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/raid1/www/Hosts/bankrupt/TCR_Public/170430.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, April 30, 2017, Vol. 21, No. 119 Headlines A10 TERM: DBRS Confirms Bsf Rating on Class F Notes ACIS CLO 2017-7: Moody's Assigns Ba3(sf) Rating to Cl. E Notes AIMCO CLO 2017-A: Moody's Assigns (P)B2 Rating to Cl. F Notes APIDOS CLO XXVI: Moody's Assigns (P)Ba3(sf) Rating to Cl. D Notes ATRIUM IX: S&P Assigns 'BB' Rating on Class E-R Notes ATTENTUS CDO III: Moody's Hikes Ratings on 2 Tranches to Caa2 BANC OF AMERICA 2005-5: S&P Affirms 'B-' Rating on 2 Tranches BANC OF AMERICA 2006-4: S&P Lowers Rating on Class B Certs to 'D' BEAR STEARNS 2007-TOP28: DBRS Confirms CCC Ratings on 2 Tranches CANYON CLO 2014-2: Moody's Assigns Ba3(sf) Rating to Cl. E-R Notes CD 2006-CD3: Moody's Lowers Rating on Class B Certs to C(sf) CEDAR FUNDING IV: S&P Assigns 'BB' Rating on Class E-R Notes CFIP CLO 2013-1: S&P Assigns 'BB-' Rating on Class E-R Notes CITIGROUP 2012-GC8: Moody's Affirms B2(sf) Rating on Cl. F Notes COLT 2017-1: Fitch to Rate Class B-2 Certificates 'Bsf' COMM 2014-CCRE14: Moody's Affirms B2(sf) Rating on Class F Notes CPS AUTO 2017-B: S&P Assigns 'BB-' Rating on Class E Notes DBJPM 2016-C1: DBRS Confirms B Rating on 2 Tranches EXETER AUTOMOBILE 2017-2: S&P Assigns BB Rating on Class D Notes FRANKLIN CLO VI: Moody's Affirms B1(sf) Rating on Class D Notes GMAC COMMERCIAL 1999-C2: Moody's Affirms C(sf) Rating on L Certs GMAC COMMERCIAL 2004-C3: S&P Raises Rating on Cl. D Certs to BB+ GREENWICH CAPITAL 2007-GG9: Moody's Cuts Ratings on 2 Tranches to C GREENWICH CAPITAL 2007-RR2: Moody's Affirms C Rating on 3 Tranches MARINER CLO 2015-1: S&P Assigns 'BB-' Rating on Cl. E-R Notes MERRILL LYNCH 2005-MKB2: Moody's Affirms C Rating on Cl. G Notes N-STAR REL VI: Moody's Hikes Class C Notes Rating to Ba1 NCF DEALER: DBRS Confirms BB Rating on Class D Notes Debt NEW RESIDENTIAL 2017-2: DBRS Gives (P)B Ratings on 3 Tranches NEW RESIDENTIAL 2017-2: S&P Assigns 'B' Rating on Cl. B-5 Notes OCP CLO 2013-4: S&P Assigns 'BB-' Rating on Class D-R Notes OCTAGON INVESTMENT XIV: Moody's Gives (P)B3 Rating to Cl. E-R Notes SALOMON BROTHERS 2000-C1: Moody's Affirms C Rating on Cl. M Notes SOUND POINT IV: Moody's Affirms B2(sf) Rating on Cl. F Junior Notes SOUND POINT VI: Moody's Affirms B2 Rating on Class F Notes TABERNA PREFERRED VIII: Moody's Hikes Class A-2 Notes Rating to Ba2 US CAPITAL III: Moody's Hikes Rating on 2 Tranches to Caa1(sf) VENTURE X CLO: S&P Assigns 'B+' Rating on Class F-RR Notes WACHOVIA BANK 2005-C16: Moody's Cuts Ratings on 3 Tranches WESTCHESTER CLO: Moody's Affirms B1(sf) Rating on Class E Notes YORK CLO-1: Moody's Hikes Rating on Class E Notes to Ba2 [*] DBRS Review 59 Public Ratings From 17 ABS Transactions [*] DBRS Reviews 316 Classes From 44 US RMBS Transactions [*] DBRS Reviews 693 Classes From 59 US RMBS Deals [*] Moody's Hikes $623MM of Subprime RMBS Issued 2005-2006 [*] Moody's Takes Action on $266MM Alt-A Loans Issued 2005-2007 [*] S&P Discontinues Ratings on 25 Classes From 5 CDO Transactions ********* A10 TERM: DBRS Confirms Bsf Rating on Class F Notes --------------------------------------------------- DBRS Limited confirmed the ratings on the Commercial Mortgage Pass-Through Certificates, Series 2015-1 issued by A10 Term Asset Financing 2015-1, LLC as follows: -- Class A-1 Senior Fixed Rate Notes at AAA (sf) -- Class A-2 Senior Fixed Rate Notes at AAA (sf) -- Class B Senior Subordinated Fixed Rate Notes at A (sf) -- Class C Senior Subordinated Fixed Rate Notes at BBB (sf) -- Class D Senior Subordinated Fixed Rate Notes at BBB (low) (sf) -- Class E Non-Offered Fixed Rate Notes at BB (sf) -- Class F Non-Offered Fixed Rate Notes at B (sf) All trends are Stable. Classes E and F are non-offered classes. The rating confirmations reflect the overall stable performance of the pool and the increased credit support to the bonds as a result of successful loan repayment. The transaction consists of 17 loans secured by 17 transitional commercial real estate assets, including office, retail, multifamily and industrial properties. According to the April 2017 remittance, there has been collateral reduction of 39.6% since issuance, as 14 loans have left the trust, contributing to a principal paydown of $90.7 million. In the last 12 months, nine loans have repaid from the trust. As of the April 2017 remittance, there are no loans in special servicing and no loans on the servicer's watchlist. Most loans were originally structured with three-year terms and include built-in extensions and future funding facilities meant to aid in property stabilization, both of which are at the lender's sole discretion. The reserve account has a current balance of $9.5 million against total potential future funding obligations of $14.4 million. According to the most recent reporting, a portion of the collateral assets in the subject pool have reached stabilization; however, others continue to perform below their respective stabilization plans. The two largest loans in the pool based on the fully funded balances are discussed below. The transaction is concentrated, as the largest loan in the pool represents 18.5% of the fully funded pool balance based on the fully funded loan amount. This loan, 2280 North Greenville Avenue, which is secured by an office building in Richardson, Texas, was upsized by an additional $5.0 million over its original fully funded loan balance of $18.8 million to fund the tenant improvement/leasing commission (TI/LC) package of the single tenant, GEICO Insurance (GEICO), which signed a lease in January 2016. Specifically, the tenant signed a 152-month lease paying $13.75 per square foot (psf) triple net, with $0.38 psf annual increases. The lease commenced in January 2016, and GEICO received eight months' free rent and a TI/LC package totalling $14.3 million. According to CoStar, comparable Class B office markets in the Richardson submarket are reporting average rental rates of $20.91 psf and vacancy rates of 17.7%. As of April 2017, the future funding facility has almost been fully advanced, with a remaining balance of $890. Given the long-term lease to an investment-grade tenant, the loan is expected to be refinanced in the near term. The second-largest loan, Windsor Corporate Park, represents 11.8% of the fully funded pool balance and is secured by a four-building Class B office complex in East Windsor, New Jersey. The loan was originally structured with a future funding facility of $5.7 million. According to the servicer, the sponsor has allocated a portion of the funds to TIs/LCs for new tenants and renewals, while the $650,000 future funding facility for capital expenditures has been fully advanced, with work completed on exterior wall repairs and heating, ventilation and air conditioning replacement. Although the borrower has signed three new tenants, representing 8.0% of the net rentable area, the property occupancy rate remains depressed at 49.5% as of April 2017. The new leases have been signed in line with the market, as comparable Class B office properties in the submarket reported an average rental rate of $26.05 psf gross and vacancy rate of 18.3%, according to CoStar. Despite the elevated vacancy rate at the subject, the borrower has $4.8 million in future funding available as of April 2017, which can be used to facilitate leasing and aid in property stabilization. DBRS's ratings contemplate timely payments of distributable interest and, in the case of the Offered Notes other than the Class A-1 and A-2 notes, ultimate recovery of Deferred Collateralized Note Interest Amounts (inclusive of interest payable thereon at the applicable rate to the extent permitted by law). The transaction is a standard sequential-pay waterfall. The ratings assigned to Class B, C, D, E and F notes materially deviate from the higher ratings 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. The deviations are warranted given the undemonstrated sustainability of loan performance trends. ACIS CLO 2017-7: Moody's Assigns Ba3(sf) Rating to Cl. E Notes -------------------------------------------------------------- Moody's Investors Service has assigned ratings to seven classes of debt issued by ACIS CLO 2017-7 Ltd. Moody's rating action is: US$85,750,000 Class A-1 Senior Secured Floating Rate Notes due 2027 (the "Class A-1 Notes"), Definitive Rating Assigned Aaa (sf) US$175,000,000 Class A-2 Senior Secured Loans due 2027 (the "Class A-2 Loans"), Definitive Rating Assigned Aaa (sf) Up to U.S.$175,000,000 Class A-2L Senior Secured Floating Rate Notes due 2027 (the "Class A-2L Notes"), Definitive Rating Assigned Aaa (sf) US$50,250,000 Class B Senior Secured Floating Rate Notes due 2027 (the "Class B Notes"), Definitive Rating Assigned Aa2 (sf) US$20,250,000 Class C Secured Deferrable Floating Rate Notes due 2027 (the "Class C Notes"), Definitive Rating Assigned A2 (sf) U.S.$26,250,000 Class D Secured Deferrable Floating Rate Notes due 2027 (the "Class D Notes"), Definitive Rating Assigned Baa3 (sf) U.S.$15,500,000 Class E Secured Deferrable Floating Rate Notes due 2027 (the "Class E Notes"), Definitive Rating Assigned Ba3 (sf) The Class A-1 Notes, the Class A-2 Loans, the Class A-2L Notes, the Class B Notes, the Class C Notes, the Class D Notes and the Class E Notes are referred to herein, collectively, as the "Rated Debt." RATINGS RATIONALE Moody's ratings of the Rated Debt address the expected losses posed to debtholders. The ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. ACIS 2017-7 is a managed cash flow CLO. The issued notes and loans will be collateralized primarily by broadly syndicated first lien senior secured corporate loans. At least 95% of the portfolio must consist of senior secured Loans, cash and eligible investments, and up to 5% of the portfolio may consist of second lien loans. The portfolio is approximately 96% ramped as of the closing date. Acis CLO 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 two year reinvestment period. Following the end of the reinvestment period, the Manager may not reinvest any principal proceeds. In addition to the Rated Debt, the Issuer has issued two classes 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: $400,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 2650 Weighted Average Spread (WAS): 3.75% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 47.5% Weighted Average Life (WAL): 6.5 years. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in October 2016. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Debt is subject to uncertainty. The performance of the Rated Debt is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Debt. Together with the set of modeling assumptions above, Moody's conducted an additional sensitivity analysis, which was a component in determining the ratings assigned to the Rated Debt. This sensitivity analysis includes increased default probability relative to the base case. Below is a summary of the impact of an increase in default probability (expressed in terms of WARF level) on the Rated Debt (shown in terms of the number of notch difference versus the current model output, whereby a negative difference corresponds to higher expected losses), assuming that all other factors are held equal: Percentage Change in WARF -- increase of 15% (from 2650 to 3048) Rating Impact in Rating Notches Class A-1 Notes: 0 Class A-2 Loans: 0 Class A-2L Notes: 0 Class B Notes: -1 Class C Notes: -1 Class D Notes: -1 Class E Notes: 0 Percentage Change in WARF -- increase of 30% (from 2650 to 3445) Rating Impact in Rating Notches Class A-1 Notes: 0 Class A-2 Loans: 0 Class A-2L Notes: 0 Class B Notes: -2 Class C Notes: -3 Class D Notes: -2 Class E Notes: -1 AIMCO CLO 2017-A: Moody's Assigns (P)B2 Rating to Cl. F Notes ------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to six classes of notes to be issued by AIMCO CLO, Series 2017-A. Moody's rating action is: US$258,000,000 Class A Senior Secured Floating Rate Notes due 2029 (the "Class A Notes"), Assigned (P)Aaa (sf) US$44,000,000 Class B Senior Secured Floating Rate Notes due 2029 (the "Class B Notes"), Assigned (P)Aa2 (sf) US$25,000,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2029 (the "Class C Notes"), Assigned (P)A2 (sf) US$22,000,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2029 (the "Class D Notes"), Assigned (P)Baa3 (sf) US$19,000,000 Class E Junior Secured Deferrable Floating Rate Notes due 2029 (the "Class E Notes"), Assigned (P)Ba3 (sf) US$6,000,000 Class F Junior Secured Deferrable Floating Rate Notes due 2029 (the "Class F Notes"), Assigned (P)B2 (sf) The Class A Notes, the Class B Notes, the Class C Notes, the Class D Notes, the Class E Notes, and the Class F Notes are referred to herein, collectively, as the "Rated Notes." Moody's issues provisional ratings in advance of the final sale of financial instruments, but these ratings only represent Moody's preliminary credit opinions. Upon a conclusive review of a transaction and associated documentation, Moody's will endeavor to assign definitive ratings. A definitive rating, if any, may differ from a provisional rating. RATINGS RATIONALE Moody's provisional ratings of the Rated Notes address the expected losses posed to noteholders. The provisional ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. AIMCO 2017-A is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated first lien senior secured corporate loans. At least 90% of the portfolio must consist of senior secured loans and eligible investments, and up to 10% of the portfolio may consist of second lien loans and unsecured loans. Moody's expects the portfolio to be approximately 75% ramped as of the closing date. Allstate Investment Management Company (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's four year reinvestment period. Thereafter, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets, subject to certain restrictions. In addition to the Rated Notes, the Issuer will issue subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in October 2016. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $400,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 2850 Weighted Average Spread (WAS): 3.50% Weighted Average Coupon (WAC): 6.50% Weighted Average Recovery Rate (WARR): 47.75% Weighted Average Life (WAL): 8.14 years. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in October 2016. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. Together with the set of modeling assumptions above, Moody's conducted an additional sensitivity analysis, which was a component in determining the ratings assigned to the Rated Notes. This sensitivity analysis includes increased default probability relative to the base case. Below is a summary of the impact of an increase in default probability (expressed in terms of WARF level) on the Rated Notes (shown in terms of the number of notch difference versus the current model output, whereby a negative difference corresponds to higher expected losses), assuming that all other factors are held equal: Percentage Change in WARF -- increase of 15% (from 2850 to 3278) Rating Impact in Rating Notches Class A Notes: 0 Class B Notes: -2 Class C Notes: -2 Class D Notes: -1 Class E Notes: 0 Class F Notes: -1 Percentage Change in WARF -- increase of 30% (from 2850 to 3705) Rating Impact in Rating Notches Class A Notes: -1 Class B Notes: -3 Class C Notes: -4 Class D Notes: -2 Class E Notes: -1 Class F Notes: -3 APIDOS CLO XXVI: Moody's Assigns (P)Ba3(sf) Rating to Cl. D Notes ----------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to six classes of notes to be issued by Apidos CLO XXVI. Moody's rating action is: US$295,000,000 Class A-1A Senior Secured Floating Rate Notes due 2029 (the "Class A-1A Notes"), Assigned (P)Aaa (sf) US$25,000,000 Class A-1B Senior Secured Floating Rate Notes due 2029 (the "Class A-1B Notes"), Assigned (P)Aaa (sf) US$52,500,000 Class A-2 Senior Secured Floating Rate Notes due 2029 (the "Class A-2 Notes"), Assigned (P)Aa2 (sf) US$37,500,000 Class B Mezzanine Deferrable Floating Rate Notes due 2029 (the "Class B Notes"), Assigned (P)A2 (sf) US$30,00,000 Class C Mezzanine Deferrable Floating Rate Notes due 2029 (the "Class C Notes"), Assigned (P)Baa3 (sf) US$20,000,000 Class D Mezzanine Deferrable Floating Rate Notes due 2029 (the "Class E Notes"), Assigned (P)Ba3 (sf) The Class A-1A Notes, the Class A-1B Notes, the Class A-2 Notes, the Class B Notes, the Class C Notes and the Class D Notes are referred to herein, collectively, as the "Rated Notes." 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. Apidos XXVI is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated first lien senior secured corporate loans. At least 96% of the portfolio must consist of senior secured loans and eligible investments, and up to 4% of the portfolio may consist of second lien loans and unsecured loans. Moody's expects the portfolio to be approximately 80% ramped as of the closing date. CVC Credit Partners U.S. CLO Management LLC will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets, subject to certain restrictions. In addition to the Rated Notes, the Issuer will issue subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in October 2016. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $500,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 2900 Weighted Average Spread (WAS): 3.65% Weighted Average Coupon (WAC): 6.00% Weighted Average Recovery Rate (WARR): 48.0% Weighted Average Life (WAL): 9 years. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in October 2016. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. Together with the set of modeling assumptions above, Moody's conducted an additional sensitivity analysis, which was a component in determining the ratings assigned to the Rated Notes. This sensitivity analysis includes increased default probability relative to the base case. Below is a summary of the impact of an increase in default probability (expressed in terms of WARF level) on the Rated Notes (shown in terms of the number of notch difference versus the current model output, whereby a negative difference corresponds to higher expected losses), assuming that all other factors are held equal: Percentage Change in WARF -- increase of 15% (from 2900 to 3335) Rating Impact in Rating Notches Class A-1A Notes: 0 Class A-1B Notes: -1 Class A-2 Notes: -1 Class B Notes: -2 Class C Notes: -1 Class D Notes: 0 Percentage Change in WARF -- increase of 30% (from 2900 to 3770) Rating Impact in Rating Notches Class A-1A Notes: 0 Class A-1B Notes: -2 Class A-2 Notes: -3 Class B Notes: -4 Class C Notes: -2 Class D Notes: -1 ATRIUM IX: S&P Assigns 'BB' Rating on Class E-R Notes ----------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R, D-R, and E-R replacement notes from Atrium IX, a collateralized loan obligation (CLO) originally issued in February 2013 that is managed by Credit Suisse Asset Management LLC. S&P withdrew its ratings on the original class A, B1, B2, C, D, and E notes following payment in full on the April 20, 2017, refinancing date. The replacement notes will be issued via a supplemental indenture. On the April 20, 2017, refinancing date, the proceeds from the class A-R, B-R, C-R, D-R, and E-R replacement notes issuances were used to redeem the original class A, B1, B2, C, D, and E notes as outlined in the transaction documents. Therefore, S&P withdrew its ratings on the original class A, B1, B2, C, D, and E notes in line with their full redemption, and S&P is assigning ratings to the replacement notes. The replacement notes are being issued via a supplemental indenture, which, in addition to outlining the terms of the replacement notes, will also make these changes: -- The replacement class B-R notes are issued at a floating rate. The stated maturity has been extended 6.25 years. -- The reinvestment period has been extended 5.25 years. 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 Atrium IX/Atrium IX LLC Replacement class Rating Amount (mil. $) A-R AAA (sf) 549.56 B-R AA (sf) 91.59 C-R A (sf) 70.01 D-R BBB (sf) 40.27 E-R BB (sf) 35.80 Subordinated notes NR 88.70 RATINGS WITHDRAWN Atrium IX/Atrium IX LLC Rating Original Class To From A NR AAA (sf) B1 NR AA (sf) B2 NR AA (sf) C NR A (sf) D NR BBB (sf) E NR BB (sf) NR--Not rated. ATTENTUS CDO III: Moody's Hikes Ratings on 2 Tranches to Caa2 ------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Attentus CDO III, Ltd.: US$100,000,000 Class A-1B Second Priority Senior Secured Floating Rate Notes Due 2042, (current outstanding balance of 25,601,639.73), Upgraded to Aaa (sf); previously on May 9, 2016 Downgraded to Aa2 (sf) US$100,000,000 Class A-2 Third Priority Senior Secured Floating Rate Notes Due 2042, Upgraded to Aa3 (sf); previously on January 22, 2016 Upgraded to A1 (sf) US$34,000,000 Class B Fourth Priority Deferrable Secured Floating Rate Notes Due 2042, Upgraded to Ba2 (sf); previously on January 22, 2016 Upgraded to B1 (sf) US$16,000,000 Class C-1 Fifth Priority Deferrable Secured Floating Rate Notes Due 2042, Upgraded to Caa2 (sf); previously on February 3, 2014 Upgraded to Caa3 (sf) US$15,000,000 Class C-2 Fifth Priority Deferrable Secured Fixed/Floating Rate Notes Due 2042, Upgraded to Caa2 (sf); previously on February 3, 2014 Upgraded to Caa3 (sf) Attentus CDO III, Ltd., issued in January 2007, is a collateralized debt obligation (CDO) backed by a portfolio of REIT, bank and insurance trust preferred securities (TruPS), and corporate bonds. RATINGS RATIONALE The rating actions are primarily a result of the improvement in the credit quality of the underlying portfolio, deleveraging of the Class A-1B notes, and the expiration of out-of-the-money interest rate swaps since November 2016. According to Moody's calculations, the weighted average rating factor (WARF) improved to 2957 from 3569 in November 2016. Additionally, since November 2016, the Class A-1B notes have been paid down by $1.3 million or 4.9% using principal proceeds from the redemption of underlying assets and the diversion of excess interest proceeds. The Class A-1B notes will continue to benefit from the use of proceeds from redemptions of any assets in the collateral pool as well as from the diversion of excess interest after the Class D notes' deferred interest balance is paid in full and as long as the Class E overcollateralization (OC) test (currently reported by the trustee at 93.54% versus the trigger of 107.86%) continues to fail. Based on the trustee's April 2017 payment date report, the Class D OC test has been cured with a payment of $0.7 million to the Class A-1B notes and the Class D notes' deferred balance has been reduced by $0.5 million, using excess interest proceeds. Finally, three out-of-the-money swaps with a combined notional of $127.8 million matured in January 2017, resulting in an increase of excess interest available for the benefit of the rated notes. Methodology Used for the Rating Action The principal methodology used in this rating was "Moody's Approach to Rating TruPS 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: TruPS CDOs performance could be negatively affected by uncertainty about credit conditions in the general economy. Moody's has a stable outlook on the US banking and insurance sectors. 2) Credit performance of the assets collateralizing the transaction that is better than Moody's current expectations could have a positive impact on the transaction's performance. Conversely, asset credit performance weaker than Moody's current expectations could have adverse consequences on the transaction's performance. 3) Deleveraging: One source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds and excess interest proceeds will continue and at what pace. Note repayments that are faster than Moody's current expectations could have a positive impact on the notes' ratings, beginning with the notes with the highest payment priority. 4) Exposure to non-publicly rated assets: The deal contains a large number of securities whose default probability Moody's assesses through credit scores derived using RiskCalc™ or credit estimates. Because these are not public ratings, they are subject to additional uncertainties. 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): Assuming a two-notch upgrade to assets with below-investment grade ratings or rating estimates (WARF of 1720) Class A-1B: 0 Class A-2: +2 Class B: +3 Class C-1: +5 Class C-2: +5 Assuming a two-notch downgrade to assets with below-investment grade ratings or rating estimates (WARF of 4147) Class A-1B: -2 Class A-2: -3 Class B: -6 Class C-1: -4 Class C-2: -4 Loss and Cash Flow Analysis Moody's applied a Monte Carlo simulation framework in Moody's CDROM(TM) to model the loss distribution for TruPS CDOs. The simulated defaults and recoveries for each of the Monte Carlo scenarios defined the reference pool's loss distribution. Moody's then used the loss distribution as an input in its CDOEdge(TM) cash flow model. CDROM(TM) is available on www.moodys.com under Products and Solutions -- Analytical models, upon receipt of a signed free license agreement. