/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/170604.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, June 4, 2017, Vol. 21, No. 154 Headlines 245 PARK AVENUE: Fitch Assigns 'BBsf' Rating to Class HHR Certs A10 TERM: DBRS Confirms B(sf) Rating on Class F Debt AASET TRUST 2017-1: Fitch to Rate Class C Notes 'BBsf' ACIS CLO 2014-3: S&P Affirms B+ Rating on Class F Debt AIMCO CLO 2017-A: Moody's Assigns B2(sf) Rating to Class F Notes ALESCO PREFERRED IX: Moody's Affirms Caa2 Rating on 4 Tranches ALESCO PREFERRED VII: Moody's Hikes Rating on Class B Notes to B1 BAMLL COMMERCIAL 2014-FL1: S&P Hikes Cl. PGA Debt Rating to BB- BANC OF AMERICA 2004-5: Moody's Affirms B3 Rating on Class K Certs BAYVIEW OPPORTUNITY 2017-SPL4: DBRS Rates Cl. B5 Debt 'Bsf' BAYVIEW OPPORTUNITY 2017-SPL4: Fitch Rates Cl. B5 Notes 'Bsf' BAYVIEW OPPORTUNITY 2017-SPL4: Fitch to Rate Class B5 Notes 'Bsf' BLACK DIAMOND 2017-1: Moody's Assigns Ba3(sf) Rating to Cl. D Debt BLUEMOUNTAIN CLO III: Moody's Hikes Cl. E Notes Rating From Ba1 CALCULUS TRUST: Moody's Cuts Ratings on 2 Trust Units to C CAN CAPITAL 2014-1: DBRS Cuts Class B Notes Rating to B(high)(sf) CAVALRY CLO V: Moody's Cuts Rating on Class E Notes to Ba1(sf) CD 2017-CD4: DBRS Finalizes Prov. BB(low) Rating on Class F Debt CENT CLO 19: S&P Affirms BB Rating on Class D Debt COMM 2013-THL: Fitch Affirms 'Bsf' Rating on Class F Certs COMM 2015-CCRE23: DBRS Confirms B(low) Rating on Class F Debt COMM 2015-LC21: DBRS Confirms B(low) Rating on Class F Debt CONNECTICUT AVENUE 2017-C03: DBRS Finalizes BB on 18 Tranches CONNECTICUT AVENUE 2017-C04: Fitch to Rate 19 Tranches 'Bsf' COUNTRYWIDE 2007-MF1: Moody's Affirms C(sf) Rating on 4 Tranches CSAIL 2015-C2: DBRS Confirms B(sf) Rating on Class F Debt CSAIL 2016-C6: Fitch Affirms B-sf Rating on Class X-F Certs DT AUTO 2017-2: DBRS Finalizes Prov BBsf Rating on Class E Debt EARNEST STUDENT 2017-A: DBRS Finalizes BB Rating on Class C Debt EARNEST STUDENT 2017-A: DBRS Gives (P)BB Rating to Class C Debt FLAGSHIP CREDIT 2017-2: DBRS Gives (P)BB Ratings to Cl. E Debt FREMF MORTGAGE 2012-KF01: Moody's Affirms B1 Rating on Cl. X Debt GE COMMERCIAL 2005-C4: Moody's Affirms B3sf Rating on Class B Debt GENERAL ELECTRIC 2003-1: Fitch Affirms Csf Rating on Cl. G Certs GOLD KEY 2014-A: DBRS Confirms BB Rating on Class C Debt GOLUB CAPITAL: Moody's Assigns Ba3(sf) Rating to Class D Notes GS MORTGAGE 2006-CC1: Moody's Affirms Ca Rating on Class A Certs GS MORTGAGE 2013-GC13: Fitch Affirms BBsf Rating on Class X-B Certs HALCYON LOAN 2017-1: Moody's Assigns Ba3(sf) Rating to Cl. D Notes HERTZ VEHICLE II: DBRS Confirms 22 Ratings From Six Series HOSPITALITY 2017-HIT: S&P Assigns BB- Rating on Cl. E Certificates HPS LOAN 11-2017: Moody's Assigns B2(sf) Rating to Cl. F Notes JP MORGAN 2003-LN1: S&P Lowers Rating on Class J Certs to D JP MORGAN 2004-C2: Moody's Cuts Rating on Cl. X Certs to Caa2(sf) JP MORGAN 2005-CIBC12: Fitch Affirms 'CCsf' Rating on Cl. B Debt JP MORGAN 2006-CH1: Moody's Hikes Cl. M-3 Debt Rating to B3 JP MORGAN 2006-CH2: Moody's Hikes Rating on Class AV-4 Debt to B3 JP MORGAN 2007-LDP10: Fitch Cuts Rating on Cl. A-M Certs to CCCsf JPMCC 2017-JP6: DBRS Gives Prov BB Rating to Class F-RR Certs LB COMMERCIAL 1998-C4: Moody's Affirms C(sf) Rating on Cl. L Debt LB-UBS COMMERCIAL 2007-C1: S&P Raises Rating on Cl. D Certs to BB LEAF RECEIVABLES 2017-1: DBRS Finalizes BB(high) Rating on E-2 Debt LEAF RECEIVABLES 2017-1: Moody's Gives Ba3 Rating to Cl. E-2 Notes LEHMAN BROTHERS 2007-1: Moody's Cuts Rating on Cl. M3 Notes to Csf LNR CDO 2006-1: Moody's Affirms C Rating on 14 Note Classes LNR CDO 2007-1: Moody's Affirms C(sf) Rating on 12 Note Classes MADISON PARK XXV: Moody's Assigns B2(sf) Rating to Class E Notes MERRILL LYNCH 2005-CIP1: DBRS Cuts Class D Debt Rating to D(sf) MERRILL LYNCH 2005-CKI1: S&P Affirms Bsf Rating on Class E Certs METROPOLITAN ASSET 1998-A: Moody's Cuts Cl. X Debt Rating to Caa3 MJX VENTURE II: Moody's Assigns Ba1(sf) Rating to Cl. E Notes MORGAN STANLEY 2003-TOP11: S&P Hikes Class H Debt Rating From BB+ MORGAN STANLEY 2006-TOP23: Fitch Affirms CCC Rating on Cl. E Debt MORGAN STANLEY 2007-IQ16: Fitch Affirms CCC Rating on 3 Tranches MORGAN STANLEY 2017-C33: DBRS Finalizes BB(low) Rating on F Debt MORGAN STANLEY 2017-H1: DBRS Assigns B Ratings to Cl. H-RR Debt N-STAR REL VIII: Moody's Hikes Class C Notes Rating to B3(sf) NATIONSTAR HECM 2017-1: Moody's Assigns Ba2 Rating to Cl. M2 Debt NCMS 2017-75B: S&P Assigns BB- Rating on 3 Tranches OCTAGON INVESTMENT XIV: Moody's Assigns B3 Rating to Cl. E-R Notes OLYMPIC TOWER 2017-OT: Fitch Assigns BB-sf Rating to Class E Certs PALMER SQUARE 2015-1: S&P Assigns BB- Rating on Cl. D-R Notes PREFERREDPLUS TRUST CZN-1: Moody's Cuts Rating on $34MM Certs to B2 RAIT TRUST 2015-FL4: DBRS Confirms B(sf) Rating on Class F Debt REALT 2015-1: DBRS Confirms B(sf) Rating on Class G Certificates REALT 2016-1: DBRS Confirms B(sf) Rating on Class G Certificates REGATTA IX: Moody's Assigns Ba3(sf) Rating to Class E Notes ROCKWALL CDO II: S&P Puts Cl. B-2L Notes' BB- Rating on Watch Pos. SDART 2017-2: Fitch Assigns 'BBsf' Rating to Class E Notes SDART 2017-2: Fitch to Rate Class E Notes 'BBsf' SDART 2017-2: S&P Assigns BB Rating on $75.19MM Class E Notes SOUND POINT XVI: Moody's Assigns (P)Ba3 Rating to Class E Notes TICP CLO VII: Moody's Assigns (P)Ba3(sf) Rating to Class E Notes TOWD POINT 2015-2: Fitch Assigns 'Bsf' Ratings on 2 Tranches TRITON AVIATION: Moody's Cuts Rating on Cl. A-1 Debt to C(sf) UBS COMMERCIAL 2017-C1: Fitch to Rate Class F-RR Notes 'B-sf' UNITED AUTO 2016-1: DBRS Confirms BB(high) Rating on Class E Notes WELLS FARGO 2015-C28: DBRS Confirms B(low) Rating on Class F Debt WELLS FARGO 2016-C34: DBRS Confirms B(low) Rating on Class G Debt WESTLAKE AUTOMOBILE: DBRS Review 24 Ratings From 6 ABS Transactions WFRBS COMMERCIAL 2012-C8: Moody's Affirms B2 Rating on Cl. G Certs [*] DBRS Reviews 333 Classes From 47 US RMBS Transactions [*] DBRS Reviews 406 Classes From 31 US RMBS Transactions [*] Moody's Hikes $19.9MM of Second Lien RMBS Issued 2001-2005 [*] Moody's Hikes $219.4MM of Subprime RMBS Issued 2000-2004 [*] Moody's Hikes $33.5MM of Second Lien RMBS Issued 2003-2005 [*] Moody's Takes Action on $1.13BB of RMBS Issued 2004-2007 [*] Moody's Takes Action on $239.7MM Alt-A Debt Issued 2002-2004 [*] S&P Completes Review on 104 Classes From 13 RMBS Deals [*] S&P Completes Review on 106 Classes From 12 US RMBS Deals [*] S&P Completes Review on 52 Ratings From 11 RMBS Deals [*] S&P Discontinues Ratings on 60 Classes From 24 CDO Deals [*] US CMBS Loan Loss Severities Down in Q1 2017, Moody's Says ********* 245 PARK AVENUE: Fitch Assigns 'BBsf' Rating to Class HHR Certs --------------------------------------------------------------- Fitch Ratings has assigned the following ratings and Rating Outlooks to 245 Park Avenue Trust 2017-245P Commercial Mortgage Pass-Through Certificates. -- $260,000,000 class A 'AAAsf'; Outlook Stable; -- $260,000,000a class X-A 'AAAsf'; Outlook Stable; -- $39,000,000a class X-B 'NR'; Outlook Stable; -- $39,000,000 class B 'AA-sf'; Outlook Stable; -- $31,000,000 class C 'A-sf'; Outlook Stable; -- $50,000,000 class D 'BBB-sf'; Outlook Stable; -- $90,000,000 class E 'BBsf'; Outlook Stable; -- $30,000,000b class HHR 'BBsf'; Outlook Stable. (a) Notional amount and interest-only. (b) Horizontal credit risk retention interest representing at least 5.0% of the fair market value of the non-residual classes in the aggregate (as of the closing date). Since Fitch published its expected ratings on May 11, 2017, the class X-B changed from 'AA-sf' to 'NR' based on the final deal structure. The certificates represent the beneficial interests in the mortgage loan securing the fee interest in a 1,723,093 square foot (sf), 44-story office tower located at 245 Park Avenue 46th and 47th streets in New York, NY. Proceeds of the loan were used to acquire the property and pay closing costs. The certificates will follow a sequential-pay structure. KEY RATING DRIVERS High-Quality Office Collateral in a Prime Manhattan Location: The 245 Park Avenue property is a 44-story Class A office building located on an entire block bound by Park Avenue, Lexington Avenue and 47th and 48th streets in the Grand Central office submarket of Midtown Manhattan. Fitch assigned a property quality grade of 'A-'. Historical Occupancy and High-Quality Tenancy: The property was 91.2% occupied as of Feb. 28, 2017 and has recorded average occupancy of 95.1% since 2007. The property serves as a headquarters for Societe Generale, Major League Baseball, Angelo Gordon, and RaboBank. Tenants with investment-grade credit ratings account for 65.1% of the properties base rental revenue. Acquisition by Institutional Sponsorship: The loan is funding the acquisition of the subject property for $2.21 billion by HNA Group (HNA). HNA, based in China, is a global Fortune 500 company with interests across a diverse array of sectors. Rollover Risk and Departure of Major League Baseball (MLB): MLB is the second largest tenant at the property, occupying 12.6% of net rentable area (NRA). MLB expires in October 2022 but has announced their intention to relocate in 2019. In total, 29.3% of NRA expires in 2022 with an additional 21.8% of NRA expiring in 2026, one year prior to loan maturity. Fitch Leverage: The $500.0 million mortgage loan has a Fitch debt service coverage ratio (DSCR) and loan to value (LTV) of 1.08x and 81.1%, respectively and debt of $696 psf based on the current NRA. RATING SENSITIVITIES Fitch performed a break-even analysis to determine the amount of value deterioration the pool could withstand prior to $1 of loss on the total debt and 'AAAsf' rated class. The break-even value declines were performed using both the appraisal values at issuance and the Fitch-stressed value. Based on the as-is appraisal value of $2.21 billion, break-even values represent declines of 45.7% and 66.5% for the total debt and 'AAAsf' class, respectively. Similarly, Fitch estimated total debt and 'AAAsf' break-even value declines using the Fitch-adjusted property value of $1.5 billion, which is a function of the Fitch net cash flow (NCF) and a stressed capitalization rate, in relation to the appropriate class balances. The break-even value declines relative to the total debt and 'AAAsf' balances are 18.9% and 50.0%, respectively, which correspond to equivalent declines to Fitch NCF, as the Fitch capitalization rate is held constant. Fitch evaluated the sensitivity of the ratings for class A and found that a 10% decline in Fitch's implied NCF would result in a one-category downgrade, while a 31% decline would result in a downgrade to below investment grade. A10 TERM: DBRS Confirms B(sf) Rating on Class F Debt ---------------------------------------------------- DBRS, Inc. confirmed the following Commercial Mortgage Pass-Through Certificates, Series 2016-1 issued by A10 Term Asset Financing 2016-1, LLC: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class B at A (low) (sf) -- Class C at BBB (sf) -- Class D at BBB (low) (sf) -- Class E at BB (sf) -- Class F at B (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the pool. The transaction consists of 23 loans secured by 27 transitional commercial real estate assets, including office, retail, industrial and multifamily properties. A total of nine underlying loans are cross-collateralized and cross-defaulted into four separate portfolios. According to the May 2017 remittance, there has been a collateral reduction of 12.6% since issuance, as five loans have been repaid in full, and one property out of an original six-property portfolio loan has been re-leased, with proceeds paying down the portfolio loan. The remaining loans benefit from low leverage on a per-unit basis, with the weighted-average debt yield based on the most recently reported net operating income and outstanding trust balance at 8.5%, which is moderately stable given that the pool consists of stabilizing assets. Most loans were originally structured with two- to four-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 $29.4 million against total potential future funding obligations of $42.3 million. According to the most recent reporting, the collateral assets have stable debt yields; however, the majority of the properties continue to perform below their respective stabilization plans. The largest loan in the transaction, the Troy and First Center/Southfield Portfolio, represents 16.8% of the current pool balance. This loan is secured by five flex-industrial properties in Troy, Michigan, and a 638,000-square foot (sf) Class B office property in Southfield, Michigan, a suburb of Detroit. The borrower’s business plan is to lease the vacancy across the portfolio and to sell individual buildings as they stabilize. To aid in portfolio stabilization, the loan is structured with a $10.4 million future funding facility to fund leasing costs and capital renovation projects. As of May 2017, the balance of the facility is $8.0 million. The First Center office property remains 44% occupied as of May 2017, which is the same as at issuance. The largest tenants are Secure 24 (83,000 sf) and United Healthcare (65,000 sf) on leases expiring in July 2018 and August 2019, respectively. The borrower has successfully renewed American Axle’s lease (32,000 sf) for three years at $17.00 psf and signed new tenant, Jack Cooper CT Services (15,000 sf) for eight years at $15.50 psf. The tenants received tenant improvement allowances of $12.50 psf and $25.00 psf, respectively. According to the servicer, the borrower is negotiating with a medical office user for a significant portion of space. The loan had an original leasing facility of $4.86 million to fund leasing costs. According to Reis, the submarket vacancy rate remains elevated at 32.1%, which compares similarly with the 31.5% vacancy rate for the submarket at issuance. Capital projects completed to date include updates to the central atrium and common areas, the resurfacing of the parking lot and exterior painting of the building. The five remaining flex-industrial properties have occupancy rates ranging from 53.0% to 100.0%. The least occupied property, Research Drive, is predominantly finished as office space among the six individual buildings, and according to the servicer, the borrower is in the process of negotiating a lease for approximately 125,000 sf, which would significantly improve the occupancy rate. The remaining industrial properties are well occupied and considered to be stabilized. The loan formerly securing the Big Beaver Warehouse property has been paid in full, and three additional properties have experienced partial prepayment as a result of individual building releases. Total prepayments across the portfolio are $9.2 million. The ratings assigned by DBRS contemplate timely payments of distributable interest and, in the case of the offered notes other than the Class A-1 and Class A-2 Senior Fixed Rate 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 rating assigned to the Class B notes materially deviates 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 deviation is warranted given the undemonstrated sustainability of loan performance trends. AASET TRUST 2017-1: Fitch to Rate Class C Notes 'BBsf' ------------------------------------------------------ Fitch Ratings expects to assign the following ratings and Outlooks to the AASET 2017-1 Trust (AASET 2017-1) notes: -- $479,456,000 class A asset-backed notes 'Asf'; Outlook Stable; -- $88,515,000 class B asset-backed notes 'BBBsf'; Outlook Stable; -- $44,257,000 class C asset-backed notes 'BBsf'; Outlook Stable. The notes issued from AASET 2017-1 will be backed by lease payments and disposition proceeds on a pool of 32 mid to end-of-life aircraft. Apollo Aviation Management Limited (AAML), a wholly-owned subsidiary of Apollo Aviation Holdings Limited (Apollo), will be the servicer. Note proceeds will finance the purchase of the aircraft from certain funds (SASOF funds) managed by affiliates of Apollo. AASET 2017-1 is the first AASET transaction rated by Fitch and the fourth issued since 2014 serviced by Apollo. Fitch does not rate Apollo or AAML. SASOF III, the primary seller of the assets to AASET 2017-1, will retain a position as E certificate holder, consistent with similar investments made by funds managed by affiliates of Apollo in prior AASET transactions. Therefore, Apollo will have a vested interest in performance of the transaction outside of merely collecting servicing fees due to the European style waterfall in SASOF III. Fitch views this as a positive since Apollo has a significant interest in generating positive cash flows through management of the assets over the life of the transaction. The majority of the aircraft in the pool will be sold from SASOF III to the AOE Issuers during a delivery period ending 270 days after closing of the transaction. However, there are certain aircraft in the pool that are currently not owned by SASOF III or its affiliates and may be acquired by the AOE Issuers from the third-party sellers after close. If an aircraft in the pool (or replacement aircraft) are not transferred to the AOE Issuers within 270 days of closing, the applicable amount attributable to each aircraft not transferred will be used to prepay the notes without premium, consistent with prior ASSET and other aircraft ABS transactions. Wells Fargo Bank, N.A. will act as trustee and operating bank and Phoenix American Financial Services, Inc. will act as managing agent. KEY RATING DRIVERS Stable Asset Quality: Despite a weighted average (WA) age of 12 years, the pool is largely comprised of high-quality, in-production A320 and B737 family aircraft. The WA remaining lease term is 4.6 years and 37.8% of the pool is on lease until at least 2023, a positive for future cash flow generation. However, there is a significant concentration in less marketable A330-200s. Weak Lessee Credit: Most of the 23 lessees in the pool are either unrated or speculative-grade airline credits, which is typical of aircraft ABS. Fitch assumed unrated lessees would perform consistent with a 'B' Issuer Default Rating to accurately reflect default risk in the pool. Ratings were assumed to migrate lower during future recessions and once aircraft reach Tier 3 classification. Technological Risk Exists: Current generation A320 and B737 aircraft both face replacement over the next decade from the A320neo and B737 MAX, with the former debuting in 2016 and the latter in May this year. The A330 family also faces future neo replacement as well as ongoing competition from the A350 and B787. New variants will pressure current aircraft values and lease rates, but the long lead time for replacement and healthy operator bases will help mitigate replacement risk. Consistent Transaction Structure: Credit enhancement is comprised of overcollateralization, a liquidity facility and a cash reserve. The initial loan-to-values (LTV) for the class A, B and C notes are 65.6%, 77.7% and 83.8%, respectively, based on the lower of the medium or mean (LMM) of the maintenance adjusted base value. Capable Servicing History and Experience: Fitch believes AAML has the ability to collect lease payments, remarket and repossess aircraft in an event of lessee default and procure maintenance to retain values and ensure stable performance. Fitch considers AAML to be a capable servicer, evidenced by prior securitization performance and their servicing experience of aviation assets and Apollo's managed aviation funds. Adequate Loss Coverage: Each class of notes makes full payment of interest and principal in the primary scenarios commensurate with their recommended ratings after applying Fitch's asset assumptions and stresses. Fitch also created multiple alternative cash flows to evaluate the structure sensitivity to different scenarios, detailed later in the report. High Industry Cyclicality: Commercial aviation has been subject to significant cyclicality due to macroeconomic and geopolitical events. Downturns are typically marked by reduced aircraft utilization rates, values, and lease rates, as well as deteriorating lessee credit quality. Fitch's analysis assumes multiple periods of significant volatility over the life of the transaction. RATING SENSITIVITIES Due to the correlation between global economic conditions and the airline industry, the ratings may be impacted by global macro-economic or geopolitical factors over the remaining term of the transaction. Therefore, Fitch evaluated various sensitivity scenarios which could affect future cash flows from the pool and recommended ratings for the notes. Fitch performed a sensitivity analysis assuming a 25% decrease to Fitch's lease rate factor curve to observe the impact of depressed lease rates on the pool. This scenario highlights the effect of increased competition in the aircraft leasing market, particularly for mid to end-of-life aircraft over the past few years, and stresses the pool to a higher degree by assuming lease rates well below observed market rates. Under this scenario, the notes could be subject to ratings downgrades of two to four notches. Fitch evaluated a scenario in which all unrated airlines are assumed to carry a 'CCC' rating. This scenario mimics a prolonged recessionary environment in which airlines are susceptible to an increased likelihood of default. This would, in turn, subject the aircraft pool to more downtime and expenses as repossession and remarketing events would increase. Under this scenario, the notes show little sensitivity despite the increase in expenses due to increased defaults and are still able to pay in full for each respective rating scenario. Therefore, this scenario is unlikely to result in any negative rating actions. Fitch created a scenario in which the A330-200s in the pool encounter a considerable amount of stress to their residual values. Fitch removed outlier appraisal values for each A330-200 in the pool and took the average of the lower two appraisals to determine maintenance-adjusted base values for modeling. All the A330-200s were assumed to be Tier 3 aircraft to stress recessionary value declines, and Fitch placed a higher 25% haircut to residual proceeds. Under this scenario the A330-200s are only granted part-out value at the end of their useful lives, and the notes show slight sensitivity that would likely result in downgrades of one to two notches. ACIS CLO 2014-3: S&P Affirms B+ Rating on Class F Debt ------------------------------------------------------ S&P Global Ratings affirmed its ratings on the class A-1A, A-1F, A-2a, A-2b, B, C, D, E, and F notes from ACIS CLO 2014-3 Ltd., a U.S. collateralized loan obligation (CLO) transaction that closed in February 2014 and is managed by Acis Capital Management L.P. The rating actions follow S&P's review of the transaction's performance using data from the April 2017 trustee report. The transaction is scheduled to remain in its reinvestment period until February 2019. Since the transaction's effective date, the trustee-reported collateral portfolio weighted average life has decreased to 4.86 years from 5.32 years. This seasoning has decreased the overall credit risk profile. In addition, the number of obligors in the portfolio increased during this period to 201 from 164, which contributed to the portfolio's increased diversification. Assets rated 'CCC+' and below also increased, to $28.91 million as of April 2017 from $6.99 million as of the April 2014 effective date report. According to the April 2017 trustee report that S&P used for this review, the overcollateralization (O/C) ratios for each class have exhibited declines since the April 2014 trustee report, which S&P used for its May 2014 rating affirmations: The class A/B O/C ratio was 130.93%, down from 132.30%. The class C O/C ratio was 119.50%, down from 120.74%. The class D O/C ratio was 113.03%, down from 114.20%. The class E O/C ratio was 107.66%, down from 108.78%. Even with the decline in credit support, all coverage tests are currently passing and are above the minimum requirements. Overall, the increase in 'CCC+' and below rated assets has been largely offset by the decline in the weighted average life. However, any significant deterioration in these metrics could negatively affect the deal in the future, especially the junior tranches. As such, the affirmed ratings reflect S&P's belief that the credit support available is commensurate with the current rating levels. Although its cash flow analysis indicates higher ratings for the class B, C, D, E, and F notes, its rating actions consider additional sensitivity runs that considered the exposure to specific distressed industries and allowed for volatility in the underlying portfolio given that the transaction is still in its reinvestment period, which is scheduled to end in February 2019. S&P's review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the aforementioned trustee report, to estimate future performance. In line with its criteria, S&P's cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, S&P's analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis demonstrated, in S&P's view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions. S&P will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and will take rating actions as it deems necessary. RATINGS AFFIRMED ACIS CLO 2014-3 Ltd. Class Rating A-1A AAA (sf) A-1F AAA (sf) A-2a AAA (sf) A-2b AAA (sf) B AA (sf) C A (sf) D BBB (sf) E BB (sf) F B+ (sf) AIMCO CLO 2017-A: Moody's Assigns B2(sf) Rating to Class F Notes ---------------------------------------------------------------- Moody's Investors Service has assigned ratings to six classes of notes 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"), Definitive Rating Assigned Aaa (sf) US$44,000,000 Class B Senior Secured Floating Rate Notes due 2029 (the "Class B Notes"), Definitive Rating Assigned Aa2 (sf) US$25,000,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2029 (the "Class C Notes"), Definitive Rating Assigned A2 (sf) US$22,000,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2029 (the "Class D Notes"), Definitive Rating Assigned Baa3 (sf) US$19,000,000 Class E Junior Secured Deferrable Floating Rate Notes due 2029 (the "Class E Notes"), Definitive Rating Assigned Ba3 (sf) US$6,000,000 Class F Junior Secured Deferrable Floating Rate Notes due 2029 (the "Class F Notes"), Definitive Rating Assigned 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 as the "Rated Notes." RATINGS RATIONALE Moody's ratings of the Rated Notes address the expected losses posed to noteholders. The ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. 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. The portfolio is approximately 84% 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 issued one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in October 2016. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $400,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 2891 Weighted Average Spread (WAS): 3.50% Weighted Average Coupon (WAC): 6.50% Weighted Average Recovery Rate (WARR): 47.75% Weighted Average Life (WAL): 8.16 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 2891 to 3325) 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 2891 to 3759) 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 ALESCO PREFERRED IX: Moody's Affirms Caa2 Rating on 4 Tranches -------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Alesco Preferred Funding IX, Ltd.: US$365,000,000 Class A-1 First Priority Delayed Draw Senior Secured Floating Rate Notes Due 2036 (current balance of $243,899,139), Upgraded to Aa2 (sf); previously on July 13, 2015 Affirmed at Aa3 (sf) US$59,000,000 Class A-2A Second Priority Senior Secured Floating Rate Notes Due 2036, Upgraded to Aa3 (sf); previously on July 13, 2015 Upgraded to A1 (sf) US$3,000,000 Class A-2B Second Priority Senior Secured Fixed/Floating Rate Notes Due 2036, Upgraded to Aa3 (sf); previously on July 13, 2015 Upgraded to A1 (sf) US$51,000,000 Class B-1 Deferrable Third Priority Secured Floating Rate Notes Due 2036 (current balance of $49,870,878), Upgraded to Baa3 (sf); previously on July 13, 2015 Upgraded to Ba1 (sf) US$7,000,000 Class B-2 Deferrable Third Priority Secured Fixed/Floating Rate Notes Due 2036 (current balance of $6,845,022), Upgraded to Baa3 (sf); previously on July 13, 2015 Upgraded to Ba1 (sf) Moody's also affirmed the ratings on the following notes: US$54,000,000 Class C-1 Deferrable Fourth Priority Mezzanine Secured Floating Rate Notes Due 2036 (current balance of $53,270,064 including deferred interest balance), Affirmed at Caa2 (sf); previously on July 13, 2015 Upgraded to Caa2 (sf) US$48,500,000 Class C-2 Deferrable Fourth Priority Mezzanine Secured Fixed/Floating Rate Notes Due 2036 (current balance of $52,100,042 including deferred interest balance), Affirmed at Caa2 (sf); previously on July 13, 2015 Upgraded to Caa2 (sf) US$12,500,000 Class C-3 Deferrable Fourth Priority Mezzanine Secured Fixed/Floating Rate Notes Due 2036 (current balance of $12,342,747 including deferred interest balance), Affirmed at Caa2 (sf); previously on July 13, 2015 Upgraded to Caa2 (sf) US$7,000,000 Class C-4 Deferrable Fourth Priority Mezzanine Secured Fixed/Floating Rate Notes Due 2036 (current balance of $9,177,256 including deferred interest balance), Affirmed at Caa2 (sf); previously on July 13, 2015 Upgraded to Caa2 (sf) Alesco Preferred Funding IX, Ltd., issued in December 2005, is a collateralized debt obligation backed by a portfolio of bank and insurance trust preferred securities (TruPS). RATINGS RATIONALE The rating actions are primarily a result of the deleveraging of the Class A-1 notes, an increase in some of the transaction's overcollateralization (OC) ratios, and the resumption of interest payments of previously deferring assets. The Class A-1 notes have paid down by approximately 0.4% or $1.0 million since May 2016, using principal proceeds from the redemption of the underlying assets. Based on Moody's calculations, the current OC ratios for the Class A-1, Class A-2, Class B and Class C notes are 202.5%, 161.5%, 136.2%, and 100.9%, respectively, compared to May 2016 levels of 202.8%, 161.8%, 136.6%, and 99.7%, respectively. Moody's gave full par credit in its analysis to two deferring assets that meet certain criteria, totaling $12.0 million in par. Since May 2016, two previously deferring banks with a total par of $11.0 million have resumed making interest payments on their TruPS. Based on the trustee's March report, the Class A OC ratio, at 158.4%, was passing the trigger of 146.2%, therefore excess interest was used to pay $1.7 million of the Class C deferred interest balance in March 2017. The Class C notes will continue to benefit from the use of excess interest to repay the notes' deferred interest balance. Methodology Used for 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 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. Moody's maintains its stable outlook on the US insurance 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) Resumption of interest payments by deferring assets: A number of banks have resumed making interest payments on their TruPS. The timing and amount of deferral cures could have significant positive impact on the transaction's over-collateralization ratios and the ratings on the notes. 5) 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 620) Class A-1: 0 Class A-2A: +1 Class A-2B: +1 Class B-1: +2 Class B-2: +2 Class C-1: +1 Class C-2: +2 Class C-3: +1 Class C-4: +2 Assuming a two-notch downgrade to assets with below-investment grade ratings or rating estimates (WARF of 1474) Class A-1: -1 Class A-2A: -1 Class A-2B: -1 Class B-1: -1 Class B-2: -1 Class C-1: -2 Class C-2: -2 Class C-3: -2 Class C-4: -2 ALESCO PREFERRED VII: Moody's Hikes Rating on Class B Notes to B1 ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Alesco Preferred Funding VII, Ltd.: US$188,000,000 Class A-1-A First Priority Senior Secured Floating Rate Notes Due 2035 (current balance of $68,131,358), Upgraded to Aa2 (sf); previously on August 10, 2015 Upgraded to A1 (sf) US$177,000,000 Class A-1-B First Priority Senior Secured Floating Rate Notes Due 2035 (current balance of $64,144,948), Upgraded to Aa2 (sf); previously on August 10, 2015 Upgraded to A1 (sf) US$70,000,000 Class A-2 Second Priority Senior Secured Floating Rate Notes Due 2035, Upgraded to A3 (sf); previously on August 10, 2015 Upgraded to Baa3 (sf) US$35,000,000 Class B Third Priority Secured Floating Rate Notes Due 2035 (current balance of $37,055,927 including cumulative deferred interest balance), Upgraded to B1 (sf); previously on August 10, 2015 Upgraded to Caa1 (sf) Alesco Preferred Funding VII, issued in April 2005, is a collateralized debt obligation (CDO) backed mainly by a portfolio of bank and insurance trust preferred securities (TruPS). RATINGS RATIONALE The rating actions are primarily a result of the deleveraging of the Class A-1-A and Class A-1-B notes and an increase in the transaction's over-collateralization ratios (OC) since May 2016. The Class A-1-A and Class A-1-B notes have paid down by approximately 17.0% or $27.1 million since May 2016, 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 and Class B notes have improved to 271.7%, 177.7% and 150.2%, respectively, from May 2016 levels of 233.0%, 163.0% and 141.7%, respectively. Moody's gave full par credit in its analysis to one deferring asset,$5.5 million in par, that meets certain criteria. The Class A-1-A and Class A-1-B notes will continue to benefit from the diversion of excess interest and the use of proceeds from redemptions of any assets in the collateral pool. The actions also reflect the consideration that an Event of Default (EoD) is continuing for the transaction. On March 21, 2012, the transaction declared an EoD because the Class A/B Overcollateralization Ratio fell below 100%, according to Section 5.1(j) of the indenture. On April 2, 2012, the Credit Enhancer directed the trustee to declare all of the rated notes immediately due and payable. As the EoD continues, the Class A-1-A and A-1-B notes will continue to receive all excess interest and principal proceeds until they are paid in full. Under Article V of the indenture, if the EOD continues, the Credit Enhancer (if it is the controlling party) and the holders of 66-2/3% of each class of rated notes voting as a separate class can direct the trustee to proceed with the sale and liquidation of the collateral. In such a case, the severity of losses will depend on the timing and choice of remedy. Although Moody's believes the likelihood of liquidation is remote, the upgrade magnitude on the Class A-2 and Class B notes was tempered by concerns about potential losses arising from liquidation. The Class B notes also continue to defer interest, and will continue to do so until the Class A-1-A, Class A-1-B and Class A-2 notes are paid in full. 