/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/160710.mbx T R O U B L E D C O M P A N Y R E P O R T E R Sunday, July 10, 2016, Vol. 20, No. 192 Headlines ACORN RE 2015-1: Fitch Affirms 'BBsf' Rating on Class A Notes AMERIQUEST MORTGAGE 2005-R3: Moody's Hikes Cl. M-2 Debt to Caa1 CABELA'S CREDIT 2016-I: Fitch Assigns BB Rating on Class D Notes COMM 2013-300P: Fitch Affirms BB+ Rating on Class E Debt MONROE CAPITAL 2016-1: Moody's Assigns (P)Ba3 Ratings to Cl. E Debt REALT 2006-1: Moody's Cuts Class XC-2 Debt Rating to B1(sf) SARATOGA INVESTMENT 2013-1: S&P Affirms B Rating on Class F Notes SEVEN STICKS: Moody's Assigns Ba3 Rating to Class D Notes SIERRA AUTO 2016-1: S&P Assigns 'BB' Rating on Class C Notes SIERRA TIMESHARE 2011-3: Fitch Affirms BB Rating on Cl. C Notes WACHOVIA BANK 2003-C6: Moody's Cuts Cl. O Debt Rating to Ba1(sf) WEST CLO 2012-1: S&P Lowers Rating on Class D Notes to BB- WFRBS COMMERCIAL 2012-C9: Moody's Affirms B2 Rating on Cl. F Debt [*] S&P Completes Review of 73 Classes From 12 RMBS Deals ********* ACORN RE 2015-1: Fitch Affirms 'BBsf' Rating on Class A Notes ------------------------------------------------------------- Fitch Ratings has affirmed Acorn Re Ltd. Series 2015-1 (a duly formed special purpose insurer vehicle in Bermuda) principal at-risk variable rate notes as: -- $300,000,000 2015-1 Class A principal at-risk variable rate notes; with an expected maturity of July 17, 2018 at 'BBsf'; Outlook Stable This affirmation is based on Fitch's annual surveillance review of the notes that includes an evaluation of the natural catastrophe risk, counterparty exposure, collateral assets and structural performance. Fitch continues to believe the natural catastrophe risk is the weakest link in this transaction. KEY RATING DRIVERS The Series 2015-1 notes provide reinsurance protection to Hannover Rueck SE ('A+' Issuer Default Rating/Outlook Stable). The notes are exposed to earthquakes for an area that includes the U.S. states of California, Oregon, Washington, Idaho, Utah, Nevada and Arizona; the British Columbia province of Canada, and the states of Baja California, Baja California Sur and Sonora of Mexico. Hannover Rueck SE also established a similar reinsurance agreement with Oak Tree Assurance, Ltd. (not rated by Fitch) a wholly owned subsidiary of Kaiser Foundation Health Plan, Inc. (IFS rated 'A+'/Outlook Stable). The trigger is per occurrence based on a parametric 'cat-in-a-box' structure utilizing up to 430 predetermined Earthquake Box Locations which are each a square box of size one degree by one degree on the Earth's surface. The area that comprises the group of Earthquake Box Locations is delineated by latitudes 26 and 54 and longitudes -132 and -110. The cumulative attachment probability over a three-year risk period was initially estimated at 2.89% by RMS. This indicates an implied rating of 'BB' using the calibration matrix in Fitch's "Insurance-Linked Securities Methodology," with a three-year time-to-risk maturity assumption (the crossover point between 'BB' and 'BB-' is 3.012%). The cumulative modeled expected loss was 2.21%. To date, there have been no reported Covered Events within the three-year Risk Period that extends from July 11, 2015, through July 10, 2018. Fitch believes the notes and indirect counterparties are performing as required. There have been no reported early redemption notices or events of default, and all agents remain in place. RATING SENSITIVITIES This rating is sensitive to the occurrence of Covered Event(s), the counterparty risk of Hannover Rueck SE, the ratings of the assets held in the Retrocession Trust Account or a potential Model Reset Event. In the case of a triggering Covered Event, Fitch will downgrade the notes reflecting an effective loss of principal and impairment of the notes, and issue a Recovery Rating. To a lesser extent, the notes may be downgraded if Hannover Rueck SE is significantly downgraded or fails to perform its obligations under the Retrocession Agreement to Acorn Re Ltd. Likewise, the ratings on the notes may be affected if the International Bank for Reconstruction Development (IBRD) notes should suffer a serious downgrade, or the terms of the IBRD notes are altered or if the subsequent assets held in the Retrocession Trust Account perform significantly worse than expectations for high-quality, short-term investments. A Model Reset Event may occur if RMS makes an updated version of its North America Earthquake Models available for commercial use prior to the commencement of any Accrual Period. Fitch believes RMS intends to update its model in 2017 (although it is not certain). Under this reset event, RMS would calculate an Updated Expected Loss, which has no specified range or limits, and an Updated Interest Spread for the notes. This model risk may have an adverse or beneficial effect on the rating of the notes. AMERIQUEST MORTGAGE 2005-R3: Moody's Hikes Cl. M-2 Debt to Caa1 --------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 32 tranches from 12 transactions backed by Subprime RMBS loans, and issued by multiple issuers. Complete rating actions are as follows: Issuer: Ameriquest Mortgage Securities Inc., Series 2005-R3 Cl. M-6, Upgraded to Caa1 (sf); previously on Aug 28, 2015 Upgraded to Caa2 (sf) Issuer: Ameriquest Mortgage Securities Inc., Series 2006-R2 Cl. A-1, Upgraded to Aa2 (sf); previously on Aug 28, 2015 Upgraded to A1 (sf) Cl. A-2C, Upgraded to Aa2 (sf); previously on Aug 28, 2015 Upgraded to A1 (sf) Cl. M-2, Upgraded to Caa1 (sf); previously on Feb 18, 2014 Upgraded to Ca (sf) Issuer: Argent Securities Inc., Series 2005-W5 Cl. A-1, Upgraded to Baa3 (sf); previously on Aug 28, 2015 Upgraded to Ba2 (sf) Issuer: BNC Mortgage Loan Trust 2007-1 Cl. A3, Upgraded to A1 (sf); previously on Aug 21, 2015 Upgraded to Baa2 (sf) Cl. A4, Upgraded to B3 (sf); previously on Aug 21, 2015 Upgraded to Caa2 (sf) Issuer: First Franklin Mortgage Loan Trust 2006-FF1 Cl. I-A, Upgraded to Aa2 (sf); previously on Aug 28, 2015 Upgraded to Aa3 (sf) Cl. II-A-3, Upgraded to Aa3 (sf); previously on Aug 28, 2015 Upgraded to A1 (sf) Cl. II-A-4, Upgraded to A2 (sf); previously on Aug 28, 2015 Upgraded to A3 (sf) Issuer: GE-WMC Asset-Backed Pass-Through Certificates, Series 2005-1 Cl. A-2c, Upgraded to Aa2 (sf); previously