/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/160320.mbx T R O U B L E D C O M P A N Y R E P O R T E R Sunday, March 20, 2016, Vol. 20, No. 80 Headlines BAKER STREET II: S&P Raises Rating on Class E Notes to BB+ BEAR STEARNS 2005-PWR7: Moody’s Affirms C Ratings on 4 Tranches BEAR STEARNS 2005-TOP20: Fitch Raises Cl. E Certs Rating to B BEAR STEARNS 2006-TOP24: Moody's Affirms Caa1 Rating on A-J Debt CAPITAL TRUST 2005-1: Fitch Lowers Rating on Cl. C Certs to 'Dsf' CARLYLE GLOBAL 2016-1: S&P Assigns Prelim. BB- Rating on D Notes CBA COMMERCIAL 2005-1: Moody's Affirms Caa3 Rating on Cl. X-2 Debt CBA COMMERCIAL 2006-2: Moody's Affirms C Rating on Class X-1 Debt CFCRE COMMERCIAL 2011-C1: Fitch Cuts Cl. G Certs Rating to CCC CHASE MORTGAGE 2016-1: Fitch to Rate Cl. M-4 Certificates 'BBsf' CHASE MORTGAGE 2016-1: Moody's Gives (P)Ba3 Rating on Cl. M-4 Debt COMM MORTGAGE 2005-FL10: Fitch Lowers Cl. J Certs Rating to C CREDIT SUISSE 1998-C2: Fitch Affirms 'Dsf' Rating on Cl. I Certs CREDIT SUISSE 1998-C2: Fitch Affirms D Rating on Cl. I Certificate GE COMMERCIAL 2003-C1: Moody's Affirms B1 Rating on Class J Debt GREENWICH CAPITAL 2004-GG1: Moody's Cuts Ratings on 2 Tranches to C GS MORTGAGE 2006-GG6: S&P Affirms CCC Rating on Cl. E Certificates GS MORTGAGE 2012-GCJ7: Moody's Affirms B2 Rating on Cl. F Certs GS MORTGAGE 2013-NYC5: S&P Affirms BB Rating on Cl. F Certificates GS MORTGAGE 2016-ICE2: S&P Assigns Prelim. BB- Rating on E Certs JP MORGAN 2002-CIBC5: Moody's Raises Rating on Cl. L Certs to B2 JP MORGAN 2004-C3: Fitch Affirms 'Dsf' Rating on 7 Tranches JP MORGAN 2007-LDP11: Moody's Affirms Caa3 Rating on Cl. A-J Debt JPMORGAN CHASE 2002-C2: S&P Raises Rating on Cl. F Cert. to B- KINGSLAND III: Moody's Lowers Rating on 2 Tranches to Ba2 KINGSLAND IV: Moody's Lowers Rating on Class E Notes to Caa1 LBUBS COMMERCIAL 2007-C6: Moody's Affirms B1 Rating on Cl. X Debt LIMEROCK CLO I: Moody's Affirms Ba1 Rating on Class D Notes MERRILL LYNCH 2005-CIP1: Fitch Raises Cl. B Certs Rating to 'BB' MORGAN STANLEY 2006-HQ8: Moody's Affirms Ba1 Rating on Cl. B Certs MORGAN STANLEY 2007-HQ13: Fitch Affirms 'Dsf' Rating on 11 Certs. MORGAN STANLEY 2011-C2: Fitch Affirms B- Rating on Cl. H Certs MOUNTAIN CAPITAL VI: S&P Affirms B- Rating on Class E Notes ONEMAIN FIN'L 2016-2: DBRS Assigns (P)BB Rating to Cl. D Debt ONEMAIN FINANCIAL 2016-2: S&P Assigns Prelim. B+ Rating on D Notes PHOENIX CLO III: S&P Raises Rating on Class E Notes to BB+ PRESTIGE AUTO 2016-1: S&P Assigns Prelim. BB Rating on Cl. E Notes RAAC TRUST 2005-RP1: Moody's Raises Rating on Cl. M-4 Debt to B2 RFC CDO 2007-1: Moody's Affirms Ca(sf) Rating on 2 Tranches UBS-BARCLAYS 2013-C6: Moody's Affirms B2 Rating on Class F Debt UBS-BB 2013-C5: Moody's Affirms Ba2 Rating on Cl. E Certificate WACHOVIA BANK 2005-C22: Fitch Raises Class D Certs Rating to 'CCC' WAMU COMMERCIAL 2006-SL1: Fitch Raises Class C Certs Rating to 'B' WFRBS COMMERCIAL 2014-C19: Moody's Affirms Ba3 Rating on X-B Debt [*] Fitch Takes Various Rating Actions on 216 U.S. RMBS Classes [*] Moody's Hikes $1.1BB Subprime RMBS Issued 2005-2007 [*] Moody's Hikes $630MM of Subprime RMBS Issued 2006-2007 [*] Moody's Hikes $704MM of Subprime RMBS Issued 2005-2007 [*] Moody's Hikes Ratings on $11.8MM Subprime RMBS Issued 2002-2003 [*] Moody's Raises Ratings on $64MM Subprime RMBS Issued 2001-2004 [*] Moody's Takes Action on $168.5MM Alt-A RMBS Issued 2003-2005 [*] Moody's Takes Action on $466.3MM of Subprime RMBS [*] S&P Lowers Ratings on 54 Classes From 37 RMBS Deals to 'D' ********* BAKER STREET II: S&P Raises Rating on Class E Notes to BB+ ---------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class B, C, D, and E notes from Baker Street CLO II Ltd., a U.S. collateralized loan obligation transaction managed by Seix Investment Advisors LLC, and removed them from CreditWatch positive, where they were placed on Dec. 18, 2015. At the same time S&P affirmed its 'AAA (sf)' ratings on the class A-1 and A-2 notes. The upgrades mainly reflect paydowns to the class A-1 and A-2 notes, pro rata, and a subsequent increase in the credit support available to support all of the notes since our August 2014 rating actions. Since that time, the transaction has paid down both of the class A notes by approximately $100.75 million, leaving each of the notes at approximately 39.94% of their original balances. In addition, the upgrades also reflect an improvement in the overcollateralization (O/C) available to support the notes. The trustee reported these O/C ratios in the February 2016 monthly report: -- The class A/B O/C ratio was 142.82%, compared with 123.95% in the July 2014 report (which S&P used for its August 2014 actions); -- The class C O/C ratio was 124.19%, compared with 114.82% in July 2014; -- The class D O/C ratio was 113.02%, compared with 108.75% in July 2014; and -- The class E O/C ratio was 106.17%, compared with 104.78% in July 2014. The affirmations on classes A-1 and A-2 reflect S&P's belief that the credit support available is commensurate with the current rating levels. S&P's review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the aforementioned trustee report, to estimate future performance. In line with S&P's criteria, its cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, S&P's analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis demonstrated, in S&P's view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with this rating action. S&P's review of the transaction relied in part upon a criteria interpretation with respect to our corporate CDO criteria, 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 Standard & Poor's. The criteria provide specific guidance for treatment of corporate assets not rated by Standard & Poor's, while the interpretation outlines treatment of securitized assets. Standard & Poor's will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. CASH FLOW RESULTS AND SENSITIVITY ANALYSIS Baker Street CLO II Ltd. Cash flow Previous implied Cash flow Final Class rating rating(i) cushion(ii) rating A-1 AAA (sf) AAA (sf) 22.65% AAA (sf) A-2 AAA (sf) AAA (sf) 22.65% AAA (sf) B AA+ (sf)/Watch Pos AAA (sf) 22.65% AAA (sf) C A+ (sf)/Watch Pos AAA (sf) 4.44% AAA (sf) D BBB+ (sf)/Watch Pos AA- (sf) 2.42% A+ (sf) E B+ (sf)/Watch Pos BBB- (sf) 2.68% BB+ (sf) (i) The cash flow implied rating considers the actual spread, coupon, and recovery of the underlying collateral. (ii) The cash flow cushion is the excess of the tranche break-even default rate above the scenario default rate at the assigned rating for a given class of rated notes using the actual spread, coupon, and recovery. RECOVERY RATE AND CORRELATION SENSITIVITY In addition to S&P's base-case analysis, it generated additional scenarios in which it made negative adjustments of 10% to the current collateral pool's recovery rates relative to each tranche's weighted average recovery rate. S&P also generated other scenarios by adjusting the intra- and inter-industry correlations to assess the current portfolio's sensitivity to different correlation assumptions assuming the correlation scenarios outlined below. Correlation Scenario Within industry (%) Between industries (%) Below base case 15.0 5.0 Base case 20.0 7.5 Above base case 25.0 10.0 Recovery Correlation Correlation Cash flow decrease increase decrease implied implied implied implied Final Class rating rating rating rating rating A-1 AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) A-2 AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) B AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) C AAA (sf) AAA (sf) AA+ (sf) AAA (sf) AAA (sf) D AA- (sf) A+ (sf) A+ (sf) AA+ (sf) A+ (sf) E BBB- (sf) BB+ (sf) BBB- (sf) BBB+ (sf) BB+ (sf) DEFAULT BIASING SENSITIVITY To assess whether the current portfolio has sufficient diversity, S&P biased defaults on the assets in the current collateral pool with the highest spread and lowest base-case recoveries. Spread Recovery Cash flow compression compression implied implied implied Final Class rating rating rating rating A-1 AAA (sf) AAA (sf) AAA (sf) AAA (sf) A-2 AAA (sf) AAA (sf) AAA (sf) AAA (sf) B AAA (sf) AAA (sf) AAA (sf) AAA (sf) C AAA (sf) AAA (sf) AA+ (sf) AAA (sf) D AA- (sf) AA- (sf) BBB+ (sf) A+ (sf) E BBB- (sf) BBB (sf) B- (sf) BB+ (sf) RATINGS RAISED AND REMOVED FROM CREDITWATCH POSITIVE Baker Street CLO II Ltd. Rating Class To From B AAA (sf) AA+ (sf)/Watch Pos C AAA (sf) A+ (sf)/Watch Pos D A+ (sf) BBB+ (sf)/Watch Pos E BB+ (sf) B+ (sf)/Watch Pos RATINGS AFFIRMED Baker Street CLO II Ltd. Class Rating A-1 AAA (sf) A-2 AAA (sf) BEAR STEARNS 2005-PWR7: Moody’s Affirms C Ratings on 4 Tranches ----------------------------------------------------------------- Moody's Investors Service has upgraded the rating of one class, downgraded the rating of one class, and affirmed eight classes in Bear Stearns Commercial Mortgage Securities Trust, Pass-Through Certificates, Series 2005-PWR7 as follows: Cl. B, Upgraded to A2 (sf); previously on May 21, 2015 Upgraded to A3 (sf) Cl. C, Affirmed Baa3 (sf); previously on May 21, 2015 Affirmed Baa3 (sf) Cl. D, Affirmed B3 (sf); previously on May 21, 2015 Affirmed B3 (sf) Cl. E, Affirmed Caa2 (sf); previously on May 21, 2015 Affirmed Caa2 (sf) Cl. F, Affirmed Caa3 (sf); previously on May 21, 2015 Affirmed Caa3 (sf) Cl. G, Affirmed C (sf); previously on May 21, 2015 Affirmed C (sf) Cl. H, Affirmed C (sf); previously on May 21, 2015 Affirmed C (sf) Cl. J, Affirmed C (sf); previously on May 21, 2015 Affirmed C (sf) Cl. K, Affirmed C (sf); previously on May 21, 2015 Affirmed C (sf) Cl. X-1, Downgraded to Caa2 (sf); previously on May 21, 2015 Downgraded to Caa1 (sf) RATINGS RATIONALE The rating on Class B was upgraded based primarily on an increase in credit support resulting from loan paydowns and amortization. The deal has paid down 14% since Moody's last review. The ratings on Classes C and D 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 remaining P&I classes were affirmed because the ratings are consistent with Moody's expected loss. The rating on the IO Class (Class X-1) was downgraded due to the decline in the credit performance of its reference classes resulting from principal paydowns of higher quality reference classes. Moody's rating action reflects a base expected loss of 37% of the current balance compared to 28% at Moody's last review. Moody's base expected loss plus realized losses is now 6.2% of the original pooled balance, compared to 5.8% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING: 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. DEAL PERFORMANCE As of the February 11, 2016 distribution date, the transaction's aggregate certificate balance has decreased by 90% to $108 million from $1.12 billion at securitization. The certificates are collateralized by 10 mortgage loans ranging in size from less than 1% to 46% of the pool. The pool contains no loans with investment-grade structured credit assessments. Three loans, constituting 3% of the pool, have defeased and are secured by US government securities. Two loans, constituting 10% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Ten loans have been liquidated from the pool, contributing to an aggregate realized loss of $30 million (for an average loss severity of 32%). Three loans, constituting 80% of the pool, are currently in special servicing. The largest specially serviced loan and largest loan in the pool is the Shops at Boca Park Loan ($49 million -- 46% of the pool), which is secured by a 277,000 square foot lifestyle center in Las Vegas, Nevada. Tenants include Recreational Equipment, Inc. (REI), Total Wine & More, and the Cheesecake Factory. The loan transferred to special servicing on December 18, 2015 for imminent maturity default. The loan had a previous stint in special servicing several years ago, and exited special servicing in 2013 after receiving a rate reduction modification as well as a loan extension and assumption by a new borrower. The collateral was 93% occupied as of October 2015. The servicer indicated that they are evaluating a loan modification request. The second largest loan in special servicing and second-largest loan in the pool is the Quintard Mall Loan ($30 million -- 27% of the pool), which is secured by a 375,000 square foot collateral portion of a regional mall in Oxford, Alabama. Anchors include Sears, Dillard's and JC Penney. The loan transferred to special servicing in May 2013, and became REO in October 2014. The mall has struggled financially for many years and faces competition from a lifestyle center which opened in 2011, approximately four miles east of the subject property. Total occupancy for the mall, including non-collateral space, was 81% as of October 2015, down from 85% in March 2015. The mall faces continued leasing headwinds, with significant inline lease rollover in the next two years. The servicer has engaged The Woodmont Company to manage and lease the property. JC Penney recently exercised a 5-year lease renewal option through August 2019. Sears and Dillard's are not part of the loan collateral. The remaining specially serviced loan is secured by a retail property in Las Vegas, Nevada. Moody's estimates an aggregate $40 million loss for the specially serviced loans (46% expected loss on average). Moody's received full year 2014 operating results and full or partial year 2015 operating results for 100% of the performing pool. Moody's weighted average conduit LTV is 77%, compared to 86% 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 21% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.4%. Moody's actual and stressed conduit DSCRs are 0.94X and 1.44X, respectively, compared to 1.08X and 1.18X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The top three performing conduit loans represent 16% of the pool balance. The largest loan is the 33 Route 304 Loan ($8 million -- 7% of the pool), which is secured by a 120,000 square foot retail property in Nanuet, New York, approximately 30 miles northwest of New York City. Tenants include Ashley Furniture, Planet Fitness, and Verizon. The property occupancy was 68% as of September 2015, compared to 84% at year-end 2014 and 68% reported at year-end 2012. The loan is on the watchlist for low occupancy and DSCR. The loan benefits from amortization. Moody's LTV and stressed DSCR are 99% and 1.04X, essentially unchanged since the last review. The second largest loan is the Best Buy Plaza Loan ($6 million -- 6% of the pool). The loan is secured by a 109,000 square foot retail center in Melbourne, Florida. Tenants include Best Buy, Ross Dress for Less, and Petsmart. The loan benefits from amortization. Moody's LTV and stressed DSCR are 70% and, 1.38X, respectively, compared to 80% and 1.22X at the last review. The third largest loan is the Sam Moon Center II Loan ($3 million -- 3% of the pool). The loan is secured by a retail center in Dallas, Texas. The property was 94% leased as of September 2015. The loan is fully amortizing. Moody's LTV and stressed DSCR are 45% and, 2.29X, respectively, compared to 67% and 1.53X at the last review. BEAR STEARNS 2005-TOP20: Fitch Raises Cl. E Certs Rating to B ------------------------------------------------------------- Fitch Ratings has upgraded four classes and affirmed 11 classes of Bear Stearns Commercial Mortgage Securities Trust (BSCMS) commercial mortgage pass-through certificates series 2005-Top20. KEY RATING DRIVERS The upgrades reflect the increase in credit enhancement due to significant loan paydown since Fitch's last rating action. Fitch modeled losses of 17% of the remaining pool; expected losses on the original pool balance total 3.8%, including $54.1 million (2.6% of the original pool balance) in realized losses to date. Fitch has designated six loans (26%) as Fitch Loans of Concern (FLOC), which includes five specially serviced assets (15%). As of the February 2016 distribution date, the pool's aggregate principal balance has been reduced by 92.8% to $147.5 million from $2.1 billion at issuance. The pool is highly concentrated with only 16 of the original 223 loans remaining in the transaction, and the largest loan representing 55.2% of the pool. Per the servicer reporting, there is one defeased loan (2.9%). Interest shortfalls are affecting classes H through Q. The remaining non-specially serviced loans mature in September 2016 (one loan; 11.7%), September 2017 (one loan; 55.2%), plus five loans maturing in 2020 (5%) and four loans in 2025 (13.5%). The largest loan in the pool is the Lakeforest Mall - A Note (55.2% of the pool), secured by 402,625 square feet (sf) of inline space in a 1.1 million sf regional mall in Gaithersburg, MD. Non-collateral anchors include Sears, Macy's, JC Penney, and Lord & Taylor. In-line tenant sales reported at $292 per square foot (psf) for 2014; tenant sales for 2015 were not provided. The September 2015 rent roll reported occupancy at 85%, a slight decline from 93% reported in December 2014. The September 2015 year to date (YTD) net operating income (NOI) debt service coverage ratio (DSCR) reported at 1.63x, compared to 1.88x at year-end (YE) 2014. The loan had previously transferred to special servicing in July 2010 for maturity default. The maturity date has since been extended twice to July 2011, and again to September 2017. In August 2012, the loan was modified into an A Note and B Note, and the property was sold to a new sponsor while in special servicing. The purchaser assumed the A Note and the B Note was written off for a full loss. The A Note, currently $81.4 million, has remained current under the modified terms. The second largest loan in the pool is secured by a 86,618 sf suburban office property in Seattle, WA (11.7%). The property recently incurred a major vacancy when the former largest tenant (92% of the net rentable area) vacated at the end of the lease term in October 2015. Prior to the tenant vacancy, the property was 100% occupied and NOI DSCR reported at 2.21x as of June 2015. Fitch has identified the loan as a FLOC due to the occupancy concerns coupled with the upcoming loan maturity in September 2016. The loan has been amortizing since issuance, and remains current as of the February 2016 payment date. The largest loan in special servicing is secured by a 71,757 sf retail center located in Meza, AZ (6.3%). The property has experienced cash flow issues since 2012 from tenant vacancy, with occupancy declining to 72% as of May 2015 from 83% at YE 2012. The loan transferred to special servicing in May 2015 due to imminent default. The loan matured in September 2015, and the borrower has been unable to secure financing. A receiver was appointed in January 2016, and foreclosure is anticipated in second quarter of 2016. RATING SENSITIVITIES The Rating Outlooks on classes B through F are considered Stable due to sufficient credit enhancement and continued paydown. Although credit enhancement on these classes is high, Fitch remains concerned with the increasing concentrations, as well as some performance issues experienced by the two largest loans. Distressed classes (those rated below 'B') may be subject to further downgrades as additional losses are realized. DUE DILIGENCE USAGE No third party due diligence was provided or reviewed in relation to this rating action. Fitch has upgraded these classes: -- $12.4 million class B to 'AAAsf' from 'AAsf'; Outlook Stable; -- $20.7 million class C to 'AAsf' from 'AAsf'; Outlook Stable; -- $15.5 million class D to 'Asf' from 'BBBsf'; Outlook Stable; -- $28.5 million class E to 'Bsf' from 'BBsf'; Outlook Stable. Fitch affirms these classes: -- $18.1 million class F at 'Bsf'; Outlook Stable; -- $18.1 million class G at 'CCsf'; RE 100%; -- $23.3 million class H at 'Csf'; RE 40%. -- $10.7 million class J at 'Dsf'; RE 0%; -- $0 class K at 'Dsf'; RE 0%; -- $0 class L at 'Dsf'; RE 0%; -- $0 class M at 'Dsf'; RE 0%; -- $0 class N at 'Dsf'; RE 0%; -- $0 class O at 'Dsf'; RE 0%; -- $0 class P at 'Dsf'; RE 0%; -- $0 class LF at 'Dsf'; RE 0%. The class A-1, A-2, A-3 A-AB, A-4A, A-4B, and A-J certificates have paid in full. Fitch does not rate the class Q certificates. Fitch previously withdrew the rating on the interest-only class X certificates. BEAR STEARNS 2006-TOP24: Moody's Affirms Caa1 Rating on A-J Debt ---------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on five classes and downgraded the rating on one class in Bear Stearns Commercial Mortgage Securities Trust, Commercial Mortgage Pass-Through Certificates, Series 2006-TOP24 as: Cl. A-4, Affirmed Aaa (sf); previously on March 19, 2015, Affirmed Aaa (sf) Cl. A-M, Affirmed A3 (sf); previously on March 19, 2015, Affirmed A3 (sf) Cl. A-J, Affirmed Caa1 (sf); previously on March 19, 2015, Affirmed Caa1 (sf) Cl. B, Affirmed Caa3 (sf); previously on March 19, 2015, Affirmed Caa3 (sf) Cl. C, Affirmed C (sf); previously on March 19, 2015, Affirmed C (sf) Cl. X-1, Downgraded to B1 (sf); previously on March 19, 2015, Affirmed Ba3 (sf) RATINGS RATIONALE The ratings on two P&I classes, Classes A-4 and A-M, 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 three P&I classes were affirmed because the ratings are consistent with Moody's expected loss. The rating on the IO Class, Class X-1, was downgraded due to the decline in the credit performance of its reference classes resulting from principal paydowns of higher quality reference classes. Moody's rating action reflects a base expected loss of 5.5% of the current balance, compared to 6.9% at Moody's last review. Moody's base expected loss plus realized losses is now 10.9% of the original pooled balance, compared to 11.7% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING: The 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. DESCRIPTION OF MODELS USED Moody's review used the excel-based CMBS Conduit Model, which it uses for both conduit and fusion transactions. Credit enhancement levels for conduit loans are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate Moody's uses to estimate Moody's value). Moody's fuses the conduit results with the results of its analysis of investment grade structured credit assessed loans and any conduit loan that represents 10% or greater of the current pool balance. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 14 compared to a Herf of 18 at Moody's last review. When the Herf falls below 20, Moody's uses the excel-based Large Loan Model and then reconciles and weights the results from the conduit and large loan models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan-level proceeds derived from Moody's loan-level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type and sponsorship. Moody's also further adjusts these aggregated proceeds for any pooling benefits associated with loan level diversity and other concentrations and correlations. DEAL PERFORMANCE As of the Feb. 12, 2016, distribution date, the transaction's aggregate certificate balance has decreased by 41% to $912 million from $1.53 billion at securitization. The certificates are collateralized by 119 mortgage loans ranging in size from less than 1% to 20% of the pool, with the top ten loans constituting 48% of the pool. Three loans, constituting 4% of the pool, have investment-grade structured credit assessments. One of them, representing 1% of the pool, is secured by a residential co-op located in New York, New York and has a structured credit assessment of aaa (sca.pd). The structured credit assesment on one loan, representing 1% of the pool, was removed due to potential refinance risks given lease rollover concerns and reduced occupancy since last review. Nine loans, constituting 10% of the pool, have defeased and are secured by US government securities. Thirty-nine loans, constituting 23% 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. Eighteen loans have been liquidated from the pool with a loss, resulting in an aggregate realized loss of $117.7 million. Two loans, constituting 2% of the pool, are currently in special servicing. The largest specially serviced loan is the Marketplace Center Loan ($11.8 million -- 1.3% of the pool), which is secured by an anchored retail center in Murfreesboro, Tennessee. The loan transferred to special servicing in November 2011 and became REO in April 2012. The other specially serviced loan is secured by an office property located in Atlanta, Georgia. Moody's has also assumed a high default probability for 10 poorly performing loans, constituting 7% of the pool, and has estimated an aggregate loss of $20 million (a 25% expected loss on average) from the specially serviced and troubled loans. Moody's received full year 2014 operating results for 98% of the pool and full or partial year 2015 operating results for 89% of the pool. Moody's weighted average conduit LTV is 101%, compared to 102% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 10% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 10%. Moody's actual and stressed conduit DSCRs are 1.36X and 1.11X, respectively, compared to 1.36X and 1.10X 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 first loan with a structured credit assessment is the Lee Harrison Center Loan ($15.0 million -- 1.6% of the pool), which is secured by a 110,000 square foot (SF) retail center located in Arlington, Virginia. The center was 100% leased as of December 2015, the same as at last review. The property is anchored by the grocer Harris Teeter, which leases 34% of the net rentable area (NRA) through February 2022. Moody's structured credit assessment and stressed DSCR are a1 (sca.pd) and 2.05X, respectively. The second loan with a structured credit assessment is the 461 Fifth Avenue Loan ($15.0 million -- 1.6% of the pool), which is secured by a fee position in a parcel of land located in the Grand Central submarket of Manhattan. The parcel is improved with a 204,000 square foot office building. Moody's structured credit assessment and stressed DSCR are aaa (sca.pd) and 1.51X, respectively. The top three conduit loans represent 33% of the pool balance. The largest loan is the US Bancorp Tower Loan ($186.6 million -- 20.4% of the pool), which is secured by a 1.1 million square foot office building located in Portland, Oregon. The property was 96% leased as of December 2015 compared to 88% at the last review. The loan is interest only through the entire term and matures in August 2016. Moody's LTV and stressed DSCR are 122% and 0.82X, respectively, the same as at the last review. The second largest loan is the Dulles Executive Plaza Loan ($68.8 million -- 7.5% of the pool), which is secured by a 380,000 SF office building located in Herndon, Virginia. The property was 100% leased as of September 2015 compared to 83% leased as of September 2014. The largest tenant is Lockheed Martin Corporation whose leases for 50% and 33% of the NRA expire in 2021 and 2018, respectively. Lockheed Martin Corporation has previously reduced its space at this property. The loan is interest only throughout its entire term and matures in September 2016. Due to Lockheed Martin Corporation's occupancy of 83% of the NRA, a Lit / Dark analysis was used to determine Moody's value. Moody's LTV and stressed DSCR are 128% and 0.80X, respectively, the same as at the last review. The third largest loan is the Potomac Place Shopping Center Loan ($44.0 million -- 4.8% of the pool), which is secured by an 80,000 SF retail center located in Potomac, Maryland. The property was 97% leased as of September 2015, the same as at the last review. The property is anchored by Safeway (25% of the NRA; lease expiration September 2027) and Rite Aid (15% of the NRA; lease expiration September 2022). The loan is interest only throughout its entire term and matures in October 2016. Moody's LTV and stressed DSCR are 87% and 1.09X, respectively, compared to 88% and 1.07X at the last review. CAPITAL TRUST 2005-1: Fitch Lowers Rating on Cl. C Certs to 'Dsf' ----------------------------------------------------------------- Fitch Ratings downgrades one class and affirms six classes of Capital Trust RE CDO 2005-1. Fitch also withdraws the rating on class B due to lack of relevancy. KEY RATING DRIVERS Capital Trust 2005-1 is highly concentrated with assets from only three obligors remaining in the portfolio. The CDO is significantly under collateralized. Further, 100% of the portfolio is considered either defaulted or Fitch assets of concern. Since Fitch's last rating action, the capital structure has paid down by $33.3 million with no additional realized losses. As of the February 2016 trustee report, the CDO was 58% invested in two B-notes, one of which is defaulted (16.1%) and expected to have a full loss, and 42% in three non-senior CRE CDOs from the same obligor, CT CDO IV Ltd 2006-1 (all rated 'Csf'). Total recoveries are expected to be low due to the subordinate and/or distressed nature of the remaining collateral. On March 20, 2012, the Trustee declared an event of default (EOD) due to non-payment of full and timely accrued interest to the class B notes. The class B notes are a non-deferrable class and, while now paid in full, are affirmed at 'Dsf' due to the earlier default in the timely payment of its accrued interest. Class C, which is now the senior most class and thus non-deferrable, is downgraded to 'Dsf' due to the missed timely payment of the full accrued interest. On March 3, 2016, the Trustee declared an EOD with respect to class C, as interest proceeds received were insufficient to pay the full timely interest to the class. Interest proceeds were received from only one CDO asset, a B-note (41.9%) secured by a full service hotel located in Long Beach, CA. As of the time of this rating action, the noteholders have not given direction to accelerate the notes or liquidate the portfolio. The 'Csf' ratings for classes D through H reflect the classes' negative credit enhancement, and expectation of eventual default. This transaction was analyzed according to the 'Surveillance Criteria for U.S. CREL CDOs', which applies stresses to property cash flows and debt service coverage ratio (DSCR) tests to project future default levels for the underlying collateral in the portfolio. Capital Trust 2005-1 is a commercial real estate (CRE) CDO managed by CT Investment Management Co., LLC (CTIMCO). RATING SENSITIVITIES Classes D through H are subject to further downgrade to 'Dsf' should the classes default at legal maturity or earlier. DUE DILIGENCE USAGE No third party due diligence was provided or reviewed in relation to this rating action. Fitch has downgraded these ratings: -- $18.9 million class C to 'Dsf' from 'Csf'; RE 35%. Fitch has affirmed these ratings: -- $0 class B at 'Dsf' and withdrawn; -- $14.4 million class D at 'Csf'; RE 0%; -- $15.2 million class E at 'Csf'; RE 0%; -- $6.8 million class F at 'Csf'; RE 0%; -- $6.8 million class G at 'Csf'; RE 0%; -- $10.1 million class H at 'Csf'; RE 0%. Class A is paid in full. Fitch does not rate the class J and X-J certificates or the preferred shares. CARLYLE GLOBAL 2016-1: S&P Assigns Prelim. BB- Rating on D Notes ---------------------------------------------------------------- Standard & Poor's Ratings Services assigned its preliminary ratings to Carlyle Global Market Strategies CLO 2016-1 Ltd./Carlyle Global Market Strategies CLO 2016-1 LLC's $368.00 million floating-rate notes. The note issuance is a collateralized loan obligation transaction backed by a revolving pool consisting primarily of broadly syndicated senior secured loans. The preliminary ratings are based on information as of March 10, 2016. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The credit enhancement provided to the preliminary rated notes through the subordination of cash flows that are payable to the subordinated notes. -- The transaction's credit enhancement, which is sufficient to withstand the defaults applicable for the supplemental tests (not counting excess spread), and cash flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation criteria. -- The transaction's legal structure, which is expected to be bankruptcy remote. -- The diversified collateral portfolio, which consists primarily of broadly syndicated speculative-grade senior secured term loans. -- The collateral manager's experienced management team. -- The transaction's the timely interest and ultimate principal payments on the preliminary rated notes, which S&P assessed using its cash flow analysis and assumptions commensurate with the assigned preliminary ratings under various interest rate scenarios, including LIBOR ranging from 0.6206%- 12.5332%. -- The transaction's overcollateralization and interest coverage tests, a failure of which will lead to the diversion of interest and principal proceeds to reduce the balance of the rated notes outstanding. -- The transaction's reinvestment interest diversion test, a failure of which will lead to the reclassification of up to 50% of available excess interest proceeds as principal proceeds, which will be available before paying uncapped administrative expenses and fees, collateral manager incentive fees, and subordinate note payments to principal proceeds to purchase additional collateral obligations during the reinvestment period. PRELIMINARY RATINGS ASSIGNED Carlyle Global Market Strategies CLO 2016-1 Ltd./Carlyle Global Market Strategies CLO 2016-1 LLC Class Rating Amount (mil. $) A-1 AAA (sf) 246.40 A-2 AA (sf) 56.80 B (deferrable) A (sf) 28.80 C (deferrable BBB- (sf) 17.60 D (deferrable) BB- (sf) 18.40 Subordinated notes NR 33.55 NR--Not rated. CBA COMMERCIAL 2005-1: Moody's Affirms Caa3 Rating on Cl. X-2 Debt ------------------------------------------------------------------ Moody's Investors Service has affirmed the ratings on three classes in CBA Commercial Assets, Small Balance Commercial Mortgage Pass-Through Certificates Series 2005-1 as follows: Cl. A, Affirmed Caa1 (sf); previously on Mar 12, 2015 Affirmed Caa1 (sf) Cl. M-1, Affirmed C (sf); previously on Mar 12, 2015 Affirmed C (sf) Cl. X-2, Affirmed Caa3 (sf); previously on Mar 12, 2015 Affirmed Caa3 (sf) RATINGS RATIONALE The ratings on the P&I classes A and M-1 were affirmed because the ratings are consistent with Moody's expected loss. The rating on the IO, Class X-2, was affirmed based on the credit performance of its referenced classes. This transaction is classified as a small balance CMBS transaction. Small balance transactions, which represent less than 1% of the Moody's rated conduit/fusion universe, have generally experienced higher defaults and losses than traditional conduit and fusion transactions. Moody's rating action reflects a base expected loss of 13.1% of the current balance, compared to 12.4% at Moody's last review. Moody's base expected loss plus realized losses is now 15.6% of the original pooled balance, compared to 15.0% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING: 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. DEAL PERFORMANCE As of the February 25, 2016 distribution date, the transaction's aggregate certificate balance has decreased by 87% to $28.9 million from $214.9 million at securitization. The certificates are collateralized by 104 mortgage loans ranging in size from less than 1% to 7% of the pool, with the top ten loans constituting 29% of the pool. One-hundred and twenty-seven loans have been liquidated from the pool, resulting in an aggregate realized loss of $28.2 million (for an average loss severity of 68%). Four loans, constituting 2.3% of the pool, are currently in special servicing. Moody's estimates an aggregate $432,250 loss for the specially serviced loans (65% expected loss on average). Moody's has assumed a high default probability for 60 poorly performing loans, constituting 63% of the pool, and has estimated an aggregate loss of $4.4 million (a 24% expected loss based on a 60% probability default) from these troubled loans. CBA COMMERCIAL 2006-2: Moody's Affirms C Rating on Class X-1 Debt ----------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on two classes in CBA Commercial Assets, Small Balance Commercial Mortgage Pass-Through Certificates Series 2006-2 as follows: Cl. A, Affirmed Caa3 (sf); previously on Apr 1, 2015 Upgraded to Caa3 (sf) Cl. X-1, Affirmed C (sf); previously on Apr 1, 2015 Affirmed C (sf) RATINGS RATIONALE The rating on the P&I class, Class A, was affirmed because the rating is consistent with Moody's expected loss. The rating on the IO class, Class X-1, was affirmed based on the credit performance (or the weighted average rating factor or WARF) of its referenced classes. Moody's rating action reflects a base expected loss of 29.2% of the current balance, compared to 26.2% at Moody's last review. Moody's base expected loss plus realized losses is now 28.9% of the original pooled balance, compared to 29.0% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING: 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. DEAL PERFORMANCE As of the February 25, 2016 distribution date, the transaction's aggregate certificate balance has decreased by 76% to $31.4 million from $130 million at securitization. The certificates are collateralized by 95 mortgage loans ranging in size from less than 1% to 9% of the pool, with the top ten loans constituting 42% of the pool. Six loans, constituting 8.9% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Eighty-five loans have been liquidated from the pool, resulting in an aggregate realized loss of $28.5 million. Thirty-three loans, constituting 35% of the pool, are currently in special servicing. Moody's estimates an aggregate $7.6 million loss for the specially serviced loans (70% expected loss on average). Moody's has assumed a high default probability for five poorly performing loans, constituting 8% of the pool, and has estimated an aggregate loss of $0.9 million (a 35% expected loss based on a 50% probability of default) from these troubled loans. CFCRE COMMERCIAL 2011-C1: Fitch Cuts Cl. G Certs Rating to CCC -------------------------------------------------------------- Fitch Ratings has downgraded three subordinate classes and affirmed seven classes of CFCRE Commercial Mortgage Trust 2011-C1 commercial mortgage pass-through certificates. KEY RATING DRIVERS The downgrades reflect the continued decline in performance of the largest loan in the pool, the specially serviced Hudson Valley Mall, since Fitch's last rating action. The mall, which represents 16.5% of the pool balance, has a Macy's anchor store expected to close in April 2016. There are three non-specially serviced loans designated as Fitch Loans of Concern (13.9% of the pool), including one delinquent loan (1.8%). One loan is defeased (2.6%). As of the February 2016 distribution date, the pool's aggregate principal balance has been reduced by 52.6% to $300.5 million from $634.5 million at issuance. The pool is becoming concentrated, with the top 10 loans representing 67.5% of the pool balance. Interest shortfalls are currently affecting class NR. The largest loan is the specially serviced Hudson Valley Mall loan. The loan is secured by a 765,465 square foot (sf) regional mall, of which 639,465 sf is collateral, located in Kingston, NY, approximately 50 miles south of Albany, NY. The property, which was built in 1981, is currently anchored by Sears (15% net rentable area [NRA], expires 2019), Regal Cinemas (6% NRA, expires 2017) and Target (ground lease, expires 2026). Anchor tenant Macy's, on a lease to January 2017, is scheduled to close in April 2016. JC Penney, which represented 9% of the NRA, closed in April 2015 in advance of their October 2017 lease maturity. Other large tenants include Dick's Sporting Goods and Best Buy. Additional tenants are operating under modified or month-to-month leases, or have kick-out clauses. Tenants such as Buffalo Wild Wings, Express, Children's Place, Zales and Hollister have closed since issuance. Occupancy was 93% as of September 2015; however, this included the anchor spaces that will be dark through lease expiration. Estimated physical occupancy including the anchor spaces would fall below 70%. Significant losses were modeled based on Fitch's valuation, which takes into consideration the vacant anchor tenants and the expectation that occupancy may continue to decline. The second largest loan is the Santa Fe Retail Portfolio (8.1%), which is secured by a 189,504-sf, mixed-use portfolio of seven properties located in Santa Fe, NM. The portfolio consists of art galleries, high-end retail, restaurants and office space. The occupancy has been stable since issuance, with reported second-quarter 2015 occupancy of 95%. The sponsor has an ownership interest in several tenants. The third-largest loan in the pool is Westport Village Retail (6.7% of the pool), secured by a 172,574-sf retail center located in Louisville, KY. The center was completely redeveloped in 2008. This Fitch Loan of Concern is scheduled to mature in April 2016. Occupancy has declined to approximately 75%, as the largest tenant left at year-end (YE) 2014. The sponsor is InvenTrust, the former Inland American Real Estate Trust, Inc., which assumed the loan from the developer. RATING SENSITIVITIES The Negative Outlook remains on the three downgraded classes, since there is potential for further downgrades as Fitch receives updated information on the workout or disposition of the Hudson Valley Mall loan. Given the increasing concentrations in the pool and the size of the loan, further declines in value will likely result in additional downgrades. The Outlook on class C is revised to Stable as an upgrade is unlikely, since the pool is increasingly concentrated and credit enhancement is expected to be eroded with the disposition of the Hudson Valley Mall. Fitch will continue to monitor the performance of the remaining loans and take rating action as warranted. DUE DILIGENCE USAGE No third-party due diligence was provided or reviewed in relation to this rating action. Fitch has downgraded these three classes: -- $27 million class E to 'BBsf' from 'BBB-sf', Outlook Negative; -- $7.9 million class F to 'Bsf' from 'BBsf', Outlook Negative; -- $7.9 million class G to 'CCCsf' from 'Bsf', RE 0%. Fitch affirms these classes and revises Rating Outlooks as indicated: -- $2.6 million class A-2 at 'AAAsf', Outlook Stable; -- $32.5 million class A-3 at 'AAAsf', Outlook Stable; -- $153.6 million class A-4 at 'AAAsf', Outlook Stable; -- Interest-only class X-A at 'AAAsf', Outlook Stable; -- $16.7 million class B at 'AAAsf', Outlook Stable; -- $19 million class C at 'Asf', Outlook to Stable from Positive; -- $14.3 million class D at 'BBB+sf', Outlook Stable. Class A-1 has paid in full. Fitch does not rate the class NR or interest-only class X-B certificates. CHASE MORTGAGE 2016-1: Fitch to Rate Cl. M-4 Certificates 'BBsf' ---------------------------------------------------------------- Fitch Ratings expects to rate Chase Mortgage Trust 2016-1 (CMT 2016-1) as follows: -- $1,656,006,000 class A certificates 'AAAsf'; Outlook Stable; -- $42,462,000 class M-1 certificates 'AA-sf'; Outlook Stable; -- $74,544,000 class M-2 certificates 'Asf'; Outlook Stable; -- $50,010,000 class M-3 certificates 'BBBsf'; Outlook Stable; -- $25,477,000 class M-4 certificates 'BBsf'; Outlook Stable. Fitch will not be rating the $38,688,000 class B certificates. This is the first RMBS transaction that Fitch is aware in which the issuer intends to comply with the conditions set forth in the Federal Deposit Insurance Corp. (FDIC) Securitization Safe Harbor Rule, (the Rule) in order to benefit from the safe harbor. The FDIC confirms legal isolation of the securitized assets from the seller in the case of its insolvency if the issuer complies with the conditions in the Rule. The certificates are supported by 6,111 very high quality prime jumbo and agency conforming loans with a total balance of approximately $1.887 billion as of the cutoff date. Credit enhancement for the 'AAAsf' certificates of 12.25% reflects Fitch's loss expectations of 8.25% plus structural features such as the full pro rata pay structure, the lack of principal and interest advances, and the servicing incentive fees paid from available funds. Fitch believes that many of the Safe Harbor Rule requirements align the interests of the sponsor and originator with those of the certificateholders and are credit positive for the transaction as outlined below. KEY RATING DRIVERS Above-Average Originator: Based on its review of JPMorgan Chase Bank, N.A. (Chase) origination platform for agency and non-agency loans, Fitch believes that the bank has strong processes and procedures in place and views its ability to originate agency and non-agency loans as above average. Fitch reduced its probability of default by 77 basis points (bps) at the 'AAAsf' stress scenario to account for the strong operational quality of the loans. High-Quality Fixed-Rate Mortgages: The transaction includes a mix of conforming (75%) and non-conforming collateral (25%) made to prime quality borrowers. All of the loans were originated either by Chase or by one of its correspondents in accordance with its relevant guidelines. The collateral consists of up to 30-year fixed-rate mortgage loans and is seasoned roughly 14 months. Strong Due Diligence Results: Loan level due diligence was performed on 100% of the non-conforming loans and a statistical sample for the agency loans. The diligence sample size and scope for the agency loans are consistent with those of other risk-sharing transactions referencing Chase mortgage collateral and rated by Fitch. All but 17 loans received an initial 'A' or 'B' grade, indicating strong underwriting practices and sound quality control procedures. Increased Credit Enhancement: The 12.25% initial credit enhancement for the 'AAAsf' certificates is materially higher than Fitch's 'AAAsf' mortgage pool loss expectation of 8.25%, reflecting structural features such as the lack of delinquent principal and interest advances, a pro rata principal distribution and the servicing incentive fees and other expenses paid from available funds. No Servicer P&I Advances: While the Rule allows for servicing advancing up to a maximum of 90 days, this transaction is not incorporating any advancing of delinquent principal and interest (P&I). As P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust, the loan-level loss severities (LS) are less for this transaction than for those where the servicers are obligated to advance P&I. Structural provisions and cash flow priorities, together with increased subordination, provide for timely payments of interest to the 'AAAsf' and 'AA-sf' rated classes. Pro Rata Structure: Unlike prime jumbo securitizations issued post crisis, this transaction will incorporate a pro rata principal distribution among all classes starting at the first payment date. This allows for a larger amount of principal distributed to the subordinate bonds and a faster depletion of credit enhancement than a standard shifting interest structure. However, the transaction incorporates various performance triggers that can lock the subordinate bonds out of principal, and a subordination floor of 55 bps prevents distributions to the subordinate bonds to protect against adverse selection risk as the collateral pool pays down. The initial credit enhancement reflects the probability of subordinate balance paydowns over time. Strong Alignment of Interests: Because the Rule requires the sponsor, Chase, to retain an economic interest of at least 5% of the credit risk of the securitized assets, Fitch believes the transaction benefits from a strong alignment of interest in the credit risk of the underlying collateral. The sponsor intends to retain a 5% vertical interest in each class of certificates (other than the class A-R certificates). Loan Compliance Representation and Warranty: The Rule requires that the loan documents for an RMBS transaction contain an additional representation regarding loan underwriting compliance with supervisory guidance governing the underwriting of residential mortgages, including the Interagency Guidance on Non-Traditional Mortgage Products, Oct. 5, 2006, and the Interagency Statement on Subprime Mortgage Lending, July 10, 2007, and such other or additional guidance applicable at the time of loan origination, which, in Fitch's view, provides additional assurances about the sound quality of the underlying pool. Rep and Warranty Qualifiers: While the Rule for RMBS requires that 5% of the cash proceeds due to the sponsor be held in a reserve fund for 12 months for loan repurchases due to breaches of reps and warranties, which further aligns the interests of the seller with those of the certificateholders, many of the reps contain qualifying or conditional language that could result in fewer loan repurchases. For this reason, Fitch increased the probability of default for the 'AAAsf' class by 67 bps. Servicing Framework to Benefit All Classes: The Rule requires that RMBS loan servicing be conducted in accordance with best practices for asset management; loss mitigation to commence when a loan becomes 90 days delinquent; and that incentive fees be paid for loan restructuring or other loss mitigation activities that maximize the net present value of the loans. This requirement, which also mandates that records be kept for subsequent review by the trustee or an investor representative, is intended to protect all classes from potentially detrimental activities that benefit one class of investors at the expense of another. Servicing incentive fees are paid from available funds. RATING SENSITIVITIES Fitch's analysis incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or may be considered in the surveillance of the transaction. Two sets of sensitivity analyses were conducted at the state and national levels to assess the effect of higher MVDs for the subject pool. This defined stress sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model projected 5.5%. The analysis indicates that there is some potential rating migration with higher MVDs, compared with the model projection. Fitch also conducted sensitivities to determine the stresses to MVDs that would reduce a rating by one full category, to non-investment grade, and to 'CCCsf'. For example, additional MVD of 6%, 31% and 52% could potentially lower the 'AAAsf' rated class one rating category, to non-investment grade, and to 'CCCsf'. DUE DILIGENCE USAGE Fitch was provided with due diligence information from AMC Diligence, LLC (AMC) on 100% of the non-agency loans and a statistical sample of the conforming balance loans in the collateral pool, which amounted to 15%. Fitch received certifications indicating that the loan-level due diligence was conducted in accordance with its published standards for reviewing loans and in accordance with the independence standards outlined in its criteria. The diligence results showed minimal findings with some nonmaterial exceptions or waivers. All such findings were sufficiently mitigated with compensating factors. Fitch believes the overall results of the review generally reflected strong underwriting controls. CRITERIA APPLICATION Fitch analyzed the transaction in accordance with its RMBS rating criteria, as described in its January 2016 report, 'U.S. RMBS Master Rating Criteria.' This incorporates a review of the originators' lending platforms, as well as an assessment of the transaction's R&Ws provided by the originators and arranger, which were found to be consistent with the ratings assigned to the certificates. An exception was made to Fitch's 'U.S. RMBS Cash Flow Analysis Criteria' with respect to the delinquency rate vectors used to analyze structures with limited or no servicer advancing mechanism. The delinquency rate vectors used are still derived from Fitch's front-loaded, mid-loaded and back-loaded CDR curves; however, rather than use an 18-month liquidation timeline, the assumed liquidation timelines will be based on each rating category's projected timelines. In addition, a recovery rate based on the adjusted probability of default and cure rate adjustment (CRA), as described in Fitch's 'Exposure Draft: U.S. RMBS Loan Loss Model Criteria,' was incorporated. The structure of the transaction does not apply interest on deferred interest amounts, which is inconsistent with Fitch's 'Criteria for Rating Caps and Limitations in Global Structured Finance Transactions' for high investment-grade ratings. Given that Fitch rates to the terms of a transaction and the deferred amount can be factored into the investor's economic investment decision prior to investing, Fitch did not deem this exception as material. In accordance with its 'U.S. RMBS Master Rating Criteria', Fitch looks for a true sale opinion for RMBS. This transaction is structured in accordance with the FDIC's Safe Harbor Rule so no true sale opinion is necessary. Fitch received an opinion addressing the treatment of the assets in connection with this transaction with respect to the FDIC Securitization Safe Harbor Rule. CHASE MORTGAGE 2016-1: Moody's Gives (P)Ba3 Rating on Cl. M-4 Debt ------------------------------------------------------------------ Moody's Investors Service has assigned provisional ratings to five classes of residential mortgage-backed securities (RMBS) issued by Chase Mortgage Trust 2016-1 (Chase 2016-1). The ratings range from (P)Aaa (sf) to (P)Ba3 (sf). Chase 2016-1 is potentially the first residential mortgage-backed security (RMBS) transaction issued under the Federal Deposit Insurance Corporation's (FDIC) securitization safe harbor rule that went into effect Sept. 30, 2010. Unlike other RMBS transactions that structure the transfer of mortgage loans to the trust as legal "true sales" to achieve de-linkage from the effects of a sponsor insolvency, this transaction has been structured under the securitization safe harbor rule to mitigate the risk of the FDIC's exercise of its repudiation power in the unlikely event that the FDIC becomes the receiver or conservator of JPMorgan Chase Bank, N.A. (JPMCB or Chase) (LT/ST: Aa2/P-1). JPMCB will retain 5% of each class of Certificates to comply with FDIC safe harbor provisions, effectively providing some risk retention and aligning its incentive with investors in the transaction. The transaction incorporates several features unique to post-crisis RMBS that are credit positive for the bondholders in the transaction, senior bonds in particular. It incorporates several features that result in new protections for senior bonds and better alignment with senior investors' interest. Specifically: 1) A pro-rata payment structure with multiple and more stringent performance triggers than other post-crisis transactions; these triggers redirect to the more senior notes cash that would otherwise go to the junior notes in the event of performance deterioration, 2) Lack of principal and interest (P&I) servicer advancing that will boost ultimate liquidation recoveries on delinquent loans available for senior bondholders. The lack of P&I advancing will also reduce the unpredictability of cash flows driven by servicer stop-advance policies or practices and 3) Immediate recognition of modification losses that allocates more cash to senior bonds because written-down junior bonds accrue less interest. Separately, the transaction protects against disruption of cash flow to the bonds and resulting interest shortfalls due to the lack of P&I advancing by providing for interest payments (including interest shortfalls if any) and principal payments to be paid from aggregate available funds. Moreover, Chase is obligated to make protective advances in respect of certain taxes, insurance premiums and the cost of the preservation, restoration and protection of the mortgaged properties and any enforcement or judicial proceedings, including foreclosures. The certificates are backed by one pool of 6,111 (74% Conforming and 26% Non-Conforming) prime quality, fixed rate, fully amortizing first-lien residential mortgage loans, originated by Chase, who will also serve as the servicer for the transaction. U.S. Bank Trust National Association will serve as the trustee. The complete rating actions are: Issuer: Chase Mortgage Trust 2016-1 Class A, Assigned (P)Aaa (sf) Class M-1, Assigned (P)Aa1 (sf) Class M-2, Assigned (P)Aa3 (sf) Class M-3, Assigned (P)Baa2 (sf) Class M-4, Assigned (P)Ba3(sf) RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Moody's expected cumulative net loss on the collateral pool is 0.55% in a base scenario and reaches 5.70% at a stress level consistent with the Aaa ratings on the senior certificate. We calculated losses on the pool using Moody's US MILAN model. Loan-level adjustments to the model-implied losses included adjustments to borrower probability of default for higher and lower borrower Debt-To-Income Ratios (DTIs), borrowers with multiple mortgaged properties, self-employed borrowers, and at a pool level, for the default risk of HOA properties in super lien states. Moody's final loss estimates also incorporate adjustments related to originator assessment (we assess Chase as a strong originator of prime jumbo residential mortgage loans) and the third-party review (TPR) findings. For the conforming loans, Moody's modeled its severity estimate using conforming loan-specific severity data published by Freddie Mac. Given the unique pro-rata pay structure, servicing fee structure and the lack of P&I advancing in the transaction, we modeled the cash flows under a range of loss timing, servicing fee and stop-advance assumptions to evaluate the impact on the bonds and the resulting ratings under the different scenarios. Moody's final ratings on the bonds incorporate the results under the different scenarios. Key Collateral Characteristics Chase 2016-1 is a securitization of a pool of 6,111 fixed-rate prime conforming and non-conforming fully-amortizing loans with a total balance of $1,887,187,001 and a remaining term to maturity of 343 months, with a weighted average (WA) seasoning of 14 months. The borrowers in this transaction have high FICO scores and sizeable equity in their properties. The WA original FICO score is 768 and the WA combined original loan-to-value ratio (CLTV) is 79.6%. Although the majority of the loans were originated through a correspondent lender (65.7%), this is offset by the stronger property types (56.5% single-family), occupancy (99.4% owner-occupied) and purpose (67.3% purchase) of the loans. Moreover, the pool is geographically diverse with 25.4% of the loans originated in California, 9.6% in New York and 8.9% in Texas. The characteristics of the loans underlying the pool are comparable to that of recent GSE credit risk transfer and prime jumbo deals that Moody's has rated. All of the mortgage loans in the pool were originated and serviced by Chase. Chase is a strong originator based on our Originator Assessment for prime jumbo loans. Reflecting our assessment of Chase's prime jumbo underwriting, we marginally reduced our stress loss expectations for the non-conforming part of the pool. Based on our servicer assessment, Chase also has an above-average servicing ability as a primary servicer of prime residential mortgage loans. Third-party Review and Representations & Warranties AMC Diligence, LLC, an independent third-party diligence provider, conducted 100% review on the 758 non-conforming loans and randomly selected 829 loans from the 5,353 conforming loans. All loans were reviewed for credit, compliance, appraisal and data integrity. None of the non-conforming loans reviewed had any significant defects, 11 of the 829 conforming loans received final Moody's credit grades of Cs or Ds and were removed from the pool. Also, one loan from the conforming sample with a high appraisal variance was removed from the pool. Any data discrepancies