/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/170312.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, March 12, 2017, Vol. 21, No. 70 Headlines ACA ABS 2004-1: Moody's Hikes Class B Notes Rating From Ba3 ACRE COMMERCIAL 2017-FL3: DBRS Assigns B(low) Rating to Cl. F Debt AMMC CLO 20: S&P Assigns Prelim. BB Rating on Class E Notes AMMC CLO X: S&P Raises Rating on Class F Notes to BB+ ANGEL OAK 2017-1: DBRS Assigns Bsf Rating to Class B-2 Debt ANGEL OAK 2017-1: Fitch to Rate Class B-2 Notes 'Bsf' BAMLL COMMERCIAL 2013-WBRK: DBRS Confirms BB Rating on Cl. E Debt BEAR STEARNS 2007-PWR18: S&P Affirms 'CCC' Rating on 2 Tranches BEAR STERNS 1999-WF2: Fitch Affirms 'Dsf' Rating on Class K Certs C-BASS CBO VIII: Moody's Hikes Rating on 2 Tranches to B1 CAN CAPITAL 2014-1: DBRS Cuts Class B Debt Rating to B(high) CBA COMMERCIAL 2004-1: Moody's Affirms C Rating on M-3 Certs CD 2006-CD2: Moody's Lowers Rating on Class A-J Debt to Ca(sf) CITIGROUP 2014-GC19: DBRS Confirms BB(low) Rating on F Debt CITIGROUP 2014-GC21: DBRS Confirms BB Rating on Class E Debt COMM 2015-CCRE22: Fitch Affirms BB- Rating on Class E Certificates CREDIT SUISSE 2007-C1: Moody's Affirms B3 Rating on 3 Tranches CSFB MORTGAGE 2005-C3: Moody's Hikes Class C Certs Rating to B1 DBUBS 2011-LC2: Moody's Affirms B3 Rating on 2 Tranches EMERSON PLACE: S&P Affirms 'CCC+' Rating on Class E Notes FREDDIE MAC 2017-SC01: Moody's Gives (P)Ba3 Rating to Cl. M-2 Debt FREMF 2017-K63: Fitch to Rate Class C Debt at 'BB+sf FREMF 2017-K63: Fitch to Rate Class C Debt at 'BB+sf' GALTON FUNDING 2017-1: DBRS Assigns (P)B Ratings to Class B5 Debt GALTON FUNDING 2017-1: Moody's Assigns B2 Rating to Cl. B5 Debt GE COMMERCIAL 2005-C2: Fitch Affirms 'Dsf' Rating on Cl. K Certs GMAC COMMERCIAL 1998-C2: Fitch Affirms 'Dsf' Rating on Cl. K Debt GOLDENTREE LOAN: S&P Assigns Prelim. B- Rating on Class F Notes GRAMERCY REAL 2007-1: S&P Lowers Rating on 4 Tranches to 'D' GS MORTGAGE 2012-GCJ7: DBRS Confirms B(sf) Rating on Class F Debt JFIN REVOLVER: S&P Raises Ratings on Class E VFN Debt to BB+ JP MORGAN 2003-CIBC6: Fitch Hikes Rating on Class M Debt to 'Dsf' JP MORGAN 2004-CIBC10: S&P Raises Rating on Cl. E Certs to B+ JP MORGAN 2010-C1: Fitch Lowers Rating on Class D Notes to 'CCsf' JP MORGAN 2017-JP5: Fitch to Rate Class E Certs 'BB-sf' LCM XXIV: Moody's Assigns (P)Ba3 Rating to Class E Notes LENDMARK FUNDING 2016-A: Fitch Affirms 'Bsf' Rating on Cl. C Notes MADISON PARK V: Moody's Affirms Ba1(sf) Rating on Class D Notes MADISON PARK V: Moody's Affirms Ba1(sf) Rating on Class D Notes MERRILL LYNCH 2005-CIP1: Fitch Cuts Rating on Cl. E Notes to 'Dsf' ML-CFC COMMERCIAL 2006-4: S&P Lowers Rating on Cl. C Certs to CCC MORGAN STANLEY 2006-TOP21: S&P Lowers Rating on Cl. C Certs to BB+ MORGAN STANLEY 2015-C21: DBRS Confirms B(low) Rating on Cl. G Debt MORGAN STANLEY 2016-C28: DBRS Confirms B(low) Rating on 3 Tranches MOUNTAIN VIEW 2014-1: S&P Affirms 'B-' Rating on Class F Notes N-STAR VI: S&P Raises Rating on Class B Notes to BB+ NELNET STUDENT 2008-4: Fitch Corrects January 24 Release NEW RESIDENTIAL 2017-1: S&P Assigns BB Rating on 2 Tranches NEW RESIDENTIAL 2017-1: S&P Gives Prelim B Rating on Cl. B-5 Debt NORTHWOODS CAPITAL XII: S&P Assigns (P)BB Rating on Cl. E-2-R Debt OHA LOAN 2013-1: S&P Raises Rating on Class E Notes to BB+ PARCS MASTER: S&P Lowers Rating on Cl. 2007-4 Calvados Units to D PARTS PRIVATE 2007-CT1: Fitch Affirms 'Csf' Rating on Class C Debt REALT 2007-1: DBRS Puts B Rating on Class K Debt Under Review ROSEDALE CLO: Moody's Lowers Rating on Class E Notes to B2 SALOMON BROTHERS 2000-C2: Moody's Affirms Caa3 Rating on Cl. X Debt SEQUOIA MORTGAGE 2017-3: Moody's Gives (P)B2 Rating to B-4 Debt SOUND POINT: S&P Affirms BB+ Rating on Class E Notes TIAA CLO II: S&P Assigns Preliminary BB- Rating on Cl. E Notes TOWD POINT 2017-1: DBRS Finalizes Prov. B Rating on Class B2 Debt WACHOVIA BANK 2006-C23: S&P Lowers Rating on Cl. H Certs to 'CCC-' WACHOVIA BANK 2006-C24: Moody's Affirms B3 Rating on Class C Certs WELLS FARGO 2014-C20: DBRS Confirms Bsf Rating on Class F Debt WELLS FARGO 2015-NXS1: Fitch Affirms 'B-sf' Rating on 2 Tranches WESTLAKE AUTOMOBILE 2017-1: DBRS Assigns (P)BB Ratings to E Debt WESTLAKE AUTOMOBILE 2017-1: S&P Gives (P)BB Rating on Class E Debt WFRBS COMM 2013-C13: Fitch Affirms 'Bsf' Rating on Cl. F Debt WFRBS COMMERCIAL 2013-C13: Moody's Affirms B2 Rating on Cl. F Debt [*] DBRS Reviews 153 Classes From 20 US RMBS Deals [*] DBRS Reviews 234 Classes From 36 US RMBS Deals [*] DBRS Takes Rating Actions From 6 ABS Deals [*] Fitch Took Ratings on Distressed Classes in 5 CMBS Deals [*] Moody's Hikes $1BB of Subprime RMBS Issued 2006-2007 [*] Moody's Hikes Ratings on $633.8MM of RMBS Issued 2005-2006 [*] Moody's Raises Ratings on $444.2MM of Alt-A RMBS Issued 2005 [*] Moody's Takes Action on $3.7BB of RMBS Issued From 2016 [*] S&P Takes Rating Actions on 28 Classes From 23 RMBS Deals ********* ACA ABS 2004-1: Moody's Hikes Class B Notes Rating From Ba3 ----------------------------------------------------------- Moody's Investors Service has upgraded the rating on notes issued by ACA ABS 2004-1, LIMITED: US$47,250,000 Class B Senior Secured Floating Rate Notes Due July 16, 2039 (current outstanding balance of $13,309,233.91), Upgraded to Baa2 (sf); previously on September 13, 2016 Upgraded to Ba3 (sf). ACA ABS 2004-1, LIMITED, issued in May 2004, is a collateralized debt obligation backed primarily by a portfolio of RMBS and CRE CDOs originated in 2003 and 2004. RATINGS RATIONALE The rating action is primarily due to the deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since September 2016. The Class B notes have paid down by approximately 29%, or $5.4 million since that time. Based on Moody's calculation, the Class B OC has improved to 181.6% from 153.0% in September 2016. The paydown of the Class B notes is partially the result of cash collections from certain assets treated as defaulted by the trustee in amounts materially exceeding expectations. The deal has also benefited from an improvement in the credit quality of the underlying portfolio since September 2016. Based on Moody's calculation, the weighted average rating factor (WARF) is currently 1896, compared to 2143 on September 2016. Methodology Underlying the Rating Action The principal methodology used in this rating was "Moody's Approach to Rating SF CDOs," published in October 2016. Factors That Would Lead To an Upgrade or Downgrade of the Rating: This transaction is subject to a number of factors and circumstances that could lead to either an upgrade or downgrade of the ratings, as described below: 1) Macroeconomic uncertainty: Primary causes of uncertainty about assumptions are the extent of any deterioration in either consumer or commercial credit conditions and in the commercial and residential real estate property markets. The residential real estate property market's uncertainties include housing prices; the pace of residential mortgage foreclosures, loan modifications and refinancing; the unemployment rate; and interest rates. 2) Deleveraging: One source of uncertainty in this transaction is whether deleveraging from principal proceeds, recoveries from defaulted assets, and excess interest proceeds will continue and at what pace. Faster than expected deleveraging could have a significantly positive impact on the notes' ratings. 3) Amortization profile assumptions: Moody's modeled the amortization of the underlying collateral portfolio based on its assumed weighted average life (WAL). Regardless of the WAL assumption, due to the sensitivity of amortization assumption and its impact on the amount of principal available to pay down the notes, Moody's supplemented its analysis with various sensitivity analysis around the amortization profile of the underlying collateral assets. 4) Recovery of defaulted assets: The amount of recoveries received from defaulted assets reported by the trustee and those that Moody's assumes as having defaulted as well as the timing of these recoveries create additional uncertainty. Moody's analyzed defaulted assets assuming limited recoveries, and therefore, realization of any recoveries exceeding Moody's expectation in the future would positively impact the notes' ratings. Loss and Cash Flow Analysis: Moody's applies a Monte Carlo simulation framework in Moody's CDOROM™ to model the loss distribution for SF CDOs. The simulated defaults and recoveries for each of the Monte Carlo scenarios define the reference pool's loss distribution. Moody's then uses the loss distribution as an input in the CDOEdge™ cash flow model. In addition to the base case analysis, Moody's also conducted sensitivity analyses to test the impact of a number of default probabilities on the rated notes. Below is a summary of the impact of different default probabilities (expressed in terms of WARF) on all of the rated notes (by the difference in the number of notches versus the current model output, for which a positive difference corresponds to lower expected loss): Caa1 and below ratings notched up by two rating notches (1452): Class B: 0 Class C-1: 0 Class C-2: 0 Combination Securities: 0 Caa1 and below ratings notched down by two notches (1930): Class B: 0 Class C-1: 0 Class C-2: 0 Combination Securities: 0 ACRE COMMERCIAL 2017-FL3: DBRS Assigns B(low) Rating to Cl. F Debt ------------------------------------------------------------------ DBRS, Inc. assigned final ratings to the following classes of secured Floating Rate Notes (the Notes) issued by ACRE Commercial Mortgage 2017-FL3 Ltd. -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class F at B (low) (sf) All trends are Stable. Classes A, A-S, B, C and D have been privately placed. Classes E and F are non-offered classes. With respect to the deferrable notes (Class E and Class F), to the extent that interest proceeds are not sufficient on a given payment date to pay accrued interest, interest will not be due and payable on the payment date and will instead be deferred and capitalized. The ratings assigned by DBRS contemplate the timely payments of distributable interest and, in the case of deferred interest notes, the ultimate recovery of deferred interest (inclusive of interest payable thereon at the applicable rate, to the extent permitted by law). The collateral for the transaction consists of 12 floating-rate mortgages secured by 16 transitional commercial real estate properties totaling $341.2 million. The loans are secured by current cash flowing assets, most of which are in a period of transition, with plans to stabilize and improve the asset value. The transaction has a Reinvestment Period that is expected to expire on March 15, 2019, and DBRS will have the ability to provide a Rating Agency Confirmation on loans that are being added to the pool during the Reinvestment Period in order to evaluate any credit drift caused by potential loan concentrations. The initial pool consists of 12 loans, 11 of which, or 90.0% of the loan pool, have a pari passu companion participation held by a subsidiary of the trust asset seller and sponsor, ACRC Lender LLC. The ratings assigned to the Notes 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. AMMC CLO 20: S&P Assigns Prelim. BB Rating on Class E Notes ----------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to AMMC CLO 20, Limited/AMMC CLO 20 LLC's $368 million floating-rate notes. The note issuance is a collateralized loan obligation transaction backed by broadly syndicated speculative-grade senior secured term loans. The preliminary ratings are based on information as of March 6, 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 AMMC CLO 20 Ltd./AMMC CLO 20 LLC Class Rating Amount (mil. $) A AAA (sf) 260.00 B AA (sf) 44.00 C (deferrable) A (sf) 26.00 D (deferrable) BBB (sf) 20.00 E (deferrable) BB (sf) 18.00 Subordinated notes NR 39.90 NR--Not rated. AMMC CLO X: S&P Raises Rating on Class F Notes to BB+ ----------------------------------------------------- S&P Global Ratings raised its ratings on the class B, C, D, E, and F notes from AMMC CLO X Ltd. S&P also removed these ratings from CreditWatch, where it placed them with positive implications on Dec. 6, 2016. At the same time, S&P affirmed its 'AAA (sf)' rating on the class A notes from the same transaction. The rating actions follow S&P's review of the transaction's performance using data from the February 2017 trustee report. The rating actions also considers the updated recovery rate table in our Corporate Cash Flow and Synthetic CDO Criteria that took into account an update to S&P's jurisdiction ranking assessments. The upgrades reflect the transaction's $171.15 million in paydowns to the class A notes since S&P's April 2015 rating actions that improved the reported overcollateralization (O/C) ratios per the February 2017 trustee report compared with the April 2015 trustee report: -- The class A/B O/C ratio improved to 162.80% from 130.06%. -- The class C O/C ratio improved to 140.48% from 121.43%. -- The class D O/C ratio improved to 127.81% from 115.87%. -- The class E O/C ratio improved to 116.21% from 110.29%. The portfolio's credit quality has slightly deteriorated since S&P's last rating actions. Collateral obligations rated in the 'CCC' category have increased to $14.26 million reported as of the February 2017 trustee report from $1.79 million reported as of the April 2015 trustee report. This contributed to the portfolio's weighted average rating declining to ''B' from 'B+' during this period. Despite the larger concentration in the 'CCC' category, the transaction has benefited from a drop in the weighted average life because of underlying collateral seasoning to 2.35 years reported as of the February 2017 trustee report from 3.93 years reported at the time of S&P's last rating actions. The upgrades reflect the improved credit support at the prior rating levels; the affirmation reflects S&P's view that the credit support available is commensurate with the current rating level. Although S&P's cash flow analysis indicated higher ratings for the class D, E, and F notes, its rating actions considered the decline in the portfolio's credit quality and other scenario analysis to account for further volatility in the underlying portfolio. S&P's review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the aforementioned trustee report, to estimate future performance. In line with S&P's criteria, its cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, S&P's analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis demonstrated, in S&P's view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions. S&P will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and will take rating actions as S&P deems necessary. RATINGS RAISED AND REMOVED FROM CREDITWATCH POSITIVE AMMC CLO X Ltd. Rating Class To From B AAA (sf) AA+ (sf)/Watch Pos C AAA (sf) AA- (sf)/Watch Pos D AA+ (sf) A- (sf)/ Watch Pos E BBB+ (sf) BB+ (sf)/Watch Pos F BB+ (sf) BB- (sf)/Watch Pos RATING AFFIRMED AMMC CLO X Ltd. Class Rating A AAA (sf) ANGEL OAK 2017-1: DBRS Assigns Bsf Rating to Class B-2 Debt ----------------------------------------------------------- DBRS, Inc. assigned the following provisional ratings to the Mortgage-Backed Certificates, Series 2017-1 (the Certificates) issued by Angel Oak Mortgage Trust I, LLC 2017-1 (the Trust): -- $78.1 million Class A-1 at AAA (sf) -- $19.3 million Class A-2 at AA (low) (sf) -- $20.0 million Class A-3 at A (low) (sf) -- $9.4 million Class M-1 at BBB (low) (sf) -- $7.5 million Class B-1 at BB (low) (sf) -- $5.6 million Class B-2 at B (sf) The AAA (sf) ratings on the Certificates reflect the 46.65% of credit enhancement provided by subordinated Certificates in the pool. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf) and B (sf) ratings reflect 33.50%, 19.85%, 13.45%, 8.35% and 4.55% of credit enhancement, respectively. Other than the specified classes above, DBRS does not rate any other classes in this transaction. This transaction is a securitization of a portfolio of fixed- and adjustable-rate, non-prime, primarily first-lien residential mortgages. The Certificates are backed by 529 loans with a total principal balance of $146,469,496 as of the Cut-Off Date (February 1, 2017). Angel Oak Mortgage Solutions LLC (AOMS), Angel Oak Home Loans LLC (AOHL) and Angel Oak Prime Bridge LLC are the originators for 70.9%, 26.9% and 2.2% of the portfolio, respectively. The mortgages were originated under the following six programs: (1) Portfolio Select (74.2%) – Made to borrowers with near-prime credit scores who are unable to obtain financing through conventional or governmental channels because (1) they fail to satisfy credit requirements; (2) they are self-employed and need an alternate income calculation using 24 months of bank statements to qualify; (3) they may have a credit score that is lower than that required by government-sponsored entity underwriting guidelines; or (4) they may have been subject to a bankruptcy or foreclosure 24 or more months prior to origination. (2) Non-Prime General (6.4%) – Made to borrowers who have not sustained a housing event in the past 24 months, but whose credit reports show multiple 30+ and/or 60+ day delinquencies on any reported debt in the past 12 months. (3) Non-Prime Recent Housing (6.5%) – Made to borrowers who have completed or have had their properties subject to a short sale, deed-in-lieu, notice of default or foreclosure. Borrowers who have filed bankruptcy 12 or more months prior to origination or have experienced severe delinquencies may also be considered for this program. (4) Non-Prime Foreign National (6.3%) – Made to investment property borrowers who are citizens of foreign countries that do not reside or work in the United States. Borrowers may use alternative income and credit documentation. Income is typically documented by the employer or accountant, and credit is verified by letters from overseas credit holders. (5) Non-Prime Investment Property (0.7%) – Made to real estate investors who may have financed up to five mortgaged properties with the originators (or 20 mortgaged properties overall). (6) Investor Cash Flow (5.9%) – Made to real estate investors who are experienced in purchasing, renting and managing investment properties with an established five-year credit history and at least 24 months of clean housing payment history, but who are unable to obtain financing through conventional or governmental channels because (1) they fail to satisfy the requirements of such programs or (2) may be over the maximum number of properties allowed. Loans originated under the Investor Cash Flow program are considered business purpose and are not covered by the ability-to-repay (ATR) rules or TRID rule. Select Portfolio Servicing Inc. (SPS) is the servicer for the loans. Angel Oak Home Loans LLC will act as Servicing Administrator, and Wells Fargo Bank, N.A. (Wells Fargo) will act as the Master Servicer. U.S. Bank National Association will serve as Trustee and Custodian. Although the mortgage loans were originated to satisfy the Consumer Financial Protection Bureau (CFPB) ATR rules, they were made to borrowers who generally do not qualify for agency, government or private label non-agency prime jumbo products for various reasons described above. In accordance with the CFPB Qualified Mortgage (QM) rules, none of the loans are designated as QM Safe Harbor, 5.0% as QM Rebuttable Presumption and 79.1% as non-QM. Approximately 16.0% of the loans are for investment properties and thus not subject to the QM rules. The servicing administrator or servicer will generally fund advances of delinquent principal and interest on any mortgage until such loan becomes 180 days delinquent, and they are obligated to make advances in respect of taxes, insurance premiums and reasonable costs incurred in the course of servicing and disposing of properties. On or after the distribution date in March 2019, the Depositor has the option to purchase all of the outstanding certificates at a price equal to the outstanding class balance plus accrued and unpaid interest, including any cap carryover amounts. The transaction employs a sequential-pay cash flow structure with a pro rata principal distribution among the senior tranches. Principal proceeds can be used to cover interest shortfalls on the Certificates as the outstanding senior Certificates are paid in full. Further, excess spread can be used to cover realized losses first before being allocated to unpaid cap carryover amounts up to the Class M-1 Certificates. The ratings reflect transactional strengths that include the following: (1) Strong Underwriting Standards: Whether for prime or non-prime mortgages, underwriting standards have improved significantly from the pre-crisis era. All of the mortgage loans were underwritten in accordance with the eight underwriting factors of the ATR rules, although they may not necessarily comply with Appendix Q of Regulation Z. (2) Robust Loan Attributes and Pool Composition: -- The mortgage loans in this portfolio generally have robust loan attributes as reflected in combined loan-to-value (LTV) ratios, borrower household income and liquid reserves, including the loans in the Non-Prime programs that have weaker borrower credit. -- LTVs gradually reduce as the programs move down the credit spectrum, suggesting the consideration of compensating factors for riskier pools. -- The pool comprises 15.3% fixed-rate mortgages, which have the lowest default risk because of the stability of monthly payments. The pool comprises 84.7% hybrid adjustable-rate mortgages (ARMs) with an initial fixed period of five to ten years, allowing borrowers sufficient time to credit cure before rates reset. None of the loans are riskier hybrid ARMs with shorter teaser periods (two to three years). (3) Satisfactory Third-Party Due Diligence Review: A third-party due diligence firm conducted property valuation and credit reviews on 100% of the loans in the pool. For 94.2% of the loans (i.e., the entire pool excluding the 77 Investor Cash Flow loans), a third-party due diligence firm performed a regulatory compliance review. Data integrity checks were also performed on the pool. (4) Satisfactory Loan Performance to Date (Albeit Short): Angel Oak began originating non-agency loans in the fourth quarter of 2013. Of the approximately 1,644 mortgages originated, 12 were ever 30 days delinquent, one loan has been 60 days delinquent, four loans 90 days delinquent and six loans 120+ days delinquent. In addition, voluntary prepayment rates have been relatively high in previous Angel Oak securitizations, as these borrowers tend to credit cure and refinance into lower-cost mortgages. (5) Strong Servicer: SPS, a strong residential mortgage servicer and a wholly owned subsidiary of Credit Suisse, services the pool. In this transaction, AOHL, as the servicing administrator, or SPS, as the servicer, is responsible for funding advances to the extent required. In addition, the transaction employs Wells Fargo as the Master Servicer, which is rated AA (high) by DBRS. If the servicing administrator or the servicer fails in its obligation to make advances, Wells Fargo will be obligated to fund such servicing advances. The transaction also includes the following challenges and mitigating factors: (1) Geographic Concentration: Compared with other recent securitizations, the AOMT 2017-1 pool has a high concentration of loans located in Florida (37.3% of the pool). Mitigating factors include the following: -- Although the pool is concentrated in Florida, the loans are well dispersed among the metropolitan statistical areas (MSAs). The largest Florida MSA, Fort-Lauderdale-Pompano Beach-Deerfield, represents only 7.2% of the entire transaction. DBRS does not believe the AOMT 2017-1 pool is particularly sensitive to any deterioration in economic conditions or the occurrence of a natural disaster in any specific region. -- DBRS's RMBS Insight model generates an elevated asset correlation, as determined by the loan size and geographic concentration, for this portfolio compared with pools with similar collateral, resulting in higher expected losses across all rating categories. (2) Representations and Warranties (R&W) Framework and Provider: Although slightly stronger than other comparable non-QM transactions rated by DBRS, the R&W framework for AOMT 2017-1 is weaker compared with post-crisis prime jumbo securitization frameworks. Instead of an automatic review when a loan becomes seriously delinquent, this transaction employs a mandatory review upon less immediate triggers. In addition, the R&W provider, guarantor or backstop provider are either unrated or have limited performance history in non-QM securitizations and may potentially experience financial stress that could result in the inability to fulfill repurchase obligations. DBRS notes the following mitigating factors: -- Satisfactory third-party due diligence was conducted on 100% of the loans included in the pool with respect to credit, property valuation and data integrity. A regulatory compliance review was performed on all but 77 Investor Cash Flow loans. A comprehensive due diligence review mitigates the risk of future R&W violations. -- An independent third-party R&W reviewer, Clayton Services LLC, is named in the transaction to review loans for alleged breaches of representations and warranties. -- DBRS conducted an on-site originator review of AOHL and AOMS and deems the mortgage companies to be operationally sound. -- Notwithstanding the above, DBRS adjusted the originator scores downward to account for the potential inability to fulfill repurchase obligations, the lack of performance history as well as the weaker R&W framework. A lower originator score results in increased default and loss assumptions and provides additional cushions for the rated securities. (3) Non-Prime, QM-Rebuttable Presumption or Non-QM Loans: As compared with post-crisis prime jumbo transactions, this portfolio contains mortgages originated to borrowers with weaker credits or who have prior derogatory credit events, as well as QM-rebuttable presumption or non-QM loans. In addition, certain loans were underwritten to 24-month bank statements for income (21.8%) or as business purpose loans (5.9%). DBRS notes the following mitigating factors: -- All loans were originated to meet the eight underwriting factors as required by the ATR rules. -- Underwriting standards have improved substantially since the pre-crisis era. -- Bank statement as income and business purpose loans are treated as less-than-full documentation in the RMBS Insight model, which increases expected losses on those loans. -- The RMBS Insight model incorporates loss severity penalties for non-QM and QM Rebuttable Presumption loans, as explained further in the Key Loss Severity Drivers section of the report. -- For loans in this portfolio that were originated through the Non-Prime General and Non-Prime Recent Housing Event programs, borrower credit events had generally happened, on average, 46 months and 23 months, respectively, prior to origination. In its analysis, DBRS applies additional penalties for borrowers with recent credit events within the past two years. (4) Servicer Advances of Delinquent Principal and Interest: The servicing administrator or servicer will advance scheduled principal and interest on delinquent mortgages until such loans become 180 days delinquent. This will likely result in lower loss severities to the transaction because advanced principal and interest will not have to be reimbursed from the trust upon the liquidation of the mortgages but will increase the possibility of periodic interest shortfalls to the certificateholders. Mitigating factors include that principal proceeds can be used to pay interest shortfalls to the Certificates as the outstanding senior Certificates are paid in full, as well as the fact that subordination levels are greater than expected losses, which may provide for payment of interest to the Certificates. DBRS ran cash flow scenarios that incorporated principal and interest advancing up to 180 days for delinquent loans; the cash flow scenarios are discussed in more detail in the Cash Flow Analysis section of the report. The DBRS ratings of AAA (sf) and AA (low) (sf) address the timely payment of interest and full payment of principal (excluding interest-only classes) by the legal final maturity date in accordance with the terms and conditions of the related Certificates. The DBRS ratings of A (low) (sf), BBB (low) (sf), BB (low) (sf) and B (sf) address the ultimate payment of interest and full payment of principal by the legal final maturity date in accordance with the terms and conditions of the related Certificates. ANGEL OAK 2017-1: Fitch to Rate Class B-2 Notes 'Bsf' ----------------------------------------------------- Fitch Ratings expects to rate Angel Oak Mortgage Trust I, LLC 2017-1: -- $78,141,000 class A-1 certificates 'AAAsf'; Outlook Stable; -- $19,261,000 class A-2 certificates 'AAsf'; Outlook Stable; -- $19,993,000 class A-3 certificates 'Asf'; Outlook Stable; -- $9,374,000 class M-1 certificates 'BBBsf'; Outlook Stable; -- $7,470,000 class B-1 certificates 'BBsf'; Outlook Stable; -- $5,566,000 class B-2 certificates 'Bsf'; Outlook Stable. Fitch will not be rating the following certificates: -- $6,664,496 class B-3 certificates. This is the fourth Fitch-rated RMBS transaction issued post-crisis that consists primarily of newly originated, non-prime mortgage loans. Fitch is taking a cautious approach towards this developing sector as many of the entrants have limited operating histories and performance track records. As a result, some transactions are currently unable to achieve 'AAAsf' ratings from Fitch. This is most applicable to aggregators with less than three years experience acquiring loans from originators that Fitch is not familiar with. The 'AAAsf' for AOMT 2017-1 reflects the satisfactory operational review conducted by Fitch of the originators, 100% loan-level due diligence review with no material findings, a Tier 2 representation and warranty framework, and the transaction's structure. TRANSACTION SUMMARY The transaction is collateralized with 79% non-qualified (Non-QM) mortgages as defined by the Ability-to-Repay rule (ATR) while 5% is designated as higher-priced QMs (HPQMs) and the remainder comprises business purpose loans not subject to ATR. The certificates are supported by a pool of 529 mortgage loans with a weighted average original credit score of 698 and a weighted average original combined loan to value ratio (CLTV) of 76.9%. Roughly 29% consists of borrowers with prior credit events, 6% are foreign nationals and 4% are second lien loans. In addition, approximately 22% comprise loans to self-employed borrowers underwritten to a 24-month bank statement program. 100% loan level due diligence was performed to confirm adherence to guidelines and controls and the transaction also benefits from an alignment of interest as Angel Oak Real Estate Investment Trust I (Angel Oak REIT I) or a majority owned affiliate, will be retaining a vertical and horizontal interest in the transaction equal to not less than 5% of the aggregate fair market value of all the certificates in the transaction. The loan-level reps for this transaction are substantially consistent with Fitch criteria; however, the framework lacks a delinquency trigger for an automatic review and includes a testing construct for identifying breaches that, in Fitch's view, limit the breach reviewers ability to identify or respond to issues not fully anticipated at closing. Fitch added credit enhancement at each rating category (222 basis points at the 'AAAsf' rating category) to mitigate the limitations of the framework and the non-investment-grade counterparty risk of the providers. . Initial credit enhancement for the class A-1 certificates of 46.65% is substantially above Fitch's 'AAAsf' rating stress loss of 35.75%. The additional initial credit enhancement is primarily driven by the pro rata principal distribution between the A-1, A-2 and A-3 certificates, which will result in a significant reduction of the class A-1 subordination over time through principal payments to the A-2 and A-3. KEY RATING DRIVERS Nonprime Credit Quality (Concern): The pool has a weighted average (WA) original credit score of 698 and WA original combined loan-to-value ratio (CLTV) of 76.9%. Roughly 29% consists of borrowers with prior credit events, 6% are foreign nationals and 4% are second lien loans. Twenty two loans experienced a delinquency since origination, 17 of which were due to servicer transfer issues. Approximately 22% was made to self-employed borrowers underwritten to a 24-month bank statement program. An additional 13% allow for 30-day seasoning of assets to close compared to 60 days for full programs. Fitch applied default penalties to account for these attributes and loss severity was adjusted to reflect the increased risk of ATR challenges and loans with TILA RESPA Integrated Disclosure (TRID) exceptions. Satisfactory Originator Review and Track Record (Positive): Fitch conducted an operational review of AOMS and AOHL and assessed them as Average based on the companies' seasoned management team and extensive nonprime mortgage experience, a comprehensive sourcing strategy and sound underwriting and risk management practices. AOHL (retail platform) commenced agency loan originations in 2011 and ramped up its nonprime business in 2012. Correspondent and broker originations are conducted by AOMS, which began operations in 2014. Solid Due Diligence Results (Positive): Third-party loan-level due diligence was performed on 100% of the pool, the results of which generally reflect sound underwriting and operational controls. Of the 452 loans subject to consumer compliance testing (443 of which were subject to TRID), 60 were assigned 'C' grades due to material noncompliance with TRID, with the majority of findings concentrated in the fourth- and first-quarters of 2015 and 2016, respectively, around the time TRID was implemented. High Investor Property Concentration (Concern): Approximately 16% of the pool comprises investment properties, 6% of which were originated through the originators' investor cash flow program that targets real estate investors qualified on a cash flow ratio basis. While the borrower's credit score and LTV are used in the underwriting of the cash flow loans, the ratio of mortgage principal, interest, taxes, insurance and homeowner association dues as a percentage of market rent, which averages 74.9%, determines the cash flow ratio. In its analysis, Fitch assumed a 55% debt-to-income ratio (DTI) for these loans. The remaining investor properties were underwritten to borrower DTIs. Bank Statement Loans Included (Concern): Approximately 22% of the pool (67 loans) was made to self-employed borrowers underwritten to a 24-month bank statement program for verifying income in accordance with either AOHL or AOMS' guidelines, which is not consistent with Appendix Q standards and Fitch's view of a full documentation program. While employment is fully verified and assets partially confirmed, the limited income verification resulted in application of a probability of default (PD) penalty of approximately 1.5 times (x) for the bank statement loans at the 'AAAsf' rating category. Additionally, Fitch's assumed probability of ATR claims was doubled, which increased the loss severity. Southeast Geographic Concentration (Concern): Over one-half of the pool is located in the southeastern United States in areas prone to hurricane risk. Approximately 18% is located in the Miami metropolitan statistical area (MSA), with concentrations on the Georgia and North Carolina coasts. To account for loan and geographic risk, Fitch increased the pool's loss expectations at every rating category (roughly 80 basis points [bps] in the 'AAAsf' scenario). R&W Framework (Mixed): As sponsor, the REIT, Angel Oak Real Estate Investment Trust I, (Angel Oak REIT I) will be providing loan-level representations (reps) and warranties (R&W) to the trust. If the REIT is no longer an ongoing business concern, it will assign to the trust its rights under the mortgage loan purchase agreements with the originators, which include repurchase remedies for rep and warranty breaches. While the loan-level reps for this transaction are substantially consistent with a Tier I framework, the lack of the delinquency trigger for an automatic review and the nature of the prescriptive breach tests limit the breach reviewers ability to identify or respond to issues not fully anticipated at closing. Fitch added credit enhancement at each rating category (222 bps at the 'AAAsf' rating category) to mitigate the limitations of the framework and the non-investment-grade counterparty risk of the providers. Alignment of Interests (Positive): The transaction benefits from an alignment of interests between the issuer and investors. Angel Oak REIT I as sponsor and securitizer, or an affiliate will retain a vertical and horizontal interest in the transaction equal to not less than 5% of the aggregate fair market value of all certificates in the transaction. As part of its focus on investing in residential mortgage credit, as of the closing date, Angel Oak REIT I and Angel Oak Strategic Mortgage Income Master Fund, Ltd, as co-sponsor, will retain the class B-2, B-3 and XS certificates. Lastly, the reps and warranties are provided by Angel Oak REIT I, or the originators in the event the REIT ceases operations, which aligns their interests with those of investors to maintain high quality origination standards and sound performance. Modified Sequential Payment Structure (Mixed): The structure distributes collected principal pro rata among the class A notes while shutting out the subordinate bonds from principal until all three classes have been reduced to zero. To the extent that either the cumulative loss trigger event or the delinquency trigger event occurs in a given period, principal will be distributed sequentially to the class A-1, A-2 and A-3 bonds until they are reduced to zero. Performance Triggers (Mixed): Delinquency and loan loss triggers convert principal distribution to a straight sequential payment priority in the event of poor asset performance. Under Fitch's front- and back-loaded default cash flow timing scenarios, the transaction reverts to a straight sequential pay relatively quickly, benefiting the senior classes. Additional scenarios were analyzed to stress the sensitivity of the delinquency trigger, which resulted in roughly 400-bp and 300-bp-increase to the 'AAAsf' and 'AAsf' credit enhancement (CE) levels, respectively, compared to levels using Fitch's standard default timing scenarios. Servicing and Master Servicer (Positive): Select Portfolio Servicing (SPS), rated 'RPS1-'/Outlook Stable by Fitch, will be the primary servicer. Wells Fargo Bank, N.A. (Wells Fargo), rated 'RMS1'/Outlook Negative, will act as master. Advances required but not paid by SPS will be paid by Wells Fargo. Fitch does not rate any primary servicer higher than SPS and does not rate any Master Servicer higher than Wells Fargo. CRITERIA APPLICATION Fitch's analysis incorporated four criteria variations from the 'U.S. RMBS Loan Loss Model Criteria' which are described below. A variation was made to Fitch's 'U.S. RMBS Loan Loss Model Criteria' in regards to treatment of loans with prior credit events. Historical data suggests that borrowers with similar credit scores as those in the pool are nearly 20% more likely to default on a future mortgage, as compared to all outstanding borrowers, if they had a prior mortgage related credit event. This adjustment was applied to the roughly 29% of the pool that had a prior mortgage related credit event, resulting in approximately an 6% increase to the pool's probability of default at each rating category. Due to the structural features of the transaction, Fitch analyzed the collateral with a customized version of one of its loss models. Fitch's Alt-A Loan Loss Model was altered to include two additional inputs; operational quality and liquid reserves. These variables were not common in legacy Alt-A loans and were excluded in the derivation of Fitch's Alt-A model. Given the improvement in today's underwriting over legacy standards, these aspects were taken into consideration and a net credit was applied to the pool. A third variation was made as an outside of the model adjustment to account for the higher than average property values of the mortgage loans and its impact on the probability of default. Fitch's analysis showed that loans associated with property values significantly below the median exhibited higher default rates relative to those at or above the median value and larger properties are generally associated with higher income borrowers who may be less sensitive to income shocks than lower income borrowers. Less desirable, low-value properties may also increase the default risk if the borrower has more difficulty selling the home. The average property value for this pool was over $400k and there is a large distribution of loans with very high property values relative to those in the Alt-A model's data set. Because this variable is not considered in the Alt-A model, PDs are higher for these loans than what the data suggests. Fitch views the loans with a 30 day seasoning requirement for assets to close as having less than full documentation for verification of assets (VOA) as Fitch views 60 day seasoning for the assets as consistent with a full documentation VOA program. However, the customized Alt-A model only has two treatments for documentation, full or non-full. The non-full documentation treatment for partially verified assets is too punitive since both income and employment are fully verified and generally consistent with the ATR Appendix Q documentation. Fitch analyzed those loans (except for the foreign nationals, which requires 60 days) as a less than full VOA documentation category using its prime model to derive the PD penalty these loans. The aggregate impact of these adjustments resulted in losses approximately two notches lower than unadjusted legacy Alt-A model output. RATING SENSITIVITIES Fitch's analysis incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or may be considered in the surveillance of the transaction. Two sets of sensitivity analyses were conducted at the state and national levels to assess the effect of higher MVDs for the subject pool. This defined stress sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20%, and 30%, in addition to the model projected 5.7%. The analysis indicates that there is some potential rating migration with higher MVDs, compared with the model projection. Fitch also conducted sensitivities to determine the stresses to MVDs that would reduce a rating by one full category, to non-investment grade, and to 'CCCsf'. BAMLL COMMERCIAL 2013-WBRK: DBRS Confirms BB Rating on Cl. E Debt ----------------------------------------------------------------- DBRS Limited confirmed the ratings on the Commercial Mortgage Pass-Through Certificates, Series 2013-WBRK issued by BAMLL Commercial Mortgage Securities Trust 2013-WBRK as follows: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (high) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction. The transaction consists of a $360 million interest-only loan secured by the fee and leasehold interest in Willowbrook Mall, an enclosed, partial two-story super-regional mall located in Wayne, New Jersey. The fee interest consists of approximately 495,000 square feet (sf) of major tenant and in-line space, while the leasehold interest consists of approximately 28,000 sf of in-line space subject to a long-term ground lease with Lord & Taylor. The mall is anchored by Bloomingdale's, Macy's, Lord & Taylor and Sears, which do not serve as collateral for the loan. The property is well located with a population of 1.4 million within a ten-mile radius as at 2016, coupled with strong income demographics as the median household income was $70,450 within a ten-mile radius and $89,569 within a five-mile radius of the property. The loan is sponsored by General Growth Properties and the property is managed by an affiliate of the sponsor. According to a June 2015 