/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/161016.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 16, 2016, Vol. 20, No. 289 Headlines APIDOS CLO XV: S&P Affirms B Rating on Class E Notes ATRIUM VIII: S&P Assigns Prelim. BB Rating on Cl. E-R Notes BEAR STEARNS 2006-PWR14: Fitch Affirms 'Dsf' Rating on Cl. F Certs BEAR STEARNS 2008-R2: Moody's Hikes Cl. 2-A-1 Debt Rating to Caa2 CANYON CAPITAL 2012-1: S&P Gives Prelim. BB Rating on Cl. E-R Debt CEDAR FUNDING VI: S&P Assigns Prelim. BB- Rating on Cl. E Notes CHL MORTGAGE 2004-HYB8: Moody's Hikes Cl. I-X Debt Rating to Ba2 CITIGROUP 2014-GC25: DBRS Confirms BB Rating on Cl. E Debt COMM 2016-667M: S&P Assigns Prelim. BB Rating on Cl. E Certs. CONN'S RECEIVABLES 2016-B: Fitch Rates Class C Notes 'Bsf' COUNTRYWIDE MORTGAGE: Moody's Takes Action on $171MM 2nd Lien RMBS CPS AUTO 2016-D: S&P Assigns Prelim. BB- Rating on Class E Notes CWABS 2004-10: Moody's Hikes Class MF-1 Debt Rating to'B2' CWALT INC 2004-30CB: Moody's Hikes Rating on Cl. 1-A-3 Debt to B1 DT AUTO 2016-4: DBRS Finalizes BB Rating on Class E Notes DT AUTO OWNER 2016-4: S&P Assigns BB Rating on Class E Notes EATON VANCE VIII: Moody's Affirms Ba1 Rating on Class D Notes EXETER AUTOMOBILE 2016-3: DBRS Finalized BB Rating on Cl. D Notes EXETER AUTOMOBILE 2016-3: S&P Assigns BB Rating on Cl. D Notes GARRISON FUNDING 2016-1: Moody's Assigns Ba3 Rating on Cl. D Notes GE COMMERCIAL 2004-C2: Fitch Affirms BB Rating on Class M Certs GLENEAGLES CLO: S&P Affirms B+ Rating on Class D Notes GREAT LAKES 2012-1: S&P Affirms BB Rating on Class E Notes GS MORTGAGE 2014-GC20: Fitch Affirms BB- Rating on 2 Tranches GSCCRE COMMERCIAL 2015-HULA: DBRS Confirms BB Rating on Cl. E Debt HARBOR SERIES 2006-2: Moody's Lowers Rating on Cl. B Notes to C INSTITUTIONAL MORTGAGE 2016-7: DBRS Gives Prov BB Rating to F Notes INSTITUTIONAL MORTGAGE 2016-7: Fitch to Rate Class G Notes Bsf JFIN MM 2014: S&P Affirms BB Rating on Class E Notes JP MORGAN 2006-LDP7: Fitch Lowers Rating on Cl. C Certs to 'Csf' JP MORGAN 2013-C17: Fitch Affirms 'Bsf' Rating on Class F Certs. JP MORGAN 2016-WIKI: S&P Assigns Prelim. B- Rating on Cl. F Certs LIGHTPOINT CLO VII: Moody's Affirms Ba3 Rating on Class D Notes MERRILL LYNCH 2005-LC1: S&P Affirms B+ Rating on Cl. F Certs MORGAN STANLEY 2004-HQ4: Fitch Withdraws Dsf Rating on 7 Tranches MOUNTAIN VIEW II: Moody's Affirms Ba3 Rating on Class E Notes NATIONSTAR HECM: Moody's Puts Ba2 Rating on M2 Debt on Review NRZ ADVANCE 2015-ON1: S&P Gives Prelim BB Rating on 2 Tranches ONE LIBERTY: S&P Affirms B+ Rating on Class C Notes OZLM FUNDING II: S&P Gives Prelim. BB Rating on Cl. D-R Notes PUTNAM STRUCTURED 2001-1: Moody's Raises Rating on C-1 Debt to B3 PUTNAM STRUCTURED 2003-1: Moody's Affirms Caa3 Rating on A-2 Debt RAIT PREFERRED II: S&P Raises Rating on Class A-2 Notes to BB+ RED RIVER: S&P Affirms BB+ Rating on Class E Notes SEQUOIA MORTGAGE 2016-3: Moody Rates Class B-3 Notes 'Ba1' SHACKLETON 2016-IX: S&P Assigns Prelim. BB Rating on Cl. E Notes VOYA CLO V: S&P Affirms 'BB+' Rating on Class D Notes WALDORF ASTORIA 2016-BOCA: Fitch to Rate Class E Certs 'BB-sf' WESTLAKE AUTOMOBILE 2016-3: S&P Gives Prelim BB Rating on E Notes WFRBS COMMERCIAL 2013-C18: Fitch Affirms B Rating on Cl. F Certs. [*] Moody's Hikes $49.7MM RMBS Issued 2002-2007 [*] Moody's Takes Action on $197.2MM of Subprime RMBS [*] Moody's Takes Action on $52MM of RMBS Loans Issued in 2004 [*] S&P Lowers Ratings on 88 Classes From 52 RMBS Transactions to D [*] S&P Retains 8 Ratings From 8 Transactions on CreditWatch Dev. [*] S&P Takes Rating Actions on 59 Class From 45 RMBS Deals ********* APIDOS CLO XV: S&P Affirms B Rating on Class E Notes ---------------------------------------------------- S&P Global Ratings raised its ratings on the class A-2A, A-2B, B-1, and B-2 notes and affirmed its ratings on the class A-1, C, D, and E notes from Apidos CLO XV, a U.S. collateralized loan obligation (CLO) transaction that closed in October 2013 and is managed by CVC Credit Partners. 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 October 2017. The upgrades primarily reflect credit quality improvement in the underlying collateral since S&P's effective date rating affirmations in April 2014. Collateral with an S&P Global Ratings' credit rating of 'BB-' or higher has increased significantly from the January 2014 effective date report used for S&P's previous review. Although the reported weighted average spread has decreased to 3.79% from 4.52% at the effective date, there has been a corresponding increase in the weighted average S&P Global Ratings' recovery rate. The transaction has also benefited from collateral seasoning, with the reported weighted average life decreasing to 4.50 years from 5.33 years in January 2014. This seasoning, combined with the improved credit quality, has decreased the overall credit risk profile, which, in turn, provided more cushion to the tranche ratings. In addition, the number of issuers in the portfolio has increased during this period, and this resulting portfolio diversification has contributed to the credit quality improvement. Although there has been a modest increase in both defaulted assets and assets rated in the 'CCC' category, these factors are offset by the decline in the weighted average life and positive credit migration of the collateral portfolio, both of which have lowered the credit risk profile. According to the August 2016 trustee report that S&P used for this review, the overcollateralization (O/C) ratios for each class have exhibited mild declines since S&P's April 2014 rating affirmations. -- The class A O/C ratio was 133.34%, down from 134.48%. -- The class B O/C ratio was 121.88%, down from 122.92%. -- The class C O/C ratio was 114.03%, down from 115.01%. -- The class D O/C ratio was 108.31%, down from 109.23%. However, the current coverage test ratios are all passing and well above their minimum threshold values. Although S&P's cash flow analysis indicated higher ratings for the class B-1, B-2, C, and D notes, its rating actions consider 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 on the class A-1, C, D, and E notes 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 RAISED Apidos CLO XV Rating Class To From A-2A AA+ (sf) AA (sf) A-2B AA+ (sf) AA (sf) B-1 A+ (sf) A (sf) B-2 A+ (sf) A (sf) RATINGS AFFIRMED Apidos CLO XV Class Rating A-1 AAA (sf) C BBB (sf) D BB (sf) E B (sf) ATRIUM VIII: S&P Assigns Prelim. BB Rating on Cl. E-R Notes ----------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Atrium VIII/Atrium VIII LLC's $460.00 million floating-rate replacement notes. 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. 24, 2016, refinancing date, the proceeds from the issuance of the replacement notes are expected to be used to redeem the original notes. At that time, S&P anticipates withdrawing the ratings on the original notes and assigning final ratings to the replacement notes. However, if the refinancing doesn't occur, it may affirm the ratings on the original notes and withdraw our preliminary ratings on the replacement notes. The replacement notes are being issued via a proposed supplemental indenture, which, in addition to outlining the terms of these replacement notes, will also: -- Extend the reinvestment period to Oct. 23, 2018; -- Extend the transaction's legal final maturity date to Oct. 23, 2024; -- Extend the weighted average life test to 6.00 years; -- Include changes around Volcker provisions. -- Include revisions to the investment criteria. -- Increase the covenant-lite concentration limit to 60% from 40%. -- Allow for the reclassification of $2.5 million of principal proceeds as interest proceeds. -- Adopt the non-model version of the CDO Monitor application. -- Incorporate the recovery rate methodology and updated industry classifications as outlined in our August 2016 collateralized loan obligation criteria update. REPLACEMENT AND ORIGINAL NOTE ISSUANCES Replacement notes Class Amount Interest (mil. $) rate (%) A-R 158.00 LIBOR + 1.35 A loan(i) 160.00 LIBOR + 1.35 A-L(i) 0.00 LIBOR + 1.35 B-R 53.00 LIBOR + 1.90 C-R 42.00 LIBOR + 2.50 D-R 26.00 LIBOR + 4.00 E-R 21.00 LIBOR + 7.25 Subordinated notes 56.30 Original notes Class Amount Interest (mil. $) rate (%) A-1 298.00 LIBOR + 1.47 A-2 20.00 2.50 B 53.00 LIBOR + 2.50 C 42.00 LIBOR + 3.25 D 26.00 LIBOR + 4.50 E 21.00 LIBOR + 6.00 Subordinated notes 56.30 (i)The class A-L notes have a rated principal amount of $160 million, which includes the $160 million rated principal amount of class A loans. The aggregate outstanding amount of class A loans can be converted to class A-L notes, at which point the corresponding amount of converted class A loans will be canceled. 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 S&P 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 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 Atrium VIII/Atrium VIII LLC Class Rating Amount (mil. $) A-R AAA (sf) 158.00 A loans(i) AAA (sf) 160.00 A-L(i) AAA (sf) 0.00 B-R AA (sf) 53.00 C-R A (sf) 42.00 D-R BBB (sf) 26.00 E-R BB (sf) 21.00 Subordinated notes NR 56.30 (i)The class A-L notes have a rated principal amount of $160 million, which includes the $160 million rated principal amount of class A loans. The aggregate outstanding amount of class A loans can be converted to class A-L notes, at which point the corresponding amount of converted class A loans will be canceled. NR--Not rated. BEAR STEARNS 2006-PWR14: Fitch Affirms 'Dsf' Rating on Cl. F Certs ------------------------------------------------------------------ Fitch Ratings has affirmed all classes of Bear Stearns Commercial Mortgage Securities Trust series 2006-PWR14 commercial mortgage pass-through certificates. KEY RATING DRIVERS The affirmations are the result of sufficient credit enhancement relative to expected losses and overall stable performance of the underlying collateral since Fitch's last rating action. Loans representing 87% of the remaining pool are scheduled to mature in 2016, including five ARD loans (10.8%) and six defeased loans (6.8%). In addition, two loans (9.1%) will mature at the end of 2017. The majority of these loans are expected to pay off at maturity; however, Fitch's stressed analysis indicates some of the more highly leveraged loans may have trouble refinancing and could default. Fitch has applied additional stresses in its base case analysis to factor in the refinancing risks. Fitch modeled losses of 13.8% for the remaining pool; expected losses on the original pool balance total 11.1%, including $132.5 million (5.4% of the original pool balance) in realized losses to date. Fitch has designated 34 loans (42.3%) as Fitch Loans of Concern, which includes seven specially serviced assets (6.9%). As of the September 2016 remittance report, the pool's aggregate principal balance has been reduced by 58.1% to $1.03 billion from $2.47 billion at issuance. Interest shortfalls are affecting classes E through P, with the exception of classes J and K. Nine loans (9%) are defeased, including the fourth (4.7%) largest loan in the pool. The largest contributor to Fitch's modeled losses is an interest only loan (IO) (8.9%) secured by a 418,026 sf office building located in the Newark, NJ central business district. In October 2013, the loan was modified into an A/B note structure and the term of the loan was extended 72 months to December 2017. Based on the March 2016 rent roll, the collateral was 96% occupied, in line with year-end (YE) 2015 and an improvement from 90% at YE2014. The collateral was 98% occupied at issuance. Leases representing 18% of the net rentable area (NRA) roll in 2017. The servicer reported first-quarter (1Q) 2016 DSCR for the A note is 1.53x, compared to 1.71x at YE 2015 and 1.62x at YE2014. According to Reis, as of 2nd quarter 2016, the Newark class 'A' office submarket had a vacancy rate of 17.5% with an average asking rent of $31 psf, which is in line with the current in-place rent of the subject property. The second largest contributor to losses consists of two crossed loans (3%)in special servicing. The City Center West loan is secured by a 106,617 SF Class B office building located in Northwest Las Vegas, NV. The Molina Building loan is secured by a 124,671 sf office building located in northern Albuquerque, NM. The loans were transferred to special servicing in October 2015 for imminent default. Both properties suffered from declining cash flows due to the losses of major tenants. Loan modification discussions were not successful and the servicer is moving forward with foreclosure. As of April 2016, City Center West was 51.6% occupied. The Molina Building is currently 67% occupied. Recent property appraisals indicate significant declines in values relative to the outstanding loan amounts. The third largest contributor to losses is Fountain Square,an IO loan (3.8%) secured by a 165,872 sf retail center located in Brookfield, WI. The loan had an anticipated repayment date (ARD) of Oct. 1, 2016. Going forward, debt service coverage is expected to decline as the interest rate increases according to terms of the ARD. The final loan maturity is October 2036. The property has been 100% occupied since 2010 when two major tenants signed long term leases. The servicer reported YE2015 DSCR was 1.11x, compared to 1.08x at YE2014 and YE2013. RATING SENSITIVITIES The Stable Outlooks on classes A-4 and A-1A reflect sufficient credit enhancement (CE) and expected continued paydown. Fitch maintains the Negative Outlook on the class A-M notes due to uncertainty in the refinancing prospects of loans in the pool with Fitch loan-to-value ratios at or near 100%. Should higher leveraged loans refinance without issue, the negative outlooks on class A-M could be revised to stable. The distressed classes (those rated below 'Bsf') may be subject to further downgrades as additional losses are realized. Fitch has affirmed these classes: -- $327.7 million class A-4 at 'AAAsf'; Outlook Stable; -- $98.4 million class A-1A at 'AAAsf'; Outlook Stable; -- $246.8 million class A-M at 'AAAsf'; Outlook Negative; -- $222.1 million class A-J at 'CCCsf; RE 95%'; -- $46.3 million class B at 'CCCsf'; RE 0%; -- $24.7 million class C at 'CCsf'; RE 0%; -- $37 million class D at 'Csf'; RE 0%. -- $21.6 million class E at 'Csf'; RE 0% -- $9.4 million class F at 'Dsf'; RE 0% Fitch does not rate class P. Class A-1, A-2, A3 and A-AB have paid in full. Class G, H, J, K, L, M, N, and O are affirmed at 'Dsf; RE 0%' due to losses incurred. Fitch has previously withdrawn the ratings on the interest-only classes X-1, X-2 and X-W. BEAR STEARNS 2008-R2: Moody's Hikes Cl. 2-A-1 Debt Rating to Caa2 ----------------------------------------------------------------- Moody's Investors Service has upgraded the rating of one tranche and confirmed ratings of two tranches from two re-securitization transactions. The re-securitizations are backed by various Alt-A residential mortgage-backed securities which underlying pools include mortgages issued by Countrywide Mortgage (CW). The tranches that were placed on review for upgrade on July 22, 2016, are due to the distribution of funds from 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, to underlying bonds backing the two re-securitizations. Complete rating actions are: Issuer: Bear Stearns Structured Products Inc. Trust Notes, Series 2008-R2 Cl. 2-A-1, Upgraded to Caa2 (sf); previously on July 22, 2016, Caa3 (sf) Placed Under Review for Possible Upgrade Issuer: Deutsche ALT-A Securities, Inc. Re-Remic Trust Certificates, Series 2007-RS1 Cl. A-1, Confirmed at Caa2 (sf); previously on July 22, 2016, Caa2 (sf) Placed Under Review for Possible Upgrade Cl. A-3, Confirmed at Ca (sf); previously on July 22, 2016, Ca (sf) Placed Under Review for Possible Upgrade RATINGS RATIONALE The rating actions consider the recent performance of the underlying bonds and reflect Moody's updated loss on the re-securitized bonds together with changes in tranche level credit enhancement. The rating upgrade primarily reflects the increase in credit enhancement related to recoveries on one subordinated bond following the receipt of CW settlement in the underlying transaction backing Bear Stearns Structured Products Inc. Trust Notes, Series 2008-R2 group II notes. The rating confirmations primarily reflect losses incurred and outstanding on the bonds after settlement recoveries, Moody's updated loss expectation on the bonds, and bond specific credit enhancement in the transaction. The methodologies used in these ratings were "Moody's Approach to Rating Resecuritizations" published in February 2014, and "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 5.0% in September 2016 from 5.1% in September 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 on the underlying transactions or other policy or regulatory change can impact the performance of these transactions. CANYON CAPITAL 2012-1: S&P Gives Prelim. BB Rating on Cl. E-R Debt ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Canyon Capital CLO 2012-1 Ltd./Canyon Capital CLO 2012-1 LLC's $302.50 million floating-rate replacement notes. 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, the proceeds from the issuance of the replacement notes are expected to be used to redeem the original notes. At that time, S&P anticipates withdrawing the ratings on the original notes and assigning final ratings to the replacement notes. However, if the refinancing doesn't occur, S&P may affirm the ratings on the original notes and withdraw its preliminary ratings on the replacement notes. The replacement notes are being issued via a proposed supplemental indenture, which, in addition to outlining the terms of the replacement notes, will also: -- Extend the reinvestment period to Jan. 15, 2019; -- Extend the transaction's legal final maturity date to Jan. 15, 2026; -- Extend the weighted average life test to 6.75 years; -- Incorporate the recovery rate methodology and updated industry classifications as outlined in S&P's August 2016 collateralized loan obligation criteria update. REPLACEMENT AND ORIGINAL NOTE ISSUANCES Replacement notes Class Amount Interest (mil. $) rate (%) A-R 213.75 LIBOR + 1.43 B-R 36.25 LIBOR + 1.90 C-R 24.00 LIBOR + 2.50 D-R 14.50 LIBOR + 4.10 E-R 14.00 LIBOR + 7.50 Subordinated notes 37.50 Original notes Class Amount Interest (mil. $) rate (%) A 200.00 LIBOR + 1.45 B-1 41.00 LIBOR + 1.95 B-2 7.50 3.16 C 24.00 LIBOR + 2.80 D 14.50 LIBOR + 4.30 E 14.00 LIBOR + 5.95 Subordinated notes 37.500 S&P's review of the transaction relied, in part, upon a criteria interpretation with respect to our May 2014 criteria, "CDOs: Mapping A Third Party's Internal Credit Scoring System To Standard & Poor's Global Rating Scale," which allows S&P 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 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 Canyon Capital CLO 2012-1 Ltd./Canyon Capital CLO 2012-1 LLC Class Rating Amount (mil. $) A-R AAA (sf) 213.75 B-R AA (sf) 36.25 C-R A (sf) 24.00 D-R BBB (sf) 14.50 E-R BB (sf) 14.00 Subordinated notes NR 37.50 NR--Not rated. CEDAR FUNDING VI: S&P Assigns Prelim. BB- Rating on Cl. E Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to $460.625 million of the $498.475 million fixed- and floating-rate notes to be issued by Cedar Funding VI CLO Ltd./Cedar Funding VI CLO LLC. The note issuance is a CLO securitization backed by a revolving pool consisting primarily of broadly syndicated senior secured loans. The preliminary ratings are based on information as of Oct. 11, 2016. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's assessment of: -- The diversified collateral pool, which consists primarily of broadly syndicated speculative-grade senior secured term loans (i.e., those rated 'BB+' or lower) 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 Cedar Funding VI CLO Ltd./Cedar Funding VI CLO LLC Preliminary Preliminary Class rating amount (mil. $) A-1 AAA (sf) 297.50 A-F AAA (sf) 20.00 B AA (sf) 66.25 C-1 (deferrable) A (sf) 7.37 C-F (deferrable) A (sf) 23.88 D-1 (deferrable) BBB (sf) 19.25 D-2 (deferrable) BBB- (sf) 7.00 E (deferrable) BB- (sf) 19.38 Sub nts (deferrable) NR 37.85 NR--Not rated. CHL MORTGAGE 2004-HYB8: Moody's Hikes Cl. I-X Debt Rating to Ba2 ---------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 13 tranches and confirmed the rating of one tranche from three transactions, backed by Alt-A and Option ARM RMBS loans, issued by Countrywide Mortgage (CW). The tranches that were placed on review for upgrade on July 22nd, 2016, are 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: Issuer: CHL Mortgage Pass-Through Trust 2004-HYB8 Cl. I-X, Upgraded to Ba2 (sf); previously on Jul 22, 2016 B2 (sf) Placed Under Review for Possible Upgrade Cl. II-M, Upgraded to Ca (sf); previously on March 3, 2011, Downgraded to C (sf) Cl. 1-A-1, Upgraded to Ba2 (sf); previously on July 22, 2016, B2 (sf) Placed Under Review for Possible Upgrade Cl. 2-A-1, Upgraded to Ba2 (sf); previously on July 22, 2016, B2 (sf) Placed Under Review for Possible Upgrade Cl. 4-A-1, Upgraded to B1 (sf); previously on July 22, 2016, Caa2 (sf) Placed Under Review for Possible Upgrade Cl. 5-A-1, Upgraded to B1 (sf); previously on July 22, 2016, Caa1 (sf) Placed Under Review for Possible Upgrade Cl. 6-A-1, Upgraded to B1 (sf); previously on July 22, 2016, Caa2 (sf) Placed Under Review for Possible Upgrade Cl. 7-A-1, Upgraded to B1 (sf); previously on July 22, 2016, Caa2 (sf) Placed Under Review for Possible Upgrade Cl. 8-A-1, Upgraded to Ba2 (sf); previously on July 22, 2016, B3 (sf) Placed Under Review for Possible Upgrade Cl. 9-A-1, Upgraded to Ba1 (sf); previously on Jul 22, 2016, B2 (sf) Placed Under Review for Possible Upgrade Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-54CB Cl. 1-A-7, Upgraded to B3 (sf); previously on Sept. 27, 2016, Downgraded to Caa3 (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2006-OA6 Cl. 1A-1A, Confirmed at Caa3 (sf); previously on July 22, 2016, Caa3 (sf) Placed Under Review for Possible Upgrade Cl. 1A-2, Upgraded to Caa1 (sf); previously on July 22, 2016, Caa3 (sf) Placed Under Review for Possible Upgrade Cl. 2-A, Upgraded to B2 (sf); previously on July 22, 2016, Ca (sf) Placed Under Review for Possible Upgrade RATINGS RATIONALE The rating actions consider the recent performance of the underlying pools and reflect Moody's updated loss expectation on these pools together with changes in tranche level credit enhancement. They also reflect the correction of prior errors. The rating upgrades for CHL Mortgage Pass-Through Trust 2004-HYB8 and CWALT, Inc. Mortgage Pass-Through Certificates, Series 2006-OA6 primarily reflect the receipt of CW settlement funds in these transactions. The rating upgrades incorporate the positive effect of recoveries and the reduction of expected loss on the affected bonds as well as any increases in credit enhancement related to recoveries or otherwise on subordinated bonds. These rating actions also reflect corrections to the cash-flow models used by Moody's in rating these transactions. In the prior modeling of CHL Mortgage Pass-Through Trust 2004-HYB8, the percentage of senior prepayments due to all outstanding senior bonds was calculated incorrectly, resulting in more principal payments to Classes 1-A-1 and 2-A-1 and less principal payments to the remaining senior classes than called for in the transaction documents. In the prior modeling of CWALT, Inc. Mortgage Pass-Through Certificates, Series 2006-OA6, the transaction's stepdown date and cumulative loss trigger threshold were incorrectly calculated, resulting in less principal payments to Class 2-A than called for in the transaction documents. These errors have now been corrected, and today's rating actions reflect these changes. The rating upgrade on Class 1-A-7 from CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-54CB reflects the correction of a prior error. In the 27 September 2016 rating action, Class 1-A-7 was erroneously downgraded to Caa3, which did not reflect the super senior support available to this class from Class 1-A-8. This error has now been corrected, and today's rating action reflects this change. These actions conclude the review of the bonds previously placed on review for upgrade. 