/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/161225.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, December 25, 2016, Vol. 20, No. 359 Headlines APIDOS CLO XX: Moody's Raises Rating on Class E Notes to B2 BAYVIEW OPPORTUNITY 2016-SPL2: DBRS Gives (P)BB Rating on B4 Notes BLUEMOUNTAIN 2013-1: S&P Gives Prelim Rates BB Rating on D-R Notes CARNOW AUTO 2016-1: S&P Assigns Prelim. BB Rating on Cl. D Notes CATAMARAN CLO 2014-2: S&P Affirms B Rating on Class E Notes CD 2016-CD2: Fitch Assigns 'B-' Rating on 2 Tranches CFCRE COMMERCIAL 2011-C1: Moody's Cuts Cl. G Debt Rating to Caa3 CITIGROUP 2008-C7: S&P Lowers Rating on 2 Cert. Classes to D CITIGROUP 2015-101A: Fitch Affirms B-sf Rating on Class F Debt COBALT CMBS 2007-C2: Moody's Affirms Ba2 Rating on 2 Tranches COLT 2016-3: DBRS Finalizes BB Rating on Class B-1 Certs COMM 2014-UBS2: DBRS Confirms BB Rating on Class E Notes CONNECTICUT AVE 2016-C07: Fitch Assigns 'Bsf' Rating on 2 Tranches CREDIT SUISSE 2015-C1: Fitch Affirms 'Bsf' Ratings on 2 Tranches DBWF 2016-85T: S&P Assigns BB- Rating on Class E Certificates DLJ COMMERCIAL 1999-CG3: Fitch Affirms 'Dsf' Rating on 5 Certs. EATON VANCE 2013-1: S&P Assigns Prelim. B- Rating on E-R Notes FORTRESS CREDIT VII: S&P Assigns Prelim. BB- Rating on Cl. E Notes FREDDIE MAC 2016-1: DBRS Finalizes Prov. B Rating on Cl. M-2 Debt GOLDMAN SACHS 2012-GC6: Fitch Affirms 'Bsf' Rating on Cl. F Certs GS MORTGAGE 2013-GC10: DBRS Confirms BB Rating on Cl. E Notes GSMPS MORTGAGE 2003-1: Moody's Lowers Rating on Cl. B1 Debt to Caa2 IMSCI 2012-2: DBRS Maintains BB Rating on Class G Debt on Review IMSCI 2013-3: DBRS Maintains BB Rating on Class G Debt on Review JP MORGAN 2000-C10: Fitch Affirms 'Dsf' Rating on 6 Tranches JP MORGAN 2003-PM1: Fitch Affirms Bsf Rating on Class G Debt JP MORGAN 2005-LDP1: Moody's Cuts Cl. X-1 Debt Rating to Csf JP MORGAN 2005-LDP2: Moody's Raises Rating on Cl. E Debt to B1 JP MORGAN 2007-LDP12: Fitch Affirms 'CCCsf' Rating on Cl. A-J Debt JP MORGAN 2011-C5: Moody's Affirms B3 Rating on Cl. G Notes JP MORGAN 2014-INN: S&P Raises Rating on 2 Tranches to B+ JP MORGAN 2016-5: Fitch to Rate Class B-4 Certs 'BBsf' JPMCC COMMERCIAL 2015-JP1: DBRS Confirms BB(high) Rating on F Notes KKR CLO 16: Moody's Assigns Ba3 Rating on Class D Notes LB-UBS COMMERCIAL 2004-C7: Moody's Cuts X-CL Debt Rating to Caa2 LCM XIII: S&P Assigns Preliminary BB- Rating on Class E-R Notes LCM XXIII: S&P Assigns Preliminary BB Rating on Class D Notes MARANON LOAN 2016-1: Moody's Assigns Ba3 Rating on 2 Tranches MERLIN AVIATION: S&P Assigns Preliminary B+ Rating on Cl. C Notes MERRILL LYNCH 1998-C1: Moody's Affirms B3 Rating on Cl. IO Debt MERRILL LYNCH 2008-C1: Fitch Lowers Rating on Cl. M Certs to 'Dsf' MORGAN STANLEY 2007-IQ16: S&P Affirms B- Rating on 2 Tranches MORGAN STANLEY 2007-TOP25: DBRS Reviews B Rating on Cl. B Certs MRFC MORTGAGE 2000-TBC2: Moody's Cuts Cl. B-5 Debt Rating to Caa1 NATIONSLINK FUNDING 1999-LTL1: Moody's Affirms Ba3 Rating on X Cert NEW RESIDENTIAL 2016-4: DBRS Gives Prov. BB Rating on Cl. B-4 Notes OHA CREDIT VII: S&P Assigns Prelim. BB- Rating on Cl. E-R Notes OHA CREDIT XIII: Moody's Assigns Ba3 Rating on Class E Notes OZLM FUNDING III: S&P Assigns Prelim. BB Rating on Cl. D-R Notes PRUDENTIAL SECURITIES 1999-NRF1: Moody's Affirms Ca on K Certs SALOMON BROTHERS 2000-C3: Moody's Affirms Caa3 Rating on X Debt SLM STUDENT 2003-12: Fitch Cuts Class B Notes Rating to 'BBsf' SOFI MORTGAGE 2016-1: DBRS Assigns (P)BB Rating on Cl. B4 Notes SOFI MORTGAGE 2016-1: Fitch Assigns 'Bsf' Rating on Class B-5 Certs SPRINGLEAF FUNDING 2016-A: S&P Rates Class D Notes 'Bsf' STACR 2015-DN1: DBRS Assigns 'BB' Rating on Class M-3 Notes STRUCTURED ADJUSTABLE: Moody's Raises Rating on 2 Tranches to Caa2 SYMPHONY CLO XVIII: Moody's Assigns Ba3 Rating on Cl. E Notes TACONIC PARK: Moody's Assigns Ba3 Rating to Class D Notes TOWD POINT 2016-5: DBRS Rates Class B2 Notes 'B(sf)' TOWD POINT 2016-5: Fitch Assigns 'BBsf' Rating on Class B1 Notes WACHOVIA BANK 2004-C15: Moody's Affirms Caa1 Rating on Cl. F Debt WACHOVIA BANK 2006-C28: Moody's Hikes Cl. A-J Debt Rating to Ba3 WACHOVIA BANK 2006-C29: Moody's Affirms B3 Rating on Cl. A-J Certs WACHOVIA BANK 2007-C34: S&P Raises Rating on Cl. E Certs to B- WAMU COMMERCIAL 2007-SL3: Moody's Affirms Ba2 Rating on Cl. E Notes WELLS FARGO 2014-LC18: DBRS Confirms BB Rating on Class E Certs WELLS FARGO 2016-C37: DBRS Assigns Prov. BB Rating on Class G Notes WELLS FARGO 2016-C37: Fitch to Rate Class E Notes 'BB+sf' WFRBS COMMERCIAL 2012-C6: Moody's Affirms Ba2 Rating on Cl. E Debt WFRBS COMMERCIAL 2014-C25: DBRS Confirms BB Rating on Cl. E Notes YORK CLO-4: Moody's Assigns Ba3 Rating on Class E Notes [*] DBRS Reviews 21 Ratings From 4 U.S. ABS Transactions [*] Fitch Lowers Ratings on 23 Bonds in 13 Transactions to 'D' [*] Moody's Hikes $1.3BB of Subprime RMBS Issued 2005-2007 [*] Moody's Raises Rating on $673MM Subprime RMBS Issued 2005-2007 [*] Moody's Takes Action on $1.75BB of RMBS Issued 2003-2006 [*] Moody's Takes Action on $155.3MM Alt-A RMBS Issued 2005-2006 [*] Moody's Takes Action on $27MM of RMBS Issued 2005-2006 [*] S&P Completes Review of 73 Classes From 17 US RMBS Deals [*] S&P Completes Review of 74 Classes From 10 US RMBS Deals [*] S&P Completes Review on 45 Classes From 9 RMBS Deals [*] S&P Lowers Ratings on 6 Classes From 5 US CMBS Transactions [*] S&P Puts 90 Tranches From 24 CLO Deals on Watch Positive ********* APIDOS CLO XX: Moody's Raises Rating on Class E Notes to B2 ----------------------------------------------------------- Moody's Investors Service has upgraded the rating on these notes issued by Apidos CLO XX: $9,000,000 Class E Mezzanine Deferrable Floating Rate Notes Due 2027, Upgraded to B2 (sf); previously on Feb. 12, 2015, Definitive Rating Assigned B3 (sf) Apidos CLO XX, issued in February 2015, is a collateralized loan obligation (CLO) backed primarily by a portfolio of senior secured loans. The transaction's reinvestment period will end in January 2019. RATINGS RATIONALE This rating action is primarily a result of the collateral pool's outperformance versus certain covenant requirements. In particular, Moody's expects that the deal will benefit from a higher weighted average recovery rate (WARR) level compared to its covenant level. Additionally, the deal is expected to benefit from an increase in excess spread resulting from the refinancing of the Class A-1, the Class A-2 and the Class B notes on 9 December 2016. Moody's also notes that the transaction's reported overcollateralization ratios are stable. Methodology Used for the Rating Action The principal methodology used in this rating 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 Rating: This transaction is subject to a number of factors and circumstances that could lead to either an upgrade or downgrade of the ratings: 1) Macroeconomic uncertainty: CLO performance is subject to a) uncertainty about credit conditions in the general economy and b) the large concentration of upcoming speculative-grade debt maturities, which could make refinancing difficult for issuers. 2) Collateral Manager: Performance can also be affected positively or negatively by a) the manager's investment strategy and behavior and b) differences in the legal interpretation of CLO documentation by different transactional parties owing to embedded ambiguities. 3) Collateral credit risk: A shift towards collateral of better credit quality, or better credit performance of assets collateralizing the transaction than Moody's current expectations, can lead to positive CLO performance. Conversely, a negative shift in credit quality or performance of the collateral can have adverse consequences for CLO performance. 4) Weighted Average Spread (WAS): This transaction has a significant exposure to loans with LIBOR floors, and the inclusion of LIBOR floors in its determination of compliance with its WAS test can create additional ratings volatility. Even though LIBOR floors result in increased interest proceeds when LIBOR is below the floor, the net interest benefit of the floor disappears when the deal's floating rate liabilities re-price once LIBOR increases above the floor (unless the assets with floors are replaced by assets with comparable yields). The WAS would also decrease if the assets with LIBOR floors mature, prepay, or are sold and are not replaced with assets with comparable yields. Additionally, the deal may find it necessary to replace such assets with those of lower credit quality in order to maintain the yield received by the replacement assets. To test the sensitivity of the notes' ratings to LIBOR floors, Moody's ran an additional scenario which gives limited credit to the benefit of LIBOR floors in its modeling of WAS. 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% (2401) Class E: +1 Moody's Adjusted WARF + 20% (3601) Class E: -3 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 $500 million, no defaulted par, a weighted average default probability of 24.61% (implying a WARF of 3001), a weighted average recovery rate upon default of 50.21%, a diversity score of 70 and a weighted average spread of 3.59% (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. BAYVIEW OPPORTUNITY 2016-SPL2: DBRS Gives (P)BB Rating on B4 Notes ------------------------------------------------------------------ DBRS, Inc. assigned the following provisional ratings to the Mortgage-Backed Securities, Series 2016-SPL2 (the Notes) issued by Bayview Opportunity Master Fund IVb Trust 2016-SPL2 (the Trust): -- $142.3 million Class A at AAA (sf) -- $142.3 million Class A-IOA at AAA (sf) -- $142.3 million Class A-IOB at AAA (sf) -- $18.5 million Class B1 at AA (sf) -- $18.5 million Class B1-IOA at AA (sf) -- $18.5 million Class B1-IOB at AA (sf) -- $5.7 million Class B2 at A (sf) -- $5.7 million Class B2-IO at A (sf) -- $14.7 million Class B3 at BBB (sf) -- $14.7 million Class B3-IOA at BBB (sf) -- $14.7 million Class B3-IOB at BBB (sf) -- $11.7 million Class B4 at BB (sf) -- $11.7 million Class B4-IOA at BB (sf) -- $11.7 million Class B4-IOB at BB (sf) -- $9.3 million Class B5 at B (sf) Classes A-IOA, A-IOB, B1-IOA, B1-IOB, B2-IO, B3-IOA, B3-IOB, B4-IOA and B4-IOB are interest-only notes. The class balances represent notional amounts. The AAA (sf) ratings on the Notes reflect the 37.15% of credit enhancement provided by subordinated Notes in the pool. The AA (sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings reflect 29.00%, 26.50%, 20.00%, 14.85% and 10.75% of credit enhancement, respectively. Other than the specified classes above, DBRS does not rate any other classes in this transaction. This transaction is a securitization of a portfolio of seasoned performing and re-performing first-lien residential mortgages. The Notes are backed by approximately 4,274 loans with a total interest-bearing principal balance of $226,444,819 as of the Cut-Off Date (November 30, 2016). The portfolio is 97.9% composed of daily simple interest loans and has an average original loan size of $71,355. The loans are approximately 127 months seasoned and all are current as of the Cut-Off Date, including 0.1% bankruptcy-performing loans. Approximately 90.2% of the mortgage loans have been zero times 30 days delinquent based on the interest paid-through date for the past 36 months under the Mortgage Bankers Association delinquency methods. Approximately 36.7% of the loans have been modified, and 99.7% of such modifications happened more than two years ago. Within the pool, 2,025 mortgages have non-interest-bearing deferred amounts, which are not included in the principal balances of the mortgage loans and will instead be payable to the holders of the Class X Notes. As a result of the seasoning of the collateral, none of the loans are subject to the Consumer Financial Protection Bureau Ability-to-Repay/Qualified Mortgage rules. An affiliate of BFA IVb Depositor, LLC (the Depositor) acquired the loans from CitiFinancial Credit Company and its lending subsidiaries during the period from March 2016 through September 2016, and subsequently transferred the loans to various transferring trusts owned by the Sponsor. On the Closing Date, the transferring trusts will assign the loans to the Depositor, who will contribute the loans to the Trust. As the Sponsor, Bayview Opportunity Master Fund IVb L.P. will acquire and retain a 5% eligible vertical interest in each class of securities to be issued to satisfy the credit risk retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. These loans were originated and previously serviced by CitiFinancial Credit Company. As of the Cut-Off Date, all of the loans are serviced by Bayview Loan Servicing, LLC (BLS). There will not be any advancing of delinquent principal or interest on any mortgages by the servicer or any other party to the transaction; however, the servicer is obligated to make advances in respect of taxes and insurance, reasonable costs and expenses incurred in the course of servicing and disposing of properties. The transaction employs a sequential-pay cash flow structure. Principal proceeds can be used to cover interest shortfalls on the Class A and Class B1 Notes (and the related interest-only bonds), but such shortfalls on more subordinate bonds will not be paid from principal. In addition, diverted interest from the mortgage loans will be used to pay down principal on the Notes sequentially. The ratings reflect transactional strengths that include underlying assets that have generally performed well through the crisis, an experienced servicer and strong structural features. Additionally, a third-party due diligence review was performed on the portfolio with respect to regulatory compliance, payment history, servicing comments, data capture and title and lien review. Home Data Index values were provided for all but seven of the mortgage loans and broker price opinions or 2055 appraisals were provided for approximately 52.6% of the mortgage loans. The representations and warranties provided in this transaction generally conform to the representations and warranties that DBRS would expect to receive for a RMBS transaction with seasoned collateral; however, the transaction employs a representations and warranties framework that includes an unrated representation provider (Bayview Opportunity Master Fund IVb L.P.) with a backstop by an unrated entity (Bayview Asset Management, LLC) and certain knowledge qualifiers. Mitigating factors include (1) significant loan seasoning and relatively clean performance history in recent years; (2) third-party due diligence review; (3) a strong representations and warranties enforcement mechanism, including delinquency review trigger; and (4) for representations and warranties with knowledge qualifiers, even if the Sponsor did not have actual knowledge of the breach, the Remedy Provider is still required to remedy the breach in the same manner as if no knowledge qualifier had been made. The enforcement mechanism for breaches of representations includes automatic breach reviews by a third-party reviewer for any seriously delinquent loans or any loans that incur loss upon liquidation. Resolution of disputes are ultimately subject to determination in an arbitration proceeding. The lack of principal and interest advances on delinquent mortgages may increase the possibility of periodic interest shortfalls to the Noteholders; however, principal proceeds can be used to pay interest to the Notes sequentially and subordination levels are greater than expected losses, which may provide for timely payment of interest to the rated Notes. The DBRS ratings of AAA (sf) and AA (sf) address the timely payment of interest and full payment of principal by the legal final maturity date in accordance with the terms and conditions of the related Notes. The DBRS ratings of A (sf), BBB (sf), BB (sf) and B (sf) address the ultimate payment of interest and full payment of principal by the legal final maturity date in accordance with the terms and conditions of the related Notes. Notes: All figures are in U.S. dollars unless otherwise noted. BLUEMOUNTAIN 2013-1: S&P Gives Prelim Rates BB Rating on D-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the class A-1-R, A-2-R, B-R, C-R, and D-R floating-rate replacement notes from BlueMountain CLO 2013-1 Ltd., a collateralized loan obligation (CLO) originally issued in 2013 that is managed by BlueMountain Capital Management LLC. The replacement notes will be issued via a proposed amended and supplemental indenture. The preliminary ratings reflect S&P's opinion that the credit support available is commensurate with the associated rating levels. On the Dec. 16, 2016, refinancing date, the proceeds from the issuance of the replacement notes are expected to redeem the original notes. At that time, S&P anticipates withdrawing the ratings on the original notes and assigning ratings to the replacement notes. However, if the refinancing doesn't occur, S&P may affirm the ratings on the original notes and withdraw its preliminary ratings on the replacement notes. S&P'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 for the purposes of assessing the credit quality of assets not rated by S&P Global Ratings. The criteria provide specific guidance for treatment of corporate assets not rated by S&P Global Ratings, while the interpretation outlines 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. PRELIMINARY RATINGS ASSIGNED BlueMountain CLO 2013-1 Ltd./BlueMountain CLO 2013-1 Inc. Amount Replacement class Rating (mil. $) A-1-R AAA (sf) 310.00 A-2-R AA (sf) 62.00 B-R A (sf) 39.00 C-R BBB (sf) 26.00 D-R BB (sf) 23.60 NR--Not rated. CARNOW AUTO 2016-1: S&P Assigns Prelim. BB Rating on Cl. D Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to CarNow Auto Receivables Trust 2016-1's $109.77 million automobile receivables-backed notes series 2016-1. The note issuance is an asset-backed securities transaction backed by subprime auto loan receivables. The preliminary ratings are based on information as of Dec. 9, 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 67.9%, 58.3%, 47.3% and 41.9% credit support for the class A, B, C, and D notes, respectively, based on stressed break-even cash flow scenarios (including excess spread). These credit support levels provide coverage of more than 2.00x, 1.65x, 1.35x, and 1.20x S&P's expected net loss range of 33.00%-34.00% for the class A, B, C, and D notes, respectively. -- The timely interest and principal payments by S&P's assumed legal final maturity dates made under stressed cash flow modeling scenarios that are appropriate to the assigned preliminary ratings. -- S&P's expectation that under a moderate, or 'BBB', stress scenario, the ratings on the class A, B, C, and D notes likely would not decline by more than one rating category within the first year, (all else being equal). These potential rating movements are consistent with S&P's credit stability criteria, which outline the outer bound of credit deterioration equal to a one-category downgrade within the first year for 'AAA' and 'AA' rated securities and a two- category downgrade for 'A', 'BBB', and 'BB' rated securities under moderate stress conditions. Under the 'BBB' moderate stress, the class D notes would ultimately default. -- The credit enhancement in the form of subordination, overcollateralization, a reserve account, and excess spread. -- The collateral characteristics of the subprime pool being securitized: The pool is approximately eight months seasoned, and all of the loans have an original term of 60 months or less, which S&P expects will result in the pool being paid down faster relative to many other subprime pools with longer loan terms and less seasoning. -- The transaction's payment and legal structures. PRELIMINARY RATINGS ASSIGNED CarNow Auto Receivables Trust 2016-1 Class Rating Type Interest Amount rate (mil. $) A AA (sf) Senior Fixed 57.73 B A (sf) Subordinate Fixed 22.77 C BBB (sf) Subordinate Fixed 21.14 D BB (sf) Subordinate Fixed 8.13 CATAMARAN CLO 2014-2: S&P Affirms B Rating on Class E Notes ----------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1-R, A-2-R, and B-R replacement notes from Catamaran CLO 2014-2 Ltd., a collateralized loan obligation (CLO) originally issued in 2014 that is managed by Trimaran Advisors LLC. S&P withdrew its ratings on the original class A-1, A-2, and B notes following payment in full on the Dec. 6, 2016, refinancing date. At the same time, S&P affirmed its ratings on the class C, D, and E notes, which were not part of the refinancing. On the Dec. 6, 2016, refinancing date, the proceeds from the class A-1-R, A-2-R, and B-R replacement note issuances were used to redeem the original class A-1, A-2, and B notes as outlined in the transaction document provisions. Therefore, S&P withdrew its ratings on the original notes in line with their full redemption, and S&P is assigning ratings to the replacement notes. S&P's review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the trustee report, to estimate future performance. In line with 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 assigned ratings reflect S&P's opinion that the credit support available is commensurate with the associated rating levels. S&P will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and S&P will take rating actions as it deems necessary. RATINGS ASSIGNED Catamaran CLO 2014-2 Ltd. Replacement class Rating Amount (mil $) A-1-R AAA (sf) 283.50 A-2-R AA (sf) 53.75 B-R A (sf) 35.50 RATINGS AFFIRMED Catamaran CLO 2014-2 Ltd. Class Rating C BBB (sf) D BB (sf) E B (sf) Subordinated notes NR RATINGS WITHDRAWN Catamaran CLO 2014-2 Ltd. Rating Original class To From A-1 NR AAA (sf) A-2 NR AA (sf) B NR A (sf) CD 2016-CD2: Fitch Assigns 'B-' Rating on 2 Tranches ---------------------------------------------------- Fitch Ratings has assigned these ratings and Rating Outlooks to the German American Capital Corp.'s CD 2016-CD2 mortgage trust commercial mortgage pass-through certificates, series 2016-CD2: -- $17,465,263 class A-1 'AAAsf'; Outlook Stable; -- $69,061,053 class A-2 'AAAsf'; Outlook Stable; -- $34,742,105 class A-SB 'AAAsf'; Outlook Stable; -- $252,631,579 class A-3 'AAAsf'; Outlook Stable; -- $308,873,684 class A-4 'AAAsf'; Outlook Stable; -- $721,789,474b class X-A 'AAAsf'; Outlook Stable; -- $39,015,789 class A-M 'AAAsf'; Outlook Stable; -- $721,789,474c class V1-A 'AAAsf'; Outlook Stable; -- $76,811,579ab class X-B 'AA-sf'; Outlook Stable; -- $76,811,579 class B 'AA-sf'; Outlook Stable; -- $76,811,579c class V1-B 'AA-sf'; Outlook Stable; -- $42,673,684 class C 'A-sf'; Outlook Stable; -- $42,673,684c class V1-C 'A-sf'; Outlook Stable; -- $57,304,211ab class X-D 'BBB-sf'; Outlook Stable; -- $57,304,211a class D 'BBB-sf'; Outlook Stable; -- $57,304,211ac class V1-D 'BBB-sf'; Outlook Stable; -- $28,043,158ab class X-E 'BB-sf'; Outlook Stable; -- $28,043,158a class E 'BB-sf'; Outlook Stable; -- $10,972,632ab class X-F 'B-sf'; Outlook Stable; -- $10,972,632a class F 'B-sf'; Outlook Stable. (a) Privately placed and pursuant to Rule 144A. (b) Notional amount and interest only. (c) Exchangeable certificates. A vertical credit risk retention interest representing 5% of each class (as of the closing date) is retained as part of risk retention compliance. Fitch does not rate the $37,797,120 class X-G, the $37,797,120 class G, the $76,812,910 class V1-E or the $975,391,857 class V2. Fitch has withdrawn the expected rating on the interest-only class X-C certificates as they are no longer being offered. The certificates represent the beneficial ownership interest in the trust, primary assets of which are 30 loans secured by 37 commercial properties having an aggregate principal balance of approximately $975.4 million as of the cut-off date. The loans were contributed to the trust by German American Capital Corporation and Citigroup Global Markets Realty Corp. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 91.1% of the properties by balance and cash flow analysis of 92.4% of the pool. The transaction has a Fitch stressed debt service coverage ratio (DSCR) of 1.19x, a Fitch stressed loan-to-value (LTV) of 105.8%, and a Fitch debt yield of 8.49%. Fitch's aggregate net cash flow represents a variance of 12.4% to issuer cash flows. KEY RATING DRIVERS Fitch Leverage: The pool has leverage statistics in-line with recent Fitch-rated multiborrower transactions. The pool's Fitch DSCR and LTV for the trust are 1.19x and 105.8%, respectively, while the 2016 YTD averages are 1.20x and 105.7%. Excluding credit-opinion loans, the pool's Fitch DSCR and LTV are 1.17x and 110.7%, respectively. Concentrated by Loan Size: The top 10 loans compose 66.9% of the pool, which is worse than the respective 2015 and 2016 YTD averages of 49.3% and 54.5%. The pool's loan concentration index (LCI) is 563, which is above the 2016 YTD average of 418. For this transaction, the losses estimated by Fitch's deterministic test at 'AAAsf' exceeded Fitch's base model loss estimate. Due to the exceptionally high property quality (84.7% of the top 10 loans received a property quality grade of 'B+' or higher) and strong location (65.5% of the top 10 are located within the New York Metro market), Fitch's concluded loss estimate at 'AAAsf' is 100 basis points lower than indicated by Fitch's deterministic test. Investment-Grade Credit-Opinion Loans: Two loans representing 11% of the pool have investment-grade credit opinions, above the 2016 YTD average of 7.3%. 10 Hudson Yards (6.9% of the pool) received an investment-grade credit opinion of 'BBBsf*' on a stand-alone basis. 667 Madison Avenue (4.1% of the pool) received an investment-grade credit opinion of 'BBB-sf*' on a stand-alone basis. Weak Amortization: Eleven loans (58.2%) are full-term interest-only and seven loans (25.9%) are partial interest-only. Fitch-rated transactions in 2016 YTD had an average full-term interest-only percentage of 32.4% and a partial interest-only percentage of 36%. Based on the scheduled balance at maturity, the pool will pay down by only 5.5%, which is significantly below the 2016 YTD average of 10.4%. RATING SENSITIVITIES For this transaction, Fitch's net cash flow (NCF) was 8.5% 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). Unanticipated further declines in property-level NCF could result in higher defaults and loss severities on defaulted loans and in potential rating actions on the certificates. Fitch evaluated the sensitivity of the ratings assigned to CD 2016-CD2 certificates and found that the transaction displays average sensitivities to further declines in NCF. In a scenario in which NCF declined a further 20% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'AAsf' could result. In a more severe scenario, in which NCF declined a further 30% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'Asf' could result. CFCRE COMMERCIAL 2011-C1: Moody's Cuts Cl. G Debt Rating to Caa3 ---------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on five classes, downgraded the ratings on five classes and placed the ratings on five classes under review for possible downgrade in CFCRE Commercial Mortgage Securities Trust, Commercial Pass-Through Certificates, Series 2011-C1 as follows: Cl. A-3, Affirmed Aaa (sf); previously on Feb 26, 2016 Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Feb 26, 2016 Affirmed Aaa (sf) Cl. B, Affirmed Aa2 (sf); previously on Feb 26, 2016 Affirmed Aa2 (sf) Cl. C, Affirmed A2 (sf); previously on Feb 26, 2016 Affirmed A2 (sf) Cl. D, Downgraded to Baa3 (sf) and Placed Under Review for Possible Downgrade; previously on Feb. 26, 2016 Affirmed Baa1 (sf) Cl. E, Downgraded to B2 (sf) and Placed Under Review for Possible Downgrade; previously on Feb. 26, 2016 Downgraded to Ba1 (sf) Cl. F, Downgraded to Caa1 (sf) and Placed Under Review for Possible Downgrade; previously on Feb. 26, 2016 Downgraded to Ba3 (sf) Cl. G, Downgraded to Caa3 (sf) and Placed Under Review for Possible Downgrade; previously on Feb. 26, 2016 Downgraded to B3 (sf) Cl. X-A, Affirmed Aaa (sf); previously on Feb. 26, 2016 Affirmed Aaa (sf) Cl. X-B, Downgraded to B3 (sf) and Placed Under Review for Possible Downgrade; previously on Feb. 26, 2016 Downgraded to B1 (sf) RATINGS RATIONALE The ratings on four P&I classes were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The ratings on four P&I classes were downgraded due to higher anticipated losses from specially serviced and troubled loans, primarily due to an increase in expected losses from the Hudson Valley Mall Loan, which reprsents 17.7% of the pool. The ratings on the four P&I classes were placed on review for possible downgrade resulting from uncertainty regarding potential resolutions of the Hudson Valley Mall Loan. The rating on one IO class (Class X-A) was affirmed based on the credit performance (or the weighted average rating factor or WARF) of its referenced classes. The rating on one IO Class (Class X-B) was downgraded due to a decline in the credit performance (or the weighted average rating factor or WARF) of its referenced classes. The rating on Class X-B, whose referenced classes include some of those P&I classes placed on review for possible downgrade, was also placed on review for possible downgrade. Moody's rating action reflects a base expected loss of 15.3% of the current balance, compared to 8.5% at Moody's last review. Moody's base expected loss plus realized losses is now 6.7% of the original pooled balance, compared to 4.0% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodologies used in these ratings were "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in December 2014, and "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in October 2015. DESCRIPTION OF MODELS USED Moody's review used the excel-based CMBS Conduit Model, which it uses for both conduit and fusion transactions. Credit enhancement levels for conduit loans are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate Moody's uses to estimate Moody's value). Moody's fuses the conduit results with the results of its analysis of investment grade structured credit assessed loans and any conduit loan that represents 10% or greater of the current pool balance. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 13, compared to a Herf of 14 at Moody's last review. When the Herf falls below 20, Moody's uses the excel-based Large Loan Model and then reconciles and weights the results from the conduit and large loan models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan-level proceeds derived from Moody's loan-level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure and property type. Moody's also further adjusts these aggregated proceeds for any pooling benefits associated with loan level diversity and other concentrations and correlations. DEAL PERFORMANCE As of the November 18, 2016 distribution date, the transaction's aggregate certificate balance has decreased by 56% to $277 million from $635 million at securitization. The certificates are collateralized by 22 mortgage loans ranging in size from less than 1% to 18% of the pool, with the top ten loans constituting 69% of the pool. One loan, constituting 3% of the pool, has defeased and is secured by US government securities. Two loans, constituting 8% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. One loan has been liquidated from the pool with a minimal loss (for less than 1% loss severity). One loan, constituting 18% of the pool, is currently in special servicing. The specially serviced loan is the Hudson Valley Mall Loan ($49.0 million -- 17.7% of the pool), which is secured by a 765,500 square foot (SF) component of a regional mall located in Kingston, New York, approximately 100 miles north of New York City. The loan transferred to special servicing in April 2015 due to imminent default and the loan has since become delinquent. At securitization, the mall was anchored by a J.C. Penney, Macy's, Sears, Target (ground lease), Regal Cinemas and Dick's Sporting Goods. Two of the three department store anchors, J.C. Penney and Macy's, have vacated their spaces, though both will continue to pay rent through their respective lease expiration dates in 2017. Additional tenants operate with kick-out clauses that would allow them to leave the mall if sales do not improve. Financial performance has deteriorated substantially since 2011. Moody's has factored into its analysis an elevated loss for the loan. Moody's has also assumed a high default probability for one poorly performing loan constituting 5.9% of the pool. Moody's received full year 2015 operating results for 100% of the pool and partial year 2016 operating results for 97% of the pool. Moody's weighted average conduit LTV is 85%, compared to 87% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 13% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.4%. Moody's actual and stressed conduit DSCRs are 1.43X and 1.23X, respectively, compared to 1.41X and 1.19X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The top three loans not in special servicing represent 21% of the pool balance. The largest loan is the Santa Fe Retail Portfolio Loan ($24.2 million -- 8.7% of the pool), which is secured by a seven property portfolio located in Santa Fe, New Mexico. The portfolio consists of six retail and one office building totaling 189,000 SF. The office component is 12,500 SF and comprises 6% of the allocated balance. The majority of the retail tenants are galleries or art related. As of June 2016, the portfolio was 95% leased, the same as at July 2015. Moody's LTV and stressed DSCR are 97% and 1.05X, respectively, compared to 94% and 1.09X at the last review. The second largest loan is the Walker Center Loan ($17.8 million -- 6.4% of the pool), which is secured by a 154,000 SF office building located in the CBD of Salt Lake City, Utah. As of June 2016, the property was 88% leased compared to 90% leased as of June 2015. Moody's LTV and stressed DSCR are 90% and 1.18X, respectively, compared to 83% and 1.27X at the last review. The third largest loan is The Heights at McArthur Park Loan ($16.3 million -- 5.9% of the pool), which is secured by a 216-unit garden-style apartment complex located near Fort Bragg and Pope Air Force Base in Fayetteville, North Carolina. The property was 87% leased as of June 2016, up from 80% as of February 2016. The net operating income (NOI) dropped in 2015 and 2016 due in part to lower occupancy. The loan remains on the watchlist as the DSCR is below the 1.10X threshold. Due to the low DSCR, Moody's has identified this loan as a troubled loan. CITIGROUP 2008-C7: S&P Lowers Rating on 2 Cert. Classes to D ------------------------------------------------------------ S&P Global Ratings lowered its ratings on four classes of commercial mortgage pass-through certificates from Citigroup Commercial Mortgage Trust 2008-C7, a U.S. commercial mortgage-backed securities (CMBS) transaction. In addition, S&P affirmed its ratings on three other classes from the same transaction. S&P's rating actions on the principal- and interest-paying certificates follow its analysis of the transaction, primarily using its criteria for rating U.S. and Canadian CMBS transactions, which included a review of the credit characteristics and performance of the remaining assets in the pool, the transaction's structure, and the liquidity available to the trust. The downgrades on classes A-M, A-MA, A-J, and A-JA reflect credit support erosion that S&P anticipates will occur upon the eventual resolution of the 13 assets ($255.3 million, 24.3%) with the special servicer (discussed below), as well as credit deterioration in the Huntsville Office Portfolio I (seventh-largest loan in the pool; $30.4 million, 2.9%) and Huntsville Office Portfolio III (fourth-largest loan in the pool; $32.4 million, 3.1%) loans. Both loans are secured by properties that have occupancy and cash flow declines in recent years. S&P lowered its ratings on classes A-J and A-JA to 'D (sf)' to reflect its expectation that the accumulated interest shortfalls on the classes will remain outstanding for the foreseeable future. According to the Nov. 14, 2016, trustee remittance report, the current monthlyinterest shortfalls totaled $496,668 and resulted primarily from: -- Appraisal subordinate entitlement reduction amounts totaling $299,615; -- Interest reduction due to rate modification totaling $97,489; and -- Special servicing fees totaling $94,907. The current interest shortfalls affected classes subordinate to and including class A-J and A-JA. The 'AAA (sf)' affirmations on the class A-4 and A-1A principal- and interest-paying certificates reflect the results of our cash flow analysis, which indicated that both classes should receive full principal repayments because of time-tranching as described in "U.S. CMBS 'AAA' Scenario Loss And Recovery Application," published July 21, 2009. S&P affirmed its 'AAA (sf)' rating on the class X interest-only (IO) certificates based on its criteria for rating IO securities. TRANSACTION SUMMARY As of the Nov. 14, 2016 trustee remittance report, the collateral pool balance was $1.05 billion, or 56.8% of the pool balance at issuance. The pool currently includes 60 loans and six real estate-owned assets, down from 96 loans at issuance. Thirteen of these assets ($255.3 million, 24.3%) are with the special servicer, four ($35.2 million, 3.3%) are defeased, and 11 ($321.6 million, 30.6%) are on the master servicers' combined watchlist. The master servicers, Berkadia Commercial Mortgage LLC and Midland Loan Services, reported financial information for 99.2% of the nondefeased loans in the pool, of which 91.4% was partial-year or year-end 2015 data and 7.4% was partial-year 2016 data. "We calculated an S&P Global Ratings weighted average debt service coverage (DSC) of 1.19x and loan-to-value (LTV) ratio of 85.2% using an S&P Global Ratings weighted average capitalization rate of 7.5%. The DSC, LTV and capitalization rate calculations exclude the 13 specially serviced assets, four defeased loans, and one subordinate B note ($11.3 million, 1.1%). The top 10 nondefeased loans have an aggregate outstanding pool trust balance of $517.1 million (49.2%). Using servicer-reported numbers, we calculated an S&P Global Ratings weighted average DSC and LTV of 1.00x and 87.3%, respectively, for four of the top 10 nondefeased performing loans. The remaining six loans are specially serviced and discussed below," S&P said. To date, the transaction has experienced $152.4 million in principal losses, or 8.2% of the original pool trust balance. S&P expects losses to reach approximately 13.5% 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 13 specially serviced assets. CREDIT CONSIDERATIONS As of the Nov. 14, 2016, trustee remittance report, 13 assets in the pool were with the special servicer, LNR Partners LLC. Details of the two-largest specially serviced assets, both of which are top 10 nondefeased loans, are: The Alexandria Mall loan ($46.5 million, 4.4%) is the second-largest nondefeased loan in the trust and the largest loan with special servicer with a total reported exposure of $46.5 million. The loan is secured by retail property totaling 559,438 sq. ft. in Alexandria, La. The loan was transferred to the special servicer on Oct. 12, 2012, due to imminent default as the borrower claimed it will not be able to refinance the loan as a reciprocal easement (REA) and ground lease providing critical parking and access for the entrance to the mall will expire shortly after the loan's maturity. Discussion with the special servicer on a possible loan modification is ongoing. The reported DSC and occupancy as of year-end 2015 were 1.15x and 82%, respectively. S&P expects a moderate loss upon the loan's eventual resolution The Huntsville Office Portfolio II loan ($38.6 million, 3.7%) is the third-largest nondefeased loan in the trust and the second-largest loan with the special servicer with a total reported exposure of $40.0 million. The loan is secured by leasehold interest on eight office properties totaling 672,328 sq. ft. located in Huntsville, Ala. The loan was transferred to the special servicer on June 9, 2016, because of imminent default for cash flow issues. The reported DSC and occupancy as of year-end 2015 were 1.05x and 56%, respectively. S&P expects a minimal loss upon the loan's eventual resolution. The 11 remaining assets with the special servicer have individual balances that represent less than 3.1% of the total pool trust balance. S&P estimated losses for the 13 specially serviced assets, arriving at a weighted average loss severity of 37.8%. With respect to the specially serviced assets noted above, a minimal loss is less than 25%, a moderate loss is 26%-59%, and a significant loss is 60% or greater. RATINGS LIST Citigroup Commercial Mortgage Trust 2008-C7 Commercial mortgage pass-through certificates series 2008-C7 Rating Class Identifier To From A-4 17313KAF8 AAA (sf) AAA (sf) A-1A 17313KAG6 AAA (sf) AAA (sf) A-M 17313KAH4 BB+ (sf) BBB (sf) A-MA 17313KAJ0 BB+ (sf) BBB (sf) A-J 17313KAK7 D (sf) CCC- (sf) A-JA 17313KAL5 D (sf) CCC- (sf) X 17313KAM3 AAA (sf) AAA (sf) CITIGROUP 2015-101A: Fitch Affirms B-sf Rating on Class F Debt -------------------------------------------------------------- Fitch Ratings has affirmed eight classes of Citigroup Commercial Mortgage Trust 2015-101A, commercial mortgage pass-through certificates series 2015-101A. KEY RATING DRIVERS The affirmations are based on the stable performance of the underlying collateral. As of the November 2016 distribution date, the pool's aggregate certificate balance remained at $200 million, unchanged from issuance. The loan is interest only (annual interest rate of 4.65%) for the entire 20-year term. The certificates represent the beneficial ownership in the issuing entity, the primary asset of which is one loan secured by the leasehold interest in the 101 Avenue of the Americas office property in New York, NY. The two largest tenants, NY Genome Center (38.5% of total square footage) and Two Sigma (32.3%) occupy approximately 71% of the property. Other major tenants include Digital Ocean (10.3%) and REGUS (7.3%). Stable Performance: Performance of the property is stable as exhibited by strong occupancy and limited near-term rollover. Occupancy has improved to 99.7% as of September 2016 from 94.5% at issuance. For the nine months ended Sept. 30, 2016, the net operating income (NOI) debt service coverage ratio (DSCR) was 1.76x, compared with 2.05x at issuance. High-Quality Manhattan Asset: The 23-story, class A office building is located within the South Broadway/Hudson Square submarket in Manhattan. The property was gut renovated between 2011 and 2013 including upgraded building systems as well as a new lobby, restrooms, and green roof terrace. The building is LEED Silver certified. Limited Near-Term Rollover: The property has no immediate rollover until 2019 when 3.6% of leases expire. An additional 7.3% expires in 2023. The majority of the building rollover is associated with the two largest tenants which both roll prior to the loan's maturity date in January 2035. The largest tenant (38.5%) has lease expiration in 2033 and the second largest tenant (32.3%) expires in 2029. Concentrated Tenancy: Tenancy in the building is concentrated with the five largest tenants representing 94% of the gross leasable area (GLA). The majority of the building is comprised of the two largest tenants representing 71% of the GLA, both of which are on long-term leases. Leasehold Interest: The property is subject to a 99-year ground lease that expires in December 2088. The loan is structured with monthly reserves for all payments associated with the ground lease and is recourse to the borrower and guarantor for termination of the ground lease. RATING SENSITIVITIES The Rating Outlook for all classes remains Stable. No rating actions are anticipated unless there are material changes in property occupancy or cash flow. The property performance is consistent with issuance. Fitch has affirmed these classes: -- $96,000,000 class A at 'AAAsf'; Outlook Stable; -- $96,000,000 class X-A* at 'AAAsf'; Outlook Stable; -- $30,000,000 class X-B* at 'A-sf'; Outlook Stable; -- $16,000,000 class B at 'AA-sf'; Outlook Stable; -- $14,000,000 class C at 'A-sf'; Outlook Stable; -- $20,000,000 class D at 'BBB-sf'; Outlook Stable; -- $31,000,000 class E at 'BB-sf'; Outlook Stable; -- $19,000,000 class F at 'B-sf'; Outlook Stable. * Interest-only class X-A is equal to the notional balance of class A. Interest-only class X-B is equal to the notional balance of class B and class C. Fitch does not rate the class G certificates. COBALT CMBS 2007-C2: Moody's Affirms Ba2 Rating on 2 Tranches ------------------------------------------------------------- Moody's Investors Service affirmed fifteen classes and downgraded one class of COBALT CMBS Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2007-C2 as follows: -- Cl. A-3, Affirmed Aaa (sf); previously on Jan 28, 2016 Affirmed Aaa (sf) -- Cl. A-1A, Affirmed Aaa (sf); previously on Jan 28, 2016 Affirmed Aaa (sf) -- Cl. A-MFX, Affirmed Aa1 (sf); previously on Jan 28, 2016 Upgraded to Aa1 (sf) -- Cl. A-M, Affirmed Aa1 (sf); previously on Jan 28, 2016 Upgraded to Aa1 (sf) -- Cl. A-JFX, Affirmed Ba2 (sf); previously on Jan 28, 2016 Upgraded to Ba2 (sf) -- Cl. A-JFL, Affirmed Ba2 (sf); previously on Jan 28, 2016 Upgraded to Ba2 (sf) -- Cl. B, Affirmed B2 (sf); previously on Jan 28, 2016 Upgraded to B2 (sf) -- Cl. C, Affirmed Caa1 (sf); previously on Jan 28, 2016 Upgraded to Caa1 (sf) -- Cl. D, Affirmed Caa2 (sf); previously on Jan 28, 2016 Upgraded to Caa2 (sf) -- Cl. E, Affirmed Caa3 (sf); previously on Jan 28, 2016 Upgraded to Caa3 (sf) -- Cl. F, Affirmed C (sf); previously on Jan 28, 2016 Confirmed at C (sf) -- Cl. G, Affirmed C (sf); previously on Jan 28, 2016 Affirmed C (sf) -- Cl. H, Affirmed C (sf); previously on Jan 28, 2016 Affirmed C (sf) -- Cl. J, Affirmed C (sf); previously on Jan 28, 2016 Affirmed C (sf) -- Cl. K, Affirmed C (sf); previously on Jan 28, 2016 Affirmed C (sf) -- Cl. X, Downgraded to B1 (sf); previously on Jan 28, 2016 Affirmed Ba3 (sf) RATINGS RATIONALE The ratings on six P&I classes, Classes A-1A through A-JFX were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The ratings on nine P&I classes, Classes B through K, was affirmed because the ratings are consistent with Moody's expected loss. The rating on the IO Class, Class X, was downgraded due to the decline in the credit performance of its reference classes resulting from principal paydowns of higher quality reference classes. Moody's rating action reflects a base expected loss of 12.0% of the current balance compared to 8.8% at last review. The deal has paid down 16% since last review and 43% since securitization. Moody's base plus realized loss totals 10.6% compared to 9.4% at last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan pay downs or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The methodologies used in these ratings were " Approach to Rating US and Canadian Conduit/Fusion CMBS" published in December 2014 and "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in October 2015. DESCRIPTION OF MODELS USED Moody's review used the excel-based CMBS Conduit Model, which it uses for both conduit and fusion transactions. Credit enhancement levels for conduit loans are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate Moody's uses to estimate Moody's value). Moody's fuses the conduit results with the results of its analysis of investment grade structured credit assessed loans and any conduit loan that represents 10% or greater of the current pool balance. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Conduit Loan Herf of 16 compared to 21 at last review. When the Herf falls below 20, Moody's uses the excel-based Large Loan Model and then reconciles and weights the results from the conduit and large loan models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan-level proceeds derived from Moody's loan-level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type and sponsorship. Moody's also further adjusts these aggregated proceeds for any pooling benefits associated with loan level diversity and other concentrations and correlations. DEAL PERFORMANCE As of the November 18, 2016 distribution date, the transaction's aggregate certificate balance has decreased by 43% to $1.4 billion from $2.4 billion at securitization. The certificates are collateralized by 94 mortgage loans ranging in size from less than 1% to 18% of the pool, with the top ten loans constituting 47% of the pool. Nine loans, constituting 6% of the pool, have defeased and are secured by US government securities. Forty loans, constituting 29% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Thirty loans have been liquidated from the pool, resulting in an aggregate realized loss of $91.6 million (for an average loss severity of 43%). Fourteen loans, constituting 16% of the pool, are currently in special servicing. The largest specially serviced loan is the 90 Merrick Avenue Loan ($38.0 million -- 2.8% of the pool), which is secured by a 242,659 SF, nine-story suburban office building located in East Meadow, New York. The property was 88% occupied as July 2016. The loan is interest-only and scheduled to mature on 2/11/2017 and per the Borrower, the property's value is materially below the current UPB and therefore the loan will not be repaid at maturity. The second largest specially serviced loan is the 275 Broadhollow Road Loan ($33.2 million -- 2.4% of the pool), which is secured by a 126,770 sf office property built in 1989 and located in Melville, New York. The loan is interest-only and scheduled to mature on 2/11/2017; however, per the Borrower, Capital One, the sole tenant occupying 100% of the property's NRA has indicated that it will be vacating the property upon its 12/31/2018 lease expiration. The remaining twelve specially serviced loans are secured by a mix of property types. Moody's estimates an aggregate $99.7 million loss for the specially serviced loans (51.8% expected loss on average). Moody's has assumed a high default probability for twelve poorly performing loans, constituting 11.2% of the pool, and has estimated an aggregate loss of $27.7 million (an 18.1% expected loss based on a 51.3% probability default) from these troubled loans. Moody's received full year 2015 operating results for 94% of the pool, and partial year 2016 operating results for 92% of the pool. Moody's weighted average conduit LTV is 106%, the same as at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 6% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.0%. Moody's actual and stressed conduit DSCRs are 1.34X and 0.97X, respectively, compared to 1.27X and 0.96X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The top three conduit loans represent 32% of the pool balance. The largest loan is the 75 Broad Street Loan ($243.5 million -- 17.8% of the pool), which is secured by a 648,000 square foot (SF) office telecom building located in the Financial District of New York. The property was 90% leased as of September 2016 compared to 92% leased as of March 2015 and 95% leased at year-end 2014. The largest tenants include Internap (13% of the new rentable area (NRA); lease expiration December 2018) and the Millennium High School (12% of the NRA; lease expiration September 2018). The loan is interest only for its entire term. Moody's LTV and stressed DSCR are 123% and 0.77X, respectively, compared to 124% and 0.77X at last review. The second largest conduit loan is The Woodies Building Loan ($160.7 million -- 11.7% of the pool) which is secured by two buildings totaling 484,200 SF with street level retail and office space above. These properties are located in the East End sub-market of Washington, D.C. The office component represents 73% of the NRA and is predominantly leased to government agencies. The largest office tenants are the Federal Bureau of Investigation (34% of the total NRA; lease expiration 2020) and the National Endowment of Democracy (14% of the NRA; lease expiration in March 2021). The largest retail tenants are Forever 21, H&M, Madame Tussauds and Zara. As of July 2016 the property was 90% leased, compared to 99% leased in February 2015 at last review. The loan has amortized 7%. Moody's LTV and stressed DSCR are 87% and 1.09X, respectively, compared to 101% and 0.93X at last review. The third largest loan is the 1515 Flagler Waterview -- A Note Loan ($31.9 million -- 2.3% of the pool), which is secured by 163,487 SF medical office property located in West Palm Beach, FL. The property was 72% occupied as of June 2016 compared to 77% in March 2015. The property had historically sustained upper 90% occupancy from securtization through 2012. The Loan was modified in July 2016 with an A-Note, B-Note split after the property's occupancy and revenues sharply declined between 2013 and 2014 due to a loss of tenancy. The Loan is now encumbered with a $3.3 million B-Note. The maturity date is now 2/1/2019 making the ARD of 2/1/2017 no longer applicable. Moody's LTV and stressed DSCR are 137% and 0.75X, respectively, compared to 127% and 0.81X at last review. COLT 2016-3: DBRS Finalizes BB Rating on Class B-1 Certs -------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the Mortgage Pass-Through Certificates, Series 2016-3 (the Certificates) issued by COLT 2016-3 Mortgage Loan Trust (the Trust): -- $129.9 million Class A-1 at AAA (sf) -- $26.8 million Class A-2 at AA (sf) -- $37.1 million Class A-3 at A (sf) -- $9.8 million Class M-1 at BBB (sf) -- $7.2 million Class B-1 at BB (sf) -- $7.1 million Class B-2 at B (sf) The AAA (sf) ratings on the Certificates reflect the 42.45% of credit enhancement provided by subordinated Certificates in the pool. The AA (sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings reflect 30.60%, 14.15%, 9.80%, 6.60% and 3.45% of credit enhancement, respectively. Other than the specified classes above, DBRS does not rate any other classes in this transaction. This transaction is a securitization of a portfolio of fixed- and adjustable-rate, prime and non-prime, first-lien residential mortgages. The Certificates are backed by 474 loans with a total principal balance of $225,745,589 as of the Cut-Off Date (December 1, 2016). Caliber Home Loans, Inc. (Caliber) is the originator and servicer for 71.2% of the portfolio. The Caliber mortgages were originated under the following five programs: -- Jumbo Alternative (31.2%) – Generally made to borrowers with unblemished credit who do not meet strict prime jumbo or agency/government guidelines. These loans may have interest- only (IO) features, higher debt-to-income (DTI) and loan-to- value (LTV) ratios, or lower credit scores as compared with those in traditional prime jumbo securitizations. -- Homeowner's Access (29.8%) – Made to borrowers who do not qualify for agency or prime jumbo mortgages for various reasons, such as loan size in excess of government limits, alternative or insufficient credit, or prior derogatory credit events that occurred more than two years prior to origination. -- Fresh Start (8.8%) – Made to borrowers with lower credit and significant recent credit events within the past 24 months. -- Investor (1.3%) – Made to borrowers who finance investor properties where the mortgage loan would not meet agency or government guidelines because of such factors as property type, number of financed properties, lower borrower credit score or a seasoned credit event. -- Foreign National (0.2%) – Made to non-resident borrowers holding certain types of visas who may not have a credit score. Sterling Bank and Trust, FSB (Sterling) is the originator and servicer for 22.3% of the portfolio. The Sterling mortgages were originated under Sterling's Advantage Home Ownership Program (Advantage), which focuses on high-quality borrowers with clean mortgage payment histories and substantial equity in their properties who seek alternative income documentation products. LendSure Mortgage Corp. (LendSure) originated approximately 6.5% of the pool through its wholesale lending network, all of which is serviced by Caliber. Wells Fargo Bank, N.A. (Wells Fargo) will act as the Master Servicer, Securities Administrator and Certificate Registrar. U.S. Bank National Association will serve as Trustee. Although the mortgage loans were originated to satisfy the Consumer Financial Protection Bureau (CFPB) ability-to-repay (ATR) rules, they were made to borrowers who generally do not qualify for agency, government or private-label, non-agency prime jumbo products for the various reasons described above. In accordance with the CFPB Qualified Mortgage (QM) rules, 0.7% of the loans are designated as QM Safe Harbor, 31.1% as QM Rebuttable Presumption and 61.7% as non-QM. Approximately 6.5% of the loans are not subject to the QM rules. The servicers will generally fund advances of delinquent principal and interest on any mortgage until such loan becomes 180 days delinquent, and they are obligated to make advances in respect of taxes, insurance premiums and reasonable costs incurred in the course of servicing and disposing of properties. On or after the two-year anniversary of the Closing Date, the Depositor has the option to purchase all of the outstanding certificates at a price equal to the outstanding class balance plus accrued and unpaid interest, including any cap carryover amounts. The transaction employs a sequential-pay cash flow structure with a pro rata principal distribution among the senior tranches. Principal proceeds can be used to cover interest shortfalls on the Certificates as the outstanding senior Certificates are paid in full. The ratings reflect transactional strengths that include the following: -- ATR Rules and Appendix Q Compliance: All of the mortgage loans were underwritten in accordance with the eight underwriting factors of the ATR rules. In addition, Caliber's underwriting standards comply with the Standards for Determining Monthly Debt and Income as set forth in Appendix Q of Regulation Z with respect to income verification and the calculation of DTI ratios. All but one of the LendSure-originated loans are Appendix Q-compliant as well. -- Strong Underwriting Standards: Whether for prime or non- prime mortgages, underwriting standards have improved significantly from the pre-crisis era. The Caliber loans were underwritten to a full documentation standard with respect to verification of income (generally through two years of W-2s or tax returns), employment and asset. Generally, fully executed 4506-Ts are obtained, and tax returns are verified with IRS transcripts if applicable. Although loans in the Sterling Advantage program were underwritten to limited documentation standards, borrowers are required to have strong credit profiles, substantial equity in their properties and generally no delinquencies in the past 12 months. The Sterling loans were all originated through the retail channel and have a weighted-average original combined LTV (CLTV) of 61.7%. -- Robust Loan Attributes and Pool Composition: -- The mortgage loans in this portfolio generally have robust loan attributes as reflected in CLTV ratios, borrower household income and liquid reserves, including the loans in Homeowner's Access and Fresh Start, the two programs with weaker borrower credit. -- The pool contains low proportions of cash-out and investor properties. -- LTVs gradually reduce as the programs move down the credit spectrum, suggesting the consideration of compensating factors for riskier pools. -- The pool comprises 25.7% fixed-rate mortgages, which have the lowest default risk due to the stability of monthly payments. The pool comprises 68.5% hybrid adjustable-rate mortgages (ARMs) with an initial fixed period of five to seven years, allowing borrowers sufficient time to credit cure before rates reset. Only 5.8% of the pool are hybrid ARMs with an initial fixed period of three years. -- Satisfactory Third-Party Due Diligence Review: A third-party due diligence firm conducted property valuation, credit and compliance reviews on 100.0% of the loans in the pool. Data integrity checks were also performed on the pool. -- Satisfactory Loan Performance to Date (Albeit Short): Of the approximately 1,621 mortgages originated to date, only 32 were ever 30 days delinquent, which generally self-cured shortly after. Four loans have been 60 days delinquent, and two loans have been 90 days delinquent. Sterling's Advantage portfolio has experienced no delinquencies since October 2011, and Sterling's servicing portfolio maintains low delinquency rates of 0.06% as of October 2016. In addition, voluntary prepayment rates have been relatively high, as these borrowers tend to credit cure and refinance into lower-cost mortgages. The transaction also includes the following challenges and mitigating factors: -- Representations and Warranties (R&W) Framework and Provider: The R&W framework is considerably weaker compared with that of a post-crisis prime jumbo securitization. Instead of an automatic review when a loan becomes seriously delinquent, this transaction employs an optional review only when realized losses occur (unless the alleged breach relates to an ATR or TRID violation). In addition, rather than engaging a third-party due diligence firm to perform the R&W review, the Controlling Holder (initially the Sponsor or a majority- owned affiliate of the Sponsor) has the option to perform the review in house or use a third-party reviewer. Finally, the R&W providers (the originators) are unrated entities, have limited performance history of non-prime, non-QM securitizations and may potentially experience financial stress that could result in the inability to fulfill repurchase obligations. DBRS notes the following mitigating factors: -- The holders of Certificates representing 25.0% interest in the Certificates may direct the Trustee to commence a separate review of the related mortgage loan, to the extent that they disagree with the Controlling Holder's determination of a breach. -- Third-party due diligence was conducted on 100.0% of the loans included in the pool. A comprehensive due diligence review mitigates the risk of future R&W violations. -- DBRS conducted on-site originator (and servicer) reviews of Caliber and Sterling and deems them to be operationally sound. -- The Sponsor or an affiliate of the Sponsor will retain the Class B-2, Class B-3 and Class X Certificates, which represent at least 5.0% of the fair value of all the Certificates, aligning Sponsor and investor interest in the capital structure. -- Notwithstanding the above, DBRS adjusted the originator scores downward to account for the potential inability to fulfill repurchase obligations, the lack of performance history as well as the weaker R&W framework. A lower originator score results in increased default and loss assumptions and provides additional cushions for the rated securities. -- Non-Prime, QM-Rebuttable Presumption or Non-QM Loans: Compared with post-crisis prime jumbo transactions, this portfolio contains some mortgages originated to borrowers with weaker credit and prior derogatory credit events as well as QM-rebuttable presumption or non-QM loans. -- All loans were originated to meet the eight underwriting factors as required by the ATR rules. The Caliber loans were also underwritten to comply with the standards set forth in Appendix Q. All but one of the LendSure-originated loans are Appendix Q-compliant as well. -- Underwriting standards have improved substantially since the pre-crisis era. -- DBRS RMBS Insight Model incorporates loss severity penalties for non-QM and QM Rebuttable Presumption loans as explained in the Key Loss Severity Drivers section of the related report. -- For loans in this portfolio that were originated through the Homeowner's Access and Fresh Start programs, borrower credit events had generally happened 42 months and 26 months, respectively, prior to origination, on average. In its analysis, DBRS applies additional penalties for borrowers with recent credit events within the past two years. -- Servicer Advances of Delinquent Principal and Interest (P&I): The servicers will advance scheduled P&I on delinquent mortgages until such loans become 180 days delinquent. This will likely result in lower loss severities to the transaction because advanced P&I will not have to be reimbursed from the trust upon the liquidation of the mortgages, but will increase the possibility of periodic interest shortfalls to the Certificateholders. Mitigating factors include that principal proceeds can be used to pay interest shortfalls to the Certificates as the outstanding senior Certificates are paid in full as well as the fact that subordination levels are greater than expected losses, which may provide for payment of interest to the Certificates. DBRS ran cash flow scenarios that incorporated P&I advancing up to 180 days for delinquent loans; the cash flow scenarios are discussed in more detail in the Cash Flow Analysis section of the related report. -- Servicers' Financial Capability: In this transaction, the servicers, Caliber and Sterling, are responsible for funding advances to the extent required. The servicers are unrated entities and may face financial difficulties in fulfilling its servicing advance obligation in the future. Consequently, the transaction employs Wells Fargo, rated AA (high) by DBRS, as the Master Servicer. If a servicer fails in its obligation to make advances, Wells Fargo will be obligated to fund such servicing advances. The DBRS ratings of AAA (sf) and AA (sf) address the timely payment of interest and full payment of principal (excluding IO classes) by the legal final maturity date in accordance with the terms and conditions of the related Certificates. The DBRS ratings of A (sf), BBB (sf), BB (sf) and B (sf) address the ultimate payment of interest and full payment of principal by the legal final maturity date in accordance with the terms and conditions of the related Certificates. COMM 2014-UBS2: DBRS Confirms BB Rating on Class E Notes -------------------------------------------------------- DBRS Limited confirmed all classes of Commercial Mortgage Pass-Through Certificates, Series 2014-UBS2 issued by COMM 2014-UBS2 Mortgage Trust as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-M at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AAA (sf) -- Class B at AA (sf) -- Class C at A (low) (sf) -- Class PEZ at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class F at B (low) (sf) All trends are Stable. DBRS does not rate the first loss piece, Class G. The rating confirmations reflect the overall stable performance of the transaction. At issuance, the pool consisted of 59 loans secured by 95 commercial and multifamily properties. The pool has since experienced a collateral reduction of 3.7% as a result of scheduled amortization, with all of the original 59 loans outstanding. The pool also benefits from defeasance collateral as one loan, representing 0.9% of the current pool balance, is fully defeased. Based on YE2015 financials, the pool reported a weighted-average (WA) debt service coverage ratio (DSCR) of 1.60 times (x) and a WA debt yield of 10.3%. Comparatively, the YE2014 WA DSCR and WA debt yield were 1.50x and 9.4%, respectively. As of the November 2016 remittance, there is one loan in special servicing, representing 2.0% of the current pool balance, and seven loans on the servicer's watchlist, representing 4.8% of the current pool balance. The specially serviced loan is Prospectus ID #15, Creekside Mixed Use Development. That loan transferred to the special servicer in November 2014 for imminent default. A receiver was appointed in March 2015 and after attempts to sell the property were unsuccessful, the special servicer reported a foreclosure hearing was scheduled for late 2016. Based on the most recent financials, the loans on the watchlist reported a WA DSCR and debt yield of 1.46x and 9.2%, respectively. DBRS has provided updated loan-level commentary and analysis for larger and/or pivotal watchlisted and for the specially serviced loan, as well as for the largest 15 loans in the pool, in the DBRS CMBS IReports platform. The ratings assigned to Classes C, PEX and F materially deviate from the higher ratings implied by the quantitative model. DBRS considers a material deviation to be a rating differential of three or more notches between the assigned rating and the rating implied by the quantitative model that is a substantial component of a rating methodology; in this case, the assigned ratings reflect the sustainability of loan performance trends not demonstrated. Notes: All figures are in U.S. dollars unless otherwise noted. CONNECTICUT AVE 2016-C07: Fitch Assigns 'Bsf' Rating on 2 Tranches ------------------------------------------------------------------ Fitch Ratings has assigned ratings to Fannie Mae's risk transfer transaction, Connecticut Avenue Securities, series 2016-C07 (CAS 2016-C07), as: -- $192,504,000 class 2M-1 notes 'BBB-sf'; Outlook Stable; -- $139,031,000 class 2M-2A notes 'BB+sf'; Outlook Stable; -- $310,146,000 class 2M-2B notes 'Bsf'; Outlook Stable; -- $449,177,000 class 2M-2 exchangeable notes 'Bsf'; Outlook Stable; -- $139,031,000 class 2M-2I exchangeable notional notes 'BB+sf'; Outlook Stable; -- $139,031,000 class 2M-2R exchangeable notes 'BB+sf'; Outlook Stable; -- $139,031,000 class 2M-2S exchangeable notes 'BB+sf'; Outlook Stable; -- $139,031,000 class 2M-2T exchangeable notes 'BB+sf'; Outlook Stable; -- $139,031,000 class 2M-2U exchangeable notes 'BB+sf'; Outlook Stable. These classes will not be rated by Fitch: -- $21,614,589,756 class 2A-H reference tranche; -- $10,132,779 class 2M-1H reference tranche; -- $7,317,785 class 2M-AH reference tranche; -- $16,324,366 class 2M-BH reference tranche; -- $60,000,000 class 2B notes; -- $165,151,976 class 2B-H reference tranche. The 'BBB-sf' rating for the 2M-1 note reflects the 3.10% subordination provided by the 0.65% class 2M-2A note, the 1.45% class 2M-2B and the 1.00% 2B note, and their corresponding reference tranches. The notes are general senior unsecured obligations of Fannie Mae (rated 'AAA'/Outlook Stable) subject to the credit and principal payment risk of a pool of certain residential mortgage loans held in various Fannie Mae-guaranteed MBS. The reference pool of mortgages will consist of mortgage loans with LTVs greater than 80.01% and less than or equal to 97.00%. Connecticut Avenue Securities, series 2016-C07 (CAS 2016-C07) is Fannie Mae's 16th risk transfer transaction issued as part of the Federal Housing Finance Agency's Conservatorship Strategic Plan for 2013 - 2017 for each of the government sponsored enterprises (GSEs) to demonstrate the viability of multiple types of risk transfer transactions involving single family mortgages. The objective of the transaction is to transfer credit risk from Fannie Mae to private investors with respect to a $22.5 billion pool of mortgage loans currently held in previously issued MBS guaranteed by Fannie Mae where principal repayment of the notes are subject to the performance of a reference pool of mortgage loans. As loans liquidate, are modified or other credit events occur, the outstanding principal balance of the debt notes will be reduced by the loan's actual loss severity percentage related to those credit events. While the transaction structure simulates the behavior and credit risk of traditional RMBS mezzanine and subordinate securities, Fannie Mae will be responsible for making monthly payments of interest and principal to investors. Because of the counterparty dependence on Fannie Mae, Fitch's expected rating on the 2M-1, 2M-2A and 2M-2B notes will be based on the lower of: the quality of the mortgage loan reference pool and credit enhancement (CE) available through subordination; and Fannie Mae's Issuer Default Rating. The notes will be issued as uncapped LIBOR-based floaters and will carry a 12.5-year legal final maturity. KEY RATING DRIVERS High Quality Mortgage Pool (Positive): The reference mortgage loan pool consists of high quality mortgage loans that were acquired by Fannie Mae from January 2016 through April 2016. In this transaction, Fannie Mae has only included one group of loans with loan-to-value ratios (LTVs) from 80.01%-97.00%. Overall, the reference pool's collateral characteristics are similar to recent CAS transactions and reflect the strong credit profile of post-crisis mortgage originations. Actual Loss Severities (Neutral): This will be Fannie Mae's eighth actual loss risk transfer transaction in which losses borne by the noteholders will not be based on a fixed loss severity (LS) schedule. The notes in this transaction will experience losses realized at the time of liquidation or modification, which will include both lost principal and delinquent or reduced interest. Mortgage Insurance Guaranteed by Fannie Mae (Positive): The majority of the loans in the pool are covered either by borrower-paid mortgage insurance (BPMI) or lender-paid MI (LPMI). Fannie Mae will be guaranteeing the mortgage insurance (MI) coverage amount, which will typically be the MI coverage percentage multiplied by the sum of the unpaid principal balance as of the date of the default, up to 36 months of delinquent interest, taxes, and maintenance expenses. While the Fannie Mae guarantee allows for credit to be given to MI, Fitch applied a haircut to the amount of BPMI available due to the automatic termination provision as required by the Homeowners Protection Act when the loan balance is first scheduled to reach 78%. 12.5-Year Hard Maturity (Positive): The 2M-1, 2M-2A, 2M-2B, and 2B notes benefit from a 12.5-year legal final maturity. As a result, any collateral losses on the reference pool that occur beyond year 12.5 are borne by Fannie Mae and do not affect the transaction. Fitch accounted for the 12.5-year window in its default analysis and applied a reduction to its lifetime default expectations. Limited Size/Scope of Third-Party Diligence (Neutral): This is the fourth transaction in which Fitch received third-party due diligence on a loan production basis as opposed to a transaction-specific review. Fitch believes that regular, periodic third-party reviews (TPRs) conducted on a loan production basis are sufficient for validating Fannie Mae's quality control (QC) processes. The sample selection was limited to a population of 7,391 loans that were previously reviewed as part of Fannie Mae's post-purchase QC review and met the reference pool's eligibility criteria. Of those loans, 1,998 were selected for a full review (credit, property valuation, and compliance) by third-party due diligence providers. Of the 1,998 loans, 347 were part of this transaction's reference pool. Fitch views the results of the due diligence review as consistent with its opinion of Fannie Mae as an above-average aggregator; as a result, no adjustments were made to Fitch's loss expectations based on due diligence. Advantageous Payment Priority (Positive): The 2M-1 class strongly benefits from the sequential pay structure and stable CE provided by the more junior 2M-2A, 2M-2B, and 2B classes which are locked out from receiving any principal until classes with a more senior payment priority are paid in full. However, available CE for the junior classes as a percentage of the outstanding reference pool increases in tandem with the paydown of the 2M-1 class. Given the size of the 2M-1 class relative to the combined total of all the junior classes, together with the sequential pay structure, the class 2M-1 will de-lever and CE as a percentage will build faster than in a pro rata payment structure. Solid Alignment of Interests (Positive): While the transaction is designed to transfer credit risk to private investors, Fitch believes that it benefits from a solid alignment of interests. Fannie Mae will be retaining credit risk in the transaction by holding the 2A-H senior reference tranches, which have an initial loss protection of 4.00%, as well as at least 50% of the first loss 2B-H reference tranche, sized at 73 bps. Fannie Mae is also retaining an approximately 5% vertical slice/interest in the 2M-1, 2M-2A, and 2M-2B tranches. Receivership Risk Considered (Neutral): Under the Federal Housing Finance Regulatory Reform Act, the Federal Housing Finance Agency (FHFA) must place Fannie Mae into receivership if it determines that Fannie Mae's assets are less than its obligations for more than 60 days following the deadline of its SEC filing, as well as for other reasons. As receiver, FHFA could repudiate any contract entered into by Fannie Mae if it is determined that the termination of such contract would promote an orderly administration of Fannie Mae's affairs. Fitch believes that the U.S. government will continue to support Fannie Mae; this is reflected in our current rating of Fannie Mae. However, if, at some point, Fitch views the support as being reduced and receivership likely, the ratings of Fannie Mae could be downgraded and the 2M-1, 2M-2A, and 2M-2B notes' ratings affected. RATING SENSITIVITIES Fitch's analysis incorporates sensitivity analyses to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at both the metropolitan statistical area (MSA) and national levels. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or be considered in the surveillance of the transaction. This defined stress sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20%, and 30%, in addition to the model-projected 23.4% at the 'BBBsf' level and 18.6% at the 'BBsf' level. The analysis indicates that there is some potential rating migration with higher MVDs, compared with the model projection. Fitch also conducted defined rating sensitivities which determine the stresses to MVDs that would reduce a rating by one full category, to non-investment grade, and to 'CCCsf'. For example, additional MVDs of 11%, 11% and 35% would potentially reduce the 'BBBsf' rated class down one rating category, to non-investment grade, and to 'CCCsf', respectively. CREDIT SUISSE 2015-C1: Fitch Affirms 'Bsf' Ratings on 2 Tranches ---------------------------------------------------------------- Fitch Ratings has affirmed 16 classes of Credit Suisse USA CSAIL 2015-C1 Commercial Mortgage Pass-Through Certificates. KEY RATING DRIVERS The affirmations are based on the stable performance of the underlying collateral and no material changes to the pool metrics since issuance. As of the November 2016 remittance, the transaction has experienced 0.8% collateral reduction as a result of amortization. All of the original 82 loans remain outstanding. Stable Performance: There have been no material changes to the pool's overall performance since issuance. There are no delinquent or specially serviced loans. Four loans (2.6% of the pool) are currently on the servicer's watchlist, three of which are being flagged for deferred maintenance items. High Fitch Leverage: At issuance, the Fitch stressed DSCR and LTV were 1.21x and 110.4%, respectively. Six loans (31.5% of the pool) have pari-passu notes securitized in other CMBS transactions. Concentration: The largest state concentration is New York (24.6% of the pool) with the three largest loans secured by properties in New York City. The next largest state concentrations are California (15% of the pool) and Texas (13.1% of the pool). The deal also has an above-average concentration of hotel properties, which represent 23.8% of the pool balance. Limited Amortization: Five loans (27.9% of the pool) are interest-only for the full term. An additional 40 loans were structured with partial interest-only periods. Beginning with the January 2017 remittance, 27 of those 40 loans (33.3% of the pool) will still be in their interest-only periods. Based on the scheduled balance at maturity, the pool is scheduled to amortize 10.7%. RATING SENSITIVITIES The Rating Outlooks on all classes remain Stable. Fitch does not foresee positive or negative ratings migration until a material economic or asset-level event changes the transaction's overall portfolio-level metrics. Fitch has affirmed these classes: -- $33.6 million class A-1 at 'AAAsf', Outlook Stable; -- $56.3 million class A-2 at 'AAAsf', Outlook Stable; -- $270 million class A-3 at 'AAAsf', Outlook Stable; -- $405.2 million class A-4 at 'AAAsf', Outlook Stable; -- $74.6 million class A-SB at 'AAAsf', Outlook Stable; -- $84.9 million class A-S at 'AAAsf', Outlook Stable; -- $924.8 million* class X-A at 'AAAsf', Outlook Stable; -- $66.7 million class B at 'AA-sf', Outlook Stable; -- $66.7 million* class X-B at 'AA-sf', Outlook Stable; -- $53.1 million class C at 'A-sf', Outlook Stable; -- $62.2 million class D at 'BBB-sf', Outlook Stable; -- $62.2 million*X-D at 'BBB-sf', Outlook Stable; -- $24.3 million class E at 'BBsf', Outlook Stable; -- $24.3 million* class X-E at 'BBsf', Outlook Stable; -- $15.2 million class F at 'Bsf', Outlook Stable; -- $15.2 million* class X-F at 'Bsf', Outlook Stable. *Notional amount and interest-only. Fitch does not rate the class NR or X-NR certificates. Fitch previously withdrew the rating on the class X-C certificate. DBWF 2016-85T: S&P Assigns BB- Rating on Class E Certificates -------------------------------------------------------------- S&P Global Ratings assigned its ratings to DBWF 2016-85T Mortgage Trust's $217.0 million commercial mortgage pass-through certificates series 2016-85T. The issuance is a commercial mortgage-backed securities transaction backed by a $217.0 million trust mortgage loan, which is part of a whole mortgage loan totaling $396.0 million, secured by a first lien on the borrower's fee interest in 85 Tenth Avenue, a 11-story office building totaling 632,548 sq. ft. and located in Manhattan's Chelsea submarket. The preliminary ratings are based on information as of Dec. 5, 2016. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The ratings reflect the collateral's historic and projected performance, the sponsor's and managers' experience, the trustee-provided liquidity, the loan's terms, and the transaction's structure. RATINGS ASSIGNED DBWF 2016-85T Mortgage Trust Class Rating Amount ($) A AAA (sf) 106,001,000 X-A AAA (sf) 106,001,000(i) B AA- (sf) 25,849,000 C A- (sf) 36,693,000 D BBB- (sf) 45,010,000 E BB- (sf) 57,447,000 (i)The notional amount of the class X-A certificates will be equal to the class A certificate balance. DLJ COMMERCIAL 1999-CG3: Fitch Affirms 'Dsf' Rating on 5 Certs. --------------------------------------------------------------- Fitch Ratings has affirmed six classes of DLJ Commercial Mortgage Corporation commercial mortgage pass-through certificates series 1999-CG3. KEY RATING DRIVERS The affirmation of class B-4 is a result of stable performance, high credit enhancement and significant defeasance. While the credit enhancement remains high and the majority of the class is covered by defeasance, Fitch capped the rating at 'Asf', as there is a possibility of interest shortfalls to re-occur. As of the November 2016 distribution date, the pool's aggregate principal balance has been reduced by 98.8% to $11 million from $899.3 million at issuance. Fitch modeled losses of 8% of the remaining pool; expected losses on the original pool balance total 5.3%, including $46.7 million (5.2% of the original pool balance) in realized losses to date. Interest shortfalls are currently affecting classes B-5 through D. Pool Concentration: The pool is highly concentrated with only four of the original 160 loans remaining. One loan (28.4%) is defeased and the remaining three loans (71.6%) are backed by multifamily properties. Fully Amortizing Loans: Three loans (48%) are covered by fully amortizing loans scheduled to mature in 2023 and 2024. The remaining loan is scheduled to mature in 2018 (52%). The Loan of Concern is the Whitfield Village Apartments loan (11.6% of the pool), secured by four two-story and one one-story buildings that consist of 48 2-bedroom/two-bathroom, Class C, multifamily units located in Sarasota, FL (55 miles south of Tampa). The loan was modified effective Jan. 1, 2015, and modification terms include an interest rate reduction to 5.25% from 8.58%, maturity extension to Dec.1, 2024 from July 1, 2019; and prepayment allowed in whole or in part on any payment date without penalty. The loan was returned to the master servicer in April 2015. As of June 2016, the property was 96% occupied. The largest loan in the pool (52%) is secured by the Regency Apartments, a 186-unit multifamily property located in Fayetteville, NC. The property was built in 1996. The amenities include a pool, clubhouse, playground, and tennis and volleyball courts. As per the servicer reporting the property's occupancy has improved to 93% as of June 2016, compared to 84% as of December 2015. RATING SENSITIVITIES The Rating Outlook on class B-4 is Stable due to sufficient credit enhancement and continued paydown. Classes B-5 through C have realized losses and will remain at 'D'. Fitch affirms these classes and revises recovery estimates as indicated: -- $3.7 million class B-4 at 'Asf'; Outlook Stable; -- $7.3 million class B-5 at 'Dsf'; RE 90%; -- $0 class B-6 at 'Dsf'; RE 0%; -- $0 class B-7 at 'Dsf'; RE 0%; -- $0 class B-8 at 'Dsf'; RE 0%; -- $0 class C at 'Dsf'; RE 0%. The class A-1A, A-1B, A-1C, A-2, A-3, A-4, A-5, B-1, B-2 and B-3 certificates have paid in full. Fitch does not rate the class D certificates. Fitch previously withdrew the rating on the interest-only class S certificates. EATON VANCE 2013-1: S&P Assigns Prelim. B- Rating on E-R Notes -------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-X, A-1-R, A-2-R, B-R, C-R, D-R, and E-R replacement notes from Eaton Vance CLO 2013-1 Ltd., a collateralized loan obligation (CLO) originally issued in 2013 that is managed by Eaton Vance Management. 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 Dec. 20, 2016, refinancing date, the proceeds from the issuance of the replacement notes are expected to redeem the original notes. At that time, S&P anticipates withdrawing the ratings on the original notes and assigning ratings to the replacement notes. However, if the refinancing doesn't occur, S&P may affirm the ratings on the original notes and withdraw its preliminary ratings on the replacement notes. The replacement notes are being issued via a proposed supplemental indenture, which, in addition to outlining the terms of the replacement notes, specifies the below amendments: -- The transaction will issue additional A-X and subordinated notes. -- The replacement class A-1-R, A-2-R, B-R, C-R, and D-R notes are expected to be issued at a higher spread than the original notes. The replacement class E notes spread is expected to be unchanged from the original notes. -- The reinvestment period will be extended approximately 3.7 years. The stated maturity will be extended approximately 3.2 years. The non-call period and weighted average life test date will also be reset. -- The transaction will also amend the subordinated management fee, overcollateralization ratio thresholds, and target par amount. CASH FLOW ANALYSIS RESULTS Current date after proposed refinancing Class Amount Interest BDR SDR Cushion (mil. $) rate (%) (%) (%) (%) A-X 2.40 3ML + 1.00 90.44 63.89 26.55 A-1-R 260.60 3ML + 1.42 70.85 63.89 6.96 A-2-R 58.90 3ML + 2.10 66.06 56.43 9.63 B-R 27.50 3ML + 3.10 57.55 50.89 6.66 C-R 21.00 3ML + 4.40 50.40 44.94 5.46 D-R 21.00 3ML + 8.00 37.54 36.14 1.41 E-R 1.50 3ML + 5.75 36.85 30.49 6.36 Effective date Class Amount Interest BDR SDR Cushion (mil. $) rate(%) (%) (%) (%) A-1 257.00 3ML + 1.36 71.10 63.53 7.48 A-2 60.10 3ML + 1.80 67.27 55.76 11.50 B 36.00 3ML + 2.75 55.01 49.74 5.26 C 21.30 3ML + 3.30 49.17 43.72 5.45 D 17.20 3ML + 5.00 42.90 36.76 6.13 E 7.50 3ML + 5.75 38.57 30.81 7.77 BDR--Break-even default rate. SDR--Scenario default rate. 3ML--Three-month LIBOR. S&P's review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the supplemental indenture, 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. 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 Eaton Vance CLO 2013-1 LTD. Replacement class Rating Amount (mil. $) A-X AAA (sf) 2.40 A-1-R AAA (sf) 260.60 A-2-R AA (sf) 58.90 B-R A (sf) 27.50 C-R BBB (sf) 21.00 D-R BB- (sf) 21.00 E-R B- (sf) 1.50 FORTRESS CREDIT VII: S&P Assigns Prelim. BB- Rating on Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Fortress Credit Opportunities VII CLO Ltd./Fortress Credit Opportunities VII CLO LLC's $552.90 million floating- and fixed-rate notes. The note issuance is a collateralized loan obligation transaction backed by middle market speculative-grade senior secured term loans. The preliminary ratings are based on information as of Dec. 6, 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 middle market 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. -- The rating requirements of Natixis as the class A-1R noteholder, as well as rating requirements of any future class A-1R noteholders. PRELIMINARY RATINGS ASSIGNED Fortress Credit Opportunities VII CLO Ltd./Fortress Credit Opportunities VII CLO LLC Class Rating Amount (mil. $) A-1R AAA (sf) 100.00 A-1T AAA (sf) 190.80 A-1F AAA (sf) 40.00 B AA (sf) 92.00 C A- (sf) 63.70 D BBB- (sf) 42.00 E BB- (sf) 24.40 Subordinated notes NR 147.20 NR-Not rated. FREDDIE MAC 2016-1: DBRS Finalizes Prov. B Rating on Cl. M-2 Debt ----------------------------------------------------------------- DBRS, Inc. finalized the following provisional ratings on the Asset-Backed Securities, Series 2016-1 (the Certificates) issued by Freddie Mac Seasoned Credit Risk Transfer Trust 2016-1 (the Trust): -- $32.7 million Class M-1 at BBB (low) (sf) -- $93.4 million Class M-2 at B (low) (sf) The BBB (low) (sf) and B (low) (sf) ratings on the Certificates reflect 20.0% and 10.0% of credit enhancement, respectively, provided by subordinated Certificates in the pool. Other than the specified classes above, DBRS does not rate any other classes in this transaction. This transaction is a securitization of a portfolio of seasoned re-performing first-lien residential mortgages funded by the issuance of asset-backed Certificates (the Certificates). The Certificates are backed by approximately 4,064 loans with a total principal balance of $934,267,704 as of the Cut-Off Date. The mortgage loans were either purchased by Freddie Mac from securitized Freddie Mac Participation Certificates or retained by Freddie Mac in whole loan form since their acquisition. The loans were held in Freddie Mac's retained portfolio and deposited into the Trust as of the Closing Date. The portfolio contains 100% modified loans. Historically, each loan experienced at least one credit event and was modified under either GSE HAMP or GSE non-HAMP modification programs. Within the pool, 3,847 mortgages have forborne principal amounts as a result of modification, which equates to 20.9% of the total principal balance as of the Cut-Off Date. For all but three loans (or 0.1% of the pool), the modifications happened more than two years ago. The loans are approximately 119 months seasoned and all are current as of the Cut-Off Date. All of the mortgage loans have been zero times 30 days delinquent (0 x 30) for at least the past 37 months under the Mortgage Bankers Association delinquency methods. None of the loans are subject to the Consumer Financial Protection Bureau's Qualified Mortgage (QM) rules. The mortgage loans will be serviced by Select Portfolio Servicing, Inc. (SPS). There will not be any advancing of delinquent principal or interest on any mortgages by the servicer; however, the servicer is obligated to advance to third parties any amounts necessary for the preservation of mortgaged properties or real estate owned (REO) properties acquired by the Trust through foreclosure or a loss mitigation process. Freddie Mac will serve as the Sponsor and Trustee of the Trust. Wilmington Trust, National Association will serve as Trust Agent. Wells Fargo Bank, N.A. will serve as the Custodian for the Trust. U.S. Bank, National Association will serve as the Securities Administrator for the Trust and will act as paying agent, registrar, transfer agent and authenticating agent. Freddie Mac will make certain representations and warranties (R&W) with respect to the mortgage loans. It will be the only party from which the Trust may seek indemnification (or, in certain cases, a repurchase) as a result of a breach of R&Ws as set forth in the Pooling Agreement. If a breach review trigger occurs, the Trust Agent, Wilmington Trust, will be responsible for the enforcement of R&Ws. The warranty period will only be extended through December 20, 2017 (approximately one year from the Closing Date), for substantially all R&Ws. The mortgage loans will be divided into two loan groups. The Group M loans were subject to fixed-rate modifications and Group H loans were subject to step-rate modifications. Principal and interest (P&I) on the Group M and Group H senior certificates (the Guaranteed Certificates) will be guaranteed by Freddie Mac. The Guaranteed Certificates will be backed by collateral from each group respectively. The remaining Certificates, including the subordinate, interest-only (IO) and residual Certificates, will be cross-collateralized between the two groups. This is generally known as a Y-Structure. The transaction employs a sequential-pay cash flow structure. Certain principal proceeds can be used to cover interest shortfalls on the rated Class M-1 and Class M-2 Certificates. Senior classes benefit from guaranteed P&I payments by the Guarantor Freddie Mac; however, such guaranteed amounts, if paid, will be reimbursed to Freddie Mac from the interest and principal collections prior to any allocation to the subordinate certificates. The senior principal distribution amounts vary subject to the satisfaction of a series of step-down tests. Realized losses are allocated reverse sequentially. The ratings reflect transactional strengths that include underlying assets that have generally performed well through the crisis (0 x 30 days delinquencies in the past 37 months), good credit quality relative to other re-performing pools reviewed by DBRS, and a strong servicer. Additionally, a third-party due diligence review, albeit on less than 100% of the portfolio, was performed on a sample that generally meets or exceeds DBRS's criteria. The due diligence results and findings on the sampled loans were satisfactory. The transaction employs a considerably weaker R&W framework than other re-performing loan securitizations rated by DBRS. The SCRT 2016-1 framework includes a 12-month sunset without an R&W reserve account, substantial knowledge qualifiers and fewer mortgage loan representations relative to DBRS criteria for seasoned pools. DBRS increased loss expectations quite significantly (approximately 15% to 20%) from the model results to capture the weaknesses in the R&W framework. Other mitigating factors include (1) significant loan seasoning and very clean performance history in the past three years, (2) stringent and automatic breach review triggers, (3) Freddie Mac as the R&W provider and (4) satisfactory third-party due diligence review. The lack of principal and interest advances on delinquent mortgages may increase the possibility of periodic interest shortfalls to the Noteholders; however, principal proceeds can be used to pay interest to the rated Certificates and subordination levels are greater than expected losses, which may provide for interest payments to the rated Certificates. The DBRS ratings address the ultimate payment of interest and full payment of principal by the legal final maturity date in accordance with the terms and conditions of the related Certificates. The full description of the strengths, challenges and mitigating factors are detailed in the related report. Notes: All figures are in U.S. dollars unless otherwise noted. The applicable methodologies are RMBS Insight 1.2: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology, Unified Interest Rate Model for Rating U.S. Structured Finance Transactions, Third-Party Due Diligence Criteria for U.S. RMBS Transactions, Representations and Warranties Criteria for U.S. RMBS Transactions, Operational Risk Assessment for U.S. RMBS Originators, Operational Risk Assessment for U.S. RMBS Servicers and Legal Criteria for U.S. Structured Finance, which can be found on our website under Methodologies. The rated entity or its related entities did participate in the rating process. DBRS had access to the accounts and other relevant internal documents of the rated entity or its related entities. The full report providing additional analytical detail is available by clicking on the link to the right under Related Research or by contacting us at info@dbrs.com. RATINGS Issuer Debt Rated Rating Action Rating ------ ---------- ------------- ------ Freddie Mac Asset Backed Provis.-Final BBB (low) Seasoned Securities, Credit Series 2016-1, Risk Transfer Class M-1 Trust, Series 2016-1 Freddie Mac Asset Backed Provis.-Final B (low) Seasoned Securities, Credit Series 2016-1, Risk Transfer Class M-2 Trust, Series 2016-1 GOLDMAN SACHS 2012-GC6: Fitch Affirms 'Bsf' Rating on Cl. F Certs ----------------------------------------------------------------- Fitch Ratings has affirmed all 10 rated classes of Goldman Sachs Mortgage Company GS Mortgage Securities Trust (GSMS) commercial mortgage pass-through certificates series 2012-GC6. KEY RATING DRIVERS The affirmations are based on overall stable performance of the underlying collateral pool. As of the November 2016 distribution date, the pool's aggregate principal balance has been reduced by 12.7% to $1.007 billion from $1.154 billion at issuance. One loan (1.9%) was previously in special servicing and modified due to a violation of the loan covenants but was returned to master servicer in February 2014 after approval of a transfer of ownership. There are currently no delinquent or specially serviced loans. Six loans (4.6%) are fully defeased. Stable Performance: Based on full-year 2015 financial statements, the pool's overall net operating income has been relatively stable with a 4.8% increase since the previous year and an 11.9% increase since issuance for those loans reporting financials. Loans of Concern: Fitch has designated three top 15 loans (12%), SunTrust International Center, Audubon Crossing and Audubon Commons, and Chase Tower, as Fitch Loans of Concern. Each property has seen declines in occupancy. Secondary Markets: Several of the largest loans within the pool are backed by properties located in secondary markets. Locations such as Reno, NV, Rochester, NY, Lancaster, PA, and North Olmsted, OH are all represented by top 15 loans. Hotel Concentration: Loans backed by hotel properties represent 15.1% of the pool, including two within the top 15. The average Fitch LTV for hotels in the pool is 97.3%. Retail Concentration: Loans backed by retail properties represent 41% of the pool. Minimal Subordinate Debt: Only one loan, representing 0.7% of the pool, has additional debt. 13 loans, 25.3% of the pool, allow for future debt. RATING SENSITIVITIES The Rating Outlooks on all classes remain Stable. Fitch does not foresee positive or negative ratings migration until a material economic or asset-level event changes the transaction's overall portfolio-level metrics. Fitch has affirmed these classes -- $0.7 million class A-2 at 'AAAsf'; Outlook Stable; -- $570.5 million class A-3 at 'AAAsf'; Outlook Stable; -- $89.9 million class A-AB at 'AAAsf'; Outlook Stable; -- $903.2 million class X-A at 'AAAsf'; Outlook Stable; -- $119.8 million class A-S at 'AAAsf'; Outlook Stable; -- $63.5 million class B at 'AA-sf'; Outlook Stable; -- $44.7 million class C at 'A-sf'; Outlook Stable; -- $49.1 million class D at 'BBB-sf'; Outlook Stable; -- $21.6 million class E at 'BBsf'; Outlook Stable; -- $11.5 million class F at 'Bsf'; Outlook Stable. Classes A-1 has repaid in full. Fitch does not rate the class G and class X-B certificates. GS MORTGAGE 2013-GC10: DBRS Confirms BB Rating on Cl. E Notes ------------------------------------------------------------- DBRS Limited confirmed all classes of Commercial Mortgage Pass-Through Certificates issued by GS Mortgage Securities Trust 2013-GC10 as follows: -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-AB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AAA (sf) -- Class B at AA (high) (sf) -- Class C at A (high) (sf) -- Class D at BBB (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 rating confirmations reflect the overall performance of the transaction. At issuance, the transaction consisted of 61 loans secured by 93 commercial and multifamily properties. The pool has since experienced a collateral reduction of 7.4% as a result of scheduled amortization and the prepayment of one loan. The pool also benefits from defeasance collateral as four loans, representing 5.4% of the current pool balance, are fully defeased. Based on YE2015 financials, the pool reported a weighted-average (WA) debt service coverage ratio (DSCR) of 1.73 times (x) and a WA debt yield of 10.9%. Comparatively, the YE2014 WA DSCR and WA debt yield were 1.58x and 9.9%, respectively. As of the November 2016 remittance, there is one loan in special servicing, representing 0.5% of the current pool balance, and 11 loans on the servicer's watchlist, representing 5.4% of the current pool balance. Based on the most recent financials, the loans on the watchlist reported a WA DSCR and debt yield of 1.41x and 10.4%, respectively. DBRS has provided updated loan-level commentary and analysis for larger and/or pivotal watchlisted and specially serviced loans, as well as for the largest 15 loans in the pool, in the DBRS CMBS IReports platform. The ratings assigned to Classes E and F materially deviate from the higher ratings implied by the quantitative model. DBRS considers a material deviation to be a rating differential of three or more notches between the assigned rating and the rating implied by the quantitative model that is a substantial component of a rating methodology; in this case, the assigned ratings reflect the sustainability of loan performance trends not demonstrated. Notes: All figures are in U.S. dollars unless otherwise noted. GSMPS MORTGAGE 2003-1: Moody's Lowers Rating on Cl. B1 Debt to Caa2 ------------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of nine tranches from two transactions issued by GSMPS Mortgage Loan Trust 2003-1 and GSMPS Mortgage Loan Trust 2005-RP3. The collateral backing these deals consists of first-lien fixed and adjustable rate mortgage loans insured by the Federal Housing Administration (FHA) an agency of the U.S. Department of Urban Development (HUD) or guaranteed by the Veterans Administration (VA). Complete rating actions are: Issuer: GSMPS Mortgage Loan Trust 2003-1 Cl. B1, Downgraded to Caa2 (sf); previously on Jan. 28, 2016, Downgraded to Caa1 (sf) Issuer: GSMPS Mortgage Loan Trust 2005-RP3 Cl. 1A2, Downgraded to B3 (sf); previously on April 18, 2014, Downgraded to B1 (sf) Cl. 1A3, Downgraded to B3 (sf); previously on April 18, 2014, Downgraded to B1 (sf) Cl. 1A4, Downgraded to B3 (sf); previously on April 18, 2014, Downgraded to B1 (sf) Cl. 1AF, Downgraded to B3 (sf); previously on April 18, 2014, Downgraded to B1 (sf) Cl. 1AS, Downgraded to B3 (sf); previously on April 18, 2014, Downgraded to B1 (sf) Cl. 2A1, Downgraded to B3 (sf); previously on April 18, 2014, Downgraded to B1 (sf) Cl. AX, Downgraded to B3 (sf); previously on April 18, 2014, Downgraded to B1 (sf) Cl. B1, Downgraded to Ca (sf); previously on Jan. 28, 2016, Downgraded to Caa3 (sf) RATINGS RATIONALE The rating actions are a result of the recent performance of the FHA-VA portfolio and reflect Moody's updated loss expectations on these pools and the structural nuances of the transactions. The tranches downgraded are primarily due to the erosion of credit enhancement supporting these bonds. A FHA guarantee covers 100% of a loan's outstanding principal and a large portion of its outstanding interest and foreclosure-related expenses in the event that the loan defaults. A VA guarantee covers only a portion of the principal based on the lesser of either the sum of the current loan amount, accrued and unpaid interest, and foreclosure expenses, or the original loan amount. HUD usually pays claims on defaulted FHA loans when servicers submit the claims, but can impose significant penalties on servicers if it finds irregularities in the claim process later during the servicer audits. This can prompt servicers to push more expenses to the trust that they deem reasonably incurred than submit them to HUD and face significant penalty. The rating actions consider the portion of a defaulted loan normally not covered by the FHA or VA guarantee and other servicer expenses they deemed reasonably incurred and passed on to the trust. The principal methodology used in these ratings was "FHA-VA US RMBS Methodology" published in November 2013. The methodology used in rating the interest-only securities was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in October 2015. 