/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/170723.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, July 23, 2017, Vol. 21, No. 203 Headlines A10 BRIDGE 2015-A: DBRS Assigns B(sf) Rating on Class F-1 Debt ACCESS GROUP 2001: Fitch Hikes Rating on Cl. II B Notes From BBsf ALM VI: S&P Assigns BB Rating on Class D-RR Notes Amid Refinancing ANCHORAGE CAPITAL 6: Moody's Assigns Ba3 Rating to Class E-R Notes ATLAS FUND V: S&P Assigns Prelim. BB- Rating on Class E -R2 Notes BEAR STEARNS 1999-WF2: Moody's Affirms Csf Rating on Class X Certs BLACK CLO 2014-1: S&P Affirms 'BB' Rating on Class D Notes CATHEDRAL LAKE II: S&P Assign Prelim. BB- Rating on 2 Tranches CATHEDRAL LAKE III: S&P Gives Prelim BB- Rating on Cl. E-R Notes CD 2017-CD5: Fitch Assigns 'BB-sf' Ratings on 2 Tranches CFIP CLO 2014-1: S&P Assigns BB- Rating on Class E-R Notes CIFC FUNDING 2017-III: Moody's Assigns Ba3sf Rating to Cl. D Notes COA SUMMIT: Moody's Affirms Ba2(sf) Rating on Cl. D Secured Notes CONNECTICUT AVENUE 2017-C05: Moody's Rates 13 Tranches '(P)B2' CPS AUTO 2017-C: S&P Assigns Prelim. BB- Rating on Class E Notes FREDDIE MAC 2017-SC02: Moody's Gives (P)Ba3 Rating to Cl. M-2 Debt GREYWOLF CLO IV: S&P Affirms B Rating on Class E Notes GS MORTGAGE 2007-GKK1: Moody's Affirms Csf Rating on Cl. A-1 Certs JP MORGAN 2006-CIBC16: Moody's Lowers on Class B Certs to C(sf) JP MORGAN 2012-C8: DBRS Confirms B(sf) Rating on Class G Debt JPMCC COMMERCIAL 2017-JP7: Fitch to Rate Class G-RR Certs 'Bsf' KINGSLAND LTD IV: Moody's Affirms Caa1(sf) Rating on Class E Notes KKR CLO 9: Moody's Assigns Ba3(sf) Rating to Class E-R Sr. Notes ML-CFC COMMERCIAL 2006-1: DBRS Confirms BB(high) Rating on B Debt MORGAN STANLEY 2006-HQ9: S&P Lowers Class E Rating to 'B-' MORGAN STANLEY 2006-IQ12: Fitch Cuts Rating on Cl. A-J Certs. to C MORGAN STANLEY 2007-IQ14: Moody's Hikes Rating on 2 Tranches to Ba1 OCTAGON INVESTMENT 32: Moody's Assigns (P)Ba3 Rating to Cl. E Debt OCTAGON INVESTMENT XV: S&P Gives Prelim BB- Rating to Cl. E-R Notes RAIT CRE I: Moody's Affirms B1 Rating on Class B Debt RBSCF TRUST 2009-RR1: Fitch Cuts Rating on Cl. JPMCC-B Certs to BB SLC STUDENT 2008-2: S&P Lowers Rating on 2 Tranches to BB STONEY LANE I: Moody's Affirms Ba2(sf) Rating on Class D Notes TCW CLO 2017-1: S&P Assigns Prelim. BB- Rating on Class E Notes TICP CLO VII: Moody's Assigns Ba3(sf) Rating to Class E Notes TOWD POINT 2017-3: DBRS Assigns B(sf) Ratings to Class B2 Notes VOYA CLO 2017-3: S&P Assigns BB- Rating on Class D $519.30MM Notes WELLS FARGO 2012-LC5: Moody's Affirms B2sf Rating on Class F Certs WELLS FARGO 2016-C35: Fitch Affirms 'Bsf' Rating on Class F Certs WELLS FARGO 2017-C38: Fitch Assigns 'B-sf' Rating to Class F Certs WHITEHORSE IX: Moody's Lowers Rating on Class F Notes to B3(sf) [*] Fitch Lowers Ratings in 7 Tranches From 4 CMBS Deals to D [*] Moody's Hikes $568MM of Subprime RMBS Issued 2001-2005 [*] Moody's Puts 105 RMBS Tranches on Review for Possible Downgrade [*] Moody's Takes Action on $1.8BB of RMBS Issued 2013-2016 [*] Moody's Takes Action on $203MM of RMBS Issued 2005-2008 [*] S&P Takes Various Actions on 23 Classes From Five US RMBS Deals [*] S&P Takes Various Actions on 68 Classes From 8 RMBS Deals ********* A10 BRIDGE 2015-A: DBRS Assigns B(sf) Rating on Class F-1 Debt -------------------------------------------------------------- DBRS, Inc. on July 5, 2017, assigned the following ratings to A10 Bridge Asset Financing 2015-A, LLC (the Issuer): -- Class A-1 at AAA (sf) -- Class B-1 at A (low) (sf) -- Class C-1 at BBB (sf) -- Class D-1 at BBB (low) (sf) -- Class E-1 at BB (sf) -- Class F-1 at B (sf) All trends are Stable. Classes A-1, B-1, C-1 and D-1 represent the offered certificates. Classes E-1 and F-1 are non-offered certificates and along with the Membership Interests, have been retained by an affiliate of the Issuer. In conjunction with these rating actions, DBRS has discontinued and withdrawn the ratings on the Class A Senior Variable Funding Notes and Class B Senior Subordinated Variable Funding Notes as the transaction has been fully funded and formally converted into notes by the Issuer. The collateral consists of 24 loans, secured by 33 commercial properties, all originated by A10 Capital, LLC (A10). A10 specializes in mini-perm loans that typically have three- to five-year terms with extension options and are used to finance properties until they are fully stabilized. The borrowers are often new equity sponsors of fairly well-positioned assets within their respective markets. A10’s initial advance is the senior debt component typically for the purchase of a real estate-owned acquisition or discounted payoff. The properties are often transitioning, with potential upside in the cash flow; however, DBRS does not give full credit to the stabilization if there are no holdbacks or if other loan structural features in place were insufficient to support such treatment. Furthermore, even with structure provided, DBRS generally does not assume the assets will stabilize above market levels. The ratings assigned by DBRS contemplate timely payments of distributable interest and, in the case of the senior subordinate notes other than the Class A-1 Notes, ultimate recovery of Deferred Collateralized Note Interest Amounts (inclusive of interest payable thereon at the applicable rate, to the extent permitted by law). Accordingly, DBRS will assign its Interest in Arrears designation to any class of Offered Notes (other than the Class A-1 Notes) during any Interest Accrual Period when such class accrues Deferred Collateralized Note Amounts. The ratings assigned to the Notes by DBRS are based exclusively on the credit provided by the transaction structure and underlying trust assets. All classes are subject to ongoing surveillance, which could result in upgrades or downgrades by DBRS after the date of issuance. ACCESS GROUP 2001: Fitch Hikes Rating on Cl. II B Notes From BBsf ----------------------------------------------------------------- Fitch Ratings has upgraded the Access Group Inc., Series 2001 Indenture of Trust (Group II) floating rate student loan asset-backed notes as follows: -- Class II A-1 to 'AAsf' from 'Asf'; Outlook revised to Positive from Stable; -- Class II B to 'BBBsf' from 'BBsf'; Outlook revised to Positive from Stable. The upgrades reflect the transaction's sound performance as well as the increased credit enhancement available to the notes. Further improvements to the portfolio performance and continued deleveraging of the notes may result in additional positive rating actions, as reflected by the Positive Outlooks. KEY RATING DRIVERS Collateral Quality: The trust is collateralized by approximately $50.5 million of private student loans, $3.7 million of realized collections credited to the collections account and $300,000 capitalized interest account, as of the May 2017 distribution date. The loans were originated under Access Group's Private Student Loan Program. The projected remaining defaults are expected to be at 4.3%% of the outstanding portfolio balance. Fitch has applied a stress multiple of 4x at 'AAAsf' and of about 2.6x at 'Asf', respectively. A recovery rate of 25% was applied, which was determined to be appropriate based on data provided by the issuer. Credit Enhancement: CE is provided by overcollateralization, excess spread, and for the senior notes, subordination provided by the class B notes. As of the May 2017 distribution date, the senior and total parity ratios have increased to 118.12% and 108.10% from 115.17% and 105.41% a year ago, respectively. Any excess cash in the trust is applied as additional principal payment for the mandatory redemption of the outstanding notes. Liquidity Support: Liquidity support is provided by a $300,000 capitalized interest account, which adequately mitigates payment interruption risk, in Fitch's view Servicing Capabilities: Day-to day servicing is provided by Conduent Inc. Fitch believes their servicing operations are acceptable servicer of private student loans at this time. RATING SENSITIVITIES As Fitch's base case default proxy is derived primarily from historical collateral performance, actual performance may differ from the expected performance, resulting in higher loss levels and/or prepayment speeds than the base case. This will result in a decline in available CE and the remaining loss coverage levels available to the notes. Therefore, note ratings may be susceptible to potential negative rating actions, depending on the extent of the decline in the coverage. ALM VI: S&P Assigns BB Rating on Class D-RR Notes Amid Refinancing ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to the class A-1-RR, A-2-RR, B-1-RR, B-2-RR, C-RR, D-RR notes replacement notes from ALM VI Ltd., a collateralized loan obligation (CLO) originally issued in 2012 that is managed by Apollo Credit Management LLC. S&P said, "We withdrew our ratings on the class A-1-R, A-2-R, B-1-R, B-2-R, C-R, and D-R notes following payment in full on the July 17, 2017, refinancing date. At the same time, we affirmed our rating on the class E-R notes, which were not part of this." On the July 17, 2017, refinancing date, the proceeds from the class A-1-RR, A-2-RR, B-1-RR, B-2-RR, C-RR, D-RR replacement note issuances were used to redeem the class A-1-R, A-2-R, B-1-R, B-2-R, C-R, and D-R notes as outlined in the transaction document provisions. S&P said, "Therefore, we withdrew our ratings on the class A-1-R, A-2-R, B-1-R, B-2-R, C-R, and D-R notes in line with their full redemption, and we are assigning ratings to the replacement notes. "Our 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 our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches. "The assigned ratings reflect our opinion that the credit support available is commensurate with the associated rating levels. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and we will take rating actions as we deem necessary." RATINGS ASSIGNED ALM VI Ltd. Replacement class Rating Amount (mil. $) A-1-RR AAA (sf) 321.50 A-2-RR AA (sf) 51.50 B—1-RR A (sf) 29.50 B-2-RR A (sf) 15.00 C-RR BBB (sf) 23.00 D-RR BB (sf) 20.00 RATING AFFIRMED Class Rating E-R B (sf) RATINGS WITHDRAWN ALM VI Ltd. Rating Original class To From A-1-R NR AAA (sf) A-2-R NR AA (sf) B-1-R NR A (sf) B-2-R NR A (sf) C-R NR BBB (sf) D-R NR BB (sf) NR--Not rated. ANCHORAGE CAPITAL 6: Moody's Assigns Ba3 Rating to Class E-R Notes ------------------------------------------------------------------ Moody's Investors Service has assigned the following ratings to the following notes (the "Refinancing Notes") issued by Anchorage Capital CLO 6, Ltd.: US$3,500,000 Class X Senior Secured Floating Rate Notes due 2030 (the "Class X Notes"), Assigned Aaa (sf) US$343,750,000 Class A-R Senior Secured Floating Rate Notes due 2030 (the "Class A-R Notes"), Assigned Aaa (sf) US$53,250,000 Class B-1-R Senior Secured Floating Rate Notes due 2030 (the "Class B-1-R Notes"), Assigned Aa2 (sf) US$10,000,000 Class B-2-R Senior Secured Fixed Rate Notes due 2030 (the "Class B-2-R Notes"), Assigned Aa2 (sf) US$29,100,000 Class C-R Mezzanine Secured Deferrable Floating Rate Notes due 2030 (the "Class C-R Notes"), Assigned A2 (sf) US$38,100,000 Class D-R Mezzanine Secured Deferrable Floating Rate Notes due 2030 (the "Class D-R Notes"), Assigned Baa3 (sf) US$31,500,000 Class E-R Junior Secured Deferrable Floating Rate Notes due 2030 (the "Class E-R Notes"), Assigned Ba3 (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. Anchorage Capital Group, L.L.C. (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 July 17, 2017 (the "Refinancing Date") in connection with the refinancing of all classes of the secured notes (the "Refinanced Original Notes") previously issued on April 15, 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 have occurred in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; and changes to the overcollateralization test levels. 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: $549,680,400 Defaulted par: $0 Diversity Score: 55 Weighted Average Rating Factor (WARF): 3105 Weighted Average Spread (WAS): 3.90% Weighted Average Coupon (WAC): 7.50% Weighted Average Recovery Rate (WARR): 48.0% Weighted Average Life (WAL): 9.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in October 2016. Factors That Would Lead to an Upgrade or 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% (from 3105 to 3571) Rating Impact in Rating Notches Class X Notes: 0 Class A-R Notes: 0 Class B-1-R Notes: -2 Class B-2-R Notes: -2 Class C-R Notes: -2 Class D-R Notes: -1 Class E-R Notes: 0 Percentage Change in WARF -- increase of 30% (from 3105 to 4037) Rating Impact in Rating Notches Class X Notes: 0 Class A-R Notes: -1 Class B-1-R Notes: -3 Class B-2-R Notes: -3 Class C-R Notes: -4 Class D-R Notes: -2 Class E-R Notes: -1 ATLAS FUND V: S&P Assigns Prelim. BB- Rating on Class E -R2 Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-R2, B-R2, C-R2, D-R2, and E-R2 replacement notes and class X notes from Atlas Senior Loan Fund V Ltd., a collateralized loan obligation (CLO) originally issued in 2014 that is managed by Crescent Capital Group L.P. The replacement notes will be issued via a proposed supplemental indenture. The preliminary ratings reflect S&P's opinion that the credit support available is commensurate with the associated rating levels. The preliminary ratings are based on information as of July 12, 2017. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the July 17, 2017, refinancing date, the proceeds from the replacement note issuance are expected to redeem the previously refinanced and original notes. At that time, S&P said, "we anticipate withdrawing the ratings on those notes and assigning ratings to the replacement notes. However, if the refinancing doesn't occur, we may affirm the ratings on the previously refinanced and original notes and withdraw our preliminary ratings on the replacement notes." The replacement notes are being issued via a proposed supplemental indenture. Based on the provisions in the amended and restated indenture: -- The replacement class A-R2, B-R2, and C-R2 notes are expected to be issued at a lower spread than the previously refinanced notes. -- The replacement class D-R2 and E-R2 notes are expected to be issued at a higher spread than the original notes. -- The stated maturity, reinvestment period, and weighted average life test will each be extended four years. -- The issuer is also now issuing a class X note and the target par amount will be reduced by $3 million. -- 96.99% of the underlying collateral obligations have credit ratings assigned by S&P Global Ratings. -- 95.50% of the underlying collateral obligations have recovery ratings issued by S&P Global Ratings. S&P said, "Our 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 our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and we will take further rating actions as we deem necessary." PRELIMINARY RATINGS ASSIGNED Atlas Senior Loan Fund V Ltd./Atlas Senior Loan Fund V LLC Replacement class Rating Amount (mil. $) X AAA (sf) 2.60 A-R2 AAA (sf) 320.00 B-R2 AA (sf) 60.00 C-R2 (deferrable) A (sf) 30.00 D-R2 (deferrable) BBB- (sf) 25.00 E-R2 (deferrable) BB- (sf) 25.00 BEAR STEARNS 1999-WF2: Moody's Affirms Csf Rating on Class X Certs ------------------------------------------------------------------ Moody's Investors Service has affirmed the rating on one interest only (IO) class of Bear Stearns Commercial Mortgage Securities Inc., Commercial Pass-Through Certificates, Series 1999-WF2: X, Affirmed C (sf); previously on Jun 9, 2017 Downgraded to C (sf) RATINGS RATIONALE The rating on the IO class X was affirmed based on the credit quality of its referenced classes. The IO class is the only outstanding Moody's rated class in this transaction. Moody's rating action reflects a base expected loss of 0.2% of the current balance, the same as at Moody's last review. Moody's base expected loss plus realized losses is now 1.8% of the original pooled balance, compared to 1.7% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING: An IO class may be subject to ratings upgrades if there is an improvement in the credit quality of its referenced classes, subject to the limits and provisions of the updated IO methodology. An IO class may be subject to ratings downgrades if there is (i) a decline in the credit quality of the reference classes and/or (ii) paydowns of higher quality reference classes, subject to the limits and provisions of the updated IO methodology. METHODOLOGY UNDERLYING THE RATING ACTION: The methodologies used in this rating were "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in December 2014 and"Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in October 2015. Additionally, the methodology used in rating Cl. X was "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. DEAL PERFORMANCE As of the June 15, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 99% to $13.8 million from $1.081 billion at securitization. The Certificates are collateralized by 25 mortgage loans ranging in size from less than 1% to 5% of the pool, with the top ten loans representing 25% of the pool. Thirteen loans, representing 74% of the pool have defeased and are secured by US Government securities. Two loans, representing 2% of the pool, are on the master servicer's watchlist. The watchlist includes loans which 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, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Sixteen loans have been liquidated from the pool, resulting in an aggregate realized loss of $19 million (30% loss severity on average). There are currently no loans in special servicing. Moody's was provided with full year 2016 and partial year 2017 operating results for 100% and 70% of the pool, respectively. Moody's weighted average conduit LTV is 8% compared to 12% at Moody's prior review. Moody's conduit component excludes loans with credit assessments, defeased loans and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 13% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.1%. Moody's actual and stressed conduit DSCRs are 1.80X and greater than 4.00X, respectively. 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% stressed rate applied to the loan balance. The top three conduit loans represent 11% of the pool balance. The largest is the Acorn Paper Products Loan ($676,277 -- 4.9% of the pool), which is secured by a 189,166 square foot (SF) industrial and office space located in Los Angeles, California. The property is currently 100% leased to Oak Paper Products Company, Inc. with a NNN lease through August 2018. The loan is fully amortizing and matures in December 2018. Due to single tenant exposure, Moody's incorporated a Lit/Dark analysis. Moody's LTV and stressed DSCR are 10% and 4.00X, respectively. The second largest loan is the Sobol Apartments Loan ($520,152 -- 3.8%), which is secured by three multifamily communities located in Pittsburgh, Pennsylvania. The properties are within blocks of major universities and are mainly occupied by college students. The properties were 99% occupied as of December 2016. The loan is fully amortizing and matures in December 2018. Moody's LTV and stressed DSCR are 5% and 4.00X, respectively. The third largest loan is the Artesia Senior Center Loan ($338,143 -- 2.5%), which is secured by a 3-story, 100-unit, independent living community located in Bellflower, California, approximately 14 miles west of Anaheim. The surrounding area is well established and includes a mix of single and multifamily homes as well commercial businesses. The loan is fully amortizing and matures in December 2018. Moody's LTV and stressed DSCR are 5% and 4.00X, respectively. BLACK CLO 2014-1: S&P Affirms 'BB' Rating on Class D Notes ---------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1-R, A-2-R, B-1-R, B-2-R, and C-R replacement notes from Black Diamond CLO 2014-1 Ltd., a collateralized loan obligation (CLO) originally issued in 2014 that is managed by Black Diamond Capital Management LLC. S&P said, "We withdrew our ratings on the original class A-1, A-2, B-1, B-2, and C notes following payment in full on the July 17, 2017, refinancing date. At the same time, we affirmed our rating on the class D notes." On the July 17, 2017, refinancing date, the proceeds from the class A-1-R, A-2-R, B-1-R, B-2-R, and C-R replacement note issuances were used to redeem the original class A-1, A-2, B-1, B-2, and C notes as outlined in the transaction document provisions. S&P said, "Therefore, we withdrew our ratings on the original notes in line with their full redemption, and we assigned ratings to the replacement notes. S&P added, "Our 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 our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches. "The assigned ratings reflect our opinion that the credit support available is commensurate with the associated rating levels. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and we will take rating actions as we deem necessary." RATINGS ASSIGNED Black Diamond CLO 2014-1 Ltd. Replacement class Rating Amount (mil $) A-1-R AAA (sf) 247.10 A-2-R AA (sf) 44.30 B-1-R A (sf) 24.80 B-2-R A (sf) 13.00 C-R BBB (sf) 20.70 RATING AFFIRMED Black Diamond CLO 2014-1 Ltd. Original class Rating D BB (sf) RATINGS WITHDRAWN Black Diamond CLO 2014-1 Ltd. Rating Original class To From A-1 NR AAA (sf) A-2 NR AA (sf) B-1 NR A (sf) B-2 NR A (sf) C NR BBB (sf) CATHEDRAL LAKE II: S&P Assign Prelim. BB- Rating on 2 Tranches -------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-1-R, A-X-R, B-R, C-R, D-R, E-1-R, and E-2-R replacement notes from Cathedral Lake II Ltd./Cathedral Lake II LLC a collateralized loan obligation (CLO) originally issued in 2015 that is managed by Carlson CLO Advisers LLC. The replacement notes will be issued via a proposed amended indenture. The preliminary ratings reflect S&P's opinion that the credit support available is commensurate with the associated rating levels. The preliminary ratings are based on information as of July 13, 2017. Subsequent information may result in the assignment of final ratings that differs from the preliminary ratings. On the July 17, 2017, refinancing date, the proceeds from the issuance of the replacement notes are expected to redeem the original notes. At that time, S&P said, "we anticipate withdrawing the ratings on the original notes and assigning ratings to the replacement notes. However, if the refinancing doesn't occur, we may affirm the ratings on the original notes and withdraw our preliminary ratings on the replacement notes. "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction as presented to us in connection with this review, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches. The results of the cash flow analysis demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the preliminary rating levels associated with these rating actions." PRELIMINARY RATINGS ASSIGNED Cathedral Lake II Ltd./Cathedral Lake II LLC Replacement class Rating Amount (mil. $) A-1-R AAA (sf) 257.00 A-X-R AAA (sf) 2.50 B-R AA (sf) 46.75 C-R A (sf) 26.25 D-R BBB (sf) 20.40 E-1-R BB- (sf) 12.25 E-2-R BB- (sf) 7.00 CATHEDRAL LAKE III: S&P Gives Prelim BB- Rating on Cl. E-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-1-R loans and class A-R, B-R, C-R, D-R, and E-R replacement notes from Cathedral Lake III Ltd./Cathedral Lake III LLC a collateralized loan obligation (CLO) originally issued in 2015 that is managed by Carlson CLO Advisers LLC. The replacement notes will be issued via a proposed amended indenture. The preliminary ratings reflect S&P's opinion that the credit support available is commensurate with the associated rating levels. The preliminary ratings are based on information as of July 12, 2017. Subsequent information may result in the assignment of final ratings that differs from the preliminary ratings. On the July 17, 2017, refinancing date, the proceeds from the issuance of the replacement notes are expected to redeem the original notes. At that time, S&P anticipates withdrawing the ratings on the original notes and assigning ratings to the replacement notes. However, if the refinancing doesn't occur, S&P may affirm the ratings on the original notes and withdraw its preliminary ratings on the replacement notes. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction as presented to us in connection with this review, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches. The results of the cash flow analysis demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the preliminary rating levels associated with these rating actions." PRELIMINARY RATINGS ASSIGNED Cathedral Lake III Ltd./Cathedral Lake III LLC Replacement class Rating Amount (mil. $) A-1-R loans AAA (sf) 241.65 A-R AAA (sf) 15.35 B-R AA (sf) 46.00 C-R A (sf) 24.00 D-R BBB (sf) 21.00 E-R BB- (sf) 20.00 CD 2017-CD5: Fitch Assigns 'BB-sf' Ratings on 2 Tranches -------------------------------------------------------- Fitch Ratings has issued a presale report on CD 2017-CD5 Mortgage Trust Commercial Mortgage Pass-Through Certificates, Series 2017-CD5 and expects to rate the transaction and assign Rating Outlooks as follows: -- $32,096,000 class A-1 'AAAsf'; Outlook Stable; -- $70,987,000 class A-2 'AAAsf'; Outlook Stable; -- $225,000,000 class A-3 'AAAsf'; Outlook Stable; -- $252,232,000 class A-4 'AAAsf'; Outlook Stable; -- $47,057,000 class A-AB 'AAAsf'; Outlook Stable; -- $730,440,000b class X-A 'AAAsf'; Outlook Stable; -- $39,211,000b class X-B 'AA-sf'; Outlook Stable; -- $32,489,000b class X-C 'A-sf'; Outlook Stable; -- $103,068,000 class A-S 'AAAsf'; Outlook Stable; -- $39,211,000 class B 'AA-sf'; Outlook Stable; -- $32,489,000 class C 'A-sf'; Outlook Stable; -- $39,211,000ab class X-D 'BBB-sf'; Outlook Stable; -- $15,684,000ab class X-E 'BB-sf'; Outlook Stable; -- $39,211,000a class D 'BBB-sf'; Outlook Stable; -- $15,684,000a class E 'BB-sf'; Outlook Stable; -- $8,962,000ad class F 'B-sf'; Outlook Stable. The following are not expected to be rated: -- $30,249,217ad class G; -- $35,402,658c VRR Interest. (a) Privately placed and pursuant to Rule 144A. (b) Notional amount and interest only. (c) Vertical credit risk retention interest representing approximately 3.8% of the pool balance (as of the closing date). (d) Class F and G certificates, in the aggregate initial certificate balance of approximately $39,211,217, constitute the eligible horizontal residual interest to satisfy a portion of the sponsor's risk retention obligation. The combined interest retained by both the vertical credit risk retention and horizontal residual interest is no less than 5.0%. The expected ratings are based on information provided by the issuer as of July 16, 2017. The certificates represent the beneficial ownership interest in the trust, primary assets of which are 48 loans secured by 134 commercial properties having an aggregate principal balance of $931,648,876 as of the cut-off date. The loans were contributed to the trust by Citigroup Global Markets Realty Corp. and Deutsche Bank Trust Company Americas. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 75.9% of the properties by balance, cash flow analysis of 78.1%, and asset summary reviews on 100% of the pool. KEY RATING DRIVERS Lower Fitch Leverage than Recent Transactions: The pool's leverage is lower than recent Fitch-rated multiborrower transactions. The Fitch DSCR and LTV for the pool are 1.27x and 97.7%, respectively, which is better than the YTD 2017 averages of 1.23x and 102.4%. Excluding investment-grade credit opinion loans, the pool has a Fitch DSCR and LTV of 1.23x and 108.0%, respectively. Investment-Grade Credit Opinion Loans: Three loans, representing 22.7% of the pool, have investment-grade credit opinions; this is better than the YTD 2017 average credit opinion concentration of 9.0% in recent transactions. General Motors Building (10.7% of the pool) has an investment-grade credit opinion of 'AAAsf'* on a stand-alone basis, while 245 Park Avenue (5.5% of the pool) and Olympic Tower (6.4% of the pool) have investment-grade credit opinions of 'BBB-sf'* and 'BBBsf'*, respectively, on a stand-alone basis. Significant Hotel Exposure: The pool has an above-average concentration of hotel properties compared to other recent Fitch-rated transactions. Loans secured by hotel properties comprise 21.7% of the pool, compared to the YTD 2017 average of 14.8%. Hotel properties have an above-average probability of default in Fitch's multiborrower model, all else equal. RATING SENSITIVITIES For this transaction, Fitch's net cash flow (NCF) was 11.6% below the most recent year's net operating income (NOI) for properties for which a full-year NOI was provided, excluding properties that were stabilizing during this period. Unanticipated further declines in property-level NCF could result in higher defaults and loss severities on defaulted loans and in potential rating actions on the certificates. Fitch evaluated the sensitivity of the ratings assigned to the CD 2017-CD5 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. CFIP CLO 2014-1: S&P Assigns BB- Rating on Class E-R Notes ---------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R, D-R, and E-R replacement notes from CFIP CLO 2014-1 Ltd., a collateralized loan obligation originally issued in 2014 that is managed by Chicago Fundamental Investment Partners LLC. S&P withdrew its ratings on the original class A-1, A-2, B, C, D, and E notes following payment in full on the July 13, 2017, refinancing date. On the July 13, 2017, refinancing date, the proceeds from the class A-R, B-R, C-R, D-R, and E-R replacement note issuances were used to redeem the original class A-1, A-2, B, C, D, and E notes as outlined in the transaction document provisions. Therefore, S&P said, "we withdrew our ratings on the original notes in line with their full redemption, and we are assigning ratings to the replacement notes. "Our 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 our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches. "The assigned ratings reflect our opinion that the credit support available is commensurate with the associated rating levels. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and we will take rating actions as we deem necessary." RATINGS ASSIGNED CFIP CLO 2014-1 Ltd./CFIP CLO 2014-1 LLC Replacement class Rating Amount (mil $) A-R AAA (sf) 293.000 B-R AA (sf) 60.000 C-R A (sf) 37.000 D-R BBB- (sf) 25.000 E-R BB- (sf) 18.600 Income notes NR 54.787 RATINGS WITHDRAWN CFIP CLO 2014-1 Ltd./CFIP CLO 2014-1 LLC Rating Original class To From A-1 NR AAA (sf) A-2 NR AAA (sf) B NR AA (sf) C NR A (sf) D NR BBB (sf) E NR BB (sf) NR--Not rated. CIFC FUNDING 2017-III: Moody's Assigns Ba3sf Rating to Cl. D Notes ------------------------------------------------------------------ Moody's Investors Service has assigned ratings to six classes of notes issued by CIFC Funding 2017-III, Ltd. Moody's rating action is: US$5,600,000 Class X Senior Secured Floating Rate Notes due 2030 (the "Class X Notes"), Assigned Aaa (sf) US$455,000,000 Class A-1 Senior Secured Floating Rate Notes due 2030 (the "Class A-1 Notes"), Assigned Aaa (sf) US$81,200,000 Class A-2 Senior Secured Floating Rate Notes due 2030 (the "Class A-2 Notes"), Assigned Aa2 (sf) US$35,000,000 Class B Mezzanine Secured Deferrable Floating Rate Notes due 2030 (the "Class B Notes"), Assigned A2 (sf) US$44,800,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2030 (the "Class C Notes"), Assigned Baa3 (sf) US$28,000,000 Class D Junior Secured Deferrable Floating Rate Notes due 2030 (the "Class D Notes"), Assigned Ba3 (sf) The Class X Notes, the Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the Class C Notes and the Class D Notes are referred to herein, collectively, as the "Rated Notes." 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. CIFC 2017-III is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated first lien senior secured corporate loans. At least 92.5% of the portfolio must consist of senior secured loans and eligible investments, and up to 7.5% of the portfolio may consist of second lien loans and unsecured loans. The portfolio is approximately 96% ramped as of the closing date. CIFC CLO Management LLC (the "Manager"), an affiliate of CIFC Asset Management LLC, will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets, subject to certain restrictions. In addition to the Rated Notes, the Issuer will issue subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in October 2016. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $700,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 2850 Weighted Average Spread (WAS): 3.65% Weighted Average Coupon (WAC): 6.50% Weighted Average Recovery Rate (WARR): 48.0% Weighted Average Life (WAL): 9 years. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in October 2016. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. Together with the set of modeling assumptions above, Moody's conducted an additional sensitivity analysis, which was a component in determining the ratings assigned to the Rated Notes. This sensitivity analysis includes increased default probability relative to the base case. Below is a summary of the impact of an increase in default probability (expressed in terms of WARF level) on the Rated Notes (shown in terms of the number of notch difference versus the current model output, whereby a negative difference corresponds to higher expected losses), assuming that all other factors are held equal: Percentage Change in WARF -- increase of 15% (from 2850 to 3278) Rating Impact in Rating Notches Class X Notes: 0 Class A-1 Notes: 0 Class A-2 Notes: -2 Class B Notes: -2 Class C Notes: -1 Class D Notes: 0 Percentage Change in WARF -- increase of 30% (from 2850 to 3705) Rating Impact in Rating Notches Class X Notes: 0 Class A-1 Notes: -1 Class A-2 Notes: -4 Class B Notes: -4 Class C Notes: -2 Class D Notes: -1 COA SUMMIT: Moody's Affirms Ba2(sf) Rating on Cl. D Secured Notes ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by COA Summit CLO Ltd.: US$22,000,000 Class B Senior Secured Deferrable Floating Rate Notes, Upgraded to Aaa (sf); previously on January 25, 2017 Upgraded to Aa1 (sf) US$22,000,000 Class C Senior Secured Deferrable Floating Rate Notes, Upgraded to A1 (sf); previously on January 25, 2017 Upgraded to Baa1 (sf) Moody's also affirmed the ratings on the following notes: US$256,000,000 Class A-1 Senior Secured Floating Rate Notes (current balance of $42,496,038), Affirmed Aaa (sf); previously on January 25, 2017 Affirmed Aaa (sf) US$50,000,000 Class A-2 Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on January 25, 2017 Affirmed Aaa (sf) US$20,000,000 Class D Secured Deferrable Floating Rate Notes, Affirmed Ba2 (sf); previously on January 25, 2017 Affirmed Ba2 (sf) COA Summit CLO Ltd., issued in March 2014, is a collateralized loan obligation (CLO) backed primarily by a portfolio of senior secured loans. The transaction's reinvestment period ended in April 2015. RATINGS RATIONALE These rating actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since January 2017. The Class A-1 notes have been paid down by approximately 51.0% or $44.3 million since then. Based on the trustee's June 2017 report, the OC ratios for the Class A, Class B, Class C and Class D notes are reported at 189.7%, 153.3%, 128.6% and 112.1%, respectively, versus January 2017 levels of 149.1%, 131.7%, 117.9% and 107.7%, respectively. Nevertheless, the credit quality of the portfolio has deteriorated since January 2017. Based on the trustee's June 2017 report, the weighted average rating factor (WARF) is currently 3522 compared to 3115 in January 2017. Furthermore, the portfolio includes a number of investments in securities that mature after the notes do (long-dated assets). Based on Moody's calculation, the long dates assets currently make up approximately 3.43% of the portfolio. These investments could expose the notes to market risk in the event of liquidation when the notes mature. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in October 2016. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: This transaction is subject to a number of factors and circumstances that could lead to either an upgrade or downgrade of the ratings: 1) Macroeconomic uncertainty: CLO performance is subject to a) uncertainty about credit conditions in the general economy and b) the large concentration of upcoming speculative-grade debt maturities, which could make refinancing difficult for issuers. 2) Collateral Manager: Performance can also be affected positively or negatively by a) the manager's investment strategy and behavior and b) differences in the legal interpretation of CLO documentation by different transactional parties owing to embedded ambiguities. 3) Collateral credit risk: A shift towards collateral of better credit quality, or better credit performance of assets collateralizing the transaction than Moody's current expectations, can lead to positive CLO performance. Conversely, a negative shift in credit quality or performance of the collateral can have adverse consequences for CLO performance. 4) Deleveraging: An important source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will continue and at what pace. Deleveraging of the CLO could accelerate owing to high prepayment levels in the loan market and/or collateral sales by the manager, which could have a significant impact on the notes' ratings. Note repayments that are faster than Moody's current expectations will usually have a positive impact on CLO notes, beginning with those with the highest payment priority. 5) Recovery of defaulted assets: Fluctuations in the market value of defaulted assets reported by the trustee and those that Moody's assumes as having defaulted could result in volatility in the deal's OC levels. Further, the timing of recoveries and whether a manager decides to work out or sell defaulted assets create additional uncertainty. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. Realization of higher than assumed recoveries would positively impact the CLO. 6) Long-dated assets: The presence of assets that mature after the CLO's legal maturity date exposes the deal to liquidation risk on those assets. This risk is borne first by investors with the lowest priority in the capital structure. Moody's assumes that the terminal value of an asset upon liquidation at maturity will be equal to the lower of an assumed liquidation value (depending on the extent to which the asset's maturity lags that of the liabilities) or the asset's current market value. The deal's increased exposure owing to amendments to loan agreements extending maturities continues. 7) Exposure to assets with low credit quality and weak liquidity: The presence of assets rated Caa3 with a negative outlook, Caa2 or Caa3 on review for downgrade or the worst Moody's speculative grade liquidity (SGL) rating, SGL-4, exposes the notes to additional risks if these assets default. The historical default rate is higher than average for these assets. Due to the deal's exposure to such assets, which constitute around $7.5 million of par, Moody's ran a sensitivity case defaulting those assets. In addition to the base case analysis, Moody's also conducted sensitivity analyses to test the impact of a number of default probabilities on the rated notes relative to the base case modeling results, which may be different from the current public ratings of the notes. Below is a summary of the impact of different default probabilities (expressed in terms of WARF) on all of the rated notes (by the difference in the number of notches versus the current model output, for which a positive difference corresponds to lower expected loss): Moody's Adjusted WARF -- 20% (2799) Class A-1: 0 Class A-2: 0 Class B: 0 Class C: +2 Class D: +2 Moody's Adjusted WARF + 20% (4199) Class A-1: 0 Class A-2: 0 Class B: 0 Class C: -2 Class D: 0 Loss and Cash Flow Analysis: Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. In its base case, Moody's analyzed the collateral pool as having a performing par and principal proceeds balance of $177.2 million, defaulted par of $4.5 million, a weighted average default probability of 23.94% (implying a WARF of 3499), a weighted average recovery rate upon default of 48.75%, a diversity score of 40 and a weighted average spread of 3.8% (before accounting for LIBOR floors). Moody's incorporates the default and recovery properties of the collateral pool in cash flow model analysis where they are subject to stresses as a function of the target rating on each CLO liability reviewed. Moody's derives the default probability from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate for future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and the collateral manager's latitude for trading the collateral are also factors. CONNECTICUT AVENUE 2017-C05: Moody's Rates 13 Tranches '(P)B2' -------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to twenty nine classes of notes on Connecticut Avenue Securities, Series 2017-C05 (CAS 2017-C05), a securitization designed to provide credit protection to the Federal National Mortgage Association (Fannie Mae) against the performance of a reference pool of mortgages totaling approximately $43.8 billion. All of the Notes in the transaction are direct, unsecured obligations of Fannie Mae, and as such investors are exposed to the credit risk of Fannie Mae (Aaa stable). CAS 2017-C05 is the twenty first transaction in the Connecticut Avenue Securities series issued by Fannie Mae. CAS 2017-C05 is also the thirteenth transaction in the CAS series to have a legal final maturity of 12.5 years, as compared to 10 years in previous fixed severity CAS securitizations. Unlike a typical RMBS transaction, noteholders are not entitled to receive any cash from the mortgage loans in the reference pool. Instead, the timing and amount of principal and interest that Fannie Mae is obligated to pay on the Notes is linked to the performance of the mortgage loans in the reference pool. CAS 2017-C05's note write-downs are determined by actual realized losses and modification losses on the loans in the reference pool, and not tied to pre-set tiered severity schedules. In addition, the interest amount paid to the notes can be reduced by the amount of modification loss incurred on the mortgage loans. Fannie Mae is obligated to retire the Notes in January 2030 if balances remain outstanding. Credit events in CAS 2017-C05 occur when a short sale is settled, when a mortgage note that is 12 or more months delinquent is sold prior to foreclosure, when the mortgaged property that secured the related mortgage note is sold to a third party at a foreclosure sale, when an REO disposition occurs, or when the related mortgage note is charged-off. This differs from previous CAS fixed severity securitizations, where credit events occur as early as when a reference obligation is 180 or more days delinquent. The complete rating action is: Issuer: Connecticut Avenue Securities, Series 2017-C05 $353.3 million of Class 1M-1 notes, Assigned (P)Baa3 (sf) $789.7 million of Class 1M-2 notes, Assigned (P)B3 (sf) The Class 1M-2 note holders can exchange their notes for the following notes: $249.4 million of Class 1M-2A exchangeable notes, Assigned (P)Ba3 (sf) $249.4 million of Class 1M-2B exchangeable notes, Assigned (P)B2 (sf) $290.9 million of Class 1M-2C exchangeable notes, not rated The Class 1M-2A note holders can exchange their notes for the following notes: $249.4 million of Class 1E-A1 exchangeable notes, Assigned (P)Ba3 (sf) $249.4 million of Class 1A-I1 exchangeable notes, Assigned (P)Ba3 (sf) $249.4 million of Class 1E-A2 exchangeable notes, Assigned (P)Ba3 (sf) $249.4 million of Class 1A-I2 exchangeable notes, Assigned (P)Ba3 (sf) $249.4 million of Class 1E-A3 exchangeable notes, Assigned (P)Ba3 (sf) $249.4 million of Class 1A-I3 exchangeable notes, Assigned (P)Ba3 (sf) $249.4 million of Class 1E-A4 exchangeable notes, Assigned (P)Ba3 (sf) $249.4 million of Class 1A-I4 exchangeable notes, Assigned (P)Ba3 (sf) The Class 1M-2B note holders can exchange their notes for the following notes: $249.4 million of Class 1E-B1 exchangeable notes, Assigned (P)B2 (sf) $249.4 million of Class 1B-I1 exchangeable notes, Assigned (P)B2 (sf) $249.4 million of Class 1E-B2 exchangeable notes, Assigned (P)B2 (sf) $249.4 million of Class 1B-I2 exchangeable notes, Assigned (P)B2 (sf) $249.4 million of Class 1E-B3 exchangeable notes, Assigned (P)B2 (sf) $249.4 million of Class 1B-I3 exchangeable notes, Assigned (P)B2 (sf) $249.4 million of Class 1E-B4 exchangeable notes, Assigned (P)B2 (sf) $249.4 million of Class 1B-I4 exchangeable notes, Assigned (P)B2 (sf) The Class 1E-A1 and 1E-B1 note holders can exchange their notes for the following notes: $498.7 million of Class 1E-D1 exchangeable notes, Assigned (P)B1 (sf) The Class 1E-A2 and 1E-B2 note holders can exchange their notes for the following notes: $498.7 million of Class 1E-D2 exchangeable notes, Assigned (P)B1 (sf) The Class 1E-A3 and 1E-B3 note holders can exchange their notes for the following notes: $498.7 million of Class 1E-D3 exchangeable notes, Assigned (P)B1 (sf) The Class 1E-A4 and 1E-B4 note holders can exchange their notes for the following notes: $498.7 million of Class 1E-D4 exchangeable notes, Assigned (P)B1 (sf) The Class 1M-2A and 1M-2B note holders can exchange their notes for the following notes: $498.7 million of Class 1E-D5 exchangeable notes, Assigned (P)B1 (sf) The Class 1A-I1 and 1B-I1 note holders can exchange their notes for the following notes: $498.7 million of Class 1-X1 exchangeable notes, Assigned (P)B2 (sf) The Class 1A-I2 and 1B-I2 note holders can exchange their notes for the following notes: $498.7 million of Class 1-X2 exchangeable notes, Assigned (P)B2 (sf) The Class 1A-I3 and 1B-I3 note holders can exchange their notes for the following notes: $498.7 million of Class 1-X3 exchangeable notes, Assigned (P)B2 (sf) The Class 1A-I4 and 1B-I4 note holders can exchange their notes for the following notes: $498.7 million of Class 1-X4 exchangeable notes, Assigned (P)B2 (sf) The Notes The 1M-1 notes are adjustable rate P&I notes with an interest rate that adjusts relative to LIBOR. The 1M-2 notes are adjustable rate P&I notes with an interest rate that adjusts relative to LIBOR. The holders of the 1M-2 notes can exchange those notes for 1M-2A, 1M-2B and 1M-2C exchangeable notes (together referred as the "Exchangeable Notes"). The 1M-2A notes are adjustable rate P&I notes with an interest rate that adjusts relative to LIBOR. The holders of the 1M-2A notes can exchange those notes for 1E-A1, 1A-I1, 1E-A2, 1A-I2, 1E-A3, 1A-I3, 1E-A4 and 1A-I4 exchangeable notes (together referred as the "Exchangeable Notes"). The 1M-2B notes are adjustable rate P&I notes with an interest rate that adjusts relative to LIBOR. The holders of the 1M-2B notes can exchange those notes for 1E-B1, 1B-I1, 1E-B2, 1B-I2, 1E-B3, 1B-I3, 1E-B4 and 1B-I4 exchangeable notes (together referred as the "Exchangeable Notes"). The 1E-A1 and 1E-B1 notes are adjustable rate P&I notes with an interest rate that adjusts relative to LIBOR. The holders of the 1E-A1 and 1E-B1 notes can exchange those notes for 1E-D1 exchangeable note (together referred as the "Exchangeable Notes"). The 1E-A2 and 1E-B2 notes are adjustable rate P&I notes with an interest rate that adjusts relative to LIBOR. The holders of the 1E-A2 and 1E-B2 notes can exchange those notes for 1E-D2 exchangeable note (together referred as the "Exchangeable Notes"). The 1E-A3 and 1E-B3 notes are adjustable rate P&I notes with an interest rate that adjusts relative to LIBOR. The holders of the 1E-A3 and 1E-B3 notes can exchange those notes for 1E-D3 exchangeable note (together referred as the "Exchangeable Notes"). The 1E-A4 and 1E-B4 notes are adjustable rate P&I notes with an interest rate that adjusts relative to LIBOR. The holders of the 1E-A4 and 1E-B4 notes can exchange those notes for 1E-D4 exchangeable note (together referred as the "Exchangeable Notes"). The 1M-2A and 1M-2B notes are adjustable rate P&I notes with an interest rate that adjusts relative to LIBOR. The holders of the 1M-2A and 1M-2B notes can exchange those notes for 1E-D5 exchangeable note (together referred as the "Exchangeable Notes"). The 1A-I1 and 1B-I1 notes are fixed rate interest only notes. The holders of the 1A-I1 and 1B-I1 notes can exchange those notes for 1-X1 exchangeable note (together referred as the "Exchangeable Notes"). The 1A-I2 and 1B-I2 notes are fixed rate interest only notes. The holders of the 1A-I2 and 1B-I2 notes can exchange those notes for 1-X2 exchangeable note (together referred as the "Exchangeable Notes"). The 1A-I3 and 1B-I3 notes are fixed rate interest only notes. The holders of the 1A-I3 and 1B-I3 notes can exchange those notes for 1-X3 exchangeable note (together referred as the "Exchangeable Notes"). The 1A-I4 and 1B-I4 notes are fixed rate interest only notes. The holders of the 1A-I4 and 1B-I4 notes can exchange those notes for 1-X4 exchangeable note (together referred as the "Exchangeable Notes"). RATINGS RATIONALE Summary Credit Analysis and Rating Rationale The reference pool consists of loans that Fannie Mae acquired between October 1, 2016 and December 31, 2016, and have no previous 30-day delinquencies. The loans in the reference pool are to strong borrowers, as the weighted average credit scores of 752 indicate. The weighted average CLTV of 75.3% is higher than recent private label prime jumbo deals, which typically have CLTVs in the high 60's range, but is similar to the weighted average CLTVs of other CAS transactions. Moody's rating on the transaction is based on both quantitative and qualitative analyses. This included a quantitative evaluation of the credit quality of the reference pool and the impact of the structural mechanisms on credit enhancement. Moody's expects the reference pool to incur 1.25% of losses in a base-case scenario, and 9.80% losses in a stress scenario consistent with Moody's Aaa (sf) rating. Moody's arrived at these expected losses using Moody's MILAN model. The MILAN model provides default probabilities and expected loss given default rates for each loan in a portfolio and for the portfolio as a whole under a severe recession scenario (the Aaa Scenario) similar to the unprecedented events of 2007-09. In this scenario, Moody's stress home prices at two different levels. Moody's assume that national home prices will decline 30% over a 30-month period, remain flat at their respective trough for the next 30 months and then increase back to the levels at the time of analysis by month 180. Moody's also assume that local home prices will decline between 30% and 60%, depending on the geographic concentrations, and then follow the same path as the national prices. Moody's further assume a 5% linear increase in the unemployment rate over 30 months, remaining at the elevated level for next 30 months and then dropping back to the unemployment rate at the time of analysis by month 180. Interest rates remain flat, which is a stress scenario in a severe home price decline and increasing unemployment. The interest rate that a lender charges a borrower is a strong indicator of risk; lenders generally charge a risk premium consistent with a borrower's credit risk. Historically, the spread between a borrower's mortgage rate and the prevailing interest rate charged to borrowers is statistically as predictive of a borrower's relative probability of default (PD) as is the FICO score. Hence, in addition to other loan characteristics (such as the FICO score, loan-to-value (LTV) ratio, loan term, documentation, occupancy, property type, loan purpose, interest and principal payment term, seasoning, property value, prepayment penalty term and mortgage rate), Moody's US MILAN model is also sensitive to the credit spread at lock-in and credit spread on the first payment date. A higher credit spread at the time the mortgage rate was locked in signals an increase in the borrower's PD. A higher credit spread on the first payment date increases the propensity to prepay, and hence reduces the borrower's default risk. Although the collateral in this transaction has consistent overall characteristics to the mortgage loans in CAS 2017-C03, Moody's loss expectation is higher. The main driver for the increase