/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/161002.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, October 2, 2016, Vol. 20, No. 275 Headlines ACACIA CDO 6: Fitch Withdraws 'D' Rating on Class A-1 Notes ALM LTD VII: S&P Raises Rating on Class D Notes to BB+ ANCHORAGE CAPITAL 2012-1: S&P Gives Prelim B Rating on D-R Notes BANC OF AMERICA 2004-2: Moody's Hikes Class O Notes Rating to Ba1 BATTALION CLO IV: S&P Affirms B Rating on Class E Notes BCC FUNDING: Moody's Assigns Ba1 Rating on Class D Notes BLADE ENGINE 2006-1: S&P Lowers Rating on Class B Notes to CC BLUEMOUNTAIN CLO 2013-1: S&P Affirms BB Rating on Cl. D Notes BLUEMOUNTAIN CLO 2016-3: S&P Gives Prelim. BB Rating on Cl. E Notes CARLYLE GLOBAL 2014-1: S&P Lowers Rating on Sr. Notes to BB CATHEDRAL LAKE IV: S&P Gives Prelim BB- Rating on 2 Tranches CITIGROUP COMMERCIAL 2016-P5: Fitch Rates on Cl. E Debt 'BB-' CITIGROUP MORTGAGE 2013-J1: S&P Affirms BB Rating on Cl. B-4 Certs COLONY MORTGAGE 2015-FL3: DBRS Confirms BB Rating on Class E Notes COMM 2014-FL4: S&P Affirms BB- Rating on Cl. SOF1 Certificates CONN RECEIVABLES 2016-B: Fitch Assigns BB Rating on Class B Debt DT AUTO 2016-4: DBRS Assigns BB Rating on Class E Debt DT AUTO 2016-4: S&P Assigns Prelim. BB Rating on Class E Notes EQTY 2014-INNS: S&P Affirms B- Rating on 2 Tranches EXETER AUTOMOBILE 2016-3: DBRS Gives Prov. BB Rating on Cl. D Notes EXETER AUTOMOBILE 2016-3: S&P Gives Prelim BB Rating on Cl. D Notes FIGUEROA CLO 2013-2: S&P Affirms BB Rating on Class D Notes FINN SQUARE: S&P Affirms BB Rating on Class D Notes FIRST INVESTORS 2016-2: S&P Assigns BB Rating on Class E Notes FIRSTMAC MORTGAGE 3-2016: S&P Gives Prelim BB Rating on Cl. D Notes FREDDIE MAC 2016-DNA4: Fitch to Rate 2 Tranches 'Bsf' GCA2014 HOLDINGS: S&P Lowers Rating on Class C Notes to B GMAC COMMERCIAL 2003-C1: Moody's Hikes Cl. N-2 Debt Rating to B3 GOLUB CAPITAL 11: S&P Raises Rating on Class D Notes to 'BB+' GREENBRIAR CLO: Moody's Affirms Ba1 Class D Notes Rating GREENWICH STRUCTURED: Moody's Confirms B3 Rating on N-1 Notes GS MORTGAGE 2006-RR2: Moody's Affirms Caa3 Rating on Cl. A-1 Debt GSCCRE COMMERCIAL 2015-HULA: Fitch Affirms B- Rating on 3 Certs. HIGHBRIDGE LOAN 2013-2: S&P Affirms B Rating on Class E Notes INSTITUTIONAL MORTGAGE 2013-3: Fitch Affirms B Rating on Cl. G Debt INSTITUTIONAL MORTGAGE 2013-4: Fitch Affirms B Rating on Cl. G Debt JP MORGAN 2016-3: Moody's Assigns Ba2 Rating on Class B-3 Notes KEY COMMERCIAL 2007-SL1: Moody's Cuts Cl. X Debt Rating to Caa2 LB-UBS COMMERCIAL 2000-C4: Moody's Hikes Cl. H Notes Rating to B1 LB-UBS COMMERCIAL 2004-C8: Moody's Hikes Cl. H Debt Rating to Caa3 MADISON PARK XXII: Moody's Assigns Ba3 Rating on Cl. E Notes MERCURY CDO 2004-1: Fitch Affirms CCC Rating on 3 Tranches MERRILL LYNCH 2007-CANADA: DBRS Confirms B Rating on Cl. L Debt MORGAN STANLEY 2003-TOP11: Moody's Hikes Rating on Cl. H Debt to B3 MORGAN STANLEY 2006-IQ11: S&P Cuts Rating on Class D Certs to Dsf NATIONAL COLLEGIATE 2006-A: Fitch Hikes Cl. B Notes Rating to Bsf NEW RESIDENTIAL 2016-3: DBRS Finalizes BB Rating on Cl. B-4 Notes NEW RESIDENTIAL 2016-3: Moody's Rates Class B-4 Notes 'Ba3' NEWGATE FUNDING 2006-2: S&P Affirms 'B-' Rating on 3 Tranches NEWSTAR COMMERCIAL 2013-1: S&P Affirms B Rating on Cl. G Notes PRESTIGE AUTO: DBRS Reviews 20 Ratings From 4 ABS Deals REALT 2006-3: Moody's Hikes Class G Notes Rating to 'Ba1' REALT 2014-1: DBRS Confirms 'BB' Rating on Class F Notes REALT 2016-2: Fitch Assigns 'BBsf' Rating on Class F Debt SDART 2016-3: Moody's Assigns (P)Ba3 Rating on Class E Notes TCI-SYMPHONY 2016-1: Moody's Assigns Ba3 Rating on Class E Notes THL CREDIT 2012-1: S&P Gives Prelim BB Rating on Class E-R Notes THL CREDIT 2016-2: Moody's Assigns Ba2 Rating on Class E Notes TOWD POINT 2016-4: Moody's Assigns Prov. B2 Rating on Cl. B2 Notes TRINITAS CLO V: S&P Assigns BB Rating on Class E Notes UNITED AUTO 2016-1: S&P Affirms 'BB' Rating on Class E Notes VOYA CLO 2012-4: S&P Assigns BB Rating on Class D-R Notes WACHOVIA BANK 2006-C24: S&P Raises Rating on Cl. B Certs to BB+ WACHOVIA BANK 2006-C26: Moody's Cuts Cl. A-M Debt Rating to Ba1 WELLS FARGO 2014-TISH: S&P Affirms BB Rating on 2 Tranches WELLS FARGO 2015-NXS3: DBRS Confirms BB Rating on Class E Notes WFRBS COMMERCIAL 2014-C24: Moody's Hikes Class SJ-D Notes to Ba2 [*] DBRS Confirms 123 Classes in Six U.S. RMBS Transactions [*] DBRS Confirms 26 Ratings on 7 U.S. ABS Transactions [*] DBRS Reviews 20 Ratings From 3 ABS Transactions [*] DBRS Reviews 42 Ratings From 8 ABS Transactions [*] DBRS Reviews 9 Ratings From 2 ABS Deals [*] Moody's Cuts $27MM Prime Jumbo RMBS Issued 2006-2007 [*] S&P Completes Review on 48 Classes From 8 US RMBS Deals [*] S&P Discontinues Ratings on 56 Tranches From 20 CDO Deals ********* ACACIA CDO 6: Fitch Withdraws 'D' Rating on Class A-1 Notes ----------------------------------------------------------- Fitch Ratings has downgraded five and affirmed two classes of notes issued by Acacia CDO 6, Ltd. (Acacia 6). Fitch has simultaneously withdrawn all ratings. KEY RATING DRIVERS These rating actions are a direct result of the sale and liquidation of the Acacia 6 portfolio on July 19, 2016. Approximately $39.8 million of net sale proceeds were received from the liquation and a final distribution was made to noteholders on Aug. 31, 2016. The class A-1 noteholders received interest payments of approximately $148,000 and remaining proceeds of $39.7 million were applied towards a partial repayment of the class A-1 notes principal balance. No other class of notes received distributions. Acacia 6 entered an event of default on May 18, 2009. On June 8, 2009, a majority of the controlling class voted to accelerate the maturity. Most recently, on June 24, 2016, at least 66 2/3% of the controlling class directed the sale and liquidation of the collateral. RATING SENSITIVITIES Not applicable as the ratings are being withdrawn. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third party due diligence was reviewed in relation to this rating action. Fitch has downgraded and withdrawn the following ratings: -- $10,257,111 class A-1 notes to 'Dsf' from 'Csf'; -- $7,424,914 class C notes to 'Dsf' from 'Csf'; -- $3,600,859 class D notes to 'Dsf' from 'Csf'; -- $1,938,255 class E-1 notes to 'Dsf' from 'Csf'; -- $11,983,979 class E-2 notes to 'Dsf' from 'Csf'. Fitch has affirmed and withdrawn the following ratings: -- $16,168,275 class A-2 notes at 'Dsf'; -- $29,427,331 class B notes at 'Dsf'. Fitch did not rate the preferred shares. ALM LTD VII: S&P Raises Rating on Class D Notes to BB+ ------------------------------------------------------ S&P Global Ratings raised its ratings on the class A-2, B, C, and D notes from ALM VII (R) Ltd. and the class A-2, B, C, and D notes from ALM VII (R)-2 Ltd. S&P removed all of these ratings from CreditWatch, where it placed them with positive implications on Aug. 22, 2016. At the same time, S&P affirmed its ratings on the class A-1 and E notes from ALM VII (R) Ltd. and the class A-1 and E notes ALM VII (R)-2 Ltd., and removed the ratings on the class E notes from both transactions from CreditWatch positive. Both transactions are U.S. cash flow collateralized loan obligations (CLOs) managed by Apollo Credit Management (CLO) LLC. The rating actions follow S&P's review of the transactions' performances using data from their respective August 2016 trustee reports. The upgrades primarily reflect the significant paydowns to the respective class A-1 notes of both transactions since S&P's February 2014 effective date rating actions. These paydowns resulted in improved reported overcollateralization (O/C) ratios since the November 2013 effective date reports for both transactions, which S&P used for its previous rating actions. For example, the class A overcollateralization (O/C) ratio calculated for ALM VII (R) Ltd .has increased to 146.77% as of the August 2016 trustee report from 140.19% as of the November 2013 effective date report, while the class A O/C ratio for ALM VII (R)-2 Ltd. also increased to 146.60% from 140.17% using the trustee reports as of the same dates. The O/C ratios have increased for all classes of both transactions since our effective date analysis. The collateral portfolios' credit quality (for both transactions) have slightly deteriorated since our last rating actions. Collateral obligations with ratings in the 'CCC' category have increased as of the August 2016 trustee reports, compared with the November 2013 effective date reports. This played a role in the decline of the weighted average ratings of both portfolios during this period to 'B' from 'B+'. However, despite the slightly larger concentrations in 'CCC' category collateral, both transactions have benefited from a decrease in the weighted average life of the respective portfolios due to the underlying collaterals' seasoning. The upgrades reflect the improved credit support at the prior rating levels. The affirmed ratings reflect S&P's view that the credit support available is commensurate with the current rating levels. Although S&P's cash flow analysis indicated higher ratings for the class C, D, and E notes of both transactions, S&P's rating actions considered the increase in both transactions' exposures to 'CCC' assets and the decline in both portfolios' credit quality. In addition, the ratings reflect additional sensitivity runs that considered the both exposures to specific distressed industries. S&P's review of these transactions included a cash flow analysis, based on the portfolios and transactions as reflected in the aforementioned trustee reports, 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 transactions' 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 these rating actions. 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 will take rating actions as S&P deems necessary. RATINGS RAISED AND REMOVED FROM CREDITWATCH POSITIVE ALM VII (R) Ltd. Rating Class To From A-2 AAA (sf) AA (sf)/Watch POS B AA+ (sf) A (sf)/Watch POS C BBB+ (sf) BBB- (sf)/Watch POS D BB+ (sf) BB- (sf)/Watch POS ALM VII (R)-2 Ltd. Rating Class To From A-2 AAA (sf) AA (sf)/Watch POS B AA+ (sf) A (sf)/Watch POS C BBB+ (sf) BBB- (sf)/Watch POS D BB+ (sf) BB- (sf)/Watch POS RATINGS AFFIRMED AND REMOVED FROM WATCH POSITIVE ALM VII (R) Ltd. Rating Class To From E B (sf) B (sf)/Watch POS ALM VII (R)-2 Ltd. Rating Class To From E B (sf) B (sf)/Watch POS RATINGS AFFIRMED ALM VII (R) Ltd. Class Rating A-1 AAA (sf) ALM VII (R)-2 Ltd. Class Rating A-1 AAA (sf) ANCHORAGE CAPITAL 2012-1: S&P Gives Prelim B Rating on D-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the A-1R, A-2R, B-R, C-R, and D-R notes from Anchorage Capital CLO 2012-1 Ltd., a U.S. collateralized loan obligation (CLO) transaction managed by Anchorage Capital Group. The replacement notes are being issued via a proposed amended and restated indenture, which, in addition to outlining the terms of the replacement notes and certain other changes, will also: -- Extend the reinvestment period to Jan. 13, 2019; -- Extend the transaction's legal final maturity date to Jan. 13, 2027; -- Extend the weighted average life test; -- Incorporate the recovery rate methodology and updated industry classifications as outlined in S&P's August 2016 CLO criteria update. The cash flow analysis demonstrates, in S&P's view, that the replacement notes have adequate credit enhancement available at the rating levels associated with this rating action. On the Oct. 13, 2016, refinancing date, proceeds from the issuance of the replacement notes are expected to redeem the original notes, upon which S&P anticipates withdrawing the ratings on the original notes and assigning ratings to the replacement notes. However, if the refinancing doesn't occur, S&P may affirm the ratings on the original notes and withdraw its preliminary ratings on the replacement notes. S&P 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 S&P deems necessary. Current date after proposed refinancing Class Amount Interest BDR SDR Cushion (mil. $) rate (%) (%) (%) (%) A-1R 311.60 LIBOR plus 1.48 67.21 64.48 2.73 A-2R 63.00 LIBOR plus 2.10 62.57 56.56 6.01 B-R 37.10 LIBOR plus 2.70 53.73 50.27 3.46 C-R 25.70 LIBOR plus 4.15 47.42 44.42 3.00 D-R 22.60 LIBOR plus 7.25 40.00 37.44 2.55 Current date before proposed refinancing Class Amount Interest BDR SDR Cushion (mil. $) rate (%) (%) (%) (%) A-1 311.60 LIBOR plus 1.42 66.06 62.40 3.65 A-2 63.00 LIBOR plus 2.60 61.65 54.74 6.91 B 37.10 LIBOR plus 2.80 52.03 48.48 3.56 C 25.70 LIBOR plus 4.10 44.56 42.85 1.71 D 22.60 LIBOR plus 5.10 34.96 36.10 (1.14) Effective Date Class Amount Interest BDR SDR Cushion (mil. $) rate (%) (%) (%) (%) A-1 311.60 LIBOR plus 1.42 69.14 67.52 1.62 A-2 63.00 LIBOR plus 2.60 65.31 59.67 5.64 B 37.10 LIBOR plus 2.80 57.50 53.54 3.95 C 25.70 LIBOR plus 4.10 51.71 47.23 4.48 D 22.60 LIBOR plus 5.10 46.83 39.88 6.95 PRELIMINARY RATINGS ASSIGNED Anchorage Capital CLO 2012-1 Ltd. Replacement class Rating A-1R AAA (sf) A-2R AA (sf) B-R A (sf) C-R BBB (sf) D-R BB (sf) BANC OF AMERICA 2004-2: Moody's Hikes Class O Notes Rating to Ba1 ----------------------------------------------------------------- Moody's Investors Service has upgraded the rating on one class and affirmed the rating on one class in Banc of America Commercial Mortgage Inc., Commercial Mortgage Pass-Through Certificates, Series 2004-2 as follows: -- Cl. O, Upgraded to Ba1 (sf); previously on Dec 4, 2015 Upgraded to B1 (sf) -- Cl. XC, Affirmed Caa3 (sf); previously on Dec 4, 2015 Downgraded to Caa3 (sf) RATINGS RATIONALE The rating on P&I Class O was upgraded based primarily on an increase in credit support resulting from loan paydowns and amortization. The rating on the IO class was affirmed because the credit performance (or the weighted average rating factor or WARF) of the referenced classes are consistent with Moody's expectations. Moody's rating action reflects a base expected loss of 11.5% of the current balance, compared to 12.5% at Moody's last review. Moody's base expected loss plus realized losses is now 1.1% of the original pooled balance, compared to 1.2% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in October 2015. DESCRIPTION OF MODELS USED Moody's review used the excel-based CMBS Conduit Model, which it uses for both conduit and fusion transactions. Credit enhancement levels for conduit loans are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate Moody's uses to estimate Moody's value). Moody's fuses the conduit results with the results of its analysis of investment grade structured credit assessed loans and any conduit loan that represents 10% or greater of the current pool balance. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 2, compared with 3 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 September 12, 2016 distribution date, the transaction's aggregate certificate balance has decreased by 99.5% to $5.4 million from $1.13 billion at securitization. The certificates are collateralized by two mortgage loans. There are no loans 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. Three loans have been liquidated from the pool, resulting in an aggregate realized loss of $12.1 million (for an average loss severity of 71%). One loan, constituting 86% of the pool, is currently in special servicing. That loan is The Alton Corners Shopping Center ($4.7 million), which is secured by a 50,000 square foot (SF) retail center located in Alton, Illinois. The loan transferred to special servicing in October 2013 for imminent default and became real estate owned (REO) in April 2015. The property is anchored by Petco and shadow anchored by Office Depot. As of September 2016, the property is 85% leased and remains unchanged since last review. The conduit loan, Orchard on the Green Apartments ($790 thousand -- %14 of the pool), is secured by a 198 unit multifamily complex located in Port Orchard, Washington. As of July 2016, the property was approximately 98% leased, almost unchanged since last review. Property performance has been increasing since 2014 due to a decrease in vacancy and repairs and maintenance expenses. Moody's LTV and stressed DSCR are 12% and 1.75X, respectively, compared to 16% and 1.71X at the last review. BATTALION CLO IV: S&P Affirms B Rating on Class E Notes ------------------------------------------------------- S&P Global Ratings affirmed its ratings on the class A-1, A-2, B, C, D, and E notes from Battalion CLO IV Ltd. Battalion CLO IV Ltd. is a U.S. collateralized loan obligation (CLO) transaction that closed in September 2013 and is managed by Brigade Capital Management LLC. The rating actions follow S&P's review of the transaction's performance, using data from the Sept. 7, 2016, trustee report. The transaction is scheduled to remain in its reinvestment period until October 2017. Since the transaction's effective date in November 2013, the trustee-reported collateral portfolio's weighted average life has decreased to 4.48 years from 5.71 years. This seasoning has decreased the overall credit risk profile, which, in turn, provided more cushion to the tranche ratings. The transaction experienced an increase in both defaults and assets rated 'CCC+' and below since the effective date. Specifically, the amount of 'CCC+'-and-below-rated assets increased to $27.57 million (6.9% of the aggregate principal balance) as of September 2016, from $5.25 million as of the effective date. The level of defaulted assets increased to $1.2 million from none over the same period. The increase in defaulted assets, as well as other factors, has affected the level of credit support available to all tranches, as seen by the mild decline in the overcollateralization (O/C) ratios: -- The class A O/C ratio was 136.92%, down from 137.69% reported in November 2013. -- The class B O/C ratio was 122.22%, down from 122.91%. -- The class C O/C ratio was 114.50%, down from 115.14%. -- The class D O/C ratio was 108.57%, down from 109.18%. However, the current coverage test ratios are all passing and well above their minimum threshold values. Overall, the increase in defaulted assets has been largely offset by the decline in the weighted average life. However, any significant deterioration in these metrics could negatively affect the deal in the future, especially the junior tranches. Although S&P's cash flow analysis indicated higher ratings for the class A-2, B, C, and D notes, its rating actions considered the increase in defaulted and 'CCC+'-and-below-rated assets, relatively higher exposure to the energy and commodity sectors, and higher-than-average exposure to assets with a negative rating outlook. This therefore allowed for volatility in the underlying portfolio given that the transaction is still in its reinvestment period. In addition, while the cash flow results indicated a lower rating for the class E notes, S&P views the overall credit seasoning as an improvement to the transaction and also considered the relatively stable O/C ratios that currently have significant cushion over their minimum requirements. However, any increase in defaults and/or par losses could lead to potential negative rating actions on the notes in the future. The affirmed ratings reflect S&P's view 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 September 2016 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. S&P will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and S&P will take further rating actions as it deems necessary. RATINGS AFFIRMED Battalion CLO IV Ltd. Class Rating A-1 AAA (sf) A-2 AA (sf) B A (sf) C BBB (sf) D BB (sf) E B (sf) BCC FUNDING: Moody's Assigns Ba1 Rating on Class D Notes -------------------------------------------------------- Moody's Investors Service assigned definitive ratings to the notes issued by BCC Funding XIII (BCCFC 2016-1). This is the first transaction of the year for Balboa Capital Corporation (BCC, Unrated). The notes are backed by a pool of small-ticket equipment loans and leases primarily originated by BCC, who is also the servicer and administrator for the transaction. The complete rating actions are as follows: Issuer: BCC Funding XIII LLC -- $135,357,000, 2.20%, Equipment Contract Backed Notes, Series 2016 1, Class A-2, Definitive Rating Assigned Aa2 (sf) -- $17,490,000, 2.73%, Equipment Contract Backed Notes, Series 2016 1, Class B, Definitive Rating Assigned A1 (sf) -- $8,942,000, 3.25%, Equipment Contract Backed Notes, Series 2016 1, Class C, Definitive Rating Assigned Baa1 (sf) -- $11,704,000, 4.78%, Equipment Contract Backed Notes, Series 2016 1, Class D, Definitive Rating Assigned Ba1 (sf) -- $7,101,000, 6.00%, Equipment Contract Backed Notes, Series 2016 1, Class E, Definitive Rating Assigned B2 (sf) -- $5,786,000, 6.00%, Equipment Contract Backed Notes, Series 2016 1, Class F, Definitive Rating Assigned B3 (sf) RATINGS RATIONALE The ratings are based on the quality of the underlying equipment contracts and its expected performance, the strength of the capital structure, and the experience and expertise of BCC as the servicer. The definitive ratings for the Class B notes and Class C notes, A1 (sf) and Baa1 (sf) respectively, are one notch higher than their provisional ratings, (P)A2 (sf) and (P)Baa2 (sf). This difference is a result of the transaction closing with a lower weighted average cost of funds (WAC) than Moody's modeled when the provisional ratings were assigned. The WAC assumption, as well as other structural features, were provided by the issuer. Moody's median cumulative net loss expectation for the BCCFC 2016-1 collateral pool is 3.50%. Moody's based its cumulative net loss expectation of the BCCFC 2016-1 transaction on an analysis of the credit quality of the underlying collateral; the historical performance of similar collateral, including securitization performance and managed portfolio performance; the ability of BCC to perform the servicing functions; and current expectations for the macroeconomic environment during the life of the transaction. At closing the Class A, Class B, Class C, Class D, Class E, and Class F notes benefit from 25.25% 18.60%, 15.20%, 10.75%, 8.05%, and 5.85% of hard credit enhancement respectively. Hard credit enhancement for the notes consists of a combination of overcollateralization of 4.35%, a 1.50% fully funded, non-declining reserve account and subordination, except for the Class F notes which do not benefit from subordination. The notes will also benefit from excess spread. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Approach to Rating ABS Backed by Equipment Leases and Loans" published in December 2015. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the notes if, given current expectations of portfolio losses, levels of credit enhancement are consistent with higher ratings. In sequential pay structures, such as the one in this transaction, credit enhancement grows as a percentage of the collateral balance as collections pay down senior notes. Prepayments and interest collections directed toward note principal payments will accelerate this build of enhancement. Moody's expectation of pool losses could decline as a result of a lower number of obligor defaults or appreciation in the value of the equipment securing an obligor's promise of payment. Portfolio losses also depend greatly on the US economy, the market for used equipment, and changes in servicing practices. Down Moody's could downgrade the notes if, given current expectations of portfolio losses, levels of credit enhancement are consistent with lower ratings. Credit enhancement could decline if excess spread is not sufficient to cover losses in a given month. Moody's expectation of pool losses could rise as a result of a higher number of obligor defaults or deterioration in the value of the equipment securing an obligor's promise of payment. Portfolio losses also depend greatly on the US economy, the market for used equipment, and poor servicing. Other reasons for worse-than-expected performance include error on the part of transaction parties, inadequate transaction governance, and fraud. BLADE ENGINE 2006-1: S&P Lowers Rating on Class B Notes to CC ------------------------------------------------------------- S&P Global Ratings lowered its ratings on the class A-1, A-2, and B notes from Blade Engine Securitization Ltd.'s series 2006-1 and removed them from CreditWatch, where they were placed with negative implications on June 21, 2016. The rating actions primarily reflect the rated notes' increased loan-to-value (LTV) ratios, the underlying engine portfolio's deteriorated rental and residual cash-generating ability, and the fact that the class A-1 and A-2 notes still receive the minimum principal payments while the class B notes' interest is covered by the junior reserve. The aircraft engine portfolio consisted of 36 engines as of September 2016. The majority of the engines are powered on end-of-production aircraft, which typically diminishes the engines' re-leasing and sale prospects. In recent years, a few engines in the portfolio have been sold at a price below the note target price. With the lower of the mean and median (LMM) of the updated maintenance-adjusted base values of the portfolio as of June 2016, and with the adjustment made for off-lease engines (which results in a $221 million adjusted engine value), the LTV of the class A-1 and A-2 notes rose to about 90% and the LTV of the class B notes rose to about 98% as of September 2016. In recent payment periods, the class A-1 and A-2 notes had only received minimum principal payments, while the class B notes had not received any minimum principal payments. The class B notes' interest had been covered by the junior cash reserve. As of Sept. 15, 2016, the junior cash reserve had a balance of $2.59 million, and the class B notes' interest paid was $61,103. The class A-1 and B notes have floating-rate coupons. The transaction currently has an interest rate hedge, which causes a cash flow drag to the deal ($0.44 million as of the Sept. 15, 2016, payment date). In S&P's analysis, it considered both rising and forward interest rate scenarios. S&P will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and S&P will take further rating actions as it deems necessary. RATINGS LOWERED AND REMOVED FROM WATCH NEGATIVE Blade Engine Securitization Ltd. Series 2006-1 Rating Class To From A-1 B- (sf) BB (sf)/Watch Neg A-2 B- (sf) BB (sf)/Watch Neg B CC (sf) B- (sf)/Watch Neg BLUEMOUNTAIN CLO 2013-1: S&P Affirms BB Rating on Cl. D Notes ------------------------------------------------------------- S&P Global Ratings raised its ratings on the class A-2A, A-2B, B, and C notes and affirmed its ratings on the class A-1 and D notes from BlueMountain CLO 2013-1 Ltd., a U.S. collateralized loan obligation (CLO) transaction that closed in May 2013 and is managed by BlueMountain Capital Management LLC. The rating actions follow S&P's review of the transaction's performance, using data from the August 2016 trustee report. The transaction is scheduled to remain in its reinvestment period until May 2017. The upgrades and affirmation on the class A-1 notes primarily reflect stable credit quality in the underlying collateral and a slight increase in the portfolio par balance since S&P's effective date rating affirmations, which used data from the June 2013 trustee report. Although there has been a slight increase in 'CCC' rated assets and defaults during the same time, the balance of assets rated 'BB-' and above has increased as well. Additionally, the weighted average life of the portfolio has decreased to 4.35 years from 5.71. Par gain in the underlying portfolio since the effective date has led to slight increases in the overcollateralization (O/C) ratios from the June 2013 trustee report: -- The class A O/C ratio is 135.39% compared with 135.07%. -- The class B O/C ratio is 122.54% compared with 122.25%. -- The class C O/C ratio is 115.25% compared with 114.98%. -- The class D O/C ratio is 109.34% compared with 109.09%. Although S&P's cash flow analysis indicated higher ratings for the class D notes, it affirmed its rating on this class to maintain rating cushion as this transaction continues to reinvest. S&P's review of the transaction relied, in part, upon a criteria interpretation with respect to its May 2014 criteria, "CDOs: Mapping A Third Party's Internal Credit Scoring System To Standard & Poor's Global Rating Scale," which allows us to use a limited number of public ratings from other Nationally Recognized Statistical Rating Organizations (NRSROs) to assess the credit quality of assets not rated by S&P Global Ratings. The criteria provide specific guidance for the treatment of corporate assets not rated by S&P Global Ratings, while the interpretation outlines the treatment of securitized assets. S&P's review also 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 these rating actions. 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 will take rating actions as S&P deems necessary. RATINGS RAISED Bluemountain CLO 2013-1 Ltd. Rating Class To From A-2A AA+ (sf) AA (sf) A-2B AA+ (sf) AA (sf) B A+ (sf) A (sf) C BBB+ (sf) BBB (sf) RATINGS AFFIRMED Bluemountain CLO 2013-1 Ltd. Class Rating A-1 AAA (sf) D BB (sf) BLUEMOUNTAIN CLO 2016-3: S&P Gives Prelim. BB Rating on Cl. E Notes ------------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to BlueMountain CLO 2016-3 Ltd./BlueMountain CLO 2016-3 LLC's $368.00 million floating-rate. The note issuance is a collateralized loan obligation transaction backed by broadly syndicated senior secured term loans. The preliminary ratings are based on information as of Sept. 29, 2016. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The diversified collateral pool, which consists primarily of broadly syndicated speculative-grade senior secured term loans that are governed by collateral quality tests. The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. The transaction's legal structure, which is expected to be bankruptcy remote. PRELIMINARY RATINGS ASSIGNED BlueMountain CLO 2016-3 Ltd. /BlueMountain CLO 2016-3 LLC Class Rating Amount (mil. $) A AAA (sf) 248.00 B AA (sf) 58.00 C A (sf) 26.00 D BBB (sf) 20.00 E BB (sf) 16.00 Subordinated notes NR 36.10 NR--Not rated. CARLYLE GLOBAL 2014-1: S&P Lowers Rating on Sr. Notes to BB ----------------------------------------------------------- S&P Global Ratings lowered its ratings on Carlyle Global Market Strategies Commodities Funding 2014-1 Ltd.'s and Carlyle Global Market Strategies Commodities Funding 2015-1 Ltd.'s senior notes and removed them from CreditWatch with negative implications. The transactions are nontraditional asset transactions collateralized primarily by revolving pools consisting of the economic equivalent of repo loans backed by eligible commodities. The downgrades reflect that ongoing debt service may be highly dependent on the timing and magnitude of any future payment made under the insurance claims filed with Lloyd's, as well as any difficulty unwinding the commodity arrangements with the remaining counterparty in each transaction. In February, S&P Global Ratings was notified that each transaction was unable to take possession of certain assets of each issuer related to commodity arrangements with one of the counterparties in this transaction. As a result, each transaction submitted insurance claims to Lloyd's for the value of these assets and have since failed their overcollateralization ratio tests, which have resulted in the principal payment of a substantial portion of the senior notes. However, full repayment of the senior notes in each transaction will likely depend on any payments made under the insurance claims, as well as the commodity arrangements. Additionally, while each transaction does have a liquidity account to support ongoing interest payments to the senior notes, the adequacy of those accounts depends on how long it takes to resolve the insurance claims, which is difficult to forecast. As a result, S&P believes the risk profile of the transactions has increased substantially since their respective closing dates, as the ability to service debt is no longer supported by a portfolio of commodity arrangements generating cash flow, but instead the future magnitude and timing of an insurance claim, as well as the commodity arrangements. RATINGS LOWERED AND REMOVED FROM CREDITWATCH NEGATIVE Carlyle Global Market Strategies Commodities Funding 2014-1 Ltd. Rating Class To From Senior BB (sf) A (sf)/Watch Neg Carlyle Global Market Strategies Commodities Funding 2015-1 Ltd. Rating Class To From Senior BB (sf) A (sf)/Watch Neg CATHEDRAL LAKE IV: S&P Gives Prelim BB- Rating on 2 Tranches ------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Cathedral Lake IV Ltd./Cathedral Lake IV LLC's $368.00 million floating-rate notes. The note issuance is a collateralized loan obligation transaction backed by broadly syndicated senior secured term loans. The preliminary ratings are based on information as of Sept. 23, 2016. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The diversified collateral pool, which consists primarily of broadly syndicated speculative-grade senior secured term loans that are governed by collateral quality tests. The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. The transaction's legal structure, which is expected to be bankruptcy remote. PRELIMINARY RATINGS ASSIGNED Cathedral Lake IV Ltd./Cathedral Lake IV LLC Class Rating Amount (mil. $) A AAA (sf) 239.00 B AA (sf) 64.00 C (deferrable) A (sf) 25.00 D (deferrable) BBB (sf) 21.00 E-1 (deferrable) BB- (sf) 10.00 E-2 (deferrable) BB- (sf) 9.00 Subordinated notes NR 36.15 NR--Not rated. CITIGROUP COMMERCIAL 2016-P5: Fitch Rates on Cl. E Debt 'BB-' ------------------------------------------------------------- Fitch Ratings has issued a presale report for Citigroup Commercial Mortgage Trust 2016-P5, Commercial Mortgage Pass-Through Certificates, Series 2016-P5. Fitch expects to rate the transaction and assign Rating Outlooks as follows: -- $35,196,000 class A-1 'AAAsf'; Outlook Stable; -- $96,088,000 class A-2 'AAAsf'; Outlook Stable; -- $220,000,000 class A-3 'AAAsf'; Outlook Stable; -- $246,197,000 class A-4 'AAAsf'; Outlook Stable; -- $44,722,000 class A-AB 'AAAsf'; Outlook Stable; -- $720,185,000a class X-A 'AAAsf'; Outlook Stable; -- $82,569,000a class X-B 'A-sf'; Outlook Stable; -- $77,982,000 class A-S 'AAAsf'; Outlook Stable; -- $41,284,000 class B 'AA-sf'; Outlook Stable; -- $41,285,000 class C 'A-sf'; Outlook Stable; -- $45,871,000b class D 'BBB-sf'; Outlook Stable; -- $45,871,000ab class X-D 'BBB-sf'; Outlook Stable; -- $21,789,000b class E 'BB-sf'; Outlook Stable. (a) Notional amount and interest-only. (b) Privately placed and pursuant to Rule 144A. The expected ratings are based on information provided by the issuer as of Sept. 24, 2016. Fitch does not expect to rate the $14,909,000 class F and $32,110,420 class G. The certificates represent the beneficial ownership interest in the trust, primary assets of which are 49 loans secured by 73 commercial properties having an aggregate principal balance of approximately $917.4 million as of the cut-off date. The loans were contributed to the trust by Citigroup Global Markets Realty Corp., Starwood Mortgage Capital LLC, Barclays Bank PLC and Macquarie US Trading LLC d/b/a Principal Commercial Capital. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 78.4% of the properties by balance and cash flow analysis of 82.1% of the pool. The transaction has a Fitch stressed debt service coverage ratio (DSCR) of 1.21x, a Fitch stressed loan-to-value (LTV) of 105.8%, and a Fitch debt yield of 9.12%. Fitch's aggregated net cash flow represents a variance of 11.72% to issuer cash flows. KEY RATING DRIVERS Lower Fitch Leverage: The pool's leverage statistics are lower than those of other recent Fitch-rated, fixed-rate multiborrower transactions. The pool's Fitch DSCR and LTV of 1.21x and 105.8%, respectively, are better than the YTD 2016 average Fitch DSCR and LTV of 1.18x and 106.5%. Excluding credit-opinion loans, the pool's Fitch DSCR and LTV are 1.18x and 110.4%, respectively. Comparatively, the YTD 2016 average DSCR and LTV of Fitch-rated deals, excluding credit-opinion and co-op loans, are 1.14x and 110.2%, respectively. Investment-Grade Credit Opinion Loans: Two loans representing 8.99% of the pool are credit opinion loans. Easton Town Center (4.90%) has an investment-grade credit opinion of 'A+sf*' on a stand-alone basis. The loan is a 1.3 million-sf shopping complex that is 96.6% occupied by 212 tenants. Vertex Pharmaceuticals (4.09%) has an investment-grade credit opinion of 'BBB-sf*' on a stand-alone basis. The Vertex loan is secured by a 1.1 million-sf office building that is 95.5% occupied by Vertex Pharmaceuticals, a global biotechnology and pharmaceutical company. RATING SENSITIVITIES For this transaction, Fitch's net cash flow (NCF) was 9.3% below the most recent year's net operating income (NOI; for properties for which a full-year NOI was provided, excluding properties that were stabilizing during this period). Unanticipated further declines in property-level NCF could result in higher defaults and loss severities on defaulted loans, and could result in potential rating actions on the certificates. Fitch evaluated the sensitivity of the ratings assigned to CGCMT 2016-P5 certificates and found that the transaction displays average sensitivity to further declines in NCF. In a scenario in which NCF declined a further 20% from Fitch's NCF, a downgrade of the senior 'AAAsf' certificates to 'A-sf' could result. In a more severe scenario, in which NCF declined a further 30% from Fitch's NCF, a downgrade of the senior 'AAAsf' certificates to 'BBB-sf' could result. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 Fitch was provided with third-party due diligence information from KPMG LLP. The third-party due diligence information was provided on Form ABS Due Diligence-15E and focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and the findings did not have an impact on the analysis. CITIGROUP MORTGAGE 2013-J1: S&P Affirms BB Rating on Cl. B-4 Certs ------------------------------------------------------------------ S&P Global Ratings affirmed its ratings on 54 classes from three U.S. residential mortgage-backed securities (RMBS) transactions issued in 2013: Citigroup Mortgage Loan Trust 2013-J1, CSMC Trust 2013-IVR5, and PMT Loan Trust 2013-J1. All of these transactions are backed by first-lien, fixed-rate residential mortgage loans originated primarily between 2012 and 2013 that are secured by residential properties to mostly prime borrowers. Each class of rated certificates in these transactions receives credit support from the subordination of the certificates that are lower in the payment priority. S&P analyzed the current structural and performance characteristics and performed collateral analysis to project the losses and cash flow analysis to apply these losses under different rating scenarios. S&P's collateral analysis entailed an assessment of the transactions' collateral performance by reviewing historical delinquency behavior and projecting losses for the remaining loans in the pools by applying S&P's criteria, "Methodology And Assumptions For Rating U.S. RMBS Prime, Alternative-A, And Subprime Loans," published Sept. 10, 2009, and using S&P's Loan Evaluation and Estimate of Loss System (LEVELS) model. S&P analyzed the surviving loans using original loan characteristics with updated loan balances and Federal Housing Finance Agency Index-adjusted property values. S&P also used the FICO scores provided at the applicable transaction's closing and applied additional adjustments to S&P's projected defaults for loans that have exhibited what S&P considers to be adverse payment performance (i.e., currently delinquent or delinquent more than once since the transaction's closing) in accordance with S&P's published criteria. The table below lists the number of loans remaining that have been delinquent in each of the three transactions during the respective transaction's life. It excludes instances where loans may have been delinquent, but did not demonstrate adverse performance behavior according to S&P's criteria (i.e., they were 30 days delinquent no more than once since the transaction's closing and are current). DELINQUENCIES Transaction Delinq No. of Portion of status loans(i) outst. pool Citigroup Mortgage Loan Trust 2013-J1 30 days 0 60 days 0 90 days 0 CSMC Trust 2013-IVR5 30 days 31.19% 60 days 0 90 days 0 PMT Loan Trust 2013-J1 30 days 10.17% 60 days 10.22% 90 days 0 (i)Including prior and current delinquencies. Although the current pools in these three transactions have experienced some delinquencies, the pools are performing according to S&P's initial base-case loss projections. For all of these pools, the overall characteristics have not varied significantly since the transactions' closings; however, the pool-level loan-to-value ratios have decreased because of amortization and national property price appreciation since closing, which is driving a reduction in S&P's projected losses on these pools. S&P applied a cash flow analysis based on its loss projections. Although the projected ratings under S&P's cash flow analysis showed several upward rating movements, it affirmed all ratings because of a combination of these factors: -- The transactions are still relatively young and are within their unscheduled subordinate principal lockout period. -- The transactions utilize an amortizing subordination feature in which they can begin allocating greater principal amounts to more subordinate classes over time, thus reducing credit support. -- S&P expects prepayment rates for these pools to decline, which could leave the transactions more prone to back-ended losses. 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 S&P believes could affect residential mortgage performance are: -- An overall unemployment rate of 4.8% in 2016; -- Real GDP growth of 2.0% for 2016; -- An inflation rate of 2.2% in 2016; and -- An average 30-year fixed mortgage rate of 3.7% in 2016. S&P's outlook for RMBS is stable. Although S&P views overall housing fundamentals positively, it believes that 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 4.9% for 2016; -- Downward pressure will cause GDP growth to fall to 1.8% in 2016; -- Home price momentum will slow as potential buyers are not able to purchase property; and -- While the 30-year fixed mortgage rate will remain a low 3.7% in 2016, limited access to credit and pressure on home prices will largely prevent consumers from capitalizing on these rates. RATINGS AFFIRMED Citigroup Mortgage Loan Trust 2013-J1 Series 2013-J1 Class CUSIP Rating A-1 17321LAA7 AAA (sf) A-2 17321LAB5 AAA (sf) A-IO 17321LAD1 AAA (sf) B-1 17321LAE9 AA (sf) B-2 17321LAF6 A (sf) B-3 17321LAG4 BBB (sf) B-4 17321LAH2 BB (sf) CSMC Trust 2013-IVR5 Series 2013-IVR5 Class CUSIP Rating A-1 12647VAA3 AAA (sf) A-2 12647VAB1 AAA (sf) A-3 12647VAH8 AAA (sf) A-4 12647VAM7 AAA (sf) A-5 12647VAK1 AAA (sf) A-6 12647VAJ4 AAA (sf) A-7 12647VAP0 AAA (sf) A-8 12647VAS4 AAA (sf) A-9 12647VAR6 AAA (sf) A-10 12647VAT2 AAA (sf) A-11 12647VAU9 AAA (sf) A-12 12647VAV7 AAA (sf) A-13 12647VAW5 AAA (sf) A-X-1 12647VAC9 AAA (sf) A-X-2 12647VAD7 AAA (sf) A-X-3 12647VAE5 AAA (sf) A-X-4 12647VAF2 AAA (sf) A-X-5 12647VAG0 AAA (sf) A-X-6 12647VAL9 AAA (sf) A-X-7 12647VAN5 AAA (sf) A-X-8 12647VAQ8 AAA (sf) A-X-9 12647VBA2 AAA (sf) B-1 12647VAX3 A (sf) B-2 12647VAY1 BBB (sf) B-3 12647VAZ8 BB (sf) PMT Loan Trust 2013-J1 Series 2013-J1 Class CUSIP Rating A-1 693456AA3 AAA (sf) A-2 693456AB1 AAA (sf) A-3 693456AC9 AAA (sf) A-4 693456AD7 AAA (sf) A-5 693456AE5 AAA (sf) A-6 693456AF2 AAA (sf) A-7 693456AG0 AAA (sf) A-8 693456AH8 AAA (sf) A-9 693456AW5 AAA (sf) A-10 693456AX3 AAA (sf) A-11 693456AY1 AAA (sf) A-12 693456AZ8 AAA (sf) A-13 693456BA2 AAA (sf) A-14 693456BB0 AAA (sf) A-IO 693456AM7 AAA (sf) A-IO-1 693456AJ4 AAA (sf) A-IO-2 693456AK1 AAA (sf) A-IO-3 693456AL9 AAA (sf) B-1 693456AN5 AA (sf) B-2 693456AP0 A (sf) B-3 693456AQ8 BBB (sf) B-4 693456AR6 BB (sf) COLONY MORTGAGE 2015-FL3: DBRS Confirms BB Rating on Class E Notes ------------------------------------------------------------------ DBRS, Inc. confirmed the ratings of six Floating Rate Notes issued by Colony Mortgage Capital Series 2015-FL3, Ltd. as follows: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class F at B (low) (sf) All trends are Stable. Classes E and F are part of the Non-Offered Notes that were retained by an affiliate of the Issuer. The rating confirmations reflect that the performance of the transaction remains in line with DBRS’s expectations at issuance. At closing, the collateral consisted of 20 interest-only floating-rate loans totaling approximately $477.6 million secured by 35 transitional commercial and multifamily properties. Two loans, LA 11 Multifamily Portfolio (Prospectus ID#3) and Shadow Creek Apartments (Prospectus ID#16), have fully repaid since issuance, representing a pay down of $56.2 million and collateral reduction of 11.8%. As of the September 2016 remittance, 18 loans, totaling $421.5 million, secured by 23 commercial and multifamily properties, remained in the pool. Three of these loans, representing 31.2% of the cut-off trust balance, were structured with pari passu future funding notes, totaling $18.7 million (ranging from $1.4 million to $12.3 million) to be used for renovations and future leasing costs to aid in property stabilization. These notes will remain outside of the trust, held by a loan seller affiliate. Some of the loans in the trust are cash managed, with reserves also funded up front and/or on a monthly basis for all loans to fund capital expenditure and leasing costs for the collateral properties. Overall, the performance for the underlying loans has been as expected, with select loans showing relatively significant improvement over DBRS expectations at issuance. The third-largest remaining loan in the pool, Sheraton Atlanta (Prospectus ID#4, 9.5% of the pool) reported a trailing 12-month (T-12) net cash flow (NCF) figure as of June 30, 2016, of $4.44 million, a figure that represents an increase of 33.2% over the DBRS underwritten (UW) stabilized NCF figure. That loan is secured by a 763-key full-service hotel located in downtown Atlanta, Georgia. The trust loan funded the borrower’s acquisition of the subject property, with $14.1 million in equity remaining at closing. Initial loan proceeds of $40.0 million were included in the trust, with a $5.0 million future funding component to be held pari passu outside of the trust. The borrower's stabilization plan for the property included a complete renovation of the property at a cost of approximately $13.4 million, with an estimated $6.4 million spent at issuance. The servicer confirmed in September 2016 that all renovations at the property were complete, with all rooms on line as of January 2016. The future funding commitment has been fully funded. According to the July 2016 Smith Travel Research (STR) report forwarded by the servicer, the property had experienced year-over-year running 12-month revenue per available room (RevPAR) growth of 22.3%, driven by increases in both ADR and occupancy at the property with the renovations complete. Year-to-date occupancy was reported at 82.6%, as compared with 76.9% for the competitive set, with RevPAR at $115.80 as compared with $117.12 for the competitive set. These figures compare with the May 2015 STR figures from issuance that showed an occupancy rate for the subject of 66.5% and RevPAR of $81.92. The largest loan in the pool is Prospectus ID#1, Cleveland Office Portfolio (17.0% of the pool), which is secured by two Class A office buildings, One Cleveland Center (OCC) and Penton Media Building (PMB), totaling 1.15 million square feet in downtown Cleveland, Ohio. The trust loan of $71.7 million ($63 per square foot (psf)) refinanced existing debt on the properties for the borrower, with fresh equity of $3.5 million contributed at close. The future funding commitment for this loan is relatively sizeable, at $12.3 million, bringing the fully funded senior loan amount to $84.0 million ($73 psf). The portfolio had a weighted-average occupancy rate of 68.6% at issuance, with the borrower's stabilization plan focused on leasing the properties up to market levels of approximately 80.0%. As of the August 2016 update provided by the servicer, the properties were 73.9% leased, with leasing activity in early 2016 for OCC that will boost that property’s occupancy rate to 78.3% from 67.7% at YE2015. PMB’s occupancy rate was reported at 57.3% as of August 2016. Occupancy for that property has remained relatively stable since issuance, with Penton Media vacating the property in July 2015 and three new tenants signed since, which combined account for almost all of that vacated space. The largest tenant to take occupancy, AECOM (6.2% of the portfolio’s total net rentable area) took occupancy as of November 2015, and received approximately $1.85 million ($50 psf) in tenant improvements, as well eight months of rental abatement. With Penton Media’s departure, the building has been renamed the AECOM Center. The total amount drawn on the future funding commitment of as of August 2016 was $1.6 million, with $10.7 million remaining. The servicer’s reported NCF figure of $5.2 million for the T-12 period ending June 30, 2016, represents a decline of 17.4% from the DBRS UW stabilized figure, but DBRS expects that figure is depressed as the newly signed tenants did not take occupancy until early 2016, with previous vacancy and/or rent abatements in place for a good portion of the reporting period. The rating assigned to Class F materially deviates from the lower ratings implied by the quantitative model. DBRS considers a material deviation to be a rating differential of three or more notches between the assigned rating and the rating implied by the quantitative model that is a substantial component of a rating methodology; in this case, the assigned rating reflects the sustainability of loan performance trends that have not yet been demonstrated. Notes: All figures are in U.S. dollars unless otherwise noted. COMM 2014-FL4: S&P Affirms BB- Rating on Cl. SOF1 Certificates -------------------------------------------------------------- S&P Global Ratings raised its rating on the class C commercial mortgage pass-through certificates from COMM 2014-FL4 Mortgage Trust, a U.S. CMBS transaction, to 'AAA (sf)' from 'A- (sf)'. At the same time, S&P affirmed the ratings on seven other classes from the same transaction. The ratings actions on the class C, D, SOF1, and SOF2 certificates follow S&P's analysis of the transaction primarily using its criteria for rating U.S. and Canadian CMBS transactions, while the affirmation on the nonpooled AR4 certificates was based on S&P's analysis primarily using its global CMBS criteria. S&P's analysis included a review of the credit characteristics and the current and future performance of the lodging properties securing the two loans in the transaction, the deal's structure, and the liquidity available to the trust. The raised rating on class C reflects S&P's expectation that the available credit enhancement for the class is greater than its most recent estimate of necessary credit enhancement for the rating level. The affirmed rating on class D reflects S&P's expectation that the available credit enhancement for the class will be within its estimate of the necessary credit enhancement required for the current rating. The affirmations on the class SOF1 and SOF2 raked certificates reflect S&P's re-evaluation of the Sofitel Chicago Water Tower loan. The $80.0 million loan is secured by a 415-room full-service hotel in Chicago. These certificates derive 100% of their cash flow from a subordinate nonpooled component of the loan. The affirmation on the class AR4 certificates reflects S&P's re-evaluation of the Renaissance Aruba loan. The $147.3 million loan is secured by a 556-key hotel, two casinos, and two shopping malls in Oranjestad, Aruba. The certificates derive 100% of their cash flow from the Renaissance Aruba loan. S&P affirmed its ratings on the class X-EXT, X-SOF, and AR-X-EXT interest-only (IO) certificates based on S&P's criteria for rating IO securities, in which the ratings on the IO securities would not be higher than that of the lowest-rated reference class. The notional balances on classes X-EXT and X-SOF reference classes C and D, while class AR-X-EXT references classes AR1 through AR4. The analysis of large-loan transactions is predominantly a recovery-based approach that assumes a loan default. Using this approach, our property-level analysis included a re-evaluation of the properties that secure the mortgage loans in the trust. S&P also considered the servicer-reported net operating income (NOI) and occupancy for the past two years and considered the volatile collateral performance, specifically the significant declines in revenue per available room (RevPAR) and net cash flow (NCF) during the economic downturn in 2009, as well as the slight declines since issuance in reported RevPAR and NCF for both lodging properties as of the year ended Dec. 31, 2015. According to the Sept. 15, 2016, trustee remittance report, the trust consisted of two floating-rate loans that are not cross-collateralized or cross-defaulted with a $227.3 million aggregate trust balance (down from $441.0 million at issuance) that is divided into a $56.8 million aggregate pooled trust component and a $170.5 million aggregate nonpooled trust component. The reduced trust asset balance predominantly stems from the repayment in full of two other loans that were initially included in the transaction: the Blackstone Select Service Portfolio loan and the Hilton Portland & Executive Tower loans. According to the transaction documents, the borrowers will pay the special servicing, work-out, and liquidation fees, as well as costs and expenses incurred from appraisals and inspections conducted by the special servicer. To date, the trust has not incurred any principal losses. S&P based its analysis partly on a review of the properties' historical NOI for the years ended Dec. 31, 2015, 2014, 2013, and 2012 that the master servicer provided to determine S&P's opinion of a sustainable cash flow for the hotel properties. The Renaissance Aruba loan, the larger of the two loans remaining in the trust, has a $147.3 million whole loan balance as of the Sept. 15, 2016, trustee remittance report, down from $155.0 million at issuance. The loan supports the class AR1, AR2, AR3, AR4, and AR5 nonpooled certificates. S&P Global Ratings does not rate classes AR1, AR2, AR3, and AR5. The loan pays interest at a rate of one-month LIBOR plus 7.0% per annum, amortizes by $3 million per year, matures on May 9, 2017, and has two one-year extension options. The master servicer, Wells Fargo Bank N.A., reported a 1.16x debt service coverage (DSC) and $183.12 RevPAR for the six months ended June 30, 2016. S&P's expected case value, using a 10.35% capitalization rate, yielded a 96.7% S&P Global Ratings' loan-to-value (LTV) ratio on the whole loan trust balance. The Sofitel Chicago Water Tower loan, the smallest loan in the trust, has a $80.0 million whole loan balance as of the Sept. 15, 2016, trustee remittance report, which is the same as issuance. The loan is divided into a $56.8 million senior pooled trust component and a $23.2 million subordinate nonpooled trust component that supports the class SOF1 and SOF2 raked certificates. The whole loan is IO, pays interest at a rate of one-month LIBOR plus 2.3% per annum, and has an initial two-year term (initial maturity of March 9, 2016) with three one-year extension options. The borrower has exercised one of its three extension options, and the loan's maturity is currently March 9, 2017. Wells Fargo Bank N.A. reported a 3.50x DSC and $176.52 RevPAR for the 12 months ended June 30, 2016. S&P's expected case value, using a 9.00% capitalization rate, yielded an 89.1% S&P Global Ratings' LTV ratio on the whole loan trust balance. RATING RAISED COMM 2014-FL4 Mortgage Trust Commercial mortgage pass-through certificates Rating Class To From C AAA (sf) A- (sf) RATINGS AFFIRMED COMM 2014-FL4 Mortgage Trust Commercial mortgage pass-through certificates Class Rating AR-X-EXT BBB- (sf) AR4 BBB- (sf) D BBB- (sf) SOF1 BB- (sf) SOF2 B (sf) X-EXT BBB- (sf) X-SOF BBB- (sf) CONN RECEIVABLES 2016-B: Fitch Assigns BB Rating on Class B Debt ---------------------------------------------------------------- Fitch Ratings expects to assigns the following ratings to Conn's Receivables Funding 2016-B, LLC (Conn's 2016-B), which consists of notes backed by retail loans originated and serviced by Conn Appliances, Inc. (Conn's): -- $391,840,000 class A notes 'BBBsf(EXP)'; Outlook Stable; -- $111,960,000 class B notes 'BBsf(EXP)'; Outlook Stable; -- $48,980,000 class C notes 'Bsf(EXP)'; Outlook Stable; -- class R notes 'NR'. KEY RATING DRIVERS Collateral Quality: The 2016-B trust pool consists of 100% fixed-rate consumer loans originated and serviced by Conn's Appliances, Inc. The pool exhibits a weighted average FICO score of 608 and a weighted average borrower rate of 21.52%. The base case default rate for the 2016-B pool is assumed to be 24.75% and Fitch applied a 2.2x stress at the 'BBBsf' level, reflecting the high absolute value of the historical defaults, along with the variability of default performance in recent years and the high geographic concentration. Rating Cap at 'BBBsf': Due to higher loan defaults in recent years, management changes at Conn's, and the credit risk profile of Conn's, Fitch placed a rating cap on this transaction at the 'BBBsf' category. Dependence on Trust Triggers: The trust depends on the three trust triggers -- the Cumulative Net Loss Trigger, the Annualized Net Loss Trigger, and the Recovery Trigger -- in order to ensure the payments due on the notes during times of degrading collateral performance. Liquidity Support: Liquidity support is provided by reserve account, which will be fully funded at closing at 1.50% of the initial pool balance. The reserve account will step down to 1.25% of the original collateral balance once overcollateralization (OC) reaches 30% of the current collateral balance and will step down to 1.00% of the original collateral balance once OC reaches 40% of the current collateral balance. Servicing Capabilities: Conn Appliances, Inc. has a long track record as an originator, underwriter, and servicer. The credit risk profile of the entity is mitigated by the backup servicing provided by Systems & Services Technologies, Inc. (SST). RATING SENSITIVITIES Unanticipated increases in the frequency of defaults or chargeoffs on customer accounts could produce loss levels higher than the base case and would likely result in declines of credit enhancement (CE) and remaining loss coverage levels available to the investments. Decreased CE may make certain ratings on the investments susceptible to potential negative rating actions, depending on the extent of the decline in coverage. Fitch conducts sensitivity analysis by stressing a transaction's initial base case chargeoff assumption by 1.5x, 2.0x, and 2.5x, and examining the rating implications. The 1.5x, 2.0x, and 2.5x increase of the base case chargeoffs are intended to provide an indication of the rating sensitivity of the notes to unexpected deterioration of a transaction's performance. During the sensitivity analysis, Fitch examines the magnitude of the multiplier compression by projecting the expected cash flows and loss coverage levels over the life of investments under higher than the initial base case chargeoff assumptions. Fitch models cash flows with the revised chargeoff estimates while holding constant all other modeling assumptions. Under the 1.5x base case stress scenario, class A notes would retain the current rating, while class B notes would experience a one-notch downgrade. Under the 2.0x base case stress scenario, class A notes would be downgraded one notch, while class B notes would downgraded one category to 'Bsf'. Under the 2.5x base case stress scenario, class A notes would be downgraded to 'B+sf', and class B and class C notes would fall to 'CCCsf'. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DT AUTO 2016-4: DBRS Assigns BB Rating on Class E Debt ------------------------------------------------------ DBRS, Inc. assigned provisional ratings to the following classes of notes issued by DT Auto Owner Trust 2016-4: -- $194,140,000 Class A at AAA (sf) -- $63,800,000 Class B at AA (sf) -- $76,030,000 Class C at A (sf) -- $66,520,000 Class D at BBB (sf) -- $38,020,000 Class E at BB (sf) The DBRS ratings are based on DBRS’s review of the following analytical considerations: -- Transaction capital structure, proposed ratings and form and sufficiency of available credit enhancement. -- DTAOT 2016-4 provides for Class A, B, C, D and E coverage multiples slightly below the DBRS range of multiples set forth in the criteria for this asset class. DBRS believes that this is warranted given the magnitude of expected loss and structural features of the transaction. -- The transaction parties’ capabilities with regard to originations, underwriting and servicing. -- The quality and consistency of provided historical static pool data for DriveTime Automotive Group, Inc. (DriveTime) originations and performance of the DriveTime auto loan portfolio. -- The November 19, 2014, settlement of the Consumer Financial Protection Bureau inquiry relating to allegedly unfair trade practices. -- Review of the legal structure and presence of legal opinions (to be provided), which address the true sale of the assets to the Issuer, the non-consolidation of the special-purpose vehicle with DriveTime, that the trust has a valid first- priority security interest in the assets and the consistency with the DBRS "Legal Criteria for U.S. Structured Finance" methodology. The DTAOT 2016-4 transaction represents a securitization of a portfolio of motor vehicle retail installment sales contracts originated by DriveTime Car Sales Company, LLC (the Originator). The Originator is a direct, wholly owned subsidiary of DriveTime. DriveTime is a leading used vehicle retailer in the United States that focuses on the sale and financing of vehicles to the subprime market. The rating on the Class A Note reflects the 65.75% of initial hard credit enhancement provided by the subordinated notes in the pool, the Reserve Account (1.50%) and overcollateralization (19.25%). The ratings on the Class B, C, D and E Notes reflect 54.00%, 40.00%, 27.75% and 20.75% of initial hard credit enhancement, respectively. Additional credit support may be provided from excess spread available in the structure. Notes: All figures are in U.S. dollars unless otherwise noted. DT AUTO 2016-4: S&P Assigns Prelim. BB Rating on Class E Notes -------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to DT Auto Owner Trust 2016-4's $438.51 million asset-backed notes series 2016-4. The note issuance is an asset-backed securities transaction backed by subprime auto loan receivables. The preliminary ratings are based on information as of Sept. 26, 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 66.7%, 60.4%, 50.2%, 41.9%, and 37.9% credit support for the class A, B, C, D, and E notes, respectively, based on stressed break-even cash flow scenarios (including excess spread). These credit support levels provide approximately 2.20x, 2.00x, 1.65x, 1.35x, and 1.20x coverage of our expected net loss range of 29.50%-30.50% for the class A, B, C, D, and E notes, respectively. -- The timely interest and principal payments by the legal final maturity dates made under stressed cash flow modeling scenarios that S&P deems appropriate for the assigned preliminary ratings. -- S&P's expectation that under a moderate ('BBB') stress scenario, the ratings on the class A, B, and C notes would remain within one rating category of S&P's preliminary 'AAA (sf)', 'AA (sf)', and 'A (sf)' ratings, respectively, and the rating on the class D and E notes would remain within two rating categories of S&P's preliminary '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 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 collateral characteristics of the subprime pool being securitized, including a high percentage (approximately 87%) of obligors with higher payment frequencies (more than once a month), which S&P expects will result in a somewhat faster paydown on the pool. -- The transaction's sequential-pay structure, which builds credit enhancement (on a percentage-of-receivables basis) as the pool amortizes. PRELIMINARY RATINGS ASSIGNED DT Auto Owner Trust 2016-4 Class Rating Type Interest Amount rate (mil. $) A AAA (sf) Senior Fixed 194.14 B AA (sf) Subordinate Fixed 63.80 C A (sf) Subordinate Fixed 76.03 D BBB (sf) Subordinate Fixed 66.52 E BB (sf) Subordinate Fixed 38.02 EQTY 2014-INNS: S&P Affirms B- Rating on 2 Tranches --------------------------------------------------- S&P Global Ratings affirmed its ratings on seven classes of commercial mortgage pass-through certificates from EQTY 2014-INNS Mortgage Trust, 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 reviewing the portfolio of 96 limited-service and extended-stay hotels that back the $801.1 million floating-rate interest-only (IO) mortgage loan. S&P also considered the deal structure and liquidity available to the trust. The affirmations on classes A, B, C, D, E, and F also reflect subordination and liquidity support that are consistent with the outstanding ratings. Although the portfolio's revenue per available room (RevPAR) and net cash flow (NCF) exhibited growth in 2014, our analysis also considered the more recent declines in the portfolio's RevPAR and NCF and the potential for the portfolio's performance to further weaken as supply growth throughout the U.S. increases or if economic conditions should weaken. S&P affirmed its rating on the class X-EXT IO certificates based on its criteria for rating IO securities, in which the ratings on the IO securities would not be higher than that of the lowest rated reference class. The notional balance on class X-EXT references classes D, E, and F. 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 properties that secure the trust's mortgage loan. The portfolio is geographically diverse as the 96 hotels totaling 11,177 guestrooms are located across 30 states. Ten properties were released since issuance. S&P considered the servicer-reported NCF for the portfolio overall, which decreased to $101.0 million in the trailing 12-month period ended March 31, 2016, from $107.2 million in 2015 and $110.8 million in 2014. S&P also factored in the recent deceleration in RevPAR growth for the portfolio, as well as in certain U.S. markets thus far in 2016. S&P then derived its sustainable in-place NCF, which S&P divided by a 9.86% weighted average capitalization rate to determine its expected-case value. This yielded an overall S&P Global Ratings' loan-to-value ratio of 93.9% based on the trust balance and S&P Global Ratings' annualized debt service coverage (DSC) of 2.69x based on the trustee's actual reported debt service per the September 2016 trustee remittance report and S&P Global Ratings' NCF. According to the Sept. 9, 2016, trustee remittance report, the mortgage loan has an $801.1 million trust balance, down from $865.0 million at issuance. As of the September 2016 trustee remittance report, the loan pays an annual floating interest rate of LIBOR plus 3.29%. There is additional debt in the form of a mezzanine loan totaling $102.8 million, down from $111.0 million at issuance. According to the transaction documents, the borrowers will pay the special servicing, work-out, and liquidation fees, as well as costs and expenses incurred from appraisals and inspections conducted by the special servicer. To date, the trust has not incurred any principal losses. S&P based its analysis partly on a review of the property's historical NCF for the years ended Dec. 31, 2014, and Dec. 31, 2015, and the trailing 12-month period ended March 31, 2016, that the master servicer provided to determine S&P's opinion of a sustainable cash flow for the lodging properties. The master servicer, KeyBank N.A., reported a consolidated DSC of 3.52x on the trust balance for the trailing 12 months ended March 31, 2016. RATINGS AFFIRMED EQTY 2014-INNS Mortgage Trust Commercial mortgage pass-through certificates Class Rating A AAA (sf) B AA- (sf) C A- (sf) D BBB- (sf) E BB- (sf) F B- (sf) X-EXT B- (sf) EXETER AUTOMOBILE 2016-3: DBRS Gives Prov. BB Rating on Cl. D Notes ------------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following classes of notes issued by Exeter Automobile Receivables Trust 2016-3: -- Class A Notes rated AAA (sf) -- Class B Notes rated A (sf) -- Class C Notes rated BBB (sf) -- Class D Notes 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 transaction benefits from credit enhancement in the form of overcollateralization, subordination, amounts held in the reserve fund and excess spread. Credit enhancement levels are sufficient to support DBRS-projected expected cumulative net loss assumptions under various stress scenarios. -- 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 rating addresses the payment of timely interest on a monthly basis and principal by the legal final maturity date. -- Exeter’s capabilities with regards to originations, underwriting, servicing and ownership by the Blackstone Group, Navigation Capital Partners, Inc. and Goldman Sachs Vintage Fund. -- DBRS has performed an operational review of Exeter Finance Corp. (Exeter) and considers the entity to be an acceptable originator and servicer of subprime automobile loan contracts with an acceptable backup servicer. -- Exeter senior management team has considerable experience and a successful track record within the auto finance industry. -- The credit quality of the collateral and performance of Exeter’s auto loan portfolio. -- The legal structure and presence of legal opinions that address the true sale of the assets to the Issuer, the non- consolidation of the special-purpose vehicle with Exeter and that the trust has a valid first-priority security interest in the assets and the consistency with the DBRS methodology, “Legal Criteria for U.S. Structured Finance.” Notes: All figures are in U.S. dollars unless otherwise noted. RATINGS Issuer Debt Rated Rating Action Rating Exeter Automobile Class A Notes Provis.-New AAA(sf) Receivables Trust 2016-3 Exeter Automobile Class B Notes Provis.-New A(sf) Receivables Trust 2016-3 Exeter Automobile Class C Notes Provis.-New BBB(sf) Receivables Trust 2016-3 Exeter Automobile Class D Notes Provis.