 2017, the property was 98% leased, compared to 100% leased as of December 2016. Moody's LTV and stressed DSCR are 116% and 0.88X, respectively, compared to 113% and 0.91X at Moody's last review. The third largest loan is the Las Catalinas Mall Loan ($75.0 million -- 6.8% of the pool), which represents a pari-passu interest in a $130 million loan. The loan is secured by a 355,385 SF component of a 494,071 SF enclosed regional mall located in Caguas, Puerto Rico. The mall was built in 1997 and is anchored by Sears and Kmart, however, only Kmart is contributed as collateral for the loan. As of December 2016, the collateral was 94% occupied, compared to 93% in December 2015. Moody's LTV and stressed DSCR are 98% and 1.05X, respectively, compared to 95% and 1.05X at Moody's last review. LEAF RECEIVABLES: DBRS Confirms 15 Ratings From 2 ABS Deals ----------------------------------------------------------- DBRS, Inc. confirmed 15 ratings from two U.S. structured finance asset-backed securities transactions: LEAF Receivables Funding 10, LLC - Equipment Contract Backed Notes, Series 2015-1 and LEAF Receivables Funding 11, LLC - Equipment Contract Backed Notes, Series 2016-1. Of the 15 outstanding publicly rated classes reviewed, nine were confirmed and six were upgraded. For the confirmed ratings, performance trends are such that credit enhancement levels are sufficient to cover DBRS's expected losses at the classes' current respective rating levels. For the upgraded ratings, performance trends are such that credit enhancement levels are sufficient to cover DBRS's expected losses at the classes' new respective rating levels. The ratings are based on DBRS's review of the following analytical considerations: -- Transaction capital structure, proposed ratings and form and sufficiency of available credit enhancement. -- The transaction parties' capabilities with regard to origination, underwriting and servicing. -- Credit quality of the collateral pool and historical performance. A full text copy of the ratings is available free at: https://is.gd/dG44YN MORGAN STANLEY 2001-TOP3: Moody's Affirms Ca Rating on Cl. F Certs ------------------------------------------------------------------ Moody's Investors Service has affirmed the ratings on three classes in Morgan Stanley Dean Witter Capital I Inc., Commercial Mortgage Pass-Through Certificates, Series 2001-TOP3 as follows: Cl. E, Affirmed Baa1 (sf); previously on Jun 23, 2016 Upgraded to Baa1 (sf) Cl. F, Affirmed Ca (sf); previously on Jun 23, 2016 Affirmed Ca (sf) Cl. X-1, Affirmed Caa3 (sf); previously on Jun 23, 2016 Affirmed Caa3 (sf) RATINGS RATIONALE The rating on Class E was affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The rating on Class F was affirmed because the rating is consistent with Moody's expected loss plus realized losses. Class F has already experienced a 39% realized loss as result of previously liquidated loans. The rating on the IO class, Class X-1, was affirmed based on the credit performance (or the weighted average rating factor or WARF) of its referenced classes. Moody's rating action reflects a base expected loss of 2.5% of the current balance, compared to 0.2% at Moody's last review. Moody's base expected loss plus realized losses is now 5.6% of the original pooled balance, the same as at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The methodologies used in these ratings were "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in December 2014, and "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in October 2015. Additionally, the methodology used in rating Cl. X-1 was "Moody's Approach to Rating Structured Finance Interest-Only Securities" 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 MSDWC 2001-TOP3. DESCRIPTION OF MODELS USED Moody's review used the excel-based CMBS Conduit Model, which it uses for both conduit and fusion transactions. Credit enhancement levels for conduit loans are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate Moody's uses to estimate Moody's value). Moody's fuses the conduit results with the results of its analysis of investment grade structured credit assessed loans and any conduit loan that represents 10% or greater of the current pool balance. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 5, compared to 6 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 May 15, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 98% to $20 million from $1.03 billion at securitization. The certificates are collateralized by ten mortgage loans ranging in size from less than 1% to 25% of the pool. Two loans, constituting 11% of the pool, have defeased and are secured by US government securities. There are currently no loans on the watchlist nor in special servicing. Twenty-six loans have been liquidated from the pool, resulting in an aggregate realized loss of $57 million (for an average loss severity of 38%). Moody's received full year 2015 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 74%, compared to 60% 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 38% 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 1.20X and 3.12X, respectively, compared to 1.31X and 3.27X 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 65% of the pool balance. The largest loan is the former A & P (Waldbaums) Belle Harbor Loan ($5.1 million -- 25.4% of the pool), which is secured by a 57,000 square foot (SF) retail property in Belle Harbor, New York. The property was originally 100% leased to Waldbaum's through May 2021. However, the company's parent company, Atlantic & Pacific Tea Company Inc. (A&P), filed for bankruptcy in July 2015 and announced it would be closing this location as part of its bankruptcy. Stop & Shop has since taken over the lease. Due to the single tenant risk, Moody's valuation reflects a lit/dark analysis. Moody's LTV and stressed DSCR are 71% and 1.49X, respectively. The second largest loan is the Marsh's Supermarket Store Loan ($4.8 million -- 23.8% of the pool), which is secured by a 57,000 SF retail property in Indianapolis, Indiana. The property is 100% leased to Marsh Supermarket through February 2021. Due to the single tenant risk, Moody's valuation reflects a lit/dark analysis. Moody's LTV and stressed DSCR are 89% and 1.18X, respectively. The third largest loan is the former Kash N' Karry Grocery Store Loan ($3.1 million -- 15.8% of the pool), which is secured by a 48,000 SF grocery store built in 2000 and located in Tampa, Florida. The property is 100% leased to Kash N. Karry Grocery Store (later re-branded as Sweetbay Supermarket) through September 2020, however, the tenant vacated this location in February 2013. The former tenant continues to pay rent, but the property remains vacant. Due to vacancy, Moody's valuation reflects a dark analysis. Moody's LTV and stressed DSCR are 142% and 0.74X, respectively. N-STAR REL VI: Fitch Affirms 'CCsf' Rating on Class K Debt ---------------------------------------------------------- Fitch Ratings has upgraded two, downgraded two and affirmed four classes of N-Star REL CDO VI, Ltd./LLC (N-Star VI). Fitch's performance expectation incorporates prospective views regarding commercial real estate (CRE) market value and cash flow declines. KEY RATING DRIVERS The upgrades to classes C and D reflect increased credit enhancement as a result of amortization, asset payoffs and better recoveries than previously expected on assets disposed since Fitch's last rating action. As of the April 2017 trustee report and since the last rating action, principal paydowns of $105.9 million (41% of the collateral balance at the last rating action) repaid in full classes A-1, A-R, A-2, B and a portion of class C. Realized losses totaled $11.7 million over the same period. The downgrades to classes H and J reflect an increase in loss expectations for the collateral pool, as well as a greater certainty of loss due to pool concentration and adverse selection concerns. Fitch's base case loss expectation has increased to 83% of the current collateral balance, compared to 55% of the collateral balance at the last rating action. The collateralized debt obligation (CDO) is more concentrated with only 11 assets remaining, compared to 17 at the last rating action. As a result of this concentration and additional loans being classified as Fitch Loans of Concern (FLOCs), the combined percentage of defaulted loans and FLOCs has increased to 71.2% of the current collateral balance, from 36.7% of the collateral balance at the last rating action. Defaulted loans currently comprise 26.7% and FLOCs comprise 44.5%. N-Star VI is collateralized by commercial real estate loans (CREL; 71.3% of current collateral pool), CRE CDOs (16.3%), commercial mortgage-backed securities (CMBS; 8.6%) and principal cash (3.8%). Fitch modeled significant to full losses on the CREL assets, which consist of two highly leveraged mezzanine loans (23%) on an interest in a Las Vegas, NV hotel property and an interest in a portfolio of limited-service hotels across the U.S.; one highly leverage preferred equity loan (21.5%) on a multifamily property in Ventura, CA; a defaulted A note (17.1%) secured by undeveloped land in the Poconos Mountains where the lender is pursuing foreclosure; and a defaulted B note (9.6%) secured by a leasehold interest on an office property in Cincinnati, OH. The weighted average Fitch-derived rating for the non-CREL assets was 'BB-'. This transaction was analyzed according to the 'Surveillance Criteria for U.S. CREL CDOs', which applies stresses to property cash flows and debt service coverage ratio tests to project future default levels for the underlying portfolio. Recoveries are based on stressed cash flows and Fitch's long-term capitalization rates. The default levels were then compared to the breakeven levels generated by Fitch's cash flow model of the CDO under the various default timing and interest rate stress scenarios, as described in the report 'Global Surveillance Criteria for Structured Finance CDOs'. The breakeven rates for classes C and D are generally consistent with the ratings assigned. Due to the pool concentration, Fitch complemented its analysis with a look-through analysis of the remaining assets. Class C is covered by principal cash and non-CREL assets rated 'BBBsf'. The distressed ratings for classes E through K are based upon a deterministic analysis that considers Fitch's base case loss expectation for the pool and the current percentage of defaulted assets and assets of concern, factoring in anticipated recoveries relative to each class' credit enhancement. As of the April 2017 trustee report, all overcollateralization tests were passing. The class C/D interest coverage (IC) test passed, but the class E/F/G IC test failed. The class D, E, F, G, H, J and K notes capitalized their missed interest at the most recent March 2017 quarterly payment date. N-Star VI was initially issued as a $450 million CRE CDO, with a five-year reinvestment period that ended in June 2011 during which principal proceeds may be used to invest in substitute collateral. In November 2009, $8 million in notes were surrendered to the trustee for cancellation. The CRE CDO is managed by NS Advisors, LLC, which was previously a wholly-owned subsidiary of NorthStar Realty Finance Corp. (NRF). In January 2017, NRF, along with Northstar Asset Management, merged with Colony Capital, Inc. to form Colony Northstar Inc. RATING SENSITIVITIES The Stable Rating Outlook on classes C and D reflects their high credit enhancement relative to Fitch's modeled loss expectations and expected continued paydowns. Further upgrades may be limited due to the increasing pool concentrations. The distressed classes E through K may be subject to downgrade should loan performance decline and/or further losses be realized. DUE DILIGENCE USAGE No third party due diligence was provided or reviewed in relation to this rating action. Fitch has upgraded and assigned Rating Outlooks to the following classes: -- $10.5 million class C to 'BBBsf' from 'CCCsf'; Outlook Stable assigned; -- $10 million class D to 'Bsf' from 'CCCsf'; Outlook Stable assigned. Fitch has downgraded the following classes: -- $6.3 million class H to 'CCsf' from 'CCCsf'; RE 0%; -- $18.9 million class J to 'CCsf' from 'CCCsf'; RE 0%. In addition, Fitch has affirmed the following classes: -- $10.2 million class E at 'CCCsf'; RE 15%; -- $7.7 million class F at 'CCCsf'; RE 0%; -- $7 million class G at 'CCCsf'; RE 0%; -- $14.9 million class K at 'CCsf'; RE 0%. The class A-1, A-R, A-2 and B notes were paid in full. Fitch does not rate the income notes. N-STAR REL VI: Fitch Corrects May 19 Release -------------------------------------------- Fitch Ratings issued a correction of a release on N-Star REL CDO VI, Ltd./LLC (N-Star VI) published on May 19, 2017. It corrects the rating actions being taken on classes J and K. The corrected release is as follows: Fitch Ratings has upgraded two, downgraded one and