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, and weighted average recovery rate, are based on its methodology and could differ from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool has having a performing par of $216.4 million, defaulted par of $41.2 million, a weighted average default probability of 40.1% (implying a WARF of 2957), and a weighted average recovery rate upon default of 14.4%. In addition to the quantitative factors Moody's explicitly models, qualitative factors are part of rating committee considerations. Moody's considers the structural protections in the transaction, the risk of an event of default, recent deal performance under current market conditions, the legal environment and specific documentation features. All information available to rating committees, including macroeconomic forecasts, inputs from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. The portfolio of this CDO contains REIT companies that Moody's does not rate publicly. For REIT TruPS that do not have public ratings, Moody's REIT group assesses their credit quality using the REIT firms' annual financials. BANC OF AMERICA 2005-5: S&P Affirms 'B-' Rating on 2 Tranches ------------------------------------------------------------- S&P Global Ratings raised its rating on the class E commercial mortgage pass-through certificates from Banc of America Commercial Mortgage Inc.'s series 2005-5, a U.S. commercial mortgage-backed securities (CMBS) transaction. In addition, S&P affirmed its ratings on three other classes from the same transaction. S&P's rating actions 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 E 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 respective rating level, and S&P's views regarding the collateral's current and future performance. S&P's analysis also considered the likelihood of the borrower paying off the second-largest loan in the pool, the AmeriCredit Operations Center loan ($23.4 million, 20.6%), upon its Sept. 1, 2017, maturity date and its effect on the transaction. The affirmations on classes D, F, and G reflect S&P's expectation that the available credit enhancement for these classes will be within its estimate of the necessary credit enhancement required for the current ratings, as well as S&P's views regarding the collateral's current and future performance. While available credit enhancement levels suggest positive rating movements on classes F and G, our analysis also considered the uncertainty surrounding the tenancy at the office property totaling 710,330 sq. ft. in Novato, Calif. securing the largest loan in the pool, the Fireman's Fund loan ($70.0 million, 61.8%), and the borrower's ability to refinance the loan upon its final maturity date. In addition, a $63.5 million pari passu piece is in GE Commercial Mortgage Corp.'s series 2005-C4, also a CMBS transaction. It is S&P's understanding from the master servicer, KeyBank Real Estate Capital (KeyBank), that the sole tenant occupying 100% of the space vacated in December 2015 but is expected to continue making its rental payments until its Nov. 6, 2018, lease expiration. The loan failed to refinance at its Oct. 1, 2015, anticipated repayment date and has an Oct. 15, 2018, final maturity date. TRANSACTION SUMMARY As of the April 10, 2017, trustee remittance report, the collateral pool balance was $113.4 million, which is 5.8% of the pool balance at issuance. The pool currently includes five loans and one real estate owned (REO) asset, down from 103 loans at issuance. One of these assets ($9.0 million, 8.0%) is with the special servicer, one loan ($472,956, 0.4%) is defeased, and one loan ($7.1 million, 6.3%) is on the master servicer's watchlist. The master servicer, KeyBank, reported partial-year or year-end 2016 financial information for 92.0% of the nondefeased loans in the pool. Excluding the specially serviced asset and defeased loan, S&P calculated a 1.11x S&P Global Ratings weighted average debt service coverage (DSC) and 80.7% S&P Global Ratings weighted average loan-to-value (LTV) ratio using a 7.51% S&P Global Ratings weighted average capitalization rate for the remaining four performing loans. To date, the transaction has experienced $70.3 million in principal losses, or 3.6% of the original pool trust balance. S&P expects losses to reach approximately 3.8% 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 asset. CREDIT CONSIDERATIONS As of the April 10, 2017, trustee remittance report, the Orchard Plaza REO asset was the sole asset with the special servicer, C-III Asset Management LLC (C-III). The asset is an 185,649-sq.-ft. retail property in Byron Center, Mich. and has a reported exposure of $9.7 million. The loan was transferred to special servicing on Sept. 9, 2015, due to maturity default (it matured on Sept. 1, 2015) and the property became REO on Oct. 20, 2016. C-III stated that the largest tenant, Kmart, representing 115,662 sq. ft., vacated in November 2016 but continues to make its rental payments. Kmart has an Oct. 1, 2019, lease expiration. C-III informed us that it is working on leasing up the vacant space. The reported DSC and occupancy were 0.81x and 70.0% as of Feb. 28, 2017. S&P expects a moderate (between 26% and 59%) loss upon its eventual resolution. RATINGS LIST Banc of America Commercial Mortgage Inc. Commercial mortgage pass-through certificates series 2005-5 Rating Class Identifier To From D 05947U2X5 AAA (sf) AAA (sf) E 05947U2Z0 AA- (sf) BB+ (sf) F 05947U3A4 B- (sf) B- (sf) G 05947U3B2 B- (sf) B- (sf) BANC OF AMERICA 2006-4: S&P Lowers Rating on Class B Certs to 'D' ----------------------------------------------------------------- S&P Global Ratings lowered its rating to 'D (sf)' on the class B commercial mortgage pass-through certificates from Banc of America Commercial Mortgage Trust 2006-4, a U.S. commercial mortgage-backed securities (CMBS) transaction. In addition, S&P affirmed its rating on class A-J 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 assets in the pool, the transaction's structure, and the liquidity available to the trust, as well as S&P's structured finance temporary interest shortfall methodology. S&P lowered its rating on class B to 'D (sf)' because of accumulated interest shortfalls that S&P expects to remain outstanding in the near term as well as credit support erosion that S&P anticipates will occur upon the eventual resolution of the specially serviced assets. According to the April 10, 2017, trustee remittance report, the current monthly interest shortfalls totaled $615,172 and resulted primarily from: -- Interest not advanced due to nonrecoverable determination totaling $394,900; -- Special servicing fees totaling $164,860; and -- Appraisal subordinate entitlement reduction amounts totaling $57,718. The current interest shortfalls affected classes subordinate to and including class B. The affirmation on class A-J 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 our views regarding the current and future performance of the transaction's collateral. While available credit enhancement levels suggest positive rating movement on the class, S&P's analysis also considered the susceptibility to reduced liquidity support from the specially serviced assets, specifically from the largest asset, the Mesa Mall loan ($87.3 million, 34.1%). TRANSACTION SUMMARY As of the April 10, 2017, trustee remittance report, the collateral pool balance was $255.9 million, which is 9.4% of the pool balance at issuance. The pool currently includes five loans and four real estate-owned (REO) assets, down from 164 loans at issuance. Seven of these assets ($232.5 million, 90.9%) are with the special servicer, and two loans ($23.4 million, 9.1%) are on the master servicer's watchlist. The master servicer, KeyBank Real Estate Capital, reported financial information for 45.3% of the loans in the pool, of which 24.8% was year-end 2016 data, and the remainder was year-end 2015 data. S&P calculated a 0.97x S&P Global Ratings' weighted average debt service coverage (DSC) and 89.5% S&P Global Ratings' weighted average loan-to-value (LTV) ratio using a 8.20% S&P Global Ratings' weighted average capitalization rate. The DSC, LTV, and capitalization rate calculations exclude six of the seven specially serviced assets. To date, the transaction has experienced $213.2 million in principal losses, or 7.8% of the original pool trust balance. S&P expects losses to reach approximately 11.8% 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 six ($182.8 million, 71.5%) of the seven specially serviced assets. S&P expects the remaining specially serviced loan to continue to perform under its modification terms. CREDIT CONSIDERATIONS As of the April 10, 2017, trustee remittance report, seven assets in the pool were with the special servicers, C-III Asset Management LLC (C-III) and LNR Partners LLC. LNR Partners LLC is the special servicer for the BlueLinx Holdings Portfolio (Rollup) loan ($49.7 million, 19.4%). Details of the two largest specially serviced assets are: -- The Mesa Mall loan ($87.3 million, 34.1%) has $89.0 million in total reported exposure. The loan is secured by a 560,264-sq.-ft. retail mall in Grand Junction, Colo. The loan, which has a nonperforming matured balloon payment status, was transferred to the special servicer on May 24, 2016, due to imminent default. The special servicer, C-III, stated that it entered into a forbearance agreement, which allowed the borrower to engage a national listing to market the collateral property for sale before the end of the forbearance period on May 30, 2017. However, it is S&P's understanding that the broker's marketing process failed to meet the expected value, and C-III is currently reviewing the submitted purchase offers and will determine its final resolution strategy shortly. S&P expects a moderate loss (between 26% and 59%) upon this loan's eventual resolution. -- The 2000 Corporate Ridge Road REO asset ($60.3 million, 23.6%) has $69.7 million in total reported exposure. The asset is a 256,022-sq.-ft. suburban office property in McLean, Va. The loan was transferred to the special servicer on June 30, 2014, due to imminent default, and the property became REO on Oct. 31, 2015. C-III stated that an offer for sale, in line with the appraisal value, has been accepted and is scheduled to close on May 17, 2017. The asset has been deemed nonrecoverable. S&P expects a significant loss (over 60%) upon its eventual resolution. The five remaining assets with the special servicer each have individual balances that represent less than 19.5% of the total pool trust balance. S&P estimated losses for six of the seven specially serviced assets, arriving at a weighted average loss severity of 59.4%. RATINGS LIST Banc of America Commercial Mortgage Trust 2006-4 Commercial mortgage pass-through certificates series 2006-4 Rating Class Identifier To From A-J 05950WAJ7 BB (sf) BB (sf) B 05950WAL2 D (sf) CCC- (sf) BEAR STEARNS 2007-TOP28: DBRS Confirms CCC Ratings on 2 Tranches ---------------------------------------------------------------- DBRS Limited confirmed all classes of the Commercial Mortgage Pass-Through Certificates, Series 2007-TOP28 issued by Bear Stearns Commercial Mortgage Securities Trust, Series 2007-TOP28 as follows: -- Class A-1A at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-M at AAA (sf) -- Class A-J at A (low) (sf) -- Class B at BBB (sf) -- Class C BBB (low) (sf) -- Class D at B (high) (sf) -- Class E at CCC (sf) -- Class F at CCC (sf) All trends are Stable, with the exception of Class E and Class F, which have ratings that do not carry trends. The rating confirmations reflect the overall stability of the pool, which has experienced a collateral reduction of 48.3% since issuance as a result of scheduled amortization, loan repayment at maturity, principal proceeds recovered and losses realized from loan liquidations. As of the March 2017 remittance, 128 of the original 209 loans remain in the pool with an aggregate outstanding balance of $910.7 million. Since April 2016, 38 loans have successfully repaid, contributing to a principal paydown of $433.1 million. To date, 17 loans have been liquidated from the trust, representing an aggregate realized loss to the trust of $55.7 million. In the next six months, 127 of the remaining 128 loans in the trust (representing 98.3% of the pool balance) have scheduled maturities, with the largest concentrations in August 2017 (36 loans; 26.2% of the pool balance) and September 2017 (49 loans; 35.9% of the pool balance). The transaction benefits from defeasance collateral, as 23 loans, representing 16.9% of the current pool balance, are fully defeased. Based on the most recently reported financials available for the underlying loans, the transaction has a weighted-average (WA) debt service coverage ratio (DSCR) and an exit debt yield of 1.50 times (x) and 11.5%, respectively. As of the March 2017 remittance report, there are 36 loans on the servicer's watchlist and none in special servicing. Excluding the two defeased loans, the top 15 loans reported a WA DSCR of 1.34x based on the most recently reported financials available for each loan; however, this figure is slightly depressed because of an artificially low DSCR reported for the largest loan (3 Penn Plaza, Prospectus ID#2; 11.1% of the pool). This property is fully leased to a single-tenant user who operates on a triple net lease paying all operating expenses directly. As a result, the financials reported by the servicer do not include operating expense reimbursements. At issuance, DBRS shadow-rated two loans: 3 Penn Plaza and Turnpike Shopping Center (Prospectus ID#63, 1.1% of the pool). DBRS has today confirmed that the performance of the 3 Penn Plaza loan remains consistent with investment-grade loan characteristics, whereas the shadow rating on the Turnpike Shopping Center loan has been removed as it has fully defeased. The ratings assigned to the Class A-J through Class D certificates 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 assigned ratings reflect uncertain loan level event risk associated with the significant upcoming loan maturities. DBRS has provided updated loan-level commentary and analysis for the largest 15 loans in the pool, as well as the watchlisted 475 School Street loan (Prospectus ID#32; 1.6% of the pool), in the DBRS CMBS IReports platform. CANYON CLO 2014-2: Moody's Assigns Ba3(sf) Rating to Cl. E-R Notes ------------------------------------------------------------------ Moody's Investors Service has assigned ratings to seven classes of notes issued by Canyon Capital CLO 2014-2, Ltd.: US$2,700,000 Class X Senior Secured Floating Rate Notes due 2029 (the "Class X Notes"), Definitive Rating Assigned Aaa (sf) US$252,000,000 Class A-S Senior Secured Floating Rate Notes due 2029 (the "Class A-S Notes"), Definitive Rating Assigned Aaa (sf) US$8,000,000 Class A-J Senior Secured Floating Rate Notes due 2029 (the "Class A-J Notes"), Definitive Rating Assigned Aaa (sf) US$40,000,000 Class B-R Senior Secured Floating Rate Notes due 2029 (the "Class B-R Notes"), Definitive Rating Assigned Aa2 (sf) US$29,000,000 Class C-R Senior Secured Deferrable Floating Rate Notes due 2029 (the "Class C-R Notes"), Definitive Rating Assigned A2 (sf) US$20,000,000 Class D-R Senior Secured Deferrable Floating Rate Notes due 2029 (the "Class D-R Notes"), Definitive Rating Assigned Baa3 (sf) US$19,000,000 Class E-R Senior Secured Deferrable Floating Rate Notes due 2029 (the "Class E-R Notes"), Definitive Rating Assigned Ba3 (sf) The Class X Notes, the Class A-S Notes, the Class A-J Notes, the Class B-R Notes, the Class C-R Notes, the Class D-R Notes and the Class E-R Notes are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE Moody's ratings of the Rated Notes address the expected loss posed to noteholders. The ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. The Issuer issued the Rated Notes in connection with the refinancing of five classes of secured notes (the "Refinanced Notes"), previously issued on November 20, 2014 (the "Original Closing Date"). The Issuer used the proceeds from the issuance of the Rated Notes to redeem in full the Refinanced Notes. On the Original Closing Date, the Issuer also issued one class of subordinated notes, which is not subject to this refinancing and will remain outstanding. In addition to changes to the capital structure described above and to the coupons of the notes, key modifications to the CLO that occurred in connection with the refinancing include: an extension of the non-call period, reinvestment period, weighted average life test and stated maturity of the notes, changes to the collateral quality matrix and a variety of other changes to transaction features. Canyon 2014-2 is a managed cash flow CLO. The issued notes are collateralized primarily by broadly syndicated first lien senior secured corporate loans. At least 90% of the portfolio must consist of senior secured loans, cash and eligible investments, and up to 10% of the portfolio may consist of second lien loans and unsecured loans. The portfolio is approximately 100% ramped as of the closing date for this refinancing. Canyon Capital Advisors LLC (the "Manager") manages the CLO. It directs the selection, acquisition, and disposition of collateral on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's four year reinvestment period. After the reinvestment period, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets, subject to certain restrictions. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in October 2016. The key model inputs Moody's used in its analysis, such as par, 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. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $399,677,369 Diversity Score: 60 Weighted Average Rating Factor (WARF): 2800 Weighted Average Spread (WAS): 3.60% Weighted Average Coupon (WAC): 5.50% Weighted Average Recovery Rate (WARR): 48.5% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in October 2016. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. Together with the set of modeling assumptions above, Moody's conducted an additional sensitivity analysis, which was a component in determining the ratings assigned to the Rated Notes. This sensitivity analysis includes increased default probability relative to the base case. Below is a summary of the impact of an increase in default probability (expressed in terms of WARF level) on the Rated Notes (shown in terms of the number of notch difference versus the current model output, whereby a negative difference corresponds to higher expected losses), assuming that all other factors are held equal: Percentage Change in WARF -- increase of 15% (from 2800 to 3220) Rating Impact in Rating Notches Class X Notes: 0 Class A-S Notes: 0 Class A-J Notes: -1 Class B-R Notes: -1 Class C-R Notes: -2 Class D-R Notes: -1 Class E-R Notes: 0 Percentage Change in WARF -- increase of 30% (from 2800 to 3640) Rating Impact in Rating Notches Class X Notes: 0 Class A-S Notes: -1 Class A-J Notes: -2 Class B-R Notes: -3 Class C-R Notes: -4 Class D-R Notes: -2 Class E-R Notes: -1 CD 2006-CD3: Moody's Lowers Rating on Class B Certs to C(sf) ------------------------------------------------------------ Moody's Investors Service has affirmed the ratings on three classes and downgraded the ratings on two classes in CD 2006-CD3 Commercial Mortgage Trust, Commercial Mortgage Pass Through Certificates, Series 2006-CD3: Cl. A-M, Affirmed A1 (sf); previously on May 26, 2016 Affirmed A1 (sf) Cl. A-1A, Affirmed Caa2 (sf); previously on May 26, 2016 Downgraded to Caa2 (sf) Cl. A-J, Affirmed Caa2 (sf); previously on May 26, 2016 Downgraded to Caa2 (sf) Cl. B, Downgraded to C (sf); previously on May 26, 2016 Downgraded to Caa3 (sf) Cl. XS, Downgraded to Caa2 (sf); previously on May 26, 2016 Downgraded to Caa1 (sf) RATINGS RATIONALE The rating on Class A-M was affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The ratings on Classes A-J and A-1A were affirmed because the ratings are consistent with Moody's expected loss. The rating on Class B was downgraded due to higher anticipated losses from specially serviced loans. The rating on the IO Class, Class XS, 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 41.7% of the current balance, compared to 19.6% at Moody's last review. Moody's base expected loss plus realized losses is now 18.0% of the original pooled balance, compared to 17.0% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The 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. XS 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-CD3. DESCRIPTION OF MODELS USED Moody's review used the excel-based CMBS Conduit Model, which it uses for both conduit and fusion transactions. Credit enhancement levels for conduit loans are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate Moody's uses to estimate Moody's value). Moody's fuses the conduit results with the results of its analysis of investment grade structured credit assessed loans and any conduit loan that represents 10% or greater of the current pool balance. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 6, compared to 19 at Moody's last review. When the Herf falls below 20, Moody's uses the excel-based Large Loan Model and then reconciles and weights the results from the conduit and large loan models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan-level proceeds derived from Moody's loan-level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, and property type. Moody's also further adjusts these aggregated proceeds for any pooling benefits associated with loan level diversity and other concentrations and correlations. DEAL PERFORMANCE As of the April 17, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 84% to $580.7 million from $3.57 billion at securitization. The certificates are collateralized by 20 mortgage loans ranging in size from less than 1% to 30% of the pool, with the top ten loans (excluding defeasance) constituting 94% of the pool. Three loans, constituting 6% 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. Fifty-one loans have been liquidated from the pool, resulting in an aggregate realized loss of $401 million (for an average loss severity of 39%). Fourteen loans, constituting 49% of the pool, are currently in special servicing. The largest specially serviced loan is the Fair Lakes Office Portfolio Loan ($142.5 million -- 24.5% of the pool), which represents a pari-passu interest in a $259.0 million first mortgage loan secured by a 1.25 million square foot (SF) office park located in Fairfax, Virginia. The complex is located 15 miles west of Washington D.C., and consists of nine class A buildings ranging in size from 75,000 SF to 275,000 SF. The loan transferred to special servicing in June 2015 for imminent default; due to the anticipated loss of the largest tenant, SRA International (21% of the property NRA; lease expiration of December 2015). SRA International has since vacated and the remaining three largest tenants all have lease expiration dates within the next two years. As per the April 2016 rent roll the property was 56% leased, compared to 82% as of March 2015 and 99% at securitization. The special servicer indicated they will pursue a title transfer through a deed in lieu of foreclosure. The second largest specially serviced loan is the Greendale Mall Loan ($45.0 million -- 7.7% of the pool), which is secured by a 309,000 SF enclosed shopping center in Worcester, MA, 40 miles west of Boston. The loan transferred to special servicing in September 2015 due to imminent default and became REO in July 2016. As of the December 2016 rent roll, the property was 86% leased compared to 78% at last review. The third largest specially serviced loan is the 6100 Executive Boulevard loan ($27.1 million -- 4.7% of the pool), which is secured by a 117,000 SF office building located in Rockville, MD (North Bethesda), approximately 11 miles northwest of Washington D.C. As of February 2017, the building was 100% vacant as a result of two major tenants vacating during 2016 and 2017. The remaining 11 specially serviced loans are secured by a mix of property types. Moody's estimates an aggregate $175.4 million loss for the specially serviced loans (62% expected loss on average). Moody's received full year 2015 operating results for 100% of the pool, and full or partial year 2016 operating results for 100% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 130%, compared to 106% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 22% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.8%. Moody's actual and stressed conduit DSCRs are 1.07X and 0.87X, respectively, compared to 1.21X and 1.02X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The top three conduit loans represent 45.4% of the pool balance. The largest loan is the InterContinental Boston Hotel Loan ($175 million -- 30.1% of the pool), which is secured by the borrower's fee interest in a 424-room, luxury hotel located in Boston's Financial District. The building is 20-stories, of which the first 12 floors are collateral for the loan and the top eight floors of the building contain 130 luxury residential condominium apartments. The hotel was constructed in 2006 and benefits from a strong brand affiliation with the Intercontinental Hotel Group (IHG), which signed a 99-year triple net lease and guaranteed rental payments for the first 25 years. The loan is interest-only throughout its 15-year term. Moody's LTV and stressed DSCR are 147% and 0.75X, respectively, the same as at the last review. The second largest loan is The Hay-Adams Loan ($69.3 million -- 11.9% of the pool), which is secured by an 145 key, full service, luxury hotel located in Washington, D.C.; one block north of the White House. The June 2016 trailing twelve month occupancy was 70.5%, with an average daily rate (ADR) of $478.36 and revenue per available room (RevPAR) of $337.24, compared to the December 2015 trailing twelve month occupancy of 70.8%, ADR of $470.56 and RevPAR of $333.33. Moody's LTV and stressed DSCR are 116% and 0.93X, respectively, the same as last review. The third largest loan is the Home Depot Jersey City loan ($19.2 million -- 3.3% of the pool), which is secured by a 105,000 SF single tenant building located in Jersey City, NJ. The property is fully occupied by The Home Depot with a lease expiring in 2033. The tenant is responsible for all real estate taxes, operating expenses and capital expenditures. Moody's LTV and stressed DSCR are 106.3% and 0.81X, respectively, compared to 109.5% and 0.79X at the last review. CEDAR FUNDING IV: S&P Assigns 'BB' Rating on Class E-R Notes ------------------------------------------------------------ S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R, D-R, and E-R replacement notes from Cedar Funding IV CLO Ltd., a collateralized loan obligation (CLO) originally issued in 2014 that is managed by Aegon USA Investment Management LLC. On the April 24, 2017, refinancing date, the proceeds from the class A-R, B-R, C-R, D-R, and E-R replacement note issuances were used to redeem the original class A1, AF, B1, BF, C, D, and E notes as outlined in the transaction document provisions. Therefore, S&P withdrew its ratings on the original notes in line with their full redemption, and S&P assigned ratings to the replacement notes. 