-New BB(sf) Receivables Trust 2016-3 EXETER AUTOMOBILE 2016-3: S&P Gives Prelim BB Rating on Cl. D Notes ------------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Exeter Automobile Receivables Trust 2016-3's $450.00 million automobile receivables-backed notes series 2016-3. The note issuance is an asset-backed securities transaction backed by subprime auto loan receivables. The preliminary ratings are based on information as of Sept. 29, 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 50.0%, 41.5%, 33.8%, and 26.1% credit support for the class A, B, C, and D notes, respectively, based on stressed cash flow scenarios (including excess spread), which provide coverage of more than 2.55x, 2.10x, 1.60x, and 1.30x our 18.50%-19.50% expected cumulative net loss. -- The timely interest and principal payments that S&P believes will be made to the preliminary rated notes by the assumed legal final maturity dates under stressed cash flow modeling scenarios that S&P believes is appropriate for the assigned preliminary ratings. -- S&P's expectation that under a moderate ('BBB') stress scenario, all else being equal, its ratings on the class A and B notes will remain within one rating category of S&P's preliminary 'AA (sf)' and 'A (sf)' ratings, respectively, during the first year and that S&P's ratings on the class C and D notes will remain within two rating categories of S&P's preliminary 'BBB (sf)' and 'BB (sf)' ratings 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 one- category downgrade within the first year for 'AA' rated securities and a two-category downgrade within the first year for 'A' through 'BB' rated securities under the moderate stress conditions. -- The collateral characteristics of the subprime automobile loans securitized in this transaction. -- The transaction's payment, credit enhancement, and legal structures. -- Representation in the transaction documents that all contracts in the pool have made at least one payment. PRELIMINARY RATINGS ASSIGNED Exeter Automobile Receivables Trust 2016-3 Class Rating Type Interest Amount rate(i) (mil. $)(i) A AA (sf) Senior Fixed 281.55 B A (sf) Subordinate Fixed 69.50 C BBB (sf) Subordinate Fixed 53.00 D BB (sf) Subordinate Fixed 45.95 (i)The interest rates and actual sizes of these tranches will be determined on the pricing date. FIGUEROA CLO 2013-2: S&P Affirms BB Rating on Class D Notes ----------------------------------------------------------- S&P Global Ratings affirmed its ratings on the class A-1, A-2, B, C, and D notes from Figueroa CLO 2013-2 Ltd., a U.S. collateralized loan obligation (CLO) transaction that closed in December 2013 and is managed by TCW Asset Management Co. The rating actions follow S&P's review of the transaction's performance using data from the Aug. 9, 2016, trustee report. The transaction is scheduled to remain in its reinvestment period until December 2017. Since the transaction's effective date, the trustee reported that the collateral portfolio's weighted average life has decreased to 4.72 years from 5.76 years. This seasoning has decreased the overall credit risk profile, which, in turn, provided more cushion to the tranche ratings. The transaction has experienced an increase in assets rated 'CCC+' and below since the April 2014 effective date report. Specifically, the amount of assets rated 'CCC+' and below increased to $22.8 from $2.98 million. The transaction does not hold any defaulted assets. According to the Aug. 9, 2016 trustee report that S&P used for this review, the overcollateralization (O/C) ratios for each class have declined since the April 17, 2014 trustee report, which S&P used for its effective date rating affirmations: -- The class A O/C ratio was 132.17%, down from 133.71%. -- The class B O/C ratio was 121.59%, down from 123.01%. -- The class C O/C ratio was 114.24%, down from 115.57%. -- The class D O/C ratio was 108.48%, down from 109.74%. Even with the decline in credit support, all coverage tests are currently passing and are above the minimum requirements. Although S&P's cash flow analysis indicates higher ratings for the class A-2, B, C, and D notes, its rating actions considers additional sensitivity runs that considered the exposure to specific distressed industries and allowed for volatility in the underlying portfolio given that the transaction is still in its reinvestment period. The affirmations of the ratings 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 will take rating actions as S&P deems necessary. RATINGS LIST Figueroa CLO 2013-2 Ltd. Rating Class Identifier To From A-1 31683VAA8 AAA (sf) AAA (sf) A-2 31683VAC4 AA (sf) AA (sf) B 31683VAE0 A (sf) A (sf) C 31683VAG5 BBB (sf) BBB (sf) D 31683WAA6 BB (sf) BB (sf) FINN SQUARE: S&P Affirms BB Rating on Class D Notes --------------------------------------------------- S&P Global Ratings assigned ratings to the class A-1-R, A-2-R, B-1-R, and B-2-R replacement notes from Finn Square CLO Ltd., a U.S. collateralized loan obligation (CLO) transaction managed by GSO/Blackstone Debt Funds Management. S&P withdrew its ratings on the transaction's original class A-1, A-2, B-1, and B-2 notes after they were fully redeemed. S&P also affirmed its ratings on the class C and D notes, which were not part of the refinancing. On the Sept. 26, 2016, refinancing date, the proceeds from the replacement note issuance were used to redeem the original notes, as outlined in the transaction document provisions. Therefore, S&P withdrew the ratings on the transaction's original notes in line with their full redemption and assigned ratings to the transaction's replacement notes. The ratings reflect S&P's opinion that the credit support available is commensurate with the associated rating levels. S&P will continue to review whether, in its view, the ratings assigned to the transaction remain consistent with the credit enhancement available to support them, and S&P will take rating actions as it deems necessary. RATINGS ASSIGNED Finn Square CLO Ltd. Replacement class Rating A-1-R AAA (sf) A-2-R AA (sf) B-1-R A (sf) B-2-R A (sf) RATINGS WITHDRAWN Finn Square CLO Ltd. Original class Rating To From A-1 NR AAA (sf) A-2 NR AA (sf) B-1 NR A (sf) B-2 NR A (sf) RATINGS AFFIRMED Finn Square CLO Ltd. Class Rating C BBB (sf) D BB (sf) NR--Not rated. FIRST INVESTORS 2016-2: S&P Assigns BB Rating on Class E Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to First Investors Auto Owner Trust 2016-2's $230 million asset-backed notes. The note issuance is an asset-backed securities transaction backed by subprime auto loan receivables. The ratings reflect: -- The availability of approximately 35.4%, 31.3%, 24.9%, 19.6%, and 15.7% credit support for the class A, B, C, D, and E notes, respectively, based on stressed cash flow scenarios (including excess spread). These credit support levels provide approximately 3.65x, 3.15x, 2.45x, 1.85x, and 1.50x coverage of S&P's 9.00%-9.50% expected cumulative net loss (CNL) range for the class A, B, C, D, and E notes, respectively. -- The timely interest and principal payments made under stressed cash flow modeling scenarios that are appropriate for the ratings. -- S&P's expectation that under a moderate ('BBB') stress scenario, the ratings on the class A and B notes would not drop by more than one rating category, and the ratings on the class C, D, and E notes would not drop by more than two rating categories within the first year. These potential rating movements are consistent with S&P's rating stability criteria. -- The collateral characteristics of the pool being securitized with direct loans accounting for approximately 19% of the cut-off pool. These loans historically have lower losses than the indirect-originated loans. First Investors Financial Services Inc.'s 26-year history of originating and underwriting auto loans, 15-year history of self-servicing auto loans, and 12 years as a third-party servicer, as well as its track record of securitizing auto loans since 2000. -- First Investors' 13 years of origination static pool data, segmented by direct and indirect loans. -- Wells Fargo Bank N.A.'s experience as the committed back-up servicer. -- The transaction's sequential payment structure, which builds credit enhancement based on a percentage of receivables as the pool amortizes. RATINGS ASSIGNED First Investors Auto Owner Trust 2016-2 Class Rating Type Interest Amount rate (mil. $) A-1 AAA (sf) Senior Fixed 130.80 A-2 AAA (sf) Senior Fixed 44.00 B AA (sf) Subordinate Fixed 11.20 C A (sf) Subordinate Fixed 18.40 D BBB (sf) Subordinate Fixed 15.30 E BB (sf) Subordinate Fixed 10.30 FIRSTMAC MORTGAGE 3-2016: S&P Gives Prelim BB Rating on Cl. D Notes ------------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to five of the six classes of prime residential mortgage-backed securities (RMBS) to be issued by Firstmac Fiduciary Services Pty Ltd. as trustee for Firstmac Mortgage Funding Trust No.4 Series 3-2016. The preliminary ratings reflect: -- S&P's view of the credit risk of the underlying collateral portfolio, including the fact that this is a closed portfolio, which means no further loans will be assigned to the trust after the closing date. -- S&P's view of the credit support that is sufficient to withstand the stresses it applies. Credit support for the rated notes comprises note subordination, excess spread and lenders' mortgage insurance (LMI) on 37.8% of the portfolio. -- S&P's expectation that the various mechanisms to support liquidity within the transaction, including a liquidity reserve equal to 1.2% of the outstanding note balance; the principal draw function; 24 months timely payment cover on 27.4% of the loans in the portfolio; and a spread reserve which builds from available excess spread to ensure timely payment of interest. -- The extraordinary expense reserve of A$150,000, funded from day one by Firstmac Ltd., available to meet extraordinary expenses. The reserve will be topped up via excess spread if drawn. -- The fixed-to-floating interest-rate swap provided by National Australia Bank Ltd. to hedge the mismatch between receipts from fixed-rate mortgage loans and the variable- rate RMBS. A copy of S&P Global Ratings' complete report for Firstmac Mortgage Funding Trust No.4 Series 3-2016 can be found on RatingsDirect, S&P Global Ratings' Web-based credit analysis system, at: http://www.globalcreditportal.com The issuer has not informed Standard & Poor's (Australia) Pty Limited whether the issuer is publically disclosing all relevant information about the structured finance instruments that are subject to this rating report or whether relevant information remains non-public. PRELIMINARY RATINGS ASSIGNED Class Rating Amount (A$ mil.) A-1 AAA (sf) 297.5 A-2 AAA (sf) 24.50 B AA (sf) 20.65 C A (sf) 3.85 D BB (sf) 2.66 E NR 0.84 NR--Not rated. FREDDIE MAC 2016-DNA4: Fitch to Rate 2 Tranches 'Bsf' ----------------------------------------------------- Fitch Ratings expects to rate Freddie Mac's risk-transfer transaction, Structured Agency Credit Risk Debt Notes Series 2016-DNA4 (STACR 2016-DNA4) as: -- $177,000,000 class M-1 notes 'BBBsf'; Outlook Stable; -- $177,000,000 class M-2 notes 'BBB-sf'; Outlook Stable; -- $177,000,000 class M-2F exchangeable notes 'BBB-sf'; Outlook Stable; -- $177,000,000 class M-2I notional exchangeable notes 'BBB-sf'; Outlook Stable; -- $177,000,000 class M-3A notes 'BBsf'; Outlook Stable; -- $177,000,000 class M-3AF exchangeable notes 'BBsf'; Outlook Stable; -- $177,000,000 class M-3AI notional exchangeable notes 'BBsf'; Outlook Stable; -- $177,000,000 class M-3B notes 'Bsf'; Outlook Stable; -- $354,000,000 class M-3 exchangeable notes 'Bsf'; Outlook Stable; These classes will not be rated by Fitch: -- $23,602,630,840 class A-H reference tranche; -- $71,448,746 class M-1H reference tranche; -- $71,448,746 class M-2H reference tranche; -- $71,448,745 class M-3AH reference tranche; -- $71,448,746 class M-3BH reference tranche; -- $31,000,000 class B notes; -- $217,448,746.13 class B-H reference tranche. The 'BBBsf' rating for the M-1 notes reflects the 4.00% subordination provided by the 1.00% class M-2 notes, the 1.00% class M-3A notes, the 1.00% class M-3B and the 1.00% class B notes. The 'BBB-sf' rating for the M-2 notes reflects the 3.00% subordination provided by the 1.00% class M-3A notes, the 1.00% class M-3B notes and the 1.00% class B notes. The notes are general unsecured obligations of Freddie Mac ('AAA'/Outlook Stable) subject to the credit and principal payment risk of a pool of certain residential mortgage loans held in various Freddie Mac-guaranteed MBS. STACR 2016-DNA4 represents Freddie Mac's twelfth risk transfer transaction applying actual loan loss severity (LS) issued as part of the Federal Housing Finance Agency's Conservatorship Strategic Plan for 2013-2017 for each of the government-sponsored enterprises (GSEs) to demonstrate the viability of multiple types of risk-transfer transactions involving single-family mortgages. The objective of the transaction is to transfer credit risk from Freddie Mac to private investors with respect to a $24.84 billion pool of mortgage loans currently held in previously issued MBS guaranteed by Freddie Mac where principal repayment of the notes is subject to the performance of a reference pool of mortgage loans. As loans liquidate or other credit events occur, the outstanding principal balance of the debt notes will be reduced by the actual loan's LS percentage related to those credit events, which includes borrower's delinquent interest. While the transaction structure simulates the behavior and credit risk of traditional RMBS senior-subordinate securities, Freddie Mac will be responsible for making monthly payments of interest and principal to investors. Because of the counterparty dependence on Freddie Mac, Fitch's expected rating on the M-1, M-2, M-2F, M-2I, M-3A, M-3AF, M-3AI, M-3B and M-3 notes will be based on the lower of: the quality of the mortgage loan reference pool and credit enhancement (CE) available through subordination, and Freddie Mac's Issuer Default Rating. The M-1, M-2, M-3A, M-3B and B notes will be issued as uncapped LIBOR-based floaters and will carry a 12.5-year legal final maturity. KEY RATING DRIVERS High-Quality Mortgage Pool (Positive): The reference mortgage loan pool consists of 106,116 high-quality mortgage loans totaling $24.844 billion that were acquired by Freddie Mac between Jan. 1, 2016 and March 31, 2016. The pool consists of loans with original loan-to-value ratios (LTVs) of over 60% and less than or equal to 80% with a weighted average (WA) original combined LTV of 76%. The WA debt-to-income (DTI) ratio of 35.4% and credit score of 748 reflect the strong credit profile of post-crisis mortgage originations. Actual Loss Severities (Neutral): This will be Freddie Mac's twelfth actual loss risk transfer transaction in which losses borne by the noteholders will not be based on a fixed LS schedule. The notes in this transaction will experience losses realized at the time of liquidation or loan modification which will include both lost principal and delinquent interest. 12.5-Year Hard Maturity (Positive): The M-1, M-2, M-3A, and M-3B notes benefit from a 12.5-year legal final maturity. Thus, any credit events on the reference pool that occur beyond year 12.5 are borne by Freddie Mac and do not affect the transaction. In addition, credit events that occur prior to maturity with losses realized from liquidations or loan modifications that occur after the final maturity date will not be passed through to noteholders. This feature more closely aligns the risk of loss to that of the 10-year, fixed LS STACRs where losses were passed through when a credit event occurred; that is, loans became 180-days delinquent with no consideration for liquidation timelines. The credit ranged from 8% at the 'Asf' rating category to 14% at the 'Bsf' rating category. Solid Lender Review and Acquisition Processes (Positive): Fitch found that Freddie Mac has a well-established and disciplined process in place for the purchase of loans and views its lender-approval and oversight processes for minimizing counterparty risk and ensuring sound loan quality acquisitions as positive. Loan quality control (QC) review processes are thorough and indicate a tight control environment that limits origination risk. Fitch has determined Freddie Mac to be an above-average aggregator for its 2013 and later product. The lower risk was accounted for by Fitch by applying a lower default estimate for the reference pool. Advantageous Payment Priority (Positive): The payment priority of the M-1 class will result in a shorter life and more stable CE than mezzanine classes in private-label (PL) RMBS, providing a relative credit advantage. Unlike PL mezzanine RMBS, which often do not receive a full pro rata share of the pool's unscheduled principal payment until year 10, the M-1 class can receive a full pro rata share of unscheduled principal immediately, as long as a minimum CE level is maintained, and the cumulative net loss and the delinquency test are within a certain threshold. Additionally, unlike PL mezzanine classes, which lose subordination over time due to scheduled principal payments to more junior classes, the M-2, M-3A, M-3B and B classes will not receive any scheduled or unscheduled principal allocations until the M-1 class is paid in full. The B class will not receive any scheduled or unscheduled principal allocations until the M-3B class is paid in full. Solid Alignment of Interests (Positive): While the transaction is designed to transfer credit risk to private investors, Fitch believes the transaction benefits from a solid alignment of interests. Freddie Mac will retain credit risk in the transaction by holding the senior reference tranche A-H, which has 5% of loss protection, as well as a minimum of 50% of the first-loss B tranche, sized at 100 basis points (bps). Initially, Freddie Mac will retain an approximately 29% vertical slice/interest in the M-1, M-2, M-3A, and M-3B tranches. Receivership Risk Considered (Neutral): Under the Federal Housing Finance Regulatory Reform Act, the Federal Housing Finance Agency (FHFA) must place Freddie Mac into receivership if it determines that the government-sponsored enterprise's (GSE) assets are less than its obligations for longer than 60 days following the deadline of its SEC filing. As receiver, FHFA could repudiate any contract entered into by Freddie Mac if it is determined that such action would promote an orderly administration of Freddie Mac's affairs. Fitch believes that the U.S. government will continue to support Freddie Mac, as reflected in its current rating of the GSE. However, if, at some point, Fitch views the support as being reduced and receivership likely, the rating of Freddie Mac could be downgraded and ratings on the M-1, M-2, M-3A, and M-3B notes, along with their corresponding MAC notes, could be affected. RATING SENSITIVITIES Fitch's analysis incorporates sensitivity analyses to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at both the MSA and national levels. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or be considered in the surveillance of the transaction. This defined stress sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model projected 24.2% at the 'BBBsf' level, 22.6% at the 'BBB-sf' level and 14.7% at the 'Bsf' level. The analysis indicates that there is some potential rating migration with higher MVDs, compared with the model projection. Fitch also conducted defined rating sensitivities which determine the stresses to MVDs that would reduce a rating by one full category, to non-investment grade, and to 'CCCsf'. For example, additional MVDs of 11%, 11% and 35% would potentially move the 'BBBsf' rated class down one rating category, to non-investment grade, to 'CCCsf', respectively. GCA2014 HOLDINGS: S&P Lowers Rating on Class C Notes to B --------------------------------------------------------- S&P Global Ratings lowered its ratings on GCA2014 Holdings Ltd.'s class C and D notes, and removed them from CreditWatch with negative implications. At the same time, S&P lowered its ratings on the class A-1, A-2, and B notes from Global Container Assets 2014 Ltd.'s (AssetCo's) series 2014-1 notes. The downgrades reflect S&P's view of both transactions' inability to withstand the stresses corresponding to the previously assigned rating levels. GCA2014 Holdings Ltd. is an asset-backed securities transaction backed by all outstanding class A shares ($163 million) of AssetCo, which includes the rights to receive cash flow from available payments at the bottom of the payment waterfalls in AssetCo. AssetCo is a container securitization transaction backed by a $345,040,995 (net book value) portfolio containing 166,072 containers. AssetCo has the right to net operating income from the portfolio and any net residual cash flows from the sale of containers. GCA 2014 Holdings Ltd. is an ABS transaction backed by the shares ($163 million) from AssetCo's series 2015-1 notes. The performance of AssetCo.'s fleet has deteriorated since S&P assigned ratings to its last issuance in January 2015. The utilization rate has dropped to 87% from 94%, while the average per diem lease rate has declined to $0.72 from $0.92. The high percentage of dry containers (87%) has contributed to the poor performance, as pricing for this type has been hardest hit by the downturn in the container market. Earlier this year, the ongoing performance deterioration caused a partial deferral of interest and principal payments on notes from GCA2014 Holdings (classes C and D), leading S&P to place those notes on CreditWatch with negative implications in May 2016. Since then, collateral performance has declined further, with the EBIT ratio test now failing, resulting in the complete deferral of interest and principal payments on classes C and D, and reducing the performance of classes A-1, A-2, and B under certain stress scenarios. Given this additional decline, the asset portfolio and structure cannot support any of the ratings originally assigned to the senior and repack notes. Specifically, cashflow analysis indicates that classes A-1 and A-2 can only withstand stresses up to the 'A-' level; class B up to the 'BBB-' level; class C up to the 'B' level; and class D does not pay off interest and principal due under the 'B' scenario. In the case of class C, cash flow analysis does indicate continued deferral of interest payments under the 'B' scenario; however, such deferral does not constitute an event of default, and all amounts due are paid by the legal maturity under our stress scenario. In the case of class D, while ultimate default appears likely unless conditions improve, such a default would not be imminent (occurring at legal maturity in 2030). S&P will continue to review whether, in its view, the ratings currently assigned to the notes remain consistent with the credit enhancement available to support them, and S&P will take rating actions as it deems necessary. RATINGS LOWERED AND REMOVED FROM WATCH NEGATIVE GCA2014 Holdings Ltd. Asset-backed notes series 2014-1 Rating Class To From C B (sf) BB (sf)/Watch Neg D CCC (sf) B (sf)/Watch Neg RATINGS LOWERED Global Container Assets 2014 Ltd. Asset-backed notes series 2015-1 Rating Class To From A-1 A-(sf) A (sf) A-2 A-(sf) A (sf) B BBB-(sf) BBB (sf) GMAC COMMERCIAL 2003-C1: Moody's Hikes Cl. N-2 Debt Rating to B3 ---------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on three classes and affirmed the ratings on two classes in GMAC Commercial Mortgage Securities, Inc., Commercial Mortgage Pass-Through Certificates, Series 2003-C1 as follows: -- Cl. M, Upgraded to Aaa (sf); previously on Oct 23, 2015 Upgraded to Aa2 (sf) -- Cl. N-1, Upgraded to Baa1 (sf); previously on Oct 23, 2015 Upgraded to Baa3 (sf) -- Cl. N-2, Upgraded to B3 (sf); previously on Oct 23, 2015 Upgraded to Caa2 (sf) -- Cl. O, Affirmed C (sf); previously on Oct 23, 2015 Affirmed C (sf) -- Cl. X-1, Affirmed Caa3 (sf); previously on Oct 23, 2015 Affirmed Caa3 (sf) RATINGS RATIONALE The ratings on Classes M, N-1 and N-2 were upgraded based on an increase in credit support resulting from loan amortization. The deal has paid down 9% since Moody's last review. The rating on Class O was affirmed because the class has already experienced a 96% realized loss as result of previously liquidated loans. The rating on the IO Class, Class X-1, was affirmed based on the credit performance (or the weighted average rating factor or WARF) of its referenced classes. Moody's rating action reflects no base expected loss of the current balance, the same as at the Moody's last review. Moody's does not anticipate losses from the remaining collateral in the current environment. However, over the remaining life of the transaction, losses may emerge from macro stresses to the environment and changes in collateral performance. Our ratings reflect the potential for future losses under varying levels of stress. Moody's base expected loss plus realized losses is now 2.0% of the original pooled balance, the same as 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. 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 2, the same as at Moody's last review. Moody's analysis used the excel-based Large Loan Model. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan-level proceeds derived from Moody's loan-level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure and property type. Moody's also further adjusts these aggregated proceeds for any pooling benefits associated with loan level diversity and other concentrations and correlations. DEAL PERFORMANCE As of the September 12, 2016 distribution date, the transaction's aggregate certificate balance has decreased by 99% to $11.7 million from $1.05 billion at securitization. The certificates are collateralized by two remaining mortgage loans. Eight loans have been liquidated from the pool, resulting in an aggregate realized loss of $20.9 million (for an average loss severity of 28%). Currently, there are no loans in special servicing nor on the master servicer's watchlist The largest loan is the Hologic Facilities Loan ($9.2 million -- 78.8% of the pool), which is secured by two suburban office buildings totaling 269,000 SF. One building, representing 207,000 SF, is located in Bedford, Massachusetts and the other, representing 62,000 SF, is in Danbury, Connecticut. Both buildings are fully leased to Hologic, Inc. through August 2022. The loan is fully amortizing and matures in May 2023, which is less than one year after the lease expiration date. The loan has amortized 50% since securitization. Due to the single tenant nature of the loan, Moody's performed a Lit / Dark analysis. Moody's LTV and stressed DSCR are 32% and 3.42X, respectively, compared to 35% and 3.10X at last review. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The other remaining loan is the Copperfield Square II Apartments Loan ($2.5 million -- 21.2% of the pool), which is secured by a 77 unit multifamily property located 20 miles west of Washington, DC in Fairfax, VA. The property was 94% leased as of June 2016 compared to 95% as of March 2015. The loan is fully amortizing and has amortized 52% since securitization. Moody's LTV and stressed DSCR are 38% and 2.54X, respectively, compared to 41% and 2.37X at the last review. GOLUB CAPITAL 11: S&P Raises Rating on Class D Notes to 'BB+' ------------------------------------------------------------- S&P Global Ratings raised its ratings on the class A-2, B, C, and D notes from Golub Capital Partners CLO 11 Ltd. At the same time, S&P affirmed its ratings on the class A-1 notes from the same transaction. The rating actions follow S&P's review of the collateralized loan obligation (CLO) transaction's performance using data from the Aug. 9, 2016 trustee report. The upgrades reflect the transaction's $132.48 million in paydowns to the class A-1 notes since S&P's September 2012 rating actions. These paydowns resulted in improved reported overcollateralization (O/C) ratios since the September 2012 trustee report, which S&P used for its effective date review: -- The class A-2 O/C ratio improved to 154.43% from 136.86%. -- The class B O/C ratio improved to 133.67% from 123.74%. -- The class C O/C ratio improved to 122.52% from 116.20%. -- The class D O/C ratio improved to 113.08% from 109.52%. The transaction has also benefited from collateral seasoning, as the reported weighted average life has declined to 3.31 years from 5.47 years as of effective date analysis, decreasing the risk profile of the underlying portfolio. The affirmation of the 'AAA (sf)' rating on the class A-1 notes reflects S&P's view that the credit support available is commensurate with the current rating level. S&P's review of the transaction 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. This interpretation allows us to use a limited number of public ratings from other Nationally Recognized Statistical Rating Organizations (NRSROs) to assess the credit quality of assets not rated by S&P Global Ratings. The criteria provide specific guidance for the treatment of corporate assets not rated by S&P Global Ratings, while the interpretation outlines the treatment of securitized assets. "Our 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 our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions," S&P said. 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 will take rating actions as S&P deems necessary. RATINGS RAISED Golub Capital Partners CLO 11 Ltd. Rating Class To From A-2 AAA (sf) AA (sf) B AA+ (sf) A (sf) C A+ (sf) BBB (sf) D BB+ (sf) BB (sf) RATINGS AFFIRMED Golub Capital Partners CLO 11 Ltd. Class Rating A-1 AAA GREENBRIAR CLO: Moody's Affirms Ba1 Class D Notes Rating -------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Greenbriar CLO, Ltd: -- US $60,000,000 Class B Floating Rate Senior Secured Extendable Notes Due 2021, Upgraded to Aaa (sf); previously on August 17, 2015 Upgraded to Aa1 (sf) -- US $50,000,000 Class C Floating Rate Senior Secured Deferrable Interest Extendable Notes Due 2021, Upgraded to A1 (sf); previously on August 17, 2015 Upgraded to A2 (sf) Moody's also affirmed the ratings on the following notes: -- US $730,000,000 Class A Floating Rate Senior Secured Extendable Notes Due 2021 (current balance of $290,322,792.56), Affirmed Aaa (sf); previously on August 17, 2015 Affirmed Aaa (sf) -- US $40,000,000 Class D Floating Rate Senior Secured Deferrable Interest Extendable Notes Due 2021, Affirmed Ba1 (sf); previously on August 17, 2015 Upgraded to Ba1 (sf) -- US $40,000,000 Class E Floating Rate Senior Secured Deferrable Interest Extendable Notes Due 2021 (current balance of $22,955,095.08), Affirmed Ba3 (sf); previously on August 17, 2015 Upgraded to Ba3 (sf) Greenbriar CLO, Ltd, issued in December 2007, is a collateralized loan obligation (CLO) backed primarily by a portfolio of senior secured loans with material exposure to long dated and legacy defaulted assets. The transaction's reinvestment period ended in November 2014. RATINGS RATIONALE These rating actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since August 2015. The Class A notes have been paid down by approximately 44.2% or $229.8 million since August 2015. Based on Moody's calculation, the OC ratios for the Class A/B, Class C, Class D and Class E notes are reported at 142.84%, 125.00%, 113.64% and 108.01%, respectively, versus August 2015 levels of 127.47%, 117.35%, 110.35% and 106.69%, respectively. Nevertheless, the credit quality of the portfolio has deteriorated since August 2015. Based on Moody's calculation, the weighted average rating factor (WARF) is currently 3093 compared to 2643 in August 2015. Additionally, based on Moody's calculations, which include adjustments for ratings with a negative outlook and ratings on review for downgrade, assets with a Moody's default probability rating of Caa1 or below currently make up 21.4% of the portfolio, compared to 12.4% in August 2015. Moody's also observed that the deal holds a material dollar amount of thinly traded or untraded loans, whose lack of liquidity may pose additional risks relating to the issuer's ultimate ability or inclination to pursue a liquidation of such assets, especially if the sales can be transacted only at heavily discounted price levels. 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 Ratings: This transaction is subject to a number of factors and circumstances that could lead to either an upgrade or downgrade of the ratings: -- 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. -- 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. -- 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. -- 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. -- 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. -- 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. 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. -- Exposure to credit estimates: The deal contains a number of securities whose default probabilities Moody's has assessed through credit estimates. If Moody's does not receive the necessary information to update its credit estimates in a timely fashion, the transaction could be negatively affected by any default probability adjustments Moody's assumes in lieu of updated credit estimates. -- Exposure to assets with low credit quality and weak liquidity: The presence of assets rated Caa3 with a negative outlook, Caa2 or Caa3 on review for downgrade or the worst Moody's speculative grade liquidity (SGL) rating, SGL-4, exposes the notes to additional risks if these assets default. The historical default rate is higher than average for these assets. Due to the deal's exposure to such assets, which constitute around $13.5 million of par, Moody's ran a sensitivity case defaulting those assets. -- Operational risk: The deal contains a portion of collateral assets that mature after the CLO's legal maturity date. Repayment of the notes at their maturity will be highly dependent on the issuer's successful monetization of the long-dated assets which will be contingent upon issuer's ability and willingness to sell these 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% (2474) -- Class A: 0 -- Class B: 0 -- Class C: +3 -- Class D: +2 -- Class E: +1 Moody's Adjusted WARF + 20% (3712) -- Class A: 0 -- Class B: -1 -- Class C: -2 -- Class D: -1 -- Class E: -1 Loss and Cash Flow Analysis: Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. In its base case, Moody's analyzed the collateral pool as having a performing par and principal proceeds balance of $487.9 million, defaulted par of $43.8 million, a weighted average default probability of 19.17% (implying a WARF of 3093), a weighted average recovery rate upon default of 49.65%, a diversity score of 34 and a weighted average spread of 3.10% (before accounting for LIBOR floors). Moody's incorporates the default and recovery properties of the collateral pool in cash flow model analysis where they are subject to stresses as a function of the target rating on each CLO liability reviewed. Moody's derives the default probability from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate for future defaults is based primarily on the seniority of the assets in the collateral pool. Moody's generally applies recovery rates for CLO securities as published in "Moody's Approach to Rating SF CDOs". In some cases, alternative recovery assumptions may be considered based on the specifics of the analysis of the CLO transaction. In each case, historical and market performance and the collateral manager's latitude for trading the collateral are also factors. A material proportion of the collateral pool includes debt obligations whose credit quality Moody's assesses through credit estimates. Moody's analysis reflects adjustments with respect to the default probabilities associated with credit estimates. Specifically, Moody's assumed an equivalent of Caa3 for assets with credit estimates that have not been updated within the last 15 months, which represent approximately 4.39% of the collateral pool. GREENWICH STRUCTURED: Moody's Confirms B3 Rating on N-1 Notes ------------------------------------------------------------- Moody's Investors Service has confirmed the rating of class N-1 tranche from the resecuritization transaction Greenwich Structured ARM Products CI 2005-2. The tranche and the resecurization transaction's underlying tranche, Cl. X from CHL Mortgage Pass-Through Trust 2004-16 were placed on review for upgrade on July 22nd, 2016 due to the distribution of funds related to the $8.5 billion settlement related to CW's pre-crisis servicing practices and alleged breaches of representations and warranties, between Bank of America, N.A., parent of CW, and Bank of New York Mellon as trustee. Complete rating actions are as follows: Issuer: Greenwich Structured ARM Products CI 2005-2 -- Cl. N-1, Confirmed at B3 (sf); previously on Jul 22, 2016 B3 (sf) Placed Under Review for Possible Upgrade RATINGS RATIONALE The rating confirmation primarily reflects the rating confirmation on the underlying tranche of the resecuritization transaction and the stable paydown on Cl N-1. The principal methodology used in this rating was "Moody's Approach to Rating Resecuritizations" published in February 2014. 