/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/170226.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, February 26, 2017, Vol. 21, No. 56 Headlines AMERICAN CREDIT 2017-1: S&P Gives Prelim BB Rating to Class E Notes ARES CLO XXVIII: S&P Affirms 'B' Rating on Class F Notes BBCMS MORTGAGE 2017-C1: DBRS Gives Prov. B(low) Rating to G Debt BLADE ENGINE 2006-1: Moody's Cuts Rating on Cl. 2006-1B Debt to Ca CAPITAL AUTO 2015-2: Fitch Hikes Cl. E Debt Rating From 'BB-sf' COMM 2013-CCRE8: DBRS Confirms BB Rating on Class E Debt DT AUTO 2017-1: S&P Assigns 'BB' Rating on Class E Notes EXETER AUTOMOBILE 2017-1: DBRS Finalizes BB Rating on Class D Notes GRIPPEN PARK: Moody's Assigns (P)Ba3 Rating to Class E Notes GS MORTGAGE 2017-485L: S&P Assigns BB- Rating on Cl. HRR Certs HERTZ VEHICLE II: DBRS Confirms BB Rating on Class D Notes MADISON PARK XV: Moody's Assigns Ba3 Rating to Class D-R Sr. Notes MARATHON CLO IX: S&P Assigns Prelim. BB- Rating on Cl. D Notes MASTR TRUST 2007-3: Moody's Takes Action on $23.1MM RMBS MORGAN STANLEY 2014-C15: DBRS Confirms B Rating on Class H Debt NEWSTAR 2013-1: S&P Gives Prelim. BB- Rating to Class E-N Notes OAKTREE CLO 2014-2: S&P Affirms 'BB' Rating on Class D Notes RACE POINT VIII: S&P Assigns 'BB-' Rating on Class E-R Notes SDART 2017-1: S&P Gives Prelim BB Rating on Class E Notes SEQUOIA MORTGAGE 2017-2: Moody's Assigns B2 Rating to Cl. B-4 Debt VENTURE XII CLO: S&P Assigns Prelim. BB Rating on Class E-R Notes WACHOVIA BANK 2004-C11: S&P Raises Rating on Class J Certs to B+ [*] DBRS Reviews 448 Classes From 44 US RMBS Deals [*] Moody's Hikes $52MM of Prime Jumbo RMBS Issued 2015 [*] Moody's Takes Action on $263.6MM of RMBS Issued 2002-2006 [*] S&P Completes Review on 164 Classes From 13 RMBS Transactions [*] S&P Lowers Rating on 98 Classes From 65 RMBS Deals to 'D' ********* AMERICAN CREDIT 2017-1: S&P Gives Prelim BB Rating to Class E Notes ------------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to American Credit Acceptance Receivables Trust 2017-1's $209.000 million asset-backed notes series 2017-1. The note issuance is an asset-backed securities transaction backed by subprime auto loan receivables. The preliminary ratings are based on information as of Feb. 16, 2017. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The availability of approximately 66.1%, 59.7%, 49.4%, 40.1%, and 36.7% of credit support for the class A, B, C, D, and E notes, respectively, based on break-even stressed cash flow scenarios (including excess spread), which provide coverage of approximately 2.35x, 2.10x, 1.70x, 1.35x, and 1.25x S&P's 27.50%-28.50% expected net loss range for the class A, B, C, D, and E notes, respectively. -- The timely interest and principal payments made to the preliminary rated notes by the assumed legal final maturity dates under S&P's stressed cash flow modeling scenarios that S&P believes are appropriate for the assigned preliminary ratings. The expectation that under a moderate ('BBB') stress scenario, the ratings on the class A, B, and C notes would remain within one rating category of S&P's preliminary 'AAA (sf)', 'AA (sf)', and 'A (sf)' ratings, the ratings on the class D notes would remain within two rating categories of S&P's preliminary 'BBB (sf)' rating, and the rating on the class E notes would also remain within two rating categories in the first year, but is expected to default by its legal final maturity date with approximately 82%-87% repayment. 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-rating category downgrade within the first year for 'AAA' and 'AA' rated securities and a two-rating category downgrade within the first year for 'A' through 'BB' rated securities under moderate stress conditions. Eventual default for a 'BB' rated class under a moderate ('BBB') stress scenario is also consistent with S&P's credit stability criteria. -- The collateral characteristics of the subprime automobile loans securitized in this transaction. -- The backup servicing arrangement with Wells Fargo Bank N.A. (Wells Fargo). -- The transaction's payment and credit enhancement structures. -- The transaction's legal structure. PRELIMINARY RATINGS ASSIGNED American Credit Acceptance Receivables Trust 2017-1 Class Rating Type Interest Amount rate (mil. $) A AAA (sf) Senior Fixed 88.330 B AA (sf) Subordinate Fixed 23.637 C A (sf) Subordinate Fixed 44.786 D BBB (sf) Subordinate Fixed 39.810 E BB (sf) Subordinate Fixed 12.437 ARES CLO XXVIII: S&P Affirms 'B' Rating on Class F Notes -------------------------------------------------------- S&P Global Ratings affirmed its ratings on the class A, B-1, B-2, C-1, C-2, D, E, and F notes from Ares XXVIII CLO Ltd., a U.S. collateralized loan obligation (CLO) transaction that closed in 2013 and is managed by Ares CLO Management XXVIII L.P. The rating actions follow S&P's review of the transaction's performance using data from the January 2017 trustee report. The transaction is scheduled to remain in its reinvestment period until October 2017. The affirmed ratings reflect the stable portfolio performance and S&P's belief that the credit support available is commensurate with the current rating levels. Since the transaction's effective date in November 2013, the number of obligors in the portfolio has increased, which contributed to the portfolio's greater diversification. At the same time, the trustee-reported collateral portfolio weighted average life decreased to 5.0 years from 5.4 years. This seasoning, combined with the increased portfolio diversification, has decreased the overall credit risk profile. The transaction has experienced an increase in both defaults and assets rated 'CCC+' and below since the November 2013 effective date report. Specifically, the amount of defaulted assets increased to $1.98 million as of January 2017, from none at the effective date. The level of assets rated 'CCC+' and below increased to $17.61 million (3.56% of the aggregate principal balance) from $1.99 million over the same period. According to the January 2017 trustee report, the overcollateralization (O/C) ratios for each class have exhibited mild declines since S&P's effective date rating affirmations: -- The class A/B O/C ratio was 131.04%, down from 133.01%. -- The class C O/C ratio was 119.63%, down from 121.43%. -- The class D O/C ratio was 112.55%, down from 114.25%. -- The class E O/C ratio was 107.13%, down from 108.74%. Even with the decline in credit support, all coverage tests are currently passing and are above the minimum requirements. Although S&P's cash flow analysis indicated higher ratings for the class B-1, B-2, C-1, C-2, and D notes, its rating actions considered the increase in the 'CCC' rated assets and the decline in the O/C ratios, and allowed additional cushion for further volatility in the underlying portfolio. Additionally, the cash flow analysis indicated a lower rating on the class F notes than its current rating level, but S&P's rating analysis considered the fact that the deal will soon exit its reinvestment period and start paying down the notes sequentially, which, all else remaining equal, will begin to increase the O/C levels. S&P also considered the "Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings," published Oct. 1, 2012, and hence did not lower the rating to the level suggested by the cash flow analysis. 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 AFFIRMED Ares XXVIII CLO 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) F B (sf) BBCMS MORTGAGE 2017-C1: DBRS Gives Prov. B(low) Rating to G Debt ---------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2017-C1 (the Certificates) issued by BBCMS Mortgage Trust 2017-C1: -- 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-SB at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AAA (sf) -- Class A-S at AAA (sf) -- Class X-D at AAA (sf) -- Class X-E at AAA (sf) -- Class X-F at AAA (sf) -- Class X-G at AAA (sf) -- Class X-H at AAA (sf) -- Class B at AA (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (sf) -- Class F at B (high) (sf) -- Class G at B (low) (sf) All trends are Stable. Classes X-D, X-E, X-F, X-G, X-H, D, E, F and G are being privately offered. The Class X-A, X-B, X-D, X-E, X-F and X-G 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. On January 17, 2017, DBRS requested comment on its proposed methodology "Rating North American CMBS Interest-Only Certificates." If this methodology is adopted without changes, DBRS believes that potential rating actions for IO certificates could be either downgrades or confirmations. Please refer to the January 17, 2017, DBRS press release for further details on the proposed methodology. The collateral consists of 58 fixed-rate loans secured by 75 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 57, 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, three loans, representing 10.4% of the aggregate loan balance, 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 24 loans, representing 52.3% of the pool, with refinance DSCRs below 1.00x and 11 loans, representing 32.0% of the pool, with refinance DSCRs below 0.90x. These credit metrics are based on whole-loan balances. One of the pool’s loans with a DBRS Refinance (Refi) DSCR below 0.90x, 1166 Avenue of the Americas, representing 6.6% of the transaction balance, has pieces of subordinate mortgage debt outside the trust. Based on A-note balances only, the deal’s weighted-average DBRS Refi DSCR improves marginally to 1.05x. Two of the largest 11 loans, Merrill Lynch Drive and State Farm Data Center, have trust participations that exhibit credit characteristics consistent with investment-grade shadow ratings. When combined, these loans represent 7.8% of the pool. Merrill Lynch Drive has credit characteristics consistent with an "A" shadow rating, while State Farm Data Center exhibits credit characteristics consistent with a AA shadow rating. Furthermore, term default risk is low, as indicated by a relatively strong DBRS Term DSCR of 1.57x, which is based on the whole-loan balances. In addition, 26 loans, representing 49.6% of the pool, have a DBRS Term DSCR in excess of 1.50x. This includes eight of the largest 12 loans. Ten loans, representing 29.8% of the pool, are located in urban markets with increased liquidity that benefit from consistent investor demand, even in times of stress. Urban markets represented in the deal include New York City; Seattle; Los Angeles; Charlotte, North Carolina; New Haven, Connecticut; Inglewood, California; and Rancho Cordova, California. Lastly, five loans, representing 21.2% of the pool, are secured by properties exhibiting Above Average quality, while only three loans, representing 5.6% of the pool, were deemed Below Average. The remaining loans were considered to be of Average property quality. The transaction has a high concentration of loans (43.4% of the pool) that are backed by office properties. Of the office property concentration, 13.4% is secured by Merrill Lynch Drive, which DBRS considers to have credit characteristics consistent with an "A" shadow rating. Furthermore, the transaction has a moderate concentration of loans that are secured by assets either fully or primarily used as retail at 23.3%. 