in loss expectation is the credit spread at the first payment date. 33% of the mortgage loans in the CAS 2017-C05 transaction had a first payment date in January and February 2017. The mortgage rate hike that occurred in January 2017 increased the PDs for the loans with first payment dates in January and February 2017 because there is a decrease in the propensity of prepay. Collateral Analysis The reference pool consists of 174,672 loans that meet specific eligibility criteria, which limits the pool to first lien, fixed rate, fully amortizing loans with an original term of 241-360 months and LTVs that range between 60% and 80% on one to four unit properties, PUDs, Condos, Co-ops and manufactured housing. Overall, the reference pool is of prime quality. The credit positive aspects of the pool include borrower, loan and geographic diversification, and a high weighted average FICO of 752. There are no interest-only (IO) loans in the reference pool and all of the loans are underwritten to full documentation standards. Structural Considerations Moody's took structural features such as the principal payment waterfall of the notes, a 12.5-year bullet maturity, performance triggers, as well as the allocation of realized losses and modification losses into consideration in Moody's cash flow analysis. The final structure for the transaction reflects consistent credit enhancement levels available to the notes per the term sheet provided for the provisional ratings. For modification losses, Moody's has taken into consideration the level of rate modifications based on the projected defaults, the weighted average coupon of the reference pool (3.76%), and compared that with the available credit enhancement on the notes, the coupon and the accrued interest amount of the most junior bonds. The Class 1B-1, Class 1B-1H and Class 1B-2H reference tranches collectively represent 1.00% of the pool. The final coupons on the notes will have an impact on the amount of interest available to absorb modification losses from the reference pool. The notes are direct, unsecured obligations of Fannie Mae, and as such investors are exposed to the credit risk of Fannie Mae (Aaa stable). The notes are not guaranteed by, nor are they obligations of the United States Government. The terms of the transaction obligate Fannie Mae to retire the notes in January 2030 if any balances remain outstanding. Note holders are not entitled to receive any cash from the mortgage loans in the reference pool. The funds used to make monthly payments on the CAS notes come from Fannie Mae's general corporate funds. As a result, there is no trustee or trust account in CAS transactions. The timing and amount of principal and interest that Fannie Mae is obligated to pay on the notes reflects the performance of the mortgage loans in the reference pool. Fannie Mae will only make principal payments on the original notes based on the scheduled and unscheduled principal payments that it actually collects on the reference pool mortgages. Losses are similarly allocated based on the performance of loans in the reference pool. Unlike previous CAS transactions rated by Moody's, write-downs allocated to the notes in CAS 2017-C05 are directly tied to the actual realized and modification losses on loans in the reference pool, and not determined by a pre-set loss severity schedule. Furthermore, credit events in CAS 2017-C05 occur when a short sale is settled, when the related mortgaged property is sold to a third party during the foreclosure process, when an REO disposition occurs, when a mortgage note sale is executed on a seriously delinquent loan prior to foreclosure or when the related mortgage note is charged-off. This differs from CAS 2015-C03 and earlier securitizations, where credit events occur as early as when a reference obligation is 180 or more days delinquent. The transaction is not exposed to losses from extraordinary expenses or indemnification costs of the key transaction parties. This is because any indemnification expenses incurred by the global agent/exchange administrator are obligations of Fannie Mae only and will not reduce the CAS notes. There is no trustee or trust accounts in the transaction because the notes are direct, unsecured obligation of Fannie Mae. Methodology The principal methodology used in these ratings was "Moody's Approach to Rating US Prime RMBS," published in February 2015. Additionally, the methodology used in rating Cl. 1A-I1, Cl. 1A-I2, Cl. 1A-I3, Cl. 1A-I4, Cl. 1B-I1, Cl. 1B-I2, Cl. 1B-I3, Cl. 1B-I4, Cl. 1-X1 Cl. 1-X2, Cl. 1-X3, and Cl. 1-X4, was "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. While assessing the ratings on this transaction, Moody's did not deviate from its published methodology. The severities for this transaction were estimated using the data on Fannie Mae's actual loss severities. 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 loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. As an unsecured general obligation of Fannie Mae, the ratings on the notes depend on the rating of Fannie Mae, which Moody's currently rates Aaa (stable). CPS AUTO 2017-C: S&P Assigns Prelim. BB- Rating on Class E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to CPS Auto Receivables Trust 2017-C's $224.825 million asset-backed notes. The note issuance is an asset-backed securities transaction backed by subprime auto loan receivables. The preliminary ratings are based on information as of July 13, 2017. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The availability of approximately 57.36%, 49.02%, 40.21%, 31.09%, and 24.61% of credit support for the class A, B, C, D, and E notes, respectively, based on stressed cash flow scenarios (including excess spread). These credit support levels provide coverage of approximately 3.10x, 2.60x, 2.10x, 1.60x, and 1.23x S&P's 18.00-19.00% expected cumulative net loss range for the class A, B, C, D, and E notes, respectively. Additionally, credit enhancement including excess spread for classes A, B, C, D, and E covers breakeven cumulative gross losses of approximately 93%, 79%, 67%, 52%, and 41%, respectively. -- S&P's expectation that, under a moderate stress scenario of 1.60x S&P's expected net loss level and all else equal, the preliminary ratings on the class A, B, and C notes would remain within one rating category while they are outstanding, and the preliminary rating on the class D notes would not decline by more than two rating categories within its life. The preliminary rating on the class E notes would remain within two rating categories during the first year, but the class would eventually default under the 'BBB' stress scenario after receiving 25%-47% of its principal. -- The preliminary rated notes' underlying credit enhancement in the form of subordination, overcollateralization, a reserve account, and excess spread for the class A, B, C, D, and E notes. -- The timely interest and principal payments made to the preliminary rated notes under S&P's stressed cash flow modeling scenarios, which S&P believes are appropriate for the assigned preliminary ratings. -- The transaction's payment and credit enhancement structure, which includes a noncurable performance trigger. PRELIMINARY RATINGS ASSIGNED CPS Auto Receivables Trust 2017-C Class Rating Type Interest Amount rate (mil. $) A AAA (sf) Senior Fixed 105.800 B AA (sf) Subordinate Fixed 35.075 C A (sf) Subordinate Fixed 31.050 D BBB (sf) Subordinate Fixed 27.600 E BB- (sf) Subordinate Fixed 25.300 FREDDIE MAC 2017-SC02: Moody's Gives (P)Ba3 Rating to Cl. M-2 Debt ------------------------------------------------------------------ Moody's Investors Service has assigned provisional ratings to two classes of residential mortgage-backed securities (RMBS) issued by Freddie Mac Whole Loan Securities Trust, Series 2017-SC02 (FWLS 2017-SC02). The ratings range from (P)Baa2 (sf) to (P)Ba3 (sf). The certificates are backed by two pools of fixed-rate super conforming prime residential mortgage loans. The collateral pools consist of loans acquired by Freddie Mac from three sellers (Caliber Home Loans, Inc. (93.9%), Wells Fargo Bank, N.A. (3.9%), and Fremont Bank (2.2%)), pursuant to the terms of the Freddie Mac Single-Family Seller/Servicer Guide. Freddie Mac will serve in a number of capacities with respect to the Trust. Freddie Mac will be the Guarantor of the Senior Certificates, Seller, Master Servicer, Master Document Custodian and Trustee. The complete rating actions are: Issuer: Freddie Mac Whole Loan Securities Trust, Series 2017-SC02 Cl. M-1, Assigned (P)Baa2 (sf) Cl. M-2, Assigned (P)Ba3 (sf) RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Moody's expected loss on pool 1 average 0.60% in a base-case scenario and reach 8.55% at a stress level consistent with Aaa rating on the senior classes. Moody's expected losses on pool 2 average 0.70% in a base-case scenario and reach 9.20% at a stress level consistent with Aaa rating on the senior classes. Moody's arrived at these expected losses using Moody's MILAN model. Moody's Aaa stress loss for pool 1 is consistent with prime jumbo transactions Moody's have recently rated. The lower FICO scores and higher CLTV on pool 2 contributed to the higher loss expectations on the pool. In Moody's analysis, Moody's considered the observed loss severity trends on Freddie Mac loans. Moody's did not make any adjustments related to servicers and originators' assessments. However, Moody's decreased Moody's base case and Aaa loss expectation by 5% due to the strong representation and warranties provider (Freddie Mac). Collateral Description The FWLS 2017-SC02 transaction is backed by a total of 1,079 fixed-rate super conforming prime residential mortgage loans with a balance of $571,216,035. Pool 1 is backed by 369 loans with a balance of $192,737,311 and pool 2 is backed by 710 loans with a balance of $378,478,723. The collateral pools consist of loans acquired by Freddie Mac from multiple sellers pursuant to the terms of the Freddie Mac Single-Family Seller/Servicer Guide. The weighted average CLTV is 77.8% for the aggregate pool, and 76.1% and 78.7% for pool 1 and pool 2 loans respectively. The weighted average FICO for the aggregate pool is 749, and 752 and 747 for pool 1 and pool 2 loans respectively. Third-Party Review(TPR) Digital Risk, LLC conducted a review of credit, property valuations, regulatory compliance (regulatory compliance was conducted only for loans in the sample which were in states with assignee liability laws and or regulations) and data accuracy checks for 279 mortgage loans (from an initial pool of 1,111 loans). Moody's reviewed the TPR reports and there were no exceptions for credit, property valuations, and regulatory compliance. The data accuracy exceptions were minor and did not pose a material risk. Representations & Warranties (R&Ws) Freddie Mac will make certain representations and warranties with respect to the mortgage loans and will be the only party from which the trust may seek repurchase of a mortgage loan as a result of any material breach that provides for repurchase as a remedy. Federal Home Loan Mortgage Corp.'s Aaa senior ratings are underpinned by strong government support. Moody's believe that the US Government will stand behind obligations of the government-sponsored enterprises (GSEs).The loan-level R&Ws are strong and, in general, meet the baseline set of credit-neutral R&Ws Moody's has identified for US RMBS. Structural considerations The securitization has a two-pool 'Y' structure that distributes principal on a pro rata basis between the senior and subordinate classes subject to performance triggers, and sequentially amongst the senior and subordinate certificates. The transaction has two distinct features: recoupment of unpaid interest on stop advance loans and shifting certain principal payments, subject to limits, to cover interest shortfalls to the rated subordinate bonds due to interest rate modifications and extra-ordinary expenses. In this transaction, Freddie Mac will stop advancing principal and interest on any real-estate owned (REO) property or loans that are 180 days or more delinquent. This will decrease the amount of interest remitted to the trust and could result in interest shortfalls to the bonds. However, interest accrued but not paid on the stop advance loans will be recovered from the liquidation proceeds (for liquidated loans), borrower payments, modification or repurchases and added to the interest remittance amount. This will result in subsequent recoveries of any interest shortfalls on subordinates bonds in the order of their payment priority. Also, in this transaction, the certificates are exposed to interest shortfalls due to interest rate modifications and extra-ordinary expenses. If the interest accrued on the Class B certificate is insufficient to absorb the reduction in interest amount caused by modification and extra-ordinary expenses, and to the extent that the Class B certificate is outstanding, the transaction allows for certain principal payments (up to subordinate percentage of scheduled principal) to be re-directed to cover interest shortfall to the rated bonds, with a corresponding write-down of Class B principal balance. As a result, before Classes M-1 or M-2 suffer any unrecoverable interest shortfall, the Class B certificate balance has to be reduced to zero. The Class B certificate represents 1% of the collateral. Other Considerations We believe there is a very low likelihood that the rated certificates in FWLS 2017-SC02 will incur any losses from extraordinary expenses or indemnification payments owing to potential future lawsuits against key deal parties. First, the loans are prime quality and were originated under a regulatory environment that requires tighter controls for originations than pre-crisis, which reduces the likelihood that the loans have defects that could form the basis of a lawsuit. Second, Freddie Mac, who guarantees the senior classes and initially retains a 5% vertical slice of the subordinate classes, has a strong alignment of interest with investors, and is incentivized to actively manage the pool to optimize performance. Freddie Mac has strong oversight over the originators and servicers in the transaction. Third, historical performance of loans aggregated by Freddie Mac has been very strong to date, with minimal losses on previously issued FWLS transactions. Fourth, the transaction has reasonably well defined processes in place to identify loans with defects on an ongoing basis. In this transaction, an independent breach reviewer must review loans for breaches of representations and warranties when a loan becomes 180 days delinquent, which reduces the likelihood that parties will be sued for inaction. Furthermore, Freddie Mac is obligated to buy back the first five loans that the reviewer determines have breached the representations and warranties without disagreeing with the findings. Finally, the optional termination rights exist when the collateral balance has paid down to 1% of the original balance, which reduces the likelihood that any significant holdbacks for reserves will occur prior to actually incurring reimbursable expenses. Factors that would lead to an upgrade or downgrade of the ratings: Downgrade Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Upgrade Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. GREYWOLF CLO IV: S&P Affirms B Rating on Class E Notes ------------------------------------------------------ S&P Global Ratings assigned its ratings to the class A-1-R, A-2-R, B-R, and C-R, replacement notes from Greywolf CLO IV Ltd., a collateralized loan obligation originally issued in 2014 that is managed by Greywolf Capital Management L.P. S&P said, "We withdrew our ratings on the original class A-1, A-2, B, and C notes following payment in full on the July 17, 2017, refinancing date. At the same time, we affirmed our ratings on the class D and E notes. "On the July 17, 2017, refinancing date, the proceeds from the class A-1-R, A-2-R, B-R, and C-R replacement note issuances were used to redeem the original class A-1, A-2, B, and C notes as outlined in the transaction document provisions. Therefore, we withdrew our ratings on the original notes in line with their full redemption, and we are assigning ratings to the replacement notes. "Our 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 our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches. "The assigned ratings reflect our opinion that the credit support available is commensurate with the associated rating levels. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and we will take rating actions as we deem necessary." RATINGS ASSIGNED Greywolf CLO IV Ltd. Replacement class Rating Amount (mil $) A-1-R AAA (sf) 269.18 A-2-R AA (sf) 54.24 B-R A (sf) 31.78 C-R BBB (sf) 21.00 RATINGS AFFIRMED Greywolf CLO IV Ltd. Class Rating D BB (sf) E B (sf) RATINGS WITHDRAWN Greywolf CLO IV Ltd. Rating Original class To From A-1 NR AAA (sf) A-2 NR AA (sf) B NR A (sf) C NR BBB (sf) NR--Not rated. GS MORTGAGE 2007-GKK1: Moody's Affirms Csf Rating on Cl. A-1 Certs ------------------------------------------------------------------ Moody's Investors Service has affirmed the rating on the following certificate issued by GS Mortgage Securities Corporation II, Commercial Mortgage Pass-Through Certificates, Series 2007-GKK1. ("GSMS 2007-GKK1"): Cl. A-1, Affirmed C (sf); previously on Sep 15, 2016 Affirmed C (sf) RATINGS RATIONALE Moody's has affirmed the rating on the transaction because its key transaction metrics are commensurate with existing ratings. The affirmation is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO and Re-Remic) transactions. GSMS 2007-GKK1 is a static cash transaction backed by a portfolio of commercial mortgage-backed securities (CMBS) (100% of the collateral pool balance) issued between 1998 and 2005. As of the June 22, 2017 trustee report, the aggregate certificate balance of the transaction, including preferred shares, is $15.7 million, compared to $633.7 million at issuance. This is a result of a combination of realized losses to the underlying collateral applied to certain classes of certificates, and prepayments and regular amortization. The sole outstanding Moody's rated class in Class A-1, which has received payments in the form of pre-payments and regular amortization of the underlying collateral, as well as partial realized losses. Moody's has identified the following as key indicators of the expected loss in CRE CDO transactions: the weighted average rating factor (WARF), the weighted average life (WAL), the weighted average recovery rate (WARR), and Moody's asset correlation (MAC). Moody's typically models these as actual parameters for static deals and as covenants for managed deals. WARF is a primary measure of the credit quality of a CRE CDO pool. Moody's has updated its assessments for the collateral it does not rate. The rating agency modeled a bottom-dollar WARF of 4835, compared to 5088 at last review. The current ratings on the Moody's-rated collateral and the assessments of the non-Moody's rated collateral follow: Aaa-Aa3 (22.2% compared to 23.4% at last review); B1-B3 (31.6% compared to 24.3% at last review); and Caa1-Ca/C (46.3%, compared to 52.3% at last review). Moody's modeled a WAL of 2.9 years, compared to 1.7 years at last review. The WAL is based on assumptions about extensions on the underlying look-through CMBS loan assets. Moody's modeled a fixed WARR of 9.8%, compared to 1.8% at last review. Moody's modeled a MAC of 0.0%, compared to 4.4% at last review. Methodology Underlying the Rating Action: The principal methodology used in this rating was "Moody's Approach to Rating SF CDOs" published in June 2017. Factors that would lead to an upgrade or downgrade of the rating: The performance of the certificates 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 certificates. Moody's Parameter Sensitivities: Changes to any one or more of the key parameters could have rating implications for the rated certificates, 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 certificates are particularly sensitive to changes in the recovery rates of the underlying collateral and credit assessments. However, in light of the performance indicators noted above, Moody's believes that it is unlikely that the ratings announced are subject to further change. The primary sources of uncertainty in Moody's assumptions are the extent of growth in the current macroeconomic environment given the weak recovery and certain commercial real estate property markets. Commercial real estate property values continue to improve modestly, along with a rise in investment activity and stabilization in core property type performance. Limited new construction and moderate job growth have aided this improvement. However, sustained growth will not be possible until investment increases steadily for a significant period, non-performing properties are cleared from the pipeline and fears of a euro area recession abate. JP MORGAN 2006-CIBC16: Moody's Lowers on Class B Certs to C(sf) --------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on three classes and downgraded the ratings on two classes in J.P. Morgan Chase Commercial Mortgage Securities Corp. Series 2006-CIBC16, Commercial Mortgage Pass-Through Certificates, Series 2006-CIBC16: Cl. A-J, Downgraded to Caa2 (sf); previously on Jul 21, 2016 Affirmed Caa1 (sf) Cl. B, Downgraded to C (sf); previously on Jul 21, 2016 Affirmed Caa3 (sf) Cl. C, Affirmed C (sf); previously on Jul 21, 2016 Affirmed C (sf) Cl. D, Affirmed C (sf); previously on Jul 21, 2016 Affirmed C (sf) Cl. X-1, Affirmed C (sf); previously on Jun 9, 2017 Downgraded to C (sf) RATINGS RATIONALE The ratings on Classes A-J and B were downgraded primarily due to higher anticipated losses from specially serviced loans. The ratings on Classes C and D were affirmed because the ratings are consistent with Moody's expected loss. The rating on the IO class, Class X-1, was affirmed based on the credit quality of its referenced classes. Moody's rating action reflects a base expected loss of 51.6% of the current pooled balance, compared to 19.3% at Moody's last review. Moody's base expected loss plus realized losses is now 13.6% of the original pooled balance, compared to 13.0% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The methodologies used in these ratings were "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in December 2014, and "Moody's Approach to Rating 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 (IO) Securities" published in June 2017. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 75% of the pool is in special servicing. In this approach, Moody's determines a probability of default for each specially serviced and troubled loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss from specially serviced to the most junior classes and the recovery as a pay down of principal to the most senior class(es). DEAL PERFORMANCE As of the July 12th, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 90% to $222 million from $2.15 billion at securitization. The certificates are collateralized by 11 mortgage loans ranging in size from 1% to 33% of the pool. 