observed were repaired and updated on the loan tape. Moody's increased its Aaa loss expectations marginally to reflect the findings of conforming loans' credit quality from the sample review to the broader pool that did not benefit from the due diligence review. All of the loans were originated prior to March 2015, thus no loans were subject to the TILA-RESPA Integrated Disclosures (TRID) rules, which became effective 3 October 2015. Moreover, all 758 non-conforming loans adhere to the Ability-To-Repay (ATR)/Qualified Mortgage (QM) rule, and because the conforming loans were underwritten to Fannie Mae and Freddie Mac guidelines, they meet QM standards. Chase, as the mortgage loan seller, has provided clear representations and warranties (R&Ws) including an unqualified fraud R&W. There is a provision for binding arbitration in the event of dispute between investors and the R&W provider concerning R&W breaches. The breach review is objective, thorough, transparent, consistent and independent, and will be conducted by Pentalpha Surveillance, LLC who is an independent third-party with expertise in forensic loan reviews. The securities administrator will establish and maintain a repurchase reserve fund which will be held for 12 months and will be initially equal at least 5% ($8.9MM) of the cash proceeds from the securitization. Given the originator's business practices and the sunset period for the reserve fund we don't expect this fund to be utilized materially but it does provide additional support to the R&W framework. Servicing Arrangement Moody's considers the overall servicing arrangement for this pool to be adequate. Moody's assess Chase at SQ2, indicating an above average servicing ability as a primary servicer of prime residential mortgage loans. Servicing compensation for loans in this transaction is based on a fee-for-service incentive structure. The fee-for-service incentive structure includes an initial base fee of $19 per loan monthly for all performing loans and increases if the loans default with monetary incentive fee for non-performing loans. By establishing a base servicing fee for performing loans that increases with the delinquency of loans, the fee-for-service structure aligns monetary incentives to the servicer with the costs of the servicer. The fee-for-service compensation is reasonable and adequate for this transaction. It also better aligns the servicer's costs with the deal's performance and structure. Class B (NR) is first in line to absorb any increase in servicing costs above the base servicing costs. The institutional and reputational strength of the servicer, alignment of costs with the monetary compensation for more difficult tasks, incentive alignment due to risk retention and requirements under FDIC safe harbor collectively mitigate the moral hazard that the servicing arrangement will unduly influence the servicers' behavior. By contrast, in typical RMBS transactions a servicer can take actions, such as modifications and prolonged work outs, which increase the value of its mortgage servicing rights. The Transaction Structure The transaction follows a simple pro-rata payment structure amongst the certificates with reverse sequential loss allocation and strong performance tests. High initial subordination relative to standard shifting interest (SI) structures and the presence of strong performance tests make the pro-rata transaction structure neutral to SI structures. Moreover, the transaction allows for all funds collected (defined as the available distribution amount), including interest and principal payments, liquidation proceeds, subsequent recoveries, insurance proceeds and repurchase amounts, to be used to make interest payments and then principal payments to the senior bonds and subordinate bonds on a pro-rata basis. However, any trust expenses (subject to an annual expense cap of $500K) and other expenses are deducted from available distribution. This will reduce the funds available to pay the certificates. By itself, the pro-rata structure is weaker than SI structures since unlike SI structures that feature a blanket lock-out period during which senior bonds amortize faster, the pro-rata structure allows for depletion of subordination at the outset resulting in exposure to the senior bonds to credit deterioration. However, this transaction effectively mitigates against this risk through the multiple and stringent performance tests that divert payments to the bonds with higher payment priorities in the waterfall upon performance deterioration. Also, it is potentially the first prime transaction in the US which recognizes and incorporates in certain performance tests the future losses that may result from loans that are already seriously delinquent. Performance Tests The transaction will allocate 100% of prepayments to senior tranche if the current senior percentage exceeds the senior percentage as of the closing date minus 25% of the non- performing loan balance, defined as the percentage of loans that are more than 90 days delinquent, in foreclosure, subject to bankruptcy, or are real-estate owned (REO). Although not strong as the lock-out feature in SI deals, this test is a strong mitigant to the pro-rata structure since it allows for faster amortization of the senior bonds (and hence percentage increase in credit enhancement) in the event of collateral under-performance. The transaction provides for Class B lock-out amount of $10,400,000, which mitigates tail risk by protecting both the senior and subordinate bonds from eroding credit enhancement over time. Additionally, all principal collected will be used to pay down the senior certificates if the aggregate class principal amount of the subordinate certificates is less than or equal to 0.55% of the cut-off date balance, or the aggregate class principle balance of the Class M-4 and the Class B certificates is zero, or the six months average 60 days or more (including foreclosure, bankruptcy and REO) delinquent loans and all modified loans within 12 months prior to distribution date equals or exceeds 25% of current aggregate balance of subordinate certificates, or cumulative realized loss amount exceeds 10% of original subordinate balance. The delinquency and cumulative loss tests here are stronger than in standard SI deals which set these triggers typically at 50% of subordination balance and up to 40% of original subordination amount. For each class of subordinate certificates (other than the subordinate certificate then outstanding with the highest payment priority), if the sum of the subordinate class percentage for such class and that of the classes below is less than the sum of the original credit support of that class and 25% of the non-performing loan percentage, then the subordinate principal distribution will be zero. Factors that would lead to an upgrade or downgrade of the rating: Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Methodology The principal methodology used in these ratings was "Moody's Approach to Rating US Prime RMBS," published in February 2015. COMM MORTGAGE 2005-FL10: Fitch Lowers Cl. J Certs Rating to C ------------------------------------------------------------- Fitch Ratings has downgraded one and affirmed three classes of COMM Mortgage Trust 2005-FL10. KEY RATING DRIVERS As of the February 2016 remittance, the pool has paid down by 98% since issuance, with only one asset remaining. The downgrade of the distressed rating is due to the continued deterioration of the one remaining asset in the pool, the Berkshire Mall. The ratings reflect exceptionally high credit risk associated with the asset. The mall comprises 589,146 square feet (sf) of a 715,146 sf regional mall located in Lanesboro, MA, about 40 miles east of Albany, NY. The collateral consists of 192,793 sf of in-line space and 396,353 sf of anchor/major tenant space. The non-collateral anchor space (Target) totals approximately 126,000 sf. Recently, anchor tenants Macy's and Best Buy announced that they will be closing their stores. The mall continues to face significant challenges related to trade area fundamentals, tenant retention and capital expenditure needs which will ultimately affect investor interest and the long-term viability of the asset. The immediate trade area for the subject property is considered rural and tertiary in nature and is confronting declining population trends with incomes below state and national levels. Although, the theater tenant executed a long-term renewal, the vacancy of the anchors contributes to the declining trajectory of the mall and low likelihood of recoverability on the asset. The loan transferred to special servicing in January 2014 due to the imminent expiration of the forbearance agreement. A deed-in-lieu of foreclosure was executed in June of 2014 and the asset remains real estate owned. The mall is being managed and leased by CBL & Associates Properties, which specializes in new development and repositioning of distressed properties. RATING SENSITIVITIES The ratings of the remaining distressed classes (those rated below 'Bsf') are subject to further downgrade as losses are realized. Fitch anticipates significant losses based on current valuations of the asset and uncertainty related to the stabilization of the asset. Upgrades are considered unlikely due to the distressed nature of the collateral. DUE DILIGENCE USAGE No third party due diligence was provided or reviewed in relation to this rating action. Fitch has downgraded this class as indicated: -- $6.4 million class J to 'Csf' from 'CCCsf'; RE 0%. Fitch has affirmed these classes as indicated: -- $19.8 million class K at 'Csf'; RE 0%; -- $6.5 million class L at 'Csf'; RE 0%; -- $4.3 million class M at 'Dsf'; RE 0%. The following classes, originally rated by Fitch, have paid in full: A-1, A-J1, A-J2, X-1, MOAX-1, MOAX-2, MOAX-3, B, C, D, E, F, MOA-1, MOA-2, N-PC, O-PC, P-PC, Q-PC, N-DEL and O-DEL. Fitch does not rate the class A-J3, G, H and MOA-3 certificates. In addition, Fitch previously withdrew the ratings on the interest-only classes X-2-DB, X-2-NOM, X-2-SG, X-3-DB, X-3-NOM and X-3-SG. CREDIT SUISSE 1998-C2: Fitch Affirms 'Dsf' Rating on Cl. I Certs ---------------------------------------------------------------- Fitch Ratings has affirmed three classes of Credit Suisse First Boston Mortgage Securities Corp. (CSFB) commercial mortgage pass-through certificates, series 1998-C2. KEY RATING DRIVERS The affirmations to classes F and G reflect the high credit enhancement (CE) as a result of continued paydown, including defeasance sufficient to pay down both classes. CE has improved since Fitch's last rating action due to $27 million in principal paydown, including $15 million from scheduled amortization payments and $12 million received from the disposition of specially serviced assets. Class I was affirmed at 'Dsf' due to losses already incurred. Fitch modeled losses of 7.6% of the remaining pool; expected losses on the original pool balance total 3.4%, including $56.4 million (2.9% of the original pool balance) in realized losses to date. Fitch has designated eight loans (23.2%) as Fitch Loans of Concern, which includes one specially serviced asset (17.4%). As of the February 2016 distribution date, the pool's aggregate principal balance has been reduced by 95% to $104.4 million from $1.92 billion at issuance. There are 48 of the original 227 loans remaining in the transaction. Per the servicer reporting, 19 loans (63.8% of the pool) are fully defeased. Of the non-defeased loans 27 are fully amortizing (6.1%), all of which are secured by credit tenant leases. Interest shortfalls are currently affecting classes H through J. The specially serviced loan, which is the largest loan in the pool (17.4%), was originally secured by three properties (two retail and one industrial) located in Irving and North Richland, TX. After initially transferring to special servicing in December 2009, the loan was modified with a reduced interest rate and its maturity extended twice to April 2013 and finally May 2014. The borrower was unable to repay the loan at the extended maturity date and the asset became real estate owned (REO) in July 2014. The industrial property and one of the retail properties were sold in an April 2015 auction. The remaining asset is a 242,000 square foot retail property located in Irving, TX anchored by Best Buy (18% of the net rentable area [NRA]) and Ross Dress for Less (12.4%). The property is not listed for sale, and the servicer is currently focused on renewing existing leases at the property. RATING SENSITIVITIES The Rating Outlooks of the investment-grade classes remain Stable with future affirmations expected, as both classes are fully covered by defeasance. The rating for class I will remain at 'Dsf' due to incurred losses. DUE DILIGENCE USAGE No third-party due diligence was provided or reviewed in relation to this rating action. Fitch affirms these classes: -- $36 million class F at 'AAAsf'; Outlook Stable; -- $19.2 million class G at 'AAAsf'; Outlook Stable; -- $1.3 million class I at 'Dsf'; RE 0%. The class A1, A2, B, C, D and E certificates have paid in full. Fitch does not rate the class H or J certificates. Fitch previously withdrew the rating on the interest-only class AX certificates. CREDIT SUISSE 1998-C2: Fitch Affirms D Rating on Cl. I Certificate ------------------------------------------------------------------ Fitch Ratings has affirmed three classes of Credit Suisse First Boston Mortgage Securities Corp. (CSFB) commercial mortgage pass-through certificates, series 1998-C2. KEY RATING DRIVERS The affirmations to classes F and G reflect the high credit enhancement (CE) as a result of continued paydown, including defeasance sufficient to pay down both classes. CE has improved since Fitch's last rating action due to $27 million in principal paydown, including $15 million from scheduled amortization payments and $12 million received from the disposition of specially serviced assets. Class I was affirmed at 'Dsf' due to losses already incurred. Fitch modeled losses of 7.6% of the remaining pool; expected losses on the original pool balance total 3.4%, including $56.4 million (2.9% of the original pool balance) in realized losses to date. Fitch has designated eight loans (23.2%) as Fitch Loans of Concern, which includes one specially serviced asset (17.4%). As of the February 2016 distribution date, the pool's aggregate principal balance has been reduced by 95% to $104.4 million from $1.92 billion at issuance. There are 48 of the original 227 loans remaining in the transaction. Per the servicer reporting, 19 loans (63.8% of the pool) are fully defeased. Of the non-defeased loans 27 are fully amortizing (6.1%), all of which are secured by credit tenant leases. Interest shortfalls are currently affecting classes H through J. The specially serviced loan, which is the largest loan in the pool (17.4%), was originally secured by three properties (two retail and one industrial) located in Irving and North Richland, TX. After initially transferring to special servicing in December 2009, the loan was modified with a reduced interest rate and its maturity extended twice to April 2013 and finally May 2014. The borrower was unable to repay the loan at the extended maturity date and the asset became real estate owned (REO) in July 2014. The industrial property and one of the retail properties were sold in an April 2015 auction. The remaining asset is a 242,000 square foot retail property located in Irving, TX anchored by Best Buy (18% of the net rentable area [NRA]) and Ross Dress for Less (12.4%). The property is not listed for sale, and the servicer is currently focused on renewing existing leases at the property. RATING SENSITIVITIES The Rating Outlooks of the investment-grade classes remain Stable with future affirmations expected, as both classes are fully covered by defeasance. The rating for class I will remain at 'Dsf' due to incurred losses. DUE DILIGENCE USAGE No third-party due diligence was provided or reviewed in relation to this rating action. Fitch affirms these classes: -- $36 million class F at 'AAAsf'; Outlook Stable; -- $19.2 million class G at 'AAAsf'; Outlook Stable; -- $1.3 million class I at 'Dsf'; RE 0%. The class A1, A2, B, C, D and E certificates have paid in full. Fitch does not rate the class H or J certificates. Fitch previously withdrew the rating on the interest-only class AX certificates. GE COMMERCIAL 2003-C1: Moody's Affirms B1 Rating on Class J Debt ---------------------------------------------------------------- Moody's Investors Service has affirmed the ratings of seven classes in GE Commercial Mortgage Corporation 2003-C1 as follows: Cl. J, Affirmed B1 (sf); previously on Apr 2, 2015 Downgraded to B1 (sf) Cl. K, Affirmed B2 (sf); previously on Apr 2, 2015 Downgraded to B2 (sf) Cl. L, Affirmed Ca (sf); previously on Apr 2, 2015 Downgraded to Ca (sf) Cl. M, Affirmed C (sf); previously on Apr 2, 2015 Downgraded to C (sf) Cl. N, Affirmed C (sf); previously on Apr 2, 2015 Affirmed C (sf) Cl. O, Affirmed C (sf); previously on Apr 2, 2015 Affirmed C (sf) Cl. X-1, Affirmed C (sf); previously on Apr 2, 2015 Downgraded to C (sf) RATINGS RATIONALE The ratings on the P&I classes were affirmed because the ratings are consistent with Moody's expected loss. The rating on the IO class was affirmed because the credit performance of its referenced classes Moody's rating action reflects a base expected loss of 50% of the current balance compared to 52% at Moody's last review. Moody's base expected loss plus realized losses is now 3.7% of the original pooled balance, compared to 3.8% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING: 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. DEAL PERFORMANCE As of the February 10, 2016 distribution date, the transaction's aggregate certificate balance has decreased by 96% to $45 million from $1.19 billion at securitization. The certificates are collateralized by four mortgage loans ranging in size from 4% to 75% of the pool. Sixteen loans have been liquidated from the pool, contributing to an aggregate realized loss of $22 million (for an average loss severity of 23%). All four remaining loans in the pool are in special servicing. The largest loan is the 801 Market Street Loan ($34 million -- 75% of the pool), which is secured by a Class B office condominium located in Center City Philadelphia, Pennsylvania. The collateral consists of the top seven floors of a 13-story commercial property which formerly served as the flagship for the now-defunct department store retailer Strawbridge & Clothier. The loan transferred to special servicing in February 2013 due to maturity default. The property became REO in September 2014. The former largest tenant, which occupied 45% of the property's net rentable area, vacated the property in November 2015, leaving the property approximately 30% occupied. The remaining three loans are secured by a mix of property types. Moody's estimates an aggregate $23 million loss for the four total remaining loans in the pool (50% expected loss on average). GREENWICH CAPITAL 2004-GG1: Moody's Cuts Ratings on 2 Tranches to C ------------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on four classes, upgraded the ratings on one class and downgraded the ratings on six classes in Greenwich Capital Commercial Funding Corp., Commercial Mortgage Trust 2004-GG1 as: Cl. E, Upgraded to Aa3 (sf); previously on May 6, 2015, Affirmed A1 (sf) Cl. F, Affirmed Baa1 (sf); previously on May 6, 2015, Affirmed Baa1 (sf) Cl. G, Affirmed Ba2 (sf); previously on May 6, 2015, Downgraded to Ba2 (sf) Cl. H, Downgraded to B3 (sf); previously on May 6, 2015, Affirmed B1 (sf) Cl. J, Downgraded to Caa2 (sf); previously on May 6, 2015, Affirmed B3 (sf) Cl. K, Downgraded to Caa3 (sf); previously on May 6, 2015, Affirmed Caa1 (sf) Cl. L, Downgraded to C (sf); previously on May 6, 2015, Affirmed Caa2 (sf) Cl. M, Downgraded to C (sf); previously on May 6, 2015, Affirmed Caa3 (sf) Cl. N, Affirmed C (sf); previously on May 6, 2015, Affirmed C (sf) Cl. O, Affirmed C (sf); previously on May 6, 2015 Affirmed C (sf) Cl. XC, Downgraded to Caa2 (sf); previously on May 6, 2015, Affirmed Caa1 (sf) RATINGS RATIONALE The ratings on the P&I classes F and G were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The ratings on classes N and O were affirmed as they are consistent with Moody's expected loss. The rating on the P&I class E was upgraded based primarily on an increase in credit support resulting from loan paydowns and amortization. The deal has paid down 3% since Moody's last review and 94% since securitization. The ratings on five P&I classes were downgraded due higher anticipated losses from specially serviced and troubled loans. The rating on the IO Class (Class XC) was downgraded due to a decline in the credit performance (or the weighted average rating factor or WARF) of its referenced classes. Moody's rating action reflects a base expected loss of 46.7% of the current balance, compared to 46.1% at Moody's last review. Moody's base expected loss plus realized losses is now 4.4% of the original pooled balance, the same as at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in October 2015. DESCRIPTION OF MODELS USED Moody's used the excel-based Large Loan Model in formulating this rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan-level proceeds derived from Moody's loan-level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type and sponsorship. Moody's also further adjusts these aggregated proceeds for any pooling benefits associated with loan level diversity and other concentrations and correlations. DEAL PERFORMANCE As of the Feb. 12, 2016, distribution date, the transaction's aggregate certificate balance has decreased by 94% to $167 million from $2.6 billion at securitization. The certificates are collateralized by 8 mortgage loans ranging in size from less than 1% to 49% of the pool. One loan, constituting 0.5% of the pool, has defeased and is secured by US government securities. One loan, constituting 49% 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-one loans have been liquidated from the pool, resulting in an aggregate realized loss of $38 million (for an average loss severity of 22%). Three loans, constituting 37% of the pool, are currently in special servicing. The largest specially serviced loan is the Severance Town Center loan ($38.3 million -- 23% of the pool), which is secured by a 644,500 square foot (SF) retail property located in Cleveland Heights, Ohio. Economic occupancy was 82% while physical occupancy is approximately 61% due to the largest tenant (Walmart) having vacated their space but continuing to pay rent through their January 2019 lease expiration. The loan transferred to special servicing in January 2014 due to imminent default. The loan has passed its original maturity date in April 2014 and the special servicer indicated they are proceeding with foreclosure. The other two special serviced loans are secured by retail and office properties. Moody's estimates an aggregate $47 million loss for the three specially serviced loans (77% expected loss on average). Moody's has assumed a high default probability for the Aegon Center B-Note ($21.1 million -- 13% of the pool) and has estimated a significant loss from this loan. Moody's received full or partial year 2014 operating results for 93% of the pool and partial year 2015 operating results for 57% of the pool. Moody's weighted average conduit LTV is 117%, compared to 116% 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 positive haircut of 2.7% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.7%. Moody's actual and stressed conduit DSCRs are 2.04X and 1.07X, respectively, compared to 2.03X 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 largest loan is the Aegon Center A-Note Loan ($82 million -- 49% of the pool), which is secured by a 759,650 SF 34-story Class A office located in Louisville, Kentucky. As of January 2016, the property was 71% leased. The loan had been in special servicing for imminent monetary default due to Aegon's lease expiring in December 2012. The loan was modified in August 2013 and returned to the master servicer on Nov. 7, 2013. The loan was modified with an A/B note split, resulting in an $82 million A-Note and a $21.1 million B-Note and a maturity date extension. The loan maturity was also extended to April 2019 from April 2014. The interest rate on the $82 million A-Note was reduced to 4.0% from 6.415% for three years and interest on the $21.1 million B-Note accrues at 6.415%. This modification has caused significant interest shortfalls. Although the loan remains current, Moody's is concerned about the property's below market occupancy level. Moody's current LTV and stressed DSCR on the A note are 120% and 0.88X, respectively, the same as at last review. As previously mentioned, Moody's identified the B-Note as a troubled loan. The remaining two performing loans each comprise less than 1% of the pool. They each have a Moody's current LTV below 20% and stressed DSCR >4.00X. GS MORTGAGE 2006-GG6: S&P Affirms CCC Rating on Cl. E Certificates ------------------------------------------------------------------ Standard & Poor's Ratings Services raised its ratings on the class C and D commercial mortgage pass-through certificates from GS Mortgage Securities Trust 2006-GG6, a U.S. commercial mortgage-backed securities (CMBS) transaction. At the same time, S&P discontinued the ratings on classes A-J and B, and affirmed the outstanding rating on class E from the same transaction. The rating actions on classes C, D, and E follow S&P's analysis of the transaction, primarily using its criteria for rating U.S. and Canadian CMBS transactions. This included a review of the credit characteristics and performance of the remaining assets in the pool, S&P's views regarding the current and future performance of the trust’s collateral, the transaction's structure, and the liquidity available to the trust. The upgrades on classes C and D also reflect S&P's expectation that the available credit enhancement for these classes will be above S&P's estimate of the necessary credit enhancement required for the current ratings and the reduced trust balance. While available credit enhancement levels suggest further positive rating movements on classes C and D, as well as positive rating movement on class E, S&P's analysis also considered the bonds' susceptibility to reduced liquidity support from the seven specially serviced assets ($57.1 million, 37.2%) should the master servicer increase appraisal subordinate entitlement reduction or deem the certain assets nonrecoverable. S&P also considered the near-term maturity of the remaining performing loans in the pool ($96.4 million, 62.8%). Lastly, S&P discontinued its ratings on classes A-J and B following their full repayment, as detailed in the Feb. 12, 2016, trustee remittance report. TRANSACTION SUMMARY As of the Feb. 12, 2016 trustee remittance report, the collateral pool balance was $153.5 million, constituting 3.9% of the pool balance at issuance. The pool currently includes eight loans (counting the Tribune Tower A-note and B-note as one loan) and three real estate owned (REO) assets, down from 178 loans at issuance. Seven of these assets are with the special servicer, four loans ($92.7 million, 60.4%) are on the master servicer's watchlist, and no loan in the transaction is defeased. The master servicer, Wells Fargo Bank N.A., reported financial information for 78.1% of the nondefeased loans in the pool, of which 57.9% was partial-year 2015 data and the rest year-end 2014 data. S&P calculated a 0.94x Standard & Poor's weighted average debt service coverage (DSC) and 130.8% Standard & Poor's weighted average loan-to-value (LTV) ratio, using a 7.50% Standard & Poor's weighted average capitalization rate. The DSC, LTV, and capitalization rate calculations exclude the seven specially serviced assets, the San Benito Plaza loan ($3.8 million, 2.5%), which was transferred to special servicing subsequent to the February 2016 trustee remittance report, and the Tribune Tower B note ($3.7 million, 2.4%). To date, the transaction has experienced $292.8 million in principal losses, or 7.5% of the original pool trust balance. S&P expects losses to reach approximately 8.3% of the original pool trust balance in the near term, based on losses incurred to date and additional losses S&P expects upon the eventual resolution of the assets currently with the special servicer and the Tribune Tower B note. CREDIT CONSIDERATIONS As of the Feb. 12, 2016 trustee remittance report, seven assets in the pool were with the special servicer, Torchlight Loan Services LLC. In addition, the master servicer communicated to S&P that the San Benito Plaza loan was transferred to the special servicer at the borrower's request because of its inability to refinance the loan at maturity in February 2016. Details of the three largest specially serviced assets are: -- The Coral Springs Financial Plaza REO asset ($16.1 million, 10.5%) is the largest asset with the special servicer and the third-largest asset remaining in the pool, with $18.2 million in total reported exposure. The asset is a 123,461- sq.-ft. office property in Coral Springs, Fla. The loan was transferred to special servicing on June 10, 2009, and the property became REO on Jan. 17, 2013. The asset has been deemed nonrecoverable by the master servicer. The property is currently approximately 37.0% occupied. According to Torchlight, the asset is being marketed for sale. S&P expects significant losses upon the eventual resolution of the asset. -- The Bridgewater Hills Corporate Center loan ($13.8 million, 9.0%) is the second-largest asset with the special servicer and fourth-largest asset remaining in the pool, with $15.7 million in total reported exposure. The loan is secured by a 115,558-sq.