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 e-commerce. According to the U.S. Census Bureau, e-commerce sales represented 7.0% of total retail sales in 2015 compared with 3.9% in 2009. As the e-commerce 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 66.6% of the retail concentration to be secured by either anchored or regional mall properties, which are more desirable and have historically shown lower rates of default. Furthermore, roughly 25.0% of the retail concentration is backed by The Summit Birmingham, which has in-line sales in excess of $600.00 psf and is identified by DBRS as having Above Average property quality Thirteen loans, representing 47.3% of the pool, including eight of the largest 11 loans, are structured with IO payments for the full term. An additional 18 loans, representing 22.6% of the pool, have partial IO periods remaining that range from 24 months to 60 months. This concentration includes both shadow-rated loans, which total 7.8% of the pool. The DBRS Term DSCR is calculated by using the amortizing debt service obligation, and the DBRS Refi DSCR is calculated by considering the balloon balance and lack of amortization when determining refinance risk. DBRS determines probability of default based on the lower of Term or Refi DSCRs; therefore, loans that lack amortization will be treated more punitively. The transaction’s scheduled amortization by maturity is 7.4%, which is generally worse than recent conduit securitizations; however, the two shadow-rated loans are both structured with an anticipated repayment date (ARD). DBRS assumes the ARD maturity balance is utilized, thereby increasing the pool’s amortization to 10.1%, which is generally in line with recent conduit securitizations. The DBRS sample included 29 loans of the 57 loans in the pool. Site inspections were performed on 33 of the 75 properties in the portfolio (75.3% of the pool by allocated loan balance). The DBRS sample had an average NCF variance of -10.4% from the Issuer’s NCF and ranged from -32.2% to +1.5%. The average DBRS sampled NCF haircut compares favorably with more recent transactions by DBRS where the average DBRS sampled haircut has averaged -8.3%. The rating assigned to Class F differs from the higher rating implied by the Large Pool Multi-Borrower Parameters. DBRS considers this difference to be a material deviation from the methodology, and in this case, the rating reflects 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. BLADE ENGINE 2006-1: Moody's Cuts Rating on Cl. 2006-1B Debt to Ca ------------------------------------------------------------------ Moody's has downgraded the ratings of the Class 2006-1A-1, 2006-1A-2, and 2006-1B Notes (notes) issued by Blade Engine Securitization Ltd. Series 2006-1. Issuer: Blade Engine Securitization Ltd. Series 2006-1 2006-1A-1, Downgraded to Caa1 (sf); previously on Apr 26, 2016 Downgraded to B3 (sf) 2006-1A-2, Downgraded to Caa1 (sf); previously on Apr 26, 2016 Downgraded to B3 (sf) 2006-1B, Downgraded to Ca (sf); previously on Apr 26, 2016 Downgraded to Caa3 (sf) RATINGS RATIONALE The rating actions on the notes reflect Moody's expectations about the prospects for future income from the engine portfolio, which Moody's has reduced for the following reasons. First, six of 35 engines in the portfolio are currently off lease, and Blade discloses that it may be unable to re-lease many of these engines for the foreseeable future, nor many of the further 12 engines coming off lease in 2017. Second, although engine appraised values, most recently received for June 2016, continue to indicate that the Blade assets are worth more than the Class A and Class B note outstanding balances, over the past year engine sales continued to be at prices significantly lower than appraised values. In its analysis, Moody's evaluated lease rates and remaining terms as well as the revenues and expenses associated with the underlying leases and aircraft engines, in order to evaluate likely interest and principal payments to the rated notes. Quarterly reports for the transaction have indicated that Blade may not be able to re-lease an increasing number of engines coming off lease and possibly beyond. The quarterly reports also noted that Blade may be unable to re-lease many of the engines currently off-lease for the foreseeable future. Of the engines that were off lease and subsequently re-leased during 2016, most leases are short term. Based on the June 2016 appraisal values, the combined loan-to-value ratio for Class A notes and Class B notes is around 92% as of February 2017. However, among the off-lease engines sold in 2016, most received sale prices considerably lower than their most recent appraisal values, with lower sales proceeds as a percentage of appraisal values, compared to 2015. Current cash collections have not been sufficient to pay the interest and principal on the Class B notes based on the priority of payments, and Class B notes have been receiving its interest by withdrawing from the Junior Cash Account. As a result, Junior Cash Account balance has declined from $3.0 million as of February 2016 to $2.28 million as of February 2017. However, because sales proceeds from dispositions of engines have a separate waterfall from the waterfall that is applied to lease income, the Class B notes have been receiving principal payments when engines are sold. If adverse leasing conditions were to continue for these engines, further disposition of engines will benefit Class B notes because it would receive principal payments that it would otherwise not get. Primary sources of uncertainty include the global economic environment, aircraft engine lease income generating ability, engine maintenance and other expenses to the trust, and valuation for the aircraft engines backing the transaction. Factors that would lead to an upgrade or downgrade of the ratings: Changes to lease rates or aircraft engine values that differ from historical trends; changes to portion of portfolio currently off-lease or coming off lease in near future and their re-leasing or sale prospects. The principal methodology used in these ratings was "Moody's Approach To Pooled Aircraft-Backed Securitization" published in March 1999. In applying the above methodology to Blade Engine Securitization Ltd. Series 2006-1, Moody's assumed that engine values start declining once production for their host aircraft winds down. This is different from assumptions used in aircraft securitization where aircraft values are assumed to start declining from their year of manufacture. For aircraft engines, Moody's typically assumes that the engine values decline to scrap value over the course of approximately 20 years after host aircraft production ends. CAPITAL AUTO 2015-2: Fitch Hikes Cl. E Debt Rating From 'BB-sf' --------------------------------------------------------------- Fitch Ratings, as part of its ongoing surveillance, has taken the following rating actions on Capital Auto Receivables Asset Trust (CARAT) 2014-3, 2015-2, 2015-3, and 2016-1 transactions: 2014-3: -- Class A-3 affirmed at 'AAAsf'; Outlook Stable; -- Class A-4 affirmed at 'AAAsf'; Outlook Stable; -- Class B affirmed at 'AAAsf'; Outlook Stable; -- Class C upgraded to 'AAAsf' from 'AAsf'; Outlook revised to Stable from Positive; -- Class D upgraded to 'AAsf' from 'Asf'; Outlook maintained at Positive. 2015-2: -- Class A-2 affirmed at 'AAAsf'; Outlook Stable; -- Class A-3 affirmed at 'AAAsf'; Outlook Stable; -- Class A-4 affirmed at 'AAAsf'; Outlook Stable; -- Class B upgrade to 'AAAsf' from 'AAsf'; Outlook Stable; -- Class C upgraded to 'AAsf' from 'Asf'; Outlook revised to Positive from Stable; -- Class D upgraded to 'Asf' from 'BBBsf'; Outlook revised to Positive from Stable; -- Class E upgraded to 'BBBsf' from 'BB-sf'; Outlook maintained at Stable. 2015-3: -- Class A-1a affirmed at 'AAAsf'; Outlook Stable; -- Class A-1b affirmed at 'AAAsf'; Outlook Stable; -- Class A-2 affirmed at 'AAAsf'; Outlook Stable; -- Class A-3 affirmed at 'AAAsf'; Outlook Stable; -- Class A-4 affirmed at 'AAAsf'; Outlook Stable; -- Class B upgrade to 'AAAsf' from 'AAsf'; Outlook Stable; -- Class C upgraded to 'AAsf' from 'Asf'; Outlook revised to Positive from Stable; -- Class D upgraded to 'Asf' from 'BBBsf'; Outlook revised to Positive from Stable; -- Class E upgraded to 'BBBsf' from 'BB-sf'; Outlook maintained at Stable. 2016-1: -- Class A-2a affirmed at 'AAAsf'; Outlook Stable; -- Class A-2b affirmed at 'AAAsf'; Outlook Stable; -- Class A-3 affirmed at 'AAAsf'; Outlook Stable; -- Class A-4 affirmed at 'AAAsf'; Outlook Stable; -- Class B upgrade to 'AAAsf' from 'AA-sf'; Outlook Stable; -- Class C affirmed at 'Asf'; Outlook revised to Positive from Stable; -- Class D affirmed at 'BBBsf'; Outlook revised to Positive from Stable. The class E notes in 2014-3 are not rated. KEY RATING DRIVERS The rating actions are based on available credit enhancement (CE) and loss performance to date. The collateral pool continues to perform within Fitch's expectations. Under the current structure and CE, the securities are able to withstand stress scenarios consistent with the assigned ratings and make full payments to investors in accordance with the terms of the documents. The initial recommended loss proxies for the 2014-3, 2015-2 and 2015-3 transactions incorporated an additional stress considering the potential post-revolving worst-case collateral pools. This approach took into consideration a negative migration of the pools characteristics assuming the collateral migrates to the maximum collateral concentration limits during the revolving period. To date, all of the transactions have exhibited strong performance with losses within Fitch's initial expectations, with rising loss coverage and multiple levels consistent with the recommended ratings. A material deterioration in performance would have to occur within the asset pool to have potential negative impact on the outstanding ratings. Fitch has revised the proxies of the 2014-3, 2015-2, 2015-3 and 2016-1 transactions due to the higher seasoning and lower pool factors. Should performance continue to be well within initial expectations, Fitch may also revise the proxies of the transactions downward in a subsequent review. Based on transaction performance to date, Fitch has lowered the lifetime base case loss proxies to 2.26%, 3.50%, 3.50% and 4.50% for 2014-3, 2015-2, 2015-3 and 2016-1, respectively. The upgrades to certain notes reflect the improved loss coverage and stronger loss multiples produced in cash flow modeling. Fitch will continue to monitor all four transactions and may take additional rating actions in the future. The ratings reflect the quality of Ally Financial Inc.'s (AFIN) retail auto loan originations, the adequacy of its servicing capabilities, and the sound financial and legal structure of the transaction. RATING SENSITIVITIES Unanticipated increases in the frequency of defaults and loss severity could produce loss levels higher than the current projected base case loss proxies and impact available loss coverage and multiples levels for the transactions. Lower loss coverage could affect the ratings and Rating Outlooks depending on the extent of the decline in coverage. In the 2015-2 and 2015-3 transactions, the class E notes do exhibit a slight decline in loss coverage multiples under a back-ended loss timing scenario. Despite this, the net loss coverage multiples are still in excess of the recommended multiples for each of the recommended ratings USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. COMM 2013-CCRE8: DBRS Confirms BB Rating on Class E Debt -------------------------------------------------------- DBRS Limited confirmed the following classes of COMM 2013-CCRE8 Mortgage Trust: -- 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-SBFL at AAA (sf) -- Class A-SBFX at AAA (sf) -- Class A-M at AAA (sf) -- Class B at AA (sf) -- Class C at A (high) (sf) -- Class D at BBB (sf) -- Class E at BB (high) (sf) -- Class F at B (high) (sf) -- Class X-A at AAA (sf) -- Class X-B at AAA (sf) -- Class X-C at AAA (sf) All trends are Stable. DBRS does not rate the first loss piece, Class G. The Class A-SBFX certificates are exchangeable with the Class A-SBFL certificates and vice versa. The rating confirmations reflect the overall stable performance of the transaction. At issuance, the pool consisted of 59 fixed-rate loans secured by 94 commercial properties. As of the January 2017 remittance, there has been collateral reduction of 3.9% since issuance with all of the original 59 loans outstanding. The current outstanding trust balance is $1.330 billion. The top 15 loans reported a weighted-average (WA) YE2015 debt service coverage ratio (DSCR) of 1.90 times (x), representative of a WA improvement over the DBRS original analyzed figures of 16.0% and a WA debt yield of 8.5%. The top 15 loans reported a WA 1.1% improvement in YE2015 net cash flow compared with YE2014 figures. According to partial-year 2016 reporting, positive cash flow trends are continuing. Since issuance, five loans representing 8.2% of the pool balance, including two loans in the top 15, have fully defeased. As of the January 2017 remittance, there were three loans in special servicing, representing 1.6% of the pool balance, and three loans on the servicer's watchlist, representing 3.4% of the pool balance. Two of the specially serviced loans are expected to be resolved in the near future, which are expected to cause realized losses to the trust. The losses are expected to be contained to the