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 6, compared to 13 at Moody's last review. One loan, constituting 5% 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. Twenty loans have been liquidated from the pool, resulting in an aggregate realized loss of $176 million (for an average loss severity of 57%. Seven loans, constituting 75% of the pool, are currently in special servicing. The largest specially serviced loan is the REPM Portfolio ($74.2 million -- 33.4% of the pool), which is secured by the fee interest in a portfolio of ten industrial/flex projects in eight states. Three of the locations are currently completely vacant with a fourth having only partial month-to-month (MTM) occupancy. The loan transferred to special servicing in March 2015 for imminent default, subsequently defaulting on monthly payments. The special servicer is proceeding with foreclosure actions in all eight states, with the first three assets foreclosed in February, and two more foreclosed in early March. The special servicer will continue the judicial foreclosure actions on the remaining assets. The second largest specially serviced loan is the Richland Mall loan (formerly known as the Westfield Richland Mall loan) ($37.0 million -- 16.6% of the pool), which is secured by 396,000 square feet (SF) portion of a mall in Mansfield, Ohio, which is located between Columbus and Cleveland, Ohio. The mall is anchored by Avita Health System, Macy's, JC Penny & Sears. The loan transferred to special servicing in June 2014 due to imminent default due to borrower's unwillingness to fund future operating shortfalls, and the trust took title to the property on in February 2016. Moody's anticipates a significant loss on this loan. The third largest specially serviced loan is the Fountain Place Shopping Center loan ($21.6 million -- 9.7% of the pool), which is secured by a retail center anchored by Lowes and shadow-anchored by a Wal-Mart Supercenter located in Logan, West Virginia. The property was 99.5% occupied as of December 2016. The anchor tenant has an upcoming lease expiration date and has yet to indicate it's intention to extend. The Borrower requested a loan term extension and modification and the special servicer indicated modification terms have been agreed upon and became effective on July 1, 2017. The remaining four specially serviced loans are secured by a mix of property types. Moody's estimates an aggregate $107.9 million loss for the specially serviced loans (64.5% expected loss on average). Moody's received full year 2016 operating results for 100% of the pool, and partial year 2017 operating results for 50% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 126%. Moody's conduit component consists of four performing loans and 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 36% 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 0.94X and 0.86X, respectively, compared to 1.30X and 1.09X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The top three conduit loans represent 24% of the pool balance. The largest loan is the Capitol Commons Loan ($32.4 million -- 14.6% of the pool), which is secured by an office property located in Lansing, Michigan, less than one mile southwest of Michigan State Capitol. This loan transferred to special servicing in October 2013 for imminent default. The loan returned to master servicing in February 2016 as a corrected mortgage and remains current on its payments. As the property is fully leased to State of Michigan, Moody's accounted for single-tenant risk through a lit/dark blended value approach. Moody's LTV and stressed DSCR are 144% and 0.71X, respectively. The second largest loan is the USDA - Salt Lake City Loan ($11.7 million -- 5.3% of the pool), which is secured by a suburban office property located in West Valley City, Utah. The single tenant occupying 100% of net rentable area (NRA) has a lease which is scheduled to expire in January 2019. This loan is scheduled to mature in September 2017. Moody's accounted for single-tenant risk through a lit/dark blended value approach. Moody's LTV and stressed DSCR are 115% and 0.94X, respectively. The third largest loan is the Infor Global Solutions Office Building Loan ($8.2 million -- 3.7% of the pool), which is secured by a suburban office property located in Greenville, South Carolina. The single tenant occupying 100% of NRA has a lease which is scheduled to expire in March 2021. Moody's accounted for single-tenant risk through a lit/dark blended value approach. The loan matures in June 2021 and Moody's LTV and stressed DSCR are 84% and 1.23X, respectively. JP MORGAN 2012-C8: DBRS Confirms B(sf) Rating on Class G Debt ------------------------------------------------------------- DBRS Limited on July 5, 2017, upgraded four classes of J.P. Morgan Chase Commercial Mortgage Securities Trust 2012-C8, as follows: -- Class B to AAA (sf) from AA (high) (sf) -- Class C to AA (low) (sf) from A (high) (sf) -- Class EC to AA (low) (sf) from A (high) (sf) -- Class D to A (low) (sf) from BBB (high) (sf) In addition, DBRS has confirmed the remaining classes in the transaction, as listed below: -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-S at AAA (sf) -- Class A-SB at AAA (sf) -- Class X-A at AAA (sf) -- Class E at BBB (low) (sf) -- Class F at BB (sf) -- Class X-B at B (high) (sf) -- Class G at B (sf) Class EC is exchangeable with Class A-S, Class B and Class C (and vice versa). All trends are Stable. The rating upgrades reflect the continued strong performance of the transaction, which has experienced collateral reduction of 22.5% since issuance, with 38 of the original 43 loans remaining in the pool as of the June 2017 remittance report. There is one loan, representing 2.8% of the pool that is scheduled to mature in the next 12 months. This loan reported an in-place amortizing debt service coverage ratio (DSCR) of 1.56 times (x) at YE2016, with a DBRS Refi DSCR of 1.32x. Based on the reported figures for YE2016, the transaction benefits from a healthy in-place WA DSCR of 1.90x and debt yield of 12.3%, as compared with the issuance levels for the pool of 1.60x and 10.1%, respectively. The performance for the largest 15 loans has also been strong since issuance, with WA net cash flow growth of 22.3% over the DBRS issuance figures and a WA DSCR of 1.90x, as based on the YE2016 reporting. As of the June 2017 remittance report, there are five loans, representing 10.9% of the pool, including two in the Top 15, that are on the servicer’s watchlist and one loan, representing 1.6% of the pool, in special servicing. None of the watchlisted loans are being monitored for significant credit concerns and the 2017 appraisal for the loan in special servicing implies value in the underlying collateral that is relatively favourable as compared with the Trust’s exposure as of June 2017. The ratings assigned to the Class E, F and G notes materially deviate from the higher ratings implied by the quantitative results. DBRS considers a material deviation to be a rating differential of three or more notches between the assigned rating and the rating implied by the quantitative results that is a substantial component of a rating methodology. The deviations are warranted given the undemonstrated sustainability of loan performance trends. JPMCC COMMERCIAL 2017-JP7: Fitch to Rate Class G-RR Certs 'Bsf' --------------------------------------------------------------- Fitch Ratings has issued a presale report on JPMCC Commercial Mortgage Securities Trust 2017-JP7 commercial mortgage pass-through certificates. Fitch expects to rate the transaction and assign Rating Outlooks: -- $25,027,000 class A-1 'AAAsf'; Outlook Stable; -- $43,242,000 class A-2 'AAAsf'; Outlook Stable; -- $129,650,000 class A-3 'AAAsf'; Outlook Stable; -- $126,558,000 class A-4 'AAAsf'; Outlook Stable; -- $211,000,000 class A-5 'AAAsf'; Outlook Stable; -- $32,225,000 class A-SB 'AAAsf'; Outlook Stable; -- $634,610,000b class X-A 'AAAsf'; Outlook Stable; -- $76,031,000b class X-B 'A-sf'; Outlook Stable; -- $66,908,000 class A-S 'AAAsf'; Outlook Stable; -- $36,495,000 class B 'AA-sf'; Outlook Stable; -- $39,536,000 class C 'A-sf'; Outlook Stable; -- $17,234,000a class D 'BBBsf'; Outlook Stable; -- $25,344,000ac class E-RR 'BBB-sf'; Outlook Stable; -- $16,220,000ac class F-RR 'BBsf'; Outlook Stable; -- $9,124,000ac class G-RR 'Bsf'; Outlook Stable. The following classes are not expected to be rated: -- $32,439,952ac 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 37 loans secured by 168 commercial properties having an aggregate principal balance of $811,002,952 as of the cut-off date. The loans were contributed to the trust by JP Morgan Chase Bank, National Association, Starwood Mortgage Funding VI LLC and Benefit Street Partners CRE Finance LLC. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 66.9% of the properties by balance, cash flow analysis of 90.4%, and asset summary reviews on 100% of the pool. KEY RATING DRIVERS Lower Fitch Leverage: The pool's leverage statistics are slightly better than those of other recent Fitch-rated, fixed-rate multiborrower transactions. The pool's Fitch DSCR and LTV of 1.28x and 99.6% are better than the YTD 2017 averages of 1.23x and 102.4%, respectively. Excluding credit opinion loans, the pool has a Fitch DSCR of 1.28x and Fitch LTV of 104.3%. Concentrated Pool by Loan Size: The largest 10 loans account for 59.5% of the pool, which is above the YTD 2017 average of 53.3%. The pool's loan concentration index (LCI) is 480, which is higher than the YTD 2017 average of 399. Of note, the five largest loans make up 40.7% of the pool. Investment-Grade Credit Opinion Loans: Two loans, representing 12.9% of the pool, have investment-grade credit opinions, which exceeds the YTD 2017 average of 9.0%. The largest loan in the pool, 245 Park Avenue (9.2%), has a credit opinion of 'BBB-*' on a stand-alone basis and the seventh largest loan, West Town Mall (3.7%), has a credit opinion of 'BBB*' on a stand-alone basis. High Amount of Additional Debt: Eight loans (42.3% of the pool) have subordinate financing in the form of secured or mezzanine debt. The pool's Fitch total debt DSCR and LTV of 1.08x and 111.3%, respectively, are worse than the YTD 2017 averages of 1.14x and 110.5%. RATING SENSITIVITIES For this transaction, Fitch's net cash flow (NCF) was 8.1% 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-JP7 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 'Asf' could result. In a more severe scenario, in which NCF declined a further 30% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'BBBsf' could result. KINGSLAND LTD IV: Moody's Affirms Caa1(sf) Rating on Class E Notes ------------------------------------------------------------------ Moody's Investors Service has upgraded the ratings on the following notes issued by Kingsland IV, Ltd.: US$25,000,000 Class C Senior Secured Deferrable Floating Rate Notes due 2021, Upgraded to Aa1 (sf); previously on December 22, 2016 Upgraded to Aa2 (sf) US$18,000,000 Class D Senior Secured Deferrable Floating Rate Notes due 2021, Upgraded to Baa2 (sf); previously on December 22, 2016 Affirmed Ba1 (sf) Moody's also affirmed the ratings on the following notes: US$308,100,000 Class A-1 Senior Secured Floating Rate Notes due 2021 (current outstanding balance of $45,857,298), Affirmed Aaa (sf); previously on December 22, 2016 Affirmed Aaa (sf) US$60,000,000 Class A-1R Senior Secured Revolving Floating Rate Notes due 2021 (current outstanding balance of $8,930,340), Affirmed Aaa (sf); previously on December 22, 2016 Affirmed Aaa (sf) US$22,900,000 Class B Senior Secured Floating Rate Notes due 2021, Affirmed Aaa (sf); previously on December 22, 2016 Affirmed Aaa (sf) US$14,900,000 Class E Secured Deferrable Floating Rate Notes due 2021, Affirmed Caa1 (sf); previously on December 22, 2016 Affirmed Caa1 (sf) Kingsland IV, Ltd., issued in February 2007, is a collateralized loan obligation (CLO) backed primarily by a portfolio of senior secured loans. The transaction's reinvestment period ended in April 2014. RATINGS RATIONALE These rating actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since December 2016. The Class A notes have been paid down by approximately 43.4% or $42.0 million since then. Based on the trustee's June 2017 report, the OC ratios for the Class A/B, Class C, Class D and Class E notes are reported at 200.16%, 151.43%, 128.84% and 114.69%, respectively, versus December 2016 levels of 166.51%, 137.75%, 122.51% and 112.23%, respectively. Nevertheless, the transaction's percentage exposure to securities that mature after the notes do (long-dated securities) has increased since December 2016. Based on the trustee's June 2017 report, long-dated securities currently make up approximately 43.24% or $66.7 million, compared to 32.59% or $64.8 million in December 2016. These investments could expose the notes to market risk in the event of liquidation when the notes mature. Despite the increase in the OC ratios of the Class E notes, Moody's affirmed the ratings on the Class E notes owing to market risk stemming from the exposure to these long-dated securities. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in October 2016. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: This transaction is subject to a number of factors and circumstances that could lead to either an upgrade or downgrade of the ratings: 1) Macroeconomic uncertainty: CLO performance is subject to a) uncertainty about credit conditions in the general economy and b) the large concentration of upcoming speculative-grade debt maturities, which could make refinancing difficult for issuers. 2) Collateral Manager: Performance can also be affected positively or negatively by a) the manager's investment strategy and behavior and b) differences in the legal interpretation of CLO documentation by different transactional parties owing to embedded ambiguities. 3) Collateral credit risk: A shift towards collateral of better credit quality, or better credit performance of assets collateralizing the transaction than Moody's current expectations, can lead to positive CLO performance. Conversely, a negative shift in credit quality or performance of the collateral can have adverse consequences for CLO performance. 4) Deleveraging: An important source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will continue and at what pace. Deleveraging of the CLO could accelerate owing to high prepayment levels in the loan market and/or collateral sales by the manager, which could have a significant impact on the notes' ratings. Note repayments that are faster than Moody's current expectations will usually have a positive impact on CLO notes, beginning with those with the highest payment priority. 5) Recovery of defaulted assets: Fluctuations in the market value of defaulted assets reported by the trustee and those that Moody's assumes as having defaulted could result in volatility in the deal's OC levels. Further, the timing of recoveries and whether a manager decides to work out or sell defaulted assets create additional uncertainty. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. Realization of higher than assumed recoveries would positively impact the CLO. 6) Long-dated assets: The presence of assets that mature after the CLO's legal maturity date exposes the deal to liquidation risk on those assets. This risk is borne first by investors with the lowest priority in the capital structure. Moody's assumes that the terminal value of an asset upon liquidation at maturity will be equal to the lower of an assumed liquidation value (depending on the extent to which the asset's maturity lags that of the liabilities) or the asset's current market value. The deal's increased exposure owing to amendments to loan agreements extending maturities continues. In light of the deal's sizable exposure to long-dated assets, which increases its sensitivity to the liquidation assumptions in the rating analysis, Moody's ran scenarios using a range of liquidation value assumptions. However, actual long-dated asset exposures and prevailing market prices and conditions at the CLO's maturity will drive the deal's actual losses, if any, from long-dated assets. 7) Exposure to assets with low credit quality and weak liquidity: The presence of assets rated Caa3 with a negative outlook, Caa2 or Caa3 on review for downgrade or the worst Moody's speculative grade liquidity (SGL) rating, SGL-4, exposes the notes to additional risks if these assets default. The historical default rate is higher than average for these assets. Due to the deal's exposure to such assets, which constitute around $4.0 million of par, Moody's ran a sensitivity case defaulting those assets. In addition to the base case analysis, Moody's also conducted sensitivity analyses to test the impact of a number of default probabilities on the rated notes relative to the base case modeling results, which may be different from the current public ratings of the notes. Below is a summary of the impact of different default probabilities (expressed in terms of WARF) on all of the rated notes (by the difference in the number of notches versus the current model output, for which a positive difference corresponds to lower expected loss): Moody's Adjusted WARF -- 20% (2219) Class A-1: 0 Class A-1R: 0 Class B: 0 Class C: 0 Class D: +1 Class E: +1 Moody's Adjusted WARF + 20% (3329) Class A-1: 0 Class A-1R: 0 Class B: 0 Class C: 0 Class D: -2 Class E: 0 Loss and Cash Flow Analysis: Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. In its base case, Moody's analyzed the collateral pool as having a performing par and principal proceeds balance of $154.2 million, defaulted par of $9.4 million, a weighted average default probability of 17.28% (implying a WARF of 2774), a weighted average recovery rate upon default of 48.08%, a diversity score of 27 and a weighted average spread of 3.15% (before accounting for LIBOR floors). Moody's incorporates the default and recovery properties of the collateral pool in cash flow model analysis where they are subject to stresses as a function of the target rating on each CLO liability reviewed. Moody's derives the default probability from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate for future defaults is based primarily on the seniority of the assets in the collateral pool. Moody's generally applies recovery rates for CLO securities as published in "Moody's Approach to Rating SF CDOs". In some cases, alternative recovery assumptions may be considered based on the specifics of the analysis of the CLO transaction. In each case, historical and market performance and the collateral manager's latitude for trading the collateral are also factors. KKR CLO 9: Moody's Assigns Ba3(sf) Rating to Class E-R Sr. Notes ---------------------------------------------------------------- Moody's Investors Service has assigned ratings to seven classes of notes issued by KKR CLO 9 Ltd. Moody's rating action is: US$3,000,000 Class X Senior Secured Floating Rate Notes Due 2030 (the "Class X Notes"), Assigned Aaa (sf) US$320,700,000 Class A-R Senior Secured Floating Rate Notes Due 2030 (the "Class A-R Notes"), Assigned Aaa (sf) US$39,800,000 Class B-1-R Senior Secured Floating Rate Notes Due 2030 (the "Class B-1-R Notes"), Assigned Aa2 (sf) US$15,000,000 Class B-2-R Senior Secured Fixed Rate Notes Due 2030 (the "Class B-2-R Notes"), Assigned Aa2 (sf) US$26,500,000 Class C-R Senior Secured Deferrable Floating Rate Notes Due 2030 (the "Class C-R Notes"), Assigned A2 (sf) US$33,000,000 Class D-R Senior Secured Deferrable Floating Rate Notes Due 2030 (the "Class D-R Notes"), Assigned Baa3 (sf) US$27,900,000 Class E-R Senior Secured Deferrable Floating Rate Notes Due 2030 (the "Class E-R Notes"), Assigned Ba3 (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. KKR Financial Advisors II, 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 July 11, 2017 (the "Refinancing Date") in connection with the refinancing of all of the secured notes (the "Refinanced Original Notes") previously issued on September 16, 2014 (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. On the Original Closing Date, the Issuer also issued one class of subordinated notes that will remain outstanding. 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: extensions of the reinvestment period, stated maturity and non-call period; changes to certain collateral quality tests; changes to the overcollateralization test levels, and changes to certain concentration limitations. 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: $ 500,000,000 Diversity Score: 60 Weighted Average Rating Factor (WARF): 3096 Weighted Average Spread (WAS): 3.70% Weighted Average Coupon (WAC): N/A Weighted Average Recovery Rate (WARR): 49% 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 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% (from 3096 to 3560) Rating Impact in Rating Notches Class X Notes: 0 Class A-R Notes: -1 Class B-1-R Notes: -2 Class B-2-R Notes: -2 Class C-R Notes: -2 Class D-R Notes: -1 Class E-R Notes: -1 Percentage Change in WARF -- increase of 30% (from 3096 to 4025) Rating Impact in Rating Notches Class X Notes: 0 Class A-R Notes: -1 Class B-1-R Notes: -4 Class B-2-R Notes: -4 Class C-R Notes: -4 Class D-R Notes: -2 Class E-R Notes: -1 ML-CFC COMMERCIAL 2006-1: DBRS Confirms BB(high) Rating on B Debt ------------------------------------------------------------------ DBRS Limited on July 7, 2017, confirmed the rating of the remaining class of Commercial Mortgage Pass-Through Certificates, Series 2006-1 (the Certificates) issued by ML-CFC Commercial Mortgage Trust, Series 2006-1 (the Trust) as follows: -- Class B at BB (high) (sf) The transaction has experienced collateral reduction of 98.9% since issuance, with five of the original 152 loans remaining in the pool as of the June 2017 remittance report. As of the June 2017 remittance report, the Class B Certificates had an outstanding principal balance of just $3.98 million, with loan repayments and liquidations paying down the original Class B balance of $50.87 million. The Class C Certificates had an outstanding balance of $20.10 million as of the June 2017 remittance, with credit enhancement for the Class B Certificates of 83.5%. Despite the significant credit support for the Class B Certificates, the many challenges and unknowns surrounding the performance and repayment status for four of the five remaining loans in the pool support the current rating at BB (high) (sf). The remaining loans in the pool are currently scheduled to mature between 2018 and 2026. The largest loan remaining in the pool, with an outstanding balance of $10.21 million representing 42.4% of the transaction balance, is scheduled to mature in February 2018 (extended from the original maturity in February 2016 while in special servicing). Although the loan is reporting an in-place debt service coverage ratio (DSCR) of 0.98 times (x) at YE2016, with a DBRS Refi DSCR of 0.78x, the loan has remained current over the past year. However, the near-term maturity could pose challenges for the sponsor and DBRS has assumed a conservative scenario for this loan in its analysis. Based on the most recent year-end reporting available for the individual loans, the transaction benefits from a stable in-place debt yield of 11.3%. Although the pool has experienced a WA net cash flow decline of 27.5% over the DBRS issuance figures, with all three of the largest loans in the pool reporting a DSCR just at or below 1.0x, none of the loans in the pool are currently in special servicing and all were current as of the June 2017 remittance. As of the June 2017 remittance report, all five loans remaining in the pool are on the servicer’s watchlist, three of which are being monitored for performance-related reasons. The largest two loans have previously been modified with maturity date extensions. The third-largest loan has consistently performed below issuance levels, while the remaining two loans have been flagged as the borrower has failed to submit financial statements for the underlying collateral. The rating assigned to the Class B notes materially deviates from the higher ratings implied by the quantitative results. DBRS considers a material deviation to be a rating differential of three or more notches between the assigned rating and the rating implied by the quantitative results that is a substantial component of a rating methodology. The deviations are warranted as a result of uncertain loan level event risk. MORGAN STANLEY 2006-HQ9: S&P Lowers Class E Rating to 'B-' ---------------------------------------------------------- S&P Global Ratings raised its ratings on two classes of commercial mortgage pass-through certificates from Morgan Stanley Capital I Trust 2006-HQ9, a U.S. commercial mortgage-backed securities (CMBS) transaction. In addition, S&P lowered its rating on one class and affirmed our rating on another class from the same transaction. S&P said, "Our rating actions follow our analysis of the transaction, primarily using our criteria for rating U.S. and Canadian CMBS transactions, which included a review of the credit characteristics and performance of the remaining assets in the pool, the transaction's structure, and the liquidity available to the trust as well as our views regarding the collateral's current and future performance. "We raised our ratings on classes B and C to reflect our expectation of the available credit enhancement for these classes, which we believe is greater than our most recent estimate of necessary credit enhancement for the respective rating levels, and the trust balance's reduction. "We lowered our rating on class E to reflect our expected available credit enhancement for the class, which we believe is less than our most recent estimate of necessary credit enhancement for the most recent rating level. "The affirmation on class D reflects our expectation that the available credit enhancement for the class will be within our estimate of the necessary credit enhancement required for the current rating. "While available credit enhancement levels suggest further positive rating movements on classes B and C and positive rating movement on class D, our analysis also considered the susceptibility to reduced liquidity support from the six specially serviced assets ($72.1 million, 54.3%) and the three loans on the master servicers' combined watchlist ($29.1 million, 21.9%), all of which have reported year-end 2016 debt service coverage (DSC) of below 1.00x." TRANSACTION SUMMARY As of the June 14, 2017, trustee remittance report, the collateral pool balance was $132.8 million, which is 5.2% of the pool balance at issuance. The pool currently includes 11 loans and two real estate owned (REO) assets, down from 211 loans at issuance. Six assets are with the special servicer, three loans are on the master servicers' combined watchlist, and no loans are defeased. The master servicers, Wells Fargo Bank N.A. and Midland Loan Services, reported financial information for 85.3% of the loans in the pool, of which 42.7% was year-end 2016 data, and the remainder was year-end 2015 data. Excluding the six specially serviced assets, S&P calculated a 0.77x S&P Global Ratings weighted average DSC and 139.4% S&P Global Ratings weighted average loan-to-value ratio using a 7.84% S&P Global Ratings weighted average capitalization rate for the remaining performing loans. To date, the transaction has experienced $173.0 million in principal losses, or 6.7% of the original pool trust balance. S&P expects losses to reach approximately 7.4% of the original pool trust balance in the near term, based on losses incurred to date and additional losses it expects upon the eventual resolution of the six specially serviced assets. CREDIT CONSIDERATIONS As of the June 14, 2017, trustee remittance report, six assets in the pool were with the special servicer, C-III Asset Management LLC (C-III). Details on the largest specially serviced asset are: The Gateway Shopping Center loan ($60.0 million, 45.2%), the largest asset in the pool, has a $63.3 million total reported exposure and is secured by a 257,844-sq.