on Aug 21, 2015 Upgraded to A1 (sf) Issuer: GSAMP Trust 2005-AHL2 Cl. A-1A, Upgraded to Aa3 (sf); previously on Aug 31, 2015 Upgraded to A2 (sf) Cl. A-2C, Upgraded to Ba3 (sf); previously on Aug 31, 2015 Upgraded to B1 (sf) Issuer: GSAMP Trust 2006-HE1 Cl. A-1, Upgraded to Aa2 (sf); previously on Aug 31, 2015 Upgraded to Aa3 (sf) Cl. A-2D, Upgraded to Aa2 (sf); previously on Aug 31, 2015 Upgraded to A1 (sf) Issuer: GSAMP Trust 2007-HSBC1 Cl. A, Upgraded to Aa2 (sf); previously on Jan 18, 2013 Downgraded to A2 (sf) Financial Guarantor: Assured Guaranty Municipal Corp (Affirmed at A2, Outlook Stable on July 2, 2014) Cl. M-5, Upgraded to B2 (sf); previously on Aug 31, 2015 Upgraded to Caa1 (sf) Issuer: Merrill Lynch Mortgage Investors Trust 2006-FF1 Cl. A-1, Upgraded to Aa1 (sf); previously on Aug 31, 2015 Upgraded to Aa2 (sf) Cl. B-1, Upgraded to Ba3 (sf); previously on Aug 31, 2015 Upgraded to B3 (sf) Cl. B-2, Upgraded to B2 (sf); previously on Aug 31, 2015 Upgraded to Caa3 (sf) Cl. B-3, Upgraded to Ca (sf); previously on Oct 22, 2008 Downgraded to C (sf) Cl. M-1, Upgraded to Aa2 (sf); previously on Aug 31, 2015 Upgraded to A1 (sf) Cl. M-2, Upgraded to Aa3 (sf); previously on Aug 31, 2015 Upgraded to A2 (sf) Cl. M-3, Upgraded to A1 (sf); previously on Aug 31, 2015 Upgraded to A3 (sf) Cl. M-4, Upgraded to A3 (sf); previously on Aug 31, 2015 Upgraded to Baa2 (sf) Cl. M-5, Upgraded to Baa2 (sf); previously on Aug 31, 2015 Upgraded to Ba1 (sf) Cl. M-6, Upgraded to Ba1 (sf); previously on Aug 31, 2015 Upgraded to B1 (sf) Issuer: Option One Mortgage Loan Trust 2006-1 Cl. I-A-1, Upgraded to A1 (sf); previously on Aug 21, 2015 Upgraded to A3 (sf) Cl. II-A-3, Upgraded to A3 (sf); previously on Aug 21, 2015 Upgraded to Baa3 (sf) Cl. II-A-4, Upgraded to Baa3 (sf); previously on Aug 21, 2015 Upgraded to Ba2 (sf) Cl. M-1, Upgraded to B2 (sf); previously on Aug 21, 2015 Upgraded to Caa1 (sf) Issuer: Soundview Home Loan Trust 2006-2 Cl. A-4, Upgraded to Aa2 (sf); previously on Jan 23, 2015 Upgraded to A1 (sf) RATINGS RATIONALE The ratings upgraded are due to the total credit enhancement available to the bonds. The rating actions are a result of the recent performance of the underlying pools and reflects Moody's updated loss expectation on these pools. Factors that would lead to an upgrade or downgrade of the ratings: Ratings in the US RMBS sector remain exposed to the high level of macroeconomic uncertainty, and in particular the unemployment rate. The unemployment rate fell to 4.7% in May 2016 from 5.5% in May 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. CABELA'S CREDIT 2016-I: Fitch Assigns BB Rating on Class D Notes ---------------------------------------------------------------- Fitch Ratings assigns these ratings to Cabela's Credit Card Master Note Trust's asset-backed notes, series 2016-I, as: -- $570,000,000 class A-1 fixed-rate 'AAAsf'; Outlook Stable; -- $280,000,000 class A-2 floating-rate 'AAAsf'; Outlook Stable; -- $80,000,000 class B fixed-rate 'Asf'; Outlook Stable; -- $42,500,000 class C fixed-rate 'BBBsf'; Outlook Stable; -- $27,500,000 class D fixed-rate 'BBsf'; Outlook Stable. KEY RATING DRIVERS Fitch's ratings are based on the underlying receivables pool, available credit enhancement (CE), World's Foremost Bank's underwriting and servicing capabilities, and the transaction's legal and cash flow structures, which employ early redemption triggers. The transaction structure is similar to series 2015-II, with CE totalling 15% for class A, 7% for the class B, 2.75% plus an amount from a spread account for the class C, and CE of an amount from a spread account for the class D notes only. RATING SENSITIVITIES Fitch models three different scenarios when evaluating the rating sensitivity compared to expected performance for credit card asset-backed securities transactions: 1) increased defaults; 2) a reduction in monthly payment rate (MPR), and 3) a combination stress of higher defaults and lower MPR. Increasing defaults alone has the least impact on rating migration even in the most severe scenario of a 75% increase in defaults. The rating sensitivity to a reduction in MPR is more pronounced with a moderate stress, of a 25% reduction, leading to possible downgrades across all classes. The harshest scenario assumes both stresses occur simultaneously. The severe stress could lead to more drastic downgrades to all classes. To date, the transaction has exhibited strong performance with all performance metrics within Fitch's initial expectations. COMM 2013-300P: Fitch Affirms BB+ Rating on Class E Debt -------------------------------------------------------- Fitch Ratings has affirmed all rated classes of COMM 2013-300P Mortgage Trust. KEY RATING DRIVERS The affirmations of COMM 2013-300P is based on the stable performance of the underlying trust asset since issuance. The loan is interest-only for the entire 10-year term. The subject is a 25-story, 771,634 square foot office building located at 300 Park Avenue. The building is situated along a full block of Park Avenue between 49th and 50th streets in Manhattan, within the Grand Central/Plaza District submarket. The three largest tenants are Colgate-Palmolive (65.3% of the net rentable area [NRA], rated 'AA-'/Stable Outlook by Fitch), Greenhill & Company (13.6% of the NRA) and GoldenTree (5.3% of the NRA), with lease expirations in 2023, 2020 and 2018, respectively. The borrower has executed several new leases in the last year bringing occupancy up slightly to 97.6%, according to the December 2015 rent roll. There is significant exposure to the largest tenant, whose lease expiration is concurrent with the loan's scheduled maturity. There are not structural features in place to mitigate this lease roll; however, Colgate-Palmolive has demonstrated a commitment to the subject property through a long-term occupancy of 60 years, an early lease renewal in 2008 for an additional 15 years and recent ongoing investments to their space. Additionally, the tenant's lease contains two renewal options (one 10-year and one five-year) each upon at least 24 months prior notice. RATING SENSITIVITIES The Rating Outlook for all classes remains Stable. No rating actions are expected unless there are material changes to the property occupancy and cash flow. Fitch affirms these classes as indicated: -- $222 million class A1 at 'AAAsf', Outlook Stable; -- $75 million class A1P at 'AAAsf', Outlook Stable; -- $297 million class X-A* at 'AAAsf', Outlook Stable; -- $61 million class B at 'AA-sf'; Outlook Stable; -- $42 million class C at 'A-sf'; Outlook Stable; -- $57 million class D at 'BBB-sf'; Outlook Stable; -- $28 million class E at 'BB+sf'; Outlook Stable. *notional and interest-only. MONROE CAPITAL 2016-1: Moody's Assigns (P)Ba3 Ratings to Cl. E Debt ------------------------------------------------------------------- Moody's Investors Service assigned provisional ratings to five classes of notes to be issued by Monroe Capital MML CLO 2016-1, Ltd. (the "Issuer" or "Monroe Capital MML CLO 2016-1"). Moody's rating action is as follows: U.S.