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 4.6% in November 2016 from 5.0% in November 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. IMSCI 2012-2: DBRS Maintains BB Rating on Class G Debt on Review ---------------------------------------------------------------- DBRS Limited maintained the Under Review with Negative Implications status on the following classes of Commercial Mortgage Pass-Through Certificates Series 2012-2 issued by Institutional Mortgage Securities Canada Inc. (IMSCI) 2012-2: -- Class E at BBB (low) (sf), Under Review with Negative Implications -- Class F at BB (sf), Under Review with Negative Implications -- Class G at B (sf), Under Review with Negative Implications The ratings do not carry trends. DBRS initially placed these classes Under Review in March 2016 because of the concerns surrounding the third-largest loan, Lakewood Apartments (Prospectus ID#3, 8.3% of the pool), which transferred to special servicing in February 2016 for imminent default. The loan is secured by a four-storey, 111-unit condominium apartment building located in Fort McMurray, Alberta. The loan was transferred to the special servicer because the borrower advised that debt service obligations could no longer be met, given the cash flow declines at the property, driven by general economic difficulty in the Fort McMurray area. As of the November 2016 remittance report, the loan was brought current after typically running between 30 and 60 days delinquent. DBRS received the borrower's October 2016 year-to-date unaudited financial statement from the servicer, which reported an operating loss of $679,230.65. The reported loss suggests that the borrower was able to bring the loan current through funds derived from alternative sources; DBRS has requested further confirmation from the special servicer. Prior to the loan's transfer to special servicing, the loan was being monitored for property performance declines related to the downturn in the oil industry over the past few years. Following the May 2016 wildfire, which, according to the special servicer, only caused incidental damage to the subject properties, occupancy has improved as of the November 2016 rent roll to 83.6%, up from the July 2016 occupancy rate of 80.0%. However, rental rates declined during that period from $2,013 per unit in July to $1,881 per unit in November. According to the Canada Mortgage Housing Corporation, as of October 2015, the Wood Buffalo Municipal Region reported an average vacancy rate of 29.4%; the average rental rate for all unit types was reported at $1,761 per unit. There has not been an updated appraisal for the property since issuance, as the special servicer declined to order new files until the loan reached 90 days delinquency (which has not occurred to date), in accordance with the Pooling and Servicing Agreement (PSA). While this approach is in line with the guidelines set forth in the PSA, DBRS believes it is uncommon for a servicer to delay ordering an appraisal when existing loan performance issues have the potential to be long term, which DBRS believes to be the case with this loan. The appraised value of the property at issuance was approximately $34.8 million. DBRS expects the values to have declined significantly since that time, given the property's performance decline in recent years and the general economic difficulty in the area. The loan has full recourse to the sponsors: Lanesborough Real Estate Investment Trust (LREIT), 2668921 Manitoba Ltd. and Shelter Canadian Properties Limited. LREIT's assets are heavily concentrated in Alberta, and the portfolio has been significantly affected by the downturn in the oil industry. In its Q3 2016 financial statements, LREIT reported total assets of $262 million and total liabilities of $263 million, resulting in a deficit of $1.1 million. In addition, LREIT reported a loss before discontinued operations of $10.6 million for the three months ending September 30, 2016, but reported an income of $2.3 million for the nine months ending September 30, 2016. In conjunction with the subject loan's transfer to special servicing, seven other assets located in Fort McMurray and secured by DBRS-rated commercial mortgage-backed security (CMBS) loans in LREIT's portfolio were also transferred to special servicing for similar issues. All of these loans are current as of the November 2016 remittance. According to LREIT's Q3 2016 financial statements, LREIT sold three properties in 2016, including Beck Court, Willowdale Gardens and Elgin Lodge, all of which are apartment buildings or retirement homes respectively located in Yellowknife, Northwest Territories; Brandon, Manitoba; and Port Elgin, Ontario. With these sales, LREIT's portfolio is almost entirely located in Fort McMurray. The narrative in the financial statement states that the property sales were completed to reduce LREIT's liabilities and fulfill debt obligations. During Q1 2016, 12 mortgages secured by 13 LREIT-owned properties in Fort McMurray were in default, but as per the Q3 2016 financial statement, LREIT was able to reduce and/or defer the debt service payments, as well as to negotiate with lenders to modify the loan terms and/or forbearance agreements. LREIT notes that it will continue to rely on its lenders to provide breathing room in the environment of sustained economic difficulty for the area. Although the subject loans and other CMBS were recently brought current, with the special servicers indicating that the loans are expected to transfer back to the master servicer following a monitoring period in early 2017, the general outlook for these assets is significantly depressed, particularly given the upcoming maturity for most of LREIT's CMBS book in the next 18 to 24 months. As the lending environment is essentially frozen in the area, given the general economic decline and no room for significant improvement in sight for the near term, and given LREIT's generally difficult economic position, finding replacement loans for these properties will be challenging to say the least. As such, it is likely the special servicer will see these and the other CMBS loans again, and loan modifications could be necessary. As such, DBRS maintains the bonds as previously listed Under Review with Negative Implications to reflect the increased risk and general uncertainty surrounding the subject loan. Given the general lack of concrete information on the status of the loan's workout and the current financial performance for the collateral properties, DBRS has coordinated a trip to Fort McMurray with the special servicer to tour these and other properties secured by DBRS-rated CMBS debt and to gather information about the current performance outlook for both these assets and the market in general. These tours will take place in mid-December, and shortly following that visit, DBRS will bring this and the other related CMBS transactions back up for review to incorporate the information gathered as part of the visit. IMSCI 2013-3: DBRS Maintains BB Rating on Class G Debt on Review ---------------------------------------------------------------- DBRS Limited maintained the Under Review with Negative Implications status on the following classes of Commercial Mortgage Pass-Through Certificates Series 2013-3 issued by Institutional Mortgage Securities Canada Inc. (IMSCI) Series 2013-3: -- Class E at BBB (low) (sf), Under Review with Negative Implications -- Class F at BB (sf), Under Review with Negative Implications -- Class G at B (sf), Under Review with Negative Implications The ratings do not carry trends. DBRS initially placed these classes Under Review in March 2016 because of concerns surrounding three loans that were transferred to special servicing in February 2016 for imminent default. The Lunar and Whimbrel Apartments (Prospectus ID#10), Snowbird and Skyview Apartments (Prospectus ID#11) and Parkland and Gannet Apartments (Prospectus ID#17) loans are secured by multifamily properties located in Fort McMurray, Alberta, and collectively represent 8.8% of the current pool balance. The loans were transferred to the special servicer because the borrower advised that debt service obligations could no longer be met, given the cash flow declines at the properties, driven by general economic difficulty in the Fort McMurray area. As of the November 2016 remittance report, the loans were brought current after typically running between 30 and 60 days delinquent. DBRS received the borrower's October 2016 year-to-date unaudited financial statements from the servicer, which reported operating losses ranging from $309,692 to $517,550. The reported losses suggest that the borrower was able to bring the loans current through funds derived from alternative sources; DBRS has requested further confirmation from the special servicer. Prior to the loans' transfer to special servicing, the loans were being monitored for property performance declines related to the downturn in the oil industry over the past few years. Following the May 2016 wildfire, which, according to the special servicer, only caused incidental damage to the subject properties, occupancy has not improved as significantly at the subject properties as it has with other Lanesborough Real Estate Investment Trust (LREIT) properties in the area. As of the November 2016 rent rolls, occupancy rates ranged from 57.1% to 60.4%, which compares with the January 2016 occupancy rates that were between 52.4% and 69.4%. In addition to the increased vacancy floor, the average rental rates have declined further from the already depressed January 2016 rental rates. Across the three loans, one-bedroom units, two-bedroom units and three-bedroom units reported an average rental rate on a per-unit basis of $1,246, $1,349 and $1,650, respectively, according to the November 2016 rent rolls. In comparison, the January 2016 reported average rental rates for one-bedroom units, two-bedroom units and three-bedroom units were $1,396, $1,514 and $1,834, respectively. According to the Canada Mortgage Housing Corporation, as of October 2015, the Wood Buffalo Municipal Region reported an average vacancy rate of 29.4%; the average rental rate for all unit types was reported at $1,761 per unit. There has not been an updated appraisal for any of the properties since issuance, as the special servicer declined to order new files until the loans reached 90 days delinquency (which has not occurred to date), in accordance with the Pooling and Servicing Agreement (PSA). While this approach is in line with the guidelines set forth in the PSA, DBRS believes it is uncommon for a servicer to delay ordering an appraisal when existing loan performance issues have the potential to be long term, which DBRS believes to be the case with these loans. The appraised value at issuance was $14.8 million for the Lunar and Whimbrel properties, $13.7 million for the Snowbird and Skyview properties and $11.2 million for the Parkland and Gannet properties. DBRS expects the values to have declined significantly since that time, given the properties' performance decline in recent years and the general economic difficulty in the area. The loans have full recourse to LREIT and a partial guarantee in the form of 25.0% of the loan balance by 2668921 Manitoba Ltd. LREIT's assets are heavily concentrated in Alberta, and the portfolio has been significantly affected by the downturn in the oil industry. In its Q3 2016 financial statements, LREIT reported total assets of $262 million and total liabilities of $263 million, resulting in a deficit of $1.1 million. In addition, LREIT reported a loss before discontinued operations of $10.6 million for the three months ending September 30, 2016, but reported an income of $2.3 million for the nine months ending September 30, 2016. In conjunction with the subject loans' transfer to special servicing, two other assets located in Fort McMurray and secured by DBRS-rated commercial mortgage-backed security (CMBS) loans in LREIT's portfolio were also transferred to special servicing for similar issues. All of these loans are current as of the November 2016 remittance. According to LREIT's Q3 2016 financial statements, LREIT sold three properties in 2016, including Beck Court, Willowdale Gardens and Elgin Lodge, all of which are apartment buildings or retirement homes respectively located in Yellowknife, Northwest Territories; Brandon, Manitoba; and Port Elgin, Ontario. With these sales, LREIT's portfolio is almost entirely located in Fort McMurray. The narrative in the financial statement states that the property sales were completed to reduce LREIT's liabilities and fulfill debt obligations. During Q1 2016, 12 mortgages secured by 13 LREIT-owned properties in Fort McMurray were in default, but as per the Q3 2016 financial statement, LREIT was able to reduce and/or defer the debt service payments, as well as to negotiate with lenders to modify the loan terms and/or forbearance agreements. LREIT notes that it will continue to rely on its lenders to provide breathing room in the environment of sustained economic difficulty for the area. Although the subject loans and other CMBS were recently brought current, with the special servicers indicating that the loans are expected to transfer back to the master servicer following a monitoring period in early 2017, the general outlook for these assets is significantly depressed, particularly given the upcoming maturity for most of LREIT's CMBS book in the next 18 to 24 months. As the lending environment is essentially frozen in the area, given the general economic decline and no room for significant improvement in sight for the near term, and given LREIT's generally difficult economic position, finding replacement loans for these properties will be challenging to say the least. As such, it is likely the special servicer will see these and the other CMBS loans again, and loan modifications could be necessary. As such, DBRS maintains the bonds as previously listed Under Review with Negative Implications to reflect the increased risk and general uncertainty surrounding these loans. Given the general lack of concrete information on the status of the loans' workout and the current financial performance for the collateral properties, DBRS has coordinated a trip to Fort McMurray with the special servicer to tour these and other properties secured by DBRS-rated CMBS debt and to gather information about the current performance outlook for both these assets and the market in general. These tours will take place in mid-December, and shortly following that visit, DBRS will bring this and the other related CMBS transactions back up for review to incorporate the information gathered as part of the visit. JP MORGAN 2000-C10: Fitch Affirms 'Dsf' Rating on 6 Tranches ------------------------------------------------------------ Fitch Ratings has affirmed seven classes of JP Morgan Commercial Mortgage Finance Corp., commercial mortgage pass-through certificates series 2000-C10. KEY RATING DRIVERS The affirmation is a result of high credit enhancement, defeasance and stable performance of the underlying collateral. As of the November 2016 distribution date, the pool's aggregate principal balance has been reduced by 98.7% to $9.6 million from $738.5 million at issuance. Fitch modeled losses of 4.3% of the remaining pool; expected losses on the original pool balance total 8.5%, including $62.3 million (8.4% of the original pool balance) in realized losses to date. Interest shortfalls are currently affecting classes G through NR. Pool Concentration: The pool is highly concentrated with only six of the original 169 loans remaining. None of the remaining loans are in special servicing or considered a Fitch Loan of Concern. One loan (14.5%) is defeased, four loans (78.4%) are backed by retail properties including two single tenant Eckerds / Rite Aids (23.6%), and the remaining loan is secured by a self-storage property (7.2%). Fully Amortizing Loans: Three loans (68.9% of the pool) are scheduled to mature in 2020. Maturities for the remaining loans are scheduled to occur in 2018 (9.5%) and 2019 (21.7%). The largest loan in the pool is a grocery anchored retail property in Richardson, TX (38%). The property is anchored by Albertson's (34.3% of the net rentable area [NRA]) whose lease expires in October 2016. According to the master servicer, Albertson's has exercised their option and extended the lease. The requested new lease expiration date has not been provided. Additional major tenants include Richardson Bike Mart (20.2%) and Dress Barn (5.3%). Occupancy was reported at 93% as of June 2016. The loan matures in 2020 and the most recently reported debt service coverage ratio (DSCR) is 1.44x as of December 2015. The second largest loan in the pool is an unanchored retail shopping center built in 1979 in Dallas, TX (16.7%). Major tenants include 24 Hour Fitness (38%; 9/2022), Salons by JC (10% NRA) and Cindi's (4.6% NRA). As of June 2016, the property was 88% occupied. The loan matures in 2020 and the most recently reported debt service coverage ratio (DSCR) is 1.91x as of December 2015. RATING SENSITIVITIES The Rating Outlook on class F is Stable with no rating actions expected. Classes G through M have realized losses and will remain at 'D'. Fitch has affirmed these classes: -- $3.5 million class F at 'AAAsf'; Outlook Stable; -- $6 million class G at 'Dsf'; RE 100%; -- $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%. Classes A-1, A-2, B, C, D and E have paid in full. Class NR is not rated. Fitch previously withdrew the rating on the interest-only class X certificates. JP MORGAN 2003-PM1: Fitch Affirms Bsf Rating on Class G Debt ------------------------------------------------------------ Fitch Ratings has affirmed nine classes of J.P. Morgan Chase Commercial Mortgage Securities Corp. (JPMCC) commercial mortgage pass-through certificates series 2003-PM1. KEY RATING DRIVERS The affirmations of classes F and G reflect the pool's significant concentrations and expected losses in relation to the classes' credit enhancement. Loan Concentration: Only 15 loans of the original 151 remain in the pool, most of which are located in tertiary markets. There are no specially serviced or delinquent loans. Loan of Concern: The largest loan in the pool is secured by a 107,000 square foot (sf) office property located in Yardley, PA. The property is 100% leased to MediMedia USA through December 2017. The tenant is required to give notice of intent by Dec. 31, 2016, and has not indicated their future plans to either stay or vacate. The loan matures in April 2018. Loan Amortization: Classes F and G will continue to benefit from amortization and continued paydown. The transaction includes 36.5% in fully amortizing loans and 23% or $7 million in defeased collateral. Maturity Concentration: 64.8% (2018), 4.0% (2022) and 31.2% (2023). As of the November 2016 distribution date, the pool's aggregate principal balance has been reduced by 97.4% to $30.6 million from $1.2 billion at issuance. Interest shortfalls are currently affecting classes G and below. RATING SENSITIVITIES The Stable Rating Outlook on class F reflects the increasing credit enhancement and expected continued pay down to the class. Due to the concentrations, further upgrades are unlikely. The rating on class F was capped at 'Asf' due to the pool's concentration, upcoming rollover risk at the largest property, and tertiary market locations of the remaining collateral. Fitch's analysis included a sensitivity analysis which applied significant losses to the largest loan due to lack of information on the single tenant's potential lease renewal. Credit enhancement to class G remained sufficient to support the rating. The Positive Rating Outlook on class G reflects the potential for an upgrade should the tenant renew its lease. Fitch will continue to monitor the largest loan as leasing status updates are received. Downgrades would be considered should loans transfer to special servicing or expected losses increase. Fitch has affirmed these ratings: -- $10.6 million class F at 'Asf'; Outlook Stable; -- $13 million class G at 'Bsf'; Outlook revised to Positive from Stable; -- $6.9 million class H at 'Dsf'; RE 0%; -- $0 class J at 'Dsf'; RE 0%; -- $0 class K at 'Dsf'; RE 0%; -- $0 class L at 'Dsf'; RE 0%; -- $0 class M at 'Dsf'; RE 0%; -- $0 class N at 'Dsf'; RE 0%; -- $0 class P at 'Dsf'; RE 0%. Class NR is not rated. JP MORGAN 2005-LDP1: Moody's Cuts Cl. X-1 Debt Rating to Csf ------------------------------------------------------------ Moody's Investors Service upgraded the ratings on two classes and downgraded the ratings on two classes in J.P. Morgan Chase Commercial Mortgage Securities Corp., Commercial Pass-Through Certificates, Series 2005-LDP1 as follows: -- Cl. F, Upgraded to A1 (sf); previously on May 5, 2016 Upgraded to A3 (sf) -- Cl. G, Upgraded to Ba1 (sf); previously on May 5, 2016 Upgraded to Ba3 (sf) -- Cl. H, Downgraded to Ca (sf); previously on May 5, 2016 Affirmed Caa3 (sf) -- Cl. X-1, Downgraded to C (sf); previously on May 5, 2016 Affirmed Caa3 (sf) RATINGS RATIONALE The ratings on Classes F and G were upgraded based primarily on an increase in credit support resulting from loan paydowns and amortization. The deal has paid down 47% since Moody's last review. The rating on Class H was downgraded due to an increase in realized losses. Class H has already experienced a 54% realized loss as result of previously liquidated loans. The rating on the IO Class (Class X-1) was downgraded to C (sf) due to the fact that it currently does not, nor is expect to, receive interest payments. Moody's rating action reflects a base expected loss of 2.6% of the current balance, compared to 34.1% at Moody's last review. Moody's base expected loss plus realized losses is now 4.0% of the original pooled balance, the same as at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The methodologies used in these ratings were "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in December 2014, and "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in October 2015. DESCRIPTION OF MODELS USED Moody's review used the excel-based CMBS Conduit Model, which it uses for both conduit and fusion transactions. Credit enhancement levels for conduit loans are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate Moody's uses to estimate Moody's value). Moody's fuses the conduit results with the results of its analysis of investment grade structured credit assessed loans and any conduit loan that represents 10% or greater of the current pool balance. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 6, compared to 11 at Moody's last review. When the Herf falls below 20, Moody's uses the excel-based Large Loan Model and then reconciles and weights the results from the conduit and large loan models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan-level proceeds derived from Moody's loan-level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure and property type. Moody's also further adjusts these aggregated proceeds for any pooling benefits associated with loan level diversity and other concentrations and correlations. DEAL PERFORMANCE As of the November 15, 2016 distribution date, the transaction's aggregate certificate balance has decreased by 98% to $44.8 million from $2.9 billion at securitization. The certificates are collateralized by 12 mortgage loans ranging in size from less than 1% to 30% of the pool. One loan, constituting 2% of the pool, has defeased and is secured by US government securities. One loan, constituting 5% of the pool, is on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Thirty three loans have been liquidated from the pool, resulting in an aggregate realized loss of $115 million (for an average loss severity of 49%). One loan, constituting 14% of the pool, is currently in special servicing. The specially serviced loan is the South Park Business Center Loan ($6.3 million -- 14% of the pool), which is secured by three office buildings totaling approximately 162,500 SF located in Greenwood, Indiana, roughly 12 miles southeast of the Indianapolis central business district. The loan transferred to special servicing in January 2015 due to balloon payment / maturity default and the loan became REO in July 2016. As of the September 2016 rent roll, the three buildings were collectively 79% leased. The special servicer indicated they are actively working to lease up the property. Moody's received full year 2015 operating results for 84% of the pool, and partial year 2016 operating results for 62% of the pool. Moody's weighted average conduit LTV is 80%, compared to 67% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 22% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.0%. Moody's actual and stressed conduit DSCRs are 1.34X and 1.46X, respectively, compared to 1.53X and 1.61X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The top three conduit loans represent 62% of the pool balance. The largest loan is the Golf Glen Mart Plaza Loan ($13.6 million -- 30% of the pool), which is secured by a 235,000 square foot (SF) retail center located in Niles, Illinois which is about 26 miles northwest of downtown Chicago. The grocery anchor (45% of the NRA) vacated in June 2016 due to low sales, which was ahead of their lease expiration in December 2024. As per the September 2016 rent roll, the property was 89% leased (but only 44% occupied), compared to 83% leased at the prior review. The loan has amortized 13.4% since securitization. Moody's LTV and stressed DSCR are 111.7% and 0.87X, respectively, compared to 82.3% and 1.18X at the last review. The second largest loan is the Chimney Hill Center Loan ($8.5 million -- 19% of the pool), which is secured by a 197,500 square foot (SF) retail center anchored by Farm Fresh with a lease expiration of January 2020. The property is located in Virginia Beach, Virginia. As per the September 2016 rent roll the property was 97% leased, compared to 94% at the prior review. Moody's LTV and stressed DSCR are 75.3% and 1.29X, respectively, compared to 81.9% and 1.19X at the last review. The third largest loan is the Crenshaw Plaza Loan ($5.8 million -- 13% of the pool), which is secured by a grocery anchored retail center in Los Angeles, California. The anchor, Ralph's grocery store, has a lease expiration in June 2024. The loan's collateral portion of the property was 86% leased as of September 2016, compared to 85% leased at the prior review. The loan is fully amortizing and has amortized 29% since securitization. Moody's LTV and stressed DSCR are 42.1% and 2.31X, respectively, compared to 41.9% and 2.32X at the last review. JP MORGAN 2005-LDP2: Moody's Raises Rating on Cl. E Debt to B1 -------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on three classes, affirmed the ratings on three classes and downgraded the rating on one class in J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP2 as: Cl. C, Upgraded to Aa2 (sf); previously on June 30, 2016, Upgraded to A1 (sf) Cl. D, Upgraded to A3 (sf); previously on June 30, 2016, Upgraded to Baa2 (sf) Cl. E, Upgraded to B1 (sf); previously on June 30, 2016, Affirmed B2 (sf) Cl. F, Affirmed Caa1 (sf); previously on June 30, 2016, Affirmed Caa1 (sf) Cl. G, Affirmed Caa3 (sf); previously on June 30, 2016, Affirmed Caa3 (sf) Cl. H, Affirmed C (sf); previously on June 30, 2016, Affirmed C (sf) Cl. X-1, Downgraded to Caa3 (sf); previously on June 30, 2016, Affirmed Caa2 (sf) RATINGS RATIONALE The ratings on three P&I classes were upgraded based primarily on an increase in credit support resulting from loan paydowns and amortization. The deal has paid down 35% since Moody's last review. The ratings on three P&I classes were affirmed because the ratings are consistent with Moody's expected loss plus realized losses. The rating on the IO class, Class X-A, was downgraded due to the decline in the credit performance (or weighted average rating factor or WARF) of its referenced classes. Moody's rating action reflects a base expected loss of 21.6% of the current balance, compared to 26.6% at Moody's last review. Moody's base expected loss plus realized losses is now 7.4% of the original pooled balance, compared to 7.2% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodologies used in these ratings were "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in December 2014, and "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in October 2015. DESCRIPTION OF MODELS USED Moody's review used the excel-based CMBS Conduit Model, which it uses for both conduit and fusion transactions. Credit enhancement levels for conduit loans are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate Moody's uses to estimate Moody's value). Moody's fuses the conduit results with the results of its analysis of investment grade structured credit assessed loans and any conduit loan that represents 10% or greater of the current pool balance. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 10, compared to 13 at Moody's last review. When the Herf falls below 20, Moody's uses the excel-based Large Loan Model and then reconciles and weights the results from the conduit and large loan models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan-level proceeds derived from Moody's loan-level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure and property type. Moody's also further adjusts these aggregated proceeds for any pooling benefits associated with loan level diversity and other concentrations and correlations. DEAL PERFORMANCE As of the Nov. 15, 2016, distribution date, the transaction's aggregate certificate balance has decreased by 95% to $149.8 million from $2.979 billion at securitization. The certificates are collateralized by 24 mortgage loans ranging in size from less than 1% to 17.7% of the pool, with the top ten loans (excluding defeasance) constituting 83.2% of the pool. One loan, constituting 0.6% of the pool, has defeased and is secured by US government securities. Six loans, constituting 33.7% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Sixty-one loans have been liquidated from the pool, resulting in an aggregate realized loss of $189.1 million (for an average loss severity of 32%). Three loans, constituting 27% of the pool, are currently in special servicing. The largest specially serviced loan is the Fort Knox Executive Office Center Loan ($26.6 million -- 17.7% of the pool), which is secured by a 291,000 SF suburban office building located in Tallahassee, Florida. The loan was transferred to the special servicer in March 2015 due to imminent maturity default and has passed its April 2015 maturity date. The largest tenant represents approximately 80% of the net rentable area (NRA) with lease expirations in 2020. Moody's analysis incorporated a Lit/Dark approach to account for the tenant concentration risk. The remaining two specially serviced loans are secured by an office and retail property. Moody's has assumed a high default probability for two poorly performing loans, constituting 19.4% of the pool. Moody's estimates an aggregate $32.1 million loss for specially serviced loans and troubled loans. Moody's received full and partial year 2015 operating results for 92% of the pool, and partial year 2016 operating results for 50% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 76%, compared to 93% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's value reflects a weighted average capitalization rate of 9.9%. Moody's actual and stressed conduit DSCRs are 1.27X and 1.62X, respectively, compared to 1.40X and 1.38X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The top three performing loans represent 36.3% of the pool balance. The largest loan is the Reflections A-Note Loan ($24.2 million -- 16.2% of the pool), which is secured by two office properties located in Reston, Virginia. Reflections I is a five-story office building totaling 123,546 SF and was built in 2000. The property is currently fully vacant but was previously 100% leased to Raytheon. Reflections II is a two-story office building totaling 64,253 SF and was built in 1984 and renovated in 2001. The property is also fully vacant and was previously 100% leased to the Department of the Interior. The loan was transferred to the special servicer in January 2013 for imminent default due to both properties being 100% vacant. The loan was consolidated and subsequently bifurcated via an A-Note / B-Note split. The A-Note and B-Note have balances of $24.2 million and $4.8 million, respectively. As part of the modification, the loan maturity was extended to December 2017. The loan is currently performing under the terms of the modification. Due to vacancy at the properties, Moody's has identified both the A-Note and B-Note as troubled loans. The second largest loan is the Ball Corporation -- Warehouse Facility Loan ($16.5 million -- 11.0% of the pool), which is secured by a 576,876 SF warehouse facility located in Ames, Iowa. The property was built in 1999 and renovated in 2002. The property features 33-foot ceiling heights, 16 loading docks, frontage along I-35 and is food-grade equipped. The property was 100% leased as of September 2016. Moody's LTV and stressed DSCR are 85% and 1.21X, respectively. The third largest loan is the Mounts Corner Shopping Center Loan ($13.7 million -- 9.2% of the pool), which is secured by a 76,000 SF component of a 132,500 SF anchored neighborhood retail center located in Freehold, New Jersey; approximately 40 miles south of Manhattan. The property was 100% occupied as of the September 2016 rent roll. Moody's LTV and stressed DSCR are 82% and 1.25X, respectively, compared to 84% and 1.23X at the last review. JP MORGAN 2007-LDP12: Fitch Affirms 'CCCsf' Rating on Cl. A-J Debt ------------------------------------------------------------------ Fitch Ratings has affirmed J.P. Morgan Chase Commercial Mortgage Securities Trust commercial mortgage pass-through certificates series 2007-LDP12. KEY RATING DRIVERS The affirmations and Stable Rating Outlooks reflect sufficient credit enhancement relative to pool expected losses. As of the November 2016 distribution date, the pool's aggregate principal balance has been reduced by 49% to $1.28 billion from $2.5 billion at issuance. Per the servicer reporting, 16 loans (10% of the pool) are defeased. Interest shortfalls are currently affecting classes D through NR. Higher Loss Expectations: Fitch modeled losses of 18.4% of the remaining pool; expected losses on the original pool balance total 15.4%, including $151.4 million (6% of the original pool balance) in realized losses to date. Modeled losses at the previous rating action were 12.7% of the original pool balance. The higher modeled loss is due to higher losses on the specially serviced loans, including additional specially serviced loans. The three largest contributors to expected losses are Liberty Plaza (3.1% of the pool), a real estate owned (REO) asset, BB&T Tower (2.2%), REO asset and St. Joe-150 Main St., an office building in Norfolk, VA (3.5%) with lease volatility. Increased Defeasance: Sixteen loans (10% of pool) are defeased, up from three loans (2%) at Fitch's last rating action. Loans of Concern: Fitch has designated 27 (27.4% of current pool balance) Fitch Loans of Concern, which includes 14 specially serviced assets (12.1%). Three of the top 15 loans (7.5%) are currently in special servicing. The specially serviced assets include seven that are REO (8.3%), four loans (0.7%) which are over 90+ days delinquent and three loans (3.1%) in foreclosure. Maturity Concentration: Excluding the specially serviced assets, 88% of the pool is scheduled to mature in 2017. The majority of the 2017 loan maturities are concentrated during third and fourth quarters (48.5% and 25.6% of pool, respectively). RATING SENSITIVITIES The Stable Outlooks on classes A-4, A-1A, and A-M reflect sufficient credit enhancement relative to pool expected losses. The distressed classes may be subject to further downgrades if there is an increase in the number of specially serviced loans and additional losses are realized. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third-party due diligence was provided or reviewed in relation to this rating. Fitch has also affirmed the following classes as indicated: -- $524.7 million class A-4 at 'AAAsf'; Outlook Stable; -- $153.5 million class A-1A at 'AAAsf'; Outlook Stable; -- $250.5 million class A-M at 'Asf'; Outlook revised to Stable from Positive; -- $197.2 million class A-J at 'CCCsf'; RE 55%; -- $21.9 million class B at 'CCCsf'; RE 0%; -- $28.2 million class C at 'CCsf'; RE 0%; -- $21.9 million class D at 'CCsf'; RE 0%; -- $12.5 million class E at 'Csf'; RE 0%; -- $25 million class F at 'Csf'; RE 0%; -- $28.2 million class G at 'Csf'; RE 0%; -- $14.6 million class H at 'Dsf'; RE 0%; -- $0 class J at 'Dsf'; RE 0%; -- $0 class K at 'Dsf'; RE 0%; -- $0 class L at 'Dsf'; RE 0%; -- $0 class M at 'Dsf'; RE 0%; -- $0 class N at 'Dsf'; RE 0%; -- $0 class P at 'Dsf'; RE 0%; -- $0 class Q at 'Dsf'; RE 0%; -- $0 class T at 'Dsf'; RE 0%. The class A-1, A-2, A-3 and A-SB certificates have paid in full. Fitch does not rate the class NR certificates. Fitch previously withdrew the rating on the interest-only class X certificates. JP MORGAN 2011-C5: Moody's Affirms B3 Rating on Cl. G Notes ----------------------------------------------------------- Moody's Investors Service has affirmed the ratings on nine classes and upgraded the ratings on two classes J.P. Morgan Chase Commercial Mortgage Securities Trust 2011-C5, Commercial Mortgage Pass-Through Certificates, Series 2011-C5 as follows: Cl. A-3, Affirmed Aaa (sf); previously on Jun 9, 2016 Affirmed Aaa (sf) Cl. A-S, Affirmed Aaa (sf); previously on Jun 9, 2016 Affirmed Aaa (sf) Cl. A-SB, Affirmed Aaa (sf); previously on Jun 9, 2016 Affirmed Aaa (sf) Cl. B, Upgraded to Aa1 (sf); previously on Jun 9, 2016 Affirmed Aa2 (sf) Cl. C, Upgraded to A1 (sf); previously on Jun 9, 2016 Affirmed A2 (sf) Cl. D, Affirmed Baa3 (sf); previously on Jun 9, 2016 Affirmed Baa3 (sf) Cl. E, Affirmed Ba2 (sf); previously on Jun 9, 2016 Affirmed Ba2 (sf) Cl. F, Affirmed B1 (sf); previously on Jun 9, 2016 Affirmed B1 (sf) Cl. G, Affirmed B3 (sf); previously on Jun 9, 2016 Affirmed B3 (sf) Cl. X-A, Affirmed Aaa (sf); previously on Jun 9, 2016 Affirmed Aaa (sf) Cl. X-B, Affirmed Ba3 (sf); previously on Jun 9, 2016 Affirmed Ba3 (sf) RATINGS RATIONALE The ratings on seven P&I classes were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The ratings on two P&I classes (Classes B & C) were upgraded based primarily on an increase in credit support resulting from loan paydowns and amortization. The deal has paid down 20% since Moody's last review. The ratings on the IO classes (Classes X-A & X-B) were affirmed based on the credit performance (or the weighted average rating factor or WARF) of the referenced classes. Moody's rating action reflects a base expected loss of 2.1% of the current balance, compared to 2.5% at Moody's last review. Moody's base expected loss plus realized losses is now 1.5% of the original pooled balance, compared to 2.2% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodologies used in these ratings were "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in December 2014, and "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in October 2015. DESCRIPTION OF MODELS USED Moody's review used the excel-based CMBS Conduit Model, which it uses for both conduit and fusion transactions. Credit enhancement levels for conduit loans are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate Moody's uses to estimate Moody's value). Moody's fuses the conduit results with the results of its analysis of investment grade structured credit assessed loans and any conduit loan that represents 10% or greater of the current pool balance. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 12, compared to 16 at Moody's last review. When the Herf falls below 20, Moody's uses the excel-based Large Loan Model and then reconciles and weights the results from the conduit and large loan models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan-level proceeds derived from Moody's loan-level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type and sponsorship. Moody's also further adjusts these aggregated proceeds for any pooling benefits associated with loan level diversity and other concentrations and correlations. DEAL PERFORMANCE As of the November 15, 2016 distribution date, the transaction's aggregate certificate balance has decreased by 31% to $712 million from $1.03 billion at securitization. The certificates are collateralized by thirty mortgage loans ranging in size from less than 1% to 19.5% of the pool, with the top ten loans constituting 71.6% of the pool. One loan, constituting less than 1% of the pool, is on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. One loan, The Cove at Southern ($6 million), has been liquidated from the pool, resulting in a realized loss of less than a 1% of the loan balance. Two loans, constituting 2.9% of the pool, are currently in special servicing. The largest specially serviced loan is the Fairview Heights Plaza loan ($10.9 million -- 1.5% of the pool), which is secured by a 199,000 square foot (SF) community retail center located in Fairview Heights, Illinois, 10 miles east of St. Louis, Missouri. The property is anchored by a 60,000 SF Gordmans. However, the former Sports Authority space (40,500 SF) recently went dark. As of December 2016, the property was 81% leased. The loan transferred to Special Servicing in May 2016 due to imminent default. Moody's received full year 2015 operating results for 98% of the pool, and full or partial year 2016 operating results for 79% of the pool. Moody's weighted average conduit LTV is 80%, compared to 84% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 12% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.5%. Moody's actual and stressed conduit DSCRs are 1.88X and 1.33X, respectively, compared to 1.75X and 1.26X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The top three conduit loans represent 42% of the pool balance. The largest loan is the InterContinental Hotel Chicago Loan ($139 million -- 19.5% of the pool), which is secured by a 792-key full-service hotel located on North Michigan Avenue in Chicago, Illinois. The property includes over 25,000 SF of meeting space, a Michael Jordan's steakhouse restaurant, full service spa and an indoor junior Olympic size pool. The property saw a decline in performance in 2015. For the trailing-twelve month period ending December 2015, the property had a RevPAR penetration of 95.5% compared to its competitive set. The RevPAR penetration is down from the prior three years which were all in excess of 102%. Moody's LTV and stressed DSCR are 106% and 1.05X, respectively, compared to 106% and 1.04X at the last review. The second largest loan is the SunTrust Bank Portfolio I Loan ($89 million -- 12.6% of the pool). The loan is secured by 119 bank branches and two single-tenant office buildings. The properties are 100% leased to SunTrust Bank (Moody's senior unsecured rating Baa1, stable outlook) as part of a master lease agreement. The properties are located in nine Eastern states, from Maryland to Florida. Moody's LTV and stressed DSCR are 56% and 1.74X, respectively, compared to 66% and 1.48X at the last review. The third largest loan is the Asheville Mall Loan ($70 million -- 9.8% of the pool). The loan is secured by a 324,000 square foot component of a 974,000 square foot regional mall located in Asheville, North Carolina. The mall anchors include Dillard's, Sears, JC Penney, Belk, and Barnes and Noble. The total mall was 99% leased as of December 2015 compared to 97% at last review and in-line space was 98% leased. The mall has reported occupancy above 94% since at least 2008. The loan sponsor is CBL & Associates Properties, Inc., a retail REIT based in Chattanooga, Tennessee. Moody's LTV and stressed DSCR are 72% and 1.38X, respectively, compared to 74% and 1.36X at the last review. JP MORGAN 2014-INN: S&P Raises Rating on 2 Tranches to B+ --------------------------------------------------------- S&P Global Ratings raised its ratings on four classes of commercial mortgage pass-through certificates from J.P. Morgan Chase Commercial Mortgage Securities Trust 2014-INN, a U.S. commercial mortgage back securities (CMBS) transaction. In addition, S&P affirmed its ratings on three other classes from the same transaction. The rating actions on the certificates follow S&P's analysis of the transaction, primarily using its criteria for rating U.S. and Canadian CMBS transactions, which included a review of the credit characteristics and performance of the mortgage loan secured by 47 hotels in the pool, the transaction's structure, and the liquidity available to the trust. The upgrades on classes B, C, and F reflect S&P's expectation of the available credit enhancement for these classes, which S&P believes is greater than its most recent estimate of the necessary credit enhancement for the respective rating levels. The underlying collateral has displayed stronger performance since issuance, with no notable declines in performance for the largest assets in the pool. The affirmations on classes A, D, and E reflect S&P's expectation of the available credit enhancement for these classes, which it believes is within its most recent estimate of the necessary credit enhancement for the respective rating levels. S&P raised its rating on the class X-EXT interest-only (IO) certificates based on its criteria for rating IO securities, in which the rating on the IO securities would not be higher than the lowest-rated reference class. Class X-EXT's notional balance references the class A, B, C, D, E, and F certificates. The analysis of stand-alone (single-borrower) transactions is predominantly a recovery-based approach that assumes a loan default. Using this approach, S&P's property-level analysis included a revaluation of the lodging properties that secure the trust's mortgage loan. The portfolio is geographically diverse because the 47 hotels, totaling 6,094 guestrooms, are located across 16 states. No properties have been released or substituted since issuance. To determine S&P's opinion of a sustainable cash flow for the lodging properties, S&P based its analysis partly on a review of the master servicer provided portfolio net cash flow (NCF), which has increased every year since 2012. In the trailing 12 months ended June 30, 2016, the portfolio NCF has increased by $2.0 million from year end 2015, and $9.0 million from year end 2014. S&P also considered the long-term trends and the cyclical nature of the hospitality industry in deriving our NCF. S&P then divided its derived NCF by a 9.51% weighted average capitalization rate to determine S&P's expected-case value. This yielded an 86.0% S&P Global Ratings loan-to-value (LTV) ratio and a 1.90x S&P Global Ratings debt service coverage (DSC) based on the 2.23050% spread and 3.50% LIBOR cap. The master servicer, KeyBank N.A., reported a consolidated DSC of 3.64x on the trust balance for the trailing 12 months ended June 30, 2016. According to the Nov. 15, 2016, trustee remittance report, the mortgage loan has a $635.0 million trust balance, which is the same as at issuance. As of the November 2016 trustee remittance report, the loan pays an annual floating interest rate of 2.23050% over LIBOR. There is additional debt in the form of two mezzanine loans, which have a combined total of $205 million. According to the transaction documents, the borrowers will pay the special servicing fees, work-out fees, liquidation fees, and costs and expenses incurred from appraisals and inspections the special servicer conducts. To date, the trust has not incurred any principal losses. RATINGS RAISED J.P. Morgan Chase Commercial Mortgage Securities Trust 2014-INN Rating Class To From B AA (sf) AA- (sf) C A (sf) A- (sf) F B+ (sf) B (sf) X-EXT B+ (sf) B (sf) RATINGS AFFIRMED J.P. Morgan Chase Commercial Mortgage Securities Trust 2014-INN Class Rating A AAA (sf) D BBB- (sf) E BB- (sf) JP MORGAN 2016-5: Fitch to Rate Class B-4 Certs 'BBsf' ------------------------------------------------------ Fitch Ratings expects to rate J.P. Morgan Mortgage Trust 2016-5 (JPMMT 2016-5) as: -- $346,800,000 class A-1 exchangeable certificates 'AAAsf'; Outlook Stable; -- $16,377,000 class A-M exchangeable certificates 'AAAsf'; Outlook Stable; -- $171,320,000 class 1-A-1 certificates 'AAAsf'; Outlook Stable; -- $8,090,500 class 1-A-2 certificates 'AAAsf'; Outlook Stable; -- $175,480,000 class 2-A-1 certificates 'AAAsf'; Outlook Stable; -- $8,286,500class 2-A-2 certificates 'AAAsf'; Outlook Stable; -- $7,706,700 class B-1 certificates 'AAsf'; Outlook Stable; -- $5,009,300 class B-2 certificates 'Asf'; Outlook Stable; -- $3,660,700 class B-3 certificates 'BBBsf'; Outlook Stable; -- $1,926,700 class B-4 certificates 'BBsf'; Outlook Stable. Fitch will not be rating these certificates: -- $3,853,354 class B-5 certificates; -- $19,267,154 class RR exchangeable certificates. KEY RATING DRIVERS High-Quality Mortgage Pool (Positive): The collateral pool consists of two groups of very high-quality prime loans to borrowers with strong credit profiles, low leverage and substantial liquid reserves. 