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, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, 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 Cedar Funding IV CLO Ltd./Cedar Funding IV CLO LLC Replacement class Rating Amount (mil. $) A-R AAA (sf) 362.35 B-R AA (sf) 81.55 C-R A (sf) 37.45 D-R BBB (sf) 29.30 E-R BB (sf) 21.75 Subordinated notes NR 55.00 RATINGS WITHDRAWN Cedar Funding IV CLO Ltd./Cedar Funding IV CLO LLC Rating Original class To From A1 NR AAA (sf) AF NR AAA (sf) B1 NR AA (sf) BF NR AA (sf) C NR A (sf) D NR BBB (sf) E NR BB (sf) NR--Not rated. CFIP CLO 2013-1: S&P Assigns 'BB-' Rating on Class E-R Notes ------------------------------------------------------------ S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R, D-R, and E-R replacement notes from CFIP CLO 2013-1 Ltd., a collateralized loan obligation (CLO) originally issued in 2013 that is managed by Chicago Fundamental Investment Partners LLC. S&P withdrew its ratings on the original class A, B, C, D, and E notes following payment in full on the April 20, 2017, refinancing date. On the April 20, 2017, refinancing date, the proceeds from the class A-R, B-R, C-R, D-R, and E-R replacement note issuances were used to redeem the original class A, B, C, D, and E notes as outlined in the transaction document provisions. Therefore, S&P withdrew its ratings on the original notes in line with their full redemption, and S&P is assigning ratings to the replacement notes. S&P's review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the trustee report, to estimate future performance. In line with S&P's criteria, its cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, S&P's analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches. The assigned ratings reflect S&P's opinion that the credit support available is commensurate with the associated rating levels. S&P will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and S&P will take rating actions as it deems necessary. RATINGS ASSIGNED CFIP CLO 2013-1 Ltd./CFIP CLO 2013-1 LLC Replacement class Rating Amount (mil $) A-R AAA (sf) 292.000 B-R AA (sf) 61.300 C-R A (sf) 36.100 D-R BBB (sf) 24.150 E-R BB- (sf) 18.975 Income notes NR 56.751 RATINGS WITHDRAWN CFIP CLO 2013-1 Ltd./CFIP CLO 2013-1 LLC Rating Original class To From A NR AAA (sf) B NR AA (sf) C NR A (sf) D NR BBB (sf) E NR BB (sf) NR--Not rated. CITIGROUP 2012-GC8: Moody's Affirms B2(sf) Rating on Cl. F Notes ---------------------------------------------------------------- Moody's Investors Service has affirmed the ratings of 12 classes in Citigroup Commercial Mortgage Trust 2012-GC8 as follows: Cl. A-2, Affirmed Aaa (sf); previously on May 6, 2016 Affirmed Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on May 6, 2016 Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on May 6, 2016 Affirmed Aaa (sf) Cl. A-AB, Affirmed Aaa (sf); previously on May 6, 2016 Affirmed Aaa (sf) Cl. A-S, Affirmed Aaa (sf); previously on May 6, 2016 Affirmed Aaa (sf) Cl. B, Affirmed Aa3 (sf); previously on May 6, 2016 Affirmed Aa3 (sf) Cl. C, Affirmed A3 (sf); previously on May 6, 2016 Affirmed A3 (sf) Cl. D, Affirmed Baa3 (sf); previously on May 6, 2016 Affirmed Baa3 (sf) Cl. E, Affirmed Ba2 (sf); previously on May 6, 2016 Affirmed Ba2 (sf) Cl. F, Affirmed B2 (sf); previously on May 6, 2016 Affirmed B2 (sf) Cl. X-A, Affirmed Aaa (sf); previously on May 6, 2016 Affirmed Aaa (sf) Cl. X-B, Affirmed Ba3 (sf); previously on May 6, 2016 Affirmed Ba3 (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, Classes X-A and X-B, were affirmed because the credit performance (or the weighted average rating factor or WARF) of their referenced classes. Moody's rating action reflects a base expected loss of 3.2% of the current balance, compared to 2.6% at Moody's last review. Moody's base expected loss plus realized losses is now 2.9% of the original pooled balance, compared to 2.4% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodologies used in these ratings were "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in December 2014 and "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in October 2015. 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 CGCMT 2012-GC8. 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 16, compared to 19 at Moody's last review. When the Herf falls below 20, Moody's uses the excel-based Large Loan Model and then reconciles and weights the results from the conduit and large loan models in formulating a rating recommendation. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan-level proceeds derived from Moody's loan-level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure and property type. Moody's also further adjusts these aggregated proceeds for any pooling benefits associated with loan level diversity and other concentrations and correlations. DEAL PERFORMANCE As of the April 12, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 10% to $936.4 million from $1.04 billion at securitization. The certificates are collateralized by 53 mortgage loans ranging in size from less than 1% to 11% of the pool, with the top ten loans (excluding defeasance) constituting 62% of the pool. One loan, constituting 1% of the pool, has an investment-grade structured credit assessments. Seven loans, constituting 8% of the pool, have defeased and are secured by US government securities. Fifteen loans, constituting 54% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Moody's has assumed a high default probability for two poorly performing loans, constituting 2% of the pool, and has estimated a modest loss for these loans. Moody's received full year 2015 operating results for 86% of the pool, and full or partial year 2016 operating results for 96% of the pool. Moody's weighted average conduit LTV is 100%, compared to 95% 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 14% 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 1.53X and 1.08X, respectively, compared to 1.62 and 1.15X 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 ARCT III Portfolio Loan ($12.3 million -- 1.3% of the pool), which is secured by 27 single-tenant retail properties located across 12 states. The highest state concentrations are Mississippi (5), Michigan (4), and Missouri (4). Four of the properties are leased to automobile related retailers, while the other 23 are leased to dollar store retailers. The collateral has been fully leased since securitization. Moody's structured credit assessment and stressed DSCR are a3 (sca.pd) and 1.88X, respectively, the same as at the last review. The top three conduit loans represent 32% of the pool balance. The largest loan is the Miami Center Loan ($106.9 million -- 11.4% of the pool), which is secured by a pari passu portion of a $160.3 million first mortgage loan. The collateral property is a 34-story, 787,000 square foot (SF) office tower located on South Biscayne Boulevard in Miami, Florida. The property is located adjacent to an Intercontinental Hotel and contains a 9-story parking garage. The collateral was 65% leased as of year-end 2016, compared to 74% leased as of year-end 2015. The loan is currently on the watchlist for low DSCR, however, the servicer reports several new leases that are expected to improve occupancy and financial performance. The loan benefits from amortization. Moody's LTV and stressed DSCR are 112% and 0.89X, respectively, compared to 108% and 0.92X at last review. The second largest loan is the 222 Broadway Loan ($100.0 million -- 10.7% of the pool), which represents a pari passu portion of a $135 million mortgage loan. The loan is secured by a 787,000 square foot office property located in Manhattan's Financial District. The property was 99% leased as of September 2016, compared to 97% in September 2015. The loan has an upcoming maturity in June 2017 and the borrower has indicated plans to satisfy the loan in May 2017. The third largest loan is the 17 Battery Place South Loan ($88.8 million -- 9.5% of the pool). The loan is secured by the office portion of a 31-story, mixed use tower located in lower Manhattan. The property was 79% leased as of September 2016, compared to 85% leased as of September 2015. The loan benefits from amortization. The asset is also encumbered with $14 million of mezzanine debt. Moody's LTV and stressed DSCR are 112% and 0.90X, respectively, compared to 113% and 0.88X at the last review. COLT 2017-1: Fitch to Rate Class B-2 Certificates 'Bsf' ------------------------------------------------------- Fitch Ratings expects to rate COLT 2017-1 Mortgage Loan Trust: -- $265,343,000 class A-1 certificates 'AAAsf'; Outlook Stable; -- $33,219,000 class A-2 certificates 'AAsf'; Outlook Stable; -- $47,311,000 class A-3 certificates 'Asf'; Outlook Stable; -- $16,507,000 class M-1 certificates 'BBBsf'; Outlook Stable; -- $15,100,000 class B-1 certificates 'BBsf'; Outlook Stable; -- $10,671,000 class B-2 certificates 'Bsf'; Outlook Stable. Fitch will not be rating the following certificates: -- $14,495,288 class B-3 certificates. This is the fifth 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 of experience acquiring loans from originators that Fitch is not familiar with. The most notable change from COLT 2016-3 (the prior COLT transaction) is the introduction of a delinquency performance trigger. Although the new delinquency performance trigger threshold is relatively high, it reduces the amount of principal distributed to mezzanine classes in high stress scenarios. Since more subordination is projected to be retained in high stress scenarios than in transactions without a delinquency trigger, less initial credit enhancement (CE) is needed to protect the senior class from projected mortgage pool losses. Consequently, the initial CE of COLT 2017-1 is notably lower than COLT 2016-3, although the senior classes in both transactions are protected against a similar amount of collateral loss based on Fitch's analysis (24.50% vs. 24.75%). A second notable change from the prior transaction is the removal of Lendsure originated loans from the pool. The originator composition for this transaction is similar to COLT 2016-2 as the only originators contributing collateral are Caliber Home Loans, Inc. (Caliber) and Sterling Bank and Trust, FSB (Sterling). 'This transaction contains the highest percentage of Sterling originated loans seen in new RMBS. While the Sterling loans are underwritten to a one-month bank statement program, which is a notable risk, this risk is offset by the high-quality credit attributes of the mortgage loans. Fitch also introduced a new model used specifically for analyzing pools of Non-Prime collateral. The model includes all of the variables used in Fitch's Prime model but includes a higher assumed economic risk factor at each rating stress. Similar adjustments for prior credit events and higher assumed ATR challenges as used for the prior Non-Prime transactions are still incorporated into the analysis. The model enhancements modestly increased the projected pool losses at the 'AAsf' to 'BBsf' rating stress scenarios from prior transactions. The 'AAAsf' pool loss projection for 2017-1 is comparable to 2016-3. TRANSACTION SUMMARY The transaction is collateralized with 69% non-QM mortgages as defined by the ATR rule while 26% is designated as HPQM and the remainder either meets the criteria for Safe Harbor QM or ATR does not apply. The certificates are supported by a pool of 853 mortgage loans with credit scores (713) similar to legacy Alt-A collateral. However, unlike legacy originations, many of the loans were underwritten to comprehensive Appendix Q documentation standards and 100% due diligence was performed confirming adherence to the guidelines. The weighted average loan-to value ratio is roughly 75% and many of the borrowers have significant liquid reserves. The transaction also benefits from an alignment of interest as LSRMF Acquisitions I, LLC (LSRMF) or a majority owned affiliate, will be retaining a horizontal interest in the transaction equal to not less than 5% of the aggregate fair market value of all the certificates in the transaction. Fitch applied a default penalty to 30% of the pool to account for borrowers with a mortgage derogatory as recent as two years prior to obtaining the new mortgage and increased its non-QM loss severity penalty on lower credit quality loans to account for potentially greater number of challenges to the ATR Rule. Fitch also increased default expectations by 307 basis points at the 'AAAsf' rating category to reflect variances from a full representation and warranty (R&W) framework. Initial credit enhancement for the class A-1 certificates of 34.10% is substantially above Fitch's 'AAAsf' rating stress loss of 24.50%. 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. The lower initial CE compared to prior transactions is driven by the introduction of a delinquency trigger test, as noted above. KEY RATING DRIVERS Non-Prime Credit Quality (concern): The pool's weighted average model credit score of 713 is lower than historical average credit scores for prime loans. Fitch analyzed the pool using its updated nonprime loan loss model, which includes all of the variables that are present in the prime model but applies a higher economic risk factor at each rating stress. Negative adjustments were made to reflect the inclusion of borrowers with recent credit events (30%) and increased risk of ATR challenges, and loans with TILA RESPA Integrated Disclosure (TRID) exceptions. New Delinquency Trigger (Mixed): The initial 'AAAsf' credit enhancement (CE) for COLT 2017-1 is significantly lower than COLT 2016-3 (34.10% versus 42.45%) due to the introduction of a new delinquency (DQ) performance trigger that is expected to shut off principal to mezzanine classes earlier in the transaction's life (and retain more initial subordination for the senior 'AAAsf' class) in Fitch's high stress scenarios. The 'AAAsf' senior classes of COLT 2017-1 and COLT 2016-3 (the prior transaction) are protected against a comparable amount of mortgage pool loss (24.50% versus 24.75%) in Fitch's analysis, but COLT 2016-3 does not benefit from a delinquency trigger and needs more initial CE to account for the greater amount of mezzanine principal distribution Bank Statement Loans Included (Concern): 22% of the loans included in this pool were underwritten to a bank statement program in accordance with Sterling's guidelines. Sterling fully verifies employment and assets but only uses one month of bank statements as income documentation, relying primarily on the strong historical performance of borrowers with similar credit attributes in their program as evidence that the program meets ATR. Despite the historical performance of Sterling's program, Fitch applies a 1.4 times probability of default (PD) penalty comparable to 'stated-income' loans. Additionally, the assumed probability of ATR claims is doubled, increasing the projected loss severity on defaulted loans Operational and Data Quality (Positive): Caliber and Sterling have two of the most established non-QM programs in the nascent sector. Fitch views the visibility into the origination programs as a strength relative to non-QM transactions with a high number of originators. Fitch reviewed Caliber's, Sterling's and Hudson's origination and acquisition platforms and found them to have sound underwriting and operational control environments, reflecting industry improvements following the financial crisis that are expected to reduce risk related to misrepresentation and data quality. All loans in the mortgage pool were reviewed by a third-party due diligence firm and the results indicated strong underwriting and property valuation controls. Alignment of Interests (Positive): The transaction benefits from an alignment of interests between the issuer and investors. LSRMF Acquisitions I, LLC (LSRMF), as sponsor and securitizer, or an affiliate will retain a 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, LSRMF or an affiliate will retain the class B2, B3 and X certificates, which represent 6.25% of the transaction. Lastly, for the 78% Caliber-originated loans, the representations and warranties are provided by Caliber, which is owned by LSRMF affiliates and, therefore, also aligns the interest of the investors with those of LSRMF to maintain high quality origination standards and sound performance, as Caliber will be obligated to repurchase loans due to rep breaches. 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 any of the cumulative loss trigger event, the delinquency trigger event or the credit enhancement trigger event occurs in a given period, principal will be distributed sequentially to the class A-1, A-2 and A-3 certificates until they are reduced to zero. The cumulative loss triggers for this deal are slightly looser than COLT 2016-3, but did not affect the deal's overall CE due to the addition of the more constraining DQ trigger. R&W Framework (Concern): As originators, Caliber and Sterling will be providing loan-level representations and warranties to the trust. While the reps for this transaction are substantively consistent with those listed in Fitch's published criteria and provide a solid alignment of interest, Fitch added approximately 300 bps to the projected defaults at the 'AAAsf' rating category to reflect the non-investment-grade counterparty risk of the providers and the lack of an automatic review of defaulted loans. The lack of an automatic review is mitigated by the ability of holders of 25% of the total outstanding aggregate class balance to initiate a review. Performance Triggers (Mixed): Credit enhancement, delinquency and loan loss triggers convert principal distribution to a straight sequential payment priority in the event of poor asset performance. The loss triggers in 2017-1 are looser than the prior deal and more in line with COLT 2016-2, but the new inclusion of a delinquency trigger benefits the most senior classes. Fitch applied non-standard sensitivity scenarios that assumed a faster prepayment assumption and a delayed failure of the delinquency trigger that redirected more principal to more junior certificates when analyzing the A-1 and A-2 classes. Servicing and Master Servicer (Positive): Servicing will be performed on 78% of the loans by Caliber and on 22% of the loans by Sterling. Fitch rates Caliber 'RPS2-'/Outlook Negative due to its fast-growing portfolio and regulatory scrutiny and reviewed Sterling to be acceptable. Wells Fargo Bank, N.A. (Wells Fargo), rated 'RMS1'/Outlook Stable, will act as master servicer and securities administrator. Advances required but not paid by Caliber and Sterling will be paid by Wells Fargo. 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 6.8%. 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'. COMM 2014-CCRE14: Moody's Affirms B2(sf) Rating on Class F Notes ---------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on thirteen classes in COMM 2014-CCRE14 Mortgage Trust, Commercial Mortgage Pass-Through Certificates as follows: Cl. A-1, Affirmed Aaa (sf); previously on Aug 25, 2016 Affirmed Aaa (sf) Cl. A-2, Affirmed Aaa (sf); previously on Aug 25, 2016 Affirmed Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on Aug 25, 2016 Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Aug 25, 2016 Affirmed Aaa (sf) Cl. A-M, Affirmed Aaa (sf); previously on Aug 25, 2016 Affirmed Aaa (sf) Cl. A-SB, Affirmed Aaa (sf); previously on Aug 25, 2016 Affirmed Aaa (sf) Cl. B, Affirmed Aa3 (sf); previously on Aug 25, 2016 Affirmed Aa3 (sf) Cl. C, Affirmed A3 (sf); previously on Aug 25, 2016 Affirmed A3 (sf) Cl. D, Affirmed Baa3 (sf); previously on Aug 25, 2016 Affirmed Baa3 (sf) Cl. E, Affirmed Ba3 (sf); previously on Aug 25, 2016 Affirmed Ba3 (sf) Cl. F, Affirmed B2 (sf); previously on Aug 25, 2016 Affirmed B2 (sf) Cl. PEZ, Affirmed A1 (sf); previously on Aug 25, 2016 Affirmed A1 (sf) Cl. X-A, Affirmed Aaa (sf); previously on Aug 25, 2016 Affirmed Aaa (sf) RATINGS RATIONALE The ratings on eleven 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 class, Class X-A, was affirmed based on the credit performance (or the weighted average rating factor or WARF) of the referenced classes. The ratings on class PEZ was affirmed due to the credit performance (or the weighted average rating factor or WARF) of the exchangeable classes. Moody's rating action reflects a base expected loss of 3.9% of the current balance, compared to 3.1% at Moody's last review. Moody's base expected loss plus realized losses is now 3.8% of the original pooled balance, compared to 3.1% 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 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. The methodology used in rating the exchangeable class, Cl. PEZ was "Moody's Approach to Rating Repackaged Securities" methodology published in June 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 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 COMM 2014-CCRE14. 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 19, compared to 20 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 April 12, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 2.8% to $1.34 billion from $1.37 billion at securitization. The certificates are collateralized by 59 mortgage loans ranging in size from less than 1% to 11.6% of the pool, with the top ten loans (excluding defeasance) constituting 56.2% of the pool. Three loans, constituting 26.9% of the pool, have investment-grade structured credit assessments. Six loans, constituting 3.7% of the pool, have defeased and are secured by US government securities. Seven loans, constituting 7.9% 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 liquidated from the pool. Four loans, constituting 1.8% of the pool, are currently in special servicing. The largest specially serviced loan is the Roosevelt West Apartments Loan ($10.9 million -- 0.8% of the pool), built in 2013 the loan is secured by a 94 unit, multifamily property located in Williston, North Dakota. The property was 95% leased as of December 2015. The loan transferred to Special Servicing in September 2016, due to imminent monetary default. The Special Servicer has sent out a PNL and is working with the borrower on requested waivers. The Special Servicer will continue to dual track settlement discussions and foreclosure. The remaining three specially serviced loans are secured by multifamily properties all located in North Dakota. Moody's estimates an aggregate $21.6 million loss for the specially serviced loans (88.8% expected loss on average). Moody's received full year 2015 operating results for 98% of the pool, and full or partial year 2016 operating results for 78% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 108.4%, compared to 107.2% 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 15.7% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 8.97%. Moody's actual and stressed conduit DSCRs are 1.34X and 0.98X, respectively, compared to 1.37X and 0.99X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The largest loan with a structured credit assessment is the 60 Hudson Street Loan ($155 million -- 11.6% of the pool), which represents a pari-passu portion of a $280 million mortgage loan. The loan is secured by a 24-story, mission critical telecommunications and data center building located in the Tribeca neighborhood of New York City. The property is widely regarded as one of the world's most connected telecommunications and data center buildings. The property was 76% leased as of February 2017, the same as of August 2016. Moody's structured credit assessment and stressed DSCR are aaa (sca.pd) and 1.81X, respectively. The second largest loan with a structured credit assessment is the 625 Madison Avenue Loan ($110 million -- 8.2% of the pool), which represents a pari-passu portion of a $195 million mortgage loan. The loan is secured by the fee interest in a 0.81-acre parcel of land located at 625 Madison Avenue between East 58th and East 59th Street in New York City. The fee interest is subject to a ground lease pursuant to which the ground tenant constructed, developed and owns the improvements that sit on top of the ground. The improvements consist of a 17-story, mixed-use building, and the ground tenant's interest in the improvements is not collateral for the 625 Madison Avenue loan. The collateral is also encumbered with $195 million of mezzanine debt. Moody's structured credit assessment and actual DSCR are aa2 (sca.pd) and 1.03X, respectively. The third largest loan with a structured credit assessment is the Saint Louis Galleria Loan ($95 million -- 7.1% of the pool), which represents a pari-passu portion a $215 million mortgage loan. The Loan is componentized in to three notes: (i) Note A-1, having a par balance of $100 million; (ii) Note A-2, having a par balance of $95 million; and (iii) Note A-1B, having a par balance of $20 million. Note A-1 sits pari passu to Note A-2. Note A-1B sits subordinate to both Note A-1 and Note A-2. Only Note A-2 has been contributed to the