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 August 2016 from 5.1% in August 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. GS MORTGAGE 2006-RR2: Moody's Affirms Caa3 Rating on Cl. A-1 Debt ----------------------------------------------------------------- Moody's Investors Service has affirmed the rating on the following certificate issued by GS Mortgage Securities Corporation II, Commercial Mortgage Pass-Through Certificates, Series 2006-RR2 ("GSMS 2006-RR2"): -- Cl. A-1, Affirmed Caa3 (sf); previously on Nov 12, 2015 Affirmed Caa3 (sf) RATINGS RATIONALE Moody's has affirmed the rating on the transaction because its key transaction metrics are commensurate with existing ratings. The affirmation is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO and ReRemic) transactions. GSMS 2006-RR2 is a static cash transaction backed by a portfolio of commercial mortgage backed securities (CMBS) (100% of the collateral pool balance). As of the August 25, 2016 trustee report, the aggregate certificate balance of the transaction has decreased to $316.2 million from $771 million at issuance, due to full and partial realized losses applied to certain classes of certificates. Class A-1 has received payments in the form of pre-payments and regular amortization of the underlying collateral, as well as partial realized losses. Moody's has identified the following as key indicators of the expected loss in CRE CDO transactions: the weighted average rating factor (WARF), the weighted average life (WAL), the weighted average recovery rate (WARR), and Moody's asset correlation (MAC). Moody's typically models these as actual parameters for static deals and as covenants for managed deals. WARF is a primary measure of the credit quality of a CRE CDO pool. Moody's has updated its assessments for the collateral it does not rate. The rating agency modeled a bottom-dollar WARF of 6208, compared to 6721 at last review. The current ratings on the Moody's-rated collateral and the assessments of the non-Moody's rated collateral follow: Aaa-Aa3 (3.7% compared to 2.1% at last review); A1-A3 (0.5% compared to 3.9% at last review); Baa1-Baa3 (8.4% compared to 7.6% at last review); Ba1-Ba3 (0.5% compared to 1.2% at last review), B1-B3 (14.0% compared to 8.5% at last review); and Caa1-Ca/C (72.9% compared to 76.7% at last review). Moody's modeled a WAL of 1.7 years, compared to 1.9 years at last review. The WAL is based on assumptions about the loan within the underlying look-through loan collateral. Moody's modeled a fixed WARR of 2.1%, compared to 1.9% at last review. Moody's modeled a MAC of 15.5%, compared to 16.2% at last review. Methodology Underlying the Rating Action: The principal methodology used in this rating was "Moody's Approach to Rating SF CDOs" published in July 2015. Factors that would lead to an upgrade or downgrade of the rating: The performance of the certificates is subject to uncertainty, because it is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that are subject to change. The servicing decisions of the master and special servicer and surveillance by the operating advisor with respect to the collateral interests and oversight of the transaction will also affect the performance of the rated certificates. Moody's Parameter Sensitivities: Changes to any one or more of the key parameters could have rating implications for the rated certificates, although a change in one key parameter assumption could be offset by a change in one or more of the other key parameter assumptions. The rated certificates are particularly sensitive to changes in the recovery rates of the underlying collateral and credit assessments. Holding all other parameters constant, increasing the recovery rates of 100% of the collateral pool by 5% would result in an average modeled rating movement on the rated certificate of zero notches upward (e.g., one notch up implies a ratings movement of Baa3 to Baa2). Reducing the recovery rate of 100% of the collateral pool to 0% would result in an average modeled rating movement on the rated certificate of one notch downward (e.g., one notch down implies a ratings movement of Baa3 to Ba1). The primary sources of uncertainty in Moody's assumptions are the extent of growth in the current macroeconomic environment given the weak recovery and certain commercial real estate property markets. Commercial real estate property values continue to improve modestly, along with a rise in investment activity and stabilization in core property type performance. Limited new construction and moderate job growth have aided this improvement. However, sustained growth will not be possible until investment increases steadily for a significant period, non-performing properties are cleared from the pipeline and fears of a euro area recession abate. GSCCRE COMMERCIAL 2015-HULA: Fitch Affirms B- Rating on 3 Certs. ---------------------------------------------------------------- Fitch Ratings has affirmed all classes of GSCCRE Commercial Mortgage Trust 2015-HULA Commercial Mortgage Pass Through Certificates Series 2015-HULA. KEY RATING DRIVERS The trust certificates represent the beneficial interests in a mortgage loan secured primarily by the Four Seasons Resort Hulalalai located in Kailua-Kona, Hawaii. The subject is situated on 725 acres along the Kohala Coast. Amenities of the 243-room hotel include five swimming pools, multiple indoor and outdoor function spaces and several F&B outlets. It is the only AAA Five Diamond property on Hawaii's Big Island. The initial loan term is two years, and can be extended up to an additional five years. The debt is interest-only for the fully extended loan term. A $33.9 million B-note and a $40 million C-note are included in the total debt structure but held outside of the trust. The affirmations are the result of sufficient credit enhancement and stable performance of the underlying asset since issuance. The subject exhibits superior performance in comparison with its local competitive set. For the trailing 12 months ending in March 2016, the property's occupancy, ADR and RevPAR were 84.4%, $1,138.22 and $960.10, respectively. At issuance, the property was also a top performer within its state-wide competitive set and among high-end luxury resorts across North America. The hotel is one of the most successful within the Four Seasons brand. In addition to the hotel, the collateral also includes a private membership club with two 18-hole golf courses, two clubhouses, a water-sports venue, various retail outlets and the Hualalai Sports Club and Spa. The third collateral component consists of 55 acres of fee simple residential land and five acres of unimproved commercial land parcels. The resort is situated in a premier, oceanfront location and offers a true high-end luxury option not found elsewhere on the island. Fitch's stressed DSCR and LTV for the trust component are 1.05x and 100.4%, respectively. Leverage on a per-key basis is $1.2 million. The transaction closed in October 2015. RATING SENSITIVITIES All classes maintain Stable Outlooks. Due to the recent issuance of the transaction and stable performance, Fitch does not foresee positive or negative ratings migration until a material economic or asset level event changes the transaction's portfolio level metrics. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third-party due diligence was provided or reviewed in relation to this rating action. Fitch has affirmed these classes: -- $130 million class A at 'AAAsf', Outlook Stable; -- $26 million class B at 'AA-sf', Outlook Stable; -- $19 million class C at 'A-sf', Outlook Stable; -- $29 million class D at 'BBB-sf', Outlook Stable; -- $44 million class E at 'BB-sf', Outlook Stable; -- $51 million class F at 'B-sf', Outlook Stable; -- $243.9 million* class X-CP at 'B-sf', Outlook Stable; -- $243.9 million* class X-NCP at 'B-sf', Outlook Stable. *Notional amount and interest-only. HIGHBRIDGE LOAN 2013-2: S&P Affirms B Rating on Class E Notes ------------------------------------------------------------- S&P Global Ratings affirmed its ratings on the class A-1, A-2, B-1, B-2, C, D, and E notes from Highbridge Loan Management 2013-2 Ltd., a U.S. collateralized loan obligation (CLO) transaction that closed in September 2013 and is managed by Highbridge Principal Strategies LLC. The rating actions follow S&P's review of the transaction's performance using data from the Sept. 8, 2016, trustee report. The transaction is scheduled to remain in its reinvestment period until October 2017. Since the transaction's effective date, the trustee reported that the collateral portfolio's weighted average life has decreased to 4.49 years from 5.41 years. This seasoning has decreased the overall credit risk profile, which, in turn, provided more cushion to the tranche ratings. The transaction has experienced an increase in assets rated 'CCC+' and below since the December 2013 effective date report. Specifically, the amount of assets rated 'CCC+' and below increased to $15.6 million from none. The transaction does not hold any defaulted assets. According to the Sept. 8, 2016, trustee report that S&P used for this review, the overcollateralization (O/C) ratios for each class have remained relatively stable since the Dec. 10, 2013, trustee report, which S&P used for its effective date ratings affirmation: -- The class A O/C ratio was 132.3%, up from 132.2%. -- The class B O/C ratio was 119.6%, flat with 119.6%. -- The class C O/C ratio was 113.1%, up from 103.0%. -- The class D O/C ratio was 108.2%, up from 108.1%. Although S&P's cash flow analysis indicates higher ratings for the class A-2, B-1, B-2, C, and D notes, its rating actions considers additional sensitivity runs that factored in the exposure to specific distressed industries and allowed for volatility in the underlying portfolio given that the transaction is still in its reinvestment period. On a stand-alone basis, the results of the cash flow analysis indicated a lower rating on the class E notes than the rating action reflects. However, S&P affirmed the rating on the class E notes after considering the margin of failure, the stability in the O/C ratio since the transaction's effective date, and that the transaction will soon enter its amortization phase. Based on the latter, S&P expects an increase in the credit support available to all rated classes as principal is collected and paydowns to the senior notes occur. The affirmation of the ratings reflects 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 will take rating actions as S&P deems necessary. RATINGS LIST Highbridge Loan Management 2013-2, Ltd. Floating- and fixed-rate notes Rating Class Identifier To From A-1 42983HAA3 AAA (sf) AAA (sf) A-2 42983HAC9 AA (sf) AA (sf) B-1 42983HAE5 A (sf) A (sf) B-2 42983HAJ4 A (sf) A (sf) C 42983HAG0 BBB (sf) BBB (sf) D 42983JAA9 BB (sf) BB (sf) E 42983JAC5 B (sf) B (sf) INSTITUTIONAL MORTGAGE 2013-3: Fitch Affirms B Rating on Cl. G Debt ------------------------------------------------------------------- Fitch Ratings has affirmed nine classes of Institutional Mortgage Capital, commercial mortgage pass-through certificates series 2013-3 (IMSCI 2013-3). KEY RATING DRIVERS The affirmations and removal of classes F and G from Rating Watch Negative reflect the overall stable performance of the pool (excluding the specially serviced assets). Additionally, the specially serviced assets did not sustain structural damage or loss from the recent Fort McMurray area wildfires. The pool balance has been reduced 12.1% to C$220.1 million from C$250.4 million at issuance with 35 loans remaining. There are no full or partial interest only loans in the pool. Approximately 17.7% of the pool has a scheduled maturity date in late 2017 with an additional 26.5% scheduled maturities in 2018. Of the remaining pool, 90.2% has full or partial recourse to the borrower and/or sponsor. There were variances from criteria related to classes B and C for which the model output suggested that upgrades were possible. Fitch determined that upgrades are not warranted at this time there remains uncertainty regarding the impact of the downturn in the energy market in Alberta on the performance of the full recourse specially serviced loans. Additionally, the overall pool performance has been stable and there have been no large loan payoffs or any defeased loans. The three specially serviced loans are backed by multifamily properties in Fort McMurray, Alberta. The loans transferred to special servicing in March 2016 due a significant decline in occupancy stemming from the turmoil in the energy sector. The sponsor and special servicer agreed to a 12-month forbearance agreement. Operations at the property were subsequently affected by the Fort McMurray wildfires in early May 2016 with the city and surrounding area evacuated; however, tenants have subsequently returned as the properties resumed operations. The loan has full recourse to the borrower, sponsor and manager. Potential loan losses may be mitigated by recourse provisions, insurance proceeds and a recovery in the energy markets. The largest loan of the pool (10.8% of the pool balance) is secured by a 362,577 square foot (sf) enclosed shopping center located in Dollard-des-Ormeaux (Montreal), Quebec. The property is anchored by Canadian Tire and Super C grocery. The pari passu loan is full recourse to the borrowing entity and its owner and is partial recourse to the sponsor. The second largest loan (9.1%) is secured by the Merivale Mall, a 225,082 sf enclosed shopping center located in Ottawa, Ontario. The property, which was built in 1977 and renovated in 1994, is anchored by Farm Boy and Sport Chek. The pari passu loan is full recourse to the borrowing entity and partial recourse to the sponsor. Discount retailer Marshalls opened in 2015. The third largest loan (8.8%) is the Shoppers Drug Mart Portfolio which consists of eight cross-collateralized and cross-defaulted loans. Each loan is secured by a retail property fully leased by Shoppers Drug Mart. The portfolio consists of 141,093 sf and is located across Ontario in Ottawa, London, and Windsor. Lease expirations for the portfolio range from 2021 to 2031. RATING SENSITIVITIES The Rating Outlook on classes E, F and G are Negative due to the uncertainty regarding the operations and performance of the specially serviced loans in addition to the transaction's total exposure to the volatility of the energy market in Alberta (18.9% of the pool). Stable Outlooks reflect the stable performance of the majority of the pool and continued amortization. Upgrades may occur with improved pool performance and significant pay down or defeasance. Downgrades to the classes are possible should overall pool performance decline. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third party due diligence was provided or reviewed in relation to this rating action. Fitch affirms and removes the following classes from Rating Watch Negative and assigns a Negative Outlook as indicated: -- $3.1 million class F at 'BBsf'; Outlook Negative; -- $2.5 million class G at 'Bsf'; Outlook Negative. Fitch affirms the following classes as indicated: -- $7.1 million class A-1 at 'AAAsf'; Outlook Stable; -- $96.4 million class A-2 at 'AAAsf'; Outlook Stable; -- $81.6 million class A-3 at 'AAAsf'; Outlook Stable; -- $5.3 million class B at 'AAsf'; Outlook Stable; -- $8.5 million class C at 'Asf'; Outlook Stable; -- $6.9 million class D at 'BBBsf'; Outlook revised to Stable from Negative; -- $3.8 million class E at 'BBB-sf'; Outlook Negative. Fitch does not rate the C$5 million class H and the interest-only class X. INSTITUTIONAL MORTGAGE 2013-4: Fitch Affirms B Rating on Cl. G Debt ------------------------------------------------------------------- Fitch Ratings has affirmed eight classes of Institutional Mortgage Capital, commercial mortgage pass-through certificates series 2013-4 (IMSCI 2013-4). KEY RATING DRIVERS The affirmations and removal of classes E, F and G from Rating Watch Negative reflect the overall stable performance of the pool (excluding the specially serviced asset). Additionally, the specially serviced asset along with the Fort McMurray hotel property in the pool did not sustain structural damage or loss from the recent Fort McMurray area wildfires. The pool balance has been reduced 6.2% to C$309.9 million from C$330.4 million at issuance with 33 loans remaining. There are no full or partial interest only loans in the pool. Approximately 40.9% of the pool has a scheduled maturity date in 2018, including the specially serviced loan. Of the remaining pool, 66.4% has full or partial recourse to the borrower and/or sponsor. There was a variance from criteria related to class B for which the model output suggested that an upgrade was possible. Fitch determined that an upgrade was not warranted at this time as there remains uncertainty regarding the impact of the downturn in the energy market in Alberta on the performance of the full recourse specially serviced loan. Additionally, the overall pool performance has been stable and there have been limited loan payoffs and no defeased loans. The specially serviced loan is the fifth-largest loan in the pool, Nelson Ridge (7%), which transferred to special servicing in March 2016. The property transferred to special servicing due a significant decline in occupancy stemming from the turmoil in the energy sector. The sponsor and special servicer agreed to a 12-month forbearance agreement. Operations at the property were subsequently affected by the Fort McMurray wildfires in early May 2016 with the city and surrounding area evacuated; however, tenants have subsequently returned as the property resumed operations. The servicer-reported rent roll as of July 31, 2016 indicated occupancy of 73%. The loan has full recourse to the borrower, sponsor and manager. Potential loan losses may be mitigated by recourse provisions, insurance proceeds and a recovery in the energy markets. The largest portfolio, Toulon Portfolio (10.5% of the pool balance), consists of four cross-collateralized and cross-defaulted loans. The loans are secured by: two retail properties located in Yarmouth, Nova Scotia and Rouyn-Noranda, Quebec; one mixed-use property located in St. John's, Newfoundland; and one office building in Montreal, QC. The nonrecourse loans are sponsored by Toulon Development Corp., a full-service real estate firm with developments in eastern Canada, Quebec and Colorado in the U.S. The second largest loan, Calloway Courtenay (8.9% of the pool), is secured by a participation in a 272,795-sf shopping center located in Courtenay, British Columbia. Courtenay is located on Vancouver Island, approximately 190 kilometers northwest of the city of Vancouver. The property, which was developed in 2001, is anchored by a Walmart Supercentre and is 100% occupied. Other major tenants include Sport Chek, Best Buy, Winners and Staples. The loan is sponsored by SmartREIT (formerly known as Calloway REIT), which has a public investment-grade rating. In addition, the loan is full recourse to the sponsor. RATING SENSITIVITIES The Rating Outlook on classes E, F and G are Negative due to the uncertainty regarding the operations and performance of the specially serviced loan in addition to the transaction's total exposure to the volatility in the energy market Alberta (16% of the pool). Stable Outlooks reflect the stable performance of the majority of the pool and continued amortization. Upgrades may occur with improved pool performance and significant pay down or defeasance. Downgrades to the classes are possible should overall pool performance decline. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third party due diligence was provided or reviewed in relation to this rating action. Fitch has affirmed and removed the following classes from Rating Watch Negative and assigned a Negative Outlook as indicated: -- C$5 million class E at 'BBB-sf'; Outlook Negative; -- C$3.7 million class at F 'BBsf'; Outlook Negative; -- C$3.3 million class at G 'Bsf'; Outlook Negative. Fitch affirms the following classes and revises Rating Outlooks as indicated: -- C$184.4 million class A-1 at 'AAAsf'; Outlook Stable; -- C$80 million class A-2 at 'AAAsf'; Outlook Stable; -- C$6.6 million class B at 'AAsf'; Outlook Stable; -- C$11.2 million class C at 'Asf'; Outlook Stable; -- C$9.1 million class D at 'BBBsf'; Outlook to Stable from Negative. Fitch does not rate the C$6.6 million class H and the interest-only class X. JP MORGAN 2016-3: Moody's Assigns Ba2 Rating on Class B-3 Notes --------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to 28 classes of residential mortgage-backed securities (RMBS) issued by J.P. Morgan Mortgage Trust 2016-3 (JPMMT 2016-3). The ratings range from (P) Aaa (sf) to (P) Ba2 (sf). The certificates are backed by two pools of prime quality, fixed rate, first-lien mortgage loans originated by various originators. The first pool consists of primarily 30-year mortgages (Group 1) and the second pool consists of exclusively 15-year mortgages (Group 2). Seasoning of the aggregate pool is 25 months. Wells Fargo Bank, N.A. is the master servicer and U.S. Bank Trust National Association is the trustee. The complete rating actions are as follows: Issuer: J.P. Morgan Mortgage Trust 2016-3 -- Cl. 1-A-1, Assigned (P)Aaa (sf) -- Cl. 1-A-2, Assigned (P)Aaa (sf) -- Cl. 1-A-3, Assigned (P)Aaa (sf) -- Cl. 1-A-4, Assigned (P)Aaa (sf) -- Cl. 1-A-5, Assigned (P)Aaa (sf) -- Cl. 1-A-6, Assigned (P)Aaa (sf) -- Cl. 1-A-7, Assigned (P)Aaa (sf) -- Cl. 1-A-8, Assigned (P)Aaa (sf) -- Cl. 1-A-9, Assigned (P)Aaa (sf) -- Cl. 1-A-10, Assigned (P)Aaa (sf) -- Cl. 1-AX-1, Assigned (P)Aaa (sf) -- Cl. 1-AX-2, Assigned (P)Aaa (sf) -- Cl. 1-AX-3, Assigned (P)Aaa (sf) -- Cl. 1-AX-4, Assigned (P)Aaa (sf) -- Cl. 1-AX-5, Assigned (P)Aaa (sf) -- Cl. 1-AX-6, Assigned (P)Aaa (sf) -- Cl. 1-A-M, Assigned (P)Aa1 (sf) -- Cl. 2-A-1, Assigned (P)Aaa (sf) -- Cl. 2-A-2, Assigned (P)Aaa (sf) -- Cl. 2-AX-1, Assigned (P)Aaa (sf) -- Cl. 2-AX-2, Assigned (P)Aaa (sf) -- Cl. 2-AX-3, Assigned (P)Aaa (sf) -- Cl. 2-A-M, Assigned (P)Aa1 (sf) -- Cl. A-M, Assigned (P)Aa1 (sf) -- Cl. B-1, Assigned (P)Aa3 (sf) -- Cl. B-2, Assigned (P)A2 (sf) -- Cl. B-3, Assigned (P)Baa2 (sf) -- Cl. B-4, Assigned (P)Ba2 (sf) RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Expected cumulative net losses on Group 1 are 0.40% and reach 4.75% at a stress level consistent with Aaa ratings. Expected cumulative net losses for Group 2 are 0.30% and reach 1.50% at a stress level consistent with Aaa ratings. The collateral quality for this transaction, by itself, is consistent with other prime transactions that Moody's recently rated. The Aaa Moody's Individual Loan Analysis (MILAN) credit enhancement (CE), inclusive of concentration adjustments, is 4.81% for Group 1 and 1.19% for Group 2. Moody's decreased the MILAN model's CE by 0.06% for Group 1 and increased the MILAN model's CE by 0.31% for Group 2 for qualitative factors and adjustments not factored in the model. Loan-level adjustments are based on: DTI, self-employment status, channel of origination, number of mortgaged properties, and the presence of HOA fees for properties located in super lien states. Moody's also made adjustments to the model output based on the servicing framework, the originators and aggregator for the pool, and the representation and warranty (R&W) framework. Moody's based the MILAN model on stressed trajectories of home prices, unemployment rates and interest rates, at a monthly frequency over a 10-year period. Collateral Description The JPMMT 2016-3 transaction is a securitization of 553 first lien residential mortgage loans with an unpaid principal balance of $ 395,349,365. The loans in this transaction have comparatively high weighted average seasoning (25 months) and strong borrower characteristics. The weighted average current FICO score is 762 and the weighted-average original combined loan-to-value ratio (CLTV) is 66.9%. Furthermore, 85.2% of the borrowers by current balance have liquid reserves greater than 24 months of payments. However, 23.3% of the borrowers are self-employed and refinance loans comprise 49.2% of the aggregate pool. The pool has a high geographic concentration with 44.1% of the aggregate pool located in California and 26.0% located in the San Francisco-Oakland-Hayward MSA. Additionally, 50 loans in the pool did not have employment verification and 154 loans had only a partial verification of assets. This is primarily because First Republic, the largest originator in the pool, does not require employment verification and only requires one month of bank statements (rather than two) in its underwriting guidelines. There are 26 originators in the transaction. The largest originators in the pool by balance are First Republic Bank (41.6%), PHH Mortgage (9.7%), and Primary Capital Mortgage, LLC (6.5%). "We assess First Republic Bank as a Strong originator of prime jumbo residential mortgage loans, we currently do not have an originator assessment for PHH Mortgage, and we assess Primary Capital Mortgage as an Average originator of prime jumbo residential mortgage loans. The loans in the pool were aggregated by J.P. Morgan Mortgage Acquisition Corp. who we assess as an Above Average aggregator of prime jumbo residential mortgage loans," Moody's said. There are 18 servicers in this transaction. The largest three servicers in the pool by current loan amount are First Republic Bank (41.6%), PHH Mortgage (9.7%), and Shellpoint Mortgage Servicing (8.0%). “We assess First Republic as an SQ2- primary servicer of prime loans, we currently do not have a servicer assessment for PHH Mortgage, and we assess Shellpoint as an SQ3+ primary servicer of prime residential mortgage loans.” Moody's said. Wells Fargo Bank, N.A. (SQ1- master servicer assessment) will serve as the master servicer. Third Party Review and Reps & Warranties Four third party review (TPR) firms verified the accuracy of the loan-level information that the sponsor gave us. These firms conducted detailed credit, collateral, and regulatory reviews on 100% of the mortgage pool. The TPR results indicated compliance with the originator's underwriting guidelines for the vast majority of loans, only minor compliance issues, and only a few appraisal defects for the loans in the transaction. The loans that had exceptions to the originator's underwriting guidelines had strong documented compensating factors such as low DTIs, low LTVs, high reserves, high FICOs, clean payment histories, and/or stable employment histories. The TPR firms also identified minor compliance exceptions for reasons including inadequate RESPA disclosures (which do not have assignee liability) and TILA/RESPA Integrated Disclosure (TRID) violations. The TRID issues often related to incomplete or incorrect disclosure forms or forms that were not sent within proper time frames. Additionally, the TPR firms identified five C-level valuation exceptions due to the fact that appraisal values were not supported by post-closing broker price opinions. "We made only minor adjustments to our expected and Aaa loss levels due to the TPR results," Moody's said. The representation and warranty (R&W) framework in this transaction is adequate. The originators made unambiguous R&Ws, either as of the closing date or as of a date prior to that. J.P. Morgan Mortgage Acquisition Corp., the mortgage loan seller, made gap R&Ws covering the period from the date on which the originators made the R&Ws and the closing date. A dedicated independent R&W breach reviewer, Pentalpha Surveillance LLC, will perform a series of pre-defined tests on each loan that becomes 120 days delinquent (or hits another breach review trigger) to determine whether the originator or mortgage loan seller is liable to repurchase or substitute the reviewed loan(s). Financially weak or unrated entities made R&Ws for 53.6% of the loans. As such, we increased our base case and Aaa losses for loans to account for the risk that these entities may be unable to satisfy their repurchase obligations in the future. Trustee and Master Servicer The transaction trustee is U.S. Bank Trust National Association. The custodian functions will be performed by Wells Fargo Bank, N.A. The paying agent and cash management functions will also be performed by Wells Fargo rather than the trustee. In addition, Wells Fargo is the master servicer and is responsible for servicer oversight, termination of servicers and for the appointment of successor servicers. As master servicer, Wells Fargo is also committed to act as successor if no other successor servicer can be found. “We assess Wells Fargo as a SQ1- (strong) master servicer of residential loans.” Moody's said. Tail Risk & Subordination Floor The transaction has a shifting interest structure that allows subordinated bonds to receive principal payments under certain defined scenarios. Because a shifting interest structure allows subordinated bonds to pay down over time as the loan pool shrinks, senior bonds are exposed to increased performance volatility, known as tail risk. The transaction provides for a senior subordination floor of 1.25% of the closing pool balance, which mitigates tail risk by protecting the senior bonds from eroding credit enhancement over time. Y-Structure with Structural Updates The transaction is structured as a two-group Y-structure with structural features similar to JPMMT 2016-2. Compared to some Y-structures that Moody's has rated, the extent of loss allocation across groups is limited. For example, realized losses in a given group are allocated to the super senior bonds for that group before the senior support bonds of the unrelated group. In JPMMT 2016-3, all funds from the two groups of mortgages are commingled, i.e., there is only one available distribution amount. The percentage of available principal allocated to each group of senior certificates is based on the "principal collections" in each respective pool. Principal collections are defined to include the principal portion of scheduled payments whether or not received, as well as the principal portion of prepayments and other amounts. Due to this definition, senior bonds in one group could become under-collateralized if there are delinquencies in the unrelated group for which the servicer has stopped advancing. This is because the delinquent pool is entitled to receive its scheduled principal payments even if they are not received. This could consume available funds that are generated by the performing group's collateral. Factors that would lead to an upgrade or downgrade of the ratings: Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. KEY COMMERCIAL 2007-SL1: Moody's Cuts Cl. X Debt Rating to Caa2 --------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on two classes, affirmed the rating on two classes and downgraded the rating on one class in Key Commercial Mortgage Securities Trust, Commercial Mortgage Pass-Through Certificates, Series 2007-SL1 as follows: -- Cl. A-1A, Upgraded to Aaa (sf); previously on Nov 20, 2015 Upgraded to Aa2 (sf) -- Cl. B, Upgraded to Baa2 (sf); previously on Nov 20, 2015 Affirmed Ba1 (sf) -- Cl. C, Affirmed Caa1 (sf); previously on Nov 20, 2015 Affirmed Caa1 (sf) -- Cl. D, Affirmed Ca (sf); previously on Nov 20, 2015 Affirmed Ca (sf) -- Cl. X, Downgraded to Caa2 (sf); previously on Nov 20, 2015 Downgraded to Caa1 (sf) RATINGS RATIONALE The rating on Classes A-1A and B were upgraded primarily due to an increase in credit support since Moody's last review, resulting from paydowns and amortization, as well as Moody's expectation of additional increases in credit support resulting from the payoff of loans approaching maturity that are well positioned for refinance. The pool has paid down by 46% since Moody's last review. The ratings on Classes C and D were affirmed because the ratings are consistent with Moody's expected loss. The rating on the IO class, Class X, 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 15.6% of the current balance, compared to 9.7% at Moody's last review. Moody's base expected loss plus realized losses is now 6.6% of the original pooled balance, compared to 6.7% at Moody's 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. 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 7, compared to 19 at Moody's last review. When the Herf falls below 20, Moody's uses the excel-based Large Loan Model and then reconciles and weights the results from the conduit and large loan models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan-level proceeds derived from Moody's loan-level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure and property type. Moody's also further adjusts these aggregated proceeds for any pooling benefits associated with loan level diversity and other concentrations and correlations. DEAL PERFORMANCE As of the September 15, 2016 distribution date, the transaction's aggregate certificate balance has decreased by 92% to $19.6 million from $237.5 million at securitization. The certificates are collateralized by 13 mortgage loans ranging in size from less than 3% to 29% of the pool. Seven loans, constituting 54% 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. Sixteen loans have been liquidated from the pool, resulting in an aggregate realized loss of $12.5 million (for an average loss severity of 70%). Three loans, constituting 19% of the pool, are currently in special servicing. The largest specially serviced loan is the Oak Harbor Mini-Storage Loan ($1.35 million -- 7% of the pool), which is secured by a 285 unit self-storage facility with 32 open RV/boat storage spaces, totaling 317 units with 37,863 rentable square feet (SF). The property is located in Oak Harbor, WA approximately 100 miles northwest of Seattle and transferred to special servicing in July 2016 due to maturity default. Moody's received full year 2015 operating results for 100% of the pool. Moody's weighted average conduit LTV is 112%, compared to 84% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 9% 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 conduit DSCRs are 1.04X and 1.02X, respectively, compared to 1.40X and 1.50X 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 49% of the pool balance. The largest loan is the 212th Street Plaza & Valley Self Storage Loan ($5.6 million -- 29% of the pool), which is secured by 72,000 SF mixed-use retail strip center and self-storage property, located approximately 20 miles south of Seattle. The property was 96% occupied as of December 2015 and reported to be in good condition as per the servicers August 2016 inspection. Moody's LTV and stressed DSCR are 128% and 0.82X, respectively. The second largest loan is the Marina Park Place Loan ($2.6 million -- 13% of the pool), which is secured by a 13,700 sf retail center located in Downtown Kirkland, WA approximately 15 miles north east of Seattle, across Lake Washington. The property was 100% leased as of December 2015 and reported to be in good condition as per the servicers December 2015 inspection. Moody's LTV and stressed DSCR are 123% and 0.88X, respectively, compared to 129% and 0.84X at the last review. The third largest loan is the Lakemont Academy Loan ($1.4 million -- 7% of the pool), which is secured by a single tenant property located in Bellevue, WA approximately 11 miles east of Seattle across Lake Washington. The property is currently 100% leased to Knowledge Universe Education d/b/a Lakemont Academy, a daycare, preschool and education center until February 2020. Moody's LTV and stressed DSCR are 68% and 1.43X, respectively, compared to 69% and 1.41X at the last review. LB-UBS COMMERCIAL 2000-C4: Moody's Hikes Cl. H Notes Rating to B1 ----------------------------------------------------------------- Moody's Investors Service has upgraded the rating on one class and affirmed the ratings on two classes in LB-UBS Commercial Mortgage Trust, Commercial Pass-Through Certificates, Series 2000-C4 as follows: -- Cl. H, Upgraded to B1 (sf); previously on Nov 12, 2015 Upgraded to B3 (sf) -- Cl. J, Affirmed C (sf); previously on Nov 12, 2015 Affirmed C (sf) -- Cl. X, Affirmed Caa3 (sf); previously on Nov 12, 2015 Affirmed Caa3 (sf) RATINGS RATIONALE The rating on Class H was upgraded based primarily on an increase in credit support resulting from loan amortization. The deal has paid down 14% since Moody's last review. The rating on Class J was affirmed because the rating is consistent with Moody's expected and realized loss. Class J has already experienced a 91% realized loss as result of previously liquidated loans. 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 no base expected loss of the current balance, the same as at the Moody's last review. Moody's does not anticipate losses from the remaining collateral in the current environment. However, over the remaining life of the transaction, losses may emerge from macro stresses to the environment and changes in collateral performance. Our ratings reflect the potential for future losses under varying levels of stress. Moody's base expected loss plus realized losses is now 5.4% of the original pooled balance, the same as 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. METHODOLOGY UNDERLYING THE RATING ACTION The methodologies used in these ratings were "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in October 2015, and "Commercial Real Estate Finance: Moody's Approach to Rating Credit Tenant Lease Financings" published in May 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 4, compared to 5 at Moody's last review. Moody's analysis used the excel-based Large Loan Model. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan-level proceeds derived from Moody's loan-level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure and property type. Moody's also further adjusts these aggregated proceeds for any pooling benefits associated with loan level diversity and other concentrations and correlations. Moody's also used a Gaussian copula model, incorporated in its public CDO rating model to generate a portfolio loss distribution to assess the credit risk for a credit tenant lease (CTL) component of the pool. DEAL PERFORMANCE As of the September 19, 2016 distribution date, the transaction's aggregate certificate balance has decreased by 99% to $10.2 million from $999.1 million at securitization. The certificates are collateralized by nine mortgage loans ranging in size from 3% to 36% of the pool. Two loans, constituting 13% of the pool, have defeased and are secured by US government securities. The pool includes a credit tenant lease (CTL) component of six loans representing 51% of the pool. Three loans, constituting 54% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Twenty-six loans have been liquidated from the pool, resulting in an aggregate realized loss of $53.8 million (for an average loss severity of 45%). There are currently no loans in specially servicing. The only conduit loan is the Greenwood Pointe Shopping Center Loan ($3.7 million, 36.2% of the pool), which is secured by a 135,700 square foot neighborhood shopping center located in Indianapolis, Indiana. The property is located less than two miles from the Greenwood Park Mall and less than one mile from a Walmart Supercenter. The loan was modified in June 2011. The loan term was increased by 137 months, interest rate was lowered from 8.3% to 6.25%, and the principal balance was reduced by $2.3 million. The property was 100% leased as of October 2014. Moody's LTV and stressed DSCR are 91% and 1.13X, respectively, compared to 94% and 1.09X at last review. The CTL component consists of six loans, constituting 51% of the pool, secured by properties leased to three tenants. The exposures are CVS Health ($2.6 million -- 25.5% of the pool; senior unsecured rating: Baa1 -- stable outlook), Walgreen Co. ($2.2 million -- 21.5% of the pool; senior unsecured rating: Baa2 -- rating under review for possible downgrade), and Exxon Mobil Corporation ($0.4 million -- 3.8% of the pool; senior unsecured rating: Aaa -- negative outlook). The bottom-dollar weighted average rating factor (WARF) for this pool is 283, compared to 281 at the last review. WARF is a measure of the overall quality of a pool of diverse credits. The bottom-dollar WARF is a measure of default probability. LB-UBS COMMERCIAL 2004-C8: Moody's Hikes Cl. H Debt Rating to Caa3 ------------------------------------------------------------------ Moody's Investors Service has upgraded the rating on one class and affirmed the ratings on three classes in LB-UBS Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2004-C8 as follows: -- Cl. G, Upgraded to Baa2 (sf); previously on Nov 18, 2015 Upgraded to Ba1 (sf) -- Cl. H, Affirmed Caa3 (sf); previously on Nov 18, 2015 Affirmed Caa3 (sf) -- Cl. J, Affirmed C (sf); previously on Nov 18, 2015 Affirmed C (sf) -- Cl. X-CL, Affirmed Caa3 (sf); previously on Nov 18, 2015 Affirmed Caa3 (sf) RATINGS RATIONALE The rating on Class G was upgraded based primarily on an increase in credit support resulting from loan paydowns and amortization. The deal has paid down 23.2% since Moody's last review. The ratings Classes H and J were affirmed because the ratings are consistent with Moody's expected loss. The rating on the IO class, Class X-CL, was affirmed based on the credit performance (or the weighted average rating factor or WARF) of the referenced classes. Moody's rating action reflects a base expected loss of 25.6% of the current balance, compared to 18.7% at Moody's last review. Moody's base expected loss plus realized losses is now 5.1% of the original pooled balance, unchanged from 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. 