unrated bond, Class G. The third loan recently transferred for delinquency. One of the three watchlisted loans is secured by a hotel property, which reported a performance decline below the 1.10x DSCR threshold, but has since seen an improvement in performance. For additional information on these loans and the remaining watchlisted loans, please see the servicer's reported data and DBRS commentary on the DBRS IReports platform at www.ireports.dbrs.com. At issuance, DBRS shadow-rated the 375 Park Avenue (Prospectus ID#1, 15.7% of the pool balance) loan and The Paramount Building loan (Prospectus ID#6, 4.1% of the pool balance) as investment grade. DBRS has today confirmed that the performance of these loans remains consistent with investment-grade loan characteristics. DT AUTO 2017-1: S&P Assigns 'BB' Rating on Class E Notes -------------------------------------------------------- S&P Global Ratings assigned its ratings to DT Auto Owner Trust 2017-1's $435.54 million asset-backed notes series 2017-1. The note issuance is an asset-backed securities transaction backed by subprime auto loan receivables. The ratings reflect: -- The availability of approximately 67.4%, 62.1%, 52.8%, 44.0%, and 38.8% credit support for the class A, B, C, D, and E notes, respectively, based on stressed break-even cash flow scenarios (including excess spread). These credit support levels provide approximately 2.20x, 2.00x, 1.65x, 1.35x, and 1.20x coverage of our expected net loss range of 29.50%-30.50% for the class A, B, C, D, and E notes, respectively. -- The timely interest and principal payments by the legal final maturity dates made under stressed cash flow modeling scenarios that S&P deems appropriate for the assigned ratings. -- S&P's expectation that under a moderate ('BBB') stress scenario, the ratings on the class A, B, and C notes would remain within one rating category of our 'AAA (sf)', 'AA (sf)', and 'A (sf)' ratings, respectively, and the ratings on the class D and E notes would remain within two rating categories of S&P's 'BBB (sf)' and 'BB (sf)' ratings, respectively, during the first year, although class E would ultimately default in the moderate ('BBB') stress. These potential rating movements are consistent with S&P's credit stability criteria, which outline the outer bound of credit deterioration equal to a one-category downgrade within the first year for 'AAA' and 'AA' rated securities and a two- category downgrade within the first year for 'A' through 'BB' rated securities under moderate stress conditions. -- The collateral characteristics of the subprime pool being securitized, including a high percentage (over 85%) of obligors with higher payment frequencies (more than once a month), which S&P expects will result in a somewhat faster paydown on the pool. -- The transaction's sequential-pay structure, which builds credit enhancement (on a percentage-of-receivables basis) as the pool amortizes. RATINGS ASSIGNED DT Auto Owner Trust 2017-1 Interest Amount Class Rating Type rate (mil. $) A AAA (sf) Senior Fixed 187.82 B AA (sf) Subordinate Fixed 55.80 C A (sf) Subordinate Fixed 76.22 D BBB (sf) Subordinate Fixed 68.05 E BB (sf) Subordinate Fixed 47.65 EXETER AUTOMOBILE 2017-1: DBRS Finalizes BB Rating on Class D Notes ------------------------------------------------------------------- DBRS, Inc. finalized the provisional ratings on the following classes of notes issued by Exeter Automobile Receivables Trust 2017-1 (the Issuer): -- Class A Notes rated AAA (sf) -- Class B Notes rated A (sf) -- Class C Notes rated BBB (sf) -- Class D Notes rated BB (sf) The ratings are based on a review by DBRS of the following analytical considerations: -- Transaction capital structure, proposed ratings and form and sufficiency of available credit enhancement. The transaction benefits from credit enhancement in the form of overcollateralization, subordination, amounts held in the reserve fund and excess spread. Credit enhancement levels are sufficient to support DBRS-projected expected cumulative net loss assumptions under various stress scenarios. -- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the ratings address the timely payment of interest on a monthly basis and principal by the legal final maturity date. -- Exeter Finance Corp.’s (Exeter) capabilities with regard to originations, underwriting, servicing and ownership by The Blackstone Group L.P.; Navigation Capital Partners, Inc.; and Goldman Sachs Vintage Fund. -- DBRS has performed an operational review of Exeter and considers the entity to be an acceptable originator and servicer of subprime automobile loan contracts with an acceptable backup servicer. -- Exeter’s senior management team has considerable experience and a successful track record in the auto finance industry. -- The credit quality of the collateral and performance of Exeter’s auto loan portfolio. -- The legal structure and presence of legal opinions that address the true sale of the assets to the Issuer, the non- consolidation of the special-purpose vehicle with Exeter and that the trust has a valid first-priority security interest in the assets, and the consistency with the DBRS methodology "Legal Criteria for U.S. Structured Finance." GRIPPEN PARK: Moody's Assigns (P)Ba3 Rating to Class E Notes ------------------------------------------------------------ Moody's Investors Service has assigned provisional ratings to five classes of notes to be issued by Grippen Park CLO, Ltd. Moody's rating action is: US$384,000,000 Class A Senior Secured Floating Rate Notes due 2030 (the "Class A Notes"), Assigned (P)Aaa (sf) US$66,000,000 Class B Senior Secured Floating Rate Notes due 2030 (the "Class B Notes"), Assigned (P)Aa2 (sf) US$37,800,000 Class C Secured Deferrable Floating Rate Notes due 2030 (the "Class C Notes"), Assigned (P)A2 (sf) US$37,800,000 Class D Secured Deferrable Floating Rate Notes due 2030 (the "Class D Notes"), Assigned (P)Baa3 (sf) US$26,400,000 Class E Secured Deferrable Floating Rate Notes due 2030 (the "Class E Notes"), Assigned (P)Ba3 (sf) The Class A Notes, the Class B Notes, the Class C Notes, the Class D Notes and the Class E Notes are referred to herein, collectively, as the "Rated Notes." Moody's issues provisional ratings in advance of the final sale of financial instruments, but these ratings only represent Moody's preliminary credit opinions. Upon a conclusive review of a transaction and associated documentation, Moody's will endeavor to assign definitive ratings. A definitive rating, if any, may differ from a provisional rating. RATINGS RATIONALE Moody's provisional ratings of the Rated Notes address the expected losses posed to noteholders. The provisional ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. Grippen 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 collateral obligations that are not senior secured loans, cash or eligible investments. Moody's expects the portfolio to be approximately 70% ramped as of the closing date. GSO / Blackstone Debt Funds Management LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's 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: $600,000,000 Diversity Score: 60 Weighted Average Rating Factor (WARF): 2850 Weighted Average Spread (WAS): 3.65% Weighted Average Coupon (WAC): 7.50% 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 2850 to 3278) Rating Impact in Rating Notches Class A Notes: 0 Class B Notes: -1 Class C Notes: -2 Class D Notes: -1 Class E Notes: 0 Percentage Change in WARF -- increase of 30% (from 2850 to 3705) 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 GS MORTGAGE 2017-485L: S&P Assigns BB- Rating on Cl. HRR Certs -------------------------------------------------------------- S&P Global Ratings assigned its ratings to GS Mortgage Securities Corporation Trust 2017-485L's $350.0 million commercial mortgage pass-through certificates series 2017-485L. The certificate issuance is commercial mortgage-backed securities transaction backed by a $350.0 million mortgage loan secured by a first lien on the borrower's fee interest in 485 Lexington Avenue, a 32-story office building totaling 935,452 sq. ft. and located within the East Side/U.N. office submarket in Midtown Manhattan. The ratings reflect of the collateral's historic and projected performance, the sponsor's and managers' experience, the trustee-provided liquidity, the loan's terms, and the transaction's structure. S&P determined that the mortgage loan has a beginning and ending loan-to-value ratio of 79.7%, based on S&P Global Ratings' value. RATINGS ASSIGNED GS Mortgage Securities Corporation Trust 2017-485L Class Rating Amount ($) A AAA (sf) 186,709,000 X-A AAA (sf) 186,709,000(i) X-B AA- (sf) 43,931,000(i) B AA- (sf) 43,931,000 C A- (sf) 32,949,000 D NR 63,911,000 HRR BB- (sf) 22,500,000 (i)Notional balance. The notional amount of the class X-A certificates will be equal to the class A certificate balance, and the notional amount of the class X-B certificates will be equal to the class B certificate balance. NR--Not rated. HERTZ VEHICLE II: DBRS Confirms BB Rating on Class D Notes ---------------------------------------------------------- DBRS, Inc. on February 10, 2017, confirmed 25 ratings from seven U.S. structured finance asset-backed securities transactions issued by Hertz Vehicle Financing II LP. The confirmations are based on performance trends and credit enhancement levels that are sufficient to cover DBRS's expected losses at their current respective rating levels. The ratings are based on DBRS's review of the following analytical considerations: -- Transaction capital structure, proposed ratings and form and sufficiency of available credit enhancement. -- The transaction parties' capabilities with regard to origination, underwriting and servicing. -- The credit quality of the collateral pool and historical performance. A full text copy of the company's list of ratings is available free at: https://is.gd/6olhiB MADISON PARK XV: Moody's Assigns Ba3 Rating to Class D-R Sr. Notes ------------------------------------------------------------------ Moody's Investors Service has assigned ratings to two classes of notes issued by Madison Park Funding XV, Ltd.: US$413,200,000 Class A-1-R Senior Secured Floating Rate Notes Due 2026 (the "Class A-1-R Notes"), Assigned Aaa (sf) US$40,000,000 Class D-R Senior Secured Deferrable Floating Rate Notes Due 2026 (the "Class D-R Notes"), Assigned Ba3 (sf) The Class A-1-R Notes and the Class D-R 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. The Issuer has issued the Rated Notes in connection with the refinancing of two classes of secured notes (together, the "Refinanced Notes"), previously issued on December 29, 2014 (the "Original Closing Date"). The Issuer used the proceeds from the issuance of the Rated Notes to redeem in full the Refinanced Notes pursuant to this refinancing. On the Original Closing Date, in addition to the Refinanced Notes, the Issuer issued four other classes of secured notes, which are also subject to this refinancing and have been redeemed in full with proceeds from the issuance of the replacement notes. The Issuer also issued one class of subordinated notes on the Original Closing Date, which is not subject to this refinancing and will remain outstanding. Madison Park Funding XV is a managed cash flow CLO. The issued notes are 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 senior unsecured loans. The underlying portfolio is 100% ramped as of the closing date of the refinancing. Credit Suisse Asset Management, LLC (the "Manager") manages the CLO. It directs the selection, acquisition, and disposition of collateral on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's reinvestment period. After the reinvestment period, which ends in January 2019, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets, subject to certain restrictions. 