$224,000,000 Class A Senior Floating Rate Notes due 2028 (the "Class A Notes"), Assigned (P)Aaa (sf) U.S.$41,000,000 Class B Floating Rate Notes due 2028 (the "Class B Notes"), Assigned (P)Aa2 (sf) U.S.$24,000,000 Class C Deferrable Mezzanine Floating Rate Notes due 2028 (the "Class C Notes"), Assigned (P)A2 (sf) U.S.$31,000,000 Class D Deferrable Mezzanine Floating Rate Notes due 2028 (the "Class D Notes"), Assigned (P)Baa3 (sf) U.S.$32,000,000 Class E Deferrable Mezzanine Floating Rate Notes due 2028 (the "Class E Notes"), Assigned (P)Ba3 (sf) The Class A Notes, the Class B Notes, the Class C Notes, the Class D Notes and the Class E Notes are referred to herein, collectively, as the "Rated Notes." Moody's issues provisional ratings in advance of the final sale of financial instruments, but these ratings only represent Moody's preliminary credit opinions. Upon a conclusive review of a transaction and associated documentation, Moody's will endeavor to assign definitive ratings. A definitive rating, if any, may differ from a provisional rating. RATINGS RATIONALE Moody's provisional ratings of the Rated Notes address the expected losses posed to noteholders. The provisional ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. Moody’s said, "Monroe Capital MML CLO 2016-1 is a small to middle enterprise ("SME") managed cash flow CLO. The issued notes will be collateralized primarily by SME and broadly syndicated first lien senior secured corporate loans. At least 95% of the portfolio must consist of senior secured loans, cash, and eligible investments, and up to 5% of the portfolio may consist of second lien loans and unsecured loans. We expect the portfolio to be approximately 56% ramped as of the closing date." Monroe Capital Management LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's four year reinvestment period. After the end of the reinvestment period, the Manager may sell assets, subject to certain conditions, but is not permitted to purchase any assets. REALT 2006-1: Moody's Cuts Class XC-2 Debt Rating to B1(sf) ----------------------------------------------------------- Moody's Investors Service has downgraded the ratings of two classes in Real Estate Asset Liquidity Trust, Commercial Mortgage Pass-Through Certificates, Series 2006-1 as follows: Cl. XC-1, Downgraded to B1 (sf); previously on Jul 17, 2015 Affirmed Ba3 (sf) Cl. XC-2, Downgraded to B1 (sf); previously on Jul 17, 2015 Affirmed Ba3 (sf) RATINGS RATIONALE The rating of the IO Classes were downgraded due to the decline in credit performance of its reference classes as a result of principal paydowns of higher quality reference classes. The IO classes are the only outstanding Moody's-rated classes in this transaction. Moody's rating action reflects a base expected loss of 11.1% of the current balance, compared to 1.7% at Moody's last review. The deal has not experienced any realized losses, and Moody's base expected loss plus realized losses is now 0.1% of the original pooled balance, compared to 0.7% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The rating of an IO class is based on the credit performance of its referenced classes. An IO class may be upgraded based on a lower weighted average rating factor or WARF due to an overall improvement in the credit quality of its reference classes. An IO class may be downgraded based on a higher WARF due to a decline in the credit quality of its reference classes, paydowns of higher quality reference classes or non-payment of interest. Classes that have paid off through loan paydowns or amortization are not included in the WARF calculation. Classes that have experienced losses are grossed up for losses and included in the WARF calculation, even if Moody's has withdrawn the rating. DEAL PERFORMANCE As of the June 13, 2016 distribution date, the transaction's aggregate certificate balance has decreased by 99% to $3.03 million from $396 million at securitization. The Certificates are collateralized by two mortgage loans. Moody’s said, “One loan, representing 90% of the pool, is on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of our ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance.” No loans have been liquidated from the pool with realized losses, and no loans are currently in special servicing. One of the two remaining loans is the Olive Plaza - USC - AB Loan ($2.7 million -- 90% of the pool), which is secured by a multi-tenant strip shopping Centre situated on the north side of Stony Plain Road at 173rd Street in west central Edmonton, Alberta, Canada. The loan has been on the watchlist since July 2013 due to the largest tenant went dark reportedly at the beginning of February 2013. A new tenant moved in 2016. As of May 2016, the property was 80% leased, compared to 23% leased as of June 2015. Moody's LTV and stressed DSCR are 128% and 0.82X, respectively, compared to 253% and 0.42X at prior review. The other loan ($0.3 million -- 10% of the pool) is a fully amortizing loan that has amortized 93% since securitization. Moody's LTV and stressed DSCR are 5% and 21.1X, respectively, compared to 12.4% and 8.3X at prior review. SARATOGA INVESTMENT 2013-1: S&P Affirms B Rating on Class F Notes ----------------------------------------------------------------- S&P Global Ratings affirmed its ratings on the class A-1, A-2, B, C, D, E, and F notes from Saratoga Investment Corp. CLO 2013-1 Ltd., a U.S. collateralized loan obligation (CLO) managed by Saratoga Investment Advisors LLC. The rating actions follow S&P's review of the