-ft. retail property in West Bloomfield, Mich. The loan, which has a 90--days delinquent payment status, was transferred to special servicing on June 15, 2016, due to litigation filed by the borrower. C-III stated that the litigation is still ongoing and it is exploring various liquidation strategies. The reported DSC and occupancy were 1.19x and 100%, respectively, for the year ended Dec. 31, 2016. An appraisal reduction amount of $11.1 million is in effect against the loan and we expect a minimal loss (less than 25%) upon its eventual resolution. The five remaining assets with the special servicer each have individual balances that represent less than 3.0% of the total pool trust balance. S&P estimated losses for the six specially serviced assets, arriving at a weightedaverage loss severity of 24.1%. RATINGS LIST Morgan Stanley Capital I Trust 2006-HQ9 Commercial mortgage pass-through certificates series 2006-HQ9 Rating Class Identifier To From B 61750CAJ6 AA- (sf) BBB+ (sf) C 61750CAK3 A- (sf) BBB- (sf) D 61750CAL1 BB+ (sf) BB+ (sf) E 61750CAM9 B- (sf) B+ (sf) MORGAN STANLEY 2006-IQ12: Fitch Cuts Rating on Cl. A-J Certs. to C ------------------------------------------------------------------ Fitch Ratings has downgraded one class and affirmed 12 classes of Morgan Stanley Capital I Trust (MSC) commercial mortgage pass-through certificates, series 2006-IQ12. KEY RATING DRIVERS The downgrade reflects the concentrated nature of the pool coupled with adverse selection and high expected losses. The pool has 16 assets remaining, 12 of which are in special servicing (85.1%). Eight assets (80%) are real-estate owned (REO) or in foreclosure. As of the June 2017 distribution date, the pool's aggregate principal balance has been reduced by 91.8% to $222.98 million from $2.73 billion at issuance. Interest shortfalls are currently affecting classes B and C. Concentration and Adverse Selection: Due to the concentrated nature of the pool, Fitch performed a sensitivity analysis which grouped the remaining loans based on loan structural features, collateral quality and performance which ranked them by their perceived likelihood of repayment. This includes the one performing loan past its anticipated repayment date (ARD) and three performing loans in addition to the 12 specially serviced loans. The ratings reflect this sensitivity analysis. Largest Loans in Special Servicing: The three largest loans represent approximately 62.8% of the remaining pool balance and are in foreclosure. The largest loan, Gateway Center IV (25.3% of the pool), is backed by a 327,135-sf office property located in the CBD of Newark, NJ. The servicer reported occupancy is approximately 63% as Prudential has vacated. The second largest loan, Gateway Office Building (24.9%), is secured by a 251,430-sf office property in Rockville, MD that was built in 1972 and renovated in 2001. The reported occupancy has fallen below 90% with significant near-term rollover. The third largest loan is Regency Park North (12.6%), which is secured by a 202,076-sf three-building office complex located in Brandon, FL. The property is 42.4% occupied by a single tenant that downsized from 100% of the space. RATING SENSITIVITIES Upgrades are not likely as the remaining pool is adversely selected and has a high concentration of assets in special servicing. Fitch has downgraded the following ratings: -- $189.9 million class A-J to 'Csf' from 'CCsf'; RE 70%. Fitch has affirmed the following ratings: -- $17.1 million class B at 'Csf'; RE 0%; -- $16 million class C at 'Dsf'; RE 0%; -- $0 class D at 'Dsf'; RE 0%; -- $0 class E at 'Dsf'; RE 0%; -- $0 class F at 'Dsf'; RE 0%; -- $0 class G at 'Dsf'; RE 0%; -- $0 class H at 'Dsf'; RE 0%; -- $0 class J at 'Dsf'; RE 0%; -- $0 class K at 'Dsf'; RE 0%; -- $0 class L at 'Dsf'; RE 0%; -- $0 class M at 'Dsf'; RE 0%; -- $0 class N at 'Dsf'; RE 0%. The class A-1, A-1A, A-2, A-NM, A-3, A-AB, A-4, A-M and A-MFX certificates have paid in full. Fitch does not rate the class O, P, Q and S certificates. Fitch previously withdrew the ratings on the class A-MFL certificate and the interest-only class X-1, X-2 and X-W certificates. MORGAN STANLEY 2007-IQ14: Moody's Hikes Rating on 2 Tranches to Ba1 ------------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on two classes, downgraded the ratings on two classes and affirmed the ratings on three classes in Morgan Stanley Capital I Trust, Commercial Mortgage Pass-Through Certificates, Series 2007-IQ14: Cl. A-M, Upgraded to Ba1 (sf); previously on Feb 2, 2017 Affirmed Ba2 (sf) Cl. A-MFX, Upgraded to Ba1 (sf); previously on Feb 2, 2017 Affirmed Ba2 (sf) Cl. A-J, Downgraded to Ca (sf); previously on Feb 2, 2017 Downgraded to Caa3 (sf) Cl. A-JFX, Downgraded to Ca (sf); previously on Feb 2, 2017 Downgraded to Caa3 (sf) Cl. B, Affirmed C (sf); previously on Feb 2, 2017 Affirmed C (sf) Cl. C, Affirmed C (sf); previously on Feb 2, 2017 Affirmed C (sf) Cl. X, Affirmed C (sf); previously on Jun 9, 2017 Downgraded to C (sf) RATINGS RATIONALE The ratings on Classes A-M and A-MFX were upgraded based primarily on an increase in credit support resulting from loan paydowns and amortization. The deal has paid down 74% since last review and approximately 90% since securitization. The ratings on Classes A-J and A-JFX were downgraded due to an increase in anticipated losses from specially serviced loans. Specially serviced loans are represent 85% of the pooled balance compared to 10% at Moody's last review. The ratings on Classes B and C were affirmed due to Moody's expected loss. The rating on the IO Class, Class X, was affirmed based on the credit quality of its referenced classes. Moody's rating action reflects a base expected loss of 40.0% of the current balance, compared to 14.9% at Moody's last review. Moody's base expected loss plus realized losses is now 14.7% of the original pooled balance, compared to 16.7% at Moody's last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The methodologies used in these ratings were "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in October 2015, and "Approach to Rating US and Canadian Conduit/ Fusion CMBS" published in December 2014. Additionally, the methodology used in rating Cl. X was "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 85% of the pool is in special servicing. In this approach, Moody's determines a probability of default for each specially serviced and troubled loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss from specially serviced loans to the most junior classes and the recovery as a pay down of principal to the most senior classes. DEAL PERFORMANCE As of the June 15, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 89.5% to $515 million from $4.9 billion at securitization. The certificates are collateralized by 30 mortgage loans ranging in size from less than 1% to 30% of the pool, with the top ten loans (excluding defeasance) constituting 84% of the pool. Two loans, constituting 14.6% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Ninety-six loans have been liquidated from the pool, resulting in an aggregate realized loss of $514 million (for an average loss severity of 36%). Twenty-eight loans, constituting 85.4% of the pool, are currently in special servicing. The largest specially serviced loan is the PDG Portfolio Loan ($153.2 million -- 29.8% of the pool), which is secured by a portfolio of cross-collateralized and cross-defaulted retail properties located in Arizona. The loan had transferred to special servicing in October 2010 due to imminent monetary default and was modified in November 2011. The modification included an initial interest rate reduction to 4.5% (from 5.8%) through the loan maturity in May 2017. The loan transferred back into special servicing in March 2017 due to imminent maturity default and subsequently defaulted in May 2017. The portfolio was 70% leased as of December 2016 compared to 72% in June 2016 and 78% in June 2015. The second largest specially serviced loan is the City View Center Loan ($77.2 million -- 15.0% of the pool), which is secured by a 506,000 SF retail property located in Garfield Heights, Ohio approximately 10 miles southeast of Cleveland. The property was previously utilized as a quarry and later as a landfill that ceased operations in the 1970's. The landfill was capped, a gas extraction system was installed underneath the improvements and the property was operating under the supervision of the Ohio EPA "Rule 13 Authorization". In 2008, Walmart (which was 29% of the NRA) vacated the property due to high methane gas levels. After losing its anchor, the loan transferred to special servicing in November 2008 due to payment delinquency as well as significant environmental issues. Several other tenants including Home Depot, J.C. Penney, Pet Smart, Bed Bath & Beyond, and Dick's Sporting Goods all vacated the property. The loan was deemed non-recoverable in May 2009. The special servicer, on behalf of the Trust, filed a claim against the Mortgage Loan Originator, Morgan Stanley, based on the misrepresentation of the nature of the environmental issues at the property. The settlement to the Trust of cash in the amount of $62.5 million has been completed and funded. The loan is currently being marketed for sale. The remaining 26 specially serviced loans are secured by a mix of property types. Moody's estimates an aggregate $205 million loss for the specially serviced loans (47% expected loss on average). The top two performing non-specially serviced loans represent 14.6% of the pool balance. The largest performing loan is the Vista Ridge Portfolio Loan ($58 million -- 11.3% of the pool), which is secured by a 486,400 SF office complex located in Lewisburg, TX approximately 25 miles northwest of Dallas and 22 miles west of Plano. The complex consists of four office buildings, Vista Ridge I-IV, built between 2001 and 2007. The portfolio was 100% leased as of March 2017, however, JP Morgan Chase (which occupies 100% of Vista Ridge III & IV) will be vacating at their lease expiration in November 2017. Nationstar Mortgage has signed a 120 month lease, set to start in July 2018 for Vista Ridge III & IV. Nationstar Mortgage has not yet indicated if they will renew their lease at Vista Ridge I (77,600 SF) upon the lease expiration in December 2018. Moody's LTV and stressed DSCR are 114% and 0.95X, respectively. The second largest performing loan is the City Place Five Loan ($16.9 million -- 3.3% of the pool), which is secured by a 82,000 SF office property located in Creve Coeur, Missouri (approximately 14 miles west of St. Louis CBD). As of December 2016, the property was 90% leased. The tenant roster includes mainly to medical tenants. Moody's LTV and stressed DSCR are 111% and 0.97X, respectively. OCTAGON INVESTMENT 32: Moody's Assigns (P)Ba3 Rating to Cl. E Debt ------------------------------------------------------------------ Moody's Investors Service has assigned provisional ratings to seven classes of notes to be issued by Octagon Investment Partners 32, Ltd. Moody's rating action is: US$305,000,000 Class A-1 Senior Secured Floating Rate Notes due 2029 (the "Class A-1 Notes"), Assigned (P)Aaa (sf) US$20,000,000 Class A-2 Junior Senior Secured Floating Rate Notes due 2029 (the "Class A-2 Notes"), Assigned (P)Aaa (sf) US$40,000,000 Class B-1 Senior Secured Floating Rate Notes due 2029 (the "Class B-1 Notes"), Assigned (P)Aa2 (sf) US$10,000,000 Class B-2 Senior Secured Fixed Rate Notes due 2029 (the "Class B-2 Notes"), Assigned (P)Aa2 (sf) US$35,000,000 Class C Secured Deferrable Mezzanine Floating Rate Notes due 2029 (the "Class C Notes"), Assigned (P)A2 (sf) US$27,500,000 Class D Secured Deferrable Mezzanine Floating Rate Notes due 2029 (the "Class D Notes"), Assigned (P)Baa3 (sf) US$22,500,000 Class E Secured Deferrable Junior Floating Rate Notes due 2029 (the "Class E Notes"), Assigned (P)Ba3 (sf) The Class A-1 Notes, the Class A-2 Notes, the Class B-1 Notes, the Class B-2 Notes, the Class C Notes, the Class D Notes and the Class E Notes are referred to herein, collectively, as the "Rated Notes." Moody's issues provisional ratings in advance of the final sale of financial instruments, but these ratings only represent Moody's preliminary credit opinions. Upon a conclusive review of a transaction and associated documentation, Moody's will endeavor to assign definitive ratings. A definitive rating, if any, may differ from a provisional rating. RATINGS RATIONALE Moody's provisional ratings of the Rated Notes address the expected losses posed to noteholders. The provisional ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. Octagon 32 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated first lien senior secured corporate loans. At least 92.5% of the portfolio must consist of senior secured loans, cash, and eligible investments, and up to 7.5% of the portfolio may consist of second lien loans and unsecured loans. Moody's expects the portfolio to be approximately 65% ramped as of the closing date. Octagon Credit Investors, LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's 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 will issue subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in October 2016. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $500,000,000 Diversity Score: 55 Weighted Average Rating Factor (WARF): 2750 Weighted Average Spread (WAS): 3.50% Weighted Average Coupon (WAC): 6.50% Weighted Average Recovery Rate (WARR): 47.50% Weighted Average Life (WAL): 9.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in October 2016. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. Together with the set of modeling assumptions above, Moody's conducted an additional sensitivity analysis, which was a component in determining the ratings assigned to the Rated Notes. This sensitivity analysis includes increased default probability relative to the base case. Below is a summary of the impact of an increase in default probability (expressed in terms of WARF level) on the Rated Notes (shown in terms of the number of notch difference versus the current model output, whereby a negative difference corresponds to higher expected losses), assuming that all other factors are held equal: Percentage Change in WARF -- increase of 15% (from 2750 to 3163) Rating Impact in Rating Notches Class A-1 Notes: 0 Class A-2 Notes: -1 Class B-1 Notes: -1 Class B-2 Notes: -1 Class C Notes: -2 Class D Notes: -1 Class E Notes: 0 Percentage Change in WARF -- increase of 30% (from 2750 to 3575) Rating Impact in Rating Notches Class A-1 Notes: -1 Class A-2 Notes: -2 Class B-1 Notes: -3 Class B-2 Notes: -3 Class C Notes: -4 Class D Notes: -2 Class E Notes: -1 OCTAGON INVESTMENT XV: S&P Gives Prelim BB- Rating to Cl. E-R Notes ------------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class X-R, A-1A-R, A-1B-R, B-R, C-R, D-R, and E-R replacement notes from Octagon Investment Partners XV Ltd., a collateralized loan obligation (CLO) originally issued in 2013 that is managed by Octagon Credit Investors LLC. The replacement notes will be issued via a proposed restated indenture. The replacement class A-2-R notes are not being rated by S&P Global Ratings. The preliminary ratings reflect S&P's opinion that the credit support available is commensurate with the associated rating levels. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings are based on information as of July 12, 2017. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the July 19, 2017, refinancing date, the proceeds from the issuance of the replacement notes are expected to redeem the original notes. At that time, S&P said, "we anticipate withdrawing the ratings on the original notes and assigning ratings to the replacement notes. However, if the refinancing doesn't occur, S&P may affirm the ratings on the original notes and withdraw our preliminary ratings on the replacement notes." The 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 stated maturity, reinvestment period, and weighted average life test date by five years, while the non-call period will be extended by two years. -- Prohibits the purchase of bonds or letter of credit obligations, changes the overcollateralization test levels, updates S&P Global Ratings' industry codes and recovery rates to conform to current criteria, and incorporates the non-model version of S&P CDO Monitor. -- Increases the allowable 'CCC' and covenant-lite limits to 7.5% and 60.0%, respectively, from 5.0% and 40%. REPLACEMENT AND ORIGINAL NOTE ISSUANCES Replacement notes Class Amount Interest (mil. $) rate (%) X-R 5.000 LIBOR + 0.80 A-1A-R 278.000 LIBOR + 1.21 A-1B-R 18.000 3.175 A-2-R 35.000 LIBOR + 1.35 B-R 47.000 LIBOR + 1.75 C-R 30.000 LIBOR + 2.60 D-R 29.000 LIBOR + 3.70 E-R 16.800 LIBOR + 7.00 Original notes Class Amount Interest (mil. $) rate (%) A 318.750 LIBOR + 1.29 B-1 15.000 LIBOR + 2.00 B-2 46.250 3.507 C 38.750 LIBOR + 2.85 D 22.185 LIBOR + 3.55 E 21.565 LIBOR + 4.75 S&P said, "Our 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 our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches. "Our review of the transaction also relied in part upon a criteria interpretation with respect to ""CDOs: Mapping A Third Party's Internal Credit Scoring System To Standard & Poor's Global Rating Scale," published May 8, 2014, which allows us to use a limited number of public ratings from other NRSROs for the purposes of assessing the credit quality of assets not rated by S&P Global Ratings. The criteria provide specific guidance for treatment of corporate assets not rated by S&P Global Ratings, and the interpretation outlines treatment of securitized assets. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and we will take further rating actions as we deem necessary." PRELIMINARY RATINGS ASSIGNED Octagon Investment Partners XV Ltd. Replacement class Rating Amount (mil. $) X-R AAA (sf) 5.00 A-1A-R AAA (sf) 278.00 A-1B-R AAA (sf) 18.00 B-R AA (sf) 47.00 C-R A (sf) 30.00 D-R BBB- (sf) 29.00 E-R BB- (sf) 16.80 RAIT CRE I: Moody's Affirms B1 Rating on Class B Debt ----------------------------------------------------- Moody's Investors Service has affirmed the ratings on the following notes issued by RAIT CRE CDO I, Ltd.: Cl. A-1A, Affirmed Aa2 (sf); previously on Aug 24, 2016 Affirmed Aa2 (sf) Cl. A-1B, Affirmed Aa2 (sf); previously on Aug 24, 2016 Affirmed Aa2 (sf) Cl. A-2, Affirmed Baa3 (sf); previously on Aug 24, 2016 Affirmed Baa3 (sf) Cl. B, Affirmed B1 (sf); previously on Aug 24, 2016 Affirmed B1 (sf) Cl. C, Affirmed Caa1 (sf); previously on Aug 24, 2016 Affirmed Caa1 (sf) Cl. D, Affirmed Caa2 (sf); previously on Aug 24, 2016 Affirmed Caa2 (sf) Cl. E, Affirmed Caa3 (sf); previously on Aug 24, 2016 Affirmed Caa3 (sf) Cl. F, Affirmed Caa3 (sf); previously on Aug 24, 2016 Affirmed Caa3 (sf) Cl. G, Affirmed Caa3 (sf); previously on Aug 24, 2016 Affirmed Caa3 (sf) Cl. H, Affirmed Caa3 (sf); previously on Aug 24, 2016 Affirmed Caa3 (sf) Cl. J, Affirmed Caa3 (sf); previously on Aug 24, 2016 Affirmed Caa3 (sf) RATINGS RATIONALE Moody's has affirmed the ratings on eleven classes of notes because the key transaction metrics are commensurate with the existing ratings. While the credit quality of the current pool balance is lower as evidenced by WARF, the loss-given-default of the pool has improved as evidenced by WARR; which creates an offsetting factor. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO CLO) transactions. RAIT CRE CDO I, Ltd. is a static cash transaction wholly backed by a portfolio of i) whole loans (78.5% of the deal balance), and ii) mezzanine loans and preferred equity participations (21.5%). They are collateralized by the following property types: i) office (34.4% of the collateral pool balance); ii) anchored retail (31.1%); iii) multifamily (16.0%); iv) industrial (5.8%); v) hospitality (5.3%); and vi) non-core property types (7.3%). As of the June 5, 2017 trustee report, the aggregate note balance of the transaction, including preferred shares, has decreased to $545.7 million from $1.018 billion at issuance, with the pay-down directed to the senior most outstanding class of notes. Previously, there were partial cancellations to the Class D, F, G and H Notes. In general, holding all key parameters static, the junior note cancellations results in slightly higher expected losses and longer weighted average lives on the senior notes, while producing slightly lower expected losses on the mezzanine and junior notes. However, this does not cause, in and of itself, a downgrade or upgrade of any outstanding classes of notes. The pool contains nine assets totaling $43.4 million (8.3% of the collateral pool balance) that are listed as defaulted as of the trustee's June 5, 2017 report. These assets (100.0% of the defaulted balance) are commercial real estate loans. While there have been limited realized losses on the underlying collateral to date, Moody's does expect significant losses to occur on the defaulted assets. Moody's has identified the following as key indicators of the expected loss in CRE CLO transactions: the weighted average rating factor (WARF), the weighted average life (WAL), the weighted average recovery rate (WARR), and Moody's asset correlation (MAC). Moody's typically models these as actual parameters for static deals and as covenants for managed deals. WARF is a primary measure of the credit quality of a CRE CLO pool. Moody's has updated its assessments for the collateral it does not rate. The rating agency modeled a bottom-dollar WARF (excluding defaulted assets) of 8966, compared to 8101 at last review. The current distribution of Moody's rated collateral and assessments for non-Moody's rated collateral is: Aaa-Aa3 and 0.0% compared to 0.8% at last review, A1-A3 and 0.0% compared to 1.4% at last review, Ba1-Ba3 and 0.0% compared to 0.2% at last review, B1-B3 and 2.8% compared to 2.7% at last review, Caa1-Ca/C and 97.2% compared to 94.8% at last review. . Moody's modeled a WAL of 2.9 years, compared to 2.8 years at last review. The WAL is based on assumptions about extensions on the underlying loan collateral. Moody's modeled a fixed WARR of 45.9%, compared to 44.7% at last review. Moody's modeled a MAC of 100%, the same as at last review. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Approach to Rating SF CDOs" published in June 2017. Factors that would lead to an upgrade or downgrade of the ratings: The performance of the notes is subject to uncertainty, because it is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that are subject to change. The servicing decisions of the master and special servicer and surveillance by the operating advisor with respect to the collateral interests and oversight of the transaction will also affect the performance of the rated notes. Moody's Parameter Sensitivities: Changes to any one or more of the key parameters could have rating implications for some of the rated notes, although a change in one key parameter assumption could be offset by a change in one or more of the other key parameter assumptions. The rated notes are particularly sensitive to changes in the ratings of the underlying collateral and assessments. Holding all other parameters constant, increasing the recovery rate of 100% of the collateral pool by 10% would result in an average modeled rating movement on the rated notes of zero to ten notches upward (e.g., one notch up implies a ratings movement of Baa3 to Baa2). Reducing the recovery rate of 100% of the collateral pool by 10% would result in an average modeled rating movement on the rated notes of zero to eight notches downward (e.g., one notch down implies a ratings movement of Baa3 to Ba1). The primary sources of uncertainty in Moody's assumptions are the extent of growth in the current macroeconomic environment given the weak recovery and certain commercial real estate property markets. Commercial real estate property values continue to improve modestly, along with a rise in investment activity and stabilization in core property type performance. Limited new construction and moderate job growth have aided this improvement. However, sustained growth will not be possible until investment increases steadily for a significant period, non-performing properties are cleared from the pipeline and fears of a euro area recession abate. RBSCF TRUST 2009-RR1: Fitch Cuts Rating on Cl. JPMCC-B Certs to BB ------------------------------------------------------------------ Fitch Ratings has downgraded one class and affirmed six classes of RBSCF Trust 2009-RR1. KEY RATING DRIVERS The downgrade of class JPMCC-B reflects the downgrade of the rating of the underlying bond. This transaction is a re-securitization of the ownership interest in a single commercial mortgage-backed certificate, J.P. Morgan Chase Commercial Mortgage Securities Trust series 2008-C2 (JP Morgan 2008-C2) class A-4, which Fitch downgraded to 'BBsf'/Outlook Stable on July 5, 2017 largely due to a greater certainty of losses on underperforming collateral as the pool has become increasingly concentrated. Further, Fitch is concerned with the ability of several highly leveraged loans to refinance; approximately 45% of the underlying pool has a Fitch stressed loan to value (LTV) in excess of 100%. Principal and interest from the underlying commercial mortgage-backed certificate are applied to the class A and B certificates in sequential order, while losses are applied in reverse sequential order. As a re-securitization, the class A and B certificates receive cash flow from the underlying class A-4 bonds. The rating of the class B certificate is based on the underlying security. The affirmations of the class A certificates reflect the senior position and higher credit enhancement of those classes. RATING SENSITIVITIES The class A certificates have a Stable Outlook based on the classes' senior position and high credit enhancement. The Rating Outlook for the class B certificate, which is a direct pass through to the underlying bond, reflects the Stable Outlook assigned to the underlying bond. Upgrade to the class B certificate is not likely due to adverse selection in the underlying pool including loans with low debt service coverage ratios, occupancy declines, tenant rollover, and high leverage. Downgrades to the class A and B certificates are possible should expected losses increase. JP Morgan 2008-C2 is currently backed by a pool of 55 loans with an aggregate remaining principal balance of approximately $612.6 million. The class A-4 certificates in the underlying transaction had 26% credit enhancement, as of the June 2017 remittance date. DUE DILIGENCE USAGE PURSUANT TO SEC RULE 17G-10 No third party due diligence was provided or reviewed in relation to this rating action. Fitch downgrades the following rating: -- $15.7 million class JPMCC-B to 'BBsf' from 'BBBsf'; Outlook revised to Stable from Negative. Fitch affirms the following ratings: -- $26.8 million* class JPMCC-A at 'AAAsf'; Outlook Stable; -- $9.0 million** JPMCC-A1 at 'AAAsf'; Outlook Stable; -- $9.9 million** class JPMCC-A2 at 'AAAsf'; Outlook Stable; -- $9.9 million** class JPMCC-A3 at 'AAAsf'; Outlook Stable; -- $18.9 million** class