news article published by NorthJersey.com, the property underwent a renovation project to revitalize the look of the mall and per the property's website, all renovation work has been completed. The improvements included new flooring, new vaulted ceilings, a redesigned food court, new charging stations for electronics, new glass railings, interior landscaping, new paint finishes and new upgraded restrooms and seating areas. DBRS has requested the cost of the upgrades and a response is currently outstanding as of the date of this press release; however, according to a July 2015 news article by Chron.com, the cost was estimated to exceed $10 million. The property continues to exhibit strong occupancy rates with a collateral occupancy rate of 97.9% and total mall occupancy of 99.3%, as reported by the September 2016 rent roll. The major tenants include The Gap, Inc./GapKids/babyGap (3.8% of net rentable area (NRA), with the lease expiring in September 2024), Forever XX1 (3.1% of NRA, with the lease expiring in January 2019) and Express (2.8% of NRA, with the lease expiring in January 2024). Old Navy originally had a lease expiration of January 2017, but renewed its lease through July 2027, as part of a relocation into the former Zara space, reducing Old Navy's footprint to 1.5%, from 5.0% of the NRA. Old Navy's former space is currently vacant as illustrated in the mall's online directory. DBRS has requested a leasing update from the servicer and a response is currently pending as of the date of this press release. Tenants representing 18.1% of the NRA have leases that have recently expired or will be expiring within the next six months. Of those tenants, DBRS notes that shops representing 8.3% of NRA with 2016 or January 2017 lease expirations were either still listed in the directory or will be replaced by a new tenant paying a higher rental rate (as confirmed by information forwarded by the servicer). According to CoStar, retail properties located within the Passaic Route 46/23 submarket of Northern New Jersey reported a vacancy rate of 6.8% as of February 2017, which increased from the Q1 2016 vacancy rate of 5.7%. The tenant sales report for the trailing 12-month (T-12) period ending September 2016 showed consistency in overall in-line sales performance for the property as compared with the YE2015 figures. According to that report, tenants occupying less than 10,000 sf reported T-12 sales of $762 per square foot (psf), flat from YE2015, and tenants occupying more than 10,000 sf reported T-12 sales of $492 psf, a 1.4% decrease from $499 psf at YE2015. Apple reported a T-12 sales figure of $5,958 psf, a 1.0% increase from $5,900 psf at YE2015. The loan continues to exhibit strong performance with a Q3 2016 debt service coverage ratio (DSCR) of 2.95 times (x), an increase from the YE2015 DSCR of 2.92x, but slightly below the YE2014 DSCR of 2.98x. The ratings assigned to Class C and D materially deviate from the higher rating implied by the quantitative results. DBRS considers a material deviation to be a rating differential of three or more notches between the assigned rating and the rating implied by the quantitative results that is a substantial component of a rating methodology, in this case, the assigned ratings are a result of the sustainability of loan performance trends not demonstrated. BEAR STEARNS 2007-PWR18: S&P Affirms 'CCC' Rating on 2 Tranches --------------------------------------------------------------- S&P Global Ratings raised its ratings on four classes of commercial mortgage pass-through certificates from Bear Stearns Commercial Mortgage Securities Trust 2007-PWR18, a U.S. commercial mortgage-backed securities (CMBS) transaction. In addition, S&P affirmed its ratings on five other classes from the same transaction. S&P's rating actions on the certificates follow its analysis of the transaction, primarily using its criteria for rating U.S. and Canadian CMBS transactions, which included a review of the credit characteristics and performance of the remaining loans in the pool, the transaction's structure, and the liquidity available to the trust. S&P raised its ratings on classes A-4, A-1A, A-M, and A-MA to reflect its expectation of the available credit enhancement for these classes, which S&P believes is greater than its most recent estimate of necessary credit enhancement for the respective rating levels. The upgrades also reflect S&P's views regarding the current and future performance of the transaction's collateral, available liquidity support, and the significant reduction in trust balance. The affirmations on classes A-J, A-JA, B, and C reflect S&P's expectation that the available credit enhancement for these classes will be within its estimate of the necessary credit enhancement required for the current ratings. The affirmations also reflect S&P's views regarding the current and future performance of the transaction's collateral, the transaction structure, and liquidity support available to the classes. S&P affirmed its 'AAA (sf)' ratings on the class X-1 interest-only (IO) certificates based on its criteria for rating IO securities. TRANSACTION SUMMARY As of the Feb. 13, 2017, trustee remittance report, the collateral pool balance was $1.29 billion, which is 51.6% of the pool balance at issuance. The pool currently includes 124 loans (reflecting crossed loans), down from 185 loans at issuance. One of these loans ($7.5 million, 0.6%) is with the special servicer, 15 ($159.9 million, 12.4%) are defeased, and 42 ($390.3 million, 30.3%) are on the master servicers' combined watchlist. The master servicers, Wells Fargo Bank N.A. and Prudential Asset Resources, reported financial information for 97.6% of the nondefeased loans in the pool, of which 52.8% was partial-year or year-end 2016 data, and the remainder was year-end 2015 data. S&P calculated a 1.14x S&P Global Ratings' weighted average debt service coverage (DSC) and 92.1% S&P Global Ratings' weighted average loan-to-value (LTV) ratio using a 7.98% S&P Global Ratings' weighted average capitalization rate. The DSC, LTV, and capitalization rate calculations exclude the specially serviced loan and 15 defeased loans. The top 10 nondefeased loans have an aggregate outstanding pool trust balance of $532.6 million (41.4%). Using adjusted servicer-reported numbers, S&P's calculated an S&P Global Ratings' weighted average DSC and LTV of 1.05x and 98.6%, respectively, for the top 10 nondefeased loans. To date, the transaction has experienced $202.8 million in principal losses, or 8.1% of the original pool trust balance. S&P expects losses to reach approximately 8.2% of the original pool trust balance in the near term, based on losses incurred to date and additional losses S&P expects upon the eventual resolution of the specially serviced loan. CREDIT CONSIDERATIONS As of the Feb. 13, 2017, trustee remittance report, one loan in the pool was with the special servicer, C-III Asset Management LLC (C-III): -- The High Grove Plaza loan ($7.5 million, 0.6%) has a total reported exposure of $7.7 million. The loan is secured by a retail property totaling 70,830 sq. ft. in Naperville, Ill. The loan was transferred to the special servicer on Nov. 23, 2016, because of imminent monetary default. C-III stated that it is evaluating options. The reported DSC as of June 30, 2016, was 0.84x. S&P expects a minimal loss (less than 25%) upon this loan's eventual resolution. RATINGS RAISED Bear Stearns Commercial Mortgage Securities Trust 2007-PWR18 Commercial mortgage pass-through certificates Rating Class To From Credit enhancement (%) A-4 AAA (sf) AA (sf) 42.49 A-1A AAA (sf) AA (sf) 42.49 A-M A (sf) BBB (sf) 23.09 A-MA A (sf) BBB (sf) 23.09 RATINGS AFFIRMED Bear Stearns Commercial Mortgage Securities Trust 2007-PWR18 Commercial mortgage pass-through certificates Class Rating Credit enhancement (%) A-J B- (sf) 6.36 A-JA B- (sf) 6.36 B CCC (sf) 4.42 C CCC (sf) 2.48 X-1 AAA (sf) N/A N/A--Not applicable. BEAR STERNS 1999-WF2: Fitch Affirms 'Dsf' Rating on Class K Certs ----------------------------------------------------------------- Fitch Ratings has affirmed three classes of Bear Sterns Commercial Mortgage Securities Trust (BSCMS) commercial mortgage pass-through certificates series 1999-WF2. KEY RATING DRIVERS The affirmation to class J reflects the high credit enhancement (CE), as a result of continued paydown, including defeasance sufficient to pay down the class. Class K and class L were affirmed at 'Dsf' due to losses already incurred. Defeasance Collateral: As of the February 2017 remittance, 13 loans (73.74% of the pool balance) are fully defeased. The outstanding bond balance for class J is fully covered by the defeased collateral. Scheduled maturity's for the defeased loans range between July 2018 and January 2019. Increased CE / Paydown: CE has increased from scheduled amortization and loan payoffs since Fitch's prior rating action in March 2016. The pool has paid down approximately $6.9 million in the last 12 months (or 30% of the March 2016 pool balance), and 96.75% of the pool has paid down since issuance. Continued increase in credit enhancement is expected from maturing loans and monthly scheduled amortization, which is approximately $650,000 per month per the February 2017 remittance report. Highly Concentrated Pool: The pool is highly concentrated, with only 25 of the original 294 loans remaining in the pool. None of the remaining loans are delinquent or in special servicing. One loan (0.89% of the pool balance) is on the servicer's watchlist. Of the remaining 12 non-defeased loans, five are multifamily properties (11.9% of the pool balance), three industrial warehouses (7.73% of the pool balance), one office property (2.07% of the pool balance), and three have retail exposure (4.56% of the pool balance). Scheduled maturities for the non-defeased loans range between October 2018 and May 2019. RATING SENSITIVITIES The Rating Outlook on class L remains Stable. Fitch expects the class to pay in full through defeased loans and ongoing amortization. Classes K and L have realized losses and will remain at 'Dsf'. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third-party due diligence was provided or reviewed in relation to this rating action. Fitch has affirmed the following classes: -- $9.4 million class J at 'AAAsf'; Outlook Stable; -- $7 million class K at 'Dsf'; RE 95%; -- $0 million class L at 'Dsf'; RE 0%. The class A-1, A-2, B, C, D, E, F, G, H and I certificates have paid in full. Fitch does not rate the class M certificates. Fitch previously withdrew the rating on the interest-only class X certificates. C-BASS CBO VIII: Moody's Hikes Rating on 2 Tranches to B1 --------------------------------------------------------- Moody's Investors Service has upgraded the ratings on notes issued by C-Bass CBO VIII Ltd: US$12,000,000 Class D-1 Fifth Priority Secured Floating Rate Deferrable Interest Notes Due 2038 (current outstanding balance of $5,597,219.53), Upgraded to B1 (sf); previously on July 25, 2016 Upgraded to B3 (sf) US$4,950,000 Class D-2 Fifth Priority Secured Fixed Rate Deferrable Interest Notes Due 2038 (current outstanding balance of $2,308,853.03), Upgraded to B1 (sf); previously on July 25, 2016 Upgraded to B3 (sf) C-Bass CBO VIII Ltd, issued in November 2003, is a collateralized debt obligation backed primarily by a portfolio of RMBS and ABS originated in 2002 and 2003. RATINGS RATIONALE These rating actions are due primarily to the deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since July 2016. The Class C notes have paid down completely and the Class D-1 and D-2 notes have collectively paid down by approximately 19%, or $1.8 million which included paydown of approximately $1.5 million of deferred interest, since that time. Based on Moody's calculation, the current OC ratio of the Class D notes is 271.46%, versus 194.79% in July 2016. Methodology Underlying the Rating Action The principal methodology used in these ratings was "Moody's Approach to Rating SF CDOs," published in October 2016. Factors That Would Lead To an Upgrade or Downgrade of the Ratings: This transaction is subject to a number of factors and circumstances that could lead to either an upgrade or downgrade of the ratings, as described below: 1) Primary causes of uncertainty about assumptions are the extent of any deterioration in either consumer or commercial credit conditions and in the residential real estate property markets. The residential real estate property market's uncertainties include housing prices; the pace of residential mortgage foreclosures, loan modifications and refinancing; the unemployment rate; and interest rates. 2) Deleveraging: One source of uncertainty in this transaction is whether deleveraging from principal proceeds, recoveries from defaulted assets, and excess interest proceeds will continue and at what pace. Faster than expected deleveraging could have a significantly positive impact on the notes' ratings. 3) Amortization profile assumptions: Moody's modeled the amortization of the underlying collateral portfolio based on its assumed weighted average life (WAL). Regardless of the WAL assumption, due to the sensitivity of amortization assumption and its impact on the amount of principal available to pay down the notes, Moody's supplemented its analysis with various sensitivity analysis around the amortization profile of the underlying collateral assets. 4) Lack of portfolio granularity: The performance of the portfolio depends to a large extent on the credit conditions of a few large obligors, especially if they jump to default. Loss and Cash Flow Analysis: Moody's applies a Monte Carlo simulation framework in Moody's CDOROM to model the loss distribution for SF CDOs. The simulated defaults and recoveries for each of the Monte Carlo scenarios define the reference pool's loss distribution. Moody's then uses the loss distribution as an input in the CDOEdge cash flow model. In addition to the base case analysis, Moody's also conducted sensitivity analyses to test the impact of a number of default probabilities on the rated notes. Below is a summary of the impact of different default probabilities (expressed in terms of WARF) on all of the rated notes (by the difference in the number of notches versus the current model output, for which a positive difference corresponds to lower expected loss): Caa ratings notched up by two rating notches (2803): Class D-1: +1 Class D-2: +1 Caa ratings notched down by two notches (4470): Class D-1: -1 Class D-2: 0 CAN CAPITAL 2014-1: DBRS Cuts Class B Debt Rating to B(high) ------------------------------------------------------------ DBRS, Inc. has conducted a review of the two outstanding ratings on the CAN Capital Funding LLC Series 2014-1 (CAN Capital or the Company), Series 2014 Notes, Class A and Series 2014 Notes, Class B (the Notes) structured finance asset-backed securities transaction. Of the ratings reviewed, both Class A and Class B were downgraded and removed from Under Review with Negative Implications. Class A was downgraded to BBB (high) (sf) from its current rating of A (sf) and removed from Under Review with Negative Implications. Class B was downgraded to B (high) (sf) from BBB (low) (sf) and removed from Under Review with Negative Implications. The downgrades are based on credit enhancement levels that are not sufficient to cover DBRS's expected losses at the securities' previous respective rating levels and now reflect credit enhancement, which DBRS believes is more consistent with the new respective rating levels. CAN Capital was placed Under Review with Negative Implications on December 2, 2016, after the announcement that the Chief Executive Officer and two other executives of the Company had been put on leave of absence. At the November 2016 payment date, a Rapid Amortization Event had also occurred, as actual overcollateralization levels fell below the required levels for the Notes. A subsequent review of the transaction's expected performance resulted in the rating actions described above. The ratings are based on DBRS's review of the following analytical considerations: -- Transaction capital structure, ratings and form and sufficiency of available credit enhancement. -- The transaction parties' capabilities with regard to servicing. -- The credit quality of the collateral pool and projected performance. As of the February 15, 2017 Distribution Date, the outstanding principal balance of the Class A Notes was $69,873,193.93, as reported in the Monthly Servicing Statement for the above referenced transaction. The outstanding principal balance of the Class B Notes was $20,000,000.00, as reported in the Monthly Servicing Statement. As of the February 15, 2017 Distribution Date, the Ending Eligible Aggregate Unamortized Funded Amount of the transaction was $89,201,170.22, as reported in the Monthly Servicing Statement for the above referenced transaction. As such, the Notes currently do not benefit from credit enhancement in the form of overcollateralization. DBRS conducted the on-site operational update meeting with CAN Capital on February 15, 2017, at the Company's locations in New York City, New York and Kennesaw, Georgia. In addition, DBRS reviewed the schedule of the expected amortization for the Notes provided by CAN Capital, which included projected collections and write-offs over the remaining life of the collateral pool. DBRS also reviewed pertinent additional information provided by CAN Capital and adjusted its baseline loss expectation for the remaining collateral pool to approximately 14%. DBRS used its DBRS collateralized loan obligation Asset Model to assess the stressed net loss at various rating levels based on this updated baseline loss expectation. In addition, DBRS estimated the breakeven net losses for the pool based on the Company's projections and additional assumptions with respect to prepayments, loss timing and senior expenses in the transaction. The new ratings for the Notes reflect the updated view of DBRS with respect to the expected performance of the remaining collateral and sufficiency of the credit enhancement available to each class of the Notes. CBA COMMERCIAL 2004-1: Moody's Affirms C Rating on M-3 Certs ------------------------------------------------------------ Moody's Investors Service has affirmed the ratings on six classes and downgraded the rating on one class in CBA Commercial Assets, Small Balance Commercial Mortgage Pass-Through Certificates Series 2004-1 as follows: Cl. A-1, Affirmed Aa3 (sf); previously on Mar 24, 2016 Affirmed Aa3 (sf) Cl. A-2, Affirmed Aa3 (sf); previously on Mar 24, 2016 Affirmed Aa3 (sf) Cl. A-3, Affirmed Aa3 (sf); previously on Mar 24, 2016 Affirmed Aa3 (sf) Cl. M-1, Affirmed B3 (sf); previously on Mar 24, 2016 Affirmed B3 (sf) Cl. M-2, Affirmed Caa3 (sf); previously on Mar 24, 2016 Affirmed Caa3 (sf) Cl. M-3, Affirmed C (sf); previously on Mar 24, 2016 Affirmed C (sf) Cl. IO, Downgraded to Caa3 (sf); previously on Mar 24, 2016 Affirmed Caa2 (sf) RATINGS RATIONALE The ratings on Classes A-1, A-2 and A-3 were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The ratings on P&I classes M-1, M-2 and M-3 were affirmed because the ratings are consistent with Moody's expected loss plus realized losses. The rating on the IO Class, Class IO, was downgraded due to principal paydowns of higher quality referenced classes. Moody's rating action reflects a base expected loss of 20.4% of the current balance, unchanged from Moody's last review. Moody's base expected loss plus realized losses is now 12.6% of the original pooled balance, compared to 13.1% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in December 2014. Additionally, the methodology used in rating Cl. IO was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in October 2015. Please note that on February 27, 2017, Moody's released a "Request for Comment" in which it has requested market feedback on proposed changes to its methodology for rating structured finance interest-only (IO) securities called "Moody's Approach to Rating Structured Finance Interest-Only Securities," dated October 20, 2015. If Moody's adopts the new methodology as proposed, the changes could affect the ratings of CBAC 2004-1. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 4.4% of the pool is in special servicing and an additional 55% of the pool was identified by Moody's as troubled loans. In this approach, Moody's determines a probability of default for each specially serviced and troubled loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss from specially serviced and troubled loans to the most junior classes and the recovery as a pay down of principal to the most senior classes. DESCRIPTION OF MODELS USED Moody's review used the excel-based CMBS Conduit Model, which it uses for both conduit and fusion transactions. Credit enhancement levels for conduit loans are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate Moody's uses to estimate Moody's value). Moody's fuses the conduit results with the results of its analysis of investment grade structured credit assessed loans and any conduit loan that represents 10% or greater of the current pool balance. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 30, compared to 37 at Moody's last review. DEAL PERFORMANCE As of the January 30, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 87.5% to $12.74 million from $102.0 million at securitization. The certificates are collateralized by 44 mortgage loans ranging in size from less than 1% to 10% of the pool, with the top ten loans (excluding defeasance) constituting 44% of the pool. Fifty loans have been liquidated from the pool, contributing to an aggregate realized loss of $10.3 million (for an average loss severity of 62%). Two loans, constituting 4.4% of the pool, are currently in special servicing. Moody's has also assumed a high default probability for 20 poorly performing loans, constituting 55% of the pool, and has estimated an aggregate loss of $2.4 million (a 32% expected loss on average) from these specially serviced and troubled loans. Moody's weighted average conduit LTV is 96%. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 10% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.7%. Moody's actual and stressed conduit DSCRs are 1.13X and 1.21X, respectively. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. CD 2006-CD2: Moody's Lowers Rating on Class A-J Debt to Ca(sf) -------------------------------------------------------------- Moody's Investors Service has affirmed the rating on one class and downgraded the rating on one class in CD 2006-CD2 Commercial Mortgage Trust as follows: Cl. A-J, Downgraded to Ca (sf); previously on Apr 7, 2016 Affirmed Caa3 (sf) Cl. X, Affirmed Caa3 (sf); previously on Apr 7, 2016 Downgraded to Caa3 (sf) RATINGS RATIONALE The rating on the Class A-J was downgraded due to Moody's expected plus realized losses. Class A-J has already experienced a 30% realized loss from previously liquidated loans. The rating on the IO class, Class X, was affirmed based on the credit performance of its referenced class. Moody's rating action reflects a base expected loss of 15.2% of the current balance, compared to 41.0% at Moody's last review. Moody's base expected loss plus realized losses is now 15.6% of the original pooled balance, compared to 15.8% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in October 2015. Additionally, the methodology used in rating Cl. X was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in October 2015. Please note that on February 27, 2017, Moody's released a "Request for Comment" in which it has requested market feedback on proposed changes to its methodology for rating structured finance interest-only (IO) securities called "Moody's Approach to Rating Structured Finance Interest-Only Securities," dated October 20, 2015. If Moody's adopts the new methodology as proposed, the changes could affect the ratings of CD 2006-CD2. DESCRIPTION OF MODELS USED Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 6, compared to 12 at Moody's last review. Moody's analysis used the excel-based Large Loan Model. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan-level proceeds derived from Moody's loan-level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure and property type. Moody's also further adjusts these aggregated proceeds for any pooling benefits associated with loan level diversity and other concentrations and correlations. DEAL PERFORMANCE As of the February 17, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 97% to $106 million from $3.1 billion at securitization. The certificates are collateralized by 10 mortgage loans ranging in size from 2% to 25% of the pool. Two loans, constituting 29% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Thirty four loans have been liquidated from the pool, resulting in an aggregate realized loss of $460 million (for an average loss severity of 58%). Five loans, constituting 51% of the pool, are currently in special servicing. The largest specially serviced loan is the Alpine Commons Shopping Center ($21.8 million -- 20.6% of the pool), which is secured by a 209,000 SF retail center located in Wappingers Falls, NY. The loan transferred to special servicing in January 2016 due to maturity default and was extended by one year. The property was 93% leased as of September 2016. The second largest specially serviced loan is the Galleria Pavilion ($14.2 million -- 13.4% of the pool), which is secured by a 64,000 SF retail center surrounding the Galleria at Sunset Mall located in Henderson, NV. The loan transferred to special servicing in January 2016 due to imminent maturity default. The special servicer indicated that they will be proceeding with foreclosure in 2017. The third largest specially serviced loan is the Wabash Valley Plaza ($7.1 million -- 6.7% of the pool), which is secured by a retail center located in Terre Haute, IN. The loan transferred to special servicing in September 2015 due to imminent maturity default and became REO in September 2016. The property was 84% leased as of November 2016. The remaining two specially serviced loans are secured by retail properties. Moody's estimates an aggregate $16.1 million loss for the specially serviced loans (30% expected loss on average). Moody's received full year 2015 operating results for 93% of the pool, and full or partial year 2016 operating results for 89% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 87%, the same as at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 7% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.2%. Moody's actual and stressed conduit DSCRs are 1.30X and 1.21X, respectively, compared to 1.40X and 1.21X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The top three performing loans represent 44% of the pool balance. The largest loan is the 9808 and 9868 Scranton Road Loan, formerly known as the Conexant Building Loan ($26.8 million -- 25.3% of the pool), which is secured by two four-story buildings located about 15 miles north of San Diego, CA. The property was originally fully leased to Conexant Systems through 2017, but the tenant defaulted on their lease and sub-leased to two tenants. In May 2015, a new lease was executed with MCI, an affiliate of Verizon Wireless. The property was 52% leased as of December 2016. Moody's LTV and stressed DSCR are 94% and 1.09X, respectively, compared to 91% and 1.13X at the last review. The second largest loan is the Shelton Pointe Loan ($12.3 million -- 11.6% of the pool), which is secured by an office property located in Shelton, Connecticut, roughly 15 miles west of New Haven, Connecticut. The property was 97% leased as of April 2016. Moody's LTV and stressed DSCR are 69% and 1.49X, respectively, compared to 71% and 1.45X at the last review. The third largest loan is the Eastgate Business Center Loan ($7.1 million -- 6.7% of the pool), which is secured by an industrial property located approximately 10 miles north of Milwaukee, Wisconsin. The property was 91% leased as of December 2016. Moody's LTV and stressed DSCR are 92% and 1.11X, respectively, compared to 94% and 1.09X at the last review. CITIGROUP 2014-GC19: DBRS Confirms BB(low) Rating on F Debt ----------------------------------------------------------- DBRS Limited confirmed the ratings of the Commercial Mortgage Pass-Through Certificates, Series 2014-GC19 issued by Citigroup Commercial Mortgage Trust 2014-GC19 as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-AB at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AAA (sf) -- Class X-C at AAA (sf) -- Class X-D at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (high) (sf) -- Class PEZ at AA (low) (sf) -- Class C at AA (low) (sf) -- Class D at BBB (sf) -- Class E at BB (high) (sf) -- Class F at BB (low) (sf) All trends are Stable. DBRS does not rate the first loss piece, Class G. The rating confirmations reflect the overall stable performance exhibited by the transaction since issuance in 2014. The collateral consists of 76 fixed-rate loans secured by 125 commercial properties. As of the February 2017 remittance, the pool had an aggregate balance of approximately $978.0 million, representing a collateral reduction of 3.7%, following the full repayment of two loans, LV III Portfolio (Prospectus ID#34) and Gateway Apartments (Prospectus ID#67), in addition to scheduled loan amortization. Three loans (1.9% of the pool) are secured by collateral that has been fully defeased. The pool is primarily concentrated by three property types, as 12 loans (31.7% of the pool) are secured by office properties, 30 loans (21.5% of the pool) are secured by retail properties and 22 loans (21% of the pool) are secured by multifamily properties. By geographical location, the pool is relatively diverse, as the largest concentration by state is in Arizona, which harbors five loans (13.0% of the pool), followed by New York with five loans (11.2% of the pool), Texas with 13 loans (11.0% of the pool) and California with nine loans (8.5% of the pool). Four loans (12.7% of the pool) are structured with full interest-only (IO) terms, while an additional five loans (9.5% of the pool) have partial IO periods remaining, ranging from two months to 25 months. Excluding defeasance, 52 loans (77.5% of the pool) reported partial-year 2016 (most being Q3 2016) net cash flow (NCF) figures, while 70 loans (94.9% of the pool) reported YE2015 NCF figures. According to the YE2015 NCF figures, the transaction had a weighted-average (WA) amortizing debt service coverage ratio (DSCR) and WA debt yield of 1.64 times (x) and 10.5%, respectively, compared with the DBRS issuance figures of 1.43x and 8.9%, respectively. Based on the partial year 2016 cash flows, the Top 15 loans (57.0% of the pool) reported a WA amortizing DSCR of 1.68x, compared with the DBRS issuance figure of 1.47x, reflective of a WA NCF growth of 16.6%. There are three loans (11.6% of the pool) in the Top 15 exhibiting NCF declines compared with the DBRS UW figures, with declines ranging from -8.4% to -17.5%. These three loans include 1500 Spring Garden (Prospectus ID#3, 7.1% of the pool), 350 North Clark (Prospectus ID#10, 2.6% of the pool) and Mid-City Plaza (Prospectus ID#13, 1.9% of the pool). In general, these trends are not indicative of sustainable performance declines for those loans and DBRS will monitor all three for developments through the full year-end reporting. As of the February 2017 remittance, there are no loans in special servicing and 12 loans (11.5% of the pool) on the servicer's watchlist. Six of the watchlisted loans (8.0% of the pool) were flagged for deferred maintenance, while the other six loans (3.5% of the pool) were flagged as a result of either increased vacancy and/or near-term tenant rollover. Based on the most recent cash flow reporting (ranging from YE2015 through partial-year 2016 financials), these 12 loans reported a WA DSCR of 1.56x, compared to the DBRS UW figure of 1.42x, reflective of a WA amortizing NCF growth of 7.9%. The ratings assigned to Classes D, E and F 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. CITIGROUP 2014-GC21: DBRS Confirms BB Rating on Class E Debt ------------------------------------------------------------ DBRS Limited confirmed the following classes of Commercial Mortgage Pass-Through Certificates, Series 2014-GC21 issued by Citigroup Commercial Mortgage Trust 2014-GC21 as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-AB at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (sf) -- Class C at A (sf) -- Class PEZ at A (sf) -- Class D at BBB (low) (sf) -- Class E at BB (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) -- Class X-D at AAA (sf) All trends are Stable. DBRS does not rate the first loss piece, Class G. The Class A-S, Class B and Class C certificates are exchangeable for the Class C certificates (and vice versa). The rating confirmations reflect the overall stable performance of the transaction. At issuance, the pool consisted of 70 fixed-rate loans secured by 111 commercial properties. As of the February 2017 remittance, there has been a collateral reduction of 2.4% since issuance with all 70 of the original loans outstanding, with an outstanding trust balance of $1.015 billion. Since issuance, three loans, representing 2.2% of the pool balance, have fully defeased. Based on the most recent year-end (YE) reporting for the underlying loans, the pool reported a weighted-average (WA) debt service coverage ratio (DSCR) of 1.65 times (x) and a WA debt yield of 10.0%, both an improvement over the DBRS issuance figures of 1.39x and 8.5%, respectively. It is noteworthy that the servicer's reported figures for the fifth-largest loan, U-Haul Storage Portfolio (Prospectus ID#5, 3.8% of the pool) are likely artificially inflated due to the inclusion of non-collateral income, with the YE2015 DSCR reported at 2.47x, as compared with the DBRS DSCR at issuance of 1.34x. Excluding this loan, the WA DSCR and WA debt yield for the pool (as based on the most recent YE reporting) would be 1.61x and 9.7%, respectively. Approximately 82.8% of the pool is reporting year-to-date 2016 figures, with a WA DSCR and WA debt yield of 1.76x and 10.6%, respectively, for those loans as based on those figures. As of the February 2017 remittance, there are six loans on the servicer's watchlist, representing 6.7% of the pool balance. Three loans (representing 2.8% of the pool) are watchlisted for upcoming tenant rollover. The other three loans are being monitored for declining cash flows and a low DSCR. There are no loans in special servicing. At issuance, DBRS shadow-rated the 375 Park Avenue loan (Prospectus ID#1, 15.7% of the pool balance) and The Paramount Building loan (Prospectus ID#6, 4.1% of the pool balance) investment grade. DBRS has today confirmed that the performance of these loans remain consistent with investment-grade loan characteristics. COMM 2015-CCRE22: Fitch Affirms BB- Rating on Class E Certificates ------------------------------------------------------------------ Fitch Ratings has affirmed 15 rated classes of Deutsche Bank Securities, Inc.'s COMM 2015-CCRE22 commercial mortgage pass-through certificates. KEY RATING DRIVERS Stable Performance: Based on full-year 2015 financial statements for reporting loans, the pool's overall net operating income has increased 1.8% since last year's rating action. The pool has five Fitch Loans of Concern (7.2%), which includes four loans on the watchlist (6.8%) and one specially serviced loan (0.4%). As of the February 2017 distribution date, the pool's aggregate principal balance has been reduced by 1% to $1.283 billion from $1.296 billion at issuance. Per servicer reporting there are eight loans (8.9%) on the watchlist. Interest shortfalls are currently affecting the non-rated class G. High Fitch Leverage: Based on the loans that reported YE 2015 financials, the pool's DSCR and LTV were 98x and 97.52%, respectively. At issuance, comparable deals had average DSCRs and LTVs of 1.19x and 106.2%, respectively. High New York Concentration: The largest state concentration is New York (28.3%), with four of the 10 largest loans (22.4%) secured by properties located in New York City. The next largest state concentrations are: Texas (11.5%), California (8.0%), New Jersey (7.4%) and Minnesota (7.4%). The largest loan in the pool (7.7%) is secured by a property located in downtown Manhattan. Limited Amortization: Eight loans, representing 30.1% of the pool, are full term interest-only, and 26 loans, representing 41.2% of the pool, are partial interest-only. The remainder of the pool consists of 31 balloon loans representing 28.7% by balance, with loan terms of five to 10 years. Based on the scheduled balance at initial loan maturity, the pool will pay down 10.7%. Pari-Passu Debt and Additional Debt: Four loans in the pool are pari passu: 26 Broadway (7.7% of pool), 3 Columbus Circle (6.6% of pool), 100 West 57th Street (4.6% of pool) and Patriots Park (2.0% of pool). Four loans in the pool (19.9%) have existing subordinate debt hold outside the trust. Fitch will publish a focus report on the transaction within the next several days. RATING SENSITIVITIES The Rating Outlook for all classes remains Stable. Due to the recent issuance of the transaction and stable performance, Fitch does not foresee positive or negative ratings migration until a material economic or asset level event changes the portfolio-level metrics. Future upgrades may be limited due to the transaction's high leverage. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third-party due diligence was provided or reviewed in relation to this rating action. Fitch has affirmed the following classes: -- $40.3 million class A-1 at 'AAAsf'; Outlook Stable; -- $178.9 million class A-2 at 'AAAsf'; Outlook Stable; -- $109 million class A-3 at 'AAAsf'; Outlook Stable; -- $200 million class A-4 at 'AAAsf'; Outlook Stable; -- $293.5 million class A-5 at 'AAAsf'; Outlook Stable; -- $79.8 million class A-SB at 'AAAsf'; Outlook Stable; -- $81 million class A-M at 'AAAsf'; Outlook Stable; -- $982.4 million class X-A at 'AAAsf'; Outlook Stable; -- $132.9 million class X-B at 'A-sf'; Outlook Stable; -- $68.1 million class X-C at 'BBB-sf'; Outlook Stable; -- $213.9 million class PEZ at 'A-sf'; Outlook Stable; -- $76.2 million class B at 'AA-sf'; Outlook Stable; -- $56.7 million class C at 'A-sf'; Outlook Stable; -- $68.1 million class D at 'BBB-sf'; Outlook Stable; -- $27.6 million class E at 'BB-sf'; Outlook Stable. Fitch does not rate the class F, G, H, and X-D certificates. CREDIT SUISSE 2007-C1: Moody's Affirms B3 Rating on 3 Tranches -------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on four classes and downgraded the ratings on two classes in Credit Suisse Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2007-C1 as follows: Cl. A-M, Affirmed B3 (sf); previously on Aug 4, 2016 Affirmed B3 (sf) Cl. A-MFL, Affirmed B3 (sf); previously on Aug 4, 2016 Affirmed B3 (sf) Cl. A-MFX, Affirmed B3 (sf); previously on Aug 4, 2016 Affirmed B3 (sf) Cl. A-J, Downgraded to C (sf); previously on Aug 4, 2016 Affirmed Caa3 (sf) Cl. B, Affirmed C (sf); previously on Aug 4, 2016 Affirmed C (sf) Cl. A-X, Downgraded to Caa3 (sf); previously on Aug 4, 2016 Affirmed B3 (sf) RATINGS RATIONALE The ratings on the P&I classes A-M, A-MFL, A-MFX, and B were affirmed because the ratings are consistent with Moody's expected loss. The rating on the P&I class A-J was downgraded due to realized and anticipated losses from specially serviced and troubled loans that were higher than Moody's had previously expected. The rating on the IO Class (Class A-X) was downgraded due to the decline in the credit performance of its reference classes resulting from principal paydowns of higher quality reference classes. Moody's rating action reflects a base expected loss of 42.6% of the current balance, compared to 9.3% at Moody's last review. Moody's base expected loss plus realized losses is now 17.9% of the original pooled balance, compared to 16.2% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in October 2015. Additionally, the methodology used in rating Cl. X-A was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in October 2015. Please note that on February 27, 2017, Moody's released a "Request for Comment" in which it has requested market feedback on proposed changes to its methodology for rating IO securities called "Moody's Approach to Rating Structured Finance Interest-Only Securities," dated October 20, 2015. If Moody's adopts the new methodology as proposed, the changes could affect the ratings of Credit Suisse Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2007-C1. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 92.5% of the pool is in special servicing and Moody's has identified additional troubled loans representing 3.4% of the pool. In this approach, Moody's determines a probability of default for each specially serviced and troubled loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss from specially serviced and troubled loans to the most junior class(es) and the recovery as a pay down of principal to the most senior class(es). DESCRIPTION OF MODELS USED Moody's analysis used the excel-based Large Loan Model. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan-level proceeds derived from Moody's loan-level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure and property type. Moody's also further adjusts these aggregated proceeds for any pooling benefits associated with loan level diversity and other concentrations and correlations. DEAL PERFORMANCE As of the February 17th, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 84% to $549 million from $3.37 billion at securitization. The certificates are collateralized by twenty mortgage loans ranging in size from less than 1% to 22% of the pool, with the top ten loans constituting 91% of the pool. Three loans, constituting 3.4% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Seventy-four loans have been liquidated from the pool, resulting in an aggregate realized loss of $375 million (for an average loss severity of 24%). Sixteen loans, constituting 92.5% of the pool, are currently in special servicing. The largest specially serviced loan is the Koger Center Loan ($115.5 million -- 21.5% of the pool), which is secured by an office complex located in Tallahassee, Florida consisting of 18 buildings. The loan was transferred to Special Servicing on January 7th 2017. The Loan matured on February 1st 2017 without being paid off. The largest tenant is the State of Florida Department of Management Services, which occupies 68% of the net rentable area (NRA) with a scheduled lease expiration in October 2019. The properties were 88% leased as of October 2016, compared to 92% leased as of March 2016. The second largest specially serviced loan is the City Place-A note ($100.0 million -- 18.6% of the pool) , which is secured by a 756,000 square feet (SF) portion of a 1.3 million SF mixed-use complex located in West Palm Beach, Florida. City Place is a three level, open-air entertainment-enhanced retail center, with 54 flats and 56 lofts style office spaces above the ground-level retail. The loan was modified in April 2011, which extended the lease term and created a $50 million hope note. The loan has subsequently transferred back to special servicing in February 2016. In January 2017, Macy's, one of the property's anchor tenants, announced that they will close the store at City Place by the end of 2017. The third largest specially serviced loan is the Wells Fargo Place Loan ($90.0 million -- 16.7% of the pool), which is secured by a 37-story office building in downtown St. Paul, Minnesota. The loan was transferred to special servicing in May 2016 due to imminent default. The Loan matured on November 2016 without being paid off. Month-to-month tenants and impending lease expirations are the main issues surrounding the inability of the borrower to obtain refinancing. The remaining 13 specially serviced loans are secured by a mix of property types. Moody's estimates an aggregate $226.7 million loss for the specially serviced loans (46% expected loss on average). Moody's has assumed a high default probability for three poorly performing loans, constituting 3.4% of the pool, and has estimated an aggregate loss of $2.8 million (a 15% expected loss based on a 50% probability default) from these troubled loans. As of the February 2017 remittance statement cumulative interest shortfalls were $67.5 million. Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced loans and poorly performing loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. The sole performing loan is the Atlas Cold Storage Loan ($22 million -- 4% of the pool), which is secured by a single tenant industrial property that was built in 2000 and is located in Mc Donough, Georgia. The tenant Versacold Usa Inc that occupied 100% of the NRA had a lease which expired in April 2016. Per the borrower, a new tenant occupies 100% of the NRA starting from August 2016. Moody's LTV and stressed DSCR are 106% and 0.97X. CSFB MORTGAGE 2005-C3: Moody's Hikes Class C Certs Rating to B1 --------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on two classes and affirmed the ratings on four classes in CSFB Mortgage Securities Corp., Commercial Mortgage Pass-Through Certificates, Series 2005-C3: Cl. B, Upgraded to A3 (sf); previously on Apr 7, 2016 Upgraded to Ba1 (sf) Cl. C, Upgraded to B1 (sf); previously on Apr 7, 2016 Affirmed Caa2 (sf) Cl. D, Affirmed Caa3 (sf); previously on Apr 7, 2016 Affirmed Caa3 (sf) Cl. E, Affirmed C (sf); previously on Apr 7, 2016 Affirmed C (sf) Cl. A-X, Affirmed Caa3 (sf); previously on Apr 7, 2016 Downgraded to Caa3 (sf) Cl. A-Y, Affirmed Aaa (sf); previously on Apr 7, 2016 Affirmed Aaa (sf) RATINGS RATIONALE The ratings on Classes B and C were upgraded based primarily on an increase in credit support resulting from loan paydowns and amortization. The deal has paid down 30% since Moody's last review. The ratings on Classes D and E were affirmed because the ratings are consistent with Moody's expected loss plus realized losses. The rating on IO class A-X was affirmed based on the credit performance (or the weighted average rating factor or WARF) of its referenced classes. The rating on IO class A-Y was affirmed based on the credit performance of its referenced loans (residential cooperatives). Moody's rating action reflects a base expected loss of 26.5% of the current balance, compared to 31.3% at Moody's last review. Moody's base expected loss plus realized losses is now 7.8% of the original pooled balance, unchanged from the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The methodologies used in these ratings were "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in December 2014, and "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in October 2015. Additionally, the methodology used in rating Cl. A-X and Cl. A-Y was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in October 2015. Please note that on February 27, 2017, Moody's released a "Request for Comment" in which it has requested market feedback on proposed changes to its methodology for rating structured finance interest-only (IO) securities called "Moody's Approach to Rating Structured Finance Interest-Only Securities," dated October 20, 2015. If Moody's adopts the new methodology as proposed, the changes could affect the ratings of CSFB 2005-C3. DESCRIPTION OF MODELS USED Moody's review used the excel-based CMBS Conduit Model, which it uses for both conduit and fusion transactions. Credit enhancement levels for conduit loans are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate Moody's uses to estimate Moody's value). Moody's fuses the conduit results with the results of its analysis of investment grade structured credit assessed loans and any conduit loan that represents 10% or greater of the current pool balance. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of eight, compared to thirteen at Moody's last review. When the Herf falls below 20, Moody's uses the excel-based Large Loan Model and then reconciles and weights the results from the conduit and large loan models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan-level proceeds derived from Moody's loan-level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, and property type. Moody's also further adjusts these aggregated proceeds for any pooling benefits associated with loan level diversity and other concentrations and correlations. DEAL PERFORMANCE As of the February 17, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 96% to $64.5 million from $1.64 billion at securitization. The certificates are collateralized by 17 mortgage loans ranging in size from less than 1% to 20% of the pool, with the top ten loans (excluding defeasance) constituting 94% of the pool. Eleven loans ($31.4 million -- 50% of the pool) are secured by residential co-ops located primarily in New York City. These co-op loans have structured credit assessments of aaa (sca.pd). Eight loans, constituting 35% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Twenty-nine loans have been liquidated from the pool, contributing to an aggregate realized loss of $111.4 million (for an average loss severity of 41%). Two loans, constituting 36% of the pool, are currently in special servicing. The largest specially serviced loan is the Tri-Pointe Plaza ($12.8 million -- 20% of the pool), which is secured by six office buildings totaling 152,500 square feet (SF) and located in Tucson, Arizona. The loan transferred to special servicing in July 2012 and became real estate owned (REO) in July 2013. As of September 2016, the property was 56% leased, compared to 51% at Moody's prior review. The other specially serviced loan is the University Park Loan ($10.1 million -- 16% of the pool), which is secured by a 109,000 SF retail center located in Clive, Iowa. The loan transferred to special servicing in February 2014 for imminent payment default and became REO in October 2015. The property was 73% leased as of year-end 2016, compared to 85% at Moody's prior review. Moody's has also assumed a high default probability for one poorly performing loan, constituting 6.9% of the pool, and has estimated an aggregate loss of $16.6 million (a 61% expected loss on average) from these specially serviced and troubled loans. As of the February 17, 2017 remittance statement cumulative interest shortfalls were $8.5 million. Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced loans and/or modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. Moody's received full year 2015 operating results for 93% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 67%, compared to 90% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 12% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.5%. Moody's actual and stressed conduit DSCRs are 1.40X and 1.55X, respectively, compared to 0.99X and 1.22X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The top three performing loans without a structured credit assessment represent 12.6% of the pool balance. The largest loan is the Foxcroft Mobile Home Community Loan ($4.42 million -- 7.0% of the pool), which is secured by a 321-unit mobile home community located in Loch Sheldrake, New York. The loan is on the watchlist for low DSCR as a result of increased expenses and low occupancy. In addition, the borrower has not submitted recent financials and remains unresponsive regarding requests for updated information. The loan is fully amortizing and matures in February 2025. The loan remains current on its debt service payments, however, due to the low DSCR Moody's has identified this as a troubled loan. The second largest loan is the Fishers Gateway Shops Loan ($3.1 million -- 4.9% of the pool), which is secured by an unanchored retail center in Fishers, Indiana. As of March 2016, the property was 75% leased to eight tenants, compared to 90% at year-end 2015. The loan has amortized approximately 17% since securitization and has maturity date in April 2020. Moody's LTV and stressed DSCR are 69% and 1.51X, respectively, compared to 76% and 1.39X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The third largest loan is the Wrens Trail Apartments Loan ($448,089 -- 0.7% of the pool), which is secured by a 48-unit garden style multi-family property located in Stow, Ohio. As of September 2016, the property was 100% leased. The loan is on the watchlist for low debt service coverage ratio (DSCR) due to increased operating expenses. The loan is fully-amortizing, has amortized 67% since securitization and matures in July 2020. Moody's LTV and stressed DSCR are 46% and 1.93X, respectively, compared to 40% and 2.22X at the last review. DBUBS 2011-LC2: Moody's Affirms B3 Rating on 2 Tranches ------------------------------------------------------- Moody's Investors Service has upgraded the ratings on three classes and affirmed the ratings on eleven classes in DBUBS 2011-LC2 Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates as follows: Cl. A-1, Affirmed Aaa (sf); previously on Mar 24, 2016 Affirmed Aaa (sf) Cl. A-1C, Affirmed Aaa (sf); previously on Mar 24, 2016 Affirmed Aaa (sf) Cl. A-1FL, Affirmed Aaa (sf); previously on Mar 24, 2016 Affirmed Aaa (sf) Cl. A-3C, Affirmed Aaa (sf); previously on Mar 24, 2016 Affirmed Aaa (sf) Cl. A-3FL, Affirmed Aaa (sf); previously on Mar 24, 2016 Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Mar 24, 2016 Affirmed Aaa (sf) Cl. B, Upgraded to Aaa (sf); previously on Mar 24, 2016 Upgraded to Aa1 (sf) Cl. C, Upgraded to Aa3 (sf); previously on Mar 24, 2016 Upgraded to A1 (sf) Cl. D, Upgraded to Baa2 (sf); previously on Mar 24, 2016 Affirmed Baa3 (sf) Cl. E, Affirmed Ba3 (sf); previously on Mar 24, 2016 Affirmed Ba3 (sf) Cl. F, Affirmed B3 (sf); previously on Mar 24, 2016 Affirmed B3 (sf) Cl. FX, Affirmed B3 (sf); previously on Mar 24, 2016 Affirmed B3 (sf) Cl. X-A, Affirmed Aaa (sf); previously on Mar 24, 2016 Affirmed Aaa (sf) Cl. X-B, Affirmed Ba3 (sf); previously on Mar 24, 2016 Affirmed Ba3 (sf) RATINGS RATIONALE The ratings on three P&I classes were upgraded primarily due to an increase in credit support resulting from loan paydowns and amortization. The pool has paid down by 21% since Moody's last review and 34% since securitization. The ratings on eight P&I classes were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The ratings on three IO classes were affirmed based on the credit performance (or the weighted average rating factor or WARF) of their respective referenced classes. Moody's rating action reflects a base expected loss of 1.8% of the current balance, the same as at Moody's last review. Moody's base expected loss plus realized losses is now 1.2% of the original pooled balance, compared to 1.5% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The methodologies used in these ratings were "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in December 2014, and "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in October 2015. Additionally, the methodology used in rating Cl. FX, X-A and X-B was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in October 2015. Please note that on February 27, 2017, Moody's released a "Request for Comment" in which it has requested market feedback on proposed changes to its methodology for rating structured finance interest-only (IO) securities called "Moody's Approach to Rating Structured Finance Interest-Only Securities," dated October 20, 2015. If Moody's adopts the new methodology as proposed, the changes could affect the ratings of DBUBS 2011-LC2. DESCRIPTION OF MODELS USED Moody's review used the excel-based CMBS Conduit Model, which it uses for both conduit and fusion transactions. Credit enhancement levels for conduit loans are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate Moody's uses to estimate Moody's value). Moody's fuses the conduit results with the results of its analysis of investment grade structured credit assessed loans and any conduit loan that represents 10% or greater of the current pool balance. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 13, compared to 17 at Moody's last review. When the Herf falls below 20, Moody's uses the excel-based Large Loan Model and then reconciles and weights the results from the conduit and large loan models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan-level proceeds derived from Moody's loan-level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, and property type. Moody's also further adjusts these aggregated proceeds for any pooling benefits associated with loan level diversity and other concentrations and correlations. DEAL PERFORMANCE As of the February 10, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 34.2% to $1.4 billion from $2.1 billion at securitization. The certificates are collateralized by 43 mortgage loans ranging in size from less than 1% to 14.3% of the pool, with the top ten loans (excluding defeasance) constituting 69.6% of the pool. One loan, constituting 1.6% of the pool, has an investment-grade structured credit assessment. One loan, constituting 0.8% of the pool, has defeased and is secured by US government securities. Five loans, constituting 6.5% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. There are no loans that have been liquidated from the pool. One loan, constituting 0.6% of the pool, is currently in special servicing. The specially serviced loan is the Montgomery Village Professional Center Loan ($8.8 million), which is secured by an office complex containing eight contiguous two-story, walk-up buildings totaling 72,000 square feet (SF). The property is located in Gaithersburg, Maryland approximately 30 miles northwest of Washington, D.C. The loan transferred to special servicing in May 2014 due to payment default and became REO in April 2015. The special servicer indicated that the resolution strategy is to reposition the property for sale as a prospective redevelopment. Moody's received full year 2015 operating results for 100% of the pool, and full or partial year 2016 operating results for 98% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 85.4%, compared to 87.2% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 15% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.2%. Moody's actual and stressed conduit DSCRs are 1.45X and 1.20X, respectively, compared to 1.48X and 1.19X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The loan with a structured credit assessment is the Angelica Portfolio Loan ($21.9 million -- 1.6% of the pool), which is secured by 12 industrial facilities located in eight states and 100% occupied by Angelica Corporation under a 20-year lease which expires in January 2030. The average age of the collateral is 25 years. Performance has improved since securitization. Due to the single tenant exposure, Moody's value incorporate a lit/dark analysis. Moody's structured credit assessment and stressed DSCR are a2 (sca.pd) and 1.55X, respectively, compared to a2 (sca.pd) and 1.58X at last review. The top three conduit loans represent 41.8% of the pool balance. The largest loan is the US Steel Tower Loan ($202.1 million -- 14.3% of the pool), which is secured by a 64-story, Class A office building located in downtown Pittsburgh, Pennsylvania. The property serves as the headquarters for US Steel and the University of Pittsburgh Medical Center (UPMC). As per the December 2016 rent roll the property was 91.7% leased, compared to 91.5% leased as of October 2015. Financial performance has improved since securitization. Moody's LTV and stressed DSCR are 78.8% and 1.27X, respectively, compared to 80% and 1.25X at last review. The second largest loan is the Willowbrook Mall Loan ($195.6 million -- 13.9% of the pool), which is secured by the 400,466 square foot (SF) in-line component of a 1.4 million square foot (SF) regional mall located in Houston, Texas. Anchors include Dillard's, Macy's, Macy's Men and Furniture, Sears, and J.C. Penney. All anchors own their own improvements and are not part of the loan collateral. Total property occupancy was 93% as of September 2016, compared to 94% as of December 2015. As of September 2016, the running twelve month sales for total in-line tenants less than 10,000 SF were $577 per square foot. Performance has been steadily improving since securitization. Moody's LTV and stressed DSCR are 83.8% and 1.13X, respectively, compared to 86.9% and 1.09X at the last review. The third largest loan is the 498 7th Avenue Loan ($192.1 million -- 13.6% of the pool), which is secured by a 25-story office building located between 36th and 37th Street in the Garment District of New York City. As per the December 2016 rent roll, the property was 100% leased, compared to 98% leased in September 2015. The largest tenants are Group M Worldwide (41% of NRA, lease expiration November 2018) and LN Holdings (22% of NRA, lease expiration January 2019). Moody's LTV and stressed DSCR are 89.6% and 1.06X, respectively, compared to 90% and 1.05X at last review. EMERSON PLACE: S&P Affirms 'CCC+' Rating on Class E Notes --------------------------------------------------------- S&P Global Ratings raised its ratings on the class B and C notes from Emerson Place CLO Ltd., a U.S. broadly syndicated collateralized loan obligation (CLO), and removed them from CreditWatch, where S&P placed them with positive implications on Dec. 6, 2016. S&P also affirmed its ratings on the class A, D, and E notes from the same transaction. Emerson Place CLO Ltd. closed in November 2006 and is managed by NewStar Capital LLC, which acquired the former manager, Feingold O'Keeffe Capital LLC, in October 2015. The rating actions follow S&P's review of the transaction's performance, using data from the February 2017 trustee report. Since S&P's March 2015 rating actions, this transaction has paid down the class A notes by $108.5 million to 0.25% of its initial issuance amount, resulting in a significant increase in overcollateralization (O/C) ratios: -- The senior class A/B O/C ratio increased to 229.75% from the 131.35% reported in Feb. 2015. -- The mezzanine class C O/C ratio increased to 118.03% from 108.69%. The class E O/C ratio increased to 106.63% from 102.73%. In addition, the portfolio's credit quality has remained stable during the same time period as the balance of 'CCC' rated assets has remained around $10 million and the balance of defaulted assets decreased to zero from $3.8 million. S&P's upgrades on the class B and C notes reflect the increase in credit support available due to the paydowns to the class A notes and the stable credit quality of the portfolio. However, the percentage of long-dated assets (assets that mature after the legal final maturity date) has increased to 71% from 47% as of S&P's March 2015 review. For S&P's analysis, it considered various liquidation values for the long-dated bucket, consistent with S&P's methodology and assumptions for both market value securities and corporate cash flow collateralized debt obligations. Although cash flows results indicated higher ratings, S&P's rating actions on the class B and D notes reflect its application of its market value assumptions for the long-dated assets. S&P's cash flow results indicated a downgrade on the class E notes. Given the portfolio's stable credit quality, the O/C increases since S&P's prior review, and the CLO's legal final maturity in 2019, S&P believes this class is not at risk for imminent default. S&P's affirmation on the class E notes also reflects its application of its criteria for assigning 'CCC' ratings. The affirmations on the class A, D, and E notes reflect S&P's belief that the credit support available is commensurate with the current rating levels. S&P's review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the aforementioned trustee report, to estimate future performance. In line with S&P's criteria, its cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, S&P's analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis demonstrated, in S&P's view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions. S&P will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and S&P will take rating actions as it deems necessary. RATINGS RAISED AND REMOVED FROM WATCH POSITIVE Emerson Place CLO Ltd. Rating Class To From B AA+ (sf) A+ (sf)/Watch Pos C A+ (sf) BBB- (sf)/Watch Pos RATINGS AFFIRMED Emerson Place CLO Ltd. Class Rating A AAA (sf) D B- (sf) E CCC+ (sf) FREDDIE MAC 2017-SC01: Moody's Gives (P)Ba3 Rating to Cl. M-2 Debt ------------------------------------------------------------------ Moody's Investors Service has assigned provisional ratings to two classes of residential mortgage-backed securities (RMBS) issued by Freddie Mac Whole Loan Securities Trust, Series 2017-SC01 (FWLS 2017-SC01). The ratings range from (P)Baa1 (sf) to (P)Ba3 (sf). The certificates are backed by two pools of fixed-rate super conforming prime residential mortgage loans. The collateral pools consist of loans acquired by Freddie Mac from four sellers (Caliber Home Loans, Inc. (65.9%), Wells Fargo Bank, N.A. (19.1%), Quicken Loans, Inc. (10.0%), and Fremont Bank (4.9%)), pursuant to the terms of the Freddie Mac Single-Family Seller/Servicer Guide. Freddie Mac will serve in a number of capacities with respect to the Trust. Freddie Mac will be the Guarantor of the Senior Certificates, Seller, Master Servicer, Master Document Custodian and Trustee. The complete rating actions are: Issuer: Freddie Mac Whole Loan Securities Trust, Series 2017-SC01 Cl. M-1, Assigned (P)Baa1 (sf) Cl. M-2, Assigned (P)Ba3 (sf) RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Moody's expected losses on pool 1 average 0.45% in a base-case scenario and reach 6.00% at a stress level consistent with Aaa rating on the senior classes. Moody's expected losses on pool 2 average 0.90% in a base-case scenario and reach 10.80% at a stress level consistent with Aaa rating on the senior classes. Moody's arrived at these expected losses using Moody's MILAN model. Moody's Aaa stress loss for pool 1 is consistent with prime jumbo transactions Moody's has recently rated. The lower FICO scores and slightly higher CLTV on pool 2 contributed to the higher loss expectations on the pool. In Moody's analysis, Moody's considered the observed loss severity trends on Freddie Mac loans. Moody's did not make any adjustments related to servicers and originators' assessments. However, Moody's decreased Moody's base case and Aaa loss expectation 5% due to the strong representation and warranties provider (Freddie Mac). Collateral Description The FWLS 2017-SC01 transaction is backed by a total of 1,227 fixed-rate super conforming prime residential mortgage loans with a balance of $639,914,335. Pool 1 is backed by 656 loans with a balance of $341,119,843 and pool 2 is backed by 571 loans with a balance of $298,794,492. The collateral pools consist of loans acquired by Freddie Mac from multiple sellers pursuant to the terms of the Freddie Mac Single-Family Seller/Servicer Guide. The weighted average CLTV is 74.9% for the aggregate pool, and 72.3% and 77.9% for pool 1 and pool 2 loans respectively. The weighted average FICO for the aggregate pool is 750, and 760 and 738 for pool 1 and pool 2 loans respectively. Third-Party Review(TPR) Clayton conducted a review of credit, property valuations, regulatory compliance (regulatory compliance was conducted only for loans in the sample which were in states with assignee liability laws and or regulations) and data accuracy checks for 314 mortgage loans (from an initial pool of 1,254 loans). Moody's reviewed the TPR reports and there were no exceptions for credit, property valuations, and regulatory compliance. The data accuracy exceptions were minor and did not pose a material risk. Representations & Warranties (R&Ws) Freddie Mac will make certain representations and warranties with respect to the mortgage loans and will be the only party from which the trust may seek repurchase of a mortgage loan as a result of any material breach that provides for repurchase as a remedy. Freddie Mac's Aaa senior ratings are underpinned by strong government support. Moody's believes that the US Government will stand behind obligations of the government-sponsored enterprises (GSEs).The loan-level R&Ws are strong and, in general, meet the baseline set of credit-neutral R&Ws Moody's has identified for US RMBS. Structural considerations The securitization has a two-pool 'Y' structure that distributes principal on a pro rata basis between the senior and subordinate classes subject to performance triggers, and sequentially amongst the subordinate certificates. The transaction has two distinct features: recoupment of unpaid interest on stop advance loans and shifting certain principal payments, subject to limits, to cover interest shortfalls to the rated subordinate bonds due to interest rate modifications and extra-ordinary expenses. In this transaction, Freddie Mac will stop advancing principal and interest on any real-estate owned (REO) property or loans that are 180 days or more delinquent. This will decrease the amount of interest remitted to the trust and could result in interest shortfalls to the bonds. However, interest accrued but not paid on the stop advance loans will be recovered from the liquidation proceeds (for liquidated loans), borrower payments, modification or repurchases and added to the interest remittance amount. This will result in subsequent recoveries of any interest shortfalls on subordinates bonds in the order of their payment priority. Also, in this transaction, the certificates are exposed to interest shortfalls due to interest rate modifications and extra-ordinary expenses. If the interest accrued on the Class B certificate is insufficient to absorb the reduction in interest amount caused by modification and extra-ordinary expenses, and to the extent that the Class B certificate is outstanding, the transaction allows for certain principal payments (up to subordinate percentage of scheduled principal) to be re-directed to cover interest shortfall to the rated bonds, with a corresponding write-down of Class B principal balance. As a result, before Classes M-1 or M-2 suffer any unrecoverable interest shortfall, the Class B certificate balance has to be reduced to zero. The Class B certificate represents 1% of the collateral. Factors that would lead to an upgrade or downgrade of the ratings: Downgrade 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. Upgrade 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. In addition, Moody's publishes a weekly summary of structured finance credit ratings and methodologies, available to all registered users of Moody's website, www.moodys.com/SFQuickCheck. FREMF 2017-K63: Fitch to Rate Class C Debt at 'BB+sf ---------------------------------------------------- Fitch Ratings has issued a presale report on FREMF 2017-K63 Multifamily Mortgage Pass-Through Certificates and Freddie Mac Structured Pass-Through Certificates, Series K-063. Fitch expects to rate the transaction and assign Rating Outlooks as follows: FREMF 2017-K63 Multifamily Mortgage Pass-Through Certificates -- $160,330,000b class A-1 'AAAsf'; Outlook Stable; -- $1,063,400,000b class A-2 'AAAsf'; Outlook Stable; -- $83,610,000bc class A-M 'Asf'; Outlook Stable; -- $1,223,730,000ab class X1 'AAAsf'; Outlook Stable; -- $83,610,000abc class XAM 'Asf'; Outlook Stable; -- $1,223,730,000a class X2-A 'AAAsf'; Outlook Stable; -- $60,807,000 class B 'BBBsf'; Outlook Stable; -- $38,004,000 class C 'BB+sf'; Outlook Stable. Freddie Mac Structured Pass-Through Certificates, Series K-063 -- $160,330,000b class A-1 'AAAsf'; Outlook Stable; -- $1,063,400,000b class A-2 'AAAsf'; Outlook Stable; -- $83,610,000bc class A-M 'Asf'; Outlook Stable; -- $1,223,730,000ab class X1 'AAAsf'; Outlook Stable; -- $83,610,000abc class XAM 'Asf'; Outlook Stable. (a) Notional amount and interest-only (b) Guaranteed by Freddie Mac. Ratings are based solely on the underlying collateral and without respect to the Freddie Mac guarantee. (c) Classes A-M and XAM could be rated 'AAAsf' if the Freddie Mac guarantee would be accounted for. These expected ratings are based on the information provided by the issuer as of March 6, 2017. Fitch does not expect to rate the following classes of FREMF 2017-K63: the $212,823,435 interest-only class X3, the $296,433,435 interest-only class X2-B, and the $114,012,435 class D. Additionally, Fitch does not expect to rate the following class of Freddie Mac Structured Pass-Through Certificates, Series K-063: the $212,823,435 interest-only class X3. The certificates represent the beneficial ownership interest in the trust. The trust's primary assets are 46 loans secured by 46 commercial properties having an aggregate principal balance of approximately $1.52 billion as of the cut-off date. The Freddie Mac Structured Pass-Through Certificates, Series K-063 (Freddie Mac SPC K-063) represents a pass-through interest in the corresponding class of securities issued by FREMF 2017-K63. Each Freddie Mac SPC K-063 security has the same designation as its underlying FREMF 2017-K63 class. All loans were originated specifically for Freddie Mac by approved Seller Servicers. The certificates follow a sequential-pay structure. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 70.5% of the properties by balance and cash flow analysis of 85.2% of the pool. The transaction has a Fitch stressed debt service coverage ratio (DSCR) of 0.96x, a Fitch stressed loan-to-value (LTV) of 121.7% and a Fitch debt yield of 6.8%. Fitch's aggregate net cash flow represents a variance of 8.8% to issuer cash flows. KEY RATING DRIVERS Higher Leverage Than Recent Freddie Mac Transactions: The pool's Fitch stressed DSCR and LTV are 0.96x and 121.7%, respectively. These metrics identify the pool as having higher leverage than recent comparable transactions. Fitch-rated 10-year K series Freddie Mac deals had a 2016 average DSCR and LTV of 1.04x and 117.3%, respectively. More Concentrated than Recent Freddie Mac Transactions: The average loan size for the transaction is $33.0 million, which is much higher than the Fitch-rated Freddie Mac 10-year 2016 average of $17.3 million. Additionally, the pool's loan concentration index (LCI) score of 302 is worse than the 2016 Freddie Mac 10-year average of 253. RATING SENSITIVITIES For this transaction, Fitch's net cash flow (NCF) was 10.6% below the most recent year's net operating income (NOI; for properties for which a full-year NOI was provided, excluding properties that were stabilizing during this period). Unanticipated further declines in property-level NCF could result in higher defaults and loss severities on defaulted loans and in potential rating actions on the certificates. Fitch evaluated the sensitivity of the ratings assigned to FREMF 2017-K63 certificates and found that the transaction displays average sensitivity to further declines in NCF. In a scenario which NCF declined a further 20% from Fitch's NCF, a downgrade of the 'AAAsf' certificates to 'A-sf' could result. FREMF 2017-K63: Fitch to Rate Class C Debt at 'BB+sf' ----------------------------------------------------- Fitch Ratings has issued a presale report on FREMF 2017-K63 Multifamily Mortgage Pass-Through Certificates and Freddie Mac Structured Pass-Through Certificates, Series K-063. Fitch expects to rate the transaction and assign Rating Outlooks as follows: FREMF 2017-K63 Multifamily Mortgage Pass-Through Certificates -- $160,330,000b class A-1 'AAAsf'; Outlook Stable; -- $1,063,400,000b class A-2 'AAAsf'; Outlook Stable; -- $83,610,000bc class A-M 'Asf'; Outlook Stable; -- $1,223,730,000ab class X1 'AAAsf'; Outlook Stable; -- $83,610,000abc class XAM 'Asf'; Outlook Stable; -- $1,223,730,000a class X2-A 'AAAsf'; Outlook Stable; -- $60,807,000 class B 'BBBsf'; Outlook Stable; -- $38,004,000 class C 'BB+sf'; Outlook Stable. Freddie Mac Structured Pass-Through Certificates, Series K-063 -- $160,330,000b class A-1 'AAAsf'; Outlook Stable; -- $1,063,400,000b class A-2 'AAAsf'; Outlook Stable; -- $83,610,000bc class A-M 'Asf'; Outlook Stable; -- $1,223,730,000ab class X1 'AAAsf'; Outlook Stable; -- $83,610,000abc class XAM 'Asf'; Outlook Stable. (a) Notional amount and interest-only (b) Guaranteed by Freddie Mac. Ratings are based solely on the underlying collateral and without respect to the Freddie Mac guarantee. (c) Classes A-M and XAM could be rated 'AAAsf' if the Freddie Mac guarantee would be accounted for. These expected ratings are based on the information provided by the issuer as of March 6, 2017. Fitch does not expect to rate the following classes of FREMF 2017-K63: the $212,823,435 interest-only class X3, the $296,433,435 interest-only class X2-B, and the $114,012,435 class D. Additionally, Fitch does not expect to rate the following class of Freddie Mac Structured Pass-Through Certificates, Series K-063: the $212,823,435 interest-only class X3. The certificates represent the beneficial ownership interest in the trust. The trust's primary assets are 46 loans secured by 46 commercial properties having an aggregate principal balance of approximately $1.52 billion as of the cut-off date. The Freddie Mac Structured Pass-Through Certificates, Series K-063 (Freddie Mac SPC K-063) represents a pass-through interest in the corresponding class of securities issued by FREMF 2017-K63. Each Freddie Mac SPC K-063 security has the same designation as its underlying FREMF 2017-K63 class. All loans were originated specifically for Freddie Mac by approved Seller Servicers. The certificates follow a sequential-pay structure. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 70.5% of the properties by balance and cash flow analysis of 85.2% of the pool. The transaction has a Fitch stressed debt service coverage ratio (DSCR) of 0.96x, a Fitch stressed loan-to-value (LTV) of 121.7% and a Fitch debt yield of 6.8%. Fitch's aggregate net cash flow represents a variance of 8.8% to issuer cash flows. KEY RATING DRIVERS Higher Leverage Than Recent Freddie Mac Transactions: The pool's Fitch stressed DSCR and LTV are 0.96x and 121.7%, respectively. These metrics identify the pool as having higher leverage than recent comparable transactions. Fitch-rated 10-year K series Freddie Mac deals had a 2016 average DSCR and LTV of 1.04x and 117.3%, respectively. More Concentrated than Recent Freddie Mac Transactions: The average loan size for the transaction is $33.0 million, which is much higher than the Fitch-rated Freddie Mac 10-year 2016 average of $17.3 million. Additionally, the pool's loan concentration index (LCI) score of 302 is worse than the 2016 Freddie Mac 10-year average of 253. RATING SENSITIVITIES For this transaction, Fitch's net cash flow (NCF) was 10.6% below the most recent year's net operating income (NOI; for properties for which a full-year NOI was provided, excluding properties that were stabilizing during this period). Unanticipated further declines in property-level NCF could result in higher defaults and loss severities on defaulted loans and in potential rating actions on the certificates. Fitch evaluated the sensitivity of the ratings assigned to FREMF 2017-K63 certificates and found that the transaction displays average sensitivity to further declines in NCF. In a scenario which NCF declined a further 20% from Fitch's NCF, a downgrade of the 'AAAsf' certificates to 'A-sf' could result. In a more severe scenario, in which NCF declined a further 30% from Fitch's NCF, a downgrade of the 'AAAsf' certificates to 'BBBsf' could result. GALTON FUNDING 2017-1: DBRS Assigns (P)B Ratings to Class B5 Debt ----------------------------------------------------------------- DBRS, Inc. assigned the following provisional ratings to the Mortgage Pass-Through Certificates, Series 2017-1 (the Certificates) issued by Galton Funding Mortgage Trust 2017-1 (GFMT 2017-1 or the Trust): -- $220.2 million Class A11 at AAA (sf) -- $220.2 million Class AX11 at AAA (sf) -- $220.2 million Class A12 at AAA (sf) -- $220.2 million Class AX12 at AAA (sf) -- $220.2 million Class A13 at AAA (sf) -- $220.2 million Class AX13 at AAA (sf) -- $203.6 million Class A21 at AAA (sf) -- $203.6 million Class AX21 at AAA (sf) -- $203.6 million Class A22 at AAA (sf) -- $203.6 million Class AX22 at AAA (sf) -- $203.6 million Class A23 at AAA (sf) -- $203.6 million Class AX23 at AAA (sf) -- $16.5 million Class A31 at AAA (sf) -- $16.5 million Class AX31 at AAA (sf) -- $16.5 million Class A32 at AAA (sf) -- $16.5 million Class AX32 at AAA (sf) -- $16.5 million Class A33 at AAA (sf) -- $16.5 million Class AX33 at AAA (sf) -- $152.7 million Class A41 at AAA (sf) -- $152.7 million Class AX41 at AAA (sf) -- $152.7 million Class A42 at AAA (sf) -- $152.7 million Class AX42 at AAA (sf) -- $152.7 million Class A43 at AAA (sf) -- $152.7 million Class AX43 at AAA (sf) -- $50.9 million Class A51 at AAA (sf) -- $50.9 million Class AX51 at AAA (sf) -- $50.9 million Class A52 at AAA (sf) -- $50.9 million Class AX52 at AAA (sf) -- $50.9 million Class A53 at AAA (sf) -- $50.9 million Class AX53 at AAA (sf) -- $16.5 million Class X3 at AAA (sf) -- $152.7 million Class X4 at AAA (sf) -- $50.9 million Class X5 at AAA (sf) -- $8.5 million Class B1 at AA (sf) -- $8.5 million Class BX1 at AA (sf) -- $10.8 million Class B2 at A (low) (sf) -- $10.8 million Class BX2 at A (low) (sf) -- $6.1 million Class B3 at BBB (low) (sf) -- $6.1 million Class BX3 at BBB (low) (sf) -- $2.5 million Class B4 at BB (sf) -- $3.3 million Class B5 at B (sf) Classes AX11, AX12, AX13, AX21, AX22, AX23, AX31, AX32, AX33, AX41, AX42, AX43, AX51, AX52, AX53, X3, X4, X5, BX1, BX2 and BX3 are interest-only (IO) certificates. The class balances represent notional amounts. Classes A11, AX11, A12, AX12, A13, AX13, A21, AX21, A22, AX22, A23, AX23, A31, AX32, A33, A41, AX42, A43, A51, AX52, A53 are exchangeable certificates. These classes can be exchanged for combinations of exchange certificates as specified in the offering documents. The AAA (sf) ratings on the Certificates reflect the 13.50% of credit enhancement provided by subordinated Certificates in the pool. The AA (sf), A (low) (sf), BBB (low) (sf), BB (sf) and B (sf) ratings reflect 10.15%, 5.90%, 3.50%, 2.50% and 1.20% of credit enhancement, respectively. Other than the classes specified above, DBRS does not rate any other classes in this transaction. This transaction is a securitization of a portfolio of mostly expanded prime qualified mortgage (QM) and non-QM first-lien residential mortgages. The Certificates are backed by 363 loans with a total principal balance of $254,554,479 as of the Cut-Off Date (February 1, 2017). The mortgage loans were originally acquired by GMRF Mortgage Acquisition Company LLC (the Sponsor) directly from either originators or a third-party aggregator. The Sponsor is a wholly owned subsidiary of Galton Mortgage Recovery Master Fund III, L.P. The majority of the loans in this securitization (92.3%) are Credit Grade A+ (Galton Program) borrowers with unblemished credit who may not meet prime jumbo or agency/government guidelines. While certain attributes are comparable with post-crisis prime transactions, the loans in the GFMT 2017-1 portfolio may have IO features, higher debt-to-income (DTI) and loan-to-value (LTV) ratios, lower credit scores and barbelled distribution of certain characteristics as compared with recent prime securitizations. However, the overall credit profile of the Galton pool is much stronger than those of other non-QM programs rated by DBRS. The originators for the mortgage pool are Priority Financial Network (17.6%); Parkside Lending, LLC (16.2%); RPM Mortgage, Inc. (15.3%); Oaktree Funding Corp. (14.9%); PHH Mortgage Corp. (5.6%); and various other originators, each comprising less than 5.0% of the mortgage loans. The loans will be serviced by New Penn Financial, LLC doing business as (dba) Shellpoint Mortgage Servicing. Galton Mortgage Loan Seller LLC (GMLS) will act as the Servicing Administrator. Wells Fargo Bank, N.A. (Wells Fargo; rated AA (high) with a Negative trend by DBRS) will act as the Master Servicer, Securities Administrator and Custodian. Wilmington Savings Fund Society, FSB, dba Christiana Trust, will serve as Trustee. In accordance with the CFPB QM rules, 22.3% of the loans are designated as QM Safe Harbor, 9.1% as QM Rebuttable Presumption and 35.1% as non-QM. Approximately 33.6% of the loans are not subject to the QM rules. The Servicing Administrator will generally fund advances of delinquent principal and interest (P&I) on any mortgage until such loan becomes 120 days delinquent and is obligated to make advances in respect of taxes, insurance premiums and reasonable costs incurred in the course of servicing and disposing of properties. The transaction employs a senior-subordinate shifting-interest cash flow structure that has been modified to allow available funds to pay interest to the Class B1 and BX1 Certificates before paying principal to the Senior Certificates. The ratings reflect transactional strengths, including the following: (1) Satisfactory Underwriting Standards: Underwriting standards have improved significantly from the pre-crisis era. The majority of loans in this transaction (78.5%) were underwritten to a full documentation standard with respect to verification of income (generally through two years of W-2 forms or personal tax statements), employment and assets. Some self-employed borrowers in this pool were underwritten for income verification using 24 months of bank statements (22.6% of the pool) and 12 months of bank statements (24.1% of the pool). These borrowers have also provided evidence of self-employment in the same business for the past two years with a business narrative, as needed. For loans that were underwritten to a less-than-full documentation standard, borrowers were required to have stronger credit profiles or more equity in their properties compared with a full-documentation loan. Nonetheless, DBRS penalized such less-than-full documentation loans by assigning lower documentation grades, which resulted in higher expected losses for such loans. (2) Robust Pool Composition: The loans in the pool, for the most part, have relatively low LTV and DTI ratios and are made to borrowers with robust FICO scores, incomes and reserves. The pool is composed of loans with a weighted-average (WA) FICO score (based on the lower of primary borrower and co-borrower's refreshed FICO scores) of 744 and WA original combined LTV (CLTV) of 67.6%. The borrowers have a WA DTI of 31.9% with WA reserves of approximately $563,010 and WA annual income (primary borrower) of approximately $444,318. Additionally, 93.4% of the pool consists of fixed-rate loans, with only 6.1% having IO features. Although, when compared with prime jumbo transactions, certain loan attributes, such as LTV ratios and FICO scores, have a more barbelled distribution, the Galton guidelines have compensating factors, such as capping the DTI ratio or requiring additional reserves for the riskier loans. (3) Satisfactory Third-Party Due Diligence Review: A third-party due diligence firm conducted property valuation, credit and compliance reviews on 100.0% of the loans in the pool. Data integrity checks were also performed on the pool. (4) Satisfactory Loan Performance to Date (Albeit Short): Galton established the conduit and commenced activity in September 2014. The first loan was acquired by the conduit in January 2015. Of approximately 575 first-lien mortgages that were aggregated as of December 2016, only four loans were ever 30 days delinquent (excluding any servicing transfer issues), and these loans self-cured shortly after. (5) 100% Current Loans: All loans are current as of the Cut-Off Date. Additionally, no loan in the securitization has had prior delinquencies since origination. The transaction also includes the following challenges and mitigating factors: (1) Geographic Concentration: This transaction has a high concentration of loans in California (CA), which represents 76.5% of the loans in the transaction. Performance of loans that are highly concentrated in a particular region may be more sensitive to any deterioration in economic conditions or the occurrence of a natural disaster in that region. Some mitigating factors include the following: (a) DBRS's RMBS Insight model generates an elevated asset correlation, as determined by loan size and geographic concentration, for this portfolio compared with pools with similar collateral, resulting in higher expected losses across rating categories. (b) There