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. CITIGROUP 2014-GC25: DBRS Confirms BB Rating on Cl. E Debt ---------------------------------------------------------- DBRS Limited confirmed the ratings on the Commercial Mortgage Pass-Through Certificates, Series 2014-GC25 (the Certificates) issued by Citigroup Commercial Mortgage Trust 2014-GC25 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-AB at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AAA (sf) -- Class X-D at AAA (sf) -- Class X-E at AAA (sf) -- Class X-F at AAA (sf) -- Class X-G at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (sf) -- Class PEZ at A (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (sf) -- Class F at B (sf) All trends are Stable. DBRS does not rate the first loss piece, Class G. The Class PEZ certificates are exchangeable with the Class A-S, Class B and Class C certificates (and vice versa). The rating confirmations reflect that the transaction's current performance remains in line with expectations since issuance in October 2014. The collateral consists of 62-fixed rate loans secured by 99 commercial properties. As of the September 2016 remittance, all 62 loans remain in the pool with an aggregate outstanding principle balance of approximately $834.3 million, representing a collateral reduction of 0.9% since issuance because of scheduled loan amortization. Sixty-one loans (97.8% of the pool) have reported YE2015 net cash flows (NCFs). According to YE2015 financials, the transaction had a weighted-average (WA) debt service coverage ratio (DSCR) and WA debt yield of 1.63 times (x) and 9.3%, respectively, compared with the DBRS underwritten (UW) figures of 1.42x and 8.3%, respectively. The pool is concentrated by loan size as the Top 10 and Top 15 loans represent 59.9% and 71.2% of the pool, respectively. Additionally, the largest loan, the Bank of America Plaza, represents 13.2% of the pool. Based on the annualized 2016 cash flows, the Top 15 loans had a WA amortizing DSCR of 1.83x compared with the DBRS UW figure of 1.42x, reflective of a WA NCF growth of 26.9% compared with the DBRS UW figures. As of the September 2016 remittance, there are no loans in special servicing and four loans on the servicer's watchlist, representing 6.8% of the current pool balance. Two of the the loans (5.6% of the pool) on the watchlist were flagged because the collateral properties experienced significant hail damage. According to the servicer, both properties' insurance policies were comprehensive and renovations are ongoing. The remaining two loans (1.2% of the pool) on the watchlist were flagged because of upcoming rollover within the next six months. The larger of the two loans, the Pueblo Shopping Center (Prospectus ID#6, 0.8% of the pool; part of the larger Multi-State Retail Portfolio, representing 7.3% of the pool) is secured by a 106,300 square foot (sf) grocery-anchored retail plaza, located in Pueblo, Colorado. According to the borrower, Dollar Tree (11.3% of the net rentable area (NRA)) has extended its lease through January 2021 whereas King Soopers (47.9% of the NRA with an October 2016 lease expiration) has an automatic renewal option. DBRS has not received an updated sales report; however, as of the trailing 12-month sales report ending in June 2014, King Soopers reported sales of $666.00 per square foot (psf) and, according to the servicer, the tenant has had an 8.5% gross sales increase over the previous year. Additionally, the only direct competitor, Safeway Supermarket, has left the market. Given the positive sales trends and the lack of competition, King Soopers is expected to remain at the property. The largest loan, the Bank of America Plaza, is secured by a Class A office building totaling 1.4 million sf located in downtown Los Angeles, California. The 55-story building was originally constructed in 1974 and contains nine underground parking levels. The loan represents the non-controlling $110.0 million A-3-A note, part of a $400.0 million whole-loan. According to the June 2016 rent roll, the property was 92.1% occupied, up from 89.5% at issuance. As of Q2 2016, CoStar reported that 23 Class A office buildings greater than 650,000 sf within the Greater Downtown submarket were achieving average rental rates of $39.45 psf gross, below the subject's in-place average rental rate of $40.52 psf gross. The reported average vacancy and availability rates in the submarket were 14.2% and 20.6%, respectively. The largest tenant, Capital Group (22.6% of the NRA) has extended its original lease from February 2018 through February 2033. Upon signing the lease extension, the tenant's base rental rate increased to $27.00 psf from $25.63 psf. The three next-largest tenants include Sheppard Mullin (13.0% of e NRA), Bank of America (11.4% of the NRA) and Kirkland & Ellis (7.1% of the NRA), which have lease expirations in December 2024, June 2020 and December 2019, respectively. Together, the largest four tenants occupy approximately 54.1% of the NRA with no near-term rollover. Near-term rollover is minimal as only three tenants, representing 3.3% of the NRA, have lease expirations through YE2017. Alliant Insurance (1.3% of the NRA) and AT&T (0.7% of the NRA) extended their respective leases through December 2020. As of Q2 2016, the loan had an annualized DSCR of 2.58x, up from 2.26x at YE2015 and the DBRS UW figure of 1.76x. The loan is sponsored by Brookfield Office Properties Inc., which operates a portfolio of approximately 115 properties, totaling over 87 million sf located primarily in downtown core markets in the United States, Canada, Australia and the United Kingdom. COMM 2016-667M: S&P Assigns Prelim. BB Rating on Cl. E Certs. ------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to COMM 2016-667M Mortgage Trust's $214.0 million commercial mortgage pass-through certificates series 2016-667M. The note issuance is a commercial mortgage-backed securities transaction backed by a $214.0 million trust mortgage loan, which is part of a whole mortgage loan totaling $254.0 million, secured by a first lien on the borrower's fee interest in 667 Madison Avenue, a 25-story office building with a total of 273,983 sq. ft., located in Midtown Manhattan's Plaza District submarket. The preliminary ratings are based on information as of Oct. 12, 2016. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect the collateral's historic and projected performance, the sponsor's and managers' experience, the trustee-provided liquidity, the loan's terms, and the transaction's structure. PRELIMINARY RATINGS ASSIGNED COMM 2016-667M Mortgage Trust Class Rating(i) Amount ($) A AAA (sf) 116,665,000 X-A AAA (sf) 116,665,000(ii) B AA- (sf) 25,925,000 C A- (sf) 24,770,000 D BBB- (sf) 30,523,000(iii) E BB (sf) 16,117,000(iii) (i)The rating on each class of securities is preliminary and subject to change at any time. The issuer will issue the certificates to qualified institutional buyers in line with Rule 144A of the Securities Act of 1933. (ii)The notional amount of the class X-A certificates will be equal to the class A certificate balance. (iii)The initial certificate balance of each of the class D and class E certificates is subject to change based on final pricing of all certificates and the final determination of the eligible horizontal residual interest that will be retained by a third-party purchaser in order for German American Capital Corp., the securitization sponsor, to satisfy its U.S. risk retention requirements as if they were in effect with respect to this securitization transaction. CONN'S RECEIVABLES 2016-B: Fitch Rates Class C Notes 'Bsf' ---------------------------------------------------------- Fitch Ratings has assigned these 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.: -- $391,840,000 class A notes at 'BBBsf'; Outlook Stable; -- $111,960,000 class B notes at 'BBsf'; Outlook Stable; -- $48,980,000 class C notes at 'Bsf'; Outlook Stable; -- Class R notes at 'NRsf'. 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'. COUNTRYWIDE MORTGAGE: Moody's Takes Action on $171MM 2nd Lien RMBS ------------------------------------------------------------------ Moody's Investors Service has upgraded the ratings of 7 tranches and confirmed ratings of 10 tranches from six transactions, backed by Second Lien mortgage loans, issued by Countrywide Mortgage (CW). The tranches that were placed on review for upgrade on July 22nd, 2016, are due to the distribution of funds from 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. Issuer: CWABS Asset-Backed Certificates Trust 2006-SPS1 -- Cl. A, Upgraded to Ca (sf); previously on Jun 10, 2010 Downgraded to C (sf) Issuer: CWABS Asset-Backed Certificates Trust 2006-SPS2 -- Cl. A, Upgraded to Ca (sf); previously on Jun 10, 2010 Downgraded to C (sf) Issuer: CWABS, Inc. Asset-Backed Certificates, Series 2004-S1 -- Cl. A-IO, Confirmed at Ba3 (sf); previously on Jul 22, 2016 Ba3 (sf) Placed Under Review for Possible Upgrade -- Cl. A-3, Confirmed at Baa3 (sf); previously on Jul 22, 2016 Baa3 (sf) Placed Under Review for Possible Upgrade -- Cl. M-1, Confirmed at Ba3 (sf); previously on Jul 22, 2016 Ba3 (sf) Placed Under Review for Possible Upgrade -- Cl. M-2, Confirmed at B1 (sf); previously on Jul 22, 2016 B1 (sf) Placed Under Review for Possible Upgrade -- Cl. M-3, Confirmed at B3 (sf); previously on Jul 22, 2016 B3 (sf) Placed Under Review for Possible Upgrade Issuer: CWHEQ 2007-G Class A Custody Receipts -- Cl. A, Upgraded to A1 (sf); previously on Jan 18, 2013 Downgraded to A2 (sf) Issuer: CWHEQ Revolving Home Equity Loan Trust, 2007-G -- Cl. A, Upgraded to A1 (sf); previously on Jul 22, 2016 A3 (sf) Placed Under Review for Possible Upgrade -- Cl. M-1, Confirmed at B1 (sf); previously on Jul 22, 2016 B1 (sf) Placed Under Review for Possible Upgrade -- Cl. M-2, Confirmed at B1 (sf); previously on Jul 22, 2016 B1 (sf) Placed Under Review for Possible Upgrade -- Cl. M-3, Confirmed at B1 (sf); previously on Jul 22, 2016 B1 (sf) Placed Under Review for Possible Upgrade -- Cl. M-4, Confirmed at B1 (sf); previously on Jul 22, 2016 B1 (sf) Placed Under Review for Possible Upgrade -- Cl. M-5, Confirmed at B1 (sf); previously on Jul 22, 2016 B1 (sf) Placed Under Review for Possible Upgrade -- Cl. M-6, Upgraded to B1 (sf); previously on Jul 22, 2016 B3 (sf) Placed Under Review for Possible Upgrade -- Cl. M-7, Upgraded to B3 (sf); previously on Oct 28, 2008 Downgraded to C (sf) Issuer: CWHEQ Revolving Home Equity Loan Trust, Series 2006-A -- Cl. A, Upgraded to Caa3 (sf); previously on Jul 22, 2016 Ca (sf) Placed Under Review for Possible Upgrade RATINGS RATIONALE The rating actions consider the recent performance of the underlying pools and reflect Moody's updated loss expectation on these pools together with changes in tranche level credit enhancement. The rating upgrades primarily reflect the receipt of CW settlement in those transactions. The rating upgrades incorporate the positive effect of recoveries and reduction of loss on the affected bonds as well as any increases in credit enhancement related to recoveries or otherwise, on subordinated bonds. The rating confirmations primarily reflect shortfalls incurred and outstanding on the bonds after settlement recoveries. CWABS, Inc. Asset-Backed Certificates, Series 2004-S1 tranches were confirmed as they did not incur any loss to date and hence did not benefit from CW settlement payment. Their level of credit enhancement remained unchanged following receipt of settlement amount by the related covered trust. 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. CPS AUTO 2016-D: S&P Assigns Prelim. BB- Rating on Class E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to CPS Auto Receivables Trust 2016-D's $206.325 million asset-backed notes. The note issuance is an asset-backed securities transaction backed by subprime auto loan receivables. The preliminary ratings are based on information as of Oct. 6, 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 55.53%, 48.19%, 38.56%, 29.23%, and 23.76% of credit support for the class A, B, C, D, and E notes, respectively, based on stressed cash flow scenarios (including excess spread). These credit support levels provide coverage of approximately 3.20x, 2.70x, 2.10x, 1.60x, and 1.27x our 17.00-17.75% expected cumulative net loss range for the class A, B, C, D, and E notes, respectively. -- S&P's expectation that, under a moderate stress scenario of 1.60x its expected net loss level, the preliminary ratings on the class A and B notes will not decline by more than one rating category during the first year, and the preliminary ratings on the class C, D, and E notes will not decline by more than two rating categories during the first year, all else being equal, which is consistent with S&P' credit stability criteria -- The preliminary rated notes' underlying credit enhancement in the form of subordination, overcollateralization, a reserve account, and excess spread for the class A, B, C, D, and E notes. -- The timely interest and principal payments made to the preliminary rated notes under S&P' stressed cash flow modeling scenarios, which S&P believes is appropriate for the assigned preliminary ratings. -- The transaction's payment and credit enhancement structure, which includes a noncurable performance trigger. PRELIMINARY RATINGS ASSIGNED CPS Auto Receivables Trust 2016-D Class Rating Type Interest Amount rate(i) (mil. $) A AAA (sf) Senior Fixed 100.170 B AA (sf) Subordinate Fixed 28.875 C A (sf) Subordinate Fixed 32.655 D BBB (sf) Subordinate Fixed 24.570 E BB- (sf) Subordinate Fixed 20.055 (i)The actual coupons of these tranches will be determined on the pricing date. CWABS 2004-10: Moody's Hikes Class MF-1 Debt Rating to'B2' ---------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 15 tranches, confirmed the rating of 21 tranches, and assigned a rating to one tranche from seven transactions issued by CWABS, backed by Subprime mortgage loans. Complete rating actions are as follows: Issuer: CWABS Asset-Backed Certificates Trust 2004-10 -- Cl. AF-5A, Confirmed at A3 (sf); previously on Jul 22, 2016 A3 (sf) Placed Under Review for Possible Upgrade -- Cl. AF-5B, Confirmed at A3 (sf); previously on Jul 22, 2016 A3 (sf) Placed Under Review for Possible Upgrade -- Underlying Rating: Confirmed at A3 (sf); previously on Jul 22, 2016 A3 (sf) Placed Under Review for Possible Upgrade -- Financial Guarantor: MBIA Insurance Corporation (Downgraded to Caa1, Outlook changed to Negative on May 20, 2016) -- Cl. AF-6, Confirmed at A2 (sf); previously on Jul 22, 2016 A2 (sf) Placed Under Review for Possible Upgrade -- Cl. MF-1, Upgraded to B2 (sf); previously on Jul 22, 2016 Caa2 (sf) Placed Under Review for Possible Upgrade -- Cl. MV-2, Upgraded to Baa3 (sf); previously on Jul 22, 2016 Ba1 (sf) Placed Under Review for Possible Upgrade -- Cl. MV-3, Upgraded to B1 (sf); previously on Jul 22, 2016 Caa2 (sf) Placed Under Review for Possible Upgrade Issuer: CWABS Asset-Backed Certificates Trust 2004-12 -- Cl. AF-5, Confirmed at A3 (sf); previously on Jul 22, 2016 A3 (sf) Placed Under Review for Possible Upgrade -- Cl. AF-6, Confirmed at A2 (sf); previously on Jul 22, 2016 A2 (sf) Placed Under Review for Possible Upgrade -- Cl. MF-1, Upgraded to Caa1 (sf); previously on Jul 22, 2016 Ca (sf) Placed Under Review for Possible Upgrade -- Cl. MV-3, Confirmed at Baa3 (sf); previously on Jul 22, 2016 Baa3 (sf) Placed Under Review for Possible Upgrade -- Cl. MV-4, Upgraded to B1 (sf); previously on Jul 22, 2016 B2 (sf) Placed Under Review for Possible Upgrade -- Cl. MV-5, Upgraded to B2 (sf); previously on Apr 16, 2012 Downgraded to C (sf) Issuer: CWABS Asset-Backed Certificates Trust 2004-14 -- Cl. M-2, Upgraded to Baa3 (sf); previously on Jul 22, 2016 Ba1 (sf) Placed Under Review for Possible Upgrade -- Cl. M-3, Upgraded to Ba3 (sf); previously on Jul 22, 2016 B1 (sf) Placed Under Review for Possible Upgrade Issuer: CWABS Asset-Backed Certificates Trust 2004-15 -- Cl. AF-5, Confirmed at Baa1 (sf); previously on Jul 22, 2016 Baa1 (sf) Placed Under Review for Possible Upgrade -- Cl. AF-6, Confirmed at A2 (sf); previously on Jul 22, 2016 A2 (sf) Placed Under Review for Possible Upgrade -- Cl. MF-1, Confirmed at B1 (sf); previously on Jul 22, 2016 B1 (sf) Placed Under Review for Possible Upgrade -- Cl. MF-2, Upgraded to B3 (sf); previously on Jul 22, 2016 Caa3 (sf) Placed Under Review for Possible Upgrade -- Cl. MV-3, Upgraded to Baa3 (sf); previously on Jul 22, 2016 Ba3 (sf) Placed Under Review for Possible Upgrade -- Cl. MV-4, Upgraded to Ba3 (sf); previously on Jul 22, 2016 B3 (sf) Placed Under Review for Possible Upgrade -- Cl. MV-5, Upgraded to B1 (sf); previously on Apr 16, 2012 Downgraded to C (sf) Issuer: CWABS, Inc. Asset-Backed Certificates, Series 2004-2 -- Cl. 1-A, Confirmed at Aa1 (sf); previously on Jul 22, 2016 Aa1 (sf) Placed Under Review for Possible Upgrade -- Cl. M-1, Upgraded to Ba2 (sf); previously on Jul 22, 2016 B1 (sf) Placed Under Review for Possible Upgrade -- Cl. M-2, Upgraded to Caa2 (sf); previously on Jul 22, 2016 Ca (sf) Placed Under Review for Possible Upgrade -- Cl. M-3, Upgraded to Ca (sf); previously on Apr 16, 2012 Downgraded to C (sf) Issuer: CWABS, Inc. Asset-Backed Certificates, Series 2004-3 -- Cl. A, Confirmed at Baa3 (sf); previously on Jul 22, 2016 Baa3 (sf) Placed Under Review for Possible Upgrade -- Cl. 1-A, Confirmed at Baa2 (sf); previously on Jul 22, 2016 Baa2 (sf) Placed Under Review for Possible Upgrade -- Cl. 2-A, Confirmed at A2 (sf); previously on Jul 22, 2016 A2 (sf) Placed Under Review for Possible Upgrade -- Cl. 3-A-3, Confirmed at A1 (sf); previously on Jul 22, 2016 A1 (sf) Placed Under Review for Possible Upgrade -- Cl. 3-A-4, Confirmed at A1 (sf); previously on Jul 22, 2016 A1 (sf) Placed Under Review for Possible Upgrade -- Cl. M-1, Confirmed at B1 (sf); previously on Jul 22, 2016 B1 (sf) Placed Under Review for Possible Upgrade -- Cl. M-2, Confirmed at Ca (sf); previously on Jul 22, 2016 Ca (sf) Placed Under Review for Possible Upgrade Issuer: CWABS, Inc. Asset-Backed Certificates, Series 2004-4 -- Cl. A, Confirmed at Aa3 (sf); previously on Jul 22, 2016 Aa3 (sf) Placed Under Review for Possible Upgrade -- Cl. 1-A, Confirmed at Aa3 (sf); previously on Jul 22, 2016 Aa3 (sf) Placed Under Review for Possible Upgrade -- Cl. M-1, Confirmed at B1 (sf); previously on Jul 22, 2016 B1 (sf) Placed Under Review for Possible Upgrade -- Cl. M-2, Confirmed at Caa3 (sf); previously on Jul 22, 2016 Caa3 (sf) Placed Under Review for Possible Upgrade -- Cl. B, Assigned C (sf); previously on May 07, 2014 WR (sf) RATINGS RATIONALE The rating upgrades are primarily due to receipt of funds from the CWRMBS settlement and the related increase in total credit enhancement available to the bonds. However, the rating upgrades for CWABS, Inc. Asset-Backed Certificates, Series 2004-2 Class M-1 and Class M-2 are primarily due to the overall credit enhancement available. The rating confirmations on the adjustable rate senior tranches, and the CWABS, Inc. Asset-Backed Certificates, Series 2004-3 Class M-2 and CWABS, Inc. Asset-Backed Certificates, Series 2004-4 Class M-2 are primarily due to their overall levels of credit enhancement. The rating confirmations of the fixed rate senior tranches and the other mezzanine tranches are primarily due to the risk of future interest shortfalls. The assignment of rating to the CWABS, Inc. Asset-Backed Certificates, Series 2004-4 Class B reflects the fact that the prior rating had been withdrawn as the tranche was previously written down due to losses, but the tranche has since been partially written back up due to the settlement proceeds. The assigned rating reflects its reinstated balance. The rating actions conclude the review actions for these transactions announced on July 22nd, and reflect the recent performance of the underlying pools and Moody's updated loss expectation on these pools. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in 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 5.0% in September 2016 from 5.1% in September 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. CWALT INC 2004-30CB: Moody's Hikes Rating on Cl. 1-A-3 Debt to B1 ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 21 tranches and confirmed the ratings of 19 tranches from 6 transactions backed by Alt-A RMBS loans issued by Countrywide Mortgage (CW). The tranches that were placed on review for upgrade on July 22nd, 2016, are 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: Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2004-30CB Cl. 1-A-3, Upgraded to B1 (sf); previously on July 22, 2016, B3 (sf) Placed Under Review for Possible Upgrade Cl. 1-A-6, Confirmed at Caa1 (sf); previously on July 22, 2016, Caa1 (sf) Placed Under Review for Possible Upgrade Cl. 1-A-9, Upgraded to Baa1 (sf); previously on July 22, 2016, Ca (sf) Placed Under Review for Possible Upgrade Cl. 1-A-10, Upgraded to B2 (sf); previously on July 22, 2016, Caa1 (sf) Placed Under Review for Possible Upgrade Cl. 1-A-11, Upgraded to B2 (sf); previously on July 22, 2016, Caa1 (sf) Placed Under Review for Possible Upgrade Cl. 1-A-12, Upgraded to B2 (sf); previously on July 22, 2016, Caa1 (sf) Placed Under Review for Possible Upgrade Cl. 1-A-13, Upgraded to B2 (sf); previously on July 22, 2016, Caa1 (sf) Placed Under Review for Possible Upgrade Cl. 1-A-14, Upgraded to B2 (sf); previously on July 22, 2016, Caa1 (sf) Placed Under Review for Possible Upgrade Cl. 1-A-16, Upgraded to Caa1 (sf); previously on July 22, 2016, Caa2 (sf) Placed Under Review for Possible Upgrade Cl. 2-A-1, Confirmed at Caa2 (sf); previously on July 22, 2016, Caa2 (sf) Placed Under Review for Possible Upgrade Cl. 2-A-2, Confirmed at Caa2 (sf); previously on July 22, 2016, Caa2 (sf) Placed Under Review for Possible Upgrade Cl. 2-A-3, Confirmed at Caa2 (sf); previously on July 22, 2016, Caa2 (sf) Placed Under Review for Possible Upgrade Cl. 2-A-4, Confirmed at Caa2 (sf); previously on July 22, 2016, Caa2 (sf) Placed Under Review for Possible Upgrade Cl. 3-A-1, Confirmed at B3 (sf); previously on July 22, 2016, B3 (sf) Placed Under Review for Possible Upgrade Cl. PO, Confirmed at Caa1 (sf); previously on July 22, 2016, Caa1 (sf) Placed Under Review for Possible Upgrade Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2004-J4 Cl. B, Upgraded to Ca (sf); previously on March 22, 2011, Downgraded to C (sf) Cl. M-1, Confirmed at Caa2 (sf); previously on July 22, 2016, Caa2 (sf) Placed Under Review for Possible Upgrade Cl. M-2, Upgraded to Caa3 (sf); previously on March 22, 2011, Downgraded to C (sf) Cl. 1-A-5, Confirmed at Baa3 (sf); previously on July 22, 2016, Baa3 (sf) Placed Under Review for Possible Upgrade Cl. 1-A-6, Upgraded to Baa1 (sf); previously on July 22, 2016, Baa2 (sf) Placed Under Review for Possible Upgrade Cl. 1-A-7, Upgraded to Baa1 (sf); previously on July 22, 2016, Baa2 (sf) Placed Under Review for Possible Upgrade Cl. 2-A-1, Upgraded to Baa1 (sf); previously on July 22, 2016, Baa3 (sf) Placed Under Review for Possible Upgrade Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2004-J6 Cl. PO, Confirmed at Ba3 (sf); previously on July 22, 2016 Ba3 (sf) Placed Under Review for Possible Upgrade Cl. 1-A-1, Confirmed at Ba3 (sf); previously on July 22, 2016, Ba3 (sf) Placed Under Review for Possible Upgrade Cl. 1-X, Confirmed at Ba3 (sf); previously on July 22, 2016, Ba3 (sf) Placed Under Review for Possible Upgrade Cl. 2-A-1, Confirmed at Ba3 (sf); previously on July 22, 2016, Ba3 (sf) Placed Under Review for Possible Upgrade Cl. 2-X, Confirmed at B1 (sf); previously on July 22, 2016, B1 (sf) Placed Under Review for Possible Upgrade Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-16 Cl. A-1, Upgraded to Caa1 (sf); previously on July 22, 2016, Caa3 (sf) Placed Under Review for Possible Upgrade Cl. A-3, Upgraded to Ba2 (sf); previously on July 22, 2016, B2 (sf) Placed Under Review for Possible Upgrade Cl. A-4, Upgraded to Ba2 (sf); previously on July 22, 2016, B2 (sf) Placed Under Review for Possible Upgrade Cl. A-5, Confirmed at Ca (sf); previously on July 22, 2016, Ca (sf) Placed Under Review for Possible Upgrade Cl. X-1, Upgraded to Caa3 (sf); previously on Nov. 23, 2010, Downgraded to C (sf) Issuer: CWMBS, Inc. Mortgage Pass-Through Certificates, Series 2004-5CB Cl. PO, Confirmed at B2 (sf); previously on July 22, 2016, B2 (sf) Placed Under Review for Possible Upgrade Cl. 1-A-1, Confirmed at B2 (sf); previously on July 22, 2016, B2 (sf) Placed Under Review for Possible Upgrade Cl. 2-A-1, Confirmed at Ba3 (sf); previously on July 22, 2016, Ba3 (sf) Placed Under Review for Possible Upgrade Cl. 3-A-1, Confirmed at Ba3 (sf); previously on July 22, 2016, Ba3 (sf) Placed Under Review for Possible Upgrade Issuer: CWMBS, Inc. Mortgage Pass-Through Certificates, Series 2004-6CB Cl. A, Upgraded to Aa1 (sf); previously on July 22, 2016, A1 (sf) Placed Under Review for Possible Upgrade Cl. M-1, Upgraded to Baa3 (sf); previously on July 22, 2016, Ba3 (sf) Placed Under Review for Possible Upgrade Cl. M-2, Upgraded to B3 (sf); previously on March 28, 2011, Downgraded to C (sf) Cl. M-3, Upgraded to Ca (sf); previously on March 28, 2011, Downgraded to C (sf) RATINGS RATIONALE The rating actions consider the recent performance of the underlying pools and reflect Moody's updated loss expectation on these pools together with changes in tranche level credit enhancement. The rating upgrades primarily reflect the receipt of CW settlement in those transactions. The rating upgrades incorporate the positive effect of recoveries and reduction of loss on the affected bonds as well as any increases in credit enhancement related to recoveries or otherwise, on subordinated bonds. The rating confirmations primarily reflect losses incurred and outstanding on the bonds after settlement recoveries, Moody's updated loss expectation on the bonds and related pools, and bond specific credit enhancement in the transactions. 