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 five, compared to six at Moody's last review. Moody's analysis used the excel-based Large Loan Model. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan-level proceeds derived from Moody's loan-level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure and property type. Moody's also further adjusts these aggregated proceeds for any pooling benefits associated with loan level diversity and other concentrations and correlations. DEAL PERFORMANCE As of the September 16, 2016 distribution date, the transaction's aggregate certificate balance has decreased by 97.9% to $28.2 million from $1.31 billion at securitization. The certificates are collateralized by six remaining mortgage loans. No loans are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Twenty-eight loans have been liquidated from the pool, resulting in an aggregate realized loss of $59.6 million (for an average loss severity of 25%). Two loans, constituting 32% of the pool, are currently in special servicing. The largest specially serviced loan is the Amelia Center Loan ($7.15 million -- 25.4% of the pool), which is secured by a grocery-anchored retail center in Amelia, Ohio. The loan transferred to special servicing in November 2014 for maturity default and became REO in April 2015. The grocery anchor space was occupied by Kroger, who vacated at their lease expiration in November 2014. As of March 2016, the property was 27% leased, compared to 29% at Moody's prior review. The remaining specially serviced loan is secured by a retail property in Casa Grande, Arizona. Moody's estimates an aggregate $7.2 million loss for the specially serviced loans (79% expected loss on average). Moody's received full year 2015 operating results for 100% of the pool, and full or partial year 2016 operating results for 75% of the pool. Moody's weighted average conduit LTV is 87%, compared to 88% 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 25% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.3%. Moody's actual and stressed conduit DSCRs are 1.25X and 1.18X, respectively, compared to 1.33X 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 57.4% of the pool balance. The largest loan is the 6th Avenue Place Loan ($8.67 million -- 30.8% of the pool), which is secured by a flex office/warehouse property located in the Denver suburb of Golden, Colorado. The property is comprised of four, single story buildings and is able to accommodate tenant's which require office, medical, technology, R&D, showroom and other types of spaces. As of June 2016, the property was 94% leased to 21 tenants. Moody's LTV and stressed DSCR are 76% and 1.36X, respectively, compared to 74% and 1.40X at the last review. The second largest loan is the Parkersburg Towne Center Loan ($4.46 million -- 15.8% of the pool), which is secured by a 102,000 square foot (SF) retail center located in Parkersburg, West Virginia. The property is located directly across the street from the regional Grand Central Mall and neighbors Grand Central Plaza shopping center. Moody's incorporated a lit/dark analysis to account for the single tenant nature of the property. Moody's LTV and stressed DSCR are 111% and 0.85X, respectively, compared to 114% and 0.83X at the last review. The third largest loan is the Walgreens-Dallas Loan ($3.02 million -- 10.7% of the pool), which is secured by a Walgreens Store located in Dallas, Texas. The property is 100% triple net leased to Walgreens through March 2079. The borrower was not able to payoff by the anticipated repayment date (ARD) and the final maturity date is in November 2034. Moody's incorporated a lit/dark analysis to account for the single tenant nature of the property. Moody's LTV and stressed DSCR are 91% and 1.04X, respectively, compared to 101% and 0.94X at the last review. MADISON PARK XXII: Moody's Assigns Ba3 Rating on Cl. E Notes ------------------------------------------------------------ Moody's Investors Service has assigned provisional ratings to five classes of notes to be issued by Madison Park Funding XXII, Ltd. Moody's rating action is: $516,000,000 Class A Floating Rate Notes Due 2029, Assigned (P)Aaa (sf) $84,000,000 Class B Floating Rate Notes Due 2029, Assigned (P)Aa2 (sf) $66,350,000 Class C Deferrable Floating Rate Notes Due 2029, Assigned (P)A2 (sf) $40,000,000 Class D Deferrable Floating Rate Notes Due 2029, Assigned (P)Baa3 (sf) $29,650,000 Class E Deferrable Floating Rate Notes Due 2029, 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. Madison Park XXII 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 (including participation interests with respect to senior secured loans), and up to 10% of the portfolio may consist of second lien loans and senior unsecured loans. Moody's expects the portfolio to be approximately 80% ramped as of the closing date. Credit Suisse Asset Management, LLC will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets, subject to certain restrictions. In addition to the Rated Notes, the Issuer will issue subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2015. For modeling purposes, Moody's used these base-case assumptions: Par amount: $800,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 2775 Weighted Average Spread (WAS): 3.82% Weighted Average Coupon (WAC): 7.5% Weighted Average Recovery Rate (WARR): 47.5% Weighted Average Life (WAL): 9 years. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2015. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. Together with the set of modeling assumptions above, Moody's conducted an additional sensitivity analysis, which was a component in determining the ratings assigned to the Rated Notes. This sensitivity analysis includes increased default probability relative to the base case. Below is a summary of the impact of an increase in default probability (expressed in terms of WARF level) on the Rated Notes (shown in terms of the number of notch difference versus the current model output, whereby a negative difference corresponds to higher expected losses), assuming that all other factors are held equal: Percentage Change in WARF -- increase of 15% (from 2775 to 3191) Rating Impact in Rating Notches Class A Notes: 0 Class B Notes: -1 Class C Notes: -2 Class D Notes: -1 Class E Notes: 0 Percentage Change in WARF -- increase of 30% (from 2775 to 3608) Rating Impact in Rating Notches Class A Notes: -1 Class B Notes: -2 Class C Notes: -4 Class D Notes: -2 Class E Notes: -1 MERCURY CDO 2004-1: Fitch Affirms CCC Rating on 3 Tranches ---------------------------------------------------------- Fitch Ratings has affirmed seven classes of notes issued by Mercury CDO 2004-1, Ltd. as follows: -- $34,676,304 Class A-1NV notes at 'CCCsf'; -- $11,560 Class A-1VA notes at 'CCCsf'; -- $38,156,652 Class A-1VB notes at 'CCCsf'; -- $25,000,000 Class A-2A notes at 'Csf'; -- $31,050,000 Class A-2B notes at 'Csf'; -- $38,880,000 Class B notes at 'Csf'; -- $17,227,486 Class C notes at 'Csf'. Fitch does not rate the preference shares. KEY RATING DRIVERS The A-1NV, A-1VA, and A-1VB classes have been affirmed at 'CCCsf'. The classes' current credit enhancement (CE) levels exceed the losses projected at the 'CCCsf' rating stress under Fitch's Structured Finance Portfolio Credit Model (SF PCM) analysis, but fall below the losses projected at the 'Bsf' rating stress. The A-2A, A-2B, B, and C classes have been affirmed at 'Csf'. These classes have credit enhancement (CE) levels that are exceeded by the expected losses from the distressed collateral (rated 'CCsf' and lower) of each portfolio. For these classes, the probability of default was evaluated without factoring potential losses from the performing assets. In the absence of mitigating factors, default for these notes at or prior to maturity continues to appear inevitable. RATING SENSITIVITIES Negative migration, defaults beyond those projected, an extension of the weighted average life for the underlying assets, and lower than expected recoveries could lead to downgrades for classes analysed under the SF PCM. Classes already rated 'Csf' have limited sensitivity to further negative migration given their highly distressed rating levels. However, there is potential for non-deferrable classes to be downgraded to 'Dsf' should they experience any interest payment shortfalls. Continuing amortization accompanied by better than expected cash flows from distressed assets could lead to an upgrade. This review was conducted under the framework described in the reports 'Global Structured Finance Rating Criteria' and 'Global Surveillance Criteria for Structured Finance CDOs'. The transaction was not analysed through the cash flow model framework, as the effect of structural features and excess spread available to amortize the notes were determined to be minimal. Mercury 2004-1 is a collateralized debt obligation (CDO) that closed Nov. 3, 2004 and is managed by Dock Street Capital Management, LLC. Mercury exited its substitution period in March 2007 and currently has a static portfolio composed of 84% residential mortgage-backed securities (RMBS) and 16% CDOs. MERRILL LYNCH 2007-CANADA: DBRS Confirms B Rating on Cl. L Debt --------------------------------------------------------------- DBRS Limited confirmed the ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2007-Canada 21 (the Certificates) issued by Merrill Lynch Financial Assets, Inc., Series 2007-Canada 21: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class XC at AAA (sf) -- Class B at AA (sf) -- Class C at A (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (high) (sf) -- Class G at BB (sf) -- Class H at BB (low) (sf) -- Class J at B (high) (sf) -- Class K at B (sf) -- Class L at B (low) (sf) DBRS does not rate the first loss piece, Class M. The trends on all classes remain Stable, excluding Class K and Class L, to which DBRS has assigned Negative trends because of concerns surrounding the ability of certain borrowers to secure refinancing capital for their respective loans as these loans near maturity. Concerns include poor financial performance and loans secured by properties in markets with limited liquidity. Two loans are highlighted in further detail below. The rating confirmations reflect the overall performance of the transaction. As of the September 2016 remittance, 28 of the original 41 loans remain in the transaction, as there has been collateral reduction of 41.6% since issuance due to successful loan repayments and scheduled loan amortization. Of the remaining 28 loans, 27 loans, representing 96.2% of the current pool balance, are scheduled to mature by January 2017. Based on the most recent year-end reporting available, the weighted-average (WA) refinance debt service coverage ratio (DSCR) and exit debt yield for these loans are 1.67 times (x) and 12.8%, respectively. The transaction benefits from defeasance collateral, as four loans, representing 6.7% of the current pool balance, are fully defeased. The largest 15 loans exhibited healthy performance, reporting a WA DSCR and debt yield of 1.54x and 13.0%, respectively; however, one loan, which is highlighted below, is secured by a property in Fort McMurray, which has seen an overall market softening in recent years. The Hardin Street Building loan (Prospectus ID#12, representing 4.9% of the current pool balance) is secured by a four-storey, 82,549 square foot (sf) office building. While the region was significantly affected by a wildfire in May 2016, the servicer confirmed that the subject was not affected and continues to be in full operation. According to the August 2016 rent roll, the property was 100.0% occupied, increasing over the April 2016 occupancy of 89.8% as a result of two tenants signing short-term leases for the vacant space. These leases expire in November 2016 and January 2017. The largest tenant at the property is the Regional Municipality of Wood Buffalo (RMWB), representing 74.3% of the total net rentable area (NRA) on leases with multiple expiration dates. Approximately 23.4% of the RMWB space expires in 2017 with an additional 47.9% of its space scheduled to expire in 2018. According to YE2015 financials, loan performance remains strong as the reported DSCR of 3.02x remained in line with the YE2013 DSCR of 3.08x. While financial performance appears stable at present, DBRS is concerned about the long-term space needs of the RMWB given the economic slowdown in the region. Additionally, the loan matures in December 2016 and the lack of lender activity in the region may result in difficulties for the borrower to secure take-out financing. As a result, DBRS modelled this loan with an increased probability of default. As of the September 2016 remittance, there are ten loans on the servicer's watchlist, representing 52.1% of the current pool balance. The majority of the loans on the servicer's watchlist are flagged due to upcoming maturity, including the largest loan in the pool, representing 15.8% of the current pool balance. One of the loans on the watchlist is highlighted below. The 5055 Satellite Drive loan (Prospectus ID#5, representing 6.0% of the current pool balance) is secured by a 151,745 sf flex industrial/office building located in Mississauga, Ontario. The property is a part of an industrial park just south of the Toronto Pearson International Airport. This loan was originally placed on the servicer's watchlist in August 2010 because of low occupancy. According to the March 2016 rent roll, the property was 72.7% occupied with tenants paying an average rental rate of $13.39 per sf (psf). Occupancy has decreased significantly from March 2014 when the property was 96.0% occupied. The decrease was attributable to the departure of Bell Mobility (18.9% of the NRA), which vacated when its lease expired in August 2014. The largest tenant at the property is ConAgra Foods Canada Inc., representing 28.4% of the NRA, with a lease that expires in November 2023. According to the Cushman & Wakefield Industrial Snapshot for Q2 2016, the overall vacancy rate for the Mississauga submarket was 4.0% with an overall WA net rent of $5.75 psf. At YE2015, the loan reported a DSCR of 1.06x, decreasing from the YE2014 DSCR of 1.54x. The decline in performance year over year is directly attributable to lower rental revenue and expense reimbursements as a result of lower occupancy. While the loan may still be a good candidate for refinance given that the current exit debt yield is 8.4%, the loan matures in December 2016 and there has been little positive leasing momentum since the departure of Bell Mobility. DBRS maintains an investment-grade shadow rating on the Maxxam Portfolio loan (Prospectus ID#20, representing 3.2% of the current pool balance). DBRS has confirmed that the performance of this loan remains consistent with investment-grade loan characteristics. The ratings assigned to Classes C, F, G, H and J differ from the ratings implied by the quantitative model. DBRS considers this difference to be a material deviation, and in this case, the ratings reflect the uncertain loan-level event risk. MORGAN STANLEY 2003-TOP11: Moody's Hikes Rating on Cl. H Debt to B3 ------------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on two classes, downgraded the rating on one class and affirmed the rating on one class in Morgan Stanley Capital I Trust, Commercial Mortgage Pass-Through Certificates, Series 2003-TOP11 as: Cl. G, Upgraded to Aa2 (sf); previously on April 21, 2016, Upgraded to A3 (sf) Cl. H, Upgraded to B3 (sf); previously on April 21, 2016, Affirmed Caa2 (sf) Cl. J, Affirmed C (sf); previously on April 21, 2016, Affirmed C (sf) Cl. X-1, Downgraded to Caa3 (sf); previously on April 21, 2016, Affirmed B3 (sf) RATINGS RATIONALE The ratings on classes G and H were upgraded based on an increase in credit support resulting from loan paydowns and amortization. The deal has paid down 73% since Moody's last review. The rating on class J was affirmed because the ratings are consistent with Moody's expected loss. Class J has already experienced a 35% realized loss as result of previously liquidated loans. The rating on the IO Class (Class X-1) was downgraded due to the decline in the credit performance of its reference classes resulting from principal paydowns of higher quality reference classes. Moody's rating action reflects a base expected loss of 0.2% of the current balance, compared to 2.1% at Moody's last review. Moody's base expected loss plus realized losses is now 1.8% of the original pooled balance, compared to 1.9% 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 RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The methodologies used in these ratings were "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in December 2014, and "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" 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 9, compared to 12 at last review. When the Herf falls below 20, Moody's uses the excel-based Large Loan Model and then reconciles and weights the results from the conduit and large loan models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan-level proceeds derived from Moody's loan-level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure and property type. Moody's also further adjusts these aggregated proceeds for any pooling benefits associated with loan level diversity and other concentrations and correlations. DEAL PERFORMANCE As of the Sept. 13, 2016, distribution date, the transaction's aggregate certificate balance has decreased by 98% to $20.1 million from $1.19 billion at securitization. The certificates are collateralized by 19 mortgage loans ranging in size from less than 1% to 18% of the pool, with the top ten loans constituting 74% of the pool. Four loans, constituting 17% of the pool, have defeased and are secured by US government securities. Four 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. Fifteen loans have been liquidated from the pool, contributing to an aggregate realized certificate loss of approximately $21.9 million. There are no loans currently in special servicing. Moody's received full year 2014 operating results for 100% of the pool, and full year 2015 operating results for 93% of the pool. Moody's weighted average conduit LTV is 35%, compared to 33% 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 9.6%. Moody's actual and stressed conduit DSCRs are 1.85X and 5.56X, respectively, compared to 1.75X and 4.91X 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 conduit loan is the All Size Storage Loan ($3.6 million -- 17.9% of the pool), which is secured by a self-storage property with approximately 665 storage units located in San Clemente, California. As of March 2016, the storage facility was 83% leased. The loan is benefiting from amortization and matures in June 2018. Moody's LTV and stressed DSCR are 35% and 2.94X, respectively, compared 38% and 2.72X at the last review. The second largest conduit loan is the Golden Springs Business Center Loan ($1.9 million -- 9.7% of the pool), which is secured by an industrial property located in Santa Fe Springs, California. As of June 2016, the property was 100% leased to 3 tenants, the same as at prior review. The loan is fully amortizing and matures in July 2018. Moody's LTV and stressed DSCR are 10% and >4.00X, respectively, compared to 12% and 8.84X at the last review. The third largest conduit loan is the Foothilll Junction Shopping Center Loan ($1.8 million -- 9.1% of the pool), which is secured by a retail property located in Roseville, California. As of June 2016, the property was 78% leased, up from 77% in September 2015. The collateral is shadow anchored by a Save Mart supermarket. The loan is fully amortizing and matures in May 2023. Moody's LTV and stressed DSCR are 40% and 2.54X, respectively, compared to 42% and 2.43X at the last review. MORGAN STANLEY 2006-IQ11: S&P Cuts Rating on Class D Certs to Dsf ----------------------------------------------------------------- S&P Global Ratings lowered its rating to 'D (sf)' from 'B- (sf)' on the class D commercial mortgage pass-through certificates from Morgan Stanley Capital I Trust 2006-IQ11, a U.S. commercial mortgage-backed securities (CMBS) transaction. The downgrade reflects principal losses as detailed in the September 2016 trustee remittance report. The Sept. 15, 2016, trustee remittance report reported $14.9 million in principal losses, which resulted primarily from the liquidations of two specially serviced assets: Merritt Square Mall and Pines of Wilmington. According to the trustee remittance report, Merritt Square Mall liquidated at a loss severity of 27.0% of its original balance, and Pines of Wilmington liquidated at a loss of 0.9% of its original balance. Offsetting the losses are recoveries of $0.6 million from the Capital Plaza loan, which was liquidated in June 2016. Consequently, class D experienced a 8.5% loss of its $22.2 million original principal balance, and the remaining losses were allocated to class E (not rated by S&P Global Ratings). RATINGS LIST Morgan Stanley Capital I Trust 2006-IQ11 Commercial mortgage pass-through certificates series 2006-IQ11 Rating Rating Class Identifier To From D 617453AY1 D (sf) B- (sf) NATIONAL COLLEGIATE 2006-A: Fitch Hikes Cl. B Notes Rating to Bsf ----------------------------------------------------------------- Fitch Ratings has taken the following rating actions on National Collegiate Trust 2006-A: -- Class A-2 upgraded to 'AAsf' from 'Asf'; Outlook revised to Positive from Stable; -- Class B upgraded to 'Bsf' from 'CCsf'; assigned Outlook Stable. The upgrade on the senior and subordinate notes is due to improved performance, revised default projection and higher loss coverage multiples. Although Fitch's analysis indicated a higher rating for class A-2 notes, Fitch decided to upgrade the notes only to 'AAsf' due to lack of granular data and concerns for future performance volatility. KEY RATING DRIVERS Adequate Collateral Quality: The trust is collateralized by approximately $56.2 million of private student loans of which approximately 80.8% of the loans were originated by the Bank of America under the GATE program and the remainder of the loans were originated by CHELA Funding II, LLC. The projected remaining defaults are expected to range between 8%-12% as a percentage of current principal balance. A recovery rate of approximately 30% was applied in the analysis commensurate with 'Asf' and lower rating stress scenarios based on data provided by the issuer and included credit to the guarantee provided by Bank of America on loans originated pursuant to the GATE Program. A 0% recovery rate was assumed in 'AAsf' or higher rating stress scenarios. Although a portion of the CHELA portfolio is guaranteed by The Education Resources Institute (TERI), no credit was given to the TERI guaranty since TERI filed for bankruptcy on April 7, 2008. Sufficient Credit Enhancement: Credit enhancement is provided by overcollateralization and excess spread. The class A notes also benefit from subordination from the class B notes. As of the August 2015 distribution senior and total parity is 207.2% and 104.2% respectively. Cash may be released from the trust at the greater of (i) 104% total parity, and (ii) the percentage equivalent of (outstanding notes +$5,300,000)/ (outstanding notes), currently 109%. No cash is currently being released from the trust. Adequate Liquidity Support: Liquidity support for the notes is provided by a reserve account, which is currently at $1 million. Acceptable Servicing Capabilities: The portfolio is serviced by American Education Services (AES), Great Lakes Educational Loan Services Inc., ACS Education Services (ACS), First Mark Services LLC and Nelnet Servicing, LLC. Fitch believes all servicers are acceptable servicers of private student loans. Under Fitch's 'Counterparty Criteria for Structured Finance and Covered Bonds', dated June 18, 2016, Fitch looks to its own ratings in analyzing counterparty risk and assessing a counterparty's creditworthiness. The definition of permitted investments for this deal allows for the possibility of using investments not rated by Fitch, which represents a criteria variation. Fitch doesn't believe such variation has a measurable impact upon the ratings assigned. RATING SENSITIVITIES As Fitch's base case default proxy is derived primarily from historical collateral performance, actual performance may differ from the expected performance, resulting in higher loss levels than the base case. This will result in a decline in CE and remaining loss coverage levels available to the bonds and may make certain bond ratings susceptible to potential negative rating actions, depending on the extent of the decline in coverage. Fitch will continue to monitor the performance of the trust. NEW RESIDENTIAL 2016-3: DBRS Finalizes BB Rating on Cl. B-4 Notes ----------------------------------------------------------------- DBRS, Inc. finalized the following provisional ratings to the Mortgage-Backed Notes, Series 2016-3 (the Notes) issued by New Residential Mortgage Loan Trust 2016-3 (the Trust): -- $241.9 million Class A-1 at AAA (sf) -- $241.9 million Class A-IO at AAA (sf) -- $241.9 million Class A at AAA (sf) -- $14.9 million Class B-1 at AAA (sf) -- $14.9 million Class B1-IO at AAA (sf) -- $14.3 million Class B-2 at A (high) (sf) -- $14.3 million Class B2-IO at A (high) (sf) -- $8.6 million Class B-3 at BBB (sf) -- $4.5 million Class B-4 at BB (high) (sf) -- $3.9 million Class B-5 at B (high) (sf) In addition, DBRS has assigned new ratings to the following Notes issued by the Trust: -- $241.9 million Class A-1A at AAA (sf) -- $241.9 million Class A-1B at AAA (sf) -- $241.9 million Class A-1C at AAA (sf) -- $241.9 million Class A1-IOA at AAA (sf) -- $241.9 million Class A1-IOB at AAA (sf) -- $241.9 million Class A1-IOC at AAA (sf) -- $256.8 million Class A-2 at AAA (sf) -- $14.9 million Class B-1A at AAA (sf) -- $14.9 million Class B-1B at AAA (sf) -- $14.9 million Class B-1C at AAA (sf) -- $14.9 million Class B1-IOA at AAA (sf) -- $14.9 million Class B1-IOB at AAA (sf) -- $14.9 million Class B1-IOC at AAA (sf) -- $14.3 million Class B-2A at A (high) (sf) -- $14.3 million Class B-2B at A (high) (sf) -- $14.3 million Class B-2C at A (high) (sf) -- $14.3 million Class B2-IOA at A (high) (sf) -- $14.3 million Class B2-IOB at A (high) (sf) -- $14.3 million Class B2-IOC at A (high) (sf) -- $8.6 million Class B-3A at BBB (sf) -- $8.6 million Class B-3B at BBB (sf) -- $8.6 million Class B-3C at BBB (sf) -- $8.6 million Class B3-IOA at BBB (sf) -- $8.6 million Class B3-IOB at BBB (sf) -- $8.6 million Class B3-IOC at BBB (sf) Classes A-IO, A1-IOA, A1-IOB, A1-IOC, X, B1-IO, B1-IOA, B1-IOB, B1-IOC, B2-IO, B2-IOA, B-2IOB, B-2IOC, B3-IOA, B3-IOB and B3-IOC are interest-only notes. The class balances represent notional amounts. Classes A-1A, A-1B, A-1C, A1-IOA, A1-IOB, A1-IOC, A-2, A, B-1A, B-1B, B-1C, B1-IOA, B1-IOB, B1-IOC, B-2A, B-2B, B-2C, B2-IOA, B-2IOB, B-2IOC, B-3A, B-3B, B-3C, B3-IOA, B3-IOB, B3-IOC and B are exchangeable notes. These classes can be exchanged for combinations of initial exchangeable notes as specified in the offering documents. The AAA (sf) ratings on the Notes reflect the 14.90% of credit enhancement provided by subordinated Notes in the pool. The A (high) (sf), BBB (sf), BB (high) (sf) and B (high) (sf) ratings reflect 10.15%, 7.30%, 5.80% and 4.50% of credit enhancement, respectively. Other than the specified classes above, DBRS does not rate any other classes in this transaction. This transaction is a securitization of a portfolio of seasoned performing and re-performing first-lien residential mortgages. The Notes are backed by 2,719 loans with a total principal balance of $301,770,767 as of the Cut-Off Date (September 1, 2016). The loans are significantly seasoned with a weighted average age of 157 months. As of the Cut-Off Date, 91.5% of the pool is current, 6.9% is 30 days delinquent and 1.7% is in bankruptcy (all bankruptcy loans are performing or 30 days delinquent). Approximately 69.6% and 77.1% of the mortgage loans have been zero times 30 days delinquent for the past 24 months and 12 months, respectively, under both the Office of Thrift Supervision and Mortgage Bankers Association delinquency methods. The portfolio contains 23.4% modified loans. The modifications happened more than two years ago for 57.4% of the modified loans. Because of the seasoning of the collateral, none of the loans are subject to the Consumer Financial Protection Bureau Ability-to-Repay/Qualified Mortgage rules. The Seller, NRZ Sponsor V LLC (NRZ), will acquire the loans on or prior to the Closing Date in connection with the termination of 86 securitization trusts that had acquired the mortgage loans from various underlying sellers. Upon acquiring the loans from the securitization trusts, NRZ, through an affiliate, New Residential Funding 2016-3 LLC (the Depositor), will contribute loans to the Trust. As the Sponsor, New Residential Investment Corp., through a majority-owned affiliate, will acquire and retain a 5% eligible vertical interest in each class of securities to be issued (other than the residual certificates) to satisfy the credit risk retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. These loans were originated and previously serviced by various entities through purchases in the secondary market. As of the Cut-Off Date, 63.9% of the pool is serviced by Ocwen Loan Servicing, LLC, 32.2% by Nationstar Mortgage LLC (Nationstar) and 3.9% by Specialized Loan Servicing LLC. Nationstar will also act as the Master Servicer. The transaction employs a senior-subordinate shifting-interest cash flow structure that is enhanced from a pre-crisis structure. The ratings reflect transactional strengths that include underlying assets that have significant seasoning, relatively clean payment histories and robust loan attributes with respect to credit scores, product types and loan-to-value ratios. Additionally, historical NRMLT securitizations have exhibited fast voluntary prepayment rates and satisfactory deal performance. The transaction employs a relatively weak representations and warranties framework that includes an unrated representation provider (NRZ), certain knowledge qualifiers and fewer mortgage loan representations relative to DBRS criteria for seasoned pools. Satisfactory third-party due diligence was performed on the pool for regulatory compliance, but was limited with respect to payment history, data integrity, title and servicing comments. Updated Home Data Index and/or broker price opinions were provided for the pool; however, a reconciliation was not performed on the majority of updated values. Certain loans have missing assignments or endorsements as of the Closing Date. Given the relatively clean performance history of the mortgages and the operational capability of the servicers, DBRS believes the risk of impeding or delaying foreclosure is remote. The full description of the strengths, challenges and mitigating factors are detailed in the related report. Please see the related appendix for additional information regarding sensitivity of assumptions used in the rating process. Notes: All figures are in U.S. dollars unless otherwise noted. NEW RESIDENTIAL 2016-3: Moody's Rates Class B-4 Notes 'Ba3' ----------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to 35 classes of notes issued by New Residential Mortgage Loan Trust 2016-3 ("NRMLT 2016-3"). The NRMLT 2016-3 transaction is a securitization of $301.7 million of first lien, seasoned performing and re-performing mortgage loans with weighted average seasoning of approximately 158 months, weighted average updated LTV ratio of 55.5% and weighted average updated FICO score of 694. Approximately 80.4% of the loans have been always current in the past 24 months. Approximately 23.4% of the loans in the pool were previously modified. Ocwen Loan Servicing, LLC, Nationstar Mortgage LLC, and Specialized Loan Servicing, LLC, will act as primary servicers and Nationstar Mortgage LLC will act as master and successor servicer. The complete rating action is as follows: Issuer: New Residential Mortgage Loan Trust 2016-3 -- Cl. A-1, Definitive Rating Assigned Aaa (sf) -- Cl. A-IO, Definitive Rating Assigned Aaa (sf) -- Cl. A-1A, Definitive Rating Assigned Aaa (sf) -- Cl. A-1B, Definitive Rating Assigned Aaa (sf) -- Cl. A-1C, Definitive Rating Assigned Aaa (sf) -- Cl. A1-IOA, Definitive Rating Assigned Aaa (sf) -- Cl. A1-IOB, Definitive Rating Assigned Aaa (sf) -- Cl. A1-IOC, Definitive Rating Assigned Aaa (sf) -- Cl. A-2, Definitive Rating Assigned Aa1 (sf) -- Cl. A, Definitive Rating Assigned Aaa (sf) -- Cl. B-1, Definitive Rating Assigned Aa2 (sf) -- Cl. B1-IO, Definitive Rating Assigned Aa2 (sf) -- Cl. B-1A, Definitive Rating Assigned Aa2 (sf) -- Cl. B-1B, Definitive Rating Assigned Aa2 (sf) -- Cl. B-1C, Definitive Rating Assigned Aa2 (sf) -- Cl. B1-IOA, Definitive Rating Assigned Aa2 (sf) -- Cl. B1-IOB, Definitive Rating Assigned Aa2 (sf) -- Cl. B1-IOC, Definitive Rating Assigned Aa2 (sf) -- Cl. B-2, Definitive Rating Assigned A3 (sf) -- Cl. B2-IO, Definitive Rating Assigned A3 (sf) -- Cl. B-2A, Definitive Rating Assigned A3 (sf) -- Cl. B-2B, Definitive Rating Assigned A3 (sf) -- Cl. B-2C, Definitive Rating Assigned A3 (sf) -- Cl. B2-IOA, Definitive Rating Assigned A3 (sf) -- Cl. B2-IOB, Definitive Rating Assigned A3 (sf) -- Cl. B2-IOC, Definitive Rating Assigned A3 (sf) -- Cl. B-3, Definitive Rating Assigned Baa3 (sf) -- Cl. B-3A, Definitive Rating Assigned Baa3 (sf) -- Cl. B-3B, Definitive Rating Assigned Baa3 (sf) -- Cl. B-3C, Definitive Rating Assigned Baa3 (sf) -- Cl. B3-IOA, Definitive Rating Assigned Baa3 (sf) -- Cl. B3-IOB, Definitive Rating Assigned Baa3 (sf) -- Cl. B3-IOC, Definitive Rating Assigned Baa3 (sf) -- Cl. B-4, Definitive Rating Assigned Ba3 (sf) -- Cl. B-5, Definitive Rating Assigned B3 (sf) RATINGS RATIONALE Moody's losses on the collateral pool average 3.50% in an expected scenario and reach 18.40% at a stress level consistent with the Aaa ratings on the senior classes. Moody's said, "We based our expected losses on the pool on our estimates of (1) the default rate on the remaining balance of the loans and (2) the principal recovery rate on the defaulted balances. The final expected losses for the pool reflect the third party review (TPR) findings and our assessment of the representations and warranties (R&Ws) framework for this transaction." "To estimate the losses on the pool, we used an approach similar to our surveillance approach. Under this approach, we apply expected annual delinquency rates, conditional prepayment rates (CPRs), loss severity rates and other variables to estimate future losses on the pool. Our assumptions on these variables are based on the observed rate of delinquency on seasoned modified and non-modified loans, the collateral attributes of the pool including the percentage of loans that were delinquent in the past 24 months, and the observed performance of recent New Residential Mortgage Loan Trust issuances rated by Moody's. For this pool, we used default burnout and voluntary CPR assumptions similar to those detailed in our "US RMBS Surveillance Methodology" for Alt-A loans originated before 2005. We then aggregated the delinquencies and converted them to losses by applying pool-specific lifetime default frequency and loss severity assumptions," Moody's said. Collateral Description NRMLT 2016-3 is a securitization of seasoned performing and re-performing residential mortgage loans which the seller, NRZ Sponsor V LLC, has previously purchased in connection with the termination of various securitization trusts. The transaction consists primarily of 30-year fixed rate loans. 