is metropolitan statistical area (MSA) diversity in the pool for the loans from California. (c) Nonetheless, DBRS believes that the elevated concentration of Los Angeles loans demands additional penalties and credit protection. DBRS applied the following stresses in its RMBS Insight model, which increases the expected losses for the loans located in the Los Angeles area: (i) Increased the market value decline assumption for all properties in the Los Angeles area by an additional 50% at each rating category. (ii) Increased the unemployment rate stress for borrowers in the Los Angeles area. (2) QM Rebuttable Presumption, Non-QM and Investor Loans: This portfolio contains QM Rebuttable Presumption or non-QM loans, as well as a significant concentration of investor loans. Some mitigating factors include the following: (a) All loans were originated to meet the eight underwriting factors as required by the ATR rules. The loans were also underwritten to comply with the standards set forth in Appendix Q. (b) Underwriting standards have improved substantially since the pre-crisis era. (c) The DBRS RMBS Insight model incorporates loss severity penalties for non-QM and QM Rebuttable Presumption loans, as explained further in the Key Loss Severity Drivers section of the report for this transaction. (d) Investor loans represent higher default risk (1.2 times (x) to 1.8x penalty) relative to owner-occupied loans holding other attributes constant. In addition, investor loans in this pool have a better credit profile than the overall pool, with a WA FICO of 758, WA original CLTV of 56.0%, WA DTI of 31.1% and substantial liquid reserves at approximately $403,222. Finally, the Galton guidelines have certain LTV caps and FICO floors for investor properties. (3) Representations and Warranties Framework: This transaction employs a standard that includes materiality factors. Some of the originators in the transaction may have limited history in securitizations and/or may potentially experience financial stress that could result in their inability to fulfill repurchase obligations as a result of breaches of representations and warranties. This transaction provides the following mitigating factors: (a) Third-party due diligence was conducted on 100% of the pool with satisfactory results, which mitigates the risk of future representations and warranties violations. (b) The mortgage loans benefit from representations and warranties backstopped by GMLS in the event of an originator's bankruptcy or insolvency proceeding and if the originator fails to cure, repurchase or substitute loans for such a breach. (c) The performance of the aggregated collateral, although limited in history, has been satisfactory to date. (d) Automatic reviews on certain representations are triggered on any loan that becomes 120 days delinquent or any loan that has incurred a cumulative loss. (e) The reviewer is required to review any triggered loans for breaches of representations and warranties in accordance with predetermined procedures and processes. (f) Certain disputes are ultimately subject to the determination made in a related arbitration proceeding. (g) Notwithstanding the above, DBRS reduced the originator scores, which resulted in higher expected losses. (4) Advances of Delinquent P&I: The Servicing Administrator will advance scheduled P&I on delinquent mortgages until such loans become 120 days delinquent. This will likely result in lower loss severities to the transaction because advanced P&I will not have to be reimbursed from the Trust upon the liquidation of the mortgages but will increase the possibility of periodic interest shortfalls to the Certificateholders. Mitigating factors include available funds are used to pay interest to the Senior Certificates and Class B1 and Class B1X Certificates before paying principal to the Senior Certificates and subordination levels are greater than expected losses, which may provide for payment of interest to the Certificates. DBRS ran cash flow scenarios that incorporated P&I advancing up to 120 days for delinquent loans; the cash flow scenarios are discussed in more detail in the Cash Flow Analysis section of the report for this transaction. (5) Servicing Administrator's Financial Capability: In this transaction, the Servicing Administrator is responsible for funding advances to the extent required. The Servicing Administrator is an unrated entity and may face financial difficulties in fulfilling its servicing advance obligation in the future. Consequently, the transaction employs Wells Fargo as the Master Servicer. If the Servicing Administrator fails in its obligation to make advances, Wells Fargo will be obligated to fund such servicing advances. The DBRS ratings of AAA (sf) and AA (sf) address the timely payment of interest and full payment of principal by the legal final maturity date in accordance with the terms and conditions of the related Certificates. The DBRS ratings of A (low) (sf ), BBB (low) (sf ), BB (sf) and B (sf) address the ultimate payment of interest and full payment of principal by the legal final maturity date in accordance with the terms and conditions of the related Certificates. The full description of the strengths, challenges and mitigating factors are detailed in the report for this transaction. Please see the related appendix for additional information regarding the sensitivity of assumptions used in the rating process. GALTON FUNDING 2017-1: Moody's Assigns B2 Rating to Cl. B5 Debt --------------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to 41 classes of residential mortgage-backed securities (RMBS) issued by Galton Funding Mortgage Trust 2017-1 (GFMT 2017-1). The ratings range from Aaa (sf)- B2 (sf). GFMT 2017-1 is the first residential mortgage backed securities (RMBS) issuance from the sponsor, GMRF Mortgage Acquisition Company LLC (Galton). The certificates are backed by 363 prime-quality, primarily 30-year, fixed-rate residential mortgages with total unpaid balance of $254,554,479 and a weighted average (WA) mortgage rate of 4.94%. The loans were originated by multiple originators and purchased by Galton. Shellpoint Mortgage Servicing will be the servicer of the loans in the pool. Wells Fargo Bank, N.A. will act as the Master Servicer. The transaction benefits from the Dodd Frank Act's risk retention requirements, which requires the sponsor or its affiliate to hold 5% of the transaction's credit risk, and improves alignment of interests between the sponsor and investors. The credit quality of the collateral backing GFMT 2017-1 is strong with a high overall WA borrower FICO score of 753 and a WA Combined Loan-To-Value Ratio (CLTV) of 67.6%. Moreover the majority of the loans are fixed rate (93.4%) and owner-occupied (64.8%). The WA seasoning is 11 months, with no mortgage delinquency since origination. 35.1% of the loans are non-Qualified Mortgage (non-QM) loans. The non-QM designations are attributable to either debt-to-income ratios above 43%, alternative income documentation or interest-only periods. 44.6% of the loans were made to self-employed borrowers. The transaction provides 100% due diligence of data integrity, credit, property valuation, and compliance conducted by AMC Diligence, LLC (AMC), an independent third-party firm. Distributions of principal and interest and loss allocations to the bonds will be based on a typical shifting-interest structure that benefits from a 2.5% subordination floor. The subordination floor protects against losses that occur late in the life of the pool when relatively few loans remain (tail risk), by diverting all principal to the senior bonds when total senior subordination is less than 2.5% of the original pool balance. The transaction also has a stop advance feature that benefits the senior classes. There is no principal or interest advancing for loans that are 120 days or more delinquent. Any interest shortfall resulting from this provision will reduce the available distribution amount. Any interest shortfalls resulting from this feature will be fully subordinated and result in a principal loss to the most subordinate classes. The complete rating actions are: Issuer: Galton Funding Mortgage Trust 2017-1 Cl. A11, Definitive Rating Assigned Aaa (sf) Cl. AX11, Definitive Rating Assigned Aaa (sf) Cl. A12, Definitive Rating Assigned Aaa (sf) Cl. AX12, Definitive Rating Assigned Aaa (sf) Cl. A13, Definitive Rating Assigned Aaa (sf) Cl. AX13, Definitive Rating Assigned Aaa (sf) Cl. A21, Definitive Rating Assigned Aaa (sf) Cl. AX21, Definitive Rating Assigned Aaa (sf) Cl. A22, Definitive Rating Assigned Aaa (sf) Cl. AX22, Definitive Rating Assigned Aaa (sf) Cl. A23, Definitive Rating Assigned Aaa (sf) Cl. AX23, Definitive Rating Assigned Aaa (sf) Cl. A31, Definitive Rating Assigned Aa1 (sf) Cl. AX31, Definitive Rating Assigned Aa1 (sf) Cl. A32, Definitive Rating Assigned Aa1 (sf) Cl. AX32, Definitive Rating Assigned Aa1 (sf) Cl. A33, Definitive Rating Assigned Aa1 (sf) Cl. AX33, Definitive Rating Assigned Aa1 (sf) Cl. A41, Definitive Rating Assigned Aaa (sf) Cl. AX41, Definitive Rating Assigned Aaa (sf) Cl. A42, Definitive Rating Assigned Aaa (sf) Cl. AX42, Definitive Rating Assigned Aaa (sf) Cl. A43, Definitive Rating Assigned Aaa (sf) Cl. AX43, Definitive Rating Assigned Aaa (sf) Cl. A51, Definitive Rating Assigned Aaa (sf) Cl. AX51, Definitive Rating Assigned Aaa (sf) Cl. A52, Definitive Rating Assigned Aaa (sf) Cl. AX52, Definitive Rating Assigned Aaa (sf) Cl. A53, Definitive Rating Assigned Aaa (sf) Cl. AX53, Definitive Rating Assigned Aaa (sf) Cl. X3, Definitive Rating Assigned Aa1 (sf) Cl. X4, Definitive Rating Assigned Aaa (sf) Cl. X5, Definitive Rating Assigned Aaa (sf) Cl. B1, Definitive Rating Assigned Aa2 (sf) Cl. BX1, Definitive Rating Assigned Aa2 (sf) Cl. B2, Definitive Rating Assigned A2 (sf) Cl. BX2, Definitive Rating Assigned A2 (sf) Cl. B3, Definitive Rating Assigned Baa2 (sf) Cl. BX3, Definitive Rating Assigned Baa2 (sf) Cl. B4, Definitive Rating Assigned Ba2 (sf) Cl. B5, Definitive Rating Assigned B2 (sf) RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Moody's expected cumulative net loss on the pool averages 1.00% in a base scenario and reaches 13.50% at a stress level consistent with Aaa (sf) ratings. Moody's calculated losses on the pool using US Moody's Individual Loan Analysis (MILAN) model based on the loan-level collateral information as of the Cut-off Date. Loan-level adjustments to the model results included adjustments to probability of default for higher and lower borrower DTIs, for borrowers with multiple mortgaged properties, self-employed borrowers, potential fees and penalties resulting from legal challenges on non-QM loans and higher-priced QM loans, and for the risk owing to super-priority homeownership association (HOA) liens in certain states. Moody's final loss estimates also incorporate adjustments for originator quality and the representation & warranty (R&W) framework. Moody's bases its ratings on the certificates on the credit quality of the mortgage loans, the structural features of the transaction, Moody's assessments of the aggregator, originators and servicers, the strength of the third party due diligence and the representations and warranties (R&W) framework of the transaction. Collateral Description The loan pool contains 363 prime-quality 30-year (96.88%), 15-year (1.85%) and 40-year (1.27%) primarily fixed-rate residential mortgages with total unpaid balance of $254,554,479 and a weighted average (WA) mortgage rate of 4.94%. The credit quality of the collateral backing GFMT 2017-1 is strong with a high WA borrower FICO score of 753 and a WA Combined Loan-To-Value Ratio (CLTV) of 67.6%. However, compared to recent prime jumbo transactions Moody's has rated, the pool has a higher percentage of non-Qualified Mortgage (non-QM) loans (35.1% of the pool), loans whose borrowers were qualified using alternative documentation (21.5% of the pool), loans who had prior credit derogatory events (9.1% of the pool), such as bankruptcies, short sales and foreclosures and a higher percentage of borrowers with low FICO scores (11.6% with FICO scores less than 700) or high CLTVs ( 25.1% of the loans have a CLTV greater than 80%). The non-QM loans are largely a result of debt-to-income (DTI) ratios above 43%, alternative borrower income documentation, or interest-only provisions. The borrowers who were qualified using alternative documentation mainly provided 12 or 24 months' bank statements for income verification. The loans were aggregated by Galton from 27 different originators, and all of the loans were underwritten to Galton's acquisition guidelines. Galton's acquisition guidelines differ from those of other aggregators of prime RMBS that Moody's rates in that they allow for higher DTIs, prior seasoned credit derogatory events, alternative income qualification, such as bank statements, and higher LTVs and CLTVs. The largest four originators, who each contributed more than 10% of the pool, are BM Real Estate Services (17.6%), Parkside Lending, LLC (16.2%), RPM Mortgage Inc. (15.3%) and Oaktree Funding Corp. (14.9%). The borrowers in this transaction generally have significant liquid cash reserves, high residual income and, in most cases, sizeable equity in their properties. Moreover, no loan has had a delinquency since loan origination and 100% of borrowers with prior mortgages had a clean 24-month pay history on their prior loans. A large percentage of the loans in the pool (44.6%) were made to self-employed borrowers. Self-employed borrowers typically have less stable incomes than wage earners, although a self-employed borrower is not always riskier than a wage earner. Furthermore, approximately 21.5% of the loans, all to self-employed borrowers, were qualified using alternative income documentation, such as 24 or 12 months of bank statements, rather than tax returns. Verification of income using banks statements, particularly short-term bank statements can introduce some risks due to the subjective underwriting of such loans. Moody's believes that income verification using 24 months of bank statements is stronger than partial documentation loans originated prior to 2008, and Moody's enhancement levels considered model runs assuming these loans were fully documented. Moody's made model adjustments for self-employed borrowers that increased credit enhancement levels. Third-party Review AMC, an independent third party firm, reviewed 100% of the loans in this transaction for credit, regulatory compliance, property valuation, and data accuracy. The due diligence results confirm compliance with Galton's acquisition guidelines for the vast majority of loans, with a handful of findings related to minor variances from the guidelines, with compensating factors. AMC identified six loans having material compliance violations, mainly related to technical TRID errors which the lender took efforts to cure or the reviewer believed error was not curable. Moody's believes that these errors represent low risk to the trust. The review did not identify any material valuation issues. AMC identified a number of discrepancies between the data tape and the files utilized during the due diligence reviews, mainly related to DTI. The data discrepancies were corrected on the final loan tape. The significant amount of DTI discrepancies partially informed Moody's increase to expected losses owing to originator quality. Representations & Warranties (R&W) Framework The originators make comprehensive loan-level R&Ws and an independent reviewer will perform detailed reviews to determine whether any R&Ws are breached when loans become 120 days delinquent or the property is liquidated at a loss above a certain threshold. These reviews are prescriptive in that the transaction documents set forth detailed tests for each R&W that the independent reviewer will perform. The independent reviewer, however, will not be hired until the first loan becomes 60 days delinquent. Furthermore, an affiliate of the sponsor will have significant discretion whether or not to pursue enforcement against an originator, and will have considerable flexibility to negotiate make-whole amounts instead of requiring repurchases. The R&W providers' financial strength is weak, as they are generally unrated and small entities. Finally, although the sponsor's affiliate will backstop the R&Ws from the originators, its financial condition is uncertain, as its parent is an investment fund with a limited life. Moody's increased Moody's expected losses to account for the weaknesses in the R&W framework. Tail Risk & Subordination Floor This deal has a standard shifting-interest structure, with a subordination floor to protect against losses that occur late in the life of the pool when relatively few loans remain (tail risk). When the total senior subordination is less than 2.50% of the original pool balance, the subordinate bonds do not receive any principal and all principal is then paid to the senior bonds. In addition, if the subordinate percentage drops below 13.50% of current pool balance, the senior distribution amount will include all principal collections and the subordinate principal distribution amount will be zero. The subordinate bonds themselves benefit from a floor. When the total current balance of a given subordinate tranche plus the aggregate balance of the subordinate tranches that are junior to it amount to less than 2.50% of the original pool balance, those tranches do not receive principal distributions. Principal those tranches would have received are directed to pay more senior subordinate bonds pro-rata. There is no principal or interest advancing for loans that are 120 days or more delinquent. Any interest shortfall resulting from this provision will reduce the available distribution amount. Any interest shortfalls resulting from this feature will be fully subordinated and result in a principal loss to the most subordinate classes. 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. GE COMMERCIAL 2005-C2: Fitch Affirms 'Dsf' Rating on Cl. K Certs ---------------------------------------------------------------- Fitch Ratings has affirmed five classes of GE Commercial Mortgage Corporation (GECMC) commercial mortgage pass-through certificates series 2005-C2. KEY RATING DRIVERS The affirmations reflect pool concentration, as well as losses already incurred to the pool. Pool Concentration: The pool is highly concentrated with only three of the original 142 loans remaining, with the top two loans in special servicing (89% of the pool balance). As of the February 2017 distribution date, the pool's aggregate principal balance has been reduced by 98% to $32.2 million from $1.7 billion at issuance. Specially Serviced Loans: The top two loans are currently in special servicing (89%), both of which are real estate owned (REO). The largest loan in the pool is the Chatsworth Business Park loan (66.7% of the pool), which is secured by a 231,770 square foot (sf) office property in Chatsworth, CA. The loan had transferred to special servicing in March 2010 for imminent maturity default, followed shortly thereafter by the maturity of the loan in April 2010. The lender foreclosed on the property and the asset has been REO since August 2012. The asset was offered for sale in an October 2013 auction, but did not sell. The property further experienced cash flow issues in 2014 when the second largest tenant, Sanyo North America Corp. (previously 29% of the net rentable area [NRA]) vacated in 2014 prior to its February 2017 lease expiration. The property is currently 71% leased by a single tenant, County of LA, whose lease was recently extended to October 2023 from March 2016. According to the servicer, a replacement tenant has not yet been identified for the vacant space. The second largest loan in the pool is a specially serviced 44,264 sf retail center located in Salisbury, MD (22%). The loan had transferred to special servicing in May 2015 for maturity default after the borrower was unable to refinance the loan due to occupancy declines. The foreclosure sale took place in January 2016 and the asset has been REO since April 2016. Occupancy has remained relatively flat since transferring to special servicing, reporting at 79% per the December 2016 rent roll. The servicer was successful in negotiating an early lease renewal for the property's major tenant, Barnes & Noble (50% NRA), extending its lease to January 2023 from April 2018. The servicer's REO strategy is to lease up vacant space before marketing the asset for sale. The remaining loan in the pool is secured by 93,522 sf grocery anchored retail property in Phoenix, AZ (11.3%). The original grocery anchor had occupied approximately 66,000 sf (71% NRA) prior to its parent company filing for bankruptcy in May 2013. The lease was subsequently acquired by a new grocer entity, which reduced the footprint at the property to 47,585 sf (50%). The borrower has since been able re-tenant the vacated space, with current occupancy improving to 100% per the June 2016 rent roll compared to 79% in June 2015. The loan has remained current since issuance, and is fully amortizing with a May 1, 2025 maturity date. RATING SENSITIVITIES The Rating Outlook on class H is considered Stable due to high credit enhancement and downgrades are not expected. The rating has been capped at 'Bsf' based on the pool's significant concentration, with two of the three loans in special servicing and REO (89%). While a future upgrade is possible, it is unlikely given the concentrations. Further downgrade to the distressed classes J is possible should additional losses be realized. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third-party due diligence was provided or reviewed in relation to this rating. Fitch has affirmed the following ratings: -- $1.7 million class H at 'Bsf'; Outlook Stable; -- $21 million class J at 'Csf'; RE 70%; -- $9.3 million class K at 'Dsf'; RE 0%; -- $200,564 class L at 'Dsf'; RE 0%; -- $0 class M at 'Dsf'; RE 0%. The class A-1, A-2, A-3, A-AB, A-4, A-1A, A-J, B, C, D, E, F, and G certificates have paid in full. Fitch does not rate the class N, O, P and Q certificates. Fitch previously withdrew the ratings on the interest-only class X-C and X-P certificates. GMAC COMMERCIAL 1998-C2: Fitch Affirms 'Dsf' Rating on Cl. K Debt ----------------------------------------------------------------- Fitch Ratings has upgraded one class and affirmed four classes of GMAC Commercial Mortgage Securities, Inc.'s mortgage pass-through certificates, series 1998-C2 (GMAC 1998-C2). KEY RATING DRIVERS Stable Performance and High Credit Enhancement: The upgrade is based on the increase to credit enhancement from defeasance and additional paydown since Fitch's last rating action. As of the January 2017 distribution date, the pool's aggregate principal balance has been reduced by 98% to $51.8 million from $2.53 billion at issuance, and an additional $8.1 million or 0.3% since the last rating action. The affirmations are due to the stable to improved performance of the underlying collateral pool. Per servicer reporting, classes K and L are currently incurring interest shortfalls. Pool Concentration: Of the original 405 loans, 35 remain. The largest loan represents 30.6% of the pool. Due to the concentrated nature of the pool, Fitch performed a sensitivity analysis that grouped the remaining loans based on loan structural features, collateral quality and performance, which ranked them by their perceived likelihood of repayment. This includes defeased loans, fully amortizing loans, balloon loans, and Fitch Loans of Concern. The ratings reflect this sensitivity analysis. Defeasance and Fully Amortizing Loans: Nine loans, representing 31.5% of the pool are fully defeased and 12 loans, composing 9.9% of the pool, are fully amortizing loans with low leverage and high debt service coverage ratios. Maturity Schedule: The remaining non-specially serviced loans mature in 2017 (16.4%), 2018 (20.2%), 2021 (1.6%), and 2023 (60.4%). Fitch Loans of Concern: Six Loans (46.2%), including one specially serviced loan (1.5%). The largest loan in the pool, D'Amato Portfolio (30.6%), is a Fitch Loan of Concern because it was previously with the special servicer and modified. The loan is collateralized by a portfolio of 37 buildings consisting of 719,972 sf of retail and industrial space located mostly in Milford, CT. The loan had transferred to the special servicer in 2014 due to imminent default as a result of cash flow issues. The borrower received a modification that included a temporary conversion of the loan payments to interest-only, which expired in October 2016. The loan is currently on the watchlist due to deferred maintenance. As of October 2016, the occupancy of the portfolio was reported at 94%, which compares to historical occupancy rates that have fluctuated between a low of 82% and high of 95%. The loan is scheduled to mature in July 2023. The second largest Fitch Loan of Concern, Georgetown Plaza Shopping Center (6.9%), was also previously in special servicing and modified. The loan is secured by a 109,800 square foot (sf) retail center in Indianapolis, IN. The borrower was unable to refinance at the loan's original maturity of May 2008 partly due to environmental issues relating to a former tenant at the site. The special servicer worked with the borrower and insurance company to complete a remediation and disposition plan for environmental issues. The loan was modified and split into an A/B note structure ($3.6 million A note/$1.7 million B note) with the loan term extended to July 2017. The center's occupancy was 76%, as of June 2016, after several tenants backfilled vacant space during the first half of 2016. The servicer contacted the sponsor for a leasing update as the largest tenant's, (Value World) lease expires in April 2017. The loan is current based on the modified terms; however, Fitch assumed a full loss of the B note. The specially serviced loan, Stratford House (1.4%), is a 197 bed healthcare facility located in Chattanooga, TN. The loan transferred to the special servicer in November 2013 for payment default. The payments continue to be made but are late and the loan is categorized as 30 days delinquent. The sponsor indicates that the building could be sold in early 2017. The loan is scheduled to mature in June 2018. RATING SENSITIVITIES The Rating Outlook on class H is Stable as it is fully covered by defeased collateral. A full payoff is expected. Despite the high credit enhancement, the upgrade to class J is limited by increased concentration risk, low collateral quality and adverse selection of the remaining pool. Further upgrades are possible with increased credit enhancement and stable pool performance. Downgrades are possible with significant performance decline. Class K previously incurred realized losses; however, the full balance was reinstated due to additional recoveries on a disposed loan. The rating remains at 'Dsf' as ultimate recovery is unlikely given the expected losses and interest shortfalls. A portion of class L was also reinstated; however, it has been reduced due to realized losses. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third-party due diligence was provided or reviewed in relation to this rating action. Fitch has upgraded the following class: -- $19 million class J to 'BBBsf' from 'BBsf'; Outlook Stable. Fitch has affirmed the following classes: -- $11.8 million class H at 'AAAsf'; Outlook Stable; -- $19 million class K at 'Dsf'; RE 75%; -- $2 million class L at 'Dsf'; RE 0%; -- $0.0 million class M at 'Dsf'; RE 0%. Fitch does not rate classes N. Classes A-1, A-2, B, C, D, E, F, and G have paid in full. Class X was previously withdrawn. Class M and N have been reduced to $0 due to realized losses. GOLDENTREE LOAN: S&P Assigns Prelim. B- Rating on Class F Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Goldentree Loan Management US CLO 1 Ltd./Goldentree Loan Management US CLO 1 Inc.'s $569.60 million floating- and fixed-rate notes. The note issuance is a collateralized loan obligation transaction backed by primarily broadly syndicated speculative-grade senior secured term loans. The preliminary ratings are based on information as of March 7, 2017. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversified collateral pool, which consists primarily of broadly syndicated speculative-grade senior secured term loans that are governed by collateral quality tests. The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. The transaction's legal structure, which is expected to be bankruptcy remote. PRELIMINARY RATINGS ASSIGNED Goldentree Loan Management US CLO 1 Ltd./Goldentree Loan Management US CLO 1 Inc. Class Rating Amount (mil. $) X AAA (sf) 5.60 A AAA (sf) 367.50 B-1 AA (sf) 60.00 B-2 AA (sf) 12.00 C (deferrable) A (sf) 49.50 D (deferrable) BBB- (sf) 39.00 E (deferrable) BB- (sf) 22.50 F (deferrable) B- (sf) 13.50 Subordinated notes NR 40.00 NR--Not rated. GRAMERCY REAL 2007-1: S&P Lowers Rating on 4 Tranches to 'D' ------------------------------------------------------------ S&P Global Ratings lowered its ratings on the class A-2, A-3, B-FL, and B-FX notes from Gramercy Real Estate CDO 2007-1 Ltd. to 'D (sf)'. Gramercy Real Estate CDO 2007-1 Ltd. is a cash flow collateralized debt obligation backed by commercial mortgage-backed securities that closed in August 2007 and is managed by CW Capital Investments LLC. The rating actions follow S&P's review of the transaction's performance using data from the February 2017 trustee report. All assets in the portfolio except two were liquidated prior to the Dec. 29, 2016, distribution date, and the proceeds, after paying expenses, were used to pay down the notes. On the December 2016 payment date, the class A-1 notes were paid in full (and S&P subsequently discontinued the rating on the notes), and the class A-2 notes received partial paydowns. The remaining two assets were repaid in full, and on Feb. 22, 2017, their proceeds were used to pay down the class A-2 notes. However, those proceeds were not adequate to pay down the A-2 notes in full. Because there are no assets or cash remaining in the portfolio to cover the outstanding balance of the remaining classes, S&P has lowered the ratings on the class A-2, A-3, B-FL, and B-FX notes to 'D (sf)'. RATINGS LOWERED Gramercy Real Estate CDO 2007-1 Ltd. Rating Class To From A-2 D (sf) CCC- (sf) A-3 D (sf) CC (sf) B-FL D (sf) CC (sf) B-FX D (sf) CC (sf) GS MORTGAGE 2012-GCJ7: DBRS Confirms B(sf) Rating on Class F Debt ----------------------------------------------------------------- DBRS, Inc. upgraded the ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2012-GCJ7 (the Certificates) issued by GS Mortgage Securities Trust, Series 2012-GCJ7: -- Class B to AA (high) (sf) from AA (sf) -- Class C to A (sf) from A (low) (sf) DBRS has also confirmed the remaining Certificates: -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-AB at AAA (sf) -- Class A-S at AAA (sf) -- Class D at BBB (low) (sf) -- Class E at BB (sf) -- Class F at B (sf) -- Class X-A at AAA (sf) -- Class X-B at AAA (sf) DBRS does not rate the first loss piece, Class G. All trends are Stable. The rating upgrades reflect the healthy performance of the pool overall since issuance, with 69 loans remaining of the original 79 loans and a collateral reduction of 17.1% of the pool since issuance. Additionally, six loans, representing 7.2% of the pool, have fully defeased. Performance metrics are healthy, with a weighted-average (WA) in-place debt service coverage ratio (DSCR) of 1.69 times (x) and a WA debt yield of 12.6%, as based on the most recent year-end figures reported for the remaining loans in the pool. Those figures compare with the DBRS WA Term DSCR and DBRS WA Debt Yield for the remaining loans at issuance of 1.39x and 9.9%, respectively, indicating healthy cash flow growth overall since issuance. As of the February 2017 remittance, there are 15 loans on the servicer's watchlist, representing 20.7% of the pool balance, and one loan in special servicing, representing 1.7% of the pool. The majority of the loans on the watchlist are being monitored for relatively minor deferred maintenance items, with some monitored for cash flow declines. The loan in special servicing was transferred in October 2014 and is now real estate owned. Given the sharp performance and value declines for the collateral property since issuance, DBRS anticipates a loss will be incurred at resolution, currently projected to be contained to the unrated Class G Certificates. There are four loans scheduled to mature in the next 12 months, representing 4.0% of the pool. One of those loans is defeased, representing 0.9% of the pool. For the three non-defeased loans, the weighted-average DBRS refinance (Refi) DSCR is healthy at 1.53x; however, the largest maturing loan, Fifth Third Center (Prospectus ID#24, 1.2% of the pool), has a low DBRS Refi DSCR of 1.05x and a low occupancy rate for the collateral property, indicating a near-term refinance could be difficult. DBRS has applied that loan with an increased probability of default and will monitor for developments through the scheduled April 2017 maturity. JFIN REVOLVER: S&P Raises Ratings on Class E VFN Debt to BB+ ------------------------------------------------------------ S&P Global Ratings raised its ratings on 15 classes from three JFIN Revolver CLO transactions. S&P also removed these ratings from CreditWatch, where it had placed them with positive implications on Dec. 6, 2016. At the same time, S&P affirmed four ratings from the same transactions. The rating actions follow S&P's review of each transaction's performance using data from the January 2017 trustee reports. The upgrades reflect each transaction's improved overcollateralization (O/C) ratios because of senior note paydowns since our effective date rating actions. The affirmed ratings reflect S&P's belief that the credit support available is commensurate with the current rating levels. The transactions are collateralized loan obligations (CLOs), investing in revolvers or delayed-drawdown collateral obligations. The issuers for each of these transactions have hedged the large difference between the amount of interest generated off of the underlying collateral and the amount of interest due to the notes by entering into multiple interest rate caps, creating transaction-specific interest reserve accounts to pay any interest shortfalls on each transaction's respective class A and B notes, and issuing the class E in each transaction as a variable funding note (VFN), which will fund to cover any interest shortfall on the respective class C and D notes for that transaction. Currently, the respective interest rate caps are not generating proceeds for the transactions, as three-month LIBOR is not above the respective strike rates in the interest rate cap agreements. In the past, JFIN Revolver CLO 2015 Ltd. has used proceeds from the interest reserve account to cover payments to the class A and B notes; however, as of January 2017, both JFIN Revolver CLO 2015-II Ltd. and JFIN Revolver CLO Ltd. still had the original deposited balances remaining in their interest reserve accounts. A large benefit of the interest reserve accounts for each of these transactions is that on any determination date, after the transactions either de-lever to 20% of their effective date target par or the balances in the interest reserve accounts exceed the required interest reserve account amounts, pursuant to the transaction documents, the trustee may deposit all or a portion of the proceeds remaining in the interest reserve accounts into the principal collection accounts for each transaction. These proceeds, in turn, may be available to pay down the rated notes. On the January 2017 payment date, JFIN Revolver CLO Ltd. reclassified approximately $5.06 million of the $18.00 million in the interest reserve account as principal proceeds, in line with this feature. Due to the largely unfunded nature of the underlying collateral in each respective transaction, the interest proceeds generated by the underlying collateral have been insufficient to cover the interest payments due to the rated notes. Therefore, each transaction continues to fund its class E VFN notes to cover the interest payments on the class C and D notes, while the class E VFN notes continue to defer their interest payments. The upgrades reflect paydowns to each transaction's senior classes of notes since S&P's last rating actions at the respective transaction's effective date. These paydowns resulted in improved reported O/C ratios as compared with the ratios reported at the effective date: -- For JFIN Revolver CLO Ltd., the class A/B O/C ratio improved to 184.27% from 143.51% as of the May 2014 trustee report, while the class C O/C ratio improved to 147.06% from 127.59% and the class D O/C ratio improved to 129.39% from 118.69% over the same time period. -- For JFIN Revolver CLO 2015 Ltd., the class A/B O/C ratio improved to 160.53% from 139.86% as of the September 2015 trustee report, while the class C O/C ratio improved to 135.41% from 124.66% and the class D O/C ratio improved to 123.78% from 117.02% over the same time period. -- For JFIN Revolver CLO 2015-II Ltd., the class A/B O/C ratio improved to 154.55% from 141.13% as of the September 2015 trustee report, while the class C O/C ratio improved to 132.43% from 125.77% and the class D O/C ratio improved to 121.72% from 117.88% over the same time period. In addition, both the JFIN Revolver CLO 2015 Ltd. and JFIN Revolver CLO 2015-II Ltd. portfolios' credit quality have slightly improved since S&P's last rating actions, while the JFIN Revolver CLO Ltd. portfolio's credit quality has slightly deteriorated. This is evidenced by movement since the effective date in both the par balance of collateral obligations with ratings in the 'CCC' category and, if applicable, the par balance of defaulted obligations: -- JFIN Revolver CLO Ltd. reports $24.21 million in 'CCC' category collateral as of the January 2017 trustee report, compared with $3.25 million reported as of the May 2014 effective date trustee report. Over the same period, the par amount of defaulted collateral has increased to $7.20 million from zero. JFIN Revolver CLO 2015 Ltd. reports $8.42 million in 'CCC' category collateral as of the January 2017 trustee report, compared with $17.50 million reported as of the September 2015 effective date trustee report. The par balance of defaulted collateral reported in each trustee report was zero. JFIN Revolver CLO 2015-II Ltd. reports $7.00 million in 'CCC' category collateral as of the January 2017 trustee report, compared with $9.50 million reported as of the September 2015 effective date trustee report. The par balance of defaulted collateral reported in each trustee report was zero. Each transaction has benefited from a drop in their weighted average life due to the underlying collateral's seasoning. S&P's rating actions are largely driven by applying the largest obligor default test from its corporate collateralized debt obligation criteria. The test is intended to address event and model risks that might be present in rated transactions. Despite cash flow runs that suggested higher ratings, the largest obligor default test constrained S&P's ratings on these transactions: -- JFIN Revolver CLO Ltd., for the class C and D notes at 'AA+ (sf)' and 'A+ (sf)', respectively. The top five largest obligors in the JFIN Revolver CLO Ltd. transaction currently represent approximately 32.47% of the portfolio's performing collateral balance. -- JFIN Revolver CLO 2015 Ltd., for the class C and D notes at 'A+ (sf)' and 'BBB+ (sf)', respectively. The top five largest obligors in the JFIN Revolver CLO 2015 Ltd. transaction currently represent approximately 31.34% of the portfolio's performing collateral balance. -- JFIN Revolver CLO 2015-II Ltd., for the class C and D notes at 'A+ (sf)' and 'BBB+ (sf)', respectively. The top five largest obligors in the JFIN Revolver CLO 2015-II Ltd. transaction currently represent approximately 24.52% of the portfolio's performing collateral balance. Although S&P's cash flow analysis indicated higher ratings for each of these transaction's class E VFN notes, its rating actions considered that these notes continue to fund interest shortfalls on the respective class C and D notes from each transaction, and that the notes are not likely to receive any interest or principal payments until each of the senior notes is paid down in full. S&P will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and will take rating actions as S&P deems necessary. RATINGS RAISED AND REMOVED FROM CREDITWATCH POSITIVE JFIN Revolver CLO Ltd. Rating Class To From B AAA (sf) AA (sf)/Watch Pos C AA+ (sf) A (sf)/Watch Pos D A+ (sf) BBB (sf)/Watch Pos E VFN BB+ (sf) BB (sf)/Watch Pos JFIN Revolver CLO 2015 Ltd. Rating Class To From B-1 AAA (sf) AA (sf)/Watch Pos B-F AAA (sf) AA (sf)/Watch Pos C A+ (sf) A (sf)/Watch Pos D BBB+ (sf) BBB (sf)/Watch Pos E VFN BB+ (sf) BB (sf)/Watch Pos Combo AAA (sf) AA (sf)/Watch Pos JFIN Revolver CLO 2015-II Ltd. Rating Class To From B-1 AAA (sf) AA (sf)/Watch Pos B-F AAA (sf) AA (sf)/Watch Pos C A+ (sf) A (sf)/Watch Pos D BBB+ (sf) BBB (sf)/Watch Pos E VFN BB+ (sf) BB (sf)/Watch Pos RATINGS AFFIRMED JFIN Revolver CLO Ltd. Class Rating A AAA (sf) JFIN Revolver CLO 2015 Ltd. Class Rating A-1 AAA (sf) A-F AAA (sf) JFIN Revolver CLO 2015-II Ltd. Class Rating A AAA (sf) VFN--Variable funding note. JP MORGAN 2003-CIBC6: Fitch Hikes Rating on Class M Debt to 'Dsf' ----------------------------------------------------------------- Fitch Ratings has upgraded three and affirmed five classes of JPM Morgan Chase Commercial Mortgage Securities Corp. commercial mortgage pass-through certificates series 2003-CIBC6. KEY RATING DRIVERS Pool Concentration: There are only 16 loans outstanding as of the February 2017 remittance. Three of the remaining loans are cross-collateralized and represent 8.4% of the pool combined, providing further concentration among the outstanding assets. Defeasance: The two most senior classes are fully covered by defeased collateral, which represents 42.1% of the current pool balance. Class H is partially covered by defeased collateral. Maturity Outlook: Two loans representing 23.4% of the pool are scheduled to mature in 2017 and seven loans representing 21.9% of the pool are scheduled to mature in 2018. While there are some concerns regarding upcoming tenant rollover and cash flow volatility, all of these loans are considered to be low leveraged. Tenant Rollovers: Six loans representing 27.2% of the pool are secured by properties with tenant rollover ahead of loan maturity. While the potential vacancy is negligible for some of these properties, the pool's concentration magnifies event risk for individual loans. Two of these six loans were previously in special servicing. RATING SENSITIVITIES The Outlook for class G was revised to Stable from Positive following the upgrade, and the Outlook for classes F and H remains Stable. Classes F and G are fully covered by defeased collateral and class H is 42.9% covered by defeased collateral. The Outlooks for classes J and K have been revised to Positive from Stable to reflect the expectation that loans will continue to repay and the pool to amortize, which could justify a future upgrade. Downgrades are possible should pool performance decline or further losses be realized. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third party due diligence was provided or reviewed in relation to this rating action. Fitch has upgraded the following ratings: -- $13 million class G to 'AAAsf' from 'Asf', Outlook revised to Stable from Positive; -- $15.6 million class H to 'AAAsf' from 'BBBsf', Outlook Stable; -- $5.2 million class J to 'Asf' from 'BBsf', Outlook revised to Positive from Stable. Fitch has affirmed the following classes: -- $1.5 million class F at 'AAAsf', Outlook Stable; -- $7.8 million class K at 'Bsf', Outlook revised to Positive from Stable; -- $5.2 million class L at 'CCCsf', RE 95%; -- $1.8 million class M at 'Dsf', RE 0%; -- $0 class N at 'Dsf', RE 0%. The class A-1, A-2, B, C, D, E and X-2 certificates have been paid in full. Fitch does not rate the class NR certificate. Fitch previously withdrew the rating on the interest-only class X-1 certificate. JP MORGAN 2004-CIBC10: S&P Raises Rating on Cl. E Certs to B+ ------------------------------------------------------------- S&P Global Ratings raised its ratings on four classes of commercial mortgage pass-through certificates from JPMorgan Chase Commercial Mortgage Securities Corp.'s series 2004-CIBC10, a U.S. commercial mortgage-backed securities (CMBS) transaction. S&P's rating actions follow its analysis of the transaction, primarily using its criteria for rating U.S. and Canadian CMBS transactions, which included a review of the credit characteristics and performance of the remaining loans in the pool, the transaction's structure, and the liquidity available to the trust. S&P raised its ratings on classes B, C, D, and E to reflect its expectation of the available credit enhancement for these classes, which S&P believes is greater than its most recent estimate of necessary credit enhancement for the respective rating levels. The upgrades also follow S&P's views regarding the current and future performance of the transaction's collateral, the available liquidity support, and the trust balance's significant reduction. Classes D and E were previously lowered to 'D (sf)' because of accumulated interest shortfalls that S&P expected to remain outstanding for a prolonged period of time. S&P raised its ratings on these classes from 'D (sf)' because the accumulated interest shortfalls have been repaid in full, and the classes have been paying their full accrued interest for seven and six months, respectively. Additionally, at this time, S&P do not believe that a further default of these certificate classes is virtually certain. While available credit enhancement levels suggest further positive rating movements on classes C, D, and E, S&P's analysis also considered the significant single tenant exposure at properties securing several large loans remaining in the transaction, including 65-75 Lower Welden Street ($16.1 million, 14.6%), Universal Technical Institute ($10.2 million, 9.2%), Foss Manufacturing ($9.2 million, 8.4%), Dick's Sporting Goods-Greenwood ($2.9 million, 2.7%), and Federal Express-Buffalo ($2.9 million, 2.6%). TRANSACTION SUMMARY As of the Feb. 13, 2017, trustee remittance report, the collateral pool balance was $110.2 million, which is 5.6% of the pool balance at issuance. The pool currently includes 23 loans, down from 199 loans at issuance. One loan ($2.3 million, 2.1%) is with the special servicer, two ($2.6 million, 2.3%) are defeased, and five ($10.2 million, 9.3%) are on the master servicer's watchlist. The master servicer, Berkadia Commercial Mortgage LLC, reported financial information for 100.0% of the nondefeased loans in the pool, of which 35.8% was year-end 2015 data, and the remainder was partial- or year-end 2016 data. S&P calculated a 1.34x S&P Global Ratings weighted average debt service coverage (DSC) and 51.2% S&P Global Ratings weighted average loan-to-value (LTV) ratio using a 7.89% S&P Global Ratings weighted average capitalization rate. The DSC, LTV, and capitalization rate calculations exclude the defeased loans. The top 10 nondefeased loans have an aggregate outstanding pool trust balance of $89.0 million (80.7%). Using adjusted servicer-reported numbers, S&P calculated an S&P Global Ratings weighted average DSC and LTV of 1.36x and 53.5%, respectively, for the top 10 nondefeased loans. To date, the transaction has experienced $149.2 million in principal losses, or 7.6% of the original pool trust balance. S&P expects losses to reach approximately 7.7% of the original balance based on losses incurred to date and additional losses S&P expects upon the resolution of the specially serviced loan. CREDIT CONSIDERATIONS As of the Feb. 13, 2017, trustee remittance report, one loan in the pool was with the special servicer, LNR Partners LLC (LNR). The 100 South Shore Drive loan has a reported exposure of $2.6 million. The loan is secured by a 42,758-sq.-ft. office property in East Haven, Conn. The loan was transferred to the special servicer in October 2014 because of maturity default. LNR has filed for foreclosure on the property. The reported DSC as of year-end 2015 was 1.05x, and the reported occupancy as of Sept. 30, 2016, was about 33%. An appraisal reduction amount of $1.8 million is in effect against the loan. S&P expects a significant loss (60% or greater) upon this loan's eventual resolution. RATINGS RAISED JPMorgan Chase Commercial Mortgage Securities Corp. Commercial mortgage pass-through certificates series 2004-CIBC10 Rating Class To From B AA+ (sf) BBB (sf) C A+ (sf) B+ (sf) D BB+ (sf) D (sf) E B+ (sf) D (sf) JP MORGAN 2010-C1: Fitch Lowers Rating on Class D Notes to 'CCsf' ----------------------------------------------------------------- Fitch Ratings has placed two classes of JP Morgan Chase Commercial Mortgage Securities Trust, commercial mortgage pass through certificates, series 2010-C1 on Rating Watch Negative. Fitch has also affirmed seven classes and downgraded one distressed class based on probable default. KEY RATING DRIVERS The Rating Watch Negative (RWN) placement of classes B and C is due to continued performance uncertainty, high volatility and increasing concentration risk surrounding the largest loan in the pool, Gateway Salt Lake, which now represents approximately 24% of the total collateral pool. Gateway Salt Lake is a 623,972 square foot (sf) open-air lifestyle center located in Salt Lake City, UT. Presently, major tenants include Gateway Theatres (11.9% of net rentable area [NRA]), Barnes & Noble (4.1%) and The Depot (4.0%). Dick's Sporting Goods, a former anchor tenant that occupied 14.5% of the NRA, vacated in January 2017 upon lease expiration. The Gateway Salt Lake loan transferred to the special servicer in August 2015 for imminent default following several years of declining performance as a result of newer competition in the market. In mid-2016, the servicer negotiated a loan assumption and write-down of debt. The corrected loan returned to the master servicer in May 2016 and has remained current under its new owner, Vestar, an operator of retail and entertainment destinations in the Western U.S. Vestar is in the process of repositioning the property with a focus on entertainment tenants. Although a near-term decline in performance was expected (per the servicer) as the new sponsor introduced their business plan to the center, stabilizing the property may become increasingly challenging as the retail sector weakens. Store closures, declining sales and review of brick and mortar exposure are items of great focus for retailers as they navigate through a softening market and adapt to changing consumer habits. Since loan modification in April 2016, property performance has continued to decline with decreasing occupancy and rental revenue. As of January 2017, the property was 68% occupied (54.2% excluding Dick's lease), compared to 75% a year ago. The servicer reported year-to-date third quarter 2016 debt service coverage ratio, on a net operating income basis, was 0.52x, down from 0.70x at year-end 2015. The loan is currently on the servicer watchlist due to poor financial performance. In addition to lower occupancy and cash flow, many tenants at the center have co-tenancy clauses in their leases; these tenants are negotiating with the sponsor. Fitch will work to resolve the Rating Watch assignments after receiving full-year 2016 financials and a clearer picture of tenancy at the center going forward. The downgrade of class D reflects a greater certainty of losses due to the exposure of the Aquia Office Building asset (5.3% of pool), which became real-estate owned in August 2016, exceeding the credit enhancement to this class. RATING SENSITIVITIES The Negative Outlooks on classes A-2, A-3 and X-A express Fitch's ongoing concerns with current transaction performance; however, the Gateway remains a performing loan and liquidation is not expected in the near term; the property has the potential to improve should the sponsor successfully increase occupancy per their repositioning plan. While recovery of 'AAAsf' proceeds is expected at this time, should the borrower's business plan fail to materialize and the loan re-transfer to special servicing, the 'AAAsf' rated classes may be susceptible to future interest shortfalls. The placement of classes B and C on RWN could result in downgrades of multiple notches or categories should property performance fail to stabilize. The distressed classes reflect either low recovery prospects or already realized losses (in the cases of the 'Dsf' rated classes). Upgrades are unlikely given pool concerns and concentration. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third-party due diligence was provided or reviewed in relation to this rating action. Fitch has placed the following classes on Rating Watch Negative: -- $16.1 million class B 'Asf'; -- $26.9 million class C 'BBB-sf'. In addition, Fitch has downgraded the following class: -- $14.3 million class D to 'CCsf' from 'CCCsf'; RE 50%. Fitch has affirmed the following classes and revised Rating Outlooks as indicated: -- $97 million class A-2 at 'AAAsf'; Outlook to Negative from Stable; -- $61.5 million class A-3 at 'AAAsf'; Outlook to Negative from Stable; -- Interest-only class X-A at 'AAAsf'; Outlook to Negative from Stable; -- $8.9 million class E at 'Dsf'; RE 0%; -- $0 class F at 'Dsf'; RE 0%; -- $0 class G at 'Dsf'; RE 0%; -- $0 class H at 'Dsf'; RE 0%. JP MORGAN 2017-JP5: Fitch to Rate Class E Certs 'BB-sf' ------------------------------------------------------- Fitch Ratings has issued a presale report on J.P. Morgan Chase Commercial Securities Trust 2017-JP5 commercial mortgage pass-through certificates. Fitch expects to rate the transaction and assign Rating Outlooks: -- $43,930,000 class A-1 'AAAsf'; Outlook Stable; -- $82,828,000 class A-2 'AAAsf'; Outlook Stable; -- $38,000,000 class A-3 'AAAsf'; Outlook Stable; -- $135,000,000 class A-4 'AAAsf'; Outlook Stable; -- $396,306,000 class A-5 'AAAsf'; Outlook Stable; -- $69,023,000 class A-SB 'AAAsf'; Outlook Stable; -- $836,131,000b class X-A 'AAAsf'; Outlook Stable; -- $51,917,000b class X-B 'AA-sf'; Outlook Stable; -- $56,015,000b class X-C 'A-sf'; Outlook Stable; -- $71,044,000class A-S 'AAAsf'; Outlook Stable; -- $51,917,000 class B 'AA-sf'; Outlook Stable; -- $56,015,000 class C 'A-sf'; Outlook Stable; -- $36,888,000a class D 'BBBsf'; Outlook Stable; -- $27,325,000ac class D-RR 'BBB-sf'; Outlook Stable; -- $28,691,000ac class E-RR 'BB-sf'; Outlook Stable. The following classes are not expected to be rated: -- $17,761,000ac class F-RR; -- $38,254,046ac class NR-RR. (a) Privately placed and pursuant to Rule 144A. (b) Notional amount and interest-only. (c) Horizontal credit risk retention interest representing at least 5% of the estimated fair value of all classes of regular certificates issued by the issuing entity. The certificates represent the beneficial ownership interest in the trust, primary assets of which are 43 loans secured by 59 commercial properties having an aggregate principal balance of $1,092,982,047 as of the cut-off date. The loans were contributed to the trust by JP Morgan Chase Bank, National Association and Starwood Mortgage Funding VI LLC. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 87.4% of the properties by balance, cash flow analysis of 92.9%, and asset summary reviews on 100% of the pool. KEY RATING DRIVERS Lower Fitch Leverage: The pool's leverage statistics are slightly better than those of other recent Fitch-rated, fixed-rate multiborrower transactions. The pool's Fitch DSCR of 1.20x is slightly more favorable than the YTD 2017 average of 1.17x and similar to the 2016 average of 1.21x. The pool's Fitch LTV of 102.1% is better than average when compared with the YTD 2017 and 2016 averages of 106.1% and 105.2%, respectively. High Percentage of Investment-Grade Credit Opinion Loans: Two loans representing 14.6% of the pool have investment-grade credit opinions. The proportion of investment-grade credit opinion loans in this securitization exceeds the YTD 2017 and 2016 average concentrations of 5.8% and 8.4%, respectively. The two largest loans in the pool, Hilton Hawaiian Village (7.3% of the pool) and Moffett Gateway (7.3% of the pool), both have investment-grade credit opinions of 'BBB-sf*' on a stand-alone basis. The two loans have a weighted average Fitch DSCR and Fitch LTV of 1.50x and 64.0%, respectively. Concentrated Pool by Loan Size: The largest 10 loans account for 56.6% of the pool, which is above the YTD 2017 and 2016 averages of 50.4% and 54.8%, respectively. The pool's loan concentration index (LCI) is 427, which is above the YTD 2017 average of 348 and the 2016 average of 422. RATING SENSITIVITIES For this transaction, Fitch's net cash flow (NCF) was 13.5% below the most recent year's net operating income (NOI) for properties for which a full-year NOI was provided, excluding properties that were stabilizing during this period. Unanticipated further declines in property-level NCF could result in higher defaults and loss severities on defaulted loans and in potential rating actions on the certificates. Fitch evaluated the sensitivity of the ratings assigned to the JPMCC 2017-JP5 certificates and found that the transaction displays average sensitivities to further declines in NCF. In a scenario in which NCF declined a further 20% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'A-sf' could result. In a more severe scenario, in which NCF declined a further 30% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB+sf' could result. LCM XXIV: 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 LCM XXIV Ltd. Moody's rating action is: US$387,000,000 Class A Senior Floating Rate Notes due 2030 (the "Class A Notes"), Assigned (P)Aaa (sf) US$63,000,000 Class B Senior Floating Rate Notes due 2030 (the "Class B Notes"), Assigned (P)Aa2 (sf) US$45,000,000 Class C Deferrable Mezzanine Floating Rate Notes due 2030 (the "Class C Notes"), Assigned (P)A2 (sf) US$33,000,000 Class D Deferrable Mezzanine Floating Rate Notes due 2030 (the "Class D Notes"), Assigned (P)Baa3 (sf) US$24,000,000 Class E Deferrable Mezzanine 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 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. LCM XXIV is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated first lien senior secured corporate loans. At least 90% of the portfolio must consist of senior secured loans that are secured by a valid first priority perfected security interest and eligible investments, and up to 10% of the portfolio may consist of second lien loans and unsecured loans. Moody's expects the portfolio to be approximately 75% ramped as of the closing date. LCM Asset 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 5.25 year reinvestment period. Thereafter, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets, subject to certain restrictions. In addition to the Rated Notes, the Issuer will issue 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): 2785 Weighted Average Spread (WAS): 3.55% Weighted Average Coupon (WAC): 7.0% Weighted Average Recovery Rate (WARR): 48.0% Weighted Average Life (WAL): 9.5 years. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in October 2016. Factors That Would Lead to 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 2785 to 3203) 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 2785 to 3621) 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 LENDMARK FUNDING 2016-A: Fitch Affirms 'Bsf' Rating on Cl. C Notes ------------------------------------------------------------------ Fitch Ratings has affirmed the notes issued from Lendmark Funding Trust 2016-A as follows: -- Class A notes at 'BBB+sf'; Outlook Stable; -- Class B notes at 'BBsf'; Outlook Stable; -- Class C notes at 'Bsf'; Outlook Stable. The transaction is in the middle of its two-year revolving period, and the key performance drivers such as defaults, prepayments and credit enhancement levels have been in line with Fitch's initial expectations. KEY RATING DRIVERS Adequate Collateral Quality: The LFT 2016-A collateral pool comprises secured and unsecured fixed rate personal loans and sales finance contracts originated by the company based on its underwriting guidelines. The portfolio will also include renewed loans that will replace or refinance the existing loans. Additional eligible loans will be added to the portfolio during the revolving period ending on Jan. 31, 2018. Fitch's base case cumulative default rate remains unchanged from closing at 18.4%, and the stress level default rates are 50% for 'BBB+sf', 32.9% for 'BBsf', and 23.9% for 'Bsf'. Sufficient Credit Enhancement: Credit enhancement (CE) is provided by overcollateralization (OC) and excess spread. An OC of approximately $22.6 million, or 11.3% of the pool balance, will be maintained for the life of the transaction. The CE remains unchanged at 34.9% for the class A, 18.8% for the class B, and 11.3% for the class C notes. Trust performance and other triggers based on pool composition and servicing risks are used to provide additional protection for investors should portfolio composition, loan performance or servicer's financial conditions deteriorate (each an early amortization event) during the two-year revolving period. When an early amortization event occurs, the revolving period will end and note amortization will begin. Adequate Liquidity Support: Liquidity is provided by a non-declining reserve account of $2,003,274.03, providing coverage for trust expenses and note interest of over one month during the revolving period, and longer during the amortization period. The loan products in the trust collateral pool have exhibited high levels of prepayments historically. Since closing, the average annualized prepayment rate of the LFT 2016-A pool is approximately 53% including renewals, or 17% excluding renewals Acceptable Servicing Capabilities: Lendmark Financial Services LLC. (Lendmark) will service 100% of the portfolio. Lendmark has approximately 20 years of history in servicing the loan products included in the trust collateral pool. Wells Fargo Bank N.A. (Wells Fargo) is the back-up servicer. The backup servicer is required to exercise commercially reasonable efforts within 30 days but in no event more than 60 days to assume all servicing responsibilities upon receipt of a servicing transfer notice from the trustee. Fitch considers both parties acceptable servicers. Rating Cap: A rating cap of 'BBBsf' category is applied to this transaction. The primary reasons for the cap included Lendmark's subprime borrower base, its decentralized origination and servicing business model, and the transaction's two-year revolving structure. RATING SENSITIVITIES As Fitch's base case default proxy is derived primarily from historical collateral performance, actual performance may differ from the expected performance, resulting in higher loss levels than the base case and lower loss coverage levels. Depending on the extent of the decline in the coverage, certain note ratings may be susceptible to potential negative rating actions. Rating sensitivity results should only be considered as one potential outcome, given that the transaction is exposed to multiple dynamic risk factors. Rating sensitivity should not be used as an indicator of future rating performance. Holding all other inputs constant, a 50% increase in base case defaults resulted in a downgrade of at least two rating categories. 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. MADISON PARK V: Moody's Affirms Ba1(sf) Rating on Class D Notes --------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Madison Park Funding V, Ltd.: US$43,000,000 Class B Deferrable Floating Rate Notes Due 2021, Upgraded to Aa1 (sf); previously on May 28, 2015, Upgraded to A1 (sf) US$22,000,000 Class C Deferrable Floating Rate Notes Due 2021, Upgraded to A3 (sf); previously on May 28, 2015, Upgraded to Baa1 (sf) Moody's also affirmed the ratings on the following notes: US$447,000,000 Class A-1a Floating Rate Notes Due 2021 (current outstanding balance of $165,830,506), Affirmed Aaa (sf); previously on May 28, 2015 Affirmed Aaa (sf) US$49,500,000 Class A-1b Floating Rate Notes Due 2021, Affirmed Aaa (sf); previously on May 28, 2015 Affirmed Aaa (sf) US$28,500,000 Class A-2 Floating Rate Notes Due 2021, Affirmed Aaa (sf); previously on May 28, 2015 Upgraded to Aaa (sf) US$23,500,000 Class D Deferrable Floating Rate Notes Due 2021, Affirmed Ba1 (sf); previously on May 28, 2015 Affirmed Ba1 (sf) Madison Park Funding V, Ltd, issued in April 2007, is a collateralized loan obligation (CLO) backed primarily by a portfolio of senior secured loans. The transaction's reinvestment period ended in May 2014. RATINGS RATIONALE These rating actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization ratios since October 2016. The Class A-1a notes have been paid down by approximately 41% or $114 million since that time. Based on the trustee's February 2017 report, the over-collateralization (OC) ratios for the Class A, Class B, Class C and Class D notes are reported at 148.6%, 130.6%, 123.0%, and 115.8% respectively, versus October 2016 levels of 142.8%, 127.5%, 120.9%, and 114.5%, respectively. The trustee's current OC ratios do not reflect $68.2 million paid to the Class A-1a Notes on the February 27, 2017 payment date. In addition, the credit quality of the portfolio has remained stable since October 2016. Nevertheless, the deal has increased exposure to securities that mature after the maturity of the notes (long-dated assets), through amend-to-extend activities. Based on Moody's calculation, long-dated assets currently make up approximately $101.7 million or 27.7% of the portfolio. These investments could expose the notes to market risk in the event of liquidation when the notes mature. Despite the increase in the OC ratio of the Class D notes, Moody's affirmed the notes' rating owing to market risk stemming from the exposure to these long-dated assets. In its base case, Moody's assumed the long-dated assets are liquidated at an average price of 70.5% at the maturity of the notes. The liquidation price is low because about $69 million, or 68.3% of the long-dated assets mature beyond one year after the maturity of the notes and are modeled at a liquidation value of 70% or below based on Moody's CLO methodology. Although the market values of these long-dated assets are currently reasonably high, they could change quickly under distressed market conditions. In consideration of the current market values, however, Moody's also evaluated in its analysis scenarios when the long-dated assets are liquidated at higher average prices. Methodology Used for the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in October 2016. Please see the Rating Methodologies page on www.moodys.com for a copy of this methodology. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: This transaction is subject to a number of factors and circumstances that could lead to either an upgrade or downgrade of the ratings: 1) Macroeconomic uncertainty: CLO performance is subject to a) uncertainty about credit conditions in the general economy and b) the large concentration of upcoming speculative-grade debt maturities, which could make refinancing difficult for issuers. 2) Collateral Manager: Performance can also be affected positively or negatively by a) the manager's investment strategy and behavior and b) differences in the legal interpretation of CLO documentation by different transactional parties owing to embedded ambiguities. 3) Collateral credit risk: A shift towards collateral of better credit quality, or better credit performance of assets collateralizing the transaction than Moody's current expectations, can lead to positive CLO performance. Conversely, a negative shift in credit quality or performance of the collateral can have adverse consequences for CLO performance. 4) Deleveraging: An important source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will continue and at what pace. Deleveraging of the CLO could accelerate owing to high prepayment levels in the loan market and/or collateral sales by the manager, which could have a significant impact on the notes' ratings. Note repayments that are faster than Moody's current expectations will usually have a positive impact on CLO notes, beginning with those with the highest payment priority. 5) Recovery of defaulted assets: Fluctuations in the market value of defaulted assets reported by the trustee and those that Moody's assumes as having defaulted could result in volatility in the deal's OC levels. Further, the timing of recoveries and whether a manager decides to work out or sell defaulted assets create additional uncertainty. Realization of higher than assumed recoveries would positively impact the CLO. 6) Long-dated assets: The presence of assets that mature after the CLO's legal maturity date exposes the deal to liquidation risk on those assets. This risk is borne first by investors with the lowest priority in the capital structure. Moody's assumes that the terminal value of an asset upon liquidation at maturity will be equal to the lower of an assumed liquidation value (depending on the extent to which the asset's maturity lags that of the liabilities) or the asset's current market value. The deal's increased exposure owing to amendments to loan agreements extending maturities continues. In light of the deal's sizable exposure to long-dated assets, which increases its sensitivity to the liquidation assumptions in the rating analysis, Moody's ran scenarios using a range of liquidation value assumptions. However, actual long-dated asset exposures and prevailing market prices and conditions at the CLO's maturity will drive the deal's actual losses, if any, from long-dated assets. 7) Post-Reinvestment Period Trading: Subject to certain requirements, the deal can reinvest certain proceeds after the end of the reinvestment period, and as such the manager has the ability to erode some of the collateral quality metrics to the covenant levels. Such reinvestment could affect the transaction either positively or negatively. In addition to the base case analysis, Moody's also conducted sensitivity analyses to test the impact of a number of default probabilities on the rated notes relative to the base case modeling results, which may be different from the current public ratings of the notes. Below is a summary of the impact of different default probabilities (expressed in terms of WARF) on all of the rated notes (by the difference in the number of notches versus the current model output, for which a positive difference corresponds to lower expected loss): Moody's Adjusted WARF - 20% (2190) Class A-1a: 0 Class A-1b: 0 Class A-2: 0 Class B: +1 Class C: +2 Class D: +2 Moody's Adjusted WARF + 20% (3284) Class A-1a: 0 Class A-1b: 0 Class A-2: 0 Class B: -2 Class C: -2 Class D: -1 Loss and Cash Flow Analysis: Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. In its base case, Moody's analyzed the collateral pool as having a performing par and principal proceeds balance of $390.9 million, defaulted par of $6.3 million, a weighted average default probability of 14.74% (implying a WARF of 2737), a weighted average recovery rate upon default of 50.19%, a diversity score of 40 and a weighted average spread of 3.37% (before accounting for LIBOR floors). Moody's incorporates the default and recovery properties of the collateral pool in cash flow model analysis where they are subject to stresses as a function of the target rating on each CLO liability reviewed. Moody's derives the default probability from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate for future defaults is based primarily on the seniority of the assets in the collateral pool. Moody's generally applies recovery rates for CLO securities as published in "Moody's Approach to Rating SF CDOs". In some cases, alternative recovery assumptions may be considered based on the specifics of the analysis of the CLO transaction. In each case, historical and market performance and the collateral manager's latitude for trading the collateral are also factors. MADISON PARK V: Moody's Affirms Ba1(sf) Rating on Class D Notes --------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Madison Park Funding V, Ltd.: US$43,000,000 Class B Deferrable Floating Rate Notes Due 2021, Upgraded to Aa1 (sf); previously on May 28, 2015, Upgraded to A1 (sf) US$22,000,000 Class C Deferrable Floating Rate Notes Due 2021, Upgraded to A3 (sf); previously on May 28, 2015, Upgraded to Baa1 (sf) Moody's also affirmed the ratings on the following notes: US$447,000,000 Class A-1a Floating Rate Notes Due 2021 (current outstanding balance of $165,830,506), Affirmed Aaa (sf); previously on May 28, 2015 Affirmed Aaa (sf) US$49,500,000 Class A-1b Floating Rate Notes Due 2021, Affirmed Aaa (sf); previously on May 28, 2015 Affirmed Aaa (sf) U.S. $28,500,000 Class A-2 Floating Rate Notes Due 2021, Affirmed Aaa (sf); previously on May 28, 2015 Upgraded to Aaa (sf) US$23,500,000 Class D Deferrable Floating Rate Notes Due 2021, Affirmed Ba1 (sf); previously on May 28, 2015 Affirmed Ba1 (sf) Madison Park Funding V, Ltd, issued in April 2007, is a collateralized loan obligation (CLO) backed primarily by a portfolio of senior secured loans. The transaction's reinvestment period ended in May 2014. RATINGS RATIONALE These rating actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization ratios since October 2016. The Class A-1a notes have been paid down by approximately 41% or $114 million since that time. Based on the trustee's February 2017 report, the over-collateralization (OC) ratios for the Class A, Class B, Class C and Class D notes are reported at 148.6%, 130.6%, 123.0%, and 115.8% respectively, versus October 2016 levels of 142.8%, 127.5%, 120.9%, and 114.5%, respectively. The trustee's current OC ratios do not reflect $68.2 million paid to the Class A-1a Notes on the February 27, 2017 payment date. In addition, the credit quality of the portfolio has remained stable since October 2016. Nevertheless, the deal has increased exposure to securities that mature after the maturity of the notes (long-dated assets), through amend-to-extend activities. Based on Moody's calculation, long-dated assets currently make up approximately $101.7 million or 27.7% of the portfolio. These investments could expose the notes to market risk in the event of liquidation when the notes mature. Despite the increase in the OC ratio of the Class D notes, Moody's affirmed the notes' rating owing to market risk stemming from the exposure to these long-dated assets. In its base case, Moody's assumed the long-dated assets are liquidated at an average price of 70.5% at the maturity of the notes. The liquidation price is low because about $69 million, or 68.3% of the long-dated assets mature beyond one year after the maturity of the notes and are modeled at a liquidation value of 70% or below based on Moody's CLO methodology. Although the market values of these long-dated assets are currently reasonably high, they could change quickly under distressed market conditions. In consideration of the current market values, however, Moody's also evaluated in its analysis scenarios when the long-dated assets are liquidated at higher average prices. Methodology Used for the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in October 2016. Please see the Rating Methodologies page on www.moodys.com for a copy of this methodology. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: This transaction is subject to a number of factors and circumstances that could lead to either an upgrade or downgrade of the ratings: 1) Macroeconomic uncertainty: CLO performance is subject to a) uncertainty about credit conditions in the general economy and b) the large concentration of upcoming speculative-grade debt maturities, which could make refinancing difficult for issuers. 2) Collateral Manager: Performance can also be affected positively or negatively by a) the manager's investment strategy and behavior and b) differences in the legal interpretation of CLO documentation by different transactional parties owing to embedded ambiguities. 3) Collateral credit risk: A shift towards collateral of better credit quality, or better credit performance of assets collateralizing the transaction than Moody's current expectations, can lead to positive CLO performance. Conversely, a negative shift in credit quality or performance of the collateral can have adverse consequences for CLO performance. 4) Deleveraging: An important source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will continue and at what pace. Deleveraging of the CLO could accelerate owing to high prepayment levels in the loan market and/or collateral sales by the manager, which could have a significant impact on the notes' ratings. Note repayments that are faster than Moody's current expectations will usually have a positive impact on CLO notes, beginning with those with the highest payment priority. 5) Recovery of defaulted assets: Fluctuations in the market value of defaulted assets reported by the trustee and those that Moody's assumes as having defaulted could result in volatility in the deal's OC levels. Further, the timing of recoveries and whether a manager decides to work out or sell defaulted assets create additional uncertainty. Realization of higher than assumed recoveries would positively impact the CLO. 6) Long-dated assets: The presence of assets that mature after the CLO's legal maturity date exposes the deal to liquidation risk on those assets. This risk is borne first by investors with the lowest priority in the capital structure. Moody's assumes that the terminal value of an asset upon liquidation at maturity will be equal to the lower of an assumed liquidation value (depending on the extent to which the asset's maturity lags that of the liabilities) or the asset's current market value. The deal's increased exposure owing to amendments to loan agreements extending maturities continues. In light of the deal's sizable exposure to long-dated assets, which increases its sensitivity to the liquidation assumptions in the rating analysis, Moody's ran scenarios using a range of liquidation value assumptions. However, actual long-dated asset exposures and prevailing market prices and conditions at the CLO's maturity will drive the deal's actual losses, if any, from long-dated assets. 7) Post-Reinvestment Period Trading: Subject to certain requirements, the deal can reinvest certain proceeds after the end of the reinvestment period, and as such the manager has the ability to erode some of the collateral quality metrics to the covenant levels. Such reinvestment could affect the transaction either positively or negatively. In addition to the base case analysis, Moody's also conducted sensitivity analyses to test the impact of a number of default probabilities on the rated notes relative to the base case modeling results, which may be different from the current public ratings of the notes. Below is a summary of the impact of different default probabilities (expressed in terms of WARF) on all of the rated notes (by the difference in the number of notches versus the current model output, for which a positive difference corresponds to lower expected loss): Moody's Adjusted WARF - 20% (2190) Class A-1a: 0 Class A-1b: 0 Class A-2: 0 Class B: +1 Class C: +2 Class D: +2 Moody's Adjusted WARF + 20% (3284) Class A-1a: 0 Class A-1b: 0 Class A-2: 0 Class B: -2 Class C: -2 Class D: -1 Loss and Cash Flow Analysis: Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. In its base case, Moody's analyzed the collateral pool as having a performing par and principal proceeds balance of $390.9 million, defaulted par of $6.3 million, a weighted average default probability of 14.74% (implying a WARF of 2737), a weighted average recovery rate upon default of 50.19%, a diversity score of 40 and a weighted average spread of 3.37% (before accounting for LIBOR floors). Moody's incorporates the default and recovery properties of the collateral pool in cash flow model analysis where they are subject to stresses as a function of the target rating on each CLO liability reviewed. Moody's derives the default probability from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate for future defaults is based primarily on the seniority of the assets in the collateral pool. Moody's generally applies recovery rates for CLO securities as published in "Moody's Approach to Rating SF CDOs". In some cases, alternative recovery assumptions may be considered based on the specifics of the analysis of the CLO transaction. In each case, historical and market performance and the collateral manager's latitude for trading the collateral are also factors. MERRILL LYNCH 2005-CIP1: Fitch Cuts Rating on Cl. E Notes to 'Dsf' ------------------------------------------------------------------ Fitch Ratings has downgraded two distressed classes and affirmed nine classes of Merrill Lynch Mortgage Trust (MLMT) commercial mortgage pass-through certificates, series 2005-CIP1. KEY RATING DRIVERS The downgrade of class D is based off increased loss expectations from the pool's specially serviced loan. Class E has been downgraded as that class has experienced a partial loss of principal. The affirmations for distressed classes F through P are based on those classes having realized a full loss of principal. As of the February 2017 distribution date, the pool's aggregate principal balance has been reduced by 98.3% to $34.5 million from $2.06 billion at issuance. The pool is highly concentrated with only five loans remaining. Fitch modeled losses of 12.13% on the remaining pool; expected losses on the original pool balance total 8.53%, including $171.2 million (8.32% of the original pool balance) in realized losses incurred to date. Interest shortfalls are currently affecting classes E through Q. Increased Loss Expectations from Specially Serviced Loan: The remaining pool contains one specially serviced loan, which represents 14.9% of the pool's current balance. The Center of Excellence loan is secured by a 49,202 square foot medical office building located in Wauwatosa, WI. The loan transferred to the special servicer back in February 2015 due to imminent default after the property's largest tenant, Wheaton Wisconsin Heart, vacated upon their lease expiration in September 2014. Per servicer reporting, the property was only 41% occupied as of December 2015 and operating at a loss, with a net operating income (NOI) debt service coverage ratio (DSCR) of -0.06x. A receiver has been appointed and is currently operating the property. Per servicer commentary, the loan is being considered for sale. Fitch's modeled losses on the loan are expected to impact class D. RATING SENSITIVITIES All remaining classes are distressed. Upgrades are unlikely given the concentrated nature of the pool and the expectation that class D, the only remaining class without a principal loss to date, experiences a partial loss when the specially serviced loan is disposed. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third-party due diligence was provided or reviewed in relation to this rating action. Fitch has downgraded the following ratings: -- $33.5 million class D to 'Csf' from 'CCCsf'; RE 95%; -- $1.1 million class E to 'Dsf' from 'Csf'; RE 0%. Fitch has affirmed the following ratings: -- $0 million class F at 'Dsf'; RE 0%; -- $0 million class G at 'Dsf'; RE 0%; -- $0 million class H at 'Dsf'; RE 0%; -- $0 million class J at 'Dsf'; RE 0%; -- $0 million class K at 'Dsf'; RE 0%; -- $0 million class L at 'Dsf'; RE 0%; -- $0 million class M at 'Dsf'; RE 0%; -- $0 million class N at 'Dsf'; RE 0%; -- $0 million class P at 'Dsf'; RE 0%; The class A-1, A-2, A-3A, A-3B, A-SB, A-4, A-M, A-J, B, and C certificates have paid in full. Fitch does not rate the class Q certificates. Fitch previously withdrew the rating on the interest-only class X-C and X-P certificates. ML-CFC COMMERCIAL 2006-4: S&P Lowers Rating on Cl. C Certs to CCC ----------------------------------------------------------------- S&P Global Ratings lowered its ratings on two classes of commercial mortgage pass-through certificates from ML-CFC Commercial Mortgage Trust 2006-4, a U.S. commercial mortgage-backed securities (CMBS) transaction. At the same time, S&P affirmed its ratings on four other classes from the same transaction. S&P's rating actions follow its analysis of the transaction, primarily using its criteria for rating U.S. and Canadian CMBS transactions, which included a review of the credit characteristics and performance of the remaining assets in the pool, the transaction's structure, and the liquidity available to the trust. The downgrade on class C reflects the anticipated reduction in liquidity support due to ongoing interest shortfalls from the 16 specially serviced assets ($168.9 million, 93.6%), as well as credit support erosion that S&P anticipates will occur upon these assets' eventual resolution. S&P lowered its rating on class D to 'D (sf)' because it expects the accumulated interest shortfalls to remain outstanding for the foreseeable future. According to the Feb. 13, 2017, trustee remittance report, the current net monthly interest shortfalls totaled $213,693 and resulted primarily from: -- Net appraisal subordinate entitlement reduction amounts totaling $180,082; and -- Net special servicing fees totaling $33,465. The current interest shortfalls affected classes subordinate to and including class D. The affirmations on classes AJ, AJ-FL, AJ-FX, and B reflect S&P's expectation that the available credit enhancement for these classes will be within its estimate of the necessary credit enhancement required for the current ratings. The affirmations also reflect S&P's views regarding the current and future performance of the transaction's collateral, the transaction's structure, and liquidity support available to the classes. While available credit enhancement levels suggest positive rating movements on classes AJ, AJ-FL, AJ-FX, and B, S&P's analysis also considered the susceptibility to reduced liquidity support from the 16 specially serviced assets. TRANSACTION SUMMARY As of the Feb. 13, 2017, trustee remittance report, the collateral pool balance was $180.6 million, which is 4.0% of the pool balance at issuance. The pool currently includes 19 loans and one real estate-owned (REO) asset, down from 277 loans at issuance. Sixteen of these assets are with the special servicer, and no loans are defeased or on the master servicers' combined watchlist. The master servicers, Wells Fargo Bank N.A. and Midland Loan Services, reported financial information for 94.7% of the loans in the pool, of which 62.1% was partial- or year-end 2015 data, and the remainder was partial- or year-end 2016 data. Excluding 15 ($162.3 million, 89.9%) of the 16 specially serviced assets, S&P calculated a 1.15x S&P Global Ratings' weighted average debt service coverage (DSC) and 77.9% S&P Global Ratings' weighted average loan-to-value (LTV) ratio using a 7.87% S&P Global Ratings' weighted average capitalization rate. To date, the transaction has experienced $364.8 million in principal losses, or 8.1% of the original pool trust balance. S&P expects losses to reach approximately 9.5% of the original pool trust balance in the near term, based on losses incurred to date and additional losses S&P expects upon the eventual resolution of 15 of the 16 specially serviced assets. CREDIT CONSIDERATIONS As of the Feb. 13, 2017, trustee remittance report, 16 assets in the pool were with the special servicer, C-III Asset Management LLC (C-III). Details of the three largest specially serviced assets, all of which are part of the top 10 assets, are: -- The Atrium - Marriott University Park loan ($38.3 million, 21.2%) is the largest loan in the trust and has a total reported exposure of $39.6 million. The loan is secured by a 250-room full service hotel in Tucson, Ariz. The loan was transferred to the special servicer on Sept. 7, 2016, because of maturity default. The loan matured on Sept. 1, 2016. The special servicer indicated that a resolution strategy is being worked out, which includes foreclosure. In addition, the franchise agreement with Marriott at the property expired on March 1, 2017. The reported DSC and occupancy for the trailing 12 months ended June 30, 2016, were 1.01x and 78.5%, respectively. A $9.6 million appraisal reduction amount (ARA) is in effect against this loan. S&P expects a significant loss upon its eventual resolution. -- The Elm Ridge Center loan ($29.3 million, 16.2%) is the second-largest loan in the trust and has $29.9 million in total reported exposure. The loan is secured by a 481,010- sq.