87.3% of the loans in the pool were originated by FRB, which Fitch considers to be an above-average originator of prime jumbo product. The pool has a weighted average (WA) FICO score of 767 and an original combined loan-to-value (CLTV) ratio of 62.5%. High Geographic Concentration (Concern): The pool's primary concentration risk is in California, where approximately 43.8% of the collateral is located, followed by New York at 23%. Approximately 78.4% of the pool is located in the top five metropolitan statistical areas (MSAs) in the subject pool (San Francisco, New York, Boston, Los Angeles and San Jose). Given the pool's significant regional concentrations, an additional penalty of approximately 19% was applied to the pool's lifetime default expectation. Payment Shock Exposure (Concern): The pool consists entirely of ARM loans, while approximately 40.9% also have interest-only (IO) features. Loan products that result in periodic changes in a borrower's payment, such as ARMs and IOs, expose borrowers to payment reset risk. Future increases in interest rates and payment re-amortization after the expiration of IO periods can raise monthly payments considerably. To account for this risk, Fitch applied a probability of default (PD) penalty of approximately 1.9x to the pool. Straightforward Deal Structure (Positive): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the deal. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. To mitigate tail risk, which arises as the pool seasons and fewer loans are outstanding, a subordination floor of 1.50% of the original balance will be maintained for the certificates. Additionally, there is no early stepdown test that might allow principal prepayments to subordinate bondholders earlier than the five-year lockout schedule. Leakage from Reviewer Expenses (Concern): The trust is obligated to reimburse the breach reviewer, Pentalpha Surveillance LLC (Pentalpha), each month for any reasonable out-of-pocket expenses incurred if the company is requested to participate in any arbitration, legal or regulatory actions, proceedings or hearings. These expenses include Pentalpha's legal fees and other expenses incurred outside its annual fee schedule and are not subject to a cap or certificateholder approval. Furthermore, certificateholders are obligated to pay Pentalpha a termination fee of $140,000 from year two to five, $80,000 from year five to eight and $25,000 after year eight, to terminate the contract. While Fitch accounted for the potential additional costs by upwardly adjusting its loss estimation for the pool, Fitch views this construct as adding potentially more ratings volatility than those that do not have this type of provision. Extraordinary Expense Adjustment (Concern): Extraordinary expenses, which include loan file review costs, arbitration expenses for enforcement of the reps and additional fees of Pentalpha, will be taken out of available funds and not accounted for in the contractual interest owed to the bondholders. This construct can result in principal and interest shortfalls to the bonds, starting from the bottom of the capital structure. To account for the risk of these noncredit events reducing subordination, Fitch adjusted its loss expectations upward by 35bps at the 'AAAsf' level. Tier 3 Representation and Warranty Framework (Concern): Fitch believes that the value of the rep and warranty framework is diluted by the presence of qualifying and conditional language in conjunction with sunset provisions, which reduces lender breach liability. While Fitch believes the high credit-quality pool and clean diligence results mitigate these risks, the weaker framework was considered in the analysis. RATING SENSITIVITIES Fitch's analysis incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or may be considered in the surveillance of the transaction. Three sets of sensitivity analyses were conducted at the state and national levels to assess the effect of higher MVDs for the subject pool. This defined stress sensitivity analysis demonstrates how the ratings would react to steeper market value declines at the national level. The analysis assumes market value declines of 10%, 20% and 30%, in addition to the model-projected 4.2%. The analysis indicates that there is some potential rating migration with higher MVDs, compared with the model projection. Fitch also conducted sensitivities to determine the stresses to MVDs that would reduce a rating by one full category, to non-investment grade, and to 'CCCsf'. JPMCC COMMERCIAL 2015-JP1: DBRS Confirms BB(high) Rating on F Notes ------------------------------------------------------------------- DBRS Limited confirmed the following classes of Commercial Mortgage Pass-Through Certificates, Series 2015-JP1 issued by JPMCC Commercial Mortgage Securities Trust 2015-JP1: -- 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-5 at AAA (sf) -- Class A-S at AAA (sf) -- Class A-SB at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AAA (sf) -- Class X-C at AAA (sf) -- Class X-D at AAA (sf) -- Class X-E at AAA (sf) -- Class B at AA (sf) -- Class C at A (sf) -- Class D at BBB (high) (sf) -- Class E at BBB (sf) -- Class F at BB (high) (sf) -- Class G at BB (low) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction. The collateral consists of 51 fixed-rate loans secured by 58 commercial and multifamily properties. As of the November 2016 remittance, the pool has experienced a collateral reduction of 0.4% since issuance, with all of the original 58 loans remaining in the pool. Given the late 2015 closing date for this transaction, updated financial reporting is relatively limited, with 34 loans representing 61.4% of the current pool balance reporting Q2 2016 financials, and 29.3% of the pool reporting Q3 2016 financials. The 11 loans within the top 15 loans reporting 2016 figures showed an annualized weighted average (WA) net cash flow (NCF) improvement of 11.11% since DBRS underwriting. The pool reports a WA debt service coverage ratio (DSCR) and WA debt yield of 1.90 times (x) and 9.2%, respectively. In comparison, the DBRS underwritten WA DSCR and WA debt yield were 1.60x and 9.4%, respectively. As of the November 2016 remittance, there are no loans in special servicing and two loans on the servicer's watchlist, representing 2.2% of the pool balance. DBRS has provided updated loan level commentary and analysis for the watchlisted loans and for the largest 15 loans in the pool in the DBRS CMBS IReports platform. KKR CLO 16: Moody's Assigns Ba3 Rating on Class D Notes ------------------------------------------------------- Moody's Investors Service has assigned ratings to six classes of notes issued by KKR CLO 16 Ltd. (the "Issuer" or "KKR CLO 16"). Moody's rating action is as follows: -- US$455,000,000 Class A-1 Senior Secured Floating Rate Notes due 2029 (the "Class A-1 Notes"), Definitive Rating Assigned Aaa (sf) -- US$76,000,000 Class A-2 Senior Secured Floating Rate Notes due 2029 (the "Class A-2 Notes"), Definitive Rating Assigned Aa2 (sf) -- US$27,100,000 Class B-1 Senior Secured Deferrable Floating Rate Notes due 2029 (the "Class B-1 Notes"), Definitive Rating Assigned A2 (sf) -- US$9,500,000 Class B-2 Senior Secured Deferrable Fixed Rate Notes due 2029 (the "Class B-2 Notes"), Definitive Rating Assigned A2 (sf) -- US$47,100,000 Class C Senior Secured Deferrable Floating Rate Notes due 2029 (the "Class C Notes"), Definitive Rating Assigned Baa3 (sf) -- US$29,600,000 Class D Senior Secured Deferrable Floating Rate Notes due 2029 (the "Class D Notes"), Definitive Rating Assigned Ba3 (sf) The Class A-1 Notes, the Class A-2 Notes, the Class B-1 Notes, the Class B-2 Notes, the Class C Notes 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. KKR CLO 16 is a managed cash flow CLO. The Rated Notes will be collateralized primarily by broadly syndicated first lien senior secured corporate loans. At least 92.5% of the portfolio must consist of senior secured loans, cash, and eligible investments, and up to 7.5% of the portfolio may consist of second lien loans and unsecured loans. The portfolio is approximately 83% ramped as of the closing date. KKR Financial Advisors II, 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 issued one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in October 2016. For modeling purposes, Moody's used the following base-case assumptions: -- Par amount: $700,000,000 -- Diversity Score: 55 -- Weighted Average Rating Factor (WARF): 2959 -- Weighted Average Spread (WAS): 3.80% -- Weighted Average Coupon (WAC): 7.50% -- Weighted Average Recovery Rate (WARR): 49% -- Weighted Average Life (WAL): 8 years. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in October 2016. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. Together with the set of modeling assumptions above, Moody's conducted an additional sensitivity analysis, which was a component in determining the ratings assigned to the Rated Notes. This sensitivity analysis includes increased default probability relative to the base case. Below is a summary of the impact of an increase in default probability (expressed in terms of WARF level) on the Rated Notes (shown in terms of the number of notch difference versus the current model output, whereby a negative difference corresponds to higher expected losses), assuming that all other factors are held equal: Percentage Change in WARF -- increase of 15% (from 2959 to 3403) Rating Impact in Rating Notches -- Class A-1 Notes: 0 -- Class A-2 Notes: -2 -- Class B-1 Notes: -2 -- Class B-2 Notes: -2 -- Class C Notes: -1 -- Class D Notes: 0 Percentage Change in WARF -- increase of 30% (from 2959 to 3847) Rating Impact in Rating Notches -- Class A-1 Notes: -1 -- Class A-2 Notes: -3 -- Class B-1 Notes: -3 -- Class B-2 Notes: -3 -- Class C Notes: -2 -- Class D Notes: -1 LB-UBS COMMERCIAL 2004-C7: Moody's Cuts X-CL Debt Rating to Caa2 ---------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on one class, affirmed the ratings on four classes and downgraded the ratings on one class in LB-UBS Commercial Mortgage Trust 2004-C7 as follows: -- Cl. K, Affirmed Aaa (sf); previously on Jun 10, 2016 Upgraded to Aaa (sf) -- Cl. L, Upgraded to Aaa (sf); previously on Jun 10, 2016 Upgraded to Aa3 (sf) -- Cl. M, Affirmed Caa2 (sf); previously on Jun 10, 2016 Upgraded to Caa2 (sf) -- Cl. N, Affirmed C (sf); previously on Jun 10, 2016 Affirmed C (sf) -- Cl. X-CL, Downgraded to Caa2 (sf); previously on Jun 10, 2016 Affirmed Caa1 (sf) -- Cl. X-OL, Affirmed Aaa (sf); previously on Jun 10, 2016 Affirmed Aaa (sf) RATINGS RATIONALE The rating on Class L was upgraded based primarily on an increase in credit support resulting from loan paydowns and amortization. The deal has paid down 30% since Moody's last review and 98% since securitization. The rating Class K was affirmed because the transaction's key metrics including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR), and the transaction's Herfindahl Index (Herf) are within acceptable ranges. The ratings on Classes M and N were affirmed because the ratings are consistent with Moody's expected loss plus realized losses. Class N has already experienced a 53% realized loss as result of previously liquidated loans. The rating on the IO class X-OL was affirmed because the rating is commensurate with the performance of its referenced loan One Lincoln Street ($19.7 million; 80.4% of the pool), which is fully defeased and is secured by US government securities. The rating on the IO Class X-CL was downgraded due to the decline in the credit performance (or weighted average rating factor or WARF) of its reference classes resulting from principal paydowns of higher quality reference classes. Moody's rating action reflects a base expected loss of 2.3% of the current balance, compared to 1.4% at Moody's last review. Moody's base expected loss plus realized losses is now 1.8% of the original pooled balance, the same as the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in October 2015. DESCRIPTION OF MODELS USED Moody's analysis used the excel-based Large Loan Model. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan-level proceeds derived from Moody's loan-level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure and property type. Moody's also further adjusts these aggregated proceeds for any pooling benefits associated with loan level diversity and other concentrations and correlations. DEAL PERFORMANCE As of the November 18, 2016 distribution date, the transaction's aggregate certificate balance has decreased by 98% to $24.5 million from $1.415 billion at securitization. The certificates are collateralized by three remaining mortgage loans. One loan, constituting 80.4% of the pool, has defeased and is secured by US government securities. Eleven loans have been liquidated from the pool, resulting in an aggregate realized loss of $24.9 million (for an average loss severity of 44%). There are two remaining non-defeased performing loans. The largest non-defeased loan is the Garrison Ridge Loan ($2.8 million -- 11.5% of the pool), which is secured by an 18,200 square foot (SF) strip center located in Marietta, Georgia. The property is shadow anchored by a Lowe's and was 92.5% occupied as of September 2016. Moody's LTV and stressed DSCR are 94% and 1.04X, respectively, compared to 94% and 1.03X at the last review. The other non-defeased loan is the Pecan Creek Loan ($2.0 million -- 8.1% of the pool), which is secured by a 11,372 SF unanchored retail center located in Southlake, Texas. The property was 68% leased as of October 2016, the same as December 2015. The loan is on the master servicer's watchlist due to low DSCR, which has been below 1.00X since 2012. Due to the low occupancy and DSCR, Moody's has identified this as a troubled loan and assumed a high default probability. LCM XIII: S&P Assigns Preliminary BB- Rating on Class E-R Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class X-R, A-R, B-R, C-R, D-R, and E-R replacement notes from LCM XIII L.P., a collateralized loan obligation (CLO) originally issued in 2013 that is managed by LCM Asset Management LLC. 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 Dec. 16, 2016, refinancing date, the proceeds from the replacement note issuance are expected to redeem the original notes. At that time, S&P anticipates withdrawing the ratings on the original notes and assigning ratings to the replacement notes. However, if the refinancing doesn't occur, S&P may affirm the ratings on the original notes and withdraw its preliminary ratings on the replacement notes. The replacement notes are being issued via a proposed supplemental indenture, which, in addition to outlining the terms of the replacement notes, specifies the below amendments: -- The transaction will issue additional class X-R notes and remove the existing combination notes. -- The replacement class A-R, D-R, and E-R notes are expected to be issued at a higher spread than the original notes. -- The replacement class C-R and B-R notes are expected to be issued at a lower spread than the original notes. -- The stated maturity, reinvestment period, and weighted average life test date will be extended 4.5 years. -- The maximum allowable exposure to covenant-lite loans has been increased from 40% to 65%, and the target par balance has been slightly increased. CASH FLOW ANALYSIS RESULTS Current date after proposed refinancing Class Amount Interest BDR SDR Cushion (mil. $) rate (%) (%) (%) (%) X-R 1.75 3ML + 1.75 92.85 65.71 27.14 A-R 322.50 3ML + 1.41 68.39 65.71 2.68 B-R 52.50 3ML + 1.85 68.32 58.43 9.89 C-R 41.50 3ML + 2.70 56.11 52.91 3.21 D-R 26.00 3ML + 4.05 48.49 46.83 1.66 E-R 21.25 3ML + 7.30 39.39 37.98 1.41 Effective date Class Amount Interest BDR SDR Cushion (mil. $) rate(%) (%) (%) (%) X (i) 3.25 3ML + 1.00 93.44 63.41 30.03 A 322.50 3ML + 1.30 68.54 63.41 5.14 B 52.50 3ML + 2.15 67.33 55.44 11.90 C 45.00 3ML + 2.90 53.62 49.42 4.20 D 22.50 3ML + 3.80 48.22 43.46 4.76 E 21.25 3ML + 4.85 41.74 36.58 5.17 Combination 20.00 Pass through 50.87 46.81 4.07 notes(ii) (i) The original class X notes were paid in full. The transaction will issue additional class X-R notes per the refinancing. (ii) The combination notes' principal amount comprised $12 million of class C and $8 million of class D note principal. At the effective date, the rating on the combination notes addressed principal only. BDR--Break-even default rate. SDR--Scenario default rate. 3ML--Three-month LIBOR. S&P's review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the supplemental indenture, 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. 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 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 LCM XIII L.P./LCM XIII LLC Replacement class Rating Amount (mil. $) X-R AAA (sf) 1.75 A-R AAA (sf) 322.50 B-R AA (sf) 52.50 C-R A (sf) 41.50 D-R BBB (sf) 26.00 E-R BB-(sf) 21.25 Subordinated notes NR 52.00 NR--Not rated. LCM XXIII: S&P Assigns Preliminary BB Rating on Class D Notes ------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to LCM XXIII Ltd./LCM XXIII LLC's $369.50 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 Dec. 6, 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 LCM XXIII Ltd./LCM XXIII LLC Class Rating Amount (mil. $) X AAA (sf) 2.00 A-1 AAA (sf) 247.00 A-2 AA (sf) 53.00 B (deferrable) A (sf) 32.00 C (deferrable) BBB (sf) 20.00 D (deferrable) BB (sf) 15.50 Subordinated notes NR 38.10 NR--Not rated. MARANON LOAN 2016-1: Moody's Assigns Ba3 Rating on 2 Tranches ------------------------------------------------------------- Moody's Investors Service assigned ratings to eight classes of debt issued by Maranon Loan Funding 2016-1, Ltd. (the "Issuer" or "Maranon 2016-1"). Moody's rating action is as follows: -- US$89,000,000 Class A-1 Senior Secured Loans maturing in 2027 (the "Class A-1 Loans"), Assigned Aaa (sf) -- US$75,000,000 Class A-1 Senior Secured Floating Rate Notes due 2027 (the "Class A-1 Notes"), Assigned Aaa (sf) -- US$10,000,000 Class A-2 Senior Secured Floating Rate Notes due 2027 (the "Class A-2 Notes"), Assigned Aaa (sf) -- US$25,000,000 Class B Senior Secured Fixed Rate Notes due 2027 (the "Class B Notes"), Assigned Aa2 (sf) -- US$20,750,000 Class C Secured Deferrable Floating Rate Notes due 2027 (the "Class C Notes"), Assigned A2 (sf) -- US$23,000,000 Class D Secured Deferrable Floating Rate Notes due 2027 (the "Class D Notes"), Assigned Baa3 (sf) -- US$7,000,000 Class E-1 Secured Deferrable Floating Rate Notes due 2027 (the "Class E-1 Notes"), Assigned Ba3 (sf) -- US$17,400,000 Class E-2 Secured Deferrable Floating Rate Notes due 2027 (the "Class E-2 Notes"), Assigned Ba3 (sf) The Class A-1 Loans, the Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the Class C Notes, the Class D Notes, the Class E-1 Notes and the Class E-2 Notes are referred to herein, collectively, as the "Rated Debt." RATINGS RATIONALE Moody's ratings of the Rated Debt address the expected losses posed to debtholders. 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. Maranon 2016-1 is a managed cash flow SME CLO. The issued debt is collateralized primarily by middle market first lien senior secured corporate loans. At least 95% of the portfolio must consist of senior secured loans, cash, and eligible investments, and up to 5% of the portfolio may consist of second lien loans or senior unsecured loans. We expect the portfolio to be approximately 63% ramped as of the closing date. Maranon Capital, L.P. (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 not reinvest. In addition to the Rated Debt, the Issuer issued subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the debt in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in October 2016. For modeling purposes, Moody's used the following base-case assumptions: -- Par amount: $300,000,000 -- Diversity Score: 29 -- Weighted Average Rating Factor (WARF): 3350 -- Weighted Average Spread (WAS): 4.95% -- Weighted Average Coupon (WAC): 6% -- Weighted Average Recovery Rate (WARR): 45.5% -- Weighted Average Life (WAL): 8 years. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in October 2016. Factors That Would Lead to an Upgrade or a Downgrade of the Ratings: The performance of the Rated Debt is subject to uncertainty. The performance of the Rated Debt 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 Debt. 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 Debt. 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 Debt (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 3350 to 3853) Rating Impact in Rating Notches -- Class A-1 Loans: -1 -- Class A-1 Notes: -1 -- Class A-2 Notes: -1 -- Class B Notes: -2 -- Class C Notes: -2 -- Class D Notes: -1 -- Class E-1 Notes: -1 -- Class E-2 Notes : -1 Percentage Change in WARF -- increase of 30% (from 3350 to 4355) Rating Impact in Rating Notches -- Class A-1 Loans: -1 -- Class A-1 Notes: -1 -- Class A-2 Notes: -1 -- Class B Notes: -3 -- Class C Notes: -3 -- Class D Notes: -2 -- Class E-1 Notes: -1 -- Class E-2 Notes : -1 MERLIN AVIATION: S&P Assigns Preliminary B+ Rating on Cl. C Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Merlin Aviation Holdings DAC's $250.8 million series A, B, and C fixed-rate notes. The note issuance is an asset-backed securities transaction backed by aircraft and their related leases, and shares or beneficial interests in entities that directly and indirectly receive aircraft portfolio lease rental and residual cash flows, among others. The preliminary ratings are based on information as of Dec. 16, 2016. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The likelihood of timely interest on the class A notes (excluding the step-up amount) on each payment date, ultimate interest on the class B and C notes (excluding the step-up amount), and ultimate principal payment on the class A, B, and C notes on the legal final maturity at the respective rating stress. -- The collateral pool, which is expected to consist of 18 in- production passenger planes (eight A320-200, eight B737-800, and two B737-700). -- The 63.2% loan-to-value (LTV; based on the lower of the mean and median (LMM) of the aircraft half-life base values and half-life current market values) ratio for the class A notes, the 70.8% LTV on the class B notes, and the 75.9% LTV for the class C notes. -- The 14.5-year weighted average age of the mid-life aircraft collateral portfolio, which is older than that associated with most of the recent transactions rated by S&P Global Ratings. -- ACG Leasing Ireland's demonstrated aircraft servicing ability. ACG Leasing Ireland has made a preliminary exit plan for each aircraft after the existing leases mature through extension, re-leasing, and sale. -- The existing and future lessees' estimated credit quality and diversification. The 18 aircraft are currently leased to 17 airlines in 16 countries, many of the initial lessees have low credit quality, and approximately 63.4% of lessees (by aircraft value) are domiciled in emerging markets. Three of the 18 aircraft are leased to flag carriers internationally. -- Each class' scheduled amortization profile, which is approximately 13 year amortization to zero for the class A notes and approximately seven-year amortization to zero for the class B and C notes. -- The transaction's debt service coverage ratios, utilization trigger, and lease expiration trigger--a failure of which will result in the class A, B, and C notes' turbo amortization. -- Additional principal amounts to pay down the class A notes in year six and seven. Specifically, in year six of the transaction, 25% of remaining available collections after the payment of expenses, interest on the class A notes, liquidity facility obligations, replenishment of the maintenance reserve, principal on the class A notes, disposition shortfall amounts, and interest and principal on the class B notes will be used to pay additional principal on the class A notes. In year seven, 50% of available collections remaining will be used to pay additional principal on the class A notes. The subordination of class B and C principal and interest to the class A interest and principal. -- A revolving credit facility that MUFG Securities EMEA PLC will provide, which is available to cover senior expenses, including hedge payments and interest on the class A notes. At closing, the commitment amount will be $25 million. The maximum commitment amount will decrease as the notes amortize, but will have a floor of 18 months interest on the class A notes. -- The junior liquidity reserve, which will be funded at closing with note proceeds in an amount equal to six months interest on the class B notes. Amounts on deposit may be used to pay interest on the class B notes and principal on the class B notes at stated maturity. -- ICF's provided maintenance analysis prior to closing, which is expected to provide maintenance analysis yearly after closing. -- The senior indemnification (capped at $10 million), which is modeled to occur in the first 12 months. -- The transaction's legal structure, which is expected to be bankruptcy remote. PRELIMINARY RATINGS ASSIGNED Merlin Aviation Holdings DAC Class Rating Amount (mil. $) A A- (sf) 209.0 B BBB- (sf) 25.1 C B+ (sf) 16.7 MERRILL LYNCH 1998-C1: Moody's Affirms B3 Rating on Cl. IO Debt --------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on four classes, upgraded the ratings on two classes and remained the ratings on two classes under review for possible upgrade in Merrill Lynch Mortgage Investors, Mortgage Pass-Through Certificates, Series 1998-C1-CTL as follows: -- Cl. A-PO, Affirmed Aaa (sf); previously on Jan 28, 2016 Affirmed Aaa (sf) -- Cl. B, Affirmed Aaa (sf); previously on Jan 28, 2016 Affirmed Aaa (sf) -- Cl. C, Affirmed Aaa (sf); previously on Jan 28, 2016 Upgraded to Aaa (sf) -- Cl. D, Upgraded to Aa2 (sf) and Remains On Review for Possible Upgrade; previously on Jan 28, 2016 Upgraded to A2 (sf) and Remained On Review for Possible Upgrade -- Cl. E, Upgraded to Baa2 (sf) and Remains On Review for Possible Upgrade; previously on Jan 28, 2016 Upgraded to Ba3 (sf) and Remained On Review for Possible Upgrade -- Cl. IO, Affirmed B3 (sf); previously on Jan 28, 2016 Affirmed B3 (sf) RATINGS RATIONALE The ratings on P&I Classes A-PO, B, and C were affirmed due to the sufficiency of the credit support level and the transaction's key metric, the weighted average rating factor (WARF), being within acceptable ranges. The ratings on P&I Classes D and E were upgraded because of increased credit support resulting from loan paydowns and amortization. The pool has paid down 17% since the last review. The ratings on the P&I Classes D and E remain on review for possible upgrade due to the possible upgrade of Rite Aid Corporation, whose credit backs a sizeable share of this transaction. Due to the potential acquisition of Rite Aid Corporation (Moody's Senior Unsecured Rating B3/Caa1, Rating Under Review for Possible Upgrade) by Walgreen Co. (Moody's Senior Unsecured Rating Baa2, Rating Under Review for Possible Downgrade), and a subsequent possible improvement in the Rite Aid Corporation credit, the CTL weighted average rating factor (WARF) may be positively affected. This may be credit positive for these two classes. The rating on the IO Class was affirmed due to the credit performance (or the weighted average rating factor or WARF) of the referenced classes. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The ratings of Credit Tenant Lease (CTL) deals are primarily based on the senior unsecured debt rating (or the corporate family rating) of the tenants leasing the real estate collateral supporting the bonds. Other factors that are also considered are Moody's dark value of the collateral (value based on the property being vacant or dark), which is used to determine a recovery rate upon a loan's default and the rating of the residual insurance provider, if applicable. Factors that may cause an upgrade of the ratings include an upgrade in the rating of the corporate tenant or significant loan paydowns or amortization which results in a higher dark loan to value. Factors that may cause a downgrade of the ratings include a downgrade in the rating of the corporate tenant or the residual insurance provider. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Moody's Approach to Rating Credit Tenant Lease and Comparable Lease Financings" published in October 2016. DESCRIPTION OF MODEL USED Moody's used a Gaussian copula model, incorporated in its public CDO rating model to generate a portfolio loss distribution to assess the ratings. DEAL PERFORMANCE As of the November 17, 2016 distribution date, the transaction's aggregate certificate balance has decreased by 77% to $147 million from $630 million at securitization. The Certificates are collateralized by 82 mortgage loans ranging in size from less than 1% to 19% of the pool. Sixty-three of the loans are CTL loans secured by properties leased to eight corporate credits. Nineteen loans, representing 31% of the pool, have defeased and are collateralized with U.S. Government securities. One loan, constituting less than 1% of the pool, is on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. There are no loans currently in special servicing. Twenty-one loans have been liquidated from the pool, resulting in an aggregate realized loss of $38 million (56% loss severity on average). Due to realized losses, Classes G, H, J and K have been wiped out and Class F has experienced a 37% principal loss. The pool's largest exposures are Rite Aid Corporation ($42.5 million -- 28.9% of the pool; senior unsecured rating: B3/Caa1 -- on review for possible upgrade), Georgia Power Company ($27.8 million -- 18.9% of the pool; senior unsecured rating: A3 -- stable outlook), and Kroger Co. (The) ($13.5 million -- 9.2% of the pool; senior unsecured rating: Baa1 -- stable outlook). The bottom-dollar WARF for this pool is 1974 compared to 2108 at the last review. WARF is a measure of the overall quality of a pool of diverse credits. The bottom-dollar WARF is a measure of default probability. MERRILL LYNCH 2008-C1: Fitch Lowers Rating on Cl. M Certs to 'Dsf' ------------------------------------------------------------------ Fitch Ratings has downgraded five and affirmed 17 classes of Merrill Lynch Mortgage Trust (MLMT) series 2008-C1, commercial mortgage pass-through certificates. KEY RATING DRIVERS The downgrades reflect increased loss expectations. The downgrade to class M is a result of incurred losses. Fitch modeled losses of 12.3% of the remaining pool; expected losses on the original pool balance total 9.8%, including $33.1 million (3.5% of the original pool balance) in realized losses to date. As of the November 2016 distribution date, the pool's aggregate principal balance has been reduced by 48.9% to $485.1 million from $948.8 million at issuance. Eight loans (6.9% of pool), including one of the top 15 loans (2.5%), are fully defeased as of November 2016. Interest shortfalls are currently affecting classes L through T. Loans of Concern: Fitch has designated 19 Fitch Loans of Concern (33.5%), including five (20.2%) of the top 15 loans and three (4.7%) specially serviced loans. The three largest drivers to Fitch losses are the Fort Office Portfolio (9.9%), Landmark Towers (3.3%) and Ashley Overlook (2.9%) due to high rollover concerns and weak office markets. Pool Concentrations: Loan maturities are concentrated in 2017 (73%) and 2018 (25%). Eleven loans representing 20.7% of the pool are full-term interest only. RATING SENSITIVITIES Rating Outlooks for classes A4 and A-1A remain Stable as credit enhancement remains high. Negative Rating Outlooks for classes AM and below indicate downgrades are possible should loss expectations increase, particularly if larger loans with significant rollover have difficult re-leasing. Fitch has downgraded these classes and revised Outlooks as indicated: -- $41.8 million class AJ to 'Asf' from 'AAsf'; Outlook revised to Negative from Stable; -- $3.7 million class AJ-A to 'Asf' from 'AAsf'; Outlook revised to Negative from Stable; -- $2.2 million class AJ-AF to 'Asf' from 'AAsf'; Outlook revised to Negative from Stable; -- $11.9 million class C to 'BBBsf' from 'Asf'; Outlook Negative; -- $1.3 million class M to 'Dsf' from 'Csf'; RE 0%. Fitch has affirmed these classes and revised Outlooks as indicated: -- $221 million class A4 at 'AAAsf'; Outlook Stable; -- $338.1 million class A-1A at 'AAAsf'; Outlook Stable; -- $71.2 million class AM at 'AAAsf'; Outlook revised to Negative from Stable; -- $6.3 million class AM-A at 'AAAsf'; Outlook revised to Negative from Stable; -- $10.7 million class B at 'Asf'; Outlook revised to Negative from Stable; -- $8.3 million class D at 'BBBsf'; Outlook Negative; -- $8.3 million class E at 'BBsf'; Outlook Negative; -- $9.5 million class F at 'Bsf'; Outlook Negative; -- $9.5 million class G at 'CCCsf'; RE 40%; -- $10.7 million class H at 'CCCsf'; RE 0%; -- $11.9 million class J at 'CCsf'; RE 0%; -- $10.7 million class K at 'Csf'; RE 0%. -- $8.3 million class L at 'Csf'; RE 0%; -- $0 class N at 'Dsf'; RE 0%; -- $0 class P at 'Dsf'; RE 0%; -- $0 class Q at 'Dsf'; RE 0%; -- $0 class S at 'Dsf'; RE 0%. The class A-1, A-2, A-3, A-SB, A-1AF and AM-AF certificates have paid in full. Fitch does not rate the class T certificates. Fitch previously withdrew the rating on the interest-only class X certificates. MORGAN STANLEY 2007-IQ16: S&P Affirms B- Rating on 2 Tranches ------------------------------------------------------------- S&P Global Ratings raised its ratings on five classes of commercial mortgage pass-through certificates from Morgan Stanley Capital I Trust 2007-IQ16, a U.S. commercial mortgage-backed securities (CMBS) transaction. At the same time, S&P affirmed its ratings on seven other classes from the same transaction. S&P's rating actions on the principal- and interest-paying certificates follow its analysis of the transaction, primarily using its criteria for rating U.S. and Canadian CMBS transactions, which included a review of the credit characteristics and performance of the remaining assets in the pool, the transaction's structure, and the liquidity available to the trust. S&P raised its ratings on classes A-4, A-1A, A-M, A-MA, and A-MFL to reflect its expectation of the available credit enhancement for these classes, which S&P believes is greater than its most recent estimate of necessary credit enhancement for the respective rating levels. The upgrades also follow S&P's views regarding the current and future performance of the transaction's collateral and available liquidity support. The affirmations on the principal- and interest-paying certificates 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 current and future performance of the transaction's collateral, the transaction structure, and liquidity support available to the classes. S&P affirmed its 'AAA (sf)' rating on the class X-1 interest-only (IO) certificates based on its criteria for rating IO securities. TRANSACTION SUMMARY As of the Nov. 15, 2016, trustee remittance report, the collateral pool balance was $1.61 billion, which is 62.2% of the pool balance at issuance. The pool currently includes 168 loans and three real estate-owned (REO) assets, down from 234 loans at issuance. Six of these assets ($40.8 million, 2.5%) are with the special servicer, 16 ($186.8 million, 11.6%) are defeased, and 49 ($514.0 million, 31.8%) are on the master servicers' combined watchlist. The master servicers, Wells Fargo Bank N.A., Berkadia Commercial Mortgage LLC,, and National Cooperative Bank N.A., together reported financial information for 90.0% of the nondefeased loans in the pool, of which 15.3% was partial-year 2016 data, 82.0% was year-end 2015 data, and the remainder was year-end 2014 data. S&P calculated a 1.24x S&P Global Ratings' weighted average debt service coverage (DSC) and 88.9% S&P Global Ratings' weighted average loan-to-value (LTV) ratio using a 7.49% S&P Global Ratings' weighted average capitalization rate. The DSC, LTV, and capitalization rate calculations exclude the six specially serviced assets, 16 defeased loans, and three ($889,248; 0.1%) loans secured by cooperative housing properties. The top 10 nondefeased loans have an aggregate outstanding pool trust balance of $664.5 million (41.2%). Using adjusted servicer-reported numbers, we calculated a S&P Global Ratings' weighted average DSC and LTV of 1.21x and 92.2%, respectively, for the top 10 nondefeased loans. To date, the transaction has experienced $217.8 million in principal losses, or 8.4% of the original pool trust balance. S&P expects losses to reach approximately 9.3% of the original pool trust balance in the near term, based on losses incurred to date and additional losses we expect upon the eventual resolution of the six specially serviced assets. CREDIT CONSIDERATIONS As of the Nov. 15, 2016, trustee remittance report, six assets in the pool were with the special servicer, LNR Partners LLC. Details of the two largest specially serviced assets are : -- The Danbrook Realty Portfolio Roll-Up loan ($11.1 million, 0.7%) has a total reported exposure of $14.8 million. The loan is secured by two retail properties totaling 187,416 sq. ft. in Barkhamsted, Conn. and Meriden, Conn. The loan was transferred to the special servicer in 2012 because of payment default. Of the two properties that currently secure the loan, the special servicer stated that there is an environmental issue at the Mallory Brook property located in Barkhamstead. The loan was offered through auction in September and October 2015, but did not trade. The reported occupancy as of year-end 2015 was 90.0%. An appraisal reduction amount (ARA) of $9.1 million is in effect against this loan. S&P expects a significant loss upon this loan's eventual resolution. -- The Peninsula Corporate Center loan ($9.0 million, 0.6%) has a total reported exposure of $11.2 million. The loan is secured by a 45,803-sq.-ft. suburban office building in Boca Raton, Fla. The loan was transferred to the special servicer in February 2014 for payment default. The special servicer stated that it filed for foreclosure in March 2014, and foreclosure litigation is ongoing. An ARA of $4.2 million is in effect against this loan. S&P expects a moderate loss upon this loan's eventual resolution. The four remaining assets with the special servicer each have individual balances that represent less than 0.5% of the total pool trust balance. S&P estimated losses for the six specially serviced assets, arriving at a weighted-average loss severity of 55.0%. With respect to the specially serviced assets noted above, a minimal loss is less than 25%, a moderate loss is 26%-59%, and a significant loss is 60% or greater. RATINGS LIST Morgan Stanley Capital I Trust 2007-IQ16 Commercial mortgage pass through certificates series 2007-IQ16 Rating Class Identifier To From A-1A 61756UAB7 AAA (sf) AA+ (sf) A-4 61756UAE1 AAA (sf) AA+ (sf) A-M 61756UAF8 A (sf) BBB (sf) A-MFL 61756UBE0 A (sf) BBB (sf) A-MA 61756UAG6 A (sf) BBB (sf) A-J 61756UAH4 B (sf) B (sf) A-JFX B (sf) B (sf) A-JA 61756UAJ0 B (sf) B (sf) B 61756UAN1 B- (sf) B- (sf) C 61756UAP6 B- (sf) B- (sf) D 61756UAQ4 CCC (sf) CCC (sf) X-1 61756UAK7 AAA (sf) AAA (sf) MORGAN STANLEY 2007-TOP25: DBRS Reviews B Rating on Cl. B Certs --------------------------------------------------------------- DBRS Limited placed all classes of the Commercial Mortgage Pass-Through Certificates, Series 2007-TOP25 (the Certificates) issued by Morgan Stanley Capital I Trust, Series 2007-TOP25 as follows: -- Class X at AAA (sf), Under Review with Developing Implications -- Class A-M at AA (sf), Under Review with Developing Implications -- Class A-J at BBB (low) (sf), Under Review with Developing Implications -- Class B at B (sf), Under Review with Developing Implications -- Class C at CCC (sf), Under Review with Developing Implications DBRS has placed all classes Under Review with Developing Implications due to the significant upcoming scheduled loan maturities. Nine of the 21 loans remaining in the pool as of the December 2016 remittance, representing 79.4% of the current pool balance, have scheduled maturities in January 2017. The most recently reported 2016 annualized cash flows for the seven non-defeased loans maturing in January 2017 exhibit exit debt yields ranging between 7.32% and 26.22%, with a weighted-average of 9.91%. DBRS will continue to monitor the transaction and assess the progress of the maturing loans toward successful repayment and expects to provide an updated rating assessment following receipt of the January 2017 remittance. As of the December 2016 remittance, the trust has a current balance of $212.2 million, representing collateral reduction of 87.8% since issuance due to scheduled loan amortization, loan repayments and realized losses experienced to date. Four loans have been liquidated from the trust in the past 12 months, with loss severities that ranged from 41.6% to 64.2%. Total cumulative realized losses from loan liquidations of $95.9 million have risen up the capital stack into Class D. Three loans (representing 27.5% of the current pool balance) are fully defeased, including the second-largest loan. Four loans (representing 11.6% of the current pool balance) are currently in special servicing, the largest of which, Romeoville Towne Center (Prospectus ID#16; 8.8% of the pool balance), is current and has a scheduled maturity in January 2017. In addition, two loans (3.1% of the pool balance) are past their maturity dates and are considered non-performing matured balloon loans. Nine loans (representing 49.2% of the current pool balance) are on the servicer's watchlist, the majority of which have been flagged for upcoming loan maturities. MRFC MORTGAGE 2000-TBC2: Moody's Cuts Cl. B-5 Debt Rating to Caa1 ----------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of eleven tranches backed by Prime Jumbo RMBS loans, issued by miscellaneous issuers Complete rating actions are as follows: Issuer: MRFC Mortgage Pass-Through Trust, Series 2000-TBC2 Cl. B-3, Downgraded to Ba1 (sf); previously on Jun 15, 2000 Assigned Baa2 (sf) Cl. B-4, Downgraded to B1 (sf); previously on Jun 15, 2000 Assigned Ba2 (sf) Cl. B-5, Downgraded to Caa1 (sf); previously on Jun 15, 2000 Assigned B2 (sf) Issuer: Sequoia Mortgage Trust 2003-4 Cl. 1-A-1, Downgraded to Ba3 (sf); previously on Jun 16, 2014 Downgraded to Ba1 (sf) Cl. 1-A-2, Downgraded to Ba3 (sf); previously on Jun 16, 2014 Downgraded to Ba1 (sf) Cl. 1-B-1, Downgraded to Caa2 (sf); previously on May 15, 2015 Downgraded to B3 (sf) Cl. 1-B-2, Downgraded to Caa3 (sf); previously on Jun 16, 2014 Downgraded to Caa2 (sf) Cl. 1-X-1A, Downgraded to Ba3 (sf); previously on Jun 16, 2014 Downgraded to Ba1 (sf) Cl. 1-X-1B, Downgraded to Ba3 (sf); previously on Jun 16, 2014 Downgraded to Ba1 (sf) Cl. 1-X-2, Downgraded to Ba3 (sf); previously on Jun 16, 2014 Downgraded to Ba1 (sf) Cl. 1-X-B, Downgraded to Caa2 (sf); previously on May 15, 2015 Downgraded to B3 (sf) RATINGS RATIONALE The rating downgrades reflect the recent performance of the underlying pools, Moody's updated loss expectation on the bonds and on 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. The methodology used in rating interest-only securities was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in October 2015. 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 4.6% in November 2016 from 5.0% in November 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. NATIONSLINK FUNDING 1999-LTL1: Moody's Affirms Ba3 Rating on X Cert ------------------------------------------------------------------- Moody's Investors Service has affirmed the rating of one class in NationsLink Funding Corporation, Commercial Loan Pass-Through Certificates, Series 1999-LTL-1 as: Cl. X, Affirmed Ba3 (sf); previously on Jan. 8, 2016, Affirmed Ba3 (sf) RATINGS RATIONALE The rating of the IO class, Class X, was affirmed based on the credit performance (or the weighted average rating factor) of its referenced classes. The IO class is the only outstanding Moody's-rated class in this transaction. Moody's rating action reflects a base expected loss of 5.2% of the current balance, compared to 5.3% at Moody's last review. Moody's base expected loss plus realized losses is now 0.8% of the original pooled balance, compared to 1.0% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING: The rating of an IO class is based on the credit performance of its referenced classes. An IO class may be upgraded based on a lower weighted average rating factor or WARF due to an overall improvement in the credit quality of its reference classes. An IO class may be downgraded based on a higher WARF due to a decline in the credit quality of its reference classes, paydowns of higher quality reference classes or non-payment of interest. Classes that have paid off through loan paydowns or amortization are not included in the WARF calculation. Classes that have experienced losses are grossed up for losses and included in the WARF calculation, even if Moody's has withdrawn the rating. METHODOLOGY UNDERLYING THE RATING ACTION The methodologies used in these ratings were "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in October 2015, and "Moody's Approach to Rating Credit Tenant Lease and Comparable Lease Financings" published in October 2016. DESCRIPTION OF MODELS USED Moody's review incorporated the use of the excel-based Large Loan Model. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's also used a Gaussian copula model, incorporated in its CDO rating model CDOROM, to generate a portfolio loss distribution to assess the ratings for a pool of CTL ratings. DEAL PERFORMANCE As of the Nov. 22, 2016, distribution date, the transaction's aggregate certificate balance has decreased by 90% to $47.3 million from $492.5 million at securitization. The Certificates are collateralized by sixty-two mortgage loans ranging in size from less than 1% to 11.7% of the pool, with the top ten loans representing 65% of the pool. The pool contains one loan, representing 7.1% of the pool that has an investment grade structured credit assessment. Three loans, representing 2.6% of the pool, are on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Two loans have been liquidated from the pool, resulting in an aggregate realized loss of $1.2 million (22% loss severity on average). Moody's was provided with full year 2015 operating results for 100% of the pool (excluding defeased, CTL, and specially serviced loan), respectively. Moody's weighted average conduit LTV is 21% compared to 22% at Moody's prior review. Moody's conduit component excludes loans with credit assessments, defeased and CTL loans and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 12% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 10.7%. Moody's actual and stressed conduit DSCRs are 1.52X and 11.43X, respectively, compared to 1.67X and 8.37X at prior review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The loan with a structured credit assessment is the Broadway at the Beach Loan ($3.3 million -- 7.1% of the pool), which is secured by a 343,000 square foot entertainment retail complex located in Myrtle Beach, South Carolina. The property includes specialty shops, restaurants and tourist attractions. The loan is fully amortizing and has paid down over 93% since securitization. Moody's structured credit assessment and stressed DSCR are aaa (sca.pd) and >4.00X, respectively, compared to aaa (sca.pd) and >4.00X at last review. The top conduit loans represent 4.5% of the pool balance. The largest loan is the MHC Portfolio Loan ($1.2 million -- 2.6% of the pool), which is secured by the following four properties located in Connecticut and New Hampshire: Beechwood Manufactured Housing Community, Crestwood Manufactured Housing Community, Forest Hill Manufactured Housing Community and Farmwood Manufactured Housing Community. The loans are fully amortizing and have paid down over 86% since securitization. Moody's LTV and stressed DSCR are 6% and >4.00X, respectively, compared to 9% and >4.00X at prior review. The second largest loan is the Plaza Galeria Loan ($861 thousand -- 1.8% of the pool), which is secured by a retail center located in the historic old town plaza area of Santa Fe, New Mexico. As of September 2016, the property was 73% leased, compared to 71% the prior year. Performance dropped in 2015 as a number of new tenants were signed throughout that year; performance is expected to rebound. The loan is fully amortizing and has paid down over 84% since securitization. Moody's LTV and stressed DSCR are 42% and 2.86X, respectively, relatively unchanged from the prior review. The CTL component consists of 56 loans, totaling 89% of the pool, secured by properties leased to 16 tenants. The largest exposures are Delhaize America LLC ($8.6 million -- 20.7% of the pool; senior unsecured rating: Baa2 -- Positive outlook) and Rite Aid Corporation ($7.9 million -- 18.8% of the pool; backed senior unsecured rating: Caa1 -- Ratings Under Review). Fourteen of the tenants have a Moody's rating. The bottom-dollar weighted average rating factor (WARF) for this pool is 1,846 compared to 1,452 at last review. WARF is a measure of the overall quality of a pool of diverse credits. The bottom-dollar WARF is a measure of the default probability within the pool. NEW RESIDENTIAL 2016-4: DBRS Gives Prov. BB Rating on Cl. B-4 Notes ------------------------------------------------------------------- DBRS, Inc. finalized the following provisional ratings on the Mortgage-Backed Notes, Series 2016-4 (the Notes) issued by New Residential Mortgage Loan Trust 2016-4 (the Trust): -- $209.7 million Class A-1 at AAA (sf) -- $209.7 million Class A-IO at AAA (sf) -- $209.7 million Class A at AAA (sf) -- $9.4 million Class B-1 at AA (sf) -- $9.4 million Class B1-IO at AA (sf) -- $9.4 million Class B-2 at A (sf) -- $9.4 million Class B2-IO at A (sf) -- $6.5 million Class B-3 at BBB (sf) -- $7.3 million Class B-4 at BB (sf) -- $6.3 million Class B-5 at B (sf) In addition, DBRS has assigned new ratings to the following Notes issued by the Trust: -- $209.7 million Class A-1A at AAA (sf) -- $209.7 million Class A-1B at AAA (sf) -- $209.7 million Class A-1C at AAA (sf) -- $209.7 million Class A1-IOA at AAA (sf) -- $209.7 million Class A1-IOB at AAA (sf) -- $209.7 million Class A1-IOC at AAA (sf) -- $219.0 million Class A-2 at AA (sf) -- $9.4 million Class B-1A at AA (sf) -- $9.4 million Class B-1B at AA (sf) -- $9.4 million Class B-1C at AA (sf) -- $9.4 million Class B1-IOA at AA (sf) -- $9.4 million Class B1-IOB at AA (sf) -- $9.4 million Class B1-IOC at AA (sf) -- $9.4 million Class B-2A at A (sf) -- $9.4 million Class B-2B at A (sf) -- $9.4 million Class B-2C at A (sf) -- $9.4 million Class B2-IOA at A (sf) -- $9.4 million Class B2-IOB at A (sf) -- $9.4 million Class B2-IOC at A (sf) -- $6.5 million Class B-3A at BBB (sf) -- $6.5 million Class B-3B at BBB (sf) -- $6.5 million Class B-3C at BBB (sf) -- $6.5 million Class B3-IOA at BBB (sf) -- $6.5 million Class B3-IOB at BBB (sf) -- $6.5 million Class B3-IOC at BBB (sf) Classes A-IO, A1-IOA, A1-IOB, A1-IOC, B1-IO, B1-IOA, B1-IOB, B1-IOC, B2-IO, B2-IOA, B2-IOB, B2-IOC, B3-IOA, B3-IOB and B3-IOC are interest-only notes. The class balances represent notional amounts. Classes A-1A, A-1B, A-1C, A1-IOA, A1-IOB, A1-IOC, A-2, A, B-1A, B-1B, B-1C, B1-IOA, B1-IOB, B1-IOC, B-2A, B-2B, B-2C, B2-IOA, B2-IOB, B2-IOC, B-3A, B-3B, B-3C, B3-IOA, B3-IOB and B3-IOC Notes are exchangeable notes. These classes can be exchanged for combinations of initial exchangeable notes as specified in the offering documents. The AAA (sf) ratings on the Notes reflect the 20.55% of credit enhancement provided by subordinated Notes in the pool. The AA (sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings reflect 17.00%, 13.45%, 11.00%, 8.25% and 5.85% of credit enhancement, respectively. Other than the specified classes above, DBRS does not rate any other classes in this transaction. This transaction is a securitization of a portfolio of seasoned performing and re-performing first-lien residential mortgages. The Notes are backed by 2,237 loans with a total principal balance of $263,910,247 as of the Cut-Off Date (November 1, 2016). The loans are significantly seasoned with a weighted-average age of 154 months. As of the Cut-Off Date, 91.8% of the pool is current, 6.5% is 30 days delinquent and 1.7% is in bankruptcy (all bankruptcy loans are performing or 30 days delinquent). Approximately 66.8% and 76.5% of the mortgage loans have been zero times 30 days delinquent for the past 24 months and 12 months, respectively, under both the Office of Thrift Supervision and Mortgage Bankers Association delinquency methods. The portfolio contains 37.0% modified loans. The modifications happened more than two years ago for 71.5% of the modified loans. Because of the seasoning of the collateral, none of the loans are subject to the Consumer Financial Protection Bureau Ability-to-Repay/Qualified Mortgage rules. The Seller, NRZ Sponsor V LLC (NRZ), will acquire the loans on or prior to the Closing Date in connection with the termination of various securitization trusts that had acquired the mortgage loans from various underlying sellers. Upon acquiring the loans from the securitization trusts, NRZ, through an affiliate, New Residential Funding 2016-4 LLC (the Depositor), will contribute loans to the Trust. As the Sponsor, New Residential Investment Corp., through a majority-owned affiliate, will acquire and retain a 5% eligible vertical interest in each class of securities to be issued (other than the residual certificates) to satisfy the credit risk retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. These loans were originated and previously serviced by various entities through purchases in the secondary market. As of the Cut-Off Date, 82.6% of the pool is serviced by Ocwen Loan Servicing, LLC, 15.3% by Nationstar Mortgage LLC (Nationstar) and 2.1% by Specialized Loan Servicing LLC. Nationstar will also act as the Master Servicer. The transaction employs a senior-subordinate shifting-interest cash flow structure that is enhanced from a pre-crisis structure. The ratings reflect transactional strengths that include underlying assets that have significant seasoning, relatively clean payment histories and robust loan attributes with respect to credit scores, product types and loan-to-value ratios. Additionally, historical NRMLT securitizations have exhibited fast voluntary prepayment rates and satisfactory deal performance. The transaction employs a relatively weak representations and warranties framework that includes an unrated representation provider (NRZ), certain knowledge qualifiers and fewer mortgage loan representations relative to DBRS criteria for seasoned pools. Satisfactory third-party due diligence was performed on the pool for regulatory compliance and title/lien but was limited with respect to payment history, data integrity and servicing comments. Updated Home Data Index and/or broker price opinions were provided for the pool; however, a reconciliation was not performed on the majority of updated values. Certain loans have missing assignments or endorsements as of the Closing Date. Given the relatively clean performance history of the mortgages and the operational capability of the servicers, DBRS believes the risk of impeding or delaying foreclosure is remote. OHA CREDIT VII: S&P Assigns Prelim. BB- Rating on Cl. E-R Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-R, B-R, C-R, D-R, and E-R replacement floating-rate notes from OHA Credit Partners VII Ltd., a collateralized loan obligation (CLO) originally issued in 2012 that is managed by Oak Hill Advisors L.P. The replacement notes will be issued via a proposed supplemental indenture. The preliminary ratings reflect S&P's opinion that the credit support available is commensurate with the associated rating levels. On the Dec. 15, 2016, refinancing date, the proceeds from the issuance of the replacement notes are expected to redeem the original notes. At that time, S&P anticipates withdrawing the ratings on the original notes and assigning ratings to the replacement notes. However, if the refinancing doesn't occur, S&P may affirm the ratings on the original notes and withdraw its preliminary ratings on the replacement notes. 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 November 2020 from November 2016. -- Extend the non-call period to November 2018 from November 2014. -- Extend the legal final maturity date of the rated notes to November 2027 from November 2023. -- Extend the weighted average life test (used for trading purposes) to eight years calculated from the Dec. 15, 2016, refinancing date from eight years calculated from the original closing date, November 2012. -- Adopt the non-model version of the CDO Monitor application. -- Adopt the recovery rate methodology and S&P industry classifications as outlined in S&P's August 2016 corporate CDO criteria update. REPLACEMENT AND ORIGINAL NOTE ISSUANCES Replacement Notes Class Amount Interest (mil. $) rate A-R 461.00 LIBOR + 1.42% B-R 102.00 LIBOR + 1.90% C-R 54.00 LIBOR + 2.65% D-R 38.50 LIBOR + 4.25% E-R 36.00 LIBOR + 7.50% Subordinated notes 74.00 Original Notes Class Amount Interest (mil. $) rate A 461.00 LIBOR + 1.42% B-1 87.00 LIBOR + 2.25% B-2 15.00 3.5501% C-1 34.00 LIBOR + 3.25% C-2 20.00 4.6216% D 38.50 LIBOR + 4.00% E 36.00 LIBOR + 5.00% Subordinated notes 74.00 There is no change anticipated to the balance on the subordinated notes in connection with this proposed refinancing. S&P's review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the trustee report, to estimate future performance. In line with 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. 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 OHA Credit Partners VII Ltd. Replacement class Rating Amount (mil. $) A-R AAA (sf) 461.00 B-R AA (sf) 102.00 C-R A (sf) 54.00 D-R BBB (sf) 38.50 E-R BB- (sf) 36.00 Subordinated notes NR 74.00 OTHER OUTSTANDING RATINGS OHA Credit Partners VII Ltd. Class Rating A AAA (sf) B-1 AA (sf) B-2 AA (sf) C-1 A (sf) C-2 A (sf) D BBB (sf) E BB (sf) OHA CREDIT XIII: Moody's Assigns Ba3 Rating on Class E Notes ------------------------------------------------------------ Moody's Investors Service has assigned provisional ratings to eight classes of notes to be issued by OHA Credit Partners XIII, Ltd. Moody's rating action is: $2,000,000 Class X Senior Secured Floating Rate Notes due 2030, Assigned (P)Aaa (sf) $256,000,000 Class A Senior Secured Floating Rate Notes due 2030, Assigned (P)Aaa (sf) $7,500,000 Class B-1 Senior Secured Floating Rate Notes due 2030, Assigned (P)Aa2 (sf) $36,750,000 Class B-2 Senior Secured Floating Rate Notes due 2030, Assigned (P)Aa2 (sf) $18,500,000 Class C-1 Mezzanine Secured Deferrable Fixed Rate Notes due 2030, Assigned (P)A3 (sf) $11,000,000 Class C-2 Mezzanine Secured Deferrable Fixed Rate Notes due 2030, Assigned (P)A3 (sf) $16,000,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2030, Assigned (P)Baa3 (sf) $22,250,000 Class E Junior Secured Deferrable Floating Rate Notes due 2030, Assigned (P)Ba3 (sf) The Class X Notes, the Class A Notes, the Class B-1 Notes, the Class B-2 Notes, the Class C-1 Notes, the Class C-2 Notes, the Class D Notes and the Class E Notes are referred to herein, collectively, as the "Rated Notes." Moody's issues provisional ratings in advance of the final sale of financial instruments, but these ratings only represent Moody's preliminary credit opinions. Upon a conclusive review of a transaction and associated documentation, Moody's will endeavor to assign definitive ratings. A definitive rating, if any, may differ from a provisional rating. RATINGS RATIONALE Moody's provisional ratings of the Rated Notes address the expected losses posed to noteholders. The provisional ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. OHA Credit Partners XIII is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated first lien senior secured corporate loans. At least 90% of the portfolio must consist of senior secured loans, cash, and eligible investments, and up to 10% of the portfolio may consist of second lien loans and unsecured loans. Moody's expects the portfolio to be approximately 50% ramped as of the closing date. Oak Hill Advisors, L.P. (the Manager) will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets, subject to certain restrictions. In addition to the Rated Notes, the Issuer will issue subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in October 2016. For modeling purposes, Moody's used these base-case assumptions: Par amount: $400,000,000 Diversity Score: 55 Weighted Average Rating Factor (WARF): 2830 Weighted Average Spread (WAS): 3.75% Weighted Average Coupon (WAC): 7.50% Weighted Average Recovery Rate (WARR): 47.0% Weighted Average Life (WAL): 9 years. Methodology Underlying the Rating Action: The prinicipal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in October 2016. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. Together with the set of modeling assumptions above, Moody's conducted an additional sensitivity analysis, which was a component in determining the ratings assigned to the Rated Notes. This sensitivity analysis includes increased default probability relative to the base case. Below is a summary of the impact of an increase in default probability (expressed in terms of WARF level) on the Rated Notes (shown in terms of the number of notch difference versus the current model output, whereby a negative difference corresponds to higher expected losses), assuming that all other factors are held equal: Percentage Change in WARF -- increase of 15% (from 2830 to 3255) Rating Impact in Rating Notches Class X Notes: 0 Class A Notes: -1 Class B-1 Notes: -2 Class B-2 Notes: -2 Class C-1 Notes: -2 Class C-2 Notes: -2 Class D Notes: -1 Class E Notes: 0 Percentage Change in WARF -- increase of 30% (from 2830 to 3679) Rating Impact in Rating Notches Class X Notes: 0 Class A Notes: -1 Class B-1 Notes: -3 Class B-2 Notes: -3 Class C-1 Notes: -3 Class C-2 Notes: -3 Class D Notes: -2 Class E Notes: -1 OZLM FUNDING III: S&P Assigns Prelim. BB Rating on Cl. D-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-1-R, A-2-R, B-R, C-R, and D-R replacement notes from OZLM Funding III Ltd., a collateralized loan obligation (CLO) originally issued in 2013 that is managed by Och-Ziff Loan Management L.P. The replacement notes will be issued via a proposed supplemental indenture. The preliminary ratings reflect S&P's opinion that the credit support available is commensurate with the associated rating levels. On the Dec. 15, 2016, refinancing date, the proceeds from the issuance of the replacement notes are expected to redeem the original notes. At that time, S&P anticipates withdrawing the ratings on the original notes and assigning ratings to the replacement notes. However, if the refinancing doesn't occur, S&P may affirm the ratings on the original notes and withdraw its preliminary ratings on the replacement notes. The replacement notes are being issued via a proposed supplemental indenture, which, in addition to outlining the terms of the replacement notes, will also: -- Extend the stated maturity/reinvestment period/non-call period by four years; and -- Extend the weighted average life test. S&P's review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the trustee report, to estimate future performance. In line with 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. S&P's review of this 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 nationally recognized statistical rating organizations (NRSROs) for the purposes of assessing the credit quality of assets not rated by S&P Global Ratings. The criteria provide specific guidance for treatment of corporate assets not rated by S&P Global Ratings, and the interpretation outlines treatment of securitized assets. 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. RELIMINARY RATINGS ASSIGNED OZLM Funding III Ltd./OZLM Funding III LLC Replacement class Rating Amount (mil. $) A-1-R AAA (sf) 396.500 A-2-R AA (sf) 78.875 B-R A (sf) 47.375 C-R BBB (sf) 30.500 D-R BB (sf) 30.000 Subordinated notes NR 70.000 OTHER OUTSTANDING RATINGS OZLM Funding III Ltd./OZLM Funding III LLC Class Rating A-1 AAA (sf) A-2A AA+ (sf) A-2B AA+ (sf) B A+ (sf) C BBB (sf) D BB (sf) NR--Not rated. PRUDENTIAL SECURITIES 1999-NRF1: Moody's Affirms Ca on K Certs -------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on two classes in Prudential Securities Secured Financing Corporation 1999-NRF1, Commercial Mortgage Pass-Through Certificates, Series 1999-NRF1 as: Cl. K, Affirmed Ca (sf); previously on Jan. 8, 2016, Affirmed Ca (sf) Cl. A-EC, Affirmed Caa3 (sf); previously on Jan. 8, 2016, Affirmed Caa3 (sf) RATINGS RATIONALE The ratings on the remaining P&I class was affirmed because the ratings are consistent with Moody's expected loss plus realized losses. Class K has already experienced a 50% realized loss as result of previously liquidated loans. The rating on the IO class was affirmed based on the credit performance (or the weighted average rating factor) of the referenced classes. Moody's rating action reflects a base expected loss of 0.0% of the current balance, unchanged from Moody's last review. Moody's does not anticipate losses from the remaining collateral in the current environment. However, over the remaining life of the transaction, losses may emerge from macro stresses to the environment and changes in collateral performance. Moody's ratings reflect the potential for future losses under varying levels of stress. Moody's base expected loss plus realized losses is now 3.2% of the original pooled balance, compared to 3.3% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in October 2015. DESCRIPTION OF MODELS USED Moody's analysis used the excel-based Large Loan Model. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan-level proceeds derived from Moody's loan-level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure and property type. Moody's also further adjusts these aggregated proceeds for any pooling benefits associated with loan level diversity and other concentrations and correlations. DEAL PERFORMANCE As of the Nov. 18, 2016, distribution date, the transaction's aggregate certificate balance has decreased by 99% to $1.67 million from $928.92 million at securitization. The certificates are collateralized by two mortgage loans. One loan, constituting 17% of the pool, is on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Twenty-five loans have been liquidated from the pool, resulting in an aggregate realized loss of $29.3 million (for an average loss severity of 40%). Moody's received full year 2015 operating results for 50% of the pool. Moody's weighted average conduit LTV is 27%, compared to 28% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's value reflects a weighted average capitalization rate of 13.0%. Moody's actual and stressed conduit DSCRs are 2.23X and 5.45X, respectively, compared to 1.66X and 4.83X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The largest loan is the Westchester Gardens Loan ($1.39 million -- 82.9% of the pool), which is secured by a rehabilitation care center in Safety Harbor, Florida. As of March 2015, the property was 94% leased. Performance increased in 2015 due to revenue increasing while expense remained flat. Moody's LTV and stressed DSCR are 29% and 4.96X, respectively, compared to 36% and 4.03X at the last review. The second largest loan is the Crescent Heights Plaza Loan ($285 thousand -- 17.1% of the pool), which is secured by a 20,000 square foot unanchored retail property located in West Hollywood, California. The loan is on the watch-list as the borrower has been non-compliant with providing operating statements. U pdated financials have not been received since 2013. The borrower has not missed a debt-service payment. The loan has amortized over 83% since securitization. Moody's LTV and stressed DSCR are 15% and 7.85X, respectively, compared to 22% and 5.48X at the last review. SALOMON BROTHERS 2000-C3: Moody's Affirms Caa3 Rating on X Debt --------------------------------------------------------------- Moody's Investors Service has affirmed the rating of one interest-only class of Salomon Brothers Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates Series 2000-C3 as follows: Cl. X, Affirmed Caa3 (sf); previously on Jan 28, 2016 Affirmed Caa3 (sf) RATINGS RATIONALE The rating of the IO class, Class X, was affirmed based on the credit performance of its referenced class. The IO class is the only outstanding Moody's-rated class in this transaction. Moody's rating action reflects a base expected loss of 22.3% of the current balance, compared to 21.8% at Moody's last review. Moody's base expected loss plus realized losses is now 5.8% of the original pooled balance, the same as at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING: The rating of an IO class is based on the credit performance of its referenced classes. An IO class may be upgraded based on a lower weighted average rating factor or WARF due to an overall improvement in the credit quality of its reference classes. An IO class may be downgraded based on a higher WARF due to a decline in the credit quality of its reference classes, paydowns of higher quality reference classes or non-payment of interest. Classes that have paid off through loan paydowns or amortization are not included in the WARF calculation. Classes that have experienced losses are grossed up for losses and included in the WARF calculation, even if Moody's has withdrawn the rating. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in this rating was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in October 2015. DESCRIPTION OF MODELS USED Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 2, the same as at Moody's last review. Moody's review incorporated the use of the excel-based Large Loan Model. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. DEAL PERFORMANCE As of the December 19, 2016 distribution date, the transaction's aggregate certificate balance has decreased by 98% to $14.9 million from $915 million at securitization. The Certificates are collateralized by five mortgage loans. One loan, representing 2% of the pool has defeased and is secured by US Government securities. There are no loans on the master servicer's watchlist. Thirty-eight loans have been liquidated from the pool, resulting in an aggregate realized loss of approximately $49 million (26% loss severity on average). Two loans, representing 91% of the pool, are in special servicing. The two specially serviced loans are the A-Note and B-Note for the Granite State Marketplace Loan, which was previously modified to include an A/B note split. The A-Note is $10.3 million (representing 69% of the pool) and the B-Note is $3.3 million (representing 22% of the pool). The mortgage loan is secured by a 250,000 square foot (SF) anchored retail center located in Hooksett, New Hampshire. The loan originally transferred to special servicing in September 2008 for maturity default and a loan modification was subsequently executed that included a note split and maturity date extension. The loan did not pay off at the extended maturity date in November 2012 and the asset is currently real estate owned (REO). As of June 2016, the property was 79% occupied, the same as at last review Moody's estimates an aggregate $3.3 million loss for a specially serviced loan (100% expected loss on average). Moody's was provided with full year 2015 and partial year 2016 operating results for 100% of the pool. Moody's weighted average conduit LTV is 84%. Moody's conduit component excludes loans with credit assessments, defeased and CTL loans and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 23% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 10%. Moody's actual and stressed conduit DSCRs are 1.02X and 1.46X, respectively. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. There are two performing non-defeased loans that represent 9% of the pool balance. Both loans are fully amortizing. The largest loan is the K-Mart Shopping Center -- Salt Lake City Loan ($885,500 -- 6.0% of the pool), which is secured by a single tenant retail center located in Murray, Utah. The property is 100% leased to the Kmart Corporation until May 2020. Given the single tenant exposure of this property, Moody's applied a lit dark analysis for this asset. Moody's LTV and stressed DSCR are 32% and 3.20X, respectively, compared to 30% and 3.46X at the last review. The second largest loan is the Edgewood Apartments Loan ($156,678 -- 1.1% of the pool), which is secured by a 24-unit multifamily property in Duluth, Minnesota, approximately 160 miles north of Minneapolis. The property was 100% leased as of September 2016. Moody's LTV and stressed DSCR are 14% and >4.00X, respectively, compared to 20% and >4.00X at last review. SLM STUDENT 2003-12: Fitch Cuts Class B Notes Rating to 'BBsf' -------------------------------------------------------------- Fitch Ratings has taken the following rating actions on SLM Student Loan Trust 2003-12: -- Class A-5 downgraded to 'AAsf' from 'AAAsf'; removed from Rating Watch Negative and assigned Outlook Negative; -- Class A-6 downgraded to 'AAsf' from 'AAAsf'; removed from Rating Watch Negative and assigned Outlook Negative; -- Class B downgraded to 'BBsf' from 'BBBsf'; Outlook Stable. Although Fitch's cash flow model indicated a higher rating for the class A-5 and A-6 notes, the downgrade to 'AAsf' is due to the counterparty risk introduced by the cross-currency swap. Swap documents do not contemplate swap counterparty replacement, or the appointment of a guarantor following the downgrade of the swap counterparty below minimum ratings expected by Fitch's counterparty criteria. Fitch believes that counterparty replacement, or the appointment of a guarantor, are the only viable longer term options for a counterparty of a continuation type derivative with deteriorating creditworthiness. The assessment of the materiality of the inconsistencies against any available mitigants, which included sufficient collateral posting and replacement provisions delinked from Fitch's ratings, suggested that contractual provisions could support ratings up to 'AAsf'. The downgrade of the class B notes is because the bonds did not pass Fitch's 'BBBsf' credit stress scenario. KEY RATING DRIVERS U.S. Sovereign Risk: The trust collateral comprises Federal Family Education Loan Program (FFELP) loans with guaranties provided by eligible guarantors and reinsurance provided by the U.S. Department of Education (ED) for at least 97% of principal and accrued interest. Fitch's U.S. sovereign rating is currently 'AAA'/Stable Outlook. Collateral Performance: Fitch assumes a base case default rate of 13.25% and a 39.75% default rate under the 'AAA' credit stress scenario. The base case default assumption of 13.25% implies a constant default rate of 2.4% (assuming a weighted average life of 15.2 years) consistent with the trailing 12 month (TTM) average constant default rate utilized in the maturity stresses. Fitch applies the standard default timing curve. The claim reject rate is assumed to be 0.50% in the base case and 3% in the 'AAA' case. The TTM average of deferment, forbearance, income-based repayment (prior to adjustment) and constant prepayment rate (voluntary and involuntary) are 4.7%, 8.3%, 11.1% and 8.5%, respectively, which are used as the starting point in cash flow modeling. Subsequent declines or increases are modeled as per criteria. The borrower benefit is assumed to be approximately 0.21%, based on information provided by the sponsor. Basis and Interest Rate Risk: Fitch applies its standard basis and interest rate stresses to this transaction as per criteria. Payment Structure: Credit enhancement (CE) is provided by overcollateralization, excess spread and, for the class A notes, subordination. As of September 2016, total and senior effective parity ratios (which include the reserve account) are, respectively, 100.45% (0.45% CE) and 105.28% (5.0% CE). Liquidity support is provided by a reserve account sized at the greater of 0.25% of the pool balance, and $3,759,518. Excess cash will continue to be released as long as 100% parity is maintained. Maturity Risk: Fitch's SLABS cash flow model indicates that the notes are paid in full on or prior to the legal final maturity dates under the commensurate rating scenario. Operational Capabilities: Fitch believes Navient to be an acceptable servicer, due to its extensive track record as the largest servicer of FFELP loans. CRITERIA APPLICATION Under the 'Counterparty Criteria for Structured Finance and Covered Bonds', dated Sept. 1, 2016, Fitch looks to its own ratings in analyzing counterparty risk and assessing a counterparty's creditworthiness. The definition of permitted investments for this deal allows for the possibility of using investments not rated by Fitch, which represents a criteria variation. Since the only available funds to invest are those held in the Collection Account, and the funds can only be invested for a short duration given the payment frequency of the notes, Fitch does not believe such variation has a measurable impact upon the ratings assigned. Swap documents for SLM 2003-12 do not contemplate any counterparty replacement, or the appointment of a guarantor, following downgrade of the swap counterparty below the minimum ratings expected by Fitch's counterparty criteria. In addition, collateralisation criteria are broadly in line with Fitch's expectation, in spite of lower volatility cushions than expected and no adjustments for liquidity and FX risk in collateral valuation. Fitch assessed the materiality of the inconsistencies against the available mitigants, which included sufficient collateral posting, and concluded that contractual provisions can support ratings up to 'AAsf'; this represents a criteria variation from Fitch's counterparty criteria to take into account the partial compliance of the swap documents with Fitch's criteria. RATING SENSITIVITIES 'AAAsf' rated tranches of most FFELP securitizations will likely move in tandem with the U.S. sovereign rating, given the strong linkage to the U.S. sovereign by nature of the reinsurance and SAP provided by ED. Sovereign risks are not addressed in Fitch's sensitivity analysis. Fitch conducted a CE sensitivity analysis by stressing both the related lifetime default rate and basis spread assumptions. In addition, Fitch conducted a maturity sensitivity analysis by running different assumptions for the IBR usage and prepayment rate. The results below should only be considered as one potential model implied outcome as the transaction is exposed to multiple risk factors that are all dynamic variables. Credit Stress Rating Sensitivity -- Default increase 25%: class A 'AAAsf'; class B 'BBsf'; -- Default increase 50%: class A 'AAAsf'; class B 'BBsf'; -- Basis Spread increase 0.25%: class A 'AAAsf'; class B 'BBsf'; -- Basis Spread increase 0.50%: class A 'AAAsf'; class B 'BBsf'. Maturity Stress Rating Sensitivity -- CPR decrease 50%: class A 'AAAsf'; class B 'BBsf'; -- CPR increase 100%: class A 'AAAsf'; class B 'BBBsf'; -- IBR Usage increase 100%: class A 'AAAsf'; class B 'BBBsf'; -- IBR Usage decrease 50%: class A 'AAAsf'; class B 'BBsf'. It is important to note that the stresses are intended to provide an indication of the rating sensitivity of the notes to unexpected deterioration in trust performance. Rating sensitivity should not be used as an indicator of future rating performance. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third-party due diligence was provided or reviewed in relation to this rating action. SOFI MORTGAGE 2016-1: DBRS Assigns (P)BB Rating on Cl. B4 Notes --------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the Mortgage Pass-Through Certificates, Series 2016-1 (the Certificates) issued by SoFi Mortgage Trust Series 2016-1 (the Trust) as follows: -- $124.0 million Class 1A-1 at AAA (sf) -- $124.0 million Class 1A-2 at AAA (sf) -- $124.0 million Class 1A-2X at AAA (sf) -- $112.1 million Class 1A-3 at AAA (sf) -- $112.1 million Class 1A-4 at AAA (sf) -- $112.1 million Class 1A-4X at AAA (sf) -- $84.1 million Class 1A-5 at AAA (sf) -- $84.1 million Class 1A-6 at AAA (sf) -- $84.1 million Class 1A-6X at AAA (sf) -- $28.0 million Class 1A-7 at AAA (sf) -- $28.0 million Class 1A-8 at AAA (sf) -- $28.0 million Class 1A-8X at AAA (sf) -- $11.8 million Class 1A-M at AAA (sf) -- $11.8 million Class 1A-MF at AAA (sf) -- $11.8 million Class 1A-MI at AAA (sf) -- $34.6 million Class 2A-1 at AAA (sf) -- $34.6 million Class 2A-2 at AAA (sf) -- $34.6 million Class 2A-2X at AAA (sf) -- $31.3 million Class 2A-3 at AAA (sf) -- $31.3 million Class 2A-4 at AAA (sf) -- $31.3 million Class 2A-4X at AAA (sf) -- $23.5 million Class 2A-5 at AAA (sf) -- $23.5 million Class 2A-6 at AAA (sf) -- $23.5 million Class 2A-6X at AAA (sf) -- $7.8 million Class 2A-7 at AAA (sf) -- $7.8 million Class 2A-8 at AAA (sf) -- $7.8 million Class 2A-8X at AAA (sf) -- $3.3 million Class 2A-M at AAA (sf) -- $3.3 million Class 2A-MF at AAA (sf) -- $3.3 million Class 2A-MI at AAA (sf) -- $15.1 million Class A-M at AAA (sf) -- $4.0 million Class B1 at AA (sf) -- $2.4 million Class B2 at A (sf) -- $1.2 million Class B3 at BBB (sf) -- $928.0 thousand Class B4 at BB (sf) -- $760.0 thousand Class B5 at B (sf) Classes 1A-2X, 1A-4X, 1A-6X, 1A-8X, 1A-MI, 2A-2X, 2A-4X, 2A-6X, 2A-8X and 2A-MI are interest-only certificates. The class balances represent notional amounts. Classes 1A-1, 1A-2, 1A-2X, 1A-3, 1A-4, 1A-4X, 1A-5, 1A-7, 1A-M, 2A-1, 2A-2, 2A-2X, 2A-3, 2A-4, 2A-4X, 2A-5, 2A-7, 2A-M and A-M are exchangeable certificates. These classes can be exchanged for a combination of depositable certificates as specified in the offering documents. Classes 1A-3, 1A-4, 1A-4X, 1A-5, 1A-6, 1A-6X, 1A-7, 1A-8, 1A-8X, 2A-3, 2A-4, 2A-4X, 2A-5, 2A-6, 2A-6X, 2A-7, 2A-8 and 2A-8X are super-senior certificates. These classes benefit from additional protection from senior support certificates (Classes 1A-M, 1A-MF, 2A-M, 2A-MF and A-M) with respect to loss allocation. The AAA (sf) ratings on the certificates reflect 6.05% of credit enhancement provided by subordinated certificates in the transaction. The AA (sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings reflect 3.70%, 2.30%, 1.60%, 1.05% and 0.60% of credit enhancement, respectively. Other than the specified classes above, DBRS does not rate any other classes in this transaction. The transaction is a securitization of a portfolio of first-lien, fixed-rate, prime residential mortgages. The Certificates are backed by 270 loans with a total principal balance of $168,790,946 as of the Cut-off Date (December 1, 2016). The loans are divided into two pools. Pool 1 consists of fully amortizing fixed-rate mortgages (FRMs) with original terms to maturity of 30 years, while Pool 2 consists of fully amortizing FRMs with original terms to maturity of 15 years. The loans were originated by SoFi Lending Corp. (SoFi) and are serviced by Cenlar FSB (Cenlar). CitiMortgage, Inc. (CitiMortgage) will act as the Master Servicer, and Citibank, N.A. (Citibank) will act as the Securities Administrator. Wilmington Trust, National Association will serve as Trustee, and Deutsche Bank National Trust Company will act as the custodian. SoFi is a wholly owned subsidiary of Social Finance, Inc. (SFI) that is headquartered in San Francisco. Founded in 2011, SoFi is a premium financial services platform with a unique branding and marketing strategy that targets creditworthy early career professionals, principally from graduate schools and top tier undergraduate schools. SoFi began making refinanced student loans in 2012, and as of the date of this report, SoFi has issued 12 rated term student loan ABS transactions, all of which have been rated by DBRS. Performance of these securitizations has been satisfactory to date. SoFi’s focused consumer base along with the company’s geographic location contributes to a heavy concentration of borrowers within California (77.5% of the SOFI 2016-1 pool) and particularly the San Francisco Bay Area (57.3%). SoFi underwrites loans using traditional guidelines, while also considering alternative data such as a borrower’s Free Cash Flow. SoFi began originating mortgage loans in March 2014 and has experienced one 60+ day delinquency to date. The transaction employs a senior-subordinate, shifting-interest cash flow structure that is enhanced from a pre-crisis structure. Pool 1 and Pool 2 senior certificates will be backed by collateral from each pool, respectively. The subordinate certificates will be cross-collateralized between the two pools. This is generally known as Y-Structure. The ratings reflect transactional strengths that include high-quality underlying assets, well-qualified borrowers and a satisfactory third-party due diligence review. The Originator has made certain representations and warranties concerning the mortgage loans. The enforcement mechanism for breaches of representations includes automatic breach reviews by a third-party reviewer for any seriously delinquent loans, and resolution of disputes may ultimately be subject to determination in an arbitration proceeding. DBRS views the representations and warranties features for this transaction to be consistent with previous DBRS-rated prime jumbo transactions; however, the Originator, an unrated entity, may potentially experience financial stress that could result in its inability to fulfill repurchase obligations. To capture the above perceived weakness, DBRS adjusted the originator score downward. Such an adjustment (and consequent increases in default and loss rates) is to account for the Originator’s potential inability to fulfill repurchase obligations. SOFI MORTGAGE 2016-1: Fitch Assigns 'Bsf' Rating on Class B-5 Certs ------------------------------------------------------------------- Fitch Ratings expects to rate SoFi Mortgage Trust 2016-1 (SFPMT 2016-1) as follows: -- $123,952,000 class 1A-1 exchangeable certificates 'AAAsf'; Outlook Stable; -- $123,952,000 class 1A-2 exchangeable certificates 'AAAsf'; Outlook Stable; -- $112,144,000 class 1A-3 exchangeable certificates 'AAAsf'; Outlook Stable; -- $112,144,000class 1A-4 exchangeable certificates 'AAAsf'; Outlook Stable; -- $84,108,000 class 1A-5 exchangeable certificates 'AAAsf'; Outlook Stable; -- $84,108,000class 1A-6 certificates 'AAAsf'; Outlook Stable; -- $28,036,000 class 1A-7 exchangeable certificates 'AAAsf'; Outlook Stable; -- $28,036,000 class 1A-8 exchangeable certificates 'AAAsf'; Outlook Stable; -- $11,808,000 class 1A-M exchangeable certificates 'AAAsf'; Outlook Stable; -- $11,808,000 class 1A-MF certificates 'AAAsf'; Outlook Stable; -- $34,626,000 class 2A-1 exchangeable certificates 'AAAsf'; Outlook Stable; -- $34,626,000 class 2A-2 exchangeable certificates 'AAAsf'; Outlook Stable; -- $31,328,000 class 2A-3 exchangeable certificates 'AAAsf'; Outlook Stable; -- $31,328,000 class 2A-4 exchangeable certificates 'AAAsf'; Outlook Stable; -- $23,496,000 class 2A-5 exchangeable certificates 'AAAsf'; Outlook Stable; -- $23,496,000 class 2A-6 certificates 'AAAsf'; Outlook Stable; -- $7,832,000 class 2A-7 exchangeable certificates 'AAAsf'; Outlook Stable; -- $7,832,000 class 2A-8 exchangeable certificates 'AAAsf'; Outlook Stable; -- $3,298,000 class 2A-M exchangeable certificates 'AAAsf'; Outlook Stable; -- $3,298,000 class 2A-MF certificates 'AAAsf'; Outlook Stable; -- $15,106,000 class A-M exchangeable certificates 'AAAsf'; Outlook Stable; -- $123,952,000 class 1A-2X notional exchangeable certificates 'AAAsf'; Outlook Stable; -- $112,144,000 class 1A-4X notional exchangeable certificates 'AAAsf'; Outlook Stable; -- $84,108,000 class 1A-6X notional certificates 'AAAsf'; Outlook Stable; -- $28,036,000 class 1A-8X notional certificates 'AAAsf'; Outlook Stable; -- $11,808,000 class 1A-MI notional certificates 'AAAsf'; Outlook Stable; -- $34,626,000 class 2A-2X notional exchangeable certificates 'AAAsf'; Outlook Stable; -- $31,328,000 class 2A-4X notional exchangeable certificates 'AAAsf'; Outlook Stable; -- $23,496,000class 2A-6X notional certificates 'AAAsf'; Outlook Stable; -- $7,832,000 class 2A-8X notional certificates 'AAAsf'; Outlook Stable; -- $3,298,000 class 2A-MI notional certificates 'AAAsf'; Outlook Stable; -- $3,967,000 class B-1 certificates 'AAsf'; Outlook Stable; -- $2,363,000 class B-2 certificates 'Asf'; Outlook Stable; -- $1,182,000 class B-3 certificates 'BBBsf'; Outlook Stable; -- $928,000 class B-4 certificates 'BBsf'; Outlook Stable; -- $760,000 class B-5 certificates 'Bsf'; Outlook Stable. Fitch will not be rating the following certificates: -- $1,012,946 class B-6 certificates. KEY RATING DRIVERS High-Quality Mortgage Pool (Positive): The collateral attributes of the pool are among the strongest of those securitized and rated by Fitch. The collateral pool consists of high-quality 15- and 30-year fully amortizing loans to borrowers with strong credit profiles, low leverage and adequate liquid reserves. The pool has a weighted average (WA) FICO score of 777 and an original combined loan-to-value (CLTV) ratio of 56.5%. Geographically Concentrated Pool (Concern): The pool has a relatively low number of loans (270) and is heavily concentrated in California (78%). Concentration penalties and adjustments based on deterministic tests resulted in roughly a 2.0x increase to the mortgage pool loss assumptions. New Lender (Neutral): SoFi is an online financial services provider that began mortgage loan originations in 2014. Applications are sourced exclusively through its online retail platform using a proprietary automated underwriting system (AUS) imbedded into the company's website. While originally rooted as a marketplace or peer-to-peer lender, SoFi's funding strategy has evolved to more traditional sources and is currently not materially different from many other mortgage originators. Based on a satisfactory operational assessment and a 100% due diligence review, Fitch believes industry historical data can be used as a reliable proxy to analyze the credit risk of the pool. Earthquake Risk (Concern): The pool has a high concentration of borrowers in areas that are susceptible to large-scale earthquakes. The U.S. Geological Survey estimates the chance of a 6.7 magnitude (or greater) earthquake occurring within the next 10 years to be roughly 15% for the area within 50 kilometers of the most concentrated zip code in the pool. Based on the historical experience of loans affected by the Northridge earthquake in 1994, Fitch believes investment grade classes will likely be protected against a similarly sized earthquake due to increased credit enhancement and the unusually strong credit quality of the borrowers. Solid Due Diligence Results (Positive): Loan-level due diligence reviews were conducted on 100% of the pool in accordance with Fitch's criteria. Roughly 15% of the loans received an 'A' grade and the remainder were graded 'B'. The 123 loans were assigned a grade 'B' due to nonmaterial credit findings, such as initial applications with missing/incorrect detail and mortgage history exceptions. All of these loans contained compensating factors such as large reserves, low LTV, low DTIs and high FICOs. In Fitch's view, the results of the diligence indicate acceptable controls and adherence to underwriting guidelines. Tier I Representation and Warranty Framework (Neutral): Fitch considers the transaction's representation, warranty and enforcement (RW&E) mechanism framework to be consistent with Tier I quality. While transactions with a framework identified by Fitch as Tier I may benefit from a reduction to PD to reflect lower default risk due to strong repurchase framework, no credit is being applied to the transaction due to the financial opinion of the originator as rep provider. Straightforward Deal Structure (Positive): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest Y structure with full cross collateralization, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the deal. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. High CE Floor (Positive): To mitigate tail risk, which arises as the pool seasons and fewer loans are outstanding, a subordination floor of 2.25% of the original balance will be maintained for the certificates. The 2.25% floor is one of the larger floors, on a percentage basis, seen in recent Fitch-rated transactions. Additionally, there is no early stepdown test that might allow principal prepayments to subordinate bondholders earlier than the five-year lockout schedule. CRITERIA APPLICATION The transaction was analyzed with a variation to the standard loss assumptions described in Fitch's 'U.S. RMBS Loan Loss Model Criteria' report. While the loan attributes included in this pool are well represented by the historical dataset that was used to regress the U.S. RMBS Loan Loss model, the pool is disproportionately concentrated with loans having superior credit attributes where the model's data set is more widely distributed across the credit spectrum. As a result, the model output may be slightly underestimating the default probability for these loans. To account for this risk, the loss assumptions floored the loan-level model output default probability at 5% at 'AAAsf' down to 1% at 'BBsf' and no floor at 'Bsf'. The result of this variation likely resulted in loss assumptions two notches higher than what would have been the case from model only output. RATING SENSITIVITIES Fitch's analysis incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or may be considered in the surveillance of the transaction. Three sets of sensitivity analyses were conducted at the state and national levels to assess the effect of higher MVDs for the subject pool. This defined stress sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes market value declines of 10%, 20% and 30%, in addition to the model-projected 6.9%. The analysis indicates that there is some potential rating migration with higher MVDs, compared with the model projection. Fitch also conducted sensitivities to determine the stresses to MVDs that would reduce a rating by one full category, to non-investment grade, and to 'CCCsf'. 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 Clayton Holdings LLC (Clayton). The third-party due diligence described in Form 15E focused on a compliance review, credit review and valuation review. The due diligence companies performed a review on 100% of the loans. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. Fitch believes the overall results of the review generally reflected strong underwriting controls. SPRINGLEAF FUNDING 2016-A: S&P Rates Class D Notes 'Bsf' -------------------------------------------------------- S&P Global Ratings assigned its ratings to Springleaf Funding Trust 2016-A's $532.43 million asset-backed notes series 2016-A. The note issuance is an asset-backed securities transaction backed by personal consumer loan receivables. The ratings reflect S&P's view of: -- The availability of approximately 43.9%, 37.5%, 31.7%, and 26.7% credit support to the class A, B, C, and D notes, respectively, in the form of subordination, overcollateralization, a reserve account, and excess spread. -- S&P's expectation that under a moderate ('BBB') stress scenario, the ratings on the class A, B, and C notes would remain within two rating categories of S&P's 'A+ (sf)', 'BBB (sf)', and 'BB (sf)' ratings, respectively. These potential rating movements are consistent with S&P's credit stability criteria, which outline the outer bounds of credit deterioration as equal to a two-category downgrade within the first year for 'A (sf)' through 'BB (sf)' rated securities under moderate stress conditions. -- The timely interest and full principal payments expected to be made under stressed cash flow modeling scenarios appropriate to the assigned ratings. -- The characteristics of the pool being securitized. -- The operational risks associated with Springleaf Finance Corp.'s decentralized business model. -- The uncertainty concerning the integration of OneMain's operations with OneMain Holdings Inc.'s operations. OneMain Holdings Inc. (formerly known as Springleaf Holdings Inc.) acquired OneMain from CitiFinancial Credit Co., a wholly owned subsidiary of Citigroup Inc., on Nov. 15, 2015. -- The transaction's payment and legal structures. RATINGS ASSIGNED Springleaf Funding Trust 2016-A Class Rating Type Amount (mil. $) A A+ (sf) Senior 422.81 B BBB(sf) Subordinate 45.59 C BB (sf) Subordinate 31.60 D B (sf) Subordinate 32.43 STACR 2015-DN1: DBRS Assigns 'BB' Rating on Class M-3 Notes ----------------------------------------------------------- DBRS, Inc. assigned ratings to the Debt Notes from four previously issued Structured Agency Credit Risk (STACR) transactions as follows: STACR 2015-DN1: -- $345.0 million Class M-3 at BB (sf) -- $345.0 million Class M-3F at BB (sf) -- $345.0 million Class M-3I at BB (sf) -- $478.8 million Class MA at BB (sf) STACR 2015-DNA3: -- $330.0 million Class M-3 at B (high) (sf) -- $330.0 million Class M-3F at B (high) (sf) -- $330.0 million Class M-3I at B (high) (sf) -- $824.5 million Class MA at B (high) (sf) STACR 2016-DNA3: -- $389.5 million Class M-3 at B (high) (sf) -- $199.5 million Class M-3B at B (high) (sf) STACR 2016-HQA1: -- $220.0 million Class M-3 at B (sf) -- $220.0 million Class M-3F at B (sf) -- $220.0 million Class M-3I at B (sf) -- $434.2 million Class MA at B (sf) DBRS has previously assigned ratings to some other classes in the above transactions. STACR debt notes represent unsecured general obligations of the government-sponsored enterprises (GSEs). The notes are subject to the credit and principal payment risk of a certain reference pool of residential mortgage loans held in various GSE-guaranteed mortgage-backed securities. Reference pools are divided into transactions based on original loan-to-value (LTV), low LTV and high LTV. Cash flow from the reference pools is not used to make any payments to the noteholders; instead, the GSEs are responsible for making monthly interest payments at the applicable note rate and periodic principal payments on the notes based on the actual principal payments they collect from the reference pools. Depending on the type of issuances, note writedowns may be based on a predetermined set of loss severities or actual realized losses. STRUCTURED ADJUSTABLE: Moody's Raises Rating on 2 Tranches to Caa2 ------------------------------------------------------------------ Moody's Investors Service has upgraded the ratings of three tranches backed by Prime Jumbo RMBS loans, issued by Structured Adjustable Rate Mortgage Loan Trust. Complete rating actions are: Issuer: Structured Adjustable Rate Mortgage Loan Trust, Series 2008-1 Cl. A2, Upgraded to Caa2 (sf); previously on Aug. 31, 2012, Upgraded to Caa3 (sf) Cl. A21, Upgraded to B2 (sf); previously on Aug. 31, 2012, Upgraded to Caa1 (sf) Cl. A22, Upgraded to Caa2 (sf); previously on April 12, 2010, Downgraded to C (sf) RATINGS RATIONALE The upgrade actions are primarily due to the improving performance and declining loss projections on the pool. The upgrades also reflect the faster principal payments to Class A21 owing to the transaction's principal distributions which are allocated pro rata among Classes A1, A2 and A3 and, within class A2, sequentially to Class A21 and then to Class A22. The upgrades also reflect the additional credit enhancement provided by super senior support classes Class A31 and Class A32 to class A2. 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 4.6% in November 2016 from 5.0% in November 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. SYMPHONY CLO XVIII: Moody's Assigns Ba3 Rating on Cl. E Notes ------------------------------------------------------------- Moody's Investors Service has assigned ratings to five classes of notes to be issued by Symphony CLO XVIII, Ltd. Moody's rating action is: $310,000,000 Class A Senior Floating Rate Notes due 2028, Definitive Rating Assigned Aaa (sf) $70,000,000 Class B Senior Floating Rate Notes due 2028, Definitive Rating Assigned Aa2 (sf) $28,750,000 Class C Deferrable Mezzanine Floating Rate Notes due 2028, Definitive Rating Assigned A2 (sf) $31,250,000 Class D Deferrable Mezzanine Floating Rate Notes due 2028, Definitive Rating Assigned Baa3 (sf) $20,000,000 Class E Deferrable Mezzanine Floating Rate Notes due 2028, Definitive Rating Assigned Ba3 (sf) The Class A Notes, the Class B Notes, the Class C Notes, the Class D Notes and the Class E Notes are referred to herein, collectively, as the "Rated Notes." 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. Symphony XVIII is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated first-lien senior secured corporate loans. At least 90% of the portfolio must consist of senior secured loans and eligible investments, and up to 10% of the portfolio may consist of second-lien loans and unsecured loans. The portfolio was approximately 70% ramped as of the closing date. Symphony Asset Management LLC (Manager) will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's four-and-a-half year reinvestment period. Thereafter, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets, subject to certain restrictions. In addition to the Rated Notes, the Issuer will issue subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in October 2016. For modeling purposes, Moody's used these base-case assumptions: Par amount: $500,000,000 Diversity Score: 60 Weighted Average Rating Factor (WARF): 2899 Weighted Average Spread (WAS): 3.80% Weighted Average Coupon (WAC): 7.50% Weighted Average Recovery Rate (WARR): 47.5% Weighted Average Life (WAL): 8 years. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in October 2016. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. Together with the set of modeling assumptions above, Moody's conducted an additional sensitivity analysis, which was a component in determining the ratings assigned to the Rated Notes. This sensitivity analysis includes increased default probability relative to the base case. Below is a summary of the impact of an increase in default probability (expressed in terms of WARF level) on the Rated Notes (shown in terms of the number of notch difference versus the current model output, whereby a negative difference corresponds to higher expected losses), assuming that all other factors are held equal: Percentage Change in WARF -- increase of 15% (from 2899 to 3334) Rating Impact in Rating Notches Class A Notes: 0 Class B Notes: -2 Class C Notes: -2 Class D Notes: -1 Class E Notes: 0 Percentage Change in WARF -- increase of 30% (from 2899 to 3769) Rating Impact in Rating Notches Class A Notes: -1 Class B Notes: -3 Class C Notes: -4 Class D Notes: -2 Class E Notes: -1 TACONIC PARK: Moody's Assigns Ba3 Rating to Class D Notes --------------------------------------------------------- Moody's Investors Service has assigned ratings to five classes of notes issued by Taconic Park CLO, Ltd. Moody's rating action is as follows: U.S.$325,000,000 Class A-1 Senior Secured Floating Rate Notes due 2029 (the "Class A-1 Notes"), Assigned Aaa (sf) U.S.$55,000,000 Class A-2 Senior Secured Floating Rate Notes due 2029 (the "Class A-2 Notes"), Assigned Aa2 (sf) U.S.$28,000,000 Class B Secured Deferrable Floating Rate Notes due 2029 (the "Class B Notes"), Assigned A2 (sf) U.S.$32,000,000 Class C Secured Deferrable Floating Rate Notes due 2029 (the "Class C Notes"), Assigned Baa3 (sf) U.S.$20,000,000 Class D Secured Deferrable Floating Rate Notes due 2029 (the "Class D Notes"), Assigned Ba3 (sf) The Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the Class C Notes and the Class D Notes are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE Moody's ratings of the Rated Notes address the expected losses posed to noteholders. The ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. Taconic Park CLO is a managed cash flow CLO. The Rated Notes will be collateralized primarily by broadly syndicated first lien senior secured corporate loans. At least 90% of the portfolio must consist of senior secured loans, cash, and eligible investments, and up to 10% of the portfolio may consist of second lien loans and unsecured loans. The portfolio is approximately 75% ramped as of the closing date. GSO/Blackstone Debt Funds Management LLC will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets, subject to certain restrictions. In addition to the Rated Notes, the Issuer issued one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in October 2016. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $500,000,000 Diversity Score: 60 Weighted Average Rating Factor (WARF): 2800 Weighted Average Spread (WAS): 3.75% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 47.5% Weighted Average Life (WAL): 9 years. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in October 2016. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. Together with the set of modeling assumptions above, Moody's conducted an additional sensitivity analysis, which was a component in determining the ratings assigned to the Rated Notes. This sensitivity analysis includes increased default probability relative to the base case. Below is a summary of the impact of an increase in default probability (expressed in terms of WARF level) on the Rated Notes (shown in terms of the number of notch difference versus the current model output, whereby a negative difference corresponds to higher expected losses), assuming that all other factors are held equal: Percentage Change in WARF -- increase of 15% (from 2800 to 3220) Rating Impact in Rating Notches Class A-1 Notes: 0 Class A-2 Notes: -2 Class B Notes: -2 Class C Notes: -1 Class D Notes: 0 Percentage Change in WARF -- increase of 30% (from 2800 to 3640) Rating Impact in Rating Notches Class A-1 Notes: -1 Class A-2 Notes: -3 Class B Notes: -4 Class C Notes: -2 Class D Notes: -1 TOWD POINT 2016-5: DBRS Rates Class B2 Notes 'B(sf)' ---------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following Asset Backed Securities, Series 2016-5 (the Notes) issued by Towd Point Mortgage Trust 2016-5 (the Trust): -- $349.5 million Class A1 at AAA (sf) -- $35.3 million Class A2 at AA (sf) DBRS has also assigned ratings to the following Notes issued by the Trust: -- $30.9 million Class M1 at A (sf) -- $27.1 million Class M2 at BBB (sf) -- $23.3 million Class B1 at BB (sf) -- $19.5 million Class B2 at B (sf) These rating actions are the result of DBRS applying its updated “RMBS Insight 1.2: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology” published in November 2016. The AAA (sf) ratings on the Notes reflect the 35.60% of credit enhancement provided by subordinated Notes in the pool. The AA (sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings reflect credit enhancement of 29.10%, 23.40%, 18.40%, 14.10% and 10.50%, respectively. Other than the specified classes above, DBRS does not rate any other classes in this transaction. This transaction is a securitization of a portfolio of seasoned performing and re-performing first-lien residential mortgages. The Notes are backed by approximately 2,498 loans with a total principal balance of $542,736,293 as of the Cut-Off Date (November 30, 2016). As of the Statistical Calculation Date (October 31, 2016), the portfolio contains approximately 2,517 loans with a total principal balance of $550,277,424. All the below statistics regarding the mortgage loans are based on the Statistical Calculation Date. The portfolio contains 77.8% modified loans. Within the pool, 548 mortgages have non-interest-bearing deferred amounts, which equates to 3.9% of the total principal balance as of the Cut-Off Date. The modifications happened more than two years ago for 93.5% of the modified loans. The loans are approximately 115 months seasoned. The pool has 104 mortgages that have a current or prior delinquency related to a servicing transfer. After excluding delinquencies that may be related to servicing transfers, all loans (100.0%) were current as of the Statistical Calculation Date, including 0.8% bankruptcy-performing loans. Approximately 69.2% of the mortgage loans have been zero times 30 days delinquent (0 x 30) for at least the past 24 months under both the Office of Thrift Supervision (OTS) and Mortgage Bankers Association (MBA) delinquency methods. In accordance with the CFPB Qualified Mortgage (QM) rules, 3.0% of the loans are designated as QM Safe Harbor, 0.5% as QM Rebuttable Presumption and 0.1% as non-QM. Approximately 96.4% of the loans are not subject to the QM rules. FirstKey Mortgage, LLC (FirstKey) will acquire the loans from various transferring trusts on or prior to the Closing Date. The transferring trusts acquired the mortgage loans between 2013 and 2016 and are beneficially owned by both the Responsible Party and other funds managed by affiliates of Cerberus Capital Management, L.P. Upon acquiring the loans from the transferring trusts, FirstKey, through a wholly owned subsidiary, Towd Point Asset Funding, LLC, will contribute loans to the Trust. As the Sponsor, FirstKey, through a majority-owned affiliate, will acquire and retain a 5% eligible vertical interest in each class of securities to be issued (other than any residual certificates) to satisfy the credit risk retention requirements. These loans were originated and previously serviced by various entities through purchases in the secondary market. As of the Cut-Off Date, all loans are serviced by Select Portfolio Servicing, Inc. There will not be any advancing of delinquent principal or interest on any mortgages by the servicer or any other party to the transaction; however, the servicer is obligated to make advances in respect of taxes and insurance, reasonable costs and expenses incurred in the course of servicing and disposing of properties. FirstKey, as the Asset Manager, has the option to sell certain non-performing loans or real estate owned (REO) properties to unaffiliated third parties individually or in bulk sales. The asset sale price has to equal a minimum reserve amount to maximize liquidation proceeds of such loans or properties. The transaction employs a sequential-pay cash flow structure. Principal proceeds can be used to cover interest shortfalls on the Notes, but such shortfalls on Class M1 and more subordinate bonds will not be paid until the more senior classes are retired. The ratings reflect transactional strengths that include underlying assets that have generally performed well through the crisis, strong servicers and Asset Manager oversight. Additionally, a satisfactory third-party due diligence review was performed on the portfolio with respect to regulatory compliance, payment history and data capture as well as title and tax review. Servicing comments were reviewed for a sample of loans. Updated broker price opinions or exterior appraisals were provided for 100.0% of the pool; however, a reconciliation was not performed on the updated values. The transaction employs a relatively weak representations and warranties framework that includes a 13-month sunset, an unrated representation provider (FirstKey) with a backstop by an unrated entity (Cerberus Global Residential Mortgage Opportunity Fund, L.P.), certain knowledge qualifiers and fewer mortgage loan representations relative to DBRS criteria for seasoned pools. Mitigating factors include (1) significant loan seasoning and relative clean performance history in recent years, (2) a comprehensive due diligence review and (3) a strong representations and warranties enforcement mechanism, including delinquency review trigger and breach reserve accounts. The lack of principal and interest advances on delinquent mortgages may increase the possibility of periodic interest shortfalls to the Noteholders; however, principal proceeds can be used to pay interest to the Notes sequentially and subordination levels are greater than expected losses, which may provide for timely payment of interest to the rated Notes. The DBRS ratings of AAA (sf) and AA (sf) address the timely payment of interest and full payment of principal by the legal final maturity date in accordance with the terms and conditions of the related Notes. The DBRS ratings of A (sf), BBB (sf), BB (sf) and B (sf) address the ultimate payment of interest and full payment of principal by the legal final maturity date in accordance with the terms and conditions of the related Notes. TOWD POINT 2016-5: Fitch Assigns 'BBsf' Rating on Class B1 Notes ---------------------------------------------------------------- Fitch Ratings assigns ratings to Towd Point Mortgage Trust 2016-5 (TPMT 2016-5) as follows: -- $349,522,000 class A1 notes 'AAAsf'; Outlook Stable; -- $35,278,000 class A2 notes 'AAsf'; Outlook Stable; -- $30,936,000 class M1 notes 'Asf'; Outlook Stable; -- $27,136,000 class M2 notes 'BBBsf'; Outlook Stable; -- $23,338,000 class B1 notes 'BBsf'; Outlook Stable; -- $19,538,000 class B2 notes 'Bsf'; Outlook Stable. The following classes will not be rated by Fitch: -- $14,654,000 class B3 notes; -- $21,167,000 class B4 notes; -- $21,167,292 class B5 notes. The notes are supported by one collateral group that consisted of 2,498 seasoned performing and re-performing mortgages with a total balance of approximately $542.7 million (which includes $21 million, or 3.88%, of the aggregate pool balance in non-interest-bearing deferred principal amounts) as of the cut-off date. The 'AAAsf' rating on the class A1 notes reflects the 35.60% subordination provided by the 6.50% class A2, 5.70% class M1, 5.00% class M2, 4.30% class B1, 3.60% class B2, 2.70% class B3, 3.90% class B4 and 3.90% class B5 notes. Fitch's ratings on the class notes reflect the credit attributes of the underlying collateral, the quality of the servicer: Select Portfolio Servicing, Inc. (SPS, rated 'RPS1-'), and the representation (rep) and warranty framework, minimal due diligence findings and the sequential pay structure. KEY RATING DRIVERS Distressed Performance History (Concern): The collateral pool consists primarily of peak-vintage seasoned re-performing loans (RPLs), including loans that have been paying for the past 24 months, which Fitch identifies as "clean current" (71%), and loans that have recent delinquencies or incomplete paystrings, identified as "dirty current" (29%). Since the statistical cut-off date, a number of loans have rolled 30 days delinquent; 77.8% of the loans have received modifications. Due Diligence Compliance Findings (Concern): The third-party review (TPR) firm's due diligence review resulted in approximately 10.5% 'C' and 'D' graded loans. For 61 loans, the due diligence results showed issues regarding high cost testing - the loans were either missing the final HUD1 or used alternate documentation to test - and therefore a slight upward revision to the model output loss severity (LS) was applied, as further described in the Third-Party Due Diligence section beginning on page 6. In addition, timelines were extended on 165 loans that were missing final modification documents. Servicing Transfer Risk (Concern): At the time of the initial analysis, Fitch was notified that approximately 38% of the pool had not yet been transferred to Select Portfolio Servicing, Inc. (SPS) and that an increase in delinquency related to the transfer was to be expected. Fitch increased its loss expectations by 25 bps to reflect the increase in risk. After the servicing transfer was completed, approximately 4% of the pool is delinquent using the MBA delinquency reporting method (0% is delinquent using the OTS reporting method). Fitch believes the delinquency is temporary and that the initial 25-bp increase is sufficient to mitigate the risk. No Servicer P&I Advances (Mixed): The servicer will not be advancing delinquent monthly payments of P&I, which reduces liquidity to the trust. However, as P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust, the loan-level LS are less for this transaction than for those where the servicer is obligated to advance P&I. Structural provisions and cash flow priorities, together with increased subordination, provide for timely payments of interest to the 'AAAsf' and 'AAsf' rated classes. Sequential-Pay Structure (Positive): The transaction's cash flow is based on a sequential-pay structure whereby the subordinate classes do not receive principal until the senior class is repaid in full. Losses are allocated in reverse-sequential order. Furthermore, the provision to re-allocate principal to pay interest on the 'AAAsf' and 'AAsf' rated notes prior to other principal distributions is highly supportive of timely interest payments to those classes, in the absence of servicer advancing. Limited Life of Rep Provider (Concern): FirstKey Mortgage, LLC (FirstKey), as rep provider, will only be obligated to repurchase a loan due to breaches prior to the payment date in January 2018. Thereafter, a reserve fund will be available to cover amounts due to noteholders for loans identified as having rep breaches. Amounts on deposit in the reserve fund, as well as the increased level of subordination, will be available to cover additional defaults and losses resulting from rep weaknesses or breaches occurring on or after the payment date in January 2018. If FirstKey does not fulfill its obligation to repurchase a mortgage loan due to a breach, Cerberus Global Residential Mortgage Opportunity Fund, L.P. (the responsible party) will repurchase the loan. Tier 2 Representation Framework (Concern): Fitch considers the representation, warranty, and enforcement (RW&E) mechanism construct for this transaction to be consistent with what it views as a Tier 2 framework, due to the inclusion of knowledge qualifiers and the exclusion of loans from certain reps as a result of third-party due diligence findings. Thus, Fitch increased its 'AAAsf' loss expectations by roughly 229 bps to account for a potential increase in defaults and losses arising from weaknesses in the reps. Timing of Recordation and Document Remediation (Neutral): An updated title and tax search, as well as a review to confirm that the mortgage and subsequent assignments were recorded in the relevant local jurisdiction, was also performed. Per the representations provided in the transaction documents, all loans have either all been recorded in the appropriate jurisdiction, are in the process of being recorded, or will be sent for recordation within 12 months of the closing date. While the expected timelines for recordation and remediation are viewed by Fitch as reasonable, Fitch believes that FirstKey's oversight for completion of these activities serves as a strong mitigant to potential delays. In addition, the obligation of FirstKey or Cerberus Global Residential Mortgage Opportunity Fund, L.P. to repurchase loans for which assignments are not recorded and endorsements are not completed by the payment date in January 2018, aligns the issuer's interests regarding completing the recordation process with those of noteholders. Clean Current Loans (Positive): Fitch's analysis of loans that have had clean pay histories for 24 months or more found that, for these loans, its loan loss model projected a probability of default (PD) that was more punitive than that indicated by actual delinquency roll rate projections. To account for this difference, Fitch reduced the pool's lifetime default expectations by approximately 9.3%. Deferred Amounts (Concern): Non-interest-bearing principal forbearance amounts totaling $21.04 million (3.88%) of the unpaid principal balance) are outstanding on 548 loans. Fitch included the deferred amounts when calculating the borrower's LTV and sLTV despite the lower payment and amounts not being owed during the term of the loan. The inclusion resulted in higher PDs and LS than if there were no deferrals. Fitch believes that borrower default behavior for these loans will resemble that of the higher LTVs, as exit strategies (that is, sale or refinancing) will be limited relative to those borrowers with more equity in the property. Solid Alignment of Interest (Positive): A majority-owned affiliate of FirstKey will acquire and retain a 5% eligible vertical interest in each class of the securities to be issued. CRITERIA APPLICATION Fitch's analysis incorporated one criteria variation from the "U.S. RMBS Seasoned and Re-performing Loan Criteria" as described below. The variation is non-application of a default penalty to income documentation for loans with less than full income documentation that are over five-years seasoned. Fitch conducted analysis comparing the performance between loans that were full documentation and non-full documentation at origination. The analysis showed that after five years of seasoning, the performance was similar. The impact on the loss expectations from application of this variation resulted in lower loss expectations of roughly 100 bps depending on the rating category. RATING SENSITIVITIES Fitch's analysis incorporates sensitivity analyses to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at both the metropolitan statistical area (MSA) and national levels. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or be considered in the surveillance of the transaction. Fitch conducted sensitivity analysis determining how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20%, and 30%, in addition to the model-projected 37.4% at 'AAAsf'. The analysis indicates there is some potential rating migration with higher MVDs, compared with the model projection. Fitch also conducted sensitivities to determine the stresses to MVDs that would reduce a rating by one full category, to non-investment grade, and to 'CCCsf'. 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 WestCor Land Title Insurance Company (WestCor), Clayton Holdings LLC, and American Mortgage Consultants (AMC)/JCIII & Associates, Inc. (JCIII). The third-party due diligence described in Form 15E focused on: regulatory compliance, pay history, servicing comments, the presence of key documents in the loan file and data integrity. In addition, Westcor and AMC were retained to perform an updated title and tax search, as well as a review to confirm that the mortgages were recorded in the relevant local jurisdiction and the related assignment chains. A regulatory compliance and data integrity review was completed on 100% of the pool. A pay history review was conducted on 100% of the pool, and a servicing comment review was completed on the loans which have experienced a delinquency in the past 12 months. Fitch considered this information in its analysis and based on the findings, Fitch made minor adjustments to its analysis: Fitch made an adjustment on 61 loans that were subject to federal, state, and/or local predatory testing. These loans contained material violations including an inability to test for high cost violations or confirm compliance, which could expose the trust to potential assignee liability. These loans were marked as "indeterminate". Typically the HUD issues are related to missing the Final HUD, illegible HUDs, incomplete HUDs due to missing pages, or only having estimated HUDs. The final HUD1 was not used to test for High Cost loans. To mitigate this risk, Fitch assumed a 100% LS for loans in the states that fall under Freddie Mac's do not purchase list of "high cost" or "high risk". Ten loans were affected by this approach. For the remaining 51 loans, where the properties are not located in the states that fall under Freddie Mac's do not purchase list, the likelihood of all remaining loans being high cost is low. "However, we assume the trust could potentially incur notable legal expenses. Fitch increased its loss severity expectations by 5% for these loans to account for the risk." Fitch said. There were 165 loans missing modification documents or a signature on modification documents. For these loans, timelines were extended by an additional three months, in addition to the six-month timeline extension applied to the entire pool. WACHOVIA BANK 2004-C15: Moody's Affirms Caa1 Rating on Cl. F Debt ----------------------------------------------------------------- Moody's Investors Service upgraded one class and affirmed four classes in Wachovia Bank Commercial Mortgage Trust 2004-C15, Commercial Mortgage Pass-Through Certificates, Series 2004-C15 as follows: -- Cl. E, Upgraded to A1 (sf); previously on Jun 9, 2016 Affirmed Baa2 (sf) -- Cl. F, Affirmed Caa1 (sf); previously on Jun 9, 2016 Downgraded to Caa1 (sf) -- Cl. G, Affirmed C (sf); previously on Jun 9, 2016 Downgraded to C (sf) -- Cl. H, Affirmed C (sf); previously on Jun 9, 2016 Downgraded to C (sf) -- Cl. X-C, Affirmed Caa3 (sf); previously on Jun 9, 2016 Downgraded to Caa3 (sf) RATINGS RATIONALE The rating on one P&I class was upgraded primarily due to an increase in credit support since Moody's last review, resulting from paydowns and amortization, as well as a significant increase in defeasance. The pool has paid down by 31% since Moody's last review. In addition, defeasance now makes up 26.5% of the current pool balance, compared to 9% at the last review. The ratings on three P&I classes were affirmed because the ratings are consistent with Moody's expected loss. The rating on the IO class was affirmed based on the credit performance (or the weighted average rating factor or WARF) of the referenced classes. Moody's rating action reflects a base expected loss of 61% of the current balance, compared to 56% at Moody's last review. Moody's base expected loss plus realized losses is now 6.1% of the original pooled balance, compared to 6.2% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in October 2015. DESCRIPTION OF MODELS USED Moody's analysis used the excel-based Large Loan Model. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan-level proceeds derived from Moody's loan-level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure and property type. Moody's also further adjusts these aggregated proceeds for any pooling benefits associated with loan level diversity and other concentrations and correlations. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 2, compared to 4 at Moody's last review. DEAL PERFORMANCE As of the November 18, 2016 distribution date, the transaction's aggregate certificate balance has decreased by 97% to $41.5 million from $1.15 billion at securitization. The certificates are collateralized by five mortgage loans ranging in size from 5% to 38.8% of the pool. Two loans, constituting 26.5% of the pool, have defeased and are secured by US government securities. Seven loans have been liquidated from the pool, resulting in an aggregate realized loss of $49.3 million (for an average loss severity of 41%). Two loans, constituting 68.5% of the pool, are currently in special servicing. The largest specially serviced loan is the 4 Sylvan Way Loan ($13.7 million -- 38.8% of the pool), which is secured by a 105,140 SF office building located in Parsippany, New Jersey. As of February 2016, the property was 100% leased to T-Mobile through May 2017. The loan transferred to the special servicing in August 2014 due to imminent maturity default. The property has been REO since September 2015. The second largest specially serviced loan is the 10 East Baltimore Street Loan ($10.5 million -- 29.7% of the pool), which is secured by a 168,400 SF office building in Baltimore, Maryland's central business district. As of December 2016, the property was 64% occupied. The property transferred to special servicing in March 2013 due to imminent default. The property became REO in August 2014. Moody's estimates an aggregate $21.6 million loss for the specially serviced loans. The non-defeased performing loan is the CVS-Cedar Park, Texas Loan ($1.8 million -- 5.0% of the pool), which is secured by a former single tenant CVS property that has since been sublet to Goodwill. The property is located in Cedar Park Texas. The loan matures in September 2024 and is fully amortizing. Moody's LTV and stressed DSCR are 77% and 1.30X, respectively. WACHOVIA BANK 2006-C28: Moody's Hikes Cl. A-J Debt Rating to Ba3 ---------------------------------------------------------------- Moody's Investors Service has upgraded the rating on one class, affirmed the ratings on five classes and downgraded the rating on one class in Wachovia Bank Commercial Mortgage Trust 2006-C28, Commercial Mortgage Pass-Through Certificates, Series 2006-C28 as: Cl. A-J, Upgraded to Ba3 (sf); previously on April 28, 2016, Upgraded to B1 (sf) Cl. B, Affirmed Caa1 (sf); previously on April 28, 2016, Affirmed Caa1 (sf) Cl. C, Affirmed Caa2 (sf); previously on April 28, 2016, Affirmed Caa2 (sf) Cl. D, Affirmed Caa3 (sf); previously on April 28, 2016, Affirmed Caa3 (sf) Cl. E, Affirmed C (sf); previously on April 28, 2016, Affirmed C (sf) Cl. F, Affirmed C (sf); previously on April 28, 2016, Affirmed C (sf) Cl. IO, Downgraded to Caa2 (sf); previously on April 28, 2016, Affirmed B1 (sf) RATINGS RATIONALE The rating on one P&I class was upgraded based primarily on an increase in credit support resulting from loan paydowns and amortization. The deal has paid down 79% since Moody's last review. The ratings on five P&I classes were affirmed because the ratings are consistent with Moody's expected loss. The rating on the IO Class was downgraded due to the decline in the credit performance of its reference classes resulting from principal paydowns of higher quality reference classes. Moody's rating action reflects a base expected loss of 23.0% of the current balance, compared to 7.6% at Moody's last review. Moody's base expected loss plus realized losses is now 10.2% of the original pooled balance, compared to 11.9% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The methodologies used in these ratings were "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in December 2014, and "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in October 2015. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 76% of the pool is in special servicing and performing conduit loans only represent 18% of the pool. In this approach, Moody's determines a probability of default for each specially serviced loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss from specially serviced loans to the most junior class(es) and the recovery as a pay down of principal to the most senior class(es). DESCRIPTION OF MODELS USED Moody's review used the excel-based CMBS Conduit Model, which it uses for both conduit and fusion transactions. Credit enhancement levels for conduit loans are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate Moody's uses to estimate Moody's value). Moody's fuses the conduit results with the results of its analysis of investment grade structured credit assessed loans and any conduit loan that represents 10% or greater of the current pool balance. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of nine, compared to a Herf of 23 at Moody's last review. When the Herf falls below 20, Moody's uses the excel-based Large Loan Model and then reconciles and weights the results from the conduit and large loan models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan-level proceeds derived from Moody's loan-level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type and sponsorship. Moody's also further adjusts these aggregated proceeds for any pooling benefits associated with loan level diversity and other concentrations and correlations. DEAL PERFORMANCE As of the Nov. 18, 2016, distribution date, the transaction's aggregate certificate balance has decreased by 88% to $433 million from $3.60 billion at securitization. The certificates are collateralized by 25 mortgage loans ranging in size from less than 1% to 23% of the pool. Five loans, constituting 15% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Thirty-eight loans have been liquidated from the pool with a loss to the trust, resulting in an aggregate realized loss of $265.8 million (for an average loss severity of 39%). Thirteen loans, constituting 76% of the pool, are currently in special servicing. The largest specially serviced loan is the 500-512 Seventh Avenue Loan ($97.9 million -- 22.6% of the pool), which represents a 50% pari-passu interest in a first mortgage loan. The loan is secured by a leasehold interest in three office buildings totaling 1.2 million square feet (SF). The buildings are located in the Garment District of Midtown Manhattan, New York. The loan transferred to special servicing in September 2016 due to a maturity default. The properties were 68% leased as of June 2016, compared to 90% as of November 2014. The remaining 12 specially serviced loans are secured by a mix of property types. Moody's estimates an aggregate $86 million loss for the specially serviced loans (26% expected loss on average). Moody's has assumed a high default probability for four poorly performing loans, constituting 7% of the pool, and has estimated an aggregate loss of $13 million (a 44% expected loss based on a 68% probability default) from these troubled loans. As of the November 18, 2016 remittance statement monthly interest shortfalls were approximately $332,000 and total unpaid interest was $19.2 million. Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced loans and/or modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. Moody's received full year 2015 operating results for 100% of the pool and partial year 2016 operating results for 95% of the pool. Moody's weighted average conduit LTV is 95%, compared to 97% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 11% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 10%. Moody's actual and stressed conduit DSCRs are 1.65X and 1.11X, respectively, compared to 1.41X and 1.07X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The top three loans not in special servicing represent 18% of the pool balance. The largest loan is the ITC Crossing South Shopping Center Loan ($41.7 million -- 9.6% of the pool), which is secured by an open air shopping center anchored by Wal-Mart (non-collateral), Lowe's, Babies R' Us, Bed Bath & Beyond and TJ Maxx. The property is located in Flanders, New Jersey approximately 35 miles northwest of Newark, New Jersey. The property was 100% leased as of September 2016. Moody's LTV and stressed DSCR are 100% and 1.02X, respectively, the same as at the last review. The second largest loan is the 135 Crossways Park Drive -- A Note ($18.0 million -- 4.2% of the pool), which is secured by a 121,631 SF office property located on Long Island approximately 30 miles east of Manhattan. The property was 100% leased as of September 2016. In 2011, this loan was split into an A Note and a B Note, both of which are part of the pooled balance. In the event that there is no default, the outstanding principal balance of the B Note and all accrued and unpaid interest will be forgiven. Moody's treats the B Note (but not the A Note) as a troubled loan. Moody's A Note LTV and stressed DSCR are 91% and 1.12X, respectively, the same as at the last review. The third largest loan is the Hughes Plaza West Loan ($16.2 million -- 3.7% of the pool), which is secured by a 71,546 SF low-rise office located in Las Vegas, Nevada. The property is located about 10 miles west of the Las Vegas strip and was constructed in 2005. The property was 96% leased as of September 2016. However, NOI has remained fairly low in 2014 and 2015. Moody's has treated this as a troubled loan. Moody's LTV and stressed DSCR are 142% and 0.76X, respectively, compared to 182% and 0.59X at the last review. WACHOVIA BANK 2006-C29: Moody's Affirms B3 Rating on Cl. A-J Certs ------------------------------------------------------------------ Moody's Investors Service has upgraded the rating on one class, affirmed the ratings on six classes and downgraded the ratings on four classes in Wachovia Bank Commercial Mortgage Trust Pass-Through Certificates, Series 2006-C29 as: Cl. A-M, Upgraded to Aa3 (sf); previously on July 7, 2016, Upgraded to A2 (sf) Cl. A-J, Affirmed B3 (sf); previously on July 7, 2016, Affirmed B3 (sf) Cl. B, Affirmed Caa1 (sf); previously on July 7, 2016, Affirmed Caa1 (sf) Cl. C, Downgraded to Caa3 (sf); previously on July 7, 2016, Affirmed Caa2 (sf) Cl. D, Downgraded to C (sf); previously on July 7, 2016, Affirmed Caa3 (sf) Cl. E, Downgraded to C (sf); previously on July 7, 2016, Affirmed Ca (sf) Cl. F, Affirmed C (sf); previously on Jul 7, 2016 Affirmed C (sf) Cl. G, Affirmed C (sf); previously on July 7, 2016, Affirmed C (sf) Cl. H, Affirmed C (sf); previously on July 7, 2016, Affirmed C (sf) Cl. J, Affirmed C (sf); previously on July 7, 2016, Affirmed C (sf) Cl. IO, Downgraded to Caa2 (sf); previously on July 7, 2016, z Downgraded to B1 (sf) RATINGS RATIONALE The rating on one P&I class was upgraded based primarily on an increase in credit support resulting from loan paydowns and amortization. The deal has paid down 72% since Moody's last review. The ratings on two P&I classes were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The ratings on four P&I classes were affirmed because the ratings are consistent with Moody's expected loss. The ratings on three P&I classes were downgraded due to the imminency of anticipated losses from specially serviced and troubled loans. The rating on the IO Class was downgraded due to the decline in the credit performance of its reference classes resulting from principal paydowns of higher quality reference classes. Moody's rating action reflects a base expected loss of 43.1% of the current balance, compared to 13.1% at Moody's last review. Moody's base expected loss plus realized losses is now 10.9% of the original pooled balance, compared to 11.3% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255 FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The methodologies used in these ratings were "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in December 2014 and "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in October 2015. DESCRIPTION OF MODELS USED Moody's review used the excel-based CMBS Conduit Model, which it uses for both conduit and fusion transactions. Credit enhancement levels for conduit loans are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate Moody's uses to estimate Moody's value). Moody's fuses the conduit results with the results of its analysis of investment grade structured credit assessed loans and any conduit loan that represents 10% or greater of the current pool balance. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 13, compared to a Herf of 28 at Moody's last review. When the Herf falls below 20, Moody's uses the excel-based Large Loan Model and then reconciles and weights the results from the conduit and large loan models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan-level proceeds derived from Moody's loan-level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type and sponsorship. Moody's also further adjusts these aggregated proceeds for any pooling benefits associated with loan level diversity and other concentrations and correlations. DEAL PERFORMANCE As of the Nov. 18, 2016, distribution date, the transaction's aggregate certificate balance has decreased by 82% to $598 million from $3.37 billion at securitization. The certificates are collateralized by 32 mortgage loans ranging in size from less than 1% to 17% of the pool, with the top ten loans constituting 68% of the pool. Two loans, constituting 4% of the pool, have defeased and are secured by US government securities. Sixteen loans, constituting 52% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Twenty-two loans have been liquidated from the pool at a loss, resulting in an aggregate realized loss of $113.7 million (for an average loss severity of 37%). Twelve loans, constituting 33% of the pool, are currently in special servicing. The largest specially serviced loan is the New Market Pool Loan ($34.8 million -- 5.9% of the pool), which is secured by a portfolio of six Class-B office buildings totaling 470,000 square feet (SF) located in Marietta, Georgia. The buildings were developed from 1981 to 1986. The loan transferred to special servicing in December 2010 due to imminent default and became real estate owned (REO) in December 2013. The remaining 11 specially serviced loans are secured by a mix of property types. Moody's estimates an aggregate $136.7 million loss for the specially serviced loans (71% expected loss on average). Moody's has assumed a high default probability for five poorly performing loans, constituting 27% of the pool, and has estimated an aggregate loss of $90.9 million (a 57% expected loss based on an 82% probability default) from these troubled loans. As of the Nov. 18, 2016, remittance statement monthly interest shortfalls were $1.28 million and cumulative unpaid interest was $64.5 million. Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced loans and modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. Moody's received full year 2015 operating results for 100% of the pool and partial year 2016 operating results for 87% of the pool. Moody's weighted average conduit LTV is 118%, compared to 99% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 6% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9%. Moody's actual and stressed conduit DSCRs are 1.26X and 0.91X, respectively, compared to 1.61X and 1.05X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The top three loans not in special servicing represent 31% of the pool balance. The largest loan is the 21-25 West 34th Street Loan ($100.0 million -- 16.9% of the pool), which is secured by a single tenant retail property in New York, New York located near Herald Square. The property is 100% leased by Apple Corp., but is 100% vacant as Apple never moved into the space. Rental payments under the lease commenced in February 2007 and the 15-year term runs through January 2022. Moody's LTV and stressed DSCR are 134% and 0.68X, respectively, compared to 139% and 0.66X at the last review. The second largest loan is the Renaissance Tower Office Building -- A Note ($57.0 million -- 9.7% of the pool), which is secured by a Class A office tower located in the Dallas CBD. The property was 60% leased as of September 2016, compared to 56% as of December 2015 and 55% as of December 2014. The loan was modified in February 2013 to create an A Note and a B Note. The B Note is held within the pool and is $60.0 million -- 10.1% of the pool. Moody's analysis treats both the A Note and B Note as troubled loans. The third largest loan is the Barry Woods Crossings Shopping Centre Retail Loan ($28.2 million -- 4.8% of the pool), which is secured by a movie theater anchored retail center located in Kansas City, Missouri. The property is located near a Wal-Mart, Target and other retail centers in close proximity. The property was 93% leased as of August 2016. Moody's LTV and stressed DSCR are 121% and 0.83X, respectively, compared to 121% and 0.82X at the last review. WACHOVIA BANK 2007-C34: S&P Raises Rating on Cl. E Certs to B- -------------------------------------------------------------- S&P Global Ratings raised its ratings on eight classes of commercial mortgage pass-through certificates from Wachovia Bank Commercial Mortgage Trust 2007-C34, a U.S. commercial mortgage-backed securities (CMBS) transaction. In addition, S&P affirmed its ratings on two other classes from the same transaction. S&P's rating actions on the principal- and interest-paying certificates follow its analysis of the transaction, primarily using its criteria for rating U.S. and Canadian CMBS transactions, which included a review of the credit characteristics and performance of the remaining assets in the pool, the transaction's structure, and the liquidity available to the trust. The raised ratings on classes A-3 through E reflect the reduced pool trust balance, the increase in defeasance by 28% ($304.2 million), and S&P's expectation of the credit enhancement available to the classes, which S&P believes is greater than its estimates of the credit enhancement necessary at the most recent rating levels. It also reflects S&P's view of the collateral's current and future performance. The affirmation on the class F certificates reflects S&P's concern about interest shortfalls from the 11 assets ($224.1 million, 20.4%) with the special servicer. The affirmation also reflects S&P's view regarding the collateral's current and future performance, the transaction structure, and liquidity support available to the class. While available credit enhancement levels suggest further positive rating movements on classes A-M, A-J, B, C, D, and E, S&P's analysis also considered their susceptibility to reduced liquidity support from the special serviced assets. S&P affirmed its 'AAA (sf)' ratings on the class IO interest-only (IO) certificate based on S&P's criteria for rating IO securities. TRANSACTION SUMMARY As of the Nov. 18, 2016, trustee remittance report, the collateral pool balance was $1.10 billion, which is 74.2% of the pool balance at issuance. The pool currently includes 62 loans and nine real estate owned (REO) assets (reflecting crossed loans), down from 84 loans at issuance. Eleven of these assets ($224.1 million, 20.4%) are with the special servicer, 12 loans ($304.2 million, 27.7%; reflecting cross-collateralized and cross-defaulted loans) are defeased, and 19 ($143.9 million, 13.1%) are on the master servicer's watchlist. The master servicer, Wells Fargo Bank N.A., reported financial information for 96.1% of the nondefeased loans in the pool, of which 70.6% was year-end 2015 data, 24.8% was partial 2016 data, and the remainder was year-end 2014 data. S&P calculated a 1.33x S&P Global Ratings weighted average debt service coverage (DSC) and an 84.1% S&P Global Ratings weighted average loan-to-value (LTV) ratio using a 7.79% S&P Global Ratings weighted average capitalization rate. The DSC, LTV, and capitalization rate calculations exclude the specially serviced assets, the defeased loans, and one ground lease loan. The top 10 nondefeased loans have an aggregate outstanding pool trust balance of $324.3 million (29.5%). Using adjusted servicer-reported numbers, S&P calculated an S&P Global Ratings weighted average DSC and LTV of 1.37x and 87.7%, respectively, for six of the top 10 nondefeased loans. Excluded from our DSC and LTV calculations are the ground lease and the specially serviced assets. The specially serviced assets are discussed below. To date, the transaction has experienced $29.9 million in principal losses, or 2.0% of the original pool trust balance. S&P expects losses to reach approximately 8.2% 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 specially serviced assets. CREDIT CONSIDERATIONS As of the Nov. 18, 2016, trustee remittance report, 11 assets in the pool were with the special servicer, CWCapital Asset Management LLC. Details of the three largest specially serviced assets, all of which are top 10 nondefeased assets, are: -- The Sheraton Park Hotel-Anaheim, CA REO asset ($65.0 million, 5.9%) is the largest asset in the transaction and has $75.5 million in total reported exposure. The asset is a 490-room lodging property in Anaheim, Calif. The loan was transferred to the special servicer on Feb. 15, 2012, due to imminent monetary default. The property became REO on June 28, 2013. A $21.0 million appraisal reduction amount (ARA) is in effect against this asset. The reported DSC as of year-end 2015 was 1.06x and the occupancy reported as of June 2016 was 78.4%. S&P expects a moderate loss upon its eventual resolution. -- Glenbrooke At Palm Bay REO asset ($27.1 million, 2.5%) is the fourth-largest asset in the transaction and has $31.4 million in total reported exposure. The asset is a 170-unit multifamily property in Palm Bay, Fla. The loan was transferred to the special servicer on April 26, 2012, due to imminent monetary default. The property became REO on July 10, 2013. A $6.8 million ARA is in effect against this asset. The reported DSC as of year-end 2015 was 0.91x and occupancy as of October 2016 was 92.4%. S&P expects a moderate loss upon its eventual resolution. -- Kendron Village-Phase II REO asset ($25.3 million, 2.3%) has $26.1 million in total reported exposure. The asset is a 157,409-sq.-ft. retail property in Peachtree City, Ga. The loan was transferred to the special servicer on April 16, 2013, due to monetary default. The property became REO on July 2, 2013. The reported DSC as of year-end 2015 was 1.02x and reported occupancy as of October 2016 was 93.4%. S&P expects a minimal loss upon its eventual resolution. The eight remaining assets with the special servicer have each individual balances that represent less than 2.0% of the total pool trust balance. S&P estimated losses for the specially serviced assets, arriving at a weighted-average loss severity of 40.8%. RATINGS LIST Wachovia Bank Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2007-C34 Rating Class Identifier To From A-3 92979FAD2 AAA (sf) AA (sf) A-1A 92979FAE0 AAA (sf) AA (sf) IO 92979FAF7 AAA (sf) AAA (sf) A-M 92979FAG5 A+ (sf) BBB- (sf) A-J 92979FAH3 BB+ (sf) B (sf) B 92979FAJ9 BB- (sf) B- (sf) C 92979FAK6 B+ (sf) B- (sf) D 92979FAL4 B (sf) CCC (sf) E 92979FAM2 B- (sf) CCC (sf) F 92979FAN0 CCC- (sf) CCC- (sf) WAMU COMMERCIAL 2007-SL3: Moody's Affirms Ba2 Rating on Cl. E Notes ------------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on three classes, affirmed the ratings on seven classes, and downgraded the rating on one class in Washington Mutual Commercial Mortgage Trust, Pass-Through Certificates, Series 2007-SL3 as follows: -- Cl. A-J, Upgraded to Aaa (sf); previously on Jan 22, 2016 Affirmed Aa1 (sf) -- Cl. B, Upgraded to Aa1 (sf); previously on Jan 22, 2016 Affirmed Aa3 (sf) -- Cl. C, Upgraded to A1 (sf); previously on Jan 22, 2016 Affirmed A3 (sf) -- Cl. D, Affirmed Baa2 (sf); previously on Jan 22, 2016 Affirmed Baa2 (sf) -- Cl. E, Affirmed Ba2 (sf); previously on Jan 22, 2016 Affirmed Ba2 (sf) -- Cl. F, Affirmed B2 (sf); previously on Jan 22, 2016 Affirmed B2 (sf) -- Cl. G, Affirmed B3 (sf); previously on Jan 22, 2016 Affirmed B3 (sf) -- Cl. H, Affirmed Caa2 (sf); previously on Jan 22, 2016 Affirmed Caa2 (sf) -- Cl. J, Affirmed Caa3 (sf); previously on Jan 22, 2016 Affirmed Caa3 (sf) -- Cl. K, Affirmed C (sf); previously on Jan 22, 2016 Affirmed C (sf) -- Cl. X, Downgraded to Ca (sf); previously on Jan 22, 2016 Downgraded to B1 (sf) RATINGS RATIONALE The ratings on the P&I classes A-J, B and C were upgraded primarily due to an increase in credit support since Moody's last review, resulting from paydowns and amortization, as well as Moody's expectation of additional increases in credit support resulting from the payoff of loans approaching maturity that are well positioned for refinance. The pool has paid down by 33% since Moody's last review. In addition, loans constituting 22% of the pool that have debt yields exceeding 10.0% are scheduled to mature within the next 5 months. The ratings on the P&I classes D through G were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The ratings on the P&I classes H, J and K were affirmed because the ratings are consistent with Moody's expected loss. The rating on the IO Class (Class X) was downgraded because it is not, nor expected to, receive interest payments; however, it can receive prepayment penalties. Moody's rating action reflects a base expected loss of 5.4% of the current balance, compared to 6.3% at Moody's last review. Moody's base expected loss plus realized losses is now 4.6% of the original pooled balance, compared to 5.3% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in December 2014. DESCRIPTION OF MODELS USED Moody's review used the excel-based CMBS Conduit Model, which it uses for both conduit and fusion transactions. Credit enhancement levels for conduit loans are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate Moody's uses to estimate Moody's value). Moody's fuses the conduit results with the results of its analysis of investment grade structured credit assessed loans and any conduit loan that represents 10% or greater of the current pool balance. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 145, compared to 195 at Moody's last review. DEAL PERFORMANCE As of the November 23, 2016 distribution date, the transaction's aggregate certificate balance has decreased by 81% to $240 million from $1.28 billion at securitization. The certificates are collateralized by 262 mortgage loans ranging in size from less than 1% to 3% of the pool, with the top ten loans (excluding defeasance) constituting 17% of the pool. Ninety-nine loans, constituting 47% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Ninety-three loans have been liquidated from the pool, resulting in an aggregate realized loss of $46.2 million (for an average loss severity of 36%). Five loans, constituting 1.2% of the pool, are currently in special servicing. Moody's estimates an aggregate $0.4 million loss for the specially serviced loans (21% expected loss on average). Moody's has assumed a high default probability for 44 poorly performing loans, constituting 21% of the pool, and has estimated an aggregate loss of $8.9 million (an 18% expected loss based on a 50% probability default) from these troubled loans. Moody's received full year 2015 operating results for 88% of the pool. Moody's weighted average conduit LTV is 86%, the same as at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 9.8% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.6%. Moody's actual and stressed conduit DSCRs are 1.47X and 1.32X, respectively, compared to 1.50X and 1.33X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. WELLS FARGO 2014-LC18: DBRS Confirms BB Rating on Class E Certs --------------------------------------------------------------- DBRS Limited confirmed the ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2014-LC18, issued by Wells Fargo Commercial Mortgage Trust 2014-LC18 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-5 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AAA (sf) -- Class X-E at AAA (sf) -- Class X-F at AAA (sf) -- Class X-G at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class PEX at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class F at B (low) (sf) All trends are Stable. The Class PEX certificates are exchangeable with Class A-S, Class B and Class C certificates (and vice versa). Classes X-E, X-F, X-G, D, E, F and G have been privately placed pursuant to Rule 144A. The rating confirmations reflect the overall stable performance of the transaction, which has remained in line with DBRS's expectations since issuance in December 2014. The collateral consists of 99 loans secured by 117 properties and as of the November 2016 remittance, there has been a collateral reduction of 1.6% since issuance as a result of scheduled amortization. All of the original loans remain in the pool. The weighted-average (WA) net cash flow growth for the top 15 loans reporting YE2015 figures was 19.0% over the DBRS UW figures, with a WA DSCR of 2.02 times (x), as compared to the WA DBRS UW DSCR of 1.70x. As of the November 2016 remittance report, there are no loans in special servicing and seven loans, representing 3.1% of the pool, on the servicer's watchlist. Five of those loans, representing 1.9% of the pool, are on the watchlist forf deferred maintenance; however, none of the issues noted appear to suggest a material impact on the overall condition of the property or operations in general. The remainder of loans, representing 1.2% of the pool, are on the watchlist for reporting a low trailing 12 months June 2016 DSCR, or for upcoming tenant rollover. DBRS has requested information from the servicer regarding the status of these loans and will monitor closely for developments. WELLS FARGO 2016-C37: DBRS Assigns Prov. BB Rating on Class G Notes ------------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2016-C37 (the Certificates) to be issued by Wells Fargo Commercial Mortgage Trust 2016-C37: -- 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-5 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AAA (sf) -- Class X-D at AAA (sf) -- Class X-EF at AAA (sf) -- Class X-G at AAA (sf) -- Class X-H at AAA (sf) -- Class X-J at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (high) (sf) -- Class E at BBB (sf) -- Class F at BBB (low) (sf) -- Class G at BB (high) (sf) -- Class H at B (high) (sf) All trends are Stable. Classes X-D, X-EF, X-G, X-H, X-J, D, E, F, G, H and J will be privately placed. The Class X-A, X-B, X-D, X-EF, X-G, X-H and X-J balances are 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' positions within the transaction payment waterfall when determining the appropriate ratings. The collateral consists of 63 fixed-rate loans secured by 141 commercial and multifamily properties. Two of the loans are cross-collateralized and cross-defaulted into one crossed group. The DBRS analysis of this transaction incorporates this crossed group, resulting in a modified loan count of 62, and the loan number references within this report reflect this total. The transaction is a sequential-pay pass-through structure. 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 (NCF) and their respective actual constants, no loans had a DBRS Term Debt Service Coverage Ratio (DSCR) below 1.15 times (x), a threshold indicative of a higher likelihood of mid-term default. Additionally, to assess refinance risk given the current low interest rate environment, DBRS applied its refinance constants to the balloon amounts. This resulted in 15 loans, representing 41.6% of the pool, having Refinance (Refi) DSCRs below 1.00x. These credit metrics are based on whole-loan balances. Two of the pool's loans with DBRS Refi DSCRs below 0.90x, Hilton Hawaiian Village and Potomac Mills which total 11.9% of the transaction balance, are shadow-rated and have large pieces of subordinate mortgage debt outside the trust. Based on A-note balances only, the deal's weighted-average DBRS Refi DSCR improves to 1.22x and the concentration of loans with DBRS Refi DSCRs below 1.00x and 0.90x reduces to 31.3% and 6.7%, respectively. Three of the largest four loans, Hilton Hawaiian Village, Quantum Park and Potomac Mills, have trust participations that exhibit credit characteristics consistent with investment-grade shadow ratings. Combined, these loans represent 18.8% of the pool. Hilton Hawaiian Village and Quantum Park have credit characteristics consistent with a BBB (high) shadow rating while Potomac Mills exhibits credit characteristics consistent with an A (low) shadow rating. In addition, 30 loans, representing 54.4% of the pool, have a DBRS Term DSCR in excess of 1.50x. This includes eight of the largest 15 loans. Even when excluding the three shadow-rated loans, each of which has large pieces of subordinate mortgage debt held outside the trust, the deal continues to exhibit a favorable DBRS Term DSCR of 1.50x. DBRS sampled 29 of the 62 loans in the pool, which represents a considerable 73.4% of the transaction balance. The loan sellers appear to have exercised relatively prudent underwriting standards with the DBRS average NCF haircut of -6.2% for sampled loans. This compares favorably with more recent transactions by DBRS, where the average sampled haircut is typically in excess of -7.5% and commonly around -10.0%. The transaction has a moderate concentration of loans that is secured by assets either fully or primarily used as retail at 29.3%. The retail sector has generally underperformed since the Great Recession because of a general decline in consumer spending power, store closures, chain bankruptcies and the rapidly growing popularity of ecommerce. According to the U.S. Census Bureau, ecommerce sales represented 7.0% of total retail sales in 2015 compared with 3.9% in 2009. As the ecommerce share of sales is expected to continue to grow significantly in the coming years, the retail real estate sector may continue to be relatively weak. DBRS considers 60.2% of this concentration to be secured by either anchored or regional mall properties, which are more desirable and have shown lower rates of default historically. Just over 16% of this retail concentration consists of Potomac Mills, which is a dominant regional mall in an established suburban market. The property is owned and operated by Simon Property Group, which DBRS considers to be one of the strongest in its industry. Additionally, Potomac Mills is shadow-rated A (low) by DBRS. DBRS identified 12 loans, representing 16.3% of the pool, which have sponsorship and/or loan collateral associated with a voluntary bankruptcy filing, a prior DPO, loan default, limited net worth and/or liquidity, a historical negative credit event and/or inadequate commercial real estate experience. This concentration includes three of the top 11 loans, and eight loans, representing 8.3% of the pool, made to the same sponsor. DBRS increased the POD for loans with identified sponsorship concerns. Furthermore, twenty-three loans, representing 26.3% of the pool, are secured by properties located in tertiary or rural markets, including three of the top 15 loans. Properties located in tertiary and rural markets are modeled with significantly higher loss severities than those located in urban and suburban markets. The ratings assigned to Classes B, C and H differ from the higher rating implied by the quantitative model. DBRS considers this difference to be a material deviation and, in this case, the ratings reflect the dispersion of loan-level cash flows expected to occur post-issuance. The ratings assigned to the Certificates by DBRS 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. WELLS FARGO 2016-C37: Fitch to Rate Class E Notes 'BB+sf' --------------------------------------------------------- Fitch Ratings has issued a presale report on Wells Fargo Commercial Mortgage Trust 2016-C37 commercial mortgage pass-through certificates. Fitch expects to rate the transaction and assign Rating Outlooks as follows: -- $35,482,000 class A-1 'AAAsf'; Outlook Stable; -- $105,724,000 class A-2 'AAAsf'; Outlook Stable; -- $28,449,000 class A-3 'AAAsf'; Outlook Stable; -- $120,000,000 class A-4 'AAAsf'; Outlook Stable; -- $188,138,000 class A-5 'AAAsf'; Outlook Stable; -- $47,561,000 class A-SB 'AAAsf'; Outlook Stable; -- $58,165,000 class A-S 'AAAsf'; Outlook Stable; -- $525,354,000a class X-A 'AAAsf'; Outlook Stable; -- $96,628,000a class X-B 'AA-sf'; Outlook Stable; -- $38,463,000 class B 'AA-sf'; Outlook Stable; -- $34,711,000 class C 'A-sf'; Outlook Stable; -- $37,525,000ab class X-D 'BBB-sf'; Outlook Stable; -- $17,825,000ab class X-EF 'BB-sf'; Outlook Stable; -- $8,443,000ab class X-G 'B-sf'; Outlook Stable; -- $37,525,000b class D 'BBB-sf'; Outlook Stable; -- $10,320,000b class E 'BB+sf'; Outlook Stable; -- $7,505,000b class F 'BB-sf'; Outlook Stable; -- $8,443,000b class G 'B-sf'; Outlook Stable. The following classes are not expected to be rated: -- $7,505,000ab class X-H; -- $22,515,779ab class X-J; -- $7,505,000b class H; -- $22,515,779b class J. a) Notional amount and interest only. b) Privately placed pursuant to Rule 144A. The expected ratings are based on information provided by the issuer as of Nov. 29, 2016. The certificates represent the beneficial ownership interest in the trust, primary assets of which are 63 loans secured by 141 commercial properties having an aggregate principal balance of $750,506,780 as of the cut-off date. The loans were contributed to the trust by Barclays Bank PLC, Ladder Capital Finance LLC, Wells Fargo Bank, National Association, Rialto Mortgage Finance, LLC, Silverpeak Real Estate Finance LLC and C-III Commercial Mortgage LLC. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 68.4% of the properties by balance and asset summary reviews and cash flow analysis of 78.6% of the pool. KEY RATING DRIVERS Fitch Leverage: The transaction has slightly better leverage than other recent Fitch-rated transactions. The Fitch LTV for the trust of 103.4% is below the YTD 2016 average of 105.5%. The Fitch DSCR for the trust of 1.21x is similar to the YTD 2016 average of 1.20x. Excluding credit-opinion loans, the pool's Fitch DSCR and LTV are 1.16x and 108.9%, respectively. Comparatively, the YTD 2016 average Fitch DSCR and LTV for Fitch-rated deals excluding credit-opinion and co-op loans are 1.16x and 109.9%, respectively. Above-Average Amortization: The pool is scheduled to amortize by 12.2% of the initial pool balance prior to maturity, which is above the 2016 YTD average of 10.5%. Six loans (25.6% of the pool) are full-term, interest-only, and 18 loans (30.0%) are partial interest-only. The remaining 39 loans (44.4% of the pool) are amortizing balloon or ARD loans with initial terms of five to 10 years. Investment-Grade Credit-Opinion Loans: Two loans in the pool, Hilton Hawaiian Village (7.0% of the pool) and Potomac Mills (4.8%), have investment-grade credit opinions. Hilton Hawaiian Village has an investment-grade credit opinion of 'BBB-sf*' on a stand-alone basis and Potomac Mills has an investment-grade credit opinion of 'BBBsf*' on a stand-alone basis. The two loans have a weighted average Fitch DSCR and LTV of 1.57x and 62.0%, respectively. The proportion of credit-opinion loans in this pool of 11.8% is above the YTD 2016 average of 7.7%. RATING SENSITIVITIES For this transaction, Fitch's net cash flow (NCF) was 18.1% below the most recent year's net operating income (NOI; for properties for which a full-year NOI was provided, excluding properties that were stabilizing during this period). Unanticipated further declines in property-level NCF could result in higher defaults and loss severities on defaulted loans and in potential rating actions on the certificates. Fitch evaluated the sensitivity of the ratings assigned to WFCM 2016-C37 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 junior 'AAAsf' certificates to 'Asf' could occur. In a more severe scenario, in which NCF declined a further 30% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB+sf' could occur. WFRBS COMMERCIAL 2012-C6: Moody's Affirms Ba2 Rating on Cl. E Debt ------------------------------------------------------------------ Moody's Investors Service has upgraded the ratings on two classes and affirmed the ratings on eight classes in WFRBS Commercial Mortgage Trust 2012-C6 as follows: -- Cl. A-2, Affirmed Aaa (sf); previously on Jan 21, 2016 Affirmed Aaa (sf) -- Cl. A-3, Affirmed Aaa (sf); previously on Jan 21, 2016 Affirmed Aaa (sf) -- Cl. A-4, Affirmed Aaa (sf); previously on Jan 21, 2016 Affirmed Aaa (sf) -- Cl. A-S, Affirmed Aaa (sf); previously on Jan 21, 2016 Affirmed Aaa (sf) -- Cl. B, Upgraded to Aa1 (sf); previously on Jan 21, 2016 Affirmed Aa2 (sf) -- Cl. C, Upgraded to A1 (sf); previously on Jan 21, 2016 Affirmed A2 (sf) -- Cl. D, Affirmed Baa3 (sf); previously on Jan 21, 2016 Affirmed Baa3 (sf) -- Cl. E, Affirmed Ba2 (sf); previously on Jan 21, 2016 Affirmed Ba2 (sf) -- Cl. F, Affirmed B2 (sf); previously on Jan 21, 2016 Affirmed B2 (sf) -- Cl. X-A, Affirmed Aaa (sf); previously on Jan 21, 2016 Affirmed Aaa (sf) RATINGS RATIONALE The ratings on the P&I classes B and C were upgraded based primarily on an increase in credit support resulting from loan paydowns and amortization as well as an increase in defeasance. The deal has paid down 13% since Moody's last review and defeasance has increased to 9% of the current pool balance compared to 2% at the last review. The ratings on the P&I classes A-2 through A-S and D through F were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The rating on the IO class X-A was affirmed based on the credit performance (or the weighted average rating factor or WARF) of the referenced classes. Moody's rating action reflects a base expected loss of 2.3% of the current balance, compared to 2.4% at Moody's last review. Moody's base expected loss plus realized losses is now 1.9% of the original pooled balance, compared to 2.3% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in December 2014. DESCRIPTION OF MODELS USED Moody's review used the excel-based CMBS Conduit Model, which it uses for both conduit and fusion transactions. Credit enhancement levels for conduit loans are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate Moody's uses to estimate Moody's value). Moody's fuses the conduit results with the results of its analysis of investment grade structured credit assessed loans and any conduit loan that represents 10% or greater of the current pool balance. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 38, compared to 37 at Moody's last review. DEAL PERFORMANCE As of the November 18th, 2016 distribution date, the transaction's aggregate certificate balance has decreased by 18% to $762 million from $925 million at securitization. The certificates are collateralized by 83 mortgage loans ranging in size from less than 1% to 9% of the pool, with the top ten loans (excluding defeasance) constituting 33% of the pool. Five loans, constituting 9% of the pool, have defeased and are secured by US government securities. Eight loans, constituting 10% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. No loans have been liquidated from the pool. One loan, constituting 0.3% of the pool, is currently in special servicing. The sole specially serviced loan is the Northwest Self Storage. The loan transferred to special servicing in April 2015 due to the bankruptcy filing of a guarantor. The loan continues to perform and the guarantor's bankruptcy is still open. Moody's received full year 2015 operating results for 98% of the pool, and partial year 2016 operating results for 89% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 88%, compared to 84% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 15% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 10.0%. Moody's actual and stressed conduit DSCRs are 1.55X and 1.29X, respectively, compared to 1.67X and 1.36X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The top three conduit loans represent 16% of the pool balance. The largest loan is the National Cancer Institute Center Loan ($72 million -- 9.4% of the pool), which is secured by a 341,000 square foot (SF) Class A office / lab facility located in Frederick, Maryland. The property was constructed in 2011 as a build-to-suit to support the National Cancer Institute (NCI), the oldest Institute within the National Institutes of Health (NIH). The property entirely leased to Leidos Biomedical Research (formerly Science Applications International) through September 2021. Due to the single tenant exposure Moody's utilized a lit/dark analysis on this loan. Moody's LTV and stressed DSCR are 118% and 1.00X, respectively, compared to 108% and 1.03X at the last review. The second largest loan is the Norwalk Town Square Loan ($25.3 million -- 3.3% of the pool), which is secured by secured by a 232,987 SF anchored retail center in Norwalk, California, located 17 miles southeast of Los Angles CBD. The property was constructed between 1953 and 1976, renovated in 1990, and contains 863 parking spaces. Anchor tenants include LA Fitness, Regency Theaters, and DD's Discounts. As of September 2016, the property was 96% occupied, the same as at Moody's last review and compared to 94% at securitization. Moody's LTV and stressed DSCR are 82% and 1.28X, respectively, compared to 91% and 1.26X at the last review. The third largest loan is the Boca Industrial Park Loan ($22.2 million -- 2.9% of the pool), which is secured by a 386,846 SF multi-tenant industrial park located in Boca Raton, Florida. The property consists of six free-standing buildings constructed in 1984, and is configured with 36 tenant units. As of November 2016, the property was 100% occupied, the same as at Moody's last review and compared to 92% at securitization. Moody's LTV and stressed DSCR are 95% and 1.05X, respectively, compared to 105% and 1.05X at the last review. WFRBS COMMERCIAL 2014-C25: DBRS Confirms BB Rating on Cl. E Notes ----------------------------------------------------------------- DBRS, Inc. confirmed the ratings for all classes of Commercial Mortgage Pass-Through Certificates, Series 2014-C25 issued by WFRBS Commercial Mortgage Trust 2014-C25 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-5 at AAA (sf) -- Class A-S at AAA (sf) -- Class A-SB at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AAA (sf) -- Class X-C at AAA (sf) -- Class X-D at AAA (sf) -- Class X-E at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class PEX at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (sf) -- Class F at B (sf) All trends are Stable. Up to the full certificate balance of the Class A-S, Class B and Class C certificates may be exchanged for Class PEX certificates and vice versa. The rating confirmations reflect the overall stable performance of the transaction, which has experienced a collateral reduction of 0.9% since closing as a result of scheduled loan amortization. At issuance, the pool consisted of 59 fixed-rate loans secured by 73 commercial and multifamily properties. As at the November 2016 remittance, all loans remain in the pool with an aggregate outstanding principal balance of $868.2 million. According to the most recent year-end reporting, the pool reported a weighted-average (WA) debt service coverage ratio (DSCR) of 1.83 times (x) and a WA debt yield of 10.3%. At issuance, the DBRS WA DSCR and debt yield for the pool were 1.61x and 9.0%, respectively. Per YE2015 financials, the top 15 loans reported a WA DSCR of 1.86x and a WA net cash flow (NCF) increase of 12.2% over the DBRS underwritten cash flows. As at the November 2016 remittance, there are no loans in special servicing and six loans are on the servicer's watchlist, representing 10.5% of the current pool balance. Of these six loans, two have been flagged for deferred maintenance concerns generally minor in nature, one was flagged for a casualty event that is being addressed and another loan, representing 0.6% of the pool balance, has been watchlisted because of a market-driven performance decline (see below). The two other loans (both secured by apartment complexes in Warrensville Heights, Ohio, and owned by the same sponsor) have reported cash flow declines from the DBRS UW figures of -23.9% and -27.4% as at YE2015 resulting from increased operating expenses, as occupancy and rental rates have remained stable. Both loans have reported an improvement with the Q2 2016 annualized financials. The two largest loans in the pool, representing 23.0% of the total pool balance, are secured by large regional malls operated by Simon Property Group and are highlighted below. The St. Johns Town Center loan (Prospectus ID#1; 11.5% of the current pool balance) is secured by a 1.4 million square foot (sf) regional mall located in Jacksonville, Florida, and is considered to be the pre-eminent shopping destination in the city. As at September 2016, mall occupancy remains strong at 98.1% with an average rental rate of $29.83 per square foot (psf) — figures comparable with 99.3% and $27.04 psf at issuance, respectively. The slight decrease in occupancy is attributable to the premature departure of Forever 21 (1.5% of the net rentable area (NRA)) in March 2016, which was noted as a surprise as the store appeared to be popular with shoppers. This space currently represents the largest vacancy at the mall, and according to local news reports, Apple is planning to move into this space from its smaller unit at the mall, with a $3.5 million build-out planned. In addition, several large tenants have recently executed five-year lease renewals, including Jo-Ann Fabrics, Ross Dress for Less, DSW Shoe Warehouse and Barnes & Noble. Tenant rollover remains minimal in the next 12 months. The loan, which is interest only (IO) for the full term, reported a Q3 2016 whole-loan DSCR of 2.43x, an improvement over 2.32x at YE2015, and represents an annualized NCF increase of +20.5% over the DBRS UW figures. At issuance, DBRS assigned an investment-grade shadow rating to this loan. DBRS has today confirmed that the performance of this loan remains consistent with investment-grade loan characteristics. The Colorado Mills loan (Prospectus ID#2; 11.5% of the current pool balance) is secured by a 1.1 million sf regional mall located in Lakewood, Colorado, a Denver suburb. The subject is the largest mall statewide with the most in-line space and contains a mix of regular and outlet space tenants as well as some non-traditional tenants, such as an indoor trampoline park and an indoor putting green park. Mall occupancy has recently declined to 85.2% as a result of Sports Authority (4.0% of the NRA) vacating its 43,500 sf anchor space in July 2016; however, this space is being assumed by Dick's Sporting Goods with an April 1, 2017 planned opening date, as per the online mall directory. There is considerable upcoming tenant rollover as United Artists Theatre (7.5% of the NRA), JumpStreet (3.7% of the NRA) and Saks Off 5th (2.5% of the NRA) have leases maturing in the second half of 2017. Junior anchor Burlington Coat Factory recently executed a five-year renewal through 2021 at a similar rental rate. The loan reported a Q2 2016 whole-loan DSCR of 2.08x on an amortizing basis, in line with YE2015, and represents an annualized NCF increase of 16.1% over the DBRS UW figures. The loan has a remaining IO term of 11 months. The loan's sponsor, Simon Property Group, is currently developing another outlet mall, the 320,000 sf Denver Premium Outlets located 21 miles north of the subject with a planned opening in October 2017. DBRS believes the impact to the subject will be minimal, as the new mall will be located much farther out and will not have the large population and existing infrastructure surrounding the subject, which benefits from being closely located to Interstate 70 and Highway 6. The Cornerstone Apartments loan (Prospectus ID#38; 0.6% of the current pool balance) is secured by a 120-unit multifamily complex located in Midland, Texas. The loan has been placed on the servicer's watchlist as a result of a decline in property performance resulting from the decline in the energy-based local economy. As at June 2016, the property was 82.5% occupied with an average rental rate of $712 per unit, a decline from 97.5% and $774 per unit at issuance, respectively. The current vacancy rate is in line with the 16.2% vacancy rate reported by Reis for similar vintage properties in the Midland-Odessa market. The March 2016 property inspection revealed that lowered rents, move-in incentives and solid long-term management have prevented an even larger occupancy decline. During the inspection, it was noted that the neighboring residential complex was 52% vacant at the time. The Q2 2016 DSCR of 1.22x reflects an NCF decline of 32.3% from the DBRS UW figures. With collateral performance dependent on a recovery in the local economy, the loan is expected to perform at a similar level in the medium term. The ratings assigned to the Classes C, E, F and PEX certificates materially deviate from the higher ratings implied by the quantitative model. DBRS considers a material deviation to be a rating differential of three or more notches between the assigned rating and the rating implied by the quantitative model that is a substantial component of a rating methodology; in this case, the rating reflects the sustainability of loan performance trends not demonstrated. YORK CLO-4: Moody's Assigns Ba3 Rating on Class E Notes ------------------------------------------------------- Moody's Investors Service has assigned ratings to six classes of notes issued by York CLO-4 Ltd. Moody's rating action is: $2,000,000 Class X Senior Floating Rate Notes due 2030, Assigned Aaa (sf) $252,000,000 Class A Senior Floating Rate Notes due 2030, Assigned Aaa (sf) $48,000,000 Class B Senior Floating Rate Notes due 2030, Assigned Aa2 (sf) $23,000,000 Class C Deferrable Mezzanine Floating Rate Notes due 2030, Assigned A2 (sf) $23,000,000 Class D Deferrable Mezzanine Floating Rate Notes due 2030, Assigned Baa3 (sf) $20,000,000 Class E Deferrable Junior Floating Rate Notes due 2030, Assigned Ba3 (sf) The Class X Notes, the Class A Notes, the Class B Notes, the Class C Notes, the Class D Notes and the Class E Notes are referred to herein, collectively, as the "Rated Notes." 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. York CLO-4 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated first lien senior secured corporate loans. At least 92.5% of the portfolio must consist of senior secured loans, cash and eligible investments, and up to 7.5% of the portfolio may consist of second lien loans and unsecured loans. The portfolio is at least 70% ramped as of the closing date. York CLO Managed Holdings, LLC (Manager) will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, reinvestment is prohibited. In addition to the Rated Notes, the Issuer 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 October 2016. For modeling purposes, Moody's used these base-case assumptions: Par amount: $400,000,000 Diversity Score: 50 Weighted Average Rating Factor (WARF): 2712 Weighted Average Spread (WAS): 3.80% Weighted Average Coupon (WAC): 5.00% Weighted Average Recovery Rate (WARR): 47.0% Weighted Average Life (WAL): 9.5 years. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in October 2016. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. Together with the set of modeling assumptions above, Moody's conducted an additional sensitivity analysis, which was a component in determining the ratings assigned to the Rated Notes. This sensitivity analysis includes increased default probability relative to the base case. Below is a summary of the impact of an increase in default probability (expressed in terms of WARF level) on the Rated Notes (shown in terms of the number of notch difference versus the current model output, whereby a negative difference corresponds to higher expected losses), assuming that all other factors are held equal: Percentage Change in WARF -- increase of 15% (from 2712 to 3119) Rating Impact in Rating Notches Class X Notes: 0 Class A Notes: 0 Class B Notes: -2 Class C Notes: -2 Class D Notes: -1 Class E Notes: 0 Percentage Change in WARF -- increase of 30% (from 2712 to 3526) Rating Impact in Rating Notches Class X Notes: 0 Class A Notes: -1 Class B Notes: -3 Class C Notes: -4 Class D Notes: -2 Class E Notes: -1 [*] DBRS Reviews 21 Ratings From 4 U.S. ABS Transactions -------------------------------------------------------- DBRS, Inc. reviewed 21 ratings from four U.S. structured finance asset-backed securities transactions. Of the 21 outstanding publicly rated classes reviewed, seven were confirmed, ten were upgraded and four were discontinued. For the ratings that were confirmed, performance trends are such that credit enhancement levels are sufficient to cover DBRS’s expected losses at their current respective rating levels. For the ratings that were upgraded, performance trends are such that credit enhancement levels are sufficient to cover DBRS's expected losses at their new respective rating levels. The ratings are based on DBRS's review of the following analytical considerations: -- Transaction capital structure, proposed ratings and form and sufficiency of available credit enhancement. -- The transaction parties' capabilities with regard to origination, underwriting and servicing. -- The credit quality of the collateral pool and historical performance. Debt Class Rating Action Rating ---------- ------------- ------ AmeriCredit Automobile Receivables Trust 2013-1 Series 2013-1 Class C Confirmed AAA (sf) Class D Upgraded AA (high) (sf) Class E Upgraded A (sf) Class B Disc.-Repaid Discontinue AmeriCredit Automobile Receivables Trust 2013-5 Series 2013-5 Class B Confirmed AAA (sf) Class C Upgraded AAA (sf) Class D Upgraded AA (sf) Class E Upgraded BBB (high) (sf) Class A-3 Disc.-Repaid Discontinued AmeriCredit Automobile Receivables Trust 2014-1 Series 2014-1 Class A-3 Confirmed AAA (sf) Class B Confirmed AAA (sf) Class C Upgraded AA (high) (sf) US Class D Upgraded A (high) (sf) US Class E Upgraded BBB (low) (sf) AmeriCredit Automobile Receivables Trust 2015-1 Series 2015-1 Class A-3 Confirmed AAA (sf) Class B Upgraded AAA (sf) Class C Upgraded AA (sf) Class D Confirmed BBB (high) (sf Class E Confirmed BB (high) (sf) Class A-2A Disc.-Repaid Discontinued Class A-2B Disc.-Repaid Discontinued [*] Fitch Lowers Ratings on 23 Bonds in 13 Transactions to 'D' -------------------------------------------------------------- Fitch Ratings has taken various rating actions on already distressed U.S. commercial mortgage-backed securities (CMBS) bonds. Fitch downgraded 23 bonds in 13 transactions to 'D', as the bonds have incurred a principal write-down. The bonds were all previously rated 'CCC' or below, which indicates that losses were possible. Of these 23 bonds downgraded to 'D', the ratings on two of the classes (in two separate transactions) have simultaneously been withdrawn, as the only remaining ratings in the transactions are now 'D' after this committee's actions; as a result the ratings are considered immaterial. Fitch has also withdrawn the ratings on 20 classes within three transactions (two transactions are in connection with the simultaneous downgrade and withdrawals referenced in the above paragraph) as a result of realized losses. The trust balances have been reduced to $0 or have experienced non-recoverable realized losses and are no longer considered by Fitch to be relevant to the agency's coverage. KEY RATING DRIVERS Today's downgrades are limited to just the bonds with write-downs. Any remaining bonds in these transactions have not been analyzed as part of this review. RATING SENSITIVITIES While the bonds that have defaulted are not expected to recover any material amount of lost principal in the future, there is a limited possibility this may happen. In this unlikely scenario, Fitch would further review the affected classes. [*] Moody's Hikes $1.3BB of Subprime RMBS Issued 2005-2007 ---------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 50 tranches from 15 transactions issued by various issuers, backed by subprime mortgage loans. Complete rating actions are as follows: Issuer: Accredited Mortgage Loan Trust 2005-2, Asset-Backed Notes, Series 2005-2 Cl. M-4, Upgraded to Ba2 (sf); previously on Feb 17, 2016 Upgraded to Ba3 (sf) Cl. M-5, Upgraded to Ba2 (sf); previously on Feb 17, 2016 Upgraded to B3 (sf) Cl. M-6, Upgraded to Caa1 (sf); previously on Mar 17, 2009 Downgraded to C (sf) Issuer: Accredited Mortgage Loan Trust 2007-1 Cl. A-3, Upgraded to Ba1 (sf); previously on Feb 17, 2016 Upgraded to B2 (sf) Cl. A-4, Upgraded to Ba2 (sf); previously on Feb 17, 2016 Upgraded to B3 (sf) Issuer: Encore Credit Receivables Trust 2005-1 Cl. M-2, Upgraded to Ba1 (sf); previously on May 23, 2014 Upgraded to Ba2 (sf) Cl. M-3, Upgraded to Ba1 (sf); previously on May 23, 2014 Upgraded to Caa1 (sf) Cl. M-4, Upgraded to B1 (sf); previously on Feb 17, 2016 Upgraded to Caa3 (sf) Issuer: Encore Credit Receivables Trust 2005-2 Cl. M-4, Upgraded to B1 (sf); previously on Feb 17, 2016 Upgraded to Caa1 (sf) Issuer: Equifirst Mortgage Loan Trust 2005-1 Cl. M-3, Upgraded to Ba1 (sf); previously on Feb 26, 2013 Affirmed Ba2 (sf) Cl. M-4, Upgraded to Ba1 (sf); previously on Mar 12, 2015 Upgraded to Ba3 (sf) Cl. M-5, Upgraded to Ba1 (sf); previously on Feb 17, 2016 Upgraded to B1 (sf) Cl. M-6, Upgraded to Ba1 (sf); previously on May 16, 2014 Upgraded to Caa2 (sf) Cl. M-7, Upgraded to Caa3 (sf); previously on Feb 26, 2013 Affirmed C (sf) Issuer: HSBC Home Equity Loan Trust (USA) 2007-1 Cl. A-4, Upgraded to Aaa (sf); previously on Aug 28, 2013 Downgraded to Aa1 (sf) Cl. A-M, Upgraded to Aaa (sf); previously on May 27, 2014 Downgraded to Aa2 (sf) Cl. A-S, Upgraded to Aaa (sf); previously on May 27, 2014 Downgraded to Aa1 (sf) Cl. M-1, Upgraded to Aa2 (sf); previously on Feb 17, 2016 Upgraded to A1 (sf) Cl. M-2, Upgraded to Aa3 (sf); previously on Feb 17, 2016 Upgraded to A3 (sf) Issuer: HSBC Home Equity Loan Trust (USA) 2007-2 Cl. A-4, Upgraded to Aaa (sf); previously on Feb 17, 2016 Upgraded to Aa2 (sf) Cl. A-M, Upgraded to Aaa (sf); previously on Feb 17, 2016 Upgraded to Aa3 (sf) Cl. A-S, Upgraded to Aaa (sf); previously on Aug 28, 2013 Confirmed at Aa1 (sf) Cl. M-1, Upgraded to Aa2 (sf); previously on Feb 17, 2016 Upgraded to A1 (sf) Cl. M-2, Upgraded to Aa3 (sf); previously on Feb 17, 2016 Upgraded to A3 (sf) Issuer: HSBC Home Equity Loan Trust (USA) 2007-3 Cl. A-4, Upgraded to Aaa (sf); previously on Aug 28, 2013 Confirmed at Aa2 (sf) Cl. A-PT, Upgraded to Aaa (sf); previously on Aug 28, 2013 Confirmed at Aa2 (sf) Cl. M-1, Upgraded to Aa2 (sf); previously on Feb 17, 2016 Upgraded to A3 (sf) Cl. M-2, Upgraded to Aa3 (sf); previously on Feb 17, 2016 Upgraded to Baa1 (sf) Issuer: HSI Asset Securitization Corporation Trust 2006-OPT3 Cl. II-A, Upgraded to Aa2 (sf); previously on Feb 17, 2016 Upgraded to Aa3 (sf) Cl. III-A-3, Upgraded to A1 (sf); previously on Feb 17, 2016 Upgraded to A3 (sf) Cl. III-A-4, Upgraded to A2 (sf); previously on Feb 17, 2016 Upgraded to Baa1 (sf) Cl. M-1, Upgraded to Ba2 (sf); previously on Feb 17, 2016 Upgraded to B2 (sf) Issuer: HSI Asset Securitization Corporation Trust 2006-OPT4 Cl. I-A, Upgraded to Aa3 (sf); previously on Feb 17, 2016 Upgraded to A1 (sf) Cl. II-A-3, Upgraded to A1 (sf); previously on Feb 17, 2016 Upgraded to Baa2 (sf) Cl. II-A-4, Upgraded to A2 (sf); previously on Feb 17, 2016 Upgraded to Baa3 (sf) Cl. II-A-5, Upgraded to A1 (sf); previously on Feb 17, 2016 Upgraded to A3 (sf) Issuer: J.P. Morgan Mortgage Acquisition Corp. 2005-WMC1 Cl. M-3, Upgraded to Ba3 (sf); previously on Feb 17, 2016 Upgraded to B1 (sf) Issuer: Long Beach Mortgage Loan Trust 2005-2 Cl. M-5, Upgraded to Ba3 (sf); previously on Feb 17, 2016 Upgraded to B2 (sf) Cl. M-6, Upgraded to Ca (sf); previously on Mar 14, 2013 Affirmed C (sf) Issuer: Nationstar Home Equity Loan Asset-Backed Certificates, Series 2007-C Cl. 1-AV-1, Upgraded to B1 (sf); previously on Feb 17, 2016 Upgraded to B3 (sf) Cl. 2-AV-2, Upgraded to Baa3 (sf); previously on Feb 17, 2016 Upgraded to B2 (sf) Cl. 2-AV-3, Upgraded to B1 (sf); previously on Feb 17, 2016 Upgraded to Caa1 (sf) Cl. 2-AV-4, Upgraded to B1 (sf); previously on Feb 17, 2016 Upgraded to Caa2 (sf) Issuer: Nationstar Home Equity Loan Trust 2007-B Cl. 1-AV-1, Upgraded to Baa2 (sf); previously on Feb 17, 2016 Upgraded to B1 (sf) Cl. 2-AV-2, Upgraded to Baa1 (sf); previously on Feb 17, 2016 Upgraded to Ba3 (sf) Cl. 2-AV-3, Upgraded to B1 (sf); previously on Feb 17, 2016 Upgraded to Caa1 (sf) Cl. 2-AV-4, Upgraded to B2 (sf); previously on Feb 17, 2016 Upgraded to Caa2 (sf) Issuer: Nomura Home Equity Loan Trust 2006-HE2 Cl. A-3, Upgraded to Aa2 (sf); previously on Feb 17, 2016 Upgraded to A1 (sf) Cl. A-4, Upgraded to A1 (sf); previously on Feb 17, 2016 Upgraded to Baa1 (sf) Cl. M-1, Upgraded to Baa3 (sf); previously on Feb 17, 2016 Upgraded to B1 (sf) RATINGS RATIONALE The rating upgrades are primarily due to the total credit enhancement available to the bonds. Upgrades in the following deals were also due to an reduction in moody's projection of lifetime collateral expected losses: Encore Credit Receivables Trust 2005-1, Equifirst Mortgage Loan Trust 2005-1, Long Beach Mortgage Loan Trust 2005-2, and Nationstar Home Equity Loan Trust 2007-B. 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 4.6% in November 2016 from 5.0% in November 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 Raises Rating on $673MM Subprime RMBS Issued 2005-2007 ------------------------------------------------------------------ Moody's Investors Service has upgraded the ratings of 28 tranches, from 11 transactions issued by various issuers backed by Subprime mortgage loans. Complete rating actions are: Issuer: Asset Backed Securities Corporation Home Equity Loan Trust 2006-HE4 Cl. A1A, Upgraded to Aa1 (sf); previously on Feb. 16, 2016, Upgraded to Aa3 (sf) Cl. A2, Upgraded to Aa2 (sf); previously on Feb. 16, 2016, Upgraded to A1 (sf) Cl. A5, Upgraded to A1 (sf); previously on Feb. 16, 2016, Upgraded to Baa1 (sf) Cl. A6, Upgraded to A2 (sf); previously on Feb. 16, 2016, Upgraded to Baa3 (sf) Issuer: Asset Backed Securities Corporation Home Equity Loan Trust Series MO 2006-HE6 Cl. A1, Upgraded to Baa3 (sf); previously on Feb. 16, 2016, Upgraded to Ba2 (sf) Cl. A4, Upgraded to Ba3 (sf); previously on Feb. 16, 2016, Upgraded to B2 (sf) Cl. A5, Upgraded to B1 (sf); previously on Feb. 16, 2016, Upgraded to B3 (sf) Issuer: J.P. Morgan Mortgage Acquisition Trust 2007-CH2, Asset-Backed Pass-Through Certificates, Series 2007-CH2 Cl. MV-1, Upgraded to B1 (sf); previously on Feb. 16, 2016, Upgraded to B3 (sf) Cl. MV-2, Upgraded to Ca (sf); previously on July 14, 2010, Downgraded to C (sf) Cl. AV-1, Upgraded to Aa2 (sf); previously on Feb. 16, 2016, Upgraded to A1 (sf) Cl. AV-3, Upgraded to Aa3 (sf); previously on Feb. 16, 2016, Upgraded to Baa1 (sf) Cl. AV-4, Upgraded to A3 (sf); previously on Feb. 16, 2016, Upgraded to Baa3 (sf) Cl. AV-5, Upgraded to Baa1 (sf); previously on Feb. 16, 2016, Upgraded to Ba1 (sf) Issuer: Long Beach Mortgage Loan Trust 2005-1 Cl. M-4, Upgraded to Caa2 (sf); previously on May 30, 2014, Upgraded to Ca (sf) Issuer: Option One Mortgage Loan Trust 2005-3 Cl. M-3, Upgraded to B1 (sf); previously on Feb. 16, 2016, Upgraded to B3 (sf) Issuer: Option One Mortgage Loan Trust 2005-4 Cl. A-3, Upgraded to Aaa (sf); previously on Aug. 6, 2010, Downgraded to Aa3 (sf) Cl. A-4, Upgraded to Aaa (sf); previously on Aug. 6, 2010, Downgraded to Aa3 (sf) Cl. M-2, Upgraded to B1 (sf); previously on Feb. 16, 2016, Upgraded to B3 (sf) Issuer: Ownit Mortgage Loan Trust 2006-5 Cl. A-1A, Upgraded to Baa2 (sf); previously on Feb. 16, 2016, Upgraded to Ba1 (sf) Issuer: Popular ABS Mortgage Pass-Through Trust 2005-A Cl. M-3, Upgraded to B1 (sf); previously on Feb. 16, 2016, Upgraded to B3 (sf) Cl. M-4, Upgraded to Caa2 (sf); previously on July 21, 2010, Downgraded to C (sf) Issuer: Saxon Asset Securities Trust 2005-2 Cl. M-3, Upgraded to B1 (sf); previously on Feb. 16, 2016, Upgraded to Caa2 (sf) Issuer: Structured Asset Investment Loan Trust 2005-HE2 Cl. M1, Upgraded to Aa2 (sf); previously on Feb. 16, 2016, Upgraded to A1 (sf) Cl. M2, Upgraded to Ba3 (sf); previously on Feb. 16, 2016, Upgraded to Caa2 (sf) Issuer: Structured Asset Securities Corp Trust 2005-NC2 Cl. M3, Upgraded to Aa1 (sf); previously on Feb. 16, 2016, Upgraded to Aa3 (sf) Cl. M4, Upgraded to Aa3 (sf); previously on Feb. 16, 2016, Upgraded to A3 (sf) Cl. M5, Upgraded to Baa2 (sf); previously on Feb. 16, 2016, Upgraded to B1 (sf) Cl. M6, Upgraded to B2 (sf); previously on Feb. 16, 2016, Upgraded to Ca (sf) RATINGS RATIONALE The upgrades are primarily due to the total credit enhancement available to the bonds. The rating upgrade on Ownit Mortgage Loan Trust 2006-5 Cl. A-1A is also due to the reduced risk of future interest shortfalls given the paydown of the tranche. The actions reflect the recent performance of the underlying pools and Moody's updated loss expectations on the pools. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in November 2013. Factors that would lead to an upgrade or downgrade of the 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 4.6% in November 2016 from 5.0% in November 2015. Moody's forecasts an unemployment central range of 4.5% to 5.5% for the 2016 year. Deviations from this central scenario could lead to rating actions in the sector. House prices are another key driver of US RMBS performance. Moody's expects house prices to continue to rise in 2016. Lower increases than Moody's expects or decreases could lead to negative rating actions. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. [*] Moody's Takes Action on $1.75BB of RMBS Issued 2003-2006 ------------------------------------------------------------ Moody's Investors Service has upgraded the ratings of ten tranches and downgraded the ratings of thirty-one tranches synthetically linked to Prime Jumbo RMBS loans originated by miscellaneous originators via a credit default swap, and upgraded one tranche and downgraded one tranche backed by resecuritized synthetic RMBS. Complete rating actions are: Issuer: Real Estate Synthetic Investment Securities, Series 2005-B Cl. A4, Upgraded to Aaa (sf); previously on Jun 27, 2013, Confirmed at Aa3 (sf) Issuer: RESI Finance Limited Partnership 2003-A/RESI Finance DE Corporation 2003-A, Series 2003-A Cl. B6, Upgraded to Baa1 (sf); previously on Nov. 12, 2012, Downgraded to Baa2 (sf) Cl. B7, Upgraded to Baa2 (sf); previously on Nov. 12, 2012, Downgraded to Baa3 (sf) Cl. B8, Upgraded to Baa2 (sf); previously on Nov. 12, 2012, Downgraded to Ba1 (sf) Cl. B9, Upgraded to Baa2 (sf); previously on Nov. 12, 2012, Downgraded to Ba2 (sf) Cl. B10, Upgraded to Baa2 (sf); previously on Nov. 12, 2012, Downgraded to Ba3 (sf) Issuer: RESI Finance Limited Partnership 2003-B Cl. B1, Downgraded to Baa3 (sf); previously on June 27, 2013, Downgraded to Baa1 (sf) Cl. B2, Downgraded to Ba2 (sf); previously on June 27, 2013, Downgraded to Baa1 (sf) Cl. B3, Downgraded to Ba3 (sf); previously on Dec. 4, 2012, Downgraded to Baa2 (sf) Cl. B4, Downgraded to B1 (sf); previously on Dec. 4, 2012, Downgraded to Baa3 (sf) Cl. B5, Downgraded to B2 (sf); previously on Dec. 4, 2012, Downgraded to Ba2 (sf) Cl. B6, Downgraded to B3 (sf); previously on Dec. 4, 2012, Downgraded to Ba3 (sf) Cl. B7, Downgraded to Caa1 (sf); previously on Dec. 4, 2012, Downgraded to B2 (sf) Cl. B8, Downgraded to Caa2 (sf); previously on Dec. 4, 2012, Downgraded to Caa1 (sf) Cl. B9, Downgraded to Caa3 (sf); previously on Dec. 4, 2012, Downgraded to Caa2 (sf) Issuer: RESI Finance Limited Partnership 2003-C/RESI Finance DE Corporation 2003-C, Series 2003-C Cl. B1, Downgraded to Ba1 (sf); previously on June 27, 2013, Downgraded to Baa1 (sf) Cl. B2, Downgraded to Ba3 (sf); previously on June 27, 2013, Downgraded to Baa1 (sf) Cl. B3, Downgraded to B2 (sf); previously on June 27, 2013, Downgraded to Ba3 (sf) Cl. B4, Downgraded to Caa1 (sf); previously on June 27, 2013, Downgraded to B2 (sf) Cl. B5, Downgraded to Caa2 (sf); previously on June 27, 2013, Downgraded to Caa1 (sf) Issuer: RESI Finance Limited Partnership 2003-CB1/RESI Finance DE Corporation 2003-CB1 Cl. B2, Downgraded to Baa2 (sf); previously on June 27, 2013, Downgraded to Baa1 (sf) Cl. B3, Downgraded to Ba2 (sf); previously on June 27, 2013, Downgraded to Baa1 (sf) Cl. B4, Downgraded to Ba3 (sf); previously on June 27, 2013, Downgraded to Baa1 (sf) Cl. B5, Downgraded to B1 (sf); previously on June 27, 2013, Downgraded to Baa2 (sf) Cl. B6, Downgraded to Caa1 (sf); previously on June 27, 2013, Downgraded to Ba1 (sf) Issuer: RESI Finance Limited Partnership 2003-D RESI Finance Limited Partnership 2003-D/RESI Finance DE Corporation 2003-D Cl. B1, Downgraded to Ba2 (sf); previously on June 5, 2013, Downgraded to Baa1 (sf) Cl. B2, Downgraded to B1 (sf); previously on June 27, 2013, Downgraded to Ba1 (sf) Cl. B3, Downgraded to Caa1 (sf); previously on June 27, 2013, Downgraded to B2 (sf) Issuer: RESI Finance Limited Partnership 2004-A RESI Finance Limited Partnership 2004-A/RESI Finance DE Corporation 2004-A Cl. B1, Downgraded to Ba2 (sf); previously on Feb. 15, 2013, Downgraded to Baa3 (sf) Cl. B2, Downgraded to B1 (sf); previously on Feb. 15, 2013, Downgraded to Ba2 (sf) Issuer: RESI Finance Limited Partnership 2004-B RESI Finance Limited Partnership 2004-B/RESI Finance DE Corporation 2004-B Cl. A5, Downgraded to Baa2 (sf); previously on Dec. 4, 2012, Downgraded to Baa1 (sf) Cl. B1, Downgraded to B1 (sf); previously on Dec. 4, 2012, Downgraded to Ba1 (sf) Cl. B2, Downgraded to Caa1 (sf); previously on Dec. 4, 2012, Downgraded to Ba3 (sf) Issuer: RESI Finance Limited Partnership 2004-C RESI Finance Limited Partnership 2004-C/RESI Finance DE Corporation 2004-C Cl. B1, Downgraded to Ba3 (sf); previously on April 10, 2012, Downgraded to Ba2 (sf) Cl. B2, Downgraded to B3 (sf); previously on April 10, 2012, Downgraded to B2 (sf) Issuer: RESI Finance Limited Partnership 2005-A Class A4 Notes, Upgraded to Aaa (sf); previously on June 27, 2013, Confirmed at Aa1 (sf) Class A5 Notes, Downgraded to Ba2 (sf); previously on July 21, 2011, Downgraded to Baa2 (sf) Issuer: RESI Finance Limited Partnership 2005-C Cl. A-4, Upgraded to Aaa (sf); previously on June 27, 2013, Confirmed at A1 (sf) Issuer: SASI Finance Limited Partnership 2006-A, Sovereign Asset Synthetic Investment Securities, Series 2006-A Cl. A, Upgraded to Ba2 (sf); previously on July 18, 2011, Downgraded to B2 (sf) Issuer: Resix Finance Limited Credit-Linked Notes, Series 2003-A Cl. B10, Upgraded to Baa2 (sf); previously on Dec. 4, 2012, Downgraded to Ba3 (sf) Issuer: Resix Finance Limited Credit-Linked Notes, Series 2003-B Cl. B9, Downgraded to Caa3 (sf); previously on Dec. 4, 2012, Downgraded to Caa2 (sf) RATINGS RATIONALE The rating actions are the result of a review of the performance of the underlying pools using recently developed cash flow models which considered the timing of cash flows, principal amortization of the bonds, and build-up or reduction in credit enhancement available to the bonds, and reflect Moody's updated loss expectations on these bonds. These transactions were previously analyzed using an alternative, static approach which compared expected losses to enhancement available to the bonds. Both the static approach and the cash flow approach are described in more detail in "US RMBS Surveillance Methodology" published in November 2013. Due to a combination of features in these prime jumbo RMBS transactions -- such as shifting interest waterfalls, multiple outstanding subordinate bonds, hyper-tranching and pools with substantial remaining loan counts -- use of the cash flow modeling led to rating changes. The rating upgrades for RESI 2003-A also reflect the increase in credit enhancement available to the bonds owing to the additional support from tranche B-12 which does not receive principal distributions until all other bonds have been reduced to zero. Similarly, the rating upgrades on tranches from RESI 2005-A, RESI 2005-B, RESI 2005-C, and SASI 2006-A reflect a buildup in credit enhancement available to those bonds. In accordance with the Moody's "US RMBS Surveillance Methodology" with regards to shifting interest structures, all tranches upgraded to Aaa have passed the shifting interest stress test whereby our projection of losses was increased and the timing of future defaults was delayed in order to assess the vulnerability of these bonds to tail risk. The rating downgrades are a result of the changes which incorporate the timing of cash flows and tail risk to the bonds. In addition, the ratings downgrades on tranches from RESI 2003-CB1 RESI 2003-D, RESI 2004-A, RESI 2004-B, and RESI 2005-A take into account the declining credit enhancement available to those bonds. The rating actions on the resecuritized bonds are a direct result of actions taken on the underlying securities. For all transactions except Resix Finance Limited Credit-Linked Notes, Series 2003-A and Resix Finance Limited Credit-Linked Notes, Series 2003-B, the principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in November 2013. For Resix Finance Limited Credit-Linked Notes, Series 2003-A and Resix Finance Limited Credit-Linked Notes, Series 2003-B, the principal methodology used in these ratings was "Moody's Approach to Rating Resecuritizations" published in November 2014. 