-ft. office property in Bridgewater, N.J. The loan was transferred to the special servicer in November 2014 for imminent default. The property was previously 100% occupied by Valeant Pharmaceuticals under a lease that expired in October 2014, but has since vacated upon lease expiration. Approximately 50,000 sq. ft. of the space is leased to a tenant. However, it is expected to vacate the property by its lease expiration in June 2017. The special servicer stated that it is dual tracking foreclosure with workout negotiations. An appraisal reduction amount (ARA) of $6.9 million is in effect against the loan. S&P expects moderate losses upon the eventual resolution of the loan. -- The Sudley Tower REO asset ($9.5 million, 6.2%) is the third-largest asset with the special servicer and the fifth- largest asset remaining in the pool, with $11.4 million in total reported exposure. The asset is a 90,650-sq.-ft. office property in Manassas, Va. The loan was transferred to special servicing on Jan. 22, 2014, and the property became REO on June 2, 2014. The property is currently approximately 57.0% occupied. The special servicer stated that it plans to lease up the property prior to marketing the asset for sale. An ARA of $4.2 million is in effect against the asset. S&P expects moderate losses upon the eventual resolution of the asset. The remaining specially serviced assets make up less than 6.3% of the assets with the special servicer. S&P estimated losses for the eight specially serviced assets, as well as the Tribune Tower B note, arriving at a weighted-average loss severity of 48.2%. (A minimal loss is less than 25%, a moderate loss is 26%-59%, and a significant loss is 60% or greater.) RATINGS LIST GS Mortgage Securities Trust 2006-GG6 Commercial mortgage pass through certificates, series 2006-GG6 Rating Class Identifier To From A-J 36228CXA6 NR BB- (sf) B 36228CXB4 NR B+ (sf) C 36228CXC2 A+ (sf) B+ (sf) D 36228CXD0 B+ (sf) B (sf) E 36228CXE8 CCC (sf) CCC (sf) NR--Not rated. GS MORTGAGE 2012-GCJ7: Moody's Affirms B2 Rating on Cl. F Certs --------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on 13 classes in GS Mortgage Securities Trust, Commercial Mortgage Pass-Through Certificates, Series 2012-GCJ7 as: Cl. A-1, Affirmed Aaa (sf); previously on April 1, 2015, Affirmed Aaa (sf) Cl. A-2, Affirmed Aaa (sf); previously on April 1, 2015, Affirmed Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on April 1, 2015, Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on April 1, 2015, Affirmed Aaa (sf) Cl. A-AB, Affirmed Aaa (sf); previously on April 1, 2015, Affirmed Aaa (sf) Cl. A-S, Affirmed Aaa (sf); previously on April 1, 2015, Affirmed Aaa (sf) Cl. B, Affirmed Aa3 (sf); previously on April 1, 2015, Affirmed Aa3 (sf) Cl. C, Affirmed A3 (sf); previously on April 1, 2015, Affirmed A3 (sf) Cl. D, Affirmed Baa3 (sf); previously on April 1, 2015, Affirmed Baa3 (sf) Cl. E, Affirmed Ba2 (sf); previously on April 1, 2015, Affirmed Ba2 (sf) Cl. F, Affirmed B2 (sf); previously on April 1, 2015, Affirmed B2 (sf) Cl. X-A, Affirmed Aaa (sf); previously on April 1, 2015, Affirmed Aaa (sf) Cl. X-B, Affirmed Ba3 (sf); previously on April 1, 2015, Affirmed Ba3 (sf) RATINGS RATIONALE The ratings on 11 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 two IO classes were affirmed based on the credit performance (or the weighted average rating factor or WARF) of their referenced classes. Moody's rating action reflects a base expected loss of 2.6% of the current balance, compared to 2.7% at last review. The deal has paid down 1% since last review and 5% since securitization. Moody's base plus realized loss totals 2.5% of the original pooled balance compared to 2.7% at last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan pay downs or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The prinicpal methodology used in these ratings was "Approach to Rating US and Canadian Conduit/ Fusion CMBS" published in December 2014. DESCRIPTION OF MODELS USED Moody's review used the excel-based CMBS Conduit Model, which it uses for both conduit and fusion transactions. Credit enhancement levels for conduit loans are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate Moody's uses to estimate Moody's value). Moody's fuses the conduit results with the results of its analysis of investment grade structured credit assessed loans and any conduit loan that represents 10% or greater of the current pool balance. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Conduit Loan Herf of 29 compared to 31 at last review. DEAL PERFORMANCE As of the Feb. 12, 2016, distribution date, the transaction's aggregate certificate balance has decreased by 5% to $1.54 billion from $1.62 billion at securitization. The certificates are collateralized by 80 mortgage loans ranging in size from less than 1% to 8% of the pool, with the top ten loans constituting 45% of the pool. Ten loans, constituting 8.5% of the pool, have defeased and are secured by US government securities. Ten loans, constituting 14% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. One loan, constituting 2% of the pool, is currently in special servicing. The specially serviced loan is the Independence Place Loan (for $24 million -- 2% of the pool), which is secured by a 264-unit multifamily property located near Fort Stewart in Hinesville, Georgia. As of January 2016 the property was 77% leased compared to 71% at last review. The loan transferred to special servicing in October 2014, and the property became Real Estate Owned (REO) in March 2015. Moody's received full year 2014 operating results for 93% of the pool, and partial year 2015 operating results for 89% of the pool. Moody's weighted average conduit LTV is 86% compared to 89% 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 11% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.7%. Moody's actual and stressed conduit DSCRs are 1.54X and 1.25X, respectively compared to 1.54X and 1.22X at Moody's last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The top three conduit loans represent 20% of the pool balance. The largest loan is the 1155 F Street Loan ($125.7 million -- 8% of the pool), which is secured by a class A trophy office and retail building located in Washington, DC. This property is also encumbered by $19.9 million of mezzanine debt. As of December 2015, the office and retail space had occupancy of 98% and 100%, respectively. The property is anchored by three law firms that make up 59% of the net rentable area (NRA). Moody's LTV and stressed DSCR are 99% and 1.22X, respectively compared to 101% and 1.25X at the last review. The second largest loan is the Columbia Business Center Loan ($91.2 million -- 6% of the pool), which is secured by the fee and leasehold interests in an industrial park consisting of 26 buildings located along the Columbia River in Vancouver, Washington. Approximately 9% of the NRA is allocated to office use with the remainder used for warehouse and manufacturing purposes. The property was 98% leased as of September 2015 versus 99% leased as of November 2014 and 95% as of December 2013. Moody's LTV and stressed DSCR are 97% and 1.30X, respectively, compared to 100% and 1.26X at the last review. The third largest loan is the Bellis Fair Mall Loan ($88 million -- 6% of the pool), which is secured by a 538,226 SF component of a 776,136 SF single-story, enclosed regional mall located in Bellingham, Washington. The property is approximately 90 miles north of Seattle and 20 miles south of the international border with Canada. This mall is anchored by Macy's Target, Kohl's and J.C. Penney, with only Macy's being part of the collateral. The property is the dominant mall within its trade area and the only enclosed regional mall within the Bellingham and NW Washington markets. The closest regional mall competition is 28 miles south of the subject. The property was 98% leased as of December 2015 compared to 99% leased in December 2014. Moody's LTV and stressed DSCR are 71% and 1.41X, respectively, compared to 74% and 1.34X at the last review. GS MORTGAGE 2013-NYC5: S&P Affirms BB Rating on Cl. F Certificates ------------------------------------------------------------------ Standard & Poor's Ratings Services affirmed its ratings on 11 classes of commercial mortgage pass-through certificates from GS Mortgage Securities Corp. Trust 2013-NYC5, a U.S. commercial mortgage-backed securities (CMBS) transaction. The affirmations on the principal- and interest-paying certificate classes follow S&P's analysis of the transaction primarily using its criteria for rating U.S. and Canadian CMBS transactions. S&P's analysis included a review of the five lodging properties totaling 1,532 rooms in New York City that secure the $410.0 million, five-year interest-only (IO) fixed-rate mortgage loan, which serves as collateral for this stand-alone transaction. S&P also considered the deal structure and liquidity available to the trust. The affirmations reflect subordination and liquidity that are consistent with the outstanding ratings. S&P affirmed its ratings on the class XA-1, XA-2, XB-1, and XB-2 IO certificates based on its criteria for rating IO securities, in which the ratings on the IO securities would not be higher than the lowest-rated reference classes. The notional balances on classes XA-1 and XA-2 reference class A, while classes XB-1 and XB-2 reference classes B, C, and D. The analysis of stand-alone (single borrower) transactions is predominantly a recovery-based approach that assumes a loan default. Using this approach, S&P's property-level analysis included a revaluation of the lodging portfolio that secures the mortgage loan in the trust. S&P also considered the servicer-reported net operating income (NOI), average daily rate (ADR), occupancy, and revenue per available room (RevPAR) for each of the five lodging properties for the past six years. Although S&P noted that the overall NOI has declined in 2015 compared to 2014, our analysis also considered the properties' location and historical performance. If the performance continues to lag S&P's expectations, it may revise its assumptions underlying its sustainable net cash flow (NCF) and value. S&P derived its overall sustainable NCF, which S&P divided by an 8.66% weighted average capitalization rate, to determine S&P's expected-case value. This yielded an overall Standard & Poor's loan-to-value ratio and debt service coverage (DSC) of 87.2% and 2.67x, respectively, on the trust balance. As of the Feb. 12, 2016, trustee remittance report, the IO mortgage loan has a trust and whole-loan balance of $410.0 million, pays an annual fixed interest rate of 3.673%, and matures on Jan. 5, 2018. In addition, there is an unsecured partner loan totaling $50.0 million payable if and when cash flow is available between partners. According to the transaction documents, the borrowers will pay the special servicing fees, work-out fees, liquidation fees, and costs and expenses incurred from appraisals and inspections conducted by the special servicer. To date, the trust has not incurred any principal losses. S&P based its analysis partly on a review of the properties' historical NOIs for the years ended Dec. 31, 2015, 2014, 2013, 2012, 2011, and 2010 and the most recent Smith Travel Research reports provided by the master servicer to determine S&P's opinion of a sustainable cash flow for the lodging portfolio. The master servicer, KeyBank Real Estate Capital, reported an overall DSC and occupancy of 2.52x and 89.6%, respectively, on the trust balance for the 12 months ended June 30, 2015. RATINGS LIST GS Mortgage Securities Corp. Trust 2013-NYC5 Commercial mortgage pass-through certificates series 2013-NYC5 Rating Class Identifier To From A 36197RAA5 AAA (sf) AAA (sf) XA-1 36197RAC1 AAA (sf) AAA (sf) XA-2 36197RAE7 AAA (sf) AAA (sf) XB-1 36197RAG2 BBB (sf) BBB (sf) XB-2 36197RAJ6 BBB (sf) BBB (sf) B 36197RAL1 AA- (sf) AA- (sf) C 36197RAN7 A- (sf) A- (sf) D 36197RAQ0 BBB (sf) BBB (sf) E 36197RAS6 BBB- (sf) BBB- (sf) F 36197RAU1 BB (sf) BB (sf) G 36197RAW7 BB- (sf) BB- (sf) GS MORTGAGE 2016-ICE2: S&P Assigns Prelim. BB- Rating on E Certs ---------------------------------------------------------------- Standard & Poor's Ratings Services assigned its preliminary ratings to GS Mortgage Securities Corp. Trust 2016-ICE2's $1.0 billion commercial mortgage pass-through certificates. The note issuance is a commercial mortgage-backed securities transaction backed by a single two-year, floating-rate commercial mortgage loan totaling $1.0 billion, with three one-year extension options, and secured by the fee interests in 43 temperature-controlled warehouses. The preliminary ratings are based on information as of March 7, 2016. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of the collateral's historic and projected performance, the sponsors' and managers' experience, the trustee-provided liquidity, the loan's terms, and the transaction's structure. PRELIMINARY RATINGS ASSIGNED GS Mortgage Securities Corp. Trust 2016-ICE2 Class Rating(i) Amount ($) A AAA (sf) 521,100,000 X-CP BB- (sf) 900,000,000(ii) X-NCP BB- (sf) 900,000,000(ii) B AA- (sf) 110,890,000 C A- (sf) 95,340,000 D BBB- (sf) 107,470,000 E BB- (sf) 165,200,000 (i) The issuer will issue the certificates to qualified institutional buyers in line with Rule 144A of the Securities Act of 1933. (ii) Notional balance. The notional amounts of the class X-CP and X-NCP certificates will initially be equal to the aggregate of the initial principal balance of the A-2 portion of the class A certificates ($421,100,000) and the certificate balances of the class B, C, D, and E certificates. JP MORGAN 2002-CIBC5: Moody's Raises Rating on Cl. L Certs to B2 ---------------------------------------------------------------- Moody's has upgraded the ratings on three classes and affirmed the ratings on three classes in J.P. Morgan Chase Commercial Mortgage Securities Corporation, Commercial Mortgage Pass-Through Certificates, Series 2002-CIBC5 as: Cl. H, Affirmed Aaa (sf); previously on April 1, 2015, Upgraded to Aaa (sf) Cl. J, Upgraded to Aa3 (sf); previously on April 1, 2015, Upgraded to A2 (sf) Cl. K, Upgraded to Baa3 (sf); previously on April 1, 2015, Upgraded to Ba1 (sf) Cl. L, Upgraded to B2 (sf); previously on April 1, 2015, Affirmed B3 (sf) Cl. M, Affirmed C (sf); previously on April 1, 2015, Affirmed C (sf) Cl. X-1, Affirmed Caa1 (sf); previously on April 1, 2015, Affirmed Caa1 (sf) RATINGS RATIONALE The ratings on three P&I classes were upgraded based primarily on an increase in credit support resulting from loan paydowns and amortization. The deal has paid down 15% since Moody's last review. The rating on Class H was affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The rating on Class M was affirmed because the rating is consistent with Moody's expected loss. The rating on one IO class was affirmed based on the credit performance (or the weighted average rating factor or WARF) of its referenced classes. Moody's base expected loss plus realized losses is now 2.3% of the original pooled balance, compared to 2.4% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in October 2015. DESCRIPTION OF MODELS USED Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of three, compared to a Herf of four at Moody's last review. Moody's analysis used the excel-based Large Loan Model. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan-level proceeds derived from Moody's loan-level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type and sponsorship. Moody's also further adjusts these aggregated proceeds for any pooling benefits associated with loan level diversity and other concentrations and correlations. DEAL PERFORMANCE As of the Feb. 12, 2016, distribution date, the transaction's aggregate certificate balance has decreased by 96% to $40.2 million from $1.0 billion at securitization. The certificates are collateralized by 11 mortgage loans ranging in size from less than 1% to 30% of the pool. Three loans, constituting 39% of the pool, have defeased and are secured by US government securities. Two loans, constituting 17% 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. Eight loans have been liquidated from the pool, resulting in an aggregate realized loss of $24 million (for an average loss severity of 45%). Moody's received full year 2014 operating results for 100% of the pool and partial year 2015 operating results for 90% of the pool. Moody's weighted average conduit LTV is 56%, compared to 64% 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 23% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9%. Moody's actual and stressed conduit DSCRs are 1.01X and 2.08X, respectively, compared to 1.02X and 1.83X 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 53% of the pool balance. The largest loan is the Southern Wine & Spirits Building Loan ($11.9 million -- 29.6% of the pool), which is secured by a 385,000 square foot (SF) warehouse and office building in Las Vegas, Nevada. The property is 100% leased to Southern Wine and Spirits, one of the largest distributors of wine, spirits and non-alcoholic beverages in the US, through December 2021 under a triple net lease. The loan has amortized 48% since securitization. Moody's LTV and stressed DSCR are 46% and 2.20X, respectively, compared to 50% and 2.00X at the last review. The second largest loan is the Harwood Hills Village Shopping Center Loan ($6.3 million -- 15.8% of the pool), which is secured by a 118,000 SF grocery-anchored retail center located in Bedford, Texas. The largest tenant is Minyard's Sun Fresh Grocery, which leases 44% of the net rentable area (NRA) through August 2017. As of September 2015, the property was 93% leased compared to 92% at last review. The loan has amortized 40% since securitization. Moody's LTV and stressed DSCR are 89% and 1.15X, respectively, compared to 103% and 1.00X at the last review. The third largest loan is the Village Shopping Center Loan ($3.2 million -- 8.0% of the pool), which is secured by a 95,000 SF grocery-anchored center in Duncanville, Texas. The largest tenant is Tom Thumbs Grocery, which leases 55% of the NRA through January 2017. As of September 2015, the property was 90% leased, the same as at last review. Moody's LTV and stressed DSCR are 54% and 1.90X, respectively, compared to 64% and 1.61X at the last review. JP MORGAN 2004-C3: Fitch Affirms 'Dsf' Rating on 7 Tranches ----------------------------------------------------------- Fitch Ratings has affirmed JP Morgan Chase Commercial Mortgage Securities Corp. (JPMCC) commercial mortgage pass-through certificates series 2004-C3. KEY RATING DRIVERS The affirmations of the remaining distressed classes are based on the continued risks given the high concentration of specially serviced loans and overall concentration with only seven non-specially serviced loans remaining. Fitch modeled losses of 38.7% of the remaining pool; expected losses on the original pool balance total 5.5%, including $65.1 million (4.3% of the original pool balance) in realized losses to date. Fitch has designated two loans (50.5%) as Fitch Loans of Concern, which are currently specially serviced. As of the February 2016 distribution date, the pool's aggregate principal balance has been reduced by 96.8% to $49.3 million from $1.52 billion at issuance. Per the servicer reporting, two loans (8.6% of the pool) are defeased. Interest shortfalls are currently affecting classes J through NR. The largest contributor to expected losses is the specially-serviced Cambridge Court Phase I & II loan (36.8% of the pool), which is the largest loan in the transaction. The loan is secured by a 277,517 square foot (sf) medical office property consisting of two buildings, located in Auburn Hills, MI. The loan transferred to specially servicing in August 2014 due to monetary default. The largest tenants include Plante & Moran LLP (20%), expiry Oct. 31, 2020; Ascension Health (9%), expiry March 31, 2016; McLaren Health Care Corporation (4%), expiry June 30, 2022; Strategic Manufacturing (5%), expiry Dec. 31, 2016; and RICOH (3%), expiry Jan. 31, 2017. The special servicer is currently working on a 30,290 sf lease renewal/expansion with Ascension Health, and a 5,145 sf lease prospect. The buildings, combined are 60% leased as of January 2016. The special servicer is working to improve occupancy before marketing it for sale. The next largest contributor to expected losses is the specially-serviced South Hadley Shopping Center loan (13.7%), which is the third largest loan in the transaction. The loan secured by a 91,648 sf retail property located in South Hadley, MA. The loan was transferred to special servicing in November 2014 for imminent maturity default. At issuance, the largest tenants were Big Y Foods (66%), lease exp Nov. 31, 2015; and Rocky's Hardware (10%), exp March 10, 2018. Big Y Foods (66%) vacated in August 2013 and continued paying rent until their lease expired on Nov. 30, 2015. Per the special servicer, the asset will be included in the March 2016 auction without a listing price. They have ordered an updated appraisal but it has not yet been received. The property is 26% occupied as of January 2016 with average rent $12.89 sf. The second largest loan in the transaction is the T-Mobile - Lenexa KS loan (17.6%), which is secured by a 77,484 sf single-tenant retail property located in Lenexa, KS. The property is 100% occupied by Voicestream PCS II whose lease expires October 31, 2019 before the loans anticipated repayment date (ARD) of Dec. 1, 2019. The final maturity date is in December 2034. RATING SENSITIVITIES Although the credit enhancement to class G has improved, future upgrades are not expected due to the high concentration of specially serviced loans (over 50% of the pool), increased deal concentration, and adverse selection. Additionally, there is limited scheduled principal paydown which may result in the remaining classes being outstanding for some time. Losses remain possible. DUE DILIGENCE USAGE No third-party due diligence was provided or reviewed in relation to this rating action. Fitch has affirmed and revised Recovery Estimates for these ratings: -- $18.3 million class G at 'CCCsf'; RE 100%; -- $15.2 million class H at 'CCCsf'; RE 80%. -- $15.8 million class J at 'Dsf'; RE 0%; -- $0 class K at 'Dsf'; RE 0%; -- $0 class L at 'Dsf'; RE 0%; -- $0 class M at 'Dsf'; RE 0%; -- $0 class N at 'Dsf'; RE 0%; -- $0 class P at 'Dsf'; RE 0%; -- $0 class Q at 'Dsf'; RE 0%. The class A-1, A-1A, A-2, A-3, A-4, A-5, A-J, B, C, D, E and F certificates have paid in full. Fitch does not rate the class NR certificates. Fitch previously withdrew the ratings on the interest-only class X-1 and X-2 certificates. JP MORGAN 2007-LDP11: Moody's Affirms Caa3 Rating on Cl. A-J Debt ----------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on eight classes and downgraded the rating on one class in J.P. Morgan Chase Commercial Mortgage Securities Trust, Commercial Mortgage Pass-Through Certificates, Series 2007-LDP11 as: Cl. A-3, Affirmed Aaa (sf); previously on March 11, 2015, Affirmed Aaa (sf) Cl. A-SB, Affirmed Aaa (sf); previously on March 11, 2015, Affirmed Aaa (sf) Cl. A-1A, Affirmed A3 (sf); previously on March 11, 2015, Affirmed A3 (sf) Cl. A-4, Affirmed A3 (sf); previously on March 11, 2015, Affirmed A3 (sf) Cl. A-M, Affirmed Ba2 (sf); previously on March 11, 2015, Affirmed Ba2 (sf) Cl. A-J, Affirmed Caa3 (sf); previously on March 11, 2015, Affirmed Caa3 (sf) Cl. B, Affirmed C (sf); previously on March 11, 2015, Affirmed C (sf) Cl. C, Affirmed C (sf); previously on March 11, 2015, Affirmed C (sf) Cl. X, Downgraded to Ca (sf); previously on March 11, 2015, Affirmed B2 (sf) RATINGS RATIONALE The ratings on P&I classes A-3, A-SB, A-4, A-1A and A-M were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The ratings on P&I classes A-J, B and C were affirmed because the ratings are consistent with Moody's expected loss. The rating on the IO Class (Class X) was downgraded due to the uncertainty of future interest payments based on the fact that all of its references classes have an interest rate equal to the weighted average coupon of the pool. Moody's rating action reflects a base expected loss of 13.4% of the current balance, compared to 11.2% at Moody's last review. Moody's base expected loss plus realized losses is now 17.8% of the original pooled balance, compared to 16.9% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Approach to Rating US and Canadian Conduit/ Fusion CMBS" published in December 2014. DESCRIPTION OF MODELS USED Moody's review used the excel-based CMBS Conduit Model, which it uses for both conduit and fusion transactions. Credit enhancement levels for conduit loans are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate Moody's uses to estimate Moody's value). Moody's fuses the conduit results with the results of its analysis of investment grade structured credit assessed loans and any conduit loan that represents 10% or greater of the current pool balance. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 35, compared to 38 at Moody's last review. DEAL PERFORMANCE As of the Feb. 17, 2016, distribution date, the transaction's aggregate certificate balance has decreased by 44% to $3.01 billion from $5.41 billion at securitization. The certificates are collateralized by 177 mortgage loans ranging in size from less than 1% to 8% of the pool, with the top ten loans (excluding defeasance) constituting 39% of the pool. The pool contains no loans with investment-grade structured credit assessments. Fourteen loans, representing 11% of the pool, have defeased and are secured by US government securities. Fifty-one loans, constituting 34% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Fifty-eight loans have been liquidated from the pool, contributing to an aggregate realized loss of $561 million (for an average loss severity of 46%). Three loans, constituting 11% of the pool, are currently in special servicing. The largest specially serviced loan is the GSA Portfolio -- A Note Loan ($230 million -- 7.6% of the pool), which is secured by a portfolio of nine cross-collateralized properties located in five states (Colorado, New York, West Virginia, Kansas and Pennsylvania). The loan has transferred in and out of special servicing since 2012. The loan most recently transferred back to the Special Servicer in January 2016 due to leasing concerns. The portfolio was 97% leased as of November 2015, however, there is considerable lease rollover risk associated with US Government leases representing approximately 94% of the portfolio's net rentable area (NRA). Several of the tenants have termination rights and a large share of the government leases are scheduled to expire in 2016. The loan's maturity date was extended to May 2017 as part of a loan modification which closed in the first quarter of 2014. The modification split the principal balance into an A Note and a $34 million B Note. There is also mezzanine debt associated with the property. The second largest specially serviced loan is the Healthnet Headquarters Loan ($69.6 million -- 2.3% of the pool), which is secured by a 327,300 square foot (SF) office property located in Shelton, Connecticut. The property was fully leased to a single tenant through April 2017, however, that tenant has vacated. The space is currently partially occupied by a subtenant, following the departure of the primary lessee. Rents from the subtenant are insufficient to cover debt service, and the borrower is seeking a loan modification which would allow it to enter a long-term lease agreement with the subtenant at market rents. The remaining loan in special servicing is secured by a hotel property located in York, Pennsylvania. Moody's has estimated an aggregate $138.8 million loss (41% expected loss on average) for the specially serviced loans. Moody's has assumed a high default probability for 30 poorly performing loans, constituting 21% of the pool, and has estimated an aggregate loss of $187.6 million (a 29% expected loss on average) from these troubled loans. Moody's received full year 2014 operating results for 83% of the pool and full or partial year 2015 operating results for 82% of the pool. Moody's weighted average conduit LTV is 112%, compared to 116% 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 9.2%. Moody's actual and stressed conduit DSCRs are 1.30X and 0.92X, respectively, compared to 1.31X and 0.90X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The top three performing loans represent 17% of the pool balance. The largest loan is the Maple Drive Portfolio ($220.0 million -- 7.3% of the pool). The loan is secured by three office properties in Beverly Hills, California. The properties were 97% leased as of September 2015, unchanged from Moody's prior review. Moody's LTV and stressed DSCR are 134% and 0.71X, respectively, compared to 135% and 0.70X at last review. The second largest loan is the Save Mart Portfolio ($167.9 million -- 5.6% of the pool). The loan is secured by a portfolio of 31 single tenant grocery stores with a total of 1,611,853 SF, spread across several locations in Northern California. As of September 2015, the portfolio was 100% leased. The loan is currently on the watchlist due to low DSCR. Moody's LTV and stressed DSCR are 105% and 0.93X, respectively, compared to 107% and 0.91X at last review. The third largest loan is the Americold Portfolio ($115.3 million -- 3.8% of the pool). The loan is secured by seven freezer warehouses/distribution centers located throughout the country consisting of 1,373,997 rentable SF. The properties are located in Indiana, Washington, Oregon, Iowa, Arizona and Georgia. The loan is currently on the watchlist due to low DSCR. The loan