affirmed three classes of N-Star REL CDO VI, Ltd./LLC (N-Star VI). Fitch's performance expectation incorporates prospective views regarding commercial real estate (CRE) market value and cash flow declines. KEY RATING DRIVERS The upgrades to classes C and D reflect increased credit enhancement as a result of amortization, asset payoffs and better recoveries than previously expected on assets disposed since Fitch's last rating action. As of the April 2017 trustee report and since the last rating action, principal paydowns of $105.9 million (41% of the collateral balance at the last rating action) repaid in full classes A-1, A-R, A-2, B and a portion of class C. Realized losses totaled $11.7 million over the same period. The downgrade to class H reflects an increase in loss expectations for the collateral pool, as well as a greater certainty of loss due to pool concentration and adverse selection concerns. Fitch's base case loss expectation has increased to 83% of the current collateral balance, compared to 55% of the collateral balance at the last rating action. The collateralized debt obligation (CDO) is more concentrated with only 11 assets remaining, compared to 17 at the last rating action. As a result of this concentration and additional loans being classified as Fitch Loans of Concern (FLOCs), the combined percentage of defaulted loans and FLOCs has increased to 71.2% of the current collateral balance, from 36.7% of the collateral balance at the last rating action. Defaulted loans currently comprise 26.7% and FLOCs comprise 44.5%. N-Star VI is collateralized by commercial real estate loans (CREL; 71.3% of current collateral pool), CRE CDOs (16.3%), commercial mortgage-backed securities (CMBS; 8.6%) and principal cash (3.8%). Fitch modeled significant to full losses on the CREL assets, which consist of two highly leveraged mezzanine loans (23%) on an interest in a Las Vegas, NV hotel property and an interest in a portfolio of limited-service hotels across the U.S.; one highly leverage preferred equity loan (21.5%) on a multifamily property in Ventura, CA; a defaulted A note (17.1%) secured by undeveloped land in the Poconos Mountains where the lender is pursuing foreclosure; and a defaulted B note (9.6%) secured by a leasehold interest on an office property in Cincinnati, OH. The weighted average Fitch-derived rating for the non-CREL assets was 'BB-'. This transaction was analyzed according to the 'Surveillance Criteria for U.S. CREL CDOs', which applies stresses to property cash flows and debt service coverage ratio tests to project future default levels for the underlying portfolio. Recoveries are based on stressed cash flows and Fitch's long-term capitalization rates. The default levels were then compared to the breakeven levels generated by Fitch's cash flow model of the CDO under the various default timing and interest rate stress scenarios, as described in the report 'Global Surveillance Criteria for Structured Finance CDOs'. The breakeven rates for classes C and D are generally consistent with the ratings assigned. Due to the pool concentration, Fitch complemented its analysis with a look-through analysis of the remaining assets. Class C is covered by principal cash and non-CREL assets rated 'BBBsf'. The distressed ratings for classes E through K are based upon a deterministic analysis that considers Fitch's base case loss expectation for the pool and the current percentage of defaulted assets and assets of concern, factoring in anticipated recoveries relative to each class' credit enhancement. As of the April 2017 trustee report, all overcollateralization tests were passing. The class C/D interest coverage (IC) test passed, but the class E/F/G IC test failed. The class D, E, F, G, H, J and K notes capitalized their missed interest at the most recent March 2017 quarterly payment date. N-Star VI was initially issued as a $450 million CRE CDO, with a five-year reinvestment period that ended in June 2011 during which principal proceeds may be used to invest in substitute collateral. In November 2009, $8 million in notes were surrendered to the trustee for cancellation. The CRE CDO is managed by NS Advisors, LLC, which was previously a wholly-owned subsidiary of NorthStar Realty Finance Corp. (NRF). In January 2017, NRF, along with Northstar Asset Management, merged with Colony Capital, Inc. to form Colony Northstar Inc. RATING SENSITIVITIES The Stable Rating Outlook on classes C and D reflects their high credit enhancement relative to Fitch's modeled loss expectations and expected continued paydowns. Further upgrades may be limited due to the increasing pool concentrations. The distressed classes E through K may be subject to downgrade should loan performance decline and/or further losses be realized. DUE DILIGENCE USAGE No third party due diligence was provided or reviewed in relation to this rating action. Fitch has upgraded and assigned Rating Outlooks to the following classes: -- $10.5 million class C to 'BBBsf' from 'CCCsf'; Outlook Stable assigned; -- $10 million class D to 'Bsf' from 'CCCsf'; Outlook Stable assigned. Fitch has downgraded the following class: -- $6.3 million class H to 'CCsf' from 'CCCsf'; RE 0%. Fitch has affirmed the following classes: -- $10.2 million class E at 'CCCsf'; RE 15%; -- $7.7 million class F at 'CCCsf'; RE 0%; -- $7 million class G at 'CCCsf'; RE 0%. In addition, Fitch has published the following ratings: -- $18.9 million class J 'CCsf'; RE 0%. -- $14.9 million class K 'CCsf'; RE 0%. The class A-1, A-R, A-2 and B notes were paid in full. Fitch does not rate the income notes. N-STAR REL VIII: Fitch Affirms 'CCsf' Rating on Class N Debt ------------------------------------------------------------ Fitch Ratings has downgraded five and affirmed eight classes of N-Star REL CDO VIII, Ltd./LLC (N-Star VIII). KEY RATING DRIVERS The downgrades to classes F through K reflect an increase in loss expectations for the collateral pool, as well as a greater certainty of loss due to pool concentration and adverse selection concerns. The affirmation of the remaining classes reflects sufficient credit enhancement relative to Fitch-modeled loss expectations. As of the May 2017 trustee report and since the last rating action, principal paydowns of $137.3 million repaid in full classes A-1 and A-R and a portion of class A-2. Realized losses totaled $21.1 million over the same period. All overcollateralization and interest coverage tests are passing. Although credit enhancement has improved as a result of amortization, asset payoffs and better recoveries than previously expected on assets disposed since the last rating action, Fitch's base case loss expectation has increased to 76% of the current collateral balance, compared to 61.6% of the collateral balance at the last rating action. The collateralized debt obligation (CDO) has become more concentrated with only 17 assets remaining, compared to 29 at the last rating action. The combined percentage of defaulted loans and Fitch Loans of Concern (FLOCs) has increased to 76.2% of the current collateral balance, from 36.7% of the collateral balance at the last rating action. Defaulted loans currently comprise 6.3% and FLOCs comprise 69.9%. N-Star VIII is collateralized by commercial real estate loans (CREL; 91.9% of current collateral pool) and commercial real estate CDOs (CRE CDOs; 8.1%). Fitch modeled significant to full losses on the CREL assets, as the majority are subordinate debt positions and are concentrated amongst non-traditional and more volatile property types. As of the May 2017 trustee report and per Fitch categorizations, the CDO was substantially invested in the following CREL assets: preferred equity (42.8%), mezzanine debt (29.2%) and whole loans/A-notes (19.9%). Property type concentrations include hotel (35.4%), construction (23.1%), healthcare (15.8%) and undeveloped land (6.3%). The weighted average Fitch-derived rating for the non-CREL assets was 'CCC+/CCC'. This transaction's performance expectation was analyzed under the framework described in Fitch's 'Surveillance Criteria for U.S. CREL CDOs' which incorporates prospective views regarding CRE market value and cash flow declines for the underlying portfolio. Cash flow modeling was not performed, as it would not provide analytical value given that the remaining assets were modeled at a 100% default probability in all stresses. The rating assigned to class A-2 is capped at 'Bsf' due to pool concentrations and low credit quality of the remaining portfolio. The rating assigned to class B reflects the class' credit enhancement remaining generally in-line with the pool's loss expectations. The distressed ratings for classes C through N are based on a deterministic analysis that considers Fitch's base case loss expectation for the pool and the current percentage of defaulted assets and assets of concern, factoring in anticipated recoveries relative to each class' credit enhancement. N-Star VIII was initially issued as a $900 million CRE CDO, with a five-year reinvestment period that ended in February 2012 during which principal proceeds may be used to invest in substitute collateral. In November 2009, $31.1 million in notes were surrendered to the trustee for cancellation. The CRE CDO is managed by NS Advisors, LLC, which was previously a wholly-owned subsidiary of NorthStar Realty Finance Corp. (NRF). In January 2017, NRF, along with Northstar Asset Management, merged with Colony Capital, Inc. to form Colony Northstar Inc. RATING SENSITIVITIES The Stable Rating Outlook on class A-2 reflects the class' seniority, improved credit enhancement and expected continued paydowns. The Negative Rating Outlook on class B reflects the potential for future downgrades given limited cushion in Fitch's modeling should there be future deterioration of loan performance or should the ratings of the underlying rated securities migrate downward. The distressed classes C through N may be subject to downgrade as losses are realized or if realized losses exceed Fitch's expectations. DUE DILIGENCE USAGE No third party due diligence was provided or reviewed in relation to this rating action. Fitch has downgraded the following classes: -- $25.2 million class F to 'CCsf' from 'CCCsf'; RE 0%; -- $9.1 million class G to 'CCsf' from 'CCCsf'; RE 0%; -- $20.7 million class H to 'CCsf' from 'CCCsf'; RE 0%; -- $12 million class J to 'CCsf' from 'CCCsf'; RE 0%; -- $18.9 million class K to 'CCsf' from 'CCCsf'; RE 0%; In addition, Fitch has affirmed and revised Rating Outlooks on the following classes: -- $54.9 million class A-2 at 'Bsf'; Outlook to Stable from Positive; -- $60.3 million class B at 'Bsf'; Outlook Negative; -- $24.3 million class C at 'CCCsf'; RE 0%; -- $17.1 million class D at 'CCCsf'; RE 0%; -- $22.1 million class E at 'CCCsf'; RE 0%; -- $22.1 million class L at 'CCsf'; RE 0%; -- $14.9 million class M at 'CCsf'; RE 0%; -- $22.5 million class N at 'CCsf'; RE 0%. The class A-1 and A-R notes were paid in full. Fitch does not rate the preferred shares. NATIONSTAR HECM 2017-1: Moody's Gives (P)Ba3 Rating to Cl. M2 Debt ------------------------------------------------------------------ Moody's Investors Service has assigned provisional ratings to three classes of residential mortgage-backed securities (RMBS) issued by Nationstar HECM Loan Trust 2017-1 (NHLT 2017-1). The ratings range from (P)Aaa (sf) to (P)Ba3 (sf). The certificates are backed by a pool that includes 1,283 inactive home equity conversion mortgages (HECMs) and 229 real estate owned (REO) properties. The servicer for the deal is Nationstar Mortgage LLC. The complete rating actions are as follows: Issuer: Nationstar HECM Loan Trust 2017-1 Cl. A, Assigned (P)Aaa (sf) Cl. M1, Assigned (P)A3 (sf) Cl. M2, Assigned (P)Ba3 (sf) RATINGS RATIONALE The collateral backing Nationstar HECM Loan Trust 2017-1 consists of first-lien inactive HECMs covered by Federal Housing Administration (FHA) insurance secured by properties in the US along with Real-Estate Owned (REO) properties acquired through conversion of ownership of reverse mortgage loans that are covered by FHA insurance. Nationstar acquired the mortgage assets from Ginnie Mae sponsored HECM mortgage backed (HMBS) securitizations. All of the mortgage assets are covered by FHA insurance for the repayment of principal up to certain amounts. If a borrower or their estate fails to pay the amount due upon maturity or otherwise defaults, sale of the property is used to recover the amount owed. There are 1,512 mortgage assets with a balance of $324,518,063. Mortgage assets are in either default, due and payable, referred, foreclosure or REO status. Loans that are in default may move to due and payable; due and payable loans may move to foreclosure; and foreclosure loans may move to REO. 28.90% of mortgage assets are in default, of which 3.35% (of total pool) are in default due to non-occupancy, 25.37% (of total pool) are in default due to taxes and insurance and 0.18% (of total pool) are in default for other reasons. 