transaction's performance, using data from the trustee report dated May 4, 2016. The transaction (originally GSC Investment Corp. CLO 2007 Ltd.) experienced an optional redemption and refinancing in October 2013, and remains in its reinvestment period until October 2016. Since the refinancing, the transaction has maintained relatively stable performance, with overcollateralization (O/C) levels roughly equal to those in S&P's initial rating assignments. Credit quality of the underlying portfolio has deteriorated slightly, as the weighted average rating decreased to 'B' from 'B+', but this has been offset by a decrease in the weighted average life of the collateral. In addition, collateral rated 'CCC+' or lower by S&P Global Ratings totals only 2.6% of the portfolio, and the transaction holds only one defaulted position with a par balance of $1.0 million. The affirmed ratings reflect adequate credit support at the current rating levels. Although the cash flow results indicated higher ratings for the class B, C, and D notes, S&P took into account that the transaction is still in its reinvestment period for four more months, and that it has not yet paid down any principal to the rated notes. Future reinvestment activity could change some of the underlying portfolio characteristics. The cash flow analysis pointed to a downgrade for the class F notes, but S&P's decision to affirm was based on the overall stable performance of the transaction and the low exposure to 'CCC' rated assets. However, S&P notes that the transaction has been structured such that the class F notes will not be covered by an O/C test after the transaction exits its reinvestment period, when the interest diversion test is no longer calculated. The notes could, therefore, be susceptible to a downgrade if the transaction begins to experience larger losses during the amortization period. S&P's review of the transaction also relied, in part, on a criteria interpretation with respect to "CDOs: Mapping A Third Party's Internal Credit Scoring System To Standard & Poor's Global Rating Scale," published May 8, 2014, which allows us to use a limited number of public ratings from other nationally recognized statistical rating organizations for the purposes of assessing the credit quality of assets not rated by S&P Global Ratings. The criteria provide specific guidance for treatment of corporate assets that S&P do not rate, and the interpretation outlines the treatment of securitized assets. 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 Global Ratings will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and will take rating actions as it deems necessary. CASH FLOW RESULTS AND SENSITIVITY ANALYSIS Saratoga Investment Corp. CLO 2013-1 Ltd. Cash flow Previous implied Cash flow Final Class rating rating (i) cushion (ii) rating A-1 AAA (sf) AAA (sf) 11.02% AAA (sf) A-2 AAA (sf) AAA (sf) 4.20% AAA (sf) B AA (sf) AA+ (sf) 2.54% AA (sf) C A (sf) A+ (sf) 3.76% A (sf) D BBB (sf) BBB+ (sf) 3.09% BBB (sf) E BB (sf) BB (sf) 0.44% BB (sf) F B (sf) CCC+ (sf) 2.18% 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 (BDR) above the scenario default rate (SDR) 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) AA+ (sf) AA+ (sf) AAA (sf) AAA (sf) B AA+ (sf) AA- (sf) AA (sf) AA+ (sf) AA (sf) C A+ (sf) A- (sf) A+ (sf) AA- (sf) A (sf) D BBB+ (sf) BBB- (sf) BBB+ (sf) BBB+ (sf) BBB (sf) E BB (sf) B+ (sf) BB- (sf) BB+ (sf) BB (sf) F CCC+ (sf) CCC- (sf) CCC+ (sf) CCC+ (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-1 AAA (sf) AAA (sf) AAA (sf) AAA (sf) A-2 AAA (sf) AAA (sf) AA+ (sf) AAA (sf) B AA+ (sf) AA (sf) A+ (sf) AA (sf) C A+ (sf) A+ (sf) BBB+ (sf) A (sf) D BBB+ (sf) BBB (sf) BB+ (sf) BBB (sf) E BB (sf) B+ (sf) B- (sf) BB (sf) F CCC+ (sf) CCC (sf) CCC- (sf) B (sf) RATINGS AFFIRMED Saratoga Investment Corp. CLO 2013-1 Ltd. Class Rating A-1 AAA (sf) A-2 AAA (sf) B AA (sf) C A (sf) D BBB (sf) E BB (sf) F B (sf) SEVEN STICKS: Moody's Assigns Ba3 Rating to Class D Notes --------------------------------------------------------- Moody's Investors Service has assigned ratings to five classes of notes issued by Seven Sticks CLO Ltd. (the "Issuer" or "Seven Sticks"). Moody's rating action is as follows: US$256,000,000 Class A-1 Senior Secured Floating Rate Notes due 2028 (the "Class A-1 Notes"), Assigned Aaa (sf) US$44,300,000 Class A-2 Senior Secured Floating Rate Notes due 2028 (the "Class A-2 Notes"), Assigned Aa2 (sf) US$20,600,000 Class B Mezzanine Secured Deferrable Floating Rate Notes due 2028 (the "Class B Notes"), Assigned A2 (sf) US$27,300,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2028 (the "Class C Notes"), Assigned Baa3 (sf) US$20,000,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2028 (the "Class D Notes"), Assigned Ba3 (sf) The Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the Class C Notes and the Class D Notes are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE Moody's ratings of the Rated Notes address the expected losses posed to noteholders. The ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. Seven Sticks is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated first lien senior secured corporate loans. At least 90% of the portfolio must consist of senior secured loans, cash and eligible investments, and up to 10% of the portfolio may consist of second lien loans and unsecured loans. The portfolio is approximately 90% ramped as of the closing date. Guggenheim Partners Investment Management, LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's four year reinvestment period. Thereafter, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets, subject to certain restrictions. SIERRA AUTO 2016-1: S&P Assigns 'BB' Rating on Class C Notes ------------------------------------------------------------ S&P Global Ratings assigned its ratings to Sierra Auto Receivables Securitization Trust 2016-1's $135 million automobile receivables-backed notes series 2016-1. The note issuance is an asset-backed securities transaction backed by subprime auto loan receivables. The ratings reflect: -- The availability of approximately 41.9%, 32.6%, and 26.8% credit support for the class A, B, and C notes, respectively, based on stressed cash flow scenarios (including excess spread), which provides coverage of more than 2.1x, 