rated transaction. The loan is secured by a 467,440 square foot (SF) component of a 1.18 million square foot (SF), Class A, super-regional mall located in St. Louis, Missouri. The mall is anchored by Dillard's, Macy's and Nordstrom, none of which are part of the loan collateral. Moody's structured credit assessment and stressed DSCR are a1 (sca.pd) and 1.29X, respectively. The top three conduit loans represent 18.9% of the pool balance. The largest loan is the Google and Amazon Office Portfolio Loan ($155 million -- 11.6% of the pool), which represents a pari-passu portion of a $452.2 million mortgage. The loan is also encumbered by $67.8 million of mezzanine debt. The loan is secured by an office portfolio located in Sunnyvale, California. The Moffett Towers Building D (Amazon Building) is a newly constructed eight-story, Class A office building containing 357,481 square feet (SF). It is part of a seven-building campus. A2Z Development, a wholly owned subsidiary of Amazon, will use the space for design and product development for the Kindle e-reader. The Google Campus is comprised of four, four-story, Class A office buildings totaling 700,328 square feet (SF), which is part of a six-building office campus known as Technology Corners. Moody's LTV and stressed DSCR are 112% and 0.91X, respectively, the same as at Moody's last review. The second largest loan is the Highland Hills Apartment Loan ($52.2 million -- 3.9% of the pool), which is secured by a 826-unit student housing property located in Mankato, Minnesota. The property was constructed in three separate phases between 1963 and 2011, consisting of Class B/C quality. The property is located directly across from Minnesota State University. As per the January 2017 rent roll the property was 72.4% leased, compared to 86% leased as of March 2016. Moody's LTV and stressed DSCR are 98.9% and 0.98X, respectively, compared to 95% and 1.02X at Moody's last review. The third largest loan is the City Square Loan ($46 million -- 3.4% of the pool), which is secured by a mixed-use property located within the Oakland City Center complex in Oakland, California. The asset is also encumbered with $7.5 million of mezzanine financing held outside the trust. Improvements include three, three-story buildings totaling 123,561 square feet (SF) of Class A-/B+ office space, 38,581 square feet (SF) of retail space and a subterranean parking garage with 1,156 parking spaces. As per the September 2016 rent roll the property was 98% occupied, the same as of June 2016. Moody's LTV and stressed DSCR are 106.4% and 0.95X, respectively, compared to 107.4% and 0.94X at Moody's last review. CPS AUTO 2017-B: S&P Assigns 'BB-' Rating on Class E Notes ---------------------------------------------------------- S&P Global Ratings assigned its ratings to CPS Auto Receivables Trust 2017-B's $225.17 million asset-backed notes. The note issuance is an asset-backed securities transaction backed by subprime auto loan receivables. The ratings reflect: -- The availability of approximately 57.47%, 49.09%, 40.64%, 31.87%, and 26.11%, of credit support for the class A, B, C, D, and E notes, respectively, based on stressed cash flow scenarios (including excess spread). These credit support levels provide coverage of approximately 3.10x, 2.60x, 2.10x, 1.60x, and 1.23x S&P's 18.00-19.00% expected cumulative net loss range for the class A, B, C, D, and E notes, respectively. -- S&P's expectation that, under a moderate stress scenario of 1.60x its expected net loss level and all else equal, the ratings on the class A notes would not be lowered over the life of the deal. The ratings on the class B and C notes would remain within one rating category while they are outstanding, and the rating on the class D notes would not decline by more than two rating categories within its life. The rating on the class E notes would remain within two rating categories during the first year, but the class would eventually default under the 'BBB' stress scenario after receiving 28%-55% of its principal. These rating migrations are consistent with S&P's credit stability criteria. -- The rated notes' underlying credit enhancement in the form of subordination, overcollateralization, a reserve account, and excess spread for the class A, B, C, D, and E notes. -- The timely interest and principal payments made to the rated notes under S&P's stressed cash flow modeling scenarios, which S&P believes is appropriate for the assigned ratings. -- The transaction's payment and credit enhancement structure, which includes a noncurable performance trigger. RATINGS ASSIGNED CPS Auto Receivables Trust 2017-B Class Rating Type Interest Amount rate(i) (mil. $) A AAA (sf) Senior Fixed 101.660 B AA (sf) Subordinate Fixed 38.985 C A (sf) Subordinate Fixed 34.155 D BBB (sf) Subordinate Fixed 27.715 E BB- (sf) Subordinate Fixed 22.655 DBJPM 2016-C1: DBRS Confirms B Rating on 2 Tranches --------------------------------------------------- DBRS Limited confirmed ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2016-C1 (the Certificates) issued by DBJPM 2016-C1 Mortgage Trust: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-3A at AAA (sf) -- Class A-3B at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-M at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (low) (sf) -- Class X-B at A (sf) -- Class C at A (low) (sf) -- Class X-C at BBB (sf) -- Class D at BBB (low) (sf) -- Class X-D at BB (sf) -- Class E at BB (low) (sf) -- Class F at B (sf) -- Class X-E at B (sf) -- Class G at B (low) (sf) All trends are stable. The rating confirmations reflect the overall stable performance of the transaction, which has remained in line with DBRS's expectations since issuance. The transaction consists of 33 fixed-rate loans secured by 45 commercial properties for a total trust balance of approximately $818.0 million. As of the April 2017 remittance report, the trust balance was $814.8, representing collateral reduction of 0.4% from issuance as a result of scheduled amortization. All of the original loans remain in the pool. As of the April 2017 remittance report, loans representing 29.1% of the pool are reporting YE2016 figures and loans representing 51.3% of the pool are reporting partial YE2016 figures. Based on the updated reporting, the pool has a weighted-average debt service coverage ratio of 1.77 times. As of the April 2017 remittance report, there are two loans, representing 5.3% of the pool, including one loan in the top ten, on the servicer's watchlist. There are no loans in special servicing. One of the loans is on the watchlist for reporting deferred maintenance issues during the most recent site inspection while the other loan is on the watchlist for reporting a low YE2016 net cash flow figure; however, this figure is expected to increase going forward as the decrease is caused by rental abatement periods for newly signed tenants, for which funds were reserved at issuance. The rental abatement periods are scheduled to expire throughout 2017. At issuance, DBRS shadow-rated two loans, 787 Seventh Avenue (Prospectus ID #1; 9.8% of the pool) and 225 Liberty Street (Prospectus ID #5; 5.0% of the pool), as investment-grade. DBRS has today confirmed that the performance of these loans remains consistent with investment-grade characteristics. DBRS has provided updated loan-level commentary and analysis for larger and/or pivotal watchlisted loans as well as for the largest 15 loans in the pool in the DBRS CMBS IReports platform. The ratings assigned to Classes E and F differ from the higher rating implied by the Large Pool Multi-borrower Parameters. DBRS considers this difference to be a material deviation from the methodology and, in this case, the ratings reflect the sustainability of loan performance trends not demonstrated. EXETER AUTOMOBILE 2017-2: S&P Assigns BB Rating on Class D Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to Exeter Automobile Receivables Trust 2017-2's $450.00 million automobile receivables-backed notes series 2017-2. The note issuance is an asset-backed securities transaction backed by subprime auto loan receivables. The ratings reflect: -- The availability of approximately 53.5%, 43.6%, 37.1%, and 28.0% credit support for the class A, B, C, and D notes, respectively, based on stressed cash flow scenarios (including excess spread), which provide coverage of approximately 2.50x, 2.05x, 1.72x, and 1.27x S&P's expected cumulative net loss. These break-even scenarios withstand cumulative gross losses of approximately 85.6%, 69.7%, 59.3%, and 44.8%, respectively. -- The timely interest and principal payments that S&P believes will be made to the rated notes under stressed cash flow modeling scenarios that S&P believes is appropriate for the assigned ratings. -- The expectation that under a moderate ('BBB') stress scenario (1.55x S&P's expected loss level), all else being equal, its rating on the class A notes will remain at the assigned rating ('AA (sf)') and our ratings on the class B and C notes will remain within one rating category of the assigned 'A (sf)' and 'BBB+ (sf)' ratings, respectively. The class D notes will remain within two rating categories of the assigned 'BB (sf)' rating during the first year but will eventually default under the 'BBB' stress scenario, after having received 70% of their principal. These rating movements are within the limits specified by S&P's credit stability criteria. -- The collateral characteristics of the subprime automobile loans securitized in this transaction. -- The transaction's payment, credit enhancement, and legal structures. RATINGS ASSIGNED Exeter Automobile Receivables Trust 2017-2 Class Rating Type Interest Amount rate (mil. $) A AA (sf) Senior Fixed 262.20 B A (sf) Subordinate Fixed 84.33 C BBB+ (sf) Subordinate Fixed 40.87 D BB (sf) Subordinate Fixed 62.60 FRANKLIN CLO VI: Moody's Affirms B1(sf) Rating on Class D Notes --------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Franklin CLO VI, Ltd.: US$18,000,000 Class C Senior Secured Deferrable Floating Rate Notes Due 2019, Upgraded to Aaa (sf); previously on January 18, 2017 Upgraded to A1 (sf) US$15,000,000 Class D Senior Secured Deferrable Floating Rate Notes Due 2019, Upgraded to Baa1 (sf); previously on January 18, 2017 Affirmed Ba1 (sf) Moody's also affirmed the ratings on the following notes: US$272,000,000 Class A Senior Secured Floating Rate Notes Due 2019 (current balance of $56,932,880), Affirmed Aaa (sf); previously on January 18, 2017 Affirmed Aaa (sf) US$38,000,000 Class B Senior Secured Floating Rate Notes Due 2019, Affirmed Aaa (sf); previously on January 18, 2017 Upgraded to Aaa (sf) US$15,000,000 Class D Senior Secured Deferrable Floating Rate Notes Due 2019, Affirmed B1 (sf); previously on January 18, 2017 Affirmed B1 (sf) Franklin CLO VI, Ltd., issued in July 2007, is a collateralized loan obligation (CLO) backed primarily by a portfolio of senior secured loans. The transaction's reinvestment period ended in August 2013. RATINGS RATIONALE These rating actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since January 2017. The Class A notes have been paid down by approximately 47.9% or $52.3 million since then. Based on the trustee's March 2017 report, the OC ratios for the Class A/B, Class C, Class D and Class E notes are reported at 158.7%, 133.4%, 117.8% and 108.4%, respectively, versus January 2017 levels of 138.1%, 123.0%, 112.8% and 106.3%, respectively. The portfolio includes a number of investments in securities that mature after the notes do. Based on the trustee's March 2017 report, securities that mature after the notes do currently make up approximately 20.9% or $31.5 million of the portfolio. These investments could expose the notes to market risk in the event of liquidation when the notes mature. Methodology Underlying the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in October 2016. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: This transaction is subject to a number of factors and circumstances that could lead to either an upgrade or downgrade of the ratings: 1) Macroeconomic uncertainty: CLO performance is subject to a) uncertainty about credit conditions in the general economy and b) the large concentration of upcoming speculative-grade debt maturities, which could make refinancing difficult for issuers. 2) Collateral Manager: Performance can also be affected positively or negatively by a) the manager's investment strategy and behavior and b) differences in the legal interpretation of CLO documentation by different transactional parties owing to embedded ambiguities. 3) Collateral credit risk: A shift towards collateral of better credit quality, or better credit performance of assets collateralizing the transaction than Moody's current expectations, can lead to positive CLO performance. Conversely, a negative shift in credit quality or performance of the collateral can have adverse consequences for CLO performance. 4) Deleveraging: An important source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will continue and at what pace. Deleveraging of the CLO could accelerate owing to high prepayment levels in the loan market and/or collateral sales by the manager, which could have a significant impact on the notes' ratings. Note repayments that are faster than Moody's current expectations will usually have a positive impact on CLO notes, beginning with those with the highest payment priority. 5) Recovery of defaulted assets: Fluctuations in the market value of defaulted assets reported by the trustee and those that Moody's assumes as having defaulted could result in volatility in the deal's OC levels. Further, the timing of recoveries and whether a manager decides to work out or sell defaulted assets create additional uncertainty. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices.Realization of higher than assumed recoveries would positively impact the CLO. 6) 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. 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 $4.2 million of par, Moody's ran a sensitivity case defaulting those assets. In addition to the base case analysis, Moody's also conducted sensitivity analyses to test the impact of a number of default probabilities on the rated notes relative to the base case modeling results, which may be different from the current public ratings of the notes. Below is a summary of the impact of different default probabilities (expressed in terms of WARF) on all of the rated notes (by the difference in the number of notches versus the current model output, for which a positive difference corresponds to lower expected loss): Moody's Adjusted WARF -- 20% (2276) Class A: 0 Class B: 0 Class C: 0 Class D: +1 Class E: +1 Moody's Adjusted WARF + 20% (3414) Class A: 0 Class B: 0 Class C: 0 Class D: -2 Class E: -1 Loss and Cash Flow Analysis Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. In its base case, Moody's analyzed the collateral pool as having a performing par and principal proceeds balance of $151.0 million, no defaulted par, a weighted average default probability of 12.8% (implying a WARF of 2845), a weighted average recovery rate upon default of 53.5%, a diversity score of 23 and a weighted average spread of 3.4% (before accounting for LIBOR floors). Moody's incorporates the default and recovery properties of the collateral pool in cash flow model analysis where they are subject to stresses as a function of the target rating on each CLO liability reviewed. Moody's derives the default probability from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate for future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and the collateral manager's latitude for trading the collateral are also factors. GMAC COMMERCIAL 1999-C2: Moody's Affirms C(sf) Rating on L Certs ---------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on three classes and upgraded the ratings on two classes in GMAC Commercial Mortgage Securities, Inc. 1999-C2, Commercial Mortgage Pass-Through Certificates, Series 1999-C2: Cl. H, Affirmed Aaa (sf); previously on Jun 23, 2016 Affirmed Aaa (sf) Cl. J, Upgraded to Aaa (sf); previously on Jun 23, 2016 Upgraded to Aa1 (sf) Cl. K, Upgraded to Caa2 (sf); previously on Jun 23, 2016 Affirmed Caa3 (sf) Cl. L, Affirmed C (sf); previously on Jun 23, 2016 Affirmed C (sf) Cl. X, Affirmed Caa3 (sf); previously on Jun 23, 2016 Affirmed Caa3 (sf) RATINGS RATIONALE The rating on Class H was affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The ratings on Classes J and K were upgraded based primarily on an increase in credit support resulting from loan amortization and an increase in defeasance. The deal has paid down 8% since Moody's last review and defeasance is now 39% of the pooled balance compared to 33% at last review. The rating on the Class L was affirmed because the rating is consistent with Moody's expected loss. The rating on the IO class, Class X, 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 15.5% of the current balance, compared to 11.4% at Moody's last review. Moody's base expected loss plus realized losses is now 2.6% of the original pooled balance, compared to 2.5% 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 "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in October 2015, and "Moody's Approach to Rating Credit Tenant Lease and Comparable Lease Financings" published in October 2016. 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 GMAC Commercial Mortgage Securities, Inc., Commercial Mortgage Pass-Through Certificates, Series 1999-C2 . 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. In evaluating the Credit Tenant Lease (CTL) component, Moody's used a Gaussian copula model, incorporated in its public CDO rating model CDOROM to generate a portfolio loss distribution for the credit tenant lease (CTL) component of the transaction. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 2, compared to 3 at last review. DEAL PERFORMANCE As of the April 17, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 97% to $27.8 million from $974.5 million at securitization. The certificates are collateralized by ten mortgage loans ranging in size from less than 1% to 40% of the pool. Three loans, representing 44% of the pool, are secured by credit tenant leases (CTLs). Five loans, representing 39% of the pool, have defeased and are secured by U.S. Government securities. Currently, there are no loans in special servicing nor on the servicer's watchlist. Fifteen loans have been liquidated from the pool, resulting in an aggregate realized loss of $21 million (for an average loss severity of 16%). The two remaining conduit loans represent 16.7% of the pool balance. The largest loan is the Bal Seal Engineering Loan ($3.3 million -- 11.9% of the pool), which is secured by a 125,000 square foot (SF) industrial property located in Foothill Ranch, California. The property is 100% leased to Bal Seal Engineering Company through January 2019. Due to single tenant exposure risk, a lit/dark analysis was applied. Moody's LTV and stressed DSCR are 32% and 3.38X, respectively, compared to 37% and 2.96X at last review. The second largest loan is the 30 Executive Avenue Loan ($1.3 million -- 4.8% of the pool), which is secured by an 89,178 SF industrial property located in Edison, New Jersey. The property is 100% leased to Skekia Group through December 2018. Due to the single tenant exposure a lit/dark analysis was applied. Moody's LTV and stressed DSCR are 49% and 2.21X, respectively, compared to 52% and 2.08X at last review. The CTL component consists of three loans, constituting 44% of the pool, secured by properties leased to three tenants. The largest exposures are CarMax, Inc. ($11.1 million -- 40.0% of the pool), Rite Aid Corporation ($0.9 million -- 3.3% of the pool); and CVS Health ($0.3 million -- 1.0% of the pool). GMAC COMMERCIAL 2004-C3: S&P Raises Rating on Cl. D Certs to BB+ ---------------------------------------------------------------- S&P Global Ratings raised its ratings on four classes of commercial mortgage pass-through certificates from GMAC Commercial Mortgage Securities Inc.'s series 2004-C3, a U.S. commercial mortgage-backed securities (CMBS) transaction. S&P's upgrades 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 upgrades also reflect our 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, S&P's views regarding the collateral's current and future performance, the classes' interest shortfall history, and the reduced trust balance. Specifically, class E was previously lowered to 'D (sf)' due to accumulated interest shortfalls that S&P expected to remain outstanding for a prolonged period of time. S&P raised its rating on this class to 'B- (sf)' from 'D (sf)' because the interest shortfalls have been repaid in full and S&P do not believe, at this time, a further default of any of this certificate class 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 high rollover risk reported in 2018 and 2019 on the largest loan in the pool, the Imperial Center Office loan ($42.1 million, 75.4%), secured by a 452,249-sq.-ft. office property in Norwalk, Calif. The loan matures in November 2019. The reported debt service coverage (DSC) and occupancy were 1.34x and 92.4%, respectively, for year-end 2016. In addition, S&P's analysis also considered the single tenant exposure on the second-largest loan in the pool, the Ply Gem Industrial Portfolio loan ($9.5 million, 17.1%) which is secured by a portfolio of seven industrial properties totaling 1.6 million sq.ft. in various U.S. states. The loan is also on the master servicer's watchlist due to deferred maintenance items noted at the properties. Lastly, S&P also considered that the Savannah Park Apartments loan ($2.2 million, 4.0%), secured by an 80-unit multifamily apartment complex in Foley, Ala., was previously specially serviced and was returned to the master servicer without material modification. The reported DSC and occupancy were 1.39x and 100%, respectively, for year-end 2016. TRANSACTION SUMMARY As of the April 10, 2017, trustee remittance report, the collateral pool balance was $55.8 million, which is 4.5% of the pool balance at issuance. The pool currently includes four loans down from 89 loans at issuance. None of the loans are currently with the special servicer or defeased and one loan ($9.5 million, 17.1%) is on the master servicer's watchlist. The master servicer, Berkadia Commercial Mortgage LLC, reported year-end 2016 financial information for 96.4% of the loans in the pool. S&P calculated a 1.31x S&P Global Ratings weighted average DSC and 70.5% S&P Global Ratings weighted average loan-to-value ratio using a 7.70% S&P Global Ratings weighted average capitalization rate for the four loans. RATINGS LIST GMAC Commercial Mortgage Securities, Inc. Commercial mortgage pass-through certificates series 2004-C3 Rating Class Identifier To From B 361849K43 AA+ (sf) BBB+ (sf) C 361849K50 BBB+ (sf) B+ (sf) D 361849K68 BB+ (sf) B- (sf) E 361849K84 B- (sf) D (sf) GREENWICH CAPITAL 2007-GG9: Moody's Cuts Ratings on 2 Tranches to C ------------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on three classes and downgraded the ratings on three classes in Greenwich Capital Commercial Funding Corp., 2007-GG9, Commercial Pass-Through Certificates, Series 2007-GG9 as follows: Cl. A-J, Affirmed Caa2 (sf); previously on May 13, 2016 Affirmed Caa2 (sf) Cl. B, Downgraded to C (sf); previously on May 13, 2016 Affirmed Caa3 (sf) Cl. C, Downgraded to C (sf); previously on May 13, 2016 Affirmed Ca (sf) Cl. D, Affirmed C (sf); previously on May 13, 2016 Affirmed C (sf) Cl. E, Affirmed C (sf); previously on May 13, 2016 Affirmed C (sf) Cl. X, Downgraded to Caa3 (sf); previously on May 13, 2016 Affirmed B2 (sf) RATINGS RATIONALE The ratings on the P&I classes A-J, D and E were affirmed because the ratings are consistent with Moody's expected loss. The ratings on the P&I classes B and C were 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 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 42.0% of the current balance, compared to 6.3% at Moody's last review. Moody's base expected loss plus realized losses is now 12.6% of the original pooled balance, compared to 11.9% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The 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 Greenwich Capital Commercial Funding Corp., Commercial Pass-Through Certificates, Series 2007-GG9. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 99.9% of the pool is in special servicing. 