14.45% of the mortgage assets are due and payable. 1.70% of the mortgage assets are referred loans. 41.93% of the mortgage assets are in foreclosure. Finally, 13.01% of the mortgage assets are REO properties and were acquired through foreclosure or deed-in-lieu of foreclosure on the associated loan. The pool includes 1,283 loans with an aggregate balance of approximately $282,288,943 and 229 REO properties with an aggregate balance of approximately $42,229,120. If the value of the related mortgaged property is greater than the loan amount, some of these loans may be settled by the borrower or their estate. Transaction Structure The securitization has a sequential liability structure amongst three classes of notes with overcollateralization and structural subordination. All funds collected, prior to an acceleration event, are used to make interest payments to the notes, then principal payments to the Class A notes, then to a redemption account until the amount on deposit in the redemption account is sufficient to cover future principal and interest payments for the subordinate notes up to their expected final payment dates. The subordinate notes will not receive principal until the beginning of their respective target amortization periods (in the absence of an acceleration event). The notes benefit from overcollateralization and structural subordination as credit enhancement, and an interest reserve account funded with cash received from the initial purchasers of the notes for liquidity and credit enhancement. The transaction is callable on or after six months with a 1.0% premium and on or after 12 months without a premium. The mandatory call date for the Class A notes is in May 2019. For the Class M1 notes, the expected final payment date is in November 2019. Finally, for the Class M2 notes, the expected final payment date is in May 2020. For each of the subordinate notes, there are six month target amortization periods that conclude on the respective expected final payment dates. The legal final maturity of the transaction is 10 years. Available funds to the transaction are expected to primarily come from the liquidation of REO properties and receipt of FHA insurance claims. These funds will be received with irregular timing. In the event that there are insufficient funds to pay interest in a given period, the interest reserve fund may be utilized. Additionally, any shortfall in interest will be classified as an available funds cap shortfall. These available funds cap carryover amounts will have priority of payments in the waterfall and will also accrue interest at the respective note rate. Certain aspects of the waterfall are dependent upon Nationstar remaining as servicer. Servicing fees and servicer related reimbursements are subordinated to interest and principal payments while Nationstar is servicer. However, servicing advances will instead have priority over interest and principal payments in the event that Nationstar defaults. Third-Party Review A third party firm conducted a review of certain characteristics of the mortgage assets on behalf of Nationstar. The review focused on data integrity, FHA insurance coverage verification, accuracy of appraisal recording, accuracy of occupancy status recording, borrower age documentation, identification of excessive corporate advances, documentation of servicer advances, and identification of tax liens with first priority in Texas. Also, broker price opinions (BPOs) were ordered for 253 properties in the pool. The results of the third-party review (TPR) are comparable to that of NHLT 2016-3 and NHLT 2016-2, indicating a number of exceptions related to the accuracy of appraisal information, and corporate advances exceeding FHA reimbursement thresholds or missing invoices or necessary information. NHLT 2017-1's TPR results showed a 3.25% initial-tape exception rate related to valuation, a 8.71% initial-tape exception rate related to property inspection, a 15.02% initial-tape exception rate related to foreclosure and bankruptcy fees, and a 11.25% initial-tape exception rate related to tax liens. This compares to 5.95%, 26.77%, 12.50%, and 34.15% initial-tape exception rate for NHLT 2016-3 in these categories respectively. The scope of the review was broader than for previously rated NHLT transactions. In particular, the TPR firm conducted an extensive data integrity review. Certain data tape fields, such as the MIP rate, the current UPB, current interest rate, and marketable title date were reviewed against Nationstar's servicing system. However, a significant number of data tape fields were reviewed against imaged copies of original documents of record, screen shots of HUD's HERMIT system, or HUD documents. Some key fields reviewed in this manner included the original note rate, the debenture rate, foreclosure first legal date, and the called due date. This type of review provides for the highest level of certainty in data quality. Reps & Warranties (R&W) Nationstar is the loan-level R&W provider and is rated B2 (Stable) and thus relatively weak from a credit perspective. Given the nascent nature of their securitization program, Moody's has limited insight as to their ability to serve in this capacity. This risk is mitigated by the fact that Nationstar is the equity holder in the transaction and there is therefore a significant alignment of interests. Another factor mitigating this risk is that a third-party due diligence firm conducted a review on the loans for evidence of FHA insurance. Nationstar represents that the mortgage loans are covered by FHA insurance that is in full force and effect. Nationstar provides further R&Ws including those for title, first lien position, enforceability of the lien, and the condition of the property. Although Nationstar provides a no fraud R&W covering the origination of the mortgage loans, determination of value of the mortgaged properties, and the sale and servicing of the mortgage loans, the no fraud R&W is qualified and is made only as to the initial mortgage loans. Aside from the no fraud R&W, Nationstar does not provide any other R&W in connection with the origination of the mortgage loans, including whether the mortgage loans were originated in compliance with applicable federal, state and local laws. Upon the identification of an R&W breach, Nationstar has to cure the breach. If Nationstar is unable to cure the breach, Nationstar must repurchase the loan within 90 days from receiving the notification. Moody's believes the absence of an independent third party reviewer who can identify any breaches to the R&W makes the enforcement mechanism weak in this transaction. Trustee & Master Servicer The acquisition and owner trustee for the NHLT 2017-1 transaction is Wilmington Savings Fund Society, FSB. The paying agent and cash management functions will be performed by U.S. Bank National Association. U.S. Bank National Association will also serve as the claims payment agent and as such will be the HUD mortgagee of record for the mortgage assets in the pool. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of stress could drive the ratings up. Transaction performance depends greatly on the US macro economy and housing market. Property markets could improve from our original expectations resulting in appreciation in the value of the mortgaged property and faster property sales. Down Levels of credit protection that are insufficient to protect investors against current expectations of stresses could drive the ratings down. Transaction performance depends greatly on the US macro economy and housing market. Property markets could deteriorate from our original expectations resulting in depreciation in the value of the mortgaged property and slower property sales. Methodology The methodologies used in these ratings were "Moody's Approach to Rating Securitisations Backed by Non-Performing and Re-Performing Loans," published in August 2016 and "Moody's Global Approach to Rating Reverse Mortgage Securitizations," published in May 2015. Our quantitative asset analysis is based on a loan-by-loan modeling of expected payout amounts given the structure of FHA insurance and with various stresses applied to model parameters depending on the target rating level. FHA insurance claim types: funds come into the transaction primarily through the sale of REO properties and through FHA insurance claim receipts. There are uncertainties related to the extent and timing of insurance proceeds received by the trust due to the mechanics of the FHA insurance. HECM mortgagees may suffer losses if a property is sold for less than its appraised value. The amount of insurance proceeds received from the FHA depends on whether a sales based claim (SBC) or appraisal based claim (ABC) is filed. SBCs are filed in cases where the property is successfully sold within the first six months after the servicer has acquired it. ABCs are filed six months after the servicer has obtained marketable title if the property has not yet been sold. For an SBC, HUD insurance will cover the difference between (i) the loan balance and (ii) the higher of the sales price and 95.0% of the latest appraisal, with the transaction on the hook for losses if the sales price is lower than 95.0% of the latest appraisal. For an ABC, HUD only covers the difference between the loan amount and 100% of appraised value, so failure to sell the property at the appraised value results in loss. Moody's expects ABCs to have higher levels of losses than SBCs. The fact that there is a delay in the sale of the property usually implies some adverse characteristics associated with the property. FHA insurance will not protect against losses to the extent that an ABC property is sold at a price lower than the appraisal value taken at the six month mark of REO. Additionally, ABCs do not cover the cost to sell properties (broker fees) while SBCs do cover these costs. For SBCs, broker fees are reimbursable up to 6.0% ordinarily. Our base case expectations is that properties will be sold for 13.5% less than their appraisal value for ABCs. This is based on the historical experience of Nationstar. Moody's stressed these losses at higher credit rating levels. In asset analysis, Moody's also assumed there would be some losses for SBCs, albeit lower amounts than for ABCs. Based on historical performance, in the base case scenario Moody's assumed that SBCs would suffer 1.0% losses due to a failure to sell the property for an amount equal to or greater than 95.0% of the most recent appraisal. Moody's stressed these losses at higher rating levels. Under our analytical approach, each loan is modeled to go through both the ABC and SBC process with a certain probability. Each loan will thus have both of the sales disposition payments and associated insurance payments (four payments in total). All payments are then probability weighted and run through a modeled liability structure. Based on the historical experience of Nationstar, for the base case scenario Moody's assumed that 85% of claims would be SBCs and the rest would be ABCs. Moody's stressed this assumption and assumed higher ABC percentages for higher rating levels. Liquidation process: each mortgage asset is categorized into one of four categories: default, due and payable, foreclosure and REO. In our analysis, Moody's assume loans that are in referred status to be either in foreclosure or REO category. The loans are assumed to move through each of these stages until being sold out of REO. Moody's assumed that loans would be in default status for six months. Due and payable status is expected to last six to twelve months depending on the default reason. Foreclosure status is based on the state in which that the related property is located and is further stressed at higher rating levels. The base case foreclosure timeline is based on FHA timeline guidance. REO disposition is assumed to take place in six months with respect to SBCs and twelve months with respect to ABCs. Debenture interest: the receipt of debenture interest is dependent upon performance of certain actions within certain timelines by the servicer. If these timeline and performance benchmarks are not met by the servicer, debenture interest is subject to curtailment. Our base case assumption is that 95.0% of debenture interest will be received by the trust. Moody's stressed the amount of debenture interest that will be received at higher rating levels. Our debenture interest assumptions reflect the requirement that Nationstar (B2, Stable) reimburse the trust for debenture interest curtailments due to servicing errors or failures to comply with HUD guidelines. Additional model features: Moody's incorporated certain additional considerations into our analysis, including the following: * In most cases, the most recent appraisal value was used as the property value in our analysis. However, for seasoned appraisals Moody's applied a 