1.6x, and 1.3x our 19.00%-20.00% expected cumulative net loss. -- The timely interest and principal payments made to the rated notes by the assumed legal final maturity dates under stressed cash flow modeling scenarios that S&P believes is appropriate for the assigned ratings. -- S&P's expectation that under a moderate ('BBB') stress scenario, all else being equal, its rating on the class A notes would remain within one rating category of S&P's 'A (sf)' rating during the first year, and that its ratings on the class B and C notes would remain within two rating categories of S&P's 'BBB (sf)' and 'BB (sf)' ratings, respectively, during the first year. These potential rating movements are consistent with S&P's credit stability criteria, which outline the outer bound of credit deterioration as a two-category downgrade within the first year for 'A (sf)', 'BBB (sf)', and 'BB (sf)' rated securities under moderate stress conditions. -- The collateral characteristics of the overall nonprime automobile loan pool securitized in this transaction. -- The transaction's payment and legal structures. RATINGS ASSIGNED Sierra Auto Receivables Securitization Trust 2016-1 Class Rating Type Interest Amount rate (mil. $) A A (sf) Senior Fixed 102.20 B BBB (sf) Subordinate Fixed 16.90 C BB (sf) Subordinate Fixed 15.90 SIERRA TIMESHARE 2011-3: Fitch Affirms BB Rating on Cl. C Notes --------------------------------------------------------------- Fitch Ratings has affirmed the notes issued by various Sierra Timeshare Receivables transactions. KEY RATING DRIVERS The rating affirmations reflect the ability of each transaction's credit enhancement (CE) to provide loss coverage consistent with the current ratings. Since Fitch's prior review of the transactions, cumulative gross default (CGD) performance has been stable, with the majority of transactions tracking within their respective initial base case proxy. The Stable Outlook designation for all five transactions reflects Fitch's expectation that the notes will remain sufficiently enhanced to cover stressed loss levels for the next 12 to 18 months. Fitch will continue to monitor economic conditions and their impact to trust level performance variables and update the ratings accordingly. RATING SENSITIVITIES Unanticipated increases in the frequency of defaults could produce cumulative gross default (CGD) levels higher than the base case and would likely result in declines of credit enhancement and remaining default coverage levels available to the notes. Additionally, unanticipated increases in prepayment activity could also result in a decline in coverage. Decreased default coverage may make certain note ratings susceptible to potential negative rating actions, depending on the extent of the decline in coverage. At the time of initial rating, Fitch conducted sensitivity analysis stressing each of the transaction's initial base case CGD and prepayment assumptions by 1.5x and 2.0x and examining the rating implications on all classes of issued notes. The 1.5x and 2.0x increases of each transaction's base case CGD and prepayment assumptions represent moderate and severe stresses, respectively, and are intended to provide an indication of the rating sensitivity of notes to unexpected deterioration of a trust's performance. DUE DILIGENCE USAGE No third party due diligence was provided or reviewed in relation to this rating action. Fitch has affirmed these ratings: Sierra Timeshare 2011-3 Receivables Funding, LLC -- Class A notes at 'Asf'; Outlook Stable; -- Class B notes at 'BBBsf'; Outlook Stable; -- Class C notes at 'BBsf'; Outlook Stable. Sierra Timeshare 2012-3 Receivables Funding, LLC -- Class A notes at 'Asf'; Outlook Stable; -- Class B notes at 'BBBsf'; Outlook Stable. Sierra Timeshare 2013-3 Receivables Funding, LLC -- Class A notes at 'Asf'; Outlook Stable; -- Class B notes at 'BBBsf'; Outlook Stable. Sierra Timeshare 2014-3 Receivables Funding, LLC -- Class A notes at 'Asf'; Outlook Stable; -- Class B notes at 'BBBsf'; Outlook Stable. Sierra Timeshare 2015-3 Receivables Funding, LLC -- Class A notes at 'Asf'; Outlook Stable; -- Class B notes at 'BBBsf'; Outlook Stable. WACHOVIA BANK 2003-C6: Moody's Cuts Cl. O Debt Rating to Ba1(sf) ---------------------------------------------------------------- Moody's Investors Service affirmed one class and downgraded one class in Wachovia Bank Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2003-C6 as follows: Cl. O, Downgraded to Ba1 (sf); previously on Jul 30, 2015 Upgraded to Baa3 (sf) Cl. IO, Affirmed Caa3 (sf); previously on Jul 30, 2015 Affirmed Caa3 (sf) RATINGS RATIONALE The rating on one P&I class, Class O, was downgraded due to anticipated interest shortfalls from a specially serviced loan that is higher than Moody's had previously expected. The rating on the IO class was affirmed based on the credit performance (or the weighted average rating factor or WARF) of the referenced classes. Moody's rating action reflects a base expected loss of 22.6% of the current balance compared to 20.3% at Moody's prior review. Moody's base expected loss plus realized losses increased to 0.9% of the original pooled balance compared to 0.8% at last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. DEAL PERFORMANCE As of the June 15, 2016 distribution date, the transaction's aggregate certificate balance has decreased by 99% to $10 million from $953 million at securitization. The Certificates are collateralized by five mortgage loans ranging in size from 5% to 40% of the pool. Seven loans have been liquidated from the pool, resulting in an aggregate realized loss of $6.0 million (19% loss severity on average). One loan, the Trader Joe's Plaza Loan ($4.0 million -- 40.4% of the pool), is currently in special servicing. The loan is secured by a 45,000 square foot (SF) retail property located in Las Vegas, Nevada. The loan transferred to special servicing in July 2013 due to maturity default and the Borrower filed for Chapter 11 Bankruptcy in March 2014. The special servicer indicated the Bankruptcy proceedings are ongoing. The property was 80% occupied as of December 2015 compared to 68% in December 2014. The property is anchored by Trader Joe's which represents 28% of the rentable area. Trader Joe's lease expired in October 2015 and they are