-ft. retail property in Greece, N.Y. The loan, which has a nonperforming matured balloon payment status, was transferred to the special servicer on June 25, 2015, due to imminent default, because the borrower stated that it could no longer fund property shortfalls. C-III stated that it has begun the foreclosure process, including a receivership request. The reported DSC and occupancy as of year-end 2015 were 0.59x and 70.5%, respectively. A $12.2 million ARA is in effect against this loan, and S&P expects a moderate loss upon its eventual resolution. -- The Caughlin Ranch Shopping Center loan ($16.8 million, 9.3%) is the third-largest loan in the trust and has $17.0 million in total reported exposure. The loan is secured by an 113,488-sq.-ft. retail property in Reno, Nev. The loan was transferred to the special servicer on Sept. 15, 2016, because of imminent maturity default. The special servicer indicated that it is seeking a receiver appointment. The reported DSC and occupancy for the nine months ended Sept. 30, 2016, were 1.14x and 87.6%, respectively. S&P expects a minimal loss upon its eventual resolution. The remaining assets with the special servicer each have individual balances that represent less than 8.5% of the total pool trust balance. S&P estimated losses for 15 of the 16 specially serviced assets, arriving at a weighted-average loss severity of 38.8%. It is S&P's understanding that the remaining specially serviced loan, the College Park Plaza loan ($6.6 million, 3.7%), was recently modified in December 2016, in which the maturity date was extended for 18 months and is expected to return back to the master servicer. With respect to the specially serviced assets noted above, a minimal loss is less than 25%, a moderate loss is 26%-59%, and a significant loss is 60% or greater. RATINGS LIST ML-CFC Commercial Mortgage Trust 2006-4 Commercial mortgage pass-through certificates series 2006-4 Rating Class Identifier To From AJ-FX 55312VBJ6 B (sf) B (sf) AJ 55312VAK4 B (sf) B (sf) AJ-FL 55312VAL2 B (sf) B (sf) B 55312VAM0 B- (sf) B- (sf) C 55312VAN8 CCC (sf) B- (sf) D 55312VAP3 D (sf) CCC (sf) MORGAN STANLEY 2006-TOP21: S&P Lowers Rating on Cl. C Certs to BB+ ------------------------------------------------------------------ S&P Global Ratings lowered its ratings on five classes of commercial mortgage pass-through certificates from Morgan Stanley Capital I Trust 2006-TOP21, a U.S. commercial mortgage-backed securities (CMBS) transaction. In addition, S&P affirmed its ratings on two other classes from the same transaction. S&P's rating actions follow its analysis of the transaction, primarily using its criteria for rating U.S. and Canadian CMBS transactions, which included a review of the credit characteristics and performance of the remaining loans in the pool, the transaction's structure, and the liquidity available to the trust. The affirmations on classes A-J and B reflect S&P's expectation that the available credit enhancement for these classes will be within its estimate of the necessary credit enhancement required for the current ratings as well as S&P's views regarding the current and future performance of the transaction's collateral. While available credit enhancement levels suggest positive rating movement on classes A-J and B, S&P's analysis considered the susceptibility to reduced liquidity support from the four specially serviced loans ($80.7 million, 55.6%) and the largest performing loan, the Anthem Health loan ($24.9 million, 17.2%), which is on the master servicer's watchlist. The loan is secured by a 234,287-sq.-ft. office property, 100% leased to a single tenant until 2020, in Louisville, Ky. The loan is on the master servicer's watchlist because the loan did not pay off upon its anticipated repayment date in December 2015. The loan has a final maturity in December 2035 and reported debt service coverage (DSC) of 1.75x for the nine months ended Sept. 30, 2016. The downgrades on classes C through G reflect the reduced liquidity support available to these classes due to ongoing interest shortfalls. Specifically, S&P lowered its ratings on classes D, E, F, and G to 'CCC- (sf)' because of accumulated interest shortfalls that S&P expects will remain outstanding in the near term. If the accumulated interest shortfalls remain outstanding for more than 12 months, S&P may lower the ratings to 'D (sf)'. According to the Feb. 13, 2017, trustee remittance report, the current monthly interest shortfalls totaled $277,172 and resulted primarily from: -- Interest reductions due to nonrecoverability determinations totaling $241,419; -- Appraisal subordinate entitlement reduction amounts totaling $19,690; and -- Special servicing fees totaling $16,971. The current interest shortfalls affected class D and classes subordinate to class D. TRANSACTION SUMMARY As of the Feb. 13, 2017, trustee remittance report, the collateral pool balance was $145.1 million, which is 10.5% of the pool balance at issuance. The pool currently includes 13 loans, down from 121 loans at issuance. Four of these loans are with the special servicer, three ($26.1 million, 18.0%) are on the master servicer's watchlist, and none are defeased. The master servicer, Wells Fargo Bank N.A., reported financial information for 98.6% of the nondefeased loans in the pool, of which 58.7% was year-end 2015 data, and the remainder was partial-year 2016 data. S&P calculated a 2.09x S&P Global Ratings' weighted average DSC and 100.3% S&P Global Ratings' weighted average loan-to-value (LTV) ratio using a 7.68% S&P Global Ratings' weighted average capitalization rate. The high DSC is primarily driven by the fifth-largest loan in the pool, 45 East 89th Street Condop ($14.0 million, 9.6%), which has a servicer reported DSC of 8.71x as of the six months ended June 30, 2016. The DSC, LTV, and capitalization rate calculations exclude two ($2.7 million, 1.9%) of the four specially serviced loans. To date, the transaction has experienced $25.3 million in principal losses, or 1.8% of the original pool trust balance. S&P expects losses to reach approximately 1.9% of the original pool trust balance in the near term, based on losses incurred to date and additional losses we expect upon the eventual resolution of two of the four specially serviced loans. CREDIT CONSIDERATIONS As of the Feb. 13, 2017, trustee remittance report, four loans in the pool were with the special servicer, C-III Asset Management LLC (C-III). Details of the two largest specially serviced loans are: -- The SBC-Hoffman Estates loan ($58.0 million, 40.0%) is the largest loan in the pool and has $59.5 million total reported exposure. The loan is secured by a 1,690,214-sq.- ft. office property in Hoffman Estates, Ill. In addition, a pari passu component totaling $55.7 million, or 49.0% of the whole loan, is held in Bear Stearns Commercial Mortgage Securities Trust 2006-PWR11, also a CMBS transaction. The whole loan was transferred on June 24, 2016, to the special servicer due to imminent default because the sole tenant occupying the property will vacate at the end of its August 2016 lease expiration. The property is currently 100% vacant. The special servicer stated that it has ordered an updated appraisal report, and it will schedule a foreclosure sale upon confirmation by the court. C-III also indicated that it expects to focus on leasing up the vacant space before disposition. The master servicer deemed the loan nonrecoverable. The 1757 Tapo Canyon Road loan ($20.0 million, 13.8%) is the second-largest loan with the special servicer and has $22.4 million total reported exposure. The loan is secured by a 179,357-sq.-ft. office property in Simi Valley, Calif. The loan was transferred to the special servicer on July 16, 2015, due to imminent default because the sole tenant vacated the property upon its 2015 lease expiration. The special servicer stated that the property is currently 100% vacant and that it anticipates the foreclosure proceeding to close in the second quarter of 2017. A $3.9 million appraisal reduction amount is in effect against this loan. C-III informed us that it plans to focus on leasing up the vacant space before disposition. The two remaining loans with the special servicer each have individual balances that represent less than 1.0% of the total pool trust balance. Based on S&P's analysis, it estimates minimal loss (less than 25%) upon the eventual resolution of these two loans. RATINGS LOWERED Morgan Stanley Capital I Trust 2006-TOP21 Commercial mortgage pass-through certificates Rating Class To From Credit enhancement (%) C BB+ (sf) BBB- (sf) 51.33 D CCC- (sf) BB+ (sf) 37.11 E CCC- (sf) BB (sf) 30.00 F CCC- (sf) B+ (sf) 20.52 G CCC- (sf) B- (sf) 13.40 RATINGS AFFIRMED Morgan Stanley Capital I Trust 2006-TOP21 Commercial mortgage pass-through certificates Class Rating Credit enhancement (%) A-J A (sf) 79.77 B BBB+ (sf) 61.99 MORGAN STANLEY 2015-C21: DBRS Confirms B(low) Rating on Cl. G Debt ------------------------------------------------------------------ DBRS Limited confirmed the ratings on the Commercial Mortgage Pass-Through Certificates, Series 2015-C21 issued by Morgan Stanley Bank of America Merrill Lynch Trust 2015-C21 as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-S at AAA (sf) -- Class A-SB at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AAA (sf) -- Class X-E at AAA (sf) -- Class X-FG at AAA (sf) -- Class B at AA (high) (sf) -- Class PST at A (sf) -- Class C at A (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class F at B (high) (sf) -- Class G at B (low) (sf) All trends are Stable. The rating confirmations reflect the overall performance of the transaction, which has remained in line with DBRS's expectations since issuance. The collateral consists of 64 fixed-rate loans secured by 99 commercial properties, and as of the January 2017 remittance, there has been a collateral reduction of 1.2% since issuance. Loans representing 92.3% of the current pool balance are reporting YE2015 figures with a weighted-average (WA) debt service coverage ratio (DSCR) and WA debt yield of 1.57 times (x) and 8.7%, respectively. The DBRS WA DSCR and WA debt yield at issuance were 1.80x and 9.4%, respectively. The largest 15 loans in the pool represent 61.5% of the transaction balance and all loans but one reported YE2015 financials, which showed a slight WA net cash flow decline of 6.2% over the DBRS figures, with a WA DSCR and WA debt yield of 1.68x and 8.7%, respectively. As of the January 2017 remittance, there are 11 loans on the servicer's watchlist, representing 17.8% of the current pool balance, including three loans in the top 15. MORGAN STANLEY 2016-C28: DBRS Confirms B(low) Rating on 3 Tranches ------------------------------------------------------------------ DBRS Limited confirmed the ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2016-C28 (the Certificates) issued by Morgan Stanley Bank of America Merrill Lynch Trust 2016-C28. -- 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 A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AAA (sf) -- Class X-D at AAA (sf) -- Class B at AA (sf) -- Class C at A (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class E-1 at BBB (sf) -- Class E-2 at BBB (low) (sf) -- Class F at BB (sf) -- Class F-1 at BB (sf) -- Class F-2 at BB (sf) -- Class EF at BB (sf) -- Class G at B (low) (sf) -- Class G-1 at B (high) (sf) -- Class G-2 at B (low) (sf) -- Class EFG at B (low) (sf) All trends are Stable. The rating confirmations reflect the overall performance of the transaction, which has remained in line with DBRS's expectations since issuance. As of the February 2017 remittance, all 42 loans remain in the pool with an aggregate outstanding principal balance of approximately $952.7 million, which represents a collateral reduction of 0.3% since issuance as a result of scheduled loan amortization. Pool-wide, six loans (27.1% of the pool) are structured with full interest-only (IO) terms, while an additional 20 loans (49.2% of the pool) have partial IO periods remaining, ranging from seven months to 46 months. According to the DBRS underwritten (UW) figures, the transaction had a weighted-average (WA) debt service coverage ratio (DSCR) and WA debt yield of 1.77 times (x) and 9.4%, respectively, or 1.41x and 8.4%, respectively, excluding shadow-rated loans. To date, five loans (12.6% of the pool) have reported year-end 2016 net cash flow (NCF) figures. The largest 15 loans in the pool collectively represent 72.3% of the transaction balance and 13 of those loans are reporting partial-year 2016 financials, showing a WA annualized DSCR and debt yield of 1.74x and 14.3%, respectively. As of the February 2017 remittance, there are no loans in special servicing and three loans (7.2% of the pool) on the servicer's watchlist. The largest loan on the watchlist, Navy League Building (Prospectus ID#4, 6.3% of the pool) is secured by a 190,926 sq. ft. office building in Arlington, Virginia. The loan was placed on the watchlist as a result of low income due to rent abatements in place during the reporting period for three tenants, including the largest tenant, which represents 25.7% of the NRA on a lease expiring in April 2027. At closing, the borrower deposited $3.3 million in escrow to fund the rent abatements, with funds to be released monthly through December 2017. The Q3 2016 DSCR was reported at 1.05x and property occupancy remains strong at 98.2%, as of the September 2016 rent roll. The remaining two loans on the watchlist were flagged for non-performance-related reasons pertaining to outstanding servicing advances and deferred maintenance. At issuance, DBRS assigned an investment-grade shadow rating to two loans, Penn Square Mall (Prospectus ID#1, 9.5% of the pool) and GLP Industrial Portfolio A (Prospectus ID#3, 7.4% of the pool). DBRS has today confirmed that the performance of these loans remain consistent with the investment-grade loan characteristics. MOUNTAIN VIEW 2014-1: S&P Affirms 'B-' Rating on Class F Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-R, B-R, and C-R replacement notes from Mountain View CLO 2014-1 Ltd., a collateralized loan obligation (CLO) originally issued in 2014 that is managed by Seix Investment Advisors LLC. S&P withdrew its ratings on the original class A, B, and C notes following payment in full on the March 2, 2017, refinancing date. At the same time, S&P affirmed its ratings on the class D, E, and F notes, which were not part of the refinancing. On the March 2, 2017, refinancing date, the proceeds from the class A-R, B-R, and C-R replacement note issuances were used to redeem the original class A, B, and C 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 proposed supplemental indenture, which included no other substantive changes to the transaction. S&P's review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the trustee report, to estimate future performance. In line with S&P's criteria, its cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, S&P's analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches. The assigned ratings reflect S&P's opinion that the credit support available is commensurate with the associated rating levels. S&P will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and S&P will take rating actions as it deems necessary. RATINGS ASSIGNED Mountain View CLO 2014-1 Ltd. Replacement class Rating Amount (mil $) A-R AAA (sf) 316.75 B-R AA (sf) 47.25 C-R A (sf) 48.00 RATINGS AFFIRMED Mountain View CLO 2014-1 Ltd. Class Rating D BBB (sf) E BB- (sf) F B- (sf) RATINGS WITHDRAWN Mountain View CLO 2014-1 Ltd. Rating Original class To From A NR AAA (sf) B NR AA (sf) C NR A (sf) NR--Not rated. N-STAR VI: S&P Raises Rating on Class B Notes to BB+ ---------------------------------------------------- S&P Global Ratings raised its ratings on the class B and C floating-rate notes from N-Star REL CDO VI Ltd., a commercial real estate collateralized debt obligation (CRE CDO) transaction. At the same time, S&P affirmed its ratings on seven classes from the same transaction. The rating actions follow S&P's review of the transaction's performance using data from the Jan. 31, 2017, trustee report. The upgrades reflect increased credit support following the transaction's $199.46 million in collective paydowns to the class A-1, A-2, A-R, and B notes since S&P's November 2014 rating actions. Since then, class A-1, A-2, and A-R have been completely paid down, and the class B notes have started to receive paydowns. The class B notes' balance is currently at 51.07% of the balance at issuance, down from 100% during S&P's last review. However, the amount of defaults has also increased during this period and now represent nearly a third of the portfolio. According to the January 2017 monthly trustee report, defaults are at $52.52 million, up from $30.23 million during S&P's last rating actions. As the portfolio has amortized, the number of assets remaining in the transaction has decreased, and the low number of assets has increased the concentration risk. S&P also note that the class C/D interest coverage test has been failing the last few months and that class H, J, and K continue to have interest shortfalls. As a result, although S&P's model implied further upgrades on the senior tranches, the rating actions reflect the credit quality of the assets backing the tranches and the concentration risk. In addition, the class F, G, H, J, and K notes failed S&P's largest obligor default test at the 'CCC' category. The affirmations reflect S&P's belief that the credit support available is commensurate with the current rating levels. S&P's review of the transaction relied in part upon a criteria interpretation with respect to its May 2014 criteria, "CDOs: Mapping A Third Party's Internal Credit Scoring System To Standard & Poor's Global Rating Scale," published May 8, 2014, which allows S&P to use a limited number of public ratings from other Nationally Recognized Statistical Rating Organizations to assess the credit quality of assets not rated by S&P Global Ratings. The criteria provide specific guidance for the treatment of corporate assets not rated by S&P Global Ratings, while the interpretation outlines the treatment of securitized assets. S&P will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and will take further rating actions as S&P deems necessary. RATINGS RAISED N-Star REL CDO VI Ltd. Class Rating To From B BB+ (sf) CCC+ (sf) C B- (sf) CCC+ (sf) RATINGS AFFIRMED N-Star REL CDO VI Ltd. Class Rating D CCC (sf) E CCC (sf) F CCC- (sf) G CCC- (sf) H CCC- (sf) J CCC- (sf) K CCC- (sf) NELNET STUDENT 2008-4: Fitch Corrects January 24 Release -------------------------------------------------------- Fitch Ratings corrected a press release on Nelnet Student Loan Trust 2008-4 published on Jan. 24, 2017. It clarifies that the criteria variation included in Fitch's analysis only applied to class A-4. The revised release is as follows: Fitch Ratings has taken the following rating actions on Nelnet Student Loan Trust 2008-4: -- Class A-4 downgraded from 'AAAsf' to 'Bsf'; removed from Rating Watch Negative and assigned Stable Outlook; -- Class B downgraded from 'AAsf' to 'Bsf'; removed from Rating Watch Negative and assigned Stable Outlook. The class A-4 notes fail the credit and maturity base case stress scenario due to missing the legal final maturity date by 1.0 - 1.25 years. In downgrading to 'Bsf' rather than 'CCCsf' or below, Fitch considered qualitative factors such as Nelnet's ability to call the notes ahead of the final maturity as of the optional purchase date, and the eventual full repayment of principal in Fitch's cash flow modelling. The optional purchase date is defined as the earlier of the distribution date on which the pool factor falls below 10% or October 2018. As a result of the projected event of default (EOD) for the class A-4 notes under the base cases, class B suffers an interest shortfall, as all class B interest post-EOD is diverted to pay class A principal. As a result, the class B notes fail the base cases as well. KEY RATING DRIVERS U.S. Sovereign Risk: The trust collateral comprises Federal Family Education Loan Program (FFELP) loans with guaranties provided by eligible guarantors and reinsurance provided by the U.S. Department of Education (ED) for at least 97% of principal and accrued interest. Fitch's U.S. sovereign rating is currently 'AAA'/Stable Outlook. Collateral Performance: Fitch assumes a base case default rate of 17% and a 51% default rate under the 'AAA' credit stress scenario, which is based on recent actual trust performance. The claim reject rate is assumed to be 0.25% for the base case and 2.0% for the 'AAAsf' case. Fitch applies the standard default timing curve in its credit stress cash flow analysis. The trailing 12-month (TTM) average constant default rate, used in the maturity stresses, is 5.2%. TTM levels of deferment, forbearance, income-based repayment (before adjustment) and constant prepayment rate (voluntary and involuntary) are 13.5%, 12.4%, 21.1% and 13.8%, respectively, and are used as the starting point in cash flow modeling. Subsequent declines or increases are modeled as per criteria. The borrower benefit is assumed to be approximately 0.08% based on information provided by the sponsor. Basis and Interest Rate Risk: Fitch applies its standard basis and interest rate stresses to this transaction as per criteria. Payment Structure: Credit enhancement (CE) is provided by overcollateralization, excess spread and, for the class A notes, subordination. As of October 2016, total and senior effective parity ratios (which include the reserve account) are, respectively, 101.07% (1.06% CE) and 112.43% (11.05% CE). Liquidity support for the 2008-4 notes is provided by a reserve account currently sized to the floor of $1,326,612. Excess cash will be released from the trust as long as the target reported parity ratio (which currently does not include the reserve account, as the pool factor is below 40%) of 101% is maintained. However, given the current total reported parity ratio of 100.74%, cash is not being released. Maturity Risk: Fitch's Student Loan ABS (SLABS) cash flow model indicates that the class A-4 notes do not pay off before their maturity date under Fitch's modeling scenarios, including the base cases. If the breach of the class A-4 maturity date triggers an EOD, interest payments will be diverted away from the class B notes, causing the subordinate notes to fail the base cases as well. Operational Capabilities: Day-to-day servicing is provided by Nelnet, Inc and Xerox Education Services. Fitch believes both are acceptable servicers based on their long history servicing FFELP student loans. CRITERIA VARIATION The decision to downgrade the A-4 notes to 'Bsf' rather than 'CCCsf' or below is a criteria variation. Fitch has considered qualitative factors such as Nelnet's ability to call the notes prior to their maturity dates and the projected eventual full payment of principal in its analysis to support this decision. RATING SENSITIVITIES 'AAAsf' rated tranches of most FFELP securitizations will likely move in tandem with the U.S. sovereign rating, given the strong linkage to the U.S. sovereign by nature of the reinsurance and SAP provided by ED. Sovereign risks are not addressed in Fitch's sensitivity analysis. Fitch conducted a CE sensitivity analysis by stressing both the related lifetime default rate and basis spread assumptions. In addition, Fitch conducted a maturity sensitivity analysis by running different assumptions for the IBR usage and prepayment rate. The results below should only be considered as one potential model implied outcome, as the transaction is exposed to multiple risk factors that are all dynamic variables. Credit Stress Rating Sensitivity -- Default increase 25%: class A 'CCCsf'; class B 'CCCsf' -- Default increase 50%: class A 'CCCsf'; class B 'CCCsf' -- Basis Spread increase 0.25%: class A 'CCCsf'; class B 'CCCsf' -- Basis Spread increase 0.50%: class A 'CCCsf'; class B 'CCCsf' Maturity Stress Rating Sensitivity -- CPR decrease 50%: class A 'CCCsf'; class B 'CCCsf' -- CPR increase 100%: class A 'AAsf'; class B 'AAsf' -- IBR Usage increase 100%: class A 'CCCsf'; class B 'CCCsf' -- IBR Usage decrease 50%: class A 'CCCsf'; class B 'CCCsf' Stresses are intended to provide an indication of the rating sensitivity of the notes to unexpected deterioration in trust performance. Rating sensitivity should not be used as an indicator of future rating. NEW RESIDENTIAL 2017-1: S&P Assigns BB Rating on 2 Tranches ----------------------------------------------------------- S&P Global Ratings assigned its ratings to New Residential Mortgage Loan Trust 2017-1's $733.994 million residential mortgage-backed notes. The note issuance is residential mortgage-backed securities (RMBS) transaction backed by residential mortgage loans. Subsequent to S&P's presale being published, four exchangeable classes were added: B-4A, B4-IOA, B-5A, and B5-IOA. The ratings reflect: -- The credit enhancement provided, as well as the associated structural transaction mechanics; -- The pool's collateral composition, which consists of highly seasoned, prime and nonprime, fixed- and adjustable-rate mortgages; -- The representation and warranty framework; and -- The ability and willingness of key transaction parties to perform their contractual obligations and the likelihood that the parties could be replaced if needed. RATINGS ASSIGNED New Residential Mortgage Loan Trust 2017-1 Class Rating Amount ($) A-1 AAA (sf) 635,244,000 A-IO AAA (sf) 635,244,000(i) X NR 1,052,316(i) B-1 AA (sf) 26,107,000 B1-IO AA (sf) 26,107,000(i) B-2 A (sf) 23,079,000 B2-IO A (sf) 23,079,000(i) B-3 BBB (sf) 18,917,000 B-4 BB (sf) 15,891,000 B-5 B (sf) 14,756,000 B-6 NR 22,700,457 FB NR 17,065,773 A AAA (sf) 635,244,000 B NR 121,450,457 A-1A AAA (sf) 635,244,000 A1-IOA AAA (sf) 635,244,000(i) A-1B AAA (sf) 635,244,000 A1-IOB AAA (sf) 635,244,000(i) A-1C AAA (sf) 635,244,000 A1-IOC AAA (sf) 635,244,000(i) A-2 AA (sf) 661,351,000 B-1A AA (sf) 26,107,000 B1-IOA AA (sf) 26,107,000(i) B-1B AA (sf) 26,107,000 B1-IOB AA (sf) 26,107,000(i) B-1C AA (sf) 26,107,000 B1-IOC AA (sf) 26,107,000(i) B-2A A (sf) 23,079,000 B2-IOA A (sf) 23,079,000(i) B-2B A (sf) 23,079,000 B2-IOB A (sf) 23,079,000(i) B-2C A (sf) 23,079,000 B2-IOC A (sf) 23,079,000(i) B-3A BBB (sf) 18,917,000 B3-IOA BBB (sf) 18,917,000(i) B-3B BBB (sf) 18,917,000 B3-IOB BBB (sf) 18,917,000(i) B-3C BBB (sf) 18,917,000 B3-IOC BBB (sf) 18,917,000(i) B-4A BB (sf) 15,891,000 B4-IOA BB (sf) 15,891,000(i) B-5A B (sf) 14,756,000 B5-IOA B (sf) 14,756,000(i) (i)Notional amount. NR--Not rated. NEW RESIDENTIAL 2017-1: S&P Gives Prelim B Rating on Cl. B-5 Debt ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to New Residential Mortgage Loan Trust 2017-1's $733.994 residential million mortgage-backed notes. The note issuance is residential mortgage-backed securities transaction backed by residential mortgage loans. The preliminary ratings are based on information as of March 1, 2017. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The credit enhancement provided, as well as the associated structural transaction mechanics; -- The pool's collateral composition, which consists of highly seasoned, prime and nonprime, fixed- and adjustable-rate mortgages, as described in the Collateral Summary section below; -- The representation and warranty framework; and -- The ability and willingness of key transaction parties to perform their contractual obligations and the likelihood that the parties could be replaced if needed. PRELIMINARY RATINGS ASSIGNED New Residential Mortgage Loan Trust 2017-1 Class Rating Amount ($) A-1 AAA (sf) 635,244,000 A-IO AAA (sf) 635,244,000(i) X NR 1,052,316(i) B-1 AA (sf) 26,107,000 B1-IO AA (sf) 26,107,000(i) B-2 A (sf) 23,079,000 B2-IO A (sf) 23,079,000(i) B-3 BBB (sf) 18,917,000 B-4 BB (sf) 15,891,000 B-5 B (sf) 14,756,000 B-6 NR 22,700,457 FB NR 17,065,773 A AAA (sf) 635,244,000 B NR 121,450,457 A-1A AAA (sf) 635,244,000 A1-IOA AAA (sf) 635,244,000(i) A-1B AAA (sf) 635,244,000 A1-IOB AAA (sf) 635,244,000(i) A-1C AAA (sf) 635,244,000 A1-IOC AAA (sf) 635,244,000(i) A-2 AA (sf) 661,351,000 B-1A AA (sf) 26,107,000 B1-IOA AA (sf) 26,107,000(i) B-1B AA (sf) 26,107,000 B1-IOB AA (sf) 26,107,000(i) B-1C AA (sf) 26,107,000 B1-IOC AA (sf) 26,107,000(i) B-2A A (sf) 23,079,000 B2-IOA A (sf) 23,079,000(i) B-2B A (sf) 23,079,000 B2-IOB A (sf) 23,079,000(i) B-2C A (sf) 23,079,000 B2-IOC A (sf) 23,079,000(i) B-3A BBB (sf) 18,917,000 B3-IOA BBB (sf) 18,917,000(i) B-3B BBB (sf) 18,917,000 B3-IOB BBB (sf) 18,917,000(i) B-3C BBB (sf) 18,917,000 B3-IOC BBB (sf) 18,917,000(i) (i)Notional amount. NR--Not rated. NORTHWOODS CAPITAL XII: S&P Assigns (P)BB Rating on Cl. E-2-R Debt ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the class A-R, B-R, C-R, D-R, and E-2-R replacement notes from Northwoods Capital XII Ltd., a collateralized loan obligation (CLO) originally issued in 2014 that is managed by Angelo, Gordon & Company LP. The class E-1 notes are not part of this refinancing, and S&P expects to affirm the current rating on the refinancing date. 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 March 6, 2017. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the March 15, 2017, refinancing date, the proceeds from the issuance of the replacement notes are expected to redeem the class A, B, C, D, and E-2 notes. At that time, S&P anticipates withdrawing the ratings on the class A, B, C, D, and E-2 original notes and assigning ratings to the class A-R, B-R, C-R, D-R, and E-2-R replacement notes. The class E-1 notes are not part of this refinancing. 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. Based on the proposed supplemental indenture and the information provided to S&P Global Ratings in connection with this review, the replacement notes are expected to be issued at a lower spread over LIBOR than the corresponding original notes. There is no proposed change to the reinvestment period duration, which ends in September 2018, or the transaction's legal final maturity, scheduled for September 2025. The supplemental indenture is not expected to make other substantive changes to the transaction. REPLACEMENT AND ORIGINAL NOTE ISSUANCES Replacement notes Class Amount Interest (mil. $) rate (%) A-R 376.20 LIBOR + 1.23 B-R 69.60 LIBOR + 1.70 C-R 52.20 LIBOR + 2.45 D-R 30.00 LIBOR + 3.60 E-2-R 13.80 LIBOR + 6.99 Original notes Class Amount Interest (mil. $) rate (%) A 376.20 LIBOR + 1.50 B 69.60 LIBOR + 2.20 C 52.20 LIBOR + 3.15 D 30.00 LIBOR + 3.70 E-2 13.80 LIBOR + 7.00 S&P's review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the trustee report, to estimate future performance. In line with S&P's criteria, its cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, S&P's analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches. S&P will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and S&P will take further rating actions as it deems necessary. PRELIMINARY RATINGS ASSIGNED Northwoods Capital XII Ltd. Replacement class Rating Amount (mil. $) A-R AAA (sf) 376.20 B-R AA (sf) 69.60 C-R A (sf) 52.20 D-R BBB (sf) 30.00 E-2-R BB (sf) 13.80 OHA LOAN 2013-1: S&P Raises Rating on Class E Notes to BB+ ---------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-R, B-1-R, B-2-R, C-R, and D-R replacement notes from OHA Loan Funding 2013-1 Ltd., a collateralized loan obligation (CLO) originally issued in 2013 that is managed by Oak Hill Advisors L.P. S&P withdrew its ratings on the original class A, B-1, B-2, C, and D notes following payment in full on the Mach 8, 2017, refinancing date. At the same time, S&P raised its rating on the original class E notes and affirmed S&P's rating on the original class F notes. On the March 8, 2017, refinancing date, the proceeds from the class A-R, B-1-R, B-2-R, C-R, and D-R replacement note issuances were used to redeem the original class A, B-1, B-2, C, and D notes as outlined in the transaction document provisions. Therefore, S&P withdrew its ratings on the original notes in line with their full redemption, and S&P is assigning ratings to the replacement notes. The class E notes were upgraded to 'BB+ (sf)' after considering the benefit to the notes from the reduced senior note coupons in connection with the refinancing. S&P's review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the trustee report, to estimate future performance. In line with S&P's criteria, its cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, S&P's analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches. The assigned ratings reflect S&P's opinion that the credit support available is commensurate with the associated rating levels. S&P will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and S&P will take rating actions as it deems necessary. RATINGS ASSIGNED OHA Loan Funding 2013-1 Ltd. Replacement class Rating Amount (mil $) A-R AAA (sf) 304.60 B-1-R AA+ (sf) 41.70 B-2-R AA+ (sf) 30.00 C-R AA- (sf) 30.20 D-R A- (sf) 26.70 RATING RAISED OHA Loan Funding 2013-1 Ltd. Class To From E BB+ (sf) BB (sf) RATING AFFIRMED OHA Loan Funding 2013-1 Ltd. Class Rating F B (sf) RATINGS WITHDRAWN OHA Loan Funding 2013-1 Ltd. Rating Original class To From A NR AAA (sf) B-1 NR AA+ (sf) B-2 NR AA+ (sf) C NR A+ (sf) D NR BBB+ (sf) NR--Not rated. PARCS MASTER: S&P Lowers Rating on Cl. 2007-4 Calvados Units to D ----------------------------------------------------------------- S&P Global Ratings lowered its rating on PARCS Master Trust's class 2007-4 Calvados units to 'D (sf)' from 'CCC- (sf)'. The transaction is a synthetic corporate collateralized debt obligation. The downgrade reflects the principal loss on the class following a December 2016 credit event. PARTS PRIVATE 2007-CT1: Fitch Affirms 'Csf' Rating on Class C Debt ------------------------------------------------------------------ Fitch Ratings has affirmed the following notes issued by PARTS Private Student Loan Trust Series 2007-CT1: -- Class A at 'Asf'; Outlook Stable; -- Class B at 'CCsf'; RE 50%; -- Class C at 'Csf'; RE 0%. KEY RATING DRIVERS Collateral Quality: The trust is collateralized by approximately $37 million of private student loans as of February 2017 that were originated according to either TERI or LEARN underwriting guidelines. The projected remaining defaults are expected to be at about 13% of the outstanding portfolio. A recovery rate of 0% was applied as the data provided indicates a minimal recovery rate. Credit Enhancement (CE): This deal is under-collateralized with negative excess spread. Senior notes, benefiting from subordination provided by junior bonds, are receiving all the principal payments and seeing increasing parity, while subordinate notes and junior subordinates continue to be under-collateralized with decreasing parity. As of February 2017, senior, subordinate and junior subordinate parity ratios were 186.91% (CE 46.50%), 98.58% and 81.97% respectively. The Stable Outlook for the senior notes reflects improving parity and sufficient credit enhancement to absorb expected losses. For the class B notes, the 'CCsf' rating reflects a very high level of credit risk with a probable default. The class C notes are not receiving interest payment as the class C junior subordinate note interest trigger is in effect, although there is no payment default in accordance with the terms of the documentation. Fitch does not expect the notes to pay interest and principal in full. The Recovery Estimate (RE) for the class B notes is approximately RE 50% and for the class C notes is RE 0%. Liquidity Support: Liquidity support is provided by a reserve fund sized at $1,000,000. Servicing Capabilities: Day-to-day servicing is provided by American Education Services (AES), a wholly-owned subsidiary of Pennsylvania Higher Education Assistance Agency (PHEAA). Fitch believes the servicing operations of AES are acceptable at this time. RATING SENSITIVITIES As Fitch's base case default proxy is derived primarily from historical collateral performance, actual performance may differ from the expected performance, resulting in higher loss levels than the base case. This will result in a decline in CE and remaining loss coverage levels available to the bonds and may make certain bond ratings susceptible to potential negative rating actions, depending on the extent of the decline in coverage. Fitch will continue to monitor the performance of the trust. REALT 2007-1: DBRS Puts B Rating on Class K Debt Under Review ------------------------------------------------------------- DBRS Limited placed all classes of the Commercial Mortgage Pass-Through Certificates, Series 2007-1 issued by Real Estate Asset Liquidity Trust (REALT), Series 2007-1 Under Review as follows: -- Class A-2 at AAA (sf), Under Review with Developing Implications -- Class XC-1 at AAA (sf), Under Review with Developing Implications -- Class XC-2 at AAA (sf), Under Review with Developing Implications -- Class B at AA (sf), Under Review with Developing Implications -- Class C at A (sf), Under Review with Developing Implications -- Classes D-1 at BBB (sf), Under Review with Developing Implications -- Classes D-2 at BBB (sf), Under Review with Developing Implications -- Classes E-1 at BBB (low) (sf), Under Review with Developing Implications -- Classes E-2 at BBB (low) (sf), Under Review with Developing Implications -- Class F at BB (high) (sf), Under Review with Developing Implications -- Class G at BB (sf), Under Review with Developing Implications -- Class H at BB (low) (sf), Under Review with Developing Implications -- Class J at B (high) (sf), Under Review with Developing Implications -- Class K at B (sf), Under Review with Developing Implications -- Class L at B (low) (sf), Under Review with Developing Implications DBRS has placed all classes Under Review with Developing Implications because of the large concentration of loans scheduled to pay out of the trust in the near term. As of the February 2017 remittance, 26 loans remain in the pool with an outstanding trust balance of $192 million. Of these loans, 25 have a scheduled maturity date of either March 2017 or April 2017, representing scheduled principal paydown of approximately $189 million. The servicer has advised that the bulk of these loans are expected to repay at the respective maturity dates with the exception of the Sundance Pooled Interest loan (Prospectus ID#5; 11.9% of the current pool balance), which is not expected to repay at the March 1, 2017, maturity date. According to the servicer, the borrower has requested approval for a one-year extension in order to lease up the property, which was only 6.9% occupied as of the January 2017 rent roll. The servicer advises it is currently collecting all the necessary documents to review the request for loan modification and will provide an update on its recommendations as soon as possible. If the loan does not repay at maturity, that would constitute an event of default per the loan documents; as such, DBRS believes the loan will transfer to the special servicer in the near term. DBRS will closely monitor the loan repayments scheduled for the coming month and will gather information with regard to the workout status for the Sundance Pooled Interest loan, with further rating actions to be taken on the outstanding bonds in the near term. ROSEDALE CLO: Moody's Lowers Rating on Class E Notes to B2 ---------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Rosedale CLO Ltd.: US$6,500,000 Class D-1 Fourth Priority Mezzanine Deferrable Floating Rate Notes Due 2021, Upgraded to Aa3 (sf); previously on October 14, 2016 Upgraded to A1 (sf) US$10,000,000 Class D-2 Fourth Priority Mezzanine Deferrable Step-Up Notes Due 2021, Upgraded to Aa3 (sf); previously on October 14, 2016 Upgraded to A1 (sf) Moody's Investors Service also downgraded the rating on the following note: US$9,000,000 Class E Fifth Priority Mezzanine Deferrable Floating Rate Notes Due 2021, Downgraded to B2 (sf); previously on October 14, 2016 Affirmed B1 (sf) In addition, Moody's affirmed the rating on the following note: US$15,500,000 Class C Third Priority Senior Secured Deferrable Floating Rate Notes Due 2021 (current outstanding balance of $11,529,522.47) , Affirmed Aaa (sf); previously on October 14, 2016 Affirmed Aaa (sf) Rosedale CLO Ltd., issued in June 2006, is a collateralized loan obligation (CLO) backed primarily by a portfolio of senior secured loans. The transaction's reinvestment period ended in July 2011. RATINGS RATIONALE The upgrade rating actions and affirmations are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since October 2016. The Class B notes have been paid down fully and Class C notes have been paid down by approximately 25.6% or $3.9 million since that time. Based on Moody's calculation, the OC ratios for the Class C and Class D notes are currently 328.80% and 135.25% respectively, versus October 2016 levels of 210.73% and 126.07%, respectively. The rating downgrade on the Class E Notes is primarily a result of decrease in the Moody's calculated Class E OC ratio since October 2016. Based on Moody's calculation, the Class E OC is currently 102.38% versus 103.41% at that time. The decrease in the Class E OC is owed to increase in assets rated Ca/C by Moody's. Methodology Used for the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in October 2016. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: This transaction is subject to a number of factors and circumstances that could lead to either an upgrade or downgrade of the ratings: 1) Macroeconomic uncertainty: CLO performance is subject to a) uncertainty about credit conditions in the general economy and b) the large concentration of upcoming speculative-grade debt maturities, which could make refinancing difficult for issuers. 2) Collateral Manager: Performance can also be affected positively or negatively by a) the manager's investment strategy and behavior and b) differences in the legal interpretation of CLO documentation by different transactional parties owing to embedded ambiguities. 3) Collateral credit risk: A shift towards collateral of better credit quality, or better credit performance of assets collateralizing the transaction than Moody's current expectations, can lead to positive CLO performance. Conversely, a negative shift in credit quality or performance of the collateral can have adverse consequences for CLO performance. 4) Deleveraging: An important source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will continue and at what pace. Deleveraging of the CLO could accelerate owing to high prepayment levels in the loan market and collateral sales by the manager, which could have a significant impact on the notes' ratings. Note repayments that are faster than Moody's current expectations will usually have a positive impact on CLO notes, beginning with those with the highest payment priority. 5) Recovery of defaulted assets: Fluctuations in the market value of defaulted assets reported by the trustee and those that Moody's assumes as having defaulted could result in volatility in the deal's OC levels. Further, the timing of recoveries and whether a manager decides to work out or sell defaulted assets create additional uncertainty. For upgrade cases, Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. Realization of higher than assumed recoveries would positively impact the CLO. 6) Lack of portfolio granularity: The performance of the portfolio depends to a large extent on the credit conditions of a few large obligors Moody's rates Caa1 or lower/non-investment-grade, especially if they jump to default. Because of the deal's lack of granularity, Moody's also ran scenarios defaulting some of the assets rated Caa1 or lower. 