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. DT AUTO 2016-4: DBRS Finalizes BB Rating on Class E Notes --------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following classes of notes issued by DT Auto Owner Trust 2016-4 (DTAOT 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 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. DT AUTO OWNER 2016-4: S&P Assigns BB Rating on Class E Notes ------------------------------------------------------------ S&P Global Ratings assigned its 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 ratings reflect: -- The availability of approximately 66.8%, 60.7%, 51.0%, 42.5%, and 38.4% 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 S&P' 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& deems appropriate for the assigned ratings. -- S&P' 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 our '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' 'BBB (sf)' and 'BB (sf)' ratings, respectively, during the first year. These potential rating movements are consistent with S&P' 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 86%) 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. RATINGS ASSIGNED DT Auto Owner Trust 2016-4 Class Rating Type Interest Amount rate(%) (mil. $) A AAA (sf) Senior 1.44 194.14 B AA (sf) Subordinate 2.02 63.80 C A (sf) Subordinate 2.74 76.03 D BBB (sf) Subordinate 3.77 66.52 E BB (sf) Subordinate 6.49 38.02 EATON VANCE VIII: Moody's Affirms Ba1 Rating on Class D Notes ------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on these notes issued by Eaton Vance CDO VIII, Ltd.: $48,000,000 Class B Second Priority Deferrable Floating Rate Notes Due Aug. 15, 2022, Upgraded to Aaa (sf); previously on Sept. 19, 2014, Upgraded to Aa1 (sf) $23,250,000 Class C Third Priority Deferrable Floating Rate Notes Due Aug. 15, 2022, Upgraded to A1 (sf); previously on Sept. 19, 2014, Upgraded to A2 (sf) Moody's also affirmed the ratings on these notes: $583,500,000 Class A Senior Secured Floating Rate Notes Due Aug. 15, 2022, (current outstanding balance of $262,482,973.47), Affirmed Aaa (sf); previously on Sept. 19, 2014, Affirmed Aaa (sf) $33,750,000 Class D Fourth Priority Deferrable Floating Rate Notes Due Aug. 15, 2022, Affirmed Ba1 (sf); previously on Sept. 19, 2014, Upgraded to Ba1 (sf) Eaton Vance CDO VIII, Ltd., issued in July 2006, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The transaction's reinvestment period ended in August 2013. 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 October 2015. The Class A notes have been paid down by approximately 27% or $97.5 million since that time. Based on Moody's calculation, the OC ratios for the Class A, Class B, Class C and Class D notes are currently 154.08%, 130.26%, 121.19% and 110.06%, respectively, versus October 2015 levels of 140.54%, 124.01%, 117.32% and 108.81%, respectively. Nevertheless, the credit quality of the portfolio has deteriorated since October 2015. Based on the Moody's calculation, the weighted average rating factor (WARF) is currently 2787 compared to 2476 in October 2015. These rating actions also reflect corrections to Moody's modeling. In prior rating actions, the OC and Excess Interest Deflection tests definition and use of interest proceeds captured upon failure of Excess Interest Deflection Test after the reinvestment period ends were modeled incorrectly. The errors have now been corrected, and today's rating actions reflect these changes. 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 October 2016. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: This transaction is subject to a number of factors and circumstances that could lead to either an upgrade or downgrade of the ratings: 1) Macroeconomic uncertainty: CLO performance is subject to a) uncertainty about credit conditions in the general economy and b) the large concentration of upcoming speculative-grade debt maturities, which could make refinancing difficult for issuers. 2) Collateral Manager: Performance can also be affected positively or negatively by a) the manager's investment strategy and behavior and b) differences in the legal interpretation of CLO documentation by different transactional parties owing to embedded ambiguities. 3) Collateral credit risk: A shift towards collateral of better credit quality, or better credit performance of assets collateralizing the transaction than Moody's current expectations, can lead to positive CLO performance. Conversely, a negative shift in credit quality or performance of the collateral can have adverse consequences for CLO performance. 4) Deleveraging: An important source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will continue and at what pace. Deleveraging of the CLO could accelerate owing to high prepayment levels in the loan market and/or collateral sales by the manager, which could have a significant impact on the notes' ratings. Note repayments that are faster than Moody's current expectations will usually have a positive impact on CLO notes, beginning with those with the highest payment priority. 5) Recovery of defaulted assets: Fluctuations in the market value of defaulted assets reported by the trustee and those that Moody's assumes as having defaulted could result in volatility in the deal's OC levels. Further, the timing of recoveries and whether a manager decides to work out or sell defaulted assets create additional uncertainty. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. Realization of higher than assumed recoveries would positively impact the CLO. 6) Post-Reinvestment Period Trading: Subject to certain requirements, the deal can reinvest certain proceeds after the end of the reinvestment period. Such reinvestment could affect the transaction either positively or negatively. 7) Exposure to assets with low credit quality and weak liquidity: The presence of assets rated Caa3 with a negative outlook, Caa2 or Caa3 on review for downgrade or the worst Moody's speculative grade liquidity (SGL) rating, SGL-4, exposes the notes to additional risks if these assets default. The historical default rate is higher than average for these assets. Due to the deal's exposure to such assets, which constitute around $8.9 million of par, Moody's ran a sensitivity case defaulting those assets. In addition to the base case analysis, Moody's also conducted sensitivity analyses to test the impact of a number of default probabilities on the rated notes relative to the base case modeling results, which may be different from the current public ratings of the notes. Below is a summary of the impact of different default probabilities (expressed in terms of WARF) on all of the rated notes (by the difference in the number of notches versus the current model output, for which a positive difference corresponds to lower expected loss): Moody's Adjusted WARF -- 20% (2230) Class A: 0 Class B: 0 Class C: +3 Class D: +2 Moody's Adjusted WARF + 20% (3344) Class A: 0 Class B: -1 Class C: -2 Class D: -1 Loss and Cash Flow Analysis: Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations". The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. In its base case, Moody's analyzed the collateral pool as having a performing par and principal proceeds balance of $404.0 million, defaulted par of $3.8 million, a weighted average default probability of 16.31% (implying a WARF of 2787), a weighted average recovery rate upon default of 50.8%, a diversity score of 52 and a weighted average spread of 3.19%(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. EXETER AUTOMOBILE 2016-3: DBRS Finalized BB Rating on Cl. D Notes ----------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on 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.-Final AAA(sf) Receivables Trust 2016-3 Exeter Automobile Class B Notes Provis.-Final A(sf) Receivables Trust 2016-3 Exeter Automobile Class C Notes Provis.-Final BBB(sf) Receivables Trust 2016-3 Exeter Automobile Class D Notes Provis.-Final BB(sf) Receivables Trust 2016-3 EXETER AUTOMOBILE 2016-3: S&P Assigns BB Rating on Cl. D Notes -------------------------------------------------------------- S&P Global Ratings assigned its 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 ratings reflect: -- The availability of approximately 50.03%, 41.60%, 33.88%, and 26.08% 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 rated notes by the assumed legal final maturity dates under stressed cash flow modeling scenarios that S&P believes are appropriate for the assigned 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 '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 '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. RATINGS ASSIGNED Exeter Automobile Receivables Trust 2016-3 Class Rating Type Interest Amount Rate (mil. $) 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 GARRISON FUNDING 2016-1: Moody's Assigns Ba3 Rating on Cl. D Notes ------------------------------------------------------------------ Moody's Investors Service has assigned ratings to seven classes of notes issued by Garrison Funding 2016-1 Ltd. Moody's rating action is as follows: -- US$254,000,000 Class A-1 Senior Secured Floating Rate Notes due 2028 (the "Class A-1 Notes"), Assigned Aaa (sf) -- US$4,000,000 Class X Amortizing Senior Secured Floating Rate Notes due 2028 (the "Class X Notes"), Assigned Aaa (sf) -- US$48,000,000 Class A-2 Senior Secured Floating Rate Notes due 2028 (the "Class A-2 Notes"), Assigned Aa2 (sf) -- US$24,000,000 Class B Secured Deferrable Floating Rate Notes due 2028 (the "Class B Notes"), Assigned A2 (sf) -- US$22,000,000 Class C-1 Secured Deferrable Floating Rate Notes due 2028 (the "Class C-1 Notes"), Assigned Baa3 (sf) -- US$2,000,000 Class C-2 Secured Deferrable Floating Rate Notes due 2028 (the "Class C-2 Notes"), Assigned Baa3 (sf) -- US$18,000,000 Class D Secured Deferrable Floating Rate Notes due 2028 (the "Class D Notes"), Assigned Ba3 (sf) The Class A-1 Notes, the Class X Notes, the Class A-2 Notes, the Class B Notes, the Class C-1 Notes, the Class C-2 Notes and the Class D Notes are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE Moody's ratings of the Rated Notes address the expected losses posed to noteholders. The ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. Garrison Funding 2016-1 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated first lien senior secured corporate loans. At least 92.5% of the portfolio must consist of senior secured loans and eligible investments, and up to 7.5% of the portfolio may consist of second lien loans and unsecured loans. The portfolio is approximately 55% ramped as of the closing date. Garrison Funding 2016-1 Manager 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 has issued subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2015. For modeling purposes, Moody's used the following base-case assumptions: -- Par amount: $400,000,000 -- Diversity Score: 55 -- Weighted Average Rating Factor (WARF): 2800 -- Weighted Average Spread (WAS): 3.90% -- Weighted Average Coupon (WAC): 7.00% -- Weighted Average Recovery Rate (WARR): 48.5% -- Weighted Average Life (WAL): 8 years. Methodology Underlying the Rating Action: The prinicpal 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 2800 to 3220) Rating Impact in Rating Notches -- Class A-1 Notes: 0 -- Class X Notes: 0 -- Class A-2 Notes: -2 -- Class B Notes: -2 -- Class C-1 Notes: -1 -- Class C-2 Notes: -1 -- Class D Notes: -1 Percentage Change in WARF -- increase of 30% (from 2800 to 3640) Rating Impact in Rating Notches -- Class A-1 Notes: -1 -- Class X Notes: 0 -- Class A-2 Notes: -3 -- Class B Notes: -4 -- Class C-1 Notes: -2 -- Class C-2 Notes: -2 -- Class D Notes: -1 GE COMMERCIAL 2004-C2: Fitch Affirms BB Rating on Class M Certs --------------------------------------------------------------- Fitch Ratings has affirmed two classes of GE Commercial Mortgage Corporation series 2004-C2 commercial mortgage pass-through certificates. KEY RATING DRIVERS The affirmations reflect sufficient credit enhancement relative to expected losses. In addition, class L and part of class M are covered by defeasance. Six loans remain in the pool, including two specially serviced loans (22.4% of the pool); however, sale of the largest specially serviced asset (13.2% of the pool) is expected imminently. The largest loan represents 72.5% of the pool and two loans are defeased (5.1% of the pool). All of the remaining performing loans mature in 2019. Fitch modeled losses of 28.7% of the remaining pool; expected losses on the original pool balance total 0.8%, including $1.7 million (0.1% of the original pool balance) in realized losses to date. As of the September 2016 distribution date, the pool's aggregate principal balance has been reduced by 97.7% to $31.9 million from $1.4 billion at issuance. Interest shortfalls are currently affecting class P. Continental Centre is the largest loan in the pool (72.5% - 54.8% A-note, 17.7% B-note) and is secured by a 477,259 square foot (sf) office building located in downtown Columbus, OH. The loan had previously transferred to special servicing in December 2012, for imminent default. Leading up to the transfer, the largest tenant SBC/AT&T (currently 33.6% net rentable area [NRA], expiration December 2017) had reduced their space which affected the overall performance of the property. Since then a loan modification closed in March 2014 and the loan returned to the master servicer in September 2014. The terms of the loan modification included an A/B note split: $17.5 million A-note and $5.6 million B-note, a maturity extension to March 2019 and a temporary rate reduction. Occupancy was 78% as of YE 2015 and 79% as of the June 2016 rent roll. Due in part to the loan modification, the DSCR has increased substantially to 4.33x and 2.77x as of YE 2015 and YE 2014, respectively, compared to 0.94x as of YE 2013. There are two major-tenant lease expirations (66% of rent roll) in 2017. RATING SENSITIVITIES The ratings of classes L and M are expected to remain stable. An upgrade to class M is not warranted at this time due to pool concentration and quality of the remaining collateral. Although payoff to class M is likely, there is a possibility that the Continental Centre loan will not payoff at maturity. Class M may be subject to downgrades should losses increase above expectations. Fitch has affirmed these classes as indicated: -- $985.7 thousand class L at 'AAAsf', Outlook Stable; -- $5.2 million class M at 'BBsf', Outlook Stable. The class A-1, A-2, A-3, A-4, A-1A, B, C, D, E, F, G, H, J, K, PPL-1, PPL-2, PPL-3, PPL-4, PPL-5 and PPL-6 certificates have paid in full. Fitch does not rate the class N, O and P certificates. Fitch previously withdrew the rating on the interest-only class X-1 certificates and the interest-only class X-2 certificates have paid in full. GLENEAGLES CLO: S&P Affirms B+ Rating on Class D Notes ------------------------------------------------------ S&P Global Ratings raised its rating on the class C notes from Gleneagles CLO Ltd. and removed it from CreditWatch, where it was placed with positive implications on July 14, 2016. At the same time, S&P affirmed its rating on the class D notes from the same transaction. Gleneagles CLO Ltd is a cash flow collateralized loan obligation (CLO) that closed in October 2005 and is managed by Highland Capital Management L.P. The rating actions follow S&P's review of the transaction's performance using data from the August 2016 trustee report. The upgrade reflects the transaction's $249.21 million of collective paydowns to the class A-1, A-2, B, and C notes since S&P's July 2014 rating actions. These paydowns resulted in improved reported overcollateralization (O/C) ratios since the May 2014 trustee report, which S&P used for its previous rating actions: -- The class C O/C ratio improved to 241.87% from 117.46%. -- The class D O/C ratio improved to 124.15% from 106.48%. The collateral portfolio's credit quality has improved since S&P's last rating actions. Collateral obligations with ratings in the 'CCC' category have decreased, with $10.93 million reported as of the August 2016 trustee report, compared with $22.38 million reported as of the May 2014 trustee report, and the amount of defaulted collateral held in the portfolio has decreased to $47.16 million from $70.46 million. Despite these decreases, the concentrations of both 'CCC' and defaulted collateral as a proportion of the portfolio have both increased, as assets are amortizing out of the portfolio. Despite these concentrations, the transaction has benefited from a drop in the weighted average life due to the underlying collateral's seasoning, with 1.21 years reported as of the August 2016 trustee report compared with 2.65 years reported as of the May 2014 trustee report. The transaction has significant exposure to long-dated assets (assets maturing after the CLO's stated maturity). According to the August 2016, trustee report, the balance of collateral with a maturity date after the transaction's stated maturity totaled $19.36 million (17.02% of the portfolio). S&P's analysis took into account the potential market value risk and settlement-related risk arising from the possible liquidation of the remaining securities on the transaction's legal final maturity date. The upgrade reflects the improved credit support at the prior rating level and the affirmation reflects S&P's view that the credit support available is commensurate with the current rating level. 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 it deems necessary. RATING RAISED AND REMOVED FROM CREDITWATCH POSITIVE Gleneagles CLO Ltd. Rating Class To From C AAA (sf) BBB+ (sf)/Watch Pos RATING AFFIRMED Gleneagles CLO Ltd. Class Rating D B+ (sf) GREAT LAKES 2012-1: S&P Affirms BB Rating on Class E Notes ---------------------------------------------------------- S&P Global Ratings raised its ratings on the class B, C, and D notes from Great Lakes CLO 2012-1 Ltd. S&P also affirmed its ratings on the class A and E notes from the same transaction. The rating actions follow S&P's review of the transaction's performance, for which it used data from the Aug. 31, 2016 trustee report. The upgrades reflect the transaction's $8.83 million in paydowns to the class A notes since the April 2016 trustee report, which S&P used for its previous rating actions. These paydowns resulted in improved reported overcollateralization (O/C) ratios for all but class E: -- The class A/B O/C ratio improved to 150.62% from 149.46%. -- The class C O/C ratio improved to 134.53% from 134.05%. -- The class D O/C ratio improved to 124.43% from 124.32%. -- The class E O/C ratio decreased to 112.08% from 112.34%. Additionally, the transaction has benefited from an increase in diversification and a rise in the weighted-average recovery rate of the collateral portfolio. These benefits to the transaction have resulted in more cushion on all tranches. Although S&P's cash flow analysis indicated a higher rating for the class C notes than the level to which it upgraded it, S&P's rating action considered the increase in defaults and additional sensitivity runs that accounted for exposure to specific distressed assets. On a standalone basis, the results of the cash flow analysis pointed to a lower rating on the class E notes than the rating action suggests. However, S&P believes that the O/C levels will continue to increase as the transaction continues to amortize. In line with this, S&P affirmed the rating on the class E notes to remain in line with its credit stability framework. The affirmed 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. In S&P's view, the results of the cash flow analysis demonstrated that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with the 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 further rating actions as S&P deems necessary. RATINGS RAISED Great Lakes CLO 2012-1 Ltd. Rating Class To From B AAA (sf) AA (sf) C AA- (sf) A (sf) D BBB+ (sf) BBB (sf) RATINGS AFFIRMED Great Lakes CLO 2012-1 Ltd. Class Rating A AAA (sf) E BB (sf) GS MORTGAGE 2014-GC20: Fitch Affirms BB- Rating on 2 Tranches ------------------------------------------------------------- Fitch Ratings has affirmed 15 classes of GS Mortgage Securities Trust Series 2014-GC20 commercial mortgage pass-through certificates. KEY RATING DRIVERS The affirmations are the result of the relatively stable pool performance of the pool. The Negative Outlooks on classes E and X-C are due to continued concerns surrounding two loans (10.3%) which are located in Houston's Energy Corridor, a market that continues to be affected by low oil prices. There have been no delinquent or specially serviced loans since issuance; including the Houston exposure, Fitch has designated seven Fitch Loans of Concern (19.7%). As of the September 2016 distribution date, the pool's aggregate principal balance has been reduced by 2.25% to $1.16 billion from $1.18 billion at issuance. Interest shortfalls are currently affecting class H. The largest Loan of Concern, Three WestLake Park (6.9% of the pool) is secured by a 19-story office building located in Houston's Energy Corridor. At issuance, it was nearly fully occupied by two tenants, ConocoPhillips (57.7% of the net rentable area [NRA]) and BP Amoco (40.8% of the NRA). BP has announced that it will not renew its lease, which is scheduled to expire in November 2016. A majority of BP's space at the property is already dark. Additionally, ConocoPhillips (recently downgraded by Fitch to 'A-'/Outlook Negative) maintains its headquarters less than two miles from the subject. The company recently laid off an estimated 500 employees in Houston and in February announced major cuts to quarterly dividends and capex spending. ConocoPhillips' lease extends through February 2019 with no termination options. While ConocoPhillips is expected to pay rent through its lease term, increased submarket vacancy and the current state of the oil and gas industry could make it challenging for the property manager to attract replacement tenants. The second largest