15.0% haircut to account for potential home price depreciation between the time of the appraisal and the cut-off date. * Mortgage loans with borrowers that have significant equity in their homes are likely to be paid off by the borrowers or their heirs rather than complete the foreclosure process. Moody's estimated which loans would be bought out of the trust by comparing each loans' appraisal value (post haircut) to its UPB. * Moody's assumed that foreclosure costs will average $4,500 per loan, two thirds of which will be reimbursed by the FHA. Moody's then applied a negative adjustment to this amount based on the TPR results. * Moody's estimated monthly tax and insurance advances based on cumulative tax and insurance advances to date. Moody's ran additional stress scenarios that were designed to mimic expected cash flows in the case where Nationstar is no longer the servicer. Moody's assume the following in the situation where Nationstar is no longer the servicer: * Servicing advances and servicing fees: Nationstar subordinates their recoupment of servicing advances, servicing fees, and MIP payments. A replacement servicer will not subordinate these amounts. * Nationstar indemnifies the trust for lost debenture interest due to servicing errors or failure to comply with HUD guidelines. If Nationstar went bankrupt it likely will not have the financial capacity to do this. * A replacement servicer may require an additional fee and thus Moody's assume a 25 bps strip will take effect if the servicer is replaced. * One third of foreclosure costs will be removed from sales proceeds to reimburse a replacement servicer (one third of foreclosure costs are not reimbursable under FHA insurance). This is typically on the order of $1,500. PALMER SQUARE CLO 2015-1: S&P Gives (P)BB Rating to Cl. D-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-1-R, A-2-R, B-R, C-R, and D-R replacement notes from Palmer Square CLO 2015-1 Ltd., a collateralized loan obligation (CLO) originally issued in 2015 that is managed by Palmer Square Capital Management LLC. The replacement notes will be issued via a proposed supplemental indenture. The preliminary ratings reflect S&P's opinion that the credit support available is commensurate with the associated rating levels. The replacement class A-1-R, A-2-R, and B-R notes are expected to be issued at lower spreads than the original notes; and the class C-R and D-R notes are expected to be issued at higher spreads than the original notes. The preliminary ratings are based on information as of May 18, 2017. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the May 22, 2017, refinancing date, the proceeds from the issuance of the replacement notes are expected to redeem the original notes. At that time, S&P anticipates withdrawing the ratings on the original notes and assigning ratings to the replacement notes. However, if the refinancing doesn't occur, S&P may affirm the ratings on the original notes and withdraw its preliminary ratings on the replacement notes. The replacement notes are being issued via a proposed supplemental indenture, which, in addition to outlining the terms of the replacement notes, will also: -- Extend the non-call period, the reinvestment period, and the stated maturity to May 2019, May 2021, and May 2029, respectively. -- Incorporate the formula version of Standard & Poor's CDO Monitor tool. S&P's review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the trustee report, to estimate future performance. In line with S&P's criteria, its cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, S&P's analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches. S&P will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and S&P will take further rating actions as it deems necessary. PRELIMINARY RATINGS ASSIGNED Palmer Square CLO 2015-1 Ltd. (Refinancing And Extension) Replacement class Rating Amount (mil. $) A-1-R AAA (sf) 457.00 A-2-R AA (sf) 84.20 B-R (deferrable) A (sf) 56.50 C-R (deferrable) BBB (sf) 36.10 D-R (deferrable) BB- (sf) 33.10 Subordinated notes NR 76.40 NR--Not rated. PROTECTIVE FINANCE 2007-PL: Fitch Affirms Bsf Rating on 2 Tranches ------------------------------------------------------------------ Fitch Ratings has affirmed 17 classes of Protective Finance Corporation REMIC 2007-PL commercial mortgage pass-through certificates. KEY RATING DRIVERS The affirmations are a result of the transaction's continued overall stable performance. The ratings reflect a sensitivity test which included increased cash flow haircuts, cap rates and default probabilities due to minimal upcoming maturities, high retail concentration with single-tenant exposure in tertiary markets, and smaller-balance loans. As of the May 2017 distribution date, the pool's aggregate principal balance has been reduced by 74.8% to $256.3 million from $1.02 billion at issuance. There are currently 88 loans remaining of the original 199 with an average loan size of $2,913,045. Approximately 85 (99%) of the remaining 88 loans are fully amortizing. No loans are defeased. There are currently no loans in special servicing. Interest shortfalls are currently affecting class S. Stable Pool Performance/Low Fitch Leverage: Seasoned loan pool with stable performance and a Fitch stressed LTV of 48.5%. Small-Balance Loans: The pool consists of 100% small-balance loans, which have historically had higher defaults and loss severities than typical conduit loans. Fitch's analysis reflects conservative assumptions on the remaining small-balance loans. Retail Concentration: Retail properties with single-tenant exposure located in tertiary markets represent 73% of the pool. Maturity Concentration: Upcoming maturities are minimal through 2018 with the larger maturity concentrations in 2025 (12%), 2026 (17%), and 2027 (12%). RATINGS SENSITIVITIES The Rating Outlook on classes A-1A through N remains Stable due to increasing credit enhancement (CE) and continued paydown and amortization. Further upgrades to classes D through K are possible with stable performance and continued increased CE. Upgrades to the junior classes are not likely due to the smaller class sizes, single-tenant exposure and properties located in tertiary markets. Downgrades to junior classes are possible if performance declines significantly. DUE DILIGENCE USAGE No third-party due diligence was provided or reviewed in relation to this rating action. Fitch has affirmed the following ratings: -- $58.4 million class A-M at 'AAAsf'; Outlook Stable; -- $102.9 million class A-J at 'AAAsf'; Outlook Stable; -- $5.1 million class B at 'AAAsf'; Outlook Stable; -- $8.9 million class C at 'AAAsf'; Outlook Stable; -- $6.4 million class D at 'AAsf'; Outlook Stable; -- $7.6 million class E at 'A+sf'; Outlook Stable; -- $6.4 million class F at 'Asf'; Outlook Stable; -- $8.9 million class G at 'A-sf'; Outlook Stable; -- $7.6 million class H at 'BBB+sf'; Outlook Stable; -- $7.6 million class J at 'BBBsf'; Outlook Stable; -- $8.9 million class K at 'BBsf'; Outlook Stable; -- $5.1 million class L at 'Bsf'; Outlook Stable; -- $2.5 million class M at 'Bsf'; Outlook Stable; -- $2.5 million class N at 'B-sf'; Outlook Stable; -- $2.5 million class O at 'CCCsf'; RE 100%; -- $3.8 million class P at 'CCCsf'; RE 100%; -- $2.5 million class Q at 'CCCsf'; RE 100%. The class A-1, A-2, A-3, A-4 and A-1A certificates have paid in full. Fitch does not rate the class S certificates. Fitch previously withdrew the rating on the interest-only class IO certificates. RELIANCE INTERMEDIATE: DBRS Confirms BB Issuer Rating ------------------------------------------------------ DBRS Limited confirmed the Issuer Rating and Senior Notes rating of Reliance Intermediate Holdings LP (HoldCo or the Company) at BB with Stable trends. The ratings of HoldCo are notched down from its operating subsidiary, Reliance LP (OpCo; rated BBB (low) with a Stable trend by DBRS), reflecting (1) structural subordination of debt at HoldCo relative to OpCo, (2) the high level of leverage at HoldCo and (3) reliance on a single operating subsidiary for cash distributions. In March 2017, HoldCo announced that Cheung Kong Property Holdings Limited had entered into a definitive agreement to acquire the Company for $2.82 billion from Alinda Capital Partners (the Transaction). The Transaction is expected to close by the end of the first half of 2017. DBRS noted that it viewed the Company on a stand-alone basis from its owner, as (1) the Company does not require any equity injections from its owner and (2) distributions to the owner are discretionary and could be curtailed if necessary (see press release titled "DBRS Comments on the Acquisition of Reliance by Cheung Kong Property Holdings Limited" dated March 31, 2017). Following the closing of the Transaction, DBRS expects the distribution policy for HoldCo and OpCo to be more flexible, resulting in a more sustainable level of distributions to the new parent. Cash flow from operations generated by the Company is expected to be sufficient to fund distribution and capital expenditure requirements, reducing the need for additional external debt financing. DBRS notes that the current ratings of the Company assume that there will be no material change in the outstanding debt balance in the medium term, as HoldCo does not have any credit facilities, and the debt matures in 2023. Any material incremental debt at the HoldCo level could have negative credit implications, as non-consolidated leverage is high (61.6% at December 31, 2016). DBRS's methodology guidelines provide for more than a one-notch differential if the holding company's debt leverage is above 30%. DBRS acknowledges that cash flow from OpCo to HoldCo could be restricted as a result of tight covenants on debt at OpCo, including a two-tiered restricted payment test. OpCo is restricted from declaring or distributing to its parent unless the senior adjusted EBITDA-to-interest ratio is greater than 1.5 times (x; 3.9x for 2016). If this requirement is not met, OpCo may still make payments to service HoldCo interest amounts provided that the senior adjusted EBITDA-to-interest ratio exceeds 1.2x. DBRS does not anticipate these restrictions being triggered in the foreseeable future, as the current credit metric significantly exceeds the covenant, and there have been no disruptions in cash flow to HoldCo. SDART 2017-2: S&P Gives Prelim. BB Rating on Cl. E Debt ------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Santander Drive Auto Receivables Trust (SDART) 2017-2's $1.32 billion ($1.06 billion if not upsized) automobile receivables-backed notes series 2017-2. The note issuance is an asset-backed securities transaction backed by subprime auto loan receivables. The preliminary ratings are based on information as of May 18, 2017. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The availability of 53.80%, 46.86%, 37.34%, 30.14%, and 26.74% of credit support for the class A (A-1, A-2, A-3), B, C, D, and E notes, respectively, based on stress cash flow scenarios (including excess spread), which provide coverage of approximately 3.30x, 2.85x, 2.25x, 1.70x, and 1.50x S&P's 15.75%-16.50% expected cumulative net loss. -- The timely interest and principal payments made under stressed cash flow modeling scenarios appropriate to the assigned preliminary ratings. -- S&P's expectation that under a moderate ('BBB') stress scenario (1.7x its expected loss level), all else being equal, S&P's ratings on the class A, B, and C notes ('AAA (sf)', 'AA (sf)', and 'A (sf)', respectively) will remain within one rating category, and S&P's ratings on the class D notes ('BBB (sf)') will remain within two rating categories of the assigned preliminary ratings while they are outstanding. These rating movements are within the outer bounds specified by S&P's credit stability criteria. These criteria indicate that S&P would not assign 'AAA (sf)' and 'AA (sf)' ratings if, under moderate stress conditions, the ratings would be lowered by more than one rating category within the first year and by more than three rating categories over a three-year period. The criteria also specify that S&P would not assign 'A (sf)' and 'BBB (sf)' ratings if such ratings would fall by more than two categories in one year or three categories over three years. The class E 'BB (sf)' rated notes will remain within two rating categories of the assigned preliminary rating during the first year but will eventually default under the 'BBB' stress scenario, after having received 79%-82% of their principal. -- Santander Consumer USA Inc. (SC; originator/servicer's) long history of originating and servicing subprime auto loan receivables. S&P's analysis of nine years of origination static pool data on SC's lending programs. -- Six years of performance on SC's securitizations since it re-entered the asset-backed securities market in 2010. The transaction's payment/credit enhancement and legal structures. PRELIMINARY RATINGS ASSIGNED Santander Drive