sponsor, AmeriCold Realty Trust, LP, continues to fund all shortfalls and is committed to turning around the performance of the underlying properties. Due to the low DSCR, Moody's considered this a troubled loan. JPMORGAN CHASE 2002-C2: S&P Raises Rating on Cl. F Cert. to B- -------------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on two classes of commercial mortgage pass-through certificates from JPMorgan Chase Commercial Mortgage Securities Corp.'s series 2002-C2, a U.S. commercial mortgage-backed securities (CMBS) transaction. S&P's upgrades follow its analysis of the transaction, primarily using its criteria for rating U.S. and Canadian CMBS transactions, which included a review of the credit characteristics and performance of the remaining loans in the pool, the transaction's structure, and the liquidity available to the trust. The upgrades also reflect S&P's expectation of the available credit enhancement for these classes, which S&P believes is greater than its most recent estimate of necessary credit enhancement for the respective rating levels, S&P's views regarding the collateral's current and future performance, and the reduced trust balance. Class F was previously lowered to 'D (sf)' due to accumulated interest shortfalls that S&P expected to remain outstanding for a prolonged period of time. S&P raised its rating on this class to 'B- (sf)' because the interest shortfalls have been repaid in full, and S&P do not believe, at this time, a further default is virtually certain. While available credit enhancement levels suggest further positive rating movements on classes E and F, S&P's analysis also considered the classes' interest shortfall history and the susceptibility to reduced liquidity support from the loan on the master servicer's watchlist, the Avon Commons loan ($12.1 million, 52.4%), which had a reported low debt service coverage (DSC) of 0.83xas of Dec. 31, 2014. TRANSACTION SUMMARY As of the Feb. 12, 2016, trustee remittance report, the collateral pool balance was $23.1 million, which is 2.2% of the pool balance at issuance. The pool currently includes four loans, down from 108 loans at issuance. No loans are reported with the special servicer or defeased, and only the Avon Commons loan is on the master servicer's watchlist. The master servicer, Wells Fargo Bank, N.A., reported financial information for all of the loans in the pool, of which 90.7% was year-end 2014 data and the remainder was partial-year 2015 data. For the remaining loans, S&P calculated a 0.94x Standard & Poor's weighted average DSC and 60.8% Standard & Poor's weighted average loan-to-value ratio using a 7.03% Standard & Poor's weighted average capitalization rate. To date, the transaction has experienced $75.8 million in principal losses, or 7.3% of the original pool trust balance. RATINGS LIST JPMorgan Chase Commercial Mortgage Securities Corp. Commercial mortgage pass-through certificates series 2002-C2 Rating Class Identifier To From E 46625MPR4 AA (sf) BBB- (sf) F 46625MPU7 B- (sf) D (sf) KINGSLAND III: Moody's Lowers Rating on 2 Tranches to Ba2 --------------------------------------------------------- Moody's Investors Service has downgraded the ratings on these notes issued by Kingsland III, Ltd.: $11,550,000 Class C-1 Senior Secured Deferrable Floating Rate Notes due 2021, Downgraded to Baa1 (sf); previously on June 12, 2015, Upgraded to A3 (sf) $11,800,000 Class C-2 Senior Secured Deferrable Fixed Rate Notes due 2021, Downgraded to Baa1 (sf); previously on June 12, 2015, Upgraded to A3 (sf) $5,450,000 Class D-1 Secured Deferrable Floating Rate Notes due 2021, Downgraded to Ba2 (sf); previously on June 12, 2015, Affirmed Ba1 (sf) $2,000,000 Class D-2 Secured Deferrable Fixed Rate Notes due 2021, Downgraded to Ba2 (sf); previously on June 12, 2015, Affirmed Ba1 (sf) Moody's also affirmed the ratings on these notes: $240,000,000 Class A-1 Senior Secured Floating Rate Notes due 2021 (current outstanding balance of $77,826,762, Affirmed Aaa (sf); previously on June 12, 2015 Affirmed Aaa (sf) $75,575,000 Class A-2 Senior Secured Floating Rate Notes due 2021, Affirmed Aaa (sf); previously on June 12, 2015, Affirmed Aaa (sf) $12,750,000 Class A-3 Senior Secured Floating Rate Notes due 2021, Affirmed Aaa (sf); previously on June 12, 2015, Affirmed Aaa (sf) $29,750,000 Class B Senior Secured Deferrable Floating Rate Notes due 2021, Affirmed Aa1 (sf); previously on June 12, 2015, Upgraded to Aa1 (sf) Kingsland III, Ltd., issued in August 2006, is a collateralized loan obligation (CLO) backed primarily by a portfolio of senior secured loans. The transaction's reinvestment period ended in August 2013. RATINGS RATIONALE The rating downgrades on the Class C and D Notes are a result of deterioration in the credit quality of the portfolio. The credit quality of the portfolio has deteriorated since June 2015. Based on Moody's calculation, the weighted average rating factor is currently 2671 compared to 2552 on June 2015. This is primarily a result of the transaction's large exposure to energy and commodity-linked collateral assets whose ratings were recently downgraded, are currently on review for downgrade or have negative credit outlooks. Furthermore, 5.4% of the portfolio consists of securities from obligors with either Moody's weakest Speculative Grade Liquidity (SGL) Rating of SGL-4 or a derived Ca rating. Notwithstanding the foregoing, Moody's observes that the transaction has benefited from deleveraging of the senior notes and an increase in the transaction's over-collateralization ratios since June 2015. The Class A-1 Notes have deleveraged by 37.7%, or $47 million since that time. Based on the trustee's February 2016 report, the OC ratios for the Class A, Class B, Class C and Class D notes are reported at 153.1%, 131.0%, 117.7%, and 114.0%, respectively, compared to May 2015 levels of 141.7%, 125.3%, 114.8%, and 111.8%, respectively. These rating actions also reflect a correction to Moody's modeling of securities that mature after the notes ("long-dated" assets). In prior rating actions, this deal was modeled with the wrong maturity date, which meant that the long-dated assets were not taken into account and their liquidation values were over-stated. This error has now been corrected, and today's rating actions reflect this change. Based on the trustee's February 2016 report, long-dated assets make up approximately 6.6% of the portfolio. These investments could expose the notes to market risk in the event of liquidation when the notes mature. Methodology Used for the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2015. Factors that Would Lead to an Upgrade or Downgrade of the Rating: This transaction is subject to a number of factors and circumstances that could lead to either an upgrade or downgrade of the ratings: 1) Macroeconomic uncertainty: CLO performance is subject to a) uncertainty about credit conditions in the general economy and b) the large concentration of upcoming speculative-grade debt maturities, which could make refinancing difficult for issuers. 2) Collateral Manager: Performance can also be affected positively or negatively by a) the manager's investment strategy and behavior and b) differences in the legal interpretation of CLO documentation by different transactional parties owing to embedded ambiguities. 3) Collateral credit risk: A shift towards collateral of better credit quality, or better credit performance of assets collateralizing the transaction than Moody's current expectations, can lead to positive CLO performance. Conversely, a negative shift in credit quality or performance of the collateral can have adverse consequences for CLO performance. 4) Deleveraging: An important source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will continue and at what pace. Deleveraging of the CLO could accelerate owing to high prepayment levels in the loan market and/or collateral sales by the manager, which could have a significant impact on the notes' ratings. Note repayments that are faster than Moody's current expectations will usually have a positive impact on CLO notes, beginning with those with the highest payment priority. 5) Recovery of defaulted assets: Fluctuations in the market value of defaulted assets reported by the trustee and those that Moody's assumes as having defaulted could result in volatility in the deal's OC levels. Further, the timing of recoveries and whether a manager decides to work out or sell defaulted assets create additional uncertainty. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. Realization of higher than assumed recoveries would positively impact the CLO. 6) Long-dated assets: The presence of assets that mature after the CLO's legal maturity date exposes the deal to liquidation risk on those assets. This risk is borne first by investors with the lowest priority in the capital structure. Moody's assumes that the terminal value of an asset upon liquidation at maturity will be equal to the lower of an assumed liquidation value (depending on the extent to which the asset's maturity lags that of the liabilities) or the asset's current market value. 7) Post-Reinvestment Period Trading: Subject to certain requirements, the deal can reinvest certain proceeds after the end of the reinvestment period, and as such the manager has the ability to erode some of the collateral quality metrics to the covenant levels. Such reinvestment could affect the transaction either positively or negatively. 8) Exposure to assets with weak liquidity: The presence of assets with Moody's weakest SGL rating of SGL-4, exposes the notes to additional risks if these assets default. The historical default rate is far higher for companies with SGL- 4 ratings than those with other SGL ratings. Due to the deal's high exposure to SGL-4 rated assets, which constitute around 4.34% 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% (2122) Class A-1: 0 Class A-2: 0 Class A-3: 0 Class B: +1 Class C-1: +3 Class C-2: +2 Class D-1: +2 Class D-2: +1 Moody's Adjusted WARF + 20% (3184) Class A-1: 0 Class A-2: 0 Class A-3: 0 Class B: -2 Class C-1: -1 Class C-2: -2 Class D-1: 0 Class D-2: -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 Section 2.3 of the "Moody's Global Approach to Rating Collateralized Loan Obligations," published in December 2015. 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 $254 million, defaulted par of $8.7 million, a weighted average default probability of 14.4% (implying a WARF of 2653), a weighted average recovery rate upon default of 47.36%, a diversity score of 38 and a weighted average spread of 3.07% (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. KINGSLAND IV: Moody's Lowers Rating on Class E Notes to Caa1 ------------------------------------------------------------ Moody's Investors Service has downgraded the ratings on these notes issued by Kingsland IV, Ltd: $14,900,000 Class E Secured Deferrable Floating Rate Notes due April 16, 2021, Downgraded to Caa1 (sf); previously on Aug. 6, 2015, Affirmed B1 (sf) Moody's also affirmed the ratings on these notes: $308,100,000 Class A-l Senior Secured Floating Rate Notes due April 16, 2021, (current outstanding balance of $149,650,746.60), Affirmed Aaa (sf); previously on Aug. 6, 2015, Affirmed Aaa (sf) $60,000,000 Class A-1R Senior Secured Revolving Floating Rate Notes due April 16, 2021, (current outstanding balance of $29,143,280.75), Affirmed Aaa (sf); previously on Aug. 6, 2015, Affirmed Aaa (sf) $22,900,000 Class B Senior Secured Floating Rate Notes due April 16, 2021, Affirmed Aaa (sf); previously on Aug. 6, 2015, Upgraded to Aaa (sf) $25,000,000 Class C Senior Secured Deferrable Floating Rate Notes due April 16, 2021, Affirmed A1 (sf); previously on Aug. 6, 2015, Upgraded to A1 (sf) $18,000,000 Class D Senior Secured Deferrable Floating Rate Notes due April 16, 2021, Affirmed Ba1 (sf); previously on Aug. 6, 2015, Affirmed Ba1 (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 The rating downgrade on the Class E Notes is a result of deterioration in the credit quality of the portfolio. The credit quality of the portfolio has deteriorated since August 2015. Based on Moody's calculation, the weighted average rating factor is currently 2735 compared to 2566 in August 2015. This is primarily a result of the transaction's large exposure to energy and commodity-linked collateral assets whose ratings were recently downgraded, are currently on review for downgrade or have negative credit outlooks. Furthermore, 4.4% of the portfolio consists of securities from obligors with either Moody's weakest Speculative Grade Liquidity (SGL) Rating of SGL-4 or a derived Ca rating. In addition, the portfolio includes a number of investments in securities that mature after the notes do. Based on the trustee's February 2016 report, securities that mature after the notes do have increased to 14.3% of the portfolio from 10.1% in August 2015. These investments could expose the notes to market risk in the event of liquidation when the notes mature. Notwithstanding the foregoing, Moody's observes that the transaction has benefited from deleveraging of the senior notes and an increase in the transaction's over-collateralization ratios since August 2015. The Class A Notes have deleveraged by 17.4%, or $37.8 million since that time. Based on the trustee's February 2016 report, the OC ratios for the Class B, Class C, Class D, and Class E notes are reported at 140.5%, 125.0%, 115.8%, and 109.1%, respectively, compared to August 2015 levels of 134.4%, 121.7%, 114.0%, and 108.3%, respectively. Methodology Used for the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2015. Factors that Would Lead to an Upgrade or Downgrade of the Rating: This transaction is subject to a number of factors and circumstances that could lead to either an upgrade or downgrade of the ratings: 1) Macroeconomic uncertainty: CLO performance is subject to a) uncertainty about credit conditions in the general economy and b) the large concentration of upcoming speculative-grade debt maturities, which could make refinancing difficult for issuers. 2) Collateral Manager: Performance can also be affected positively or negatively by a) the manager's investment strategy and behavior and b) differences in the legal interpretation of CLO documentation by different transactional parties owing to embedded ambiguities. 3) Collateral credit risk: A shift towards collateral of better credit quality, or better credit performance of assets collateralizing the transaction than Moody's current expectations, can lead to positive CLO performance. Conversely, a negative shift in credit quality or performance of the collateral can have adverse consequences for CLO performance. 4) Deleveraging: An important source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will continue and at what pace. Deleveraging of the CLO could accelerate owing to high prepayment levels in the loan market and collateral sales by the manager, which could have a significant impact on the notes' ratings. Note repayments that are faster than Moody's current expectations will usually have a positive impact on CLO notes, beginning with those with the highest payment priority. 5) Recovery of defaulted assets: Fluctuations in the market value of defaulted assets reported by the trustee and those that Moody's assumes as having defaulted could result in volatility in the deal's OC levels. Further, the timing of recoveries and whether a manager decides to work out or sell defaulted assets create additional uncertainty. 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. 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% (2188) Class A-1: 0 Class A-1R: 0 Class B: 0 Class C: +3 Class D: +2 Class E: +3 Moody's Adjusted WARF + 20% (3283) Class A-1: 0 Class A-1R: 0 Class B: -1 Class C: -2 Class D: -1 Class E: -2 Loss and Cash Flow Analysis: Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. In its base case, Moody's analyzed the collateral pool as having a performing par and principal proceeds balance of $276.9 million, defaulted par of $10.7 million, a weighted average default probability of 16.95% (implying a WARF of 2735), a weighted average recovery rate upon default of 48.90%, a diversity score of 44 and a weighted average spread of 3.05% (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. LBUBS COMMERCIAL 2007-C6: Moody's Affirms B1 Rating on Cl. X Debt ----------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on 15 classes in LB-UBS Commercial Mortgage Trust 2007-C6 as follows: Cl. A-1A, Affirmed Aaa (sf); previously on Apr 10, 2015 Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Apr 10, 2015 Affirmed Aaa (sf) Cl. A-M, Affirmed Baa2 (sf); previously on Apr 10, 2015 Affirmed Baa2 (sf) Cl. A-MFL, Affirmed Baa2 (sf); previously on Apr 10, 2015 Affirmed Baa2 (sf) Cl. A-J, Affirmed B2 (sf); previously on Apr 10, 2015 Affirmed B2 (sf) Cl. B, Affirmed Caa1 (sf); previously on Apr 10, 2015 Affirmed Caa1 (sf) Cl. C, Affirmed Caa2 (sf); previously on Apr 10, 2015 Affirmed Caa2 (sf) Cl. D, Affirmed Caa3 (sf); previously on Apr 10, 2015 Affirmed Caa3 (sf) Cl. E, Affirmed Ca (sf); previously on Apr 10, 2015 Affirmed Ca (sf) Cl. F, Affirmed Ca (sf); previously on Apr 10, 2015 Affirmed Ca (sf) Cl. G, Affirmed C (sf); previously on Apr 10, 2015 Affirmed C (sf) Cl. H, Affirmed C (sf); previously on Apr 10, 2015 Affirmed C (sf) Cl. J, Affirmed C (sf); previously on Apr 10, 2015 Affirmed C (sf) Cl. K, Affirmed C (sf); previously on Apr 10, 2015 Affirmed C (sf) Cl. X, Affirmed B1 (sf); previously on Apr 10, 2015 Affirmed B1 (sf) RATINGS RATIONALE The ratings on five P&I classes were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The ratings on nine P&I classes were affirmed because the ratings are consistent with Moody's expected loss. The rating on the IO class (Class X) was affirmed 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 14.7% of the current balance, compared to 14.1% at Moody's last review. Moody's base expected loss plus realized losses is now 13.8% of the original pooled balance, compared to 14.1% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING: 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. DEAL PERFORMANCE As of the February 18, 2015 distribution date, the transaction's aggregate certificate balance has decreased by 42% to $1.72 billion from $2.98 billion at securitization. The certificates are collateralized by 139 mortgage loans ranging in size from less than 1% to 18% of the pool, with the top ten loans constituting 61% of the pool. Six loans, constituting 5.6% of the pool, have defeased and are secured by US government securities. Twenty-five loans, constituting 24% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Eighteen loans have been liquidated from the pool with a loss, resulting in an aggregate realized loss of $159 million (for an average loss severity of 50%). Forty-nine loans, constituting 22% of the pool, are currently in special servicing. The largest exposure in special servicing is the PECO Portfolio ($311 million -- 18% of the pool), which consists of 39 cross-collateralized and cross-defaulted loans. The loans are secured by 39 retail properties totaling 4.3 million square feet (SF) and located across 13 states. The average property size is 109,000 SF with no individual asset representing more than 6% of the total SF or 7% of the total portfolio balance. Major tenants include Tops, Bi-Lo, Food Lion, Publix, Staples and Dollar Tree. The loans transferred to special servicing in August 2012 due to imminent default. All 39 PECO loans have become became real-estate owned (REO) with three properties having already been sold. The remaining ten specially serviced loans are secured by a mix of property types. Moody's estimates an aggregate $162 million loss for the specially serviced loans. Moody's has assumed a high default probability for eighteen poorly performing loans, constituting 18% of the pool, and has estimated an aggregate loss of $66 million (a 22% expected loss based on a 51% probability default) from these troubled loans. Moody's received full year 2014 operating results for 100% of the pool, and full or partial year 2015 operating results for 99%. Moody's weighted average conduit LTV is 105%, compared to 109% at Moody's last review. Moody's conduit component excludes loans with credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 10% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 8.7%. Moody's actual and stressed conduit DSCRs are 1.28X and 0.93X, respectively, compared to 1.25X and 0.89X 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 Potomac Mills Loan ($246 million -- 14% of the pool), which represents a pari-passu interest in a $410 million first mortgage loan. The other portion is held in WBCMT 2007-C33. The loan is secured by a 1.5 million SF super regional mall located in Woodbridge, Virginia. Anchor tenants include Costco and JC Penney. The property has strong sponsorship from the Simon Property Group. The property was 98% leased as of December 2014. The loan is interest only for the full term. Moody's LTV and stressed DSCR are 102% and 0.90X, respectively, the same as at the last review. The second largest loan is the McCandless Towers Loan ($112 million -- 6.5% of the pool), which is secured by two 11 story Class A office towers totaling 418,000 SF in Santa Clara, CA. The property was 93% leased as of December 2015, compared to 92% leased as of December 2014 and 67% leased as of December 2013. Moody's LTV and stressed DSCR are 115% and 0.84X, respectively, compared to 128% and 0.76X at the last review. The third largest loan is the Greensboro Park Loan ($107 million -- 6% of the pool), which is secured by two Class B office properties totaling 485,000 SF, located in McLean, Virginia in the Tyson's Corner submarket. The loan last transferred to Special Servicing in February 2015 for imminent default. The loan subsequently transferred back to the Master Servicer in August 2015 following a modification to the loan maturity date. Collectively, the properties were 75% occupied as of September 2015. Major tenants include BB&T Bank and Elbit Systems of America. Due to the low occupancy, Moody's has identified this as a troubled loan. LIMEROCK CLO I: Moody's Affirms Ba1 Rating on Class D Notes ----------------------------------------------------------- Moody's Investors Service has upgraded the ratings on these notes issued by Limerock CLO I: $22,000,000 Class B Deferrable Floating Rate Notes Due 2023, Upgraded to Aaa (sf); previously on Oct. 1, 2015, Upgraded to Aa1 (sf) $19,000,000 Class C Floating Rate Notes Due 2023, Upgraded to Aa3 (sf); previously on Oct. 1, 2015, Upgraded to A2 (sf) $14,000,000 Class J Blended Securities (current outstanding balance of $10,740,039.29), Upgraded to A1 (sf); previously on Oct. 1, 2015, Upgraded to A3 (sf) Moody's also affirmed the ratings on these notes: $80,000,000 Class A-1 Floating Rate Notes Due 2023(current outstanding balance of $27,321,567.06), Affirmed Aaa (sf); previously on Oct. 1, 2015, Affirmed Aaa (sf) $60,000,000 Class A-2 Floating Rate Notes Due 2023 (current outstanding balance of $20,491,175.29), Affirmed Aaa (sf); previously on Oct. 1, 2015, Affirmed Aaa (sf) U.S. $207,000,000 Class A-3a Floating Rate Notes Due 2023 (current outstanding balance of $55,549,505.28), Affirmed Aaa (sf); previously on Oct. 1, 2015, Affirmed Aaa (sf) $23,000,000 Class A-3b Floating Rate Notes Due 2023, Affirmed Aaa (sf); previously on Oct. 1, 2015, Affirmed Aaa (sf) $29,000,000 Class A-4 Floating Rate Notes Due 2023, Affirmed Aaa (sf); previously on Oct. 1, 2015, Affirmed Aaa (sf) $20,000,000 Class D Floating Rate Notes Due 2023, Affirmed Ba1 (sf); previously on Oct. 1, 2015, Upgraded to Ba1 (sf) Limerock CLO I, issued in April 2007, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans, with material exposure to CLO tranches. 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 ratios since October 2015. The Class A-1, Class A-2 and Class A-3a notes have been paid down collectively by approximately 42.3%, or $75.9 million since that time. Additionally, the rated balance of the Class J Blended Securities have reduced by 1.2%, or $0.1 million since that time. Based on the trustee's February 2016 report, the over-collateralization (OC) ratios for the Class A, Class B, Class C and Class D notes are reported at 156.00%, 136.65%, 123.42% and 112.01%, respectively, versus October 2015 levels of 138.39%, 126.37%, 117.55% and 109.51%, respectively. Moody's also notes that the deal has benefited from an improvement in the credit quality of the portfolio since October 2015. Based on trustee's February 2016 report, the weighted average rating factor is reported at 2248 compared to 2319 in October 2015. Methodology Used for the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2015. Factors that Would Lead to an Upgrade or Downgrade of the Rating: 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 structured finance assets: The deal has a significant investment in securities from CLO issuers. The performance and characteristic of these investments can be notably different from corporate debt, and may introduce additional risk. Currently, 12.7% of the deal's portfolio is composed of CLO notes. 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% (1949) Class A-1: 0 Class A-2: 0 Class A-3a: 0 Class A-3b: 0 Class A-4: 0 Class B: 0 Class C: +3 Class D: +3 Class J Blended: +3 Moody's Adjusted WARF + 20% (2923) Class A-1: 0 Class A-2: 0 Class A-3a: 0 Class A-3b: 0 Class A-4: 0 Class B: -1 Class C: -2 Class D: -1 Class J Blended: -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 $242.2 million, defaulted par of $0.8 million, a weighted average default probability of 14.92% (implying a WARF of 2436), a weighted average recovery rate upon default of 44.28%, a diversity score of 42 and a weighted average spread of 3.25%(before accounting for LIBOR floors). Moody's incorporates the default and recovery properties of the collateral pool in cash flow model analysis where they are subject to stresses as a function of the target rating on each CLO liability reviewed. Moody's derives the default probability from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate for future defaults is based primarily on the seniority of the assets in the collateral pool. Moody's generally applies recovery rates for CLO securities as published in "Moody's Approach to Rating SF CDOs". In some cases, alternative recovery assumptions may be considered based on the specifics of the analysis of the CLO transaction. In each case, historical and market performance and the collateral manager's latitude for trading the collateral are also factors. MERRILL LYNCH 2005-CIP1: Fitch Raises Cl. B Certs Rating to 'BB' ---------------------------------------------------------------- Fitch Ratings has upgraded one and affirmed 12 classes of Merrill Lynch Mortgage Trust (MLMT) commercial mortgage pass-through certificates series 2005-CIP1. KEY RATING DRIVERS The upgrade of class B reflects increased credit enhancement (CE) due to loan payoffs, continued amortization, and the overall stable performance of non-specially serviced loans. Further upgrades were limited, however, as six (68% of the current balance) out of the eleven remaining loans in the pool are with the special servicer. Fitch modeled losses of 57.2% of the remaining pool; expected losses on the original pool balance total 9.7%, including $134.9 million (6.6% of the original pool balance) in realized losses to date. As of the February 2016 distribution date, the pool's aggregate principal balance has been reduced by 94.5% to $112.3 million from $2.06 billion at issuance. Interest shortfalls are currently affecting classes D through Q. The largest contributor to modeled losses is a real estate owned (REO) portfolio (39%) of four hotels previously flagged as Residence Inns. The portfolio is located in TX, FL, and NY. The loan transferred to the special servicer in March 2014 due to imminent default as Marriott management agreements were set to expire. The lender and the borrower agreed to a consensual foreclosure. Per servicer reporting, one hotel asset located in Fishkill, NY was disposed of for $4.35 million in November 2015. It is anticipated that the assets located in Tyler and Fort Worth, TX will be part of an upcoming auction to occur in the first half of 2016. Property management is working to stabilize the fourth hotel located in Orlando, FL after completing a renovation in 2015. The next largest contributor to modeled losses is a REO asset, a 137 room hotel (12%) located in Yardley, PA. The loan originally transferred in February 2013 due to monetary default. The asset has been REO since April 2015. The reported net operating income (NOI) debt service coverage ratio (DSCR) was 0.93x as of year-end (YE) 2014. According to the special servicer, the property is in good condition, but rooms are in need of updates. The timing for the disposal of this asset is unknown at this time. The third largest contributor to modeled losses is a specially serviced loan (5%) secured by a 44,082 sf office center located in Las Vegas, NV. The loan transferred to the special servicer due to maturity default in July 2015. Per servicer reporting, occupancy was just 10% as of November 2015. The servicer has filed for foreclosure. RATING SENSITIVITIES The Rating Outlook on classes B and C remains Stable as credit enhancement is high and downgrades are not expected. Further upgrades were not warranted, however, as the transaction is highly concentrated and includes a large percentage of specially serviced loans (68%). Downgrades to the distressed classes D and E are possible should additional losses be realized. DUE DILIGENCE USAGE No third party due diligence was provided or reviewed in relation to this rating action. Fitch upgrades this class as indicated: -- $45.5 million class B to 'BBsf' from 'Bsf'; Outlook Stable. Fitch affirms these classes and revises Rating Outlooks as indicated: -- $18 million class C at 'B-sf'; Outlook to Stable from Negative; -- $38.6 million class D at 'CCCsf'; RE 35%. -- $25.7 million class E at 'Csf'; RE 0%; -- $11.6 million class F at 'Dsf'; RE 0%; -- $0 class G at 'Dsf'; RE 0%; -- $0 class H at 'Dsf'; RE 0%; -- $0 class J at 'Dsf'; RE 0%; -- $0 class K at 'Dsf'; RE 0%; -- $0 class L at 'Dsf'; RE 0%; -- $0 class M at 'Dsf'; RE 0%; -- $0 class N at 'Dsf'; RE 0%; -- $0 class P at 'Dsf'; RE 0%. The class A-1, A-2, A-3A, A-3B, A-SB, A-4, AM and AJ certificates have paid in full. Fitch does not rate the class Q certificates. Fitch previously withdrew the ratings on the interest-only class XC and XP certificates. MORGAN STANLEY 2006-HQ8: Moody's Affirms Ba1 Rating on Cl. B Certs ------------------------------------------------------------------ Moody's Investors Service has affirmed the ratings on nine classes and downgraded the rating on one class in Morgan Stanley Capital I Trust, Commercial Mortgage Pass-Through Certificates, Series 2006-HQ8 as: Cl. A-J, Affirmed Baa1 (sf); previously on Nov. 20, 2015, Upgraded to Baa1 (sf) Cl. B, Affirmed Ba1 (sf); previously on Nov. 20, 2015, Upgraded to Ba1 (sf) Cl. C, Affirmed B1 (sf); previously on Nov. 20, 2015, Affirmed B1 (sf) Cl. D, Affirmed Caa2 (sf); previously on Nov. 20, 2015, Affirmed Caa2 (sf) Cl. E, Affirmed Caa3 (sf); previously on Nov. 20, 2015, Affirmed Caa3 (sf) Cl. F, Affirmed C (sf); previously on Nov. 20, 2015, Affirmed C (sf) Cl. G, Affirmed C (sf); previously on Nov. 20, 2015, Affirmed C (sf) Cl. H, Affirmed C (sf); previously on Nov. 20, 2015, Affirmed C (sf) Cl. J, Affirmed C (sf); previously on Nov. 20, 2015, Affirmed C (sf) Cl. X, Downgraded to Caa2 (sf); previously on Nov. 20, 2015, Downgraded to B2 (sf) RATINGS RATIONALE The ratings on two P&I classes, Classes A-J and B, were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The ratings on seven P&I classes were affirmed because the ratings are consistent with Moody's expected loss. The rating on the IO Class (Class X) was downgraded due to the decline in the credit performance of its reference classes resulting from principal paydowns of higher quality reference classes. Moody's rating action reflects a base expected loss of 42.4% of the current balance, compared to 16.9% at Moody's last review. Moody's base expected loss plus realized losses is now 9.8% of the original pooled balance, compared to 10.2% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING: 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. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 71% of the pool is in special servicing. In this approach, Moody's determines a probability of default for each specially serviced loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss from specially serviced loans to the most junior classes and the recovery as a pay down of principal to the most senior classes. DESCRIPTION OF MODELS USED Moody's review used the excel-based CMBS Conduit Model, which it uses for both conduit and fusion transactions. Credit enhancement levels for conduit loans are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate Moody's uses to estimate Moody's value). Moody's fuses the conduit results with the results of its analysis of investment grade structured credit assessed loans and any conduit loan that represents 10% or greater of the current pool balance. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 11, compared to 32 at Moody's last review. When the Herf falls below 20, Moody's uses the excel-based Large Loan Model and then reconciles and weights the results from the conduit and large loan models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan-level proceeds derived from Moody's loan-level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type and sponsorship. Moody's also further adjusts these aggregated proceeds for any pooling benefits associated with loan level diversity and other concentrations and correlations. DEAL PERFORMANCE As of the Feb. 12, 2016, distribution date, the transaction's aggregate certificate balance has decreased by 88% to $322 million from $2.73 billion at securitization. The certificates are collateralized by 31 mortgage loans ranging in size from less than 1% to 17.5% of the pool, with the top ten loans constituting 78% of the pool. Two loans, constituting 4.2% of the pool, have defeased and are secured by US government securities. Four loans, constituting 19% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. The trust has realized an aggregate loss of $131 million, for an average loan loss severity of 59%. Twenty loans, constituting 71% of the pool, are currently in special servicing. The largest specially serviced loan is the Marketplace at Northglenn Loan ($56.4 million -- 17.5% of the pool), which is secured by a 439,000 square foot (SF) retail power center in Northglenn, a suburb of Denver, Colorado. Top tenants include Ulta, Petsmart, Bed Bath & Beyond, Marshalls, Sports Authority and Ross Dress for Less. The loan transferred to special servicing in August 2011 for imminent default after several national tenants relocated to competing properties thereby triggering co-tenancy clauses and lower rents. Foreclosure occurred in March 2012 and the asset became real estate owned (REO) effective July 2012. As of September 2015, the property was 77% leased compared to 84% at year end 2014. The remaining specially serviced loans are secured by a mix of property types. Moody's has also assumed a high default probability for one poorly performing loan, constituting 5% of the pool. Moody's estimates an aggregate $134 million loss for the specially serviced and troubled loans (54% expected loss on average). Moody's received full year 2014 operating results for 100% of the pool, and full or partial year 2015 operating results for 92% of the pool. Moody's weighted average conduit LTV is 104%, compared to 92% 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 23% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.6%. Moody's actual and stressed conduit DSCRs are 1.32X and 1.04X, respectively, compared to 1.34X and 1.19X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The top three conduit loans represent 18.4% of the pool balance. The largest loan is the Inland BISYS Fund Loan ($25 million -- 7.8% of the pool), which is secured by a 240,000 SF office property built in 1995 and located in Columbus, Ohio. The property was 95% leased as of September 2015, the same as Moody's prior review. The loan had an anticipated repayment date in 2012, with a final maturity in June 2035. To account for the single tenant exposure, Moody's incorporated a "lit/ dark" analysis. Moody's LTV and stressed DSCR are 104% and 1.02X, respectively, compared to 99% and 1.07X at the last review. The second largest loan is the Centre Properties Portfolio Loan ($18.2 million -- 5.6% of the pool), which is secured by five retail properties located in Indianapolis and Fishers, Indiana. Major tenants at the properties include Hobby Lobby, Pep Boys, Party City and Panera Bread. The portfolio was a combined 71% leased as of September 2015, compared to 72% at year end 2014. Moody's LTV and stressed DSCR are 124% and 0.80X, respectively, compared to 120% and 0.83X at the last review. The third largest loan is the Bel Air Town Center Loan ($16.1 million -- 5% of the pool), which is secured by a 90,000 SF unanchored retail neighborhood center in Bel Air, Maryland. As of the September 2015, the property was 79% leased to over 20 tenants. Top tenants at the property include Chili's Restaurant, FedEx Office, Taco Bell and T-Mobile. The loan is being monitored for low occupancy and increased expenses. Moody's has identified this as a troubled loan. MORGAN STANLEY 2007-HQ13: Fitch Affirms 'Dsf' Rating on 11 Certs. ----------------------------------------------------------------- Fitch Ratings has upgraded one class and affirmed 13 classes of Morgan Stanley Capital I Trust (MSCI) commercial mortgage pass-through certificates series 2007-HQ13 KEY RATING DRIVERS The upgrade to class A-3 reflects improving credit enhancement due to higher than expected recoveries on disposed assets and delevering of the transaction (class A-2 repaid in full and class A-1A and class A-3 have been reduced by 8.4% and 9.5%, respectively, since the last rating action). Fitch modeled losses of 5.3% of the remaining pool; expected losses on the original pool balance total 18.9%, including $167.4 million (16.1% of the original pool balance) in realized losses to date. Fitch has designated five loans (6.9%) as Fitch Loans of Concern, which includes one specially serviced asset (3.2%). As of the February 2016 distribution date, the pool's aggregate principal balance has been reduced by 46.9% to $551.7 million from $1.04 billion at issuance. Per the servicer reporting, five loans (12.2% of the pool) are defeased. Interest shortfalls are currently affecting classes A-J through P. The largest contributor to expected losses is a specially-serviced loan secured by a 176,240 sf office property located in Milford, CT (3.2% of the pool). The loan transferred to the special servicer in July 2014 due to imminent default. The servicer-reported debt service coverage ratio (DSCR) was well below 1.0x and occupancy was 23% as of year-to-date (YTD) Sept. 30 2015. Legal proceedings are ongoing, and Fitch will continue to monitor the loan's resolution process. The next largest contributor to expected losses is secured by a 58,039 sf office building located in Ft. Lauderdale, FL (1.6% of the pool). Occupancy significantly declined following the downsizing of the sole tenant in 2014. The Art Institute of Ft. Lauderdale leased 100% of the space until 2014, and now represents 31.1% of total space. Per the February 2016 rent roll, the property was 41.8% leased including one new lease (7% of net rentable area [NRA]) scheduled to commence March 1, 2016 and another (3.6%) in May 2016. The servicer-reported DSCR was 0.58x as of YTD Sept. 30, 2015 compared to 1.16x as of year-end (YE) 2014. The servicer indicated the remaining vacant suites continue to be marketed on a monthly basis. RATING SENSITIVITIES The upgrade to class A-3 reflects the de-levering of the transaction as loans paid off resulting in higher than expected recoveries and the class' senior position in the capital stack. While interest shortfalls were experienced from March through August 2013, Fitch does not anticipate future interest shortfalls to the class. Fitch applied additional stresses to maturing loans when considering the upgrade to account for refinance risk. Further upgrades were limited due to the pool's maturity concentration through 2017 (96.3%). The Stable Rating Outlook on classes A-1A and A-3 reflect the increasing credit enhancement and expected continued pay down to the classes. The distressed class A-M is subject to further downgrade should more loans transfer to special servicing and/or additional losses are realized. The class could be upgraded should recoveries on the loans be better than anticipated. DUE DILIGENCE USAGE No third-party due diligence was provided or reviewed in relation to this rating action. Fitch upgrades this class: -- $302.8 million class A-3 to 'AAsf' from 'Asf'; Outlook Stable. Fitch affirms these classes as indicated: -- $104.4 million class A-1A at 'AAsf'; Outlook Stable; -- $103.9 million class A-M at 'CCCsf'; RE 90%; -- $40.5 million class A-J at 'Dsf'; RE 0%; -- $0 class B at 'Dsf'; RE 0%; -- $0 class C at 'Dsf'; RE 0%; -- $0 class D at 'Dsf'; RE 0%; -- $0 class E at 'Dsf'; RE 0%; -- $0 class F at 'Dsf'; RE 0%; -- $0 class G at 'Dsf'; RE 0%; -- $0 class H at 'Dsf'; RE 0%; -- $0 class J at 'Dsf'; RE 0%; -- $0 class K at 'Dsf'; RE 0%; -- $0 class L at 'Dsf'; RE 0%. The class A-1 and A-2 certificates have paid in full. Fitch does not rate the class M, N, O and P certificates. Fitch previously withdrew the rating on the interest-only class X certificates. MORGAN STANLEY 2011-C2: Fitch Affirms B- Rating on Cl. H Certs -------------------------------------------------------------- Fitch Ratings has affirmed 11 classes of Morgan Stanley Capital I Trust (MSCI) commercial mortgage pass-through certificates series 2011-C2. KEY RATING DRIVERS Affirmations are due to the relatively stable performance of the pool. Despite recent paydown, upgrades were not warranted as the pool is becoming adversely selected. The pool has a high concentration of loans secured by retail properties (45% of the current balance), and properties located in Texas (36.5%) along with three large loans of concern detailed below. Fitch modeled losses of 3.3% of the remaining pool; expected losses on the original pool balance total 3%. The pool has experienced no realized losses to date. Fitch has designated four loans (15.1%) as Fitch Loans of Concern, which includes one specially serviced loan (4.3%). Interest shortfalls are currently affecting class J. As of the February 2016 distribution date, the pool's aggregate principal balance has been reduced by 10.5% to $1.09 billion from $1.21 billion at issuance. Per the servicer reporting, two loans (1% of the pool) are defeased. The largest Fitch Loan of Concern is the Three Riverway Office loan (4.6%), secured by 398,413 square foot (sf) office building located in Houston, TX. Per servicer reporting, the net operating income (NOI) debt service coverage ratio (DSCR) decreased to 1.67x as of year-end (YE) 2014 from 1.75x as of YE 2013. The property has substantial lease turnover coming in the next two years as 28% of net rentable area (NRA) rolls in the coming year, followed by another 25% the next. Another concern is the property's high percentage of energy and commodity related tenants (34% of NRA) given the sectors' recent weakness. As of December 2015, the property was 90% occupied. Fitch will continue to monitor the loan for leasing updates and further deterioration in performance. The next largest loan of concern is the Towne West Square Mall loan (4.4%), secured by a 945,000 sf (448,760 sf of collateral) regional mall located in Wichita, KS. The subject mall was anchored by Dillard's, JCPenney, Sears, and Dick's Sporting Goods, with only Sears included in the collateral for this loan. Per servicer reporting, collateral occupancy dropped to 53% as of the December 2015 rent roll from 78% as of YE 2014 after Sears vacated their space at the end of their lease in April 2015. As of December 2014, the NOI DSCR was 1.58x and 1.32x as of September 2015. The third largest loan of concern is the specially serviced Georgetown Center loan (4.3%) secured by two office buildings located in Washington, D.C., and totalling 284,979 sf. The loan transferred to the special servicer in January 2016 due to imminent maturity default. As of September 2015, occupancy at the property was 93%. Fannie Mae (31% of portfolio NRA) and Georgetown University (32%) are the major tenants at the two buildings. Fannie Mae has made it public that they intend to consolidate their various locations throughout the Washington, DC metropolitan area into one location within DC's Central Business District (CBD). The special servicer is in the process of finalizing a modification that would extend the original maturity date of April 2016. Once the modification has received approval, it is anticipated that this loan will transfer back to the master servicer. RATING SENSITIVITIES The Rating Outlooks on classes A2 through H remain Stable as credit enhancement is high and downgrades are not expected. Upgrades are possible with stable pool performance, increased credit enhancement, and/or resolution of the specially serviced loan. Downgrades are possible if the Loans of Concern experience a further deterioration in performance and losses begin to be realized. DUE DILIGENCE USAGE No third party due diligence was provided or reviewed in relation to this rating action. Fitch affirms these classes as indicated: -- $303.3 million class A-2 at 'AAAsf'; Outlook Stable; -- $89 million class A-3 at 'AAAsf'; Outlook Stable; -- $439.5 million class A-4 at 'AAAsf'; Outlook Stable; -- $831.8 million* class X-A at 'AAAsf'; Outlook Stable; -- $45.5 million class B at 'AAsf'; Outlook Stable; -- $50.1 million class C to 'Asf'; Outlook Stable; -- $31.9 million class D at 'BBB+sf'; Outlook Stable; -- $50.1 million class E at 'BBB-sf'; Outlook Stable; -- $15.2 million class F at 'BB+sf'; Outlook Stable; -- $12.1 million class G at 'BBsf'; Outlook Stable; -- $15.2 million class H at 'B-sf'; Outlook Stable. *Notional amount and interest-only The class A-1 certificates have paid in full. Fitch does not rate the class J and X-B certificates. MOUNTAIN CAPITAL VI: S&P Affirms B- Rating on Class E Notes ----------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class B, C, and D notes from Mountain Capital CLO VI Ltd. At the same time, S&P affirmed its ratings on the class A and E notes. S&P also removed its ratings on the class B, C, D, and E notes from CreditWatch, where it placed them with positive implications on Dec. 18, 2015. Mountain Capital CLO VI Ltd. is a U.S. collateralized loan obligation (CLO) transaction managed by Carlyle Investment Management LLC. The upgrades reflect a $136.82 million paydown to the class A notes since S&P's May 2014 rating actions. These paydowns have left the class A notes at 15.64% of their original balance. The affirmed ratings reflect S&P's belief that the credit support available is commensurate with the current rating levels. As a result of the note paydowns, the transaction's credit support has improved via higher overcollateralization (O/C) ratios since the April 2014 trustee report, which S&P used in its May 2014 actions. In the February 2016, trustee report, which S&P used for this review, the trustee reported these O/C ratios: -- The senior class O/C ratio was 166.44%, up from 121.36% in April 2014; -- The class C O/C ratio was 132.84%, up from 112.83% in April 2014; -- The class D O/C ratio was 113.71%, up from 106.59% in April 2014; and -- The class E O/C ratio was 103.66%, up from 102.77% in April 2014. In S&P's analysis, it considered that Mountain Capital CLO VI Ltd. has a relatively large bucket of long-dated assets, or underlying securities that mature after the transaction's stated maturity. Based on the February 2016 trustee report, the long-dated assets constituted 11.57% of the underlying portfolio. S&P's analysis factored in the potential market value or settlement-related risk arising from the remaining securities' potential liquidation on the transaction's legal final maturity date. The ratings on the class C, D, and E notes are constrained by the application of the largest obligor default test, a supplemental stress test included in S&P's criteria for corporate cash flow collateralized debt obligations. The obligor concentration of the portfolio has increased since S&P's prior rating actions as the number of unique obligors represented has decreased to 51 from 124. S&P's review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the aforementioned trustee report, to estimate future performance. In line with S&P's criteria, its cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and recoveries upon default under various interest rate and macroeconomic scenarios. In addition, S&P's analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis demonstrated, in S&P's view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with this rating action. Standard & Poor's will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. CASH FLOW RESULTS AND SENSITIVITY ANALYSIS Mountain Capital CLO VI Ltd. Cash flow Previous implied Cash flow Final Class rating rating(i) cushion(ii) rating A AAA (sf) AAA (sf) 25.38% AAA (sf) B AA+ (sf)/Watch Neg AAA (sf) 25.38% AAA (sf) C A+ (sf)/Watch Neg AAA (sf) 2.21% AA+ (sf) D BBB- (sf)/Watch Neg A+ (sf) 0.16% BBB+ (sf) E B- (sf)/Watch Neg BB- (sf) 2.56% B- (sf) (i)The cash flow implied rating considers the actual spread, coupon, and recovery of the underlying collateral. (ii)The cash flow cushion is the excess of the tranche break-even default rate above the scenario default rate at the assigned rating for a given class of rated notes using the actual spread, coupon, and recovery. RECOVERY RATE AND CORRELATION SENSITIVITY In addition to S&P's base-case analysis, it generated additional scenarios in which it made negative adjustments of 10% to the current collateral pool's recovery rates relative to each tranche's weighted average recovery rate. S&P also generated other scenarios by adjusting the intra- and inter-industry correlations to assess the current portfolio's sensitivity to different correlation assumptions assuming the correlation scenarios outlined below. Correlation Scenario Within industry (%) Between industries (%) Below base case 15.0 5.0 Base case equals rating 20.0 7.5 Above base case 25.0 10.0 Recovery Correlation Correlation Cash flow decrease increase decrease implied implied implied implied Final Class rating rating rating rating rating A AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) B AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) C AAA (sf) AA+ (sf) AA+ (sf) AAA (sf) AA+ (sf) D A+ (sf) BBB+ (sf) A- (sf) A+ (sf) BBB+ (sf) E BB- (sf) B+ (sf) BB- (sf) BB (sf) B- (sf) DEFAULT BIASING SENSITIVITY To assess whether the current portfolio has sufficient diversity, S&P biased defaults on the assets in the current collateral pool with the highest spread and lowest base-case recoveries. Spread Recovery Cash flow compression compression implied implied implied Final Class rating rating rating rating A AAA (sf) AAA (sf) AAA (sf) AAA (sf) B AAA (sf) AAA (sf) AAA (sf) AAA (sf) C AAA (sf) AAA (sf) AA+ (sf) AA+ (sf) D A+ (sf) A (sf) BBB- (sf) BBB+ (sf) E BB- (sf) B+ (sf) CCC+ (sf) B- (sf) RATINGS RAISED AND REMOVED FROM CREDITWATCH Mountain Capital CLO VI Ltd. Rating Class To From B AAA (sf) AA+ (sf)/Watch Pos C AA+ (sf) A+ (sf)/Watch Pos D BBB+ (sf) BBB- (sf)/Watch Pos RATING AFFIRMED AND REMOVED FROM CREDITWATCH Mountain Capital CLO VI Ltd. Rating Class To From E B- (sf) B- (sf)/Watch Pos RATING AFFIRMED Mountain Capital CLO VI Ltd. Class Rating A AAA (sf) ONEMAIN FIN'L 2016-2: DBRS Assigns (P)BB Rating to Cl. D Debt ------------------------------------------------------------- DBRS, Inc. has assigned provisional ratings to the following notes issued by OneMain Financial Issuance Trust 2016-2 (OneMain): -- Series 2016-2 Notes, Class A rated AA (sf) -- Series 2016-2 Notes, Class B rated A (sf) -- Series 2016-2 Notes, Class C rated BBB (sf) -- Series 2016-2 Notes, Class D rated BB (sf) The ratings are based on a review by DBRS of the following analytical considerations: -- Transaction capital structure, proposed ratings and form and sufficiency of available credit enhancement. -- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the ratings address the payment of timely interest on a monthly basis and principal by the legal final maturity date. -- OneMain's capabilities with regards to originations, underwriting and servicing. -- Acquisition of OneMain by Springleaf Holdings, Inc. -- The credit quality of the collateral and performance of OneMain's consumer loan portfolio. DBRS has used a hybrid approach in analyzing the OneMain portfolio that incorporates elements of static pool analysis employed for assets such as consumer loans, and revolving asset analysis employed for such assets as credit card master trusts. -- The legal structure and presence of legal opinions, which address the true sale of the assets to the Issuer, the non- consolidation of the special-purpose vehicle with OneMain and that the trust has a valid first-priority security interest in the assets and is consistent with DBRS's "Legal Criteria for U.S. Structured Finance" methodology. ONEMAIN FINANCIAL 2016-2: S&P Assigns Prelim. B+ Rating on D Notes ------------------------------------------------------------------ Standard & Poor's Ratings Services assigned its preliminary ratings to OneMain Financial Issuance Trust 2016-2's $395.560 million asset-backed notes series 2016-2. The note issuance is an asset-backed securities transaction backed by personal consumer loan receivables. The preliminary ratings are based on information as of March 10, 2016. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The availability of approximately 56.1%, 47.9%, 40.1%, and 34.2% credit support to the class A, B, C, and D notes, respectively, in the form of subordination, overcollateralization, a reserve account, and excess spread. These credit support levels are sufficient to withstand stresses commensurate with the preliminary ratings on the notes based on S&P's stressed cash flow scenarios. -- S&P's expectation that under a moderate ('BBB') stress scenario, the ratings on the class A, B, and C notes would remain within two rating categories of S&P's preliminary 'A+ (sf)', 'BBB (sf)', and 'BB (sf)' ratings, respectively. These potential rating movements are consistent with S&P's credit stability criteria, which outline the outer bounds of credit deterioration as equal to a two-category downgrade within the first year for 'A' through 'BB' rated securities under moderate stress conditions. -- S&P's expectation of the timely payment of periodic interest and principal by the legal final maturity date according to the transaction documents, based on stressed cash flow modeling scenarios, using assumptions commensurate with the assigned preliminary ratings. -- The characteristics of the pool being securitized. -- OneMain's established management and its experience in origination and servicing consumer loan products. -- Wells Fargo Bank N.A.'s (the backup servicer) consumer loan servicing experience. -- The operational risks associated with OneMain Financial Group LLC's (OneMain's) decentralized business model. -- The uncertainty concerning the integration of OneMain's operations with OneMain Holdings Inc.'s operations. OneMain Holdings Inc. (formerly known as Springleaf Holdings Inc.) acquired OneMain from CitiFinancial Credit Co., a wholly owned subsidiary of Citigroup Inc., on Nov. 15, 2015. The transaction's payment and legal structures. PRELIMINARY RATINGS ASSIGNED OneMain Financial Issuance Trust 2016-2 Class Rating Type Interest Amount rate (mil. $)(i) A A+ (sf) Senior Fixed 277.780 B BBB (sf) Subordinate Fixed 48.220 C BB (sf) Subordinate Fixed 36.670 D B+ (sf) Subordinate Fixed 32.890 (i)The actual size of these tranches will be determined on the pricing date. PHOENIX CLO III: S&P Raises Rating on Class E Notes to BB+ ---------------------------------------------------------- Standard & Poor's Ratings Services raised its ratings on the class B, C, D, and E notes from Phoenix CLO III Ltd., a U.S. collateralized loan obligation (CLO) managed by Voya Alternative Asset Management LLC. S&P also removed these ratings from CreditWatch, where S&P placed them with positive implications on Dec. 18, 2015. In addition, S&P affirmed its ratings on the class A-1 and A-2 notes. The rating actions follow S&P's review of the transaction's performance using data from the Feb. 4, 2016, trustee report. The upgrades reflect $217.99 million of paydowns to the class A-1 notes since S&P's May 2014 rating actions. Since exiting its reinvestment period in July 2013, the class A-1 notes have been paid down to only 4.52% of their original outstanding balance. The affirmations reflect S&P's view that the credit support available is commensurate with the current rating level. Because of the principal paydowns, the transaction's overcollateralization (O/C) ratios have improved significantly since our last rating actions, which referenced the April 2014 trustee report. -- The class A/B O/C increased 58.40% to 180.90% from 122.50%, -- The class C O/C increased 27.60% to 141.10% from 113.50%, -- The class D O/C increased 13.90% to 120.20% from 107.30%, and -- The class E O/C increased 5.75% to 109.14% from 103.39%. The credit quality of the collateral portfolio has improved with the trustee reporting a decrease in defaulted assets to $8.13 million from $10.29 million as of the April 2014 trustee report. Over the same period, the amount of 'CCC' assets in the portfolio has decreased to $7.52 million from $11.85 million. This transaction also has low exposure to the distressed oil and gas and nonferrous metals and mining sectors with a reported decrease of assets from these sectors to only 1.72% of the portfolio from 4.02% at the time of S&P's last rating actions. Furthermore, the amount of assets maturing after the transaction's stated maturity has also decreased slightly to $7.55 million from $6.87 million as of the April 2014 report. The application of the largest obligor default test, a supplemental stress test included in S&P's criteria for corporate cash flow CDOs, constrains the ratings on the class D and E notes. The obligor concentration risk of the portfolio has increased since S&P's last rating actions as the number of unique obligors represented has decreased to 86 from 186 and the top five obligors represent 19.24% of the portfolio. S&P's review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the aforementioned trustee report, to estimate future performance. In line with S&P's criteria, its cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and recoveries upon default under various interest rate and macroeconomic scenarios. In addition, S&P's analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis demonstrated, in S&P's view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with this rating action. Standard & Poor's will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. CASH FLOW RESULTS AND SENSITIVITY ANALYSIS Phoenix CLO III Ltd. Cash flow Previous implied Cash flow Final Class rating rating(i) cushion(ii) rating A-1 AAA (sf) AAA (sf) 26.22% AAA (sf) A-2 AAA (sf) AAA (sf) 26.22% AAA (sf) B AA+ (sf)/Watch Pos AAA (sf) 26.22% AAA (sf) C A+ (sf)/Watch Pos AAA (sf) 8.06% AAA (sf) D BBB (sf)/Watch Pos AA (sf) 0.58% A+ (sf) E B+ (sf)/Watch Pos BBB- (sf) 2.01% BB+ (sf) (i)The cash flow implied rating considers the actual spread, coupon, and recovery of the underlying collateral. (ii)The cash flow cushion is the excess of the tranche break-even default rate above the scenario default rate at the assigned rating for a given class of rated notes using the actual spread, coupon, and recovery. RECOVERY RATE AND CORRELATION SENSITIVITY In addition to S&P's base-case analysis, it generated additional scenarios in which it made negative adjustments of 10% to the current collateral pool's recovery rates relative to each tranche's weighted average recovery rate S&P also generated other scenarios by adjusting the intra- and inter-industry correlations to assess the current portfolio's sensitivity to different correlation assumptions assuming the correlation scenarios outlined below. Correlation Scenario Within industry (%) Between industries (%) Below base case 15.0 5.0 Base case 20.0 7.5 Above base case 25.0 10.0 Recovery Correlation Correlation Cash flow decrease increase decrease implied implied implied implied Final Class rating rating rating rating rating A-1 AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) A-2 AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) B AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) C AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) D AA (sf) A+ (sf) AA- (sf) AA+ (sf) A+ (sf) E BBB- (sf) BB+ (sf) BBB- (sf) BBB+ (sf) BB+ (sf) DEFAULT BIASING SENSITIVITY To assess whether the current portfolio has sufficient diversity, S&P biased defaults on the assets in the current collateral pool with the highest spread and lowest base-case recoveries. Spread Recovery Cash flow compression compression implied implied implied Final Class rating rating rating rating A-1 AAA (sf) AAA (sf) AAA (sf) AAA (sf) A-2 AAA (sf) AAA (sf) AAA (sf) AAA (sf) B AAA (sf) AAA (sf) AAA (sf) AAA (sf) C AA+ (sf) AAA (sf) AA+ (sf) AAA (sf) D AA+ (sf) AA (sf) BBB+ (sf) A+ (sf) E A+ (sf) BBB- (sf) CCC (sf) BB+ (sf) RATINGS RAISED AND REMOVED FROM CREDITWATCH Phoenix CLO III Ltd. Rating Class To From B AAA (sf) AA+ (sf)/Watch Pos C AAA (sf) A+ (sf)/Watch Pos D A+ (sf) BBB (sf)/Watch Pos E BB+ (sf) B+ (sf)/Watch Pos RATINGS AFFIRMED Phoenix CLO III Ltd. Class Rating A-1 AAA (sf) A-2 AAA (sf) PRESTIGE AUTO 2016-1: S&P Assigns Prelim. BB Rating on Cl. E Notes ------------------------------------------------------------------ Standard & Poor's Ratings Services assigned its preliminary ratings to Prestige Auto Receivables Trust 2016-1's $312.082 million automobile receivables-backed notes series 2016-1. The note issuance is an asset-backed securities transaction backed by subprime auto loan receivables. The preliminary ratings are based on information as of March 11, 2016. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The availability of approximately 44.3%, 38.7%, 29.8%, 24.2%, and 22.0% of credit support for the class A, B, C, D, and E notes, respectively (based on stressed cash flow scenarios, including excess spread), which provides coverage of more than 3.50x, 3.00x, 2.30x, 1.75x, and 1.50x S&P's 12.25%-12.75% expected cumulative net loss range for the class A, B, C, D, and E notes, respectively. These credit support levels are commensurate with the assigned preliminary 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB (sf)' ratings on the class A, B, C, D, and E notes. -- S&P's expectation that under a moderate, or 'BBB', stress scenario, its preliminary ratings on the class A, B, C, D, and E notes would not decline by more than one rating category (all else being equal). These potential rating movements are consistent with S&P's credit stability criteria, which outline the outer bound of credit deterioration equal to a one-category downgrade within the first year for 'AAA' and 'AA' rated securities, and a two- category downgrade within the first year for 'A' through 'BB' rated securities under moderate stress conditions. -- The credit enhancement in the form of subordination, overcollateralization, a reserve account, and excess spread. -- The timely interest and ultimate principal payments made under the stressed cash flow modeling scenarios, which are consistent with the assigned preliminary ratings. -- The collateral characteristics of the securitized pool of subprime auto loans. -- Prestige Financial Services Inc.'s securitization performance history since 2001. -- The transaction's payment and legal structures. PRELIMINARY RATINGS ASSIGNED Prestige Auto Receivables Trust 2016-1 Class Rating Type Interest Amount rate (mil. $) A-1 A-1+ (sf) Senior Fixed 38.500 A-2 AAA (sf) Senior Fixed 123.000 A-3 AAA (sf) Senior Fixed 50.260 B AA (sf) Subordinate Fixed 25.489 C A (sf) Subordinate Fixed 37.589 D BBB (sf) Subordinate Fixed 25.489 E BB (sf) Subordinate Fixed 11.764 RAAC TRUST 2005-RP1: Moody's Raises Rating on Cl. M-4 Debt to B2 ---------------------------------------------------------------- Moody's Investors Service has taken actions on the ratings of 8 tranches from three deals backed by "scratch and dent" RMBS loans. Complete rating actions are: Issuer: RAAC Series 2005-RP1 Trust Cl. M-2, Upgraded to Aa3 (sf); previously on May 24, 2013, Upgraded to A2 (sf) Cl. M-3, Upgraded to Baa3 (sf); previously on May 2, 2014, Upgraded to Ba3 (sf) Cl. M-4, Upgraded to B2 (sf); previously on May 2, 2014, Upgraded to Caa2 (sf) Issuer: RAAC Series 2006-RP1 Trust Cl. M-1, Upgraded to A1 (sf); previously on May 24, 2013, Upgraded to Baa1 (sf) Cl. M-2, Upgraded to Ba2 (sf); previously on May 2, 2014 Upgraded to B2 (sf) Cl. M-3, Upgraded to Caa3 (sf); previously on May 4, 2009, Downgraded to C (sf) Issuer: RAAC Series 2006-RP4 Trust Cl. A, Upgraded to A3 (sf); previously on Apr 10, 2015 Upgraded to Baa1 (sf) Cl. M-1, Upgraded to Caa1 (sf); previously on Apr 10, 2015 Upgraded to Caa3 (sf) RATINGS RATIONALE The actions are a result of the recent performance of the underlying pools and reflect Moody's updated loss expectations on the pools. The ratings upgraded are a result of improving performance of the related pools and/or an increase in credit enhancement available to the bonds. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in November 2013. Factors that would lead to an upgrade or downgrade of the rating: 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 4.9% in February 2016 from 5.5% in February 2015. Moody's forecasts an unemployment central range of 4.5% to 5.5% for the 2016 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 2016. 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. RFC CDO 2007-1: Moody's Affirms Ca(sf) Rating on 2 Tranches ----------------------------------------------------------- Moody's Investors Service has affirmed the ratings on the following notes issued by RFC CDO 2007-1, Ltd.: Cl. A-2, Affirmed Ca (sf); previously on Apr 29, 2015 Downgraded to Ca (sf) Cl. A-2R, Affirmed Ca (sf); previously on Apr 29, 2015 Downgraded to Ca (sf) Cl. B, Affirmed C (sf); previously on Apr 29, 2015 Affirmed C (sf) Cl. C, Affirmed C (sf); previously on Apr 29, 2015 Affirmed C (sf) Cl. D, Affirmed C (sf); previously on Apr 29, 2015 Affirmed C (sf) Cl. E, Affirmed C (sf); previously on Apr 29, 2015 Affirmed C (sf) Cl. F, Affirmed C (sf); previously on Apr 29, 2015 Affirmed C (sf) Cl. G, Affirmed C (sf); previously on Apr 29, 2015 Affirmed C (sf) Cl. H, Affirmed C (sf); previously on Apr 29, 2015 Affirmed C (sf) Cl. J, Affirmed C (sf); previously on Apr 29, 2015 Affirmed C (sf) Cl. K, Affirmed C (sf); previously on Apr 29, 2015 Affirmed C (sf) Cl. L, Affirmed C (sf); previously on Apr 29, 2015 Affirmed C (sf) RATINGS RATIONALE Moody's has affirmed the ratings of twelve classes because key transaction metrics are commensurate with the existing ratings. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation and collateralized loan obligation (CRE CDO CLO) transactions. RFC CDO 2007-1, Ltd. is a currently static cash transaction, the reinvestment period ended in April 2012, backed by a portfolio of: i) b-note debt (59.6% of collateral pool balance); ii) commercial mortgage backed securities (CMBS) (34.8%); and iii) asset backed securities (ABS) ), primarily in the form related to the lumber industry (5.6%). As of the January 29, 2016 monthly trustee report, the aggregate note balance of the transaction, including income notes and deferred interest, has decreased to $505.0 million from $1 billion at issuance, with the pay-down directed to the senior most classes of notes, as a result of the combination of principal repayment of collateral, resolution and sales of defaulted collateral and credit risk collateral, and the failing of certain par value tests. Currently, the transaction has realized under-collateralization of $408.0 million (40.8% of original aggregate note balance, compared to 40.0% at last review) primarily due to realized losses on the collateral. The increase of the under-collateralization implies losses of approximately 26% to Class A2 and Class A2-R pro-rata. Classes A-1 and A-1R have fully amortized. UBS-BARCLAYS 2013-C6: Moody's Affirms B2 Rating on Class F Debt --------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on fifteen classes in UBS-Barclays Commercial Mortgage Trust 2013-C6 as follows: Cl. A-1, Affirmed Aaa (sf); previously on Apr 2, 2015 Affirmed Aaa (sf) Cl. A-2, Affirmed Aaa (sf); previously on Apr 2, 2015 Affirmed Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on Apr 2, 2015 Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Apr 2, 2015 Affirmed Aaa (sf) Cl. A-3FL, Affirmed Aaa (sf); previously on Apr 2, 2015 Affirmed Aaa (sf) Cl. A-3FX, Affirmed Aaa (sf); previously on Apr 2, 2015 Affirmed Aaa (sf) Cl. A-SB, Affirmed Aaa (sf); previously on Apr 2, 2015 Affirmed Aaa (sf) Cl. A-S, Affirmed Aaa (sf); previously on Apr 2, 2015 Affirmed Aaa (sf) Cl. B, Affirmed Aa3 (sf); previously on Apr 2, 2015 Affirmed Aa3 (sf) Cl. C, Affirmed A3 (sf); previously on Apr 2, 2015 Affirmed A3 (sf) Cl. D, Affirmed Baa3 (sf); previously on Apr 2, 2015 Affirmed Baa3 (sf) Cl. E, Affirmed Ba2 (sf); previously on Apr 2, 2015 Affirmed Ba2 (sf) Cl. F, Affirmed B2 (sf); previously on Apr 2, 2015 Affirmed B2 (sf) Cl. X-A, Affirmed Aaa (sf); previously on Apr 2, 2015 Affirmed Aaa (sf) Cl. X-B, Affirmed A2 (sf); previously on Apr 2, 2015 Affirmed A2 (sf) RATINGS RATIONALE The ratings on the P&I classes were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The ratings on the IO classes were affirmed based on the credit performance (or the weighted average rating factor or WARF) of the referenced classes. Moody's rating action reflects a base expected loss of 1.6% of the current balance, compared to 2.0% at Moody's last review. The deal has not experienced any realized losses and Moody's base expected loss plus realized losses is now 1.6% of the original pooled balance, compared to 2.0% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING: 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. DEAL PERFORMANCE As of the February 12, 2016 distribution date, the transaction's aggregate certificate balance has decreased by 2.6% to $1.26 billion from $1.30 billion at securitization. The certificates are collateralized by 75 mortgage loans ranging in size from less than 1% to 13% of the pool, with the top ten loans constituting 60% of the pool. One loan, constituting 10% of the pool, has an investment-grade structured credit assessment. One loan, constituting 0.1% of the pool, has defeased and is secured by US government securities. Five loans, constituting 2.4% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. No loans have been liquidated from the pool, and the deal has not experienced any realized losses. No loans are currently in special servicing. Moody's received full year 2014 operating results for 93% of the pool, and partial year 2015 operating results for 47% of the pool. Moody's weighted average conduit LTV is 92%, compared to 96% 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 9.7% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.4%. Moody's actual and stressed conduit DSCRs are 1.87X and 1.14X, respectively, compared to 1.84X and 1.10X 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 575 Broadway Loan ($125.9 million -- 10.0% of the pool), which is secured by a six-story mixed-use building in Manhattan. The property is encumbered by a ground lease that is scheduled in expire in June 2060. As of January 2016, the property was 100% leased, compared to 92% as of January 2015, and 94% leased as of September 2013. Moody's structured credit assessment and stressed DSCR are aa3 (sca.pd) and 1.42X, respectively. The top three conduit loans represent 26% of the pool balance. The largest loan is the Gateway Center Loan ($160 million -- 12.7% of the pool), which is secured by three cross-collateralized and cross-defaulted loans on a 350,000 square foot (SF) component of a 640,000 SF anchored retail center in Brooklyn, New York. As of September 2015, the property was 100% leased. The property was constructed in 2002 by The Related Companies and is three contiguous parcels that operate as one property. Non-collateral anchors include Target and Home Depot. Moody's LTV and stressed DSCR are 110% and 0.78X, respectively, the same as at last review. The second largest loan is the Broward Mall Loan ($95 million -- 7.5% of the pool), which is secured by 325,700 SF of net rentable area (NRA) contained within a one million SF super-regional mall in Plantation, Florida. The mall's non-collateral anchors include Sears, Macy's, JC Penney, and Dillard's. The property was 96% leased as of September 2015, compared to 88% leased as of September 2014. The full-term interest-only loan matures in March 2023. Moody's LTV and stressed DSCR are 83% and 1.17X, respectively. The third largest loan is The Shoppes at River Crossing Loan ($77.4 million -- 6.1% of the pool), which is secured by a 525,000 SF component of a 730,000 SF lifestyle center located in Macon, Georgia. The property was 96% leased as of September 2015, compared to 94% leased as of September 2014. Moody's LTV and stressed DSCR are 108% and 0.98X, respectively, the same as at last review. UBS-BB 2013-C5: Moody's Affirms Ba2 Rating on Cl. E Certificate --------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on fourteen classes in UBS-BB 2013-C5, Commercial Mortgage Pass-Through Certificates, Series 2013-C5 as: Cl. A-1, Affirmed Aaa (sf); previously on March 12, 2015, Affirmed Aaa (sf) Cl. A-2, Affirmed Aaa (sf); previously on March 12, 2015, Affirmed Aaa (sf) Cl. A-AB, Affirmed Aaa (sf); previously on March 12, 2015, Affirmed Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on March 12, 2015, Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on March 12, 2015, Affirmed Aaa (sf) Cl. A-S, Affirmed Aaa (sf); previously on March 12, 2015, Affirmed Aaa (sf) Cl. B, Affirmed Aa3 (sf); previously on March 12, 2015, Affirmed Aa3 (sf) Cl. C, Affirmed A3 (sf); previously on March 12, 2015, Affirmed A3 (sf) Cl. D, Affirmed Baa3 (sf); previously on March 12, 2015, Affirmed Baa3 (sf) Cl. E, Affirmed Ba2 (sf); previously on March 12, 2015, Affirmed Ba2 (sf) Cl. F, Affirmed B2 (sf); previously on March 12, 2015, Affirmed B2 (sf) Cl. EC, Affirmed A1 (sf); previously on March 12, 2015, Affirmed A1 (sf) Cl. X-A, Affirmed Aaa (sf); previously on March 12, 2015, Affirmed Aaa (sf) Cl. X-B, Affirmed Aa3 (sf); previously on March 12, 2015, Affirmed Aa3 (sf) RATINGS RATIONALE The ratings on the P&I classes were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The rating on the exchangable class, Class EC, was affirmed based on the WARF of its exchangable classes. The ratings on the IO classes were affirmed based on the credit performance (or the weighted average rating factor or WARF) of the referenced classes. Moody's rating action reflects a base expected loss of 2.8% of the current balance, compared to 2.5% at Moody's last review. Moody's base expected loss plus realized losses is now 2.7% of the original pooled balance, compared to 2.4% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING: 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. DESCRIPTION OF MODELS USED Moody's review used the excel-based CMBS Conduit Model, which it uses for both conduit and fusion transactions. Credit enhancement levels for conduit loans are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate Moody's uses to estimate Moody's value). Moody's fuses the conduit results with the results of its analysis of investment grade structured credit assessed loans and any conduit loan that represents 10% or greater of the current pool balance. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 16 compared to 17 at Moody's last review. When the Herf falls below 20, Moody's uses the excel-based Large Loan Model and then reconciles and weights the results from the conduit and large loan models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan-level proceeds derived from Moody's loan-level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type and sponsorship. Moody's also further adjusts these aggregated proceeds for any pooling benefits associated with loan level diversity and other concentrations and correlations. DEAL PERFORMANCE As of the Feb. 12, 2016, distribution date, the transaction's aggregate certificate balance has decreased by 3% to $1.439 billion from $1.485 billion at securitization. The certificates are collateralized by 81 mortgage loans ranging in size from less than 1% to 15% of the pool, with the top ten loans constituting 59% of the pool. Two loans, representing 1% of the pool have defeased and are secured by US Government securities. Ten loans, constituting 20% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. No loans have been liquidated from the pool. Two loans, constituting less than 1% of the pool, are currently in special servicing and Moody's identified two troubled loans representing another 1% of the pool. Moody's estimates an aggregate $3.8 million loss for the specially serviced and troubled loans (29% expected loss on average). The largest specially serviced loan is the Candlewood Suites Decatur Loan ($4.8 million -- 0.3% of the pool), which is secured by an 82 room Candlewood Suites franchise property located in Decatur, TX approximately 60 miles northwest of Dallas. Between December 2014 and December 2015, occupancy dropped from 60% to 42% and RevPar decreased from $54 to $32. The loan transferred to special servicing in July 2015 due to imminent default and a receiver was put in place in November 2015. The second specially serviced loan is the 7090 Industrial Portfolio Loan ($3.9 million -- 0.3% of the pool), which is secured three single story, multi-tenant industrial warehouse buildings containing a total of 273,007 square feet located in Florence, KY and Northwood, OH. The loan transferred to special servicing in September 2015 due to imminent default. The special servicer is working with the borrower to correct any issues with the loan and return to the master servicer. Moody's received full year 2014 operating results for 100% of the pool, and full or partial year 2015 operating results for 65% of the pool. Moody's weighted average conduit LTV is 93%, compared to 95% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 12% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.7%. Moody's actual and stressed conduit DSCRs are 2.06X and 1.12X, respectively, compared to 1.93X and 1.07X 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 37.5% of the pool balance. The largest loan is the Santa Anita Mall Loan ($215 million -- 14.9% of the pool), which is secured by 956,343 square feet (SF) of net rentable area contained within a 1,472,167 SF super-regional mall located in Arcadia, California. The mall is located approximately 19 miles northeast of Los Angeles, California. The property was built in 1974, and most recently renovated in 2009. The mall is anchored by J.C. Penney, Macy's, and Nordstrom, which are not part of the collateral. The mall also contains a borrower-owned 16-screen AMC theater, which serves as a significant draw. As of September 2015, the property was 91% leased compared to 97% at securitization. Moody's LTV and stressed DSCR are 81% and 1.13X, respectively, the same as last review. The second largest loan is the Valencia Town Center Loan ($195 million -- 13.6% of the pool), which is secured by 657,837 SF of net rentable area contained within a 1,106,145 SF super-regional mall located in Valencia, CA. The property is located approximately 34 miles northwest of Los Angeles, California. The property was built in 1992, expanded in 1998, and recently renovated and further expanded in 2010 to include an outdoor component. The mall is anchored by Macy's, JC Penney, and Sears. All anchor units are owned by their respective tenants and are not included as collateral for the loan. In addition, the property contains a 12-screen Edwards Theaters. As of September 2015, the property was 94% leased compared to 93% at last reivew. Moody's LTV and stressed DSCR are 84% and 1.09X, respectively, the same as last review. The third largest loan is the Starwood Office Portfolio Loan ($129.7 million -- 9% of the pool), which is secured by six office buildings that total 1,287,408 SF and are located across four states. The properties are occupied by 26 tenants, eight of which are assigned investment grade ratings and represent approximately 88% of the net rentable area. As of September 2014, the portfolio was 97% leased, compared to 99% at prior review. The Lash Group, currently leasing 92% of the net rentable area in 2000 Park Lane, is planning to vacate at the end of their lease in April 2016. Moody's analysis incorporated stressed cashflows to account for the current tenant paying higher than market rents. Moody's LTV and stressed DSCR are 110% and 0.98X, respectively, the same as last review. WACHOVIA BANK 2005-C22: Fitch Raises Class D Certs Rating to 'CCC' ------------------------------------------------------------------ Fitch Ratings has upgraded one and affirmed 11 classes of Wachovia Bank Commercial Mortgage Trust, 2005-C22 commercial mortgage pass-through certificates. KEY RATING DRIVERS The upgrade is the result of increasing credit enhancement from continued paydown and further certainty regarding losses on the specially serviced loans. Since the last rating action, 122 loans paid in full including six specially serviced loans with better than expected recoveries. There are seven loans remaining, of which six (65%) are in Special Servicing and one (35%) is on the Servicer's Watch List. Expected losses on the original pool balance total 9.7%, including $228 million (9% of the original pool balance) in realized losses to date. As of the February 2016 distribution date, the pool's aggregate principal balance has been reduced by 97.2% to $70 million from $2.53 billion at issuance. Interest shortfalls are currently affecting classes E through Q. The largest contributor to expected losses is One Riverfront Plaza (23%), an office building totaling 130,726 sf, located in Westbrook, ME. The loan transferred to special servicing in December due to a maturity default. The borrower has been unable to refinance due to the single tenant vacating in January. The borrower is currently negotiating with a new tenant to occupy the entire building. The second largest contributor to expected losses is Palmer Town Center (36%), a 153,400 sf retail property (anchored by Home Depot) located in Easton, PA. The collateral excludes the Home Depot 97,895 sf space. The loan reached its anticipated repayment date (ARD) in October 2015. Per the Master Servicer, they are waiting on a response regarding the borrower's payoff intent. The loan's final maturity date is in 2020. The loan's annualized September 2015 debt service coverage ratio (DSCR) was 1.48x and occupancy was 90% as of January 2016. RATING SENSITIVITIES Class E will remain at 'Csf' due to expected losses. Once losses are incurred the class will be downgraded to 'D.' Classes F through P have realized losses and will remain at 'D'. Class D is likely to remain at 'CCCsf' as further upgrades are limited by the concentrated nature of the pool and adverse selection. Additionally, the majority of the remaining paydown relies on dispositions of specially serviced loans. DUE DILIGENCE USAGE No third-party due diligence was provided or reviewed in relation to this rating action. Fitch upgrades this class and revised REs as indicated: -- $22.4 million class D to 'CCCsf' from 'Csf', RE 100%. Fitch affirms these classes and revised REs as indicated: -- $47.5 million class E at 'Csf', RE 65%; -- $647 thousand class F at 'Dsf', RE 0%; -- $0 class G at 'Dsf', RE 0%; -- $0 class H at 'Dsf', RE 0%; -- $0 class J at 'Dsf', RE 0%; -- $0 class K at 'Dsf', RE 0%; -- $0 class L at 'Dsf', RE 0%; -- $0 class M at 'Dsf', RE 0%; -- $0 class N at 'Dsf', RE 0%; -- $0 class O at 'Dsf', RE 0%; -- $0 class P at 'Dsf', RE 0%. The class A-1, A-2, A-3, A-PB, A-4, A-1A, A-M, A-J, B and C certificates have paid in full. Fitch does not rate the class Q certificates. Fitch previously withdrew the rating on the interest-only class IO certificates. WAMU COMMERCIAL 2006-SL1: Fitch Raises Class C Certs Rating to 'B' ------------------------------------------------------------------ Fitch Ratings has upgraded two and affirmed 10 classes of WaMu Commercial Mortgage Securities Trust 2006-SL1, small balance commercial mortgage pass-through certificates. KEY RATING DRIVERS The upgrades follow the continued deleveraging of the pool, as 26 loans have repaid from the trust since the last rating action. These payoffs have contributed $37.5 million in unscheduled principal to the paydown of the class A-1A certificate. Given the increased credit enhancement and better than expected recoveries on specially serviced loans, Fitch has upgraded the class C and D certificates to reflect Fitch's current loss expectations. Fitch modeled losses of 8.2% of the remaining pool, compared to 11.8% at the last rating action. Driving the reduction in estimated losses is the liquidation of what were previously the two largest loans in special servicing. Both loans had been major contributors to Fitch's projected loss at the last review and liquidated from the trust with higher than expected recoveries. Current expected losses on the original pool balance total 7.3%, including $24.6 million (4.8% of the original balance) in realized losses to date. There is one specially serviced asset remaining, down from seven at the last rating action. The pool's aggregate principal balance has been reduced by 69.7% since issuance. No loans are defeased. Interest shortfalls are currently affecting classes E through N. The pool comprises 174 small balance loans secured by commercial properties. Given this composition, the pool is considered diverse in terms of loan count and size, with only 32.6% of the pool balance represented in the largest 15 loans. The pool is, however concentrated in terms of geography and property type with 69.7% of the pool represented by multifamily assets and 56.2% of the pool located in California. Twenty-eight loans (25.3% of the pool) are scheduled to mature in 2016, after which there are no scheduled maturities for at least ten years. The majority of the outstanding loans are scheduled to come due in 2036 (73.7% of the pool), though not all of these loans are fully amortizing. Fitch expects the bulk of collateral reduction in the next several years will be a result of prepayments as the scheduled principal collected monthly is minimal. RATING SENSITIVITIES The Rating Outlooks on classes A-1A, B and C are Stable. While amortization has increased the credit support to these bonds, future scheduled paydown beyond 2016 will be limited and many of the pooled loans do not remit regular financial reports. Upgrades to these classes may be possible if financial updates are provided and indicate improved collateral performance or if loans continue to prepay and tighten the pool's maturity profile. Downgrades to the distressed classes are possible as losses are realized or if additional defaults occur. DUE DILIGENCE USAGE No third party due diligence was provided or reviewed in relation to this rating action. Fitch has upgraded these classes: -- $14.7 million class C to 'Bsf' from 'CCCsf'; Outlook Stable assigned; -- $10.2 million class D to 'CCCsf' from 'CCsf'; RE 100%; Fitch has affirmed these ratings: -- $106.6 million class A-1A at 'Asf'; Outlook Stable; -- $10.2 million class B at 'BBsf'; Outlook Stable; -- $7 million class E at 'CCsf'; RE 50%; -- $3.8 million class F at 'Csf'; RE 0%; -- $2.2 million class G at 'Dsf'; RE 0%; -- $0 class H at 'Dsf'; RE 0%; -- $0 class J at 'Dsf'; RE 0%; -- $0 class K at 'Dsf'; RE 0%; -- $0 class L at 'Dsf'; RE 0%; -- $0 class M at 'Dsf'; RE 0%. The class A certificate has been paid in full. Fitch does not rate the class N certificate. Fitch previously withdrew the rating on the interest-only class X certificate. WFRBS COMMERCIAL 2014-C19: Moody's Affirms Ba3 Rating on X-B Debt ----------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on twelve classes in WFRBS Commercial Mortgage Trust, Commercial Pass-Through Certificates, Series 2014-C19 as follows: Cl. A-1, Affirmed Aaa (sf); previously on Mar 11, 2015 Affirmed Aaa (sf) Cl. A-2, Affirmed Aaa (sf); previously on Mar 11, 2015 Affirmed Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on Mar 11, 2015 Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Mar 11, 2015 Affirmed Aaa (sf) Cl. A-5, Affirmed Aaa (sf); previously on Mar 11, 2015 