7) Exposure to assets with low credit quality and weak liquidity: The presence of assets rated Caa3 with a negative outlook, Caa2 or Caa3 on review for downgrade or the worst Moody's speculative grade liquidity (SGL) rating, SGL-4, exposes the notes to additional risks if these assets default. The historical default rate is higher than average for these assets. Due to the deal's exposure to such assets, which constitute around $1.2 million or 3.24% of par, Moody's ran a sensitivity case defaulting those assets. In addition to the base case analysis, Moody's also conducted sensitivity analyses to test the impact of a number of default probabilities on the rated notes relative to the base case modeling results, which may be different from the current public ratings of the notes. Below is a summary of the impact of different default probabilities (expressed in terms of WARF) on all of the rated notes (by the difference in the number of notches versus the current model output, for which a positive difference corresponds to lower expected loss): Moody's Adjusted WARF -- 20% (2282) Class C: 0 Class D-1: +2 Class D-2: +2 Class E: +1 Moody's Adjusted WARF + 20% (3422) Class C: 0 Class D-1: -2 Class D-2: -2 Class E: -1 Loss and Cash Flow Analysis: Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. In its base case, Moody's analyzed the collateral pool as having a performing par and principal proceeds balance of $36.5 million, defaulted par of $6.1 million, a weighted average default probability of 16.64% (implying a WARF of 2852), a weighted average recovery rate upon default of 47.86%, a diversity score of 15 and a weighted average spread of 3.75% (before accounting for LIBOR floors). Moody's incorporates the default and recovery properties of the collateral pool in cash flow model analysis where they are subject to stresses as a function of the target rating on each CLO liability reviewed. Moody's derives the default probability from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate for future defaults is based primarily on the seniority of the assets in the collateral pool. Moody's generally applies recovery rates for CLO securities as published in "Moody's Approach to Rating SF CDOs". In some cases, alternative recovery assumptions may be considered based on the specifics of the analysis of the CLO transaction. In each case, historical and market performance and the collateral manager's latitude for trading the collateral are also factors. SALOMON BROTHERS 2000-C2: Moody's Affirms Caa3 Rating on Cl. X Debt ------------------------------------------------------------------- Moody's Investors Service has affirmed the rating on one interest-only class in Salomon Brothers Mortgage Securities VII, Inc. 2000-C2, Commercial Mortgage Pass-Through Certificates, Series 2000-C2 as follows: Cl. X, Affirmed Caa3 (sf); previously on Apr 8, 2016 Affirmed Caa3 (sf) RATINGS RATIONALE The rating on the interest-only (IO) class was affirmed based on the credit performance of its referenced classes. Moody's rating action reflects a base expected loss of 16.4% of the current balance, compared to 53.1% at Moody's last review. Moody's base expected loss plus realized losses is now 7.6% of the original pooled balance, compared to 8.1% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING: The rating of an IO class is based on the credit performance of its referenced classes. An IO class may be upgraded based on a lower weighted average rating factor or WARF due to an overall improvement in the credit quality of its reference classes. An IO class may be downgraded based on a higher WARF due to a decline in the credit quality of its reference classes, paydowns of higher quality reference classes or non-payment of interest. Classes that have paid off through loan paydowns or amortization are not included in the WARF calculation. Classes that have experienced losses are grossed up for losses and included in the WARF calculation, even if Moody's has withdrawn the rating. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in this rating was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in October 2015. Additionally, the methodology used in rating Cl. X was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in October 2015. Please note that on February 27, 2017, Moody's released a "Request for Comment" in which it has requested market feedback on proposed changes to its methodology for rating structured finance interest-only (IO) securities called "Moody's Approach to Rating Structured Finance Interest-Only Securities," dated October 20, 2015. If Moody's adopts the new methodology as proposed, the changes could affect the ratings of Salomon Brothers Mortgage Securities VII, Inc. 2000-C2, Commercial Mortgage Pass-Through Certificates, Series 2000-C2. DESCRIPTION OF MODELS USED Moody's review incorporated the use of the excel-based Large Loan Model. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. DEAL PERFORMANCE As of the February 21, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 99% to $6.2 million from $781.5 million at securitization. The Certificates are collateralized by six mortgage loans ranging in size from 4.1% to 32.7% of the pool. Three loans, constituting 54% of the pool, have defeased and are secured by US government securities. There are no loans on the master servicer's watchlist. Twenty-six loans have been liquidated from the pool, resulting in an aggregate realized loss of $58.5 million (for an average loss severity of 65%). One loan, constituting 32.7% of the pool is currently in special servicing. The specially serviced loan is the former Diamond Point Plaza Loan ($2.03 million). The loan has been in special servicing since 2002.The loan was originally secured by a 251,000 square foot (SF) retail center located in suburban Baltimore, Maryland; however, the collateral was sold for $5 million in December 2012. Sale proceeds were used to partially recover outstanding expenses. A settlement has been reached on all disputes, resulting in a repayment of ASERs and a $12 million paydown of the loan. The largest non-defeased and non-specially serviced loan represents 9.5% of the pool balance. The loan is the Eckerd's- Gloversville Loan ($587,018), which is secured by a 10,910 SF retail property located in Gloversville, New York approximately 50 miles northwest of Albany. The property was originally leased to Eckerd's, however, it is now fully occupied by Rite-Aid. Rite-Aid's lease is co-terminus with the maturity date of the loan. The loan is fully amortizing and has amortized 76% since securitization. Due to the single tenant exposure, Moody's value incorporated a lit/dark analysis. Moody's LTV and stressed DSCR are 29% and 3.77X, respectively, compared to 33% and 3.27X, at the last review. The other non-defeased and non-specially serviced loan in the pool is the Southcenter Strip Retail Center Loan ($254,741 -- 4.1% of the pool). The loan is secured by an unanchored retail center located in Tukwila, Washington. As of September 2016, the property was 100% leased to six tenants. The largest tenants include Car Toys, Men's Wearhouse and Mattress Depot. The loan is fully amortizing and has amortized 84% since securitization SEQUOIA MORTGAGE 2017-3: Moody's Gives (P)B2 Rating to B-4 Debt --------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to the classes of residential mortgage-backed securities (RMBS) issued by Sequoia Mortgage Trust (SEMT) 2017-3. 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 2017-3 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aaa (sf) Cl. A-14, Assigned (P)Aaa (sf) Cl. A-15, Assigned (P)Aaa (sf) Cl. A-16, Assigned (P)Aaa (sf) Cl. A-17, Assigned (P)Aaa (sf) Cl. A-18, Assigned (P)Aaa (sf) Cl. A-19, Assigned (P)Aa1 (sf) Cl. A-20, Assigned (P)Aa1 (sf) Cl. A-21, Assigned (P)Aa1 (sf) Cl. A-22, Assigned (P)Aaa (sf) Cl. A-23, Assigned (P)Aaa (sf) Cl. A-24, Assigned (P)Aaa (sf) Cl. A-IO1, Assigned (P)Aaa (sf) Cl. A-IO2, Assigned (P)Aaa (sf) Cl. A-IO3, Assigned (P)Aaa (sf) Cl. A-IO4, Assigned (P)Aaa (sf) Cl. A-IO5, Assigned (P)Aaa (sf) Cl. A-IO6, Assigned (P)Aaa (sf) Cl. A-IO7, Assigned (P)Aaa (sf) Cl. A-IO8, Assigned (P)Aaa (sf) Cl. A-IO9, Assigned (P)Aaa (sf) Cl. A-IO10, Assigned (P)Aaa (sf) Cl. A-IO11, Assigned (P)Aaa (sf) Cl. A-IO12, Assigned (P)Aaa (sf) Cl. A-IO13, Assigned (P)Aaa (sf) Cl. A-IO14, Assigned (P)Aaa (sf) Cl. A-IO15, Assigned (P)Aaa (sf) Cl. A-IO16, Assigned (P)Aaa (sf) Cl. A-IO17, Assigned (P)Aaa (sf) Cl. A-IO18, Assigned (P)Aaa (sf) Cl. A-IO19, Assigned (P)Aaa (sf) Cl. A-IO20, Assigned (P)Aa1 (sf) Cl. A-IO21, Assigned (P)Aa1 (sf) Cl. A-IO22, Assigned (P)Aa1 (sf) Cl. A-IO23, Assigned (P)Aaa (sf) Cl. A-IO24, Assigned (P)Aaa (sf) Cl. A-IO25, Assigned (P)Aaa (sf) Cl. B-1, Assigned (P)A1 (sf) Cl. B-2, Assigned (P)Baa1 (sf) Cl. B-3, Assigned (P)Ba1 (sf) Cl. B-4, Assigned (P)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 4.50% 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 2017-3 transaction is a securitization of 485 first lien residential mortgage loans, with an aggregate unpaid principal balance of $345,240,401. There are 107 originators in this pool, including Quicken Loans Inc. (10.56%) and First Republic Bank (1.87%). In addition, Redwood Residential Acquisition Corporation (Redwood) acquired approximately 10.86% of the mortgage loans by stated principal balance from the Federal Home Loan Bank of Chicago (FHLB Chicago). The mortgage loans purchased by Redwood from FHLB Chicago were originated by various participating financial institution originators. The mortgage loans purchased by Redwood from FHLB Chicago were originated by various participating financial institution originators and purchased by Redwood according to its acquisition guidelines. None of the originators other than Quicken Loans Inc. contributed 5.00% or more 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. The loans were all aggregated by Redwood, which Moody's has assessed as an aggregator of prime jumbo residential mortgages that is stronger than its peers. As of the January 2017 remittance report, 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 1.25% 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 481 loans, the TPR firm conducted a review for credit, property valuation, compliance and data integrity ("full review"). For the remaining four 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 four 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. Each of the originators makes the loan-level R&Ws for the loans it originated, except for loans acquired by Redwood from the FHLB Chicago. Redwood acquired 10.86% of the mortgage loans by outstanding principal balance from the FHLB Chicago. The mortgage loans purchased by Redwood from the FHLB Chicago were originated by various participating financial institution originators. For these mortgage loans, FHLB Chicago will provide the loan-level R&Ws that are assigned to the trust. 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 and Servicers 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. Moody's assesses the overall servicing arrangement of this pool as adequate. 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. There are three servicers in this pool, including Shellpoint Mortgage Servicing (95.05%), Cenlar FSB (3.07%), and First Republic Bank (1.87%). 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, and 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, www.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. SOUND POINT: S&P Affirms BB+ Rating on Class E Notes ---------------------------------------------------- S&P Global Ratings raised its ratings on the class B, C, and D notes from Sound Point CLO I Ltd., a U.S. collateralized loan obligation (CLO) managed by Sound Point Capital Management L.P. S&P also removed the class B, C, D, and E note ratings from CreditWatch, where it placed them with positive implications on Dec. 6, 2016. At the same time, S&P affirmed its ratings on the class A and E notes from the same transaction. The rating actions follow S&P's review of the transaction's performance using data from the Jan. 10, 2017, trustee report. The upgrades reflect the transaction's $161.78 million in paydowns to the class A notes since our March 2016 rating actions. These paydowns resulted in improved reported overcollateralization (O/C) ratios since the Feb. 10, 2016, trustee report, which S&P used for its previous rating actions: -- The class A/B O/C ratio improved to 159.2% from 136.0%. -- The class C O/C ratio improved to 130.99% from 120.9%. -- The class D O/C ratio improved to 119.8% from 113.9%. -- The class E O/C ratio improved to 111.6% from 108.4%. S&P affirmed its ratings on the class A and E notes to reflect the availability of sufficient credit support at their current rating levels. Due to the subordinate nature of the class E notes, they did not experience a similar increase in their O/C ratio, as compared to the more senior notes, since S&P's last rating action. S&P's review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the aforementioned January 2017 trustee report, to estimate future performance. In line with S&P's criteria, its cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, S&P's analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis demonstrated, in S&P's view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions. S&P will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and will take rating actions as S&P deems necessary. RATINGS RAISED AND REMOVED FROM CREDITWATCH POSITIVE Sound Point CLO I Ltd. Rating Class To From B AAA (sf) AA+ (sf)/Watch POS C AA+ (sf) A+ (sf)/Watch POS D A+ (sf) BBB+ (sf)/Watch POS RATING AFFIRMED AND REMOVED FROM CREDITWATCH POSITIVE Sound Point CLO I Ltd. Rating Class To From E BB+ (sf) BB+ (sf)/Watch POS RATING AFFIRMED Sound Point CLO I Ltd. Class Rating A AAA (sf) TIAA CLO II: S&P Assigns Preliminary BB- Rating on Cl. E Notes -------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to TIAA CLO II Ltd./TIAA CLO II LLC's $368.00 million 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 March 7, 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 TIAA CLO II Ltd./TIAA CLO II LLC Class Rating Amount (mil. $) A AAA (sf) 254.000 B AA (sf) 42.000 C (deferrable) A (sf) 35.000 D (deferrable) BBB (sf) 20.000 E (deferrable) BB- (sf) 17.000 Subordinated notes NR 36.625 NR--Not rated. TOWD POINT 2017-1: DBRS Finalizes Prov. B Rating on Class B2 Debt ----------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following Asset Backed Securities, Series 2017-1 (the Notes) issued by Towd Point Mortgage Trust 2017-1 (the Trust): -- $1,358.1 million Class A1 at AAA (sf) -- $115.5 million Class A2 at AA (sf) -- $120.6 million Class M1 at A (sf) -- $101.1 million Class M2 at BBB (sf) -- $94.9 million Class B1 at BB (sf) -- $74.2 million Class B2 at B (sf) -- $115.5 million Class A2A at AA (sf) -- $115.5 million Class A2B at AA (sf) -- $115.5 million Class X1 at AA (sf) -- $115.5 million Class X2 at AA (sf) -- $120.6 million Class M1A at A (sf) -- $120.6 million Class M1B at A (sf) -- $120.6 million Class X3 at A (sf) -- $120.6 million Class X4 at A (sf) -- $101.1 million Class M2A at BBB (sf) -- $101.1 million Class M2B at BBB (sf) -- $101.1 million Class X5 at BBB (sf) -- $101.1 million Class X6 at BBB (sf) The AAA (sf) ratings on the Notes reflect the 34.15% of credit enhancement provided by subordinated Notes in the pool. The AA (sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings reflect credit enhancement of 28.55%, 22.70%, 17.80%, 13.20% and 9.60%, respectively. Other than the specified classes above, DBRS does not rate any other classes in this transaction. This transaction is a securitization of a portfolio of seasoned performing and re-performing first-lien residential mortgages. The Notes are backed by 11,398 loans with a total principal balance of $2,062,359,364 as of the Cut-Off Date (January 31, 2017). As of the Statistical Calculation Date (December 31, 2016), the portfolio contains 11,459 loans with a total principal balance of approximately $2,076,424,870. All the below statistics regarding the mortgage loans are based on the Statistical Calculation Date. The portfolio contains 84.3% modified loans. Within the pool, 4,355 mortgages have non-interest-bearing deferred amounts, which equates to 8.5% of the total principal balance. The modifications happened more than two years ago for 91.6% of the modified loans. The loans are approximately 126 months seasoned. All loans (100.0%) were current as of the Statistical Calculation Date, including 0.8% bankruptcy-performing loans. Approximately 78.8% of the mortgage loans have been zero times 30 days delinquent (0 x 30) for at least the past 24 months under both the Office of Thrift Supervision (OTS) and Mortgage Bankers Association (MBA) delinquency methods. In accordance with the CFPB Qualified Mortgage (QM) rules, 0.9% of the loans are designated as QM Safe Harbor, 0.1% as QM Rebuttable Presumption and 0.2% as non-QM. Approximately 98.8% of the loans are not subject to the QM rules. FirstKey Mortgage, LLC (FirstKey) will acquire the loans from various transferring trusts on or prior to the Closing Date. The transferring trusts acquired the mortgage loans between 2013 and 2016 and are beneficially owned by both the Responsible Party and other funds managed by affiliates of Cerberus Capital Management, L.P. Upon acquiring the loans from the transferring trusts, FirstKey, through a wholly owned subsidiary, Towd Point Asset Funding, LLC, will contribute loans to the Trust. As the Sponsor, FirstKey, through a majority-owned affiliate, will acquire and retain a 5% eligible vertical interest in each class of securities to be issued (other than any residual certificates) to satisfy the credit risk retention requirements. These loans were originated and previously serviced by various entities through purchases in the secondary market. As of the Statistical Calculation Date, all loans are serviced by Select Portfolio Servicing, Inc. There will not be any advancing of delinquent principal or interest on any mortgages by the servicer or any other party to the transaction; however, the servicer is obligated to make advances in respect of taxes and insurance, reasonable costs and expenses incurred in the course of servicing and disposing of properties. FirstKey, as the Asset Manager, has the option to sell certain non-performing loans or real estate owned properties to unaffiliated third parties individually or in bulk sales. The asset sale price has to equal a minimum reserve amount to maximize liquidation proceeds of such loans or properties. The transaction employs a sequential-pay cash flow structure. Principal proceeds can be used to cover interest shortfalls on the Notes, but such shortfalls on Class M1 and more subordinate bonds will not be paid until the more senior classes are retired. The ratings reflect transactional strengths that include underlying assets that generally performed well through the crisis, strong servicers and Asset Manager oversight. Additionally, a satisfactory third-party due diligence review was performed on the portfolio with respect to regulatory compliance, payment history and data capture as well as title and tax review. Servicing comments were reviewed for a sample of loans. Updated broker price opinions or exterior appraisals were provided for 100.0% of the pool; however, a reconciliation was not performed on the updated values. The transaction employs a relatively weak representations and warranties framework that includes a 13-month sunset, an unrated representation provider (FirstKey) with a backstop by an unrated entity (Cerberus Global Residential Mortgage Opportunity Fund, L.P.), certain knowledge qualifiers and fewer mortgage loan representations relative to DBRS criteria for seasoned pools. Mitigating factors include (1) significant loan seasoning and relative clean performance history in recent years, (2) a comprehensive due diligence review and (3) a strong representations and warranties enforcement mechanism, including delinquency review trigger and breach reserve accounts. The lack of principal and interest advances on delinquent mortgages may increase the possibility of periodic interest shortfalls to the Noteholders; however, principal proceeds can be used to pay interest to the Notes sequentially, and subordination levels are greater than expected losses, which may provide for timely payment of interest to the rated Notes. The DBRS ratings of AAA (sf) and AA (sf) address the timely payment of interest and full payment of principal by the legal final maturity date in accordance with the terms and conditions of the related Notes. The DBRS ratings of A (sf), BBB (sf), BB (sf) and B (sf) address the ultimate payment of interest and full payment of principal by the legal final maturity date in accordance with the terms and conditions of the related Notes. WACHOVIA BANK 2006-C23: S&P Lowers Rating on Cl. H Certs to 'CCC-' ------------------------------------------------------------------ S&P Global Ratings raised its rating on the class F commercial mortgage pass-through certificates from Wachovia Bank Commercial Mortgage Trust Series 2006-C23, a U.S. commercial mortgage-backed securities (CMBS) transaction. In addition, S&P lowered its rating on class H and affirmed its rating on class G from the same transaction. S&P's rating actions follow its analysis of the transaction, primarily using its criteria for rating U.S. and Canadian CMBS transactions, which included a review of the credit characteristics and performance of the remaining assets in the pool, the transaction's structure, and the liquidity available to the trust. S&P raised its rating on class F to reflect its expectation of the available credit enhancement for the class, which S&P believes is greater than its most recent estimate of necessary credit enhancement for the rating level. The upgrade also reflects S&P's views regarding the current and future performance of the transaction's collateral, the available liquidity support, and the significant reduction in the trust balance. While available credit enhancement levels suggest further positive rating movement on class F, S&P's analysis also considered the susceptibility to reduced liquidity support from the 12 specially serviced assets ($216.9 million, 84.6%). The downgrade on class H reflects accumulated interest shortfalls that S&P expects will remain outstanding in the near term as well as credit support erosion that S&P anticipates will occur upon the eventual resolution of the 12 assets with the special servicer (discussed below). Class H has accumulated interest shortfalls outstanding for six consecutive months. According to the Feb. 17, 2017, trustee remittance report, the current monthly interest shortfalls totaled $1,120,584 and resulted primarily from: -- Other expenses (primarily from recoveries of property protection advances and legal expenses) totaling $546,400; -- Interest reductions due to nonrecoverability determination totaling $391,062; -- Appraisal subordinate entitlement reduction amounts totaling $196,647; and -- Special servicing fees totaling $45,238. The current interest shortfalls affected classes subordinate to and including class G. The affirmation on class G reflects S&P's expectation that the available credit enhancement for the class will be within its estimate of the necessary credit enhancement required for the current rating and S&P's views regarding the current and future performance of the transaction's collateral. S&P's analysis also considered that while the class has experienced interest shortfalls as of the February 2017 trustee remittance report, S&P expects the accumulated interest shortfalls to be repaid in the near term, though S&P believes this class is susceptible to periodic interest shortfalls. TRANSACTION SUMMARY As of the Feb. 17, 2017, trustee remittance report, the collateral pool balance was $256.3 million, which is 6.1% of the pool balance at issuance. However, the trust balance was $280.2 million. The pool currently includes nine loans (reflecting crossed loans) and nine real estate-owned (REO) assets, down from 270 loans at issuance. None are defeased, 12 assets are with the special servicer, and two crossed loans ($19.5 million, 7.6%) are on the master servicer's watchlist. The master servicer, Wells Fargo Bank N.A., reported financial information for 91.0% of the loans in the pool, of which 47.0% was partial- or year-end 2016 data, and the remainder was year-end 2015 data. S&P calculated a 1.43x S&P Global Ratings' weighted average debt service coverage (DSC) and 64.9% S&P Global Ratings' weighted average loan-to-value (LTV) ratio using a 7.69% S&P Global Ratings' weighted average capitalization rate. The DSC, LTV, and capitalization rate calculations exclude the 12 specially serviced assets, nine of which comprised the top 10 assets. To date, the transaction has experienced $129.2 million in principal losses, or 3.1% of the original pool trust balance. S&P expects losses to reach approximately 6.3% of the original pool trust balance in the near term, based on losses incurred to date, additional losses S&P expects upon the eventual resolution of the 12 specially serviced assets, and the write-off of approximately $24.0 million of the under-collateralization amount. CREDIT CONSIDERATIONS As of the Feb.17, 2017, trustee remittance report, 12 assets in the pool were with the special servicer, CWCapital Asset Management LLC (CWCapital). Details of the three largest specially serviced assets, which are the three largest assets in the pool, are: -- The TownMall of Westminster loan ($39.3 million, 15.4%) is the largest asset in the pool. The loan has a total reported exposure of $43.1 million. The loan is secured by 444,110 sq. ft. of a 628,519-sq.-ft. enclosed regional mall in Westminster, Md. The loan, which has a reported nonperforming matured balloon payment status, was transferred to the special servicer on June 18, 2015, due to imminent maturity default. The loan matured on Dec. 11, 2015. Based on recent comments from the special servicer, it is S&P's understanding that the note is being marketed for sale in April 2017. As of the nine months ended Sept. 30, 2016, the reported DSC was 0.98x, and the collateral's reported occupancy was 74.0% as of December 2016. An appraisal reduction amount (ARA) of $21.0 million is in effect against this loan. S&P expects a significant loss upon this loan's eventual resolution. The Marriott Renaissance - Philadelphia, PA loan ($32.7 million, 12.8%) is the second-largest asset in the pool and has a total reported exposure of $32.9 million. The loan is secured by a 349-room full-service hotel in Philadelphia, Pa. The loan was transferred to the special servicer on Dec. 23, 2015, due to imminent maturity default. The loan matured on Jan. 11, 2016. According to CWCapital, the strategy is to foreclose and stabilize the property. As of the six months ended June 30, 2016, the reported DSC was 1.20x, and reported occupancy was 71.1% for the trailing 12 months ended Nov. 30, 2016. An ARA of $9.7 million is in effect against this loan. S&P expects a moderate loss upon this loan's eventual resolution. The 100 Motor Parkway loan ($28.5 million, 11.1%) is the third-largest asset in the pool and has a total reported exposure of $30.6 million. The loan is secured by a 191,818-sq.-ft. suburban office property in Hauppauge, N.Y. The loan was transferred to the special servicer on Dec. 21, 2015, due to maturity default. The loan matured on Jan. 11, 2016. CWCapital indicated that the workout strategy is to market the note for sale as part of the May 2017 auction. As of the nine months ended Sept. 30, 2016, the reported DSC and occupancy were 0.83x and 55.3%, respectively. An ARA of $7.9 million is in effect against this loan. S&P expects a moderate loss upon this loan's eventual resolution. The nine remaining assets with the special servicer each have individual balances that represent less than 10.0% of the total pool trust balance. S&P estimated losses for the 12 specially serviced assets, arriving at a weighted-average loss severity of 52.9%. With respect to the specially serviced assets noted above, a minimal loss is less than 25%, a moderate loss is 26%-59%, and a significant loss is 60% or greater. RATING RAISED Wachovia Bank Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2006-C23 Rating Class To From Credit enhancement (%) F BBB (sf) BB (sf) 85.95 RATING LOWERED Wachovia Bank Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2006-C23 Rating Class To From Credit enhancement (%) H CCC- (sf) B (sf) 48.22 RATING AFFIRMED Wachovia Bank Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2006-C23 Class Rating Credit enhancement (%) G B+ (sf) 67.08 WACHOVIA BANK 2006-C24: Moody's Affirms B3 Rating on Class C Certs ------------------------------------------------------------------ Moody's Investors Service has affirmed the ratings on five classes in Wachovia Bank Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2006-C24 as follows: Cl. B, Affirmed B2 (sf); previously on Mar 23, 2016 Affirmed B2 (sf) Cl. C, Affirmed B3 (sf); previously on Mar 23, 2016 Affirmed B3 (sf) Cl. D, Affirmed Caa3 (sf); previously on Mar 23, 2016 Downgraded to Caa3 (sf) Cl. E, Affirmed C (sf); previously on Mar 23, 2016 Affirmed C (sf) Cl. X-C, Affirmed Caa3 (sf); previously on Mar 23, 2016 Downgraded to Caa3 (sf) RATINGS RATIONALE The ratings on the P&I classes were affirmed because the ratings are consistent with Moody's expected loss. The rating on the IO class, Class X-C, was affirmed based on the credit performance (or the weighted average rating factor or WARF) of its referenced classes. Moody's rating action reflects a base expected loss of 34.6% of the current balance, compared to 26.8% at Moody's last review. Moody's base expected loss plus realized losses is now 10.5% of the original pooled balance, compared to 10.6% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in October 2015. Additionally, the methodology used in rating Cl. X-C was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in October 2015. Please note that on February 27, 2017, Moody's released a "Request for Comment" in which it has requested market feedback on proposed changes to its methodology for rating structured finance interest-only (IO) securities called "Moody's Approach to Rating Structured Finance Interest-Only Securities," dated October 20, 2015. If Moody's adopts the new methodology as proposed, the changes could affect the ratings of WBCMT 2006-C24. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 19% of the pool is in special servicing and an additional 77% of the pool was identified as troubled loans by Moody's. In this approach, Moody's determines a probability of default for each specially serviced and troubled loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss from specially serviced and troubled loans to the most junior class(es) and the recovery as a pay down of principal to the most senior class(es). DESCRIPTION OF MODELS USED Moody's analysis used the excel-based Large Loan Model. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan-level proceeds derived from Moody's loan-level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure and property type. Moody's also further adjusts these aggregated proceeds for any pooling benefits associated with loan level diversity and other concentrations and correlations. DEAL PERFORMANCE As of the February 17, 2017 distribution date, the transaction's aggregate certificate balance has decreased by approximately 97% to $67.2 million from $2.00 billion at securitization. The certificates are collateralized by five mortgage loans ranging in size from less than 5% to 72% of the pool. Three loans, constituting 81% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Twenty-four loans have been liquidated from the pool, contributing to an aggregate realized loss of $187.6 million (for an average loss severity of 49%). Two loans, constituting 18.6% of the pool, are currently in special servicing. The largest specially serviced loan is the Union Square Loan ($6.3 million -- 9.4% of the pool), which is secured by a 75,000 square foot (SF) retail property located in Monroe, North Carolina. The property lost two anchor tenants, representing a combined 55% of the net rentable area (NRA), in 2015 and transferred to special servicing in January 2016 for imminent default. As of June 2016, the property was 39% leased to eleven tenants, up from 27% at Moody's prior review. The other specially serviced loan is the 131 Danbury Loan ($6.2 million -- 9.2% of the pool), which is secured by a 53,000 SF Class B suburban office building located in Wilton, Connecticut. The loan transferred to special servicing in February 2016 after the borrower was unable to payoff the loan at its original maturity date. The building was originally built as flex space and subsequently renovated and converted to office units in 1998. The property is 96% leased to two tenants, representing 81% of the NRA and 16% of the NRA, with lease expirations in 2018. The special servicer is dual tracking foreclosure and an extension modification. In addition to the specially serviced loans, Moody's has assumed a high default probability for two performing loans, constituting 77% of the pool, and has estimated an aggregate loss of $23.3 million (a 36% expected loss on average) from these specially serviced and troubled loans. As of the February 17, 2017 remittance statement cumulative interest shortfalls were $11.3 million. Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced loans and/or modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. The three performing loans not in specially servicing represent 81% of the pool balance. The largest loan is the Bank of America -- Pasadena, CA Loan ($48.8 million -- 72.4% of the pool), which is secured by a 346,000 SF office building in Pasadena, California. The property operates on a triple net basis and is 100% occupied by Bank of America through October 2019. The Borrower was unable to pay off the loan by the September 2015 anticipated repayment date (ARD). Starting in October 2015, the loan entered into a hyper-amortization period through the final maturity date in December 2019. Due to the single tenant exposure, Moody's value incorporates a "lit/dark" analysis. The loan is on the master servicer's watchlist due to low DSCR and Moody's has identified this as a troubled loan. The second largest performing loan is the St. Laurent Warehouses Pool Loan ($3.2 million -- 4.7% of the pool), which is secured by a portfolio of five flex industrial buildings constructed in various years between 1973 and 2003. As of September 2016, the overall portfolio was 96% leased, unchanged from 2015. The fully-amortizing loan has amortized 39% since securitization and matures in March 2026. Moody's LTV and stressed DSCR are 69% and 1.38X, respectively, compared to 60% and 1.60X at the last review. The third largest loan is the Walgreens -- East Ridge, TN Loan ($2.9 million -- 4.4% of the pool), which is secured by a 15,000 SF single tenant retail property constructed in 2001 and located in East Ridge, Tennessee. The property is leased and occupied by Walgreens through 2060. The loan, which did not pay off by its ARD in December 2015, has a final maturity in December 2035. Within two miles of the subject, there is a CVS and Rite Aid. Moody's value incorporated a "lit/dark" analysis due to the single tenant exposure. The loan remains on the master servicer's watchlist for passing its ARD and Moody's has identified this as a troubled loan. WELLS FARGO 2014-C20: DBRS Confirms Bsf Rating on Class F Debt -------------------------------------------------------------- DBRS Limited confirmed all classes of Commercial Mortgage Pass-Through Certificates, Series 2014-C20 (the Certificates), issued by Wells Fargo Commercial Mortgage Trust 2014-C20 as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-S at AAA (sf) -- Class A-SFL at AAA (sf) -- Class A-SFX at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AAA (sf) -- Class X-C at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (sf) -- Class F at B (sf) All trends are Stable. DBRS does not rate the first loss piece, Class G. The rating confirmations reflect the overall stable performance exhibited by the transaction since issuance in 2014. The collateral consists of 98 fixed-rate loans secured by 142 commercial properties. As of the February 2017 remittance, the pool had an aggregate balance of approximately $1.21 billion, representing a collateral reduction of 2.8%, due to scheduled loan amortization. One loan (0.8% of the pool) is secured by collateral that has been fully defeased. The pool is primarily concentrated by three property types, as 24 loans representing 34.1% of the pool are secured by retail properties (two of which are regional malls representing 14.4% of the pool), 11 loans (23.0% of the pool) are secured by office properties and 19 loans (18.5% of the pool) are secured by hotel properties. By geographical location, the pool is relatively diverse, as the largest concentration by state is in New Jersey, with three loans (15.2% of the pool), followed by Texas with 14 loans (14.5% of the pool), New York with 15 loans (13.9% of the pool) and California with 16 loans (9.8% of the pool). Two loans (2.7% of the pool) are structured with full interest-only (IO) terms, while an additional 11 loans (30.5% of the pool) have partial IO periods remaining, ranging from two months to 27 months. Excluding defeasance, 22 loans (17.9% of the pool) have reported YE2016 net cash flow (NCF) figures, while 86 loans (95.6% of the pool) reported partial-year 2016 (most being Q3 2016) NCF figures and 95 loans (99.3% of the pool) reported YE2015 NCF figures. According to the YE2015 NCF figures, the transaction had a weighted-average (WA) amortizing debt service coverage ratio (DSCR) and WA debt yield of 1.62 times (x) and 10.6%, respectively, compared with the DBRS issuance figures of 1.48x and 9.4%, respectively. Based on the partial year 2016 cash flows, the Top 14 loans (54.8% of the pool) reported a WA amortizing DSCR of 1.51x, compared with the DBRS issuance figure of 1.38x, reflective of a WA NCF growth of 12.3%. There are four loans (13.6% of the pool) in the Top 14 exhibiting NCF declines compared with the DBRS UW figures, with declines ranging from -6.6% to -45.9%. These four loans include Rockwell – ARINC HQ (Prospectus ID#5, 4.0% of the pool), Brunswick Square (Prospectus ID#6, 3.7% of the pool), Residence Inn Adventura (Prospectus ID#8, 3.0% of the pool) and Savoy Retail & 60th Street Residential (Prospectus ID#9, 2.9% of the pool). Excluding Savoy Retail & 60th Street Residential, which recently experienced increased vacancy, trends for the remaining three loans do not appear indicative of performance declines to be sustained long-term. DBRS will monitor these loans for developments through the full year-end reporting. As of the February 2017 remittance, there is one loan (2.2% of the pool) in special servicing and seven loans (6.2% of the pool) on the servicer's watchlist. The loan in special servicing, Minneapolis Apartment Portfolio (Prospectus ID#10), is secured by 17 Class B multifamily properties, comprising 437 units, all located in Minneapolis, Minnesota. The loan transferred to special servicing in January 2017 because of an ongoing inquiry from the city into the rental license of the sponsor, as the city's inquiry reportedly alleges fraudulent and deceptive business practices. The loan is currently 30 to 59 days delinquent. Of the seven loans currently on the servicer's watchlist, five loans (5.3% of the pool) were flagged due to recent declines in occupancy and/or near-term tenant rollover, whereas the sixth loan (0.6% of the pool) was flagged due to deferred maintenance and the remaining loan (0.3% of the pool) was flagged due to outstanding financials. Based on the most recent cash flow reporting (partial-year 2016 financials), these seven loans reported a WA amortizing DSCR of 1.32x, compared to the DBRS issuance figure of 2.09x, reflective of a WA amortizing NCF decline of -14.8%. At issuance, DBRS shadow-rated the Rockwell – ARINC HQ loan (Prospectus ID#5, 3.9% of the pool) as investment grade. DBRS has today confirmed that the performance of this loan is consistent with investment-grade loan characteristics. Additionally, the shadow rating applied at issuance for the Savoy Retail & 60th Street Residential loan (Prospectus ID #9, 2.9% of the pool) has been removed as the credit metrics for the loan have deteriorated since issuance following the loss of the property's anchor restaurant tenant in early 2016. The ratings assigned to Classes C, E and F 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 was not demonstrated and, as such, was reflected in the ratings. WELLS FARGO 2015-NXS1: Fitch Affirms 'B-sf' Rating on 2 Tranches ---------------------------------------------------------------- Fitch Ratings has affirmed 16 classes of Wells Fargo Commercial Mortgage Trust 2015-NXS1 commercial mortgage pass-through certificates. KEY RATING DRIVERS The affirmations follow the overall stable performance of the underlying loans. There have been no material changes to the pool since issuance; therefore, the original rating analysis was considered in affirming the transaction. As of the January 2017 distribution date, the pool's aggregate principal balance has been reduced by 1.1% to $944.7 million from $955.2 million at issuance. There are three loans (3.8%) on the servicer's watchlist. The largest watchlist loan (2.1%) is secured by a 126,962 square foot (sf) office building located in Raleigh, NC. The property's sole tenant is dark after being acquired by a Canadian pharmaceutical company in April 2015. However, the tenant continues to pay rent under the lease obligations and the loan has remained current. Stable Performance: There have been no material changes to the pool's overall performance since issuance. All loans are performing in-line with Fitch's expectations. Single Tenant Properties: The pool consists of 47 (36.3%) single-tenanted properties, including collateral for three of the top 10 loans. Above-Average Collateral Quality: The pool's collateral exhibits above-average quality. At issuance, 13 properties (50.8%) received property quality grades of 'B+' or better. Interest-Only Loans: Seven loans (24.9%) are full-term interest-only and 24 loans (45.9%) are partial-interest only. RATING SENSITIVITIES The Rating Outlooks on all classes remain Stable. Fitch does not foresee positive or negative ratings migration until a material economic or asset-level event changes the transaction's overall portfolio-level metrics. DUE DILIGENCE USAGE PURSUANT TO SEC RULE 17G-10 No third-party due diligence was provided or reviewed in relation to this rating. Fitch affirms the following classes: -- $21.9 million class A-1 at 'AAAsf'; Outlook Stable; -- $164.2 million class A-2 at 'AAAsf'; Outlook Stable; -- $20.8 million class A-3 at 'AAAsf'; Outlook Stable; -- $155 million class A-4 at 'AAAsf'; Outlook Stable; -- $237 million class A-5 at 'AAAsf'; Outlook Stable; -- $59.3 million class A-SB at 'AAAsf'; Outlook Stable; -- $54.9 million class A-S at 'AAAsf'; Outlook Stable; -- $713 million* class X-A at 'AAAsf'; Outlook Stable; -- $52.5 million class B at 'AA-sf'; Outlook Stable; -- $45.4 million class C at 'A-sf'; Outlook Stable; -- $152.8 million class PEX at 'A-sf'; Outlook Stable; -- $53.7 million class D at 'BBB-sf'; Outlook Stable; -- $22.9 million* class X-E at' BB-sf'; Outlook Stable; -- $10.7 million* class X-F at 'B-sf'; Outlook Stable; -- $22.7 million class E at 'BB-sf'; Outlook Stable; -- $10.7 million class F at 'B-sf'; Outlook Stable. *Indicates notional amount and interest-only. Class A-S, B and C certificates may be exchanged for class PEX certificates, and class PEX certificates may be exchanged for class A-S, B and C certificates. Fitch does not rate the class G, X-B or X-G certificates. WESTLAKE AUTOMOBILE 2017-1: DBRS Assigns (P)BB Ratings to E Debt ---------------------------------------------------------------- DBRS, Inc. on March 6, 2017, assigned provisional ratings to the following classes of notes issued by Westlake Automobile