Loan of Concern, Chase Tower (6.9%) is a 21-story office building located in the Austin, Texas CBD. Occupancy declined to 90% as of March 2016 from 98% at YE2014 and 100% at issuance. There is an additional lease roll of 23% in 2017, including the largest tenant, Bury & Partners, which occupies 18.4% of the NRA. The third largest Loan of Concern, Sheraton Suites Houston (3.4%) is secured by a full-service, 283-room hotel located in Houston, TX. The NOI for the 12 month period ending June 30, 2016 is below the Trigger Level, therefore a Cash Management Period is now in effect. The NOI DSCR for the six months ended June, 30 2016 declined to 1.44x from 1.75x at year-end 2015. RATING SENSITIVITIES The Rating Outlooks for the majority of the classes remain Stable. Upgrades are not expected without improved performance and increased credit enhancement. The Negative Outlooks for the class E and X-C certificates are a result of performance concerns for some of the pool's largest loans. Downgrades are possible should the collateral level changes described above prove material to the long-term stability of the pool. Fitch affirms these classes and revises Outlooks as indicated: -- $36.2 million class A-1 at 'AAAsf'; Outlook Stable; -- $41.5 million class A-2 at 'AAAsf'; Outlook Stable; -- $176.8 million class A-3 at 'AAAsf'; Outlook Stable; -- $185 million class A-4 at 'AAAsf'; Outlook Stable; -- $272.4 million class A-5 at 'AAAsf'; Outlook Stable; -- $88.9 million class A-AB at 'AAAsf'; Outlook Stable; -- $72.4 million class A-S at 'AAAsf'; Outlook Stable; -- $78.3 million class B at 'AA-sf'; Outlook Stable; -- $0 class PEZ at 'A-sf'; Outlook Stable; -- $50.2 million class C at 'A-sf'; Outlook Stable; -- $59.1 million class D at 'BBB-sf'; Outlook Stable; -- $29.6 million class E at 'BB-sf'; Outlook Negative; -- $873.2 million* class X-A at 'AAAsf'; Outlook Stable; -- $78.3 million* class X-B at 'AA-sf'; Outlook Stable; -- $29.6 million* class X-C at 'BB-sf'; Outlook to Negative from Stable. *Notional amount and Interest-Only. Fitch does not rate the class F, G, H and X-D certificates. GSCCRE COMMERCIAL 2015-HULA: DBRS Confirms BB Rating on Cl. E Debt ------------------------------------------------------------------ DBRS Limited confirmed all classes of Commercial Mortgage Pass-Through Certificates issued by GSCCRE Commercial Mortgage Trust 2015-HULA as follows: -- Class A at AAA (sf) -- Class X-CP at AAA (sf) -- Class X-NCP at AAA (sf) -- Class B at AA (high) (sf) -- Class C at A (sf) -- Class D at BBB (high) (sf) -- Class E at BB (sf) -- Class F at B (low) (sf) All trends are Stable. The rating confirmations reflect the overall performance of the transaction, which remains in line with DBRS's expectations at issuance. This single-borrower transaction closed in October 2015 and is interest-only for the initial two-year term as well as during the subsequent extension options of up to an additional five years. The $299.1 million floating-rate trust note (Note A) is supplemented by subordinate notes (Note B and Note C) totalling $73.9 million. A $902,648 curtailment was applied to the trust balance in November 2015, as a result of the sale of a residential lot, which was part of the collateral. The loan is secured by the fee simple and leasehold interests in three distinct components of Hualalai at Historic Ka'upulehu, a master-planned luxury resort community situated on a 724.9-acre site along the desirable Kohala Coast in Kailua-Kona on the Big Island of Hawaii. The collateral includes the leasehold interest in (1) the Four Seasons Resort Hualalai, a 243-key ultra-luxury resort hotel; (2) the private membership Hualalai Club operated by the Four Seasons; and (3) the fee simple interest in the remaining 55 acres of residential land within the master-planned residential resort community intended for future sale. The five-star resort and membership club is situated in an irreplaceable location on the Kohala Coast and features the most luxurious hotel destination within the Hawaiian Islands, offering a total of eight unique restaurants, a 30,700-square foot (sf) world-class spa and sports club, seven pools, over 37,000 sf of indoor and outdoor meeting and event space, five retail outlets and two world-class golf courses. Demand for the subject is largely driven by guests from foreign countries, particularly Japan, the continental U.S. and Canada. According to the July 2016 year-to-date statistics by the Hawaii Tourism Authority, visitor arrivals to the Big Island of Hawaii remained flat year over year (+0.1%), while visitor expenditures increased by 9.2% over the same period. More specifically, the Kona side of the island (where the collateral is situated) saw a 0.8% increase in visitors, as the decreased demand from Japan (-2.7%) and Canada (-18.7%) was offset by increases from the Western U.S. (+2.9%) and Eastern U.S. (+2.8%). Statewide, visitor expenditures on lodging increased by 1.6% year over year. The collateral's performance has remained stable since issuance, as the YE2015 debt service coverage ratio (DSCR) for the total debt was reported at 2.00 times (x), well above the DBRS stressed Term DSCR of 1.42x. While occupancy decreased 1.0%, according to the March 2016 trailing 12-month Smith Travel Research report, to 84.4% from 85.4%, the average daily rate (ADR) over the same period increased by 2.1% to $1,138 from $1,115. The resulting revenue per available room (RevPAR) increased marginally by 0.8% to $960 from $953. The property continues to significantly outperform its competitive set, with occupancy, ADR and RevPAR penetration of 134.1%, 359.9% and 482.2%, respectively, as it has little to no direct competition for the wealthy demand demographic it serves. The loan benefits from strong institutional sponsorship, as it is owned by joint venture partners MSD Capital, L.P., an investment vehicle for Michael Dell and family, and Lake Avenue Investments, an investment vehicle for a high net worth family. At issuance, the sponsors planned to invest an additional $10.0 million ($41,000 per key) on guest room and common area upgrades as well as additional property-wide renovations in order to drive up the occupancy and ADR at the property. HARBOR SERIES 2006-2: Moody's Lowers Rating on Cl. B Notes to C --------------------------------------------------------------- Moody's Investors Service has downgraded the ratings on these notes issued by Harbor Series 2006-2 LLC: Cl. B, Downgraded to C (sf); previously on Oct. 27, 2015, Downgraded to Ca (sf) Cl. C, Downgraded to C (sf); previously on Oct. 27, 2015, Downgraded to Ca (sf) Moody's has also affirmed the ratings on these notes: Cl. A, Affirmed Caa3 (sf); previously on Oct. 27, 2015, Affirmed Caa3 (sf) Cl. D, Affirmed C (sf); previously on Oct. 27, 2015, Downgraded to C (sf) RATINGS RATIONALE Moody's has downgraded the ratings on two classes of notes due to losses within the reference obligation pool combined with negative credit migration as evidenced by the WARF and WARR. Moody's has affirmed the ratings of two classes of notes because the key transaction metrics are commensurate with the existing rating. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO Synthetic) transactions. Harbor Series 2006-2 LLC is a static synthetic transaction backed by a portfolio of credit default swaps on commercial mortgage backed securities (CMBS) (100% of the reference obligation pool balance). As of the September 20, 2016 trustee report, the aggregate issued note balance of the transaction has decreased to $103.7 million from $120 million at issuance, with the reference pool amortization being paid to the notes on a pro-rata basis. This transaction features a pro-rata to senior-sequential waterfall switch which is based upon certain thresholds. Moody's expects the transaction waterfall to pay senior-sequential for the remainder of the transaction life and has incorporated this into its analysis. 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 reference obligations it does not rate. The rating agency modeled a bottom-dollar WARF of 4157, compared to 1932 at last review. The current ratings on the Moody's-rated reference obligations and the assessments of the non-Moody's rated reference obligations follow: Aaa-Aa1(0.6% compared to 22.5% at last review); A1-A3(4.6% compared to 13.6% at last review); Baa1-Baa3(18.4% compared to 12.0% at last review); Ba1-Ba3(16.1% compared to 30.2% at last review); B1-B3(12.3% compared to 5.7% at last review); and Caa1-Ca/C (48.0% compared to 16.0% at last review). Moody's modeled a WAL of 1 year, compared to 2.5 years at last review. The WAL is based on assumptions about extensions on the underlying look-through loan collateral. Moody's modeled a fixed WARR of 6.2%, compared to 14.4% at last review. Moody's modeled a MAC of 15.4%, compared to 13.9% at last review. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Approach to Rating SF CDOs" published in July 2015. Factors that would lead to an upgrade or downgrade of the ratings: The performance of the notes is subject to uncertainty, because it is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that are subject to change. The servicing decisions of the master and special servicer and surveillance by the operating advisor with respect to the collateral interests and oversight of the transaction will also affect the performance of the rated notes. Moody's Parameter Sensitivities: Changes to any one or more of the key parameters could have rating implications for some of the rated notes, although a change in one key parameter assumption could be offset by a change in one or more of the other key parameter assumptions. The rated notes are particularly sensitive to changes in the ratings of the underlying collateral and credit estimates. Notching down 100% of the collateral pool by one notch would result in an average modeled rating movement on the rated notes of zero notches downward (e.g., one notch down implies a ratings movement of Baa3 to Ba1). Notching 100% of the collateral pool by one notch would result in an average modeled rating movement on the rated notes of zero notches upward (e.g., one notch up implies a ratings movement of Baa3 to Baa2). The primary sources of uncertainty in Moody's assumptions are the extent of growth in the current macroeconomic environment given the weak recovery and certain commercial real estate property markets. Commercial real estate property values continue to improve modestly, along with a rise in investment activity and stabilization in core property type performance. Limited new construction and moderate job growth have aided this improvement. However, sustained growth will not be possible until investment increases steadily for a significant period, non-performing properties are cleared from the pipeline and fears of a euro area recession abate. INSTITUTIONAL MORTGAGE 2016-7: DBRS Gives Prov BB Rating to F Notes ------------------------------------------------------------------- DBRS Limited assigned provisional ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2016-7 issued by Institutional Mortgage Securities Canada Inc., Series 2016-7. -- Class A-1 at AAA (sf) -- Class A-2 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) -- Class X at AAA (sf) Class X is notional. DBRS ratings on interest-only (IO) certiﬁcates address the likelihood of receiving interest based on the notional amount outstanding. DBRS considers the IO certiﬁcates’ position within the transaction payment waterfall when determining the appropriate rating. The collateral for the transaction consists of 38 fixed-rate loans secured by 60 properties. All loans in the transaction amortize for the entire term; 65.9% of the pool by loan balance amortizes on schedules that are 25 years or less, while 34.1% of the pool by loan balance will amortize on schedules that are between 25 years and 30 years. Seventeen loans (27.4% of the pool by loan balance) were modelled with Strong sponsor strength, and 12 loans (38.0% of the pool by loan balance) were considered to have meaningful recourse to the respective sponsor; all else being equal, recourse loans typically have lower probability of default and were modelled as such. The conduit pool was analyzed to determine the provisional ratings, reflecting the long-term probability of loan default within the term and its liquidity at maturity. When the cut-off loan balances were measured against the DBRS Stabilized net cash flow and its respective actual constants, DBRS did not identify any loans, based on the trust A-note balances, as having a debt service coverage ratio (DSCR) below 1.15 times (x), which is a threshold indicative of a higher likelihood of mid-term default. In addition, to assess refinance risk given the current low interest rate environment, DBRS applied its refinance constants to the balloon amounts, resulting in 32.6% of the pool, based on the trust A-note balance, having refinance DSCRs below 1.00x. The DBRS weighted-average (WA) Term DSCR and Going-in Debt Yield, based on the trust A-note balances, are 1.47x and 9.2%, respectively. The DBRS WA Refi DSCR and Exit Debt Yield, based on the trust A-note balances, are 1.22x and 12.0%, respectively. DBRS sampled 29 loans, representing 85.9% of the pool by loan balance, and site inspections were performed on 47 properties, representing 85.5% of the pool by loan allocated balance. Of the sampled loans, three loans, representing 10.6% of the pool balance, were considered to be of Above Average property quality. The rating assigned to Class G materially deviates from the higher rating 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 expected dispersion of loan-level cash flows post issuance and qualitative loan-level factors that are not precisely captured in the quantitative model, specficially sponsor concentrations within the transaction. The ratings that DBRS assigned to the Certificates are based exclusively on the credit provided by the transaction structure and underlying trust assets. All classes will be subject to ongoing surveillance, which could result in upgrades or downgrades by DBRS after the date of issuance. Notes: All figures are in Canadian dollars unless otherwise noted. INSTITUTIONAL MORTGAGE 2016-7: Fitch to Rate Class G Notes Bsf -------------------------------------------------------------- Fitch Ratings has issued a presale report on Institutional Mortgage Securities Canada Inc.'s (IMSCI) Commercial Mortgage Pass-Through Certificates, Series 2016-7. Fitch expects to rate the transaction and assign Rating Outlooks as follows: -- $187,994,000 class A-1 'AAAsf'; Outlook Stable; -- $117,230,000 class A-2 'AAAsf'; Outlook Stable; -- $8,809,000 class B 'AAsf'; Outlook Stable; -- $9,690,000 class C 'Asf'; Outlook Stable; -- $9,690,000 class D 'BBBsf'; Outlook Stable; -- $3,523,000 class E 'BBB-sf'; Outlook Stable; -- $4,845,000 class F 'BBsf'; Outlook Stable; -- $3,964,000 class G 'Bsf'; Outlook Stable. All currencies are in Canadian dollars (CAD). Fitch does not expect to rate the $352,352,065 (notional balance) interest-only class X or the non-offered $6,607,065 class H certificates. The certificates represent the beneficial ownership interest in the trust, primary assets of which are 38 loans secured by 60 commercial properties having an aggregate principal balance of $352,352,065 as of the cut-off date. The loans were originated or acquired by IMC Limited Partnership, Trez Commercial Finance Limited Partnership, and Royal Bank of Canada. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 76.9% of the properties by balance and asset summary reviews and cash flow analysis of 100% of the pool. KEY RATING DRIVERS Lower Fitch Leverage: The transaction has better leverage than other recent Fitch-rated Canadian multiborrower deals. The pool's Fitch debt service coverage ratio (DSCR) of 1.19x is above the 2015 through 2016 year-to-date (YTD) average of 1.16x. The pool's Fitch loan to value (LTV) of 102.9% is below the 2015 through 2016 YTD average of 105.1%. Significant Amortization: The pool's weighted average remaining amortization term is 25.4 years, which represents faster amortization than U.S. conduit loans. There are no partial or full interest-only loans. The pool's maturity balance represents a paydown of 22.6% of the closing balance, which represents less paydown than the 2015 through 2016 YTD Canadian average of 25.2%, but significantly more paydown than the 2016 YTD U.S. multiborrower average of 10.3%. 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. For more information on prior Canadian CMBS securitizations, see Fitch Research on 'Canadian CMBS Default and Loss Study,' dated October 2013. Loan with Recourse: Of the pool, 64.4% has full or partial recourse to the loan's non-SPE borrower and/or loan sponsor, which is less than the 2015 through 2016 YTD Canadian transaction average of 75.8%. In Fitch's analysis, the probability of default (PD) is reduced for loans with recourse. RATING SENSITIVITIES For this transaction, Fitch's net cash flow (NCF) was 13.5% 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). The following rating sensitivities describe how the ratings would react to further NCF declines below Fitch's NCF. The implied rating sensitivities are only indicative of some of the potential outcomes and do not consider other risk factors to which the transaction is exposed. Stressing additional risk factors may result in different outcomes. Furthermore, the implied ratings, after the further NCF stresses are applied, are more akin to what the ratings would be at deal issuance had those further stressed NCFs been in place at that time. Fitch evaluated the sensitivity of the ratings assigned to IMSCI 2016-7 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 'AA-sf' could result. In a more severe scenario, where NCF declined a further 30% from Fitch's NCF, a downgrade of the senior 'AAAsf' certificates to 'A-sf ' could result. The presale report includes a detailed explanation of additional stresses and sensitivities on page 10. 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 KPMG 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. JFIN MM 2014: S&P Affirms BB Rating on Class E Notes ---------------------------------------------------- S&P Global Ratings raised its ratings on the class B, C, and D notes and affirmed its ratings on the class A and E notes from JFIN MM CLO 2014 Ltd., a U.S. collateralized loan obligation (CLO) transaction that closed in April 2014 and is managed by Jefferies Finance LLC. The rating actions follow S&P's review of the transaction's performance, using data from the September 2016 trustee report. The transaction is scheduled to remain in its reinvestment period until April 2017. The upgrades primarily reflect credit quality stability in the underlying collateral and collateral seasoning since S&P's effective date rating affirmations in June 2015. Collateral with an S&P Global Ratings' credit rating of 'BB-' or higher has increased from the May 2015 effective date report used for S&P's previous review. The transaction has also benefited from collateral seasoning, with the reported weighted average life decreasing to 3.81 years from 4.49 years in May 2015. This seasoning has decreased the overall credit risk profile, which, in turn, provided more cushion to the tranche ratings. In addition, the number of issuers in the portfolio has increased during this period, which has increased diversification. The transaction has experienced an increase in both defaults and assets rated 'CCC+' and below since the May 2015 effective date report. Specifically, the amount of defaulted assets increased to $10.25 million (3.55% of the aggregate principal balance) as of September 2016 from $1.96 million as of the effective date report. The level of assets rated 'CCC+' and below increased to $23.94 million (8.28% of the aggregate principal balance) from $22.00 million over the same period. Overall, the increase in defaulted assets and assets rated 'CCC+' and below has been largely offset by the decline in the collateral portfolio's weighted average life. 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/B O/C ratio was 156.39%, down from 158.29%. -- The class C O/C ratio was 140.13%, down from 141.84%. -- The class D O/C ratio was 129.38%, down from 130.95%. -- The class E O/C ratio was 118.05%, down from 119.49%. However, the current coverage test ratios are all passing and well above their minimum threshold values. Although S&P's cash flow analysis indicated higher ratings for the class B, C, D, and E 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 on the class A and E notes 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 RAISED JFIN MM CLO 2014 Ltd. Rating Class To From B AA+ (sf) AA (sf) C AA- (sf) A (sf) D BBB+ (sf) BBB (sf) RATINGS AFFIRMED JFIN MM CLO 2014 Ltd. Class Rating A AAA (sf) E BB (sf) JP MORGAN 2006-LDP7: Fitch Lowers Rating on Cl. C Certs to 'Csf' ---------------------------------------------------------------- Fitch Ratings downgrades one class and affirms 12 classes of J. P. Morgan Chase Commercial Mortgage Securities Corp (JPMCC) commercial mortgage pass-through certificates series 2006-LDP7. KEY RATING DRIVERS The downgrade to class C is a result of a higher certainty of losses based on the significant concentration of specially serviced assets. Fitch modeled losses of 50.9% of the remaining pool; expected losses on the original pool balance total 13.9%, including $267 million (6.8% of the original pool balance) in realized losses to date. Fitch has designated 19 loans (90.5%) as Fitch Loans of Concern, which includes 18 specially serviced assets (87%). The transaction is highly concentrated with only 29 loans remaining of the original 271 at issuance. Of the remaining non-specially serviced loans, one loan (1%) did not pay off at its anticipated repayment date (ARD) of Oct. 1, 2016. The remaining performing loans have maturities in 2019 (6%), 2020 (3%), and 2% between 2021 and 2026. As of the September 2016 distribution date, the pool's aggregate principal balance has been reduced by 85.9% to $555 million from $3.94 billion at issuance. No loans are defeased. Interest shortfalls are currently affecting classes A-J through NR. The largest contributor to expected losses is the specially-serviced Westfield Centro Portfolio asset (43.3% of the pool), which is secured by a portfolio of four regional malls and one anchored retail center totaling 2.4 million square feet (sf; 1.7 million sf of which is collateral) located in OH, CT, MO, CA, and CO. Westfield Eagle Rock (Los Angeles, CA) is a 460,000 sf regional mall anchored by Macy's and Target is currently 97% occupied; Westfield Midway Mall (Elyria, OH) is a 748,000 sf regional mall anchored by JC Penney is currently 79% occupied; Westfield West Park Mall (Cape Girardeau., MO) is a 407,000 sf regional mall is anchored by Macy's, JC Penney and is currently 72% occupied; Westfield Enfield Square (Enfield, CT) is a 548,000 sf regional mall anchored by Sears and Target (Macy's is not part of the collateral and vacated April 2016) is currently 80% occupied; and Westfield Westland Town Center (Lakewood, CO) is a 328,000 sf power center anchored by Lowe's is currently 97% occupied. The loan was transferred to special servicing in May 2014 for imminent default. The loan matured in July 2016. The properties are all real estate owned (REO) as of Feburary 2016. Per the special servicer, there are currently no disposition plans for any of the properties and they are working to identify leasing opportunities. The next largest contributor to expected losses is the Linden Plaza A/B note loan (5.9%), which is secured by a 277,717 sf retail center anchored by Walmart. The major tenants include Modell's and Dollar Tree with lease expirations in 2023 and 2022. Dress Barn (3%) vacated the property at lease expiration in June 2016. The loan was modified in September 2015 and terms included A/B note structure and extension of the maturity date to May 1, 2019. The property suffered declines in