Affirmed Aaa (sf) Cl. A-SB, Affirmed Aaa (sf); previously on Mar 11, 2015 Affirmed Aaa (sf) Cl. A-S, Affirmed Aaa (sf); previously on Mar 11, 2015 Affirmed Aaa (sf) Cl. B, Affirmed Aa3 (sf); previously on Mar 11, 2015 Affirmed Aa3 (sf) Cl. C, Affirmed A3 (sf); previously on Mar 11, 2015 Affirmed A3 (sf) Cl. PEX, Affirmed A1 (sf); previously on Mar 11, 2015 Affirmed A1 (sf) Cl. X-A, Affirmed Aaa (sf); previously on Mar 11, 2015 Affirmed Aaa (sf) Cl. X-B, Affirmed Ba3 (sf); previously on Mar 11, 2015 Affirmed Ba3 (sf) RATINGS RATIONALE The ratings on the P&I classes were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The ratings on the exchangeable PEX class was affirmed based the weighted average rating factor of its exchangable classes. The ratings on the IO classes were affirmed based on the credit performance (or the weighted average rating factor) of the referenced classes. Moody's rating action reflects a base expected loss of 3.9% of the current balance, compared to 4.0% at Moody's last review. Moody's base expected loss plus realized losses is now 3.8% of the original pooled balance, compared to 4.0% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING: 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. DEAL PERFORMANCE As of the February 18, 2016 distribution date, the transaction's aggregate certificate balance has decreased by 2% to $1.08 billion from $1.10 billion at securitization. The certificates are collateralized by 99 mortgage loans ranging in size from less than 1% to 8.3% of the pool, with the top ten loans constituting 38.9% of the pool. Eight loans, constituting 3.2% of the pool, are New York City multifamily cooperative loans which have received investment-grade quality treatment. Seven loans, constituting 15% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. There have not been any loans that have liquidated from the pool nor are there any loans in special servicing. Moody's received full year 2014 operating results for 93% of the pool, and full year 2015 operating results for 13% of the pool. Moody's weighted average conduit LTV is 107%, unchanged since Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 14% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 10.1 %. Moody's actual and stressed conduit DSCRs are 1.43X and 1.03X, respectively, compared to 1.45X and 1.03X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The top three conduit loans represent 20% of the pool balance. The largest loan is the Renaissance Chicago Downtown Loan ($90 million -- 8.3% of the pool), which is secured by a 27-story, 553-room hotel in Chicago's Loop. Amenities include a conference center, fitness center, and indoor swimming pool. Moody's LTV and stressed DSCR are 116% and 1.05X, respectively, unchanged since the last review. The second largest loan is the Lifetime Fitness Portfolio Loan ($75.2 million -- 7.0% of the pool), which is secured by a portfolio of five fitness centers located in Arizona, Virginia, Illinois, and Texas. All five properties are leased, triple-net, to Lifetime Fitness, Inc. the third largest operator of fitness centers in the United States. The loan benefits from amortization. Moody's LTV and stressed DSCR are 105% and 1.31X, respectively, compared to 108% and 1.27X at the last review. The third largest loan is the Nordic Cold Storage Portfolio Loan ($53.9 million -- 5.0% of the pool), which is secured by a portfolio of eight cross-collateralized, cross-defaulted cold storage warehouse and distribution facilities located in Alabama, Georgia, North Carolina, and Mississippi. The properties are occupied under a triple-net master lease with a November 2033 expiration. Moody's LTV and stressed DSCR are 115% and 0.97X, respectively, unchanged from the last review. [*] Fitch Takes Various Rating Actions on 216 U.S. RMBS Classes --------------------------------------------------------------- Fitch Ratings maintains 13 classes from 6 GSE credit-risk transfer (CRT) transactions issued between 2014 and 2015 on Rating Watch Positive. Fitch has also maintained 203 classes from 95 prime jumbo RMBS transactions issued before 2009 on Rating Watch Negative. KEY RATING DRIVERS The prime jumbo classes initially were placed on Rating Watch Negative in September 2015, pending the annual review of Fitch's U.S. RMBS Loan Loss Model, while the GSE CRT classes were placed on Rating Watch Positive in October 2015. The U.S. RMBS Loan Loss Model recently completed an exposure draft period, and is expected to be finalized in the coming weeks. Classes on rating watch will be analysed with the updated model for potential rating and recovery estimate implications. RATING SENSITIVITIES Fitch's analysis includes rating stress scenarios from 'CCCsf' to 'AAAsf'. The 'CCCsf' scenario is intended to be the most-likely base-case scenario. Rating scenarios above 'CCCsf' are increasingly more stressful and less likely to occur. Although many variables are adjusted in the stress scenarios, the primary driver of the loss scenarios is the home price forecast assumption. In the 'Bsf' scenario, Fitch assumes home prices decline 10% below their long-term sustainable level. The home price decline assumption is increased by 5% at each higher rating category up to a 35% decline in the 'AAAsf' scenario. In addition to increasing mortgage pool losses at each rating category to reflect increasingly stressful economic scenarios, Fitch analyzes various loss-timing, prepayment, loan modification, servicer advancing, and interest rate scenarios as part of the cash flow analysis. Each class is analyzed with 43 different combinations of loss, prepayment and interest rate projections. Classes currently rated below 'Bsf' are at-risk to default at some point in the future. As default becomes more imminent, bonds currently rated 'CCCsf' and 'CCsf' will migrate towards 'Csf' and eventually 'Dsf'. The ratings of bonds currently rated 'Bsf' or higher will be sensitive to future mortgage borrower behavior, which historically has been strongly correlated with home price movements. Despite recent positive trends, Fitch currently expects home prices to decline in some regions before reaching a sustainable level. While Fitch's ratings reflect this home price view, the ratings of outstanding classes may be subject to revision to the extent actual home price and mortgage performance trends differ from those currently projected by Fitch. DUE DILIGENCE USAGE No third party due diligence was provided or reviewed in relation to this rating action. A list of the ratings is available at http://is.gd/HnX7hT [*] Moody's Hikes $1.1BB Subprime RMBS Issued 2005-2007 ------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 26 tranches from 11 deals issued by various issuers, backed by Subprime mortgage loans. Complete rating actions are as follows: Issuer: Bear Stearns Asset Backed Securities I Trust 2006-HE10 Cl. I-A-2, Upgraded to B1 (sf); previously on May 28, 2014 Upgraded to B2 (sf) Cl. I-A-3, Upgraded to B2 (sf); previously on May 28, 2014 Upgraded to Caa1 (sf) Issuer: Bear Stearns Asset Backed Securities I Trust 2007-HE1 Cl. II-3A, Upgraded to Caa1 (sf); previously on Aug 7, 2013 Confirmed at Caa3 (sf) Issuer: Citigroup Mortgage Loan Trust, Series 2005-OPT4 Cl. M-5, Upgraded to Ba3 (sf); previously on Apr 10, 2015 Upgraded to B3 (sf) Cl. M-6, Upgraded to Ca (sf); previously on Feb 26, 2013 Affirmed C (sf) Issuer: J.P. Morgan Mortgage Acquisition Corp. 2006-WMC1 Cl. A-1, Upgraded to A1 (sf); previously on Apr 10, 2015 Upgraded to Baa3 (sf) Cl. A-4, Upgraded to Caa2 (sf); previously on Dec 28, 2010 Upgraded to Caa3 (sf) Cl. A-5, Upgraded to Caa3 (sf); previously on Dec 28, 2010 Upgraded to Ca (sf) Issuer: J.P. Morgan Mortgage Acquisition Trust 2006-CW2 Cl. AV-1, Upgraded to Baa3 (sf); previously on Apr 6, 2015 Upgraded to Ba1 (sf) Cl. AV-4, Upgraded to B1 (sf); previously on Aug 9, 2012 Downgraded to B3 (sf) Cl. AV-5, Upgraded to B2 (sf); previously on Nov 5, 2010 Downgraded to Caa2 (sf) Issuer: J.P. Morgan Mortgage Acquisition Trust 2007-CH3, Asset-Backed Pass-Through Certificates, Series 2007-CH3 Cl. A-1A, Upgraded to Ba1 (sf); previously on Jun 17, 2014 Upgraded to B1 (sf) Cl. A-1B, Upgraded to Caa1 (sf); previously on Jun 17, 2014 Upgraded to Caa2 (sf) Cl. A-3, Upgraded to Ba2 (sf); previously on Jun 17, 2014 Upgraded to B2 (sf) Cl. A-4, Upgraded to Caa1 (sf); previously on Dec 28, 2010 Upgraded to Caa3 (sf) Cl. A-5, Upgraded to Caa1 (sf); previously on Dec 28, 2010 Upgraded to Caa3 (sf) Issuer: J.P. Morgan Mortgage Acquisition Trust 2007-CH5 Cl. A-1, Upgraded to B2 (sf); previously on Dec 28, 2010 Upgraded to Caa1 (sf) Cl. A-3, Upgraded to Baa1 (sf); previously on Apr 14, 2015 Upgraded to Ba1 (sf) Cl. A-4, Upgraded to B1 (sf); previously on Jun 17, 2014 Upgraded to B3 (sf) Cl. A-5, Upgraded to B1 (sf); previously on Jun 17, 2014 Upgraded to B3 (sf) Issuer: Ownit Mortgage Loan Trust 2005-5 Cl. A-2B, Upgraded to Aa2 (sf); previously on Apr 17, 2015 Upgraded to A2 (sf) Issuer: Ownit Mortgage Loan Trust 2006-3 Cl. A-1, Upgraded to Ba1 (sf); previously on Jun 3, 2014 Upgraded to B1 (sf) Cl. A-2C, Upgraded to B2 (sf); previously on Jun 3, 2014 Upgraded to Caa2 (sf) Cl. A-2D, Upgraded to Caa2 (sf); previously on Jul 14, 2010 Downgraded to Ca (sf) Issuer: Park Place Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2005-WHQ3 Cl. M-5, Upgraded to B1 (sf); previously on Apr 17, 2015 Upgraded to Caa2 (sf) Issuer: People's Choice Home Loan Securities Trust 2005-1 Cl. M4, Upgraded to B2 (sf); previously on Apr 17, 2015 Upgraded to Caa1 (sf) RATINGS RATIONALE The upgrades are a result of improving performance of the related pools and/or build-up in credit enhancement of the tranches. The actions reflect the recent performance of the underlying pools and Moody's updated loss expectations on the pools. Factors that would lead to an upgrade or downgrade of the rating: 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 4.9% in February 2016 from 5.5% in February 2015. Moody's forecasts an unemployment central range of 4.5% to 5.5% for the 2016 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 2016. Lower increases than Moody's expects or decreases could lead to negative rating actions. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. [*] Moody's Hikes $630MM of Subprime RMBS Issued 2006-2007 ---------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 7 tranches, from 5 transactions issued by various issuers, backed by Subprime mortgage loans. Complete rating actions are as follows: Issuer: BNC Mortgage Loan Trust 2007-2 Cl. A2, Upgraded to A2 (sf); previously on Sep 1, 2015 Upgraded to Baa2 (sf) Cl. A3, Upgraded to B2 (sf); previously on Sep 1, 2015 Upgraded to Caa2 (sf) Issuer: First Franklin Mortgage Loan Trust 2006-FF9 Cl. I-A, Upgraded to Ba1 (sf); previously on Jul 2, 2015 Upgraded to B2 (sf) Issuer: Soundview Home Loan Trust 2006-OPT5 Cl. I-A-1, Upgraded to B2 (sf); previously on Jun 17, 2010 Downgraded to Caa1 (sf) Issuer: Structured Asset Securities Corp 2006-W1 Cl. A4, Upgraded to Ba2 (sf); previously on Feb 6, 2015 Upgraded to B1 (sf) Issuer: Structured Asset Securities Corp Trust 2006-EQ1 Cl. A1, Upgraded to Ba1 (sf); previously on Jan 29, 2016 Upgraded to Ba2 (sf) Cl. A4, Upgraded to Aa3 (sf); previously on Jan 29, 2016 Upgraded to A3 (sf) RATINGS RATIONALE The upgrades are a result of improving performance of the related pools and/or build-up in credit enhancement of the tranches. The actions reflect the recent performance of the underlying pools and Moody's updated loss expectations on the pools. Factors that would lead to an upgrade or downgrade of the rating: 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 4.9% in February 2016 from 5.5% in February 2015. Moody's forecasts an unemployment central range of 4.5% to 5.5% for the 2016 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 2016. Lower increases than Moody's expects or decreases could lead to negative rating actions. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. [*] Moody's Hikes $704MM of Subprime RMBS Issued 2005-2007 ---------------------------------------------------------- Moody's upgrades $704 Million of Subprime RMBS issued from 2005 to 2007 Moody's Investors Service, on March 10, 2016, upgraded the ratings of sixteen tranches backed by Subprime RMBS loans, issued by miscellaneous issuers. Complete rating actions are as follows: Issuer: Ameriquest Mortgage Securities Inc., Series 2005-R2 Cl. M-4, Upgraded to B1 (sf); previously on Jun 10, 2014 Upgraded to B3 (sf) Issuer: Ameriquest Mortgage Securities Inc., Series 2005-R5 Cl. M-3, Upgraded to Ba1 (sf); previously on Apr 10, 2015 Upgraded to Ba2 (sf) Cl. M-4, Upgraded to B1 (sf); previously on Apr 10, 2015 Upgraded to Caa1 (sf) Cl. M-5, Upgraded to Caa2 (sf); previously on Mar 12, 2013 Affirmed C (sf) Issuer: Asset Backed Securities Corporation Home Equity Loan Trust AEG 2006-HE1 Cl. A1, Upgraded to A1 (sf); previously on Apr 6, 2015 Upgraded to Baa1 (sf) Cl. A3, Upgraded to A3 (sf); previously on Apr 6, 2015 Upgraded to Baa3 (sf) Cl. A4, Upgraded to Baa1 (sf); previously on Apr 6, 2015 Upgraded to Ba1 (sf) Cl. M-1, Upgraded to B1 (sf); previously on May 27, 2014 Upgraded to B3 (sf) Issuer: CWABS Asset-Backed Certificates Trust 2006-8 Cl. 1-A, Upgraded to Ba1 (sf); previously on Jun 10, 2014 Upgraded to B2 (sf) Issuer: HSI Asset Securitization Corporation Trust 2006-OPT1 Cl. I-A, Upgraded to Aa3 (sf); previously on Aug 13, 2010 Downgraded to A2 (sf) Cl. II-A-3, Upgraded to A1 (sf); previously on Jun 17, 2014 Upgraded to Baa3 (sf) Cl. II-A-4, Upgraded to Baa1 (sf); previously on Jun 17, 2014 Upgraded to Ba1 (sf) Cl. M-1, Upgraded to Ba3 (sf); previously on Jun 17, 2014 Upgraded to B3 (sf) Cl. M-2, Upgraded to Caa2 (sf); previously on Jul 18, 2011 Downgraded to C (sf) Issuer: Newcastle Mortgage Securities Trust 2007-1 Cl. 2-A-1, Upgraded to B1 (sf); previously on Aug 13, 2010 Downgraded to Caa1 (sf) Issuer: NovaStar Mortgage Funding Trust 2007-2 Cl. A-1A, Upgraded to B3 (sf); previously on Jul 14, 2010 Downgraded to Caa2 (sf) RATINGS RATIONALE The upgrades are a result of improving performance of the related pools and/or an increase in 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. Factors that would lead to an upgrade or downgrade of the rating: 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 4.9% in February 2016 from 5.5% in February 2015. Moody's forecasts an unemployment central range of 4.5% to 5.5% for the 2016 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 2016. Lower increases than Moody's expects or decreases could lead to negative rating actions. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. [*] Moody's Hikes Ratings on $11.8MM Subprime RMBS Issued 2002-2003 ------------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of six tranches from two transactions backed by Subprime mortgage loans. Complete rating actions are: Issuer: CWABS, Inc., Asset-Backed Certificates, Series 2003-BC4 Cl. M-2, Upgraded to B1 (sf); previously on April 16, 2012, Confirmed at Caa1 (sf) Cl. M-4, Upgraded to Caa1 (sf); previously on April 16, 2012, Confirmed at Ca (sf) Cl. M-5, Upgraded to Caa1 (sf); previously on April 16, 2012, Confirmed at Ca (sf) Issuer: Equity One Mortgage Pass-Through Trust 2002-4 Cl. AV-1A, Upgraded to Aa2 (sf); previously on Jan. 18, 2013, Downgraded to A1 (sf) Underlying Rating: Upgraded to Aa2 (sf); previously on May 3, 2012, Downgraded to A1 (sf) Financial Guarantor: Assured Guaranty Municipal Corp (Affirmed at A2, Outlook Stable on July 2, 2014) Cl. AV-1B, Upgraded to Aa2 (sf); previously on May 3, 2012, Downgraded to A1 (sf) Cl. M-1, Upgraded to B1 (sf); previously on April 15, 2015, Upgraded to B3 (sf) RATINGS RATIONALE The upgrades are a result of improving performance of the related pools and/or build-up in credit enhancement of the tranches. 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 November 2013. Factors that would lead to an upgrade or downgrade of the rating: 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 4.9% in February 2016 from 5.5% in February 2015. Moody's forecasts an unemployment central range of 4.5% to 5.5% for the 2016 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 2016. 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 Raises Ratings on $64MM Subprime RMBS Issued 2001-2004 ------------------------------------------------------------------ Moody's Investors Service, on March 11, 2016, upgraded the ratings of 14 tranches from 10 transactions, backed by Subprime loans, issued by multiple issuers. Complete rating actions are: Issuer: Bear Stearns Asset Backed Securities Trust 2003-2 Cl. A-1, Upgraded to Aa3 (sf); previously on March 11, 2011, Downgraded to A1 (sf) Issuer: Carrington Mortgage Loan Trust, Series 2004-NC1 Cl. M-2, Upgraded to Ca (sf); previously on March 13, 2011, Downgraded to C (sf) Issuer: CDC Mortgage Capital Trust 2002-HE2 Cl. M-1, Upgraded to Ba2 (sf); previously on Dec. 4, 2012, Downgraded to B1 (sf) Cl. M-2, Upgraded to Ca (sf); previously on March 18, 2011, Downgraded to C (sf) Issuer: CDC Mortgage Capital Trust 2003-HE3 Cl. M-1, Upgraded to B1 (sf); previously on April 21, 2015, Upgraded to B2 (sf) Issuer: CDC Mortgage Capital Trust 2003-HE4 Cl. M-3, Upgraded to Caa1 (sf); previously on March 18, 2011, Confirmed at Ca (sf) Cl. B-1, Upgraded to Caa2 (sf); previously on Jan. 13, 2009, Downgraded to C (sf) Issuer: Conseco Finance Home Equity Loan Trust 2001-D Cl. B-1, Upgraded to B3 (sf); previously on April 17, 2015, Upgraded to Caa1 (sf) Issuer: Conseco Finance Home Equity Loan Trust 2002-B Cl. B-1, Upgraded to B1 (sf); previously on April 7, 2015, Upgraded to B2 (sf) Cl. B-2, Upgraded to Caa2 (sf); previously on April 6, 2011, Downgraded to C (sf) Issuer: Conseco Finance Home Equity Loan Trust 2002-C Cl. BV-1, Upgraded to Ba1 (sf); previously on June 9, 2014, Upgraded to Ba3 (sf) Issuer: Credit Suisse First Boston Mortgage Acceptance Corp. Series 2002-HE4 Cl. M-1, Upgraded to Ba1 (sf); previously on March 15, 2011, Downgraded to Ba3 (sf) Cl. M-2, Upgraded to Caa3 (sf); previously on June 24, 2014, Upgraded to Ca (sf) Issuer: Credit Suisse First Boston Mortgage Securities Corp. Series 2002-4 Cl. M-1, Upgraded to Ba2 (sf); previously on June 24, 2014, Upgraded to B2 (sf) RATINGS RATIONALE The ratings upgraded are a result of the improving performance of the related pools and/or an increase in credit enhancement available to the bonds. The rating actions reflect the recent performance of the underlying pools and Moody's updated loss expectation on the pools. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in November 2013. Factors that would lead to an upgrade or downgrade of the rating: 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 4.9% in February 2016 from 5.5% in February 2015. Moody's forecasts an unemployment central range of 4.5% to 5.5% for the 2016 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 2016. 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 $168.5MM Alt-A RMBS Issued 2003-2005 ---------------------------------------------------------------- Moody's Investors Service, on March 8, 2016, downgraded the ratings of 10 tranches from two transactions and upgraded the ratings of 16 tranches from six transactions backed by Alt-A RMBS loans, and issued by multiple issuers. Complete rating actions are: Issuer: Banc of America Alternative Loan Trust 2003-11 Cl. 2-A-1, Downgraded to Ba3 (sf); previously on July 7, 2014, Downgraded to Ba1 (sf) Cl. 3-A-1, Downgraded to B3 (sf); previously on July 16, 2014, Downgraded to B2 (sf) Cl. 4-A-1, Downgraded to Ba3 (sf); previously on July 16, 2014, Downgraded to Ba1 (sf) Cl. 4-A-2, Downgraded to B3 (sf); previously on July 16, 2014, Downgraded to Ba3 (sf) Cl. 5-A-1, Downgraded to Ba3 (sf); previously on July 16, 2014, Downgraded to Ba1 (sf) Cl. 5-A-2, Downgraded to B2 (sf); previously on July 16, 2014, Downgraded to Ba2 (sf) Cl. 15-IO, Downgraded to B1 (sf); previously on April 13, 2012, Confirmed at Ba3 (sf) Cl. PO, Downgraded to B1 (sf); previously on July 16, 2014, Downgraded to Ba3 (sf) Issuer: Banc of America Alternative Loan Trust 2003-2 Cl. CB-3, Upgraded to Baa2 (sf); previously on April 13, 2012, Downgraded to Baa3 (sf) Issuer: Banc of America Funding 2004-1 Trust Cl. 3-A-1, Upgraded to Ba2 (sf); previously on April 13, 2012, Downgraded to B1 (sf) Issuer: Citigroup Mortgage Loan Trust, Series 2003-UP3 Cl. B-1, Downgraded to Ba3 (sf); previously on July 31, 2014, Downgraded to Ba1 (sf) Cl. B-2, Downgraded to Caa2 (sf); previously on June 29, 2012, Downgraded to B3 (sf) Issuer: Citigroup Mortgage Loan Trust, Series 2004-NCM1 Cl. IIIA-1, Upgraded to Baa1 (sf); previously on June 29, 2012, Confirmed at Baa3 (sf) Cl. IIIA-2, Upgraded to Baa1 (sf); previously on June 29, 2012, Confirmed at Baa3 (sf) Issuer: CWMBS, Inc. Mortgage Pass-Through Certificates, Series 2004-6CB Cl. A, Upgraded to A1 (sf); previously on April 28, 2015, Upgraded to A3 (sf) Cl. M-1, Upgraded to Ba3 (sf); previously on April 28, 2015, Upgraded to B2 (sf) Issuer: Impac CMB Trust Series 2004-5 Collateralized Asset-Backed Bonds, Series 2004-5 Cl. 1-A-1, Upgraded to Baa1 (sf); previously on Aug. 12, 2013, Confirmed at Baa2 (sf) Cl. 1-M-2, Upgraded to Ba3 (sf); previously on Aug. 12, 2013, Confirmed at B1 (sf) Cl. 1-M-3, Upgraded to B1 (sf); previously on Aug. 12, 2013, Confirmed at B2 (sf) Cl. 1-M-4, Upgraded to B2 (sf); previously on Aug. 12, 2013, Confirmed at Caa1 (sf) Cl. 1-M-5, Upgraded to B3 (sf); previously on Aug. 12, 2013, Upgraded to Caa2 (sf) Cl. 1-M-6, Upgraded to Caa2 (sf); previously on Aug. 12, 2013, Upgraded to Ca (sf) Issuer: RALI Series 2005-QA1 Trust Cl. A-1, Upgraded to A1 (sf); previously on Aug. 16, 2013, Upgraded to A3 (sf) Cl. M-1, Upgraded to Ba1 (sf); previously on April 1, 2015, Upgraded to Ba3 (sf) Cl. A-2, Upgraded to A2 (sf); previously on April 1, 2015, Upgraded to Baa1 (sf) Cl. M-2, Upgraded to Caa1 (sf); previously on June 19, 2014, Upgraded to Caa3 (sf) RATINGS RATIONALE The rating actions are a result of the recent performance of the underlying pools and reflects Moody's updated loss expectation on these pools. The ratings upgraded are due to the stronger performance of the underlying collateral, the credit enhancement available to the bonds, and realignment. The ratings downgraded are due to the weaker performance of the underlying collateral and the depletion of credit enhancement available to the bonds. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in November 2013. Factors that would lead to an upgrade or downgrade of the rating: 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 4.9% in February 2016 from 5.5% in January 2015. Moody's forecasts an unemployment central range of 4.5% to 5.5% for the 2016 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 2016. 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 $466.3MM of Subprime RMBS ----------------------------------------------------- Moody's Investors Service has upgraded the ratings of eighteen tranches backed by Subprime RMBS loans, issued by miscellaneous issuers. Complete rating actions are: Issuer: Aames Mortgage Investment Trust 2005-4 Cl. M3, Upgraded to B1 (sf); previously on April 14, 2015, Upgraded to B3 (sf) Issuer: Basic Asset Backed Securities Trust 2006-1 Cl. A-3, Upgraded to A3 (sf); previously on April 10, 2015, Upgraded to Ba1 (sf) Cl. A-2, Upgraded to A2 (sf); previously on April 10, 2015, Upgraded to Baa2 (sf) Issuer: Citicorp Residential Mortgage Trust Series 2007-1 Cl. A-4, Upgraded to Ba2 (sf); previously on April 10, 2015, Upgraded to B1 (sf) Cl. A-5, Upgraded to Ba3 (sf); previously on April 10, 2015, Upgraded to B2 (sf) Cl. A-6, Upgraded to Ba2 (sf); previously on April 10, 2015, Upgraded to B1 (sf) Issuer: J.P. Morgan Mortgage Acquisition Corp. 2005-OPT2 Cl. M-5, Upgraded to Caa2 (sf); previously on July 14, 2010, Downgraded to C (sf) Cl. A-4, Upgraded to Aa3 (sf); previously on Aug. 21, 2013, Upgraded to A2 (sf) Cl. A-1B, Upgraded to Aa2 (sf); previously on Dec. 28, 2010, Upgraded to A1 (sf) Cl. M-4, Upgraded to B1 (sf); previously on April 10, 2015, Upgraded to Caa2 (sf) Issuer: Park Place Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2005-WHQ4 Cl. A-1A, Upgraded to Aa2 (sf); previously on April 17, 2015, Upgraded to A3 (sf) Cl. A-2D, Upgraded to Aa2 (sf); previously on April 17, 2015, Upgraded to A3 (sf) Cl. M-2, Upgraded to B1 (sf); previously on April 17, 2015, Upgraded to B2 (sf) Cl. M-3, Upgraded to Ca (sf); previously on April 6, 2010, Downgraded to C (sf) Issuer: RAMP Series 2006-RS5 Trust Cl. A-3, Upgraded to Ba3 (sf); previously on April 17, 2015, Upgraded to B3 (sf) Cl. A-4, Upgraded to Caa2 (sf); previously on Jan. 9, 2013, Upgraded to Ca (sf) Issuer: Soundview Home Loan Trust 2005-CTX1 Cl. M-4, Upgraded to B1 (sf); previously on April 17, 2015, Upgraded to B3 (sf) Cl. M-5, Upgraded to Caa2 (sf); previously on June 17, 2010, Downgraded to C (sf) RATINGS RATIONALE The actions are a result of the recent performance of the underlying pools and reflect Moody's updated loss expectations on the pools. The ratings upgraded are a result of improving performance of the related pools and an increase in credit enhancement available to the bonds. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in November 2013. Factors that would lead to an upgrade or downgrade of the rating: 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 4.9% in February 2016 from 5.5% in February 2015. Moody's forecasts an unemployment central range of 4.5% to 5.5% for the 2016 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 2016. 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 Lowers Ratings on 54 Classes From 37 RMBS Deals to 'D' -------------------------------------------------------------- Standard & Poor's Ratings Services, on March 14, 2016, lowered its ratings on 54 classes of mortgage pass-through certificates from 37 U.S. residential mortgage-backed securities (RMBS) transactions issued between 2001 and 2010 to 'D (sf)', and removed one of them from CreditWatch with negative implications. S&P also placed two additional ratings from one transaction on CreditWatch with negative implications. The downgrades reflect S&P's assessment of the principal write-downs' impact on the affected classes during recent remittance periods. All of the classes whose ratings were lowered to 'D (sf)' were rated either 'CCC (sf)' or 'CC (sf)' before the rating actions, except for four classes that were rated 'BBB (sf)' or 'B (sf)'. S&P lowered its rating on class I-B-1 from BellaVista Mortgage Trust 2004-1 and removed it from from CreditWatch negative. This class was placed on CreditWatch on Jan. 20, 2016, because S&P lacked the information necessary to apply its loan modification criteria. As a result of the write-down on class B2 from Structured Asset Securities Corp.'s series 2002-6, whose rating was lowered to 'D (sf)' from 'B (sf)', S&P placed its ratings on classes B1 and AP from this transaction on CreditWatch negative while S&P determines whether the recent performance of the loans backing this transaction has affected the ratings on these classes. S&P lowered its ratings to 'D (sf)' from 'BBB (sf)' on classes X-A7, X-A8, and X-A11 from BCAP LLC 2010-RR1 Trust, a resecuritized real estate mortgage investment conduit (re-REMIC) transaction. These classes experienced write-downs during the November 2015 distribution period, the same period in which the Group X certificates from this transaction were collapsed. S&P subsequently withdrew its ratings on these classes to reflect their zero principal balance. The 54 defaulted classes consist of: -- 15 from prime jumbo transactions (27.78%); -- 13 from Alternative-A transactions (24.07%); -- Eight from subprime transactions (14.81); -- Eight from negative amortization transactions; -- Seven from re-REMIC transactions; -- Two from scratch and dent transactions; and -- One from a Federal Housing Administration/Veterans Administration transaction. All of the transactions in this review receive credit enhancement from a combination of subordination, excess spread, and overcollateralization (where applicable). S&P will continue to monitor its ratings on securities that experience principal write-downs, and S&P will further adjust its ratings as it considers appropriate according to its criteria. A list of the affected ratings is available at: http://is.gd/K9Tf1h ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers public debt and equity securities about which we report. Each Tuesday edition of the TCR contains a list of companies with insolvent balance sheets whose shares trade higher than $3 per share in public markets. At first glance, this list may look like the definitive compilation of stocks that are ideal to sell short. Don't be fooled. Assets, for example, reported at historical cost net of depreciation may understate the true value of a firm's assets. A company may establish reserves on its balance sheet for liabilities that may never materialize. The prices at which equity securities trade in public market are determined by more than a balance sheet solvency test. On Thursdays, the TCR delivers a list of recently filed Chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/books/to order any title today. Monthly Operating Reports are summarized in every Saturday edition of the TCR. The Sunday TCR delivers securitization rating news from the week then-ending. ********* 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 2016. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. The TCR subscription rate is $975 for 6 months delivered via e-mail. Additional e-mail subscriptions for members of the same firm for the term of the initial subscription or balance thereof are $25 each. For subscription information, contact Peter A. Chapman at 215-945-7000 or Nina Novak at 202-362-8552. *** End of Transmission ***