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 banking sector. Moody's maintains its stable outlook on the US insurance 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) Resumption of interest payments by deferring assets: A number of banks have resumed making interest payments on their TruPS. The timing and amount of deferral cures could have significant positive impact on the transaction's over-collateralization ratios and the ratings on the notes. 5) 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 719) Class A-1-A: 0 Class A-1-B: 0 Class A-2: +2 Class B: +2 Assuming a two-notch downgrade to assets with below-investment grade ratings or rating estimates (WARF of 1695) Class A-1-A: -1 Class A-1-B: -1 Class A-2: -1 Class B: -2 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 (after treating deferring securities as performing if they meet certain criteria) of $359.4 million, defaulted/deferring par of $71.2, a weighted average default probability of 12.28% (implying a WARF of 1169), and a weighted average recovery rate upon default of 10.4%. 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 mainly TruPS issued by small to medium sized U.S. community banks and insurance companies 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(TM), 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. For insurance TruPS that do not have public ratings, Moody's relies on the assessment of its Insurance team, based on the credit analysis of the underlying insurance firms' annual statutory financial reports. BAMLL COMMERCIAL 2014-FL1: S&P Hikes Cl. PGA Debt Rating to BB- --------------------------------------------------------------- S&P Global Ratings raised its rating on the class PGA commercial mortgage pass-through certificates from BAMLL Commercial Mortgage Securities Trust 2014-FL1, a U.S. commercial mortgage-backed securities (CMBS) transaction. In addition, S&P affirmed its ratings on seven other classes from the same transaction. S&P's rating actions on the principal- and interest-paying certificates follow its analysis of the transaction primarily using its criteria for rating U.S. and Canadian CMBS transactions, which included a review of the credit characteristics and the current and future performance of the collateral securing the four loans in the pool, the deal structure, and the liquidity available to the trust. The upgrade on the class PGA raked certificates reflects S&P's re-evaluation of the PGA National Resort & Spa loan. The class derives 100% of its cash flows from a subordinate nonpooled component of the loan. The affirmations on the pooled principal- and interest-paying certificates reflect S&P's expectation that the available credit enhancement for these classes will be within its estimate of the necessary credit enhancement required for the current ratings and our views regarding the loans' current and future performance. The affirmation on the class ELJ raked certificates reflects S&P's analysis of the Estancia La Jolla Hotel & Spa loan. The ELJ raked certificates derive 100%of its cash flow from a subordinate nonpooled component of the loan. S&P affirmed its rating on the class X-EXT interest-only (IO) certificates based on S&P's criteria for rating IO securities, under which the ratings on the IO securities would not be higher than that of the lowest-rated reference class. The notional balance on class X-EXT references classes A, B, C, D, and E. The analysis of large loan transactions is predominantly a recovery-based approach that assumes a loan default. Using this approach, our property-level analysis included a re-evaluation of the lodging and retail properties that secure the four mortgage loans in the trust. S&P's analysis also considered the performance of the volatile lodging collateral, which makes up 43.9% of the pooled trust balance, as well as the stable servicer-reported net operating income (NOI) and occupancy for the retail property. According to the May 15, 2017, trustee remittance report, the trust consisted of four floating-rate IO loans indexed to one-month LIBOR with an aggregate pooled trust balance of $419.0 million and an aggregate trust balance of $432.6 million. All of the loans currently mature in 2017 and have two, 12-month extension options remaining. According to the transaction documents, the borrowers will pay the special servicing, work-out, and liquidation fees, as well as costs and expenses incurred from appraisals and inspections the special servicer conducts. To date, the trust has not incurred any principal losses. S&P based its analysis partly on a review of each property's available historical NOI for the years ended 2016, 2015, and 2014, and where applicable, the most recent 2016 rent roll and Smith Travel Research (STR) reports that the master servicer provided to determine our opinion of a sustainable cash flow for the properties. Details on the four loans are as follows: The Lynnhaven Mall loan, the largest loan in the pool, has a pooled trust and whole loan balance of $235.0 million (56.1% of the pooled trust balance). The loan is IO, pays a floating-rate interest rate of LIBOR plus 1.85% per year, and currently matures on June 9, 2017. It has two, 12-month extension options remaining. The loan is secured by a fee simple interest in 972,616 sq. ft. of a 1.15 million-sq.-ft. enclosed mall in Virginia Beach, Va. The master servicer, Wells Fargo Bank N.A., reported a 4.60x debt service coverage (DSC) for the year ended Dec. 31, 2016. Based on adjustment to the Dec. 31, 2016, rent roll, S&P calculated the collateral space to be approximately 93.5% occupied, and the five largest tenants make up 53.1% of the collateral's total net rentable area (NRA). In addition, 2.1% of the NRA has leases that expire in 2017, 27.5% has leases that expire in 2018, and 14.6% has leases that expire in 2019. S&P's analysis considered the stable servicer-reported NOI, and its expected-case value, using a 7.25% capitalization rate, yielded an 83.0% pooled trust loan-to-value (LTV) ratio. The PGA National Resort & Spa loan, the second-largest loan in the pool, has a $96.0 million whole loan balance that is divided into a $90.6 million senior pooled component (21.6%) and a $5.4 million subordinate nonpooled trust component that supports the class PGA raked certificates. In addition, the borrower's equity interests in the whole loan secure $29.0 million of mezzanine debt. The loan is IO, pays a floating-rate interest rate of LIBOR plus 1.775% (pooled) and 4.761% (nonpooled) per year, and currently matures on Sept. 9, 2017. It has two, 12-month extension options remaining. The loan is secured by a first-priority fee mortgage encumbering a 339-room, AAA-four-diamond-rated, full-service resort hotel in Palm Beach Gardens, Fla. Wells Fargo reported revenue per available room (RevPAR) of $141.51 and DSC of 6.18x for the year ended Dec. 31, 2016. S&P's analysis considered the upward trending servicer-reported NOI, and its expected-case value, using a 9.64% weighted average capitalization rate, yielded a 71.3% pooled trust LTV ratio. The Warner Center Marriott loan, the third-largest loan in the pool, has a $74.5 million whole loan balance that is split into two notes: a $51.5 million senior A note representing 12.3% of the pooled trust balance and a $23.0 million subordinate nontrust B note. In addition, there's $22.0 million in preferred equity. S&P considered this preferred equity as additional unsecured debt when evaluating this loan. The loan is IO, pays a floating-rate interest rate of LIBOR plus 2.871% per year and matures on Aug. 4, 2017. It has two, 12-month extension options remaining. The loan is secured by a first-priority fee mortgage encumbering a 474-room, 16-story full-service luxury hotel in Woodland Hills, Calif. Wells Fargo reported RevPAR of $139.04 and DSC of 3.65x for the year ended Dec. 31, 2016. S&P's analysis considered the stable servicer-reported NOI, and S&P's expected-case value, using a 9.00% weighted average capitalization rate, yielded a 74.8% LTV ratio on the trust balance. The Estancia La Jolla Hotel & Spa loan, the smallest loan in the pool, has a $50.1 million whole loan balance that is split into a $41.9 million senior pooled component (10.0%) and an $8.2 million subordinate nonpooled component that backs the class ELJ raked certificates. In addition, the borrower's equity interests in the whole loan secure $15.9 million in mezzanine debt. The loan is IO, pays a floating-rate interest rate of LIBOR plus 2.112% (pooled) and 2.549% (nonpooled) per year, and matures on Dec. 9, 2017. It has two, 12-month extension options remaining. The loan is secured by a first-priority leasehold mortgage encumbering a 210-room, three-story full service luxury hotel in La Jolla, Calif. Wells Fargo reported RevPAR of $163.93 and DSC of 4.23x for the trailing 12 months ended Dec. 31, 2016. S&P's analysis considered the stable servicer-reported NOI, and its expected-case value, using a 9.00% weighted average capitalization rate, yielded a 78.3% pooled trust LTV ratio. RATINGS LIST BAMLL Commercial Mortgage Securities Trust 2014-FL1 Commercial mortgage pass-through certificates series 2014-FL1 Rating Class Identifier To From A 05525VAA4 AAA (sf) AAA (sf) X-EXT 05525VAE6 BB- (sf) BB- (sf) B 05525VAG1 AA- (sf) AA- (sf) C 05525VAJ5 A- (sf) A- (sf) D 05525VAL0 BBB- (sf) BBB- (sf) E 05525VAW6 BB- (sf) BB- (sf) ELJ 05525VAN6 B- (sf) B- (sf) PGA 05525VAQ9 BB- (sf) B+ (sf) BANC OF AMERICA 2004-5: Moody's Affirms B3 Rating on Class K Certs ------------------------------------------------------------------ Moody's Investors Service has affirmed the ratings on four classes and downgraded the rating on one class in Banc of America Commercial Mortgage Inc. Commercial Mortgage Pass-Through Certificates, Series 2004-5: Cl. H, Affirmed Aa2 (sf); previously on Jun 10, 2016 Upgraded to Aa2 (sf) Cl. J, Affirmed Baa1 (sf); previously on Jun 10, 2016 Upgraded to Baa1 (sf) Cl. K, Affirmed B3 (sf); previously on Jun 10, 2016 Affirmed B3 (sf) Cl. L, Affirmed Caa3 (sf); previously on Jun 10, 2016 Affirmed Caa3 (sf) Cl. XC, Downgraded to Caa3 (sf); previously on Jun 10, 2016 Affirmed Caa2 (sf) RATINGS RATIONALE The ratings on four P&I classes, Classes H, J, K and L, were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The rating on the P&I class, Class M, was affirmed because the ratings are consistent with Moody's realized losses. The rating on the IO Class, Class XC, was downgraded due to a decline in 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 0% of the current balance, the same as at Moody's last review. Moody's base expected loss plus realized losses is now 1.9% of the original pooled balance, the same as at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. 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. 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 BACM 2004-5. 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 2, 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 May 10, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 98.4% to $22.2 million from $1.4 billion at securitization. The certificates are collateralized by 2 mortgage loans ranging in size from less than 22% to 78% of the pool. There are 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. Ten loans have been liquidated from the pool, resulting in an aggregate realized loss of $26.5 million (for an average loss severity of 13.4%). There are no loans currently in special servicing. 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 92.7%, compared to 80.6% 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 28.6% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.11%. Moody's actual and stressed conduit DSCRs are 1.30X and 1.10X, respectively, compared to 1.33X and 1.23X 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 performing loan represent 78% of the pool balance. The loan is the L'Oreal Warehouse Loan ($17.3 million -- 78%% of the pool), which is secured by a 649,250 square foot (SF) mixed-use office and warehouse building that is 100% leased to L'Oreal through October 2019. Built to suit in 2004 for L'Oreal, the property has 51 overhead doors, 40 trailer parking spots and has good access to major highways connecting to Cleveland, Youngstown, Akron, Ohio and Pittsburgh, Pennsylvania. Due to the single tenant exposure, Moody's stressed the value of this property utilizing a lit/dark analysis. The L'Oreal lease is also coterminous with the loan maturity date. The loan has amortized 14% since securitization. Moody's LTV and stressed DSCR are 100.3% and 0.97X, respectively, compared to 84.3% and 1.15X at last review. The second largest loan is the Country Club Ridge Loan ($4.8 million -- 22% of the pool), which is secured by a 247-unit co-op property in Hartsdale, Westchester County, New York. The loan has amortized 11.3% since securitization. Moody's LTV and stressed DSCR are 66.1% and 1.55X, respectively, compared to 67.4% and 1.52X at last review. BAYVIEW OPPORTUNITY 2017-SPL4: DBRS Rates Cl. B5 Debt 'Bsf' ----------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following Mortgage-Backed Securities, Series 2017-SPL4 (the Notes) issued by Bayview Opportunity Master Fund IVb Trust 2017-SPL4 (the Trust): -- $143.6 million Class A at AAA (sf) -- $143.6 million Class A-IOA at AAA (sf) -- $143.6 million Class A-IOB at AAA (sf) -- $15.3 million Class B1 at AA (sf) -- $15.3 million Class B1-IOA at AA (sf) -- $15.3 million Class B1-IOB at AA (sf) -- $8.8 million Class B2 at A (sf) -- $8.8 million Class B2-IO at A (sf) -- $11.2 million Class B3 at BBB (sf) -- $11.2 million Class B3-IOA at BBB (sf) -- $11.2 million Class B3-IOB at BBB (sf) -- $8.9 million Class B4 at BB (sf) -- $8.9 million Class B4-IOA at BB (sf) -- $8.9 million Class B4-IOB at BB (sf) -- $8.0 million Class B5 at B (sf) Classes A-IOA, A-IOB, B1-IOA, B1-IOB, B2-IO, B3-IOA, B3-IOB, B4-IOA and B4-IOB are interest-only notes. The class balances represent notional amounts. The AAA (sf) ratings on the Notes reflect the 34.20% of credit enhancement provided by subordinated Notes in the pool. The AA (sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings reflect 27.20%, 23.15%, 18.00%, 13.90% and 10.25% 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 4,738 loans with a total interest-bearing principal balance of $218,262,302 as of the Cut-off Date (April 30, 2017). The portfolio comprises 95.7% daily simple interest (DSI) loans and has an average original loan size of $63,434. The loans are approximately 133 months seasoned, and all are current as of the Cut-off Date, including 1.3% bankruptcy-performing loans. Approximately 96.3% of the mortgage loans have been zero times 30 days delinquent (0 x 30) based on the interest paid through date for the past 24 months under the Mortgage Bankers Association (MBA) delinquency methods. Approximately 30.1% of the loans have been modified, 100.0% of which happened more than two years ago. Within the pool, 2,060 mortgages have non-interest-bearing deferred amounts as of the Cut-off Date, which are not certificated into the rated Notes, and any recoveries on these will instead be payable to the holders of the Class X Notes. As a result of the seasoning of the collateral, none of the loans are subject to the Consumer Financial Protection Bureau Ability-to-Repay/Qualified Mortgage rules. An affiliate of BFA IVb Depositor, LLC (the Depositor) acquired the loans from CitiFinancial Credit Company and its lending subsidiaries during the period from July 2016 through February 2017, and subsequently transferred the loans to various transferring trusts owned by Bayview Opportunity Master Fund IVb L.P. (the Sponsor). On the Closing Date, the transferring trusts will assign the loans to the Depositor, who will contribute the loans to the Trust. The Sponsor will acquire and retain a 5% eligible vertical interest in each class of securities to be issued to satisfy the credit risk retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. These loans were originated and previously serviced by CitiFinancial Credit Company. As of the Cut-off Date, all of the loans are serviced by Bayview Loan Servicing, LLC. There will not be any advancing of delinquent principal or interest on any mortgages by the servicer or any other party to the transaction; however, the servicer is obligated to make advances in respect of taxes and insurance, reasonable costs and expenses incurred in the course of servicing and disposing of properties. The transaction employs a sequential-pay cash flow structure. Principal proceeds can be used to cover interest shortfalls on the Class A and Class B1 Notes (and the related interest-only bonds), but such shortfalls on more subordinate bonds will not be paid from principal. In addition, diverted interest from the mortgage loans will be used to pay down principal on the Notes sequentially. The lack of principal and interest advances on delinquent mortgages may increase the possibility of periodic interest shortfalls to the Noteholders; however, principal proceeds used to pay interest to the Notes sequentially and subordination levels greater than expected losses may provide for timely payment of interest to the rated Notes. The ratings reflect transactional strengths that include underlying assets that have generally performed well through the crisis, an experienced servicer and strong structural features. Additionally, a third-party due diligence review was performed on the portfolio with respect to regulatory compliance, payment history, data capture and title and lien review. Updated property values (generally Home Data Index values and, for a subset of the pool, broker price opinions or 2055 appraisals) were provided for the mortgage loans. The representations and warranties provided in this transaction generally conform to the representations and warranties that DBRS would expect to receive for a RMBS transaction with seasoned collateral; however, the transaction employs a representations and warranties framework that includes an unrated representation provider (Bayview Opportunity Master Fund IVb L.P.) with a backstop by an unrated entity (Bayview Asset Management, LLC) and certain knowledge qualifiers. Mitigating factors include (1) significant loan seasoning and relatively clean performance history in recent years; (2) third-party due diligence review; (3) a strong representations and warranties enforcement mechanism, including delinquency review trigger; and (4) for representations and warranties with knowledge qualifiers, even if the Sponsor did not have actual knowledge of the breach, the Remedy Provider is still required to remedy the breach in the same manner as if no knowledge qualifier had been made. The enforcement mechanism for breaches of representations includes automatic breach reviews by a third-party reviewer for any seriously delinquent loans or any loans that incur loss upon liquidation. Resolution of disputes are ultimately subject to determination in an arbitration proceeding. The DBRS ratings of AAA (sf) and AA (sf) address the timely payment of interest and full payment of principal by the legal final maturity date in accordance with the terms and conditions of the related Notes. The DBRS rating of A (sf), BBB (sf), BB (sf) and B (sf) addresses the ultimate payment of interest and full payment of principal by the legal final maturity date in accordance with the terms and conditions of the related Notes. BAYVIEW OPPORTUNITY 2017-SPL4: Fitch Rates Cl. B5 Notes 'Bsf' ------------------------------------------------------------- Fitch Ratings has assigned the following ratings to Bayview Opportunity Master Fund IVb Trust 2017-SPL4: -- $143,616,000 class A notes 'AAAsf'; Outlook Stable; -- $143,616,000 class A-IOA notional notes 'AAAsf'; Outlook Stable; -- $143,616,000 class A-IOB notional notes 'AAAsf'; Outlook Stable; -- $15,278,000 class B1 notes 'AAsf'; Outlook Stable; -- $15,278,000 class B1-IOA notional notes 'AAsf'; Outlook Stable; -- $15,278,000 class B1-IOB notional notes 'AAsf'; Outlook Stable; -- $8,840,000 class B2 notes 'Asf'; Outlook Stable; -- $8,840,000 class B2-IO notional notes 'Asf'; Outlook Stable; -- $11,241,000 class B3 notes 'BBBsf'; Outlook Stable; -- $11,241,000 class B3-IOA notional notes 'BBBsf'; Outlook Stable; -- $11,241,000 class B3-IOB notional notes 'BBBsf'; Outlook Stable; -- $8,948,000 class B4 notes 'BBsf'; Outlook Stable; -- $8,948,000 class B4-IOA notional notes 'BBsf'; Outlook Stable; -- $8,948,000 class B4-IOB notional notes 'BBsf'; Outlook Stable; -- $7,967,000 class B5 notes 'Bsf'; Outlook Stable. The following classes will not be rated by Fitch: -- $22,372,302 class B6 notes; -- $22,372,302 class B6-IO notional notes. The notes are supported by a pool of 4,738 seasoned performing and re-performing (RPL) loans totaling $218.26 million, which excludes $6.1 million in non-interest-bearing deferred principal amounts, as of the cutoff date. Of the total interest-bearing pool balance, 95.7% are daily simple interest mortgage loans. Distributions of principal and interest and loss allocations are based on a sequential pay, senior subordinate structure. The 'AAAsf' rating on the class A, A-IOA and A-IOB notes reflects the 34.20% subordination provided by the 7.00% class B1, 4.05% class B2, 5.15% class B3, 4.10% class B4, 3.65% class B5, and 10.25% class B6 notes. Fitch's ratings on the notes reflect the credit attributes of the underlying collateral, the quality of the servicer (Bayview Loan Servicing, LLC, rated 'RSS2+'), the representation (rep) and warranty framework, minimal due diligence findings, and the sequential pay structure. KEY RATING DRIVERS Clean Current Loans (Positive): The loans are seasoned approximately 11 years with 96.3% paying on time for the past 24 months and 92.9% for the past three years. In addition, 30.1% have been modified due to performance issues, while the remaining loans were either not modified (38%) or had their interest rates reduced due to a rate reduction rider at origination (31.9%). Low Property Values (Concern): Based on Fitch's analysis, the average current property value of the pool is approximately $88,000, which is much lower than the average of other Fitch-rated RPL transactions of over $150,000. Historical data from CoreLogic Loan Performance indicate that recently observed loss severities (LS) have been higher for very low property values than implied by Fitch's loan loss model. For this reason, LS floors were applied to loans with property values below $99,000, which increased the 'AAAsf' loss expectation by roughly 240bps. Daily Simple Interest Loans (Concern): Approximately 96% of the pool consists of daily simple interest loans that accrue interest on a daily basis from the date of the borrower's last payment. While the monthly payment is fixed, if a borrower pays earlier than the due date, less of the payment is applied to interest and more is applied to principal. If the borrower pays late, more of the payment is applied to interest and less goes to principal. Because the bonds pay on a 30/360 day schedule, Fitch analyzed the risk of a disproportionate number of borrowers paying earlier than scheduled, which could cause the bonds to become undercollateralized solely due to the mismatch in application of payments between the loans and the bonds. Fitch analyzed pay dates of the borrowers and found that roughly the same number of borrowers pay either earlier or later than the due date. In addition, approximately 49% of the borrowers are on autopay, which mitigates the payment date risk. Furthermore, Fitch believes the excess interest generated by the later-pay borrowers that is available to pay down principal should offset the risk of undercollateralization. Portfolio Loans from a Single Originator (Positive): This transaction consists of a portfolio of loans that Bayview Asset Management (BAM) purchased from CitiFinancial Credit Company and its lending subsidiaries (CitiFinancial). Given that roughly 94% of the loans were originated and serviced by a single originator prior to sale to BAM, Fitch believes that the approximately 22% compliance, data integrity and pay history sample is sufficient to capture the potential risk of incomplete files that could accompany portfolios traded in the secondary market. A full custodial file review was conducted on 100% of the pool, and a tax and title search was conducted on over 99% of the pool. In addition, BAM, with the guidance of Bayview Loan Servicing, LLC (BLS; as servicer, rated 'RSS2+'), reconstructed the past three years of pay histories for 100% of the loans. No Servicer P&I Advances (Mixed): The servicer will not be advancing delinquent monthly payments of P&I, which reduces liquidity to the trust. However, as P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust, the loan-level LS are less for this transaction than for those where the servicer is obligated to advance P&I. Structural provisions and cash flow priorities, together with increased subordination, provide for timely payments of interest to the 'AAAsf' and 'AAsf' rated classes. Sequential-Pay Structure (Positive): The transaction's cash flow is based on a sequential-pay structure, whereby the subordinate classes do not receive principal until the senior classes are repaid in full. Losses are allocated in reverse-sequential order. In addition, 40bps from the interest remittance amount will be used to pay down principal as well as any excess interest allocation from the loan-level daily interest accrual calculation. The provision to re-allocate principal to pay interest on the 'AAAsf' and 'AAsf' rated notes prior to other principal distributions, as well as the application of excess interest to the notes, is highly supportive of timely interest payments to those classes, in the absence of servicer advancing. Potential Interest Deferrals (Mixed): To address the lack of an external P&I advance mechanism, principal otherwise distributable to the notes may be used to pay monthly interest. While this helps provide stability in the cash flows to the high investment-grade-rated bonds, the lower rated bonds may experience long periods of interest deferral and will generally not be repaid until the note becomes the most senior outstanding. Per Fitch's criteria, it may assign ratings of up to 'Asf' on notes that incur deferrals if such deferrals are permitted under terms of the transaction documents, provided such amounts are fully recovered well in advance of the legal final maturity under the relevant rating stress. Tier I Representation Framework (Positive): Fitch considers the transaction's representation, warranty and enforcement (RW&E) mechanism framework to be consistent with Tier I quality. The transaction benefits from life-of-loan representations and warranties (R&Ws), as well as a backstop by BAM in the event the sponsor, Bayview Opportunity Master Fund IVb, L.P., is liquidated or terminated. Solid Alignment of Interest (Positive): The sponsor, Bayview Opportunity Master Fund IVb, L.P., will acquire and retain a 5% vertical interest in each class of the securities to be issued. In addition, the sponsor will also be the rep provider until at least July 2021. If the fund is liquidated or terminated, BAM will be obligated to provide a remedy for material breaches of R&Ws. CRITERIA APPLICATION Fitch's analysis incorporated five criteria variations from 'U.S. RMBS Master Rating Criteria' and 'U.S. RMBS Seasoned, Re-Performing and Non-Performing Loan Criteria,' which are described below. Fitch's analysis incorporated three criteria variations from 'U.S. RMBS Seasoned, Re-Performing and Non-Performing Loan Criteria,' which are described below. The first variation is the less than 100% third-party review (TPR) due diligence review for regulatory compliance, data integrity and pay history. Tax and title review was conducted on approximately 99% of the pool, and a custodial file review was conducted on 100% of the pool. The remaining tax and title review will be performed post-close. The less than 100% TPR review is consistent with Fitch's criteria for seasoned performing pools. However, because Fitch's criteria state it views pools as seasoned performing if they consist of loans that were never modified, a criteria variation was made. Without this variation, the pool would have had 100% compliance, data integrity and pay history TPR review to achieve a 'AAAsf' rating. Fitch is comfortable with the reduced due diligence sample because roughly 94% of the loans were originated by a single lender and the sample provided is sufficient to provide a reliable indication of the operational quality of the lender. The second variation is the use of Clear Capital's HDI valuation product as updated property values instead of an automated valuation model (AVM). Fitch's criteria allow for the use of an AVM product as updated values if there are sufficient compensating factors. Clear Capital's HDI product is not an AVM but, rather, an indexation product. Clear Capital is a reputable third-party vendor that provides valuation services. A review of the HDI product's white paper indicates values are based on a robust data set that goes down to the neighborhood level and incorporates REO sales. Fitch believes the HDI product to be an adequate alternative to an AVM. The HDI product was only used for loans that were clean current for the prior 24 months and had an LTV BAYVIEW OPPORTUNITY 2017-SPL4: Fitch to Rate Class B5 Notes 'Bsf' ----------------------------------------------------------------- Fitch Ratings expects to rate Bayview Opportunity Master Fund IVb Trust 2017-SPL4 (BOMFT 2017-SPL4): -- $143,616,000 class A notes 'AAAsf'; Outlook Stable; -- $143,616,000 class A-IOA notional notes 'AAAsf'; Outlook Stable; -- $143,616,000 class A-IOB notional notes 'AAAsf'; Outlook Stable; -- $15,278,000 class B1 notes 'AAsf'; Outlook Stable; -- $15,278,000 class B1-IOA notional notes 'AAsf'; Outlook Stable; -- $15,278,000 class B1-IOB notional notes 'AAsf'; Outlook Stable; -- $8,840,000 class B2 notes 'Asf'; Outlook Stable; -- $8,840,000 class B2-IO notional notes 'Asf'; Outlook Stable; -- $11,241,000 class B3 notes 'BBBsf'; Outlook Stable; -- $11,241,000 class B3-IOA notional notes 'BBBsf'; Outlook Stable; -- $11,241,000 class B3-IOB notional notes 'BBBsf'; Outlook Stable; -- $8,948,000 class B4 notes 'BBsf'; Outlook Stable; -- $8,948,000 class B4-IOA notional notes 'BBsf'; Outlook Stable; -- $8,948,000 class B4-IOB notional notes 'BBsf'; Outlook Stable; -- $7,967,000 class B5 notes 'Bsf'; Outlook Stable. The following classes will not be rated by Fitch: -- $22,372,302 class B6 notes; -- $22,372,302 class B6-IO notional notes. The notes are supported by a pool of 4,738 seasoned performing and re-performing (RPL) loans totaling $218.26 million, which excludes $6.1 million in non-interest-bearing deferred principal amounts, as of the cutoff date. Of the total interest-bearing pool balance, 95.7% are daily simple interest mortgage loans. Distributions of principal and interest and loss allocations are based on a sequential pay, senior subordinate structure. The 'AAAsf' rating on the class A, A-IOA and A-IOB notes reflects the 34.20% subordination provided by the 7.00% class B1, 4.05% class B2, 5.15% class B3, 4.10% class B4, 3.65% class B5, and 10.25% class B6 notes. Fitch's ratings on the notes reflect the credit attributes of the underlying collateral, the quality of the servicer (Bayview Loan Servicing, LLC, rated 'RSS2+'), the representation (rep) and warranty framework, minimal due diligence findings, and the sequential pay structure. KEY RATING DRIVERS Clean Current Loans (Positive): The loans are seasoned approximately 11 years with 96.3% paying on time for the past 24 months and 92.9% for the past three years. In addition, 30.1% has been modified due to performance issues, while the remaining loans were either not modified (38%) or had their interest rates reduced due to a rate reduction rider at origination (31.9%). Low Property Values (Concern): Based on Fitch's analysis, the average current property value of the pool is approximately $88,000, which is much lower than the average of other Fitch-rated RPL transactions of over $150,000. Historical data from CoreLogic Loan Performance indicate that recently observed loss severities (LS) have been higher for very low property values than implied by Fitch's loan loss model. For this reason, LS floors were applied to loans with property values below $99,000, which increased the 'AAAsf' loss expectation by roughly 240 basis points (bps). Daily Simple Interest Loans (Concern): Approximately 96% of the pool consists of daily simple interest loans that accrue interest on a daily basis from the date of the borrower's last payment. While the monthly payment is fixed, if a borrower pays earlier than the due date, less of the payment is applied to interest and more is applied to principal. If the borrower pays late, more of the payment is applied to interest and less goes to principal. Because the bonds pay on a 30/360 day schedule, Fitch analyzed the risk of a disproportionate number of borrowers paying earlier than scheduled, which could cause the