occupancy in 2013 when two major tenants who occupied 49,986 sf and 20,786 sf, respectively, vacated their space. The property was 69% occupied as of July 2016. The master servicer reported a new lease was signed with Integrity Staffing Solutions for 3,000 sf which commenced Oct. 1, 2016. The borrower has engaged a third-party broker to assist with leasing at the property. Per the master servicer, the local market conditions are transitioning and the demographic has changed and more retail competition has emerged. The rental rates at the property are 25% below the market rates. The third largest contributor to expected losses is the specially-serviced Hilton - Lisle/Naperville loan (6.4%), which is secured by a full- service hotel consisting of 309 rooms located in Lisle, IL. The loan was transferred to special servicing on Feb. 12, 2016 for imminent default as the borrower was unable to refinance and pay off the loan at maturity due to insufficient property cash flow. Additionally, the Hilton franchise agreement expired at maturity. The borrower has secured a short-term extension until Dec. 31, 2016. Per the special servicer, they are proceeding with foreclosure plans while continuing discussions with the borrower. A receivership hearing is scheduled for Oct. 24, 2016. The property was 64% occupied as of May 2016 with an average daily rate (ADR) of $110 and revenue per available room (RevPAR) of $70 which represents a 2% decrease year over year compared to a 3% increase for its competitive set. RATING SENSITIVITIES The Rating Outlook on class A-M remains Negative due to the large number of specially serviced assets and the potential for increased expected losses and/or interest shortfalls. Although class A-J is currently recouping prior interest shortfalls, Fitch remains concerned with the potential for future interest shortfalls to increase should additional loans transfer to special servicing or if current specially serviced assets are not disposed of in a timely fashion. If interest shortfalls and/or expected losses increase, a downgrade to class A-M is possible. However, if specially serviced assets are disposed of and expected losses remain stable, the Rating Outlook may be revised to Stable. Downgrades are likely to class A-J and B as additional losses are incurred; upgrades are not likely. Fitch downgrades this class: -- $44.3 million class C to 'Csf' from 'CCsf'; RE 0%. Fitch also affirms these classes and revises REs as indicated: -- $34 million class A-M at 'AAAsf'; Outlook Negative; -- $310.3 million class A-J at 'CCCsf'; RE 75%; -- $78.8 million class B at 'CCsf'; RE 0%; -- $14.8 million class D at 'Csf'; RE 0%; -- $39.4 million class E at 'Csf'; RE 0%; -- $33.5 million class F at 'Dsf'; RE 0%; -- $0 class G at 'Dsf'; RE 0%; -- $0 class H at 'Dsf'; RE 0%; -- $0 class J at 'Dsf'; RE 0%; -- $0 class K at 'Dsf'; RE 0%; -- $0 class L at 'Dsf'; RE 0%; -- $0 class M at 'Dsf'; RE 0%. The class A-1, A-2, A-3A, A-3FL, A-3B, A-4, A-SB and A-1A certificates have paid in full. Fitch does not rate the class N, P, Q and NR certificates. Fitch previously withdrew the rating on the interest-only class X certificates. JP MORGAN 2013-C17: Fitch Affirms 'Bsf' Rating on Class F Certs. ---------------------------------------------------------------- Fitch Ratings has affirmed 13 classes of JP Morgan Chase Commercial Mortgage Securities Trust (JPMBB 2013-C17) commercial mortgage pass-through certificates series 2013-C17. KEY RATING DRIVERS The affirmations are based on overall stable performance of the underlying collateral pool. As of year-end 2015, aggregate pool-level NOI has improved 4.8% from 2014 and remains 2.5% higher than issuance. As of the September 2016 remittance, the pool's aggregate principal balance has been reduced by 2.4% to $1.056 billion from $1.082 billion at issuance. There have been no delinquent, specially serviced or defeased loans since issuance. Nine loans appear on the servicer's watchlist (9.3%) due to declines in Debt Service Coverage Ratio (DSCR), large tenant lease expiration, and a major casualty event. In particular, The Palms at Westheimer (2.2% of the pool) was affected by two incidences of fire in December 2015 displacing residents and destroying multiple units. The borrower has stated 52 of 798 units were taken off-line and are in the process of being restored. Since the fire, the borrower has made timely payments and an insurance check was deposited into a loss draft account. The borrower has sufficient loss business coverage extending for 12 months. The Dolfield Business Park loan (0.9%) is a notable Fitch Loan of Concern due to a substantial decline in occupancy to 39% from 91% due to several large tenants vacating at lease expiration. The loan is secured by a 71,400 sf office property in Owings Mills, MD. The borrower has several parties interested in the vacant space. The pool has two properties, Rivertowne Commons and Springfield Plaza (7.2%) with exposure to K-Mart as a tenant. K-Mart represents at least 20% of the NRA at each property. Although neither store was listed on any recent closing list, the exposure remains a concern based on the distressed credit of the retailer and pattern of frequent store closures. This pool has an above-average concentration of multifamily properties, which represent 25.6% of the total pool balance. This is above the average concentrations of 12.2% for the 2013 vintage for Fitch-rated transactions. Additionally, this transaction has a below-average concentration of hotel properties, which represent 8.5% of the total pool balance; the 2013 vintage average hotel concentration was 14.2%. The largest loan in the pool, Jordan Creek Town Center (10.9% of the pool), is a 10-year amortizing loan. The loan is subject to a $100 million pari passu note which is part of the JPMCC 2014-C18 transaction. The collateral consists of 503,034 sf of a 1.1 million-sf regional mall located in West Des Moines, IA. The property is anchored by Dillard's (non-collateral), Younkers (non-collateral) and Scheels All Sports. Sponsored by GGP, the loan is performing in line with expectations at issuance. As of June 2016, the mall was 94% occupied, compared to 95% at issuance. The servicer reported second quarter 2016 (2Q16) DSCR was 1.66x, compared to 1.63x at year-end (YE) 2015 and 1.59x at issuance. The Des Moines market is experiencing substantial growth with numerous development projects slated for completion including new retail developments, residential projects and several billion-dollar data centers planned by Google, Microsoft and Facebook. The second largest loan, EIP National Portfolio (8.8%), is secured by seven industrial buildings encompassing 3.2 million sf. The properties are located in six states, with two in Ohio and one each in Illinois, Florida, Pennsylvania, Texas and Michigan. The portfolio is currently leased to seven tenants: Toys 'R' Us, Staples (rated 'BBB-'), Rite-Aid, International Paper Company, Plastipak Packaging, HEB Grocery Company and Commonwealth, Inc. As of March 2016, the portfolio was 100% occupied with reported DSCR of 1.72x. Three tenants (50% of NRA) have extended lease terms since issuance, including the largest tenant in the portfolio, Toys 'R' Us (20%), and the second largest tenant, Staples (17%) which renewed for seven and 10 years, respectively. The Toys 'R' Us at the Youngstown, OH location was replaced by HMS Manufacturing Co. on a lease through 2022. Rite-Aid (13%) also renewed for five years, which mitigates the risk of closure due to the proposed acquisition of Rite-Aid by Walgreens Boots Alliance. The third largest loan, The Aire (8.4%), is secured by a 43-story luxury multifamily building located on the Upper West Side of Manhattan. The property is a 310-unit, 42-story luxury residential building constructed in 2010 that features numerous amenities and high-end finishes. Lincoln Center and The Julliard School are located across the street from The Aire, and Central Park, Riverside Park and The Shops at Columbus Circle are within walking distance. The loan is subject to a $135 million pari passu note, which is part of the JPMCC 2013-C16 transaction. The collateral is performing in line with underwritten expectations with occupancy of 95% (as of June 2016) and second quarter 2016 DSCR of 1.77x, compared to the 92% occupancy and 1.16x DSCR at issuance. According to Reis' 2Q16 report, the Upper West Side submarket of Manhattan had an apartment vacancy rate of 4.3% with average asking rents of $5,006. The subject is performing in-line with the submarket. RATING SENSITIVITIES Rating Outlooks for all classes remain Stable due to overall stable performance of the pool and continued amortization. Upgrades may occur with improved pool performance and significant paydown or defeasance. Downgrades to the classes are possible should overall pool performance decline. Fitch will continue to monitor the performance of the properties with exposure to K-Mart and the potential for closure. Fitch affirms these classes: -- $35.9 million class A-1 at 'AAAsf'; Outlook Stable; -- $67.6 million class A-2 at 'AAAsf'; Outlook Stable; -- $210 million class A-3 at 'AAAsf'; Outlook Stable; -- $319.1 million class A-4 at 'AAAsf'; Outlook Stable; -- $98.6 million class A-SB at 'AAAsf'; Outlook Stable; -- $83.9 million** class A-S at 'AAAsf'; Outlook Stable; -- $815.1 million* class X-A at 'AAAsf'; Outlook Stable; -- $62.2 million** class B at 'AA-sf'; Outlook Stable; -- $47.3 million** class C at 'A-sf'; Outlook Stable; -- $193.4 million** class EC at 'A-sf'; Outlook Stable; -- $48.7 million class D at 'BBB-sf'; Outlook Stable; -- $21.6 million class E at 'BBsf'; Outlook Stable; -- $12.2 million class F at 'Bsf'; Outlook Stable. * Notional amount and interest-only. ** Class A-S, B and C certificates may be exchanged for a related amount of class EC certificates, and class EC certificates may be exchanged for class A-S, B and C certificates Fitch does not rate the class NR and X-C certificates. Fitch previously withdrew the rating on the interest-only class X-B certificates. JP MORGAN 2016-WIKI: S&P Assigns Prelim. B- Rating on Cl. F Certs ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to J.P. Morgan Chase Commercial Mortgage Securities Trust 2016-WIKI's $400 million commercial mortgage pass-through certificates series 2016-WIKI. The issuance is a CMBS transaction backed by one fixed-rate commercial mortgage loan totaling $400 million, secured by a first-mortgage lien on the borrowers' leasehold interest in the 1,230-room Hyatt Regency-Waikiki Beach Resort & Spa. The preliminary ratings are based on information as of Oct. 6, 2016. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings assigned reflect S&P' view of the collateral's historical and projected performance, the sponsors' and managers' experience, the trustee-provided liquidity, the loans' terms, and the transaction's structure. PRELIMINARY RATINGS ASSIGNED J.P. Morgan Chase Commercial Mortgage Securities Trust 2016-WIKI Class Prelim rating Amount ($) A AAA (sf) 138,800,000 X-A AAA (sf) 138,800,000* X-B A- (sf) 84,100,000* B AA- (sf) 48,200,000 C A- (sf) 35,900,000 D BBB- (sf) 47,400,000 E BB- (sf) 68,600,000 F B- (sf) 61,100,000 Note: The certificates will be issued to qualified institutional buyers according to Rule 144A of the Securities Act of 1933. *Notional balance. The notional amount of the class X-A certificates will be reduced by the aggregate amount of principal distributions and realized losses allocated to class A certificates. The notional amount of the class X-B certificates will be reduced by the aggregate amount of principal distributions and realized losses allocated to the class B and C certificates. LIGHTPOINT CLO VII: Moody's Affirms Ba3 Rating on Class D Notes --------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by LightPoint CLO VII, Ltd.: US $25,000,000 Class B Deferrable Floating Rate Notes Due 2021, Upgraded to Aa1 (sf); previously on January 14, 2016 Upgraded to Aa2 (sf) US $18,000,000 Class C Deferrable Floating Rate Notes Due 2021, Upgraded to Baa1 (sf); previously on January 14, 2016 Upgraded to Baa2 (sf) Moody's also affirmed the ratings on the following notes: -- US $335,250,000 Class A-1 Floating Rate Notes Due 2021 (current outstanding balance of $77,119,260), Affirmed Aaa (sf); previously on January 14, 2016 Affirmed Aaa (sf) -- US $21,250,000 Class A-2 Floating Rate Notes Due 2021, Affirmed Aaa (sf); previously on January 14, 2016 Affirmed Aaa (sf) -- US $17,000,000 Class D Deferrable Floating Rate Notes Due 2021, Affirmed Ba3 (sf); previously on January 14, 2016 Upgraded to Ba3 (sf) LightPoint CLO VII, Ltd., issued in May 2007, is a collateralized loan obligation (CLO) backed primarily by a portfolio of senior secured loans. The transaction's reinvestment period ended in May 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 January 2016. The Class A-1 notes have been paid down by approximately 55.9% or $97.9 million since then. Based on Moody's calculation, the OC ratios for the Class A-1, A-2, B, C and D notes are currently at 214.5%, 168.2%, 134.1%, 117.0%, and 104.5%, respectively, versus January 2016 levels of 151.3%, 134.9%, 119.7%, 110.7% and 103.3%, respectively. Nevertheless, the credit quality of the portfolio has deteriorated since January 2016. Based on Moody's calculation, the weighted average rating factor (WARF) is currently 2754, compared to 2329 in January 2016. 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. -- 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. -- Exposure to assets with low credit quality and weak liquidity: The presence of assets rated the worst Moody's speculative grade liquidity (SGL) rating, SGL-4, exposes the notes to additional risks if these assets default. The historical default rate is higher than average for these assets. Due to the deal's exposure to such assets, which constitute around $3.5 million of par, Moody's ran a sensitivity case defaulting those assets. In addition to the base case analysis, Moody's also conducted sensitivity analyses to test the impact of a number of default probabilities on the rated notes relative to the base case modeling results, which may be different from the current public ratings of the notes. Below is a summary of the impact of different default probabilities (expressed in terms of WARF) on all of the rated notes (by the difference in the number of notches versus the current model output, for which a positive difference corresponds to lower expected loss): Moody's Adjusted WARF -- 20% (2203) -- Class A-1: 0 -- Class A-2: 0 -- Class B: +1 -- Class C: +3 -- Class D: +2 Moody's Adjusted WARF + 20% (3305) -- Class A-1: 0 -- Class A-2: 0 -- Class B: -1 -- Class C: -1 -- Class D: 0 Loss and Cash Flow Analysis: Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. In its base case, Moody's analyzed the collateral pool as having a performing par and principal proceeds balance of $165.4 million, no defaulted par, a weighted average default probability of 15.93% (implying a WARF of 2754), a weighted average recovery rate upon default of 51.10%, a diversity score of 26 and a weighted average spread of 3.13% (before accounting for LIBOR floors). Moody's incorporates the default and recovery properties of the collateral pool in cash flow model analysis where they are subject to stresses as a function of the target rating on each CLO liability reviewed. Moody's derives the default probability from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate for future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and the collateral manager's latitude for trading the collateral are also factors. MERRILL LYNCH 2005-LC1: S&P Affirms B+ Rating on Cl. F Certs ------------------------------------------------------------ S&P Global Ratings affirmed its ratings on two classes of commercial mortgage pass-through certificates from Merrill Lynch Mortgage Trust 2005-LC1, a U.S. commercial mortgage-backed securities (CMBS) transaction. The affirmations on classes F and G reflect S&P's expectation that the available credit enhancement for these classes will be within its estimate of the necessary credit enhancement required for the current ratings. The affirmations also reflect S&P's views regarding the collateral's current and future performance, the transaction structure, and liquidity support available to the classes. While available credit enhancement levels suggest positive rating movements on classes F and G, S&P's analysis also considered the susceptibility to reduced liquidity support from the eight specially serviced assets ($48.5 million, 85.5%). Furthermore, S&P also considered the DRS Tactical Systems Office Building loan ($8.2 million, 14.4%), which is currently on the master servicer's watchlist due to a low reported debt service coverage (DSC). The loan reported a DSC of 0.02x as of March 2016 because the sole tenant at the collateral property vacated at its lease expiration. S&P considered the possibility of reduced liquidity support from this loan and the specially serviced assets in its rating of classes F and G. TRANSACTION SUMMARY As of the Sept. 12, 2016, trustee remittance report, the collateral pool balance was $56.8 million, which is 3.7% of the pool balance at issuance. The pool currently includes six loans and four real estate owned (REO) assets, down from 142 loans at issuance. Eight of these assets are with the special servicer and one is on the master servicer's watchlist. The master servicer, Berkadia Commercial Mortgage LLC, reported financial information for 83.3% of the assets in the pool, of which 97.9% was year-end 2015 data and the remainder was year-end 2014 data. S&P calculated a 1.60x S&P Global Ratings weighted average DSC and 61.8% S&P Global Ratings weighted average loan-to-value (LTV) ratio using a 8.25% S&P Global Ratings weighted average capitalization rate. The DSC, LTV, and capitalization rate calculations exclude the eight specially serviced assets. To date, the transaction has experienced $46.2 million in principal losses, or 3.0% of the original pool trust balance. S&P expects losses to reach approximately 4.3% of the original pool trust balance in the near term, based on losses incurred to date and additional losses S&P expects upon the eventual resolution of the eight specially serviced assets. CREDIT CONSIDERATIONS As of the Sept. 12, 2016, trustee remittance report, eight assets in the pool were with the special servicer, LNR Partners LLC (LNR). Details of the two largest specially serviced assets are: -- The Stirling Town Center asset ($11.3 million, 19.8%) is the largest asset with LNR and is the largest asset in the pool, with a total reported exposure of $14.9 million. The asset is a retail center totaling 53,849 sq. ft. in Cooper City, Fla. The loan was transferred to the special servicer in September 2011 due to payment default, and the property Became REO on March 5, 2014. LNR stated that the asset is on the market with Newmark and will be included in the November 2016 auction. A $3.8 million appraisal reduction amount (ARA) is in effect against this asset. S&P expects a moderate loss (26%-59%) upon this asset’s eventual resolution. -- The Rochester Hills Shopping Center loan ($10.5 million, 18.4%) is the second-largest asset with LNR and is the second-largest asset in the pool with a total reported exposure of $11.3 million. The loan is secured by a 95,673- sq.-ft. retail property in Rochester Hills, Mich. The loan was transferred to the special servicer in September 2015 due to imminent maturity default. LNR stated that it is moving forward with foreclosure. The reported DSC and occupancy as of year-end 2015 were 1.19x and 61.9%, respectively. An ARA of $4.6 million is in effect against this loan. S&P expects a moderate loss upon this loan's eventual resolution. The six remaining assets with the special servicer have each individual balances that represent less than 16.7% of the total pool trust balance. S&P estimated losses for the eight specially serviced assets, arriving at a weighted average loss severity of 41.9%. RATINGS LIST Merrill Lynch Mortgage Trust Commercial mortgage pass through certificates series 2005-LC1 Rating Class Identifier To From F 59022HNK4 B+ (sf) B+ (sf) G 59022HNL2 B- (sf) B- (sf) MORGAN STANLEY 2004-HQ4: Fitch Withdraws Dsf Rating on 7 Tranches ----------------------------------------------------------------- Fitch Ratings withdraws the ratings on seven classes of Morgan Stanley Capital I Trust's (MSCI) commercial mortgage pass-through certificates, series 2004-HQ4, as a result of realized losses. The trust balances have been reduced to $0. KEY RATING DRIVERS The trust balances have been reduced to $0 or have experienced non-recoverable realized losses and are no longer considered by Fitch to be relevant to the agency's coverage. RATING SENSITIVITIES All classes have been paid in full, partially repaid with a realized loss, or fully written down due to realized losses. DUE DILIGENCE USAGE No third party due diligence was provided or reviewed in relation to this rating action. Fitch withdraws the ratings on the following classes: --$0 class J at 'Dsf/RE 5%'; --$0 class K at 'Dsf/RE 0%'; --$0 class L at 'Dsf/RE 0%'; --$0 class M at 'Dsf/RE 0%'; --$0 class N at 'Dsf/RE 0%'; --$0 class O at 'Dsf/RE 0%'; --$0 class P at 'Dsf/RE 0%'. MOUNTAIN VIEW II: Moody's Affirms Ba3 Rating on Class E Notes ------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Mountain View CLO II Ltd.: -- US $24,100,000 Class C Floating Rate Deferrable Notes Due January 2021, Upgraded to Aa1 (sf); previously on February 11, 2016 Upgraded to Aa3 (sf) -- US $19,700,000 Class D Floating Rate Deferrable Notes Due January 2021, Upgraded to Baa1 (sf); previously on February 11, 2016 Affirmed Baa2 (sf) Moody's also affirmed the ratings on the following notes: -- US $217,000,000 Class A-1 Floating Rate Notes Due January 2021 (current outstanding balance of $121,114,204), Affirmed Aaa (sf); previously on February 11, 2016 Affirmed Aaa (sf) -- US $118,000,000 Class A-2 Delayed Draw Floating Rate Notes Due January 2021 (current outstanding balance of $65,859,337), Affirmed Aaa (sf); previously on February 11, 2016 Affirmed Aaa (sf) -- US $7,000,000 Class A-3 Delayed Draw Floating Rate Notes Due January 2021 (current outstanding balance of $3,906,910), Affirmed Aaa (sf); previously on February 11, 2016 Affirmed Aaa (sf) -- US $26,000,000 Class B Floating Rate Notes Due January 2021, Affirmed Aaa (sf); previously on February 11, 2016 Affirmed Aaa (sf) -- US $14,700,000 Class E Floating Rate Deferrable Notes Due January 2021, Affirmed Ba3 (sf); previously on February 11, 2016 Affirmed Ba3 (sf) Mountain View CLO II Ltd., issued in December 2006, is a collateralized loan obligation (CLO) backed primarily by a portfolio of senior secured loans. The transaction's reinvestment period ended in January 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 February 2016. The Class A notes have been collectively paid down by approximately 22.7% or $55.9 million since that time. Based on the trustee's August 2016 report, the OC ratios for the Class A/B, Class C, Class D and Class E notes are reported at 131.41%, 118.27%, 109.33% and 103.50%, respectively, versus February 2016 levels of 125.34%, 115.17%, 108.00% and 103.21%, respectively. Nevertheless, the credit quality of the portfolio has deteriorated since February 2016. Based on Moody's calculation, the weighted average rating factor (WARF) is currently 2816 compared to 2576 at that time. 