Receivables Trust 2017-1: -- $167,000,000 Class A-1 at R-1 (high) (sf) -- Class A-2-A at AAA (sf) -- Class A-2-B at AAA (sf) -- $57,730,000 Class B at AA (sf) -- $77,000,000 Class C at A (sf) -- $59,400,000 Class D at BBB (sf) -- $27,230,000 Class E at BB (sf) The combination of Classes A-2-A and A-2-B is expected to equal $211.6 million. The provisional 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 ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the rating addresses the payment of timely interest on a monthly basis and principal by the legal final maturity date for each class. -- The credit quality of the collateral and performance of the auto loan portfolio by origination channels. -- The capabilities of Westlake with regards to originations, underwriting and servicing. -- The quality and consistency of provided historical static pool data for Westlake Services, LLC (Westlake) originations and performance of the Westlake auto loan portfolio. -- Wells Fargo Bank, N.A. (rated AA (high) with a Negative trend and R-1 (high) with a Stable trend by DBRS) has served as a backup servicer for Westlake since 2003, when a conduit facility was put in place. -- The legal structure and presence of legal opinions that will address the true sale of the assets to the Issuer, the non- consolidation of the special-purpose vehicle with Westlake, that the trust has a valid first-priority security interest in the assets and the consistency with the DBRS "Legal Criteria for U.S. Structured Finance" methodology. The collateral securing the notes consists entirely of a pool of retail automobile contracts secured by predominantly used vehicles that typically have high mileage. The loans are primarily made to obligors that are categorized as subprime, largely because of their credit history and credit scores. The ratings on the Class A Notes reflect the 42.00% of initial hard credit enhancement provided by the subordinated notes in the pool, the Reserve Account (1.00%) and overcollateralization (6.50%). The ratings on the Class B, C, D and E Notes reflect 33.00%, 21.00%, 11.75% and 7.50% of initial hard credit enhancement, respectively. Additional credit support may be provided from excess spread available in the structure. WESTLAKE AUTOMOBILE 2017-1: S&P Gives (P)BB Rating on Class E Debt ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Westlake Automobile Receivables Trust 2017-1's $600.00 million 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 March 6, 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 47.76%, 41.00%, 31.22%, 24.20%, and 21.38% credit support for the class A, B, C, D, and E notes, respectively, based on stress cash flow scenarios (including excess spread). These provide approximately 3.50x, 3.00x, 2.30x, 1.75x, and 1.50x, respectively, of S&P's 13.00%-13.50% expected cumulative net loss range. -- The transaction's ability to make timely interest and principal payments under stress cash flow modeling scenarios appropriate for the assigned preliminary ratings. -- S&P's expectation that under a moderate ('BBB') stress scenario, all else being equal, its ratings on the class A and B notes would not be lowered from the assigned preliminary ratings for the life of the deal, S&P's rating on the class C notes would remain within one rating category of the assigned preliminary rating; S&P's rating on the class D notes would remain within two rating categories of the assigned preliminary rating for the life of the deal; and S&P's rating on the class E notes would remain within two rating categories of the assigned preliminary rating over one year, but would ultimately default at month 60, which is within the bounds of S&P's credit stability criteria. -- The collateral characteristics of the securitized pool of subprime automobile loans. -- The originator/servicer's long history in the subprime/specialty auto finance business. -- S&P's analysis of approximately 10 years (2006-2016) of static pool data on the company's lending programs. -- The transaction's payment, credit enhancement, and legal structures. PRELIMINARY RATINGS ASSIGNED Westlake Automobile Receivables Trust 2016-3 Class Rating Type Interest Amount rate(i) (mil. $) A-1 A-1+ (sf) Senior Fixed 167.00 A-2 AAA (sf) Senior Fixed/floating(ii) 211.64 B AA (sf) Subordinate Fixed 57.73 C A (sf) Subordinate Fixed 77.00 D BBB (sf) Subordinate Fixed 59.40 E BB (sf) Subordinate Fixed 27.23 (i)The interest rate for each class will be determined on the pricing date. (ii)The class A-2 notes will be split into fixed-rate class A-2-A and floating-rate class A-2-B. The sizes of class A-2-A and A-2-B will be determined at pricing, and class A-2-B will be a max of 50% of the overall class. The class A-2-B coupon will be expressed as a spread tied to one-month LIBOR. WFRBS COMM 2013-C13: Fitch Affirms 'Bsf' Rating on Cl. F Debt ------------------------------------------------------------- Fitch Ratings has affirmed 13 classes of WFRBS Commercial Mortgage Trust commercial mortgage pass-through certificates series 2013-C13. KEY RATING DRIVERS Stable Overall Performance: Overall pool performance has been as expected with limited changes since issuance. No loans have transferred to special servicing since issuance. There are five loans (6.7%) on the master servicer's watchlist, but the issues noted were considered relatively minor and none are considered Fitch Loans of Concern. Lower Loan Concentration: The largest 10 loans account for 45.5% of the pool balance, which is lower than the average 2011 and 2012 top 10 loan concentrations of 59.9% and 54.2%, respectively. In addition, no loan accounts for more than 10.5% of the pool's balance. Property Type Diversity: The pool has a retail concentration of 20.2%, which is lower than the average of 2012 Fitch-rated deals of 35.9%. Hotel and multifamily properties comprise 17.7% and 8.6% of the pool, respectively, representing greater percentages than the 2012 conduit averages of 13.5% and 6.3%. The pool's office concentration of 29.6% is in line with the 2012 average. Co-operative properties represented 6.9% of the pool. Loan Maturity Schedule: Seven loans mature in 2018 (9.5%) and the remaining 90.5% matures in 2023. As of the February 2017 distribution date, the pool's aggregate principal balance has been reduced by 4.8% to $834.6 million from $876.7 million at issuance. Two loans (2.4% of the pool) are defeased. RATING SENSITIVITIES Rating Outlooks for all classes remain Stable due to the overall stable performance of the pool and continued amortization. Upgrades may occur with improved pool performance and additional paydown or defeasance. Downgrades to the classes are possible should overall pool performance decline. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third-party due diligence was provided or reviewed in relation to this rating action. Fitch has affirmed the following classes: -- $14.1 million class A-1 at 'AAAsf'; Outlook Stable; -- $79.5 million class A-2 at 'AAAsf'; Outlook Stable; -- $200 million class A-3 at 'AAAsf'; Outlook Stable; -- $206.5 million class A-4 at 'AAAsf'; Outlook Stable; -- $662.5 million interest only class X-A at 'AAAsf'; Outlook Stable; -- $81.1 million interest only class X-B at 'A-sf'; Outlook Stable; -- $71.5 million class A-SB at 'AAAsf'; Outlook Stable; -- $91 million class A-S at 'AAAsf'; Outlook Stable; -- $51.5 million class B at 'AA-sf'; Outlook Stable; -- $29.6 million class C at 'A-sf'; Outlook Stable; -- $32.9 million class D at 'BBB-sf'; Outlook Stable; -- $15.3 million class E at 'BBsf'; Outlook Stable; -- $16.4 million class F at 'Bsf'; Outlook Stable. Fitch does not rate the class G certificates or the interest only class X-C certificates. WFRBS COMMERCIAL 2013-C13: Moody's Affirms B2 Rating on Cl. F Debt ------------------------------------------------------------------ Moody's Investors Service has affirmed the ratings of 13 classes in WFRBS Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2013-C13 as follows: Cl. A-1, Affirmed Aaa (sf); previously on Mar 24, 2016 Affirmed Aaa (sf) Cl. A-2, Affirmed Aaa (sf); previously on Mar 24, 2016 Affirmed Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on Mar 24, 2016 Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Mar 24, 2016 Affirmed Aaa (sf) Cl. A-SB, Affirmed Aaa (sf); previously on Mar 24, 2016 Affirmed Aaa (sf) Cl. A-S, Affirmed Aaa (sf); previously on Mar 24, 2016 Affirmed Aaa (sf) Cl. B, Affirmed Aa3 (sf); previously on Mar 24, 2016 Affirmed Aa3 (sf) Cl. C, Affirmed A3 (sf); previously on Mar 24, 2016 Affirmed A3 (sf) Cl. D, Affirmed Baa3 (sf); previously on Mar 24, 2016 Affirmed Baa3 (sf) Cl. E, Affirmed Ba2 (sf); previously on Mar 24, 2016 Affirmed Ba2 (sf) Cl. F, Affirmed B2 (sf); previously on Mar 24, 2016 Affirmed B2 (sf) Cl. X-A, Affirmed Aaa (sf); previously on Mar 24, 2016 Affirmed Aaa (sf) Cl. X-B, Affirmed A2 (sf); previously on Mar 24, 2016 Affirmed A2 (sf) RATINGS RATIONALE The ratings on the P&I classes were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The ratings on the IO classes, Class X-A and Class X-B, were affirmed based on the credit performance of the referenced classes. Moody's rating action reflects a base expected loss of 2.1% of the current balance, compared to 1.9% at Moody's last review. Moody's base expected loss plus realized losses is now 2.0% of the original pooled balance, compared to 1.8% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in December 2014. Additionally, the methodology used in rating Cl. X-A and Cl. X-B was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in October 2015. Please note that on February 27, 2017, Moody's released a "Request for Comment" in which it has requested market feedback on proposed changes to its methodology for rating structured finance interest-only (IO) securities called "Moody's Approach to Rating Structured Finance Interest-Only Securities," dated October 20, 2015. If Moody's adopts the new methodology as proposed, the changes could affect the ratings of WFRBS Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2013-C13. DESCRIPTION OF MODELS USED Moody's review used the excel-based CMBS Conduit Model, which it uses for both conduit and fusion transactions. Credit enhancement levels for conduit loans are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate Moody's uses to estimate Moody's value). Moody's fuses the conduit results with the results of its analysis of investment grade structured credit assessed loans and any conduit loan that represents 10% or greater of the current pool balance. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 25, compared to 26 at Moody's last review. DEAL PERFORMANCE As of the February 17, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 4.8% to $834.6 million from $876.7 million at securitization. The certificates are collateralized by 95 mortgage loans ranging in size from less than 1% to 10.2% of the pool, with the top ten loans (excluding defeasance) constituting 49.4% of the pool. Two loans, constituting 2.4% of the pool, have defeased and are secured by US government securities. Twenty-one loans, constituting 7% of the pool, have investment-grade structured credit assessments Ten loans, constituting 8% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. No loans have been liquidated from the pool and no loans are currently in special servicing. Moody's has assumed a high default probability for three poorly performing loans, constituting 2% of the pool, and has estimated an aggregate loss of $3.5 million (20% expected loss based on a 50% probability default) from these troubled loans. Moody's received full year 2015 operating results for 99% of the pool, and full or partial year 2016 operating results for 93% of the pool. Moody's weighted average conduit LTV is 88%, compared to 90% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 11% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.6%. Moody's actual and stressed conduit DSCRs are 1.91X and 1.22X, respectively, compared to 1.87X and 1.21X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. There are 21 loans with structured credit assessments ($57.7 million -- 7% of the pool) that are secured by multifamily co-op properties located in New Jersey and New York. The top three conduit loans represent 26% of the pool balance. The largest loan is the 301 South College Street Loan ($85 million -- 10.2% of the pool), which represents a pari-passu interest in a $175 million mortgage loan. The loan is secured by a 988,646 square foot Class A office tower located in the central business district of Charlotte, North Carolina. The property's major tenants include Wells Fargo, Womble Carlyle and YMCA. Moody's LTV and stressed DSCR are 103% and 0.99X, respectively, compared to 102% and 1.00X at last review. The second largest loan is the 188 Spear Street and 208 Utah Street Loan ($84 million -- 10.1% of the pool), which is secured by two office buildings located approximately two miles away from each other in San Francisco, California. Major tenants include Amazon, New Relic, Metaswitch Networks Corp, and Warner Brothers Entertainment. As of September 2016, both 188 Spear Street and 208 Utah Street were 100% leased, the same as at last review. Moody's LTV and stressed DSCR are 85% and 1.13X, respectively, compared to 94% and 1.01X at last review. The third largest loan is the General Services Administration (GSA) Portfolio Loan ($50 million -- 6.0% of the pool). The loan is secured by 14 cross-collateralized and cross-defaulted office and flex warehouse buildings totaling 341,000 SF and located throughout 11 states. The loan sponsor is GSA Realty Holdings, Inc. The properties are collectively 98% leased to GSA tenants under 14 long-term leases. Moody's LTV and stressed DSCR are 91% and 1.10X, respectively, the same as at last review. [*] DBRS Reviews 153 Classes From 20 US RMBS Deals -------------------------------------------------- DBRS, Inc. reviewed 153 classes from 20 U.S. residential mortgage-backed security (RMBS) transactions. Of the 153 classes reviewed, four ratings were upgraded, 142 ratings were confirmed, six 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" (see the press release "DBRS Publishes RMBS Insight 1.2: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology," dated November 28, 2016). The transactions consist of U.S. RMBS transactions. The pools backing these transactions consist of subprime 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 the structural features and historical performance that constrain the quantitative model's output. -- RESI Finance Limited Partnership 2004-A & RESI Finance DE Corporation 2004-A, Real Estate Synthetic Investment Securities, Series 2004-A, Class A5 Risk Band -- RESI Finance Limited Partnership 2004-A & RESI Finance DE Corporation 2004-A, Real Estate Synthetic Investment Notes, Series 2004-A, Class B1 Risk Band -- RESI Finance Limited Partnership 2004-B & RESI Finance DE Corporation 2004-B, Real Estate Synthetic Investment Securities, Series 2004-B, Class A5 Risk Band -- RESI Finance Limited Partnership 2004-B & RESI Finance DE Corporation 2004-B, Real Estate Synthetic Investment Notes, Series 2004-B, Class B1 Risk Band -- RESI Finance Limited Partnership 2004-C & RESI Finance DE Corporation 2004-C, Real Estate Synthetic Investment Securities, Series 2004-C, Class A5 Risk Band -- RESI Finance Limited Partnership 2004-C & RESI Finance DE Corporation 2004-C, Real Estate Synthetic Investment Notes, Series 2004-C, Class B1 Risk Band -- RESI Finance Limited Partnership 2005-A & RESI Finance DE Corporation 2005-A, Real Estate Synthetic Investment Securities, Series 2005-A, Class A5 Risk Band -- RESI Finance Limited Partnership 2005-B & RESI Finance DE Corporation 2005-B, Real Estate Synthetic Investment Securities, Series 2005-B, Class A5 Risk Band -- RESI Finance Limited Partnership 2005-C & RESI Finance DE Corporation 2005-C, Real Estate Synthetic Investment Securities, Series 2005-C, Class A5 Risk Band -- RESI Finance Limited Partnership 2003-A & RESI Finance DE Corporation 2003-A, Real Estate Synthetic Investment Securities, Series 2003-A, Class A5 Risk Band -- RESI Finance Limited Partnership 2003-A & RESI Finance DE Corporation 2003-A, Real Estate Synthetic Investment Notes, Series 2003-A, Class B1 Risk Band -- RESI Finance Limited Partnership 2003-A & RESI Finance DE Corporation 2003-A, Real Estate Synthetic Investment Notes, Series 2003-A, Class B2 Risk Band -- RESI Finance Limited Partnership 2003-B & RESI Finance DE Corporation 2003-B, Real Estate Synthetic Investment Securities, Series 2003-B, Class A5 Risk Band -- RESI Finance Limited Partnership 2003-B & RESI Finance DE Corporation 2003-B, Real Estate Synthetic Investment Notes, Series 2003-B, Class B1 Risk Band -- RESI Finance Limited Partnership 2003-B & RESI Finance DE Corporation 2003-B, Real Estate Synthetic Investment Notes, Series 2003-B, Class B2 Risk Band -- RESI Finance Limited Partnership 2003-C & RESI Finance DE Corporation 2003-C, Real Estate Synthetic Investment Securities, Series 2003-C, Class A5 Risk Band -- RESI Finance Limited Partnership 2003-C & RESI Finance DE Corporation 2003-C, Real Estate Synthetic Investment Notes, Series 2003-C, Class B1 Risk Band -- Securitized Asset Backed Receivables LLC Trust 2006-FR1, Mortgage Pass-Through Certificates, Series 2006-FR1, Class A- 2C -- Securitized Asset Backed Receivables LLC Trust 2006-OP1, Mortgage Pass-Through Certificates, Series 2006-OP1, Class M-2 -- Securitized Asset Backed Receivables LLC Trust 2006-OP1, Mortgage Pass-Through Certificates, Series 2006-OP1, Class M-3 -- Securitized Asset Backed Receivables LLC Trust 2006-OP1, Mortgage Pass-Through Certificates, Series 2006-OP1, Class M-4 -- Securitized Asset Backed Receivables LLC Trust 2006-OP1, Mortgage Pass-Through Certificates, Series 2006-OP1, Class M-5 -- Structured Asset Securities Corporation Mortgage Loan Trust 2007-BC3, Mortgage Pass-Through Certificates, Series 2007-BC3, Class 1-A2 -- Structured Asset Securities Corporation Mortgage Loan Trust 2007-BC3, Mortgage Pass-Through Certificates, Series 2007-BC3, Class 2-A2 -- Soundview Home Loan Trust 2005-3, Asset-Backed Certificates, Series 2005-3, Class M-3 -- Wells Fargo Home Equity Asset-Backed Securities 2004-2 Trust, Home Equity Asset-Backed Certificates, Series 2004-2, Class AI-8 -- Wells Fargo Home Equity Asset-Backed Securities 2004-2 Trust, Home Equity Asset-Backed Certificates, Series 2004-2, Class AI-9 -- Wells Fargo Home Equity Asset-Backed Securities 2004-2 Trust, Home Equity Asset-Backed Certificates, Series 2004-2, Class AIII-3 -- Wells Fargo Home Equity Asset-Backed Securities 2004-2 Trust, Home Equity Asset-Backed Certificates, Series 2004-2, Class M- 1 -- Wells Fargo Home Equity Asset-Backed Securities 2004-2 Trust, Home Equity Asset-Backed Certificates, Series 2004-2, Class M- 2 -- Wells Fargo Home Equity Asset-Backed Securities 2004-2 Trust, Home Equity Asset-Backed Certificates, Series 2004-2, Class M- 4 -- Wells Fargo Home Equity Asset-Backed Securities 2004-2 Trust, Home Equity Asset-Backed Certificates, Series 2004-2, Class M- 5 -- Wells Fargo Home Equity Asset-Backed Securities 2004-2 Trust, Home Equity Asset-Backed Certificates, Series 2004-2, Class M- 6 -- Wells Fargo Home Equity Asset-Backed Securities 2004-2 Trust, Home Equity Asset-Backed Certificates, Series 2004-2, Class M- 7 -- Wells Fargo Mortgage Backed Securities 2005-AR3 Trust, Mortgage Pass-Through Certificates, Series 2005-AR3, Class I- A-1 -- Wells Fargo Mortgage Backed Securities 2005-AR3 Trust, Mortgage Pass-Through Certificates, Series 2005-AR3, Class I- A-2 -- Wells Fargo Mortgage Backed Securities 2005-AR3 Trust, Mortgage Pass-Through Certificates, Series 2005-AR3, Class II- A-1 A full text copy of the table is available free at: https://is.gd/LtUtyT [*] DBRS Reviews 234 Classes From 36 US RMBS Deals -------------------------------------------------- DBRS, Inc. reviewed 234 classes from 36 U.S. residential mortgage-backed security (RMBS) transactions. Of the 234 classes reviewed, 99 ratings were confirmed and 135 ratings were upgraded. 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 level. Rating confirmations reflect current asset performance and credit support levels that have been consistent with the current rating. 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" (see "DBRS Publishes RMBS Insight 1.2: U.S. Residential Mortgage-Backed Securities Model And Rating Methodology," published on November 28, 2016). The transactions consist of U.S. Re-REMIC transactions. The pools backing these transactions consist of Alt-A and Prime Jumbo collateral. The ratings assigned to the following securities differ from the rating(s) implied by the quantitative model. DBRS considers this difference to be a material deviation but, in this case, the ratings of the subject notes reflect the structural features and historical performance that constrain the quantitative model output. -- BCAP LLC 2010-RR2 Trust, Resecuritization Trust Securities, Class II-A9 -- BCAP LLC 2010-RR2 Trust, Resecuritization Trust Securities, Class VII-A7 -- BCAP LLC 2010-RR2 Trust, Resecuritization Trust Securities, Class VII-A9 -- BCAP LLC 2010-RR2 Trust, Resecuritization Trust Securities, Class VII-A12 -- CSMC Series 2014-6R, CSMC Series 2014-6R, 5-A-1 -- Deutsche Mortgage & Asset Receiving Corporation Re-REMIC Trust 2014-RS1, Re-REMIC Pass-Through Certificates, Series 2014-RS1, Class 1A1 -- Deutsche Mortgage & Asset Receiving Corporation Re-REMIC Trust 2014-RS1, Re-REMIC Pass-Through Certificates, Series 2014-RS1, Class 3A1 -- Morgan Stanley Re-REMIC Trust 2013-R8, Re-REMIC Pass-Through Certificates, Series 2013-R1, Class 2-A3 -- Morgan Stanley Re-REMIC Trust 2013-R8, Re-REMIC Pass-Through Certificates, Series 2013-R1, Class 2-A -- Morgan Stanley Re-REMIC Trust 2013-R8, Re-REMIC Pass-Through Certificates, Series 2013-R1, Class 12-A3 -- Morgan Stanley Re-REMIC Trust 2013-R8, Re-REMIC Pass-Through Certificates, Series 2013-R1, Class 12-A -- Morgan Stanley Resecuritization Trust 2014-R4, Resecuritization Pass-Through Certificates, Series 2014-R4, Class 2-A4 -- Morgan Stanley Resecuritization Trust 2014-R4, Resecuritization Pass-Through Certificates, Series 2014-R4, Class 3-A4 -- Morgan Stanley Resecuritization Trust 2014-R4, Resecuritization Pass-Through Certificates, Series 2014-R4, Class 4-A4 -- Morgan Stanley Resecuritization Trust 2014-R4, Resecuritization Pass-Through Certificates, Series 2014-R4, Class 2-A -- Morgan Stanley Resecuritization Trust 2014-R4, Resecuritization Pass-Through Certificates, Series 2014-R4, Class 3-A -- Morgan Stanley Resecuritization Trust 2014-R4, Resecuritization Pass-Through Certificates, Series 2014-R4, Class 4-A -- Nomura Resecuritization Trust 2014-3R, Resecuritization Trust Securities, Class 3A2 A full text copy of that ratings is available free at: https://is.gd/2nefAi [*] DBRS Takes Rating Actions From 6 ABS Deals ---------------------------------------------- DBRS, Inc., on Feb. 29, 2017, upgraded six ratings and confirmed seven ratings from six U.S. structured finance asset-backed securities transactions. The upgrades are based on performance trends and credit enhancement levels are sufficient to cover DBRS's expected losses at their new respective rating levels. The confirmations are based on performance trends and credit enhancement levels 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 complete ratings is available free at: https://is.gd/Et1nm4 [*] Fitch Took Ratings on Distressed Classes in 5 CMBS Deals ------------------------------------------------------------ Fitch Ratings, on March 3, 2017, took various rating actions on already distressed U.S. commercial mortgage-backed securities (CMBS) bonds. Fitch downgraded nine bonds in four transactions to 'D', as the bonds have incurred a principal write-down. The bonds were all previously rated 'CC' or below, which indicates that losses were probable. Of these nine bonds downgraded to 'D', the ratings on one of the classes were simultaneously withdrawn, as the only remaining ratings in the transaction are now 'D' after this committee's actions; as a result, the ratings are considered immaterial. Fitch has also withdrawn the ratings on 12 additional classes within two transactions (one transaction of which is in connection with the simultaneous downgrade and withdrawals referenced above) as a result of realized losses. The trust balances have been reduced to $0 or have experienced non-recoverable realized losses and are no longer considered by Fitch to be relevant to the agency's coverage. KEY RATING DRIVERS The downgrades are limited to just the bonds with write-downs. Any remaining bonds in these transactions have not been analyzed as part of this review. RATING SENSITIVITIES While the bonds that have defaulted are not expected to recover any material amount of lost principal in the future, there is a limited possibility this may happen. In this unlikely scenario, Fitch would further review the affected classes. [*] Moody's Hikes $1BB of Subprime RMBS Issued 2006-2007 -------------------------------------------------------- Moody's Investors Service, on March 2, 2017, upgraded the ratings of 16 tranches, from 5 transactions issued by various issuers backed by Subprime mortgage loans. Complete rating actions are: Issuer: BNC Mortgage Loan Trust 2007-2 Cl. A2, Upgraded to Aa3 (sf); previously on Mar 10, 2016 Upgraded to A2 (sf) Cl. A3, Upgraded to B1 (sf); previously on Mar 10, 2016 Upgraded to B2 (sf) Issuer: J.P. Morgan Mortgage Acquisition Trust 2007-CH3, Asset-Backed Pass-Through Certificates, Series 2007-CH3 Cl. A-1A, Upgraded to A3 (sf); previously on Mar 10, 2016 Upgraded to Ba1 (sf) Cl. A-1B, Upgraded to Ba3 (sf); previously on Mar 10, 2016 Upgraded to Caa1 (sf) Cl. A-3, Upgraded to Aa3 (sf); previously on Mar 10, 2016 Upgraded to Ba2 (sf) Cl. A-4, Upgraded to B1 (sf); previously on Mar 10, 2016 Upgraded to Caa1 (sf) Cl. A-5, Upgraded to B2 (sf); previously on Mar 10, 2016 Upgraded to Caa1 (sf) Issuer: J.P. Morgan Mortgage Acquisition Trust 2007-CH5 Cl. A-1, Upgraded to B1 (sf); previously on Mar 10, 2016 Upgraded to B2 (sf) Cl. A-4, Upgraded to Ba2 (sf); previously on Mar 10, 2016 Upgraded to B1 (sf) Cl. A-5, Upgraded to Ba3 (sf); previously on Mar 10, 2016 Upgraded to B1 (sf) Issuer: Newcastle Mortgage Securities Trust 2007-1 Cl. 1-A-1, Upgraded to B3 (sf); previously on Aug 13, 2010 Downgraded to Caa2 (sf) Cl. 2-A-1, Upgraded to Baa3 (sf); previously on Mar 10, 2016 Upgraded to B1 (sf) Cl. 2-A-2, Upgraded to B1 (sf); previously on Aug 13, 2010 Downgraded to Ca (sf) Cl. 2-A-3, Upgraded to Caa2 (sf); previously on Aug 13, 2010 Downgraded to Ca (sf) Cl. 2-A-4, Upgraded to Caa3 (sf); previously on Aug 13, 2010 Downgraded to Ca (sf) Issuer: Structured Asset Investment Loan Trust 2006-3 Cl. A5, Upgraded to B1 (sf); previously on Mar 22, 2016 Upgraded to B3 (sf) RATINGS RATIONALE The upgrade actions are primarily due to the total credit enhancement available to the bonds. Additionally, the upgrade actions on bonds from J.P. Morgan Mortgage Acquisition Trust 2007-CH3, Asset-Backed Pass-Through Certificates, Series 2007-CH3 reflect lower expected pool losses as a result of an improvement in pool performance. The upgraded bonds from BNC Mortgage Loan Trust 2007-2 and Structured Asset Investment Loan Trust 2006-3 also benefit from sequential principal distributions and no loss allocation to the bonds. The actions reflect the recent performance of the underlying pools and Moody's updated loss expectations on the pools. In prior rating actions, the waterfalls for J.P. Morgan Mortgage Acquisition Trust 2007-CH5 and Structured Asset Investment Loan Trust 2006-3 were modeled incorrectly. The errors have now been corrected. The rating actions for J.P. Morgan Mortgage Acquisition Trust 2007-CH5 and Structured Asset Investment Loan Trust 2006-3 are driven by performance, not the model changes. 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. [*] Moody's Hikes Ratings on $633.8MM of RMBS Issued 2005-2006 -------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 20 tranches issued from 9 transactions backed by Subprime RMBS loans. Complete rating actions are: Issuer: Accredited Mortgage Loan Trust 2006-2 Cl. A-4, Upgraded to Ba2 (sf); previously on Apr 7, 2016 Upgraded to B3 (sf) Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2005-AG1 Cl. A-1B2, Upgraded to Aaa (sf); previously on Apr 7, 2016 Upgraded to Aa3 (sf) Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2005-HE3 Cl. M-4, Upgraded to Caa1 (sf); previously on Apr 7, 2016 Upgraded to Caa3 (sf) Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2005-HE7 Cl. A-1B2, Upgraded to Aaa (sf); previously on Apr 7, 2016 Upgraded to Aa3 (sf) Cl. A-2D, Upgraded to Aaa (sf); previously on Apr 7, 2016 Upgraded to Aa3 (sf) Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2005-WF1 Cl. M-5, Upgraded to Ba2 (sf); previously on Apr 7, 2016 Upgraded to Ba3 (sf) Cl. M-6, Upgraded to Ba2 (sf); previously on Apr 7, 2016 Upgraded to B2 (sf) Cl. M-7, Upgraded to B1 (sf); previously on Apr 7, 2016 Upgraded to B3 (sf) Cl. M-8, Upgraded to Caa1 (sf); previously on Apr 7, 2016 Upgraded to Caa2 (sf) Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2006-NC1 Cl. A-1, Upgraded to Aaa (sf); previously on Apr 7, 2016 Upgraded to A1 (sf) Cl. A-2D, Upgraded to A1 (sf); previously on Apr 7, 2016 Upgraded to Baa1 (sf) Cl. M-1, Upgraded to B2 (sf); previously on May 28, 2015 Upgraded to Caa2 (sf) Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2006-OP1 Cl. A-1A, Upgraded to Baa2 (sf); previously on Apr 7, 2016 Upgraded to Ba2 (sf) Cl. A-1B, Upgraded to A1 (sf); previously on Apr 7, 2016 Upgraded to Baa2 (sf) Cl. A-2C, Upgraded to A2 (sf); previously on Apr 7, 2016 Upgraded to A3 (sf) Cl. A-2D, Upgraded to B2 (sf); previously on Apr 7, 2016 Upgraded to Caa1 (sf) Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2006-OP2 Cl. A-1, Upgraded to B1 (sf); previously on Apr 7, 2016 Upgraded to Caa1 (sf) Cl. A-2C, Upgraded to B1 (sf); previously on Apr 7, 2016 Upgraded to Caa1 (sf) Cl. A-2D, Upgraded to B2 (sf); previously on Apr 7, 2016 Upgraded to Caa2 (sf) Issuer: MASTR Asset Backed Securities Trust 2005-HE1 Cl. M-6, Upgraded to Caa2 (sf); previously on Dec 2, 2015 Upgraded to Ca (sf) RATINGS RATIONALE The upgrades are primarily due to the total credit enhancement available to the bonds. The actions reflect the recent performance of the underlying pools and Moody's updated loss expectations on the pools. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in 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. [*] Moody's Raises Ratings on $444.2MM of Alt-A RMBS Issued 2005 ---------------------------------------------------------------- Moody's Investors Service has upgraded the rating of 27 tranches from four transactions, backed by Alt-A mortgage loans, issued by multiple issuers. Complete rating actions are: Issuer: American Home Mortgage Investment Trust 2005-1 Cl. I-A-1, Upgraded to Baa3 (sf); previously on Apr 15, 2016 Upgraded to Ba2 (sf) Cl. I-A-2, Upgraded to Ba1 (sf); previously on Apr 15, 2016 Upgraded to B1 (sf) Cl. I-A-3, Upgraded to Ba2 (sf); previously on Apr 15, 2016 Upgraded to B2 (sf) Cl. II-A-1, Upgraded to A1 (sf); previously on Apr 15, 2016 Upgraded to Baa1 (sf) Cl. II-A-2, Upgraded to Ba1 (sf); previously on Apr 15, 2016 Upgraded to Ba3 (sf) Cl. IV-A-1, Upgraded to Baa2 (sf); previously on Apr 15, 2016 Upgraded to Ba2 (sf) Cl. IV-A-2, Upgraded to Ba3 (sf); previously on Apr 15, 2016 Upgraded to B3 (sf) Cl. V-A-1, Upgraded to A1 (sf); previously on Aug 14, 2012 Upgraded to A3 (sf) Cl. V-A-2, Upgraded to Ba1 (sf); previously on Apr 15, 2016 Upgraded to B1 (sf) Cl. VI-A, Upgraded to Baa3 (sf); previously on Apr 15, 2016 Upgraded to Ba2 (sf) Cl. VII-A-1, Upgraded to Aa2 (sf); previously on Apr 15, 2016 Upgraded to A2 (sf) Cl. VII-A-2, Upgraded to Ba1 (sf); previously on Apr 15, 2016 Upgraded to Ba3 (sf) Issuer: GSAA Home Equity Trust 2005-11 Cl. 1A1, Upgraded to Baa1 (sf); previously on Apr 15, 2016 Upgraded to Baa3 (sf) Cl. 1A2, Upgraded to B1 (sf); previously on Apr 15, 2016 Upgraded to Caa1 (sf) Cl. 2A1, Upgraded to Baa1 (sf); previously on Jul 28, 2015 Upgraded to Baa3 (sf) Cl. 2A2, Upgraded to B1 (sf); previously on Apr 15, 2016 Upgraded to Caa1 (sf) Cl. 3A1, Upgraded to A1 (sf); previously on Apr 15, 2016 Upgraded to Baa1 (sf) Cl. 3A2, Upgraded to B1 (sf); previously on Apr 15, 2016 Upgraded to Caa1 (sf) Cl. 3A5, Upgraded to Ba1 (sf); previously on Jul 28, 2015 Upgraded to B1 (sf) Issuer: GSAA Home Equity Trust 2005-9 Cl. 1A1, Upgraded to Aa1 (sf); previously on Apr 15, 2016 Upgraded to Aa3 (sf) Cl. 1A2, Upgraded to A1 (sf); previously on Apr 15, 2016 Upgraded to A3 (sf) Cl. M-3, Upgraded to Caa1 (sf); previously on Jul 28, 2015 Upgraded to Caa3 (sf) Cl. M-4, Upgraded to Caa3 (sf); previously on May 11, 2010 Downgraded to C (sf) Cl. M-5, Upgraded to Ca (sf); previously on May 11, 2010 Downgraded to C (sf) Cl. 2A3, Upgraded to Aa1 (sf); previously on Apr 15, 2016 Upgraded to Aa3 (sf) Cl. 2A4, Upgraded to A1 (sf); previously on Apr 15, 2016 Upgraded to A3 (sf) Issuer: Nomura Asset Acceptance Corporation, Alternative Loan Trust, Series 2005-AR5 Cl. II-A-1, Upgraded to Baa3 (sf); previously on Apr 15, 2016 Upgraded to Ba2 (sf) RATINGS RATIONALE The actions reflect the recent performance of the underlying pools and Moody's updated loss expectation on these pools. The rating upgrades are due to the stable or improved collateral performance of the related underlying pools and the increase in credit enhancement available to the bonds. The rating upgrades on classes I-A-1, I-A-2, I-A-3, II-A-1, II-A-2, V-A-1, and V-A-2 from American Home Mortgage Investment Trust 2005-1 are solely due to the increase of credit enhancement available to the bonds. The rating upgrade on class II-A-1 from Nomura Asset Acceptance Corporation, Alternative Loan Trust, Series 2005-AR5 is solely due to the improved collateral performance of the related underlying pool. 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. [*] Moody's Takes Action on $3.7BB of RMBS Issued From 2016 ----------------------------------------------------------- Moody's Investors Service, on March 2, 2017, upgraded the ratings of thirty-three tranches from four transactions backed by conforming balance RMBS loans, issued by miscellaneous issuers. The complete rating actions are: Issuer: Connecticut Avenue Securities, Series 2016-C01 Cl. 1M-1, Upgraded to A3 (sf); previously on Feb 18, 2016 Definitive Rating Assigned Baa3 (sf) Cl. 1M-2, Upgraded to Ba2 (sf); previously on Feb 18, 2016 Definitive Rating Assigned Ba3 (sf) Cl. 1M-2A, Upgraded to Baa2 (sf); previously on Feb 18, 2016 Definitive Rating Assigned Ba1 (sf) Cl. 1M-2B, Upgraded to Ba3 (sf); previously on Feb 18, 2016 Definitive Rating Assigned B2 (sf) Cl. 1M-2F, Upgraded to Baa2 (sf); previously on Feb 18, 2016 Definitive Rating Assigned Ba1 (sf) Cl. 1M-2I, Upgraded to Baa2 (sf); previously on Feb 18, 2016 Definitive Rating Assigned Ba1 (sf) Cl. 2M-1, Upgraded to Baa1 (sf); previously on Feb 18, 2016 Definitive Rating Assigned Baa3 (sf) Cl. 2M-2, Upgraded to Ba3 (sf); previously on Feb 18, 2016 Definitive Rating Assigned B1 (sf) Cl. 2M-2A, Upgraded to Baa3 (sf); previously on Feb 18, 2016 Definitive Rating Assigned Ba1 (sf) Cl. 2M-2B, Upgraded to Ba3 (sf); previously on Feb 18, 2016 Definitive Rating Assigned B2 (sf) Cl. 2M-2F, Upgraded to Baa3 (sf); previously on Feb 18, 2016 Definitive Rating Assigned Ba1 (sf) Cl. 2M-2I, Upgraded to Baa3 (sf); previously on Feb 18, 2016 Definitive Rating Assigned Ba1 (sf) Issuer: Connecticut Avenue Securities, Series 2016-C02 Cl. 1M-1, Upgraded to A3 (sf); previously on Mar 30, 2016 Definitive Rating Assigned Baa3 (sf) Cl. 1M-2, Upgraded to Ba2 (sf); previously on Mar 30, 2016 Definitive Rating Assigned B1 (sf) Cl. 1M-2A, Upgraded to Baa2 (sf); previously on Mar 30, 2016 Definitive Rating Assigned Ba1 (sf) Cl. 1M-2B, Upgraded to Ba3 (sf); previously on Mar 30, 2016 Definitive Rating Assigned B2 (sf) Cl. 1M-2F, Upgraded to Baa2 (sf); previously on Mar 30, 2016 Definitive Rating Assigned Ba1 (sf) Cl. 1M-2I, Upgraded to Baa2 (sf); previously on Mar 30, 2016 Definitive Rating Assigned Ba1 (sf) Issuer: Connecticut Avenue Securities, Series 2016-C04 Cl. 1M-1, Upgraded to Baa2 (sf); previously on Jul 28, 2016 Definitive Rating Assigned Baa3 (sf) Cl. 1M-2, Upgraded to Ba3 (sf); previously on Jul 28, 2016 Definitive Rating Assigned B1 (sf) Cl. 1M-2A, Upgraded to Ba1 (sf); previously on Jul 28, 2016 Definitive Rating Assigned Ba2 (sf) Cl. 1M-2B, Upgraded to B1 (sf); previously on Jul 28, 2016 Definitive Rating Assigned B2 (sf) Cl. 1M-2I, Upgraded to Ba1 (sf); previously on Jul 28, 2016 Definitive Rating Assigned Ba2 (sf) Cl. 1M-2F, Upgraded to Ba1 (sf); previously on Jul 28, 2016 Definitive Rating Assigned Ba2 (sf) Issuer: STACR 2016-HQA2 Cl. M-1, Upgraded to A2 (sf); previously on Jun 1, 2016 Definitive Rating Assigned A3 (sf) Cl. M-2, Upgraded to Baa2 (sf); previously on Jun 1, 2016 Definitive Rating Assigned Baa3 (sf) Cl. M-2F, Upgraded to Baa2 (sf); previously on Jun 1, 2016 Definitive Rating Assigned Baa3 (sf) Cl. M-2I, Upgraded to Baa2 (sf); previously on Jun 1, 2016 Definitive Rating Assigned Baa3 (sf) Cl. M-3, Upgraded to Ba3 (sf); previously on Jun 1, 2016 Definitive Rating Assigned B1 (sf) Cl. M-3A, Upgraded to Ba1 (sf); previously on Jun 1, 2016 Definitive Rating Assigned Ba2 (sf) Cl. M-3AF, Upgraded to Ba1 (sf); previously on Jun 1, 2016 Definitive Rating Assigned Ba2 (sf) Cl. M-3AI, Upgraded to Ba1 (sf); previously on Jun 1, 2016 Definitive Rating Assigned Ba2 (sf) Cl. M-3B, Upgraded to B2 (sf); previously on Jun 1, 2016 Definitive Rating Assigned B3 (sf) RATINGS RATIONALE The rating upgrades 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. The rating actions also reflect a correction to the modeling used by Moody's in rating these transactions. Due to an input error, the cash flow models used in prior rating actions assumed a longer average life for the bonds than what Moody's has used in similar transactions. The correction of the input error had an adverse impact of about one notch on ratings of the most junior subordinated tranches. However, as noted above, the rated bonds continue to benefit both from a steady increase in the credit enhancement as a result of sequential principal distributions among subordinated bonds, and from a reduction in the expected losses on the underlying pools owing to strong collateral performance. These benefits more than offset the negative effect of the error correction and result in upgrade actions. 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 Connecticut Avenue Securities, Series 2016-C01 Cl. 1M-2I and Cl. 2M-2I, Connecticut Avenue Securities, Series 2016-C02 Cl. 1M-2I , Connecticut Avenue Securities, Series 2016-C04 Cl. 1M-2I, and STACR 2016-HQA2 Cl. M-2I and Cl. M-3AI was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in October 2015. Factors that would lead to an upgrade or downgrade of the ratings: Ratings in the US RMBS sector remain exposed to the high level of macroeconomic uncertainty, and in particular the unemployment rate. The unemployment rate fell to 4.8% 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 Takes Rating Actions on 28 Classes From 23 RMBS Deals ------------------------------------------------------------- S&P Global Ratings completed its review of 28 classes from 23 U.S. residential mortgage-backed securities (RMBS) transactions issued between 2003 and 2006. The review yielded 27 downgrades and one affirmation. S&P removed the one affirmed rating as well as five of the lowered ratings from CreditWatch with negative implications, where they were placed on Jan. 25, 2017. The downgrades stem from applying S&P's interest shortfall criteria. All of the transactions in this review are backed by a mix of fixed- and adjustable-rate mortgage loans secured primarily by one- to four-family residential properties. A combination of subordination, overcollateralization (when available), excess interest, and bond insurance (as applicable) provide credit enhancement for all of the tranches in this review. APPLICATION OF INTEREST SHORTFALL CRITERIA In reviewing these ratings, S&P applied its interest shortfall criteria as stated in "Structured Finance Temporary Interest Shortfall Methodology," published Dec. 15, 2015, which impose a maximum rating threshold on classes that have incurred interest shortfalls resulting from credit or liquidity erosion. In applying the criteria, S&P looked to see if the applicable class received additional compensation beyond the imputed interest due as direct economic compensation for the delay in interest payment. In instances where the class did not receive additional compensation for outstanding interest shortfalls, S&P used the maximum length of time until full interest is reimbursed as part of its analysis to assign the rating on the class. In instances where the class received additional compensation for outstanding interest shortfalls, S&P used its cash flow projections in determining the likelihood that the shortfall would be reimbursed under various scenarios. DOWNGRADES The downgrades include three ratings that were lowered three or more notches. One of the lowered ratings remained at an investment-grade level; three of the lowered ratings went from investment grade to speculative grade while the remaining 23 downgraded classes already had speculative-grade ratings. S&P lowered its rating on class M-4 from Morgan Stanley ABS Capital I Inc. Trust 2005-WMC5 to 'BB+ (sf)' from 'BBB+ (sf)' and removed it from CreditWatch negative, and S&P lowered its ratings on class M-1 from Securitized Asset Backed Receivables LLC Trust 2005-OP2 to 'BB+ (sf)' from 'BBB+ (sf)' and on class M3 from Fremont Home Loan Trust 2005-1 to 'BB+ (sf)' from 'AA- (sf)'. These downgrades were based on S&P's cash flow projections used in determining the likelihood that the interest shortfall would be reimbursed under various scenarios, as these classes received additional compensation for outstanding interest shortfalls. AFFIRMATIONS S&P affirmed its 'B- (sf)' rating on class AF-3 from GSAA Home Equity Trust 2005-7 and removed it from CreditWatch negative after S&P received information to assess the impact of interest shortfalls on this class. Based on S&P's assessment the rating on this class reflects the impact of the interest shortfalls it has incurred. ECONOMIC OUTLOOK When determining a U.S. RMBS collateral pool's relative credit quality, S&P's loss expectations stem, to a certain extent, from its view of how the loans will behave under various economic conditions. S&P Global Ratings' baseline macroeconomic outlook assumptions for variables that S&P believes could affect residential mortgage performance are: -- An overall unemployment rate of 4.9 % in 2016, dipping to 4.6% in 2017; -- Real GDP growth of 1.6 % for 2016 and 2.4% in 2017; -- The inflation rate will be 2.2% in both 2016 and 2017; and -- The 30-year fixed mortgage rate will average about 3.6 % in 2016, rising to 4.1% in 2017. S&P's outlook for RMBS is stable. Although S&P views overall housing fundamentals positively, it believes RMBS fundamentals still hinge on additional factors, such as the ultimate fate of modified loans, the propensity of servicers to advance on delinquent loans, and liquidation timelines. Under S&P's baseline economic assumptions, it expects RMBS collateral quality to improve. However, if the U.S. economy were to become stressed in line with S&P Global Ratings' downside forecast, S&P believes that U.S. RMBS credit quality would weaken. S&P's downside scenario reflects these key assumptions: -- The unemployment rate will remain at 4.9% for 2016 and inch up to 5.0% in 2017; -- Downward pressure causes GDP growth to fall to 1.5 % in 2016 and to 1.4% in 2017; -- Home price momentum slows as potential buyers are not able to purchase property; and -- While the 30-year fixed mortgage rate remains a low 3.6% in 2016 and 2017, limited access to credit and pressure on home prices will largely prevent consumers from capitalizing on these rates. A list of the Affected Rating is available at: http://bit.ly/2med9I1 ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. 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