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. The key model inputs Moody's used in its analysis, such as par, the weighted average rating factor, diversity score and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Total portfolio par and principal proceeds balance: $675,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 3277 Weighted Average Spread (WAS): 4.05% Weighted Average Coupon (WAC): 7.0% Weighted Average Recovery Rate (WARR): 48.0% Weighted Average Life (WAL): 6.0 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. Please see the Rating Methodologies page on www.moodys.com for a copy of this methodology. Factors That Would Lead to an Upgrade or a 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 3277 to 3769) Rating Impact in Rating Notches Class A-1-R Notes: 0 Class D-R Notes: 0 Percentage Change in WARF -- increase of 30% (from 3277 to 4260) Rating Impact in Rating Notches Class A-1-R Notes: 0 Class D-R Notes: -1 MARATHON CLO IX: S&P Assigns Prelim. BB- Rating on Cl. D Notes -------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Marathon CLO IX Ltd./Marathon CLO IX LLC's $414.0 floating-rate notes. The note issuance is a collateralized loan obligation transaction backed primarily by broadly syndicated senior secured term loans. The preliminary ratings are based on information as of Feb. 17, 2017. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The diversified collateral pool, which consists primarily of broadly syndicated speculative-grade senior secured term loans that are governed by collateral quality tests. The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. The transaction's legal structure, which is expected to be bankruptcy remote. PRELIMINARY RATINGS ASSIGNED Marathon CLO IX Ltd./Marathon CLO IX LLC Class Rating Amount (mil. $) A-1A AAA (sf) 272.25 A-1B AAA (sf) 13.50 A-2 AA (sf) 56.25 B (deferrable) A (sf) 27.00 C (deferrable) BBB- (sf) 24.30 D (deferrable) BB- (sf) 20.70 Subordinated notes NR 48.30 NR--Not rated. MASTR TRUST 2007-3: Moody's Takes Action on $23.1MM RMBS -------------------------------------------------------- Moody's Investors Service has assigned ratings to three tranches from MASTR Adjustable Rate Mortgages Trust 2007-3. Complete rating actions are: Issuer: MASTR Adjustable Rate Mortgages Trust 2007-3 Cl. 1-1A2, Assigned A2 (sf); previously on Dec 6, 2016 Withdrawn (sf) Underlying Rating: Assigned C (sf); previously on Dec 6, 2016 Withdrawn (sf) Financial Guarantor: Assured Guaranty Municipal Corp. (Affirmed at A2, Outlook Stable on Aug 8, 2016) Cl. 1-2A2, Assigned A2 (sf); previously on Dec 9, 2016 Withdrawn (sf) Underlying Rating: Assigned C (sf); previously on Dec 9, 2016 Withdrawn (sf) Financial Guarantor: Assured Guaranty Municipal Corp. (Affirmed at A2, Outlook Stable on Aug 8, 2016) Cl. 2-1A2, Assigned A2 (sf); previously on Jun 3, 2016 Withdrawn (sf) Underlying Rating: Assigned C (sf); previously on Jun 3, 2016 Withdrawn (sf) Financial Guarantor: Assured Guaranty Municipal Corp. (Affirmed at A2, Outlook Stable on Aug 8, 2016) RATINGS RATIONALE The assignment of ratings reflects the dismissal of the interpleader action commenced in September 2013 by the Trust Administrator (Wells Fargo Bank N.A.), and the subsequent revision of distribution statements and the distribution of the funds escrowed during this period resulting in an increase in the balances of these tranches from zero. The prior ratings had been withdrawn as the balance of these tranches were previously reflected as zero and assigned ratings reflect the updated balance, tranche expected loss and the guarantee from Financial Security Assurance Inc (now Assured Guaranty Municipal Corp.) The rating actions also reflect the recent performance of the underlying pools and Moody's updated loss expectation on the pools. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in January 2017. 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 4.8% in January 2017 from 4.9% in January 2016. Moody's forecasts an unemployment central range of 4.5% to 5.5% for the 2017 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 2017. 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. MORGAN STANLEY 2014-C15: DBRS Confirms B Rating on Class H Debt --------------------------------------------------------------- DBRS Limited confirmed Commercial Mortgage Pass-Through Certificates, Series 2014-C15 (the Certificates), issued by Morgan Stanley Bank of America Merrill Lynch Trust 2014-C15 (the Trust) as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AAA (sf) -- Class X-C at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (sf) -- Class PST at A (high) (sf) -- Class C at A (high) (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (sf) -- Class G at BB (low) (sf) -- Class H at B (low) (sf) All trends are Stable. DBRS does not rate the first loss piece, Class J. The rating confirmations reflect that the transaction's overall current performance remains stable. The collateral consists of 48 fixed-rate loans secured by 76 commercial properties. As of the January 2017 remittance, all 48 loans remain in the pool, with an aggregate outstanding principal balance of approximately $1.05 billion, representing a collateral reduction of 2.4% since issuance as a result of scheduled loan amortization. The pool is concentrated by loan size, as the largest loan, Arundel Mills & Marketplace (Prospectus ID#1), represents 14.1% of the pool, while the Top 10 loans represent 66.8% of the pool. Four loans (22.5% of the pool) are structured with full interest-only (IO) terms, while an additional seven loans (15.9% of the pool) have partial IO periods remaining, ranging from one month to 37 months. Excluding the two loans (2.4% of the pool) secured by defeasance collateral, all loans reported both partial-year 2016 net cash flow (NCF) figures and YE2015 NCF figures. According to the YE2015 NCF figures, the transaction had a weighted-average (WA) debt service coverage ratio (DSCR) and WA debt yield of 2.07 times (x) and 12.6%, respectively, compared with the DBRS original analyzed figures of 1.75x and 10.4%, respectively. Based on the most recent cash flow reporting, the Top 15 loans reported a WA DSCR of 2.25x, compared with the DBRS original analyzed figure of 1.87x, which is reflective of a WA amortizing NCF growth of 20.8%. As of the January 2017 remittance, there is one loan (1.0% of the pool) in special servicing and three loans (3.4% of the pool) on the servicer's watchlist. At issuance, DBRS assigned an investment-grade shadow rating on both the Arundel Mills & Marketplace and the JW Marriott and Fairfield Inn & Suites (Prospectus ID#7, 4.7% of the pool) loans. DBRS confirms that the performance of both loans remains consistent with investment-grade loan characteristics. The ratings assigned to Classes F, G and H materially deviate from the higher ratings implied by the Large Pool Multi-borrower Parameters. DBRS considers this to be a methodology deviation when there is a rating differential of three or more notches between the assigned rating and the rating implied by the Large Pool Multi-borrower Parameters; in this case, the sustainability of loan performance trends were not demonstrated and, as such, was reflected in the ratings. NEWSTAR 2013-1: S&P Gives Prelim. BB- Rating to Class E-N Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-T-N, A-R-N, B-N, C-N, D-N, and E-N floating-rate replacement notes from NewStar Commercial Loan Funding 2013-1 LLC, a collateralized loan obligation (CLO) originally issued in 2013 that is managed by NewStar Financial Inc. 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. The preliminary ratings are based on information as of Feb. 21, 2017. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the March 20, 2017, 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. In addition, S&P anticipates that the issuer name will change to NewStar Commercial Loan Funding 2017-1 LLC on the refinancing date. 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 NewStar Commercial Loan Funding 2013-1 LLC Amount Replacement class Rating (mil. $) A-T-N AAA (sf) 207.00 A-R-N AAA (sf) 25.00 B-N AA (sf) 40.00 C-N A (sf) 32.00 D-N BBB- (sf) 24.00 E-N BB- (sf) 20.00 Subordinated notes NR 49.25 NR--Not rated. OAKTREE CLO 2014-2: S&P Affirms 'BB' Rating on Class D Notes ------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the class A-1AR, A-1BR, A-2AR, A-2BR, and BR replacement notes from Oaktree CLO 2014-2 Ltd., a U.S. collateralized loan obligation (CLO) transaction that closed in November 2014 and is managed by Oaktree Capital Management LP. The replacement notes will be issued via a proposed supplemental indenture. S&P do not expect the refinancing to have any impact on the outstanding ratings on the class C and D notes. The preliminary ratings reflect S&P's opinion that the credit support available is commensurate with the associated rating levels. The replacement notes are expected to be issued at a lower spread over LIBOR and coupons than the original notes they replace. The preliminary ratings are based on information as of Feb. 17, 2017. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the March 3, 2017, 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 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 will take rating actions as S&P deems necessary. PRELIMINARY RATINGS ASSIGNED Oaktree CLO 2014-2 Ltd. Replacement class Rating Amount (mil. $) A-1AR AAA (sf) 280.00 A-1BR AAA (sf) 27.00 A-2AR A (sf) 61.00 A-2BR AA (sf) 17.00 BR A (sf) 27.50 OTHER OUTSTANDING RATINGS Oaktree CLO 2014-2 Ltd. Class Rating C BBB (sf) D BB (sf) Subordinated notes NR NR--Not rated. RACE POINT VIII: S&P Assigns 'BB-' Rating on Class E-R Notes ------------------------------------------------------------ S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R, D-R, and E-R replacement floating-rate notes from Race Point VIII CLO Ltd., a collateralized loan obligation originally issued in 2013 that is managed by Bain Capital Credit L.P. S&P withdrew its ratings on the original class A, B, C, D, and E notes following payment in full on the Feb. 21, 2017, refinancing date. On the Feb. 21, 2017, refinancing date, the proceeds from the class A-R, B-R, C-R, D-R, and E-R replacement note issuances were used to redeem the original class A, B, C, D, and E 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 assigned ratings to the replacement notes. The replacement notes were issued via a supplemental indenture, which, in addition to outlining the terms of the replacement notes, also: -- Issued the notes at a higher or lower spread than the original notes, depending on the class. -- Upsized the transaction target par amount to $700.00 million, compared with $500.00 million in the original transaction. -- Extended the stated maturity and reinvestment period by approximately five years. -- 97.36% of the underlying collateral obligations have credit ratings assigned by S&P Global Ratings. -- 95.57% of the underlying collateral obligations have recovery ratings issued by S&P Global Ratings. 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 further rating actions as it deems necessary. RATINGS ASSIGNED Race Point VIII CLO Ltd./Race Point VIII CLO Corp. (Refinancing And Extension) Replacement class Rating Amount (mil. $) A-R AAA (sf) 427.00 B-R AA (sf) 102.30 C-R (deferrable) A (sf) 40.20 D-R (deferrable) BBB (sf) 36.70 E-R (deferrable) BB- (sf) 37.40 Subordinated notes NR 94.05 RATINGS WITHDRAWN Race Point VIII CLO Ltd./Race Point VIII CLO Corp. Rating Original class To From A NR AAA (sf) B NR AA (sf) C (deferrable) NR A (sf) D (deferrable) NR BBB (sf) E (deferrable) NR BB- (sf) NR--Not rated. SDART 2017-1: S&P Gives Prelim BB Rating on Class E Notes --------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Santander Drive Auto Receivables Trust (SDART) 2017-1's $1.077 billion automobile receivables-backed notes series 2017-1. The note issuance is an asset-backed securities transaction backed by subprime auto loan receivables. The preliminary ratings are based on information as of Feb. 16, 2017. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The availability of 52.97%, 46.12%, 36.81%, 29.44%, and 25.13% of credit support for the class A (A-1, A-2, A-3), B, C, D, and E notes, respectively, based on stress cash flow scenarios (including excess spread), which provide coverage of approximately 3.30x, 2.85x, 2.25x, 1.70x, and 1.50x S&P's 15.50%-16.25% expected cumulative net loss. -- The timely interest and principal payments made under stressed cash flow modeling scenarios appropriate to the assigned preliminary ratings. -- S&P's expectation that under a moderate ('BBB') stress scenario (1.7x its expected loss level), all else being equal, S&P's ratings on the class A and B notes ('AAA (sf)' and 'AA (sf)', respectively) will remain within one rating category and S&P's ratings on the class C and D notes ('A (sf)' and 'BBB (sf)', respectively) will remain within two rating categories of the assigned preliminary ratings while they are outstanding. These rating movements are within the outer bounds specified by our credit stability criteria. These criteria indicate that S&P would not assign 'AAA (sf)' and 'AA (sf)' ratings if, under moderate stress conditions, the ratings would be lowered by more than one rating category within the first year and by more than three rating categories over a three year period. The criteria also specify that S&P would not assign 'A (sf)' and 'BBB (sf)' ratings if such ratings would fall by more than two categories in one year or three categories over three years. The class E 'BB (sf)' rated notes will remain within two rating categories of the assigned preliminary rating during the first year but will eventually default under the 'BBB' stress scenario, after having received 61%-78% of their principal. Santander Consumer USA Inc. (SC; originator/servicer's) long history of originating and servicing subprime auto loan receivables. S&P's analysis of nine years of origination static pool data on SC's lending programs. -- Six years of performance on SCUAS's securitizations since it re-entered the asset-backed securities market in 2010. The transaction's payment/credit enhancement and legal structures. PRELIMINARY RATINGS ASSIGNED Santander Drive Auto Receivables Trust 2017-1 Class Rating Type Interest Amount rate (mil. $) A-1 A-1+ (sf) Senior Fixed 194.00 A-2 AAA (sf) Senior Fixed 310.00 A-3 AAA (sf) Senior Fixed 111.67 B AA (sf) Subordinate Fixed 129.75 C A (sf) Subordinate Fixed 156.67 D BBB (sf) Subordinate Fixed 126.08 E BB (sf) Subordinate Fixed 48.96 SEQUOIA MORTGAGE 2017-2: Moody's Assigns B2 Rating to Cl. B-4 Debt ------------------------------------------------------------------ Moody's Investors Service has assigned definitive ratings to the classes of residential mortgage-backed securities (RMBS) issued by Sequoia Mortgage Trust (SEMT) 2017-2. The certificates are backed by one pool of prime quality, first-lien mortgage loans. The assets of the trust consist of 485 fully amortizing, fixed rate mortgage loans, substantially all of which have an original term to maturity of 30 years. The borrowers in the pool have high FICO scores, significant equity in their properties and liquid cash reserves. The complete rating actions are: Issuer: Sequoia Mortgage Trust 2017-2 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aaa (sf) Cl. A-15, Definitive Rating Assigned Aaa (sf) Cl. A-16, Definitive Rating Assigned Aaa (sf) Cl. A-17, Definitive Rating Assigned Aaa (sf) Cl. A-18, Definitive Rating Assigned Aaa (sf) Cl. A-19, Definitive Rating Assigned Aa1 (sf) Cl. A-20, Definitive Rating Assigned Aa1 (sf) Cl. A-21, Definitive Rating Assigned Aa1 (sf) Cl. A-22, Definitive Rating Assigned Aaa (sf) Cl. A-23, Definitive Rating Assigned Aaa (sf) Cl. A-24, Definitive Rating Assigned Aaa (sf) Cl. A-IO1, Definitive Rating Assigned Aaa (sf) Cl. A-IO2, Definitive Rating Assigned Aaa (sf) Cl. A-IO3, Definitive Rating Assigned Aaa (sf) Cl. A-IO4, Definitive Rating Assigned Aaa (sf) Cl. A-IO5, Definitive Rating Assigned Aaa (sf) Cl. A-IO6, Definitive Rating Assigned Aaa (sf) Cl. A-IO7, Definitive Rating Assigned Aaa (sf) Cl. A-IO8, Definitive Rating Assigned Aaa (sf) Cl. A-IO9, Definitive Rating Assigned Aaa (sf) Cl. A-IO10, Definitive Rating Assigned Aaa (sf) Cl. A-IO11, Definitive Rating Assigned Aaa (sf) Cl. A-IO12, Definitive Rating Assigned Aaa (sf) Cl. A-IO13, Definitive Rating Assigned Aaa (sf) Cl. A-IO14, Definitive Rating Assigned Aaa (sf) Cl. A-IO15, Definitive Rating Assigned Aaa (sf) Cl. A-IO16, Definitive Rating Assigned Aaa (sf) Cl. A-IO17, Definitive Rating Assigned Aaa (sf) Cl. A-IO18, Definitive Rating Assigned Aaa (sf) Cl. A-IO19, Definitive Rating Assigned Aaa (sf) Cl. A-IO20, Definitive Rating Assigned Aa1 (sf) Cl. A-IO21, Definitive Rating Assigned Aa1 (sf) Cl. A-IO22, Definitive Rating Assigned Aa1 (sf) Cl. A-IO23, Definitive Rating Assigned Aaa (sf) Cl. A-IO24, Definitive Rating Assigned Aaa (sf) Cl. A-IO25, Definitive Rating Assigned Aaa (sf) Cl. B-1, Definitive Rating Assigned A1 (sf) Cl. B-2, Definitive Rating Assigned Baa1 (sf) Cl. B-3, Definitive Rating Assigned Ba1 (sf) Cl. B-4, Definitive Rating Assigned B2 (sf) RATINGS RATIONALE Summary Credit Analysis Moody's expected cumulative net loss on the aggregate pool is 0.40% in a base scenario and reaches 4.85% at a stress level consistent with the Aaa ratings. Moody's loss estimates are based on a loan-by-loan assessment of the securitized collateral pool using Moody's Individual Loan Level Analysis (MILAN) model. Loan-level adjustments to the model included: adjustments to borrower probability of default for higher and lower borrower DTIs, borrowers with multiple mortgaged properties, self-employed borrowers, origination channels and at a pool level, for the default risk of HOA properties in super lien states. The adjustment to Moody's Aaa stress loss above the model output also includes adjustments related to aggregator and originators assessments. The model combines loan-level characteristics with economic drivers to determine the probability of default for each loan, and hence for the portfolio as a whole. Severity is also calculated on a loan-level basis. The pool loss level is then adjusted for borrower, zip code, and MSA level concentrations. Collateral Description The SEMT 2017-2 transaction is a securitization of 485 first lien residential mortgage loans, with an aggregate unpaid principal balance of $347,384,036. There are 128 originators in the transaction. 8.30% of the mortgage loans by outstanding principal balance were originated by Quicken Loans Inc., 4.03% of the mortgage loans by outstanding principal balance were originated by First Republic Bank and 6.41% of the mortgage loans by outstanding principal balance were purchased by Redwood from FHLB Chicago. The mortgage loans purchased by Redwood from FHLB Chicago were originated by various participating financial institution investors who provide R&Ws to FHLB, who then provides R&Ws to Redwood. None of the originators other than Quicken Loans represents more than 5.00% of the principal balance of the loans in the pool. The loan- level third party due diligence review (TPR) encompassed credit underwriting, property value and regulatory compliance. In addition, Redwood has agreed to backstop the rep and warranty repurchase obligation of all originators other than First Republic Bank (4.03% of the outstanding principal balance of the loans). The loans were all aggregated by Redwood Residential Acquisition Corporation (Redwood), which Moody's has assessed as an Above Average aggregator of prime jumbo residential mortgages. There have been no losses on Redwood-aggregated transactions that closed in 2010 and later, and delinquencies to date have also been very low. Structural considerations Similar to recent rated Sequoia transactions, in this transaction, Redwood is adding a feature prohibiting the servicer, or securities administrator, from advancing principal and interest to loans that are 120 days or more delinquent. These loans on which principal and interest advances are not made are called the Stop Advance Mortgage Loans ("SAML"). The balance of the SAML will be removed from the principal and interest distribution amounts calculations. Moody's views the SAML concept as something that strengthens the integrity of senior and subordination relationships in the structure. Yet, in certain scenarios the SAML concept, as implemented in this transaction, can lead to a reduction in interest payment to certain tranches even when more subordinated tranches are outstanding. The senior/subordination relationship between tranches is strengthened as the removal of SAML in the calculation of the senior percentage amount, directs more principal to the senior bonds and less to the subordinate bonds. Further, this feature limits the amount of servicer advances that could increase the loss severity on the liquidated loans and preserves the subordination amount for the most senior bonds. On the other hand, this feature can cause a reduction in the interest distribution amount paid to the bonds; and if that were to happen such a reduction in interest payment is unlikely to be recovered. The final ratings on the bonds, which are expected loss ratings, take into consideration Moody's expected losses on the collateral and the potential reduction in interest distributions to the bonds. Furthermore, the likelihood that in particular the subordinate tranches could potentially permanently lose some interest as a result of this feature was considered. Tail Risk & Subordination Floor The transaction cash flows follow a shifting interest structure that allows subordinated bonds to receive principal payments under certain defined scenarios. Because a shifting interest structure allows subordinated bonds to pay down over time as the loan pool shrinks, senior bonds are exposed to increased performance volatility, known as tail risk. The transaction provides for a subordination floor of 1.50% of the closing pool balance, which mitigates tail risk by protecting the senior bonds from eroding credit enhancement over time. Third-party Review and Reps & Warranties One TPR firm conducted a due diligence review of 100% of the mortgage loans in the pool. For 478 loans, the TPR firm conducted a review for credit, property valuation, compliance and data integrity ("full review"). For the remaining seven loans, Redwood Trust elected to conduct a limited review, which did not include a TPR firm check for TRID compliance. For the full review loans, the third party review found that the majority of reviewed loans were compliant with Redwood's underwriting guidelines and had no valuation or regulatory defects. Most of the loans that were not compliant with Redwood's underwriting guidelines had strong compensating factors. Additionally, the third party review didn't identify material compliance-related exceptions relating to the TILA-RESPA Integrated Disclosure (TRID) rule for the full review loans. No TRID compliance reviews were performed by the TPR firm on the seven limited review loans. Therefore, there is a possibility that some of these loans could have unresolved TRID issues. We, however reviewed the initial compliance findings of loans from the same originator where a full review was conducted and there were no material compliance findings. As a result, Moody's did not increase Moody's Aaa loss for the limited review loans. The originators and the seller have provided unambiguous representations and warranties (R&Ws) including an unqualified fraud R&W. There is provision for binding arbitration in the event of dispute between investors and the R&W provider concerning R&W breaches. Trustee & Master Servicer The transaction trustee is Wilmington Trust, National Association. The paying agent and cash management functions will be performed by Citibank, N.A. and the custodian functions will be performed by Wells Fargo Bank, N.A., rather than the trustee. In addition, CitiMortgage Inc., as Master Servicer, is responsible for servicer oversight, and termination of servicers and for the appointment of successor servicers. In addition, CitiMortgage is committed to act as successor if no other successor servicer can be found. Factors that would lead to an upgrade or downgrade of the ratings: Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Methodology The principal methodology used in these ratings was "Moody's Approach to Rating US Prime RMBS" published in February 2015. Additionally, the methodology used in rating Cl. A-IO1, Cl. A-IO2, Cl. A-IO3, Cl. A-IO4, Cl. A-IO5, Cl. A- IO6, Cl. A-IO7, Cl. A-IO8, Cl. A-IO9, Cl. A-IO10, Cl. A-IO11, Cl. A-IO12, Cl. A-IO13, Cl. A-IO14, Cl. A-IO15, Cl.A-IO16, Cl. A-IO17, Cl. A-IO18, Cl. A-IO19, Cl. A-IO20, Cl. A-IO21, Cl. A-IO22, Cl. A-IO23, Cl. A-IO24, Cl. A-IO25, was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in October 2015. In addition, Moody's publishes a weekly summary of structured finance credit ratings and methodologies, available to all registered users of Moody's website, ww.moodys.com/SFQuickCheck. Significant weight was put on judgment taking into account the results of the modeling tools as well as the aggregate impact of the third-party review and the quality of the servicers and originators. VENTURE XII CLO: S&P Assigns Prelim. BB Rating on Class 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 notes from Venture XII CLO Ltd./Venture XII CLO Corp., a collateralized loan obligation (CLO) originally issued in 2013 that is managed by MJX 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. The replacement class D-R, and E-R notes are expected to be issued at a higher spread than the original notes. The replacement class B-R and C-R notes are expected to be issued at a lower spread than the original notes. The preliminary ratings are based on information as of Feb. 17, 2017. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Feb. 28, 2017, 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 include changes to some of the concentration limits and also extend the transaction's non-call end date, reinvestment end date, weighted average life test, and stated maturity. CASH FLOW ANALYSIS RESULTS Current date after proposed refinancing Class Amount Interest BDR SDR Cushion (mil. $) rate (%) (%) (%) (%) A-R 475.00 LIBOR + 1.23 66.33 57.35 8.98 B-R 70.00 LIBOR + 1.63 63.94 50.37 13.57 C-R 43.00 LIBOR + 2.40 57.66 44.40 13.27 D-R 36.00 LIBOR + 3.70 51.56 39.19 12.37 E-R 42.00 LIBOR + 6.20 38.61 32.98 5.63 BDR--Breakeven default rate. SDR--Scenario default rate. 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 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, and 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 Venture XII CLO Ltd./Venture XII CLO Corp. Replacement class Rating Amount (mil. $) A-R AAA (sf) 475.00 B-R AA (sf) 70.00 C-R A (sf) 43.00 D-R BBB (sf) 36.00 E-R BB (sf) 42.00 Subordinated notes NR 74.00 NR--Not rated. WACHOVIA BANK 2004-C11: S&P Raises Rating on Class J Certs to B+ ---------------------------------------------------------------- S&P Global Ratings raised its ratings on six classes of commercial mortgage pass-through certificates from Wachovia Bank Commercial Mortgage Trust series 2004-C11, a U.S. commercial mortgage-backed securities (CMBS) transaction. The upgrades 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 remaining loans in the pool, the transaction's structure, and the liquidity available to the trust. The raised ratings further reflect S&P's expectation of the available credit enhancement for these classes, which S&P believes is greater than its most recent estimate of necessary credit enhancement for the respective rating levels. The upgrades also follow S&P's views regarding the current and future performance of the transaction's collateral and the trust balance's significant reduction. While available credit enhancement levels may suggest further positive rating movement on the bonds, S&P's analysis also considered the interest shortfall history and exposure to two loans on the master servicer's watchlist ($75.6 million, 82.9%), which are discussed below. TRANSACTION SUMMARY As of the Jan. 18, 2017, trustee remittance report, the collateral pool balance was $91.2 million, which is 8.8% of the pool balance at issuance. The pool currently includes three loans, two of which ($75.6 million, 82.9%) are on the master servicer's watchlist. The master servicer, Wells Fargo Bank N.A., reported financial information for the three loans in the pool, of which 87.9% was year-end 2015 data, and the remainder was partial-year 2016 data. S&P calculated a 1.27x S&P Global Ratings weighted average debt service coverage (DSC) and 63.9% S&P Global Ratings weighted average loan-to-value (LTV) ratio using a 8.33% S&P Global Ratings weighted average capitalization rate. To date, the transaction has experienced $21.2 million in principal losses, or 2.0% of the original pool trust balance. CREDIT CONSIDERATIONS As of the Jan. 18, 2017, trustee remittance report, two loans in the pool were on the master servicer's watchlist. The Four Seasons Town Centre loan ($64.6 million, 70.8%), the largest loan in the pool, is secured by 928,410 sq. ft. of a 1.14 million-sq.-ft. retail center in Greensboro, N.C. The loan was previously modified in January 2010 when the borrower filed bankruptcy, and its maturity date was extended by 42 months. The loan is currently reported on the master servicer's watchlist due to low occupancy and is scheduled to mature in June 2017. As of third-quarter 2016, the reported DSC on the trust balance and occupancy were 1.72x and 68.6%, respectively. The Sports Authority Corporate Headquarters loan ($11.0 million, 12.1%) is secured by a 210,207-sq.-ft. office property located in Englewood, Colo. The property consists of two office buildings, which are economically leased by Sports Authority but are physically vacant. The loan is currently reported on the master servicer's watchlist due to low occupancy and DSC. According to Wells Fargo Bank N.A., there has been little interest to date in the space. The loan is scheduled to mature in January 2019. As of third-quarter 2016, reported DSC was 1.26x. RATINGS RAISED Wachovia Bank Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2004-C11 Rating Class To From D AA+ (sf) A+ (sf) E AA (sf) A (sf) F AA- (sf) BBB (sf) G A+ (sf) BB+ (sf) H BBB+ (sf) B (sf) J B+ (sf) CCC (sf) [*] DBRS Reviews 448 Classes From 44 US RMBS Deals -------------------------------------------------- DBRS, Inc. reviewed 448 classes from 44 U.S. residential mortgage-backed security (RMBS) transactions. Of the 448 classes reviewed, 72 ratings were upgraded, 368 ratings were confirmed, seven ratings were downgraded and one rating was discontinued. The rating upgrades reflect positive performance trends and that these classes have experienced increases in credit support sufficient to withstand stresses at their new rating levels. The rating confirmations reflect current asset performance and that credit support levels have been consistent with the current rating. The downgrades reflect a combination of the continued erosion of credit support in these transactions and negative trends in delinquency and projected loss activity. The discontinued rating is a result of full principal payment to the bondholders. The rating actions are the result of DBRS applying its updated "RMBS Insight 1.2: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology". The transactions consist of U.S. RMBS transactions. The pools backing these transactions consist of subprime, Alt-A, scratch-and-dent, option – adjustable rate mortgage (ARM) and prime collateral. The ratings assigned to the following securities differ from the ratings implied by the quantitative model. DBRS considers this difference to be a material deviation, but in this case, the ratings of the subject notes reflect a small collateral loan count and a dependency on a counterparty's rating as well as structural features and historical performance that constrain the quantitative model’s output. -- Asset Backed Securities Corporation Home Equity Loan Trust, Series 2005-HE2, Asset-Backed Pass-Through Certificates, Series 2005-HE2, Class M4 -- Asset Backed Securities Corporation Home Equity Loan Trust, Series WMC 2005-HE5, Asset-Backed Pass-Through Certificates, Series WMC 2005-HE5, Class M3 -- Asset Backed Securities Corporation Home Equity Loan Trust, Series WMC 2005-HE5, Asset-Backed Pass-Through Certificates, Series WMC 2005-HE5, Class M4 -- Asset Backed Securities Corporation Home Equity Loan Trust, Series NC 2005-HE8, Asset-Backed Pass-Through Certificates, Series NC 2005-HE8, Class M2 -- Accredited Mortgage Loan Trust 2004-4, Asset-Backed Notes, Series 2004-4, Class A-2D -- Accredited Mortgage Loan Trust 2004-4, Asset-Backed Notes, Series 2004-4, Class A-2C -- Accredited Mortgage Loan Trust 2005-1, Asset-Backed Notes, Series 2005-1, Class M-1 -- Accredited Mortgage Loan Trust 2005-1, Asset-Backed Notes, Series 2005-1, Class M-2 -- Accredited Mortgage Loan Trust 2005-1, Asset-Backed Notes, Series 2005-1, Class M-3 -- Accredited Mortgage Loan Trust 2005-1, Asset-Backed Notes, Series 2005-1, Class M-4 -- Accredited Mortgage Loan Trust 2005-2, Asset-Backed Notes, Series 2005-2, Class M-2 -- Accredited Mortgage Loan Trust 2005-2, Asset-Backed Notes, Series 2005-2, Class M-3 -- Accredited Mortgage Loan Trust 2005-2, Asset-Backed Notes, Series 2005-2, Class M-4 -- Accredited Mortgage Loan Trust 2005-2, Asset-Backed Notes, Series 2005-2, Class M-5 -- Accredited Mortgage Loan Trust 2005-2, Asset-Backed Notes, Series 2005-2, Class M-6 -- Accredited Mortgage Loan Trust 2005-3, Asset-Backed Notes, Series 2005-3, Class M-2 -- Accredited Mortgage Loan Trust 2005-3, Asset-Backed Notes, Series 2005-3, Class M-3 -- Accredited Mortgage Loan Trust 2005-3, Asset-Backed Notes, Series 2005-3, Class M-4 -- Ameriquest Mortgage Securities Inc. Series 2004-R7, Asset- Backed Pass-Through Certificates, Series 2004-R7, Class M-2 -- Ameriquest Mortgage Securities Inc. Series 2004-R7, Asset- Backed Pass-Through Certificates, Series 2004-R7, Class M-3 -- Ameriquest Mortgage Securities Inc. Series 2004-R7, Asset- Backed Pass-Through Certificates, Series 2004-R7, Class M-4 -- Ameriquest Mortgage Securities Inc. Series 2004-R7, Asset- Backed Pass-Through Certificates, Series 2004-R7, Class M-5 -- Ameriquest Mortgage Securities Inc. Series 2004-R7, Asset- Backed Pass-Through Certificates, Series 2004-R7, Class M-6 -- Ameriquest Mortgage Securities Inc. Series 2004-R8, Asset- Backed Pass-Through Certificates, Series 2004-R8, Class M-2 -- Ameriquest Mortgage Securities Inc. Series 2004-R9, Asset- Backed Pass-Through Certificates, Series 2004-R9, Class M-3 -- Ameriquest Mortgage Securities Inc. Series 2004-R11, Asset- Backed Pass-Through Certificates, Series 2004-R11, Class M-1 -- Ameriquest Mortgage Securities Inc. Series 2004-R11, Asset- Backed Pass-Through Certificates, Series 2004-R11, Class M-2 -- Ameriquest Mortgage Securities Inc. Series 2004-R11, Asset- Backed Pass-Through Certificates, Series 2004-R11, Class M-3 -- Ameriquest Mortgage Securities Inc. Series 2004-R11, Asset- Backed Pass-Through Certificates, Series 2004-R11, Class M-4 -- Ameriquest Mortgage Securities Inc. Series 2004-R11, Asset- Backed Pass-Through Certificates, Series 2004-R11, Class M-5 -- Ameriquest Mortgage Securities Inc., Series 2005-R2, Asset- Backed Pass-Through Certificate, Series 2005-R2, Class M-3 -- Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-8, Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-8, Class 7-A-1-1 -- Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-8, Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-8, Class 7-A-1-2 -- Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-8, Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-8, Class 7-A-4 -- Argent Securities Inc. Series 2004-W11, Asset-Backed Pass- Through Certificates, Series 2004-W11, Class M-2 -- Citigroup Mortgage Loan Trust Inc., 2005-HE2, Asset-Backed Pass-Through Certificates, Series 2005-HE2, Class M-2 -- Citigroup Mortgage Loan Trust Inc., 2005-HE2, Asset-Backed Pass-Through Certificates, Series 2005-HE2, Class M-3 -- Citigroup Mortgage Loan Trust, Inc., Series 2005-WF1, Asset- Backed Pass-Through Certificates, Series 2005-WF1, Class A-4 -- CWABS Asset-Backed Certificates Trust 2004-12, Asset-Backed Certificates, Series 2004-12, Class AF-5 -- CWABS Asset-Backed Certificates Trust 2004-12, Asset-Backed Certificates, Series 2004-12, Class MV-4 -- CWABS Asset-Backed Certificates Trust 2004-12, Asset-Backed Certificates, Series 2004-12, Class MV-5 -- CWABS Asset-Backed Certificates Trust 2004-BC5, Asset-Backed Certificates, Series 2004-BC5, Class M-4 -- CWABS Asset-Backed Certificates Trust 2004-BC5, Asset-Backed Certificates, Series 2004-BC5, Class M-5 -- CWABS Asset-Backed Certificates Trust 2004-BC5, Asset-Backed Certificates, Series 2004-BC5, Class M-6 -- Encore Credit Receivables Trust 2005-4, Asset-Backed Pass- Through Certificates, Series 2005-4, Class M-2 -- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-4, Home Equity Pass-Through Certificates, Series 2005-4, Class M-4 -- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-4, Home Equity Pass-Through Certificates, Series 2005-4, Class M-5 -- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-5, Home Equity Pass-Through Certificates, Series 2005-5, Class M-2 -- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-6, Home Equity Pass-Through Certificates, Series 2005-6, Class M-2 -- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-6, Home Equity