bonds to become undercollateralized solely due to the mismatch in application of payments between the loans and the bonds. Fitch analyzed pay dates of the borrowers and found that roughly the same number of borrowers pay either earlier or later than the due date. In addition, approximately 49% of the borrowers are on autopay, which mitigates the payment date risk. Furthermore, Fitch believes the excess interest generated by the later pay borrowers that is available to pay down principal should offset the risk of undercollateralization. Portfolio Loans from a Single Originator (Positive): This transaction consists of a portfolio of loans that Bayview Asset Management (BAM) purchased from CitiFinancial Credit Company and its lending subsidiaries (CitiFinancial). Given that roughly 94% of the loans were originated and serviced by a single originator prior to sale to BAM, Fitch believes that the approximately 22% compliance, data integrity and pay history sample is sufficient to capture the potential risk of incomplete files that could accompany portfolios traded in the secondary market. A full custodial file review was conducted on 100% of the pool, and a tax and title search was conducted on over 99% of the pool. In addition, BAM, with the guidance of Bayview Loan Servicing, LLC (BLS; as servicer and rated 'RSS2+' by Fitch), reconstructed the past three years of pay histories for 100% of the loans. No Servicer P&I Advances (Mixed): The servicer will not be advancing delinquent monthly payments of P&I, which reduces liquidity to the trust. However, as P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust, the loan-level LS are less for this transaction than for those where the servicer is obligated to advance P&I. Structural provisions and cash flow priorities, together with increased subordination, provide for timely payments of interest to the 'AAAsf' and 'AAsf' rated classes. Sequential-Pay Structure (Positive): The transaction's cash flow is based on a sequential-pay structure, whereby the subordinate classes do not receive principal until the senior classes are repaid in full. Losses are allocated in reverse-sequential order. In addition, 40bps from the interest remittance amount will be used to pay down principal as well as any excess interest allocation from the loan-level daily interest accrual calculation. The provision to re-allocate principal to pay interest on the 'AAAsf' and 'AAsf' rated notes prior to other principal distributions, as well as the application of excess interest to the notes, is highly supportive of timely interest payments to those classes, in the absence of servicer advancing. Potential Interest Deferrals (Mixed): To address the lack of an external P&I advance mechanism, principal otherwise distributable to the notes may be used to pay monthly interest. While this helps provide stability in the cash flows to the high investment-grade-rated bonds, the lower rated bonds may experience long periods of interest deferral and will generally not be repaid until the note becomes the most senior outstanding. Per Fitch's criteria, it may assign ratings of up to 'Asf' on notes that incur deferrals if such deferrals are permitted under terms of the transaction documents, provided such amounts are fully recovered well in advance of the legal final maturity under the relevant rating stress. Tier I Representation Framework (Positive): Fitch considers the transaction's representation, warranty and enforcement (RW&E) mechanism framework to be consistent with Tier I quality. The transaction benefits from life-of-loan representations and warranties (R&Ws), as well as a backstop by BAM in the event the sponsor, Bayview Opportunity Master Fund IVb, L.P., is liquidated or terminated. Solid Alignment of Interest (Positive): The sponsor, Bayview Opportunity Master Fund IVb, L.P., will acquire and retain a 5% vertical interest in each class of the securities to be issued. In addition, the sponsor will also be the rep provider until at least July 2021. If the fund is liquidated or terminated, BAM will be obligated to provide a remedy for material breaches of R&Ws. CRITERIA APPLICATION Fitch's analysis incorporated five criteria variations from 'U.S. RMBS Master Rating Criteria' and 'U.S. RMBS Seasoned, Re-Performing and Non-Performing Loan Criteria,' which are described below. Fitch's analysis incorporated three criteria variations from 'U.S. RMBS Seasoned, Re-Performing and Non-Performing Loan Criteria,' which are described below. The first variation is the less than 100% TPR due diligence review for regulatory compliance, data integrity and pay history. Tax and title review was conducted on approximately 99% of the pool, and a custodial file review was conducted on 100% of the pool. The remaining tax and title review will be performed post-close. The less than 100% TPR review is consistent with Fitch's criteria for seasoned performing pools. However, because Fitch's criteria state it views pools as seasoned performing if they consist of loans that were never modified, a criteria variation was made. Without this variation, the pool would have had 100% compliance, data integrity and pay history TPR review to achieve a 'AAAsf' rating. Fitch is comfortable with the reduced due diligence sample because roughly 94% of the loans were originated by a single lender and the sample provided is sufficient to provide a reliable indication of the operational quality of the lender. The second variation is the use of Clear Capital's HDI valuation product as updated property values instead of an automated valuation model (AVM). Fitch's criteria allow for the use of an AVM product as updated values if there are sufficient compensating factors. Clear Capital's HDI product is not an AVM but, rather, an indexation product. Clear Capital is a reputable third-party vendor that provides valuation services. A review of the HDI product's white paper indicates values are based on a robust data set that goes down to the neighborhood level and incorporates REO sales. Fitch believes the HDI product to be an adequate alternative to an AVM. The HDI product was only used for loans that were clean current for the prior 24 months and had an LTV 60% based on the more conservative of the HDI value and Fitch's indexed value. The impact of using this product is neutral, as the HDI product is a sufficient alternative to an AVM product and was only used on loans with an LTV of less than 60%. Lastly, an updated BPO will not be provided on 3.1% of the pool. Due to the rural location of the property, updated BPOs will not be received in time for the transaction. As such, a 25% haircut was applied to the original appraisal with no indexation applied, increasing the loss expectations by approximately 15bps-50bps, depending on rating category. These properties are located in rural areas and have an average original property value of approximately $81,000. Given the unknown condition of the property and the rural location, there is a higher probability of decline in value. The 25% haircut used is based on the median value of available BPOs with a negative variance to the original appraisal. RATING SENSITIVITIES Fitch's analysis incorporates sensitivity analyses to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at both the metropolitan statistical area (MSA) and national levels. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or be considered in the surveillance of the transaction. Fitch conducted sensitivity analysis determining how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20%, and 30%, in addition to the model-projected 36.3% at AAAsf The analysis indicates there is some potential rating migration with higher MVDs, compared with the model projection. Fitch also conducted sensitivities to determine the stresses to MVDs that would reduce a rating by one full category, to non-investment grade, and to CCCsf. BLACK DIAMOND 2017-1: Moody's Assigns Ba3(sf) Rating to Cl. D Debt ------------------------------------------------------------------ Moody's Investors Service has assigned the following ratings to nine classes of notes issued by Black Diamond CLO 2017-1, Ltd. ("Black Diamond CLO 2017-1" or the "Issuer"). Moody's rating action is: US$2,500,000 Class X Senior Secured Floating Rate Notes due 2029 (the "Class X Notes"), Assigned Aaa (sf) US$232,400,000 Class A-1a Senior Secured Floating Rate Notes due 2029 (the "Class A-1a Notes"), Assigned Aaa (sf) US$15,000,000 Class A-1b Senior Secured Fixed Rate Notes due 2029 (the "Class A-1b Notes"), Assigned Aaa (sf) US$29,600,000 Class A-2a Senior Secured Floating Rate Notes due 2029 (the "Class A-2a Notes"), Assigned Aa2 (sf) US$24,000,000 Class A-2b Senior Secured Fixed Rate Notes due 2029 (the "Class A-2b Notes"), Assigned Aa2 (sf) US$8,000,000 Class B-1 Senior Secured Deferrable Floating Rate Notes due 2029 (the "Class B-1 Notes"), Assigned A2 (sf) US$16,000,000 Class B-2 Senior Secured Deferrable Fixed Rate Notes due 2029 (the "Class B-2 Notes"), Assigned A2 (sf) US$25,000,000 Class C Senior Secured Deferrable Floating Rate Notes due 2029 (the "Class C Notes"), Assigned Baa3 (sf) US$18,000,000 Class D Secured Deferrable Floating Rate Notes due 2029 (the "Class D Notes"), Assigned Ba3 (sf) The Class X Notes, the Class A-1a Notes, the Class A-1b Notes, the Class A-2a Notes, the Class A-2b Notes, the Class B-1 Notes, the Class B-2 Notes, the Class C Notes, and the Class D Notes are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE Moody's ratings of the Rated Notes address the expected losses posed to noteholders. The ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. Black Diamond CLO 2017-1 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated first lien senior secured corporate loans. At least 90.0% of the portfolio must consist of senior secured loans, cash, and eligible investments, and up to 10.0% of the portfolio may consist of second lien loans, first lien last out loans and unsecured loans. Moody's expects the portfolio to be approximately 68.75% ramped as of the closing date. Black Diamond 2017-1 Adviser, LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's four year reinvestment period. Thereafter, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets, subject to certain restrictions. In addition to the Rated Notes, the Issuer will issue two other 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: 60 Weighted Average Rating Factor (WARF): 2900 Weighted Average Spread (WAS): 3.90% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 48.2% Weighted Average Life (WAL): 8.17 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 X Notes: 0 Class A-1a Notes: 0 Class A-1b Notes: 0 Class A-2a Notes: -1 Class A-2b Notes: -1 Class B-1 Notes: -2 Class B-2 Notes: -2 Class C Notes: -1 Class D Notes: 0 Percentage Change in WARF -- increase of 30% (from 2900 to 3770) Rating Impact in Rating Notches Class X Notes: 0 Class A-1a Notes: -1 Class A-1b Notes: -1 Class A-2a Notes: -3 Class A-2b Notes: -3 Class B-1 Notes: -4 Class B-2 Notes: -4 Class C Notes: -2 Class D Notes: -1 BLUEMOUNTAIN CLO III: Moody's Hikes Cl. E Notes Rating From Ba1 --------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by BlueMountain CLO III Ltd.: US$20,250,000 Class D Deferrable Mezzanine Floating Rate Notes, due 2021, Upgraded to Aaa (sf); previously on November 1, 2016 Upgraded to Aa2 (sf) US$21,150,000 Class E Deferrable Junior Floating Rate Notes, due 2021, Upgraded to Baa1 (sf); previously on November 1, 2016 Upgraded to Ba1 (sf) Moody's also affirmed the ratings on the following notes: US$31,500,000 Class B Senior Floating Rate Notes, due 2021 (current outstanding balance of $4,103,532.88), Affirmed Aaa (sf); previously on November 1, 2016 Affirmed Aaa (sf) US$29,250,000 Class C Deferrable Mezzanine Floating Rate Notes, due 2021, Affirmed Aaa (sf); previously on November 1, 2016 Affirmed Aaa (sf) BlueMountain CLO III Ltd., issued in February 2007, is a collateralized loan obligation (CLO) backed primarily by a portfolio of senior secured loans. The transaction's reinvestment period ended in March 2014. RATINGS RATIONALE These rating actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since October 2016. The Class A notes have been paid down in full or $37.2 million and the Class B notes have been paid down by 87% or $27.4 million since that time. Based on the trustee's May 2017 report, the OC ratios for the Class A/B, Class C, Class D and Class E notes are reported at 2132.00%, 262.30%, 163.21% and 117.03%, respectively, versus October 2016 levels of 219.60%, 154.01%, 127.62% and 108.25%, respectively. Additionally, the deal currently holds $43.4 million of principal proceeds which are expected to be paid to the Class B, Class C, and Class D notes on the next payment date in June 2017. Nevertheless, the credit quality of the portfolio has deteriorated since October 2016. Based on Moody's calculations, the weighted average rating factor is currently 4027 compared to 2896 at that time. Additionally, based on Moody's calculations, which include adjustments for ratings with a negative outlook and ratings on review for downgrade, assets with a Moody's default probability rating of Caa1 or below currently make up 39.3% of the portfolio, compared to 16.4% in October 2016. The upgrades also partially reflect a correction to Moody's modeling. In prior rating actions, there was an error in the way that failed coverage tests were cured. This error has now been corrected, and rating actions reflect this change. Methodology Underlying the Rating Action: The principal methodology Moody's 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) 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. However, actual long-dated asset exposures and prevailing market prices and conditions at the CLO's maturity will drive the deal's actual losses, if any, from long-dated assets. 6) Lack of portfolio granularity: The performance of the portfolio depends to a large extent on the credit conditions of a few large obligors Moody's rates low speculative grade, especially if they jump to default. 7) Exposure to assets with low credit quality and weak liquidity: The presence of assets with 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 $5.3 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% (3222) Class B: 0 Class C: 0 Class D: 0 Class E: +1 Moody's Adjusted WARF + 20% (4832) Class B: 0 Class C: 0 Class D: 0 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 $89.7 million, no defaulted par, a weighted average default probability of 22.19% (implying a WARF of 4027), a weighted average recovery rate upon default of 50.76%, a diversity score of 13 and a weighted average spread of 4.09% (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. Moody's analysis reflects adjustments with respect to the default probabilities associated with assets that do not have Moody's ratings. Specifically, Moody's assumed an equivalent of Caa3 for assets without Moody's ratings, which represent approximately 5.6% of the collateral pool. CALCULUS TRUST: Moody's Cuts Ratings on 2 Trust Units to C ---------------------------------------------------------- Moody's has downgraded the ratings on the following trust units issued by Calculus CMBS Resecuritization Trust: Series 2006-1 Trust Units, Downgraded to C (sf); previously on Jul 15, 2016 Affirmed Ca (sf) Series 2006-4 Trust Units, Downgraded to C (sf); previously on Jul 15, 2016 Affirmed Ca (sf) RATINGS RATIONALE Moody's has downgraded the ratings of two trust units due to deterioration of the credit quality of reference obligation as evidenced by WARF and WARR, and the realized losses from the write-downs of certain reference obligation, which have reduced the expected recoveries of both outstanding trust units. The rating of Series 2006-1 trust unit will be subsequently withdrawn. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO Synthetic) transactions. Calculus CMBS Resecuritization Trust is a static synthetic credit linked notes transaction backed by a portfolio of credit default swaps referencing 100% commercial mortgage backed securities (CMBS). Moody's has identified the following as key indicators of the expected loss in CRE CDO transactions: the weighted average rating factor (WARF), the weighted average life (WAL), the weighted average recovery rate (WARR), and Moody's asset correlation (MAC). Moody's typically models these as actual parameters for static deals and as covenants for managed deals. WARF is a primary measure of the credit quality of a CRE CDO pool. Moody's has updated its assessments for the reference obligations it does not rate. The rating agency modeled a bottom-dollar WARF of 4629, compared to 4358 at last review. The current ratings on the Moody's-rated reference obligations and the assessments of the non-Moody's rated reference obligations follow: Aaa-Aa3 and 21.0% compared to 13.7% at last review; Ba1-Ba3 and 38.9% compared to 17.5% at last review; B1-B3 and 0.0% compared to 34.7% at last review; and Caa1-Ca/C and 40.1% compared to 34.1% at last review. Moody's modeled a WAL of 1.1 years, compared to 1.0 years at last review. The WAL is based on extension assumptions about the look-through loans within the underlying reference obligations. Moody's modeled a fixed WARR of 6.0%, compared to 14.1% at last review. Moody's modeled a MAC of 11.1%, compared to 15.7% 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 the rated notes, although a change in one key parameter assumption could be offset by a change in one or more of the other key parameter assumptions. The rated notes are particularly sensitive to changes in the ratings of the underlying reference obligations and credit assessments. However, in light of the performance indicators noted above, Moody's believes that it is unlikely that the ratings announced 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. CAN CAPITAL 2014-1: DBRS Cuts Class B Notes Rating to B(high)(sf) ----------------------------------------------------------------- DBRS, Inc. placed the outstanding ratings of the Class A and Class B Notes (the Notes) of the CAN Capital Funding LLC Series 2014-1 structured finance asset-backed securities transaction Under Review with Negative Implications. The ratings on the Notes were previously downgraded on March 2, 2017; the Class A Notes to BBB (high) (sf) from A (sf) and the Class B Notes to B (high) (sf) from BBB (low) (sf). At the time of the March 2017 rating action, credit enhancement available to the Notes was not sufficient to cover DBRS’s expected losses at the assigned ratings and the ratings were downgraded to levels that DBRS believed were more consistent with the loss coverage available. The current action is the result of uncertainty over the recent performance trends of the collateral, increasing losses on the portfolio and the sufficiency of credit enhancement to cover losses that may result from that performance volatility. The ratings are based on DBRS's review of the following analytical considerations: -- Transaction capital structure, ratings and form and sufficiency of available credit enhancement. -- The transaction parties' capabilities with regard to servicing. -- The credit quality of the collateral pool and projected performance. As of the April 20, 2017 Payment Due Date, the principal balance of the Class A Notes outstanding was $43,103,687 as reported in the Monthly Servicing Statement for the above referenced transaction. The outstanding principal balance of the Class B Notes was $20,000,000 as reported in the Monthly Servicing Statement. As of the April 20, 2017 Payment Due Date, the Ending Eligible Aggregate Unamortized Funded Amount of the transaction was $59,829,658 as reported in the Monthly Servicing Statement for the above referenced transaction. As such, the Notes currently do not benefit from credit enhancement in the form of overcollateralization. As of the April 20, 2017 Payment Due Date, Newly Non-Performing Assets were reported to be $4,246,310 and Non-Performing Assets that have been approved for a grace period were reported to have $3,222,177 remaining. CAVALRY CLO V: Moody's Cuts Rating on Class E Notes to Ba1(sf) -------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Cavalry CLO V, Ltd.: US$18,000,000 Class C Secured Deferrable Floating Rate Notes Due 2024, Upgraded to Aaa (sf); previously on February 3, 2017 Upgraded to Aa1 (sf) US$14,000,000 Class D Secured Deferrable Floating Rate Notes Due 2024, Upgraded to Aa3 (sf); previously on February 3, 2017 Upgraded to A2 (sf) US$20,000,000 Class E Secured Deferrable Floating Rate Notes Due 2024, Upgraded to Ba1 (sf); previously on February 3, 2017 Affirmed Ba2 (sf) Moody's also affirmed the ratings on the following notes: US$244,000,000 Class A Senior Secured Floating Rate Notes Due 2024 (current outstanding balance of $42,832,027.06), Affirmed Aaa (sf); previously on February 3, 2017 Affirmed Aaa (sf) US$35,750,000 Class B Senior Secured Floating Rate Notes Due 2024, Affirmed Aaa (sf); previously on February 3, 2017 Affirmed Aaa (sf) Cavalry CLO V, Ltd., issued in December 2014, is a collateralized loan obligation (CLO) backed primarily by a portfolio of senior secured loans. The transaction's reinvestment period ended in January 2016. RATINGS RATIONALE These rating actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since February 2017. The Class A Notes have been paid down by approximately 58.2% or $59.6 million since that time. Based on Moody's calculation, the OC ratios for the Class A/B, Class C, Class D and Class E notes are currently 189.55%, 154.23%, 134.70 and 114.07%, respectively, versus February 2017 levels of 153.03%, 135.39%, 124.26%, and 111.19%, respectively. Nevertheless, the credit quality of the portfolio has deteriorated since February 2017. Based on Moody's calculations, the weighted average rating factor (WARF) is currently 3055 compared to 2953 at that time. 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) 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 $2.9 million of par, Moody's ran a sensitivity case defaulting those assets. In addition to the base case analysis, Moody's also conducted sensitivity analyses to test the impact of a number of default probabilities on the rated notes relative to the base case modeling results, which may be different from the current public ratings of the notes. Below is a summary of the impact of different default probabilities (expressed in terms of WARF) on all of the rated notes (by the difference in the number of notches versus the current model output, for which a positive difference corresponds to lower expected loss): Moody's Adjusted WARF - 20% (2444) Class A: 0 Class B: 0 Class C: 0 Class D: +2 Class E: +1 Moody's Adjusted WARF + 20% (3666) Class A: 0 Class B: 0 Class C: -1 Class D: -2 Class E: -1 Loss and Cashflow 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 $147.2 million, defaulted par of $6.0 million, a weighted average default probability of 20.9461%, (implying a WARF of 3055), a weighted average recovery rate upon default of 49.73%, a diversity score of 35 and a weighted average spread of 3.51% (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. CD 2017-CD4: DBRS Finalizes Prov. BB(low) Rating on Class F Debt ---------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings and, in the case of certain classes, assigned new ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2017-CD4 (the Certificates) issued by the CD 2017-CD4 Mortgage Trust: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-M at AAA (sf) -- Class V-A at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (high) (sf) -- Class X-B at AA (low) (sf) -- Class C at A (high) (sf) -- Class V-BC at A (high) (sf) -- Class X-D at BBB (high) (sf) -- Class D at BBB (sf) -- Class V-D at BBB (sf) -- Class X-E at BBB (low) (sf) -- Class E at BB (high) (sf) -- Class X-F at BB (sf) -- Class F at BB (low) (sf) All trends are Stable. Classes D, E, F, X-B, X-D, X-E and X-F have been privately placed. The Class X-A, X-B, X-D, X-E and X-F balances are notional. The Class VRR Interest and Classes V-A, V-BC, V-D and V-E (not rated and therefore not listed above) represent beneficial interests in the VRR Specific Grantor Trust Assets (as such terms are defined in the deal documents), which collectively represent approximately 5.0% of the aggregate initial certificate balance of all of the ABS interests issued by the issuing entity. These classes are non-offered certificates that will be retained by certain retaining parties in accordance with the credit risk retention rules applicable to this securitization transaction. The Class V-A, V-BC, V-D and V-E Certificates collectively represent a beneficial ownership interest in the Class V-A/BC/D/E Percentage of the VRR Specific Grantor Trust Assets. The Class V-A/BC/D/E Certificates will not have Pass-Through Rates, but will instead collectively entitle Holders to interest on any Distribution Date in an aggregate amount equal to the sum of (a) the product of (i) the Class V-A/BC/D/E Percentage and (ii) the VRR Interest Distribution Amount for such Distribution Date and (b) the product of (i) the Class V-A/BC/D/E Percentage and (ii) the VRR Interest Percentage of the Excess Interest Distribution Amount for such Distribution Date (as such terms are defined in the deal documents). On the closing date, pursuant to the VRR Interest Purchase Agreement, German American Capital Corporation (GACC) is purchasing $45,022,523 of the VRR Interest for cash from the Depositor and Citi Real Estate Funding Inc. (CREFI) is in turn purchasing $14,617,250 of the VRR Interest for cash from GACC, with GACC to retain the remaining $30,405,273 of the VRR Interest through an affiliate, Deutsche Bank AG New York Branch (DBNY). It is also expected that CREFI will retain its portion of the VRR Interest through Citigroup Global Markets Realty Corp. (CGMRC), one of its affiliates. The collateral consists of 47 fixed-rate loans secured by 53 commercial and multifamily properties. The transaction is a sequential-pay pass-through structure. The conduit pool was analyzed to determine the ratings, reflecting the long-term probability of loan default within the term and its liquidity at maturity. Trust assets contributed from two loans, representing 16.8% of the pool, are shadow-rated investment grade by DBRS. Proceeds for the shadow-rated loans are floored at their respective ratings within the pool. When the combined 16.8% of the pool has no proceeds assigned below the rating floor, the resulting pool subordination is diluted or reduced below that rated floor. When the cut-off loan balances were measured against the DBRS Stabilized net cash flow (NCF) and their respective actual constants, three loans, representing 2.3% of the total pool, had a DBRS Term debt service coverage ratio (DSCR) below 1.15 times (x), a threshold indicative of a higher likelihood of mid-term default. Additionally, to assess refinance risk given the current low interest rate environment, DBRS applied its refinance constants to the balloon amounts. This resulted in 21 loans, representing 47.2% of the pool, having refinance DSCRs below 1.00x. These credit metrics are based on whole loan balances. One of the pool's loans with a DBRS Refi DSCR below 0.90x, Hilton Hawaiian Village, representing 6.3% of the transaction balance, has large pieces of subordinate mortgage debt outside the trust. Based on A-note balances only, the deal's weighted-average DBRS Refi DSCR improves marginally to 1.07x. Term default risk is moderate as indicated by the relatively strong DBRS Term DSCR of 1.61x. In addition, 18 loans, representing 43.1% of the pool, have a DBRS Term DSCR in excess of 1.50x. Two loans, 95 Morton Street and Hilton Hawaiian Village, representing a combined 16.8% of the pool, exhibit credit characteristics consistent with investment-grade shadow ratings of BBB (low) and BBB (high), respectively, and even when excluding these loans, the deal exhibits a favorable DBRS Term DSCR of 1.58x. Nine loans, representing 41.9% of the pool, are located in either urban or super dense urban markets, both of which benefit from consistent investor demand and increased liquidity even in times of stress. Super dense urban markets represented in this deal include New York, New York, and Santa Monica, California, while urban markets consists of Sunnyvale, California; Honolulu, Hawaii; Long Island City, New York; Cleveland, Ohio; and Brooklyn, New York. Additionally, only eight loans, representing 8.7% of the pool, are located in tertiary/rural markets. Four of the largest 15 loans, representing 27.9% of the DBRS sample, received an Excellent or Above Average property quality grade, and no loans received Below Average or Poor property quality grades. Higher-quality properties are more likely to retain existing tenants/guests and more easily attract new tenants/guests, resulting in a more stable performance. The pool is extremely concentrated based on loan size, with a concentration profile equivalent to that of a pool of 23 equal-sized loans. The largest five and ten loans total 38.9% and 55.7% of the pool, respectively. The pool is also highly concentrated by property type, as the office concentration is 45.0%. Ten loans, representing 28.4% of the pool, including four of the largest 15 loans, are structured with full-term IO payments. An additional 18 loans, comprising 44.5% of the pool, have partial IO periods ranging from 19 months to 84 months. As a result, the transaction's scheduled amortization by maturity is only 9.9%, which is generally below other recent conduit securitizations. Ten loans, representing 19.1% of the transaction balance, are secured by properties that are either fully or primarily leased to a single tenant. This includes one of the largest 15 loans, Moffett Place Google. Loans secured by properties occupied by single tenants have been found to suffer higher loss severities in an event of default. As such, DBRS applied a higher probability of default and cash flow volatility to single-tenant properties compared with multi-tenant properties. The DBRS sample included 20 of the 47 loans in the pool. Site inspections were performed on 20 of the 53 properties in the portfolio (65.6% of the pool by allocated loan balance). The DBRS sample had an average NCF variance of -12.1% from the Issuer's NCF and ranged from -23.7% (Troy Office Portfolio) to +0.2% (Champion Forest Self Storage). CENT CLO 19: S&P Affirms BB Rating on Class D Debt -------------------------------------------------- S&P Global Ratings affirmed its ratings on seven classes from Cent CLO 19 Ltd., a U.S. collateralized loan obligation (CLO) transaction that closed in October 2013 and is managed by Columbia Management Investment Advisors LLC. The rating actions follow S&P's review of the transaction's performance using data from the April 2017 trustee report. The transaction is scheduled to remain in its reinvestment period until October 2017. Since the transaction's effective date in December 2013, the collateral portfolio's weighted average life has decreased to 4.99 years from 5.13 years, which has decreased the overall credit risk profile. In addition, the number of obligors in the portfolio has increased during this period, to 294 from 201, which has contributed to the portfolio's increased diversification. The transaction has experienced an increase in both defaults and assets rated 'CCC+' and below since the December 2013 effective date report. Specifically, the amount of defaulted assets increased to $4.36 million as of April 2017 from zero as of December 2013. The amount of assets rated 'CCC+' and below increased to $18.47 million from $2.00 million over the same period. The increase in defaulted assets, as well as other factors, has affected the level of credit support available to all tranches, as seen by the decline in overcollateralization (O/C) ratios: The class A O/C ratio decreased to 135.28% from 136.10%. The class B O/C ratio decreased to 119.80% from 120.52%. The class C O/C ratio decreased to 112.70% from 113.38%. The class D O/C ratio decreased to 107.38% from 108.02%. Even with the decline in credit support, all coverage tests are currently passing and are above the minimum requirements. Overall, the increase in defaulted assets has been largely offset by the decline in the weighted average life and an increase in higher-rated assets. Since S&P's last rating actions, the weighted average rating of the portfolio has improved to 'B+' from 'B' as of S&P's effective date analysis. Although S&P cash flow analysis indicates higher ratings for the class A-2a, A-2b, B, and C notes, S&P's rating actions consider additional sensitivity runs that considered the exposure to specific distressed industries and allowed for volatility in the underlying portfolio given that the transaction is still in its reinvestment period. The results of the cash flow analysis indicated a lower rating on the class D notes than the current rating reflects; however, S&P believes there is sufficient credit enhancement to maintain the current rating. S&P's review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the aforementioned trustee report, to estimate future performance. In line with its criteria, S&P's cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, S&P's analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis demonstrated, in S&P's view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions. S&P said, "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and will take rating actions as we deem necessary." RATINGS AFFIRMED Cent CLO 19 Ltd. Class Rating A-1a AAA (sf) A-1b AAA (sf) A-2a AA (sf) A-2b AA (sf) B A (sf) C BBB (sf) D BB (sf) COMM 2013-THL: Fitch Affirms 'Bsf' Rating on Class F Certs ---------------------------------------------------------- Fitch Ratings has affirmed eight classes of COMM 2013-THL Mortgage Trust Commercial Mortgage Pass-Through Certificates, Series 2013-THL. The certificates in this transaction represent the beneficial interests in a trust that holds a $734.4 million mortgage loan secured by 148 hotel properties located in 31 states across the U.S. The loan is sponsored by Whitehall Street Global Real Estate Limited Partnership 2005 and Whitehall Street Global Employee Fund 2005. KEY RATING DRIVERS Hotel Performance at Peak Levels: Overall performance at hotels has been at peak levels, and performance is likely to decline or remain stable throughout the remaining loan term. Of the remaining 148 hotels, 75 have experienced an increase in ADR and revenue per available room (RevPAR) for the trailing 12-month (TTM) period ending March 2017 while 73 have experienced a decrease compared with the prior TTM period. Portfolio Performance and Cash Flow: On an overall portfolio basis, issuer net cash flow (NCF) for the 148 hotels has increased approximately 7.8% since issuance. As of first-quarter 2017, the hotel portfolio's TTM occupancy and RevPAR were 70.1% and $77.97, respectively. The issuer's underwritten occupancy and RevPAR were 69.6% and $71.98. Although Fitch adjusted recent occupancy, ADR and RevPAR assumptions for 2014, the Fitch cash flow remains above issuance but below peak levels observed in 2015. Additional Debt and Preferred Equity: The total debt package includes mezzanine financing in the amount of $530.6 million outstanding. The servicer-reported preferred equity balance is approximately $116.1 million. Geographic Diversity: The portfolio exhibits significant geographic diversity across 31 states. The largest state exposure is California with 22 hotels. The collateral consists mainly of limited service or extended stay properties, with the largest flags consisting of Fairfield Inn, Residence Inn, Hampton Inn and Courtyard. A significant portion of the hotels are located in secondary and tertiary markets, including some exposure to areas affected by volatility in energy prices and/or weak economic growth. Strong Structural Features: The loan has structural features including a hard lock-box for credit card receipts, up-front reserves for deferred maintenance, monthly reserves for taxes, insurance (springing), ground leases, and capital expenditures. If the debt yield falls below 8.0% for two consecutive quarters, a low cash-flow trigger will occur and all excess cash flow will be trapped in the cash collateral account and held as additional collateral for the loan. Experienced Sponsorship: The transaction is sponsored by Whitehall Street Global Real Estate Limited Partnership 2005 and Whitehall Street Global Employee Fund 2005 (Whitehall). The Whitehall funds are a family of opportunistic real estate funds managed by Goldman Sachs. The funds invest in real estate companies, projects, loan portfolios, debt recapitalizations and direct property . RATING SENSITIVITIES The Rating Outlook for the rated classes remains Stable. The borrower has extended the loan for the second and final time, with a scheduled maturity in June 2018. Downgrades are unlikely unless the portfolio sees a significant decline in performance and/or is not able to pay off at its final maturity date. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third- party due diligence was provided or reviewed in relation to this rating action. Fitch has affirmed the following ratings and revised Outlooks: -- $36.9 million class A-1 at 'AAAsf'; Outlook Stable; -- $280.3 million class A-2 at 'AAAsf'; Outlook Stable; -- $108.1 million class B at 'AAsf'; Outlook Stable; -- $79 million class C at 'A-sf'; Outlook to Stable from Positive; -- $78.4 million class D at 'BBB-sf; Outlook to Stable from Positive; -- Interest-only class X-EXT at 'BBB-sf'; Outlook to Stable from Positive; -- $122.5 million class E at 'BB-sf'; Outlook to Stable from Positive; -- $29 million class F at 'Bsf'; Outlook to Stable from Positive. Class X-CP is paid in full. COMM 2015-CCRE23: DBRS Confirms B(low) Rating on Class F Debt ------------------------------------------------------------- DBRS Limited (confirmed the ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2015-CCRE23 issued by COMM 2015-CCRE23 Mortgage Trust: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-M at AAA (sf) -- Class A-SB at AAA (sf) -- Class X-A at AAA (sf) -- Class CM-A at AAA (sf) -- Class CM-X-CP at AAA (sf) -- Class CM-X-EXT at AAA (sf) -- Class X-B at AA (sf) -- Class B at AA (low) (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 (low) (sf) Additionally, DBRS has upgraded one class of COMM 2015-CCRE23 Mortgage Trust as follows: -- Class CM-B to A (sf) from A (low) (sf) All trends are Stable. DBRS does not rate the first loss piece, Class G. These rating actions reflect the overall stable performance of the transaction since issuance in May 2015. The transaction consists of 83 fixed-rate loans secured by 220 commercial properties. The pool has experienced a collateral reduction of 1.2% since issuance as a result of scheduled amortization, with all of the original 83 loans outstanding. Approximately 99.5% of the pool reported YE2015 financials, including a weighted-average (WA) debt service coverage ratio (DSCR) of 1.79 times (x) and a WA debt yield of 9.4%. The DBRS issuance WA DSCR and WA debt yield were 1.92x and 9.5%, respectively. As of the April 2017 remittance, there were two loans, representing 2.9% of the pool balance, on the servicer's watchlist and no loans in special servicing. One loan was flagged for performance dropping below the DSCR threshold of 1.20x as at Q2 2016 reporting but has since improved to 1.21x as at the YE2016 financials. The other loan was watchlisted for failing a covenant-compliance stressed DSCR test, and as such, a lockbox has been activated and the loan is being monitored. The two loans reported a WA DSCR of 1.24x and WA debt yield of 8.4%. The Courtyard by Marriott Portfolio loan (Prospectus ID#2; 7.4% of the current pool) is secured by a portfolio of 65 Courtyard by Marriott hotels, totalling 9,590 keys. The collateral includes the fee and leasehold interest in 49 hotels, the fee interest in nine hotels and the leasehold interest in seven hotels. The subject loan consists of the $33.5 million A-1 piece and $100.0 million A-2A piece of the whole Senior A-note debt of $315.0 million, as well as the controlling subordinate B-note debt of $355.0 million. The A-1 piece and B-note debt are included in the trust as non-pooled rake bonds, while the A-2A piece is pooled in the trust. At issuance, DBRS shadow-rated this loan as investment grade. DBRS confirms with this review that the performance of this loan remains consistent with investment-grade loan characteristics. Class CM-B is a non-pooled rake bond backed by the $355.0 million Courtyard by Marriott Portfolio B-note. This class was upgraded with this review in accordance with the changes in the "North American Single-Asset/Single-Borrower Methodology" published in March 2017. COMM 2015-LC21: DBRS Confirms B(low) Rating on Class F Debt ----------------------------------------------------------- DBRS Limited confirmed all classes of Commercial Pass-Through Certificates, Series 2015-LC21 issued by COMM 2015-LC21 Mortgage Trust as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class 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 X-E at B (sf) -- Class F at B (low) (sf) All trends are Stable. DBRS does not rate the first loss piece, Class G. The rating confirmations reflect the overall stable performance of the transaction, which has remained in line with DBRS's expectations since issuance. The collateral consists of 103 loans secured by 198 commercial properties; as of the April 2017 remittance, the pool has experienced collateral reduction of 1.3% because of scheduled amortization, with all of the original loans remaining in the pool. Thirteen loans, representing 24.9% of the pool balance, including six loans in the Top 15, were structured with full interest-only (IO) terms at issuance, while an additional 40 loans, representing 36.9% of the pool balance, were structured with partial IO periods. As of the April 2017 remittance, 26 loans, representing 26.8% of the pool balance, have remaining partial-IO terms ranging from one to 37 months. Based on the most recent year-end (YE) reporting for the underlying loans, the pool reported a weighted-average (WA) debt service coverage ratio (DSCR) and WA Debt Yield of 2.10 times (x) and 10.7%, respectively. At issuance, the pool reported a WA DSCR and WA debt yield of 1.70x and 10.4%, respectively, with a WA DBRS Term DSCR and WA DBRS Debt Yield of 1.58x and 8.6%, respectively. As of the April 2017 remittance, there are no loans in special servicing and seven loans, representing 4.2% of the pool balance, on the servicer's watchlist. One loan (Prospectus ID#35 - Shoppes of Beavercreek, 1.1% of the pool balance) was watchlisted because of its retail tenant bankruptcy exposure and was analyzed with a stressed cash flow to reflect the increased risk. Two loans (1.5% of the pool balance) were watchlisted because of structural triggers but are performing in line with DBRS's expectations at issuance. The four remaining loans are being monitored for a low DSCR. At issuance, DBRS shadow-rated the largest loan, Courtyard by Marriott Portfolio (Prospectus ID#1, 7.4% of the pool balance) investment grade. DBRS has today confirmed that the performance of these loans remains consistent with investment-grade loan characteristics. CONNECTICUT AVENUE 2017-C03: DBRS Finalizes BB on 18 Tranches ------------------------------------------------------------- DBRS, Inc. finalized the following provisional ratings on the Connecticut Avenue Securities (CAS), Series 2017-C03 notes (the Notes) issued by Fannie Mae (the Issuer): -- $568.2 million Class 1M-1 at BBB (sf) -- $199.8 million Class 1M-2A at BB (high) (sf) -- $203.8 million Class 1M-2B at BB (sf) -- $203.8 million Class 1M-2C at B (high) (sf) -- $607.3 million Class 1M-2 at B (high) (sf) -- $199.8 million Class 1A-I1 at BB (high) (sf) -- $199.8 million Class 1E-A1 at BB (high) (sf) -- $199.8 million Class 1A-I2 at BB (high) (sf) -- $199.8 million Class 1E-A2 at BB (high) (sf) -- $199.8 million Class 1A-I3 at BB (high) (sf) -- $199.8 million Class 1E-A3 at BB (high) (sf) -- $199.8 million Class 1A-I4 at BB (high) (sf) -- $199.8 million Class 1E-A4 at BB (high) (sf) -- $203.8 million Class 1B-I1 at BB (sf) -- $203.8 million Class 1E-B1 at BB (sf) -- $203.8 million Class 1B-I2 at BB (sf) -- $203.8 million Class 1E-B2 at BB (sf) -- $203.8 million Class 1B-I3 at BB (sf) -- $203.8 million Class 1E-B3 at BB (sf) -- $203.8 million Class 1B-I4 at BB (sf) -- $203.8 million Class 1E-B4 at BB (sf) -- $203.8 million Class 1C-I1 at B (high) (sf) -- $203.8 million Class 1E-C1 at B (high) (sf) -- $203.8 million Class 1C-I2 at B (high) (sf) -- $203.8 million Class 1E-C2 at B (high) (sf) -- $203.8 million Class 1C-I3 at B (high) (sf) -- $203.8 million Class 1E-C3 at B (high) (sf) -- $203.8 million Class 1C-I4 at B (high) (sf) -- $203.8 million Class 1E-C4 at B (high) (sf) -- $403.6 million Class 1E-D1 at BB (sf) -- $403.6 million Class 1E-D2 at BB (sf) -- $403.6 million Class 1E-D3 at BB (sf) -- $403.6 million Class 1E-D4 at BB (sf) -- $403.6 million Class 1E-D5 at BB (sf) -- $407.5 million Class 1E-F1 at B (high) (sf) -- $407.5 million Class 1E-F2 at B (high) (sf) -- $407.5 million Class 1E-F3 at B (high) (sf) -- $407.5 million Class 1E-F4 at B (high) (sf) -- $407.5 million Class 1E-F5 at B (high) (sf) -- $403.6 million Class 1-X1 at BB (sf) -- $403.6 million Class 1-X2 at BB (sf) -- $403.6 million Class 1-X3 at BB (sf) -- $403.6 million Class 1-X4 at BB (sf) -- $407.5 million Class 1-Y1 at B (high) (sf) -- $407.5 million Class 1-Y2 at B (high) (sf) -- $407.5 million Class 1-Y3 at B (high) (sf) -- $407.5 million Class 1-Y4 at B (high) (sf) The holders of Class 1M-2 may exchange for proportionate interests in the class 1M2A, 1M-2B and 1M-2C (Exchangeable Notes) and vice versa. Holders of the Exchangeable Notes may further exchange for proportionate interests in the Related Combinable or Recombinable (RCR) Notes and vice versa. Certain classes of the RCR Notes may be further exchanged for other classes of RCR Notes and vice versa. Classes 1M-2, 1A-I1, 1E-A1, 1A-I2, 1E-A2, 1A-I3, 1E-A3, 1A-I4, 1E-A4, 1B-I1, 1E-B1, 1B-I2, 1E-B2, IB-I3, 1E-B3, IB-I4, 1E-B4, IC-I1, 1E-C1, IC-I2, 1E-C2, IC-I3, 1E-C3, IC-I4, 1E-C4, 1E-D1, 1E-D2, 1E-D3, 1E-D4, 1E-D5, 1E-F1, 1E-F2, 1E-F3, 1E-F4, 1E-F5, I-X1, 1-X2, 1-X3, 1-X4, 1-Y1, I-Y2, 1-Y3 and 1-Y4 are RCR Notes. Classes 1A-I1, 1A-I2, 1A-I3, 1A-I4, 1B-I1, 1B-I2, IB-I3, IB-I4, IC-I1, IC-I2, IC-I3, IC-I4, I-X1, 1-X2, 1-X3, 1-X4, 1-Y1, I-Y2, 1-Y3 and 1-Y4 are interest-only notes. The class balances represent notional amounts. The BBB (sf) ratings on the Notes reflect the 2.55% of credit enhancement provided by subordinated Notes in the pool. The BB (high), BB (sf) and B high (sf) ratings reflect 2.04%, 1.52% and 1.00% of credit enhancement, respectively. Other than the specified classes above, DBRS does not rate any other classes in this transaction. The Notes in the transaction represent unsecured general obligations of Fannie Mae. The Notes are subject to the credit and principal payment risk of a certain reference pool (the Reference Pool) of residential mortgages held in various Fannie Mae-guaranteed mortgage-backed securities. The Reference Pool consists of 167,115 25- and 30-year fully amortizing first-lien, fixed-rate mortgage loans underwritten to a full documentation standard with original loan-to-value ratios greater than 60% and less than or equal to 80%. Payments to the Notes will be determined by the credit performance of the Reference Pool. Cash flow from the Reference Pool will not be used to make any payment to the Noteholders; instead, Fannie Mae will be responsible for making monthly interest payments at the note rate and periodic principal payments on the Notes based on the actual principal payments it collects from the Reference Pool. This transaction is the 11th transaction in the CAS series where Note writedowns are based on actual realized losses and not on a predetermined set of loss severities. Furthermore, unlike earlier CAS transactions where a credit event could occur as early as the date on which a mortgage becomes 180 or more days delinquent, for this transaction a delinquent mortgage would typically need to go through the entire liquidation process for a credit event to occur. Fannie Mae is obligated to retire the Notes by October 2029 by paying an amount equal to the remaining class balance plus accrued and unpaid interest. The Notes also may be redeemed on or after (1) the date on which the Reference Pool pays down to less than 10% of its cut-off date balance or (2) the payment date in April 2027, whichever comes first. If there are unrecovered losses for any of the Notes as of the termination date, then Noteholders are entitled to certain projected recovery amounts. DBRS notes the following strengths and challenges for this transaction: STRENGTHS -- Seller (or lender)/servicer approval process and quality control platform, -- Well-diversified reference pool, -- Strong alignment of interest, -- Strong structural protections and -- Extensive performance history. CHALLENGES -- Unsecured obligation of Fannie Mae, -- Representation and warranties framework and -- Limited third-party due diligence. CONNECTICUT AVENUE 2017-C04: Fitch to Rate 19 Tranches 'Bsf' ------------------------------------------------------------ Fitch Ratings expects to assign the following ratings and Rating Outlooks to Fannie Mae's risk transfer transaction, Connecticut Avenue Securities, series 2017-C04: -- $257,814,000 class 2M-1 notes 'BBB-sf'; Outlook Stable; -- $200,522,000 class 2M-2A notes 'BBsf'; Outlook Stable; -- $200,522,000 class 2M-2B notes 'BB-sf'; Outlook Stable; -- $200,522,000 class 2M-2C notes 'Bsf'; Outlook Stable; -- $601,566,000 class 2M-2 exchangeable notes 'Bsf'; Outlook Stable; -- $200,522,000 class 2A-I1 exchangeable notional notes 'BBsf'; Outlook Stable; -- $200,522,000 class 2E-A1 exchangeable notes 'BBsf'; Outlook Stable; -- $200,522,000 class 2A-I2 exchangeable notional notes 'BBsf'; Outlook Stable; -- $200,522,000 class 2E-A2 exchangeable notes 'BBsf'; Outlook Stable; -- $200,522,000 class 2A-I3 exchangeable notional notes 'BBsf'; Outlook Stable; -- $200,522,000 class 2E-A3 exchangeable notes 'BBsf'; Outlook Stable; -- $200,522,000 class 2A-I4 exchangeable notional notes 'BBsf'; Outlook Stable; -- $200,522,000 class 2E-A4 exchangeable notes 'BBsf'; Outlook Stable; -- $200,522,000 class 2B-I1 exchangeable notional notes 'BB-sf'; Outlook Stable; -- $200,522,000 class 2E-B1 exchangeable notes 'BB-sf'; Outlook Stable; -- $200,522,000 class 2B-I2 exchangeable notional notes 'BB-sf'; Outlook Stable; -- $200,522,000 class 2E-B2 exchangeable notes 'BB-sf'; Outlook Stable; -- $200,522,000 class 2B-I3 exchangeable notional notes 'BB-sf'; Outlook Stable; -- $200,522,000 class 2E-B3 exchangeable notes 'BB-sf'; Outlook Stable; -- $200,522,000 class 2B-I4 exchangeable notional notes 'BB-sf'; Outlook Stable; -- $200,522,000 class 2E-B4 exchangeable notes 'BB-sf'; Outlook Stable; -- $200,522,000 class 2C-I1 exchangeable notional notes 'Bsf'; Outlook Stable; -- $200,522,000 class 2E-C1 exchangeable notes 'Bsf'; Outlook Stable; -- $200,522,000 class 2C-I2 exchangeable notional notes 'Bsf'; Outlook Stable; -- $200,522,000 class 2E-C2 exchangeable notes 'Bsf'; Outlook Stable; -- $200,522,000 class 2C-I3 exchangeable notional notes 'Bsf'; Outlook Stable; -- $200,522,000 class 2E-C3 exchangeable notes 'Bsf'; Outlook Stable; -- $200,522,000 class 2C-I4 exchangeable notional notes 'Bsf'; Outlook Stable; -- $200,522,000 class 2E-C4 exchangeable notes 'Bsf'; Outlook Stable; -- $401,044,000 class 2E-D1 exchangeable notes 'BB-sf'; Outlook Stable; -- $401,044,000 class 2E-D2 exchangeable notes 'BB-sf'; Outlook Stable; -- $401,044,000 class 2E-D3 exchangeable notes 'BB-sf'; Outlook Stable; -- $401,044,000 class 2E-D4 exchangeable notes 'BB-sf'; Outlook Stable; -- $401,044,000 class 2E-D5 exchangeable notes 'BB-sf'; Outlook Stable; -- $401,044,000 class 2E-F1 exchangeable notes 'Bsf'; Outlook Stable; -- $401,044,000 class 2E-F2 exchangeable notes 'Bsf'; Outlook Stable; -- $401,044,000 class 2E-F3 exchangeable notes 'Bsf'; Outlook Stable; -- $401,044,000 class 2E-F4 exchangeable notes 'Bsf'; Outlook Stable; -- $401,044,000 class 2E-F5 exchangeable notes 'Bsf'; Outlook Stable; -- $401,044,000 class 2-X1 exchangeable notional notes 'BB-sf'; Outlook Stable; -- $401,044,000 class 2-X2 exchangeable notional notes 'BB-sf'; Outlook Stable; -- $401,044,000 class 2-X3 exchangeable notional notes 'BB-sf'; Outlook Stable; -- $401,044,000 class 2-X4 exchangeable notional notes 'BB-sf'; Outlook Stable; -- $401,044,000 class 2-Y1 exchangeable notional notes 'Bsf'; Outlook Stable; -- $401,044,000 class 2-Y2 exchangeable notional notes 'Bsf'; Outlook Stable; -- $401,044,000 class 2-Y3 exchangeable notional notes 'Bsf'; Outlook Stable; -- $401,044,000 class 2-Y4 exchangeable notional notes 'Bsf'; Outlook Stable. The following classes will not be rated by Fitch: -- $28,947,583,273 class 2A-H reference tranche; -- $13,569,593 class 2M-1H reference tranche; -- $10,554,128 class 2M-AH reference tranche; -- $10,554,128 class 2M-BH reference tranche; -- $10,554,128 class 2M-CH reference tranche; -- $143,230,000 class 2B-1 notes; -- $7,538,663 class 2B-1H reference tranche; -- $150,768,663.17 class 2B-2H reference tranche. The 'BBB-sf' rating for the 1M-1 note reflects the 3.10% subordination provided by the 0.70% class 1M-2A, the 0.70% class 1M-2B, the 0.70% class 1M-2C, the 0.50% class 1B-1 and their corresponding reference tranches as well as the 0.50% 1B-2H reference tranche. The notes are general senior unsecured obligations of Fannie Mae (rated 'AAA'/Outlook Stable) subject to the credit and principal payment risk of a pool of certain residential mortgage loans held in various Fannie Mae-guaranteed MBS. The reference pool of mortgages will consist of mortgage loans with loan to values (LTVs) greater than 80.01% and less than or equal to 97.00%. Connecticut Avenue Securities, series 2017-C04 (CAS 2017-C04) is Fannie Mae's 19th risk transfer transaction issued as part of the Federal Housing Finance Agency's Conservatorship Strategic Plan for 2013 to 2017 for each of the government sponsored enterprises (GSEs) to demonstrate the viability of multiple types of risk transfer transactions involving single family mortgages. The objective of the transaction is to transfer credit risk from Fannie Mae to private investors with respect to a $30.2 billion pool of mortgage loans currently held in previously issued MBS guaranteed by Fannie Mae where principal repayment of the notes are subject to the performance of a reference pool of mortgage loans. As loans liquidate, are modified or other credit events occur, the outstanding principal balance of the debt notes will be reduced by the loan's actual loss severity percentage related to those credit events. While the transaction structure simulates the behavior and credit risk of traditional RMBS mezzanine and subordinate securities, Fannie Mae will be responsible for making monthly payments of interest and principal to investors. Due to the counterparty dependence on Fannie Mae, Fitch's expected rating on the 2M-1, 2M-2A, 2M-2B and 2M-2C notes will be based on the lower of: the quality of the mortgage loan reference pool and credit enhancement (CE) available through subordination and on Fannie Mae's Issuer Default Rating. The 2M-1, 2M-2A, 2M-2B, 2M-2C, and 2B-1 notes will be issued as LIBOR-based floaters. In the event that the one-month LIBOR rate falls below the applicable negative LIBOR trigger value described in the offering memorandum, the interest payment on the interest-only notes will be capped at the excess of (i) the interest amount payable on the related class of exchangeable notes for that payment date over (ii) the interest amount payable on the class of floating rate related combinable and recombinable (RCR) notes included in the same combination for that payment date. If there are no floating rate classes in the related exchange, then the interest payment on the interest-only notes will be capped at the aggregate of the interest amounts payable on the classes of RCR notes included in the same combination that were exchanged for the specified class of interest-only RCR notes for that payment date. KEY RATING DRIVERS High Quality Mortgage Pool (Positive): The reference mortgage loan pool consists of high quality mortgage loans that were acquired by Fannie Mae from October 2016 through December 2016. In this transaction, Fannie Mae has only included one group of loans with loan-to-value ratios (LTVs) from 80.01%-97.00%. Overall, the reference pool's collateral characteristics are similar to recent CAS transactions and reflect the strong credit profile of post-crisis mortgage originations. Actual Loss Severities (Neutral): This will be Fannie Mae's 12th actual loss risk transfer transaction in which losses borne by the noteholders will not be based on a fixed loss severity (LS) schedule. The notes in this transaction will experience losses realized at the time of liquidation or modification, which will include both lost principal and delinquent or reduced interest. Mortgage Insurance Guaranteed by Fannie Mae (Positive): The majority of the loans in the pool are covered either by borrower-paid mortgage insurance (BPMI) or lender-paid MI (LPMI). Fannie Mae will be guaranteeing the mortgage insurance (MI) coverage amount, which will typically be the MI coverage percentage multiplied by the sum of the unpaid principal balance as of the date of the default, up to 36 months of delinquent interest, taxes, and maintenance expenses. While the Fannie Mae guarantee allows for credit to be given to MI, Fitch applied a haircut to the amount of BPMI available due to the automatic termination provision as required by the Homeowners Protection Act when the loan balance is first scheduled to reach 78%. 12.5-Year Hard Maturity (Positive): The 2M-1, 2M-2A, 2M-2B, 2M-2C, and 2B-1 notes benefit from a 12.5-year legal final maturity. As a result, any collateral losses on the reference pool that occur beyond year 12.5 are borne by Fannie Mae and do not affect the transaction. Fitch accounted for the 12.5-year window in its default analysis and applied a reduction to its lifetime default expectations. Limited Size/Scope of Third-Party Diligence (Neutral): This is the ninth transaction in which Fitch received third-party due diligence on a loan production basis as opposed to a transaction-specific review. Fitch believes that production-based diligence is sufficient for validating Fannie Mae's quality control (QC) processes. The sample selection was limited to 6,811 loans that were previously reviewed as part of Fannie Mae's post-purchase QC review. Of those loans, 999 were selected for a full review (credit, property valuation, and compliance) by third-party due diligence providers. Of the 999 loans, 167 were part of this transaction's reference pool. Fitch views the results of the due diligence review as consistent with its opinion of Fannie Mae as an above-average aggregator; as a result, no adjustments were made to Fitch's loss expectations based on due diligence. Advantageous Payment Priority (Positive): The 2M-1 class strongly benefits from the sequential pay structure and stable CE provided by the more junior 2M-2A, 2M-2B, 2M-2C, and 2B-1 classes which are locked out from receiving any principal until classes with a more senior payment priority are paid in full. However, available CE for the junior classes as a percentage of the outstanding reference pool increases in tandem with the paydown of the 2M-1 class. Given the size of the 2M-1 class relative to the combined total of all the junior classes, together with the sequential pay structure, the class 2M-1 will de-lever and CE as a percentage will build faster than in a pro rata payment structure. Solid Alignment of Interests (Positive): While the transaction is designed to transfer credit risk to private investors, Fitch believes that it benefits from a solid alignment of interests. Fannie Mae will be retaining credit risk in the transaction by holding the 2A-H senior reference tranche, which has an initial loss protection of 4.00%, as well as 100% of the first loss 2B-2H reference tranche, sized at 50bps. Fannie Mae is also retaining an approximately 5% vertical slice/interest in the 2M-1, 2M-2A, 2M-2B, 2M-2C, and 2B-1 tranches. Receivership Risk Considered (Neutral): Under the Federal Housing Finance Regulatory Reform Act, the Federal Housing Finance Agency (FHFA) must place Fannie Mae into receivership if it determines that Fannie Mae's assets are less than its obligations for more than 60 days following the deadline of its SEC filing, as well as for other reasons. As receiver, FHFA could repudiate any contract entered into by Fannie Mae if it is determined that the termination of such contract would promote an orderly administration of Fannie Mae's affairs. Fitch believes that the U.S. government will continue to support Fannie Mae; this is reflected in Moody's current ratings of Fannie Mae. However, if, at some point, Fitch views the support as being reduced and receivership likely, the ratings of Fannie Mae could be downgraded and the 2M-1, 2M-2A, 2M-2B, and 2M-2C notes' ratings affected. RATING SENSITIVITIES Fitch's analysis incorporates sensitivity analyses to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at both the metropolitan statistical area (MSA) and national levels. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or be considered in the surveillance of the transaction. This defined stress sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model projected 'BBB' sMVD of 23.6% and 'BB' sMVD of 18.8%. It indicates there is some potential rating migration with higher MVDs, compared with the model projection. Fitch also conducted defined rating sensitivities which determine the stresses to MVDs that would reduce a rating by one full category, to non-investment grade, and to 'CCCsf'. For example, additional MVDs of 11%, 11% and 34% would potentially reduce the 'BBBsf' rated class down one rating category, to non-investment grade, and to 'CCCsf', respectively. DUE DILIGENCE USAGE Fitch was provided with due diligence information from Adfitech, Inc. The due diligence focused on credit and compliance reviews, desktop valuation reviews and data integrity. Adfitech examined selected loan files with respect to the presence or absence of relevant documents. Fitch received certification indicating that the loan-level due diligence was conducted in accordance with Fitch's published standards. The certification also stated that the company performed its work in accordance with the independence standards, per Fitch's criteria, and that the due diligence analysts performing the review met Fitch's criteria of minimum years of experience. Fitch considered this information in its analysis and the findings did not have an impact on the analysis. COUNTRYWIDE 2007-MF1: Moody's Affirms C(sf) Rating on 4 Tranches ---------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on seven classes and upgraded one class in Countrywide Commercial Mortgage Trust 2007-MF1, Commercial Pass-Through Certificates, Series 2007-MF1: Cl. A, Upgraded to Baa3 (sf); previously on Jun 14, 2016 Upgraded to Ba1 (sf) Cl. B, Affirmed Caa1 (sf); previously on Jun 14, 2016 Affirmed Caa1 (sf) Cl. C, Affirmed Caa2 (sf); previously on Jun 14, 2016 Affirmed Caa2 (sf) Cl. D, Affirmed Caa3 (sf); previously on Jun 14, 2016 Affirmed Caa3 (sf) Cl. E, Affirmed C (sf); previously on Jun 14, 2016 Affirmed C (sf) Cl. F, Affirmed C (sf); previously on Jun 14, 2016 Affirmed C (sf) Cl. G, Affirmed C (sf); previously on Jun 14, 2016 Affirmed C (sf) Cl. H, Affirmed C (sf); previously on Jun 14, 2016 Affirmed C (sf) RATINGS RATIONALE The rating on one P&I class was upgarded due to an increase in credit support since Moody's last review, resulting from paydowns and amortization, as well as Moody's expectation of additional increases in credit support resulting from the payoff of loans approaching maturity that are well positioned for refinance. The pool has paid down by 56% since Moody's last review. The ratings on seven P&I classes, Class B through H, were affirmed because the ratings are consistent with Moody's expected loss. Moody's rating action reflects a base expected loss of 14.9% of the current balance, compared to 8.9% at Moody's last review. Moody's base expected loss plus realized losses is now 8.8% of the original pooled balance, compared to 9.7% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The methodologies used in these ratings were "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in December 2014, and "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in October 2015. DESCRIPTION OF MODELS USED Moody's review used the excel-based CMBS Conduit Model, which it uses for both conduit and fusion transactions. Credit enhancement levels for conduit loans are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate Moody's uses to estimate Moody's value). Moody's fuses the conduit results with the results of its analysis of investment grade structured credit assessed loans and any conduit loan that represents 10% or greater of the current pool balance. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 12, compared to 27 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 May 12, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 83% to $111 million from $640 million at securitization. The certificates are collateralized by 39 mortgage loans ranging in size from less than 1% to 20% of the pool, with the top ten loans constituting 63% of the pool. Three loans, constituting 9% of the pool, have defeased and are secured by US government securities. Fourteen loans, constituting 39% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Twenty-seven loans have been liquidated from the pool, resulting in an aggregate realized loss of $40 million (for an average loss severity of 52%). Five loans, constituting 29% of the pool, are currently in special servicing. The largest specially serviced loan is the Carrington Park Apartments Homes ($21.9 million 6% of the pool), which is secured by 330-unit multi-family property located in Jonesboro, Georgia. The loan was transferred to special servicing in November 2011 due to monetary default. The property was 95% leased as of December 2016 compared to 93% as of December 2015 and 92% leased as of December 2014. The remaining four specially serviced loans are secured by multi-family and mixed-use properties. Moody's estimates an aggregate $15.6 million loss for all specially serviced loans (49% expected loss on average). Moody's has assumed a high default probability for one poorly performing loan, constituting 1% of the pool, and has estimated an aggregate loss of $127 thousand (a 15% expected loss based on a probability of default) from the troubled loan. As of the May 12, 2017 remittance statement cumulative interest shortfalls were $2.5 million. Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced loans and/or modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. Moody's received full year 2015 operating results for 92% of the pool, and full or partial year 2016 operating results for 76% of the pool. Moody's weighted average conduit LTV is 77%, compared to 78% 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 10% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 8.6%. Moody's actual and stressed conduit DSCRs are 1.43X and 1.33X, respectively, compared to 1.47X and 1.25X 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 22% of the pool balance. The largest loan is the Spring Pointe Apartments Loan ($11.7 million -- 10.6% of the pool), which is secured by a 208-unit multifamily property in Richardson, Texas, about 20 miles northwest of Dallas. The property was 96% leased as of September 2016 compared to 97% leased as of December 2015. Moody's LTV and stressed DSCR are 69% and 1.33X, respectively, compared to 80% and 1.15X at the last review. The second largest loan is the Chalmers Court Loan ($7.2 million -- 6.5% of the pool), which is secured by a 23-unit multifamily property in Los Angeles, California, in a portion of western Los Angeles adjacent to Beverly Hills. The Property was 100% leased as of March 2017 compared to 87% in December 2016. Moody's LTV and stressed DSCR are 121% and 0.71X, respectively, compared to 129% and 0.67X at the last review. The third largest loan is the Triton MHP Portfolio Loan ($4.8 million -- 4.4% of the pool), which is secured by 345-pads across four mobile home parks located in Derby, East Aurora, Angola and Arcade, New York, approximately 20 miles southeast of Buffalo. The portfolio was 100% leased as of December 2016 compared to 99% in December 2015. Moody's LTV and stressed DSCR are 62% and 1.56X, respectively, compared to 60% and 1.63X at the last review. CSAIL 2015-C2: DBRS Confirms B(sf) Rating on Class F Debt --------------------------------------------------------- DBRS Limited confirmed the ratings on the Commercial Mortgage Pass-Through Certificates, Series 2015-C2 issued by CSAIL 2015-C2 Commercial Mortgage Trust as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class X-E at BB (sf) -- Class E at BB (low) (sf) -- Class X-F at B (high) (sf) -- Class F at B (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 collateral consists of 118 fixed-rate loans secured by 160 commercial properties; as of the April 2017 remittance, there has been a collateral reduction of 2.2% since issuance. Loans representing 63.2% of the current pool balance are reporting YE2016 figures, and loans representing 29.2% of the current pool balance are reporting partial-year 2016 financials. According to YE2016 financials, the pool reported a weighted average (WA) debt service coverage ratio (DSCR) and WA debt yield of 1.83 times (x) and 9.8%, respectively. The DBRS WA DSCR and WA debt yield at issuance were 1.61x and 8.5%, respectively. The largest 15 loans in the pool represent 44.4% of the transaction balance, and nine of those loans, representing 31.4% of the current pool balance, reported YE2016 financials, which showed a WA net cash flow growth of 10.4% over the DBRS issuance figures, with a WA DSCR and WA debt yield of 1.61x and 7.6%, respectively. As of the April 2017 remittance, there were seven loans on the servicer's watchlist, representing 4.2% of the current pool balance, and two loans in special servicing, representing 2.8% of the current pool balance, including one loan in the Top 15. CSAIL 2016-C6: Fitch Affirms B-sf Rating on Class X-F Certs ----------------------------------------------------------- Fitch Ratings has affirmed 17 classes of Credit Suisse Commercial Mortgage Trust's CSAIL 2016-C6 Commercial Mortgage Trust Pass-Through Certificates and withdraws one interest-only class. KEY RATING DRIVERS Stable Performance: The overall pool performance remains stable from issuance. There are no delinquent or specially serviced loans. As of the May 2017 distribution date, the pool's aggregate balance has been reduced by 0.26% to $765.5 million, from $767.5 million at issuance. There are no loans on the servicer's watchlist and no loans are considered Fitch Loans of Concern. Above Average Pool Concentration: At issuance the top 10 comprised 61.6% of the pool, which is greater than other transactions issued in 2015 and early 2016. In addition, the loan concentration index and sponsor concentration index are greater than the 2015 and early 2016 averages. Currently the top 15 loans comprise 72.9% of the pool. There is limited retail exposure as 19% of the pool is collateralized by retail properties. There is one regional mall, Quaker Bridge Mall (8.7%), which includes anchors: Macy's, Sears and JC Penney. None of these stores were on closing lists. High Fitch Conduit Leverage: At issuance, the Fitch DSCR and LTV, excluding the GLP Industrial Portfolio, were 1.11x and 110%, respectively, worse than the 2015 and early 2016 averages. Below Average Amortization: At issuance, based on the scheduled balance at maturity, the pool will paydown 7.5%, which is below the YTD 2016 average of 9.9%. Seven loans representing 40.7% of the pool are full-term interest only, and 25 loans representing 40.3% of the pool are partial interest only. The remainder of the pool consists of 18 balloon loans representing 19.0% of the pool with loan terms of five to 10 years. Wide Credit Dispersion: In this transaction at issuance, 11 loans representing 22.2% of the pool by balance had loan-level stressed losses below 3.0%. Conversely, 10 loans comprising 17.2% of the pool had loan-level stressed losses above 8.0%. Class X-D: Due to an update to Fitch's Global Structured Finance Criteria on May 3, 2017, Fitch will no longer rate Interest Only (IO) bonds that reference only non-cashflowing bonds. Class X-D references class D, which has a WAC pass-through rate. The rating is withdrawn based on the criteria update. RATING SENSITIVITIES The Rating Outlooks on all classes remain Stable. Fitch does not foresee positive or negative ratings migration until a material economic or asset-level event changes the transaction's overall portfolio-level metrics. DUE DILIGENCE USAGE No third-party due diligence was provided or reviewed in relation to this rating action. . Fitch has affirmed and withdrawn the following ratings: -- Notional class X-D at 'BBB-sf'; Outlook Stable. Fitch has affirmed the following ratings: -- $15.0 million class A-1 at 'AAAsf'; Outlook Stable; -- $67.7 million class A-2 at 'AAAsf'; Outlook Stable; -- $92.7 million class A-3 at 'AAAsf'; Outlook Stable; -- $128.5 million class A-4 at 'AAAsf'; Outlook Stable; -- $198.1 million class A-5 at 'AAAsf'; Outlook Stable; -- $33.2 million class A-SB at 'AAAsf'; Outlook Stable; -- $57.6 million class A-S at 'AAAsf'; Outlook Stable; -- $34.5 million class B at 'AA-sf'; Outlook Stable; -- $33.6 million class C at 'A-sf'; Outlook Stable; -- $42.2 million class D at 'BBB-sf'; Outlook Stable; -- $20.1 million class E at 'BB-sf'; Outlook Stable; -- $8.6 million class F at 'B-sf'; Outlook Stable. -- Notional class X-A at 'AAAsf'; Outlook Stable; -- Notional class X-B at 'AA-sf'; Outlook Stable; -- Notional class X-E at 'BB-sf'; Outlook Stable; -- Notional class X-F at 'B-sf'; Outlook Stable. Fitch does not rate classes X-NR or class NR. DT AUTO 2017-2: DBRS Finalizes Prov BBsf Rating on Class E Debt --------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following Series 2017-2 Notes issued by DT Auto Owner Trust 2017-2 (DTAOT 2017-2): -- $193,000,000 Class A at AAA (sf) -- $57,510,000 Class B at AA (sf) -- $69,500,000 Class C at A (sf) -- $67,090,000 Class D at BBB (sf) -- $55,310,000 Class E at BB (sf) The ratings are based on DBRS's review of the following analytical considerations: -- Transaction capital structure, proposed ratings and form and sufficiency of available credit enhancement. -- DTAOT 2017-2 provides for Class A, B, C, D and E coverage multiples slightly below the DBRS range of multiples set forth in the criteria for this asset class. DBRS believes that this is warranted, given the magnitude of expected loss and structural features of the transaction. -- The transaction parties' capabilities with regard to originations, underwriting and servicing. -- The quality and consistency of provided historical static pool data for DriveTime Automotive Group, Inc. (DriveTime) originations and performance of the DriveTime auto loan portfolio. -- The November 19, 2014, settlement of the Consumer Financial Protection Bureau inquiry relating to allegedly unfair trade practices. -- Review of the legal structure and presence of legal opinions, which address the true sale of the assets to the Issuer, the non-consolidation of the special-purpose vehicle with DriveTime, that the trust has a valid first-priority security interest in the assets and the consistency with the DBRS "Legal Criteria for U.S. Structured Finance" methodology. The DTAOT 2017-2 transaction represents a securitization of a portfolio of motor vehicle retail installment sales contracts originated by DriveTime Car Sales Company, LLC (the Originator). The Originator is a direct, wholly owned subsidiary of DriveTime. DriveTime is a leading used vehicle retailer in the United States that focuses on the sale and financing of vehicles to the subprime market. The rating on the Class A Note reflects the 66.28% of initial hard credit enhancement provided by the subordinated notes in the pool, the Reserve Account (1.50%) and overcollateralization (19.27%). The ratings on the Class B, C, D and E Notes reflect 55.79%, 43.11%, 30.86% and 20.77% of initial hard credit enhancement, respectively. Additional credit support may be provided from excess spread available in the structure. EARNEST STUDENT 2017-A: DBRS Finalizes BB Rating on Class C Debt ---------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following classes issued by Earnest Student Loan Program 2017-A LLC (EARN 2017-A): -- $24,424,000 Class A-1 rated AA (high) (sf) -- $130,261,000 Class A-2 rated AA (high) (sf) -- $15,096,000 Class B rated BBB (sf) -- $5,479,000 Class C rated BB (sf) The finalized ratings are based on DBRS's review of the following analytical considerations: -- The transaction's form and sufficiency of available credit enhancement. -- The quality and credit characteristics of the student loan borrowers. -- Structural features of the transaction that require the Class A Notes to enter into full turbo principal amortization if certain performance triggers are breached or if credit enhancement deteriorates. -- Earnest Operations LLC's capabilities with regard to originations, underwriting and servicing. -- The benefits offered by the existence of a hot backup servicer. -- The legal structure and legal opinions that address the true sale of the student loans, the non-consolidation of the trust and that the trust has a valid first-priority security interest in the assets, and the consistency with the DBRS "Legal Criteria for U.S. Structured Finance" methodology. The variable-rate Class A-1 Notes are primarily secured by a group of variable-rate loans. The fixed-rate Class A-2 Notes are primarily secured by a group of fixed-rate loans. The Class B and Class C Notes are secured by both the fixed-rate and variable-rate loan groups. EARN 2017-A uses a traditional pass-through structure, with credit enhancement consisting of overcollateralization, a separate reserve account for each class of Class A Notes, a liquidity account for the Class B and Class C Notes, subordination provided by the Class B and Class C Notes for the benefit of the Class A Notes, excess spread and limited cross-collateralization. EARNEST STUDENT 2017-A: DBRS Gives (P)BB Rating to Class C Debt --------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following classes issued by Earnest Student Loan Program 2017-A LLC (EARN 2017-A): -- $24,424,000 Class A-1 rated AA (high) (sf) -- $130,261,000 Class A-2 rated AA (high) (sf) -- $15,096,000 Class B rated BBB (sf) -- $5,479,000 Class C rated BB (sf) The provisional ratings are based on DBRS's review of the following analytical considerations: -- The transaction's form and sufficiency of available credit enhancement. -- The quality and credit characteristics of the student loan borrowers. -- Structural features of the transaction that require the Class A Notes to enter into full turbo principal amortization if certain performance triggers are breached or if credit enhancement deteriorates. -- Earnest Operations LLC's capabilities with regard to originations, underwriting and servicing. -- The benefits offered by the existence of a hot backup servicer. -- The legal structure and expected legal opinions that will address the true sale of the student loans, the non- consolidation of the trust, that the trust has a valid first- priority security interest in the assets and consistency with the DBRS "Legal Criteria for U.S. Structured Finance" methodology. The variable-rate Class A-1 Notes will be primarily secured by a group of variable-rate loans. The fixed-rate Class A-2 Notes will be primarily secured by a group of fixed-rate loans. The Class B and Class C Notes will be secured by both the fixed-rate and variable-rate loan groups. EARN 2017-A will use a traditional pass-through structure, with credit enhancement consisting of overcollateralization, a separate reserve account for each class of Class A Notes, a liquidity account for the Class B and Class C Notes, subordination provided by the Class B and Class C Notes for the benefit of the Class A Notes, excess spread and limited cross-collateralization. FLAGSHIP CREDIT 2017-2: DBRS Gives (P)BB Ratings to Cl. E Debt -------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following classes issued by Flagship Credit Auto Trust 2017-2 (the Issuer): -- $113,330,000 Series 2017-2, Class A at AAA (sf) -- $28,840,000 Series 2017-2, Class B at AA (sf) -- $23,270,000 Series 2017-2, Class C at A (sf) -- $18,720,000 Series 2017-2, Class D at BBB (sf) -- $11,130,000 Series 2017-2, Class E at BB (sf) The provisional ratings are based on DBRS's review of the following analytical considerations: -- Transaction capital structure, proposed ratings and form and sufficiency of available credit enhancement. -- Credit enhancement in the form of overcollateralization (OC), subordination, amounts held in the reserve fund and excess spread. Credit enhancement levels are sufficient to support the DBRS-projected expected cumulative net loss assumption under various stress scenarios. -- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the ratings address the payment of timely interest on a monthly basis and the payment of principal by the legal final maturity date. -- The strength of the combined organization after the merger of Flagship Credit Acceptance LLC (Flagship or the Company) and CarFinance Capital LLC; DBRS believes the merger of the two companies provides synergies that make the combined company more financially stable and competitive. -- The capabilities of Flagship with regard to originations, underwriting and servicing. -- DBRS has performed an operational review of Flagship and considers the entity to be an acceptable originator and servicer of subprime automobile loan contracts with an acceptable backup servicer. -- The Flagship senior management team has considerable experience and a successful track record within the auto finance industry. -- DBRS used a proxy analysis in its development of an expected loss. -- A limited amount of performance data was available for the Company's current originations mix. -- A combination of Company-provided performance data and industry comparable data was used to determine an expected loss. -- The legal structure and presence of legal opinions that will address the true sale of the assets to the Issuer, the non- consolidation of the special-purpose vehicle with Flagship, that the trust has a valid first-priority security interest in the assets and is consistent with DBRS's "Legal Criteria for U.S. Structured Finance" methodology. Flagship is an independent, full-service automotive financing and servicing company that provides financing to borrowers who do not typically have access to prime credit lending terms for the purchase of late-model vehicles and the refinancing of existing automotive financings. The ratings on the Class A Notes reflect the 46.00% of initial hard credit enhancement provided by the subordinated notes in the pool (40.50%), the Reserve Account (2.00%) and OC (3.50%). The ratings on the Class B, Class C, Class D and Class E Notes reflect 31.75%, 20.25%, 11.00% and 5.50% of initial hard credit enhancement, respectively. Additional credit support may be provided from excess spread available in the structure. FREMF MORTGAGE 2012-KF01: Moody's Affirms B1 Rating on Cl. X Debt ----------------------------------------------------------------- Moody's Investors Service has affirmed the rating on one CMBS class in FREMF Mortgage Trust, Multifamily Mortgage Pass-Through Certificates, Series 2012-KF01: Cl. X, Affirmed B1 (sf); previously on Jul 15, 2016 Affirmed B1 (sf) One rating was affirmed for one related class of Freddie Mac Structured Pass-Through Certificates (SPCs), Series K-F01: Cl. X*, Affirmed B1 (sf); previously on Jul 15, 2016 Affirmed B1 (sf) *The Structured Pass-Through Certificates (SPCs) from FHMS KF01 represents a pass-through interest in its associated underlying CMBS Class. SPC Class X represents a pass-through interest in the underlying CMBS Class X. RATINGS RATIONALE The rating on the IO CMBS class was affirmed based on the credit performance (or the weighted average rating factor) of its referenced classes. The rating on the SPC class was affirmed based on the rating of the underlying CMBS class. Moody's rating action reflects a base expected loss of 2.9% of the current balance, compared to 0.5% at Moody's last review. Moody's base expected loss plus realized losses is now 0.1% of the original pooled balance, compared to 0.0% 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 rating of an IO class is based on the credit performance of its referenced classes. An IO class may be upgraded based on a lower weighted average rating factor or WARF due to an overall improvement in the credit quality of its reference classes. An IO class may be downgraded based on a higher WARF due to a decline in the credit quality of its reference classes, paydowns of higher quality reference classes or non-payment of interest. Classes that have paid off through loan paydowns or amortization are not included in the WARF calculation. Classes that have experienced losses are grossed up for losses and included in the WARF calculation, even if Moody's has withdrawn the rating. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in this rating was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in October 2015. Additionally, the methodology used in rating Cl. X was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in October 2015. The methodology used in rating the One Structured Pass-through Certificate (SPC) was "Moody's Approach to Rating Repackaged Securities" methodology published in June 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 FREMF 2012-KF01. 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 27, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 97% to $45.7 million from $1.37 billion at securitization. The certificates are collateralized by four remaining mortgage loans. One loan, constituting 18% 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 received full year 2015 operating results for 100% of the pool, and full or partial year 2016 operating results for 75% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 80%, compared to 89% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 15% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 8.8%. Moody's actual and stressed conduit DSCRs are 2.59X and 1.22X, respectively, compared to 2.12X and 1.12X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The largest loan is the Marquis At Stonegate Loan ($19.6 million -- 42.8% of the pool), which is secured by a 308-unit multifamily property located in Fort Worth, Texas. The collateral is 19, three-story buildings, located in close proximity to Texas Christian University. As of January 2017, the property was 94% occupied, compared with 94% in December 2015. The property's occupancy is in line with the submarket occupancy. Moody's LTV and stressed DSCR are 79% and 1.20X, respectively, unchanged since the last review. The second largest loan is the Balcones By Windsor Loan ($14.4 million -- 31.4% of the pool), which is secured by a 270-unit multifamily property located in Austin, Texas. After an initial interest only period, the loan has recently started to amortize. As of December 2016, the property was 93% occupied, compared to 91% in December 2015. Performance has remained stable over the past three years. Moody's LTV and stressed DSCR are 88% and 1.09X, respectively, compared to 89% and 1.07X at the last review. The third largest loan is the Carriage House Loan ($8.03 million -- 17.5% of the pool), which is secured by a 67-unit (132 bed) garden-style student rental property located in Storrs Mansfield, Connecticut. The property is approximately 1-mile from the University of Connecticut campus. The property is on the watch-list due to a low DSCR, which is caused by high expenses. The loan was assumed in March 2012. As of September 2016, the property was 68% occupied, compared to 93% in December 2015. Moody's has identified this as a troubled loan. Moody's LTV and stressed DSCR are 150% and 0.65X, respectively. GE COMMERCIAL 2005-C4: Moody's Affirms B3sf Rating on Class B Debt ------------------------------------------------------------------ Moody's Investors Service has affirmed the ratings on six classes in GE Commercial Mortgage Corporation 2005-C4: Cl. A-J, Affirmed Ba2 (sf); previously on Oct 20, 2016 Affirmed Ba2 (sf) Cl. B, Affirmed B3 (sf); previously on Oct 20, 2016 Affirmed B3 (sf) Cl. C, Affirmed Caa3 (sf); previously on Oct 20, 2016 Downgraded to Caa3 (sf) Cl. D, Affirmed C (sf); previously on Oct 20, 2016 Downgraded to C (sf) Cl. E, Affirmed C (sf); previously on Oct 20, 2016 Affirmed C (sf) Cl. X-W, Affirmed C (sf); previously on Oct 20, 2016 Downgraded to C (sf) RATINGS RATIONALE The ratings of two P&I classes were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR), and the transaction's Herfindahl Index (Herf) are within acceptable ranges. The ratings of three P&I classes were affirmed because the ratings are consistent with Moody's expected loss plus realized and anticipated losses. The rating of the IO class X-W was affirmed because the class is not receiving interest and has expected future interest payments of zero. Moody's rating action reflects a base expected loss of 39.7% of the current balance, the same as at Moody's last review. Moody's base expected loss plus realized losses is now 12.4% of the original pooled balance, compared to 13.1% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "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-W 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 GECMC 2005-C4. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 8.2% of the pool is in special servicing and Moody's has identified additional troubled loans representing 85% of the pool. In this approach, Moody's determines a probability of default for each specially serviced and troubled loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss from specially serviced and troubled loans to the most junior class(es) and the recovery as a pay down of principal to the most senior class(es). DESCRIPTION OF MODELS USED Moody's 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 three, compared to seven 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 May 10, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 92% to $193.9 million from $2.4 billion at securitization. The certificates are collateralized by six mortgage loans ranging in size from less than 1% to 45.2% of the pool. Three loans, constituting 59.4% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Twenty-one loans have been liquidated from the pool, resulting in an aggregate realized loss of $221.3 million (for an average loss severity of 51%). Two loans, constituting 8.2% of the pool, are currently in special servicing. The largest specially serviced loan is the Park Ventura Office Center Loan ($15.4 million -- 7.9% of the pool), which is secured by a 194,000 SF office building located in Plano, Texas, approximately 20 miles north of Dallas. The loan was transferred to the special servicer in April 2012 due to imminent maturity default. The second largest specially serviced loan is the Becker Portfolio ($0.5 million -- 0.2% of the pool), which is secured by the sole remaining asset in a nine property retail portfolio which totaled 955,000 SF at securitization. The loan was transferred to the special servicer in April 2015 due to imminent default due to refinancing issues due to the upcoming maturity date in November 2015. The remaining property is a 226,000 SF grocery-anchored shopping center. Moody's estimates an aggregate $11.4 million loss for specially serviced loans (72% expected loss on average). Moody's has assumed a high default probability for three poorly performing loans, constituting 85% of the pool, and has estimated an aggregate loss of $65.6 million (a 40% expected loss based on a 64% probability default) from these troubled loans. 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). The top three conduit loans represent 84.7% of the pool balance. The largest loan is the Design Center of the Americas Loan ($87.7 million -- 45.2% of the pool), which is secured by a participation interest in a $175.4 million first mortgage secured by a 775,000 SF free-standing interior design campus. The property was built in 1985 and expanded in 1988 and 2001. The loan was previously modified in April 2012 which reduced the interest rate, extended the loan for 36 months, and provides for two additional 18-month extension options. The property was 68% leased as of December 2016. Moody's has identified this as a troubled loan. The second largest loan is the Fireman's Fund Loan ($62.9 million -- 32.4% of the pool), which is secured by is a participation interest in a $132.2 million first-mortgage secured by a three-building, 710,000 SF, Class A, corporate office campus located in Novato, California. The property is 100% leased to Fireman's Fund through November 2018. Fireman's Fund had previously announced that it will be vacating the property at the end of its lease after moving much of their operations to Petaluma, California. The loan had an anticipated repayment date (ARD) in October 2015 and the loan has entered its hyperamortization period. The loan has amortized approximately 30% since securitization. Moody's has identified this as a troubled loan. The third largest loan is the Garret Mountain A-Note Loan ($13.7 million -- 7.0% of the pool), which is secured by two office buildings totaling 228,000 SF located in West Paterson, New Jersey. The loan was previously transferred to the special servicer in September 2015 due to imminent default due to tenant terminations and the loans impending maturity in December 2015. The loan was modified in October 2016 via an A-note/B-note split and extended the maturity through December 2018. The properties were 94% leased as of March 2017. GENERAL ELECTRIC 2003-1: Fitch Affirms Csf Rating on Cl. G Certs ---------------------------------------------------------------- Fitch Ratings has affirmed nine classes of General Electric Capital Assurance Company (GFCM) commercial mortgage pass-through certificates series 2003-1. KEY RATING DRIVERS Stable Overall Performance: There are no specially serviced loans. Eleven loans (15.8%) are on the watchlist, eight of which (7.3%) are considered Fitch loans of concern. Property Type Concentration: Retail properties represent 44.2% of the pool, including the largest loan in the pool (15.9%). There are no regional malls; properties consist of anchored retail strip centers, unanchored neighborhood centers and drug stores. The largest loan is Gateway Center, which is collateralized by an anchored strip center located in Patchogue, NY. Anchor tenants include Bob's Stores, Best Buy, Marshall's and Home Goods. Upcoming Tenant Rollover: Large tenant leases are scheduled to expire during the loan term with respect to several loans in the Top 15 including the largest loan in the pool, Gateway Center (15.9%). Anchor tenant Bob's Stores' lease (19.5% NRA) expires in 2018 and approximately 21% of space expires in 2019, including anchor tenant Best Buy (19.3%). Due to the significant rollover, Gateway Center is considered a Fitch loan of concern. Lack of Year-End 2016 Financial Reporting: Approximately 54% of the remaining loans have not reported YE 2016 financial information. Maturity Concentration: $2 million in 2017, $2.7 million in 2018, $5.5 million in 2019, $61.9 million between 2021 and 2023, and $47.4 million between 2024 and 2033. RATING SENSITIVITIES The Stable Outlooks on classes A-5 through F reflect increasing credit enhancement and expected continued paydown. Fitch's analysis included a sensitivity analysis whereby an additional stress was applied to Gateway Center given the larger loan size and upcoming anchor rollover. This limited the potential for upgrades on classes D and E. Ratings for class F were capped at 'B' due to significant retail concentration (44.2%), secondary market locations of the remaining collateral, limited near-term maturities ($10.2 million matures through 2019), dated financials (YE 2016 data was provided for 46% of pool), significant tenant rollover during the loan term of the largest loan and limited tranche thickness. Upgrades are possible in the future should the loans within the top 15 renew their major tenant leases that are scheduled to expire prior to maturity. Downgrades are possible if expected losses increase. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third-party due diligence was provided or reviewed in relation to this rating action. Fitch has affirmed the following ratings and revised Outlooks as indicated: -- $52.5 million class A-5 at 'AAAsf'; Outlook Stable; -- $11.3 million class B at 'AAAsf'; Outlook Stable; -- $13.7 million class C at 'AAAsf'; Outlook Stable; -- $11.3 million class D at 'Asf'; Outlook Stable; -- $10.3 million class E at 'BBBsf'; Outlook to Stable from Positive; -- $12.3 million class F at 'Bsf'; Outlook Stable; -- $7.2 million class G at 'Csf'; RE 75%. -- $1.2 million class H at 'Dsf'; RE 0%; -- $0 class J at 'Dsf'; RE 0%. Classes A-1, A-2, A-3 and A-4 were repaid in full. Fitch previously withdrew the ratings on the interest-only class X certificates. GOLD KEY 2014-A: DBRS Confirms BB Rating on Class C Debt -------------------------------------------------------- DBRS, Inc. conducted a review of the outstanding public ratings of the Gold Key Resorts 2014-A, LLC structured finance asset-backed securities transaction. The Series 2014-A, Class A, Class B and Class C ratings were confirmed at their current rating levels of A (sf), BBB (sf) and BB (high) (sf), respectively. Performance trends of the securities are such that credit-enhancement levels are sufficient to cover DBRS's expected losses at their current respective rating levels. The ratings are based on DBRS's review of the following analytical considerations: -- Transaction capital structure, ratings and form and sufficiency of available credit enhancement. -- The transaction parties' capabilities with regard to servicing. -- The credit quality of the collateral pool and projected performance. GOLUB CAPITAL: Moody's Assigns Ba3(sf) Rating to Class D Notes -------------------------------------------------------------- Moody's Investors Service has assigned ratings to eight classes of notes issued by Golub Capital Partners CLO 19(B)-R, Ltd. Moody's rating action is: US$2,500,000 Class A-X Senior Secured Floating Rate Notes due 2029 (the "Class A-X Notes"), Assigned Aaa (sf) US$293,000,000 Class A-1A Senior Secured Floating Rate Notes due 2029 (the "Class A-1A Notes"), Assigned Aaa (sf) US$45,000,000 Class A-1B1 Senior Secured Floating Rate Notes due 2029 (the "Class A-1B1 Notes"), Assigned Aaa (sf) US$3,000,000 Class A-1B2 Senior Secured Floating Rate Notes due 2029 (the "Class A-1B2 Notes"), Assigned Aa1 (sf) US$50,100,000 Class A-2 Senior Secured Floating Rate Notes due 2029 (the "Class A-2 Notes"), Assigned Aa2 (sf) US$30,500,000 Class B Secured Deferrable Floating Rate Notes due 2029 (the "Class B Notes"), Assigned A2 (sf) US$36,300,000 Class C Secured Deferrable Floating Rate Notes due 2029 (the "Class C Notes"), Assigned Baa3 (sf) US$32,300,000 Class D Secured Deferrable Floating Rate Notes due 2029 (the "Class D Notes"), Assigned Ba3 (sf) The Class A-X Notes, the Class A-1A Notes, the Class A-1B1 Notes, the Class A-1B2 Notes, the Class A-2 Notes, the Class B Notes, the Class C Notes and the Class D Notes are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE Moody's ratings of the Rated Notes address the expected losses posed to noteholders. The ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. Golub 19(B)-R is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated first lien senior secured corporate loans. At least 92.5% of the portfolio must consist of senior secured loans, cash, and eligible investments, and up to 7.5% of the portfolio may consist of second lien loans and senior unsecured loans. Moody's expects the portfolio to be approximately 61% ramped as of the closing date. GC Advisors LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's four year reinvestment period. Thereafter, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets, subject to certain restrictions. In addition to the Rated Notes, the Issuer 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: $532,850,000 Diversity Score: 55 Weighted Average Rating Factor (WARF): 2975 Weighted Average Spread (WAS): 3.80% Weighted Average Coupon (WAC): 6.50% Weighted Average Recovery Rate (WARR): 45% Weighted Average Life (WAL): 8 years. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in October 2016. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. Together with the set of modeling assumptions above, Moody's conducted an additional sensitivity analysis, which was a component in determining the ratings assigned to the Rated Notes. This sensitivity analysis includes increased default probability relative to the base case. Below is a summary of the impact of an increase in default probability (expressed in terms of WARF level) on the Rated Notes (shown in terms of the number of notch difference versus the current model output, whereby a negative difference corresponds to higher expected losses), assuming that all other factors are held equal: Percentage Change in WARF -- increase of 15% (from 2975 to 3421) Rating Impact in Rating Notches Class A-X Notes: 0 Class A-1A Notes: -1 Class A-1B1 Notes: 0 Class A-1B2 Notes: 0 Class A-2 Notes: -2 Class B Notes: -2 Class C Notes: -1 Class D Notes: -1 Percentage Change in WARF -- increase of 30% (from 2975 to 3868) Rating Impact in Rating Notches Class A-X Notes: 0 Class A-1A Notes: -1 Class A-1B1 Notes: -1 Class A-1B2 Notes: -2 Class A-2 Notes: -3 Class B Notes: -4 Class C Notes: -2 Class D Notes: -1 GS MORTGAGE 2006-CC1: Moody's Affirms Ca Rating on Class A Certs ---------------------------------------------------------------- Moody's Investors Service has affirmed the rating on the following class of certificates issued by GS Mortgage Securities Corporation II, Commercial Mortgage Pass-Through Certificates, Series 2006-CC1: Cl. A, Affirmed Ca (sf); previously on Aug 11, 2016 Affirmed Ca (sf) RATINGS RATIONALE Moody's has affirmed the rating on the transaction because its key transaction metrics are commensurate with existing ratings. While the credit quality of the pool has improved since last review, as evidenced by the weighted average rating factor (WARF), the level of realized losses and expectations on future performance of the collateral pool is resulting in the affirmation. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO and ReRemic) transactions. GSMS 2006-CC1 is a static cash transaction backed solely by a portfolio of commercial mortgage backed securities (CMBS) (100% of the current pool balance); issued between 2003 and 2005. As of the April 21, 2017 trustee report, the aggregate certificate balance of the transaction has decreased to $107.3 million from $406.2 million at issuance, with the pay down directed to the senior most outstanding class of certificates as a result of amortization of the underlying collateral and recoveries from defaulted collateral. Partial losses have been applied to Class A as a result of realized losses on the underlying collateral; and Classes B through M have been fully written down and do not have outstanding Moody's ratings. Moody's has identified the following as key indicators of the expected loss in CRE CDO transactions: the 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 4651, compared to 5697 at last review. The current ratings on the Moody's-rated collateral and the assessments of the non-Moody's rated collateral follow: Aaa-Aa3 (20.7% compared to 12.6% at last review), A1-A3 (0.0% compared to 4.3% at last review), Baa1-Baa3 (12.2% compared to 5.3% at last review), Ba1-Ba3 (14.5% compared to 15.6% at last review), B1-B3 (4.7% compared to 4.6% at last review), Caa1-Ca/C (47.9% compared to 57.6% at last review). Moody's modeled a WAL of 1.6 years, compared to 2.4 years at last review. The WAL is based on the assumptions about extensions on the underlying look-through assets. Moody's modeled a fixed WARR of 0.0%, same as that at last review. Moody's modeled a MAC of 4.6%, compared to 7.1% at last review. Methodology Underlying the Rating Action: The principal methodology used in this rating was "Moody's Approach to Rating SF CDOs" published in October 2016. Factors that would lead to an upgrade or downgrade of the rating: 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 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. Holding all other parameters constant increasing the recovery rates of 100% of the collateral pool by 10% would result in an average modeled rating movement on the rated certificates of zero notches upward (e.g., one notch up implies a ratings movement of Baa3 to Baa2). The primary sources of uncertainty in Moody's assumptions are the extent of growth in the current macroeconomic environment given the weak recovery and certain commercial real estate property markets. Commercial real estate property values continue to improve modestly, along with a rise in investment activity and stabilization in core property type performance. Limited new construction and moderate job growth have aided this improvement. However, sustained growth will not be possible until investment increases steadily for a significant period, non-performing properties are cleared from the pipeline and fears of a euro area recession abate. GS MORTGAGE 2013-GC13: Fitch Affirms BBsf Rating on Class X-B Certs ------------------------------------------------------------------- Fitch Ratings has affirmed 15 classes of GS Mortgage Securities Trust 2013-GC13 commercial mortgage pass-through certificates, series 2013-GC13. KEY RATING DRIVERS The affirmations reflect the stable performance of the majority of the underlying loans. As of the April 2017 distribution date, the pool's aggregate principal balance was reduced by 4.4% to $1.27 billion from $1.33 billion at issuance. There have been no realized losses to date. There are four Fitch Loans of Concern (LOC; 9.3% of the pool), including the sixth largest loan in the pool, Holiday Inn - 6th Avenue (6.1%). Deal Concentration: The transaction is concentrated. The three largest loans comprise 30.9% of the pool, and the top 10 comprise 63.5% of the pool. Interest-Only Loans: There is a high percentage of fully interest-only loans in the pool at 27.6%, including two of the top three loans. New York City Concentration: Five loans in the transaction are secured by properties located in New York City, comprising 28.1% of the pool. Maturity Schedule: There are limited scheduled loan maturities until 2020 (12.6%) and 2023 (82.2%). Fitch Loans of Concern (LOC): The largest Fitch LOC is secured by the Holiday Inn - 6th Avenue, a 226-room full-service hotel located in the Chelsea neighborhood of Midtown Manhattan. Between 2015 and 2016, net operating income (NOI) dropped nearly 17%, which is primarily attributable to increased competition from new hotels and new product appearing in the market, such as Airbnb, and a corresponding drop in average daily rate (ADR) and revenue per available room (RevPAR). The next largest Fitch LOC is secured by the four-property Warehouse & Flex Portfolio (1.6%), which is located in Bucks County, PA. Portfolio occupancy has decreased significantly since its issuance level of 93.8%. As of the December 2016 rent roll, occupancy was reported at 75% and is expected to decline further to 55.7% at the end of this month once its second largest tenant vacates. Three other smaller loans (combined 1.6%) are Fitch LOCs due to declining performance related to occupancy issues. Fitch will continue to monitor all these loans. RATING SENSITIVITIES The Negative Outlook assigned to class F primarily reflects the Fitch LOCs, particularly the continued underperformance of the Holiday Inn - 6th Avenue and the Warehouse & Flex Portfolio. The class could be subject to downgrade should performance decline further. The Outlooks on classes A-1 through E remain Stable due to the overall stable performance of the majority of the underlying pool. Upgrades to classes B and below may be limited due to the minimal upcoming scheduled loan maturities (only 5.2% prior to 2020). USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third party due diligence was provided or reviewed in relation to this rating action. Fitch has affirmed the following ratings: -- $6.2 million class A-1 at 'AAAsf', Outlook Stable; -- $72.7 million class A-2 at 'AAAsf', Outlook Stable; -- $149.7 million class A-3 at 'AAAsf', Outlook Stable; -- $135 million class A-4 at 'AAAsf', Outlook Stable; -- $420.3 million class A-5 at 'AAAsf', Outlook Stable; -- $89.2 million class A-AB at 'AAAsf', Outlook Stable; -- $98.4 million** class A-S at 'AAAsf', Outlook Stable; -- $88.4 million** class B at 'AA-sf', Outlook Stable; -- $50 million** class C at 'Asf', Outlook Stable; -- $236.8 million** class PEZ at 'Asf', Outlook Stable; -- $76.7 million class D at 'BBB-sf', Outlook Stable; -- $30 million class E at 'BBsf', Outlook Stable; -- $13.3 million class F at 'Bsf', Outlook to Negative from Stable; -- $971.5 million* class X-A 'AAAsf'; Outlook Stable; -- $30 million* class X-B 'BBsf'; Outlook Stable. *Notional amount and interest only. ** Class A-S, class B, and class C certificates may be exchanged for class PEZ certificates, and class PEZ certificates may be exchanged for up to the full certificate principal amount of the class A-S, class B and class C certificates. Fitch does not rate the interest-only class X-C or class G certificates. HALCYON LOAN 2017-1: Moody's Assigns Ba3(sf) Rating to Cl. D Notes ------------------------------------------------------------------ Moody's Investors Service has assigned ratings to six classes of notes issued by Halcyon Loan Advisors Funding 2017-1 Ltd.. Moody's rating action is: US$221,056,250 Class A-1A Senior Secured Floating Rate Notes due 2029 (the "Class A-1A Notes"), Assigned Aaa (sf) US$36,943,750 Class A-1B Senior Secured Floating Rate Notes due 2029 (the "Class A-1B Notes"), Assigned Aaa (sf) US$46,000,000 Class A-2 Senior Secured Floating Rate Notes due 2029 (the "Class A-2 Notes"), Assigned Aa2 (sf) US$24,000,000 Class B Senior Secured Deferrable Floating Rate Notes due 2029 (the "Class B Notes"), Assigned A2 (sf) US$24,000,000 Class C Senior Secured Deferrable Floating Rate Notes due 2029 (the "Class C Notes"), Assigned Baa3 (sf) US$16,000,000 Class D Senior Secured Deferrable Floating Rate Notes due 2029 (the "Class D Notes"), Assigned 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." RATINGS RATIONALE Moody's ratings of the Rated Notes address the expected losses posed to noteholders. The ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. Halcyon 2017-1 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated first lien senior secured corporate loans. At least 92.5% of the portfolio must consist of senior secured loans, cash, and eligible investments, and up to 7.5% of the portfolio may consist of second lien loans and unsecured loans. Moody's expect the portfolio to be approximately 90% ramped as of the closing date. Halcyon Loan Advisors A LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets, subject to certain restrictions. In addition to the Rated Notes, the Issuer 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): 2650 Weighted Average Spread (WAS): 3.75% Weighted Average Coupon (WAC): 7.0% Weighted Average Recovery Rate (WARR): 46% 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 2650 to 3048) Rating Impact in Rating Notches Class A-1A Notes: 0 Class A-1B Notes: 0 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 2650 to 3445) Rating Impact in Rating Notches Class A-1A Notes: -1 Class A-1B Notes: -1 Class A-2 Notes: -3 Class B Notes: -4 Class C Notes: -2 Class D Notes: -1 HERTZ VEHICLE II: DBRS Confirms 22 Ratings From Six Series ---------------------------------------------------------- DBRS, Inc. confirmed 22 ratings from six series issued by Hertz Vehicle Financing II LP. The confirmations are based on performance trends and credit enhancement levels that are sufficient to cover DBRS's expected losses at their current respective rating levels. The ratings are based on DBRS's review of the following analytical considerations: -- Transaction capital structure, proposed ratings and form and sufficiency of available credit enhancement. -- The transaction parties' capabilities with regard to origination, underwriting and servicing. -- The credit quality of the collateral pool and historical performance. A full text copy of the ratings is available free at: https://is.gd/9c65kh HOSPITALITY 2017-HIT: S&P Assigns BB- Rating on Cl. E Certificates ------------------------------------------------------------------ S&P Global Ratings assigned ratings to Hospitality 2017-HIT Mortgage Trust's $805.0 million commercial mortgage pass-through certificates. The note issuance is a commercial mortgage-backed securities transaction backed by one two-year, floating-rate commercial mortgage loan with three one-year extension options totaling $805.0 million, secured by a first-lien mortgage on the borrowers' fee simple and leasehold interests in 87 hotel properties. The ratings reflect S&P's view of the collateral's historical and projected performance, the sponsor's and managers' experience, the trustee-provided liquidity, the loan's terms, and the transaction's structure. RATINGS ASSIGNED Hospitality 2017-HIT Mortgage Trust Class Rating(i) Amount ($) A AAA (sf) 252,905,000 X-CP(ii) BBB- (sf) 197,828,000(ii) X-EXT(ii) BBB- (sf) 247,285,000(ii) B AA- (sf) 90,725,000 C A- (sf) 67,441,000 D BBB- (sf) 89,119,000 E BB- (sf) 140,503,000 F B- (sf) 124,057,000 VRR interest(iii) NR 40,250,000 (i)The issuer will issue the certificates to qualified institutional buyers in line with Rule 144A of the Securities Act of 1933. (ii)Notional balance. The notional amount of the class X-CP certificates will be equal to the sum of the portion balances of the class B-2 portion, class C-2 portion, and class D-2 portion, of the class B, class C, and class D certificates respectively. The notional amount of the class X-EXT certificates will equal the sum of the class B, class C, and class D certificates. (iii)Non-offered vertical interest certificate. NR--Not rated. HPS LOAN 11-2017: Moody's Assigns B2(sf) Rating to Cl. F Notes -------------------------------------------------------------- Moody's Investors Service has assigned ratings to six classes of notes issued by HPS Loan Management 11-2017, Ltd. Moody's rating action is: US$320,000,000 Class A Senior Secured Floating Rate Notes due 2030 (the "Class A Notes"), Assigned Aaa (sf) US$57,500,000 Class B Senior Secured Floating Rate Notes due 2030 (the "Class B Notes"), Assigned Aa2 (sf) US$28,500,000 Class C Secured Deferrable Floating Rate Notes due 2030 (the "Class C Notes"), Assigned A2 (sf) US$32,500,000 Class D Secured Deferrable Floating Rate Notes due 2030 (the "Class D Notes"), Assigned Baa3 (sf) US$21,500,000 Class E Secured Deferrable Floating Rate Notes due 2030 (the "Class E Notes"), Assigned Ba3 (sf) US$5,265,000 Class F Secured Deferrable Floating Rate Notes due 2030 (the "Class F Notes"), Assigned 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." RATINGS RATIONALE Moody's ratings of the Rated Notes address the expected losses posed to noteholders. The ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. HPS CLO 11-2017 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated first lien senior secured corporate loans. At least 90% of the portfolio must consist of senior secured loans, cash, and eligible investments, and up to 10% of the portfolio may consist in the aggregate of second lien loans and unsecured loans. The portfolio is approximately 78% ramped as of the closing date. HPS Investment Partners CLO (US), LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's 5 year reinvestment period. Thereafter, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets, subject to certain restrictions. In addition to the Rated Notes, the Issuer issued one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in October 2016. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $500,000,000 Diversity Score: 55 Weighted Average Rating Factor (WARF): 2827 Weighted Average Spread (WAS): 3.55% Weighted Average Coupon (WAC): 7.50% 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 2827 to 3251) 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: 0 Percentage Change in WARF -- increase of 30% (from 2827 to 3675) 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 JP MORGAN 2003-LN1: S&P Lowers Rating on Class J Certs to D ----------------------------------------------------------- S&P Global Ratings raised its rating on the class H commercial mortgage pass-through certificates from JPMorgan Chase Commercial Mortgage Securities Corp.'s series 2003-LN1, a U.S. commercial mortgage-backed securities (CMBS) transaction. At the same time, S&P lowered its rating on class 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 loans in the pool, the transaction's structure, and the liquidity available to the trust. S&P raised its rating on class H to reflect its expectation of the available credit enhancement for this class, which S&P believes is greater than its most recent estimate of necessary credit enhancement for the respective rating levels, S&P's view regarding the current and future performance of the transaction's collateral, significant reduction in the trust balance as well as the class's interest shortfall history. S&P lowered its rating on class J to 'D (sf)' because S&P expects the accumulated interest shortfalls to remain outstanding for the foreseeable future. Class J has experienced nine consecutive months of interest shortfalls because interest payment due to this class is being diverted to repay prior principal shortfalls to the trust. TRANSACTION SUMMARY As of the May 15, 2017, trustee remittance report, the collateral pool balance was $16.6 million, which is 1.4% of the pool balance at issuance; however, the asset balance is $17.3 million. The pool currently includes three loans, down from 174 loans at issuance. Two of these loans ($1.8 million, 10.6% of the asset balance) are defeased, and no loans are on master servicer's watchlist or with the special servicer. The master servicer, Wells Fargo Bank N.A., reported year-end 2016 financial information for the nondefeased loan in the pool. The Piilani Shopping Center loan ($15.4 million, 89.4% of the asset balance) is the sole remaining loan secured by commercial real estate. S&P calculated a 1.54x S&P Global Ratings' debt service coverage and 60.2% S&P Global Ratings' loan-to-value ratio using a 8.25% S&P Global Ratings' capitalization rate for this loan. To date, the transaction has experienced $47.9 million in principal losses, or 4.0% of the original pool trust balance. RATINGS LIST JPMorgan Chase Commercial Mortgage Securities Corp. Commercial mortgage pass-through certificates series 2003-LN1 Rating Class Identifier To From H 46625MB81 AA+ (sf) BB (sf) J 46625MB99 D (sf) B- (sf) JP MORGAN 2004-C2: Moody's Cuts Rating on Cl. X Certs to Caa2(sf) ----------------------------------------------------------------- Moody's Investors Service has upgraded two classes, downgraded one class and affirmed five classes in J.P. Morgan Chase Commercial Mortgage Securities Corp., Commercial Mortgage Pass-Through Certificates, Series 2004-C2: Cl. H, Upgraded to Baa1 (sf); previously on Aug 4, 2016 Upgraded to Baa3 (sf) Cl. J, Upgraded to Baa3 (sf); previously on Aug 4, 2016 Upgraded to Ba2 (sf) Cl. K, Affirmed Caa1 (sf); previously on Aug 4, 2016 Upgraded to Caa1 (sf) Cl. L, Affirmed Caa3 (sf); previously on Aug 4, 2016 Affirmed Caa3 (sf) Cl. M, Affirmed C (sf); previously on Aug 4, 2016 Affirmed C (sf) Cl. N, Affirmed C (sf); previously on Aug 4, 2016 Affirmed C (sf) Cl. P, Affirmed C (sf); previously on Aug 4, 2016 Affirmed C (sf) Cl. X, Downgraded to Caa2 (sf); previously on Aug 4, 2016 Upgraded to Caa1 (sf) RATINGS RATIONALE The ratings on the P&I classes, classes H and J, were upgraded based primarily on an increase in credit support resulting from loan paydowns and amortization, as well as Moody's expectation of additional increases in credit support resulting from the fully amortizing loans. The deal has paid down 51% since Moody's last review, and the fully amortizing loans represent 36% of the pool. The ratings on the P&I classes, classes K through P, were affirmed because the ratings are consistent with Moody's expected loss. The rating on the IO class was downgraded due to the decline in the credit performance (or the weighted average rating factor or WARF) of the referenced classes. Moody's rating action reflects a base expected loss of 3.9% of the current balance, compared to 5.8% at Moody's last review. Moody's base expected loss plus realized losses is now 1.3% of the original pooled balance, compared to 1.5% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in October 2015. 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 JPMCC 2004-C2. 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 3, compared to 5 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 May 15, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 97% to $31.75 million from $1.03 billion at securitization. The certificates are collateralized by 11 mortgage loans ranging in size from less than 1% to 50% of the pool. Two loans, constituting 8% of the pool, have defeased and are secured by US government securities. There is currently one loan, constituting 10% of the pool, 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. Ten loans have been liquidated from the pool, resulting in an aggregate realized loss of $12.25 million (for an average loss severity of 30%). One loan, constituting 6% of the pool, is currently in special servicing. The specially serviced loan is the Hillside MHP Portfolio Loan ($1.9 million -- 6.1% of the pool), which is secured by three manufactured housing properties located in Mount Morris, Nunda and Silver Springs, New York, approximately 50 miles south of Rochester. The loan transferred to special servicing in April 2014 for maturity default, however the borrower continued to remit debt service payments (accepted subject to non-waiver) until July 2015. The Borrower was unable to refinance and foreclosure is anticipated in June 2017. As of January 2017, the portfolio was 65% occupied. Moody's received full year 2015 operating results for 100% of the pool, and full or partial year 2016 operating results for 94% of the pool. The top three conduit loans represent 68% of the pool balance. The largest loan is the Employers Reinsurance Corporation II Loan ($15.8 million -- 49.9% of the pool), which is secured by a three-story Class B office building with a total net rentable area of 166,641 square feet (SF) in Kansas City, Missouri. The property is fully leased by Swiss Reinsurance America Corporation (Moody's rated Aa3, Insurance Financial Strength) with a lease expiration in April 2019. Swiss Reinsurance America Corporation is currently subleasing their space to Burns & McDonnell, an engineering, architecture, construction, environmental and consulting firm, based in Kansas City, Missouri. Moody's value incorporates a lit/dark analysis to account for the lease rollover risk associated with the single tenancy. Moody's LTV and stressed DSCR are 98% and 0.99X, respectively, compared to 82% and 1.19X at the last review. The second largest is the Alta Decatur Shopping Center Loan ($3.1 million -- 9.7% of the pool), which is secured by a 61,120 square foot retail center located in Las Vegas, Nevada, approximately six miles from the strip. The property is 100% occupied as of April 2017 consisting of two pads on ground leases occupied by Taco Bell and McDonald's and a stand-alone Walgreens. Moody's LTV and stressed DSCR are 53% and 1.83X, respectively, compared to 58% and 1.67X at the last review. The third largest loan is the Spring Valley II Apartments Loan ($2.6 million --- 8.3% of the pool), which is secured by an 120 unit apartment complex built in 2002. As per the December 2016 rent roll was 98% occupied, the same as in December 2015. Moody's LTV and stressed DSCR are 63% and 1.51X, respectively, compared to 60% and 1.57X at the last review. JP MORGAN 2005-CIBC12: Fitch Affirms 'CCsf' Rating on Cl. B Debt ---------------------------------------------------------------- Fitch Ratings has affirmed 14 classes of J.P. Morgan Chase Commercial Mortgage Securities Corp., series 2005-CIBC12. KEY RATING DRIVERS The affirmations are based on the stable performance of the pool since last rating action. As of the May 2017 distribution date, the pool's aggregate principal balance has been reduced by 94.5% to $122.1 million from $2.22 billion at issuance. Specially Serviced Loans: The two largest remaining assets are in special servicing. The two loans total 55.4% of remaining pool balance and are collateralized by struggling retail properties, both of which have lost anchor tenants. This includes a tertiary market mall, Fort Steuben Mall, which recently became real estate owned (REO). Fort Steuben Mall reflects Sears and Macy's anchors that have recently closed and a JCPenney that remains open at present. The ultimate resolution strategy for both of these assets will likely be the sale of the collateral property. Concentrated Pool: The pool is highly concentrated with only nine loans remaining. Due to the concentrated nature of the pool, Fitch performed a sensitivity analysis which grouped the remaining loans based on loan structural features, collateral quality and performance which ranked them by their perceived likelihood of repayment. This includes defeased loans, fully amortizing loans, balloon loans, and Fitch Loans of Concern. The ratings reflect this sensitivity analysis. RATING SENSITIVITIES Rating Outlook for class A-J is Negative given the potential for higher losses related to the specially serviced loans, particularly the Fort Steuben Mall. Additionally, this class reflects the potential for downgrade should the Discovery Channel Building loan face refinance challenges. While unlikely, upgrades are possible given further defeasance, improved loan-level performance, or lower than expected realized loss severities. Fitch has affirmed the following classes and assigned Recovery Estimates as indicated: -- $33.7 million class A-J at 'Asf'; Outlook Negative; -- $43.3 million class B at 'CCsf'; RE 90%; -- $19.0 million class C at 'Csf' '; RE 0% -- $26.1 million class D at 'Dsf'; RE 0%; -- $0 class E at 'Dsf'; RE 0%; -- $0 class F at 'Dsf'; RE 0%; -- $0 class G at 'Dsf'; RE 0%; -- $0 class H at 'Dsf'; RE 0%; -- $0 class J at 'Dsf'; RE 0%; -- $0 class K at 'Dsf'; RE 0%; -- $0 class L at 'Dsf'; RE 0%; -- $0 class M at 'Dsf'; RE 0%; -- $0 class N at 'Dsf'; RE 0%; -- $0 class P at 'Dsf'; RE 0%. The class A-1, A-2, A-3A1, A-3A2, A-3B, A-SB, A-4, A-M, and UHP certificates have been paid in full. Fitch does not rate the class NR certificate. Fitch withdrew the ratings on the interest-only class X-1 and X-2 certificates. JP MORGAN 2006-CH1: Moody's Hikes Cl. M-3 Debt Rating to B3 ----------------------------------------------------------- Moody's Investors Service has upgraded the ratings of seven tranches from J.P. Morgan Mortgage Acquisition Trust 2006-CH1. The transaction is backed by subprime mortgage loans. Complete rating actions are: Issuer: J.P. Morgan Mortgage Acquisition Trust 2006-CH1 Cl. A-1, Upgraded to Aaa (sf); previously on Jul 19, 2016 Upgraded to A1 (sf) Cl. A-5, Upgraded to Aaa (sf); previously on Jul 19, 2016 Upgraded to A1 (sf) Cl. M-2, Upgraded to Ba3 (sf); previously on Sep 1, 2015 Upgraded to B1 (sf) Cl. M-3, Upgraded to B1 (sf); previously on Sep 1, 2015 Upgraded to B3 (sf) Cl. M-4, Upgraded to B1 (sf); previously on Sep 1, 2015 Upgraded to Caa1 (sf) Cl. M-5, Upgraded to B3 (sf); previously on Jun 12, 2009 Downgraded to C (sf) Cl. M-6, Upgraded to Ca (sf); previously on Jun 12, 2009 Downgraded to C (sf) RATINGS RATIONALE The rating upgrades are primarily due to the total credit enhancement available to the bonds and improvements in Moody's projections of collateral expected losses. The actions reflect the recent performance of the underlying pools and Moody's updated loss expectation on these pools. The rating actions on Cl. M-4 and Cl. M-6 also partially reflect a correction to the cash-flow model previously used by Moody's in rating this transaction. In prior rating actions, the cash flow model did not reimburse losses and/or arrears after a tranche was paid down. This error has now been corrected, and rating action reflects this change. 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 4.4% in April 2017 from 5.0% in April 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. JP MORGAN 2006-CH2: Moody's Hikes Rating on Class AV-4 Debt to B3 ----------------------------------------------------------------- Moody's Investors Service has upgraded the rating of 2 tranches, from 1 transaction issued by J.P.Morgan. Complete rating actions are: Issuer: J.P. Morgan Mortgage Acquisition Trust 2006-CH2 Cl. AV-4, Upgraded to B3 (sf); previously on Jan 20, 2015 Upgraded to Caa2 (sf) Cl. AV-5, Upgraded to Caa1 (sf); previously on Jan 20, 2015 Upgraded to Caa3 (sf) RATINGS RATIONALE The upgrades are primarily due to the total credit enhancement available to the bonds. The actions reflect the recent performance of the underlying pools and Moody's updated loss expectations on the pools. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in January 2017. Factors that would lead to an upgrade or downgrade of the ratings: Ratings in the US RMBS sector remain exposed to the high level of macroeconomic uncertainty, and in particular the unemployment rate. The unemployment rate fell to 4.4% in April 2017 from 5.0% in April 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. JP MORGAN 2007-LDP10: Fitch Cuts Rating on Cl. A-M Certs to CCCsf ----------------------------------------------------------------- Fitch Ratings has downgraded one and affirmed 23 classes of J.P. Morgan Chase Commercial Mortgage Securities Trust, commercial mortgage pass-through certificates, series 2007-LDP10 (JPMCC 2007-LDP10). KEY RATING DRIVERS High Loss Expectations: The downgrade of class A-M reflects the high loss expectation of the remaining pool relative to the class' credit enhancement, indicating default risk is a possibility. Fitch modeled losses of 68.5% on the remaining pool; expected losses on the original pool balance total 18.8%, including $526.7 million (9.9% of the original pool balance) in realized losses to date. Although recoveries were better than previously modeled on the loans disposed since the last rating action, this was offset by significantly higher losses expected on the specially serviced loans/assets. Expected losses have increased from 17.9% at the last rating action. Pool Concentration; Adverse Selection: The pool is concentrated with 22 of the original 223 loans remaining, which includes one loan (29.4% of the current pool balance) that was previously modified into A/B notes and another loan (4.4%) previously modified into A/B/C notes. Sixteen loans (82.6%) are currently in special servicing, and an additional four loans (15.5%) were classified as Fitch Loans of Concern. Specially Serviced Disposition Timing: The ultimate resolution of loan/asset workouts and the timing of their disposition remain uncertain. This directly affects the repayment of class A-M, which relies upon the proceeds from the disposition of loans/assets in special servicing. Loan Concentrations: The largest asset, The Skyline Portfolio, and second largest loan, Lafayette Property Trust, both of which are in special servicing, comprise 29.4% and 29% of the current pool, respectively, and remain the largest contributors to Fitch-modeled losses for the pool. The largest contribution to Fitch-modeled losses is the Skyline Portfolio asset. The loan, which is secured by a portfolio of eight office buildings totaling 2.6 million square feet (sf) and located in Falls Church, VA, transferred back to the special servicer for a second time in April 2016 for imminent default. Portfolio performance had not improved since the loan was modified in October 2013 and returned to the master servicer in February 2014. The sponsor was not willing to contribute any additional funds to the portfolio and agreed to a cooperative transition of the portfolio to real-estate owned (REO). The properties were foreclosed upon in December 2016. Overall portfolio occupancy was a mere 45.9%, with the six older Skyline buildings (Skyline One through Six) being 24.5% leased, while One Skyline Tower was 97% leased and Seven Skyline Place was 70% leased. The special servicer is still determining workout strategy at this time, while addressing leasing and deferred maintenance items. The loan had first transferred to special servicing in March 2012 for imminent default as portfolio occupancy was negative impacted by the Base Realignment and Closure statute. The October 2013 loan modification bifurcated the total debt into a $350 million A-note and a $328 million B-note (trust portion, $105 million A-note and $98.4 million B-note). The loan's maturity had been extended to February 2022, with a one-year extension option if certain performance metrics are attained. The next largest contributor to Fitch modeled losses is the Lafayette Property Trust loan, which was originally secured by a portfolio of nine properties, eight of which were office and one was a single-tenant Clyde's restaurant, comprising approximately 842,600 sf and located in Alexandria, VA within the Mark Center, a 350-acre master-planned community 10 minutes from the Washington D.C. central business district and Reagan National Airport. The loan was transferred to special servicing in November 2015 due to imminent default. The borrower had delivered written notice of its inability to make loan payments and fund tenant improvements and leasing commissions following the August 2015 lease expiration of the portfolio's largest tenant, CNA Corporation. A receiver was appointed in November 2015. In April 2016, the trust took title to three of the office buildings and in February 2017, the single-tenant Clyde's restaurant building was also foreclosed upon. Foreclosure is expected for the remaining five office properties. One of the foreclosed upon office properties, 1701 N. Beauregard Street, was recently sold in April 2017. As of the May 2017 distribution date, the pool's aggregate principal balance has been reduced by 87% to $690.9 million from $5.33 billion at issuance. Cumulative interest shortfalls totaling $66.4 million are currently affecting the A-J classes through class NR. RATING SENSITIVITIES Downgrades to the remaining distressed classes will occur as losses are realized. Upgrades are not expected due to adverse selection and significant losses anticipated on the remaining pool. DUE DILIGENCE USAGE No third-party due diligence was provided or reviewed in relation to this rating action. Fitch has downgraded the following class: -- $238.3 million class A-M to 'CCCsf' from 'Bsf'; RE 90%. In addition, Fitch