JPMCC-A4 at 'AAAsf'; Outlook Stable; -- $19.8 million** class JPMCC-A5 at 'AAAsf'; Outlook Stable. * Exchangeable REMIC Certificate ** Exchangeable Certificates The Group CSMC class A and B certificates, classes CSMC-A, CSMC-A-1, CSMC-A2, CSMC-A3, CSMC-A4, CSMC-A5, and CSMC-B, have paid in full. SLC STUDENT 2008-2: S&P Lowers Rating on 2 Tranches to BB --------------------------------------------------------- S&P Global Ratings lowered its ratings on eight classes of notes and affirmed its ratings on two classes of notes from four student loan asset-backed securities (ABS) transactions administrated by Navient Solutions LLC. These transactions are primarily backed by pools of Stafford student loans originated through the U.S. Department of Education's (ED's) Federal Family Education Loan Program (FFELP). S&P said, "T[he] downgrades reflect our view that the trust's principal payment rate reduction has heightened the class A-4 notes' sensitivity to any future declines in principal payment rates. Our ratings address the trust's ability to make timely interest payments as well as the ability to repay the note balances by their respective legal final maturity dates. We lowered our rating on the class B notes because a principal payment default on the class A notes could cause a subsequent default on interest payments to the class B notes. Accordingly, we believe the risk of nonpayment for class A and B is the same. "We affirmed our rating on SLM Student Loan Trust 2007-3's class A-3 and SLC Student Loan Trust 2008-2's class A-3 notes because their credit enhancement levels support a 'AAA (sf)' rating. Based on the recent repayment rates, we expect these notes to be repaid by their legal final maturity dates. "We have considered the transactions' expected future collateral performance, payment priorities, current credit enhancement levels, and asset/bond payment rates. Our analysis also focused on credit stability and sector- and issuer-specific analyses, as well as a peer analysis." Each series is issued from a discrete trust collateralized by student loans originated through FFELP. The ED reinsures at least 97% of the principal and accrued interest on defaulted loans serviced according to the FFELP guidelines. The primary credit risk in a student loan transaction consisting of FFELP loans is noncompliance with servicing standards. Rejected claims lose the ED's insurance coverage, resulting in full principal loss to the issuer related to the rejected loans. Navient Solutions Inc. (Navient Solutions), the servicer of the loans, has extensive FFELP servicing experience, as well as historically low servicer reject rates. Due to the high level of recoveries from the ED on defaulted loans, defaults effectively function similar to prepayments. Thus, we expect net losses to be minimal. The loan pools consist predominantly of Stafford loans. The pools are seasoned, with approximately 60% in active repayment status. CURRENT CAPITAL STRUCTURE(i) SLM Student Loan Trust Current Note balance factor Series Class (mil. $) (%) Coupon (%) Maturity 2007-3 A-3 172.87 47.62 3ML + 0.04 4/25/2019 2007-3 A-4 338.84 100.00 3ML + 0.06 1/25/2022 2007-3 B 91.54 100.00 3ML + 0.15 1/25/2028 2007-7 A-4 455.93 85.14 3ML + 0.33 1/25/2022 2007-7 B 60.02 100.00 3ML + 0.75 10/25/2070 2008-1 A-4 382.09 93.27 3ML + 0.65 1/25/2022 2008-1 B 46.01 100.00 3ML + 1.15 1/25/2029 (i)Current information as of the April 25, 2017, distribution date. 3ML--Three-month LIBOR. SLC Student Loan Trust 2008-2 Current Note balance factor Series Class (mil. $) (%) Coupon (%) Maturity 2008-2 A-3 65.84 22.78 3ML + 0.65 9/15/2018 2008-2 A-4 314.64 100.00 3ML + 0.90 6/15/2021 2008-2 B 61.37 100.00 3ML + 1.75 9/15/2066 (i)Current information as of the June 15, 2017, distribution date. 3ML--Three-month LIBOR. PAYMENT STRUCTURE Principal payments are currently allocated to the class A notes sequentially for each deal. When these notes are fully repaid, amounts will then be allocated to the class B noteholders. The transactions have reached their required release thresholds and are releasing excess funds to the residual holders. The servicer can call the collateral (purchase or sell it) when the pool factor decreases to 10% or lower. The funds from the call would be used to fully repay the notes. If the collateral is not called, then the structure no longer releases excess funds, and amounts that could have been released are used to further pay down the notes (full turbo). Currently, all the deals have a pool factor in the 20%-29% range, approximately. ANALYSIS S&P believes the classes with lowered ratings are more sensitive to decreased principal payment rates, relative to other FFELP-backed notes with a similar rating and maturity profile. The parity levels indicate the trusts have strong credit enhancement, and the notes are expected to be fully repaid, but the timing of repayment will depend on the bond principal payment levels between now and the legal final maturity dates. Overcollateralization (as measured by parity) is set out below: PARITY SLM Student Loan Trust Series Class Parity (%)(i) 2007-3 A-3 348.96 2007-3 A-4 117.89 2007-3 B 100.00 2007-7 A-4 113.16 2007-7 B 100.00 2008-1 A-4 112.04 2008-1 B 100.00 SLC Student Loan Trust 2008-2 Series Class Parity (%)(i) 2008-2 A-3 676.15 2008-2 A-4 117.01 2008-2 B 100.76 (i)Parity is calculated as the total principal pool balance plus interest to be capitalized divided by the respective class note balance and the class balance for any notes maturing before the respective notes. If the senior class A notes do not receive full principal by their respective legal final maturity dates, the payment priority may change, requiring principal payments to the class A notes to be prioritized over timely interest payments to their respective class B notes. Accordingly, we believe the risk of nonpayment for the senior class A and their respective class B notes is the same. If the class A notes are fully repaid by their respective legal final maturity dates, the current sequential payment priority will be retained, and we expect the class B notes to receive timely interest payments and principal repayment by the class B notes' legal final maturity date. S&P said, "We have reviewed the historical amounts paid to these transactions. Over time, as the pools current loans in repayment amortize, we expect the dollar amount of principal received on the collateral and distributed to the noteholders to decline. If we assume that the trust continues to receive the minimum quarterly amount received over the last year, or an amount less than that, then we believe the downgraded class A notes are more sensitive to not receiving full principal payments by their legal final maturity dates (see "Extension Risk In Rated FFELP Student Loan ABS Transactions: FFELP Maturity Tracker January 2017," published Jan. 31, 2017)." APPLICATION OF CREDIT STABILITY CRITERIA S&P said, "The downgrades reflect the application of our credit stability criteria (see "Methodology: Credit Stability Criteria," published May 3, 2010). We believe these classes are less suited to withstand a moderate stress on principal payment rates relative to other FFELP-backed classes with a similar maturity and rating profile. Ratings lowered to 'A (sf)' also reflect that we do not expect the rating to decline by more than two rating categories over the next 12 months and by no more than three rating categories over the next 36 months. The ratings on SLC Student Loan Trust 2008-2's class A-4 and B were previously lowered to 'A (sf)' on Oct. 6, 2016. Since then, their payment levels have not improved and they are now closer to maturity. As such, we are lowering these ratings to 'BB (sf)' because we believe these classes face major uncertainty that could lead to the trust's inadequate capacity to meet its financial commitment on these obligations. The lowered ratings also reflect that we do not expect the rating to decline by more than two rating categories over the next 12 months and by no more than four rating categories over the next 36 months." LOAN STATUS SLM Student Loan Trust 30+ days delinq. Series Repayment(i) and claims Others(ii) 2007-3 61.73 11.85 26.43 2007-7 63.00 10.85 26.43 2008-1 59.16 12.94 27.90 SLC Student Loan Trust 2008-2 30+ days delinq. Series Repayment(i) and claims Others(ii) 2008-2 62.42 11.28 26.30 (i)Excluding delinquencies. (ii)Others include in-school, grace period, deferment, and forbearance status. Currently, approximately 60% of loans in each pool are repaying and considered current with their payments. Of the remaining loans, less than 1% of each pool are in the claims process (defaulted but not yet reimbursed), which is expected to lead to reimbursement of at least 97% of the loans' principal and accrued interest from the ED. Of the loans, approximately 25% of each pool is in in-school, deferment, or forbearance status. These loans meet the FFELP guidelines, which allow them to be placed in a loan status that does not require the borrower to make its full payments at this time. Loans in delinquency status range from 10%-15% of each pool. Approximately 40% of loans in each pool are in a nonpayment status. These loans will either return to current status and make scheduled loan payments or will default and receive the ED reimbursement of at least 97% of the loans principal and accrued interest. We expect principal payment rates to improve as this occurs, and it could partially offset the natural decline in principal payment rates from the current paying pool as it continues to amortize. Additionally, principal payment rates can also be influenced by prepayments (voluntary and involuntary) and the changes in loan status. S&P will continue to monitor the performance of the student loan receivables backing these transactions as well as the subsequent bond principal payment rates which affect the notes' ability to repay their principal by their legal final maturity dates. RATINGS LOWERED SLM Student Loan Trust 2007-3 Rating Class To From A-4 A (sf) AA+ (sf) B A (sf) AA (sf) SLM Student Loan Trust 2007-7 Rating Class To From A-4 A (sf) AA+ (sf) B A (sf) AA (sf) SLM Student Loan Trust 2008-1 Rating Class To From A-4 A (sf) AA+ (sf) B A (sf) AA (sf) SLC Student Loan Trust 2008-2 Rating Class To From A-4 BB (sf) A (sf) B BB (sf) A (sf) RATINGS AFFIRMED SLM Student Loan Trust 2007-3 Class Rating A-3 AAA (sf) SLC Student Loan Trust 2008-2 Class Rating A-3 AAA (sf) STONEY LANE I: Moody's Affirms Ba2(sf) Rating on Class D Notes -------------------------------------------------------------- Moody's Investors Service has upgraded the rating on the following notes issued by Stoney Lane Funding I Ltd.: US$25,000,000 Class C Senior Secured Deferrable Floating Rate Notes due 2022, Upgraded to A2 (sf); previously on March 7, 2017 Affirmed Baa2 (sf) Moody's also affirmed the ratings on the following notes: US$369,900,000 Class A-1 Senior Secured Floating Rate Notes due 2022 (current outstanding balance of $30,281,248.55), Affirmed Aaa (sf); previously on March 7, 2017 Affirmed Aaa (sf) US$24,500,000 Class A-2 Senior Secured Floating Rate Notes due 2022, Affirmed Aaa (sf); previously on March 7, 2017 Affirmed Aaa (sf) US$25,000,000 Class B Senior Secured Deferrable Floating Rate Notes due 2022, Affirmed Aaa (sf); previously on March 7, 2017 Upgraded to Aaa (sf) US$18,250,000 Class D Secured Deferrable Floating Rate Notes due 2022 (current outstanding balance of $15,769,409.59), Affirmed Ba2 (sf); previously on March 7, 2017 Affirmed Ba2 (sf) Stoney Lane Funding I Ltd., issued in March 2007, is a collateralized loan obligation (CLO) backed primarily by a portfolio of senior secured loans. The transaction's reinvestment period ended in April 2014. RATINGS RATIONALE These rating actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since March 2017. The Class A-1 notes have been paid down by approximately 64% or $52.8 million since that time. Based on the trustee's June 2017 report, the OC ratios for the Class A, Class B, Class C and Class D notes are reported at 242.19%, 166.30%, 126.62%, and 110.06%, respectively, versus March 2017 levels of 174.86%, 141.88%, 119.37% and 108.51%, respectively. Additionally, the CLO has approximately $15 million of principal proceeds, which are expected to be used to further pay down the senior notes on the July 2017 payment date. Nevertheless, the credit quality of the portfolio has deteriorated since March 2017. Based on the trustee's June 2017 report, the weighted average rating factor is currently 3729 compared to 3518 in March 2017. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in October 2016. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: This transaction is subject to a number of factors and circumstances that could lead to either an upgrade or downgrade of the ratings: 1) Macroeconomic uncertainty: CLO performance is subject to a) uncertainty about credit conditions in the general economy and b) the large concentration of upcoming speculative-grade debt maturities, which could make refinancing difficult for issuers. 2) Collateral Manager: Performance can also be affected positively or negatively by a) the manager's investment strategy and behavior and b) differences in the legal interpretation of CLO documentation by different transactional parties owing to embedded ambiguities. 3) Collateral credit risk: A shift towards collateral of better credit quality, or better credit performance of assets collateralizing the transaction than Moody's current expectations, can lead to positive CLO performance. Conversely, a negative shift in credit quality or performance of the collateral can have adverse consequences for CLO performance. 4) Deleveraging: An important source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will continue and at what pace. Deleveraging of the CLO could accelerate owing to high prepayment levels in the loan market and/or collateral sales by the manager, which could have a significant impact on the notes' ratings. Note repayments that are faster than Moody's current expectations will usually have a positive impact on CLO notes, beginning with those with the highest payment priority. 5) Recovery of defaulted assets: Fluctuations in the market value of defaulted assets reported by the trustee and those that Moody's assumes as having defaulted could result in volatility in the deal's OC levels. Further, the timing of recoveries and whether a manager decides to work out or sell defaulted assets create additional uncertainty. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. Realization of higher than assumed recoveries would positively impact the CLO. 6) Exposure to assets with low credit quality and weak liquidity: The presence of assets rated Caa3 with a negative outlook, Caa2 or Caa3 on review for downgrade or the worst Moody's speculative grade liquidity (SGL) rating, SGL-4, exposes the notes to additional risks if these assets default. The historical default rate is higher than average for these assets. Due to the deal's exposure to such assets, which constitute around $11.4 million of par, Moody's ran a sensitivity case defaulting those assets. 7) Lack of portfolio granularity: The performance of the portfolio depends to a large extent on the credit conditions of a few large obligors Moody's rates Caa1 or lower, especially if they jump to default. In addition to the base case analysis, Moody's also conducted sensitivity analyses to test the impact of a number of default probabilities on the rated notes relative to the base case modeling results, which may be different from the current public ratings of the notes. Below is a summary of the impact of different default probabilities (expressed in terms of WARF) on all of the rated notes (by the difference in the number of notches versus the current model output, for which a positive difference corresponds to lower expected loss): Moody's Adjusted WARF -20% (3168) Class A1: 0 Class A2: 0 Class B: 0 Class C: +2 Class D: +1 Moody's Adjusted WARF + 20% (4752) Class A1: 0 Class A2: 0 Class B: 0 Class C: -1 Class D: -1 Loss and Cash Flow Analysis: Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. In its base case, Moody's analyzed the collateral pool as having a performing par and principal proceeds balance of $132.6 million, defaulted par of $5.6 million, a weighted average default probability of 24.12% (implying a WARF of 3960), a weighted average recovery rate upon default of 48.60%, a diversity score of 29 and a weighted average spread of 3.77% (before accounting for LIBOR floors). Moody's incorporates the default and recovery properties of the collateral pool in cash flow model analysis where they are subject to stresses as a function of the target rating on each CLO liability reviewed. Moody's derives the default probability from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate for future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and the collateral manager's latitude for trading the collateral are also factors. TCW CLO 2017-1: S&P Assigns Prelim. BB- Rating on Class E Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to TCW CLO 2017-1 Ltd./TCW CLO 2017-1 LLC's $368 million floating-rate notes. The note issuance is a collateralized loan obligation backed by broadly syndicated speculative-grade senior secured term loans. The preliminary ratings are based on information as of July 17, 2017. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The diversified collateral pool, which consists primarily of broadly syndicated speculative-grade senior secured term loans that are governed by collateral quality tests. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. PRELIMINARY RATINGS ASSIGNED TCW CLO 2017-1 Ltd./TCW CLO 2017-1 LLC Class Rating Amount (mil. $) A AAA (sf) 256.00 B AA (sf) 48.00 C A (sf) 26.00 D BBB (sf) 20.00 E BB- (sf) 18.00 Subordinated notes NR 40.60 NR--Not rated. TICP CLO VII: Moody's Assigns Ba3(sf) Rating to Class E Notes ------------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to seven classes of notes issued by TICP CLO VII, Ltd. Moody's rating action is: US$293,500,000 Class A-S Senior Secured Floating Rate Notes due 2029 (the "Class A-S Notes"), Definitive Rating Assigned Aaa (sf) US$36,500,000 Class A-J Senior Secured Floating Rate Notes due 2029 (the "Class A-J Notes"), Definitive Rating Assigned Aaa (sf) US$15,000,000 Class B-1 Senior Secured Floating Rate Notes due 2029 (the "Class B-1 Notes"), Definitive Rating Assigned Aa2 (sf) US$25,000,000 Class B-2 Senior Secured Fixed Rate Notes due 2029 (the "Class B-2 Notes"), Definitive Rating Assigned Aa2 (sf) US$36,250,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2029 (the "Class C Notes"), Definitive Rating Assigned A2 (sf) US$25,000,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2029 (the "Class D Notes"), Definitive Rating Assigned Baa3 (sf) US$28,750,000 Class E Junior Secured Deferrable Floating Rate Notes due 2029 (the "Class E Notes"), Definitive Rating Assigned Ba3 (sf) The Class A-S Notes, the Class A-J Notes, the Class B-1 Notes, the Class B-2 Notes, the Class C Notes, the Class D Notes, and the Class E Notes are referred to herein as the "Rated Notes." 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. TICP VII is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated first lien senior secured corporate loans. At least 92.5% of the portfolio must consist of senior secured loans, cash, and eligible investments, and up to 7.5% of the portfolio may consist of second lien loans and unsecured loans. The portfolio is at least 88% ramped as of the closing date. TICP CLO VII 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 four and a quarter 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 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: $500,000,000 Diversity Score: 55 Weighted Average Rating Factor (WARF): 2880 Weighted Average Spread (WAS): 3.50% Weighted Average Coupon (WAC): 7.50% Weighted Average Recovery Rate (WARR): 48.0% Weighted Average Life (WAL): 9 years. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in October 2016. Factors That Would Lead to 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 2880 to 3312) Rating Impact in Rating Notches Class A-S Notes: 0 Class A-J Notes: -1 Class B-1 Notes: -1 Class B-2 Notes: -1 Class C Notes: -2 Class D Notes: -1 Class E Notes: 0 Percentage Change in WARF -- increase of 30% (from 2880 to 3744) Rating Impact in Rating Notches Class A-S Notes: 0 Class A-J Notes: -3 Class B-1 Notes: -3 Class B-2 Notes: -3 Class C Notes: -4 Class D Notes: -2 Class E Notes: -1 TOWD POINT 2017-3: DBRS Assigns B(sf) Ratings to Class B2 Notes --------------------------------------------------------------- DBRS, Inc. on July 3, 2017, assigned the following provisional ratings to the Asset Backed Securities, Series 2017-3 (the Notes) issued by Towd Point Mortgage Trust 2017-3 (the Trust): -- $519.6 million Class A1 at AAA (sf) -- $49.8 million Class A2 at AA (sf) -- $47.8 million Class M1 at A (sf) -- $37.6 million Class M2 at BBB (sf) -- $30.6 million Class B1 at BB (sf) -- $22.7 million Class B2 at B (sf) -- $569.4 million Class A3 at AA (sf) -- $617.3 million Class A4 at A (sf) Classes A-3 and A-4 are exchangeable notes. These classes can be exchanged for combinations of exchange notes as specified in the offering documents. The AAA (sf) ratings on the Notes reflect the 33.75% 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 27.40%, 21.30%, 16.50%, 12.60% and 9.70%, 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 4,936 loans with a total principal balance of $784,327,823 as of the Statistical Calculation Date (May 31, 2017). The portfolio contains 85.2% modified loans. The modifications happened more than two years ago for 82.7% of the modified loans. Within the pool, 972 mortgages have non-interest-bearing deferred amounts, which equates to 5.6% of the total principal balance. The loans are approximately 123 months seasoned. All loans (100.0%) were current as of the Statistical Calculation Date, including 0.7% bankruptcy-performing loans. Approximately 71.3% of the mortgage loans have been zero times 30 days delinquent for at least the past 24 months under the Mortgage Bankers Association delinquency method. In accordance with the CFPB Qualified Mortgage (QM) rules, 3.6% of the loans are designated as QM Safe Harbor, less than 0.1% as QM Rebuttable Presumption and 0.9% as non-QM. Approximately 95.4% 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 funds managed by affiliates of Cerberus Capital Management, L.P. (Cerberus). 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 60.08% 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 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 ratings reflect transactional strengths that include underlying assets that generally performed well through the crisis, a strong servicer and Asset Manager oversight. Additionally, a satisfactory third-party due diligence review was performed on the portfolio with respect to regulatory compliance, payment history and data capture as well as title and tax review. Servicing comments were 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), 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 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. VOYA CLO 2017-3: S&P Assigns BB- Rating on Class D $519.30MM Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Voya CLO 2017-3 Ltd./Voya CLO 2017-3 LLC's $519.30 million floating-rate notes. The note issuance is a collateralized loan obligation transaction backed by broadly syndicated speculative-grade senior secured term loans. The ratings reflect S&P's view of: -- The diversified collateral pool, which consists primarily of broadly syndicated speculative-grade senior secured term loans that are governed by collateral quality tests. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. RATINGS ASSIGNED Voya CLO 2017-3 Ltd./Voya CLO 2017-3 LLC Class Rating Amount (mil. $) X AAA (sf) 6.00 A-1A AAA (sf) 349.20 A-1B NR 34.80 A-2 AA (sf) 71.10 B (deferrable) A (sf) 36.00 C (deferrable) BBB- (sf) 34.80 D (deferrable) BB- (sf) 22.20 Subordinated notes NR 53.30 WELLS FARGO 2012-LC5: Moody's Affirms B2sf Rating on Class F Certs ------------------------------------------------------------------ Moody's Investors Service has affirmed the ratings on eleven classes in Wells Fargo Commercial Mortgage Trust 2012-LC5, Commercial Mortgage Pass-Through Certificates, Series 2012-LC5: Cl. A-2, Affirmed Aaa (sf); previously on Jul 21, 2016 Affirmed Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on Jul 21, 2016 Affirmed Aaa (sf) Cl. A-SB, Affirmed Aaa (sf); previously on Jul 21, 2016 Affirmed Aaa (sf) Cl. A-S, Affirmed Aaa (sf); previously on Jul 21, 2016 Affirmed Aaa (sf) Cl. B, Affirmed Aa3 (sf); previously on Jul 21, 2016 Affirmed Aa3 (sf) Cl. C, Affirmed A3 (sf); previously on Jul 21, 2016 Affirmed A3 (sf) Cl. D, Affirmed Baa3 (sf); previously on Jul 21, 2016 Affirmed Baa3 (sf) Cl. E, Affirmed Ba2 (sf); previously on Jul 21, 2016 Affirmed Ba2 (sf) Cl. F, Affirmed B2 (sf); previously on Jul 21, 2016 Affirmed B2 (sf) Cl. X-A, Affirmed Aaa (sf); previously on Jul 21, 2016 Affirmed Aaa (sf) Cl. X-B, Affirmed A2 (sf); previously on Jun 9, 2017 Downgraded to A2 (sf) RATINGS RATIONALE The ratings on the nine P&I classes were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The ratings on the IO classes, classes X-A and X-B were affirmed based on the credit performance (or the weighted average rating factor or WARF) of the referenced classes. Moody's rating action reflects a base expected loss of 4.0% of the current balance, compared to 2.6% at Moody's last review. Moody's base expected loss plus realized losses is now 3.3% of the original pooled balance, compared to 2.5% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO A UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in December 2014. Additionally, the methodology used in rating Cl. X-A and Cl. X-B was "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. DEAL PERFORMANCE As of the June 16, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 17.0% to $1.06 billion from $1.28 billion at securitization. The certificates are collateralized by 67 mortgage loans ranging in size from less than 1% to 14% of the pool, with the top ten loans constituting 52% of the pool. One loan, constituting 9.4% of the pool, has an investment-grade structured credit assessment. Two loans, constituting less than 1% of the pool, have defeased and are secured by US government securities. 