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 4.6% in November 2016 from 5.0% in November 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 $155.3MM Alt-A RMBS Issued 2005-2006 ---------------------------------------------------------------- Moody's Investors Service has upgraded ratings of 14 tranches and downgraded 2 tranches from three transaction backed by Alt-A RMBS loans, issued by multiple issuers. Complete rating actions are: Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series 2005-10 Cl. III-A-1, Downgraded to Caa3 (sf); previously on Jan. 19, 2016 Downgraded to Caa2 (sf) Cl. III-A-2, Downgraded to Caa3 (sf); previously on Jan. 19, 2016, Downgraded to Caa2 (sf) Issuer: Lehman XS Trust Series 2006-1 Cl. 1-A1, Upgraded to A1 (sf); previously on Feb. 23, 2016, Upgraded to A3 (sf) Cl. 1-A2, Upgraded to A1 (sf); previously on Feb. 23, 2016, Upgraded to A3 (sf) Cl. 1-M1, Upgraded to Ba3 (sf); previously on Feb. 23, 2016, Upgraded to B3 (sf) Issuer: Morgan Stanley Mortgage Loan Trust 2005-6AR Cl. 1-A-1, Upgraded to Aa3 (sf); previously on Feb. 23, 2016, Upgraded to A1 (sf) Cl. 1-A-2, Upgraded to Aa2 (sf); previously on Feb. 23, 2016, Upgraded to Aa3 (sf) Cl. 1-A-4, Upgraded to A1 (sf); previously on Feb. 23, 2016, Upgraded to A3 (sf) Cl. 1-M-1, Upgraded to Baa2 (sf); previously on July 2, 2014, Upgraded to Ba1 (sf) Cl. 1-M-2, Upgraded to Baa3 (sf); previously on Feb. 23, 2016, Upgraded to Ba2 (sf) Cl. 1-M-3, Upgraded to Ba1 (sf); previously on Feb. 23, 2016, Upgraded to Ba3 (sf) Cl. 1-M-4, Upgraded to Ba2 (sf); previously on Feb. 23, 2016, Upgraded to B1 (sf) Cl. 1-M-5, Upgraded to Ba3 (sf); previously on Feb. 23, 2016, Upgraded to B2 (sf) Cl. 1-M-6, Upgraded to B1 (sf); previously on Feb. 23, 2016, Upgraded to B3 (sf) Cl. 1-B-1, Upgraded to B3 (sf); previously on Feb. 23, 2016, Upgraded to Caa2 (sf) Cl. 1-B-2, Upgraded to Caa3 (sf); previously on Feb. 23, 2016, Upgraded to Ca (sf) RATINGS RATIONALE The rating actions are 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 rating downgrades are due to the build-up of undercollateralization on 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 Nov 2016 from 4.6% in Nov 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 $27MM of RMBS Issued 2005-2006 ---------------------------------------------------------- Moody's Investors Service has upgraded the rating of eight tranches and downgraded two tranches from three transactions backed by Prime Jumbo RMBS loans, issued by miscellaneous issuers. Complete rating actions are as follows: Issuer: GSR Mortgage Loan Trust 2005-3F Cl. A-X, Downgraded to B3 (sf); previously on May 18, 2015 Confirmed at B2 (sf) Issuer: GSR Mortgage Loan Trust 2005-4F Cl. A-X, Downgraded to Caa2 (sf); previously on Feb 16, 2016 Downgraded to B2 (sf) Cl. 1A-1, Upgraded to Ba2 (sf); previously on May 22, 2015 Confirmed at Ba3 (sf) Cl. 2A-1, Upgraded to Ba2 (sf); previously on May 22, 2015 Confirmed at B2 (sf) Cl. 3A-1, Upgraded to Ba2 (sf); previously on May 22, 2015 Confirmed at B1 (sf) Cl. 4A-3, Upgraded to Baa1 (sf); previously on Feb 16, 2016 Upgraded to Baa3 (sf) Cl. 6A-1, Upgraded to B3 (sf); previously on May 22, 2015 Confirmed at Caa2 (sf) Issuer: Wells Fargo Mortgage Backed Securities 2006-AR6 Trust Cl. V-A-1, Upgraded to Baa2 (sf); previously on Jun 26, 2015 Upgraded to Baa3 (sf) Cl. V-A-2, Upgraded to Baa3 (sf); previously on Mar 7, 2016 Upgraded to Ba2 (sf) Cl. VII-A-2, Upgraded to Baa3 (sf); previously on Mar 7, 2016 Upgraded to Ba2 (sf) RATINGS RATIONALE The upgrade actions on Wells Fargo Mortgage Backed Securities 2006-AR6 Trust Class V-A-2, Class VII-A-2, Class V-A-1 are primarily due to the strong coverage from credit enhancement on pools backing the transaction to protect from future projected losses. The upgrade actions on GSR Mortgage Loan Trust 2005-4F Class 6A-1, Class 1A-1, Class 2A-1, Class 3A-1, and Class 4A-3 are due to the increase in credit enhancement available to the bonds. The downgrade on GSR Mortgage Loan Trust 2005-4F Class A-X is due to the fact that it is an interest-only (IO) bond linked to multiple pools; under Moody's methodology, this IO bond is capped at the implied ratings on weighted average projected losses of the linked pools. The actions are a result of the recent performance of the underlying pools and reflect Moody's updated loss expectations on the pools. The downgrade action on GSR Mortgage Loan Trust 2005-3F Class A-X is the result of an error correction. Class A-X is an IO bond linked to a single pool. Under Moody's methodology, this IO bond should be capped at the rating of the highest rated senior class backed by this pool, which is Class 2A-4. In the prior rating action on February 16, 2016, Class 2A-4 was downgraded to B3(sf) from B2(sf); however, the rating on Class A-X was not changed accordingly. This has been corrected, and the rating action reflects this change. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in November 2013. Please see the Rating Methodologies page on www.moodys.com for a copy of this methodology. The methodology used in rating the interest-only securities was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in October 2015. 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 4.6% in November 2016 from 5.0% in November 2015. Moody's forecasts an unemployment central range of 4.5% to 5.5% for the 2016 year. Deviations from this central scenario could lead to rating actions in the sector. House prices are another key driver of US RMBS performance. Moody's expects house prices to continue to rise in 2016. Lower increases than Moody's expects or decreases could lead to negative rating actions. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. [*] S&P Completes Review of 73 Classes From 17 US RMBS Deals ------------------------------------------------------------ S&P Global Ratings completed its review of 73 classes from 17 U.S. residential mortgage-backed securities (RMBS) transactions issued between 2003 and 2007. The review yielded 21 upgrades, five downgrades, and 47 affirmations. The transactions in this review are backed by a mix of fixed- and adjustable-rate alternative-A, home-equity-line-of-credit (HELOC), scratch and dent, second-lien, and subprime mortgage loans, which are secured primarily by first and second liens on one- to four-family residential properties. ANALYSIS Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by S&P's projected cash flows. These considerations are based on transaction-specific performance or structural characteristics (or both) and their potential effects on certain classes. UPGRADES The upgrades include six ratings that were raised three or more notches. S&P's projected credit support for the affected classes is sufficient to cover its projected losses for these rating levels. The upgrades reflect one or more of these: -- Improved collateral performance/delinquency trends; -- Increased credit support relative to our projected losses; and/or -- The class' expected short duration. The upgrades on five classes from Citigroup Mortgage Loan Trust Series 2004-RES1 reflect a decrease in our projected losses and S&P's belief that its projected credit support for the affected classes will be sufficient to cover its revised projected losses at these rating levels. S&P decreased its projected losses because there have been fewer reported delinquencies during the most recent performance periods compared to those reported during the previous review date. Total delinquencies decreased to 9.01% in November of 2016 from 15.2% in March of 2014, and severe delinquencies decreased to 6.93% in November of 2016 from 14.46% in March of 2014. S&P raised its rating on class M3 to an investment-grade level as a result of the aforementioned decreased delinquencies. In addition, S&P raised its rating on class M5 to 'B (sf)' from 'CCC (sf)' because it believes this class is no longer vulnerable to default. The five-notch upgrades on classes A4 and A7 from First Franklin Mortgage Loan Trust 2006-FF10 reflect the increase in credit support of approximately 35% since the last review in March 2014. The increase in credit support allowed S&P to upgrade the classes to 'BB+ (sf)' to reflect the classes' ability to withstand a higher level of projected losses than previously anticipated. S&P raised two ratings from Centex Home Equity Loan Trust 2004-D. Class AF-4 has received approximately $588,000 in principal payments per month on average over the past 12 months; hence, the class was raised six notches due to an expected short duration. The upgrade on class AF-6 to 'AA- (sf)' from 'BBB+ (sf)' reflects the increase in credit support since the last full review in March 2014. Among the second-lien collateral upgrades, Home Equity Mortgage Trust 2004-3's class M4 experienced improved delinquencies, which led to decreased loss projections and accordingly, a five-notch upgrade to 'A+ (sf)'. DOWNGRADES The five downgrades include two ratings that were lowered three or more notches. S&P lowered its ratings on two classes to speculative grade ('BB+' or lower) from investment grade ('BBB-' or higher). Another two of the lowered ratings remained at an investment-grade level, while the remaining downgraded class already had a speculative-grade rating. The downgrades reflect S&P's belief that its projected credit support for the affected classes will be insufficient to cover its projected losses for the related transactions at a higher rating. The downgrades reflect one or more of these: -- Increased delinquencies; -- Eroded credit support; and/or -- Reduced interest payments over time due to loan modifications or other credit-related events. The rating on Bear Stearns Asset Backed Securities Trust 2004-SD1's class M1 was lowered from 'A (sf)' to 'BB (sf)' because the class' credit support has been eroding. The lack of principal class M1 has received over recent periods exposes it to losses later in its life. Loan Modifications And Imputed Promises Class AF-5 from Centex Home Equity Loan Trust 2004-D exhibited weighted average coupon (WAC) deterioration that resulted in a nine-notch downgrade to 'CCC (sf)' from 'BBB+ (sf)'. The class factor and coupon increase of 50 basis points are contributing to a maximum potential rating (MPR) of 'CCC (sf)' on the class, per our Loan Modification Methodology. When a class of securities supported by a particular collateral pool is paid interest through a WAC and the interest owed to that class is reduced because of loan modifications, S&P imputes an amount of interest owed to that class of securities by applying "Methodology For Incorporating Loan Modifications And Extraordinary Expenses Into U.S. RMBS Ratings," April 17, 2015, and "Principles For Rating Debt Issues Based On Imputed Promises," Dec. 19, 2014. Based on S&P's criteria, it applies an MPR to those classes of securities that are affected by reduced interest payments over time due to loan modifications. If S&P applies an MPR cap to a particular class, the resulting rating may be lower than if it had solely considered that class' paid interest based on the applicable WAC. AFFIRMATIONS The affirmations of ratings in the 'AAA' through 'B' rating categories reflect S&P's opinion that its projected credit support on these classes remained relatively consistent with S&P's prior projections and is sufficient to cover our projected losses for those rating scenarios. For certain transactions, S&P considered specific performance characteristics that, in its view, could add volatility to its loss assumptions and, in turn, to the ratings suggested by S&P's cash flow projections. When S&P's model recommended an upgrade, it either limited the extent of its upgrade or affirmed S&P's ratings on those classes to account for this uncertainty and promote ratings stability. In general, these classes have one or more of these characteristics that limit any potential upgrade: -- Insufficient subordination, overcollateralization, or both; -- Delinquency trends; -- Historical interest shortfalls; -- Low priority in principal payments; and/or -- Significant growth in observed loss severities. In addition, some of the transactions have failed their delinquency triggers, resulting in reduced--or a complete stop of--unscheduled principal payments to their subordinate classes. However, these transactions allow for unscheduled principal payments to resume to the subordinate classes if the delinquency triggers begin passing again. This would result in eroding the credit support available for the more senior classes. Therefore, S&P affirmed its ratings on certain classes in these transactions even though these classes may have passed at higher rating scenarios. The ratings affirmed at 'CCC (sf)' or 'CC (sf)' reflect S&P's belief that its projected credit support will remain insufficient to cover S&P's 'B' expected case projected losses for these classes. Pursuant to "Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings," Oct. 1, 2012, the 'CCC (sf)' affirmations reflect S&P's view that these classes are still vulnerable to defaulting, and the 'CC (sf)' affirmations reflect its view that these classes remain virtually certain to default. 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 4.9 % in 2016, dipping to 4.6% in 2017; -- Real GDP growth of 1.6 % for 2016 and 2.4% in 2017; -- The inflation rate will be 2.2% in both 2016 and 2017; and -- The 30-year fixed mortgage rate will average about 3.6 % in 2016, rising to 4.1% in 2017. 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: -- The unemployment rate will remain at 4.9% for 2016 and inch up to 5.0% in 2017; -- Downward pressure causes GDP growth to fall to 1.5 % in 2016 and to 1.4% in 2017; -- Home price momentum slows as potential buyers are not able to purchase property; and -- While the 30-year fixed mortgage rate remains a low 3.6% in 2016 and 2017, 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/2hUyF0w [*] S&P Completes Review of 74 Classes From 10 US RMBS Deals ------------------------------------------------------------ S&P Global Ratings completed its review of 74 classes from 10 U.S. residential mortgage-backed securities (RMBS) transactions issued between 2003 and 2005. The review yielded 20 upgrades, 10 downgrades, 30 affirmations, 12 withdrawals, and two discontinuances. The transactions in this review are backed by a mix of fixed- and adjustable-rate prime, alternative-A, and first-lien high loan-to-value (LTV) mortgage loans, which are secured primarily by first liens on one- to four-unit single-family residential properties. ANALYSIS Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by S&P's projected cash flows. These considerations are based on transaction-specific performance or structural characteristics (or both) and their potential effects on certain classes. UPGRADES The upgrades include 12 ratings that were raised three or more notches. S&P's projected credit support for the affected classes is sufficient to cover its projected losses for these rating levels. The upgrades reflect one or more of these: -- Increased credit support relative to S&P's projected losses; -- A change in payment allocation due to failing triggers; and/or -- The class' expected short duration. The upgrades on classes A-1, M-1, and M-2 from RAMP Series 2003-RZ2 Trust, classes M-1 and M-2 from RAMP Series 2003-RZ3, classes A-2, M-1, and M-2 from Thornburg Mortgage Securities Trust 2003-4, classes A-2 and M from Thornburg Mortgage Securities Trust 2003-6, and classes M-3, M-4, M-5, M-6, M-7, and M-9 from RAMP Series 2005-RZ1 Trust are due to an increase in the credit support available to each class. As a result, each class is able to withstand loss stresses at higher rating scenarios. The upgrades on class A-6 from RAMP Series 2003-RZ3 Trust and class M-2 from RAMP Series 2005-RZ1 Trust are due to an expected short remaining duration based off of the current rate of payments received. The upgrades on classes A-5-A and A-5-B from RAMP Series 2003-RZ3 Trust reflect the impact of the transaction's cumulative loss trigger's failure, resulting in permanent sequential principal payments to all classes. These classes will now receive all-principal payments until they have been paid down to zero, during which time, principal payments will not be made to more subordinate classes. This sequential principal payment mechanism prevents credit support erosion and results in an earlier pay down to the more senior classes before back-end losses can occur. S&P raised its ratings on classes M-2 from RAMP Series 2003-RZ2 Trust and M-2 from RAMP Series 2003-RZ3 to 'B (sf)' from 'CCC (sf)' because S&P believes these classes are no longer vulnerable to default. S&P also raised the rating on class M-9 from RAMP Series 2005-RZ1 Trust to 'CCC (sf)' from 'CC (sf)' because S&P believes this class is no longer virtually certain to default, primarily due to the improved performance of the collateral backing this transaction. However, the 'CCC (sf)' rating reflects S&P's belief that its projected credit support will remain insufficient to cover its projected losses for these classes and that the classes are still vulnerable to defaulting. DOWNGRADES The downgrades include two ratings that were lowered four or more notches. S&P lowered its ratings on two classes to speculative grade ('BB+' or lower) from investment grade ('BBB-' or higher). Another six of the lowered ratings remained at an investment-grade level, while the remaining two downgraded classes already had speculative-grade ratings. The downgrades reflect S&P's belief that its projected credit support for the affected classes will be insufficient to cover its projected losses for the related transactions at a higher rating. The downgrades reflect one or more of these: -- Deteriorated credit performance trends; -- Declining constant prepayment rates (CPRs); -- Principal-only (PO) criteria; and/or -- Tail risk. The downgrades on classes A-1, A-2, A-3, A-5, A-6, B-1, and B-2 from WaMu Mortgage Pass-Through Certificates Series 2003-S8 Trust reflect the increase in S&P's projected losses and its belief that the projected credit support for the affected classes will be insufficient to cover the projected losses S&P applied at the previous rating levels. The increase in our projected losses is due to higher reported delinquencies during the most recent performance periods when compared to those reported during the previous review dates. Severe delinquencies increased to 6.15% in October 2016 from 2.11% in May 2015. The downgrade to class P reflects the application of S&P's PO criteria. The PO strip rating was lowered commensurate with the lowest-rated senior class within the structure. The downgrade on class M-1 from RFMSI Series 2003-S12 Trust reflects a decrease in the CPR observed for the underlying pool to 16.00% in October 2016 from 27.15% in March 2014. Because the payment allocation triggers have failed, resulting in permanent sequential principal payments to all classes, the lower CPR has limited principal payments to this more senior mezzanine class. This has extended its duration and made it more susceptible to back-end losses. Tail Risk RFMSI Series 2003-S18 Trust is backed by a small remaining pool of mortgage loans. S&P believes that pools with less than 100 loans remaining create an increased risk of credit instability, because a liquidation and subsequent loss on one loan, or a small number of loans, at the tail end of a transaction's life may have a disproportionate impact on a given RMBS tranche's remaining credit support. S&P refers to this as "tail risk." S&P addressed the tail risk by conducting a loan-level analysis that assesses this risk, as set forth in our tail risk criteria. The downgrade on class A-2 to 'B+ (sf)' from 'BBB+ (sf)' from this transaction reflects the application of S&P's tail risk criteria. AFFIRMATIONS The ratings affirmations in the 'AAA' through 'B' rating categories reflect S&P's opinion that its projected credit support on these classes remained relatively consistent with its prior projections and is sufficient to cover its projected losses for those rating scenarios. For certain transactions, S&P considered specific performance characteristics that, in its view, could add volatility to its loss assumptions and, in turn, to the ratings suggested by S&P's cash flow projections. When S&P's model recommended an upgrade, it either limited the extent of our upgrade or affirmed its ratings on those classes to account for this uncertainty and promote ratings stability. In general, these classes have one or more of these characteristics that limit any potential upgrade: -- Insufficient subordination, overcollateralization, or both; -- Delinquency trends; and/or -- Low priority in principal payments. In addition, some of the transactions have failed their delinquency triggers, resulting in reduced--or a complete stop of--unscheduled principal payments to their subordinate classes. However, these transactions allow for unscheduled principal payments to resume to the subordinate classes if the delinquency triggers begin passing again. This would result in eroding the credit support available for the more senior classes. Therefore, S&P affirmed its ratings on certain classes in these transactions even though these classes may have passed at higher rating scenarios. The ratings affirmed at 'CCC (sf)' reflect S&P's belief that its projected credit support will remain insufficient to cover its 'B' expected case projected losses for these classes. Pursuant to "Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings," Oct. 1, 2012, the 'CCC (sf)' affirmations reflect S&P's view that these classes are still vulnerable to defaulting. WITHDRAWALS S&P withdrew its ratings on 11 classes from Deutsche Mortgage Securities Inc. Mortgage Loan Trust Series 2004-1 because the related pool has a small number of loans remaining. Once a pool has declined to a de minimis amount, S&P believes there is a high degree of credit instability that is incompatible with any rating level. The rating on class X from WaMu Mortgage Pass-Through Certificates Series 2003-S8 Trust was withdrawn according to S&P's interest-only (IO) criteria, which states that S&P will maintain the current rating on an IO class until the ratings on all of the classes that the IO security references, in the determination of its notional balance, are either lowered below 'AA- (sf)' or have been retired, at which time S&P will withdraw the IO rating. All of the referenced classes have a current rating below 'AA- (sf)'. A criteria interpretation for the above mentioned criteria was issued to clarify that when the criteria state "we will maintain the current ratings," it means that we will maintain active surveillance of these IO classes using the methodology applied prior to the release of this criteria. DISCONTINUANCES S&P discontinued its 'D (sf)' ratings on classes M-3 and B-1 from RFMSI Series 2003-S18 Trust. These classes have a zero balance and have been written down as a result of realized losses that remain outstanding. S&P discontinued these ratings according to our surveillance and withdrawal policy, as S&P views a subsequent upgrade to a rating higher than 'D (sf)' to be unlikely under the relevant criteria. ECONOMIC OUTLOOK When determining a U.S. RMBS collateral pool's relative credit quality, S&P's loss expectations stem, to a certain extent, from its view of how the loans will behave under various economic conditions. S&P Global Ratings' baseline macroeconomic outlook assumptions for variables that it believes could affect residential mortgage performance are: -- An overall unemployment rate of 4.9 % in 2016, dipping to 4.6% in 2017; -- Real GDP growth of 1.6 % for 2016 and 2.4% in 2017; -- The inflation rate will be 2.2% in both 2016 and 2017; and -- The 30-year fixed mortgage rate will average about 3.6 % in 2016, rising to 4.1% in 2017. S&P's outlook for RMBS is stable. Although S&P views overall housing fundamentals positively, it believes RMBS fundamentals still hinge on additional factors, such as the ultimate fate of modified loans, the propensity of servicers to advance on delinquent loans, and liquidation timelines. Under S&P's baseline economic assumptions, it expects RMBS collateral quality to improve. However, if the U.S. economy were to become stressed in line with S&P Global Ratings' downside forecast, it believes that U.S. RMBS credit quality would weaken. S&P's downside scenario reflects these key assumptions: -- The unemployment rate will remain at 4.9% for 2016 and inch up to 5.0% in 2017; -- Downward pressure causes GDP growth to fall to 1.5 % in 2016 and to 1.4% in 2017; -- Home price momentum slows as potential buyers are not able to purchase property; and -- While the 30-year fixed mortgage rate remains a low 3.6% in 2016 and 2017, 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/2hkZslV [*] S&P Completes Review on 45 Classes From 9 RMBS Deals -------------------------------------------------------- S&P Global Ratings completed its review of 45 classes from nine U.S. residential mortgage-backed securities (RMBS) transactions issued between 1998 and 2005. The review yielded 10 upgrades, 19 downgrades, and 16 affirmations. The transactions in this review are backed by a mix of fixed- and adjustable-rate prime jumbo mortgage loans, which are secured primarily by first liens on one- to four-family residential properties. For insured obligations where S&P maintains a rating on the bond insurer that is lower than what S&P would rate the class without bond insurance, or where the bond insurer is not rated, S&P relied solely on the underlying collateral's credit quality and the transaction structure to derive the rating on the class. Of the classes reviewed, MASTR Asset Securitization Trust 2005-1's class 2-A-2 ('AA (sf)') is insured by Assured Guaranty Municipal Corp., currently rated 'AA' by S&P Global Ratings. Some of the rating actions reflect the application of S&P's interest-only (IO) criteria, which provide that S&P will maintain the current rating on an IO class until all of the classes that the IO security references are either lowered to below 'AA- (sf)' or have been retired--at which time S&P will withdraw the IO rating. The ratings on each of these classes have been affected by recent rating actions on the reference classes upon which their notional balances are based. A criteria interpretation for the abovementioned criteria was issued to clarify that when the criteria state "we will maintain the current ratings," it means that we will maintain active surveillance of these IO classes using the methodology applied prior to the release of this criteria. ANALYSIS Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by S&P's projected cash flows. These considerations are based on transaction-specific performance or structural characteristics (or both) and their potential effects on certain classes. UPGRADES The upgrades include five ratings that were raised three or more notches. S&P's projected credit support for the affected classes is sufficient to cover its projected losses for these rating levels. The upgrades reflect improved collateral performance/delinquency trends and/or increased credit support relative to S&P's projected losses. The upgrades on classes II-A-1, II-A-2, II-A-3, and II-A-4 from BellaVista Mortgage Trust 2004-1 and classes A-1 and A-2 from Bear Stearns ARM Trust 2005-2 reflect a decrease in S&P's projected losses for the related transactions and S&P's belief that its projected credit support for the affected classes will be sufficient to cover its revised projected losses at these rating levels. S&P has decreased its projected losses because there have been fewer reported delinquencies for the associated pools during the most recent performance periods compared to those reported during the previous review dates. BellaVista Mortgage Trust 2004-1's severe delinquencies decreased to 7.5% in October 2016 from 12.25% in October 2014. Bear Stearns ARM Trust 2005-2's severe delinquencies decreased to 2.8% in October 2016 from 4.2% in October 2014. The upgrades on class II-A-1 from Bear Stearns ARM Trust 2003-5 and classes 2-A-1, 2-A-2, and 3-A from CHL Mortgage Pass-Through Trust 2003-58 are due to an increase in credit support available to each class. The increase in credit support is attributed to the collateral amortizing faster than the junior support class reduction. In both of these transactions, there are insufficient available funds to fully pay the junior support class' principal after allocating available funds to senior class' principal and interest and junior class' interest. As a result, these classes were able to withstand loss stresses at higher rating scenarios. DOWNGRADES The downgrades include 16 ratings that were lowered three or more notches. S&P lowered its ratings on six classes to speculative grade ('BB+' or lower) from investment grade ('BBB-' or higher). Another four of the lowered ratings remained at an investment-grade level, while the remaining nine downgraded classes already had speculative-grade ratings. The downgrades reflect S&P's belief that its projected credit support for the affected classes will be insufficient to cover its projected losses for the related transactions at a higher rating. The downgrades reflect one or more of these: -- Deteriorated credit performance trends; -- Erosion of credit support; -- Rising constant prepayment rates (CPRs); -- Tail risk; and/or -- Increased reperforming loans. The downgrades on classes 2-A-8 and 2-A-9 from MASTR Asset Securitization Trust 2005-1 reflect the impact of delinquency triggers that are now allowing unscheduled principal payments to be made to more subordinate classes, eroding credit support for the affected senior classes. Before the recent passing of the delinquency triggers, all unscheduled principal was applied to paying down the senior classes locking out the junior classes of unscheduled principal. The downgrade on class M from Fannie Mae Remic Trust 1998 W6 reflects an increase in the prepayment rate observed for the underlying pool. The higher prepayments have allowed more principal payments to be made to the transaction's subordinate classes, eroding credit support for the senior classes leaving them vulnerable to potential back-ended losses. The 12-month CPR has increased to 19% at October 2016 from 12.4% at April 2016. The average 12-month CPR was 12% from April 2014 to April 2016. The downgrades on class 1-B-1 from Bear Stearns ARM Trust 2003-5, on class 1-A-1 from Bear Stearns ARM Trust 2004-7 and on classes A-3 and A-4 from Bear Stearns ARM Trust 2005-2, are due to decreased credit enhancement available to these classes. Both of these classes have experienced the paydown and write-downs of junior support classes, therefore eroding credit support. As a result, these classes are exposed to potential back ended losses. The downgrades on classes A-1, A-2, and A-3 from Merrill Lynch Mortgage Investors Trust Series MLCC 2004-D and on classes A-1 and A-2 from Merrill Lynch Mortgage Investors Trust Series MLCC 2005-B reflect the increase in S&P's projected losses and its belief that the projected credit support for the affected classes will be insufficient to cover the projected losses S&P applied at the previous rating levels. The increase in S&P's projected losses is due to higher reported delinquencies during the most recent performance periods compared to those reported during the previous review dates. Merrill Lynch Mortgage Investors Trust Series MLCC 2004-D's severe delinquencies increased to 12.1% in October 2016 from 7.4% in October 2014. Merrill Lynch Mortgage Investors Trust Series MLCC 2005-B's severe delinquencies increased to 14.2% in October 2016 from 8.5% in October 2014. The downgrade on class 1-A-1 from MASTR Asset Securitization Trust 2005-1 reflects the collateral impact of a recent loan modification on one large-balanced loan in collateral group 1. This modification brought the loan from over 90 days delinquent to a reperforming status, but increased the loan's remaining term from 45 months to 223 months, which results in extending principal payments to class 1-A-1. The maturity date of class 1-A-1 is May 2020, which ultimately reduces the likelihood of payoff at maturity and exposes class 1-A-1 to future losses at higher rating scenarios due to the term extension. Tail Risk Bear Stearns ARM Trust 2004-7 is backed by a small remaining pool of mortgage loans. S&P believes that pools with less than 100 loans remaining create an increased risk of credit instability, because a liquidation and subsequent loss on one loan, or a small number of loans, at the tail end of a transaction's life may have a disproportionate impact on a given RMBS tranche's remaining credit support. S&P refers to this as "tail risk." S&P addressed the tail risk on the classes I-A-2, II-A-1, III-A, and IV-A from this transaction by conducting a loan-level analysis that assesses this risk, as set forth in our tail risk criteria. Today's rating actions on these classes reflect the application of S&P's tail risk criteria. AFFIRMATIONS The affirmations of ratings in the 'AAA' through 'B' rating categories reflect S&P's opinion that its projected credit support on these classes remained relatively consistent with S&P's prior projections and is sufficient to cover its projected losses for those rating scenarios. For certain transactions, S&P considered specific performance characteristics that, in its view, could add volatility to its loss assumptions and, in turn, to the ratings suggested by S&P's cash flow projections. When S&P's model recommended an upgrade, it either limited the extent of our upgrade or affirmed its ratings on those classes to account for this uncertainty and promote ratings stability. In general, these classes have one or more of these characteristics that limit any potential upgrade: -- Insufficient subordination; -- Delinquency trends; -- Historical interest shortfalls; and/or -- Low priority in principal payments. In addition, some of the transactions have failed their delinquency triggers, resulting in reduced -- or a complete stop of -- unscheduled principal payments to their subordinate classes. However, these transactions allow for unscheduled principal payments to resume to the subordinate classes if the delinquency triggers begin passing again. This would result in eroding the credit support available for the more senior classes. Therefore, S&P affirmed its ratings on certain classes in these transactions even though these classes may have passed at higher rating scenarios. The ratings affirmed at 'CCC (sf)' or 'CC (sf)' reflect S&P's belief that its projected credit support will remain insufficient to cover its 'B' expected case projected losses for these classes. Pursuant to "Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings," published Oct. 1, 2012, the 'CCC (sf)' affirmations reflect S&P's view that these classes are still vulnerable to defaulting, and the 'CC (sf)' affirmations reflect S&P's view that these classes remain virtually certain to default. 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 1.5% for 2016; -- The inflation rate will be 2.2% in 2016; and -- The 30-year fixed mortgage rate will average about 3.7% in 2016. S&P's outlook for RMBS is stable. Although S&P views overall housing fundamentals positively, it believes RMBS fundamentals still hinge on additional factors, such as the ultimate fate of modified loans, the propensity of servicers to advance on delinquent loans, and liquidation timelines. Under S&P's baseline economic assumptions, it expects RMBS collateral quality to improve. However, if the U.S. economy were to become stressed in line with S&P Global Ratings' downside forecast, it believes that U.S. RMBS credit quality would weaken. S&P's downside scenario reflects these key assumptions: -- Total unemployment will tick up to 4.9% for 2016; -- Downward pressure causes GDP growth to fall to 1.4% 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 3.6% 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/2h6Kgg8 [*] S&P Lowers Ratings on 6 Classes From 5 US CMBS Transactions --------------------------------------------------------------- S&P Global Ratings lowered its ratings on six classes of commercial mortgage pass-through certificates from five U.S. commercial mortgage-backed securities (CMBS) transactions. Specifically, S&P lowered its ratings to 'D (sf)' on four classes from four U.S. CMBS transactions due to accumulated interest shortfalls that S&P expects to remain outstanding for the foreseeable future. S&P also lowered its ratings on two other classes to 'AA- (sf)' and 'CCC- (sf)' from one U.S. CMBS transaction due to current and potential interest shortfalls. The recurring interest shortfalls for the respective certificates are primarily due to one or more of these factors: -- Appraisal subordinate entitlement reduction (ASER) amounts in effect for specially serviced assets; -- The lack of servicer advancing for loans/assets where the servicer has made nonrecoverable advance declarations; -- Interest rate modifications or deferrals, or both, related to corrected mortgage loans; and -- Special servicing fees. S&P's analysis primarily considered the ASER amounts based on appraisal reduction amounts (ARAs) calculated using recent Member of the Appraisal Institute (MAI) appraisals. S&P also considered servicer-nonrecoverable advance declarations and special servicing fees that are likely, in S&P's view, to cause recurring interest shortfalls. The servicer implements ARAs and resulting ASER amounts according to each respective transaction's terms. Typically, these terms call for an ARA equal to 25% of the stated principal balance of a loan to be implemented when a loan is 60 days past due and an appraisal or other valuation is not available within a specified time frame. S&P primarily considered ASER amounts based on ARAs calculated from MAI appraisals when deciding which classes from the affected transactions to downgrade to 'D (sf)'. This is because ARAs based on a principal balance haircut are highly subject to change, or even reversal, once the special servicer obtains the MAI appraisals. Servicer-nonrecoverable advance declarations can prompt shortfalls due to a lack of debt-service advancing, the recovery of previously made advances after an asset was deemed nonrecoverable, or the failure to advance trust expenses when nonrecoverable declarations have been determined. Trust expenses may include, but are not limited to, property operating expenses, property taxes, insurance payments, and legal expenses. Discussions of the individual transactions follow. CD 2006-CD3 MORTGAGE TRUST S&P lowered its rating on the class X-S interest-only (IO) commercial mortgage pass-through certificates to 'AA- (sf)' and the class B certificates from the same transaction to 'CCC- (sf)' to reflect current interest shortfalls and accumulated interest shortfalls outstanding for one month each. Based on S&P's analysis, it expects interest shortfalls to the trust will vary over the near term. This is primarily due to variable expenses to the trust as a result of expenses associated with the 660 South Figueroa Tower asset, which was liquidated from the trust in May 2014. Due to ongoing litigation with the borrower, the trust has incurred expenses averaging about $145,000 since October 2015. The most recent expense incurred by the trust in the November 2016 trustee remittance report was $351,843. While the shortfalls to these classes may be repaid in the near-term, any increase in expenses can result in additional shortfalls as well as prolong periods of shortfalls outstanding. But if the shortfalls remain outstanding for an extended period of time, additional rating actions may be taken on classes X-S and B. According to the Nov. 18, 2016, trustee remittance report, the current monthly interest shortfalls totaled $216,441 (offset by $505,688 of principal proceeds) and resulted primarily from: -- Other shortfalls totaling $351,843; -- Current ASER totaling $296,945; -- Special servicing fees totaling $60,404; and -- Shortfalls due to interest rate modifications totaling $12,933. The current reported interest shortfalls have affected all classes outstanding in the transaction except for class A-M, which is the most senior class. GMAC COMMERCIAL MORTGAGE SECURITIES, INC. SERIES 2004-C2 S&P lowered its rating on the class B commercial mortgage pass-through certificates to 'D (sf)' to reflect accumulated interest shortfall outstanding for seven months. Based on S&P's analysis, it expects interest shortfall to continue in the near term. According to the Nov. 10, 2016, trustee remittance report, the current monthly interest shortfalls totaled $245,133 and resulted primarily from: -- Interest not advanced totaling $262,997; -- Special servicing fees totaling $12,512; and -- Other shortfalls totaling $1,351. The current reported interest shortfalls have affected all classes subordinate to and including class B. CITIGROUP COMMERCIAL MORTGAGE TRUST 2004-C2 S&P lowered its rating on class J commercial mortgage pass-through certificates to 'D (sf)' to reflect accumulated interest shortfalls outstanding for five months. Based on S&P's analysis, it expects interest shortfalls to continue in the near term. While class J may experience repayment of its outstanding interest shortfalls upon liquidation of certain specially serviced assets, S&P believes this class will continue to experience future shortfalls in subsequent periods. According to the Nov. 18, 2016, trustee remittance report, the current monthly interest shortfalls totaled $85,450 and resulted primarily from: -- Current ASER totaling $68,091; and -- Special servicing fees totaling $17,359. The current reported interest shortfalls have affected all classes subordinate to and including class J. CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP. SERIES 2003-C4 S&P lowered its rating on the class L commercial mortgage pass-through certificates to 'D (sf)' to reflect accumulated interest shortfalls outstanding for five months. Based on S&P's analysis, it expects interest shortfall to continue in the near term. According to the Nov. 18, 2016, trustee remittance report, the current monthly interest shortfalls totaled $19,810 and resulted primarily from: -- Interest not advanced totaling $19,122; and -- Special servicing fees totaling $860. The current reported interest shortfalls have affected all classes subordinate to and including class L. ML-CFC COMMERCIAL MORTGAGE TRUST 2006-1 S&P lowered its rating on the class C commercial mortgage pass-through certificates to 'D (sf)' to reflect accumulated interest shortfalls outstanding for five months. Based on S&P's analysis, it expects interest shortfall to continue in the near term. According to the Nov. 14, 2016, trustee remittance report, the current net monthly interest shortfalls totaled $45,099 and resulted primarily from: -- Other shortfalls totaling $28,133; -- Current ASER totaling $14,355; -- Special servicing fees totaling $1,543; and -- Workout fees totaling $1,069. The current reported interest shortfalls have affected all classes subordinate to and including class C. RATINGS LOWERED CD 2006-CD3 Mortgage Trust Commercial mortgage pass-through certificates Reported Rating interest shortfalls ($) Class To From Current Accumulated B CCC- (sf) CCC (sf) 106,546 106,546 X-S AA- (sf) AAA (sf) 12,349 12,349 Citigroup Commercial Mortgage Trust 2004-C2 Commercial mortgage pass-through certificates Reported Rating interest shortfalls ($) Class To From Current Accumulated J D (sf) B+ (sf) 21,445 50,700 Credit Suisse First Boston Mortgage Securities Corp. Series 2003-C4 Commercial mortgage pass-through certificates Reported Rating interest shortfalls ($) Class To From Current Accumulated L D (sf) B (sf) 4,943 23,439 GMAC Commercial Mortgage Securities Inc. Series 2004-C2 Commercial mortgage pass-through certificates Reported Rating interest shortfalls ($) Class To From Current Accumulated B D (sf) CCC- (sf) 82,707 578,949 ML-CFC Commercial Mortgage Trust 2006-1 Commercial mortgage pass-through certificates Reported Rating interest shortfalls ($) Class To From Current Accumulated C D (sf) B- (sf) 36,062 159,799 [*] S&P Puts 90 Tranches From 24 CLO Deals on Watch Positive ------------------------------------------------------------ S&P Global Ratings placed on CreditWatch with positive implications its ratings on 90 tranches from 24 U.S. collateralized loan obligation (CLO) transactions. At the same time, the rating on one tranche from one U.S. CLO transaction was placed on CreditWatch with negative implications. The CreditWatch placements follow S&P's surveillance review of U.S. cash flow collateralized debt obligation (CDO) transactions. The affected tranches had an original issuance amount of approximately $2.23 billion. The CreditWatch positive placements resulted from enhanced overcollateralization due to paydowns to the senior tranches of these CLO transactions. All of the transactions have exited their reinvestment periods. The CreditWatch negative placement resulted from the failing junior overcollateralization ratio test and the high concentration of 'CCC' rated assets in the portfolio. S&P believes that the credit support available to these notes may no longer be commensurate with their current rating. The impacted tranche is subordinate within its respective transaction and therefore more vulnerable to distressed market conditions and losses in the transaction. The table below reflects the year of issuance for the 25 transactions whose ratings were placed on CreditWatch. Year of issuance No. of deals 2006 2 2007 6 2011 1 2012 13 2013 1 2015 2 S&P expects to resolve the CreditWatch placements within 90 days after it completes a comprehensive cash flow analysis and committee review for each of the affected transactions. S&P will continue to monitor the CDO transactions it rates and take rating actions, including CreditWatch placements, as S&P deems appropriate. RATINGS PLACED ON CREDITWATCH POSITIVE ACA CLO 2007-1 Ltd. Rating Class To From C AA (sf)/Watch Pos AA (sf) D BBB- (sf)/Watch Pos BBB- (sf) AMMC CLO X Ltd. Rating Class To From B AA+ (sf)/Watch Pos AA+ (sf C AA- (sf)/Watch Pos AA- (sf) D A- (sf)/Watch Pos A- (sf) E BB+ (sf)/Watch Pos BB+ (sf) F BB- (sf)/Watch Pos BB- (sf) Ares XXIII CLO Ltd. Rating Class To From B-R-1 AA (sf)/Watch Pos AA (sf B-R-2 AA (sf)/Watch Pos AA (sf) C-R A (sf)/Watch Pos A (sf) D-R BBB (sf)/Watch Pos BBB (sf) E BB (sf)/Watch Pos BB (sf) Babson CLO Ltd. 2012-I Rating Class To From B AA (sf)/Watch Pos AA (sf) C BBB+ (sf)/Watch Pos BBB+ (sf) D BB+ (sf)/Watch Pos BB+ (sf) Carlyle Global Market Strategies CLO 2012-1 Ltd. Rating Class To From B-R AA (sf)/Watch Pos AA (sf) C-R A (sf)/Watch Pos A (sf) D-R BBB (sf)/Watch Pos BBB (sf) Cornerstone CLO Ltd. Rating Class To From B A+ (sf)/Watch Pos A+ (sf) C BBB+ (sf)/Watch Pos BBB+ (sf) D B- (sf)/Watch Pos B- (sf) Emerson Place CLO Ltd. Rating Class To From B A+ (sf)/Watch Pos A+ (sf) C BBB- (sf)/Watch Pos BBB- (sf) Flatiron CLO 2011-1 Ltd. Rating Class To From B AA (sf)/Watch Pos AA (sf) C-1 A (sf)/Watch Pos A (sf) C-2 A (sf)/Watch Pos A (sf) D BBB (sf)/Watch Pos BBB (sf) E BB (sf)/Watch Pos BB (sf) Fraser Sullivan CLO VII Ltd. Rating Class To From A-2R AA (sf)/Watch Pos AA (sf) B-R A (sf)/Watch Pos A (sf) C-R BBB (sf)/Watch Pos BBB (sf) D-R BB (sf)/Watch Pos BB (sf) Gale Force 3 CLO Ltd. Rating Class To From C AA+ (sf)/Watch Pos AA+ (sf) D A+ (sf)/Watch Pos A+ (sf) Gramercy Park CLO Ltd. Rating Class To From A-2-R AA (sf)/Watch Pos AA (sf) B-R A (sf)/Watch Pos A (sf) C-R BBB (sf)/Watch Pos BBB (sf) D-R BB (sf)/Watch Pos BB (sf) JFIN CLO 2012 Ltd. Rating Class To From A-2a AA+ (sf)/Watch Pos AA+ (sf) A-2b AA (sf)/Watch Pos AA (sf) B-1 A+ (sf)/Watch Pos A+ (sf) B-2 A (sf)/Watch Pos A (sf) C BBB (sf)/Watch Pos BBB (sf) JFIN Revolver CLO 2015 Ltd. Rating Class To From B-1 AA (sf)/Watch Pos AA (sf) B-F AA (sf)/Watch Pos AA (sf) C A (sf)/Watch Pos A (sf) D BBB (sf)/Watch Pos BBB (sf) E VFN BB (sf)/Watch Pos BB (sf) Combo AA (sf)/Watch Pos AA (sf) JFIN Revolver CLO 2015-II Ltd. Rating Class To From B-1 AA (sf)/Watch Pos AA (sf) B-F AA (sf)/Watch Pos AA (sf) C A (sf)/Watch Pos A (sf) D BBB (sf)/Watch Pos BBB (sf) E VFN BB (sf)/Watch Pos BB (sf) JFIN Revolver CLO Ltd. Rating Class To From B AA (sf)/Watch Pos AA (sf) C A (sf)/Watch Pos A (sf) D BBB (sf)/Watch Pos BBB (sf) E BB (sf)/Watch Pos BB (sf) KVK CLO 2012-1 Ltd. Rating Class To From B AA+ (sf)/Watch Pos AA+ (sf) C AA- (sf)/Watch Pos AA- (sf) D A- (sf)/Watch Pos A- (sf) E BB+ (sf)/Watch Pos BB+ (sf) LCM X Ltd. Partnership Rating Class To From B-R AA (sf)/Watch Pos AA (sf) C-R A (sf)/Watch Pos A (sf) D-R BBB (sf)/Watch Pos BBB (sf) E-R BB (sf)/Watch Pos BB (sf) Madison Park Funding VIII Ltd. Rating Class To From B-R AA (sf)/Watch Pos AA (sf) C-R A (sf)/Watch Pos A (sf) D-R BBB (sf)/Watch Pos BBB (sf) MAPS CLO Fund II Ltd. Rating Class To From B AA+ (sf)/Watch Pos AA+ (sf) C A+ (sf)/Watch Pos A+ (sf) D BB+ (sf)/Watch Pos BB+ (sf) Octagon Investment Partners XII Ltd. Rating Class To From B-1-R AA (sf)/Watch Pos AA (sf) B-2-R AA (sf)/Watch Pos AA (sf) C-R A (sf)/Watch Pos A (sf) D-R BBB (sf)/Watch Pos BBB (sf) E-R BB- (sf)/Watch Pos BB- (sf) Schiller Park CLO Ltd. Rating Class To From C AA+ (sf)/Watch Pos AA+ (sf) D A+ (sf)/Watch Pos A+ (sf) Sound Point CLO I Ltd. Rating Class To From B AA+ (sf)/Watch Pos AA+ (sf) C A+ (sf)/Watch Pos A+ (sf) D BBB+ (sf)/Watch Pos BBB+ (sf) E BB+ (sf)/Watch Pos BB+ (sf) Stone Tower CLO VI Ltd. Rating Class To From B AA+ (sf)/Watch Pos AA+ (sf) C A+ (sf)/Watch Pos A+ (sf) D BB+ (sf)/Watch Pos BB+ (sf) Symphony CLO VIII Ltd. Partnership Rating Class To From B-R AA (sf)/Watch Pos AA (sf) C-R A (sf)/Watch Pos A (sf) D-R BBB (sf)/Watch Pos BBB (sf) E-R BB (sf)/Watch Pos BB (sf) RATINGS PLACED ON CREDITWATCH NEGATIVE Airlie CLO 2006-II Ltd. Rating Class To From D B+ (sf)/Watch Neg B+ (sf) ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers public debt and equity securities about which we report. Each Tuesday edition of the TCR contains a list of companies with insolvent balance sheets whose shares trade higher than $3 per share in public markets. At first glance, this list may look like the definitive compilation of stocks that are ideal to sell short. Don't be fooled. Assets, for example, reported at historical cost net of depreciation may understate the true value of a firm's assets. A company may establish reserves on its balance sheet for liabilities that may never materialize. The prices at which equity securities trade in public market are determined by more than a balance sheet solvency test. On Thursdays, the TCR delivers a list of recently filed Chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/books/to order any title today. Monthly Operating Reports are summarized in every Saturday edition of the TCR. The Sunday TCR delivers securitization rating news from the week then-ending. TCR subscribers have free access to our on-line news archive. Point your Web browser to http://TCRresources.bankrupt.com/and use the e-mail address to which your TCR is delivered to login. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter is a daily newsletter co-published by Bankruptcy Creditors Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., USA. Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Valerie Udtuhan, Howard C. Tolentino, Carmel Paderog, Meriam Fernandez, Joel Anthony G. Lopez, Cecil R. Villacampa, Sheryl Joy P. Olano, Psyche A. Castillon, Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2016. All rights reserved. ISSN: 1520-9474. 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