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 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 April 12th, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 90% to $675 million from $6.58 billion at securitization. The certificates are collateralized by 16 mortgage loans ranging in size from less than 1% to 35% of the pool, with the top ten loans constituting 96% of the pool. One loan, constituting 0.1% of the pool, has defeased and is secured by US government securities. Sixty-two loans have been liquidated from the pool, resulting in an aggregate realized loss of $544 million (for an average loss severity of 35%). Fifteen loans, constituting 99.9% of the pool, are currently in special servicing. The largest specially serviced loan is the TIAA RexCorp Long Island Portfolio ($235.9 million -- 34.9% of the pool), which is secured by a portfolio consisting of five, class-A suburban office properties located in Melville and Uniondale, New York. The loan was transferred to special servicing due to imminent default in January 2017 due to Borrower's inability to pay the loan in full at maturity. The borrower has requested an extension of the maturity as they continue attempts to secure potential refinancing. The special servicer continues to evaluate workout discussions with the borrower while monitoring their refinance efforts. As of September 2016, the portfolio's occupancy was at 94%. The second largest specially serviced loan is the COPT Office Portfolio ($127.5 million -- 18.9% of the pool), which was originally secured by 14 office properties located in suburban Baltimore, Maryland and Colorado Springs, Colorado. The loan was transferred to special servicing in March 2013 and became REO in December 2013. Seven buildings have been sold and the seven remaining properties are located in Linthicum, Maryland. A January 2017 appraisal valued the remaining properties at $24.0 million. Moody's anticipates a significant loss on this loan. The third largest specially serviced loan is the Omni Marathon Reckson Loan ($108.0 million -- 16.0% of the pool), which is secured by a 10-story, Class A suburban office building located in Uniondale, New York. The loan was transferred to special servicing due to imminent default in January 2017 due to Borrower's inability to pay the loan in full at maturity. As of September 2016, the occupancy was at 100%. The remaining twelve specially serviced loans are secured by a mix of property types. Moody's estimates an aggregate $284.0 million loss for the specially serviced loans (42.1% expected loss on average). GREENWICH CAPITAL 2007-RR2: Moody's Affirms C Rating on 3 Tranches ------------------------------------------------------------------ Moody's Investors Service has affirmed the ratings on the following certificates issued by Greenwich Capital Commercial Mortgage Trust 2007-RR2: Cl. A-1FL, Affirmed C (sf); previously on Jun 7, 2016 Affirmed C (sf) Cl. A-1FX, Affirmed C (sf); previously on Jun 7, 2016 Affirmed C (sf) Cl. X, Affirmed C (sf); previously on Jun 7, 2016 Affirmed C (sf) RATINGS RATIONALE Moody's has affirmed the ratings on three classes of certificates because the key transaction metrics are commensurate with existing ratings. The affirmation is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO and ReRemic) transactions. GCCMT 2007-RR2 is a re-remic cash transaction wholly backed by a portfolio of commercial mortgage backed securities (CMBS) (100.0% of the pool balance). As of the March 22, 2017 trustee report, the aggregate balance of the transaction has decreased to $99.7 million from $528.7 million at issuance due to realized losses applied to the certificates as a result of losses on the underlying collateral. Moody's has identified the following as key indicators of the expected loss in CRE CDO transactions: the weighted average rating factor (WARF), the weighted average life (WAL), the weighted average recovery rate (WARR), and Moody's asset correlation (MAC). Moody's typically models these as actual parameters for static deals and as covenants for managed deals. WARF is a primary measure of the credit quality of a CRE CDO pool. Moody's has updated its assessments for the collateral it does not rate. The rating agency modeled a bottom-dollar WARF of 10,000, compared to 9434 at last review. The current ratings on the Moody's-rated collateral and the assessments of the non-Moody's rated collateral follow: Caa1-Ca/C (100%, the same as that at last review). Moody's modeled a WAL of 2.3 years, compared to 2.5 years at last review. The WAL is based on assumptions about the look-through loans within the underlying collateral. Moody's modeled a fixed WARR of 0.0%, same as that at last review. Moody's modeled a MAC of 99.9%, same as that at last review. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Approach to Rating SF CDOs" published in October 2016. 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 potential revisions to its methodology for rating structured finance interest-only (IO) securities. If the revised Credit Rating Methodology is implemented as proposed, ratings of some of the tranches might change. Please refer to Request for Comment titled "Moody's Proposes Revised Approach to Rating Structured Finance Interest-Only (IO) Securities", for further details regarding the implications of the proposed Credit Rating Methodology revisions on certain Credit Ratings. Factors that would lead to an upgrade or downgrade of the ratings: The performance of the certificates is subject to uncertainty, because it is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that are subject to change. The servicing decisions of the master and special servicer and surveillance by the operating advisor with respect to the collateral interests and oversight of the transaction will also affect the performance of the rated certificates. Moody's Parameter Sensitivities: Changes to any one or more of the key parameters could have rating implications for some of the rated certificates, although a change in one key parameter assumption could be offset by a change in one or more of the other key parameter assumptions. The rated certificates are particularly sensitive to changes in the recovery rates of the underlying collateral and credit assessments. However, in light of the performance indicators noted above, Moody's believes that it is unlikely that the ratings announced today are sensitive to further change. The primary sources of uncertainty in Moody's assumptions are the extent of growth in the current macroeconomic environment given the weak recovery and certain commercial real estate property markets. Commercial real estate property values continue to improve modestly, along with a rise in investment activity and stabilization in core property type performance. Limited new construction and moderate job growth have aided this improvement. However, sustained growth will not be possible until investment increases steadily for a significant period, non-performing properties are cleared from the pipeline and fears of a euro area recession abate. MARINER CLO 2015-1: S&P Assigns 'BB-' Rating on Cl. E-R Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R, D-R, and E-R replacement notes from Mariner CLO 2015-1 LLC, a collateralized loan obligation (CLO) originally issued in 2015 that is managed by Mariner Investment Group LLC. S&P withdrew its ratings on the original class A, B-1, B-2, C, D, and E notes following payment in full on the April 20, 2017, refinancing date. On the April 20, 2017, refinancing date, the proceeds from class A-R, B-R, C-R, D-R, and E-R replacement note issuances were used to redeem the original class A, B-1, B-2, C, D, and E notes as outlined in the transaction document provisions. Therefore, S&P withdrew its ratings on the original notes in line with their full redemption, and S&P is assigning ratings to the replacement notes. Based on provisions in the amended and restated indenture: -- The class A-R replacement notes were issued at a higher spread than the original notes. -- The class B-R, C-R, D-R, and E-R replacement notes were issued at a lower spread than the original notes, and the class B-1 and B-2 notes are being replaced with just the class B-R replacement notes. -- The refinancing transaction was recapitalized up to the original target par amount of $500.00 million. -- In addition to the introduction of a four-year reinvestment period, a corresponding reinvestment overcollateralization test has been added and the final maturity will be extended six years. -- The non-call period is two years from the refinancing closing date. 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. RATINGS ASSIGNED Mariner CLO 2015-1 LLC Replacement class Rating Amount (mil. $) A-R AAA (sf) 320.00 B-R AA (sf) 55.00 C-R (deferrable) A (sf) 35.50 D-R (deferrable) BBB (sf) 27.00 E-R (deferrable) BB- (sf) 23.00 Subordinated notes NR 46.00 RATINGS WITHDRAWN Mariner CLO 2015-1 LLC Original class Rating To From A NR AAA (sf) B-1 NR AAA (sf) B-2 NR AAA (sf) C (deferrable) NR AA+ (sf) D (deferrable) NR A+ (sf) E (deferrable) NR BB+ (sf) NR--Not rated. MERRILL LYNCH 2005-MKB2: Moody's Affirms C Rating on Cl. G Notes ---------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on three classes and affirmed the ratings on two classes of Merrill Lynch Mortgage Trust 2005-MKB2 as follows: Cl. D, Upgraded to Aaa (sf); previously on Sep 1, 2016 Upgraded to A1 (sf) Cl. E, Upgraded to Aaa (sf); previously on Sep 1, 2016 Affirmed B1 (sf) Cl. F, Upgraded to Aa3 (sf); previously on Sep 1, 2016 Downgraded to C (sf) Cl. G, Affirmed C (sf); previously on Sep 1, 2016 Downgraded to C (sf) Cl. XC, Affirmed Caa2 (sf); previously on Sep 1, 2016 Affirmed Caa2 (sf) RATINGS RATIONALE The ratings of classes D and E were upgraded as they are fully covered by defeasance. The rating of class F was upgraded due to the class being fully covered by defeasance, however, the class had previous interest shortfalls for nearly four years. The rating on class G was affirmed because the rating is consistent with Moody's expected loss plus realized losses. Class G has already experienced a 49% realized loss as result of previously liquidated loans. The rating on the IO class XC was affirmed because of the credit performance (or the weighted average rating factor or WARF) of its reference classes. Moody's does not anticipate any future losses as the only remaining collateral is a fully defeased loan. Moody's base expected loss plus realized losses is now 5.7% of the original pooled balance, compared to 7.0% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal 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. XC 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 MLMT 2005-MKB2. 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 April 12, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 95% to $54.0 million from $1.14 billion at securitization. Following the resolution of the DeSoto Square Mall A Note and B Note Loans, the certificates are collateralized by one remaining mortgage that has defeased and is secured by US government securities. Fourteen loans have been liquidated from the pool, resulting in an aggregate realized loss of $65.3 million (for an average loss severity of 40%). N-STAR REL VI: Moody's Hikes Class C Notes Rating to Ba1 -------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by N-Star REL CDO VI Ltd.: Cl. C, Upgraded to Ba1 (sf); previously on May 27, 2016 Affirmed B2 (sf) Cl. D, Upgraded to Ba3 (sf); previously on May 27, 2016 Affirmed Caa1 (sf) Moody's has also affirmed the ratings on the following notes: Cl. E, Affirmed Caa1 (sf); previously on May 27, 2016 Affirmed Caa1 (sf) Cl. F, Affirmed Caa2 (sf); previously on May 27, 2016 Affirmed Caa2 (sf) Cl. G, Affirmed Caa3 (sf); previously on May 27, 2016 Affirmed Caa3 (sf) Cl. H, Affirmed Caa3 (sf); previously on May 27, 2016 Affirmed Caa3 (sf) Cl. J, Affirmed Caa3 (sf); previously on May 27, 2016 Affirmed Caa3 (sf) Cl. K, Affirmed Caa3 (sf); previously on May 27, 2016 Affirmed Caa3 (sf) RATINGS RATIONALE Moody's has upgraded the ratings of the two most-senor outstanding classes of notes due to greater than expected recoveries on high credit risk assets since last review. This resulted in material pay-down to these notes since last review. Moody's has affirmed the ratings on six classes of notes because the key transaction metrics are commensurate with existing ratings. While the credit profile of the transaction has improved, as evidenced by the weighted average rating factor (WARF), the remaining asset pool profile has a lower recovery rate which offsets the credit improvement. The affirmation is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO CLO) transactions. N-Star REL CDO VI, Ltd. is a cash transaction whose reinvestment period ended in June 2011. The transaction is backed by a portfolio of: i) mezzanine interests (45.0% of the current pool balance); ii) commercial real estate collateralized debt obligations (CRE CDO) (28.1%); iii) whole loans and senior participations (17.3%); and iv) b-notes (9.7%). As of the March 16, 2017 note valuation report, the aggregate note balance of the transaction, including preferred shares, is $149.2 million, compared to $450.0 million at issuance; due to a combination of amortization and recoveries from defaulted assets. The pool contains two assets totaling $38.6 million (27.0% of the collateral pool balance) that are listed as defaulted securities as of the trustee's March 31, 2017 report. While there have been limited realized losses on the underlying collateral to date, Moody's does expect moderate losses to occur on the defaulted securities. Moody's has identified the following as key indicators of the expected loss in CRE CLO transactions: the weighted average rating factor (WARF), the weighted average life (WAL), the weighted average recovery rate (WARR), and Moody's asset correlation (MAC). Moody's typically models these as actual parameters for static deals and as covenants for managed deals. WARF is a primary measure of the credit quality of a CRE CLO pool. Moody's has updated its assessments for the collateral it does not rate. The rating agency modeled a bottom-dollar WARF of 7355, compared to 8064 at last review. The current ratings on the Moody's-rated collateral and the assessments of the non-Moody's rated collateral follow: A1-A3 (11.5% compared to 8.0% at last review); Ba1-Ba3 (3.3% compared to 2.1% at last review); B1-B3 (8.4% compared to 0.0% at last review); and Caa1-Ca/C (76.8% compared to 89.9% at last review). Moody's modeled a WAL of 2.7 years, compared to 3.0 years at last review. The WAL is based on assumptions about extensions on the underlying collateral. Moody's modeled a fixed WARR of 6.9%, compared to 14.2% at last review. Moody's modeled a MAC of 100.0%, same as that at last review. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Approach to Rating SF CDOs" published in October 2016. Factors that would lead to an upgrade or downgrade of the ratings: The performance of the notes is subject to uncertainty, because it is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that are subject to change. The servicing decisions of the master and special servicer and surveillance by the operating advisor with respect to the collateral interests and oversight of the transaction will also affect the performance of the rated notes. Moody's Parameter Sensitivities: Changes to any one or more of the key parameters could have rating implications for some of the rated notes, although a change in one key parameter assumption could be offset by a change in one or more of the other key parameter assumptions. The rated notes are particularly sensitive to changes in the recovery rates of the underlying collateral and credit assessments. Holding all other parameters constant, reducing the recovery rates of 100% of the collateral pool by -6.9% would result in an average modeled rating movement on the rated notes of zero to six notches downward (e.g., one notch down implies a ratings movement of Baa3 to Ba1). Increasing the recovery rate of 100% of the collateral pool by +10% would result in an average modeled rating movement on the rated notes of zero to ten notches upward (e.g., one notch up implies a ratings movement of Baa3 to Baa2). The primary sources of uncertainty in Moody's assumptions are the extent of growth in the current macroeconomic environment given the weak recovery and certain commercial real estate property markets. Commercial real estate property values continue to improve modestly, along with a rise in investment activity and stabilization in core property type performance. Limited new construction and moderate job growth have aided this improvement. However, sustained growth will not be possible until investment increases steadily for a significant period, non-performing properties are cleared from the pipeline and fears of a euro area recession abate. NCF DEALER: DBRS Confirms BB Rating on Class D Notes Debt --------------------------------------------------------- DBRS, Inc. conducted a review of two publicly rated U.S. structured finance asset-backed securities with five outstanding publicly rated classes. DBRS has confirmed the five publicly rated classes as credit enhancement levels are sufficient to cover DBRS's expected losses at their current respective rating levels. The following public transactions were reviewed: -- NCF Dealer Floorplan Master Trust, Series 2014-1 -- NCF Dealer Floorplan Master Trust, Series 2016-1 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. -- Credit quality of the collateral pool and historical performance. The confirmation of the outstanding ratings of NCF Dealer Floorplan Master Trust, Series 2014-1 reflects the current credit enhancement levels provided by subordination, the Reserve Account and overcollateralization. As of the May 2016 payment date, the monthly net loss ratio was 0.11% of the original collateral balance. A full text copy of the ratings is available free at: https://is.gd/EpnZcN NEW RESIDENTIAL 2017-2: DBRS Gives (P)B Ratings on 3 Tranches ------------------------------------------------------------- DBRS, Inc. assigned the following provisional ratings to the Mortgage-Backed Notes, Series 2017-2 (the Notes) issued by New Residential Mortgage Loan Trust 2017-2 (the Trust): -- $617.9 million Class A-1 at AAA (sf) -- $617.9 million Class A-IO at AAA (sf) -- $617.9 million Class A-1A at AAA (sf) -- $617.9 million Class A-1B at AAA (sf) -- $617.9 million Class A-1C at AAA (sf) -- $617.9 million Class A1-IOA at AAA (sf) -- $617.9 million Class A1-IOB at AAA (sf) -- $617.9 million Class A1-IOC at AAA (sf) -- $629.9 million Class A-2 at AA (sf) -- $617.9 million Class A at AAA (sf) -- $12.0 million Class B-1 at AA (sf) -- $12.0 million Class B1-IO at AA (sf) -- $12.0 million Class B-1A at AA (sf) -- $12.0 million Class B-1B at AA (sf) -- $12.0 million Class B-1C at AA (sf) -- $12.0 million Class B1-IOA at AA (sf) -- $12.0 million Class B1-IOB at AA (sf) -- $12.0 million Class B1-IOC at AA (sf) -- $10.0 million Class B-2 at A (sf) -- $10.0 million Class B2-IO at A (sf) -- $10.0 million Class B-2A at A (sf) -- $10.0 million Class B-2B at A (sf) -- $10.0 million Class B-2C at A (sf) -- $10.0 million Class B2-IOA at A (sf) -- $10.0 million Class B2-IOB at A (sf) -- $10.0 million Class B2-IOC at A (sf) -- $7.3 million Class B-3 at BBB (sf) -- $7.3 million Class B-3A at BBB (sf) -- $7.3 million Class B-3B at BBB (sf) -- $7.3 million Class B-3C at BBB (sf) -- $7.3 million Class B3-IOA at BBB (sf) -- $7.3 million Class B3-IOB at BBB (sf) -- $7.3 million Class B3-IOC at BBB (sf) -- $6.0 million Class B-4 at BB (sf) -- $6.0 million Class B-4A at BB (sf) -- $6.0 million Class B4-IOA at BB (sf) -- $4.0 million Class B-5 at B (sf) -- $4.0 million Class B-5A at B (sf) -- $4.0 million Class B5-IOA at B (sf) Classes A-IO, A1-IOA, A1-IOB, A1-IOC, B1-IO, B1-IOA, B1-IOB, B1-IOC, B2-IO, B2-IOA, B2-IOB, B2-IOC, B3-IOA, B3-IOB, B3-IOC, B4-IOA and B5-IOA are interest-only notes. The class balances represent notional amounts. Classes A-1A, A-1B, A-1C, A1-IOA, A1-IOB, A1-IOC, A-2, A, B-1A, B-1B, B-1C, B1-IOA, B1-IOB, B1-IOC, B-2A, B-2B, B-2C, B2-IOA, B2-IOB, B2-IOC, B-3A, B-3B, B-3C, B3-IOA, B3-IOB, B3-IOC, B-4A, B4-IOA, B-5A and B5-IOA are exchangeable notes. These classes can be exchanged for combinations of initial exchangeable notes as specified in the offering documents. The AAA (sf) ratings on the Notes reflect the 7.10% of credit enhancement provided by subordinated Notes in the pool. The AA (sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings reflect 5.30%, 3.80%, 2.70%, 1.80% and 1.20% of credit enhancement, respectively. Other than the specified classes above, DBRS does not rate any other classes in this transaction. This transaction is a securitization of a portfolio of seasoned performing and re-performing first-lien residential mortgages. The Notes are backed by 6,106 loans with a total principal balance of $665,135,131 as of the Cut-Off Date (April 1, 2017). The loans are significantly seasoned with a weighted-average (WA) age of 166 months and exhibit an especially low WA current loan-to-value ratio (LTV) of 37.9%. As of the Cut-Off Date, 97.1% of the pool is current, 1.9% is 30 days delinquent under the Mortgage Bankers Association (MBA) delinquency method and 1.0% is in bankruptcy (all bankruptcy loans are performing or 30 days delinquent). Approximately 83.3% and 89.7% of the mortgage loans have been zero times 30 days delinquent (0 x 30) for the past 24 months and 12 months, respectively, under the MBA delinquency method. The portfolio contains 10.8% modified loans. The modifications happened more than two years ago for 72.1% of the modified loans. As a result of the seasoning of the collateral, none of the loans are subject to the Consumer Financial Protection Bureau Ability-to-Repay/Qualified Mortgage rules. The Seller, NRZ Sponsor IX LLC (NRZ), acquired certain loans prior to the Closing Date and will acquire certain loans on the Closing Date in connection with the termination of various securitization trusts or through a whole loan purchase. Upon acquiring the loans from the securitization trusts, NRZ, through an affiliate, New Residential Funding 2017-2 LLC (the Depositor), will contribute the loans to the Trust. As the Sponsor, New Residential Investment Corp., through a majority-owned affiliate, will acquire and retain a 5% eligible vertical interest in each class of securities to be issued (other than the residual notes) to satisfy the credit risk retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. These loans were originated and previously serviced by various entities through purchases in the secondary market. As of the Cut-Off Date, 97.4% of the pool is serviced by Nationstar Mortgage LLC (Nationstar) and 2.6% by Ocwen Loan Servicing, LLC. Nationstar will also act as the Master Servicer and the Special Servicer. The transaction employs a senior-subordinate shifting-interest cash flow structure that is enhanced from a pre-crisis structure. The ratings reflect transactional strengths that include underlying assets that have significant seasoning, relatively clean payment histories and robust loan attributes with respect to credit scores, product types and LTV ratios. Additionally, historical NRMLT securitizations have exhibited fast voluntary prepayment rates and satisfactory deal performance. The transaction employs a relatively weak representations and warranties framework that includes an unrated representation provider (NRZ), certain knowledge qualifiers and fewer mortgage loan representations relative to DBRS criteria for seasoned pools. Satisfactory third-party due diligence was performed on the pool for regulatory compliance and title/lien but was limited with respect to payment history, data integrity and servicing comments. Updated Home Data Index and/or broker price opinions were provided for the pool; however, a reconciliation was not performed on the majority of updated values. Certain loans have missing assignments or endorsements as of the Closing Date. Given the relatively clean performance history of the mortgages and the operational capability of the servicers, DBRS believes the risk of impeding or delaying foreclosure is remote. The full description of the strengths, challenges and mitigating factors are detailed in the related report. Please see the related appendix for additional information regarding sensitivity of assumptions used in the rating process. A full text copy of the ratings is available free at: https://is.gd/YZObpq NEW RESIDENTIAL 2017-2: S&P Assigns 'B' Rating on Cl. B-5 Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to New Residential Mortgage Loan Trust 2017-2's $657.154 million residential mortgage-backed notes. The note issuance is a residential mortgage-backed securities transaction backed by highly seasoned, prime and nonprime first-lien fixed-rate residential mortgage loans secured primarily by single-family residential properties, condominiums, planned-unit developments, two- to four-family residential properties, cooperatives, and manufactured homes. After S&P's presale was published, four exchangeable classes were added: A-3, A-4, A-5, and A-6. The ratings reflect: -- The credit enhancement provided, as well as the associated structural transaction mechanics; -- The pool's collateral composition, which consists of highly seasoned, prime and nonprime, fixed-rate mortgages; -- The representation and warranty framework; and -- The ability and willingness of key transaction parties to perform their contractual obligations and the likelihood that the parties could be replaced if needed. RATINGS ASSIGNED New Residential Mortgage Loan Trust 2017-2 Class Rating Amount ($) A-1 AAA (sf) 617,910,000 A-IO AAA (sf) 617,910,000(i) B-1 AA (sf) 11,973,000 B1-IO AA (sf) 11,973,000(i) B-2 A (sf) 9,977,000 B2-IO A (sf) 9,977,000(i) B-3 BBB (sf) 7,316,000 B-4 BB (sf) 5,987,000 B-5 B (sf) 3,991,000 B-6 NR 7,981,130 FB NR 2,882,010 A AAA (sf) 617,910,000 B NR 47,225,130 A-1A AAA (sf) 617,910,000 A1-IOA AAA (sf) 617,910,000(i) A-1B AAA (sf) 617,910,000 A1-IOB AAA (sf) 617,910,000(i) A-1C AAA (sf) 617,910,000 A1-IOC AAA (sf) 617,910,000(i) A-3 AAA (sf) 584,653,000 A-4 AAA (sf) 33,257,000 A-5 AAA (sf) 584,653,000 A-6 AAA (sf) 33,257,000 A-2 AA (sf) 629,883,000 B-1A AA (sf) 11,973,000 B1-IOA AA (sf) 11,973,000(i) B-1B AA (sf) 11,973,000 B1-IOB AA (sf) 11,973,000(i) B-1C AA (sf) 11,973,000 B1-IOC AA (sf) 11,973,000(i) B-2A A (sf) 9,977,000 B2-IOA A (sf) 9,977,000(i) B-2B A (sf) 9,977,000 B2-IOB A (sf) 9,977,000(i) B-2C A (sf) 9,977,000 B2-IOC A (sf) 9,977,000(i) B-3A BBB (sf) 7,316,000 B3-IOA BBB (sf) 7,316,000(i) B-3B BBB (sf) 7,316,000 B3-IOB BBB (sf) 7,316,000(i) B-3C BBB (sf) 7,316,000 B3-IOC BBB (sf) 7,316,000(i) B-4A BB (sf) 5,987,000 B4-IOA BB (sf) 5,987,000(i) B-5A B (sf) 3,991,000 B5-IOA B (sf) 3,991,000(i) (i)Notional amount. NR--Not rated. OCP CLO 2013-4: S&P Assigns 'BB-' Rating on Class D-R Notes ----------------------------------------------------------- S&P Global Ratings assigned its ratings to the X, A-1-R, A-2-R, B-R, C-R, D-R, and E-R notes replacement floating-rate notes from OCP CLO 2013-4 Ltd., a collateralized loan obligation originally issued in 2013 that is managed by Onex Credit Partners LLC. S&P withdrew its ratings on the original class A-1A, A-1B, A-2, B, C, D, and E notes following payment in full on the April 24, 2017, refinancing date. On the April 24, 2017, refinancing date, the proceeds from the class X, A-1-R, A-2-R, B-R, C-R, D-R, and E-R replacement note issuances were used to redeem the original class A-1A, A-1B, A-2, B, C, D, and E notes as outlined in the transaction document provisions. Therefore, S&P withdrew its ratings on the original notes in line with their full redemption, and S&P assigned ratings to the replacement notes. The replacement notes were issued via a supplemental indenture. Based on the provisions in the amended and restated indenture: -- The replacement class A-2-R, C-R, D-R, and E-R notes were issued at higher spreads than the original notes. -- The replacement class A-1-R floating-rate notes were issued at a lower spread than the original notes and replace the original class A-1A and A-1B floating- and fixed-rate notes. The replacement class B-R notes maintained the same spread as the original class B notes. -- The class X notes were issued at closing. -- The transaction was upsized by $100 million, and the stated maturity and reinvestment period were extended by four years. The non-call period is two years from the refinancing closing date. S&P's review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the trustee report, to estimate future performance. In line with S&P's criteria, its cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, S&P's analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches. The assigned ratings reflect S&P's opinion that the credit support available is commensurate with the associated rating levels. S&P will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and S&P will take further rating actions as it deems necessary. RATINGS ASSIGNED OCP CLO 2013-4 Ltd./OCP CLO 2013-4 Corp. Replacement class Rating Amount (mil. $) X AAA (sf) 2.40 A-1-R AAA (sf) 382.60 A-2-R AA (sf) 77.00 B-R (deferrable) A (sf) 33.60 C-R (deferrable) BBB- (sf) 34.80 D-R (deferrable) BB- (sf) 23.80 E-R (deferrable) B (sf) 16.50 RATINGS WITHDRAWN OCP CLO 2013-4 Ltd./OCP CLO 2013-4 Corp. Rating Original class To From A-1A NR AAA (sf) A-1B NR AAA (sf) A-2 NR AA+ (sf) B (deferrable) NR A (sf) C (deferrable) NR BBB- (sf) D (deferrable) NR BB- (sf) E (deferrable) NR B (sf) NR--Not rated. OCTAGON INVESTMENT XIV: Moody's Gives (P)B3 Rating to Cl. E-R Notes ------------------------------------------------------------------- Moody's Investors Service has assigned the following provisional ratings to the following notes (the "Refinancing Notes") to be issued by Octagon Investment Partners XIV, Ltd.: US$6,400,000 Class X-R Senior Secured Floating Rate Notes due 2019, Assigned (P)Aaa (sf) US$420,500,000 Class A-1a-R Senior Secured Floating Rate Notes due 2029, Assigned (P)Aaa (sf) US$46,200,000 Class A-1b-R Senior Secured Floating Rate Notes due 2029, Assigned (P)Aaa (sf) US$62,700,000 Class A-2-R Senior Secured Floating Rate Notes due 2029, Assigned (P)Aa2 (sf) US$45,300,000 Class B-R Senior Secured Deferrable Floating Rate Notes due 2029, Assigned (P)A2 (sf) US$38,000,000 Class C-R Senior Secured Deferrable Floating Rate Notes due 2029, Assigned (P)Baa3 (sf) US$27,860,000 Class D-R Senior Secured Deferrable Floating Rate Notes due 2029, Assigned (P)Ba3 (sf) US$14,000,000 Class E-R Senior Secured Deferrable Floating Rate Notes due 2029, Assigned (P)B3 (sf) 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. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of senior secured, broadly syndicated corporate loans. Octagon Credit Investors, LLC, manages the CLO. It directs the selection, acquisition, and disposition of collateral on behalf of the Issuer. RATINGS RATIONALE Moody's provisional ratings of the Refinancing 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. The Issuer intends to issue the Refinancing Notes on May 15, 2017 (the "Refinancing Date") in connection with the refinancing of all classes of the secured notes (the "Refinanced Original Notes") previously issued on December 19, 2012. On the Refinancing Date, the Issuer will use proceeds from the issuance of the Refinancing Notes to redeem in full the Refinanced Original Notes. In addition to the issuance of the Refinancing Notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: reinstatement and extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; changes to the overcollateralization test levels; and changes to comply with the Volcker Rule. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in October 2016. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $693,622,628 Defaulted par balance: $6,374,650 Diversity Score: 65 Weighted Average Rating Factor (WARF): 2700 Weighted Average Spread (WAS): 3.5% Weighted Average Recovery Rate (WARR): 47.5% Weighted Average Life (WAL): 9 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in October 2016. Factors That Would Lead to an Upgrade or a Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing 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 Refinancing 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 Refinancing 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 Refinancing 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% (3105) Rating Impact in Rating Notches X-R Notes: 0 A-1a-R Notes: 0 A-1b-R Notes: -1 A-2-R Notes: -2 B-R Notes: -2 C-R Notes: -1 D-R Notes: 0 E-R Notes: -1 Percentage Change in WARF -- increase of 30% (3510) Rating Impact in Rating Notches X-R Notes: 0 A-1a-R Notes: -1 A-1b-R Notes: -3 A-2-R Notes: -3 B-R Notes: -4 C-R Notes: -2 D-R Notes: -1 E-R Notes: -3 Further details regarding Moody's analysis of this transaction may be found in the related pre-sale report, available soon on Moodys.com and in the presale report published on November 23, 2012. SALOMON BROTHERS 2000-C1: Moody's Affirms C Rating on Cl. M Notes ----------------------------------------------------------------- Moody's Investors Service has upgraded the rating on one class and affirmed the ratings on three classes in Salomon Brothers Mortgage Securities VII, Inc. 2000-C1 as follows: Cl. K Certificate, Affirmed Aaa (sf); previously on May 6, 2016 Affirmed Aaa (sf) Cl. L Certificate, Upgraded to Aa1 (sf); previously on May 6, 2016 Upgraded to Aa3 (sf) Cl. M Certificate, Affirmed C (sf); previously on May 6, 2016 Affirmed C (sf) Cl. X Certificate, Affirmed Caa3 (sf); previously on May 6, 2016 Affirmed Caa3 (sf) RATINGS RATIONALE The rating on Class L was upgraded based primarily on an increase in credit support resulting from loan paydowns and amortization. The deal has paid down 22% since Moody's last review. Class L is now fully covered by defeasance, however, it had previously experienced interest shortfalls for approximately ten months during the life of the transaction. The rating on Class K was affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR), and the transaction's Herfindahl Index (Herf) are within acceptable ranges. The rating on Class M was affirmed because the rating is consistent with Moody's expected loss plus realized losses. Class M has already experienced a 51% realized loss as result of previously liquidated loans. The rating on the IO class, Class X, was affirmed because of the credit performance (or the weighted average rating factor or WARF) of its reference classes. Moody's does not anticipate losses from the remaining collateral in the current environment. However, over the remaining life of the transaction, losses may emerge from macro stresses to the environment and changes in collateral performance. Moody's ratings reflect the potential for future losses under varying levels of stress. Moody's base expected loss plus realized losses is now 3.8% of the original pooled balance, the same as Moody's 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 A 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 SBM7 2000-C1. 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 two, the same as at Moody's last review. Moody's analysis used the excel-based Large Loan Model. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan-level proceeds derived from Moody's loan-level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure and property type. Moody's also further adjusts these aggregated proceeds for any pooling benefits associated with loan level diversity and other concentrations and correlations. DEAL PERFORMANCE As of the April 18, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 99% to $8.0 million from $713.3 million at securitization. The certificates are collateralized by ten mortgage loans. Six loans, constituting 68% of the pool, have defeased and are secured by US government securities. There are currently no loans on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Loans liquidated from the pool have resulted in an aggregate realized loss of $26.8 million. There are currently no loans in special servicing. Moody's received full year 2015 and full or partial year operating results for 100% of the pool (excluding specially serviced and defeased loans). The top three performing loans represent 30.6% of the pool balance. The largest loan is the Sports Arena Village Loan ($1.9 million -- 24.2% of the pool), which is secured by 255,000 SF mixed-use property located in San Diego, California. The collateral consists of six two-story office buildings, three single-store retail buildings, and two retail pads leased to Red Lobster and Men's Fashion Depot. The collateral was 88% occupied as of September 2016. The loan is fully amortizing and has paid down 85% since securitization. Moody's LTV and stressed DSCR are 10% and greater than 4.00X, respectively. The second largest loan is the 7-Eleven Loan ($0.3 million -- 3.5% of the pool), which is secured by a stand-alone 7-Eleven store located in Las Vegas, Nevada. The property is 100% leased to 7-Eleven. The loan is fully amortizing and has paid down 73% since securitization. Moody's analysis incorporated a Lit/Dark approach to account for the single-tenant risk. Moody's LTV and stressed DSCR are 20% and greater than 4.00X, respectively. The third largest loan is the Office Max Martinsburg Loan ($0.2 million -- 3.0% of the pool), which is secured by a stand-alone Office Max located in Martinsburg, West Virginia, approximately 15 miles from the Pennsylvania border. The property is situated as an outparcel of the former Martinsburg Mall. The property is 100% leased to Office Max through February 2018. The loan is fully amortizing and has paid down 89% since securitization. Moody's analysis incorporated a Lit/Dark approach to account for the single-tenant risk. Moody's LTV and stressed DSCR are 14% and greater than 4.00X, respectively. SOUND POINT IV: Moody's Affirms B2(sf) Rating on Cl. F Junior Notes ------------------------------------------------------------------- Moody's Investors Service has assigned the following ratings to the following notes (the "Refinancing Notes") issued by Sound Point CLO IV, Ltd.: US$390,000,000 Class A-R Senior Secured Floating Rate Notes Due 2026 (the "Class A-R Notes"), Assigned Aaa (sf) US$34,000,000 Class C-R Mezzanine Secured Deferrable Floating Rate Notes Due 2026 (the "Class C-R Notes"), Assigned A1 (sf) US$32,500,000 Class D-R Mezzanine Secured Deferrable Floating Rate Notes Due 2026 (the "Class D-R Notes"), Assigned Baa2 (sf) Additionally, Moody's has taken rating actions on the following outstanding notes issued by the Issuer on the original issuance date (the "Original Closing Date"): US$69,000,000 Class B Senior Secured Floating Rate Notes Due 2026 (the "Class B Notes"), Upgraded to Aa1 (sf); previously on December 17, 2013 Assigned Aa2 (sf) US$26,500,000 Class E Junior Secured Deferrable Floating Rate Notes due 2026 (the "Class E Notes"), Upgraded to Ba2 (sf); previously on December 17, 2013 Assigned Ba3 (sf) US$16,500,000 Class F Junior Secured Deferrable Floating Rate Notes due 2026 (the "Class E Notes"), Affirmed B2 (sf); previously on December 17, 2013 Assigned B2 (sf) The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of senior secured, broadly syndicated corporate loans. Sound Point Capital Management LP (the "Manager") manages the CLO. It directs the selection, acquisition, and disposition of collateral on behalf of the Issuer. RATINGS RATIONALE Moody's ratings on the Refinancing Notes address the expected losses posed to noteholders. The ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. The Issuer has issued the Refinancing Notes on 21 April 2017 (the "Refinancing Date") in connection with the refinancing of certain classes of notes (the "Refinanced Original Notes") previously issued on the Original Closing Date. On the Refinancing Date, the Issuer used the proceeds from the issuance of the Refinancing Notes to redeem in full the Refinanced Original Notes. Moody's rating actions on the Class B Notes and Class E Notes are primarily a result of the refinancing, which increases excess spread available as credit enhancement to the rated notes. Additionally, Moody's expects the Issuer to continue to benefit from a portfolio weighted average recovery rate (WARR) level that is higher than the covenanted test level. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in October 2016. Factors That Would Lead to an Upgrade or a Downgrade of the Ratings: The performance of each class of the Issuer's notes is subject to uncertainty relating to certain factors and circumstances, and this uncertainty could lead to either an upgrade or downgrade of Moody's ratings: 1) Macroeconomic uncertainty: CLO performance is subject to uncertainty about credit conditions in the general economy. 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 the Manager or other transaction parties owing to embedded ambiguities. 3) Collateral credit risk: Investing in collateral of better credit quality, or better than Moody's expected credit performance of the assets collateralizing the transaction can lead to positive CLO performance. Conversely, a negative shift in the credit quality or performance of the collateral can have adverse consequences for CLO performance. 4) Deleveraging: During the amortization period, the pace of deleveraging from unscheduled principal proceeds is an important source of uncertainty. 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 ratings. Note repayments that are faster than Moody's current expectations will usually have a positive impact on CLO notes, beginning with those notes having the highest payment priority. 5) Recovery of defaulted assets: Fluctuations in the market value of defaulted assets could result in volatility in the deal's overcollateralization levels. Further, the timing of recovery realization and whether the Manager decides to work out or sell defaulted assets create additional uncertainty. Realization of recoveries that are either materially higher or lower than assumed in Moody's analysis would impact the CLO positively or negatively, respectively. 6) Weighted average life: The notes' ratings can be sensitive to the weighted average life assumption of the portfolio, which could lengthen owing to any decision by the Manager to reinvest into new issue loans or loans with longer maturities, or participate in amend-to-extend offerings. Life extension can increase the default risk horizon and assumed cumulative default probability of CLO collateral. 7) Weighted Average Spread (WAS): CLO performance can be sensitive to WAS, which is a key factor driving the amount of excess spread available as credit enhancement when a deal fails its over-collateralization or interest coverage tests. A decrease in excess spread, including as a result of losing the net interest benefit of LIBOR floors, or because market conditions make it difficult for the deal to source assets of appropriate credit quality in order to maintain its WAS target, would reduce the effective credit enhancement available for the notes. 8) Exposure to assets with low credit quality and weak liquidity: The historical default rate 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, is higher than the average. Exposure to such assets subject the notes to additional risks if these assets default. Together with the set of modeling assumptions described below, Moody's conducted additional sensitivity analyses, which were considered in determining the rating(s) assigned to the rated notes. In particular, in addition to the base case analysis, Moody's conducted sensitivity analyses to test the impact of a number of default probabilities on the rated notes relative to the base case modeling results. Below is a summary of the impact of different default probabilities, expressed in terms of WARF level, on the rated notes (shown in terms of the number of notches difference versus the base case model output, where a positive difference corresponds to a lower expected loss): Moody's Assumed WARF - 20% (2248) Class A-R: 0 Class B: 0 Class C-R: +2 Class D-R: +2 Class E: +1 Class F: +1 Moody's Assumed WARF + 20% (3372) Class A-R: 0 Class B: -1 Class C-R: -2 Class D-R: -2 Class E: -1 Class F: -3 Loss and Cash Flow Analysis Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score, weighted average recovery rate, and weighted average spread, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $592,544,024 Defaulted Par: $10,087,204 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2810 (corresponding to a weighted average default probability of 20.77%) Weighted Average Spread (WAS): 4.09% Weighted Average Recovery Rate (WARR): 48.34% Weighted Average Life (WAL): 4.74 Moody's incorporates the default and recovery properties of the collateral pool in cash flow model analysis where they are subject to stresses as a function of the target rating on each CLO liability reviewed. Moody's derives the default probability from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate for future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and the collateral manager's latitude for trading the collateral are also factors. SOUND POINT VI: Moody's Affirms B2 Rating on Class F Notes ---------------------------------------------------------- Moody's Investors Service has assigned the following ratings to the following notes (the "Refinancing Notes") issued by Sound Point CLO VI, Ltd: US$360,000,000 Class A-1-R Senior Secured Floating Rate Notes due 2026 (the "Class A-1-R Notes"), Assigned Aaa (sf) US$30,000,000 Class A-2-R Senior Secured Floating Rate Notes due 2026 (the "Class A-2-R Notes"), Assigned Aaa (sf) US$69,000,000 Class B-R Senior Secured Floating Rate Notes due 2026 (the "Class B-R Notes"), Assigned Aa1 (sf) US$33,000,000 Class C-R Mezzanine Secured Deferrable Floating Rate Notes due 2026 (the "Class C-R Notes"), Assigned A2 (sf) Additionally, Moody's has taken rating actions on the following outstanding notes issued by the Issuer on the original issuance date (the "Original Closing Date"): US$33,000,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2026 (the "Class D Notes"), Upgraded to Baa2 (sf); previously on August 20, 2014 Definitive Rating Assigned Baa3 (sf) US$27,000,000 Class E Junior Secured Deferrable Floating Rate Notes due 2026 (the "Class E Notes"), Upgraded to Ba2 (sf); previously on August 20, 2014 Definitive Rating Assigned Ba3 (sf) US$15,750,000 Class F Junior Secured Deferrable Floating Rate Notes due 2026 (the "Class F Notes"), Affirmed B2 (sf); previously on August 20, 2014 Definitive Rating Assigned B2 (sf) The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of senior secured, broadly syndicated corporate loans. Sound Point Capital Management, LP (the "Manager") manages the CLO. It directs the selection, acquisition, and disposition of collateral on behalf of the Issuer. RATINGS RATIONALE Moody's ratings on the Refinancing Notes address the expected losses posed to noteholders. The ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. The Issuer has issued the Refinancing Notes on April 20, 2017 (the "Refinancing Date") in connection with the refinancing of certain classes of notes (the "Refinanced Original Notes") previously issued on the Original Closing Date. On the Refinancing Date, the Issuer used the proceeds from the issuance of the Refinancing Notes to redeem in full the Refinanced Original Notes. Moody's rating actions on the Class D Notes, Class E Notes, and Class F Notes are primarily a result of the refinancing, which increases excess spread available as credit enhancement to the rated notes. Additionally, Moody's expects the Issuer to continue to benefit from a portfolio weighted average recovery rate (WARR) level that is higher than the covenanted test level. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in October 2016. Factors That Would Lead to an Upgrade or a Downgrade of the Ratings: The performance of each class of the Issuer's notes is subject to uncertainty relating to certain factors and circumstances, and this uncertainty could lead to either an upgrade or downgrade of Moody's ratings: 1) Macroeconomic uncertainty: CLO performance is subject to uncertainty about credit conditions in the general economy. 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 the Manager or other transaction parties owing to embedded ambiguities. 3) Collateral credit risk: Investing in collateral of better credit quality, or better than Moody's expected credit performance of the assets collateralizing the transaction can lead to positive CLO performance. Conversely, a negative shift in the credit quality or performance of the collateral can have adverse consequences for CLO performance. 4) Deleveraging: During the amortization period, the pace of deleveraging from unscheduled principal proceeds is an important source of uncertainty. 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 ratings. Note repayments that are faster than Moody's current expectations will usually have a positive impact on CLO notes, beginning with those notes having the highest payment priority. 5) Recovery of defaulted assets: Fluctuations in the market value of defaulted assets could result in volatility in the deal's overcollateralization levels. Further, the timing of recovery realization and whether the Manager decides to work out or sell defaulted assets create additional uncertainty. Realization of recoveries that are either materially higher or lower than assumed in Moody's analysis would impact the CLO positively or negatively, respectively. 6) Weighted average life (WAL): The notes' ratings can be sensitive to the weighted average life assumption of the portfolio, which could lengthen owing to any decision by the Manager to reinvest into new issue loans or loans with longer maturities, or participate in amend-to-extend offerings. Life extension can increase the default risk horizon and assumed cumulative default probability of CLO collateral. 7) Weighted Average Spread (WAS): CLO performance can be sensitive to WAS, which is a key factor driving the amount of excess spread available as credit enhancement when a deal fails its over-collateralization or interest coverage tests. A decrease in excess spread, including as a result of losing the net interest benefit of LIBOR floors, or because market conditions make it difficult for the deal to source assets of appropriate credit quality in order to maintain its WAS target, would reduce the effective credit enhancement available for the notes. Together with the set of modeling assumptions described below, Moody's conducted additional sensitivity analyses, which were considered in determining the ratings assigned to the rated notes. In particular, in addition to the base case analysis, Moody's conducted sensitivity analyses to test the impact of a number of default probabilities on the rated notes relative to the base case modeling results. Below is a summary of the impact of different default probabilities, expressed in terms of WARF level, on the rated notes (shown in terms of the number of notches difference versus the base case model output, where a positive difference corresponds to a lower expected loss): Moody's Assumed WARF - 20% (2418) Class A-1-R Notes: 0 Class A-2-R Notes: 0 Class B-R Notes: +1 Class C-R Notes: +3 Class D Notes: +3 Class E Notes: +1 Class F Notes: +1 Moody's Assumed WARF + 20% (3626) Class A-1-R Notes: 0 Class A-2-R Notes: 0 Class B-R Notes: -2 Class C-R Notes: -3 Class D Notes: -2 Class E Notes: -1 Class F Notes: -2 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, weighted average recovery rate, and weighted average spread, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions Performing par and principal proceeds balance: $598,677,638 Defaulted par: $2,955,000 Diversity Score: 73 Weighted Average Rating Factor (WARF): 3022 (corresponding to a weighted average default probability of 25.22%) Weighted Average Spread (WAS): 4.02% (before accounting for LIBOR floors) Weighted Average Recovery Rate (WARR): 48.24% Moody's incorporates the default and recovery properties of the collateral pool in cash flow model analysis where they are subject to stresses as a function of the target rating on each CLO liability reviewed. Moody's derives the default probability from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate for future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and the collateral manager's latitude for trading the collateral are also factors. TABERNA PREFERRED VIII: Moody's Hikes Class A-2 Notes Rating to Ba2 ------------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Taberna Preferred Funding VIII, Ltd.: US$160,000,000 Class A-1A First Priority Delayed Draw Senior Secured Floating Rate Notes Due 2037 (current balance of $19,122,735), Upgraded to Aaa (sf); previously on January 11, 2017 Upgraded to Baa3 (sf); US$215,000,000 Class A-1B First Priority Senior Secured Floating Rate Notes Due 2037 (current balance of $25,696,176), Upgraded to Aaa (sf); previously on January 11, 2017 Upgraded to Baa3 (sf); US$120,000,000 Class A-2 Second Priority Senior Secured Floating Rate Notes Due 2037, Upgraded to Ba2 (sf); previously on January 11, 2017 Upgraded to Caa1 (sf); Taberna Preferred Funding VIII, Ltd., issued in March 2007, is a collateralized debt obligation backed mainly by a portfolio of REIT trust preferred securities (TruPS) and corporate bonds. RATINGS RATIONALE The rating actions are primarily a result of the deleveraging of the Class A-1A and Class A-1B notes, an increase in the transaction's over-collateralization (OC) ratios, and the improvement in the credit quality of the underlying portfolio since January 2017. The Class A-1A and Class A-1B notes have paid down by approximately 35% or $23.7 million since that time, using principal proceeds from the redemption of the underlying assets and the diversion of excess interest proceeds. Based on Moody's calculations, the OC ratios for the Class A-1, Class A-2, Class B and Class C notes have improved to 689.4%, 187.5%, 128.8% and 108.8%, respectively, from January 2017 levels of 488.2%, 177.5%, 126.9% and 108.7%, respectively. Furthermore, Moody's notes the deal currently has $21.5 million of principal proceeds that will be used to pay down the notes on the May 2017 payment date. The deal has also benefited from improvement in the credit quality of the underlying portfolio. According to Moody's calculations, the weighted average rating factor (WARF) has improved to 4663 from 5128 in January 2017. Additionally, the notes are expected to benefit from credit enhancement available in the form of excess spread, because a number of out-of-the-money interest rate swaps, with a total notional of $163.9 million, are scheduled to mature by August 2017. The ratings on the Class A-1A and A-1B notes also reflect a correction of a prior error. In the January 2017 rating action, a default timing profile of six years was used to model the transaction instead of eight years, which understated the excess spread that will be available to the notes. The error has now been corrected, and actions reflect this change. Methodology Underlying the Rating Action The principal methodology used in these ratings was "Moody's Approach to Rating TruPS 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) Macroeconomic uncertainty: TruPS CDOs performance could be negatively affected by uncertainty about credit conditions in the general economy. Moody's has a stable outlook on the US REIT sector. 