Pass-Through Certificates, Series 2005-6, Class M-3 -- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-7, Home Equity Pass-Through Certificates, Series 2005-7, Class M-1 -- Credit Suisse First Boston Mortgage Acceptance Corp. Home Equity Asset Trust 2005-9, Home Equity Pass-Through Certificates, Series 2005-9, Class M-1 -- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2006-3, Home Equity Pass-Through Certificates, Series 2006-3, Class 1-A-1 -- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2006-3, Home Equity Pass-Through Certificates, Series 2006-3, Class 2-A-4 -- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through Certificates, Series 2005-A3, Class 1-A-1 -- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through Certificates, Series 2005-A3, Class 3-A-5 -- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through Certificates, Series 2005-A3, Class 4-A-2 -- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through Certificates, Series 2005-A3, Class 5-A-1 -- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through Certificates, Series 2005-A3, Class 5-A-3 -- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through Certificates, Series 2005-A3, Class 6-A-3 -- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through Certificates, Series 2005-A3, Class 6-A-7 -- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through Certificates, Series 2005-A3, Class 11-A-2 -- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through Certificates, Series 2005-A3, Class 11-A-3 -- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through Certificates, Series 2005-A3, Class 11-A-4 -- MASTR Adjustable Rate Mortgages Trust 2007-3, Mortgage Pass- Through Certificates, Series 2007-3, Class 2-2A3 -- Morgan Stanley ABS Capital I Inc. Trust 2005-WMC2, Mortgage Pass-Through Certificates, Series 2005-WMC2, Class M-3 -- Morgan Stanley ABS Capital I Inc. Trust 2005-WMC3, Mortgage Pass-Through Certificates, Series 2005-WMC3, Class M-4 -- Morgan Stanley ABS Capital I Inc. Trust 2005-WMC3, Mortgage Pass-Through Certificates, Series 2005-WMC3, Class M-5 -- Morgan Stanley ABS Capital I Inc. Trust 2005-WMC5, Mortgage Pass-Through Certificates, Series 2005-WMC5, Class M-5 -- Morgan Stanley Home Equity Loan Trust 2005-2, Mortgage Pass- Through Certificates, Series 2005-2, Class M-4 -- New Century Home Equity Loan Trust 2005-1, Asset-Backed Notes, Series 2005-1, Class M-1 -- New Century Home Equity Loan Trust 2005-2, Asset-Backed Notes, Series 2005-2, Class M-2 -- New Century Home Equity Loan Trust 2005-2, Asset-Backed Notes, Series 2005-2, Class M-3 -- New Century Home Equity Loan Trust 2005-3, Asset-Backed Notes, Series 2005-3, Class M-3 -- New Century Home Equity Loan Trust 2005-3, Asset-Backed Notes, Series 2005-3, Class M-4 -- New Century Home Equity Loan Trust 2005-3, Asset-Backed Notes, Series 2005-3, Class M-5 -- New Century Home Equity Loan Trust 2005-4, Asset-Backed Notes, Series 2005-4, Class M-2 -- New Century Home Equity Loan Trust 2005-4, Asset-Backed Notes, Series 2005-4, Class M-3 -- Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2005-HE1, Asset-Backed Certificates, Series 2005-HE1, Class M- 4 -- Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2006-WF1, Home Equity Loan Trust Asset-Backed Certificates, Series 2006-WF1, Class M-1 -- Park Place Securities Inc., Series 2005-WHQ1, Asset-Backed Pass-Through Certificates, Series 2005-WHQ1, Class M-4 -- Park Place Securities Inc., Series 2005-WHQ1, Asset-Backed Pass-Through Certificates, Series 2005-WHQ1, Class M-5 -- RESI Finance Limited Partnership 2003-D & RESI Finance DE Corporation 2003-D, Real Estate Synthetic Investment Securities, Series 2003-D, Class A5 Risk Band -- RESI Finance Limited Partnership 2003-CB1 & RESI Finance DE Corporation 2003-CB1, Real Estate Synthetic Investment Securities, Series 2003-CB1, Class A5 Risk Band -- RESI Finance Limited Partnership 2003-CB1 & RESI Finance DE Corporation 2003-CB1, Real Estate Synthetic Investment Notes, Series 2003-CB1, Class B1 Risk Band -- RESI Finance Limited Partnership 2003-CB1 & RESI Finance DE Corporation 2003-CB1, Real Estate Synthetic Investment Notes, Series 2003-CB1, Class B2 Risk Band [*] Moody's Hikes $52MM of Prime Jumbo RMBS Issued 2015 ------------------------------------------------------- Moody's Investors Service has upgraded the ratings of thirteen tranches backed by Prime Jumbo RMBS loans, issued by various issuers. Complete rating actions are: Issuer: J.P. Morgan Mortgage Trust 2015-6 Cl. B-1, Upgraded to Aa2 (sf); previously on Oct 30, 2015 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to A1 (sf); previously on Oct 30, 2015 Definitive Rating Assigned A2 (sf) Cl. B-3, Upgraded to Baa1 (sf); previously on Oct 30, 2015 Definitive Rating Assigned Baa2 (sf) Cl. B-4, Upgraded to Ba1 (sf); previously on Oct 30, 2015 Definitive Rating Assigned Ba2 (sf) Issuer: Oaks Mortgage Trust Series 2015-2 Cl. B-1, Upgraded to Aa2 (sf); previously on Nov 11, 2015 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on Nov 11, 2015 Definitive Rating Assigned A2 (sf) Cl. B-3, Upgraded to Baa1 (sf); previously on Nov 11, 2015 Definitive Rating Assigned Baa2 (sf) Cl. B-4, Upgraded to Ba1 (sf); previously on Nov 11, 2015 Definitive Rating Assigned Ba2 (sf) Cl. B-5, Upgraded to B1 (sf); previously on Nov 11, 2015 Definitive Rating Assigned B3 (sf) Issuer: Sequoia Mortgage Trust 2015-4 Cl. B-1, Upgraded to Aa1 (sf); previously on Nov 20, 2015 Definitive Rating Assigned Aa2 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on Nov 20, 2015 Definitive Rating Assigned A2 (sf) Cl. B-3, Upgraded to Baa1 (sf); previously on Nov 20, 2015 Definitive Rating Assigned Baa2 (sf) Cl. B-4, Upgraded to Ba3 (sf); previously on Nov 20, 2015 Definitive Rating Assigned B2 (sf) RATINGS RATIONALE The ratings upgraded are primarily due to an increase in credit enhancement available to the bonds and a reduction in Moody's expected pool losses. The actions are also a result of the recent performance of the underlying pools which have displayed very low levels of serious delinquencies and reflect Moody's updated default projections on the pools. The principal methodology used in these ratings was "Moody's Approach to Rating US Prime RMBS" published in February 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 4.8% in January 2017 from 4.9% in January 2016. Moody's forecasts an unemployment central range of 4.5% to 5.5% for the 2017 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 2017. 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 $263.6MM of RMBS Issued 2002-2006 ------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of two tranches from two transactions and upgraded the ratings of 16 tranches from eight transactions issued by various issuers, and backed by subprime mortgage loans. Complete rating actions are: Issuer: ABFC 2002-NC1 Trust Cl. M-2, Upgraded to Ba3 (sf); previously on Mar 24, 2011 Downgraded to Caa3 (sf) Cl. M-3, Upgraded to Ca (sf); previously on Jun 16, 2009 Downgraded to C (sf) Issuer: Accredited Mortgage Loan Trust 2004-2, Asset-Backed Notes, Series 2004-2 Cl. A-1, Upgraded to Caa1 (sf); previously on Sep 12, 2013 Confirmed at Caa2 (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on Sep 12, 2013 Confirmed at Caa2 (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Cl. A-2, Upgraded to Caa1 (sf); previously on Sep 12, 2013 Confirmed at Caa2 (sf) Underlying Rating: Upgraded to Caa1 (sf); previously on Sep 12, 2013 Confirmed at Caa2 (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Issuer: Ace Securities Corp. Home Equity Loan Trust, Series 2002-HE1 Cl. M-2, Upgraded to Ca (sf); previously on Mar 15, 2011 Downgraded to C (sf) Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2004-HE3 Cl. M-3, Upgraded to B2 (sf); previously on May 8, 2015 Upgraded to Caa2 (sf) Cl. M-4, Upgraded to B3 (sf); previously on Jul 28, 2014 Upgraded to Ca (sf) Cl. M-5, Upgraded to Ca (sf); previously on Mar 26, 2013 Affirmed C (sf) Issuer: Ameriquest Mortgage Securities Inc., 2003-AR3 Cl. M-4, Downgraded to B1 (sf); previously on Aug 28, 2014 Upgraded to Ba3 (sf) Issuer: Amortizing Residential Collateral Trust, Series 2002-BC4 Cl. M1, Upgraded to A3 (sf); previously on May 22, 2015 Upgraded to Baa2 (sf) Cl. M2, Upgraded to Baa1 (sf); previously on May 22, 2015 Upgraded to Ba2 (sf) Issuer: CWABS, Inc., Asset-Backed Certificates, Series 2002-BC3 Cl. M-1, Downgraded to Baa3 (sf); previously on Apr 16, 2012 Downgraded to A3 (sf) Issuer: CWABS, Inc., Asset-Backed Certificates, Series 2004-BC1 Cl. M-2, Upgraded to Caa1 (sf); previously on Mar 17, 2011 Downgraded to Caa3 (sf) Issuer: GSAA Home Equity Trust 2006-2 Cl. 1A1, Upgraded to A2 (sf); previously on Mar 4, 2016 Upgraded to Baa2 (sf) Cl. 1A2, Upgraded to B2 (sf); previously on Mar 4, 2016 Upgraded to B3 (sf) Cl. 2A4, Upgraded to Baa3 (sf); previously on Mar 4, 2016 Upgraded to Ba2 (sf) Cl. 2A5, Upgraded to B3 (sf); previously on Mar 4, 2016 Upgraded to Caa1 (sf) Issuer: Long Beach Mortgage Loan Trust 2006-1 Cl. I-A, Upgraded to Caa1 (sf); previously on Apr 30, 2010 Downgraded to Caa3 (sf) RATINGS RATIONALE The rating upgrades are primarily due to the total credit enhancement available to the bonds. The rating downgrades are primarily due to outstanding interest shortfalls which are not expected to be reimbursed. The actions reflect the recent performance of the underlying pools and Moody's updated loss expectation on these pools. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in January 2017. 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 4.8% in January 2017 from 4.9% in January 2016. Moody's forecasts an unemployment central range of 4.5% to 5.5% for the 2017 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 2017. Lower increases than Moody's expects or decreases could lead to negative rating actions. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. [*] S&P Completes Review on 164 Classes From 13 RMBS Transactions ----------------------------------------------------------------- S&P Global Ratings completed its review of 164 classes from 13 U.S. residential mortgage-backed securities (RMBS) transactions issued between 1998 and 2005. The review yielded 38 upgrades, 30 downgrades, 84 affirmations, 11 withdrawals, and one discontinuance. The transactions in this review are backed by a mix of fixed- and adjustable-rate prime jumbo and alternative-A mortgage loans, which are secured primarily by first liens on one- to four-family residential properties. With respect to 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. The rating on a bond-insured obligation will be the higher of the rating on the bond insurer and the rating of the underlying obligation, without considering the potential credit enhancement from the bond insurance. Of the classes reviewed, Banc of America Mortgage Trust 2004-4's class 1-A-12 ('BBB+ (sf)') and Banc of America Mortgage Trust 2004-7's class 5-A-16 ('A+ (sf)') are insured by MBIA Insurance Corp. ('CCC'), which is currently rated by S&P Global Ratings. The rating actions on interest-only (IO) classes reflect the application of S&P's IO criteria, which provide that S&P will maintain the current ratings 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 these IO ratings. Specifically, S&P will maintain active surveillance of these IO classes using the methodology applied before 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 23 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; -- Rising constant prepayment rates (CPRs); -- The class' expected short duration; and/or -- Principal-only (PO) criteria. Of the 23 ratings that were raised three or more notches, four were due to their expected shorter duration because S&P anticipates the classes to be paid down within the next 12 months, seven were due to the improvement of the underlying collateral performance during the most recent performance periods compared to previous review dates, six were due to an increase in credit support and the classes' ability to withstand a higher level of projected losses than previously anticipated, and six reflect the application of S&P's criteria for PO classes. S&P raised its ratings on classes III-A-3, III-A-4, III-A-5, and IV-P from CSFB Mortgage-Backed Trust Series 2004-3 to 'AA+ (sf)' from 'A+ (sf)'. The upgrade on class III-A-3 is due to the class' expected short duration; S&P