currently at the property on a month to month basis. Moody's received full year 2015 operating results for 100% of the pool. Moody's weighted average LTV is 78% compared to 70% 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 33% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.8%. Moody's actual and stressed DSCRs are 0.81X and 1.51X, respectively, compared to 0.98X and 1.67X at the last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three performing conduit loans represent 55% of the pool balance. The largest loan is the Rite Aid -- Las Vegas, NV Loan ($2.35 million -- 23.5% of the pool), which is secured by a 17,000 SF retail property located in Las Vegas, Nevada. The property is fully leased to Rite Aid, which subleases the space to Dollar General. The loan is fully amortizing and matures in June 2023. The loan and lease are co-terminous. Due to the single tenant nature of the property, Moody's incorporated a lit/dark analysis for this property. Moody's LTV and stressed DSCR are 71% and 1.51X, respectively, compared to 80% and 1.35X at last review. The second largest loan is the Bailey Building Loan ($1.93 million -- 19.3% of the pool), which is secured by a 45,000 SF office located in Montgomery, Alabama. The property was 83% leased as of June 2016 compared to 81% leased in June 2015. Moody's LTV and stressed DSCR are 92% and 0.96X, respectively, compared to 80% and 1.29X at last review. The third largest loan is the Rite Aid -- Bayville, NJ Loan ($1.21 million -- 12.1% of the pool), which is secured by an 11,000 SF retail property located in Bayville, New Jersey. The property is fully leased to Rite Aid through September 2018 (the same as the loan maturity date). The loan is not fully amortizing, but has amortized 45% since securitization. Due to the single tenant nature of the property, Moody's incorporated a lit/dark analysis for this property. Moody's LTV and stressed DSCR are 86% and 1.25X, respectively, compared to 74% and 1.46X at last review. WEST CLO 2012-1: S&P Lowers Rating on Class D Notes to BB- ---------------------------------------------------------- S&P Global Ratings lowered its rating on the class D notes from West CLO 2012-1 Ltd., a U.S. collateralized loan obligation (CLO) managed by Allianz Global Investors Capital that closed in November 2012. At the same time, S&P removed this rating from CreditWatch negative, where it placed it on May 25, 2016. In addition, S&P affirmed its ratings on the class A-1, A-2, B, and C notes from the same transaction. The rating actions follow S&P's review of the transaction's performance using data from the May 18, 2016, trustee report. The transaction is scheduled to remain in its reinvestment period until October 2016, and S&P anticipates the manager will continue to reinvest principal proceeds in line with the transaction documents. Since S&P's effective date rating affirmations in June 2013, the transaction has experienced par loss and credit deterioration in the underlying collateral portfolio. The reported overcollateralization (O/C) ratios for each of the rated notes have decreased due to the aforementioned par loss, as well as a haircut on the amount of 'CCC' rated assets, as of the May 2016 report from the 2013 effective date report: -- The class A O/C ratio decreased to 130.37% from 134.28%. -- The class B O/C ratio decreased to 117.32% from 120.83%. -- The class C O/C ratio decreased to 111.19% from 114.51%. -- The class D O/C ratio decreased to 105.85% from 109.02%. In addition, the interest diversion test on the class D notes has decreased, for the same reasons as noted above, to 105.85% from 109.02%, and was failing by 0.15% as of the May trustee report. If this test is still failing on the determination date for the July payment date, the transaction will divert excess interest proceeds to purchase additional collateral in an amount equal to the lesser of the amount necessary to cause this test to pass and 50% of the total excess interest. The transaction has benefited from the collateral's seasoning, as the reported weighted average life decreased to 3.99 years from 5.13 years. This has helped to partially mitigate the deterioration in credit quality, as defaulted assets and those with an S&P Global Ratings' credit rating of 'CCC+' or lower have increased to 4.79% and 7.69% of the aggregate principal balance, respectively, from 0% at the effective date. An above-average exposure to the distressed energy sector has contributed to this distressed collateral total, as assets with an S&P Global Ratings' industry categorization of oil and gas and nonferrous metals/minerals were reported at 11.94% of the aggregate principal balance. A large percentage of the 'CCC' and defaulted collateral come from these two industry categories. While the cash flow analysis pointed to an affirmation with slim cushion for the class D notes, S&P considered the negative factors mentioned above in its decision to downgrade the notes by one notch to 'BB- (sf)'. The affirmations of the ratings assigned to the other classes of notes reflect S&P's belief that the credit support available is commensurate with the current rating levels. S&P will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and S&P will take further rating actions as it deems necessary. CASH FLOW AND SENSITIVITY ANALYSIS West CLO 2012-1 Ltd. Cash flow Previous implied Cash flow Final Class rating rating(i) cushion(ii) rating A-1 AAA (sf) AAA (sf) 7.62% AAA (sf) A-2 AA (sf) AA+ (sf) 11.09% AA (sf) B A (sf) A+ (sf) 4.84% A (sf) C BBB (sf) BBB+ (sf) 3.49% BBB (sf) D BB (sf)/Watch Neg BB (sf) 0.21% 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 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-1 AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf) A-2 AA+ (sf) AA+ (sf) AA+ (sf) AAA (sf) AA (sf) B A+ (sf) A- (sf) A+ (sf) AA- (sf) A (sf) C BBB+ (sf) BBB- (sf) BBB+ (sf) BBB+ (sf) BBB (sf) D BB (sf) B+ (sf) BB- (sf) BB+ (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) AA+ (sf) AAA (sf) A-2 AA+ (sf) AA+ (sf) AA- (sf) AA (sf) B A+ (sf) A+ (sf) BBB+ (sf) A (sf) C BBB+ (sf) BBB (sf) BB- (sf) BBB (sf) D BB (sf) B+ (sf) CCC- (sf) BB- (sf) RATING LOWERED AND REMOVED FROM CREDITWATCH West CLO 2012-1 Ltd. Rating Class To From D BB- (sf) BB (sf)/Watch Neg RATINGS AFFIRMED West