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. -- Post-Reinvestment Period Trading: Subject to certain requirements, the deal can reinvest certain proceeds after the end of the reinvestment period, and as such the manager has the ability to erode some of the collateral quality metrics to the covenant levels. Such reinvestment could affect the transaction either positively or negatively. -- Exposure to assets with low credit quality and weak liquidity: The presence of assets rated Caa3 with a negative outlook, Caa2 or Caa3 on review for downgrade or the worst Moody's speculative grade liquidity (SGL) rating, SGL-4, exposes the notes to additional risks if these assets default. The historical default rate is higher than average for these assets. Due to the deal's exposure to such assets, which constitute around $7.7 million of par, Moody's ran a sensitivity case defaulting those assets. In addition to the base case analysis, Moody's also conducted sensitivity analyses to test the impact of a number of default probabilities on the rated notes relative to the base case modeling results, which may be different from the current public ratings of the notes. Below is a summary of the impact of different default probabilities (expressed in terms of WARF) on all of the rated notes (by the difference in the number of notches versus the current model output, for which a positive difference corresponds to lower expected loss): Moody's Adjusted WARF -- 20% (2253) -- Class A-1: 0 -- Class A-2: 0 -- Class A-3: 0 -- Class B: 0 -- Class C: +2 -- Class D: +2 -- Class E: +1 Moody's Adjusted WARF + 20% (3380) -- Class A-1: 0 -- Class A-2: 0 -- Class A-3: 0 -- Class B: 0 -- Class C: -2 -- Class D: -2 -- 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 $284.1 million, defaulted par of $12.1 million, a weighted average default probability of 13.38% (implying a WARF of 2816), a weighted average recovery rate upon default of 50.37%, a diversity score of 35 and a weighted average spread of 3.40% (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 structured finance 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 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, for each credit estimate whose related exposure constitutes more than 3% of the collateral pool, Moody's applied a two-notch equivalent assumed downgrade. In this analysis, such an adjustment impacted approximately 3.08% of the pool. NATIONSTAR HECM: Moody's Puts Ba2 Rating on M2 Debt on Review ------------------------------------------------------------- Moody's Investors Service has placed the ratings of eight tranches from four transactions issued by Nationstar HECM Loan on review with the direction uncertain. The collateral backing these transactions consists of pools of first-lien inactive HECMs. The complete rating actions are: Issuer: Nationstar HECM Loan Trust 2015-2 Cl. M1, A3 (sf) Placed Under Review Direction Uncertain; previously on Nov. 24, 2015, Definitive Rating Assigned A3 (sf) Cl. M2, Ba2 (sf) Placed Under Review Direction Uncertain; previously on Nov. 24, 2015, Definitive Rating Assigned Ba2 (sf) Issuer: Nationstar HECM Loan Trust 2016-1 Cl. M1, A3 (sf) Placed Under Review Direction Uncertain; previously on March 2, 2016, Definitive Rating Assigned A3 (sf) Cl. M2, Ba3 (sf) Placed Under Review Direction Uncertain; previously on March 2, 2016, Definitive Rating Assigned Ba3 (sf) Issuer: Nationstar HECM Loan Trust 2016-2 Cl. M1, A3 (sf) Placed Under Review Direction Uncertain; previously on June 29, 2016, Definitive Rating Assigned A3 (sf) Cl. M2, Ba3 (sf) Placed Under Review Direction Uncertain; previously on June 29, 2016, Definitive Rating Assigned Ba3 (sf) Issuer: Nationstar HECM Loan Trust 2016-3 Cl. M1, A2 (sf) Placed Under Review Direction Uncertain; previously on Aug. 17, 2016, Definitive Rating Assigned A2 (sf) Cl. M2, Ba2 (sf) Placed Under Review Direction Uncertain; previously on Aug. 17, 2016, Definitive Rating Assigned Ba2 (sf) RATINGS RATIONALE The review action is a result of notification of incorrect data provided to us by Nationstar when assigning ratings on the four transactions. On Oct. 4, Nationstar informed Moody's that the unpaid balance at the called due date provided at the time of deals' issuance was incorrect for approximately 500 loans across the four transactions. The called due balance was overstated by between $8,000 and $45,000 per loan; overall, the overstated amount totals roughly $15 million. Nationstar has advised Moody's that the error was due to their receipt of incorrect information from a third-party originator at the time of loan boarding, and that Nationstar identified the error while conducting review procedures. The unpaid principal balance at the called due date is the balance of the loan at the time the loan becomes due and payable. The unpaid balance at the called due date is used when filing insurance claims with HUD and a downward revision to this variable implies that insurance proceeds could be lower than initially expected. Moody's is awaiting the revised closing and remittance tapes from Nationstar. Once Moody's receives the updated data, it will assess the credit rating impact. The ratings were placed on review because they could be negatively impacted by the overstatement of the unpaid balance at the called due date. However, the rated bonds have built up significant credit enhancement since issuance which could offset any negative impact from the data error. The final rating actions will take into consideration the corrected data and the most updated performance which includes improvements in credit enhancement and liquidations to date. Moody's has also observed delays in the recognition of gross write-offs across the four transactions. Such delays have a negative impact on performance by increasing the length of time between when a loan is fully liquidated and when the servicer reimburses the trust due to servicing errors. Moody's has discussed this issue with Nationstar and they have informed us that the delays will be addressed within the next few months. The action is based solely on the reported data error on the four transactions. The methodologies used in these ratings were "Moody's Approach to Rating Securitisations Backed by Non-Performing and Re-Performing Loans," published in August 2016 and "Moody's Global Approach to Rating Reverse Mortgage Securitizations," published in May 2015. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of stress could drive the ratings up. Transaction performance depends greatly on the US macro economy and housing market. Property markets could improve from our original expectations resulting in appreciation in the value of the mortgaged property and faster property sales. Down Levels of credit protection that are insufficient to protect investors against current expectations of stresses could drive the ratings down. Transaction performance depends greatly on the US macro economy and housing market. Property markets could deteriorate from our original expectations resulting in depreciation in the value of the mortgaged property and slower property sales. 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. NRZ ADVANCE 2015-ON1: S&P Gives Prelim BB Rating on 2 Tranches -------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to NRZ Advance Receivables Trust 2015-ON1's $400 million advance receivables-backed notes series 2016-T2 and $400 million advance receivables-backed notes series 2016-T3. The note issuance is a servicer advance transaction backed by servicer advance and accrued and unpaid servicing fee reimbursements. The preliminary ratings are based on information as of Oct. 11, 2016. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The strong likelihood of reimbursement of servicer advance receivables given the priority of such reimbursement payments; -- The transaction's revolving period, during which collections or draws on the outstanding variable funding note may be used to fund additional advance receivables, and the specified eligibility requirements, collateral value exclusions, credit enhancement test (the collateral test), and amortization triggers intended to maintain pool quality and credit enhancement during this period; -- The transaction's use of predetermined, rating category- specific advance rates for each receivable type in the pool that discount the receivables, which are non-interest bearing, to satisfy the interest obligations on the notes, as well as provide for dynamic overcollateralization; -- The projected timing of reimbursements of the servicer advance receivables, which, in the 'AAA', 'AA', and 'A' scenarios, reflects S&P's assumption that the servicer would be replaced, while in the 'BBB' and 'BB' scenarios, reflects the servicer's historical reimbursement experience; -- The credit enhancement in the form of overcollateralization, subordination, and the series reserve accounts; -- The timely interest and full principal payments made under S&P's stressed cash flow modeling scenarios consistent with the assigned preliminary ratings; and -- The transaction's sequential turbo payment structure that applies during any full amortization period. PRELIMINARY RATINGS ASSIGNED NRZ Advance Receivables Trust 2015-ON1 (Series 2016-T2 and 2016-T3) Class Rating Type Interest Amount rate (mil. $) Series 2016-T2 A-T2 AAA (sf) Term note Fixed 328.764 B-T2 AA (sf) Term note Fixed 11.418 C-T2 A (sf) Term note Fixed 13.103 D-T2 BBB (sf) Term note Fixed 42.184 E-T2 BB (sf) Term note Fixed 4.531 Series 2016-T3 A-T3 AAA (sf) Term note Fixed 322.060 B-T3 AA (sf) Term note Fixed 11.156 C-T3 A (sf) Term note Fixed 12.653 D-T3 BBB (sf) Term note Fixed 47.109 E-T3 BB (sf) Term note Fixed 7.022 ONE LIBERTY: S&P Affirms B+ Rating on Class C Notes --------------------------------------------------- S&P Global Ratings raised its rating on the class B notes from Liberty CLO Ltd. S&P also removed this rating from CreditWatch, where it placed it with positive implications on July 14, 2016. At the same time, S&P affirmed its ratings on the class C notes from the same transaction. Liberty CLO Ltd. is a cash flow collateralized loan obligation (CLO) that closed in December 2005 and is managed by Highland Capital Management L.P. The rating actions follow S&P's review of the transaction's performance using data from the Aug. 31, 2016 trustee report. The upgraded rating reflects the transaction's $86.88 million of collective paydown to the rated notes since S&P's October 2015 rating actions, which has previously paid off in full the class A-3 and A-4 notes, and has left the class B notes with approximately 83.97% of their original balance remaining. These paydowns resulted in improved reported overcollateralization (O/C) ratios since the August 2015 trustee report, which S&P used for its previous rating actions: -- The class B O/C ratio improved to 199.19% from 136.89%. -- The class C O/C ratio improved to 114.59% from 110.64%. The collateral portfolio's credit quality has also improved since S&P's last rating actions, as demonstrated by a decrease in both low rated and defaulted securities. Collateral obligations with ratings in the 'CCC' category have decreased, with $10.28 million reported as of the August 2016 trustee report, compared with $17.92 million reported as of the August 2015 trustee report, and the amount of defaulted collateral held in the portfolio has decreased to $37.23 million from $40.98 million. Despite these decreases, the concentrations of both 'CCC' and defaulted collateral as a proportion of the portfolio have increased, as assets are amortizing and the portfolio is becoming more concentrated. As of August 2016, the transaction holds less than 20 individual performing issuers in the underlying portfolio. Notwithstanding this concentration, the transaction has benefited from a drop in the weighted average life due to underlying collateral's seasoning, with 1.11 years reported as of the August 2016 trustee report, compared with 1.81 years reported as of the August 2015 trustee report. The transaction has significant exposure to long-dated assets (assets maturing after the CLO's stated maturity). According to the August 2016 trustee report, the balance of collateral with a maturity date after the transaction's stated maturity totaled $24.10 million (20.72% of the portfolio). A CLO concentrated in long-dated assets could be exposed to market value risk at maturity because the collateral manager may have to sell long-dated assets for less than par to repay the CLO's rated notes when they mature. S&P's analysis and rating actions took into account the potential market value risk and settlement-related risk arising from the possible liquidation of the remaining securities on the transaction's legal final maturity date. The affirmation reflects S&P's view 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. RATING RAISED Liberty CLO Ltd. Rating Class To From B AA+ (sf) A+ (sf)/Watch Pos RATING AFFIRMED Liberty CLO Ltd. Class Rating C B+ (sf) OZLM FUNDING II: S&P Gives Prelim. BB Rating on Cl. D-R Notes ------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to OZLM Funding II Ltd.'s $498.50 million replacement notes. This is a proposed refinancing of its November 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. 31, 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 our preliminary ratings on the replacement notes. Based on provisions in the supplemental indenture: -- The replacement class A-2-R and B-R notes are expected to be issued at a lower spread than the original notes. The replacement class A-1-R, C-R and D-R notes are expected to be issued at a higher spread than the original notes. -- The reinvestment period and weighted average life test date will be extended by 2.5 years and the stated maturity will be extended four years. -- The overcollateralization levels 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 issuances Class Amount Interest (mil. $) rate (%) A-1-R 336.50 3ML plus 1.44 A-2a-R 52.90 3ML plus 2.00 A-2b-R 10.00 3.34 B-R 45.80 3ML plus 2.75 C-R 26.50 3ML plus 4.00 D-R 26.80 3ML plus 7.30 Subordinated notes 61.60 N/A Original notes Class Amount Interest (mil. $) rate (%) A-1 336.50 3ML plus 1.48 A-2 62.90 3ML plus 2.65 B 45.80 3ML plus 3.25 C 26.50 3ML plus 4.35 D 26.80 3ML plus 5.30 Subordinated notes 61.60 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's review of the transaction also relied in part upon a criteria interpretation with respect to ""CDOs: Mapping A Third Party's Internal Credit Scoring System To Standard & Poor's Global Rating Scale," published May 8, 2014, which allows S&P to use a limited number of public ratings from other NRSROs for the purposes of assessing the credit quality of assets not rated by Standard & Poor's. The criteria provide specific guidance for treatment of corporate assets not rated by S&P Global Ratings, and the interpretation outlines treatment of securitized assets. 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 OZLM Funding II Ltd./OZLM Funding II LLC Amount Replacement class Rating (mil. $) A-1-R AAA (sf) 336.50 A-2a-R AA+ (sf) 52.90 A-2b-R AA+ (sf) 10.00 B-R A+ (sf) 45.80 C-R BBB (sf) 26.50 D-R BB (sf) 26.80 Subordinated notes NR 61.60 NR--Not rated. PUTNAM STRUCTURED 2001-1: Moody's Raises Rating on C-1 Debt to B3 ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on these notes issued by Putnam Structured Product CDO 2001-1 Ltd.: $9,000,000 Class C-1 Floating Rate Notes due 2037, Upgraded to B3 (sf); previously on Oct 16, 2015 Upgraded to Caa3 (sf) $9,000,000 Class C-2 Fixed Rate Notes Due 2037, Upgraded to B3 (sf); previously on Oct 16, 2015 Upgraded to Caa3 (sf) RATINGS RATIONALE Moody's has upgraded the ratings due to rapid full and partial amortization of collateral since last review in the order of approximately $21.6 million. This more than offset the increase in credit risk of the remaining collateral pool as evidenced by WARF and WARR. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO and Re-REMIC) transactions. Putnam 2001-1 is a cash transaction whose reinvestment period ended in November 2006. The transaction, excluding a tendered REIT asset, is backed by a portfolio of: i) asset backed securities (ABS) (49.6% of the pool balance), primarily in the form of home equity and Alt-A securities; ii) CRE CDO bonds (31.8%); and iii) corporate bonds (18.5%). As of the trustee's August 18, 2016 report, the aggregate note balance of the transaction, including preferred shares, is $28.7 million, as compared to $300.0 million at issuance with the paydown directed to the senior most outstanding class of notes, as a result of regular amortization. The pool contains nineteen assets totaling $11.4 million (33.7% of the collateral pool balance) that are listed as defaulted securities as of the trustee's August 18, 2016 report. Seventeen of these assets (60.3% of the defaulted balance) are RMBS, and two assets are CRE CDO (39.7%). While there have been limited realized losses on the underlying collateral to date, Moody's does expect moderate/high losses to occur on the defaulted securities. 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 3535, compared to 2390 at last review. The current ratings, excluding a tendered REIT asset, on the Moody's-rated collateral and the assessments of the non-Moody's rated collateral follow: Aaa-Aa3 (27.4% compared to 19.6% at last review); A1-A3 (8.3% compared to 0.0% at last review); Baa1-Baa3 (6.2% compared to 44.2% at last review); Ba1-Ba3 (17.2% compared to 7.1% at last review); B1-B3 (0.3% compared to 5.5% at last review); and Caa1-Ca/C (40.7%, compared to 23.6% at last review). Moody's modeled a WAL of 2.8 years, as compared to 4.0 years at last review. The WAL is based on assumptions about extensions on the underlying look-through collateral. Moody's modeled a fixed WARR of 19.6%, as compared to 21.2% at last review. Moody's modeled a MAC of 0%, same as that at last review. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Approach to Rating SF CDOs" published in July 2015. Factors that would lead to an upgrade or downgrade of the ratings: The performance of the notes is subject to uncertainty, because it is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that are subject to change. The servicing decisions of the master and special servicer and surveillance by the operating advisor with respect to the collateral interests and oversight of the transaction will also affect the performance of the rated notes. Moody's Parameter Sensitivities: Changes to any one or more of the key parameters could have rating implications for some of the rated notes, although a change in one key parameter assumption could be offset by a change in one or more of the other key parameter assumptions. The rated notes are particularly sensitive to changes in the ratings recovery rates of the underlying collateral and credit assessments. Reducing the recovery rates of 100% of the collateral pool by 5% would result in an average modeled rating movement on the rated notes of zero to two notches downward (e.g., one notch down implies a ratings movement of Baa3 to Ba1). Increasing the recovery rate of 100% of the collateral pool by 5% would result in an average modeled rating movement on the rated notes of zero to one notches upward (e.g., one notch up implies a ratings movement of Baa3 to Baa2). The primary sources of uncertainty in Moody's assumptions are the extent of growth in the current macroeconomic environment given the weak recovery and certain commercial real estate property markets. Commercial real estate property values continue to improve modestly, along with a rise in investment activity and stabilization in core property type performance. Limited new construction and moderate job growth have aided this improvement. However, sustained growth will not be possible until investment increases steadily for a significant period, non-performing properties are cleared from the pipeline and fears of a euro area recession abate. PUTNAM STRUCTURED 2003-1: Moody's Affirms Caa3 Rating on A-2 Debt ----------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on the following notes issued by Putnam Structured Product Funding 2003-1 Ltd/Putnam Structured Product Funding 2003-1 LLC: Cl. A-1LT-a, Affirmed Baa3 (sf); previously on Oct. 9, 2015, Upgraded to Baa3 (sf) Cl. A-1LT-b, Affirmed Baa3 (sf); previously on Oct. 9, 2015, Upgraded to Baa3 (sf) Cl. A-1LT-c, Affirmed Baa3 (sf); previously on Oct. 9, 2015, Upgraded to Baa3 (sf) Cl. A-2, Affirmed Caa3 (sf); previously on Oct. 9, 2015, Affirmed Caa3 (sf) Cl. B, Affirmed Ca (sf); previously on Oct. 9, 2015, Affirmed Ca (sf) Cl. C, Affirmed C (sf); previously on Oct 9, 2015, Affirmed C (sf) Cl. Equity, Affirmed C (sf); previously on Oct. 9, 2015, Affirmed C (sf) Moody's has affirmed the ratings on the transaction because its key transaction metrics are commensurate with existing ratings. While the credit quality of the remaining pool has decreased as evidenced by WARF and WARR, there has been material amortization since last review that has offset any migration in credit quality. The affirmations are the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO & Re-REMIC) transactions. Putnam Funding 2003-1 is a cash transaction whose reinvestment period ended in October 2010. The transaction is backed by a portfolio of: i) asset backed securities (ABS) (61% of the pool balance) which are primarily in the form of subprime Residential Mortgage Backed Securities (RMBS); ii) CRE CDO bonds (20.1%); and iii) commercial mortgage backed securities (CMBS) (18.9%). As of the trustee's September 8, 2016 report, the aggregate note balance of the transaction, including preferred shares, is $193.1 million, as compared to $561 million at issuance with the paydown directed to the senior most outstanding class of notes, as a result of regular amortization. The pool contains forty five assets totaling $59.8 million (32.7% of the collateral pool balance) that are listed as defaulted securities as of the trustee's September 8, 2016 report. Six of these assets (36.9% of the defaulted balance) are CDO, thirty one assets (32.6%) are RMBS bonds, and seven assets (30.5%) are CMBS. While there have been limited realized losses on the underlying collateral to date, Moody's does expect moderate/high losses to occur on the defaulted assets once they are realized. While there have been limited realized losses on the underlying collateral to date, Moody's does expect moderate losses to occur on the defaulted securities. 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 6631, compared to 6157 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 (8.0% compared to 14.1% at last review), A1-A3 (1.1% compared to 2.0% at last review), Baa1-Baa3 (8.6% compared to 4.4% at last review), Ba1-Ba3 (4.5% compared to 8.7% at last review), B1-B3 (1.9% compared to 4.8% at last review), and Caa1-Ca/C (76.0% compared to 66.0% at last review). Moody's modeled a WAL of 2.5 years, as compared to 3.0 years at last review. The WAL is based on assumptions about extensions on the underlying look-through collateral. Moody's modeled a fixed WARR of 6.7%, as compared to 10.5% at last review. Moody's modeled a MAC of 100%, same as last review. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Approach to Rating SF CDOs" published in July 2015. Factors that would lead to an upgrade or downgrade of the ratings: The performance of the notes is subject to uncertainty, because it is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that are subject to change. The servicing decisions of the master and special servicer and surveillance by the operating advisor with respect to the collateral interests and oversight of the transaction will also affect the performance of the rated notes. Moody's Parameter Sensitivities: Changes to any one or more of the key parameters could have rating implications for some of the rated notes, although a change in one key parameter assumption could be offset by a change in one or more of the other key parameter assumptions. The rated notes are particularly sensitive to changes in the ratings recovery rates of the underlying collateral and credit assessments. Reducing the recovery rate of 100% of the collateral pool by 5% would result in an average modeled rating movement on the rated notes of zero to one notches downward (e.g., one notch down implies a ratings movement of Baa3 to Ba1). Increasing the recovery rate of 100% of the collateral pool by 5% would result in an average modeled rating movement on the rated notes of zero notches upward (e.g., one notch up implies a ratings movement of Baa3 to Baa2). The primary sources of uncertainty in Moody's assumptions are the extent of growth in the current macroeconomic environment given the weak recovery and certain commercial real estate property markets. Commercial real estate property values continue to improve modestly, along with a rise in investment activity and stabilization in core property type performance. Limited new construction and moderate job growth have aided this improvement. However, sustained growth will not be possible until investment increases steadily for a significant period, non-performing properties are cleared from the pipeline and fears of a euro area recession abate. RAIT PREFERRED II: S&P Raises Rating on Class A-2 Notes to BB+ -------------------------------------------------------------- S&P Global Ratings raised its ratings on the class A-1R, A-1T, and A-2 floating-rate notes from RAIT Preferred Funding II Ltd., a U.S. commercial real estate collateralized debt obligations (CRE-CDO) transaction. Concurrently, S&P affirmed its ratings on eight other classes from the same transaction. The rating actions follow S&P's review of the transaction's performance using data from the Sept. 11, 2016 trustee report. The upgrades reflect the transaction's $205.35 million in collective paydowns to the class A-1R and A-1T (pari passu) notes since S&P's August 2014 rating actions. Following paydowns, class A-1R and A-1T are at 25.07% of the original issuance, down from 75.46% during S&P's last review. The lower balances of the senior notes improved the reported overcollateralization (O/C) ratios. For instance, as per the September 2016 monthly report, the class A/B O/C ratio is at 179.86%, up from 147.56% in the July 2014 trustee report, which S&P used for its previous rating actions. Though most of the assets of the underlying collateral are whole loans, a significant portion of them have had modifications. Consequently, though cash flows indicate a higher rating for most of the tranches, S&P's analysis considered the above and also the credit quality of the assets backing the notes. The affirmations on the eight classes reflect S&P's view that available credit support is consistent with the current rating levels. Because the transaction previously experienced subordinate debt cancellation, S&P's ratings relied, in part, on a criteria interpretation of its global CDO methodology that is applicable to such situations. This involves the application of an additional rating stress, which is designed to assess the potential creditworthiness without the support of interest or principal diversion mechanisms linked to the outstanding subordinated 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 will take rating actions as S&P deems necessary. RATINGS RAISED RAIT Preferred Funding II Ltd. Rating Class To From A-1R A- (sf) BBB (sf) A-1T A- (sf) BBB (sf) A-2 BB+ (sf) B+ (sf) RATINGS AFFIRMED RAIT Preferred Funding II Ltd. Class Rating B CCC+ (sf) C CCC+ (sf) D CCC+ (sf) E CCC (sf) F CCC (sf) G CCC- (sf) H CCC- (sf) J CCC- (sf) RED RIVER: S&P Affirms BB+ Rating on Class E Notes -------------------------------------------------- S&P Global Ratings raised its ratings on the class C and D notes from Red River CLO Ltd. S&P also removed these ratings from CreditWatch, where it placed them with positive implications on July 14, 2016. At the same time, S&P affirmed its rating on the class E notes from the same transaction, and removed them from CreditWatch positive. The rating actions follow S&P's review of the transaction's performance using data from the July 2016 trustee report. The upgrades reflect the transaction's $294.93 million of collective paydowns to the class A, B, and C notes since S&P's September 2014 rating actions. These paydowns resulted in improved reported overcollateralization (O/C) ratios since the August 2014 trustee report, which S&P used for its previous rating actions: -- The class C O/C ratio improved to 203.60% from 129.71%. -- The class D O/C ratio improved to 133.73% from 113.81%. -- The class E O/C ratio improved to 111.36% from 106.19%. The collateral portfolio's credit quality has improved since S&P's last rating actions. Collateral obligations with ratings in the 'CCC' category have increased, with $13.36 million reported as of the July 2016 trustee report, compared with $12.53 million reported as of the August 2014 trustee report; however, the amount of defaulted collateral in the portfolio has decreased to $59.40 million from $67.55 million. Although the principal balance of defaulted obligations has declined since S&P's last rating actions, the concentration of both 'CCC' and defaulted collateral has increased as the assets have amortized. Despite these concentrations of 'CCC' and defaulted collateral, the transaction has benefited from a drop in the weighted average life due to underlying collateral's seasoning, with 1.44 years reported as of the July 2016 trustee report, compared with 2.79 years reported as of the August 2014 trustee report. The transaction has significant exposure to long-dated assets (assets maturing after the CLO's stated maturity). According to the July 2016 trustee report, the balance of collateral with a maturity date after the transaction's stated maturity totaled $13.77 million (6.13% of the portfolio). S&P's analysis took into account the potential market value risk and settlement-related risk arising from the possible liquidation of the remaining securities on the transaction's legal final maturity date. The ratings on the class D and E notes are constrained at 'AA+ (sf)' and 'BB+ (sf)', respectively, by the application of the largest obligor default test, a supplemental stress test included as part of our corporate collateralized debt obligation criteria. The top five largest obligors in the transaction currently make up more than 27% of the portfolio's performing collateral balance. The upgrades reflect the improved credit support at the prior rating levels; the affirmation reflects 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 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 it deems necessary. RATINGS RAISED AND REMOVED FROM CREDITWATCH POSITIVE RED RIVER CLO Ltd. Rating Class To From C AAA (sf) AA+ (sf)/Watch Pos D AA+ (sf) BBB+ (sf)/Watch Pos RATINGS AFFIRMED AND REMOVED FROM CREDITWATCH POSITIVE RED RIVER CLO Ltd. Rating Class To From E BB+ (sf) BB+ (sf)/Watch Pos SEQUOIA MORTGAGE 2016-3: Moody Rates Class B-3 Notes 'Ba1' ---------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to the classes of residential mortgage-backed securities (RMBS) issued by Sequoia Mortgage Trust (SEMT) 2016-3. The certificates are backed by one pool of prime quality, first-lien mortgage loans. The assets of the trust consist of 465 fully amortizing, fixed rate mortgage loans, all of which have an original term to maturity of 30 years. The borrowers in the pool have high FICO scores, significant equity in their properties and liquid cash reserves. The complete rating actions are as follows: Issuer: Sequoia Mortgage Trust 2016-3 -- Cl. A-1, Assigned (P)Aaa (sf) -- Cl. A-2, Assigned (P)Aaa (sf) -- Cl. A-3, Assigned (P)Aaa (sf) -- Cl. A-4, Assigned (P)Aaa (sf) -- Cl. A-5, Assigned (P)Aaa (sf) -- Cl. A-6, Assigned (P)Aaa (sf) -- Cl. A-7, Assigned (P)Aaa (sf) -- Cl. A-8, Assigned (P)Aaa (sf) -- Cl. A-9, Assigned (P)Aaa (sf) -- Cl. A-10, Assigned (P)Aaa (sf) -- Cl. A-11, Assigned (P)Aaa (sf) -- Cl. A-12, Assigned (P)Aaa (sf) -- Cl. A-13, Assigned (P)Aaa (sf) -- Cl. A-14, Assigned (P)Aaa (sf) -- Cl. A-15, Assigned (P)Aaa (sf) -- Cl. A-16, Assigned (P)Aaa (sf) -- Cl. A-17, Assigned (P)Aaa (sf) -- Cl. A-18, Assigned (P)Aaa (sf) -- Cl. A-19, Assigned (P)Aa1 (sf) -- Cl. A-20, Assigned (P)Aa1 (sf) -- Cl. A-21, Assigned (P)Aa1 (sf) -- Cl. A-22, Assigned (P)Aaa (sf) -- Cl. A-23, Assigned (P)Aaa (sf) -- Cl. A-24, Assigned (P)Aaa (sf) -- Cl. A-IO1, Assigned (P)Aaa (sf) -- Cl. A-IO2, Assigned (P)Aaa (sf) -- Cl. A-IO3, Assigned (P)Aaa (sf) -- Cl. A-IO4, Assigned (P)Aaa (sf) -- Cl. A-IO5, Assigned (P)Aaa (sf) -- Cl. A-IO6, Assigned (P)Aaa (sf) -- Cl. A-IO7, Assigned (P)Aaa (sf) -- Cl. A-IO8, Assigned (P)Aaa (sf) -- Cl. A-IO9, Assigned (P)Aaa (sf) -- Cl. A-IO10, Assigned (P)Aaa (sf) -- Cl. A-IO11, Assigned (P)Aaa (sf) -- Cl. A-IO12, Assigned (P)Aaa (sf) -- Cl. A-IO13, Assigned (P)Aaa (sf) -- Cl. A-IO14, Assigned (P)Aaa (sf) -- Cl. A-IO15, Assigned (P)Aaa (sf) -- Cl. A-IO16, Assigned (P)Aaa (sf) -- Cl. A-IO17, Assigned (P)Aaa (sf) -- Cl. A-IO18, Assigned (P)Aaa (sf) -- Cl. A-IO19, Assigned (P)Aaa (sf) -- Cl. A-IO20, Assigned (P)Aa1 (sf) -- Cl. A-IO21, Assigned (P)Aa1 (sf) -- Cl. A-IO22, Assigned (P)Aa1 (sf) -- Cl. A-IO23, Assigned (P)Aaa (sf) -- Cl. A-IO24, Assigned (P)Aaa (sf) -- Cl. A-IO25, Assigned (P)Aaa (sf) -- Cl. B-1, Assigned (P)A1 (sf) -- Cl. B-2, Assigned (P)Baa1 (sf) -- Cl. B-3, Assigned (P)Ba1 (sf) -- Cl. B-4, Assigned (P)B1 (sf) RATINGS RATIONALE Summary Credit Analysis Moody's expected cumulative net loss on the aggregate pool is 0.40% in a base scenario and reaches 4.40% at a stress level consistent with the Aaa ratings. The Aaa MILAN CE, inclusive of concentration adjustments, for this pool is 4.56%. Loan-level adjustments included: adjustments to borrower probability of default for higher and lower borrower DTIs, borrowers with multiple mortgaged properties, self-employed borrowers, origination channels and at a pool level, for the default risk of HOA properties in super lien states. The adjustment to our Aaa stress loss above the model output also includes adjustments related to aggregator and originators assessments. The MILAN model is based on stressed trajectories of HPA, unemployment rates and interest rates, at a monthly frequency over a ten year period. The model combines loan-level characteristics with economic drivers to determine the probability of default for each loan, and hence for a portfolio as a whole. Severity is also calculated on a loan-level basis. The pool loss level is then adjusted for borrower, zip code, and MSA level concentrations. Collateral Description The SEMT 2016-3 transaction is a securitization of 465 first lien residential mortgage loans, with an aggregate unpaid principal balance of $343,156,644. There are 140 originators in the transaction. 10.2% of the mortgage loans by outstanding principal balance were originated by First Republic Bank and 7.3% of the mortgage loans by outstanding principal balance were purchased by RRAC from FHLB Chicago. The mortgage loans purchased by RRAC from FHLB Chicago were originated by various participating financial institution investors. None of the originators other than First Republic Bank represents for more than 5.0% of the principal balance of the loans in the pool. The loan-level review encompassed credit underwriting, property value and regulatory compliance. In addition, Redwood has agreed to backstop the rep and warranty repurchase obligation of all originators other than First Republic Bank (10.2% of the outstanding principal balance of the loans). The loans were all aggregated by Redwood Residential Acquisition Corporation (Redwood), which Moody's has assessed as an Above Average aggregator of prime jumbo residential mortgages. There have been no losses on Redwood-aggregated transactions that closed in 2010 and later, and delinquencies to date have also been very low. Structural considerations Similar to recent rated Sequoia transactions, in this transaction, Redwood is adding a feature prohibiting the servicer, or securities administrator, from advancing principal and interest to loans that are 120 days or more delinquent. These loans on which principal and interest advances are not made are called the Stop Advance Mortgage Loans ("SAML"). The balance of the SAML will be removed from the principal and interest distribution amounts calculations. Moody's said, "We view the SAML concept as something that strengthens the integrity of senior and subordination relationships in the structure." Yet, in certain scenarios the SAML concept, as implemented in this transaction, can lead to a reduction in interest payment to certain tranches even when more subordinated tranches are outstanding. The senior/subordination relationship between tranches is strengthened as the removal SAML in the calculation of the senior percentage amount, directs more principal to the senior bonds and less to the subordinate bonds. Further, this feature limits the amount of servicer advances that could increase the loss severity on the liquidated loans and preserves the subordination amount for the most senior bonds. On the other hand, this feature can cause a reduction in the interest distribution amount paid to the bonds; and if that were to happen such a reduction in interest payment is unlikely to be recovered. The final ratings on the bonds, which are expected loss ratings, take into consideration our expected losses on the collateral and the potential reduction in interest distributions to the bonds. Furthermore, the likelihood that in particular the subordinate tranches could potentially permanently lose some interest as a result of this feature was considered. Tail Risk & Subordination Floor The transaction cash flows follow 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 subordination floor of 1.65% of the closing pool balance, which mitigates tail risk by protecting the senior bonds from eroding credit enhancement over time. Third-party Review and Reps & Warranties Third party due diligence firms verified the accuracy of the loan-level information the sponsor provided us. One TPR firm reviewed 100% of the mortgage loans for credit, property valuation, compliance and data integrity. Two other TPR firms reviewed a sample of mortgage loans for property valuation and data integrity. The custodian reviewed the mortgage files and did not find any exceptions. The third party review found that the majority of reviewed loans were compliant with Redwood's underwriting guidelines and had no valuation or regulatory defects. Most of the loans that were not compliant with Redwood's underwriting guidelines had strong compensating factors. "Although the TPR report identified compliance-related exceptions, including exceptions related to the TILA-RESPA Integrated Disclosure (TRID) rule, we did not believe these to be material because either the sponsor or originator corrected the errors or the errors are of a type that would not likely lead to damages or losses for the RMBS trust." Moody's said. The originators and the seller have provided unambiguous representations and warranties (R&Ws) including an unqualified fraud R&W. There is provision for binding arbitration in the event of dispute between investors and the R&W provider concerning R&W breaches. Trustee & Master Servicer The transaction trustee is Wilmington Trust, National Association. The paying agent and cash management functions will be performed by Citibank, N.A. and the custodian functions will be performed by Wells Fargo, N.A., rather than the trustee. In addition, CitiMortgage, as Master Servicer, is responsible for servicer oversight, and termination of servicers and for the appointment of successor servicers. In addition, CitiMortgage is committed to act as successor if no other successor servicer can be found. 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. SHACKLETON 2016-IX: S&P Assigns Prelim. BB Rating on Cl. E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Shackleton 2016-IX CLO Ltd./Shackleton 2016-IX CLO LLC's $370.00 million floating-rate notes. The note issuance is a collateralized loan obligation transaction backed by broadly syndicated speculative-grade senior secured term loans. The preliminary ratings are based on information as of Oct. 10, 2016. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The 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 Shackleton 2016-IX CLO Ltd./Shackleton 2016-IX CLO LLC Class Rating Amount (mil. $) X AAA (sf) 2.00 A AAA (sf) 254.00 B AA (sf) 50.00 C (deferrable) A (sf) 24.00 D (deferrable) BBB (sf) 20.00 E (deferrable) BB (sf) 20.00 Subordinated notes NR 42.50 NR--Not rated. VOYA CLO V: S&P Affirms 'BB+' Rating on Class D Notes ----------------------------------------------------- S&P Global Ratings raised its ratings on the class A-2, B, and C notes from Voya CLO V Ltd. S&P also removed these ratings from CreditWatch, where it placed them with positive implications on July 14, 2016. At the same time, S&P affirmed its ratings on the class A-1a, A-1b, and D notes from the same transaction. The rating actions follow S&P's review of the transaction's performance using data from the August 2016 trustee report. The upgrades reflect the transaction's $167.50 million in paydowns to the class A-1a notes since our June 2015 rating actions. These paydowns resulted in improved reported overcollateralization (O/C) ratios since the May 2015 trustee report, which S&P used for its previous rating actions: -- The class A O/C ratio improved to 145.30% from 123.20%. -- The class B O/C ratio improved to 126.50% from 114.50%. -- The class C O/C ratio improved to 114.50% from 108.30%. -- The class D O/C ratio improved to 109.50% from 105.60%. On a standalone basis, the results of the cash flow analysis indicated a higher rating on the class D notes. However, given the minimal cushion available at the higher rating level and the fact that the tranche is at the bottom of the capital structure and would therefore absorb losses first, S&P affirmed the class D notes in order to offset future potential credit migration in the underlying collateral. 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 RAISED AND REMOVED FROM WATCH POSITIVE Voya CLO V Ltd. Rating Class To From A-2 AAA (sf) AA+ (sf)/Watch POS B AA+ (sf) A+ (sf)/Watch POS C A+ (sf) BBB (sf)/Watch POS RATINGS AFFIRMED Voya CLO V Ltd. Class Rating A-1a AAA (sf) A-1b AAA (sf) D BB+ (sf) WALDORF ASTORIA 2016-BOCA: Fitch to Rate Class E Certs 'BB-sf' -------------------------------------------------------------- Fitch Ratings has issued a presale report on Waldorf Astoria Boca Raton Trust 2016-BOCA (WABR 2016-BOCA) commercial mortgage pass-through certificates series 2016-BOCA. Fitch expects to rate the transaction and assign Rating Outlooks as follows: -- $145,100,000 class A 'AAAsf'; Outlook Stable; -- $275,000,000a class X-CP 'BBB-sf'; Outlook Stable; -- $275,000,000a class X-NCP 'BBB-sf'; Outlook Stable; -- $50,500,000 class B 'AA-sf'; Outlook Stable; -- $37,400,000 class C 'A-sf'; Outlook Stable; -- $42,000,000 class D 'BBB-sf'; Outlook Stable; -- $80,000,000 class E 'BB-sf'; Outlook Stable; -- $75,000,000 class F 'B-sf'; Outlook Stable. (a) Notional amount and interest-only. The expected ratings are based on information provided by the issuer as of June 15, 2016. The certificates represent the beneficial interest in a trust that holds a two-year, floating-rate, interest-only $430 million mortgage loan secured by the fee and leasehold interests in the 1,047-room Waldorf Astoria Boca Raton Resort & Club. The loan is sponsored by the Blackstone Group, L.P. (Blackstone). The loan was co-originated by JPMorgan Chase Bank, National Association (rated 'A+'/'F1+'/Stable Outlook) and Goldman Sachs Mortgage Company (rated 'A'/'F1'/Stable Outlook). KEY RATING DRIVERS High Leverage on Full Debt Stack: The total debt package includes mezzanine financing in the amount of $285 million that is not included in the trust. Fitch's stressed debt service coverage ratio (DSCR) and loan to value (LTV) for the full debt stack are 0.66x and 165.5%, respectively. Fitch's DSCR and LTV for the trust component of the debt are 1.10x and 99.5%. Asset Quality: Fitch assigned the Waldorf Astoria Boca Raton Resort and Club a property quality grade of A-'. The collateral has both lakefront (Lake Boca Raton) and oceanfront (Atlantic Ocean) land. Property amenities include: a full-service spa, three fitness centers, 30 tennis courts, 16 food and beverage (F&B) outlets, two 18-hole golf courses, seven swimming pools including a FlowRider wave simulator, a 32-slip marina and approximately 200,000 square feet of indoor and outdoor meeting space. Significant Capital Invested by Sponsor: The sponsor acquired the property in 2004 and has invested $274.2 million ($261,886/key) since acquisition. Completed renovations include: complete room renovations at the Cloister, the Tower, and the Bungalows; construction of the Boca Beach Club; upgrades to the Yacht Club rooms; lobby modernization; F&B outlet improvements; and updating the meeting facilities. Non-traditional Hotel Income: For the trailing 12-month (TTM) period ended April 2016, approximately $64.1 million of non-room and non-F&B revenue was generated by the property, representing 29.6% of the property's total revenues. Ancillary revenue sources include golf, spa, tennis, beach, marina and club fees. RATING SENSITIVITIES Fitch found that the 'AAAsf' class could withstand an approximate 72.8% decrease to the most recent actual net cash flow (NCF) prior to experiencing $1 of loss to the 'AAAsf' rated class. Fitch performed several stress scenarios in which the Fitch NCF was stressed. Fitch determined that a 63.2% reduction in Fitch's implied NCF would cause the notes to break even at a 1x debt service coverage ratio (DSCR), based on the actual debt service. Fitch evaluated the sensitivity of the ratings for class A and found that a 21% decline in Fitch's implied NCF would result in a one-category downgrade, while a 47% decline would result in a downgrade to below investment grade. DUE DILIGENCE USAGE Fitch was provided with third-party due diligence information from Ernst and Young, LLP. The third-party due diligence information was provided on ABS Due Diligence Form-15E and focused on a comparison and re-computation of certain characteristics with respect to the mortgage loan and related mortgaged properties in the data file. Fitch considered this information in its analysis, and the findings did not have an impact on our analysis. WESTLAKE AUTOMOBILE 2016-3: S&P Gives Prelim BB Rating on E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Westlake Automobile Receivables Trust 2016-3's $550.00 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 Oct. 6, 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 46.61%, 39.70%, 31.14%, 24.04%, and 21.57% credit support for the class A, B, C, D, and E notes, respectively, based on stress cash flow scenarios (including excess spread). These provide approximately 3.50x, 3.00x, 2.30x, 1.75x, and 1.50x, respectively, of S&P' 12.75%-13.25% expected cumulative net loss range. -- The transaction's ability to make timely interest and principal payments under stress cash flow modeling scenarios appropriate for the assigned preliminary ratings. -- S&P' expectation that under a moderate ('BBB') stress scenario, all else being equal, its ratings on the class A and B notes would not be lowered from the assigned preliminary ratings, S&P' ratings on the class C notes would remain within one rating category of the assigned preliminary ratings over one year, and S&P' ratings on the class D and E notes would remain within two rating categories of the assigned preliminary ratings, which is within the bounds of our credit stability criteria. -- The collateral characteristics of the securitized pool of subprime automobile loans. -- The originator/servicer's long history in the subprime/specialty auto finance business. -- S&P' analysis of approximately 10 years (2006-2016) of static pool data on the company's lending programs. -- The transaction's payment, credit enhancement, and legal structures. PRELIMINARY RATINGS ASSIGNED Westlake Automobile Receivables Trust 2016-3 Class Rating Type Interest Amount rate(i) (mil. $) A-1 A-1+ (sf) Senior Fixed 144.00 A-2 AAA (sf) Senior Fixed/floating(ii) 212.90 B AA (sf) Subordinate Fixed 52.66 C A (sf) Subordinate Fixed 62.90 D BBB (sf) Subordinate Fixed 55.59 E BB (sf) Subordinate Fixed 21.95 (i)The interest rate for each class will be determined on the pricing date. (ii)The class A-2 notes will be split into fixed-rate