Auto Receivables Trust 2017-2(i) Class Rating Type Interest Amount rate (mil. $) A-1 A-1+ (sf) Senior Fixed 245.00 A-2 AAA (sf) Senior Fixed 343.00 A-3 AAA (sf) Senior Fixed 147.28 B AA (sf) Subordinate Fixed 163.15 C A (sf) Subordinate Fixed 199.24 D BBB (sf) Subordinate Fixed 150.37 E BB (sf) Subordinate Fixed 75.19 (i)The issuer provided two structures: a larger pool with a rated debt issuance amount of $1.32 billion and a smaller one with a rated debt issuance amount of $1.06 billion. The issuer will securitize one of these pools at closing. S&P has shown the larger of the two above. The preliminary ratings are the same for both pools/structures. STEELE CREEK 2015-1: Moody's Assigns B2 Rating to Cl. F-R Notes --------------------------------------------------------------- Moody's Investors Service has assigned the following ratings to the following notes (the "Refinancing Notes") issued by Steele Creek CLO 2015-1, Ltd.: US$222,250,000 Class A-R Senior Secured Floating Rate Notes due 2029 (the "Class A-R Notes"), Assigned Aaa (sf) US$40,250,000 Class B-R Senior Secured Floating Rate Notes due 2029 (the "Class B-R Notes"), Assigned Aa2 (sf) US$22,750,000 Class C-R Mezzanine Secured Deferrable Floating Rate Notes due 2029 (the "Class C-R Notes"), Assigned A2 (sf) US$19,000,000 Class D-R Mezzanine Secured Deferrable Floating Rate Notes due 2029 (the "Class D-R Notes"), Assigned Baa2 (sf) US$8,421,053 Class E1-R Mezzanine Secured Deferrable Floating Rate Notes due 2029 (the "Class E1-R Notes"), Assigned Ba2 (sf) US$7,903,947 Class E2-R Mezzanine Secured Deferrable Floating Rate Notes due 2029 (the "Class E2-R Notes"), Assigned Ba2 (sf) US$7,550,000 Class F-R Mezzanine Secured Deferrable Floating Rate Notes due 2029 (the "Class F-R Notes"), Assigned B2 (sf) The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of senior secured, broadly syndicated corporate loans. Steele Creek Investment Management LLC (the "Manager") manages the CLO. It directs the selection, acquisition, and disposition of collateral on behalf of the Issuer. RATINGS RATIONALE Moody's ratings on the Refinancing 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 Refinancing Notes on 22 May 2017 (the "Refinancing Date") in connection with the refinancing of all of the secured notes (the "Refinanced Original Notes") previously issued on 2 April 2015 (the "Original Closing Date"). On the Refinancing Date, the Issuer used proceeds from the issuance of the Refinancing Notes to redeem in full the Refinanced Original Notes. In addition to the issuance of the Refinancing Notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; and changes to certain collateral quality tests. 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: $350,000,000 Defaulted par: $0 Diversity Score: 65 Weighted Average Rating Factor (WARF): 2864 Weighted Average Spread (WAS): 3.90% 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 a Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing 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 Refinancing 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 Refinancing 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 Refinancing 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% (3294) Rating Impact in Rating Notches Class A-R Notes: 0 Class B-R Notes: -1 Class C-R Notes: -2 Class D-R Notes: -2 Class E1-R Notes: -1 Class E2-R Notes: -1 Class F-R Notes: 0 Percentage Change in WARF -- increase of 30% (3723) Rating Impact in Rating Notches Class A-R Notes: -1 Class B-R Notes: -3 Class C-R Notes: -3 Class D-R Notes: -3 Class E1-R Notes: -2 Class E2-R Notes: -2 Class F-R Notes: -2 TIAA SEASONED 2007-C4: Fitch Lowers Class E Debt Rating to Bsf -------------------------------------------------------------- Fitch Ratings has downgraded three and affirmed 13 classes of TIAA Seasoned Commercial Mortgage Trust, series 2007-C4 commercial mortgage pass-through certificates. In addition, Fitch has revised the Rating Outlooks on four classes to Negative from Stable. KEY RATING DRIVERS Increasingly Concentrated: The deal continues to become more concentrated, with 16 of the original 155 loans remaining, compared to 20 a year ago. Since the previous review, three loans have paid in full and one specially serviced asset was liquidated. Due to the increasing concentration, Fitch performed a sensitivity analysis that grouped the remaining loans based on loan structural features, collateral quality and the likelihood of repayment. Increased Loss Expectations: The downgrades reflect greater certainty of losses as a result of an increase in loss expectations on specially serviced loans, which are a growing component of the pool given higher loan concentrations. Fitch has identified three loans as Fitch Loans of Concern (45.6%), two of which are in special servicing (40.4%). The two specially serviced loans are secured by two phases of an anchored retail center located in the Chicago, IL. Phase I contains 418,451 square feet (sf) and was built in 2003. It is anchored by Dick's Sporting Goods (65,000 sf or 16% of gross leasable area [GLA]). Phase II has 146,339 sf and was built in 2005. Largest tenants include Art Van Furniture (30.7%; lease expiry in July 2021); Ross Dress for Less (21.6%; lease expiry in Jan. 2022) and Nordstrom Rack (16%; lease expiry in October 2026). Both loans were transferred to special servicing in June 2012 due to imminent default. A receiver was appointed to both properties in February 2013. The servicer remains in litigation with the borrower and guarantor for conflict over cash flow obligations and payment guarantees. As of Feb. 2017, Phase I was 81.2% occupied and Phase II was 85.2% occupied. High Retail Exposure: Loans representing 90.4% of the pool are secured by retail properties. Limited Near-Term Repayment: Of the 14 performing loans, one (3.4%) matures in 2018; two (11.4%) in 2020; five (29.1%) in 2021, two (7.2%) in 2023; and two (8.7%) in 2024. As of the May 2017 distribution date, the pool's aggregate principal balance has been reduced by 90.5% to $199.5 million from $2.09 billion at issuance. Interest shortfalls in the amount of $9.5 million are affecting classes G through T. RATING SENSITIVITIES The Rating Outlook on class A-J remains Stable due to sufficient class credit enhancement, which is expected to increase from continued amortization given the class's position within the capital structure. The Negative Outlooks on classes B through E are due to the lack of progress on the resolution of the Algonquin Commons Phase I and Phase II loans and the growing expenses related to the workout. Future downgrades to these classes are possible should losses on the two specially serviced loans be higher than anticipated, or should market conditions deteriorate, which could further erode property value. The distressed classes (rated below 'B') may be subject to further rating actions as losses are realized. Upgrades are not likely given the concentrated nature of the pool. Fitch has downgraded the following classes as indicated and revised Outlooks as noted: -- $5.2 million class E to 'Bsf' from 'BBsf'; Outlook Negative from Stable; -- $20.9 million class G to 'CCsf' from 'CCCsf'; RE 0%; -- $13.1 million class H to 'Csf' from 'CCsf'; RE 0%. Fitch has affirmed the following classes and revised Outlooks as noted: -- $33 million class A-J at 'AAAsf'; Outlook Stable; -- $10.5 million class B at 'AAAsf'; Outlook to Negative from Stable; -- $28.8 million class C at 'Asf'; Outlook to Negative from Stable; -- $18.3 million class D at 'BBBsf'; Outlook to Negative from Stable; -- $15.7 million class F at 'CCCsf'; RE 50%. -- $23.5 million class J at 'Csf'; RE 0%. -- $7.8 million class K at 'Csf'; RE 0%; -- $7.8 million class L at 'Csf'; RE 0%. -- $7.9 million class M at 'Csf'; RE 0%; -- $2.6 million class N at 'Csf'; RE 0%; -- $3.5 million class P at 'Dsf'; RE 0%; -- $0 class Q at 'Dsf'; RE 0%; -- $0 class S at 'Dsf'; RE 0%. The class A-1, A-2, A-3 and A-1A certificates have paid in full. Fitch does not rate the class T certificates. Fitch previously withdrew the rating on the interest-only class X certificates. TOWD POINT 2017-2: DBRS Assigns BB(sf) Ratings to Class B1 Debt --------------------------------------------------------------- DBRS, Inc. assigned the following provisional ratings to the Asset Backed Securities, Series 2017-2 (the Notes) issued by Towd Point Mortgage Trust 2017-2 (the Trust): -- $584.8 million Class A1 at AAA (sf) -- $56.7 million Class A2 at AA (sf) -- $61.0 million Class M1 at A (sf) -- $49.2 million Class M2 at BBB (sf) -- $45.4 million Class B1 at BB (sf) -- $35.9 million Class B2 at B (sf) -- $641.5 million Class A3 at AA (sf) -- $702.5 million Class A4 at A (sf) The AAA (sf) ratings on the Notes reflect the 38.15% of credit enhancement provided by subordinated Notes in the pool. The AA (sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings reflect credit enhancement of 32.15%, 25.70%, 20.50%, 15.70% and 11.90%, respectively. Other than the specified classes above, DBRS does not rate any other classes in this transaction. This transaction is a securitization of a portfolio of seasoned performing and re-performing first-lien residential mortgages. The Notes are backed by 4,946 loans with a total principal balance of $945,478,522 as of the Statistical Calculation Date (March 31, 2017). The portfolio contains 78.7% modified loans. Within the pool, 1,541 mortgages have non-interest-bearing deferred amounts, which equates to 5.7% of the total principal balance. The modifications happened more than two years ago for 82.9% of the modified loans. The loans are approximately 125 months seasoned. All loans (100.0%) were current as of the Statistical Calculation Date, including 0.8% bankruptcy-performing loans. Approximately 53.7% of the mortgage loans have been zero times 30 days delinquent for at least the past 24 months under both the Office of Thrift Supervision and Mortgage Bankers Association delinquency methods. In accordance with the CFPB Qualified Mortgage (QM) rules, 1.8% of the loans are designated as QM Safe Harbor, less than 0.1% as QM Rebuttable Presumption and none as non-QM. Approximately 98.2% of the loans are not subject to the QM rules. FirstKey Mortgage, LLC (FirstKey) will acquire the loans from various transferring trusts on or prior to the Closing Date. The transferring trusts acquired the mortgage loans between 2013 and 2017 and are beneficially owned by both the Responsible Party and other funds managed by affiliates of Cerberus Capital Management, L.P. Upon acquiring the loans from the transferring trusts, FirstKey, through a wholly owned subsidiary, Towd Point Asset Funding, LLC (the Depositor), will contribute loans to the Trust. As the Sponsor, FirstKey, through a majority-owned affiliate, will acquire and retain a 5% eligible vertical interest in each class of securities to be issued (other than any residual certificates) to satisfy the credit risk retention requirements. These loans were originated and previously serviced by various entities through purchases in the secondary market. As of the Closing Date, all loans will be serviced by Select Portfolio Servicing, Inc. There will not be any advancing of delinquent principal or interest on any mortgages by the servicer or any other party to the transaction; however, the servicer is obligated to make advances in respect of homeowner association fees, taxes and insurance, reasonable costs and expenses incurred in the course of servicing and disposing of properties. FirstKey, as the Asset Manager, has the option to sell certain non-performing loans or real estate owned (REO) properties to unaffiliated third parties individually or in bulk sales. The asset sale price has to equal a minimum reserve amount to maximize liquidation proceeds of such loans or properties. The minimum reserve amount equals the product of 61.37% and the then-current principal amount of the mortgage loans or REO properties. In addition, on the payment date when the aggregate pool balance of the mortgage loans is reduced to 30% of the Cut-Off Date balance, the holders of more than 50% of the Class X Certificates will have the option to cause the Issuer to sell all of its remaining property (other than amounts in the Breach Reserve Account) to one or more third-party purchasers so long as the aggregate proceeds meets a minimum price. The transaction employs a sequential-pay cash flow structure. Principal proceeds can be used to cover interest shortfalls on the Notes, but such shortfalls on Class M1 and more subordinate bonds will not be paid until the more senior classes are retired. The ratings reflect transactional strengths that include underlying assets that generally performed well through the crisis, strong servicers and Asset Manager oversight. Additionally, a satisfactory third-party due diligence review was performed on the portfolio with respect to regulatory compliance, payment history and data capture as