CLO 2012-1 Ltd. Class Rating A-1 AAA (sf) A-2 AA (sf) B A (sf) C BBB (sf) WFRBS COMMERCIAL 2012-C9: Moody's Affirms B2 Rating on Cl. F Debt ----------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on 12 classes in WFRBS Commercial Mortgage Trust, Commercial Pass-Through Certificates, Series 2012-C9 as follows: Cl. A-1, Affirmed Aaa (sf); previously on Aug 27, 2015 Affirmed Aaa (sf) Cl. A-2, Affirmed Aaa (sf); previously on Aug 27, 2015 Affirmed Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on Aug 27, 2015 Affirmed Aaa (sf) Cl. A-S, Affirmed Aaa (sf); previously on Aug 27, 2015 Affirmed Aaa (sf) Cl. A-SB, Affirmed Aaa (sf); previously on Aug 27, 2015 Affirmed Aaa (sf) Cl. B, Affirmed Aa3 (sf); previously on Aug 27, 2015 Affirmed Aa3 (sf) Cl. C, Affirmed A3 (sf); previously on Aug 27, 2015 Affirmed A3 (sf) Cl. D, Affirmed Baa3 (sf); previously on Aug 27, 2015 Affirmed Baa3 (sf) Cl. E, Affirmed Ba2 (sf); previously on Aug 27, 2015 Affirmed Ba2 (sf) Cl. F, Affirmed B2 (sf); previously on Aug 27, 2015 Affirmed B2 (sf) Cl. X-A, Affirmed Aaa (sf); previously on Aug 27, 2015 Affirmed Aaa (sf) Cl. X-B, Affirmed A1 (sf); previously on Aug 27, 2015 Affirmed A1 (sf) RATINGS RATIONALE The ratings on 10 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 the referenced classes. Moody's rating action reflects a base expected loss of 2.8% of the current balance, compared to 3.2% at Moody's last review. Moody's base expected loss plus realized losses is now 2.6% of the original pooled balance, compared to 3.1% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. DEAL PERFORMANCE As of the June 17, 2016 distribution date, the transaction's aggregate certificate balance has decreased by 6% to $987 million from $1.05 billion at securitization. The certificates are collateralized by 72 mortgage loans ranging in size from less than 1% to 11% of the pool, with the top ten loans constituting 44% of the pool. Five loans, constituting 6% of the pool, have defeased and are secured by US government securities. Seven loans, constituting 8% 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. Moody's received full year 2015 operating results for 98% of the pool and partial year 2016 operating results for 63% of the pool. Moody's weighted average conduit LTV is 91%, 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 14% 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 1.63X and 1.23X, respectively, compared to 1.58X and 1.16X 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 21% of the pool balance. The largest loan is the Chesterfield Towne Center Loan ($105.5 million -- 10.7% of the pool), which is secured by a nearly one million square foot (SF) regional mall plus an adjacent 72,000 SF retail property in North Chesterfield, Virginia. The malls anchors are Macy's, Garden Ridge, Sears, and JC Penney. Sears and JC Penney occupy their spaces on ground leases, while the Macy's and Garden Ridge boxes are owned by the borrower. As of December 2015, the total mall and inline spaces were 96% and 80% leased, compared to 95% and 80% as of June 2014. Moody's LTV and stressed DSCR are 95% and 1.05X, respectively, compared to 96% and 1.04X at the last review. The second largest loan is the Town Pavilion Loan ($56.9 million -- 5.8% of the pool), which is secured by 844,000 SF of office and parking garages in downtown Kansas City, Missouri. The loan consists of four office buildings, two parking garages and includes the 38-story Town Pavilion office tower, the second tallest building in Kansas City. As of December 2015, the properties were 94% leased, up from 92% leased as of June 2014. Moody's LTV and stressed DSCR are 87% and 1.21X, respectively, compared to 93% and 1.14X at the last review. The third largest loan is the Christiana Center Loan ($46.9 million -- 4.8% of the pool), which is secured by a 303,000 SF power center located in Newark, Delaware. The collateral consists of 162,000 SF of owned retail space plus the land beneath a Costco store. As of December 2015, the property was 100% leased, unchanged from August 2014 and securitization. In addition to Costco, anchors include Dick's Sporting Goods (lease expiration: November 2023), HHGregg (lease expiration: May 2020) and Michaels (lease expiration: February 2018). Moody's LTV and stressed DSCR are 101% and 0.97X, respectively, compared to 105% and 0.93X at the last review. [*] S&P Completes Review of 73 Classes From 12 RMBS Deals --------------------------------------------------------- S&P Global Ratings, on June 29, 2016, completed its review of 73 classes from 12 U.S. residential mortgage-backed securities (RMBS) transactions issued between 2002 and 2006. The review yielded various upgrades, downgrades, affirmations, withdrawals, and one discontinuance. The transactions in this review are backed by a mix of fixed- and adjustable-rate prime jumbo and alternative-A mortgage loans, which are secured primarily by first liens on one- to four-family residential properties. ANALYSIS Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by S&P's projected cash flows. These considerations are based on transaction-specific performance or structural characteristics (or both) and their potential effects on certain classes. UPGRADES The upgrades include three ratings that were raised three or more notches. S&P's projected credit support for the affected classes is sufficient to cover its projected losses for these rating levels. The upgrades reflect one or more of: -- Improved collateral performance/delinquency trends; and/or -- The class' expected short duration. The upgrade on class M-2 from Merrill Lynch Mortgage Investors, Series 2003-A4 reflects a decrease in S&P's projected losses and its belief that its projected credit support for the affected classes will be sufficient to cover S&P's revised projected losses at these rating levels. S&P has decreased its projected losses because there have been fewer reported delinquencies during the most recent performance periods than the amount reported during the previous review dates. Severe delinquencies decreased to 8.96% at May 2016 from 13.7% at June 2015. DOWNGRADES The downgrades include five ratings that were lowered three or more notches. S&P lowered its ratings on one class to speculative grade ('BB+' or lower) from