has affirmed the following classes: -- $200.7 million class A-J at 'Csf'; RE 0%; -- $58.8 million class A-JS at 'Csf'; RE 0%; -- $100 million class A-JFX at 'Csf'; RE 0%; -- $62.7 million class B at 'Dsf'; RE 0%; -- $30.4 million class B-S at 'Dsf'; RE 0%; -- $0 class C at 'Dsf'; RE 0%; -- $0 class C-S at 'Dsf'; RE 0%; -- $0 class D at 'Dsf'; RE 0%; -- $0 class D-S at 'Dsf'; RE 0%; -- $0 class E at 'Dsf'; RE 0%; -- $0 class E-S at 'Dsf'; RE 0%; -- $0 class F at 'Dsf'; RE 0%; -- $0 class F-S at 'Dsf'; RE 0%; -- $0 class G at 'Dsf'; RE 0%; -- $0 class G-S at 'Dsf'; RE 0%; -- $0 class H at 'Dsf'; RE 0%; -- $0 class H-S at 'Dsf'; RE 0%; -- $0 class J at 'Dsf'; RE 0%; -- $0 class K at 'Dsf'; RE 0%; -- $0 class L at 'Dsf'; RE 0%; -- $0 class M at 'Dsf'; RE 0%; -- $0 class N at 'Dsf'; RE 0%; -- $0 class P at 'Dsf'; RE 0%. The class A-1, A-1S, A-2, A-2S, A-2SFX, A-2SFL, A-3, A-3S, A-1A and A-MS certificates have paid in full. Fitch does not rate the fully depleted class NR certificates. Fitch previously withdrew the rating on the interest-only class X certificates and the class A-JFL certificates. JPMCC 2017-JP6: DBRS Gives Prov BB Rating to Class F-RR Certs ------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2017-JP6 (the Certificates) issued by the JPMCC 2017-JP6 Mortgage Trust: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-SB at AAA (sf) -- Class X-A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (high) (sf) -- Class X-B at AA (low) (sf) -- Class C at A (high) (sf) -- Class D at A (sf) -- Class E-RR at BBB (sf) -- Class F-RR at BB (sf) -- Class G-RR at B (high) (sf) All trends are Stable. Classes D, E-RR, F-RR, G-RR, and NR-RR will be privately placed. The Class X-A and X-B balances are notional. The collateral consists of 42 fixed-rate loans secured by 72 commercial and multifamily properties. The transaction is a sequential-pay, pass-through structure. The conduit pool was analyzed to determine the provisional ratings, reflecting the long-term probability of loan default within the term and its liquidity at maturity. When the cut-off loan balances were measured against the DBRS Stabilized net cash flow (NCF) and their respective actual constants, two loans, representing 6.8% of the total pool, had a DBRS Term debt service coverage ratio (DSCR) below 1.15 times (x), a threshold indicative of a higher likelihood of mid-term default. Additionally, to assess refinance risk given the current low interest rate environment, DBRS applied its refinance constants to the balloon amounts. This resulted in 15 loans, representing 50.8% of the pool, having refinance DSCRs below 1.00x. Term default risk is low, as indicated by a relatively strong DBRS Term DSCR of 1.63x. In addition, 20 loans, representing 57.0% of the pool, have DBRS Term DSCRs in excess of 1.50x, including eight of the top 15 loans. Even with the exclusion of 211 Main Street, which represents 8.3% of the pool with a DBRS Term DSCR of 2.21x, the deal continues to exhibit a moderate DBRS Term DSCR of 1.58x. The two largest loans, 245 Park Avenue and 211 Main Street, which comprise 25.4% of the DBRS sample, have Strong sponsorship. Furthermore, DBRS only identified two loans, which combined represent just 2.5% of the DBRS sample, that have sponsorship and/or loan collateral associated with a voluntary bankruptcy filing, a prior DPO, a loan default, limited net worth and/or liquidity, a historical negative credit event and/or inadequate commercial real estate experience. Four loans, representing 28.4% of the pool, are located in urban markets with increased liquidity that benefit from consistent investor demand, even in times of stress. Of these, three loans, totaling 25.8% of the transaction balance, are considered to be located in Super Dense Urban markets, which DBRS defines as gateway locations with extremely high liquidity and low cap rates. Urban markets represented in the deal include New York, San Francisco and Sunnyvale, California. Only four loans, comprising 5.7% of the pool, are secured by collateral located in tertiary markets, and no properties are located in rural markets. The transaction's weighted-average DBRS Refi DSCR is 1.01x, indicating higher refinance risk on an overall pool level, and the transaction has a high concentration of loans suffering from elevated refinance risk. Fifteen loans, representing 50.8% of the pool, have DBRS Refi DSCRs less than 1.00x. Eight loans, representing 35.9% of the pool, have a DBRS Refi DSCR less than 0.90x. The pool has a high concentration of properties that are secured by office assets, with office assets representing 52.7% of the pool. Furthermore, the transaction has a moderate concentration of loans (23.4% of the pool) that are secured by assets either fully or primarily used as retail. The retail sector has generally underperformed since the Great Recession because of declining consumer spending power, store closures, chain bankruptcies and the rapidly growing popularity of e-commerce. According to the U.S. Census Bureau, e-commerce sales represented 7.0% of total retail sales in 2015 compared with 3.9% in 2009. As the e-commerce share of sales is expected to continue to grow significantly in the coming years, the retail real estate sector may continue to be relatively weak. Six loans, representing 23.2% of the pool, are secured by properties that are either fully or primarily leased to a single tenant, and four of these loans are in the top 15. Loans secured by properties occupied by single tenants have been found to suffer from higher loss severities in the event of default. As such, DBRS assumed a higher loss profile for the loans secured by single-tenant assets than it did for the loans secured by multi-tenant assets. The DBRS sample included 27 of the 42 loans in the pool. Site inspections were performed on 38 of the 72 properties in the portfolio (75.5% of the pool by allocated loan balance). The DBRS sample had an average NCF variance of -10.2% from the Issuer's NCF and ranged from -26.1% (Diamond Hill Apartments) to +1.7% (211 Main Street). The rating assigned to Class G-RR differs from the higher rating implied by the Large Pool Multi-borrower Parameters. DBRS considers this difference to be a material deviation from the methodology and, in this case, the ratings reflect the dispersion of loan-level cash flows expected to occur post-issuance. The ratings assigned to the Certificates by DBRS are based exclusively on the credit provided by the transaction structure and underlying trust assets. All classes will be subject to ongoing surveillance, which could result in upgrades or downgrades by DBRS after the date of issuance. LB COMMERCIAL 1998-C4: Moody's Affirms C(sf) Rating on Cl. L Debt ----------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on two classes, upgraded the rating on one class and downgraded the rating on one class in LB Commercial Trust 1998-C4: Cl. J, Upgraded to Aa1 (sf); previously on Jun 2, 2016 Upgraded to Aa3 (sf) Cl..K, Affirmed B1 (sf); previously on Jun 2, 2016 Upgraded to B1 (sf) Cl. L, Affirmed C (sf); previously on Jun 2, 2016 Affirmed C (sf) Cl. X, Downgraded to Caa3 (sf); previously on Jun 2, 2016 Affirmed Caa2 (sf) RATINGS RATIONALE The rating on one P&I class, Class J, was upgraded primarily due to an increase in credit support since Moody's last review, resulting from amortization. The pool has paid down by 15.4% since Moody's last review. Additionally, defeasance has increased to 32.6% of the pooled balance, compared to 20.5% at Moody's last review. The ratings on two P&I classes, Classes K and L, were affirmed because the ratings are consistent with Moody's expected loss plus realized losses. The rating on the IO Class was downgraded due to a decline in 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 2.8% of the current balance, compared to 3.0% at Moody's last review. Moody's base expected loss plus realized losses is now 2.1% of the original pooled balance, the same as at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://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. 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 LBCMT 1998-C4. 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 8, compared to 12 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. In evaluating the Credit Tenant Lease (CTL) component, Moody's used a Gaussian copula model, incorporated in its public CDO rating model CDROM to generate a portfolio loss distribution to assess the ratings. DEAL PERFORMANCE As of the May 15, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 98.1% to $37.7 million from $2.0 billion at securitization. The certificates are collateralized by 34 mortgage loans ranging in size from less than 1% to 15.2% of the pool, with the top ten loans (excluding defeasance) constituting 59.6% of the pool. Fourteen loans, constituting 32.6% of the pool, have defeased and are secured by US government securities. The pool contains a Credit Tenant Lease (CTL) component that includes 10 loans, representing 9.3% of the pool. Two loans, constituting 3.8% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Twenty-eight loans have been liquidated with a loss, resulting in an aggregate realized loss of $42.3 million (for an average loss severity of 29%). Two loans, constituting 7.5% of the pool, are currently in special servicing. The largest specially serviced loan is the Westgate Plaza Loan ($1.4 million -- 3.9% of the pool), which is secured by a 45,000 square foot (SF) retail property, located in Elizabethtown, North Carolina. The largest tenant; Tractor Supply Co. occupies 58% of the NRA with a lease expiration of September 2022. The space was previously occupied by Food Lion who vacated in 2007. The loan transferred to Special Servicing in May 2010 for imminent default, however the borrower has kept the loan current. As per the December 2016 rent roll the property was 100% leased. Moody's analysis incorporated a minimal loss for this loan. The remaining specially serviced loan is secured by a retail property. 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 57.9%, compared to 54.7% 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 26.5% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 10.08%. Moody's actual and stressed conduit DSCRs are 1.45X and 2.36X, respectively, compared to 1.50X and 2.46X 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 35.3% of the pool balance. The largest loan is the Pinnacle Center Loan ($5.7 million -- 15.2% of the pool), which is secured by a 230,000 square foot (SF) retail property located in Thornton, Colorado. The property is anchored by a Hobby Lobby, 21% of the NRA, with a lease expiration of June 2017. As per the December 2016 rent roll, the property was 88% leased compared to, 86% leased as of September 2015. The loan benefits from amortization as it has amortized 32% since securitization. Moody's LTV and stressed DSCR are 76.4% and 1.41X, respectively, compared to 66% and 1.64X at the last review. The second largest loan is the Chesterfield Meadows Shopping Center Loan ($4.6 million -- 12% of the pool), which is secured by a 70,000 square foot (SF) retail center located in Richmond, Virginia. As per the March 2017 rent roll, the property was 82% occupied, compared to, 83% leased as of March 2016. The loan benefits from amortization as it has amortized 33% since securitization. Moody's LTV and stressed DSCR are 63.6% and 1.7X, respectively, compared to 66.4% and 1.63X at the last review. The third largest loan is the Cineplex Multiplex Loan ($3 million -- 8% of the pool), which is secured by a 48,000 square foot (SF) cinema located in Huntington, New York. This fully amortizing loan has paid down 54% since securitization. Both the theater's lease expiration and the loan maturity are in September 2023. Due to the single tenant exposure, Moody's valuation reflects a lit/dark analysis. Moody's LTV and stressed DSCR are 42.8% and 2.78X, respectively, compared to 43.9% and 2.71X at the last review. The CTL component consists of 10 loans, constituting 9.3% of the pool, secured by properties leased to five tenants. The largest CTL exposures are CVS Health ($1.4 million -- 40.8 % of the pool; senior unsecured rating: Baa1 -- stable outlook) and Sears Holdings Corp ($1.05 million -- 30.2 % of the pool; senior unsecured rating: Ca -- stable outlook). Four of the tenants have a Moody's rating and Moody's has completed updated credit assessments for the non-Moody's rated tenants. The bottom-dollar weighted average rating factor (WARF) for this pool is 4,125, compared to 2,538 at the last review. WARF is a measure of the overall quality of a pool of diverse credits. The bottom-dollar WARF is a measure of default probability. LB-UBS COMMERCIAL 2007-C1: S&P Raises Rating on Cl. D Certs to BB ----------------------------------------------------------------- S&P Global Ratings raised its ratings on three classes of commercial mortgage pass-through certificates from LB-UBS Commercial Mortgage Trust 2007-C1, a U.S. commercial mortgage-backed securities (CMBS) transaction. In addition, S&P affirmed its rating on the class F certificates 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. S&P raised its ratings on classes C, D, and E to reflect its expectation of the available credit enhancement for these classes, which S&P believes is greater than its most recent estimates of necessary credit enhancement for the respective rating levels. The upgrades also reflect the significant reduction in the trust balance. The affirmation on the class F certificates reflects S&P's expectation that this class would remain susceptible to reduced liquidity support available to the class because of interest shortfalls affecting the trust from the 16 specially serviced assets ($166.8 million, 91.9%). While available credit enhancement levels suggest further positive rating movements on classes C, D, and E and positive rating movement on class F, S&P's analysis also considered the reduced liquidity support. TRANSACTION SUMMARY As of the May 17, 2017, trustee remittance report, the collateral pool balance was $181.4 million, which is 4.9% of the pool balance at issuance. The pool currently includes 10 loans and seven real estate-owned (REO) assets (reflecting GTECH Office Campus crossed assets as one asset), down from 139 loans at issuance. Sixteen of these assets are with the special servicer, and no loans are on the master servicer's watchlist or defeased. The master servicer, KeyBank Real Estate Capital, reported financial information for 86.3% of the loans in the pool, of which 45.2% was partial-year or year-end 2015 data, and the remainder was partial-year or year-end 2016 data. The top 10 assets have an aggregate outstanding pool trust balance of $152.9 million (84.3%). Nine of the top 10 assets are defaulted. For the sole performing loan in the transaction, S&P calculated a 1.07x S&P Global Ratings weighted average debt service coverage (DSC) and 93.1% S&P Global Ratings weighted average loan-to-value (LTV) ratio using an 8.0% S&P Global Ratings weighted average capitalization rate. To date, the transaction has experienced $166.9 million in principal losses, or 4.5% of the original pool trust balance. S&P expects losses to reach approximately 6.3% of the original pool trust balance in the near term, based on losses incurred to date and additional losses S&P expects upon the eventual resolution of the specially serviced assets. CREDIT CONSIDERATIONS As of the May 17, 2017, trustee remittance report, 16 assets were with the special servicer, LNR Partners, LLC. Details of the two largest specially serviced assets are: The GTECH Office Campus Crossed REO asset (aggregate balance $30.9 million, 17.1%) is the largest asset in the transaction and has a total reported exposure of $34.4 million. The asset consists of two suburban office properties totaling 263,000 sq. ft. located in West Greenwich, R.I. The two loans are crossed-collateralized and crossed-defaulted: GTECH Office Campus-GTECH ($16.0 million, 8.8%) and GTECH Office Campus-Immunex ($14.9 million, 8.2%). Both loans were transferred to the special servicer on Sept. 19, 2014, because of imminent default and became REO on March 31, 2015. The GTECH Office Campus-Immunex property (93,000 sq. ft.) is currently vacant, while the GTECH Office Campus-GTECH property (170,000 sq. ft.) is 100% occupied by Gtech Corp. under a lease that expires in November 2019. An appraisal reduction amount (ARA) of $19.2 million is in effect against the asset. S&P expects a significant loss upon the eventual resolution of this asset. The CVS - Vero Beach loan ($29.7 million, 16.4%) is the second-largest loan in the transaction and has a total reported exposure of $30.4 million. The collateral is a 412,781 sq. ft. industrial warehouse in Vero Beach, Fla., which operates as a distribution center for CVS. The loan was transferred to the special servicer on De. 27, 2016, because of imminent maturity default. The loan matured on Jan. 11, 2017, and the lease to CVS expires on Jan. 31, 2031. The reported DSC and occupancy as of year-end 2016 were 1.28x and 100.0%, respectively. S&P expects a minimal loss upon this loan's eventual resolution. The remaining assets with the special servicer each have individual balances that represent less than 7.6% of the total pool trust balance. S&P estimated losses for the specially serviced assets, arriving at a weighted average loss severity of 39.8%. With respect to the specially serviced assets noted above, a minimal loss is less than 25%, and a significant loss is 60% or greater. RATINGS LIST LB-UBS Commercial Mortgage Trust 2007-C1 Commercial mortgage pass-through certificates series 2007 C-1 Rating Class Identifier To From C 50179AAK3 A (sf) B- (sf) D 50179AAL1 BB (sf) CCC (sf) E 50179AAM9 B (sf) CCC (sf) F 50179AAN7 CCC- (sf) CCC- (sf) LEAF RECEIVABLES 2017-1: DBRS Finalizes BB(high) Rating on E-2 Debt ------------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following classes of notes issued by LEAF Receivables Funding 12, LLC – Equipment Contract Backed Notes, Series 2017-1 (the Notes): -- $89,000,000 Class A-1 rated R-1 (high) (sf) -- $91,000,000 Class A-2 rated AAA (sf) -- $82,000,000 Class A-3 rated AAA (sf) -- $24,234,000 Class A-4 rated AAA (sf) -- $14,427,000 Class B rated AAA (sf) -- $14,071,000 Class C rated AA (sf) -- $9,797,000 Class D rated A (sf) -- $13,893,000 Class E-1 rated BBB (high) (sf) -- $11,578,000 Class E-2 rated BB (high) (sf) The ratings are based on DBRS's review of the following analytical considerations: -- Form and sufficiency of available credit enhancement and its ability to withstand the expected losses under various stressed cash flow modeling scenarios. -- The transaction parties’ capabilities with regard to origination and servicing. -- The credit quality of the collateral pool and the historical performance of the LEAF Commercial Capital, Inc. portfolio. -- The legal opinions, which address the true sale of the assets, non-consolidation of the issuing entity, that the issuing entity has a valid first-priority security interest in the assets and the consistency with the DBRS “Legal Criteria for U.S. Structured Finance” methodology. The Notes are issued in nine classes — Classes A-1, A-2, A-3, A-4 Notes (the Class A Notes), Class B Notes, Class C Notes, Class D Notes, Class E-1 Notes and Class E-2 Notes — the respective interest and principal payments on which will be made in sequential order of seniority. Thus, the initial hard credit enhancement for the Class A-1 Notes of 76.5% includes the Class A-2 (25.5%), A-3 (23.0%) and A-4 (6.8%) Notes, the Class B Notes (4.0%), the Class C Notes (3.9%), the Class D Notes (2.8%), the Class E-1 Notes (3.9%), the Class E-2 Notes (3.3%), funds on deposit in a fully funded and non-declining Reserve Account (1.50%) and overcollateralization (OC; 1.75%). The corresponding initial hard credit enhancement for the Class A-2, Class A-3, Class A-4, Class B, Class C, Class D and the Class E-1 Notes are 51.0%, 28.0%, 21.2%, 17.1%, 13.2%, 10.4% and 6.5%, respectively. The initial Class E-2 credit support of 3.25% comprises the Reserve Account and OC. Additional credit support may be provided from excess spread available in the structure. Subject to availability of funds and priority of payments, the OC will build to 6.00% of the Aggregate Asset Balance with a floor of 2.00% of the Initial Aggregate Asset Balance. LEAF RECEIVABLES 2017-1: Moody's Gives Ba3 Rating to Cl. E-2 Notes ------------------------------------------------------------------ Moody's Investors Service has assigned definitive ratings to the notes issued by LEAF Receivables Funding 12, LLC, Series 2017-1 (LEAF 2017-1), sponsored by LEAF Commercial Capital, Inc. (LEAF; unrated). The transaction is a securitization of loans and leases originated by LEAF Capital Funding, LLC and secured by small to medium ticket equipment, including office, telephony, medical and industrial equipment. The complete rating actions are: Issuer: LEAF Receivables Funding 12, LLC, Series 2017-1 $91,000,000 Class A-2 Notes, Definitive Rating Assigned Aaa (sf) $82,000,000 Class A-3 Notes, Definitive Rating Assigned Aaa (sf) $24,234,000 Class A-4 Notes, Definitive Rating Assigned Aaa (sf) $14,427,000 Class B Notes, Definitive Rating Assigned Aa2 (sf) $14,071,000 Class C Notes, Definitive Rating Assigned A1 (sf) $9,797,000 Class D Notes, Definitive Rating Assigned A3 (sf) $13,893,000 Class E-1 Notes, Definitive Rating Assigned Baa3 (sf) $11,578,000 Class E-2 Notes, Definitive Rating Assigned Ba3 (sf) RATINGS RATIONALE The ratings are based on the quality of the underlying equipment contracts; the strong and steady historical performance of similar contracts originated by LEAF Capital Funding, LLC; the transaction's sequential pay structure; the experience and expertise of LEAF, as the transaction servicer; and the back-up servicing arrangement with U.S. Bank National Association (long-term deposits Aa1/ long-term CR assessment Aa2(cr), short-term deposit P-1, BCA aa3). Moody's cumulative net loss expectation for the LEAF 2017-1 transaction is 3.0%, and the Aaa level is 23.0%. Moody's cumulative net loss expectation is based on its analysis of the credit quality of the underlying collateral, the historical performance of LEAF's prior securitizations and managed portfolio, the ability of LEAF to perform the servicing functions, and its current expectations for future economic conditions. There is initially 21.15% of hard credit enhancement behind the Class A notes consisting of overcollateralization that will build over time, a non-declining reserve account and subordination. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Approach to Rating ABS Backed by Equipment Leases and Loans" published in December 2015. On March 22, 2017, Moody's released a Request for Comment, in which it has requested market feedback on potential revisions to its "Approach to Assessing Counterparty Risks in Structured Finance". If the revised Methodology is implemented as proposed, the Credit Ratings on LEAF 2017-1 are not expected to be affected. Please refer to Moody's Request for Comment, titled " Moody's Proposes Revisions to Its Approach to Assessing Counterparty Risks in Structured Finance," for further details regarding the implications of the proposed Methodology revisions on certain Credit Ratings." Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the notes if levels of credit protection are greater than necessary to protect investors against its current expectations of portfolio loss. Losses could be lower than Moody's original expectations as a result of lower frequency of default by the underlying obligors or slower depreciation of the value of the equipment that secure the obligors' promise of payment. Transaction performance also depends greatly on the US macro economy and the performance of various sectors where the lessees operate. Down Moody's could downgrade the notes if levels of credit protection are insufficient to protect investors against its current expectations of portfolio losses. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or a deterioration in the value of the equipment that secure the obligors' promise of payment. Transaction performance also depends greatly on the US macro economy and the performance of various sectors where the lessees operate. LEHMAN BROTHERS 2007-1: Moody's Cuts Rating on Cl. M3 Notes to Csf ------------------------------------------------------------------ Moody's Investors Service downgraded ratings on two classes of certificates from one securitization of small balance commercial real estate loans. The deals are serviced by Ocwen Loan Servicing, LLC. The complete rating actions are: Issuer: Lehman Brothers Small Balance Commercial Mortgage Pass-Through Certificates, Series 2007-1 Cl. M2, Downgraded to Caa2 (sf); previously on Dec 2, 2015 Downgraded to Caa1 (sf) Cl. M3, Downgraded to C (sf); previously on Nov 8, 2013 Downgraded to Caa3 (sf) RATINGS RATIONALE The downgrade actions are due to continued deterioration of the pool performance and decreased credit enhancement. The 2007-1 transaction is currently under-collateralized, the reserve fund is fully depleted, and approximately 24% of the deal collateral balance is severely delinquent, in foreclosure or in REO status. The Class M2 and M3 tranches have also incurred cumulative interest shortfalls equal to approximately 8% and 10% of their respective balances. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Global Approach to Rating SME Balance Sheet Securitizations" published in October 2015. Please see the Rating Methodologies page on www.moodys.com for a copy of this methodology. On March 22, 2017, Moody's released a Request for Comment, in which it requested market feedback on potential revisions to its Approach to Assessing Counterparty Risks in Structured Finance. If the revised Methodology is implemented as proposed, the Credit Ratings on Lehman Brothers Small Balance Commercial Mortgage Pass-Through Certificates are not expected to be affected. Please refer to Moody's Request for Comment, titled "Moody's Proposes Revisions to Its Approach to Assessing Counterparty Risks in Structured Finance," for further details regarding the implications of the proposed Methodology revisions on certain Credit Ratings. Moody's evaluated the sufficiency of credit enhancement by first analyzing the loans to determine an expected lifetime net loss for each collateral pool. Moody's compared these net losses with the available credit enhancement. Moody's evaluated the sufficiency of loss coverage provided by credit enhancement in light of the projected variability of losses on the collateral. In order to determine the portion of loans that will default, Moody's assessed roll rate behavior for fully amortizing loans according to their delinquency status. The projected net losses or range of projected net losses are evaluated against the available credit enhancement provided by subordination, the reserve account, excess spread, and if available, overcollateralization. Other methodologies and factors that may have been considered in the process of rating these transactions can also be found on Moody's website. Further information on Moody's analysis of this transaction is available on www.moodys.com. Factors that would lead to an upgrade or downgrade of the ratings: Up Better than expected pool performance and levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline below Moody's expectations as a result of a decrease in seriously delinquent loans, lower severities than expected on liquidated loans, or fewer defaults than expected. Down Further occurrence of interest shortfalls and levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of an increase in seriously delinquent loans and higher severities than expected on liquidated loans. LNR CDO 2006-1: Moody's Affirms C Rating on 14 Note Classes ----------------------------------------------------------- Moody's Investors Service has affirmed the ratings on the following notes issued by LNR CDO IV Ltd. Collateralized Debt Obligations, Series 2006-1: Cl. A, Affirmed C (sf); previously on Jul 21, 2016 Affirmed C (sf) Cl. B-FL, Affirmed C (sf); previously on Jul 21, 2016 Affirmed C (sf) Cl. B-FX, Affirmed C (sf); previously on Jul 21, 2016 Affirmed C (sf) Cl. C-FL, Affirmed C (sf); previously on Jul 21, 2016 Affirmed C (sf) Cl. C-FX, Affirmed C (sf); previously on Jul 21, 2016 Affirmed C (sf) Cl. D-FL, Affirmed C (sf); previously on Jul 21, 2016 Affirmed C (sf) Cl. D-FX, Affirmed C (sf); previously on Jul 21, 2016 Affirmed C (sf) Cl. E, Affirmed C (sf); previously on Jul 21, 2016 Affirmed C (sf) Cl. F-FL, Affirmed C (sf); previously on Jul 21, 2016 Affirmed C (sf) Cl. F-FX, Affirmed C (sf); previously on Jul 21, 2016 Affirmed C (sf) Cl. G, Affirmed C (sf); previously on Jul 21, 2016 Affirmed C (sf) Cl. H, Affirmed C (sf); previously on Jul 21, 2016 Affirmed C (sf) Cl. J, Affirmed C (sf); previously on Jul 21, 2016 Affirmed C (sf) Cl. K, Affirmed C (sf); previously on Jul 21, 2016 Affirmed C (sf) RATINGS RATIONALE Moody's has affirmed the ratings of on the transaction because its key transaction metrics are commensurate with the existing ratings. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO and Re-Remic) transactions. LNR CDO IV is a static cash transaction backed by a portfolio of commercial mortgage backed securities (CMBS) (100.0% of the pool balance). As of the April 28, 2017 trustee report, the aggregate note balance of the transaction, including preferred shares, is $1.7 billion compared to $1.6 billion at issuance, as a result of the combination of pay-down to the senior most outstanding class of notes, and capitalization of defaulted and deferred interest. The deal is currently under-collateralized by $1.4 billion as a result of realized losses to 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 collaterals it does not rate. The rating agency modeled a bottom-dollar WARF of 8299, compared to 9045 at last review. The current ratings on the Moody's-rated collateral and the assessments of the non-Moody's rated collateral follow: Aaa-Aa3 and 2.5% compared to 3.1% at last review; Ba1-Ba3 and 2.3% compared to 1.8% at last review; B1-B3 and 19.1% compared to 0.0% at last review; and Caa1-Ca/C and 76.1% compared to 95.1% at last review. Moody's modeled a WAL of 1.2 years, compared to 1.3 years at last review. The WAL is based on assumptions about extensions on the underlying look-through assets. Moody's modeled a fixed WARR of 1.6%, compared to 0.3% at last review. Moody's modeled a MAC of 100.0%, compared to 0.0% 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 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 rate 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 are subject to further changes. 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. LNR CDO 2007-1: Moody's Affirms C(sf) Rating on 12 Note Classes --------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on the following notes issued by LNR CDO V LTD. Collateralized Debt Obligations, Series 2007-1 ("LNR CDO V"): Cl. A, Affirmed C (sf); previously on Jul 21, 2016 Affirmed C (sf) Cl. B, Affirmed C (sf); previously on Jul 21, 2016 Affirmed C (sf) Cl. C-FL, Affirmed C (sf); previously on Jul 21, 2016 Affirmed C (sf) Cl. C-FX, Affirmed C (sf); previously on Jul 21, 2016 Affirmed C (sf) Cl. D, Affirmed C (sf); previously on Jul 21, 2016 Affirmed C (sf) Cl. E, Affirmed C (sf); previously on Jul 21, 2016 Affirmed C (sf) Cl. F, Affirmed C (sf); previously on Jul 21, 2016 Affirmed C (sf) Cl. G, Affirmed C (sf); previously on Jul 21, 2016 Affirmed C (sf) Cl. H, Affirmed C (sf); previously on Jul 21, 2016 Affirmed C (sf) Cl. J, Affirmed C (sf); previously on Jul 21, 2016 Affirmed C (sf) Cl. K, Affirmed C (sf); previously on Jul 21, 2016 Affirmed C (sf) Cl. L, Affirmed C (sf); previously on Jul 21, 2016 Affirmed C (sf) RATINGS RATIONALE Moody's has affirmed the ratings of on the transaction because its key transaction metrics are commensurate with the existing ratings. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO and Re-Remic) transactions. LNR CDO V is a static cash transaction backed by a portfolio of commercial mortgage backed securities (CMBS) (100.0% of the pool balance). As of the April 26, 2017 trustee report, the aggregate note balance of the transaction, including preferred shares, is $863.5.x million compared to $761.2 million at issuance, as a result of capitalization of defaulted and deferred interest. The deal is currently under-collateralized by $742.4 million as a result of realized losses to 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 collaterals it does not rate. The rating agency modeled a bottom-dollar WARF of 10000, the same as that at last review. The current ratings on the Moody's-rated collaterals and the assessments of the non-Moody's rated collaterals follow: Ca/C and 100.0%, the same as that at last review. Moody's modeled a WAL of 1.3 years, compared to 1.4 years at last review. The WAL is based on assumptions about extensions on the underlying look-through assets. Moody's modeled a fixed WARR of 0.0%, the same as that at last review. Moody's modeled a MAC of 0.0%, the 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 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 rate 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 are subject to further changes. 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. MADISON PARK XXV: Moody's Assigns B2(sf) Rating to Class E Notes ---------------------------------------------------------------- Moody's Investors Service has assigned ratings to six classes of notes issued by Madison Park Funding XXV, Ltd. (the "Issuer" or "Madison Park XXV"). Moody's rating action is: US$366,000,000 Class A-1 Floating Rate Notes due 2029 (the "Class A-1 Notes"), Definitive Rating Assigned Aaa (sf) US$90,000,000 Class A-2 Floating Rate Notes due 2029 (the "Class A-2 Notes"), Definitive Rating Assigned Aa2 (sf) US$31,000,000 Class B Deferrable Floating Rate Notes due 2029 (the "Class B Notes"), Definitive Rating Assigned A2 (sf) US$38,200,000 Class C Deferrable Floating Rate Notes due 2029 (the "Class C Notes"), Definitive Rating Assigned Baa3 (sf) US$26,800,000 Class D Deferrable Floating Rate Notes due 2029 (the "Class D Notes"), Definitive Rating Assigned Ba3 (sf) U.S.