anticipates the class to be paid down within the next 12 months. The upgrades on classes III-A-4 and III-A-5 reflect an increase in credit support and the classes' ability to withstand a higher level of projected losses than previously anticipated. Credit support for classes III-A-4 and III-A-5 increased to 34.04% in December 2016 from 32.31% in December 2015. The upgrade on class IV-P reflects the application of S&P's criteria for PO classes. S&P raised its ratings on classes 1-A-3, 1-A-4, 1-A-7, and 1-A-9 from Banc of America Mortgage Trust 2004-5. The upgrade on class 1-A-3 to 'AA+ (sf)' from 'A+ (sf)' is due to the class' expected short duration; S&P anticipates the class to be paid down within the next 12 months. The upgrades on class 1-A-4 to 'BBB+ (sf)' from 'BB+ (sf)', class 1-A-7 to 'BBB- (sf)' from 'BB- (sf)', and class 1-A-9 to 'BBB+ (sf)' from 'BB- (sf)', reflect an increase in credit support and the classes' ability to withstand a higher level of projected losses than previously anticipated. Credit support for classes 1-A-4, 1-A-7, and 1-A-9 increased to 18.59% in December 2016 from 16.26% in May 2016. S&P raised its ratings on class 1-A-17 from Banc of America Mortgage Trust 2004-7 to 'AA+ (sf)' from 'A+ (sf)' due to the class' expected short duration; S&P anticipates the class to be paid down within the next 12 months. S&P also raised its rating on class 1-A-18 from Banc of America Mortgage Trust 2004-7 to 'AA+ (sf)' from 'A- (sf)' to reflect an increase in credit support and the classes' ability to withstand a higher level of projected losses than previously anticipated. Credit support for class 1-A-18 increased to 36.58% in December 2016 from 24.74% in September 2015. "We raised our ratings on classes 2-A-3, 2-A-4, 5-A-1, 5-A-3, 5-A-4, 5-A-5, and 5-A-16 from Banc of America Mortgage Trust 2004-7. The upgrades on classes 5-A-1, 5-A-3, 5-A-4, 5-A-5, and 5-A-16 to 'A+ (sf)' from 'BBB+ (sf)' and on classes 2-A-3 and 2-A-4 to 'BBB+ (sf)' from 'BB+ (sf)' reflect a decrease in our projected losses and our belief that our projected credit support for the affected classes will be sufficient to cover our revised projected losses at these rating levels. We have decreased our projected losses because there have been fewer reported delinquencies during the most recent performance periods compared to those reported during the previous review dates. Group 5 total delinquencies decreased to 9.84% at December 2016 from 18.63% at September 2015, and severe delinquencies decreased to 8.48% at December 2016 from 16.71% at September 2015. Group 2 total delinquencies decreased to 15.13% at December 2016 from 20.23% at September 2015, and severe delinquencies decreased to 3.05% at December 2016 from 9.65% at September 2015," S&P noted. The upgrades on classes 1-X-PO and 5-X-PO to 'A+ (sf)' from 'BBB+ (sf)' and classes 2-X-PO, 4-X-PO, and 4-15-PO to 'BBB+ (sf)' from 'BB+ (sf)' from Banc of America Mortgage Trust 2004-7 reflect the application of S&P's criteria for PO classes. S&P raised its rating on class I-A-1 from First Horizon Mortgage Pass Through Trust 2005-AR3 to 'AA (sf)' from 'B+ (sf)' due to the class' expected short duration, S&P anticipates the class to be paid down within the next 12 months. DOWNGRADES Of the 30 downgrades, S&P lowered its ratings on three 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 23 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; -- Observed interest shortfalls; and/or -- Tail risk. The downgrades include 18 ratings that were lowered three or more notches. Of these, 12 were due to decreased credit support and the classes' inability to withstand projected losses at the prior rating levels, four reflect the increase in our projected losses due to increased delinquencies, one is based on the application of S&P's interest shortfall criteria, and one is based on the application of tail risk. The downgrades on classes III-A-2 and III-A-3 from Credit Suisse First Boston Mortgage Securities Corp. 2003-21 to 'BBB+ (sf)' from 'AA+ (sf)', class II-A-1 from Bear Stearns ARM Trust 2004-8 to 'B- (sf)' from 'BB- (sf)', and class B-1 from Fannie Mae REMIC Trust 1998-W4 to 'CCC (sf)' from 'B+ (sf)' 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 when compared to those reported during the previous review dates. Total delinquencies and severe delinquencies for group 3 from Credit Suisse First Boston Mortgage Securities Corp. 2003-21, increased to 7.85% at December 2016 from 3.92% at July 2015. Total delinquencies for group 2 from Bear Stearns ARM Trust 2004-8, increased to 19.38% at December 2016 from 12.15% at July 2015, and severe delinquencies increased to 16.29% at December 2016 from 10.48% at July 2015. Total delinquencies for Fannie Mae REMIC Trust 1998-W4 increased to 27.31% at November 2016 from 23.14% at February 2015, and severe delinquencies increased to 18.60% at November 2016 from 16.18% at July 2015. The downgrade on class II-A-1 from Credit Suisse First Boston Mortgage Securities Corp. 2002-18 to 'BB (sf)' from 'BBB+ (sf)' and classes I-1-A-1, I-1-A-2, I-1-A-3, and I-4-A-1 from Bear Stearns ARM Trust 2004-8 to 'B- (sf)' from 'BB- (sf)', reflect decreased credit support and the classes' inability to withstand projected losses at the prior rating levels. Credit support for class II-A-1 from Credit Suisse First Boston Mortgage Securities Corp. 2002-18 decreased to 22.20% in December 2016 from 23.98% in December 2015. Credit support for classes I-1-A-1, I-1-A-2, I-1-A-3, and I-4-A-1 from Bear Stearns ARM Trust 2004-8 decreased to 6.33% in December 2016 from 10.44% in July 2015. The downgrades on class D-B-1 from Credit Suisse First Boston Mortgage Securities Corp. 2003-8 to 'BBB- (sf)' from 'A (sf)', class M from CHL Mortgage Pass-Through Trust 2003-49 to 'B (sf)' from 'BB (sf)', class II-2-A and II-3-A to 'B (sf)' from 'BB+ (sf)', and class II-4-A to 'B (sf)' from 'BBB- (sf)' from Bear Stearns ARM Trust 2004-2, class I-A-4 from CSFB Mortgage-Backed Trust Series 2004-3 to 'B (sf)' from 'BB (sf)', and class 2-A-3 from Banc of America Mortgage Trust 2004-4 to 'BBB- (sf)' from 'A+ (sf)', are due to erosion of credit support as principal payments were made to more subordinate classes. Interest Shortfalls The downgrade on class I-1-A from Bear Stearns ARM Trust 2004-2 to 'B (sf)' from 'BBB (sf)' was based on S&P's assessment of interest shortfalls to the affected class during recent remittance periods. Class I-1-A has not received any interest payments since April 2016 and has non de-minimis interest shortfalls outstanding for seven months. Class I-1-A is associated with subgroup I-1, which has only one loan remaining that is currently 90+ days delinquent. Because of the delinquency status of this loan, no advances on the delinquent payments have occurred; therefore, S&P do not expect the class to receive any interest payments in the near future. S&P has lowered its rating on this class by applying S&P's interest shortfall criteria, which designate a maximum potential rating to this class based on anticipated interest shortfalls. S&P also lowered its rating on class D-B-1 from CSFB Mortgage-Backed Trust Series 2004-3 to 'D (sf)' from 'CCC (sf)' based on our assessment of interest shortfalls to the affected class during recent remittance periods. It has interest shortfalls outstanding since August 2015, and the lowered rating also reflects the application of S&P's interest shortfall criteria. Tail Risk Banc of America Mortgage Trust 2004-7 is backed by three separate small remaining pools 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 from this transaction by conducting a loan-level analysis that assesses this risk, as set forth in S&P's tail risk criteria. S&P lowered its rating on class 3-A-1 to 'B+ (sf)' from 'BB+ (sf)' to 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 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 its upgrade or affirmed its ratings on those classes to account for this uncertainty and promote ratings stability. In general, these classes have one or more of these characteristics that limit any potential upgrade: -- Insufficient subordination, overcollateralization, or both; -- Delinquency trends; -- Historical interest shortfalls; -- 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 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 our view that these classes are still vulnerable to defaulting, and the 'CC (sf)' affirmations reflect S&P's view that these classes remain virtually certain to default. WITHDRAWALS S&P withdrew its ratings on ten classes from Banc of America Mortgage Trust 2004-4 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. S&P withdrew its rating on class III-X from Credit Suisse First Boston Mortgage Securities Corp. 2003-21 according to S&P's IO criteria, which states that it will maintain the 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-' or have been retired. The ratings on the referenced classes III-A-2 and III-A-3 were lowered to 'BBB+ (sf)' from 'AA+ (sf)' in this review. DISCONTINUANCE S&P discontinued its rating on class A-7 from CHL Mortgage Pass-Through Trust 2003-49 as it was paid in full in the January 2017 remittance period. 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. [*] S&P Lowers Rating on 98 Classes From 65 RMBS Deals to 'D' ------------------------------------------------------------- S&P Global Ratings lowered its ratings on 98 classes of mortgage pass-through certificates from 65 U.S. residential mortgage-backed securities (RMBS) transactions issued between 2003 and 2008 to 'D (sf)'. The transactions in this review are backed by a mix of fixed- and adjustable-rate mixed collateral mortgage loans, which are secured primarily by first liens on one- to four-family residential properties. The downgrades reflect S&P's assessment of the principal writedowns' impact on the affected classes during recent remittance periods. All of the classes were rated either 'CCC (sf)' or 'CC (sf)' before the rating actions. Class 30-PO from Banc of America Funding 2005-6 Trust, class 3-AP from Structured Asset Securities Corp. Mortgage Loan Trust Series 2006-RF3, and class S-PO from Banc of America Funding 2007-4 Trust are principal-only (PO) strip classes. PO strip classes receive principal primarily from discount loans within the related transaction. When a discount loan takes a loss, the PO strip class is allocated a loan-specific percentage of that loss. However, because these PO classes are senior classes in the waterfall, they are reimbursed from cash flows that would otherwise be paid to the most junior classes. Further, S&P do not expect any future reimbursements from the transaction's cash flow because the balances of the subordinate classes have been reduced to zero. Therefore, the PO classes within this review have incurred a loss on their principal obligation without the likelihood of future reimbursement. S&P is lowering the ratings of all three PO classes within this review to 'D (sf)'. The 98 defaulted classes consist of these: -- 54 from prime jumbo transactions (55.10 %); -- 20 from Alternative-A transactions (20.41%); -- Seven from subprime transactions (7.14 %); -- Seven from negative amortization transactions (7.14%); -- Five from Federal Housing Administration/Veteran Affairs transactions (5.10%); -- Three from risk transfer transactions (3.06%); -- One from a resecuritized real estate mortgage investment conduit transaction (1.02%); and -- One from a reperforming transaction (1.02%). All of the transactions in this review receive credit enhancement from a combination of subordination, excess spread, and overcollateralization (where applicable). S&P will continue to monitor its ratings on securities that experience principal write-downs, and S&P will take rating actions as it considers appropriate according to our criteria. 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Villacampa, Sheryl Joy P. Olano, Psyche A. Castillon, Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2017. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. The TCR subscription rate is $975 for 6 months delivered via e-mail. Additional e-mail subscriptions for members of the same firm for the term of the initial subscription or balance thereof are $25 each. For subscription information, contact Peter A. Chapman at 215-945-7000 or Nina Novak at 202-362-8552. *** End of Transmission ***