well as title and tax review. Servicing comments were reviewed for a sample of loans. Updated broker price opinions or exterior appraisals were provided for 100.0% of the pool; however, a reconciliation was not performed on the updated values. The transaction employs a relatively weak representations and warranties framework that includes a 13-month sunset, an unrated representation provider (FirstKey) with a backstop by an unrated entity (Cerberus Global Residential Mortgage Opportunity Fund, L.P.), certain knowledge qualifiers and fewer mortgage loan representations relative to DBRS criteria for seasoned pools. Mitigating factors include (1) significant loan seasoning and relative clean performance history in recent years, (2) a comprehensive due diligence review and (3) a strong representations and warranties enforcement mechanism, including delinquency review trigger and breach reserve accounts. The lack of principal and interest advances on delinquent mortgages may increase the possibility of periodic interest shortfalls to the Noteholders; however, principal proceeds can be used to pay interest to the Notes sequentially and subordination levels are greater than expected losses, which may provide for timely payment of interest to the rated Notes. The DBRS ratings of AAA (sf) and AA (sf) address the timely payment of interest and full payment of principal by the legal final maturity date in accordance with the terms and conditions of the related Notes. The DBRS ratings of A (sf), BBB (sf), BB (sf) and B (sf) address the ultimate payment of interest and full payment of principal by the legal final maturity date in accordance with the terms and conditions of the related Notes. VENTURE XXVII: Moody's Assigns Ba3(sf) Rating to Class E Notes -------------------------------------------------------------- Moody's Investors Service has assigned ratings to five classes of notes issued by Venture XXVII CLO, Limited. Moody's rating action is as follows: US$384,000,000 Class A Senior Secured Floating Rate Notes due 2030 (the "Class A Notes"), Definitive Rating Assigned Aaa (sf) US$72,000,000 Class B Senior Secured Floating Rate Notes due 2030 (the "Class B Notes"), Definitive Rating Assigned Aa2 (sf) US$30,500,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2030 (the "Class C Notes"), Definitive Rating Assigned A2 (sf) US$36,000,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2030 (the "Class D Notes"), Definitive Rating Assigned Baa3 (sf) U.S.$29,500,000 Class E Junior 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. Venture XXVII is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated first lien senior secured corporate loans. At least 90% of the portfolio must consist of senior secured loans, cash, and eligible investments, and up to 10% of the portfolio may consist of second lien loans and unsecured loans. The portfolio is required to be at least 80% ramped as of the closing date. MJX Venture Management II LLC (the "Manager"), a relying adviser on MJX Asset Management LLC, will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets, subject to certain restrictions. In addition to the Rated Notes, the Issuer 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: 70 Weighted Average Rating Factor (WARF): 2895 Weighted Average Spread (WAS): 3.60% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 47.0% 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 2895 to 3329) Rating Impact in Rating Notches Class A Notes: 0 Class B Notes: -2 Class C Notes: -2 Class D Notes: -1 Class E Notes: -1 Percentage Change in WARF -- increase of 30% (from 2895 to 3764) Rating Impact in Rating Notches Class A Notes: -1 Class B Notes: -4 Class C Notes: -4 Class D Notes: -2 Class E Notes: -1 WACHOVIA BANK 2005-C20: Fitch Hikes Cl. F Certs Rating to 'CCC' --------------------------------------------------------------- Fitch Ratings has upgraded one class and affirmed the remaining eight classes of Wachovia Bank Commercial Mortgage Trust (WBCMT) series 2005-C20 commercial mortgage pass-through certificates. KEY RATING DRIVERS Reduced Likelihood of Losses: The upgrade to class F reflects the reduction in the transaction's loss expectations since Fitch's last review, as well as increased credit enhancement. There has been an additional $5.6 million in paydown from asset dispositions of the specially serviced NGP Rubicon GSA Pool since Fitch's last rating action. The recoveries on these assets were slightly better than expected. Class F is less likely to be impacted by realized losses. As of the April 2017 distribution date, the pool has paid down 98.3% since issuance, to $62.6 million from $3.7 billion at issuance. Specially-Serviced Loan: The largest loan, NGP Rubicon GSA Pool (94.9%), is currently in special servicing. Only seven of the original 10 office properties remain in the pool. Since Fitch's last rating action, the properties located in Philadelphia, PA and Norfolk, VA were disposed of during the first quarter of 2017. The remaining properties are either vacant or fully or partially occupied by the GSA and are located in the tertiary markets of Suffolk, VA, Kansas City, KS, Providence, RI, Concord, MA, Huntsville, AL, Aurora, CO and Lakewood, CO. The servicer continues to address deferred maintenance issues, lease extensions for existing tenants and negotiations with prospective lessees. The receiver and servicer are discussing sales with potential buyers, as well as evaluating both single asset dispositions and a portfolio sale to maximize the recovery proceeds to the trust. Pool Concentration: The pool is highly concentrated, with only four out of the original 211 loans remaining. Two loans are fully defeased (4.5%), and one loan is fully amortizing (0.7%) and performing. The largest loan (94.8%) is in special servicing. Maturity Concentration: One defeased loan matures in June 2017 (1.8%), and the remaining non-specially serviced loans mature in 2020. RATING SENSITIVITIES Further upgrades to class F are possible with additional certainty of the final disposition of the Rubicon GSA Pool. Downgrades are possible if the Rubicon portfolio's expected losses increase. Fitch has upgraded the following class: -- $31.9 million class F to 'CCCsf' from 'CCsf'; RE100% from RE90%. Fitch has affirmed the following classes: -- $30.7 million class G at 'Dsf'; RE 0%; -- $0 million class H at 'Dsf'; RE 0%; -- $0 million class J at 'Dsf'; RE 0%; -- $0 million class K at 'Dsf'; RE 0%; -- $0 million class L at 'Dsf'; RE 0%; -- $0 million class M at 'Dsf'; RE 0%; -- $0 million class N at 'Dsf'; RE 0%; -- $0 million class O at 'Dsf'; RE 0%. Class P is unrated and reduced to zero due to losses realized on loans liquidated from the trust. Classes A-1, A-2, A-3SF, A-4, A-5, A-6A, A-6B, A-PB, A-7, A-1A A-MFL, AMFX, A-J, B, C, and D have repaid in full. Fitch previously withdrew the ratings on the interest-only classes X-P and X-C. WELLS FARGO 2015-NXS1: DBRS Confirms B(low) Rating on Cl. F Debt ---------------------------------------------------------------- DBRS Limited confirmed all classes of Commercial Mortgage Pass-Through Certificates, Series 2015-NXS1 (the Certificates) issued by Wells Fargo Commercial Mortgage Trust 2015-NXS1 as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (low) (sf) -- Class X-B at A (sf) -- Class C at A (low) (sf) -- Class PEX at A (low) (sf) -- Class D at BBB (low) (sf) -- Class X-E at BB (sf) -- Class E at BB (low) (sf) -- Class X-F at B (sf) -- Class F at B (low) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance exhibited by the transaction since issuance in 2015. The collateral consists of 68 fixed-rate loans secured by 93 commercial properties. As of the April 2017 remittance, the pool had an aggregate principal balance of approximately $943.0 million, representing a collateral reduction of 1.2% since issuance as a result of scheduled loan amortization. The pool is primarily concentrated by two property types, as 22 loans, representing 53.0% of the pool, are secured by office properties, and 30 loans, representing 26.8% of the pool, are secured by retail properties. By geographical location, the pool is relatively concentrated, as the largest concentration by state is California with 14 loans (30.1% of the pool), followed by Virginia with one loan (10.1% of the pool), New York with four loans (10.9% of the pool) and Texas with 11 loans (9.9% of the pool). Seven loans (24.9% of the pool) are structured with full interest-only (IO) terms, while an additional 16 loans (34.6% of the pool) have partial IO periods remaining, ranging from 11 month to 36 months. To date, 48 loans (86.3% of the pool) have reported YE2016 net cash flow (NCF) figures, while 13 loans (10.2% of the pool) have reported partial-year 2016 NCF figures (most being Q3 2016) and seven loans (2.5% of the pool) show YE2015 NCF figures as the most recent set of reported financials. As calculated based on the most recent NCF figures showing for the loans in the pool, the transaction had a weighted-average (WA) amortizing debt service coverage ratio (DSCR) and WA debt yield of 1.70 times (x) and 9.3%, respectively, compared with the DBRS issuance figures of 1.55x and 8.0%, respectively. Based on the most recent NCF figures (both partial year and YE2016), the top 15 loans (57.4% of the pool) reported a WA amortizing DSCR of 1.80x, compared with the DBRS issuance figure of 1.72x, which is reflective of a WA NCF growth of 7.1%. There are three loans (9.3% of the pool) in the top 15 exhibiting NCF declines as compared with the DBRS issuance figures, with declines ranging from 0.9% to 29.6%. These three loans include 760 & 800 Westchester Avenue (Prospectus ID#7, 3.7% of the pool), 45 Waterview Boulevard (Prospectus ID#9, 2.8% of the pool) and Hotel Valencia (Prospectus ID#10, 2.8% of the pool). While the minor performance declines with the 760 & 800 Westchester Avenue and 45 Waterview Boulevard loans have been driven by increased vacancy and expenses, respectively, Hotel Valencia in San Antonio has struggled to compete with the downturn of the energy markets and the addition of new supply in the market. Detailed commentary for these loans is available on the DBRS IReports platform. As of the April 2017 remittance, there are four loans (4.8% of the pool) on the servicer's watchlist. The largest of these loans, Colonades II (Prospectus ID#16, 2.1% of the pool) is a single-tenant, Class A office property located in Raleigh, North Carolina. The property was formerly 100% occupied by Salix Pharmaceuticals, Inc.; however, the property is now dark following the tenant's acquisition by Valeant Pharmaceuticals in April 2015 and subsequent closure of this location. The smallest two loans (1.8% of the pool) on the servicer's watchlist were flagged as a result of a decline in performance, which appear to be market and expense driven. Based on the most recent cash flow reporting (both partial year and YE2016), these two loans had a WA DSCR of 1.03x, compared to the DBRS issuance figure of 1.51x, reflective of a 29.5% NCF decline. At issuance, DBRS shadow-rated both the Patriots Park (Prospectus ID#1, 10.1% of the pool) and 45 Waterview Boulevard (Prospectus ID#9, 2.8% of the current pool balance) loans as investment grade. DBRS confirms that the performance of both loans remains consistent with investment-grade loan characteristics. The rating assigned to Class F materially deviates from a higher rating implied by the large pool multi-borrower parameters. DBRS considers this to be a methodology deviation when there is a rating differential of three or more notches between the assigned rating and the rating implied by the large pool multi-borrower parameters; in this case, the sustainability of loan performance trends was not demonstrated and, as such, was reflected in the ratings. [*] DBRS Reviews 105 Classes From 17 US RMBS Deals -------------------------------------------------- DBRS, Inc. reviewed 105 classes from 17 U.S. residential mortgage-backed security (RMBS) transactions. Of the 105 classes reviewed, 53 ratings were upgraded, 43 ratings were confirmed and nine ratings were discontinued. The rating upgrades reflect positive performance trends and that these classes have experienced increases in credit support sufficient to withstand stresses at their new rating levels. The rating confirmations reflect current asset performance and that credit support levels have been consistent with the current rating. The discontinued ratings are the result of full principal payment to the bondholders. The rating actions are the result of DBRS's applying its "RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology" (see the press release "DBRS Publishes RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology," dated April 4, 2017). The transactions consist of U.S. Resecuritization of Real Estate Mortgage Investment Conduit (Re-REMIC) transactions. The pools backing these transactions consist of Re-REMIC, Prime, Alt-A, Scratch