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 22, compared to 23 at Moody's last review. Eleven loans, constituting 16% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. No loans have been liquidated and there are no loans in special servicing at this time. Moody's has assumed a high default probability for three poorly performing loans, constituting 16% of the pool, and has estimated an aggregate loss of $25.8 million (a 15% expected loss based on a 50% probability default) from these troubled loans. Moody's received full year 2016 operating results for 99% of the pool, and partial year 2017 operating results for 47% of the pool. Moody's weighted average conduit LTV is 90%, compared to 93% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 12.3% 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 conduit DSCRs are 1.68X and 1.24X, respectively, compared to 1.67X and 1.20X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The loan with a structured credit assessment is the Trump Tower Commercial Condominium Loan ($100 million -- 9.4% of the pool), which is secured by the commercial condominium component of the Trump Tower located at 725 5th Avenue in New York City. The collateral is a Class A multi-tenant office and retail building containing approximately 244,500 square feet (SF) and consists of the lower level, ground floor and floors 2 - 26. The retail represents approximately 24% of the collateral and is located on the Garden Level (Lower Level), and 2nd through 4th floors. The office space comprises the remaining 76% of the collateral and is located on the 5th and 14th through 26th floors. Due to the public atrium there are no 6th through 13th floors within the building. The largest tenant in the retail space is Gucci (20% of the net rentable area (NRA); lease expiration February 2026) which operates its American flagship store. The remaining floors 29-68 comprise the residential component and are not contributed as loan collateral. The loan is interest only for the full 10-year term. As of March 2017, the collateral occupancy was 94%, compared to 89% at year-end 2016 and 86% at year-end 2015. Moody's structured credit assessment and stressed DSCR are aaa (sca.pd) and 1.48X, respectively. The top three conduit loans represent 25% of the pool balance. The largest loan is the Westside Pavilion Loan ($142.7 million -- 13.5% of the pool), which is secured by the borrower's interest in a 755,500 SF regional mall (collateral is 535,500 SF) located in Los Angeles, California. The property is situated approximately 10 miles west of downtown Los Angeles. The property was constructed in 1985 and most recently renovated in 2007, the scope of which included the addition of a 12-screen movie theater. The mall anchors include Macy's (non-owned) Macy's Home and Nordstrom. The collateral also includes an Urban Home, Westside Tavern restaurant, and Landmark Theatres. As of March 2017, the property was approximately 88% leased compared to 89% at year-end 2016 and 93% at year-end 2015. Property performance has declined since 2014. Nordstrom has indicated that they will be vacating the property in October 2017. The sponsor, The Macerich Partnership L.P., has indicated there are plans for a major renovation at the property. Moody's has identified this loan as troubled due to a decline in net operating income (NOI) and occupancy. The second largest loan is the 100 Church Street Loan ($76.4 million -- 7.2% of the pool), which is secured by a 21-story, 1.1 million SF Class B+ office building in the City Hall office submarket of Lower Manhattan. The loan represents a pari-passu piece in a $219.5 million mortgage loan. The property was originally built in 1958 and renovated in 2012. As of April 2017, the property was approximately 98% leased, the same at year-end 2016 and compared to 97% in 2015. Moody's LTV and stressed DSCR are 93% and 1.05X, respectively, compared to 94% and 1.03X at the last review. The third largest loan is the Cole Retail 12 Portfolio Loan ($42.4 million -- 4.0% of the pool), which is secured by a cross-collateralized and cross-defaulted portfolio of 12 single-tenant properties located across 10 states. Eight of the 12 properties represent anchored retail, six of which are occupied by Walgreens pharmacies, two of which are occupied by CVS pharmacies. Three of the remaining four properties represent unanchored retail. The three non-anchor tenants in occupancy include Office Depot, LA Fitness, and La-Z-Boy Furniture. The twelfth property consists of a FedEx distribution center. The Portfolio was 100% occupied as of March 2017. Moody's LTV and stressed DSCR are 96% and 1.18X, respectively, compared to 115% and 0.99X at the last review. WELLS FARGO 2016-C35: Fitch Affirms 'Bsf' Rating on Class F Certs ----------------------------------------------------------------- Fitch Ratings has affirmed 15 classes of Wells Fargo Commercial Mortgage Pass-Through Certificates, Series 2016-C35. KEY RATING DRIVERS Stable Performance: Overall pool performance remains stable from issuance. All loans in the pool are current as of the June 2017 distribution date with property level performance generally in line with issuance expectations and no material changes to pool metrics. As of the June 2017 distribution date, the pool's aggregate balance has been reduced by 0.7% to $1.016 billion from $1.023 billion at issuance. There are no delinquent, specially serviced or defeased loans. Fitch Loan of Concern (FLOC): Five loans (3.6%) are on the servicer watchlist, one of which (0.5%) has been identified as a Fitch loan of concern due to a decline in performance. The property securing the loan experienced a decline in cash flow as a result of lower occupancy. The loan remains current. Property Type Mix: The pool's largest concentration by property type is retail (33.8%), followed by hotel (19.7%) and multifamily (11.8%). The retail and hotel exposures are greater than the 2016 averages of 31.4% and 16%, respectively, for other Fitch-rated multiborrower transactions. Below Average Pool Concentration: The top 10 loans comprise 40.5% of the pool, which is below the 2016 average of 54.8%. RATING SENSITIVITIES The Rating Outlooks on all classes remain Stable. Fitch does not foresee positive or negative ratings migration until a material economic or asset-level event changes the transaction's overall portfolio-level metrics. Fitch has affirmed the following ratings: -- $41.5 million class A-1 at 'AAAsf'; Outlook Stable; -- $58.7 million class A-2 at 'AAAsf'; Outlook Stable; -- $265 million class A-3 at 'AAAsf'; Outlook Stable; -- $227.4 million class A-4 at 'AAAsf'; Outlook Stable; -- $67.1 million class A-SB at 'AAAsf'; Outlook Stable; -- $50 million class A-4FL at 'AAAsf'; Outlook Stable; -- $0 class A-4FX at 'AAAsf'; Outlook Stable; -- $69 million class at A-S 'AAAsf'; Outlook Stable; -- Interest-Only class X-A at 'AAAsf'; Outlook Stable; -- $49.9 million class B at 'AA-sf'; Outlook Stable; -- $48.6 million class C at 'A-sf'; Outlook Stable; -- Interest-Only class X-D at 'BBB-sf'; Outlook Stable; -- $56.3 million class D at 'BBB-sf'; Outlook Stable; -- $21.7 million class E at 'BBsf'; Outlook Stable; -- $11.5 million class F at 'Bsf'; Outlook Stable. Fitch does not rate the class G and interest-only class X-B certificates. WELLS FARGO 2017-C38: Fitch Assigns 'B-sf' Rating to Class F Certs ------------------------------------------------------------------ Fitch Ratings has assigned the following ratings and Ratings Outlooks to Wells Fargo Commercial Mortgage Trust Commercial Mortgage Pass-Through Certificates, Series 2017-C38. -- $32,899,000 class A-1 'AAAsf'; Outlook Stable; -- $42,503,000 class A-2 'AAAsf'; Outlook Stable; -- $8,575,000 class A-3 'AAAsf'; Outlook Stable; -- $300,000,000 class A-4 'AAAsf'; Outlook Stable; -- $366,318,000 class A-5 'AAAsf'; Outlook Stable; -- $36,137,000 class A-SB 'AAAsf'; Outlook Stable; -- $119,369,000 class A-S 'AAAsf'; Outlook Stable; -- $786,432,000b class X-A 'AAAsf'; Outlook Stable; -- $214,864,000b class X-B 'A-sf'; Outlook Stable; -- $50,556,000 class B 'AA-sf'; Outlook Stable; -- $44,939,000 class C 'A-sf'; Outlook Stable; -- $49,152,000ab class X-D 'BBB-sf'; Outlook Stable; -- $49,152,000a class D 'BBB-sf'; Outlook Stable; -- $22,470,000a class E 'BB-sf'; Outlook Stable; -- $11,234,000a class F 'B-sf'; Outlook Stable. (a) Privately placed and pursuant to Rule 144A. (b) Notional amount and interest-only. (c) Vertical credit risk retention interest representing no less than 5% of the estimated fair value of all classes of regular certificates issued by the issuing entity as of the closing date. The ratings are based on information provided by the issuer as of July 13, 2017. Fitch does not rate the $39,332,437a class G and $31,175,549.65ac Vertical RR (VRR) Interest. The certificates represent the beneficial ownership interest in the trust, primary assets of which are 76 loans secured by 210 commercial properties having an aggregate principal balance of $$1,154,649,987 as of the cut-off date. The loans were contributed to the trust by Barclays Bank PLC, Wells Fargo Bank, National Association, Rialto Mortgage Finance, LLC, C-III Commercial Mortgage LLC, and UBS AG. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 64.1% of the properties by balance, cash flow analysis of 86.2%, and asset summary reviews on 100% of the pool. KEY RATING DRIVERS Low Fitch Leverage: The pool has leverage statistics better than recent Fitch-rated multiborrower transactions. The pool's Fitch debt service coverage ratio (DSCR) of 1.27x is higher than the year-to-date (YTD) 2017 and 2016 average of 1.21x. The pool's Fitch loan to value (LTV) of 96.4% is lower than both the YTD 2017 and 2016 averages of 104.1% and 105.2%, respectively. Investment-Grade Credit Opinion Loans: Four loans, received investment-grade credit opinions. The pool's credit opinion loan concentration of 23.82% is greater than the 2017 YTD and the 2016 averages of 5.51% and 8.36%, respectively. Net of the credit opinion loan, Fitch's DSCR and LTV are 1.22x and 106.7%, respectively. Weak Amortization: Eighteen loans (56.5%) are full-term interest-only and 12 loans (13.3%) are partial interest only. Fitch-rated transactions at 2017 YTD had an average full-term interest-only percentage of 41.3% and a partial interest-only percentage of 31.7%. Based on the scheduled balance at maturity, the pool will pay down by only 7.05%, which is below the 2017 YTD average of 8.5% and significantly below the 2016 average of 10.4%. Above Average Property Quality: The pool's collateral quality is better than that of other recent transactions. As a percentage of Fitch-inspected properties, 35.1% received a property quality grade of 'A-' or higher, compared with the YTD 2017 and 2016 averages of 22.6% and 20.2%, respectively. Only 10.2% of the inspected pool received a property quality grade of 'B-' or below compared with 10.7% and 12.0% for the YTD 2017 and 2016 averages, respectively. RATING SENSITIVITIES For this transaction, Fitch's net cash flow (NCF) was 11.8% below the most recent year's net operating income (NOI) for properties for which a full-year NOI was provided, excluding properties that were stabilizing during this period. Unanticipated further declines in property-level NCF could result in higher defaults and loss severities on defaulted loans and in potential rating actions on the certificates. Fitch evaluated the sensitivity of the ratings assigned to the WFCM 2017-C38 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 'Asf' could result. In a more severe scenario, in which NCF declined a further 30% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'BBBsf' could result. WHITEHORSE IX: Moody's Lowers Rating on Class F Notes to B3(sf) --------------------------------------------------------------- Moody's Investors Service has downgraded the rating on the following note issued by Whitehorse IX, Ltd.: US$8,250,000 Class F Junior Secured Deferrable Floating Rate Notes Due July 15, 2026, Downgraded to Caa1 (sf); previously on October 28, 2016 Downgraded to B3 (sf) Moody's also affirmed the ratings on the following notes: US$22,750,000 Class C Mezzanine Secured Deferrable Floating Rate Notes Due July 15, 2026, Affirmed A2 (sf); previously on October 28, 2016 Affirmed A2 (sf) US$24,250,000 Class D Mezzanine Secured Deferrable Floating Rate Notes Due July 15, 2026, Affirmed Baa3 (sf); previously on October 28, 2016 Affirmed Baa3 (sf) US$19,500,000 Class E Junior Secured Deferrable Floating Rate Notes Due July 15, 2026, Affirmed Ba3 (sf); previously on October 28, 2016 Affirmed Ba3 (sf) Whitehorse IX, Ltd., issued in July 2014, is a collateralized loan obligation (CLO) backed primarily by a portfolio of senior secured loans. The transaction's reinvestment period will end in July 2018. RATINGS RATIONALE The rating downgrade on the Class F notes reflects the credit deterioration in the underlying CLO portfolio and increased expected losses on the notes. Based on the trustee's June 2017 report, the transaction had a portfolio weighted average rating factor (WARF) of 2971, which was failing the covenant of 2950. Based on Moody's calculations, assets that have a CFR of Caa1 or lower (after applicable adjustments for negative outlook or review for downgrade) represent approximately 15.7% of the performing portfolio. Furthermore, as a result of defaults and trading losses, the reinvestment par coverage test as reported by the trustee has deteriorated to 102.11% in June 2017, from 103.75% in October 2016, and is now failing the 102.47% trigger. The weighted average spread (WAS) of the portfolio has also declined, to 4.1% in June 2017 from 4.7% in October 2016, reducing excess spread available to support the Class F notes in case of a coverage test failure. Notwithstanding the declining portfolio WAS, Moody's analysis considered the expected refinancing of the Class A, B-1 and B-2 notes on July 17, 2017, which will increase excess spread available as credit enhancement to the rated notes. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in October 2016. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: This transaction is subject to a number of factors and circumstances that could lead to either an upgrade or downgrade of the ratings: 1) Macroeconomic uncertainty: CLO performance is subject to a) uncertainty about credit conditions in the general economy and b) the large concentration of upcoming speculative-grade debt maturities, which could make refinancing difficult for issuers. 2) Collateral Manager: Performance can also be affected positively or negatively by a) the manager's investment strategy and behavior and b) differences in the legal interpretation of CLO documentation by different transactional parties owing to embedded ambiguities. 3) Collateral credit risk: A shift towards collateral of better credit quality, or better credit performance of assets collateralizing the transaction than Moody's current expectations, can lead to positive CLO performance. Conversely, a negative shift in credit quality or performance of the collateral can have adverse consequences for CLO performance. 4) Deleveraging: During the amortization period, the pace of deleveraging from unscheduled principal proceeds is an important source of uncertainty. Deleveraging of the CLO could accelerate owing to high prepayment levels in the loan market and/or collateral sales by the manager, which could have a significant impact on the notes' ratings. Note repayments that are faster than Moody's current expectations will usually have a positive impact on CLO notes, beginning with those with the highest payment priority. 5) Recovery of defaulted assets: Fluctuations in the market value of defaulted assets reported by the trustee and those that Moody's assumes as having defaulted could result in volatility in the deal's OC levels. Further, the timing of recoveries and whether a manager decides to work out or sell defaulted assets create additional uncertainty. Realization of higher than assumed recoveries would positively impact the CLO. 6) Weighted Average Spread (WAS): CLO performance can be sensitive to WAS, which is a key factor driving the amount of excess spread available as credit enhancement when a deal fails its over-collateralization or interest coverage tests. A decrease in excess spread, including as a result of losing the net interest benefit of LIBOR floors, or because market conditions make it difficult for the deal to source assets of appropriate credit quality in order to maintain its WAS target, would reduce the effective credit enhancement available for the notes. 7) Exposure to assets with low credit quality and weak liquidity: The presence of assets rated Caa3 with a negative outlook, Caa2 or Caa3 on review for downgrade or the worst Moody's speculative grade liquidity (SGL) rating, SGL-4, exposes the notes to additional risks if these assets default. The historical default rate is higher than average for these assets. Due to the deal's exposure to such assets, which constitute around $3.9 million of par, Moody's ran a sensitivity case defaulting those assets. In addition to the base case analysis, Moody's also conducted sensitivity analyses to test the impact of a number of default probabilities on the rated notes relative to the base case modeling results, which may be different from the current public ratings of the notes. Below is a summary of the impact of different default probabilities (expressed in terms of WARF) on all of the rated notes (by the difference in the number of notches versus the current model output, for which a positive difference corresponds to lower expected loss): Moody's Adjusted WARF - 20% (2417) Class C: +3 Class D: +2 Class E: +2 Class F: +4 Moody's Adjusted WARF + 20% (3625) Class C: -2 Class D: -1 Class E: 0 Class F: -2 Loss and Cash Flow Analysis: Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. In its base case, Moody's analyzed the collateral pool as having a performing par and principal proceeds balance of $385 million, defaulted par of $12.6 million, a weighted average default probability of 22.31% (implying a WARF of 3021), a weighted average recovery rate upon default of 47.48%, a diversity score of 62 and a weighted average spread of 4.13% (before accounting for LIBOR floors). Moody's incorporates the default and recovery properties of the collateral pool in cash flow model analysis where they are subject to stresses as a function of the target rating on each CLO liability reviewed. Moody's derives the default probability from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate for future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and the collateral manager's latitude for trading the collateral are also factors. [*] Fitch Lowers Ratings in 7 Tranches From 4 CMBS Deals to D ------------------------------------------------------------- Fitch Ratings has taken various rating actions on already distressed U.S. commercial mortgage-backed securities (CMBS) bonds. Fitch downgraded seven bonds in four transactions to 'D', as the bonds have incurred a principal write-down. The bonds were all previously rated 'CC' or below, which indicates that losses were probable. Fitch has also withdrawn the ratings on 27 additional classes within two transactions as a result of realized losses. The trust balances have been reduced to $0 or have experienced non-recoverable realized losses and are no longer considered by Fitch to be relevant to the agency's coverage. KEY RATING DRIVERS The downgrades are limited to just the bonds with write-downs. Any remaining bonds in these transactions have not been analyzed as part of this review. RATING SENSITIVITIES While the bonds that have defaulted are not expected to recover any material amount of lost principal in the future, there is a limited possibility this may happen. In this unlikely scenario, Fitch would further review the affected classes. A list of the Affected Ratings is available at: http://bit.ly/2tXNBBc [*] Moody's Hikes $568MM of Subprime RMBS Issued 2001-2005 ---------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 28 tranches, from 12 transactions issued by various issuers. Complete rating actions are: Issuer: ABFC Asset-Backed Certificates, Series 2004-OPT4 Cl. A-1, Upgraded to Aaa (sf); previously on Jan 13, 2016 Upgraded to Aa2 (sf) Issuer: Accredited Mortgage Loan Trust 2003-3, Asset-Backed Notes, Series 2003-3 Cl. A-2, Upgraded to B1 (sf); previously on Jul 11, 2014 Upgraded to B3 (sf) Issuer: C-BASS 2003-CB6 Trust Cl. AF-5, Upgraded to Aaa (sf); previously on Mar 10, 2011 Downgraded to Aa2 (sf) Cl. AF-6, Upgraded to Aaa (sf); previously on Mar 10, 2011 Downgraded to Aa2 (sf) Issuer: Credit Suisse First Boston Mortgage Securities Corp. Series 2003-3 Cl. M-2, Upgraded to Caa3 (sf); previously on Mar 15, 2011 Downgraded to Ca (sf) Issuer: CSFB Home Equity Asset Trust 2005-9 Cl. 2-A-4, Upgraded to Aaa (sf); previously on Jul 26, 2016 Upgraded to Aa2 (sf) Cl. M-1, Upgraded to Baa1 (sf); previously on Jul 26, 2016 Upgraded to Baa3 (sf) Issuer: Merrill Lynch Mortgage Investors, Inc. 2005-WMC2 Cl. M-4, Upgraded to Aaa (sf); previously on Oct 21, 2016 Upgraded to Aa2 (sf) Cl. M-5, Upgraded to Baa3 (sf); previously on Oct 21, 2016 Upgraded to Ba3 (sf) Issuer: NovaStar Mortgage Funding Trust 2005-3 Cl. A-2D, Upgraded to Aaa (sf); previously on Aug 26, 2016 Upgraded to Aa1 (sf) Cl. M-1, Upgraded to Aaa (sf); previously on Aug 26, 2016 Upgraded to Aa3 (sf) Cl. M-2, Upgraded to A2 (sf); previously on Aug 26, 2016 Upgraded to Baa2 (sf) Cl. M-3, Upgraded to B1 (sf); previously on Aug 26, 2016 Upgraded to Caa1 (sf) Issuer: NovaStar Mortgage Funding Trust, Series 2004-3 Cl. M-3, Upgraded to Aaa (sf); previously on Mar 5, 2013 Confirmed at Aa2 (sf) Issuer: RAMP Series 2005-EFC1 Trust Cl. M-3, Upgraded to Aaa (sf); previously on May 18, 2016 Upgraded to Aa2 (sf) Cl. M-4, Upgraded to Aa2 (sf); previously on May 18, 2016 Upgraded to A1 (sf) Cl. M-5, Upgraded to Baa1 (sf); previously on May 18, 2016 Upgraded to Ba2 (sf) Cl. M-6, Upgraded to Caa3 (sf); previously on Apr 6, 2010 Downgraded to C (sf) Issuer: RAMP Series 2005-RZ3 Trust Cl. M-1, Upgraded to Aaa (sf); previously on May 18, 2016 Upgraded to Aa1 (sf) Cl. M-2, Upgraded to Aa2 (sf); previously on May 18, 2016 Upgraded to Aa3 (sf) Cl. M-3, Upgraded to A2 (sf); previously on May 18, 2016 Upgraded to Baa2 (sf) Cl. M-4, Upgraded to Baa3 (sf); previously on May 18, 2016 Upgraded to Ba3 (sf) Cl. M-5, Upgraded to Caa1 (sf); previously on Jun 29, 2015 Upgraded to Ca (sf) Issuer: Structured Asset Investment Loan Trust 2005-HE3 Cl. A5, Upgraded to Aaa (sf); previously on Aug 30, 2016 Upgraded to Aa1 (sf) Cl. M1, Upgraded to A1 (sf); previously on Aug 30, 2016 Upgraded to Baa1 (sf) Cl. M2, Upgraded to Ca (sf); previously on Apr 12, 2010 Downgraded to C (sf) Issuer: Wells Fargo Home Equity Asset-Backed Securities 2004-2 Trust Cl. AII-1A, Upgraded to Aaa (sf); previously on Mar 30, 2011 Downgraded to Aa2 (sf) Cl. AII-1B, Upgraded to Aaa (sf); previously on Jul 18, 2013 Confirmed at Aa3 (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 June 2017 from 4.9% in June 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 Puts 105 RMBS Tranches on Review for Possible Downgrade ------------------------------------------------------------------- Moody's Investors Service, on July 12, 2017, placed the ratings of 105 tranches from 12 Bank of America RMBS transactions on review for possible downgrade as a result of the trustee withholding certain cash flows to cover potential litigation expenses. Additionally, Moody's withdrew the ratings of 22 tranches from the transactions that have been paid in full. The collateral backing these transactions consists of Jumbo and Alt-A mortgage loans. Complete rating actions are: Issuer: Banc of America Alternative Loan Trust 2004-1 Cl. 1-A-1, Ba2 (sf) Placed Under Review for Possible Downgrade; previously on Aug 22, 2016 Upgraded to Ba2 (sf) Cl. 2-A-1, Ba3 (sf) Placed Under Review for Possible Downgrade; previously on Aug 22, 2016 Confirmed at Ba3 (sf) Cl. 3-A-1, B3 (sf) Placed Under Review for Possible Downgrade; previously on Aug 22, 2016 Confirmed at B3 (sf) Cl. 3-IO, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on Jun 9, 2017 Downgraded to Caa1 (sf) Cl. 4-A-1, B3 (sf) Placed Under Review for Possible Downgrade; previously on Aug 22, 2016 Downgraded to B3 (sf) Cl. 5-A-1, B3 (sf) Placed Under Review for Possible Downgrade; previously on Aug 22, 2016 Downgraded to B3 (sf) Cl. 5-A-2, B3 (sf) Placed Under Review for Possible Downgrade; previously on Aug 22, 2016 Downgraded to B3 (sf) Cl. 15-IO, B3 (sf) Placed Under Review for Possible Downgrade; previously on Aug 22, 2016 Downgraded to B3 (sf) Cl. CB-IO, B2 (sf) Placed Under Review for Possible Downgrade; previously on Jun 9, 2017 Downgraded to B2 (sf) Cl. PO, B3 (sf) Placed Under Review for Possible Downgrade; previously on Aug 22, 2016 Confirmed at B3 (sf) Issuer: Banc of America Alternative Loan Trust 2004-2 Cl. 1-A-1, Ba2 (sf) Placed Under Review for Possible Downgrade; previously on Sep 6, 2016 Confirmed at Ba2 (sf) Cl. 2-A-3, B1 (sf) Placed Under Review for Possible Downgrade; previously on Sep 6, 2016 Upgraded to B1 (sf) Cl. 2-A-6, Ba3 (sf) Placed Under Review for Possible Downgrade; previously on Sep 6, 2016 Confirmed at Ba3 (sf) Cl. 2-A-7, B3 (sf) Placed Under Review for Possible Downgrade; previously on Sep 6, 2016 Upgraded to B3 (sf) Cl. 3-A-1, Ba3 (sf) Placed Under Review for Possible Downgrade; previously on Sep 6, 2016 Confirmed at Ba3 (sf) Cl. 3-IO, B2 (sf) Placed Under Review for Possible Downgrade; previously on Jun 9, 2017 Downgraded to B2 (sf) Cl. 4-A-1, B2 (sf) Placed Under Review for Possible Downgrade; previously on Sep 6, 2016 Confirmed at B2 (sf) Cl. 5-A-1, B3 (sf) Placed