2) Portfolio credit risk: Credit performance of the assets collateralizing the transaction that is better than Moody's current expectations could have a positive impact on the transaction's performance. Conversely, asset credit performance weaker than Moody's current expectations could have adverse consequences on the transaction's performance. 3) Deleveraging: One source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds and excess interest proceeds will continue and at what pace. Note repayments that are faster than Moody's current expectations could have a positive impact on the notes' ratings, beginning with the notes with the highest payment priority. 4) Exposure to non-publicly rated assets: The deal contains a large number of securities whose default probability Moody's assesses through credit scores derived using credit estimates. Because these are not public ratings, they are subject to additional uncertainties. 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): Assuming a two-notch upgrade to assets with below-investment grade ratings or rating estimates (WARF of 2828) Class A-1A: 0 Class A-1B: 0 Class A-2: +3 Class B: +4 Class C: +1 Assuming a two-notch downgrade to assets with below-investment grade ratings or rating estimates (WARF of 5747) Class A-1A: 0 Class A-1B: 0 Class A-2: -1 Class B: -1 Class C: 0 Loss and Cash Flow Analysis Moody's applied a Monte Carlo simulation framework in Moody's CDROM(TM) to model the loss distribution for TruPS CDOs. The simulated defaults and recoveries for each of the Monte Carlo scenarios defined the reference pool's loss distribution. Moody's then used the loss distribution as an input in its CDOEdge(TM) cash flow model. CDROM(TM) is available on www.moodys.com under Products and Solutions -- Analytical models, upon receipt of a signed free license agreement. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, and weighted average recovery rate, are based on its methodology and could differ from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool has having a performing par and principal proceeds balance (after treating deferring securities as performing if they meet certain criteria) of $309.0 million, defaulted par of $24.3 million, a weighted average default probability of 57.48% (implying a WARF of 4663), and a weighted average recovery rate upon default of 11.74%. In addition to the quantitative factors Moody's explicitly models, qualitative factors are part of rating committee considerations. Moody's considers the structural protections in the transaction, the risk of an event of default, recent deal performance under current market conditions, the legal environment and specific documentation features. All information available to rating committees, including macroeconomic forecasts, inputs from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. The portfolio of this CDO contains mainly TruPS issued by REIT companies that Moody's does not rate publicly. To evaluate the credit quality of REIT TruPS that do not have public ratings, Moody's REIT group assesses their credit quality using the REIT firms' annual financials. US CAPITAL III: Moody's Hikes Rating on 2 Tranches to Caa1(sf) -------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by US Capital Funding III, Ltd.: US$111,000,000 Class A-1 Floating Rate Senior Notes Due 2035 (current balance of $16,601,966.66), Upgraded to Aa1 (sf); previously on July 31, 2014 Upgraded to Aa3 (sf) US$39,100,000 Class B-1 Floating Rate Senior Subordinate Notes Due 2035, Upgraded to Caa1 (sf); previously on May 8, 2014 Upgraded to Caa2 (sf) US$48,000,000 Class B-2 Fixed/Floating Rate Senior Subordinate Notes Due 2035, Upgraded to Caa1 (sf); previously on May 8, 2014 Upgraded to Caa2 (sf) Moody's also affirmed the rating on the following notes: US$23,000,000 Class A-2 Floating Rate Senior Notes Due 2035, Affirmed A3 (sf); previously on July 31, 2014 Upgraded to A3 (sf) Moody's also upgraded the rating on the following notes issued by USCFIII 2.5% Combination Security Trust: US$7,500,000 Series A Trust Units (current rated balance of $5,944,018.98), Upgraded to Ba3 (sf); previously on July 31, 2014 Confirmed B2 (sf) US Capital Funding III, Ltd., issued in November 2004, is a collateralized debt obligation (CDO) backed entirely by a portfolio of bank trust preferred securities (TruPS). USCFIII 2.5% Combination Security Trust, issued in November 2004, is a trust that issued combination notes comprising $2.0 million Class B-1 notes, $2.0 million Class B-2 notes, and $2.6 million Subordinate Income Notes issued by US Capital Funding III, Ltd., and a Fannie Mae strip with a face value of $3.5 million maturing on November 15, 2029. RATINGS RATIONALE The rating actions are primarily a result of the deleveraging of the Class A-1 notes, an increase in the transaction's overcollateralization (OC) ratios and the resumption of interest payments of a previously deferring asset since June 2016. The Class A-1 notes have paid down by approximately 50.1% or $16.7 million since June 2016 using principal proceeds from the redemption of underlying assets. Based on Moody's calculations, the OC ratios for the Class A-1, Class A-2, and Class B-2 notes have improved to 750.81%, 314.76% and 98.38%, respectively, from June 2016 levels of 398.73%, 235.75% and 92.52%, respectively. The Class A-1 notes will continue to benefit from the redemption of any assets in the collateral pool. In addition, one asset that had been previously deferring, with a balance of $7.0 million, has cured its interest deferral and resumed interest payments in June 2016. The upgrade action on the Series A Trust Units reflects the high coverage from the underlying components and an improvement in the credit quality of the Class B-1 and Class B-2 components. Currently, the units' rated balance of $5.9 million is backed by $2.0 million of Class B-1 notes, $2.0 million of Class B-2 notes, $2.6 million of Subordinate Income Notes, and $3.5 million of the Fannie Mae strip. Methodology Used for the Rating Action The principal methodology used in this rating was "Moody's Approach to Rating TruPS 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: TruPS CDOs performance could be negatively affected by uncertainty about credit conditions in the general economy. Moody's has a stable outlook on the US banking sector. 2) Portfolio credit risk: Credit performance of the assets collateralizing the transaction that is better than Moody's current expectations could have a positive impact on the transaction's performance. Conversely, asset credit performance weaker than Moody's current expectations could have adverse consequences on the transaction's performance. 3) Deleveraging: One source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds and excess interest proceeds will continue and at what pace. Note repayments that are faster than Moody's current expectations could have a positive impact on the notes' ratings, beginning with the notes with the highest payment priority. 4) Exposure to non-publicly rated assets: The deal contains a large number of securities whose default probability Moody's assesses through credit scores derived using RiskCalc™ or credit estimates. Because these are not public ratings, they are subject to additional uncertainties. 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): Assuming a two-notch upgrade to assets with below-investment grade ratings or rating estimates (WARF of 512) Class A-1: 0 Class A-2: +2 Class B-1: +1 Class B-2: +1 Series A Trust Units: +1 Assuming a two-notch downgrade to assets with below-investment grade ratings or rating estimates (WARF of 1206) Class A-1: 0 Class A-2: -1 Class B-1: -1 Class B-2: -1 Series A Trust Units: -1 Loss and Cash Flow Analysis Moody's applied a Monte Carlo simulation framework in Moody's CDROM(TM) to model the loss distribution for TruPS CDOs. The simulated defaults and recoveries for each of the Monte Carlo scenarios defined the reference pool's loss distribution. Moody's then used the loss distribution as an input in its CDOEdge(TM) cash flow model. CDROM(TM) is available on www.moodys.com under Products and Solutions -- Analytical models, upon receipt of a signed free license agreement. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, and weighted average recovery rate, are based on its methodology and could differ from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool has having a performing par of $124.7 million, defaulted par of $17.0 million, a weighted average default probability of 8.40% (implying a WARF of 785), and a weighted average recovery rate upon default of 10.0%. In addition to the quantitative factors Moody's explicitly models, qualitative factors are part of rating committee considerations. Moody's considers the structural protections in the transaction, the risk of an event of default, recent deal performance under current market conditions, the legal environment and specific documentation features. All information available to rating committees, including macroeconomic forecasts, inputs from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. The portfolio of this CDO contains TruPS issued by small to medium sized U.S. community banks that Moody's does not rate publicly. To evaluate the credit quality of bank TruPS that do not have public ratings, Moody's uses RiskCalc, an econometric model developed by Moody's Analytics, to derive credit scores. Moody's evaluation of the credit risk of most of the bank obligors in the pool relies on the latest FDIC financial data. VENTURE X CLO: S&P Assigns 'B+' Rating on Class F-RR Notes ---------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-RR, B-RR, C-RR, D-RR, E-RR, and F-RR replacement notes from Venture X CLO Ltd., a collateralized loan obligation (CLO) originally issued in 2012 that is managed by MJX Asset Management LLC. S&P withdrew its ratings on the class A-R, B-R, C-R, D-R, E, and F notes following payment in full on the April 20, 2017, refinancing date. On the April 20, 2017, refinancing date, the proceeds from the class A-RR, B-RR, C-RR, D-RR, E-RR, and F-RR replacement note issuances were used to redeem the class A-R, B-R, C-R, D-R, E, and F notes as outlined in the transaction document provisions. Therefore, S&P withdrew its ratings on the refinanced notes in line with their full redemption, and S&P is assigning ratings to the replacement notes. The replacement notes are being issued via an amended indenture, which, in addition to outlining the terms of the replacement notes, will also: -- Reinstate the reinvestment period, which will end in April 2019 (the deal has been amortizing since July 2016). -- Extend the stated maturity date by 4.75 years. 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 Venture X CLO Ltd. Amount Replacement class Rating (mil. $) A-RR AAA (sf) 260.50 B-RR AA (sf) 58.75 C-RR A (sf) 27.00 D-RR BBB (sf) 18.50 E-RR BB (sf) 13.75 F-RR B+ (sf) 5.00 RATINGS WITHDRAWN Venture X CLO Ltd. Rating Class To From A-R NR AAA (sf) B-R NR AA+ (sf) C-R NR AA- (sf) D-R NR A- (sf) E NR BB+ (sf) F NR BB- (sf) NR--Not rated. WACHOVIA BANK 2005-C16: Moody's Cuts Ratings on 3 Tranches ---------------------------------------------------------- Moody's Investors Service has downgraded the ratings on eight classes in Wachovia Bank Commercial Mortgage Trust 2005-C16 as follows: Cl. H, Downgraded to Baa1 (sf); previously on Jun 30, 2016 Upgraded to A1 (sf) Cl. J, Downgraded to Ba3 (sf); previously on Jun 30, 2016 Upgraded to Ba1 (sf) Cl. K, Downgraded to Caa2 (sf); previously on Jun 30, 2016 Affirmed B3 (sf) Cl. L, Downgraded to Ca (sf); previously on Jun 30, 2016 Affirmed Caa1 (sf) Cl. M, Downgraded to C (sf); previously on Jun 30, 2016 Affirmed Caa2 (sf) Cl. N, Downgraded to C (sf); previously on Jun 30, 2016 Affirmed Caa3 (sf) Cl. O, Downgraded to C (sf); previously on Jun 30, 2016 Affirmed Ca (sf) Cl. X-C, Downgraded to Caa3 (sf); previously on Jun 30, 2016 Affirmed Caa2 (sf) RATINGS RATIONALE The ratings on seven P&I classes were downgraded due to higher anticipated losses as a result of the deteriorating performance of the specially serviced loan, the AON Office Building Loan, that now represents 92% of the pooled balance. The rating on the IO class X-C was downgraded due to a decline in the credit quality (or weighted average rating factor or WARF) of its reference classes. Moody's rating action reflects a base expected loss of 60.7% of the current balance, compared to 11.2% at Moody's last review. Moody's base expected loss plus realized losses is now 2.9% of the original pooled balance, compared to 2.0% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal 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 2005-C16. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 92% of the pool is in special. 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 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 April 17, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 98% to $46.2 million from $2.1 billion at securitization. The certificates are collateralized by six mortgage loans ranging in size from less than 1% to 92% of the pool. Two loans, constituting 2.2% of the pool, have defeased and are secured by US government securities. Twelve loans have been liquidated from the pool, resulting in an aggregate realized loss of $31.6 million (for an average loss severity of 57%). One loan, the AON Office Building Loan ($42.5 million -- 92.0% of the pool), is currently in special servicing. The loan is secured by a Class B, suburban office building located in Glenview, Illinois, approximately 20 miles northwest of the Chicago CBD. The loan had an anticipated repayment date (ARD) in November 2014. The property was 98% leased with AON Corporation leasing approximately 93% with an expiration date in April 2017. AON had previously vacated the property but was subletting their space. The loan is current through the March 2017 payment but is expected to default in May 2017, when the property becomes vacant. The property was recently appraised at $18.5 million. As of the April 17, 2017 remittance statement cumulative interest shortfalls were $2.9 million. Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced loans and/or modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. Moody's received full year 2015 operating results for 100% of the pool, and full or partial year 2016 operating results for 67% of the pool (excluding specially serviced and defeased loans). The three non-defeased and non-specially serviced loans represent 5.8% of the pool balance. The largest loan is the Walgreens -- Carrollton, GA Loan ($1.7 million -- 3.7% of the pool), which is secured by a stand-alone Walgreens store located in Carrollton, Georgia. The property is 100% leased to Walgreens through November 2026. The loan is fully amortizing and has paid down 41% since securitization. Moody's analysis incorporated a Lit/Dark analysis to account for the single-tenant risk. Moody's LTV and stressed DSCR are 73% and 1.47X, respectively. The second largest loan is the CVS -- Mesa, AZ Loan ($0.6 million -- 1.4% of the pool), which is secured by a stand-alone CVS located in Mesa, AZ. The property is 100% leased to CVS through June 2024. The loan is fully amortizing and has paid down 76% since securitization. Moody's analysis incorporated a Lit/Dark approach to account for the single-tenant risk. Moody's LTV and stressed DSCR are 22% and greater than 4.00X, respectively. The third largest loan is the Palm Beach Tan Building & Chase Bank (Pad) Loan ($0.3 million -- 0.7% of the pool), which is secured by two retail outparcel buildings, that are adjacent to another retail center in McKinney, Texas. The two buildings are leased to Palm Beach Tan and Chase Bank through August 2024 and February 2019, respectively. The loan is fully amortizing and has paid down 76% since securitization. Moody's LTV and stressed DSCR are 16% and greater than 4.00X, respectively. WESTCHESTER CLO: Moody's Affirms B1(sf) Rating on Class E Notes --------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Westchester CLO, Ltd.: US$80,000,000 Class B Floating Rate Senior Secured Extendable Notes Due 2022, Upgraded to Aaa (sf); previously on February 1, 2016 Affirmed Aa1 (sf) US$53,500,000 Class C Floating Rate Senior Secured Deferrable Interest Extendable Notes Due 2022, Upgraded to A1 (sf); previously on February 1, 2016 Affirmed Baa1 (sf) Moody's also affirmed the ratings on the following notes: US$570,500,000 Class A-1-A Floating Rate Senior Secured Extendable Notes Due 2022 (current outstanding balance of $22,693,535), Affirmed Aaa (sf); previously on February 1, 2016 Affirmed Aaa (sf) US$142,500,000 Class A-1-B Floating Rate Senior Secured Extendable Notes Due 2022, Affirmed Aaa (sf); previously on February 1, 2016 Affirmed Aaa (sf) US$36,000,000 Class D Floating Rate Senior Secured Deferrable Interest Extendable Notes Due 2022, Affirmed Ba2 (sf); previously on February 1, 2016 Affirmed Ba2 (sf) US$37,500,000 Class E Floating Rate Senior Secured Deferrable Interest Extendable Notes Due 2022 (current outstanding balance of $27,137,308), Affirmed B1 (sf); previously on February 1, 2016 Upgraded to B1 (sf) Westchester CLO, Ltd., issued in May 2007, is a collateralized loan obligation (CLO) backed primarily by a portfolio of senior secured loans. The transaction's reinvestment period ended in August 2014. RATINGS RATIONALE These rating actions are primarily a result of deleveraging of the senior notes and an increase in most of the transaction's over-collateralization (OC) ratios since May 2016. The Class A-1-A notes have been paid down by approximately 89% or $182 million since then. Based on the trustee's March 2017 report, the OC ratios for the Class B, Class C, and Class D notes are reported at 151,1%, 124.0%, and 110.7%, respectively, versus May 2016 levels of 131.3%, 116.7%, and 108.6%, respectively. In addition, the deal currently has $130 million in the principal collections account available to pay down the notes on the May 2017 payment date. The rating affirmations of the Class D and E notes reflect a feature in the priority of payments whereby in the event of a failure of the Class E OC test, interest and principal proceeds are used to pay the Class E Notes' principal to cure the Class E OC test. Therefore, if the Class E OC Test is failing and the remaining OC tests are satisfied, principal proceeds are used to delever the Class E Notes before the Class D Notes. Otherwise, principal proceeds are paid sequentially to the notes. Based on the trustee's March 2017 report, the Class E OC ratio is reported at 102.39% compared to the trigger level of 102.30% and May 2016 level of 103.15%. Furthermore, Moody's notes the transaction contains some thinly traded or untraded loans, whose lack of liquidity may pose additional risks relating to the issuer's ultimate ability or inclination to pursue a liquidation of such assets, especially if the sales can be transacted only at heavily discounted price levels. Methodology Underlying the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in October 2016. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: This transaction is subject to a number of factors and circumstances that could lead to either an upgrade or downgrade of the ratings: 1) Macroeconomic uncertainty: CLO performance is subject to a) uncertainty about credit conditions in the general economy and b) the large concentration of upcoming speculative-grade debt maturities, which could make refinancing difficult for issuers. 2) Collateral Manager: Performance can also be affected positively or negatively by a) the manager's investment strategy and behavior and b) differences in the legal interpretation of CLO documentation by different transactional parties owing to embedded ambiguities. 3) Collateral credit risk: A shift towards collateral of better credit quality, or better credit performance of assets collateralizing the transaction than Moody's current expectations, can lead to positive CLO performance. Conversely, a negative shift in credit quality or performance of the collateral can have adverse consequences for CLO performance. 4) Deleveraging: An important source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will continue and at what pace. Deleveraging of the CLO could accelerate owing to high prepayment levels in the loan market and/or collateral sales by the manager, which could have a significant impact on the notes' ratings. Note repayments that are faster than Moody's current expectations will usually have a positive impact on CLO notes, beginning with those with the highest payment priority. 5) Recovery of defaulted assets: Fluctuations in the market value of defaulted assets reported by the trustee and those that Moody's assumes as having defaulted could result in volatility in the deal's OC levels. Further, the timing of recoveries and whether a manager decides to work out or sell defaulted assets create additional uncertainty. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. Realization of higher than assumed recoveries would positively impact the CLO. 