and Dent, Option - Adjustable-Rate Mortgage (ARM) and Subprime collateral. The ratings assigned to the following securities differ from the ratings implied by the quantitative model. DBRS considers this difference to be a material deviation, but in this case, the ratings of the subject notes reflect a dependency on another tranche's ratings, as well as structural features and historical performance that constrain the rating from the quantitative model's output. -- APS Resecuritization Trust 2015-3, REMIC Notes, Series 2015-3, Class 1-A -- Banc of America Funding 2015-R4 Trust, Resecuritization Trust Securities, Class 3A1 -- Banc of America Funding 2015-R4 Trust, Resecuritization Trust Securities, Class 6A1 -- Banc of America Funding 2015-R4 Trust, Resecuritization Trust Securities, Class 6A2 -- Banc of America Funding 2015-R4 Trust, Resecuritization Trust Securities, Class 7A1 -- CSMC Series 2015-4R, CSMC Series 2015-4R, Class 1-A-2 -- CSMC Series 2015-4R, CSMC Series 2015-4R, Class 1-A-3 -- CSMC Series 2015-4R, CSMC Series 2015-4R, Class 3-A-2 -- CSMC Series 2015-4R, CSMC Series 2015-4R, Class 3-A-4 -- Jefferies Resecuritization Trust 2009-R4, Resecuritization Trust Certificates 2009-R4, Class 1-A2 -- Jefferies Resecuritization Trust 2009-R4, Resecuritization Trust Certificates 2009-R4, Class 2-A2 -- Jefferies Resecuritization Trust 2009-R4, Resecuritization Trust Certificates 2009-R4, Class 3-A1 -- Jefferies Resecuritization Trust 2009-R4, Resecuritization Trust Certificates 2009-R4, Class 4-A2 -- Jefferies Resecuritization Trust 2009-R4, Resecuritization Trust Certificates 2009-R4, Class 4-A3 -- Jefferies Resecuritization Trust 2009-R4, Resecuritization Trust Certificates 2009-R4, Class 5-A2 -- Jefferies Resecuritization Trust 2009-R8, Jefferies Resecuritization Trust 2009-R8, Class 1-A1 -- Jefferies Resecuritization Trust 2009-R8, Jefferies Resecuritization Trust 2009-R8, Class 1-AZ -- Jefferies Resecuritization Trust 2009-R8, Jefferies Resecuritization Trust 2009-R8, Class 2-A1 -- Jefferies Resecuritization Trust 2009-R8, Jefferies Resecuritization Trust 2009-R8, Class 2-AZ -- Jefferies Resecuritization Trust 2009-R8, Jefferies Resecuritization Trust 2009-R8, Class 4-A2 -- Jefferies Resecuritization Trust 2009-R8, Jefferies Resecuritization Trust 2009-R8, Class 8-A2 -- Jefferies Resecuritization Trust 2009-R8, Jefferies Resecuritization Trust 2009-R8, Class 12-A3 -- Jefferies Resecuritization Trust 2009-R8, Jefferies Resecuritization Trust 2009-R8, Class 18-A3 -- J.P. Morgan Resecuritization Trust, Series 2010-1, Series 2010-1 Trust Certificates, Class 2-A-1 -- Morgan Stanley Resecuritization Trust 2015-R2, Resecuritization Pass-Through Securities, Series 2015-R2, Class 1-A1 -- Morgan Stanley Resecuritization Trust 2015-R2, Resecuritization Pass-Through Securities, Series 2015-R2, Class 1-A2 -- Morgan Stanley Resecuritization Trust 2015-R2, Resecuritization Pass-Through Securities, Series 2015-R2, Class 2-A1 -- Morgan Stanley Resecuritization Trust 2015-R2, Resecuritization Pass-Through Securities, Series 2015-R2, Class 2-A2 -- Nomura Resecuritization Trust 2015-5R, Resecuritization Trust Securities, Series 2015-5R, Class 2A1 -- Nomura Resecuritization Trust 2015-5R, Resecuritization Trust Securities, Series 2015-5R, Class 3A2 -- Nomura Resecuritization Trust 2015-5R, Resecuritization Trust Securities, Series 2015-5R, Class 4A1 A full text copy of the ratings is available free at: https://is.gd/NtcZSK [*] Moody's Hikes $1.3BB of Subprime RMBS Issued 2005-2007 ---------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 21 tranches from eight transactions, backed by subprime mortgage loans, issued by multiple issuers. Complete rating actions are as follows: Issuer: ABFC Asset-Backed Certificates, Series 2004-HE1 Cl. M-1, Upgraded to Ba1 (sf); previously on Oct 1, 2015 Upgraded to B1 (sf) Cl. M-2, Upgraded to Ba2 (sf); previously on Oct 1, 2015 Upgraded to Caa3 (sf) Cl. M-3, Upgraded to B2 (sf); previously on May 4, 2012 Downgraded to C (sf) Cl. M-4, Upgraded to Caa2 (sf); previously on Mar 24, 2011 Downgraded to C (sf) Issuer: Amortizing Residential Collateral Trust, Series 2002-BC5 Cl. M1, Upgraded to A1 (sf); previously on Aug 16, 2016 Upgraded to A3 (sf) Cl. M2, Upgraded to Baa2 (sf); previously on Aug 16, 2016 Upgraded to Ba1 (sf) Cl. M3, Upgraded to Caa3 (sf); previously on Aug 16, 2016 Upgraded to Ca (sf) Issuer: Asset Backed Securities Corporation Home Equity Loan Trust, Series OOMC 2006-HE5 Cl. A1, Upgraded to Aa2 (sf); previously on Aug 3, 2016 Upgraded to A1 (sf) Cl. A4, Upgraded to Baa1 (sf); previously on Aug 3, 2016 Upgraded to Baa3 (sf) Cl. A5, Upgraded to Baa2 (sf); previously on Aug 3, 2016 Upgraded to Ba1 (sf) Issuer: Bear Stearns Asset Backed Securities I Trust 2007-HE7 Cl. I-A-1, Upgraded to Baa3 (sf); previously on May 27, 2014 Upgraded to B2 (sf) Cl. III-A-1, Upgraded to Caa2 (sf); previously on Aug 7, 2013 Confirmed at Ca (sf) Issuer: GE-WMC Asset-Backed Pass-Through Certificates, Series 2006-1 Cl. A-1a, Upgraded to Ba1 (sf); previously on Aug 17, 2016 Upgraded to Ba3 (sf) Issuer: SG Mortgage Securities Trust 2006-FRE1 Cl. A-1A, Upgraded to Baa1 (sf); previously on Aug 30, 2016 Upgraded to Ba1 (sf) Issuer: Terwin Mortgage Trust 2006-5 Cl. I-A-1, Upgraded to Aa2 (sf); previously on Aug 26, 2016 Upgraded to A1 (sf) Cl. I-A-2b, Upgraded to Baa3 (sf); previously on Aug 26, 2016 Upgraded to Ba1 (sf) Cl. I-A-2c, Upgraded to Ba3 (sf); previously on Aug 26, 2016 Upgraded to B2 (sf) Issuer: Terwin Mortgage Trust, Series TMTS 2005-6HE Cl. M-3, Upgraded to Aaa (sf); previously on Aug 26, 2016 Upgraded to Aa2 (sf) Cl. M-4, Upgraded to Aa3 (sf); previously on Aug 26, 2016 Upgraded to A1 (sf) Cl. M-5, Upgraded to Baa1 (sf); previously on Aug 26, 2016 Upgraded to Baa3 (sf) Cl. M-6, Upgraded to Caa3 (sf); previously on Oct 1, 2010 Downgraded to C (sf) RATINGS RATIONALE The rating 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 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 4.4% in April 2017 from 5.0% in April 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 $775MM of Subprime RMBS Issued 2003-2007 ---------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 31 tranches, from 15 transactions issued by various issuers. Complete rating actions are as follows: Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2004-RM2 Cl. M-3, Upgraded to B1 (sf); previously on Dec 23, 2015 Upgraded to B2 (sf) Issuer: Aegis Asset Backed Securities Trust 2005-5 Cl. IA3, Upgraded to Aaa (sf); previously on Jun 23, 2016 Upgraded to Aa3 (sf) Cl. IA4, Upgraded to A1 (sf); previously on Jun 23, 2016 Upgraded to Baa1 (sf) Cl. IIA, Upgraded to Aa3 (sf); previously on Jun 23, 2016 Upgraded to A2 (sf) Cl. M1, Upgraded to Ba2 (sf); previously on Jun 23, 2016 Upgraded to B3 (sf) Issuer: Ameriquest Mortgage Securities Inc., Series 2003-10 Cl. M-2, Upgraded to B3 (sf); previously on Mar 10, 2016 Upgraded to Caa1 (sf) Issuer: Argent Securities Inc., Series 2004-PW1 Cl. M-3, Upgraded to B1 (sf); previously on Sep 8, 2014 Upgraded to B2 (sf) Cl. M-4, Upgraded to Ca (sf); previously on Mar 18, 2013 Affirmed C (sf) Issuer: BNC Mortgage Loan Trust 2007-1 Cl. A3, Upgraded to Aaa (sf); previously on Jun 29, 2016 Upgraded to A1 (sf) Cl. A4, Upgraded to B1 (sf); previously on Jun 29, 2016 Upgraded to B3 (sf) Issuer: Centex Home Equity Loan Trust 2004-D Cl. MF-2, Upgraded to B3 (sf); previously on Jul 23, 2013 Downgraded to Caa1 (sf) Issuer: First Franklin Mortgage Loan Trust 2005-FF7 Cl. M-3, Upgraded to Ba3 (sf); previously on Dec 4, 2014 Upgraded to B1 (sf) Cl. M-4, Upgraded to B1 (sf); previously on Dec 4, 2014 Upgraded to Caa3 (sf) Issuer: First Franklin Mortgage Loan Trust 2006-FF5 Cl. I-A, Upgraded to Baa1 (sf); previously on Jun 17, 2016 Upgraded to Ba2 (sf) Cl. II-A-3, Upgraded to B1 (sf); previously on Apr 6, 2010 Downgraded to Caa1 (sf) Cl. II-A-4, Upgraded to B2 (sf); previously on Apr 6, 2010 Downgraded to Caa2 (sf) Cl. II-A-5, Upgraded to Ba2 (sf); previously on Apr 6, 2010 Downgraded to Caa1 (sf) Issuer: First Franklin Mortgage Loan Trust 2006-FF8 Cl. I-A-1, Upgraded to Baa1 (sf); previously on Aug 28, 2015 Upgraded to Baa3 (sf) Cl. II-A-3, Upgraded to Ba2 (sf); previously on Jun 10, 2014 Upgraded to B3 (sf) Cl. II-A-4, Upgraded to B1 (sf); previously on Dec 4, 2014 Upgraded to Caa1 (sf) Issuer: First Franklin Mortgage Loan Trust 2006-FFH1 Cl. A-4, Upgraded to Aaa (sf); previously on Jun 17, 2016 Upgraded to A1 (sf) Cl. M-1, Upgraded to Ba2 (sf); previously on Jul 2, 2015 Upgraded to Caa1 (sf) Issuer: Park Place Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2004-WCW2 Cl. M-4, Upgraded to B1 (sf); previously on Feb 28, 2013 Affirmed Caa3 (sf) Issuer: Park Place Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2004-WHQ1 Cl. M-5, Upgraded to Ba3 (sf); previously on Jun 24, 2016 Upgraded to Caa1 (sf) Cl. M-6, Upgraded to Caa3 (sf); previously on Apr 1, 2013 Affirmed C (sf) Issuer: Park Place Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2004-WWF1 Cl. M-5, Upgraded to B1 (sf); previously on Aug 10, 2015 Upgraded to Ca (sf) Issuer: Structured Asset Securities Corp 2003-AM1 Cl. M1, Upgraded to Aaa (sf); previously on Jun 24, 2016 Upgraded to A1 (sf) Issuer: Structured Asset Securities Corp Trust 2006-OPT1 Cl. A1, Upgraded to A2 (sf); previously on Jun 24, 2016 Upgraded to Baa2 (sf) Cl. A5, Upgraded to A1 (sf); previously on Jun 24, 2016 Upgraded to A3 (sf) Cl. A6, Upgraded to A2 (sf); previously on Jun 24, 2016 Upgraded to Baa2 (sf) Cl. M1, Upgraded to Ca (sf); previously on Apr 12, 2010 Downgraded to C (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 4.4% in April 2017 from 5.0% in April 2016. Moody's forecasts an unemployment central range of 4.5% to 5.5% for the 2017 year. Deviations from this central scenario could lead to rating actions in the sector. House prices are another key driver of US RMBS performance. Moody's expects house prices to continue to rise in 2017. Lower increases than Moody's expects or decreases could lead to negative rating actions. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. [*] Moody's Takes Action on $724MM of RMBS Issued 2002-2006 ----------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 22 tranches from 10 transactions and downgraded the ratings of three tranches from three 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 2003-TC1 Cl. M-2, Downgraded to B2 (sf); previously on Jul 28, 2014 Upgraded to B1 (sf) Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2006-HE1 Cl. A-1A, Upgraded to Aaa (sf); previously on Apr 7, 2016 Upgraded to Aa3 (sf) Cl. A-1B1, Upgraded to Aaa (sf); previously on Apr 7, 2016 Upgraded to Aa3 (sf) Cl. A-1B2, Currently Rated at A3 (sf); previously on Jul 5, 2016 Upgraded to A3 (sf) Underlying Rating: Upgraded to Ba1 (sf); previously on Apr 7, 2016 Upgraded to B1 (sf) Financial Guarantor: Assured Guaranty Corp (Affirmed at A3, Outlook Stable on August 8, 2016) Cl. A-2D, Upgraded to Baa3 (sf); previously on Apr 7, 2016 Upgraded to B1 (sf) Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2002-CB1 Cl. B-1, Downgraded to B1 (sf); previously on Jul 26, 2013 Upgraded to Baa1 (sf) Issuer: CIT Home Equity Loan Trust 2002-1 Cl. MF-1, Downgraded to C (sf); previously on Mar 24, 2011 Downgraded to Ca (sf) Issuer: CIT Home Equity Loan Trust 2003-1 Cl. A-5, Upgraded to A1 (sf); previously on Jul 7, 2016 Upgraded to A2 (sf) Cl. A-6, Upgraded to A1 (sf); previously on May 25, 2012 Confirmed at A2 (sf) Issuer: First Franklin Mortgage Loan Trust 2005-FF11 Cl. M-2, Upgraded to B1 (sf); previously on Sep 30, 2015 Upgraded to Caa3 (sf) Issuer: First Franklin Mortgage Loan Trust 2005-FF2 Cl. M-5, Upgraded to B1 (sf); previously on May 1, 2014 Upgraded to Caa3 (sf) Issuer: Fremont Home Loan Trust 2005-D Cl. 1-A-1, Upgraded to Aaa (sf); previously on Jul 19, 2016 Upgraded to Aa2 (sf) Cl. 2-A-4, Upgraded to A1 (sf); previously on Jul 19, 2016 Upgraded to Baa2 (sf) Cl. M1, Upgraded to B3 (sf); previously on Sep 2, 2015 Upgraded to Caa2 (sf) Issuer: GE-WMC Asset-Backed Pass-Through Certificates, Series 2005-2 Cl. A-1, Upgraded to Aaa (sf); previously on Jul 19, 2016 Upgraded to A1 (sf) Cl. A-2c, Upgraded to Baa1 (sf); previously on Jul 19, 2016 Upgraded to Ba2 (sf) Cl. A-2d, Upgraded to Baa2 (sf); previously on Jul 19, 2016 Upgraded to Ba3 (sf) Issuer: J.P. Morgan Mortgage Acquisition Corp. 2006-HE2 Cl. A-1, Upgraded to Baa3 (sf); previously on Jul 19, 2016 Upgraded to Ba1 (sf) Cl. A-4, Upgraded to Ba3 (sf); previously on Jul 19, 2016 Upgraded to Caa1 (sf) Cl. A-5, Upgraded to B1 (sf); previously on Jul 19, 2016 Upgraded to Caa2 (sf) Issuer: People's Choice Home Loan Securities Trust 2005-3 Cl. M3, Upgraded to B1 (sf); previously on Sep 2, 2015 Upgraded to B2 (sf) Issuer: Popular ABS Mortgage Pass-Through Trust 2006-C Cl. A-4, Upgraded to Aa1 (sf); previously on Jul 19, 2016 Upgraded to A1 (sf) Issuer: Soundview Home Loan Trust 2006-OPT3 Cl. I-A-1, Upgraded to A2 (sf); previously on Jul 19, 2016 Upgraded to Baa1 (sf) Cl. II-A-3, Upgraded to A2 (sf); previously on Jul 19, 2016 Upgraded to Baa2 (sf) Cl. II-A-4, Upgraded to Baa1 (sf); previously on Jul 19, 2016 Upgraded to Ba1 (sf) RATINGS RATIONALE The rating upgrades are primarily due to the total credit enhancement available to the bonds. The rating downgrade on CIT Home Equity Loan Trust 2002-1 Class MF-1 is due to an increase in the expectation of principal loss projected for the tranche. The rating downgrades on ACE Securities Corp. Home Equity Loan Trust, Series 2003-TC1 Class M-2 and C-BASS Mortgage Loan Asset-Backed Certificates, Series 2002-CB1 Class B-1 are due to outstanding interest shortfalls on the bonds that are unlikely to be recouped. 