investment grade ('BBB-' or higher). Another six of the lowered ratings remained at an investment-grade level, while the remaining four downgraded classes already had speculative-grade ratings. The downgrades reflect S&P's belief that its projected credit support for the affected classes will be insufficient to cover its projected losses for the related transactions at a higher rating. The downgrades reflect one or more of: -- Deteriorated credit performance trends; -- Decreased credit enhancement available to the classes; and/or -- Tail risk. S&P lowered the rating on the B-3 class from Banc of America Funding 2002-2 Trust to 'D (sf)' because of principal write-downs incurred by this class. The downgrades on classes 1-A and 2-A from HarborView Mortgage Loan Trust 2004-3 reflect the impact of the passing of the payment allocation triggers, allowing principal payments to be made to more subordinate classes, eroding projected credit support for the affected senior classes. Tail Risk Some of the transactions in this review are backed by a small remaining pool of mortgage loans. S&P believes that pools with less than 100 loans remaining create an increased risk of credit instability, because a liquidation and subsequent loss on one loan, or a small number of loans, at the tail end of a transaction's life may have a disproportionate impact on a given RMBS tranche's remaining credit support. S&P refers to this as "tail risk." S&P addressed the tail risk on the classes in this review by conducting a loan-level analysis that assessed this risk, as set forth in S&P's tail risk criteria. This review resulted in S&P's lowering of the ratings on First Horizon Mortgage Pass-Through Trust 2005-AR4 classes IV-A-1, IV-A-2, and IV-A-3. AFFIRMATIONS The affirmations of ratings in the 'AAA' through 'B' rating categories reflect S&P's opinion that its projected credit support on these classes remained relatively consistent with S&P's prior projections and is sufficient to cover its projected losses for those rating scenarios. For certain transactions, S&P considered specific performance characteristics that, in its view, could add volatility to its loss assumptions and, in turn, to the ratings suggested by S&P's cash flow projections. When S&P's model recommended an upgrade, S&P either limited the extent of our upgrade or affirmed its ratings on those classes to account for this uncertainty and promote ratings stability. In general, these classes have one or more of these characteristics that limit any potential upgrade: -- Insufficient subordination, overcollateralization, or both; -- Historical interest shortfalls; -- Low priority in principal payments; and/or -- Tail risk. In addition, some of the transactions have failed their delinquency triggers, resulting in reduced -- or a complete stop of -- unscheduled principal payments to their subordinate classes. However, these transactions allow for unscheduled principal payments to resume to the subordinate classes if the delinquency triggers begin passing again. This would result in eroding the credit support available for the more senior classes. Therefore, S&P affirmed its ratings on certain classes in these transactions even though these classes may have passed at higher rating scenarios. The ratings affirmed at 'CCC (sf)' or 'CC (sf)' reflect S&P's belief that its projected credit support will remain insufficient to cover its 'B' expected case projected losses for these classes. Pursuant to"Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings," Oct. 1, 2012, the 'CCC (sf)' affirmations reflect S&P's view that these classes are still vulnerable to defaulting, and the 'CC (sf)' affirmations reflect S&P's view that these classes remain virtually certain to default. WITHDRAWALS S&P withdrew its ratings on classes from Banc of America Mortgage Trust 2004-9, First Horizon Mortgage Pass-Through Trust 2005-AR4, and Banc of America Funding 2006-5 Trust because the related pools have a small number of loans remaining. Once a pool has declined to a de minimis amount, S&P believes there is a high degree of credit instability that is incompatible with any rating level. DISCONTINUANCES S&P discontinued its 'D (sf)' rating on class M-3 from RALI Series 2002-QS11 Trust, which had a zero balance. This class has been written down to zero as a result of realized losses that remain outstanding. S&P discontinued this rating according to its surveillance and withdrawal policy, as S&P views a subsequent upgrade to a rating higher than 'D (sf)' to be unlikely under the relevant criteria. ECONOMIC OUTLOOK When determining a U.S. RMBS collateral pool's relative credit quality, S&P's loss expectations stem, to a certain extent, from its view of how the loans will behave under various economic conditions. S&P Global Ratings' baseline macroeconomic outlook assumptions for variables that it believes could affect residential mortgage performance are: -- An overall unemployment rate of 4.8% in 2016; -- Real GDP growth of 2.3% for 2016; -- An inflation rate of 1.8% in 2016; and -- An average 30-year fixed mortgage rate of about 4.1% in 2016. S&P's outlook for RMBS is stable. Although S&P views overall housing fundamentals positively, it believes RMBS fundamentals still hinge on additional factors, such as the ultimate fate of modified loans, the propensity of servicers to advance on delinquent loans, and liquidation timelines. Under S&P's baseline economic assumptions, it expects RMBS collateral quality to improve. However, if the U.S. economy were to become stressed in line with S&P Global Ratings' downside forecast, it believes that U.S. RMBS credit quality would weaken. S&P's downside scenario reflects these key assumptions: -- Total unemployment will tick up to 5.1% for 2016; -- Downward pressure will cause GDP growth to fall to 1.3% in 2016; -- Home price momentum will slow as potential buyers are not able to purchase property; and -- While the 30-year fixed mortgage rate remains a low 3.7% in 2016, limited access to credit and pressure on home prices will largely prevent consumers from capitalizing on these rates. A list of the Affected Ratings is available at: http://bit.ly/29DkgTK ********* 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. 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