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% (2161) Class A-1-A: 0 Class A-1-B: 0 Class B: 0 Class C: +1 Class D: +1 Class E: +1 Moody's Adjusted WARF + 20% (3241) Class A-1-A: 0 Class A-1-B: 0 Class B: 0 Class C: -1 Class D: -1 Class E: -1 Loss and Cash Flow Analysis: Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. In its base case, Moody's analyzed the collateral pool as having a performing par and principal proceeds balance of $355 million, defaulted par of $60.5 million, a weighted average default probability of 18.47% (implying a WARF of 2701), a weighted average recovery rate upon default of 46.74%, a diversity score of 19 and a weighted average spread of 3.19% (before accounting for LIBOR floors). Moody's incorporates the default and recovery properties of the collateral pool in cash flow model analysis where they are subject to stresses as a function of the target rating on each CLO liability reviewed. Moody's derives the default probability from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate for future defaults is based primarily on the seniority of the assets in the collateral pool. Moody's generally applies recovery rates for CLO securities as published in "Moody's Approach to Rating SF CDOs". In some cases, alternative recovery assumptions may be considered based on the specifics of the analysis of the CLO transaction. In each case, historical and market performance and the collateral manager's latitude for trading the collateral are also factors. A material proportion of the collateral pool includes debt obligations whose credit quality Moody's assesses through credit estimates. Moody's analysis reflects adjustments with respect to the default probabilities associated with credit estimates. Specifically, Moody's assumed an equivalent of Caa3 for assets with credit estimates that have not been updated within the last 15 months, which represent approximately 7.7% of the collateral pool. YORK CLO-1: Moody's Hikes Rating on Class E Notes to Ba2 -------------------------------------------------------- Moody's Investors Service has assigned the following ratings to the following notes (the "Refinancing Notes") issued by York CLO-1, Ltd.: US$250,000,000 Class A-R Floating Rate Notes Due 2027 (the "Class A-R Notes"), Assigned Aaa (sf) US$49,000,000 Class B-R Floating Rate Notes Due 2027 (the "Class B-R Notes"), Assigned Aa1 (sf) US$22,000,000 Class C-R Deferrable Floating Rate Notes Due 2027 (the "Class C-R Notes"), Assigned A1 (sf) US$24,500,000 Class D-R Deferrable Floating Rate Notes Due 2027 (the "Class D-R Notes"), Assigned Baa2 (sf) Additionally, Moody's has taken rating action on the following outstanding notes issued by the Issuer on the original issuance date (the "Original Closing Date"): US$23,500,000 Class E Deferrable Floating Rate Notes Due 2027 (the "Class E Notes"), Upgraded to Ba2 (sf); previously on 22 January 2015 Definitive Rating Assigned Ba3 (sf) The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of senior secured, broadly syndicated corporate loans and small and medium enterprise loans. York CLO Managed Holdings, LLC (the "Manager") manages the CLO. It directs the selection, acquisition, and disposition of collateral on behalf of the Issuer. RATINGS RATIONALE Moody's ratings on the Refinancing Notes address the expected losses posed to noteholders. The ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. The Issuer has issued the Refinancing Notes on 24 April 2017 (the "Refinancing Date") in connection with the refinancing of certain classes of notes (the "Refinanced Original Notes") previously issued on the Original Closing Date. On the Refinancing Date, the Issuer used the proceeds from the issuance of the Refinancing Notes to redeem in full the Refinanced Original Notes. Moody's rating action on the Class E Notes is primarily a result of the refinancing, which increases excess spread available as credit enhancement to the rated notes. Additionally, Moody's expects the Issuer to continue to benefit from a portfolio weighted average recovery rate (WARR) level that is higher than the covenanted test level. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in October 2016. Factors That Would Lead to an Upgrade or a Downgrade of the Ratings: The performance of each class of the Issuer's notes is subject to uncertainty relating to certain factors and circumstances, and this uncertainty could lead to either an upgrade or downgrade of Moody's ratings: 1) Macroeconomic uncertainty: CLO performance is subject to uncertainty about credit conditions in the general economy. 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 the Manager or other transaction parties owing to embedded ambiguities. 3) Collateral credit risk: Investing in collateral of better credit quality, or better than Moody's expected credit performance of the assets collateralizing the transaction can lead to positive CLO performance. Conversely, a negative shift in the credit quality or performance of the collateral can have adverse consequences for CLO performance. 4) Deleveraging: During the amortization period, the pace of deleveraging from unscheduled principal proceeds is an important source of uncertainty. 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 ratings. Note repayments that are faster than Moody's current expectations will usually have a positive impact on CLO notes, beginning with those notes having the highest payment priority. 5) Recovery of defaulted assets: Fluctuations in the market value of defaulted assets could result in volatility in the deal's overcollateralization levels. Further, the timing of recovery realization and whether the Manager decides to work out or sell defaulted assets create additional uncertainty. Realization of recoveries that are either materially higher or lower than assumed in Moody's analysis would impact the CLO positively or negatively, respectively. 6) Weighted average life (WAL): The notes' ratings can be sensitive to the weighted average life assumption of the portfolio, which could lengthen owing to any decision by the Manager to reinvest into new issue loans or loans with longer maturities, or participate in amend-to-extend offerings. Life extension can increase the default risk horizon and assumed cumulative default probability of CLO collateral. 7) Weighted Average Spread (WAS): CLO performance can be sensitive to WAS, which is a key factor driving the amount of excess spread available as credit enhancement when a deal fails its over-collateralization or interest coverage tests. A decrease in excess spread, including as a result of losing the net interest benefit of LIBOR floors, or because market conditions make it difficult for the deal to source assets of appropriate credit quality in order to maintain its WAS target, would reduce the effective credit enhancement available for the notes. Together with the set of modeling assumptions described below, Moody's conducted additional sensitivity analyses, which were considered in determining the ratings assigned to the rated notes. In particular, in addition to the base case analysis, Moody's conducted sensitivity analyses to test the impact of a number of default probabilities on the rated notes relative to the base case modeling results. Below is a summary of the impact of different default probabilities, expressed in terms of WARF level, on the rated notes (shown in terms of the number of notches difference versus the base case model output, where a positive difference corresponds to a lower expected loss): Moody's Assumed WARF - 20% (2188) Class A-R: 0 Class B-R: 0 Class C-R: +2 Class D-R: +2 Class E: +1 Moody's Assumed WARF + 20% (3282) Class A-R: 0 Class B-R: -2 Class C-R: -2 Class D-R: -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, weighted average recovery rate, and weighted average spread, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions Performing par and principal proceeds balance: $399,336,962 Defaulted par: $1,326,076 Diversity Score: 66 Weighted Average Rating Factor (WARF): 2735 (corresponding to a weighted average default probability of 22.68%) Weighted Average Spread (WAS): 3.55% (before accounting for LIBOR floors) Weighted Average Recovery Rate (WARR): 47.92% Moody's incorporates the default and recovery properties of the collateral pool in cash flow model analysis where they are subject to stresses as a function of the target rating on each CLO liability reviewed. Moody's derives the default probability from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate for future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and the collateral manager's latitude for trading the collateral are also factors. [*] DBRS Review 59 Public Ratings From 17 ABS Transactions ---------------------------------------------------------- DBRS, Inc. reviewed 59 public ratings from 17 U.S. structured finance asset-backed securities transactions. Of the 59 publicly rated classes reviewed, DBRS confirmed 56 classes and upgraded three classes. For the ratings that were confirmed, performance trends are such that credit enhancement levels are sufficient to cover DBRS's expected losses at their current respective rating levels. For the ratings that were upgraded, performance trends are such that credit enhancement levels are sufficient to cover DBRS's expected losses at their new respective rating levels. The ratings are based on DBRS's review of the following analytical considerations: -- Transaction capital structure, proposed ratings and form and sufficiency of available credit enhancement. -- The transaction parties' capabilities with regard to origination, underwriting and servicing. -- The credit quality of the collateral pool and historical performance. A full text copy of the ratings is available free at: https://is.gd/jlDMW8 [*] DBRS Reviews 316 Classes From 44 US RMBS Transactions --------------------------------------------------------- DBRS, Inc. reviewed 316 classes from 44 U.S. residential mortgage-backed security (RMBS) transactions. Of the 316 classes reviewed, 142 ratings were confirmed, 143 ratings were upgraded and 31 ratings were discontinued due to repayment. 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. For transactions where the rating has been confirmed, current asset performance and credit support levels have been consistent with the current rating. The rating actions are the result of DBRS applying its "RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology" (see the press release titled "DBRS Publishes RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology," published on April 4, 2017). The transactions consist of U.S. RMBS and Re-REMIC transactions. The pools backing these transactions consist of HELOC, Second Lien, Alt-A and Subprime 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. -- CSMC Series 2014-7R, CSMC Series 2014-7R, 4-A-1 -- CSMC Series 2014-7R, CSMC Series 2014-7R, 5-A-1 -- CSMC Series 2014-7R, CSMC Series 2014-7R, 8-A-1 -- CSMC Series 2014-7R, CSMC Series 2014-7R, 8-A-3 -- CSMC Series 2014-7R, CSMC Series 2014-7R, 8-A-7 -- CSMC Series 2014-9R, CSMC Series 2014-9R, Class 11-A-3 -- CSMC Series 2014-8R, CSMC Series 2014-8R, Class 2-A-1 -- CSMC Series 2014-9R, CSMC Series 2014-9R, Class 11-A-5 -- GSMSC Resecuritization Trust 2014-3R, Series 2014-3R Resecuritization Trust Securities, Class 1A -- GSMSC Resecuritization Trust 2014-3R, Series 2014-3R Resecuritization Trust Securities, Class 1A-2 -- GSMSC Resecuritization Trust 2014-3R, Series 2014-3R Resecuritization Trust Securities, Class 2A -- GSMSC Resecuritization Trust 2014-3R, Series 2014-3R Resecuritization Trust Securities, Class 2A-2 -- GSMSC Resecuritization Trust 2014-4R, Series 2014-4R Resecuritization Trust Securities, Class 2A -- J.P. Morgan Resecuritization Trust, Series 2014-4, Series 2014-4 Trust Certificates, Class 1-A -- Morgan Stanley Resecuritization Trust 2014-R6, Resecuritization Pass-Through Certificates, Series 2014-R6, Class A4 -- Morgan Stanley Resecuritization Trust 2014-R6, Resecuritization Pass-Through Certificates, Series 2014-R6, Class A -- Morgan Stanley Resecuritization Trust 2014-R7, Resecuritization Pass-Through Certificates, Series 2014-R7, Class A3 -- Morgan Stanley Resecuritization Trust 2014-R7, Resecuritization Pass-Through Certificates, Series 2014-R7, Class A4 -- Morgan Stanley Resecuritization Trust 2014-R7, Resecuritization Pass-Through Certificates, Series 2014-R7, Class A5 -- Morgan Stanley Resecuritization Trust 2014-R7, Resecuritization Pass-Through Certificates, Series 2014-R7, Class A6 -- Morgan Stanley Resecuritization Trust 2014-R7, Resecuritization Pass-Through Certificates, Series 2014-R7, Class A -- Nomura Resecuritization Trust 2014-4R, Resecuritization Trust Securities, Class 1A1 -- Nomura Resecuritization Trust 2014-4R, Resecuritization Trust Securities, Class 3A1 -- Nomura Resecuritization Trust 2014-5R, Resecuritization Trust Securities, Class 3A2 -- Nomura Resecuritization Trust 2014-6R, Resecuritization Trust Securities, Series 2014-6R, Class 1A1 -- Nomura Resecuritization Trust 2014-6R, Resecuritization Trust Securities, Series 2014-6R, Class 2A1 -- Nomura Resecuritization Trust 2014-6R, Resecuritization Trust Securities, Series 2014-6R, Class 2A3 -- Financial Asset Securities Corp. AAA Trust 2005-2, Series 2005-2, Class I-X -- Financial Asset Securities Corp. AAA Trust 2005-2, Series 2005-2, Class II-X A full text copy of the ratings is available free at: https://is.gd/kuGHed [*] DBRS Reviews 693 Classes From 59 US RMBS Deals -------------------------------------------------- DBRS, Inc. reviewed 693 classes from 59 U.S. residential mortgage-backed security (RMBS) transactions. Of the 693 classes reviewed, 32 ratings were upgraded, 634 ratings were confirmed and 27 ratings were 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 discontinued rating is the result of full principal payment to the bondholders. The rating actions are the result of DBRS's applying its "RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology". The transactions consist of U.S. Re-REMIC and RMBS transactions. The pools backing these transactions consist of prime, Alt-A, scratch and dent, second lien and subprime collateral. The ratings assigned to the following securities differ from the ratings implied by the quantitative model. DBRS considers this difference to be a material deviation, but in this case, the ratings of the subject notes reflect a dependency on another tranche's ratings, as well as structural features and historical performance that constrain the rating from the quantitative model's output. -- Citigroup Mortgage Loan Trust 2010-2, Resecuritization Trust Certificates, Series 2010-2, Class 4A2A -- CSMC Series 2010-1R, CSMC Series 2010-1R, Class 28-A-1 -- CSMC Series 2010-2R, CSMC Series 2010-2R, Class 2-A-4 -- CSMC Series 2010-2R, CSMC Series 2010-2R, Class 2-A-12 -- CSMC Series 2010-7R, CSMC Series 2010-7R, Class 1-A-4 -- CSMC Series 2010-7R, CSMC Series 2010-7R, Class 1-A-12 -- CSMC Series 2010-9R, CSMC Series 2010-9R, Class 19-A-3 -- CSMC Series 2010-9R, CSMC Series 2010-9R, Class 19-A-4 -- CSMC Series 2010-9R, CSMC Series 2010-9R, Class 30-A-4 -- CSMC Series 2010-9R, CSMC Series 2010-9R, Class 49-A-3 -- Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2006-FM1, Asset-Backed Certificates, Series 2006-FM1, Class I- A -- Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2006-FM1, Asset-Backed Certificates, Series 2006-FM1, Class II-A-3 -- Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2006-FM1, Asset-Backed Certificates, Series 2006-FM1, Class II-A-4 -- Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2006-HE2, Home Equity Loan Trust Asset-Backed Certificates, Series 2006-HE2, Class A-3 -- Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2006-HE2, Home Equity Loan Trust Asset-Backed Certificates, Series 2006-HE2, Class A-4 -- Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2006-HE2, Home Equity Loan Trust Asset-Backed Certificates, Series 2006-HE2, Class M-1 -- Renaissance Home Equity Loan Trust 2005-2, Home Equity Loan Asset-Backed Notes, Series 2005-2, Class AF-3 -- Renaissance Home Equity Loan Trust 2005-2, Home Equity Loan Asset-Backed Notes, Series 2005-2, Class AF-5 -- Renaissance Home Equity Loan Trust 2005-2, Home Equity Loan Asset-Backed Notes, Series 2005-2, Class AF-6 -- Residential Asset Securitization Trust 2005-A15, Mortgage Pass-Through Certificates, Series 2005-A15, Class 1-A-6 -- Sequoia Mortgage Trust 2005-3, Mortgage Pass-Through Certificates, Series 2005-3, Class X-A -- Sequoia Mortgage Trust 2005-3, Mortgage Pass-Through Certificates, Series 2005-3, Class X-B -- Soundview Home Loan Trust 2007-OPT5, Asset-Backed Certificates, Series 2007-OPT5, Class X-3 -- Structured Asset Securities Corporation Mortgage Loan Trust 2005-OPT1, Mortgage Pass-Through Certificates, Series 2005- OPT1, Class A2 -- Structured Asset Securities Corporation Mortgage Loan Trust 2005-S5, Mortgage Pass-Through Certificates, Series 2005-S5, Class M1 -- Structured Asset Securities Corporation Mortgage Loan Trust 2007-BC1, Mortgage Pass-Through Certificates, Series 2007-BC1, Class A4 -- Structured Asset Securities Corporation Mortgage Loan Trust 2007-BC1, Mortgage Pass-Through Certificates, Series 2007-BC1, Class A5 -- Structured Asset Securities Corporation Mortgage Loan Trust 2007-BC4, Mortgage Pass-Through Certificates, Series 2007-BC4, Class A1 -- Structured Asset Securities Corporation Mortgage Loan Trust 2007-BC4, Mortgage Pass-Through Certificates, Series 2007-BC4, Class A2 -- Structured Asset Securities Corporation Mortgage Loan Trust 2007-BC4, Mortgage Pass-Through Certificates, Series 2007-BC4, Class A4 -- Structured Asset Securities Corporation Mortgage Loan Trust 2007-WF2, Mortgage Pass-Through Certificates, Series 2007-WF2, Class A1 -- Structured Asset Securities Corporation Mortgage Loan Trust 2007-WF2, Mortgage Pass-Through Certificates, Series 2007-WF2, Class A3 -- Structured Asset Securities Corporation Mortgage Loan Trust 2007-WF2, Mortgage Pass-Through Certificates, Series 2007-WF2, Class A4 -- Wells Fargo Home Equity Asset-Backed Securities 2006-3 Trust, Home Equity Asset-Backed Certificates, Series 2006-3, Class A-2 -- Wells Fargo Home Equity Asset-Backed Securities 2006-3 Trust, Home Equity Asset-Backed Certificates, Series 2006-3, Class A-3 A full text copy of the ratings is available free at: https://is.gd/FNsYIx [*] Moody's Hikes $623MM of Subprime RMBS Issued 2005-2006 ---------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 15 tranches from nine transactions issued by various issuers, and backed by subprime mortgage loans. Complete rating actions are as follows: Issuer: CSFB Home Equity Asset Trust 2005-8 Cl. M-1, Upgraded to Aa3 (sf); previously on Dec 7, 2015 Upgraded to A1 (sf) Cl. M-2, Upgraded to B1 (sf); previously on Dec 7, 2015 Upgraded to B3 (sf) Issuer: CSFB Home Equity Pass-Through Certificates, Series 2005-1 Cl. M-4, Upgraded to Aa2 (sf); previously on Dec 7, 2015 Upgraded to Aa3 (sf) Cl. M-5, Upgraded to Baa3 (sf); previously on Dec 7, 2015 Upgraded to B1 (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2006-HE2 Cl. A-1, Upgraded to A3 (sf); previously on Nov 4, 2015 Upgraded to Ba2 (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2006-HE3 Cl. A-1, Upgraded to A3 (sf); previously on Mar 22, 2016 Upgraded to Baa2 (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2006-NC3 Cl. A-1, Upgraded to Baa1 (sf); previously on Nov 4, 2015 Upgraded to Ba1 (sf) Cl. A-2d, Upgraded to Ba2 (sf); previously on Jun 10, 2016 Upgraded to B1 (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2006-WMC1 Cl. A-1, Upgraded to Aa2 (sf); previously on Nov 4, 2015 Upgraded to A1 (sf) Cl. A-2c, Upgraded to Baa2 (sf); previously on Nov 4, 2015 Upgraded to Ba1 (sf) Cl. M-1, Upgraded to Ca (sf); previously on Jul 15, 2010 Downgraded to C (sf) Issuer: Morgan Stanley Capital I Inc. Trust 2006-HE1 Cl. A-4, Upgraded to Ba1 (sf); previously on Jun 10, 2016 Upgraded to B1 (sf) Issuer: OwnIt Mortgage Loan Trust 2005-2 Cl. M-4, Upgraded to Aaa (sf); previously on Feb 16, 2016 Upgraded to Aa3 (sf) Cl. M-5, Upgraded to Baa2 (sf); previously on Feb 16, 2016 Upgraded to Ba1 (sf) Issuer: Ownit Mortgage Loan Trust 2006-4 Cl. A-1, Upgraded to Ba2 (sf); previously on Sep 22, 2015 Upgraded to B1 (sf) RATINGS RATIONALE The rating 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 expectation on these pools. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in January 2017. Factors that would lead to an upgrade or downgrade of the ratings: Ratings in the US RMBS sector remain exposed to the high level of macroeconomic uncertainty, and in particular the unemployment rate. The unemployment rate fell to 4.5% in March 2017 from 5.0% in March 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 $266MM Alt-A Loans Issued 2005-2007 --------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 22 tranches and downgraded one tranche from 7 transactions backed by Alt-A mortgage loans, issued by multiple issuers. Complete rating actions are as follows: Issuer: Banc of America Funding 2005-B Trust Cl. 3-A-1, Upgraded to Aa3 (sf); previously on Jul 21, 2016 Upgraded to A2 (sf) Cl. 3-A-1B, Upgraded to Aa3 (sf); previously on Jul 21, 2016 Upgraded to A2 (sf) Cl. 3-A-2, Upgraded to Aa1 (sf); previously on Jul 21, 2016 Upgraded to Aa3 (sf) Cl. 3-A-2B, Upgraded to Aa1 (sf); previously on Jul 21, 2016 Upgraded to Aa3 (sf) Cl. 3-A-3A, Upgraded to A2 (sf); previously on Jul 21, 2016 Upgraded to Baa1 (sf) Cl. 3-A-3B, Upgraded to A2 (sf); previously on Jul 21, 2016 Upgraded to Baa1 (sf) Cl. 3-M-1, Upgraded to Caa1 (sf); previously on Sep 25, 2015 Upgraded to Caa3 (sf) Issuer: Banc of America Funding 2005-C Trust Cl. A-1, Upgraded to Baa1 (sf); previously on Jul 21, 2016 Upgraded to Ba1 (sf) Cl. A-2, Upgraded to A2 (sf); previously on Jul 21, 2016 Upgraded to Baa2 (sf) Cl. A-3A, Upgraded to Ba3 (sf); previously on Jul 21, 2016 Upgraded to B3 (sf) Cl. A-3B, Upgraded to Ba3 (sf); previously on Jul 21, 2016 Upgraded to B3 (sf) Issuer: Banc of America Funding 2007-4 Trust Cl. 5-A-2, Downgraded to Caa1 (sf); previously on Apr 10, 2013 Affirmed B3 (sf) Issuer: Bear Stearns ALT-A Trust 2005-1 Cl. A-1, Upgraded to Aa1 (sf); previously on Jul 21, 2016 Upgraded to Aa3 (sf) Issuer: CSFB Adjustable Rate Mortgage Trust 2005-7 Cl. 7-A-1-1, Upgraded to Aa3 (sf); previously on Jul 21, 2016 Upgraded to A3 (sf) Cl. 7-A-1-2, Upgraded to A2 (sf); previously on Jul 21, 2016 Upgraded to Baa2 (sf) Cl. 7-A-2-1, Upgraded to A2 (sf); previously on Jul 21, 2016 Upgraded to Baa2 (sf) Cl. 7-A-2-2, Upgraded to Baa1 (sf); previously on Jul 21, 2016 Upgraded to Ba1 (sf) Issuer: CSFB Adjustable Rate Mortgage Trust 2005-9 Cl. 5-A-1, Upgraded to Baa1 (sf); previously on Nov 22, 2016 Upgraded to Ba1 (sf) Cl. 5-A-2-2, Upgraded to Baa1 (sf); previously on Nov 22, 2016 Upgraded to Ba1 (sf) Cl. 5-A-3, Upgraded to Ba1 (sf); previously on Nov 22, 2016 Upgraded to Ba3 (sf) Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series 2005-6 Cl. I-A-2, Upgraded to A1 (sf); previously on Aug 8, 2012 Downgraded to A3 (sf) Cl. I-A-3, Upgraded to B2 (sf); previously on Nov 22, 2016 Upgraded to Caa1 (sf) Cl. I-A-4, Upgraded to Ba1 (sf); previously on Jul 15, 2011 Upgraded to Ba2 (sf) RATINGS RATIONALE The rating upgrades are primarily due to the improvement of bond-specific credit enhancement and the pay down of senior bonds in the transactions. The rating downgrade on Cl. 5-A-2 in Banc of America Funding 2007-4 Trust is to realign the rating with other senior bonds in the transactions due to the change to pro rata pay waterfall after the depletion of subordinate bonds. The actions also reflect the recent performance of the underlying pools and Moody's updated loss expectation on these pools. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in January 2017. Factors that would lead to an upgrade or downgrade of the ratings: Ratings in the US RMBS sector remain exposed to the high level of macroeconomic uncertainty, and in particular the unemployment rate. The unemployment rate fell to 4.5% in March 2017 from 5.0% in March 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 Discontinues Ratings on 25 Classes From 5 CDO Transactions ------------------------------------------------------------------ S&P Global Ratings discontinued its ratings on 23 classes from four cash flow (CF) collateralized loan obligation (CLO) transactions and two classes from one CF collateral debt obligation (CDO) backed by commercial mortgage-backed securities (CMBS). The discontinuances follow the complete paydown of the notes as reflected in the most recent trustee-issued note payment reports for each transaction: -- Crest 2003-2 Ltd. (CF CDO of CMBS): senior-most tranches paid down; other rated tranches still outstanding. -- Flatiron CLO 2012-1 Ltd. (CF CLO): optional redemption in April 2017. -- Ocean Trails CLO II (CF CLO): optional redemption in April 2017. -- Trimaran CLO VII Ltd. (CF CLO): optional redemption in March 2017. -- Venture IX CDO Ltd. (CF CLO): optional redemption in April 2017. RATINGS DISCONTINUED Crest 2003-2 Ltd. Rating Class To From D-1 NR CCC-(sf) D-2 NR CCC-(sf) Flatiron CLO 2012-1 Ltd. Rating Class To From A-1-R NR AAA (sf) A-2-R NR AA+ (sf) B-R NR A+ (sf) C-R NR BBB (sf) D NR BB (sf) Ocean Trails CLO II Rating Class To From A-1 voting NR AAA (sf) A-1 nonvote NR AAA (sf) A-2 NR AAA (sf) A-3 NR AA+ (sf) B NR AA- (sf) C NR BBB+ (sf) D NR BB (sf) Trimaran CLO VII Ltd. Rating Class To From A-1L NR AAA (sf) A-1LR NR AAA (sf) A-2L NR AAA (sf) A-3L NR AA+ (sf) B-1L NR A+ (sf) B-2L NR BBB+ (sf) Venture IX CDO Ltd. Rating Class To From A NR AAA (sf) B NR AAA (sf) C NR AA- (sf) D NR BBB+ (sf) E NR BB+ (sf) NR--Not rated. ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers public debt and equity securities about which we report. Each Tuesday edition of the TCR contains a list of companies with insolvent balance sheets whose shares trade higher than $3 per share in public markets. At first glance, this list may look like the definitive compilation of stocks that are ideal to sell short. Don't be fooled. Assets, for example, reported at historical cost net of depreciation may understate the true value of a firm's assets. A company may establish reserves on its balance sheet for liabilities that may never materialize. The prices at which equity securities trade in public market are determined by more than a balance sheet solvency test. On Thursdays, the TCR delivers a list of recently filed Chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/books/to order any title today. Monthly Operating Reports are summarized in every Saturday edition of the TCR. The Sunday TCR delivers securitization rating news from the week then-ending. TCR subscribers have free access to our on-line news archive. Point your Web browser to http://TCRresources.bankrupt.com/and use the e-mail address to which your TCR is delivered to login. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter is a daily newsletter co-published by Bankruptcy Creditors Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., USA. Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Valerie Udtuhan, Howard C. Tolentino, Carmel Paderog, Meriam Fernandez, Joel Anthony G. Lopez, Cecil R. Villacampa, Sheryl Joy P. Olano, Psyche A. Castillon, Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2017. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. The TCR subscription rate is $975 for 6 months delivered via e-mail. Additional e-mail subscriptions for members of the same firm for the term of the initial subscription or balance thereof are $25 each. For subscription information, contact Peter A. Chapman at 215-945-7000 or Nina Novak at 202-362-8552. *** End of Transmission ***