76.8% of the loans in this pool by balance have never been modified and have been performing while approximately 23.2% of the loans were previously modified but are now current and cash flowing. The weighted average seasoning on the collateral is approximately 158 months. Property values were updated using home data index (HDI) values or broker price opinions (BPOs). HDIs were obtained for all but 185 properties contained within the securitization. In addition, updated BPOs were obtained from a third party BPO provider for 753 properties. Third-Party Review ("TPR") and Representations & Warranties ("R&W") A third party due diligence provider, AMC, conducted a compliance review on a sample of 828 loans proposed to be included in the mortgage pool. The regulatory compliance review consisted of a review of compliance with Section 32/HOEPA, Federal Truth in Lending Act/Regulation Z (TILA), the Real Estate Settlement Protection Act/Regulation X (RESPA), and federal, state and local anti-predatory regulations. The TPR identified 420 loans with compliance exceptions, the majority of which were due to missing HUD and/or TIL documents, under disclosed finance charges, missing right to cancel disclosures, or missing FACTA disclosures. Although the diligence provider's report indicated that the statute of limitations for borrowers to rescind their loans has already passed, borrowers can still raise these legal claims in defense against foreclosure as a set off or recoupment and win damages that can reduce the amount of the foreclosure proceeds. Such damages include up to $4,000 in statutory damages, borrowers' legal fees and other actual damages. The third party due diligence provider also conducted reviews of data integrity, pay history, and title/lien on selected samples to confirm that certain information in the mortgage loan files matched the information supplied by the servicers. Any issues identified during the data integrity review were corrected on the data tape, and the pay history analysis indicated there were no material pay history issues on the data tape. The seller, NRZ Sponsor V LLC, is providing a representation and warranty for missing mortgage files. To the extent that the indenture trustee, master servicer, related servicer, depositor or custodian has actual knowledge of a defective or missing mortgage loan document or a breach of a representation or warranty regarding the completeness of the mortgage file or the accuracy of the mortgage loan documents, and such missing document, defect or breach is preventing or materially delaying the (a) realization against the related mortgaged property through foreclosure or similar loss mitigation activity or (b) processing of any title claim under the related title insurance policy, the party with such actual knowledge will give written notice of such breach, defect or missing document, as applicable, to the related seller, indenture trustee, depositor, master servicer, related servicer and custodian. Upon notification of a missing or defective mortgage loan file, the related seller will have 120 days from the date it receives such notification to deliver the missing document or otherwise cure the defect or breach. If it is unable to do so, the related seller will be obligated to replace or repurchase the mortgage loan. "Despite this provision, we increased our loss severities to account for loans with missing title policies (according to both the title/lien review and a custodial file review),mortgage notes, or mortgage/deed/security agreements. This adjustment was based on both the results of the TPR review and because the R&W provider is an unrated entity and weak from a credit perspective. In our analysis we assumed that 2.3% of the projected defaults will have missing documents' breaches that will not be remedied and result in higher than expected loss severities," Moody's said. Trustee & Master Servicer The transaction indenture trustee is Wilmington Trust, National Association. The custodian functions will be performed by Wells Fargo Bank, N.A. The paying agent and cash management functions will be performed by Citibank, N.A. In addition, Nationstar Mortgage LLC, as master servicer, is responsible for servicer oversight, termination of servicers, and the appointment of successor servicers. Ocwen has experienced significant losses over the past two years due to regulatory issues and limited opportunities in its core market. A further weakening of Ocwen's financial profile could adversely impact its ability to service the loans serviced by it adequately. However, having Nationstar Mortgage LLC as a master servicer mitigates this risk due to the performance oversight that it will provide. Nationstar Mortgage LLC is the named successor servicer for the transaction and we assess Nationstar Mortgage LLC's servicing quality assessment at SQ3+ as a master servicer of residential mortgage loans. Transaction Structure The transaction cash flows follow a shifting interest structure that allows subordinated bonds to increasingly receive principal prepayments after an initial lock-out period of five years, provided two performance tests are met. To pass the first test, the delinquent and recently modified loan balance cannot exceed 50% of the subordinate bonds outstanding. To pass the second test, cumulative losses cannot exceed certain thresholds that gradually increase over time. Because a shifting interest structure allows subordinated bonds to pay down over time as the loan pool shrinks, senior bonds are exposed to tail risk, i.e., risk of back-ended losses when fewer loans remain in the pool. The transaction provides for a subordination floor that helps to reduce this tail risk. Specifically, the subordination floor prevents subordinate bonds from receiving any principal if the amount of subordinate bonds outstanding falls below 3.25% of the closing principal balance. There is also a provision that prevents subordinate bonds from receiving principal if the credit enhancement for the Class A-1 Note falls below its percentage at closing, 19.85%. These provisions mitigate tail risk by protecting the senior bonds from eroding credit enhancement over time. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from our 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. Other reasons for better-than-expected performance include changes to servicing practices that enhance collections or refinancing opportunities that result in prepayments. 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 our 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. The methodologies used in these ratings were "Moody's Approach to Rating Securitisations Backed by Non-Performing and Re-Performing Loans" published in August 2016 and "US RMBS Surveillance Methodology" published in November 2013. NEWGATE FUNDING 2006-2: S&P Affirms 'B-' Rating on 3 Tranches ------------------------------------------------------------- S&P Global Ratings affirmed its credit ratings on Newgate Funding PLC series 2006-2's class A3a, A3b, M, Ba, Bb, Da, Db, and E notes. At the same time, S&P has raised to 'BBB- (sf)' from 'BB (sf)' its ratings on the class Ca and Cb notes. The rating actions follow S&P's credit and cash flow analysis of the transaction using information from the July 2016 investor report and July 2016 loan-level data. S&P's analysis reflects the application of its U.K. residential mortgage-backed securities (RMBS) criteria and its current counterparty criteria. In S&P's opinion, the performance of the loans in the collateral pool has improved since its Sept. 13, 2013 review. Total delinquencies have decreased to 27.0% from 32.9%, 90+ days delinquencies to 18.1% from 24.7%, and repossessions to 0.15% from 0.66%. Although the abovementioned decreases are in line with the evolution observed in S&P's U.K. nonconforming RMBS index, Newgate Funding's series 2006-2 pool has historically performed worse than the other transactions in S&P's index. Prepayments have remained stable since S&P's previous review. As of March 2016, the prepayment rate in this transaction was about 6.6%, which is lower than the 8.1% observed in our index. The lower arrears levels and greater proportion of the loans in the pools receiving seasoning credit benefitted S&P's WAFF calculations. S&P's WALS assumptions have decreased at all rating levels. The transaction has benefitted from the decrease in the weighted-average current loan-to-value ratios. Rating WAFF WALS (%) (%) AAA 41.73 37.28 AA 36.39 30.33 A 31.06 19.64 BBB 26.84 13.78 BB 22.51 10.01 B 20.49 7.22 Credit enhancement levels have increased for all rated classes of notes since S&P's previous review. The notes benefit from a liquidity facility and reserve funds. The facilities are not amortizing as the respective cumulative loss triggers have been breached. The structure started amortizing pro rata in January 2016 because all of the pro rata triggers are currently met. S&P has considered this in its cash flow analysis. S&P's credit and cash flow analysis indicates that the available credit enhancement for the class Da, Db, and E notes is commensurate with the currently assigned ratings. S&P has therefore affirmed its 'B- (sf)' ratings on these classes of notes. S&P considers the available credit enhancement for the class Ca and Cb notes to be commensurate with higher ratings than those currently assigned. S&P has therefore raised to 'BBB- (sf)' from 'BB (sf)' its ratings on the class Ca and Cb notes. In S&P's credit and cash flow analysis, it considers the available credit enhancement for the class A3a, A3b, M, Ba, and Bb notes to be commensurate with higher ratings than those currently assigned. However, the liquidity facility and bank account provider (Barclays Bank PLC; A-/Negative/A-2) breached the 'A-1+' downgrade trigger specified in the transaction documents, following S&P's lowering of its long- and short-term ratings in November 2011. Because no remedy actions were taken following S&P's November 2011 downgrade, its current counterparty criteria cap the maximum potential rating on the notes in this transaction to S&P's 'A-' long-term issuer credit rating on Barclays Bank. S&P has therefore affirmed its 'A- (sf)' ratings on the class A3a, A3b, M, Ba, and Bb notes. Newgate Funding's series 2006-2 is a U.K. nonconforming RMBS transaction with collateral comprising a pool of first-ranking mortgages over freehold and leasehold owner-occupied properties. Based on loan-level data provided for July 2016, the collateral pool comprises 23.7% first-time buyer loans and 74.8% self-certified loans. RATINGS LIST Class Rating To From Newgate Funding PLC EUR73.9 Million, GBP458.7 Million Mortgage-Backed Floating-Rate Notes Series 2006-2 Ratings Affirmed A3a A- (sf) A3b A- (sf) M A- (sf) Ba A- (sf) Bb A- (sf) Da B- (sf) Db B- (sf) E B- (sf) Ratings Raised Ca BBB- (sf) BB (sf) Cb BBB- (sf) BB (sf) NEWSTAR COMMERCIAL 2013-1: S&P Affirms B Rating on Cl. G Notes -------------------------------------------------------------- S&P Global Ratings affirmed its ratings on the class A-R, A-T, B, C, D, E, F, and G notes from NewStar Commercial Loan Funding 2013-1 LLC, a middle-market U.S. collateralized loan obligation (CLO) transaction that closed in September 2013 and is managed by NewStar Financial Inc. The rating actions follow S&P's review of the transaction's performance using data from the Aug. 10, 2016, trustee report. The transaction is scheduled to remain in its reinvestment period until September 2016. Since the transaction's effective date, the trustee-reported collateral portfolio's weighted average life has decreased to 3.73 years from 4.02 years. This seasoning has decreased the overall credit risk profile, which, in turn, provided more cushion to the tranche ratings. The transaction has experienced an increase in both defaults and assets rated 'CCC+' and below since the Feb. 12, 2014, effective date report. Specifically, the amount of defaulted assets increased to $0.93 million from zero as of the effective date report. The level of assets rated 'CCC+' and below increased to $13.92 million (3.5% of the aggregate principal balance) from $3.94 million over the same period. According to the August 2016 trustee report that S&P used for this review, the overcollateralization (O/C) ratios for each class have increased since the February 2014 trustee report, which S&P used for its March rating affirmations: -- The class A/B O/C ratio was 148.70%, up from 146.50%. -- The class C O/C ratio was 130.98%, up from 129.40%. -- The class D O/C ratio was 122.46%, up from 121.20%. -- The class E O/C ratio was 114.19%, up from 113.20%. All coverage tests are currently passing and are above the minimum requirements. Overall, the increase in defaulted and 'CCC' assets has been largely offset by the decline in the weighted average life. However, any significant deterioration in these metrics could negatively affect the deal in the future, especially the junior tranches. As such, the affirmed ratings reflect S&P's belief that the credit support available is commensurate with the current rating levels. Although S&P's cash flow analysis indicated higher ratings for the class B, C, D, E, and F notes, its rating actions considers the increase in the defaults and decline in the portfolio's credit quality. In addition, the ratings reflect additional sensitivity runs that considered the exposure to specific distressed industries and allowed for volatility in the underlying portfolio given that the transaction is still in its reinvestment period. The cash flow results also indicated a lower rating for the class G notes; however S&P views the overall credit seasoning as an improvement, and S&P also considered the improved O/C ratios, which currently have significant cushion over their minimum requirements. However, any increase in defaults and/or par losses could lead to potential negative rating actions on the class G notes in the future. The affirmations of the ratings 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 these rating actions. 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 will take rating actions as S&P deems necessary. RATINGS AFFIRMED NewStar Commercial Loan Funding 2013-1 LLC Class Rating A-R AAA (sf) A-T AAA (sf) B AA (sf) C A (sf) D BBB (sf) E BBB- (sf) F BB (sf) G B (sf) PRESTIGE AUTO: DBRS Reviews 20 Ratings From 4 ABS Deals ------------------------------------------------------- DBRS, Inc. reviewed 20 ratings from four Prestige Auto Receivables Trust U.S. structured finance asset-backed securities transactions. Of the 20 outstanding publicly rated classes reviewed, 13 were confirmed and seven were upgraded. For the ratings that were confirmed, performance trends are such that credit enhancement levels are sufficient to cover DBRS's expected losses at their current respective rating levels. For the ratings that were upgraded, performance trends are such that credit enhancement levels are sufficient to cover DBRS's expected losses at their new respective rating levels. The ratings are based on DBRS's review of the following analytical considerations: -- Transaction capital structure, proposed ratings and form and sufficiency of available credit enhancement. -- The transaction parties’ capabilities with regard to origination, underwriting and servicing. -- The credit quality of the collateral pool and historical performance. Notes: All figures are in U.S. dollars unless otherwise noted. The applicable methodology is the DBRS Master U.S. ABS Surveillance Methodology, which can be found on our website under Methodologies. The rated entity or its related entities did participate in the rating process. DBRS had access to the accounts and other relevant internal documents of the rated entity or its related entities. The complete press release is available free at: https://is.gd/Qhgo2n REALT 2006-3: Moody's Hikes Class G Notes Rating to 'Ba1' --------------------------------------------------------- Moody's Investors Service has affirmed the ratings on six classes and upgraded the ratings on nine classes in Real Estate Asset Liquidity Trust (REALT), Commercial Mortgage Pass-Through Certificates, Series 2006-3 as follows: -- Cl. A-2, Affirmed Aaa (sf); previously on Nov 6, 2015 Affirmed Aaa (sf) -- Cl. B, Upgraded to Aaa (sf); previously on Nov 6, 2015 Upgraded to Aa1 (sf) -- Cl. C, Upgraded to Aaa (sf); previously on Nov 6, 2015 Upgraded to A1 (sf) -- Cl. D-1, Upgraded to Aa2 (sf); previously on Nov 6, 2015 Upgraded to Baa1 (sf) -- Cl. D-2, Upgraded to Aa2 (sf); previously on Nov 6, 2015 Upgraded to Baa1 (sf) -- Cl. E-1, Upgraded to A1 (sf); previously on Nov 6, 2015 Upgraded to Baa2 (sf) -- Cl. E-2, Upgraded to A1 (sf); previously on Nov 6, 2015 Upgraded to Baa2 (sf) -- Cl. F, Upgraded to Baa1 (sf); previously on Nov 6, 2015 Affirmed Ba1 (sf) -- Cl. G, Upgraded to Ba1 (sf); previously on Nov 6, 2015 Affirmed Ba2 (sf) -- Cl. H, Upgraded to Ba3 (sf); previously on Nov 6, 2015 Affirmed B1 (sf) -- Cl. J, Affirmed B2 (sf); previously on Nov 6, 2015 Affirmed B2 (sf) -- Cl. K, Affirmed B3 (sf); previously on Nov 6, 2015 Affirmed B3 (sf) -- Cl. L, Affirmed Caa1 (sf); previously on Nov 6, 2015 Affirmed Caa1 (sf) -- Cl. XC-1, Affirmed Ba3 (sf); previously on Nov 6, 2015 Affirmed Ba3 (sf) -- Cl. XC-2, Affirmed Ba3 (sf); previously on Nov 6, 2015 Affirmed Ba3 (sf) RATINGS RATIONALE The ratings on the P&I classes A-2, J, K, and L 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 P&I classes B through H were upgraded primarily due to an increase in credit support since Moody's last review, resulting from paydowns and amortization, as well as Moody's expectation of additional increases in credit support resulting from the payoff of loans approaching maturity that are well positioned for refinance. The pool has paid down by 30% since Moody's last review. In addition, loans constituting 88% of the pool that have debt yields exceeding 10% are scheduled to mature within the next two months. The ratings on the IO classes XC-1 and XC-2 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 1.0% of the current balance, compared to 2.5% at Moody's last review. Moody's base expected loss plus realized losses is now 0.6% of the original pooled balance, compared to 1.6% 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. 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 13, compared to 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 September 12, 2016 distribution date, the transaction's aggregate certificate balance has decreased by 61% to $167 million from $426 million at securitization. The certificates are collateralized by 29 mortgage loans ranging in size from less than 1% to 15% of the pool, with the top ten loans constituting 76% of the pool. Two loans, constituting 25% of the pool, have investment-grade structured credit assessments. One loan, constituting 4% of the pool, has defeased and is secured by Canadian government securities. Twenty-six loans, constituting 86% 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 has been liquidated from the pool, resulting in an aggregate realized loss of less than $1 million (for an average loss severity of 27%). There are currently no loans in special servicing. Moody's received full year 2014 operating results for 88% of the pool, and full or partial year 2015 operating results for 100% of the pool. Moody's weighted average conduit LTV is 64%, compared to 75% 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 8.8%. Moody's actual and stressed conduit DSCRs are 1.55X and 1.77X, respectively, compared to 1.41X and 1.53X 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 with a structured credit assessment is the Clearbrook Town Square Loan ($25.4 million -- 15% of the pool), which is secured by a 189,000 square foot (SF) community shopping center located in Abbotsford, British Columbia. The center was 95% leased as of January 2016, compared to 94% leased as of January 2015. The center is anchored by Canada Safeway, which leases 29.5% of the premises through October 2017. Moody's structured credit assessment and stressed DSCR are a2 (sca.pd) and 1.38X, respectively. The second largest loan with a structured credit assessment is the Suncor Building Loan ($15.6 million -- 9% of the pool), which is secured by a 126,000 SF industrial property located in Fort McMurray, Alberta. The property was 100% leased as of March 2016, the same as at last review. The largest tenant, Suncor Energy, is rated Baa1 (Senior Unsecured) -- stable outlook, and currently leases 97% of the premises. Suncor Energy is a Canadian integrated energy company based in Calgary, Alberta and they specialize in the production of synthetic crude from oil sands. Moody's structured credit assessment and stressed DSCR are a3 (sca.pd) and 1.2X, respectively. The top three conduit loans represent 29% of the pool balance. The largest loan is the Beedie Group - Langley Loan ($17.3 million -- 10% of the pool), which is secured by a five building, 303,000 SF industrial portfolio located in Langley, British Columbia. As of March 2016, the property was 100% leased, the same as at last review and securitization. Moody's LTV and stressed DSCR are 59% and 1.46X, respectively, compared to 64% and 1.34X at the last review. The second largest loan is the Park Lane Mall and Terraces Loan ($16.2 million -- 10% of the pool), which is secured by a 278,000 SF office and retail center located in Halifax, Nova Scotia. As of March 2016, the property was 85% leased, the same as at the last review. The loan benefits from amortization and matures in April 2018. Moody's LTV and stressed DSCR are 58% and 1.67X, respectively, compared to 67% and 1.45X at the last review. The third largest loan is the Berwick on the Park Loan ($14.3 million -- 9% of the pool), which is secured by a 152-unit senior living facility located in Kamloops, British Columbia. The facility offers independent living, assisted living and licensed residential care. The property is 95% occupied as of November 2015, as compared to 86% occupied in 2014. Moody's LTV and stressed DSCR are 96% and 1.1X, respectively, compared to 119% and 0.89X at the last review. REALT 2014-1: DBRS Confirms 'BB' Rating on Class F Notes -------------------------------------------------------- DBRS Limited confirmed the ratings on the following Commercial Mortgage Pass-Through Certificates, Series 2014-1 issued by Real Estate Asset Liquidity Trust (REALT), Series 2014-1: -- Class A at AAA (sf) -- Class X at AAA (sf) -- Class B at AA (sf) -- Class C at A (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (sf) -- Class G at B (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction since issuance in October 2014. The collateral consists of 34 fixed-rate loans secured by 46 commercial properties. As of the September 2016 remittance, the pool has experienced a collateral reduction of 4.1% since issuance as a result of scheduled loan amortization. The transaction benefits from a strong concentration of properties located in the province of Ontario (54% of the current pool balance) and a healthy concentration of properties located in urban and suburban markets (77% of the current pool balance). There are only two loans (representing 9.9% of the pool balance) located in Alberta. In addition, there are 32 loans, representing 91.2% of the current pool balance, that have partial or full recourse to their respective sponsors. Three of the top ten loans, representing 13.8% of the current pool balance, have full or partial recourse to entities considered to be strong sponsors. As of the September 2016 remittance, there are no loans in special servicing and three loans, representing 6.7% of the pool, on the servicer's watchlist. The largest loan on the watchlist, Prospectus ID#12, Newmarket Plaza (3.53% of the pool), is on the watchlist for a low debt service coverage ratio (DSCR), but DBRS believes that figure is likely significantly depressed due to the borrower's omission of reimbursements in the YE2015 reporting. The pool reported a weighted-average DSCR of 1.50 times (x) as of the most recent reporting on file for the loans as of September 2016, with a weighted-average debt yield of 9.8%. Although the average DSCR is down from 1.60x, that drop is largely a factor of the performance decline of one top ten loan and an artificially depressed DSCR for Prospectus ID #12, with most loans performing in line or slightly above the DBRS underwritten (UW) levels. One of the top ten loans and one of the watchlisted loans are discussed in detail below. The Sheraton Cavalier Hotel Calgary loan (Prospectus ID#5, 5.7% of the current pool balance) is secured by a 306-key, full-service hotel located in Calgary, Alberta. The property is situated just outside of the Calgary International Airport and caters mainly to corporate clientele. The hotel has operated with the Sheraton brand since inception in 1983 and the franchise expires beyond the loan term in July 2033. The property has experienced incremental cash flow declines since issuance, reflective of the weaker oil price environment in the provincial energy sector. As of YE2015, the loan had a DSCR of 3.60x compared to 4.28x at YE2014 and the DBRS UW DSCR of 4.62x. At issuance, the subject reported an occupancy rate of 73.75%, average daily rate (ADR) of $163.44 and revenue per available room (RevPAR) of $120.54. The effects of the current economic environment in Alberta are reflected in the June 2016 trailing 12-month (T-12) Smith Travel Accommodation Report (STR) as the subject reported occupancy at 65%, ADR of $159.34 and RevPAR of $103.58. The softer market has impacted the competitive set, as well, with the average occupancy at 68% and RevPAR at $89.00. The soft market conditions will likely continue as new supply was recently added in the Calgary Airport Marriot In-Terminal Hotel, a 318-key hotel that opened in September 2016. At issuance, DBRS shadow rated the loan AAA, reflective of the strong credit metrics, recent investment in property upgrades and strong operating history. Although the property performance has declined, with the issuance AAA shadow rating no longer supported, the performance is still within the DBRS standards for an investment-grade shadow rating. The Four Points Sheraton Kamloops loan (2.62% of the current pool balance) is the second-largest loan on the watchlist and is secured by a 78-key, full-service hotel constructed in 1998 in Kamloops, British Columbia, approximately 20 kilometres (km) from the Kamloops Airport. This loan was added to the servicer's watchlist for a low YE2015 DSCR of 1.03x. Comparatively, the DBRS UW DSCR was 1.58x. The low YE2015 DSCR was due to a decrease in occupancy and room revenue driven by increased competition with the addition of The Fairfield Inn by Marriott approximately one km west of the subject in June 2015. According to the T-12 ending July 2016 STR report, performance continues to lag the issuance levels as the subject had an occupancy rate of 66.8%, ADR of $117.20 and RevPAR of $78.25. The figures reported by the borrower at issuance indicate YE2013 occupancy was 81.6%, with ADR and RevPAR at $125.30 and $102.29, respectively. Although occupancy has declined, the subject still outperforms its competitive set that reports an occupancy rate of 53.6%, ADR at $119.91 and RevPAR of $64.23. News reports found online by DBRS indicate that tourist traffic in Kamloops has increased in 2016, driven by the favourable exchange rate for travellers from the United States and lower gas prices that have drawn travellers from Alberta; however, it remains to be seen if these factors will contribute to a significant improvement in property cash flows. To account for the increased risk with the cash flow decline, this loan was modelled with an increased probability of default. DBRS will continue to monitor closely for developments. REALT 2016-2: Fitch Assigns 'BBsf' Rating on Class F Debt --------------------------------------------------------- Fitch Ratings has assigned ratings to the Real Estate Asset Liquidity Trust's (REAL-T) commercial mortgage pass-through certificates series 2016-2. The certificates represent the beneficial ownership in the trust, primary assets of which are 47 loans secured by 72 commercial properties located in Canada having an aggregate principal balance of approximately $421.5 million as of the cutoff date. The loans were originated or acquired by Royal Bank of Canada, MCAP Financial Corporation, Macquarie US Trading LLC, and Trez Commercial Finance Limited Partnership. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 86% of the properties, by balance, cash flow analysis on 100%, and asset summary reviews on 100% of the pool. The transaction has a Fitch stressed debt service coverage ratio (DSCR) of 1.13x, a Fitch stressed loan-to-value (LTV) of 105.1%, and a Fitch debt yield of 8.7%. Fitch's aggregate net cash flow represents a variance of 4.4% to issuer cash flows. KEY RATING DRIVERS Fitch Leverage: The pool's Fitch DSCR and LTV of 1.13x and 105.1%, respectively, are slightly better than the REAL-T 2016-1 metrics of 1.12x and 110%, but slightly worse than the 2015 through 2016 YTD Canadian transaction average DSCR and LTV of 1.16x and 105.1%. Less Concentrated Pool: The pool's loan concentration index (LCI) score of 329 and the top 10 concentration of 44.2% (including crossed loans) represent better diversity than recent Canadian transactions; the 2015 through 2016 YTD Canadian transaction average LCI was 374 and top 10 concentration was 53.5%. The pool's sponsor concentration index (SCI) score of 679 represents significant sponsor concentration. The largest sponsor is the Skyline Group of Companies, which is the sponsor of eight loans representing 18% of the pool. Canadian Loan Attributes and Historical Performance: The ratings reflect strong historical Canadian commercial real estate loan performance, including a low delinquency rate and low historical losses of less than 0.1%, as well as positive loan attributes, such as short amortization schedules, recourse to the borrower, and additional guarantors. Retirement and Hospitality Concentration: The pool has higher concentration of retirement and hotel property types (21.6%), which generally tend to exhibit more cash flow volatility over time and, therefore, have higher default probabilities in Fitch's multiborrower model. The 2015 through 2016 YTD Canadian average concentration of these property types was 13%. Strong Collateral Quality: The collateral quality of the portfolio is better than typical Canadian transactions, with six properties (21.4% of the pool) receiving grades of 'A-' or better, including the #1 loan, Villagia Retirement Homes (7.1%), and the #9 loan, The Opus Hotel (3.3%). RATING SENSITIVITIES For this transaction, Fitch's net cash flow (NCF) was 13.3% below the most recent year's net operating income (NOI for properties for which a full-year NOI was provided, excluding properties that were stabilizing during this period). Unanticipated further declines in property-level NCF could result in higher defaults and loss severities on defaulted loans and in potential rating actions on the certificates. Fitch evaluated the sensitivity of the ratings assigned to REAL-T 2016-2 certificates and found that the transaction displays average sensitivity to further declines in NCF. In a scenario in which NCF declined a further 20% from Fitch's NCF, a downgrade of the senior 'AAAsf' certificates to 'Asf' could result. In a more severe scenario, in which NCF declined a further 30% from Fitch's NCF, a downgrade of the senior 'AAAsf' certificates to 'BBB+sf' could result. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Deloitte LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and it did not have an impact on Fitch's analysis or conclusions. Fitch has assigned the following ratings and Rating Outlooks: -- $141,625,000 class A-1 'AAAsf'; Outlook Stable; -- $219,791,000 class A-2 'AAAsf'; Outlook Stable; -- $10,537,000 class B 'AAsf'; Outlook Stable; -- $13,171,000 class C 'Asf'; Outlook Stable; -- $13,171,000 class D 'BBBsf'; Outlook Stable; -- $5,269,000 class E 'BBB-sf'; Outlook Stable; -- $4,741,000 class F 'BBsf'; Outlook Stable; -- $4,742,000 class G 'Bsf'; Outlook Stable All currencies are in Canadian dollars (CAD). Fitch does not rate the $421,477,036 (notional balance) interest-only class X or the non-offered $8,430,036 class H certificates. SDART 2016-3: Moody's Assigns (P)Ba3 Rating on Class E Notes ------------------------------------------------------------ Moody's Investors Service has assigned provisional ratings to the notes to be issued by Santander Drive Auto Receivables Trust 2016-3 (SDART 2016-3). This is the third SDART auto loan transaction of the year for Santander Consumer USA Inc. (SC; unrated). The notes will be backed by a pool of retail automobile loan contracts primarily originated by SC, who is also the servicer and administrator for the transaction. The complete rating actions are as follows: Issuer: Santander Drive Auto Receivables Trust 2016-3 -- Class A-1 Notes, Assigned (P)P-1 (sf) -- Class A-2-A Notes, Assigned (P)Aaa (sf) -- Class A-2-B Notes, Assigned (P)Aaa (sf) -- Class A-3 Notes, Assigned (P)Aaa (sf) -- Class B Notes, Assigned (P)Aa1 (sf) -- Class C Notes, Assigned (P)A1 (sf) -- Class D Notes, Assigned (P)Baa2 (sf) -- Class E Notes, Assigned (P)Ba3 (sf) RATINGS RATIONALE The ratings are based on the quality of the underlying collateral and its expected performance, the strength of the capital structure, and the experience and expertise of SC as the servicer. Moody's median cumulative net loss expectation for the 2016-3 pool is 17.0% and the Aaa level is 49.0%. The Aaa level is the level of credit enhancement consistent with a Aaa (sf) rating. Moody's based its cumulative net loss expectation and Aaa level on an analysis of the credit quality of the underlying collateral; the historical performance of similar collateral, including securitization performance and managed portfolio performance; the ability of SC to perform the servicing functions; and current expectations for the macroeconomic environment during the life of the transaction. At closing, the Class A notes, Class B notes, Class C notes, Class D notes, and Class E notes benefit from 49.70%, 37.45%, 24.25%, 17.00% and 12.00% of hard credit enhancement, respectively. Hard credit enhancement for the notes consists of a combination of overcollateralization, a non-declining reserve account, and subordination, except for the Class E notes, which do not benefit from subordination. The notes will also benefit from excess spread. The principal methodology used in these ratings was "Moody's Global Approach to Rating Auto Loan- and Lease-Backed ABS" published in December 2015. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the notes if, given current expectations of portfolio losses, levels of credit enhancement are consistent with higher ratings. In sequential pay structures, such as the one in this transaction, credit enhancement grows as a percentage of the collateral balance as collections pay down senior notes. Prepayments and interest collections directed toward note principal payments will accelerate this build of enhancement. Moody's expectation of pool losses could decline as a result of a lower number of obligor defaults or appreciation in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market, the market for used vehicles, and changes in servicing practices. Down Moody's could downgrade the notes if, given current expectations of portfolio losses, levels of credit enhancement are consistent with lower ratings. Credit enhancement could decline if excess spread is not sufficient to cover losses in a given month. Moody's expectation of pool losses could rise as a result of a higher number of obligor defaults or deterioration in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market, the market for used vehicles, and poor servicing. Other reasons for worse-than-expected performance include error on the part of transaction parties, inadequate transaction governance, and fraud. Additionally, Moody's could downgrade the Class A-1 short-term rating following a significant slowdown in principal collections that could result from, among other things, high delinquencies or a servicer disruption that impacts obligor's payments. TCI-SYMPHONY 2016-1: Moody's Assigns Ba3 Rating on Class E Notes ---------------------------------------------------------------- Moody's Investors Service has assigned ratings to seven classes of notes issued by TCI-Symphony CLO 2016-1 Ltd. Moody's rating action is as follows: -- US$320,000,000 Class A Senior Secured Floating Rate Notes due 2029 (the "Class A Notes"), Assigned Aaa (sf) -- US$57,000,000 Class B-1 Senior Secured Floating Rate Notes due 2029 (the "Class B-1 Notes"), Assigned Aa2 (sf) -- US$3,000,000 Class B-2 Senior Secured Floating Rate Notes due 2029 (the "Class B-2 Notes"), Assigned Aa2 (sf) -- US$6,250,000 Class C-1 Senior Secured Deferrable Floating Rate Notes due 2029 (the "Class C-1 Notes"), Assigned A2 (sf) -- US$25,000,000 Class C-2 Senior Secured Deferrable Floating Rate Notes due 2029 (the "Class C-2 Notes"), Assigned A2 (sf) -- US$28,750,000 Class D Senior Secured Deferrable Floating Rate Notes due 2029 (the "Class D Notes"), Assigned Baa3 (sf) -- US$20,000,000 Class E Senior Secured Deferrable Floating Rate Notes due 2029 (the "Class E Notes"), Assigned Ba3 (sf) The Class A Notes, the Class B-1 Notes, the Class B-2 Notes, the Class C-1 Notes, the Class C-2 Notes, the Class D Notes and the Class E Notes are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE Moody's ratings of the Rated Notes address the expected losses posed to noteholders. The ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. TCI-Symphony is a managed cash flow CLO. The Rated Notes will be collateralized primarily by broadly syndicated first lien senior secured corporate loans. At least 90% of the portfolio must consist of senior secured loans, cash, and eligible investments, and up to 10% of the portfolio may consist of second lien loans and unsecured loans. The portfolio is approximately 48% ramped as of the closing date. TCI Capital Management LLC (the "Manager") and Symphony Asset Management LLC (the "Sub-Advisor"), as sub-advisor to the Manager, will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, the Manager and the Sub-Advisor may reinvest unscheduled principal payments and proceeds from sales of credit risk assets, subject to certain restrictions. In addition to the Rated Notes, the Issuer issued one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the debt in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2015. For modeling purposes, Moody's used the following base-case assumptions: -- Par amount: $500,000,000 -- Diversity Score: 55 -- Weighted Average Rating Factor (WARF): 2903 -- Weighted Average Spread (WAS): 3.90% -- Weighted Average Coupon (WAC): 7.00% -- Weighted Average Recovery Rate (WARR): 48.5% -- Weighted Average Life (WAL): 9.5 years. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2015. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's and the Sub-Advisor's investment decisions and management of the transaction will also affect the performance of the Rated Notes. Together with the set of modeling assumptions above, Moody's conducted an additional sensitivity analysis, which was a component in determining the ratings assigned to the Rated Notes. This sensitivity analysis includes increased default probability relative to the base case. Below is a summary of the impact of an increase in default probability (expressed in terms of WARF level) on the Rated Notes (shown in terms of the number of notch difference versus the current model output, whereby a negative difference corresponds to higher expected losses), assuming that all other factors are held equal: Percentage Change in WARF -- increase of 15% (from 2903 to 3338) Rating Impact in Rating Notches -- Class A Notes: 0 -- Class B-1 Notes: -2 -- Class B-2 Notes: -2 -- Class C-1 Notes: -2 -- Class C-2 Notes: -2 -- Class D Notes: -1 -- Class E Notes: 0 Percentage Change in WARF -- increase of 30% (from 2903 to 3774) Rating Impact in Rating Notches -- Class A Notes: -1 -- Class B-1 Notes: -3 -- Class B-2 Notes: -3 -- Class C-1 Notes: -4 -- Class C-2 Notes: -4 -- Class D Notes: -2 -- Class E Notes: -1 THL CREDIT 2012-1: S&P Gives Prelim BB Rating on Class E-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to THL Credit Wind River 2012-1 CLO Ltd.'s $514.33 million replacement notes. This is a proposed refinancing of its December 2012 transaction. The replacement notes will be issued via a proposed supplemental indenture. The preliminary ratings reflect S&P's opinion that the credit support available is commensurate with the associated rating levels. On the Oct. 17, 2016, refinancing date, proceeds from the issuance of the replacement notes are expected to redeem the original notes, upon which S&P anticipates withdrawing the ratings on the original notes and assigning ratings to the replacement notes. However, if the refinancing doesn't occur, S&P may affirm the ratings on the original notes and withdraw its preliminary ratings on the replacement notes. Based on provisions in the supplemental indenture: -- The replacement class D-R notes are expected to be issued at a lower spread than the original notes. The replacement class A-R and E-R notes are expected to be issued at a higher spread than the original notes. -- The replacement class B-R and C-R notes are expected to replace the current pari-passu class B-1 and B-2 notes and pari passu class C-1 and C-2 notes, respectively. All replacement notes will have a floating spread over LIBOR. -- The existing combination notes will be removed. -- The stated maturity, reinvestment period, and weighted average life test date will all be extended approximately two years. The overcollateralization levels and subordinated management fee will be amended. The transaction will incorporate the formula version of Standard & Poor's CDO Monitor tool. -- The transaction will incorporate the recovery rate methodology and updated industry classifications as outlined in S&P's August 2016 CLO criteria update. Replacement and issuances Class Amount Interest (mil. $) rate (%) A-R 316.30 3ML plus 1.45 B-R 60.20 3ML plus 1.85 C-R 30.10 3ML plus 2.65 D-R 30.10 3ML plus 4.10 E-R 24.50 3ML plus 7.38 Subordinated notes 53.13 Original notes Class Amount Interest (mil. $) rate (%) A 303.0 3ML plus 1.40 B-1 56.0 3ML plus 2.10 B-2 10.0 3.31 C-1 34.5 3ML plus 3.05 C-2 5.0 4.31 D 26.0 3ML plus 5.00 E 26.0 3ML plus 5.25 Combination notes 13.0 Pass through of interest received on each component Subordinated notes 53.10 N/A 3ML--Three-month LIBOR. N/A--Not applicable. S&P's review of this transaction included a cash flow analysis, based on the portfolio and transaction as presented to S&P in connection with this review, to estimate future performance. In line with S&P's criteria, its cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, S&P's analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches. The 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 preliminary rating levels associated with these rating actions. S&P will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and S&P will take further rating actions as it deems necessary. PRELIMINARY RATINGS ASSIGNED THL Credit Wind River 2012-1 CLO Ltd./THL Credit Wind River 2012-1 CLO LLC Amount Replacement class Rating (mil. $) A-R AAA (sf) 316.30 B-R AA (sf) 60.20 C-R A (sf) 30.10 D-R BBB (sf) 30.10 E-R BB (sf) 24.50 Subordinated notes NR 53.13 NR--Not rated. THL CREDIT 2016-2: Moody's Assigns Ba2 Rating on Class E Notes -------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to five classes of notes to be issued by THL Credit Wind River 2016-2 CLO Ltd. Moody's rating action is: $320,000,000 Class A Senior Secured Floating Rate Notes due 2028, Assigned (P)Aaa (sf) $57,500,000 Class B Senior Secured Floating Rate Notes due 2028, Assigned (P)Aa1 (sf) $30,000,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2028, Assigned (P)A1(sf) $32,500,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2028, Assigned (P)Baa2 (sf) $20,000,000 Class E Junior Secured Deferrable Floating Rate Notes due 2028, Assigned (P)Ba2 (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. THL 2016-2 CLO is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated first lien senior secured corporate loans. At least 90% of the portfolio must consist of senior secured loans and eligible investments, and up to 10% of the portfolio may consist of second lien loans and unsecured loans. Moody's expects the portfolio to be approximately 60% ramped as of the closing date. THL Credit Advisors LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's four year reinvestment period. Thereafter, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets, subject to certain restrictions. In addition to the Rated Notes, the Issuer will issue subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2015. For modeling purposes, Moody's used these base-case assumptions: Par amount: $500,000,000 Diversity Score: 60 Weighted Average Rating Factor (WARF): 2650 Weighted Average Spread (WAS): 4.0% Weighted Average Coupon (WAC): 6.5% Weighted Average Recovery Rate (WARR): 48.5% Weighted Average Life (WAL): 8 years. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2015. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. Together with the set of modeling assumptions above, Moody's conducted an additional sensitivity analysis, which was a component in determining the ratings assigned to the Rated Notes. This sensitivity analysis includes increased default probability relative to the base case. Below is a summary of the impact of an increase in default probability (expressed in terms of WARF level) on the Rated Notes (shown in terms of the number of notch difference versus the current model output, whereby a negative difference corresponds to higher expected losses), assuming that all other factors are held equal: Percentage Change in WARF -- increase of 15% (from 2650 to 3048) Rating Impact in Rating Notches Class A Notes: 0 Class B Notes: -1 Class C Notes: -1 Class D Notes: -2 Class E Notes: -1 Percentage Change in WARF -- increase of 30% (from 2650 to 3445) Rating Impact in Rating Notches Class A Notes: 0 Class B Notes: -3 Class C Notes: -3 Class D Notes: -2 Class E Notes: -1 TOWD POINT 2016-4: Moody's Assigns Prov. B2 Rating on Cl. B2 Notes ------------------------------------------------------------------ Moody's Investors Service has assigned provisional ratings to six classes of notes issued by Towd Point Mortgage Trust ("TPMT") 2016-4. The certificates are backed by one pool of seasoned, performing and re-performing residential mortgage loans. The collateral pool is comprised of 3,383 first lien, fixed-rate and adjustable rate mortgage loans, and has a non-zero updated weighted average FICO score of 672 and a weighted average current LTV of 91.5%. Approximately 71.1% of the loans in the collateral pool have been previously modified. Select Portfolio Servicing, Inc. and Wells Fargo Bank, NA ("WFB"), are the servicers for the loans in the pool. The complete rating actions are: Issuer: Towd Point Mortgage Trust 2016-4 Cl. A1, Assigned (P)Aaa (sf) Cl. A2, Assigned (P)Aa2 (sf) Cl. M1, Assigned (P)A2 (sf) Cl. M2, Assigned (P)Baa2 (sf) Cl. B1, Assigned (P)Ba1 (sf) Cl. B2, Assigned (P)B2 (sf) RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Moody's expected losses on TPMT 2016-4's collateral pool average 14.00% in our base case scenario. Moody's loss estimates take into account the historical performance of Prime, Alt-A and Subprime loans that have similar collateral characteristics as the loans in the pool, and also incorporate an expectation of a continued strong credit environment for RMBS, with improving home prices over the next two to three years. Collateral Description TPMT 2016-4's collateral pool is primarily comprised of seasoned, re-performing mortgage loans. Approximately 71.1% of the loans in the collateral pool have been previously modified. The majority of the loans underlying this transaction exhibit collateral characteristics similar to that of seasoned Alt-A mortgages. Moody's based its expected losses on a pool of re-performing mortgage loans on our estimates of 1) the default rate on the remaining balance of the loans and 2) the principal recovery rate on the defaulted balances. The two factors that most strongly influence a re-performing mortgage loan's likelihood of re-default are the length of time that the loan has performed since modification, and the amount of the reduction in monthly mortgage payments as a result of modification. The longer a borrower has been current on a re-performing loan, the less likely they are to re-default. Approximately 60.3% of the borrowers of the loans in the collateral pool have been current on their payments for the past 24 months at least. Moody's estimated expected losses using two approaches -- (1) pool-level approach, and (2) re-performing loan level analysis. In the pool-level approach, Moody's estimates losses on the pool by applying our assumptions on expected future delinquencies, default rates, loss severities and prepayments as observed from our surveillance of similar collateral. Moody's projected future annual delinquencies for eight years by applying annual default rates and delinquency burnout factors. The delinquency burnout factors reflect our future expectations of the economy and the U.S. housing market. Moody's analysis indicates that weighted by pre and post 2005 vintage of the pool, approximately 11% of Alt-A loans that have re-performed for 24 months since modification will re-default within the next year. As such, Moody's applied an expected annual delinquency rate of 11% to calculate the delinquencies on the collateral pool for year one. Moody's then calculated future delinquencies using default burnout and voluntary conditional prepayment rate (CPR) assumptions. Moody's aggregated the delinquencies and converted them to losses by applying pool-specific lifetime default frequency and loss severity assumptions. Moody's also conducted a loan level analysis on TPMT 2016-4's collateral pool. Moody's applied loan-level baseline lifetime propensity to default assumptions, and considered the historical performance of seasoned Prime, Alt-A and Subprime loans with similar collateral characteristics and payment histories. Moody's then adjusted this base default propensity up for (1) adjustable-rate loans, (2) loans that have the risk of coupon step-ups and (3) loans with high updated loan to value ratios (LTVs). Moody's applied a higher baseline lifetime default propensity for interest-only loans, using the same adjustments. To calculate the final expected loss for the pool, Moody's applied a loan-level loss severity assumption based on the loans' updated estimated LTVs. Moody's further adjusted the loss severity assumption upwards for loans in states that give super-priority status to homeowner association (HOA) liens, to account for potential risk of HOA liens trumping a mortgage. For loans with deferred balances, we assumed that 50% all modified loans' deferred principal balance will be forgiven and not recovered. The final expected loss for the collateral pool reflects the due diligence findings of three independent third party review (TPR) firms as well as our assessment of TPMT 2016-4's representations & warranties (R&Ws) framework. Transaction Structure TPMT 2016-4 has a sequential priority of payments structure, in which a given class of notes can only receive principal payments when all the classes of notes above it have been paid off. Similarly, losses will be applied in the reverse order of priority. The Class A1, A2, M1 and M2 notes carry a fixed-rate coupon subject to the collateral adjusted net WAC and applicable available funds cap. The Class B1, B2, B3, B4 and B5 are Variable Rate Notes where the coupon is equal to the lesser of adjusted net WAC and applicable available funds cap. There are no performance triggers in this transaction. Additionally, the servicers will not advance any principal or interest on delinquent loans. With the exception of TPMT 2016-3 and 2015-1, in other previously issued TPMT transactions, the monthly excess cash flow can leak out after paying any net WAC shortfalls and previously unpaid expenses. However, the monthly excess cash flow in this transaction, after payment of such expenses, if any, will be fully captured to pay the principal balance of the bonds sequentially, allowing for a faster paydown of the bonds. Moody's modeled TPMT 2016-4's cashflows using SFW, a cashflow tool developed by Moody's Analytics. To assess the final rating on the notes, we ran 96 different loss and prepayment scenarios through SFW. The scenarios encompass six loss levels, four loss timing curves, and four prepayment curves. The structure allows for timely payment of interest and ultimate payment of principal with respect to the notes by the legal final maturity. Third Party Review Three independent third party review (TPR) firms conducted due diligence on 100% of the loans in TPMT 2016-4's collateral pool. The three TPR firms -- JCIII & Associates, Inc. (subsequently acquired by American Mortgage Consultants), Clayton Holdings LLC., and American Mortgage Consultants -- reviewed compliance, data integrity and key documents, to verify that loans were originated in accordance with federal, state and local anti-predatory laws. The TPR firms also conducted audits of designated data fields to ensure the accuracy of the collateral tape. Based on Moody's analysis of the third-party review reports, it determined that a portion of the loans had legal or compliance exceptions that could cause future losses to the trust. Moody's incorporated an additional hit to the loss severities for these loans to account for this risk. FirstKey Mortgage, LLC, the asset manager for the transaction, retained WestCor and American Mortgage Consultants to review the title and tax reports for the loans in the pool, and will oversee WestCor and monitor the loan sellers in the completion of the assignment of mortgage chains. 100% of the loans are in first lien position. In addition, FirstKey expects a significant number of the assignment and endorsement exceptions to be cleared within the first three months following the closing date of the transaction. The representation provider has deposited collateral of $1.0 million in the Assignment Reserve Account to ensure that the asset manager completes the clearing of these exceptions. Representations & Warranties Moody's ratings also factor in TPMT 2016-4's weak representations and warranties (R&Ws) framework. The representation provider, FirstKey Mortgage, LLC and the responsible party, Cerberus Global Residential Mortgage Opportunity Fund, L.P., are unrated by Moody's. Moreover, FirstKey's obligations will be in effect for only thirteen months (until October 2017). The R&Ws themselves are weak because they contain many knowledge qualifiers and the regulatory compliance R&W does not cover monetary damages that arise from TILA violations whose right of rescission has expired. While the transaction provides for a Breach Reserve Account to cover for any breaches of R&Ws, the size of the account is small relative to TPMT 2016-4's aggregate collateral pool ($649.2 million). An initial deposit of $1.2 million will be remitted to the Breach Reserve Account on the closing date, with an initial Breach Reserve Account target amount of $2.3 million. Transaction Parties The transaction benefits from a strong servicing arrangement. Select Portfolio Servicing, Inc. will service 95% and Wells Fargo will service 5% of TPMT 2016-4's collateral pool. Moody's assess SPS (SQ2) and Wells Fargo (SQ2) higher compared to their peers. Furthermore, FirstKey Mortgage, LLC, the asset manager, will oversee the servicers, which strengthens the overall servicing framework in the transaction. Wells Fargo Bank National Association and U.S. Bank National Association are the Custodians of the transaction. The Delaware Trustee for TPMT 2016-4 is Wilmington Trust, National Association. TPMT 2016-4's Indenture Trustee is U.S. Bank National Association. Factors that would lead to an upgrade or downgrade of the ratings: 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 obligors defaulting 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. TRINITAS CLO V: S&P Assigns BB Rating on Class E Notes ------------------------------------------------------ S&P Global Ratings assigned its ratings to Trinitas CLO V Ltd./Trinitas CLO V LLC's $370.00 million floating-rate notes. The note issuance is a collateralized loan obligation transaction backed primarily by broadly syndicated speculative-grade senior secured term loans. The ratings reflect: -- The diversified collateral pool, which consists primarily of broadly syndicated speculative-grade senior secured term loans that are governed by collateral quality tests. The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. The transaction's legal structure, which is expected to be bankruptcy remote. RATINGS ASSIGNED Trinitas CLO V Ltd./Trinitas CLO V LLC Class Rating Amount (mil. $) X AAA (sf) 2.00 A AAA (sf) 256.00 B-1 AA (sf) 42.00 B-2 AA (sf) 6.00 C A (sf) 24.00 D BBB (sf) 22.00 E BB (sf) 18.00 Subordination notes NR 39.00 NR--Not rated. UNITED AUTO 2016-1: S&P Affirms 'BB' Rating on Class E Notes ------------------------------------------------------------ S&P Global Ratings raised its ratings on five classes of subordinated notes from United Auto Credit Securitization Trust (UACST) 2014-1 and 2015-1 and affirmed its ratings on five classes from UACST 2016-1. The transactions are backed by subprime retail auto loans originated and serviced by United Auto Credit Corp. (UACC). The rating actions reflect collateral performance to date and S&P's expectations regarding future collateral performance, as well as each transaction's structure and credit enhancement. Additionally, S&P incorporated secondary credit factors, including credit stability, payment priorities under various scenarios, and sector- and issuer-specific analysis. Considering these factors, S&P believes the notes' creditworthiness is consistent with the raised and affirmed ratings. For UACST 2014-1, S&P raised its loss expectation to 20.50%-21.50% from its January 2016 revised loss expectation of 20.00%-21.00%. S&P's initial loss expectation for this transaction was 16.75%-17.25%. For UACST 2015-1, S&P also raised its loss expectation to 21.50%-22.50% from its initial expectation of 18.50%-19.00%. Although losses are trending higher for this transaction, each class' credit support has increased as a percentage of the amortizing pool balance since the transaction closed. In S&P's opinion, the total credit support, as a percentage of the amortizing pool balance, compared with S&P's revised loss expectation, is adequate for the raised ratings. For UACST 2016-1, S&P maintained its initial loss expectation ending further collateral performance, given this transaction's short performance history. However, since UACST 2016-1 closed, the credit support for each class has increased as a percentage of the amortizing pool balance and in S&P's view, is adequate to support the affirmed ratings. Table 1 Collateral Performance As of the Sept. 15, 2016, distribution date Pool Current 60+ day Series Mo. factor CNL delinquencies 2014-1 26 17.57% 19.89% 4.74% 2015-1 18 35.69% 16.69% 4.32% 2016-1 8 70.08% 4.23% 3.47% CNL--Cumulative net loss. Mo.--Month. Table 2 CNL Expectations (%) Initial/former Revised lifetime lifetime Series CNL exp. CNL exp.(i) 2014-1 20.00-21.00 20.50-21.50 2015-1 18.50-19.00 21.50-22.50 2015-1 20.00-21.00 N/A (i)As of Sept. 8, 2016. CNL exp.--Cumulative net loss expectations. N/A--Not applicable. Each transaction has a sequential principal payment structure and was structured with credit enhancement consisting of overcollateralization and a nonamortizing reserve account. The more senior tranches also benefit from subordination. The credit enhancement for UACST 2014-1 and 2016-1 is at its specified overcollateralization and reserve target. Both transactions' reserve account is at 2.00% of the initial collateral balance, which currently equals 11.38% and 2.85% of the current receivables balance for UACST 2014-1 and UACST 2016-1, respectively. The overcollateralization for UACST 2014-1 is at its target level of 12.50% of the current collateral balance, and the overcollateralization for UACST 2016-1 is at its target level of 16.90% of the initial collateral balance. For UACST 2015-1, while the reserve is at its target (2.00% of the initial collateral balance, which currently equals 5.60% of the current receivables balance), the overcollateralization at 14.73% of the current receivables balance is slightly below its target level of 15.00%. Table 3 Hard Credit Support As of the September 2016 distribution date Total hard Current total hard credit support credit support Series Class at issuance (%)(i) (% of current)(i) 2014-1 D 18.17 81.74 2014-1 E 8.00 23.88 2015-1 C 32.00 80.57 2015-1 D 19.00 44.14 2015-1 E 10.50 20.33 2016-1 A 61.80 89.24 2016-1 B 48.40 70.12 2016-1 C 35.10 51.14 2016-1 D 21.70 32.03 2016-1 E 13.10 19.75 (i)Calculated as a percentage of the total receivable pool balance, consisting of a reserve account, overcollateralization, and, if applicable, subordination. S&P incorporated a cash flow analysis to assess the loss coverage level, giving credit to excess spread. S&P's various cash flow scenarios included forward-looking assumptions on recoveries, timing of losses, and voluntary absolute prepayment speeds that S&P believes is appropriate given each transaction's performance to date. Aside from S&P's break-even cash flow analysis, it also conducted sensitivity analyses for these series to determine the impact that a moderate ('BBB') stress scenario would have on S&P's ratings if losses begin trending higher than S&P's revised base-case loss expectations. For UACST 2015-1, given that the overcollateralization is currently below its target level and losses are trending higher than S&P's initial expectations, it also ran an additional sensitivity analysis. In S&P's view, the results demonstrated that all of the classes have adequate credit enhancement for the current ratings. S&P will continue to monitor the performance of the transactions to ensure that the credit enhancement remains sufficient, in S&P's view, to cover its cumulative net loss expectations under its stress scenarios for each of the rated classes. RATINGS RAISED United Auto Credit Securitization Trust Rating Series Class To From 2014-1 D AAA (sf) BBB (sf) 2014-1 E AA- (sf) BB (sf) 2015-1 C AAA (sf) A (sf) 2015-1 D AA- (sf) BBB (sf) 2015-1 E BBB-(sf) BB (sf) RATINGS AFFIRMED United Auto Credit Securitization Trust Series Class Rating 2016-1 A AAA (sf) 2016-1 B AA (sf) 2016-1 C A (sf) 2016-1 D BBB (sf) 2016-1 E BB (sf) VOYA CLO 2012-4: S&P Assigns BB Rating on Class D-R Notes --------------------------------------------------------- S&P Global Ratings assigned its ratings to the A-1-R, A-2-R, B-R, C-R, and D-R notes from Voya CLO 2012-4 Ltd., a U.S. collateralized loan obligation (CLO) transaction managed by Voya Alternative Asset Management LLC. S&P withdrew its ratings on the original class A-1, A-2, B, C, and D notes after they were fully redeemed. On the Sept. 22, 2016, refinancing date, the proceeds from the replacement note issuances were used to redeem the original notes as outlined in the transaction documents. Therefore, S&P is withdrawing the ratings on the original notes in line with their full redemption and assigning final ratings to the replacement notes. The assigned ratings reflect S&P's opinion that the credit support available is commensurate with the associated rating levels. S&P will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and will take rating actions as S&P deems necessary. RATINGS ASSIGNED Voya CLO 2012-4 Ltd. Replacement class Rating A-1-R AAA (sf) A-2-R AA (sf) B-R A (sf) C-R BBB (sf) D-R BB (sf) RATINGS WITHDRAWN Voya CLO 2012-4 Ltd. Rating Original class To From A-1 NR AAA (sf) A-2 NR AA+ (sf) B NR A+ (sf) C NR BBB+ (sf) D NR BB (sf) NR--Not rated. WACHOVIA BANK 2006-C24: S&P Raises Rating on Cl. B Certs to BB+ --------------------------------------------------------------- S&P Global Ratings raised its ratings on the class A-J and B commercial mortgage pass-through certificates from Wachovia Bank Commercial Mortgage Trust's series 2006-C24, a U.S. commercial mortgage-backed securities (CMBS) transaction. At the same time, S&P affirmed its rating on class C certificates from the same transaction. S&P's rating actions on the certificates follow its analysis of the transaction, primarily using its criteria for rating U.S. and Canadian CMBS transactions, which included a review of the credit characteristics and performance of the remaining loans in the pool, the transaction's structure, and the liquidity available to the trust. S&P raised its ratings on classes A-J and B to reflect its expectation of the available credit enhancement for these classes, which S&P believes is greater than its most recent estimate of necessary credit enhancement for the respective rating levels. The upgrades also follow S&P's views regarding the current and future performance of the transaction's collateral and available liquidity support. The affirmation on the class C certificates reflects the class' interest shortfall history as well as S&P's view of the class' susceptibility to future interest shortfalls. The affirmations also reflect our views regarding the current and future performance of the transaction's collateral, the transaction's structure, and liquidity support available to the class. While available credit enhancement levels suggest further positive rating movements on classes A-J and B and positive rating movement on class C, S&P's analysis considered the susceptibility of the classes to reduced liquidity support from the three specially serviced assets ($22.8 million, 28.1%) and the potential maturity default risk of the Bank of America - Pasadena CA loan ($49.2 million, 60.5%), which has passed its anticipated repayment date in September 2015 and currently has a final maturity date of December 2019. The loan is secured by a 345,945 sq.-ft. office property located in Pasadena, Calif. that is leased 100% to Bank of America until October 2019. The loan has a reported debt service coverage (DSC) of 0.85x as of year-end 2015. TRANSACTION SUMMARY As of the Sept. 16, 2016, trustee remittance report, the collateral pool balance was $81.0 million, which is 4.0% of the pool balance at issuance. The pool currently includes seven loans, down from 119 loans at issuance. Three of these loans are with the special servicer, and four ($58.4 million, 71.9%) are on the master servicer's watchlist. The master servicer, Wells Fargo Bank N.A., reported financial information for all the loans in the pool, of which 68.2% was year-end 2015 data, and the remainder was year-end 2014 data. Excluding the three specially serviced loans, S&P calculated a 0.31x S&P Global Ratings' weighted average DSC and a 128.8% S&P Global Ratings' weighted average loan-to-value ratio using a 7.80% S&P Global Ratings' weighted average capitalization rate for the remaining loans. To date, the transaction has experienced $187.8 million in principal losses, or 9.4% of the original pool trust balance. S&P expects losses to reach approximately 9.6% of the original pool trust balance in the near term, based on losses incurred to date and additional losses S&P expects upon the eventual resolution of the three specially serviced loans. CREDIT CONSIDERATIONS As of the Sept. 16, 2016, trustee remittance report, three loans in the pool were with the special servicer, LNR Partners LLC (LNR). Details of the loans are: -- The Oxford Marketplace loan ($10.2 million, 12.5%) is the second-largest loan in the pool and has a total reported exposure of $10.3 million. The loan is secured by a 90,328 sq.-ft. retail center in Oxford, Miss. The loan, which has a reported nonperforming matured balloon payment status, was transferred to the special servicer on Feb. 19, 2016, due to maturity default. This was because the borrower was unable to pay off the loan by the Feb. 11, 2016, maturity date. LNR stated that the lender has engaged counsel and is proceeding with enforcement of remedies. The reported occupancy as of October 2015 was 94.5%. S&P expects a minimal loss upon this loan's eventual resolution. -- The Union Square loan ($6.3 million, 7.8%) is the third- largest loan in the pool and has a total reported exposure of $6.8 million. The loan is secured by a 74,753 sq.-ft. retail property located in Monroe, N.C. The loan, which has a reported nonperforming matured balloon payment status, was transferred to the special servicer on Jan. 20, 2016, due to maturity default. This was because the borrower was unable to pay off the loan by the maturity date of Feb. 11, 2016. LNR stated that the lender has engaged counsel and is proceeding with enforcement of remedies. The reported DSC and occupancy as of Sept. 30, 2015, were 1.14x and 71.3%, respectively. An appraisal reduction amount of $2.4 million is in effect against this loan. -- S&P expects a moderate loss upon this loan's eventual resolution. -- The 131 Danbury loan ($6.3 million, 7.8%) is the fourth- largest loan in the pool has a total reported exposure of $6.7 million. The loan is secured by a 52,641 sq.-ft. office building located in Wilton, Conn. The loan was transferred to the special servicer on Feb. 12, 2016, due to maturity default. This was because the borrower was unable to pay off the loan by the maturity date of Feb. 11, 2016. The reported DSC and occupancy as of March 31, 2016, were 0.72x and 96.0%, respectively. S&P expects a minimal loss upon this loan's eventual resolution. With respect to the specially serviced loans noted above, a minimal loss is less than 25%, a moderate loss is 26%-59%, and a significant loss is 60% or greater. RATINGS LIST Wachovia Bank Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2006-C24 Rating Class Identifier To From A-J 92976BFU1 BBB- (sf) B+ (sf) B 92976BFV9 BB+ (sf) B (sf) C 92976BFW7 CCC (sf) CCC (sf) WACHOVIA BANK 2006-C26: Moody's Cuts Cl. A-M Debt Rating to Ba1 --------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on eleven classes and downgraded the ratings on five classes in Wachovia Bank Commercial Mortgage Trust 2006-C26 as: Cl. A-1A, Affirmed Aaa (sf); previously on Oct. 15, 2015, Affirmed Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on Oct. 15, 2015, Affirmed Aaa (sf) Cl. A-3FL, Affirmed Aaa (sf); previously on Oct. 15, 2015, Affirmed Aaa (sf) Cl. A-M, Downgraded to Ba1 (sf); previously on Oct. 15, 2015, Affirmed A1 (sf) Cl. A-J, Downgraded to Caa2 (sf); previously on Oct. 15, 2015, Downgraded to B3 (sf) Cl. B, Downgraded to Caa3 (sf); previously on Oct. 15, 2015, Downgraded to Caa2 (sf) Cl. C, Downgraded to C (sf); previously on Oct. 15, 2015, Downgraded to Caa3 (sf) Cl. D, Affirmed C (sf); previously on Oct. 15, 2015, Downgraded to C (sf) Cl. E, Affirmed C (sf); previously on Oct. 15, 2015, Downgraded to C (sf) Cl. F, Affirmed C (sf); previously on Oct. 15, 2015, Affirmed C (sf) Cl. G, Affirmed C (sf); previously on Oct. 15, 2015, Affirmed C (sf) Cl. H, Affirmed C (sf); previously on Oct. 15, 2015, Affirmed C (sf) Cl. J, Affirmed C (sf); previously on Oct. 15, 2015, Affirmed C (sf) Cl. K, Affirmed C (sf); previously on Oct. 15, 2015, Affirmed C (sf) Cl. L, Affirmed C (sf); previously on Oct. 15, 2015, Affirmed C (sf) Cl. X-C, Downgraded to Caa2 (sf); previously on Oct. 15, 2015, Affirmed Ba3 (sf) RATINGS RATIONALE The ratings on Classes A-1A, A-3 and A-3FL 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 eight P&I classes, Classes D through L, were affirmed because the ratings are consistent with Moody's expected loss. The ratings on four P&I classes were downgraded due to higher realized and anticipated losses from specially serviced as well as interest shortfall concerns. The rating on the IO Class (Class X-C) 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 42.9% of the current balance, compared to 17.0% at Moody's last review. Moody's base expected loss plus realized losses is now 14.9% of the original pooled balance, compared to 14.5% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in October 2015. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 99.5% 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 analysis used the excel-based Large Loan Model in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan-level proceeds derived from Moody's loan-level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure and property type. Moody's also further adjusts these aggregated proceeds for any pooling benefits associated with loan level diversity and other concentrations and correlations. DEAL PERFORMANCE As of the Sept. 16, 2016, distribution date, the transaction's aggregate certificate balance has decreased by 71% to $517 million from $1.73 billion at securitization. The certificates are collateralized by 23 mortgage loans ranging in size from less than 1% to 13% of the pool, with the top ten loans constituting 75% of the pool. One loan, constituting less than 1% of the pool, is defeased and is secured by US government securities. The remaining 22 mortgage loans are in special servicing. Nine loans have been liquidated from the pool, resulting in an aggregate realized loss of $39 million (for an average loss severity of 50%). Twenty-two loans, constituting 99.5% of the pool, are currently in special servicing. The largest specially serviced loan is the Eastern Shore Centre ($67.4 million -- 13.2% of the pool), which is secured by a lifestyle center in Spanish Fort, Alabama, which is part of the Mobile metropolitan area. Anchors include Dillard's and Belk, though Dillard's is not part of the loan collateral. Other large retailers include Bed Bath and Beyond, Barnes & Noble. The loan transferred to special servicing in August 2014 due to payment default and became REO in June 2015. As of July 2016, the property was 81% leased, compared to 80% as of July 2015. The special servicer indicated they intend to lease up the property and stabilize performance. As of the most recent remittance report, the servicer has recognized a $37 million appraisal reduction on this loan. The remaining 21 specially serviced loans are secured by a mix of property types. Eleven of the special serviced assets, representing 48% of the pool, are currently REO. Moody's estimates an aggregate $219 million loss for the specially serviced loans (43% expected loss on average). As of the Sept. 16, 2016, remittance statement cumulative interest shortfalls were $36 million and have hit up to Class AJ. Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced loans, non-recoverable loans and modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. WELLS FARGO 2014-TISH: S&P Affirms BB Rating on 2 Tranches ---------------------------------------------------------- S&P Global Ratings affirmed its ratings on eight classes of commercial mortgage pass-through certificates from Wells Fargo Commercial Mortgage Trust 2014-TISH, 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 credit characteristics and the current and future performance of the lodging collateral securing the two loans that are not cross-collateralized or cross-defaulted in the pool, the transaction's structure, and the liquidity available to the trust. The affirmations on the pooled certificates also reflect S&P's expectation that the available credit enhancement for these classes will be within S&P's estimate of the necessary credit enhancement required for the current ratings and S&P's views regarding the current and future performance of the transaction's collateral. The affirmations on the class WTS-1 and WTS-2 raked certificates reflect S&P's re-evaluation of the Westin New York at Times Square loan. These certificates derive 100% of their cash flow from a subordinate nonpooled component of the loan. The affirmations on the class SCH-1 and SCH2 raked certificates reflect S&P's re-evaluation of the Sheraton Chicago Hotel & Towers loan. These certificates derive 100% of their cash flow from a subordinate nonpooled component of the loan. S&P affirmed its rating on the class X-2 interest-only (IO) certificates based on S&P's criteria for rating IO securities, in which the ratings on the IO securities would not be higher than that of the lowest-rated reference class. The notional balance on class X-2 references classes A, B, and C. The analysis of large-loan transactions is predominantly a recovery-based approach that assumes a loan default. Using this approach, S&P's property-level analysis included a re-evaluation of the two lodging properties that secure the two mortgage loans in the trust. S&P's analysis also considered the volatile collateral performance, specifically the significant declines in revenue per available room (RevPAR) and net cash flow (NCF) during the economic downturn in 2009, as well as the slight declines since issuance in reported RevPAR and NCF for both properties as of the year-ended Dec. 31, 2015, and trailing 12 months ended June 30, 2016. According to the Sept. 15, 2016, trustee remittance report, the trust consisted of two floating-rate IO loans that are not cross-collateralized or cross-defaulted with a $381.0 million aggregate trust balance that is divided into a $272.6 million aggregate pooled trust component and a $108.4 million aggregate nonpooled trust component. According to the transaction documents, the borrowers will pay the special servicing, work-out, and liquidation fees, as well as costs and expenses incurred from appraisals and inspections conducted by the special servicer. To date, the trust has not incurred any principal losses. We based our analysis partly on a review of the property's historical NCF for the trailing 12 months ended June 30, 2016, and years ended Dec. 31, 2015, 2014, and 2013 that the master servicer provided to determine S&P's opinion of a sustainable cash flow for the lodging properties. The Westin New York at Times Square loan, the larger of the two loans in the trust, has a $210.0 million whole loan balance that is divided into a $150.0 million senior pooled trust component (55.0% of the pooled trust balance) and a $60.0 million subordinate nonpooled trust component that supports the class WTS-1 and WTS-2 raked certificates. In addition, the borrower's equity interest secures a $40.0 million mezzanine loan. The whole loan is IO, accrues interest at a rate of one-month LIBOR plus 2.01% per annum, and has an initial two-year term with three one-year extension options. The borrower has exercised one of its three extension options, and the loan's maturity is currently Feb. 9, 2017. The loan is secured by a 46-story, 873-key, full-service hotel in the Times Square area of Manhattan, built in 2002 and renovated between 2013 and 2016. The master servicer, Wells Fargo Bank N.A., reported a 5.11x debt service coverage (DSC) for the trailing 12 months ended March 31, 2016. S&P's expected case value, using an 8.50% capitalization rate, yielded an S&P Global Ratings' loan-to-value (LTV) ratio and DSC of 71.2% and 1.81x (based on the maximum LIBOR cap plus spread), respectively, on the whole loan trust balance. The Sheraton Chicago Hotel & Towers loan, the smallest loan in the trust, has a $171.0 million whole loan balance that is divided into a $122.6 million senior pooled trust component and a $48.4 million subordinate nonpooled trust component that supports the class SCH-1 and SCH-2 raked certificates. The whole loan is IO, pays interest at a rate of one-month LIBOR plus 1.86% per annum, and has an initial two-year term with three one-year extension options. The borrower exercised one of its three extension options, and the loan's maturity is currently Jan. 9, 2017. The loan is secured by a 34-story, 1,214-key, full-service hotel in downtown Chicago, built in 1992 and renovated between 2013 and 2016. Wells Fargo Bank N.A. reported a 6.90x DSC for the trailing 12 months ended March 31, 2016. S&P's expected case value, using a 9.00% capitalization rate, yielded a 73.1% S&P Global Ratings' LTV ratio and 1.51x S&P Global Ratings' DSC (based on the maximum LIBOR cap plus spread) on the whole loan trust balance. RATINGS LIST Wells Fargo Commercial Mortgage Trust 2014-TISH Commercial mortgage pass-through certificates series 2014-TISH Rating Class Identifier To From A 94988WAA6 AAA (sf) AAA (sf) X-2 94988WAE8 A- (sf) A- (sf) B 94988WAG3 AA- (sf) AA- (sf) C 94988WAJ7 A- (sf) A- (sf) WTS-1 94988WAL2 BBB- (sf) BBB- (sf) WTS-2 94988WAN8 BB (sf) BB (sf) SCH-1 94988WAQ1 BBB- (sf) BBB- (sf) SCH-2 94988WAS7 BB (sf) BB (sf) WELLS FARGO 2015-NXS3: DBRS Confirms BB Rating on Class E Notes --------------------------------------------------------------- DBRS Limited confirmed all classes of Commercial Mortgage Pass-Through Certificates, Series 2015-NXS3 (the Certificates) issued by Wells Fargo Commercial Mortgage Trust 2015-NXS3 as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-S at AAA (sf) -- Class A-SB at AAA (sf) -- Class X-A at AAA (sf) -- Class X-E at AAA (sf) -- Class X-FG at AAA (sf) -- Class X-H at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class PEX at A (low) (sf) -- Class D at BBB (low) (sf) -- Class X-D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class F at B (sf) All trends are Stable. The Class A-S, Class B and Class C Certificates may be exchanged for the Class PEX Certificates (and vice versa). DBRS does not rate the first loss piece, Class G. The rating confirmations reflect the overall stable performance of the transaction, which has experienced a collateral reduction of 0.4% since closing as the result of scheduled loan amortization. At issuance, the pool consisted of 56 fixed-rate loans secured by 59 commercial and multifamily properties. As of the September 2016 remittance, all of the original 56 loans remain in the pool with an aggregate outstanding principal balance of $811.1 million. There are 30 loans, representing 71.4% of the current pool balance, that reported YE2015 financials. These loans reported a weighted-average (WA) debt service coverage ratio (DSCR) of 1.84 times (x) and a WA debt yield of 10.4%. At issuance, the DBRS WA DSCR and debt yield for the pool was 1.69x and 9.2%, respectively. The 12 loans in the top 15 that reported YE2015 financials had a WA DSCR of 1.93x and a WA net cash flow increase of 10.6% over the DBRS underwritten (UW) cash flows. As of the September 2016 remittance, there are no loans in special servicing and three loans on the servicer’s watchlist, representing 2.2% of the current pool balance. None of the loans on the watchlist are being monitored for significant performance-related concerns. The largest loan on the watchlist, Fresh Market Plaza (Prospectus ID#20, 1.3% of the pool), was flagged for a low DSCR of 0.69x at YE2015; however, rental income is skewed because it does not include a full year of rents from in-place tenants, as four of the five in-line tenants at the subject took occupancy throughout 2015. The two other loans were flagged for a resolved rollover concern and failure to submit financials by the borrower. One loan in the top 15 is highlighted below. The Cooper’s Crossing loan (Prospectus ID#12, 2.7% of the current pool balance) is secured by a 25-building apartment complex totalling 727 units in Landover Hills, Maryland, built in 1966 and partially renovated between 2000 and 2008. The property was affected by a fire that broke out in one of the buildings in August 2015; however, per the July 2016 inspection report, all repairs have been completed, with no fire damage visible. Additionally, the borrower is undertaking full renovations of all units at the property, with 289 units (39.8% of the total count) completed to date, as buildings are being taken offline one at a time. According to the borrower, the renovated units are being leased quickly and are achieving a rental premium of $140 above standard units. As a result of the fire and ongoing renovations at the property, occupancy decreased to 82.7% as of March 2016 from 90.5% in June 2015 with an average rental rate of $1,193/unit. In comparison, the Landover submarket of suburban Maryland reports an average asking rent for properties of similar vintage of $1,255/unit, according to Reis. The YE2015 amortizing DSCR for the loan is 1.33x, representing a decline from the DBRS UW figure of 1.43x. This decline in cash flows is attributed to the lower occupancy at the property since issuance as a result of the fire and the ongoing renovations at the property. Performance is expected to rebound in the medium term as all units are renovated and occupancy stabilizes. At issuance, DBRS assigned investment-grade shadow ratings to two loans: 11 Madison Avenue (Prospectus ID#6, 4.3% of the current pool) and The Parking Spot LAX (Prospectus ID#15, 1.9% of the current pool). DBRS has today confirmed that the performance of the loans remains consistent with investment-grade loan characteristics. The rating assigned to Class F materially deviates from the higher ratings implied by the quantitative model. DBRS considers a material deviation to be a rating differential of three or more notches between the assigned rating and the rating implied by the quantitative model that is a substantial component of a rating methodology; in this case, the assigned ratings reflect the sustainability of loan performance trends not demonstrated. DBRS continues to monitor this transaction in its Monthly CMBS Surveillance Report with additional information on the DBRS viewpoint for this transaction, including details on the largest loans in the pool. The September 2016 Monthly CMBS Surveillance Report for this transaction will be published shortly. If you are interested in receiving this report, contact us at info@dbrs.com. Notes: All figures are in U.S. dollars unless otherwise noted. WFRBS COMMERCIAL 2014-C24: Moody's Hikes Class SJ-D Notes to Ba2 ---------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on ten classes and upgraded the ratings on four classes in WFRBS Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates Series 2014-C24 as follows: -- Cl. A-1, Affirmed Aaa (sf); previously on Oct 15, 2015 Affirmed Aaa (sf) -- Cl. A-2, Affirmed Aaa (sf); previously on Oct 15, 2015 Affirmed Aaa (sf) -- Cl. A-3, Affirmed Aaa (sf); previously on Oct 15, 2015 Affirmed Aaa (sf) -- Cl. A-4, Affirmed Aaa (sf); previously on Oct 15, 2015 Affirmed Aaa (sf) -- Cl. A-5, Affirmed Aaa (sf); previously on Oct 15, 2015 Affirmed Aaa (sf) -- Cl. A-S, Affirmed Aa1 (sf); previously on Oct 15, 2015 Affirmed Aa1 (sf) -- Cl. A-SB, Affirmed Aaa (sf); previously on Oct 15, 2015 Affirmed Aaa (sf) -- Cl. B, Affirmed Aa3 (sf); previously on Oct 15, 2015 Affirmed Aa3 (sf) -- Cl. C, Affirmed A3 (sf); previously on Oct 15, 2015 Affirmed A3 (sf) -- Cl. PEX, Affirmed A1 (sf); previously on Oct 15, 2015 Affirmed A1 (sf) -- Cl. SJ-A*, Upgraded to Aa2 (sf); previously on Oct 15, 2015 Affirmed Aa3 (sf) -- Cl. SJ-B*, Upgraded to A2 (sf); previously on Oct 15, 2015 Affirmed A3 (sf) -- Cl. SJ-C*, Upgraded to Baa1 (sf); previously on Oct 15, 2015 Affirmed Baa3 (sf) -- Cl. SJ-D*, Upgraded to Ba2 (sf); previously on Oct 15, 2015 Affirmed Ba3 (sf) * Non-pooled trust certificates associated with St Johns Town Center Loan. These classes will not provide credit support to any class of trust certificates RATINGS RATIONALE The ratings on the non-pooled rake classes, Classes SJ-A, SJ-B, SJ-C and SJ-D, were upgraded based on improvement in the loan's key metrics, including Moody's loan-to-value (LTV) ratio and Moody's stressed debt service coverage ratio (DSCR). The rake classes are supported by the subordinate debt associated with the St. John's Town Center loan. The ratings on nine P&I classes, Classes A-1 through C, 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 PEX class was affirmed based on the credit performance (or the weighted average rating factor or WARF) of its exchangeable classes. Moody's rating action reflects a base expected loss of 4.0% of the current pooled balance. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in December 2014. DESCRIPTION OF MODELS USED Moody's review used the excel-based CMBS Conduit Model, which it uses for both conduit and fusion transactions. Credit enhancement levels for conduit loans are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate Moody's uses to estimate Moody's value). Moody's fuses the conduit results with the results of its analysis of investment grade structured credit assessed loans and any conduit loan that represents 10% or greater of the current pool balance. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 29, the same as at Moody's last review. DEAL PERFORMANCE As of the September 16, 2016 distribution date, the transaction's aggregate pooled certificate balance has decreased by 0.5% to $1.079 billion from $1.088 billion at securitization. The pooled certificates are collateralized by 86 mortgage loans ranging in size from less than 1% to just under 10% of the pool, with the top ten loans constituting 46% of the pool. One loan, constituting 9.6% of the pool, has an investment-grade structured credit assessment. Seven loans, constituting 12% 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. One loan, constituting 0.3% of the pool, is currently in special servicing. It is the Williston Meadows Apartments Loan ($3.0 million -- 0.3% of the pool), which is secured by a 24-unit multifamily property located in Williston, North Dakota. It was transferred to special servicing on August 12, 2016 due to payment default as a result of a decline in both occupancy and rental income. Moody's received full year 2015 operating results for 90% of the pool, and full or partial year 2016 operating results for 93% of the pool. Moody's weighted average conduit LTV is 113.1%, the same as 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 15% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.5%. Moody's actual and stressed conduit DSCRs are 1.56X and 0.95X, respectively, compared to 1.52X and 0.95X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The loan with a structured credit assessment is the St. Johns Town Center Loan ($103.5 million -- 9.6% of the pool), which is secured by a 981,000 SF component of a 1.4 million SF super-regional mall located in Jacksonville, Florida. The loan represents a 51% pari-passu interest in a $203.5 million senior loan. The property is also encumbered by a $146.5 million B-note which contributes to the transaction as non-pooled rake bonds. The loan sponsor is a joint venture between subsidiaries of Simon Property Group (SPG), Inc. and Deutsche Bank Asset & Wealth Management. SPG manages the property. The mall is anchored by Dillard's, Target, Dick's Sporting Goods, Ashley Furniture, and Nordstrom. Dillard's, Target and Ashely Furniture are not part of the collateral and own their own spaces. The mall was developed in three phases from 2005-2014. As of June 2016, the property was 98% occupied. Moody's structured credit assessment and stressed DSCR for the pooled portion are aaa (sca.pd) and 1.61X, respectively. The top three conduit loans represent 22% of the pool balance. The largest loan is the Two Westlake Park Loan ($91 million -- 8.4% of the pool), which is secured by a 450,000 SF office building located in Houston, Texas. The property represents part of the larger 58-acre Westlake Park office complex. The property was developed in 1982 and primarily consists of a 17-story office tower and seven story parking garage. The parking garage contains additional office space in a portion of the top two floors. As of June 2016, the property was 91% occupied. The two largest tenants are ConocoPhilips (46% of the NRA, leased through November 2019) and BP (36% of the NRA, leased through 2017 and 2019). The property is located approximately one half mile from I-10 in Houston's Energy Corridor/West Katy Freeway market. Moody's LTV and stressed DSCR are 132% and 0.80X, respectively, compared to 125% and 0.82X at the last review. The second largest loan is the Gateway Center Phase II Loan ($75 million -- 7.0% of the pool), which is secured by a 602,000 SF power center located in Brooklyn, New York. The property was recently constructed in 2014 and sits adjacent to the Gateway Center Phase I which was developed by the sponsor and completed in 2002. As of June 2016 the property was 100% occupied. The anchor tenants include JC Penney, ShopRite and Burlington Coat Factory. JC Penney is not part of the collateral. Moody's LTV and stressed DSCR are 114% and 0.78X, respectively, the same as at the last review. The third largest loan is the Crossing at Corona Loan ($70 million -- 6.5% of the pool), which is secured by an 834,000 SF component of an approximately 962,200 SF power center located 50 miles south-east of Los Angeles in Corona, California. The center is anchored by a Kohl's, Edwards Cinemas (Regal) and Toys/Babies R Us. The center is shadow anchored by a Target. The property was developed from 2004-2008. As of March 2016, the property was 99% occupied. Moody's LTV and stressed DSCR are 122% and 0.80X, respectively, the same as at the last review. [*] DBRS Confirms 123 Classes in Six U.S. RMBS Transactions ----------------------------------------------------------- DBRS, Inc. confirmed 123 classes from six U.S. residential mortgage-backed security (RMBS) transactions. The confirmations come as a result of current asset performance and credit support levels being consistent with the current rating. The transactions consist of U.S. RMBS transactions. The pools backing these transactions consist of Reperforming and Prime Jumbo collateral. The ratings assigned to the following securities differ from the higher rating(s) implied by the quantitative model. DBRS considers this difference to be a material deviation, but in this case, the ratings of the subject notes reflect the lack of transaction seasoning and performance history. -- WinWater Mortgage Loan Trust 2015-5, Mortgage Pass-Through Certificates, Series 2015-5, Class B-2 -- WinWater Mortgage Loan Trust 2015-5, Mortgage Pass-Through Certificates, Series 2015-5, Class B-3 -- WinWater Mortgage Loan Trust 2015-5, Mortgage Pass-Through Certificates, Series 2015-5, Class B-4 A full text copy of the table of ratings is available free at: https://is.gd/WsdCAq [*] DBRS Confirms 26 Ratings on 7 U.S. ABS Transactions ------------------------------------------------------- DBRS, Inc. confirmed 26 ratings from seven U.S. structured finance asset-backed securities transactions. All 26 outstanding publicly rated classes were confirmed as performance trends are such that credit enhancement levels are sufficient to cover DBRS's expected losses at their current respective rating levels. The following seven transactions were confirmed: -- OneMain Financial Issuance Trust 2014-1 -- OneMain Financial Issuance Trust 2014-2 -- OneMain Financial Issuance Trust 2015-1 -- OneMain Financial Issuance Trust 2015-2 -- OneMain Financial Issuance Trust 2015-3 -- OneMain Financial Issuance Trust 2016-1 -- OneMain Financial Issuance Trust 2016-2 The ratings are based on DBRS's review of the following analytical considerations: -- Transaction capital structure, proposed ratings and form and sufficiency of available credit enhancement. -- The transaction parties' capabilities with regard to origination, underwriting and servicing. -- The credit quality of the collateral pool and historical performance. Notes: All figures are in U.S. dollars unless otherwise noted. The applicable methodology is the DBRS Master U.S. ABS Surveillance Methodology, which can be found on our website under Methodologies. The rated entity or its related entities did participate in the rating process. DBRS had access to the accounts and other relevant internal documents of the rated entity or its related entities. A full text copy of the table of ratings is available free at: https://is.gd/w5O24l [*] DBRS Reviews 20 Ratings From 3 ABS Transactions --------------------------------------------------- DBRS, Inc. reviewed 20 ratings from three U.S. structured finance asset-backed securities transactions. Of the 20 outstanding publicly rated classes reviewed, six were confirmed, 12 were upgraded and two were discontinued. For the ratings that were confirmed, performance trends are such that credit enhancement levels are sufficient to cover DBRS's expected losses at their current respective rating levels. For the ratings that were upgraded, performance trends are such that credit enhancement levels are sufficient to cover DBRS’s expected losses at their new respective rating levels. The ratings are based on DBRS's review of the following analytical considerations: -- Transaction capital structure, proposed ratings and form and sufficiency of available credit enhancement. -- The transaction parties’ capabilities with regard to origination, underwriting and servicing. -- The credit quality of the collateral pool and historical performance. Notes: All figures are in U.S. dollars unless otherwise noted. A full text copy of the company's press release is available at: https://is.gd/FEO9yz [*] DBRS Reviews 42 Ratings From 8 ABS Transactions --------------------------------------------------- DBRS, Inc. reviewed 42 ratings from eight U.S. structured finance asset-backed securities transactions. Of the 42 outstanding publicly rated classes reviewed, 38 were confirmed and four were upgraded. For the ratings that were confirmed, performance trends are such that credit enhancement levels are sufficient to cover DBRS's expected losses at their current respective rating levels. For the ratings that were upgraded, performance trends are such that credit enhancement levels are sufficient to cover DBRS's expected losses at their new respective rating levels. The ratings are based on DBRS's review of the following analytical considerations: -- Transaction capital structure, proposed ratings and form and sufficiency of available credit enhancement. -- The transaction parties' capabilities with regard to origination, underwriting and servicing. -- The credit quality of the collateral pool and historical performance. A list of the ratings is available at: https://is.gd/voFkdy [*] DBRS Reviews 9 Ratings From 2 ABS Deals ------------------------------------------- DBRS, Inc. reviewed nine ratings from two U.S. structured finance asset-backed securities transactions. Of the nine outstanding publicly rated classes reviewed, one was confirmed, six were upgraded and two were discontinued. For the ratings that were confirmed, performance trends are such that credit enhancement levels are sufficient to cover DBRS’s expected losses at their current respective rating levels. For the ratings that were upgraded, performance trends are such that credit enhancement levels are sufficient to cover DBRS’s expected losses at their new respective rating levels. The ratings are based on DBRS's review of the following analytical considerations: -- Transaction capital structure, proposed ratings and form and sufficiency of available credit enhancement. -- The transaction parties' capabilities with regard to origination, underwriting and servicing. -- The credit quality of the collateral pool and historical performance. Notes: All figures are in U.S. dollars unless otherwise noted. The applicable methodology is the DBRS Master U.S. ABS Surveillance Methodology, which can be found on our website under Methodologies. The rated entity or its related entities did participate in the rating process. DBRS had access to the accounts and other relevant internal documents of the rated entity or its related entities. The complete press release is available free at: https://is.gd/xNlBie [*] Moody's Cuts $27MM Prime Jumbo RMBS Issued 2006-2007 -------------------------------------------------------- Moody's Investors Service has downgraded the ratings of five tranches from two transactions, backed by Prime Jumbo RMBS loans, issued by multiple issuers. Complete rating actions are: Issuer: Banc of America Funding 2006-5 Trust, Mortgage Pass-Through Certificates, Series 2006-5 Cl. 4-A-2, Downgraded to B3 (sf); previously on April 30, 2010, Downgraded to B1 (sf) Cl. 4-A-6, Downgraded to B3 (sf); previously on April 30, 2010, Downgraded to B2 (sf) Cl. 30-IO, Downgraded to Caa1 (sf); previously on Feb. 22, 2012, Downgraded to B2 (sf) Issuer: Citicorp Mortgage Securities Trust, Series 2007-6 Cl. IA-IO, Downgraded to Caa1 (sf); previously on Nov. 24, 2015, Downgraded to B1 (sf) Cl. IIA-IO, Downgraded to B3 (sf); previously on Sept. 21, 2012, Upgraded to Ba3 (sf) RATINGS RATIONALE The rating actions reflect the recent performance of the underlying pools and Moody's updated loss expectation on the pools. The ratings downgraded from Banc of America Funding 2006-5 Trust, Mortgage Pass-Through Certificates, Series 2006-5 are due to the weaker performance of the underlying collateral and the erosion of enhancement available to the bonds. The downgrade of Class IA-IO from Citicorp Mortgage Securities Trust, Series 2007-6 is the result of the realignment of this bond with the highest current rating on the outstanding bonds backed by Group I. The downgrade of Class IIA-IO from Citicorp Mortgage Securities Trust, Series 2007-6 is due to the erosion of enhancement available to this bond. 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 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 4.9% in August 2016 from 5.1% in August 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 Completes Review on 48 Classes From 8 US RMBS Deals ----------------------------------------------------------- S&P Global Ratings completed its review of 48 classes from eight U.S. residential mortgage-backed securities (RMBS) resecuritized real estate mortgage investment conduit (re-REMIC) transactions issued between 2003 and 2010. The review yielded 22 upgrades (six of which S&P removed from CreditWatch negative), four downgrades, 16 affirmations (one of which S&P removed from CreditWatch negative), and six discontinuances (one of which S&P removed from CreditWatch negative). The rating actions resolve some of the CreditWatch negative placements made on Jan. 20, 2016. The CreditWatch negative placements concerned the application of our loan modification and imputed promises criteria. S&P believes the current ratings are consistent with the credit support available to these classes. The transactions in this review are supported by underlying classes backed by a mix of fixed- and adjustable-rate prime jumbo, Alternative-A, reperforming, and nonperforming mortgage loans, which are secured primarily by first liens on one- to four-family residential properties. Of the transactions reviewed Structured Asset Securities Corp. Trust 2008-1 is backed by underlying securities that are insured by U.S. government affiliated entities, including Fannie Mae and Freddie Mac. 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 10 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; -- Increased credit support relative to our projected losses; and/or -- The class' expected short duration. DOWNGRADES The four lowered ratings remain at an investment-grade level. The downgrades reflect S&P's belief that its projected credit support for the affected classes will be insufficient to cover S&P's projected losses for the related transactions at a higher rating. The downgrades reflect one or more of these: -- Deteriorated credit performance trends; and/or -- Projected interest shortfalls. Loan Modifications And Imputed Promises On Jan. 20, 2016, S&P placed the ratings on eight classes from CSMC Series 2010-15R and LVII Resecuritization Trust 2009-1 on CreditWatch negative. The CreditWatch negative placements reflected S&P's pending review of its loan modification criteria. Following S&P's review, it has determined that these classes are not affected by the application of its loan modification criteria. Accordingly, all of these ratings have been removed from CreditWatch negative, and S&P has raised its ratings on six classes, affirmed one, and discontinued one. AFFIRMATIONS S&P affirmed its ratings on 12 classes in the 'AAA' through 'B' rating categories reflect S&P's opinion that its projected credit support on these classes remained relatively consistent with its prior projections and is sufficient to cover S&P's projected losses for those rating scenarios. For certain transactions, S&P considered specific performance characteristics that, in its view, could add volatility to its loss assumptions and, in turn, to the ratings suggested by S&P's cash flow projections. When S&P's model recommended an upgrade, it either limited the extent of its upgrade or affirmed its ratings on those classes to account for this uncertainty and promote ratings stability. In general, these classes have one or more of these characteristics that limit any potential upgrade: -- Insufficient subordination, overcollateralization, or both; -- Delinquency trends; -- Historical interest shortfalls; and/or -- Low priority in principal payments. The ratings affirmed at 'CCC (sf)' or 'CC (sf)' reflect S&P's belief that its projected credit support will remain insufficient to cover its 'B' expected case projected losses for these classes. Per "Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings," published Oct. 1, 2012, the 'CCC (sf)' affirmations reflect S&P's view that these classes are still vulnerable to defaulting, and the 'CC (sf)' affirmations reflect S&P's view that these classes remain virtually certain to default. DISCONTINUANCES S&P discontinued our ratings on six classes that were paid in full during recent remittance periods. 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 2.0% for 2016; -- The inflation rate will be 2.2% in 2016; and -- The 30-year fixed mortgage rate will average about 3.7% 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 4.9% for 2016; -- Downward pressure causes GDP growth to fall to 1.8% in 2016; -- Home price momentum slows as potential buyers are not able to purchase property; and -- While the 30-year fixed mortgage rate remains a low 3.7% 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/2dIU0Z8 [*] S&P Discontinues Ratings on 56 Tranches From 20 CDO Deals ------------------------------------------------------------- S&P Global Ratings, on Sept. 23, 2016, discontinued its ratings on 49 classes from 14 cash flow (CF) collateralized loan obligation (CLO) transactions, three classes from three CF collateral debt obligations (CDO) transactions backed by commercial mortgage-backed securities (CMBS), one class from one CF CDO transaction collateralized by project finance securities, one class from one CF collateralized debt obligation (CDO) transaction, and two classes from one transaction guaranteed by National Credit Union Administration (NCUA) in its capacity as a U.S. government agency. The discontinuances follow the complete paydowns of the notes as reflected in the most recent trustee-issued note payment reports for each transaction: -- Atrium V (CF CLO): senior-most tranches paid down; other rated tranches still outstanding. -- Baker Street Funding CLO 2005-1 Ltd. (CF CLO): optional redemption in September 2016. -- Cannington Funding Ltd. (CF CLO): senior-most tranches paid down; other rated tranches still outstanding. -- CIFC Funding 2006-II Ltd. (CF CLO): senior-most tranches paid down; other rated tranches still outstanding. -- COMM 2004-RS1 (CF CDO of CMBS): senior-most tranches paid down; other rated tranches still outstanding. -- CT CDO IV Ltd. IV (CF CDO of CMBS): senior-most tranches paid down; other rated tranches still outstanding. -- EIG Global Project Fund III Ltd. (CF CDO of project finance): all rated tranches paid down. -- Franklin CLO V Ltd. (CF CLO): optional redemption in September 2016. -- Gale Force 4 CLO Ltd. (CF CLO): optional redemption in August 2016. -- Kingsland III Ltd. (CF CLO): optional redemption in August 2016. -- MACH ONE 2005-CDN1 ULC (CF CDO of CMBS): senior-most tranches paid down; other rated tranches still outstanding. -- Madison Park Funding VII Ltd. (CF CLO): optional redemption in September 2016. -- Nantucket CLO I Ltd. (CF CLO): senior-most tranches paid down; other rated tranches still outstanding. -- NCUA Guaranteed Notes Trust 2010-C1 (guaranteed by NCUA): all rated tranches paid down. -- OCP CLO 2012-2 Ltd. (CF CLO): class X notes(i) paid down; other rated tranches still outstanding. -- Pacifica CDO VI Ltd. (CF CLO): senior-most tranches paid down; other rated tranches still outstanding. -- Putnam Structured Product CDO 2001-1 Ltd. (CF CDO): senior- most tranches paid down; other rated tranches still outstanding. -- Sands Point Funding Ltd. (CF CLO): optional redemption in July 2016. -- St. James River CLO Ltd. (CF CLO): optional redemption in September 2016. -- Stone Tower CLO VII Ltd. (CF CLO): senior-most tranche paid down; other rated tranches still outstanding. (i)An "X note" within a CLO is generally a note with a principal balance intended to be repaid early in the CLO's life using interest proceeds from the CLO's waterfall. RATINGS DISCONTINUED Atrium V Rating Class To From A-2a NR AAA (sf) Baker Street Funding CLO 2005-1 Ltd. Rating Class To From A-1 NR AAA (sf) A-2 NR AAA (sf) B NR AAA (sf) C NR AAA (sf) D NR A+ (sf) E NR BB+ (sf) Cannington Funding Ltd. Rating Class To From A-1 NR AAA (sf) CIFC Funding 2006-II Ltd. Rating Class To From A-2L NR AAA (sf) COMM 2004-RS1 Rating Class To From B-2 NR B- (sf) CT CDO IV Ltd. IV Rating Class To From A-1 NR B- (sf) EIG Global Project Fund III Ltd. Rating Class To From C NR B+ (sf) Franklin CLO V Ltd. Rating Class To From B NR AAA (sf) C NR AA+ (sf) D NR BB+ (sf) E NR CCC+ (sf) Gale Force 4 CLO Ltd. Rating Class To From A-1A NR AAA (sf) A-1B NR AAA (sf) B NR AAA (sf) C NR AA (sf)/Watch pos D NR BBB+ (sf)/Watch pos E NR BB+ (sf)/Watch pos Kingsland III Ltd. Rating Class To From A-1 NR AAA (sf) A-2 NR AAA (sf) A-3 NR AAA (sf) B NR AA (sf) C-1 NR BBB+ (sf) C-2 NR BBB+ (sf) D-1 NR BB+ (sf) D-2 NR BB+ (sf) MACH ONE 2005-CDN1 ULC Rating Class To From L NR CCC+ (sf) Madison Park Funding VII Ltd. Rating Class To From A NR AAA (sf) B NR AAA (sf) C NR AA- (sf) D NR BBB+ (sf) E NR BB+ (sf) Nantucket CLO I Ltd. Rating Class To From B NR AAA (sf) NCUA Guaranteed Notes Trust 2010-C1 Rating Class To From A2 NR AA+ (sf) A-PT NR AA+ (sf) OCP CLO 2012-2 Ltd. Rating Class To From X-2 NR AAA (sf) Pacifica CDO VI Ltd. Rating Class To From A-1a NR AAA (sf) A-1b NR AAA (sf) A-1c NR AAA (sf) A-2 NR AA+ (sf) B NR AA- (sf) Putnam Structured Product CDO 2001-1 Ltd. Rating Class To From B NR BB+ (sf) Sands Point Funding Ltd. Rating Class To From B NR AAA (sf) C (deferrabable) NR AAA (sf) D (deferrabable) NR AAA (sf) St. James River CLO Ltd. Rating Class To From A-R NR AAA (sf) A-T NR AAA (sf) B NR AAA (sf) C NR AA+ (sf) D NR A+ (sf) E NR BB+ (sf) Stone Tower CLO VII Ltd. Rating Class To From A-1 NR AAA (sf) NR--Not rated. ********* 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. 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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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