class A-2-A and floating-rate class A-2-B. The sizes of class A-2-A and A-2-B will be determined at pricing, and class A-2-B will be a max of 50% of the overall class. The class A-2-B coupon will be expressed as a spread tied to one-month LIBOR. WFRBS COMMERCIAL 2013-C18: Fitch Affirms B Rating on Cl. F Certs. ----------------------------------------------------------------- Fitch Ratings has affirmed 14 classes in WFRBS Commercial Mortgage Trust series 2013-C18 commercial mortgage pass-through certificates. KEY RATING DRIVERS The affirmations are based on the stable performance of the underlying collateral pool. As of the September 2016 remittance, the pool has experienced 2.2% collateral reduction since issuance. There have been no delinquent or specially serviced loans since issuance. There are currently two loans on the servicer's watchlist, representing 2.4% of the current pool balance. Fitch modelled losses of 3.2% for the remaining pool, which is in line with Fitch's modelled loss at issuance. Since the last rating action, one loan has defeased. The largest loan in the pool is Garden State Plaza (14.8% of the pool). The subject is a 2.2 million square foot (sf) super regional mall in Paramus, NJ that is anchored by Macy's, Nordstrom, Neiman Marcus, Lord & Taylor and J.C. Penney. The mall was originally built in 1957 and most recently renovated in 2013 at a cost of $159 million. Other major tenants include a 16-screen AMC Loews, Forever 21, Best Buy and H&M. The loan is interest-only for the full term, and is pari-passu with a $150 million note securitized in the RBSCF 2013-GSP transaction. For the trailing 12-month (TTM) period ending March 31, 2016, in-line sales were reported at $647 per square foot (psf). This is a decline from the $787 psf reported at issuance, but is still considered strong. Mall sales are strong despite being open only six days a week, due to Bergen County Blue Laws prohibiting local retailers from being open on Sundays. The second largest loans loan is secured by a 1.3 million sf outlet mall located 15 miles southwest of New York City. Anchors include Burlington Coat Factory, Forever 21, Cohoes Fashions and a 22-screen Loews Theatres. The loan is interest-only for the full term, and is one of three pari-passu notes with a whole loan balance of $350 million. Glimcher was the original property owner before the company was acquired in 2014. The subject is now exclusively owned and operated by Simon Property Group and has been rebranded as The Mills at Jersey Gardens. Sales for the TTM period ending April 30, 2016 were reported to be $857 psf for in-line space. Gross sales have exceeded $500 million annually since 2010. The third largest loan, AmericasMart, is secured by a 7.1 million sf wholesale trade market with approximately 4.6 million sf of rentable area in four attached buildings. The property is located in the Atlanta CBD and was developed in phases, the first of which was completed in 1961. There are over 1,500 permanent tenants occupying 3.5 million sf, and 1.1 million sf of temporary exhibition space can be leased during trade shows. As of May 2016, the property was 99% leased. The trust note, which is one of four notes with a whole loan balance of $541 million, amortizes on a 25-year schedule. RATING SENSITIVITIES The pool has been paid down by 2.2% since issuance, and loans representing 33.8% of the current balance are interest-only. Future deleveraging of the pool could result in upgrades, while material negative economic or asset level changes could result in downgrades; however, the pool's performance has been stable since issuance and Fitch does not foresee positive or negative ratings migration in the near term. The Rating Outlook for all classes remains Stable. Fitch has affirmed these classes as indicated: -- $25.2 million class A-1 at 'AAAsf', Outlook Stable; -- $103.3 million class A-2 at 'AAAsf', Outlook Stable; -- $140 million class A-3 at 'AAAsf', Outlook Stable; -- $170 million class A-4 at 'AAAsf', Outlook Stable; -- $201 million class A-5 at 'AAAsf', Outlook Stable; -- $63.7 million class A-SB at 'AAAsf', Outlook Stable; -- $70.1 million class A-S at 'AAAsf', Outlook Stable; -- $773.3 million* class X-A at 'AAAsf', Outlook Stable; -- $72.7 million class B at 'AA-sf', Outlook Stable; -- $36.3 million class C at 'A-sf', Outlook Stable; -- $0 class PEX at 'A-sf', Outlook Stable; -- $66.2 million class D at 'BBB-sf', Outlook Stable; -- $19.5 million class E at 'BBsf', Outlook Stable; -- $7.8 million class F at 'Bsf', Outlook Stable. *Notional amount and interest-only. The class A-S, B and C certificates may be exchanged for class PEX certificates, and vice versa. Fitch does not rate the class G certificate. [*] Moody's Hikes $49.7MM RMBS Issued 2002-2007 ----------------------------------------------- Moody's Investors Service has upgraded the ratings of nine tranches from six transactions, backed by Alt-A and Option ARM RMBS loans, issued by multiple issuers. Complete rating actions are as follows: Issuer: CitiMortgage Alternative Loan Trust 2006-A3 -- Cl. IIA-1, Upgraded to Ba2 (sf); previously on Jan 29, 2016 Upgraded to B1 (sf) Issuer: CitiMortgage Alternative Loan Trust 2007-A4 -- Cl. IIA-1, Upgraded to B1 (sf); previously on Feb 5, 2014 Downgraded to Caa1 (sf) Issuer: CitiMortgage Alternative Loan Trust 2007-A5 -- Cl. IIA-1, Upgraded to B3 (sf); previously on Aug 27, 2012 Downgraded to Caa1 (sf) Issuer: Deutsche Alt-A Securities, Inc. Alternative Loan Trust Series 2003-3 -- Cl. III-A-1, Upgraded to A3 (sf); previously on May 4, 2012 Downgraded to Baa2 (sf) -- Cl. IV-A-1, Upgraded to A3 (sf); previously on May 4, 2012 Downgraded to Baa1 (sf) Issuer: Greenpoint Mortgage Funding Trust 2005-AR5 -- Cl. IV-A-1, Upgraded to Caa2 (sf); previously on Feb 4, 2011 Downgraded to Ca (sf) Issuer: Structured Asset Securities Corp 2002-21A -- Cl. B1-II, Upgraded to B2 (sf); previously on Jul 5, 2012 Downgraded to Caa2 (sf) -- Cl. 2-A1, Upgraded to Baa1 (sf); previously on Jul 5, 2012 Downgraded to Baa3 (sf) -- Cl. 4-A1, Upgraded to Baa1 (sf); previously on Jul 5, 2012 Downgraded to Baa3 (sf) RATINGS RATIONALE The rating actions on CitiMortgage Alternative Loan Trust 2007-A4 Class IIA-1 and Structured Asset Securities Corp 2002-21A Classes 2-A1, 4-A1, and B1-II primarily reflect corrections to the cash-flow models used by Moody's in rating these transactions. In the prior modeling for CitiMortgage Alternative Loan Trust 2007-A4, the transaction's senior percentage was calculated incorrectly after the credit support depletion date, resulting in less cashflow to Class IIA-1 than called for in the transaction documents. In the prior modeling for Structured Asset Securities Corp 2002-21A, the percentage of senior prepayments due to senior certificates was calculated incorrectly and principal and interest funds due to classes B1-I, B2-I, B1-II, and B2-II were distributed prior to cross-collateralization payments to senior certificates in the transaction, resulting in less funds distributed to senior certificates than called for in the transaction documents. These errors have now been corrected, and the rating actions reflect these changes. The rating actions are also a result of the recent performance of the underlying pools and reflect Moody's updated loss expectation on the pools. The rating upgrades are a result of the improving performance of the related pools and an increase in credit enhancement available to the bonds. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in November 2013. Factors that would lead to an upgrade or downgrade of the 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 5.0% in September 2016 from 5.1% in September 2015. Moody's forecasts an unemployment central range of 4.5% to 5.5% for the 2016 year. Deviations from this central scenario could lead to rating actions in the sector. House prices are another key driver of US RMBS performance. Moody's expects house prices to continue to rise in 2016. Lower increases than Moody's expects or decreases could lead to negative rating actions. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. [*] Moody's Takes Action on $197.2MM of Subprime RMBS ----------------------------------------------------- Moody's Investors Service has upgraded the ratings of 18 tranches and downgraded the rating of one tranche issued from eight transactions backed by Subprime RMBS loans. Complete rating actions are: Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2004-FM1 Cl. 2004-FM1-M1, Upgraded to Baa3 (sf); previously on Dec. 23, 2015, Upgraded to Ba1 (sf) Cl. 2004-FM1-M2, Upgraded to Ba3 (sf); previously on Dec. 23, 2015, Upgraded to Caa1 (sf) Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2004-HE4 Cl. M-3, Upgraded to Ba1 (sf); previously on Dec. 23, 2015, Upgraded to B1 (sf) Cl. M-4, Upgraded to Ba3 (sf); previously on Dec. 23, 2015, Upgraded to B3 (sf) Cl. M-5, Upgraded to Ca (sf); previously on March 15, 2011, Downgraded to C (sf) Issuer: Argent Securities Inc., Series 2004-W1 Cl. M-1, Upgraded to Ba1 (sf); previously on March 18, 2011, Downgraded to Ba3 (sf) Cl. M-2, Upgraded to B1 (sf); previously on Dec. 18, 2015, Upgraded to B2 (sf) Issuer: Argent Securities Inc., Series 2004-W10 Cl. M-3, Upgraded to Ba2 (sf); previously on Dec. 18, 2015, Upgraded to B2 (sf) Cl. M-4, Upgraded to Caa1 (sf); previously on Dec. 18, 2015, Upgraded to Ca (sf) Issuer: GSAMP Trust 2004-AR1 Cl. M-2, Upgraded to Ba1 (sf); previously on Feb. 20, 2015, Upgraded to Ba3 (sf) Cl. M-3, Upgraded to Ba1 (sf); previously on Dec. 17, 2015, Upgraded to B1 (sf) Cl. M-4, Upgraded to Ba2 (sf); previously on Dec. 17, 2015, Upgraded to B3 (sf) Cl. M-5, Upgraded to B1 (sf); previously on Dec. 17, 2015, Upgraded to Caa1 (sf) Cl. M-6, Upgraded to Caa1 (sf); previously on Dec. 17, 2015, Upgraded to Ca (sf) Issuer: New Century Home Equity Loan Trust, Series 2003-B Cl. M-1, Upgraded to Baa3 (sf); previously on May 4, 2012, Downgraded to Ba1 (sf) Cl. M-2, Upgraded to Ba2 (sf); previously on Dec. 17, 2015, Upgraded to B3 (sf) Cl. M-3, Upgraded to B2 (sf); previously on Dec. 17, 2015, Upgraded to Caa2 (sf) Issuer: New Century Home Equity Loan Trust, Series 2004-1 Cl. M-2, Upgraded to B2 (sf); previously on Dec. 17, 2015, Upgraded to Caa1 (sf) Issuer: New Century Home Equity Loan Trust, Series 2004-3 Cl. M-1, Downgraded to Baa3 (sf); previously on May 4, 2012, Downgraded to Baa2 (sf) RATINGS RATIONALE The rating upgrades are primarily due to the total credit enhancement available to the bonds. The rating downgrade is primarily due to interest shortfalls incurred by the bond, which are unlikely to be reimbursed. The actions reflect the recent performance of the underlying pools and Moody's updated loss expectation on these pools. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in 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 5.0% in September 2016 from 5.1% in September 2015. Moody's forecasts an unemployment central range of 4.5% to 5.5% for the 2016 year. Deviations from this central scenario could lead to rating actions in the sector. House prices are another key driver of US RMBS performance. Moody's expects house prices to continue to rise in 2016. Lower increases than Moody's expects or decreases could lead to negative rating actions. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. [*] Moody's Takes Action on $52MM of RMBS Loans Issued in 2004 -------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of nine tranches and upgraded the ratings of eight tranches from five transactions, backed by Prime Jumbo RMBS loans, issued by multiple issuers. Complete rating actions are: Issuer: Banc of America Mortgage 2004-10 Trust Cl. 1-A-1, Downgraded to Ba1 (sf); previously on April 25, 2013, Upgraded to Baa3 (sf) Cl. 1-A-3, Downgraded to Ba1 (sf); previously on April 25, 2013, Upgraded to Baa3 (sf) Cl. 1-A-4, Downgraded to B3 (sf); previously on Feb. 10, 2015, Downgraded to B1 (sf) Cl. 1-A-5, Downgraded to Ba1 (sf); previously on April 25, 2013, Upgraded to Baa3 (sf) Cl. 1-A-9, Downgraded to Ba1 (sf); previously on April 25, 2013, Upgraded to Baa3 (sf) Issuer: Banc of America Mortgage 2004-J Trust Cl. 1-A-1, Upgraded to Ba1 (sf); previously on March 5, 2014, Upgraded to B1 (sf) Cl. 1-A-2, Upgraded to Ba1 (sf); previously on March 5, 2014, Upgraded to B1 (sf) Issuer: First Horizon Mortgage Pass-Through Trust 2004-AR6 Cl. I-A-1, Downgraded to Ba3 (sf); previously on Dec. 11, 2015, Upgraded to Ba2 (sf) Cl. II-A-1, Downgraded to Ba2 (sf); previously on Dec. 11, 2015, Upgraded to Ba1 (sf) Cl. III-A-1, Downgraded to Baa3 (sf); previously on Aug. 27, 2013, Downgraded to Baa1 (sf) Cl. IV-A-1, Downgraded to Baa3 (sf); previously on April 18, 2012, Downgraded to Baa1 (sf) Issuer: J.P. Morgan Mortgage Trust 2004-S2 Cl. 1-B-1, Upgraded to B1 (sf); previously on April 29, 2011, Downgraded to B3 (sf) Cl. 1-B-2, Upgraded to Caa1 (sf); previously on Jan. 10, 2013, Downgraded to Caa3 (sf) Issuer: Merrill Lynch Mortgage Investors Trust MLCC 2004-HB1 Cl. A-1, Upgraded to Ba1 (sf); previously on Jan. 4, 2013, Downgraded to Ba3 (sf) Cl. A-2, Upgraded to Ba1 (sf); previously on Jan. 4, 2013, Downgraded to Ba3 (sf) Cl. A-3, Upgraded to Ba1 (sf); previously on Jan. 4, 2013, Downgraded to Ba3 (sf) Cl. X-A, Upgraded to Ba1 (sf); previously on Jan. 4, 2013, Downgraded 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 First Horizon Mortgage Pass-Through Trust 2004-AR6 are due to the weaker performance of the underlying collateral and the erosion of enhancement available to the bonds. The ratings downgraded from Banc of America Mortgage 2004-10 Trust are due to the weaker performance of the underlying collateral and credit enhancement available to the bonds compared to their expected loss. The ratings upgraded from Banc of America Mortgage 2004-J Trust and J.P. Morgan Mortgage Trust 2004-S2 are a result of the improving performance of the related pools and an increase in credit enhancement available to the bonds. The ratings upgraded from Merrill Lynch Mortgage Investors Trust MLCC 2004-HB1 are a result of the improving performance of the related pools. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in November 2013. Factors that would lead to an upgrade or downgrade of the 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 Lowers Ratings on 88 Classes From 52 RMBS Transactions to D ------------------------------------------------------------------- S&P Global Ratings lowered its ratings on 88 classes of mortgage pass-through certificates from 52 U.S. residential mortgage-backed securities (RMBS) transactions issued between 2001 and 2009 to 'D (sf)'. The transactions in this review are backed by a mix of fixed- and adjustable-rate mixed collateral mortgage loans, which are secured primarily by first liens on one- to four-family residential properties. The downgrades reflect S&P's assessment of the principal writedowns' impact on the affected classes during recent remittance periods. All but one of the classes were rated either 'CCC (sf)' or 'CC (sf)' before today's rating actions. Class A-I from RAMP Series 2004-SL3 Trust was previously rated 'B+ (sf)'. S&P lowered the rating of the A-I tranche to 'D (sf)' because the class reached its maturity date in August 2016 while still having an outstanding balance. S&P's ratings require the ultimate payment of full principal by the maturity date. Classes C-P from Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-3 Trust, 1-A-P from Morgan Stanley Mortgage Loan Trust 2005-7, and I-A-P from RALI Series 2007-QS4 Trust are principal-only (PO) strip classes, which receive principal primarily from discount loans within the related transaction. When a discount loan takes a loss, the PO strip class is allocated a loan-specific percentage of that loss. However, because these PO classes are senior classes in the waterfall, they are reimbursed from cash flows that would otherwise be paid to the most junior classes. These PO classes have incurred a loss on their principal obligation. But because the balances of all of the subordinate classes in each respective structure have been reduced to zero, S&P expects no future reimbursement from the cash flows from each of the respective transactions. The 88 defaulted classes consist of these: -- 34 from resecuritized real estate mortgage investment conduit transactions (38.64 %); -- 18 from prime jumbo transactions (20.45 %); -- 3 from alternative-A transactions (14.77 %); -- 12 from subprime transactions (13.64); -- Six from negative amortization transactions; -- One from a reperforming transaction; -- One from an outside-the-guidelines transaction; -- One from a document-deficient transaction; -- One from a closed-end second-lien transaction; and -- One from a home equity line of credit transaction. All of the transactions in this review receive credit enhancement from a combination of subordination, excess spread, and overcollateralization (where applicable). S&P will continue to monitor its ratings on securities that experience principal writedowns, and S&P will take rating actions as S&P considers appropriate according to its criteria. ECONOMIC OUTLOOK When determining a U.S. RMBS collateral pool's relative credit quality, S&P's loss expectations stem, to a certain extent, from its view of how the loans will behave under various economic conditions. S&P Global Ratings' baseline macroeconomic outlook assumptions for variables that it believes could affect residential mortgage performance are: -- An overall unemployment rate of 4.8% in 2016; -- Real GDP growth of 2.0% 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, S&P 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/2eduTRO [*] S&P Retains 8 Ratings From 8 Transactions on CreditWatch Dev. ----------------------------------------------------------------- S&P Global Ratings said that its ratings on eight classes from six home equity conversion mortgage (HECM) reverse mortgage transactions and two classes from two reverse real estate mortgage investment conduit (re-REMIC) transactions remain on CreditWatch with developing implications. The ratings from these transactions were initially placed on CreditWatch with developing implications on Oct. 16, 2015, based on S&P' review of the performance of certain models used to estimate collateral cash flows for U.S. residential mortgage-backed securities (RMBS) backed by HECM reverse mortgage loans. Following the initial CreditWatch placements, S&P confirmed the existence of various errors in the coding and documentation of the relevant models. Based on the discovery of these errors, S&P began developing a new model that could be used to perform its reviews of these transactions going forward. The revised model has now been tested and validated internally and has been approved for use per our internal policies and procedures. Within the next month, S&P expects to complete a review of the relevant transactions, which will be performed using the revised model and updated data. Based on S&P' analysis from the review, it will raise, lower, affirm, or withdraw the ratings as appropriate. RATINGS REMAINING ON CREDITWATCH DEVELOPING Mortgage Equity Conversion Asset Trust 2007-FF2 Class Rating A AA+ (sf)/Watch Dev Mortgage Equity Conversion Asset Trust 2010-1 Class Rating A CCC (sf)/Watch Dev Reverse Mortgage Loan Trust Series REV 2007-2 Class Rating A B- (sf)/Watch Dev Riverview HECM Trust 2007-1 Class Rating A notes A- (sf)/Watch Dev Riverview Mortgage Loan Trust 2007-2 Class Rating A-1 notes AA+ (sf)/Watch Dev A-2 notes A- (sf)/Watch Dev Riverview Mortgage Loan Trust 2007-3 Class Rating A-1 notes A- (sf)/Watch Dev FR notes A- (sf)/Watch Dev Riverview HECM Pass-Through Certificates Series 2007-4 Class Rating A A- (sf)/Watch Dev Riverview HECM Pass-Through Certificates Series 2008-1 Class Rating A-5 AA+ (sf)/Watch Dev [*] S&P Takes Rating Actions on 59 Class From 45 RMBS Deals ----------------------------------------------------------- S&P Global Ratings completed its review of 59 classes from 45 U.S. residential mortgage-backed securities (RMBS) transactions issued between 2001 and 2007. The review yielded 38 downgrades and five affirmations. S& removed three of the lowered ratings and all of the affirmed ratings from CreditWatch, where it placed them with negative implications on July 29, 2016 or Aug 15, 2016. S& also placed 16 ratings on CreditWatch with negative implications. All of the transactions in this review are backed by a mix of fixed- and adjustable-rate loans secured primarily by one- to four-family residential properties. A combination of subordination, overcollateralization (when available), excess interest, and bond insurance (as applicable) provide credit enhancement for all of the tranches in this review. Where the bond insurer is no longer rated, S&P solely relied on the underlying collateral's credit quality and the transaction structure to derive the ratings. APPLICATION OF INTEREST SHORTFALL CRITERIA In reviewing these ratings, S&P applied its interest shortfall criteria as stated in "Structured Finance Temporary Interest Shortfall Methodology," published Dec. 15, 2015, which impose a maximum rating threshold on classes that have incurred interest shortfalls resulting from credit or liquidity erosion. In applying the criteria, S&P looked to see if the applicable class received additional compensation beyond the imputed interest due as direct economic compensation for the delay in interest payment. In instances where the class did not receive additional compensation for outstanding interest shortfalls, S&P used the maximum length of time until full interest is reimbursed as part of S&P' analysis. In instances where the class received additional compensation for outstanding interest shortfalls, S&P used its cash flow projections in determining the likelihood that the shortfall would be reimbursed under various scenarios. The CreditWatch placements reflect that the trustee reports cited interest shortfalls on the affected classes in recent remittance periods, which could negatively affect S&P' ratings on those classes. After verifying these possible interest shortfalls, S&P will take rating actions as it considers appropriate per its criteria. DOWNGRADES The downgrades stem from applying S&P' interest shortfall criteria and/or principal writedowns. The downgrades include six ratings that were lowered three or more notches. One of the lowered ratings remained at an investment-grade level; three of the lowered ratings went from investment-grade to speculative-grade; and the remaining 34 downgraded classes already had speculative-grade ratings. All the ratings lowered three or more notches received additional compensation for outstanding interest shortfalls. For these classes, S& projected the transactions' cash flows to assess the likelihood of the interest shortfalls' reimbursement. S&P lowered two ratings to 'D (sf)' because of principal writedowns incurred by these classes. AFFIRMATIONS S&P affirmed its ratings on five classes after it received information to successfully assess the impact of interest shortfalls on these classes. Based on S&P' assessment the interest shortfall rating caps for these securities were higher than their current ratings. ECONOMIC OUTLOOK When determining a U.S. RMBS collateral pool's relative credit quality, S&P' 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' 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' 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' 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. 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Villacampa, Sheryl Joy P. Olano, Psyche A. Castillon, Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2016. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. The TCR subscription rate is $975 for 6 months delivered via e-mail. Additional e-mail subscriptions for members of the same firm for the term of the initial subscription or balance thereof are $25 each. For subscription information, contact Peter A. Chapman at 215-945-7000 or Nina Novak at 202-362-8552. *** End of Transmission ***