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 4.4% in April 2017 from 5.0% in April 2016. Moody's forecasts an unemployment central range of 4.5% to 5.5% for the 2017 year. Deviations from this central scenario could lead to rating actions in the sector. House prices are another key driver of US RMBS performance. Moody's expects house prices to continue to rise in 2017. Lower increases than Moody's expects or decreases could lead to negative rating actions. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. [*] S&P Completes Review of 74 Classes From 13 US RMBS Deals ------------------------------------------------------------ S&P Global Ratings completed its review of 74 classes from 13 U.S. residential mortgage-backed securities (RMBS) transactions issued between 2003 and 2006. The review yielded eight upgrades, 17 downgrades, 48 affirmations, and one withdrawal. The transactions in this review are backed by a mix of fixed- and adjustable-rate prime jumbo 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 its 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 or delinquency trends; and/or -- Increased credit support relative to our projected losses. The upgrades include five 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 period compared with the previous review date, and four were due to increased credit support and the classes' ability to withstand a higher level of projected losses than previously anticipated. The upgrades on class A-1 from One Mortgage Partners LLC Mortgage Pass-Through Certificates MPF Shared Funding Program Series 2003-1 Trust and class B-1 from HarborView Mortgage Loan Trust 2003-2 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 with those reported during the previous review dates. The former transaction's severe delinquencies decreased to 2.8% in February 2017 from 6.6% in December 2014. HarborView Mortgage Loan Trust 2003-2's severe delinquencies decreased to 3.2% in February 2017 from 9.0% in March 2015. Severe delinquencies are defined as any loan that is 60-plus days delinquent, in foreclosure or real estate-owned status, or in bankruptcy. The upgrades on classes 1-A, 2-A, 3-A, 4-A, 5-A-I, and 5-A-II from GMACM Mortgage Loan Trust 2004-AR2 reflect increased credit support and the classes' ability to withstand a higher level of projected losses than previously anticipated. The increase in credit support is attributed to a greater allocation of principal to the senior classes in the payment structure because of failing triggers and deal-specific principal payment allocation mechanics benefiting these classes. Credit support for classes 1-A, 2-A, 3-A, 4-A, and 5-A-II increased to 7.3% in February 2017 from 5.0% in December 2014. Credit support for class 5-A-I increased to 14.6% in February 2017 from 12.5% in December 2014. DOWNGRADES Of the 17 lowered ratings, four of the lowered ratings remain at an investment-grade level, while the remaining 13 downgraded classes already had speculative-grade ratings. The downgrades reflect our belief that our projected credit support for the affected classes will be insufficient to cover S&P's projected losses for the related transactions at a higher rating. The downgrades reflect one or more of these: -- Deteriorated credit performance trends; -- Default virtually certain; -- Eroded credit support; -- Interest-only criteria; -- Principal-only criteria; -- Principal writedowns; and/or -- Rising constant prepayments rates (CPRs). The downgrades include one rating that was lowered three notches due to rising CPRs resulting in faster paydowns of junior support classes. S&P lowered the rating on class B-3 from Merrill Lynch Mortgage Investors Trust Series MLCC 2004-F to 'D (sf)' because of principal writedowns incurred by this class. The downgrades on class A from GMACM Mortgage Loan Trust 2003-J8 and class I-A from Merrill Lynch Mortgage Investors Trust Series 2006-3 reflect the increase in S&P's projected losses and its belief that the projected credit support for the affected classes will be insufficient to cover the projected losses S&P applied at the previous rating levels. The increase in S&P's projected losses is due to higher reported delinquencies during the most recent performance periods than those reported during the previous review dates. GMACM Mortgage Loan Trust 2003-J8's severe delinquencies increased to 15.2% in February 2017 from 10.4% in December 2014. Merrill Lynch Mortgage Investors Trust Series 2006-3's group one severe delinquencies increased to 23.3% in February 2017 from 4.4% in February 2015. The downgrades on classes A-1, A-2, and A-3B from Merrill Lynch Mortgage Investors Trust Series MLCC 2003-H reflect an increase in the prepayment rate observed for the underlying pool. The higher prepayments have allowed more principal payments to be made to the transaction's subordinate classes, eroding credit support for the senior classes and leaving them vulnerable to potential back-ended losses. The 12-month CPR has increased to 13.0% as of February 2017 from 8.8% as of February 2016. The downgrades on classes 1A-2, 1A-3, and 4A-1 from GSR Mortgage Loan Trust 2005-1F, class 3A2 from GSR Mortgage Loan Trust 2005-AR4, and classes 2-A-1, 2-A-2, 2-A-3, and 2-A-8 from JPMorgan Mortgage Trust 2005-S1 are due to decreased credit enhancement available to these classes. All of these classes have experienced the paydowns and writedowns of junior support classes, therefore eroding credit support. As a result, these classes are exposed to potential back-ended losses. The downgrade on class B-2 from One Mortgage Partners LLC Mortgage Pass-Through Certificates MPF Shared Funding Program Series 2003-1 Trust reflects S&P's view that default is virtually certain. As of February 2017, class B-2's credit support totaled $18,389.14, and with $472,229.40 of the collateral pool seriously delinquent, we view principal writedowns as virtually certain. The rating actions on interest-only (IO) classes reflect the application of S&P's IO criteria, which provide that S&P will maintain the current ratings on an IO class until all of the classes that the IO security references are either lowered to below 'AA- (sf)' or have been retired--at which time S&P will withdraw the ratings on these IO classes. 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 these criteria. AFFIRMATIONS The affirmations of ratings in the 'AAA' through 'B' rating categories reflect S&P's opinion that its projected credit support on these classes remained relatively consistent with S&P's prior projections and is sufficient to cover its projected losses for those rating scenarios. For certain transactions, S&P considered specific performance characteristics that, in its view, could add volatility to its loss assumptions and, in turn, to the ratings suggested by S&P's cash flow projections. When S&P's model recommended an upgrade, it either limited the extent of its upgrade or affirmed its ratings on those classes to account for this uncertainty and promote ratings stability. In general, these classes have one or more of these characteristics that limit any potential upgrade: -- Insufficient subordination, overcollateralization, or both; -- Delinquency trends; -- Historical interest shortfalls; and/or -- Tail risk exposure. 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 'AAA (sf)' affirmation on class A-3A from Merrill Lynch Mortgage Investors Trust Series MLCC 2003-H accounts for the fact that class A-3A benefits from a credit enhancement floor in the form of a senior support class, which will not be allocated principal until class A-3A is paid down. Per "U.S. RMBS Surveillance Credit And Cash Flow Analysis For Pre-2009 Originations," published March 2, 2016, the maximum rating of any RMBS will typically be 'AA+' if the payment waterfall allows for pro rata distribution of principal to senior and subordinated securities and the transaction does not provide for a credit enhancement floor or an equivalent functional mechanism. This is intended to reflect S&P's view of the increased uncertainty and event risk in the tail-end of such transactions. However, in the case of class A-3A, S&P believes this risk is mitigated by its credit enhancement structure. 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. WITHDRAWALS S&P withdrew its rating on class 4A1 from GSR Mortgage Loan Trust 2005-AR4. In this transaction, cross-subordination has been depleted because all junior classes have been written down; therefore, credit instability is addressed in the related collateral group level. In this situation, once 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. [*] S&P Takes Various Rating Actions on 34 Classes From 10 RMBS --------------------------------------------------------------- S&P Global Ratings completed its review of 34 classes from 10 U.S. residential mortgage-backed securities (RMBS) transactions issued between 2000 and 2007. The review yielded 13 upgrades, three downgrades, 15 affirmations, and three withdrawals. For 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 on the underlying obligation, without considering the potential credit enhancement from the bond insurance. The reviewed transactions have seven classes that were insured by a rated insurance provider when the deal was originated, but S&P Global Ratings has since withdrawn the rating on the insurance provider of those classes. 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; and -- Increased constant prepayment rates. The upgrades include 11 ratings that were raised three or more notches. All of these were due to an increase in credit support and the classes' ability to withstand a higher level of projected losses than previously anticipated. This table shows the change in credit support for each class since the last review. Transaction Date of Credit support (%) name Class last review Prior Current Irwin Whole Loan Home Equity Trust 2005-C 1M-3 November 2015 35.80 54.71 1M-4 November 2015 29.23 44.71 1B-1 November 2015 19.24 29.50 2M-3 November 2015 38.99 83.10 2M-4 November 2015 18.33 41.34 RAAC Series 2007-SP1 Trust A-3 December 2014 37.39 51.58 M-1 December 2014 22.97 30.41 Home Loan Trust 2000-HI5 A-I-7 November 2015 62.86 97.31 Home Loan Trust 2001-HI1 A November 2015 59.81 89.71 Home Loan Trust 2001-HI4 A-7 November 2015 44.40 64.87 Home Loan Trust 2002-HI1 A-7 November 2015 53.75 94.96 In addition, since the last review delinquencies decreased for classes 2M-3 and 2M-4 from Irwin Whole Loan Home Equity Trust 2005-C to 8.85% as of April 2017 from 16.56% in October 2015. This resulted in a much lower default assumption, which contributed to the upgrades. DOWNGRADES Two of the lowered ratings remained at an investment-grade level, while the remaining downgraded class already had a speculative-grade rating. The downgrades reflect reduced interest payments over time due to loan modifications or other credit-related events and/or deteriorated credit performance trends. Loan Modifications And Imputed Promises S&P lowered its ratings on classes A-I-6A and A-I-6B from RAMP Series 2003-RS11 Trust to reflect the application of S&P's imputed promises criteria, which resulted in a maximum potential rating (MPR) lower than the previous rating on each of 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 S&P 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 our 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. The ratings affirmed at 'CCC (sf)' or 'CC (sf)' reflect S&P's belief that its projected credit support will remain insufficient to cover its 'B' expected case projected losses for these classes. Pursuant to "Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings," published Oct. 1, 2012, the 'CCC (sf)' affirmations reflect S&P's view that these classes are still vulnerable to defaulting, and the 'CC (sf)' affirmations reflect S&P's view that these classes remain virtually certain to default. WITHDRAWALS S&P withdrew its ratings on classes A-5 and A-P from RALI Series 2002-QS8 Trust and class A from HLTV Mortgage Loan Trust 2004-1 because the related pool has 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. ********* 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. 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