Under Review for Possible Downgrade; previously on Sep 6, 2016 Confirmed at B3 (sf) Cl. 15-IO, B2 (sf) Placed Under Review for Possible Downgrade; previously on Sep 6, 2016 Confirmed at B2 (sf) Cl. CB-IO, B2 (sf) Placed Under Review for Possible Downgrade; previously on Jun 9, 2017 Downgraded to B2 (sf) Cl. PO, B1 (sf) Placed Under Review for Possible Downgrade; previously on Sep 6, 2016 Confirmed at B1 (sf) Issuer: Banc of America Alternative Loan Trust 2004-3 Cl. 1-A-1, B2 (sf) Placed Under Review for Possible Downgrade; previously on Mar 15, 2011 Downgraded to B2 (sf) Cl. 2-A-1, B3 (sf) Placed Under Review for Possible Downgrade; previously on Mar 15, 2011 Downgraded to B3 (sf) Cl. 3-A-3, Caa2 (sf) Placed Under Review for Possible Downgrade; previously on Jun 21, 2012 Downgraded to Caa2 (sf) Cl. 3-A-4, Caa2 (sf) Placed Under Review for Possible Downgrade; previously on Jun 21, 2012 Downgraded to Caa2 (sf) Cl. 3-IO, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on Jun 21, 2012 Downgraded to Caa1 (sf) Cl. 4-A-1, B3 (sf) Placed Under Review for Possible Downgrade; previously on Mar 15, 2011 Downgraded to B3 (sf) Cl. 4-IO, B3 (sf) Placed Under Review for Possible Downgrade; previously on Jun 21, 2012 Confirmed at B3 (sf) Cl. CB-IO, B2 (sf) Placed Under Review for Possible Downgrade; previously on Jun 21, 2012 Confirmed at B2 (sf) Cl. PO, B3 (sf) Placed Under Review for Possible Downgrade; previously on Mar 15, 2011 Downgraded to B3 (sf) Issuer: Banc of America Alternative Loan Trust 2004-4 Cl. 1-A-1, Baa1 (sf) Placed Under Review for Possible Downgrade; previously on Sep 6, 2016 Upgraded to Baa1 (sf) Cl. 2-A-1, Ba1 (sf) Placed Under Review for Possible Downgrade; previously on Sep 6, 2016 Confirmed at Ba1 (sf) Cl. 3-A-1, B1 (sf) Placed Under Review for Possible Downgrade; previously on Sep 6, 2016 Upgraded to B1 (sf) Cl. 4-A-3, Withdrawn; previously on Sep 6, 2016 Confirmed at Caa2 (sf) Cl. 4-A-4, Withdrawn; previously on Sep 6, 2016 Confirmed at Caa2 (sf) Cl. 4-A-5, Withdrawn; previously on Sep 6, 2016 Confirmed at Caa2 (sf) Cl. 4-IO, Caa2 (sf) Placed Under Review for Possible Downgrade; previously on Sep 6, 2016 Confirmed at Caa2 (sf) Cl. 5-A-1, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on Sep 6, 2016 Confirmed at Caa1 (sf) Cl. 6-A-1, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on Sep 6, 2016 Confirmed at Caa1 (sf) Cl. 15-IO, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on Sep 6, 2016 Confirmed at Caa1 (sf) Cl. CB-IO, B2 (sf) Placed Under Review for Possible Downgrade; previously on Jun 9, 2017 Downgraded to B2 (sf) Cl. PO, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on Sep 6, 2016 Confirmed at Caa1 (sf) Issuer: Banc of America Alternative Loan Trust 2004-8 Cl. 1-CB-1, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on Jun 2, 2015 Downgraded to Caa1 (sf) Cl. 2-CB-1, Baa3 (sf) Placed Under Review for Possible Downgrade; previously on May 26, 2017 Upgraded to Baa3 (sf) Cl. 3-A-1, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on Jun 2, 2015 Downgraded to Caa1 (sf) Cl. 15-IO, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on Jun 2, 2015 Downgraded to Caa1 (sf) Cl. 15-PO, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on Jun 2, 2015 Downgraded to Caa1 (sf) Cl. CB-IO, B2 (sf) Placed Under Review for Possible Downgrade; previously on Jun 9, 2017 Downgraded to B2 (sf) Cl. X-PO, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on Jun 2, 2015 Downgraded to Caa1 (sf) Issuer: Banc of America Mortgage 2004-10 Trust Cl. 1-A-1, Withdrawn; previously on Oct 10, 2016 Downgraded to Ba1 (sf) Cl. 1-A-3, Ba1 (sf) Placed Under Review for Possible Downgrade; previously on Oct 10, 2016 Downgraded to Ba1 (sf) Cl. 1-A-4, B3 (sf) Placed Under Review for Possible Downgrade; previously on Oct 10, 2016 Downgraded to B3 (sf) Cl. 1-A-5, Withdrawn; previously on Oct 10, 2016 Downgraded to Ba1 (sf) Cl. 1-A-9, Ba1 (sf) Placed Under Review for Possible Downgrade; previously on Oct 10, 2016 Downgraded to Ba1 (sf) Cl. 30-IO, B2 (sf) Placed Under Review for Possible Downgrade; previously on Jun 9, 2017 Downgraded to B2 (sf) Issuer: Banc of America Mortgage 2005-1 Trust Cl. 1-A-4, Withdrawn; previously on Jul 31, 2013 Downgraded to B2 (sf) Cl. 1-A-15, Withdrawn; previously on May 4, 2015 Upgraded to Ba2 (sf) Cl. 1-A-6, Withdrawn; previously on Jul 31, 2013 Downgraded to B2 (sf) Cl. 1-A-16, B1 (sf) Placed Under Review for Possible Downgrade; previously on Jul 31, 2013 Downgraded to B1 (sf) Cl. 1-A-17, Caa2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 31, 2013 Downgraded to Caa2 (sf) Cl. 1-A-18, B2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 31, 2013 Downgraded to B2 (sf) Cl. 1-A-20, B2 (sf) Placed Under Review for Possible Downgrade; previously on Jun 9, 2017 Downgraded to B2 (sf) Cl. 1-A-21, Withdrawn; previously on Jul 31, 2013 Downgraded to B1 (sf) Cl. 30-IO, B2 (sf) Placed Under Review for Possible Downgrade; previously on Jun 9, 2017 Downgraded to B2 (sf) Cl. 30-PO, B2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 31, 2013 Downgraded to B2 (sf) Issuer: Banc of America Mortgage Securities, Inc., Mortgage Pass-Through Certificates, Series 2005-10 Cl. 1-A-1, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on May 4, 2015 Downgraded to Caa1 (sf) Cl. 1-A-3, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on Apr 30, 2010 Downgraded to Caa1 (sf) Cl. 1-A-6, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on Apr 30, 2010 Downgraded to Caa1 (sf) Cl. 1-A-7, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on Apr 30, 2010 Downgraded to Caa1 (sf) Cl. 1-A-8, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on Apr 30, 2010 Downgraded to Caa1 (sf) Cl. 1-A-9, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on Aug 15, 2012 Downgraded to Caa1 (sf) Cl. 1-A-10, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on Aug 15, 2012 Downgraded to Caa1 (sf) Cl. 1-A-11, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on Apr 30, 2010 Downgraded to Caa1 (sf) Cl. 1-A-15, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on Apr 30, 2010 Downgraded to Caa1 (sf) Cl. 1-A-16, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on May 4, 2015 Downgraded to Caa1 (sf) Cl. 1-A-19, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on Aug 15, 2012 Downgraded to Caa1 (sf) Cl. 1-A-20, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on Apr 30, 2010 Downgraded to Caa1 (sf) Cl. 2-A-1, Withdrawn; previously on Apr 30, 2010 Downgraded to Baa2 (sf) Cl. 2-A-2, Withdrawn; previously on Aug 15, 2012 Upgraded to Ba1 (sf) Cl. 15-PO, B2 (sf) Placed Under Review for Possible Downgrade; previously on Aug 15, 2012 Downgraded to B2 (sf) Cl. 30-PO, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on Aug 15, 2012 Downgraded to Caa1 (sf) Cl. X-IO, B2 (sf) Placed Under Review for Possible Downgrade; previously on Jun 9, 2017 Downgraded to B2 (sf) Issuer: Banc of America Mortgage Securities, Inc., Mortgage Pass-Through Certificates, Series 2005-12 Cl. A-1, Withdrawn; previously on Apr 11, 2013 Affirmed A3 (sf) Underlying Rating: Withdrawn; previously on Apr 11, 2013 Affirmed Caa1 (sf) Financial Guarantor: Assured Guaranty Corp (Affirmed at A3, Outlook Stable on August 8, 2016) Cl. A-2, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on Apr 11, 2013 Downgraded to Caa1 (sf) Cl. A-3, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on Apr 11, 2013 Downgraded to Caa1 (sf) Cl. A-4, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on Apr 11, 2013 Downgraded to Caa1 (sf) Cl. A-5, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on Apr 11, 2013 Affirmed Caa1 (sf) Cl. A-6, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on Apr 11, 2013 Affirmed Caa1 (sf) Cl. A-7, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on Dec 23, 2013 Downgraded to Caa1 (sf) Cl. A-8, Ca (sf) Placed Under Review for Possible Downgrade; previously on Apr 11, 2013 Affirmed Ca (sf) Cl. 30-IO, B3 (sf) Placed Under Review for Possible Downgrade; previously on Jun 9, 2017 Upgraded to B3 (sf) Cl. 30-PO, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on Apr 11, 2013 Downgraded to Caa1 (sf) Issuer: Banc of America Mortgage Securities, Inc., Mortgage Pass-Through Certificates, Series 2005-6 Cl. 1-A-1, Caa2 (sf) Placed Under Review for Possible Downgrade; previously on Jul 31, 2013 Downgraded to Caa2 (sf) Cl. 1-A-2, Caa2 (sf) Placed Under Review for Possible Downgrade; previously on Apr 21, 2010 Downgraded to Caa2 (sf) Cl. 1-A-3, Caa2 (sf) Placed Under Review for Possible Downgrade; previously on Apr 21, 2010 Downgraded to Caa2 (sf) Cl. 1-A-4, Caa2 (sf) Placed Under Review for Possible Downgrade; previously on Apr 21, 2010 Downgraded to Caa2 (sf) Cl. 1-A-8, Caa2 (sf) Placed Under Review for Possible Downgrade; previously on Apr 21, 2010 Downgraded to Caa2 (sf) Cl. 1-A-11, Caa2 (sf) Placed Under Review for Possible Downgrade; previously on Apr 21, 2010 Downgraded to Caa2 (sf) Cl. 1-A-13, Caa2 (sf) Placed Under Review for Possible Downgrade; previously on Apr 21, 2010 Downgraded to Caa2 (sf) Cl. 1-A-14, Caa2 (sf) Placed Under Review for Possible Downgrade; previously on Apr 21, 2010 Downgraded to Caa2 (sf) Cl. 1-A-18, Caa2 (sf) Placed Under Review for Possible Downgrade; previously on Apr 21, 2010 Downgraded to Caa2 (sf) Cl. 30-IO, Caa2 (sf) Placed Under Review for Possible Downgrade; previously on Jun 16, 2014 Downgraded to Caa2 (sf) Cl. A-PO, Caa2 (sf) Placed Under Review for Possible Downgrade; previously on Apr 21, 2010 Downgraded to Caa2 (sf) Issuer: Banc of America Mortgage Securities, Pass-Through Certificates, Series 2005-7 Cl. 1-A-1, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on May 4, 2015 Downgraded to Caa1 (sf) Cl. 1-A-3, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on Aug 15, 2012 Downgraded to Caa1 (sf) Cl. 1-A-6, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on Aug 15, 2012 Downgraded to Caa1 (sf) Cl. 2-A-1, Withdrawn; previously on Sep 12, 2013 Downgraded to Baa1 (sf) Cl. 2-A-2, Withdrawn; previously on Aug 15, 2012 Confirmed at Baa2 (sf) Cl. 2-A-3, Withdrawn; previously on Sep 12, 2013 Downgraded to Baa1 (sf) Cl. 15-IO, B2 (sf) Placed Under Review for Possible Downgrade; previously on Jun 9, 2017 Downgraded to B2 (sf) Cl. 30-IO, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on May 4, 2015 Downgraded to Caa1 (sf) Cl. A-PO, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on Aug 15, 2012 Downgraded to Caa1 (sf) Issuer: Banc of America Mortgage Securities,Inc Mortgage Pass-Through Certificates, Series 2005-9 Cl. 1-A-1, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on May 11, 2015 Downgraded to Caa1 (sf) Cl. 1-A-7, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on Apr 30, 2010 Downgraded to Caa1 (sf) Cl. 1-A-10, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on Apr 30, 2010 Downgraded to Caa1 (sf) Cl. 1-A-11, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on Apr 30, 2010 Downgraded to Caa1 (sf) Cl. 1-A-12, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on Apr 30, 2010 Downgraded to Caa1 (sf) Cl. 3-A-1, Withdrawn; previously on Aug 15, 2012 Upgraded to Baa1 (sf) Cl. 3-A-2, Withdrawn; previously on Aug 15, 2012 Upgraded to Ba1 (sf) Cl. 3-A-3, Withdrawn; previously on Aug 15, 2012 Upgraded to Baa3 (sf) Cl. 4-A-1, Withdrawn; previously on Aug 15, 2012 Downgraded to Ba3 (sf) Cl. 4-A-2, Withdrawn; previously on Aug 15, 2012 Downgraded to Caa2 (sf) Cl. 4-A-3, Withdrawn; previously on Aug 15, 2012 Downgraded to B2 (sf) Cl. 15-IO, B2 (sf) Placed Under Review for Possible Downgrade; previously on Jun 9, 2017 Downgraded to B2 (sf) Cl. 15-PO, Withdrawn; previously on Apr 30, 2010 Downgraded to B1 (sf) Cl. 30-IO, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on May 11, 2015 Downgraded to Caa1 (sf) Cl. 30-PO, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on Aug 15, 2012 Downgraded to Caa1 (sf) RATINGS RATIONALE The review actions are primarily due to the trustee's allocation of losses to certain tranches following the optional termination ("clean-up call") of the transactions, resulting in the failure of certificate holders to receive expected payments. Certain interest-only (IO) tranches also were placed on review as they are linked to other tranches placed on review or are otherwise linked to the impacted mortgage pools. If, as part of Moody's reviews, Moody's determine that any of these IOs are not entitled to receive future payments, Moody's will withdraw their ratings. Wells Fargo is among a number of RMBS trustees currently facing investor litigation. As trustee of the affected transactions, Wells Fargo notified certificate holders that it has withheld some of the funds received from the clean-up calls to establish reserve accounts to meet its current and future expenses as to this litigation and/or potential judgments resulting from claims against Wells Fargo related to the trusts. Most structured finance transactions permit trustees to use trust funds in certain circumstances to cover expenses related to litigation involving the trusts. Whether such circumstances have been satisfied in the transactions subject to rating action remains an open question. Moody's placed these tranches on review for possible downgrade because while the tranches have incurred losses, there is a possibility that certificate holders will receive some funds in the future. Wells Fargo notified certificate holders that it plans to distribute unused reserve funds to certificate holders when it determines that those funds are no longer necessary to meet current or future expenses in connection with the litigation. Although the trustee has withheld amounts that appear significant for each deal, particularly when considering the number of loans that already have paid off in full, both the amount of funds that could become available for certificate holders and the timing of the release of such funds is uncertain. Furthermore, it is unclear how holders would recoup forgone interest payments. Even more fundamentally, in light of the investor litigation against the trustee, it is unclear whether the trustee ultimately will be entitled to use trust funds to cover its litigation costs or if it will be required to reimburse the transactions. During the course of the review, Moody's will further consult with Wells Fargo regarding the recovery of legal fees in the affected transactions and monitor ongoing developments in the relevant litigation. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in January 2017. Additionally, the methodology used in rating the IO Tranches was "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. Factors that would lead to an upgrade or downgrade of the rating: The amount of principal and any missed interest payments that ultimately will be paid to the bondholders upon resolution of the funds currently being held in the trustee expense reserve accounts. [*] Moody's Takes Action on $1.8BB of RMBS Issued 2013-2016 ----------------------------------------------------------- Moody's Investors Service has upgraded the ratings of twenty eight tranches from six transactions backed by RMBS loans, issued by miscellaneous issuers. The complete rating actions are: Issuer: Chase Mortgage Trust 2016-1 Cl. M-2, Upgraded to Aa2 (sf); previously on Apr 1, 2016 Definitive Rating Assigned Aa3 (sf) Cl. M-3, Upgraded to Baa1 (sf); previously on Apr 1, 2016 Definitive Rating Assigned Baa2 (sf) Cl. M-4, Upgraded to Ba1 (sf); previously on Apr 1, 2016 Definitive Rating Assigned Ba3 (sf) Issuer: Connecticut Avenue Securities, Series 2014-C01 Class M-1, Upgraded to Aa2 (sf); previously on Aug 11, 2016 Upgraded to A1 (sf) Issuer: Structured Agency Credit Risk (STACR) Debt Notes, Series 2013-DN2 Cl. M-1, Upgraded to Aa1 (sf); previously on Aug 11, 2016 Upgraded to A1 (sf) Cl. M-1F, Upgraded to Aa1 (sf); previously on Aug 11, 2016 Upgraded to A1 (sf) Cl. M-1I, Upgraded to Aa1 (sf); previously on Aug 11, 2016 Upgraded to A1 (sf) Issuer: Structured Agency Credit Risk (STACR) Debt Notes, Series 2014-DN1 Cl. M-2, Upgraded to Aa2 (sf); previously on Aug 11, 2016 Upgraded to A1 (sf) Cl. M-2F, Upgraded to Aa2 (sf); previously on Aug 11, 2016 Upgraded to A1 (sf) Cl. M-2I, Upgraded to Aa2 (sf); previously on Aug 11, 2016 Upgraded to A1 (sf) Cl. M-12, Upgraded to Aa2 (sf); previously on Aug 11, 2016 Upgraded to A1 (sf) Issuer: Structured Agency Credit Risk (STACR) Debt Notes, Series 2015-HQ1 Cl. M-2, Upgraded to Aa2 (sf); previously on Aug 11, 2016 Upgraded to A2 (sf) Cl. M-2F, Upgraded to Aa2 (sf); previously on Aug 11, 2016 Upgraded to A2 (sf) Cl. M-2I, Upgraded to Aa2 (sf); previously on Aug 11, 2016 Upgraded to A2 (sf) Cl. M-12, Upgraded to Aa2 (sf); previously on Aug 11, 2016 Upgraded to A1 (sf) Cl. M-3, Upgraded to A2 (sf); previously on Aug 11, 2016 Upgraded to Baa2 (sf) Cl. M-3F, Upgraded to A2 (sf); previously on Aug 11, 2016 Upgraded to Baa2 (sf) Cl. M-3I, Upgraded to A2 (sf); previously on Aug 11, 2016 Upgraded to Baa2 (sf) Cl. MA, Upgraded to A1 (sf); previously on Aug 11, 2016 Upgraded to Baa1 (sf) Issuer: Structured Agency Credit Risk (STACR) Debt Notes, Series 2016-DNA2 Cl. M-1, Upgraded to Aa1 (sf); previously on May 10, 2016 Definitive Rating Assigned Baa1 (sf) Cl. M-2, Upgraded to A3 (sf); previously on May 10, 2016 Definitive Rating Assigned Baa3 (sf) Cl. M-2F, Upgraded to A3 (sf); previously on May 10, 2016 Definitive Rating Assigned Baa3 (sf) Cl. M-2I, Upgraded to A3 (sf); previously on May 10, 2016 Definitive Rating Assigned Baa3 (sf) Cl. M-3, Upgraded to Ba2 (sf); previously on May 10, 2016 Definitive Rating Assigned B1 (sf) Cl. M-3A, Upgraded to Baa2 (sf); previously on May 10, 2016 Definitive Rating Assigned Ba2 (sf) Cl. M-3AF, Upgraded to Baa2 (sf); previously on May 10, 2016 Definitive Rating Assigned Ba2 (sf) Cl. M-3AI, Upgraded to Baa2 (sf); previously on May 10, 2016 Definitive Rating Assigned Ba2 (sf) Cl. M-3B, Upgraded to B1 (sf); previously on May 10, 2016 Definitive Rating Assigned B3 (sf) RATINGS RATIONALE The rating upgrades are primarily due to an increase in credit enhancement available to the bonds and a reduction in Moody's expected pool losses. The actions are also a result of the recent performance of the underlying pools which have displayed very low levels of serious delinquencies. The principal methodology used in these ratings was "Moody's Approach to Rating US Prime RMBS" published in February 2015. Additionally, the methodology used in rating Structured Agency Credit Risk (STACR) Debt Notes, Series 2013-DN2 Cl. M-1I, Structured Agency Credit Risk (STACR) Debt Notes, Series 2014-DN1 Cl. M-2I, Structured Agency Credit Risk (STACR) Debt Notes, Series 2015-HQ1 Cl. M-2I, Cl. M-3I, Structured Agency Credit Risk (STACR) Debt Notes, Series 2016-DNA2 Cl. M-2I, Cl. M-3AI, was "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 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 June 2017 from 4.9% in June 2016. Moody's forecasts an unemployment central range of 4.5% to 5.5% for the 2017 year. Deviations from this central scenario could lead to rating actions in the sector. House prices are another key driver of US RMBS performance. Moody's expects house prices to continue to rise in 2017. Lower increases than Moody's expects or decreases could lead to negative rating actions. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. [*] Moody's Takes Action on $203MM of RMBS Issued 2005-2008 ----------------------------------------------------------- Moody's Investors Service has downgraded the ratings of thirteen tranches and upgraded the ratings of eight tranches from five transactions, backed by Prime Jumbo RMBS loans, issued by multiple issuers. Complete rating actions are: Issuer: Banc of America Funding Corporation, Mortgage Pass-Through Certificates, Series 2005-4 Cl. 2-A-1, Upgraded to Ba2 (sf); previously on Apr 30, 2010 Downgraded to B2 (sf) Cl. 2-A-4, Upgraded to B3 (sf); previously on Apr 30, 2010 Downgraded to Ca (sf) Cl. 30-IO, Downgraded to B3 (sf); previously on Jun 9, 2017 Downgraded to B2 (sf) Cl. 30-PO, Upgraded to B1 (sf); previously on Apr 30, 2010 Downgraded to B2 (sf) Cl. A, Currently Rated A3 (sf); previously on Jan 18, 2013 Downgraded to A3 (sf) Underlying Rating: Upgraded to Ba3 (sf); previously on Apr 30, 2010 Downgraded to B3 (sf) Financial Guarantor: Assured Guaranty Corp (Affirmed at A3, Outlook Stable on Aug 8, 2016) Cl. A-2, Upgraded to Ba3 (sf); previously on Apr 30, 2010 Downgraded to B3 (sf) Issuer: Banc of America Funding Corporation, Mortgage Pass-Through Certificates, Series 2005-5 Cl. 1-A-4, Upgraded to Ba1 (sf); previously on Apr 30, 2010 Downgraded to B1 (sf) Cl. 1-A-6, Upgraded to Ba1 (sf); previously on Apr 30, 2010 Downgraded to B1 (sf) Cl. 3-A-4, Upgraded to Ba2 (sf); previously on Aug 6, 2012 Downgraded to B2 (sf) Issuer: Wells Fargo Mortgage Backed Securities 2007-AR9 Trust Cl. A-1, Downgraded to Caa2 (sf); previously on Nov 5, 2013 Downgraded to B3 (sf) Cl. A-2, Downgraded to C (sf); previously on Apr 5, 2010 Downgraded to Ca (sf) Cl. A-IO, Downgraded to Caa2 (sf); previously on Nov 5, 2013 Downgraded to B3 (sf) Issuer: Wells Fargo Mortgage Backed Securities 2008-1 Trust Cl. I-A-1, Downgraded to Caa3 (sf); previously on Apr 12, 2010 Downgraded to Caa1 (sf) Cl. I-A-2, Downgraded to Caa2 (sf); previously on Apr 12, 2010 Downgraded to B3 (sf) Cl. II-A-1, Downgraded to Caa3 (sf); previously on Apr 12, 2010 Downgraded to Caa1 (sf) Cl. II-A-3, Downgraded to Caa3 (sf); previously on Apr 12, 2010 Downgraded to Caa1 (sf) Cl. II-A-4, Downgraded to Caa3 (sf); previously on Apr 12, 2010 Downgraded to Caa1 (sf) Cl. II-A-5, Downgraded to Caa3 (sf); previously on Apr 12, 2010 Downgraded to Caa1 (sf) Cl. II-A-6, Downgraded to Caa3 (sf); previously on Apr 12, 2010 Downgraded to Caa1 (sf) Issuer: Wells Fargo Mortgage Backed Securities 2008-AR2 Trust Cl. A-1, Downgraded to Caa2 (sf); previously on Jul 11, 2013 Upgraded to B2 (sf) Cl. A-IO, Downgraded to Caa2 (sf); previously on Jul 11, 2013 Upgraded to B2 (sf) RATINGS RATIONALE The rating downgrades are due to the erosion of credit enhancement available to the bonds. The rating upgrades are primarily due to an increase in the credit enhancement available to the bonds. The upgrades of Class 1-A-4 and Class 3-A-4 from Banc of America Funding Corporation, Mortgage Pass-Through Certificates, Series 2005-5 also reflect the sequential principal payment priority of these 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. Additionally, the methodology used in rating Class A-2 and Class 30-IO from Banc of America Funding Corporation, Mortgage Pass-Through Certificates, Series 2005-4, Class 1-A-6 from Banc of America Funding Corporation, Mortgage Pass-Through Certificates, Series 2005-5, Class A-IO from Wells Fargo Mortgage Backed Securities 2007-AR9 Trust, Class II-A-4 from Wells Fargo Mortgage Backed Securities 2008-1 Trust, and Class A-IO from Wells Fargo Mortgage Backed Securities 2008-AR2 Trust was "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 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 June 2017 from 4.9% in June 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 Takes Various Actions on 23 Classes From Five US RMBS Deals ------------------------------------------------------------------- S&P Global Ratings completed its review of 23 classes from five U.S. residential mortgage-backed securities transactions issued between 2001 and 2005. All of these transactions are backed by subprime collateral. The review yielded six downgrades, 16 affirmations, and one discontinuance. Analytical Considerations S&P said, "We incorporate various considerations into our decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by our projected cash flows. These considerations are based on transaction-specific performances or structural characteristics (or both) and their potential effects on certain classes." Some of these considerations include: -- Collateral performance/delinquency trends; -- Historical interest shortfalls; -- Imputed promises criteria; -- Increases in loss severities; -- Bonds paid in full; -- Proportion of re-performing loans in the pool; and -- Available subordination and/or overcollateralization. A list of the Affected Ratings is available at http://bit.ly/2tI6xpb [*] S&P Takes Various Actions on 68 Classes From 8 RMBS Deals ------------------------------------------------------------- S&P Global Ratings completed its review of 68 classes from eight U.S. residential mortgage-backed securities (RMBS) transactions issued between 2003 and 2006. All of these transactions are backed by prime jumbo collateral. The review yielded three upgrades, 16 downgrades, 39 affirmations, nine withdrawals, and one discontinuance. Analytical Considerations S&P said, "We incorporate various considerations into our decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by our projected cash flows. These considerations are based on transaction-specific performance or structural characteristics (or both) and their potential effects on certain classes." Some of these considerations include: -- Collateral performance/delinquency trends; -- Expected duration of the bond; -- Change in the constant prepayment rate; -- Proportion of reperforming loans in the pool; -- Interest-only criteria; -- Principal-only criteria; -- Historical interest shortfalls; -- Priority of principal payments; -- Available subordination; and -- Tail risk. A list of the Affected Ratings is available at: http://bit.ly/2ur7hAd ********* 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. 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Point your Web browser to http://TCRresources.bankrupt.com/and use the e-mail address to which your TCR is delivered to login. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter is a daily newsletter co-published by Bankruptcy Creditors Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., USA. Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Valerie Udtuhan, Howard C. Tolentino, Carmel Paderog, Meriam Fernandez, Joel Anthony G. Lopez, Cecil R. Villacampa, Sheryl Joy P. Olano, Psyche A. Castillon, Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2017. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. 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