$8,000,000 Class E Deferrable Floating Rate Notes due 2029 (the "Class E Notes"), Definitive Rating Assigned B2 (sf) The Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the Class C Notes, the Class D Notes and the Class E Notes are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE Moody's ratings of the Rated Notes address the expected losses posed to noteholders. The ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. Madison Park XXV is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated first lien senior secured corporate loans. Subject to a cov-lite matrix, at least 90% of the portfolio must consist of senior secured loans, and up to 10% of the portfolio may consist of second lien loans or senior unsecured loans. The portfolio is approximately 80% ramped as of the closing date. Credit Suisse Asset Management, LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk and credit improved assets, subject to certain restrictions. In addition to the Rated Notes, the Issuer has issued subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in October 2016. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $600,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 2775 Weighted Average Spread (WAS): 3.35% Weighted Average Coupon (WAC): 7.50% Weighted Average Recovery Rate (WARR): 47.0% Weighted Average Life (WAL): 9 years. Methodology Underlying the Rating Action: The 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 rating 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 2775 to 3191) Rating Impact in Rating Notches Class A-1 Notes: 0 Class A-2 Notes: -2 Class B Notes: -2 Class C Notes: -1 Class D Notes: 0 Class E Notes: -1 Percentage Change in WARF -- increase of 30% (from 2775 to 3608) Rating Impact in Rating Notches Class A-1Notes: -1 Class A-2 Notes: -3 Class B Notes: -4 Class C Notes: -2 Class D Notes: -1 Class E Notes: -3 MERRILL LYNCH 2005-CIP1: DBRS Cuts Class D Debt Rating to D(sf) --------------------------------------------------------------- DBRS Limited downgraded the rating of the remaining class of Commercial Mortgage Pass-Through Certificates, Series 2005-CIP1 (the Certificates) issued by Merrill Lynch Mortgage Trust, Series 2005-CIP1 (MLMT 2005-CIP1 or the Trust) as follows: -- Class D to D (sf) from C (sf) The rating downgrade is the result of the most recent realized losses to the Trust, which occurred after The Centre of Excellence loan (Prospectus ID#80) was liquidated from the Trust at a loss of $2.9 million with the April 2017 remittance. The Centre of Excellence loan was secured by an office property in Wauwatosa, Wisconsin, and was transferred to special servicing in February 2015 for imminent default. The property experienced cash flow issues following the departure of the largest tenant in September 2014, as the borrower struggled to backfill the vacant space. The loan was scheduled for auction in late January 2017 and was subsequently resolved with the April 2017 remittance. The last reported property valuation, dated May 2015, valued the property at $4.9 million, down from $8.5 million at issuance. The servicer reported proceeds of $2.2 million with the property's sale, with a loss severity of 57.2%. The loss wiped the remaining balance on Class E and reduced the principal balance on Class D by 11.5%. As of the April 2017 remittance, there are four loans remaining, all of which are performing, with a cumulative outstanding principal balance of $29.3 million. There are no outstanding ratings remaining following the above-referenced rating action. As such, this concludes DBRS's surveillance of this transaction. MERRILL LYNCH 2005-CKI1: S&P Affirms Bsf Rating on Class E Certs ---------------------------------------------------------------- S&P Global Ratings raised its rating on the class D commercial mortgage pass-through certificates from Merrill Lynch Mortgage Trust 2005-CKI1, a U.S. commercial mortgage-backed securities (CMBS) transaction. In addition, S&P affirmed its rating on class E 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 said, "We raised our rating on class D to reflect our expectation of the available credit enhancement for this class, which we believe is greater than our most recent estimate of necessary credit enhancement for the rating level, our views regarding the collateral's current and future performance, and the significantly lower trust balance. "The affirmation on class E reflects our expectation that the available credit enhancement for this class will be within our estimate of the necessary credit enhancement required for the current rating and our views regarding the collateral's current and future performance." While available credit enhancement levels suggest further positive rating movement on class D and positive rating movement on class E, S&P's analysis also considered the susceptibility to reduced liquidity support from the three specially serviced assets ($56.7 million, 61.7%), as well as the loan ($12.9 million, 14.0%) on the master servicer's watchlist. TRANSACTION SUMMARY As of the May 12, 2017, trustee remittance report, the collateral pool balancewas $92.0 million, which is 3.0% of the pool balance at issuance. The pool currently includes three loans and two real estate owned (REO) assets, down from 169 loans at issuance. Three of these assets are with the special servicer, one loan is on the master servicer's watchlist, and there are no defeased loans. The master servicer, Wells Fargo Bank N.A., reported year-end 2016 financial information for 42.2% of the loans in the pool. Excluding the three specially serviced assets, we calculated a 1.07x S&P Global Ratings weighted average debt service coverage (DSC) and 95.6% S&P Global Ratings weighted average loan-to-value ratio using a 7.93% S&P Global Ratings weighted average capitalization rate for the two performing loans. To date, the transaction has experienced $162.8 million in principal losses, or 5.3% of the original pool trust balance. S&P expects losses to reach approximately 6.4% of the original pool trust balance in the near term, based on losses incurred to date and additional losses we expect upon the eventual resolution of the three specially serviced assets. CREDIT CONSIDERATIONS As of the May 12, 2017, trustee remittance report, three assets in the pool was with the special servicer, C-III Asset Management LLC (C-III). Details of the specially serviced assets are as follows: The EDS Portfolio REO asset ($39.8 million, 43.3%) is the largest asset in the pool and has a total reported exposure of $40.1 million. The assets are three office properties totaling 353,842 sq. ft. in various states. The loan was transferred to special servicing on June 26, 2015, due to imminent monetary default and the properties became REO on Nov. 9, 2016. The reported cash flows on the properties are not sufficient to cover debt service. S&P expects a significant loss upon this asset's eventual resolution. The Orchard Hardware Plaza REO asset ($13.3 million, 14.5%) is the third-largest asset in the pool and has a total reported exposure of $19.6 million. The asset is a 145,957-sq.-ft. retail property in Rancho Cucamonga, Calif. The loan was transferred to the special servicer on Sept. 14, 2012, and the property became REO on April 15, 2013. C-III indicated the property has stabilized and is being marketed for sale. S&P expects a minimal loss upon the asset's eventual resolution. The Waterfall Plaza loan ($3.6 million, 3.9%) has a total reported exposure of$3.7 million. The loan, which has a foreclosure in process payment status, is secured by a 42,728-sq.-ft. retail property in Waterford, Mich. The loan was transferred to the special servicer on Aug. 12, 2015, due to maturity default. The loan matured on Aug. 1, 2015. C-III indicated that the borrower has continued to make its monthly debt service and escrow payments. The reported DSC and occupancy as of year-end 2016 were 1.65x and 69.7%, respectively. S&P expects a minimal loss upon this loan's eventual resolution. S&P estimated losses for the three specially serviced assets, arriving at a weighted average loss severity of 57.2%. For the specially serviced assets noted above, a minimal loss is less than 25%, a moderate loss is 26%-59%, and a significant loss is 60% or greater. RATINGS LIST Merrill Lynch Mortgage Trust 2005-CKI1 Commercial mortgage pass through certificates series 2005-CKI1 Rating Rating Class Identifier To From D 59022HLN0 AA- (sf) BBB- (sf) E 59022HLP5 B (sf) B (sf) METROPOLITAN ASSET 1998-A: Moody's Cuts Cl. X Debt Rating to Caa3 ----------------------------------------------------------------- Moody's Investors Service has downgraded the rating of Cl. X from Metropolitan 1998-A. The transaction is backed by subprime mortgage loans. Complete rating actions are: Issuer: Metropolitan Asset Funding, Inc. II Series, 1998-A X, Downgraded to Caa3 (sf); previously on Mar 26, 2014 Downgraded to Caa1 (sf) RATINGS RATIONALE The rating downgrade reflects the highest current tranche rating on the outstanding bond that is backed by the pool and the rating corresponding to the pool's expected loss. The action reflects the recent performance of the underlying pool and Moody's updated loss expectation on the pool. The principal methodology used in this rating was "US RMBS Surveillance Methodology" published in January 2017. 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 (RFC), in which it has requested market feedback on potential revisions to its cross-sector rating methodology for rating structured finance IO securities. Please refer to Moody's RFC titled "Moody's Proposes Revised Approach to Rating Structured Finance Interest-Only (IO) Securities " for further details regarding the implications of the proposed methodology revisions on certain Credit Ratings. Factors that would lead to an upgrade or downgrade of the rating: 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 4.4% in April 2017 from 5.0% in April 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. MJX VENTURE II: Moody's Assigns Ba1(sf) Rating to Cl. E Notes ------------------------------------------------------------- Moody's Investors Service has assigned ratings to five classes of notes issued by MJX Venture Management II LLC. Moody's rating action is: US$19,200,000 Series A/Class A Notes due 2030 (the "Class A Notes"), Assigned Aaa (sf) US$3,600,000 Series A/Class B Notes due 2030 (the "Class B Notes"), Assigned Aa1 (sf) US$1,525,000 Series A/Class C Notes due 2030 (the "Class C Notes"), Assigned Aa3 (sf) US$1,800,000 Series A/Class D Notes due 2030 (the "Class D Notes"), Assigned A3 (sf) US$1,475,000 Series A/Class E Notes due 2030 (the "Class E Notes"), Assigned Ba1 (sf) The Class A Notes, the Class B Notes, the Class C Notes, the Class D Notes, and the Class E Notes are referred to herein as the "Rated Notes," and together with three unrated supplemental payment notes, are the "Series A Debt." The Series A Debt is the first series of issuance in a program of financing for CLOs to be managed by the Issuer. RATINGS RATIONALE Moody's ratings of the Rated Notes address the expected losses posed to noteholders. The ratings reflect the credit risks of the collateral assets securing the notes, the Issuer's legal structure, and the characteristics of the Issuer's assets. MJX VM II is the collateral manager of Venture XXVII CLO, Limited (the "Underlying CLO"). The proceeds from the issuance of the Rated Notes will be used to finance the purchase of a 5% vertical slice of all the CLO tranches (the "Underlying CLO Notes") issued by the Underlying CLO, in order for the Issuer to comply with the retention requirements of both the US and EU Risk Retention Rules. MJX VM II also acts as "originator" (as defined in the EU Risk Retention Rules) of a part of the assets of the Underlying CLO (the "Originated Assets"). As a result, MJX VM II is exposed to potential credit and market value risk of the Originated Assets during a holding period from the time the Issuer purchases the Originated Assets in the market by until the Originated Assets are sold from the Issuer to the Underlying CLO. To mitigate these risks, the Issuer incorporates (i) a substantial cash reserve in an escrow account to cover any potential losses during the holding period and until the Originated Assets settle into the CLO and (ii) minimum industry diversity and rating requirements for the Originated Assets. The Rated Notes are collateralized primarily by the Underlying CLO Notes. In addition, the Rated Notes benefit from additional credit enhancement provided by (i) 50% of the senior management fees from the Underlying CLO (the "Pledged Management Fee"), (ii) an unconditional guaranty provided by MJX Asset Management LLC, the indirect parent of the Issuer, up to 10% of the initial aggregate principal amount of the Series A Debt, and, (iii) in the event the Rated Notes experience a default, certain excess collections from other, non-defaulted Series of notes issued by the Issuer. On each payment date, each class of Rated Notes will receive an interest payment equal to 5% of the interest payment paid to the entire class of the related Underlying CLO Notes. In the event of a permitted refinancing or re-pricing, the respective interest amount each class of Rated Notes receives will be reduced by the amount the respective refinancing or re-pricing reduced the interest rates on the Underlying CLO Notes. The Issuer's priority of payments includes an interest trapping mechanism following the occurrence of certain events (the "Cash-Trap Events"). Upon a Cash-Trap Event, after payment of interest on the Rated Notes, all remaining interest proceeds from the Underlying CLO Notes and the Pledged Management Fee will be trapped in a cash-trap account. Cash-Trap Events include, but are not limited to, failure of an overcollateralization test, deferral of interest on certain Underlying CLO Notes, and certain collateral manager-related events. Unless the Cash-Trap Event is cured, amounts in the cash-trap account will be applied to repay the Rated Notes at maturity or redemption. Although the Rated Notes constitute full recourse indebtedness of the Issuer, the holders of the Rated Notes have no right to foreclose upon the assets of the Issuer's other Series and have limited rights to assets constituting excess collections from other Series. Holders of other Series of Debt of the Issuer are likewise precluded from foreclosing on the assets of the Series A Debt and are limited in their rights to excess collections from the Series A Debt. In addition to a variety of other factors, Moody's analysis of the Issuer's bankruptcy remoteness took into account a substantive consolidation legal opinion. The opinion provided comfort that the Issuer's structure and separateness features minimize the risk that a bankruptcy court would order the consolidation of the assets and liabilities of Issuer's parent or the guarantor and the Issuer. Moody's modeled the Rated Notes 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 (based on the Underlying CLO) : Par amount: $600,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2925 Weighted Average Spread (WAS): 3.60% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 47.5% Weighted Average Life (WAL): 9.0 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 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 Underlying CLO, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the Underlying CLO 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 2925 to 3364) Rating Impact in Rating Notches Class A Notes: 0 Class B Notes: 0 Class C Notes: -1 Class D Notes: -2 Class E Notes: -1 Percentage Change in WARF -- increase of 30% (from 2925 to 3803) Rating Impact in Rating Notches Class A Notes: 0 Class B Notes: -2 Class C Notes: -3 Class D Notes: -4 Class E Notes: -1 MORGAN STANLEY 2003-TOP11: S&P Hikes Class H Debt Rating From BB+ ----------------------------------------------------------------- S&P Global Ratings raised its ratings on two classes of commercial mortgage pass-through certificates from Morgan Stanley Capital I Trust 2003-TOP11, a U.S. commercial mortgage-backed securities (CMBS) transaction. The upgrades follow S&P's analysis of the transaction, primarily using its criteria for rating U.S. and Canadian CMBS transactions, which included a review of the credit characteristics and performance of the remaining loans in the pool, the transaction's structure, and the liquidity available to the trust. S&P said, "We raised our ratings on classes G and H to also reflect our expectation of the available credit enhancement for these classes, which we believe is greater than our most recent estimate of necessary credit enhancement for the respective rating levels. The upgrades also follow our views regarding the current and future performance of the transaction's collateral, the reduced trust balance, and the bonds' interest shortfall histories." TRANSACTION SUMMARY As of the May 15, 2017, trustee remittance report, the collateral pool balance was $16.8 million, which is 1.4% of the pool balance at issuance. The pool currently includes 18 loans, down from 185 loans at issuance. Four of these loans ($2.9 million, 17.1%) are defeased, three loans ($2.3 million, 13.9%) are on the master servicer's watchlist, and none are specially serviced. The master servicer, Wells Fargo Bank N.A., reported year-end 2016 financial information for 97.5% of the nondefeased loans in the pool. S&P said, "We calculated a 1.93x S&P Global Ratings weighted average debt service coverage (DSC) and 25.8% S&P Global Ratings weighted average loan-to-value (LTV) ratio using a 7.39% S&P Global Ratings weighted average capitalization rate. The DSC, LTV, and capitalization rate calculations exclude the defeased loans. The top 10 nondefeased loans have an aggregate outstanding pool trust balance of $13.0 million (77.4%). Using adjusted servicer-reported numbers, we calculated an S&P Global Ratings weighted average DSC and LTV of 1.96x and 27.2%, respectively, for the top 10 nondefeased loans." To date, the transaction has experienced $21.9 million in principal losses, or1.8% of the original pool trust balance. RATINGS LIST Morgan Stanley Capital I Trust 2003-TOP11 Commercial mortgage pass-through certificates series 2003-TOP 11 Rating Class Identifier To From G 61746WJ27 AA+ (sf) AA (sf) H 61746WJ35 AA (sf) BB+ (sf) MORGAN STANLEY 2006-TOP23: Fitch Affirms CCC Rating on Cl. E Debt ----------------------------------------------------------------- Fitch Ratings has downgraded two classes and affirmed 10 classes of Morgan Stanley Capital I Trust (MSCI) commercial mortgage pass-through certificates series 2006-TOP23. KEY RATING DRIVERS Downgrades to the distressed classes F and G reflect the likelihood of losses from two REO assets. The affirmations reflect the pool concentration and the collateral quality of the remaining loans. Fitch modeled losses of 38.5% of the remaining pool; expected losses on the original pool balance total 4.3%, including $32.3 million (2% of the original pool balance) in realized losses to date. As of the May 2017 distribution date, the pool's aggregate principal balance has been reduced by 94.1% to $95.7 million from $1.61 billion at issuance. No loans are defeased. Interest shortfalls are currently affecting classes G through P. Pool Concentration and Adverse Selection: The pool is concentrated with only 13 loans, two REO assets and one specially serviced loan remaining. Loans secured by retail properties account for 54% of the pool. Due to the concentrated nature of the pool, the ratings reflect a sensitivity analysis which grouped the remaining loans based on structural features, collateral quality and performance, as well as by the perceived likelihood of repayment. Specially Serviced Assets; Fitch Loans of Concern: The specially serviced assets account for 27% of the pool. Offers have been approved for both REO assets and foreclosure is expected for the one specially serviced loan. There are seven loans (60%) that are Fitch Loans of Concern, including the largest loan (21.9%). Loan Maturities; ARD Loans: Of the performing loans, one loan (3.6%) matures in 2019 and eight loans (29.8%) mature in 2021. There are four ARD loans (39.3%), two of which are being cash managed as they are past their anticipated repayment date (ARD) of June 2016. RATING SENSITIVITIES The Stable Outlooks on classes C and D reflect the increasing credit enhancement, continued amortization, and expected continued paydown of the pool. Upgrades to these are unlikely due to the pool's significant concentration and the quality of the remaining collateral; however, downgrades could occur if losses on the specially serviced loans/assets exceed Fitch's expectations, if pool performance deteriorates, or if loans default at maturity. Distressed classes may be subject to further downgrades as additional losses are realized or if losses exceed Fitch's expectations. Fitch downgrades the following classes: -- $12.1 million class F to 'CCsf' from 'CCCsf'; RE 0%; -- $14.1 million class G to 'Csf' from 'CCsf'; RE 0%. Fitch affirms the following classes and revises the Rating Outlooks as indicated: -- $14.9 million class C at 'BBsf'; Outlook to Stable from Positive. Fitch affirms the following classes: -- $26.2 million class D at 'Bsf'; Outlook Stable; -- $14.1 million class E at 'CCCsf'; RE 75%; -- $10.1 million class H at 'Csf'; RE 0%; -- $4 million class J at 'Csf'; RE 0%; -- $15,554 class K at 'Dsf'; RE 0%; -- $0 class L at 'Dsf'; RE 0%; -- $0 class M at 'Dsf'; RE 0%; -- $0 class N at 'Dsf'; RE 0%; -- $0 class O at 'Dsf'; RE 0%. The class A-1, A-2, A-3, A-AB, A-4, A-M, A-J and B certificates have paid in full. Fitch does not rate the class P certificates. Fitch previously withdrew the rating on the interest-only class X certificates. MORGAN STANLEY 2007-IQ16: Fitch Affirms CCC Rating on 3 Tranches ---------------------------------------------------------------- Fitch Ratings has affirmed 20 classes of Morgan Stanley Capital I Trust (MSC 2007-IQ16) commercial mortgage pass-through certificates series 2007-IQ16. Fitch has issued a focus report on this transaction. The report provides a detailed and up-to-date perspective on key credit characteristics of the MSC 2007-IQ16 transaction and property-level performance of the related trust loans. KEY RATING DRIVERS The affirmations reflect sufficient credit enhancement relative to Fitch expected losses. As of the May 2017 distribution date, the pool's aggregate principal balance has been reduced by 57.8% to $1.1 billion from $2.6 billion at issuance. Stable Loss Projections: Fitch modeled losses of 12.6% of the original pool balance, including $217.7 million (8.4%) of losses incurred to date. This is a slight decrease from the previous rating action in June 2016, when loss expectations of the original pool balance were 12.8%. Upcoming Loan Maturities: The vast majority of the pool is scheduled to mature by year-end (YE) 2017. Maturities are concentrated in the fourth quarter with 53% of the pool scheduled to mature. Given the peak vintage issuance for these loans, lack of amortization (44% of the pool is interest-only) and weak credit metrics for a portion of the pool (20% of the pool reports a debt service coverage ratio [DSCR] below 1.0x), Fitch expects an increase in maturity defaults and additional transfers to special servicing in 2017. High Retail Concentration and Tertiary Mall Exposure: Loans backed by retail properties represent 50% of the pool, including five within the top 15. Two loans (27%) are secured by regional malls in tertiary markets. Both malls have exposure to Sears and JCPenney. In particular, Bangor Mall has exposure to both anchors as collateral tenants and announced the closure of Macy's in early 2017. Both malls are sponsored by Simon. The pool also has a loan (1.1%) secured by a portfolio of three retail properties occupied by Sears in California that has passed its ARD date. Defeasance: Twelve assets representing 8.4% of the pool are currently defeased, including two within the top 15. Specially Serviced Assets: There are 10 loans in special servicing, representing 6.5% of the pool, seven of which are real estate owned (REO) or in foreclosure. RATING SENSITIVITIES Stable Outlooks reflect sufficient credit enhancement and continued paydown from maturing loans. Upgrades to the A-M classes may be warranted should loans successfully refinance and loans in special servicing resolve with better than anticipated recoveries. Downgrades to the distressed classes will occur as losses are realized. Fitch affirms the following classes: -- $76.9 million class A-1A at 'AAAsf'; Outlook Stable; -- $458.6 million class A-4 at 'AAAsf'; Outlook Stable; -- $194.7 million class A-M at 'Asf'; Outlook Stable; -- $20 million class A-MFL at 'Asf'; Outlook Stable; -- $44.9 million class A-MA at 'Asf'; Outlook Stable; -- $131 million class A-J at 'CCCsf'; RE 100%; -- $30 million class A-JFX at 'CCCsf'; RE 100%; -- $33.7 million class A-JA at 'CCCsf'; RE 100%. -- $19.5 million class B at 'CCsf'; RE 0%; -- $26 million class C at 'Csf'; RE 0%; -- $16.2 million class D at 'Csf'; RE 0%; -- $38.5 million class E at 'Dsf'; RE 0%; -- $6.2 million class F at 'Dsf'; RE 0%; -- $0 class G at 'Dsf'; RE 0%; -- $0 class H at 'Dsf'; RE 0%; -- $0 class J at 'Dsf'; RE 0%; -- $0 class K at 'Dsf'; RE 0%; -- $0 class L at 'Dsf'; RE 0%; -- $0 class M at 'Dsf'; RE 0%; -- $0 class N at 'Dsf'; RE 0%. Fitch does not rate the class O, P, Q and S certificates. Fitch previously withdrew the ratings on the interest-only class X-1, X-2, and A-JFL certificates. Classes A-1, A-2, and A-3 have paid in full. MORGAN STANLEY 2017-C33: DBRS Finalizes BB(low) Rating on F Debt ---------------------------------------------------------------- DBRS, Inc. finalized the provisional ratings on the followings classes of Commercial Mortgage Pass-Through Certificates, Series 2017-C33 (the Certificates) issued by Morgan Stanley Bank of America Merrill Lynch Trust 2017-C33: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class X-A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (high) (sf) -- Class X-B at AA (low) (sf) -- Class C at A (high) (sf) -- Class X-D at BBB (high) (sf) -- Class D at BBB (sf) -- Class E at BB (high) (sf) -- Class F at BB (low) (sf) All trends are Stable. Classes X-D, D, E, F and G have been privately placed. The Classes X-A, X-B and X-D balances are notional. The collateral consists of 44 fixed-rate loans secured by 70 commercial properties. Two of the loans are cross-collateralized and cross-defaulted into a separate crossed group. The DBRS analysis of this transaction incorporates these loans as a portfolio, resulting in a modified loan count of 43. The transaction is a sequential-pay pass-through structure. The conduit pool was analyzed to determine the ratings, reflecting the long-term probability of loan default within the term and its liquidity at maturity. When the cut-off loan balances were measured against the DBRS Stabilized Net Cash Flow (NCF) and their respective actual constants, there were no loans with a DBRS Term Debt Service Coverage Ratio (DSCR) below 1.15 times (x), a threshold indicative of a higher likelihood of mid-term default. Additionally, to assess refinance risk given the current low interest rate environment, DBRS applied its refinance constants to the balloon amounts. This resulted in six loans, representing 21.0% of the pool, having refinance (Refi) DSCRs below 1.00x. The pool consists of relatively low-leverage financing, with a DBRS Debt Yield and DBRS Exit Debt Yield of 9.9% and 11.3%, respectively. Such figures compare favorably with recently issued conduit transactions rated by DBRS. In addition, 21 loans, representing 50.9% of the pool, have a DBRS Term DSCR in excess of 1.50x. This includes six of the largest ten loans. The pool's general refinance risk is also relatively low as indicated by the robust DBRS Refi DSCR of 1.15x. Only six loans, representing 21.0% of the pool, have DBRS Refi DSCRs below 1.00x, which is well below recent conduit pools rated by DBRS. There are no shadow-rated loans skewing such metrics. Six loans, comprising 17.5% of the transaction balance, are secured by properties that are either fully or primarily leased to a single tenant. This includes four of the largest 15 loans: Pentagon Center, 141 Fifth Avenue, Ralph's Food Warehouse Portfolio and 935 First Avenue. Of note, Ralph's Food Warehouse Portfolio, which totals 2.4% of the pool, is located in tertiary areas across Puerto Rico, which filed for a form of bankruptcy protection on May 3, 2017, and is 78.1% owner occupied. Loans secured by properties occupied by single tenants have been found to suffer higher loss severities in an event of default. However, approximately 68.1% of the single-tenant concentration stems from properties occupied by investment-grade tenants with significant capital invested into their space. Pentagon Center is fully occupied by the Department of Defense, which recently relocated 1,800 employees to the subject. It is a low-leveraged loan as indicated by the DBRS Debt Yield of 10.0% with a moderate loan per square foot of $230, which is well below recent sales prices in its market. The second-largest loan contributing to the pool's single-tenant concentration is 141 Fifth Avenue, which has an excellent location in Manhattan's Flatiron District. Its sole occupant is HSBC, which currently pays a below-market rental rate. Both loans are well structured with cash flow sweeps tied to tenant renewals. DBRS considers the macro-economic risk associated with the Ralph's Food Warehouse Portfolio loan to be relatively moderate given there is no currency risk in Puerto Rico and the loan is scheduled to amortize on a 20-year schedule, which will reduce the loan's exposure by 32.9% upon maturity in 2017. Moreover, the loan has prudent leverage metrics with a DBRS Refi DSCR and DBRS Exit Debt Yield of 1.69x and 16.6%, respectively. Six loans, representing 26.6% of the pool, including four of the largest ten loans, are structured with interest-only (IO) payments for the full term. An additional 17 loans, representing 45.4% of the pool, have partial IO periods remaining ranging from 12 months to 60 months. Four of the full-term IO loans, representing 70.1% of the full IO concentration in the transaction, are located in urban markets. Of these, three loans, totaling 38.0% concentration, have excellent locations in immensely infill Super Dense Urban markets that benefit from steep investor demand. The DBRS sample included 27 of the 42 loans in the pool. Site inspections were performed on 49 of the 70 properties in the portfolio (81.7% of the pool by allocated loan balance). The DBRS sample had an average NCF variance of -8.4% and ranged from -19.6% to +2.1% (Chicago Crossed Loans). The ratings assigned to the Certificates by DBRS are based exclusively on the credit provided by the transaction structure and underlying trust assets. All classes will be subject to ongoing surveillance, which could result in upgrades or downgrades by DBRS after the date of issuance. MORGAN STANLEY 2017-H1: DBRS Assigns B Ratings to Cl. H-RR Debt --------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the followings classes of Commercial Mortgage Pass-Through Certificates, Series 2017-H1 (the Certificates), to be issued by Morgan Stanley Capital I Trust 2017-H1: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class X-A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (high) (sf) -- Class X-B at AA (low) (sf) -- Class C at A (high) (sf) -- Class X-D at A (sf) -- Class D at A (low) (sf) -- Class E-RR at BBB (sf) -- Class F-RR at BBB (low) (sf) -- Class G-RR at BB (low) (sf) -- Class H-RR at B (low) (sf) All trends are Stable. Classes X-D, D, E-RR, F-RR, G-RR and H-RR will be privately placed. The Class X-A, X-B and X-D balances are notional. Classes E-RR, F-RR, G-RR, H-RR and J-RR (collectively, the HRR Certificates (Eligible Horizontal Residual Interest)) will be retained by the retaining sponsor or its majority-owned affiliate in accordance with the credit risk retention rules applicable to this securitization transaction. The collateral consists of 58 fixed-rate loans secured by 89 commercial and multifamily properties. Two of the loans are cross-collateralized and cross-defaulted into a separate crossed group. The DBRS analysis of this transaction incorporates these loans into a portfolio, resulting in a modified loan count of 57, and the loan number references within this report reflect this total. The transaction is a sequential-pay pass-through structure. The conduit pool was analyzed to determine the provisional ratings, reflecting the long-term probability of loan default within the term and its liquidity at maturity. When the cut-off loan balances were measured against the DBRS Stabilized net cash flow (NCF) and their respective actual constants, one loan, representing 0.8% of the aggregate pool balance, had a DBRS Term debt service coverage ratio (DSCR) below 1.15 times (x), a threshold indicative of a higher likelihood of mid-term default. Additionally, to assess refinance risk given the current low interest rate environment, DBRS applied its refinance constants to the balloon amounts. This resulted in 23 loans, representing 48.9% of the pool, having refinance DSCRs below 1.00x and 14 loans, representing 35.1% of the pool with refinance DSCRs below 0.90x. Overall, the pool exhibits a relatively strong DBRS weighted-average (WA) Term DSCR of 1.59x based on the whole-loan balance, which indicates moderate term default risk, and there are no shadow-rated loans skewing such metrics. Furthermore, only three loans, representing 11.1% of the pool, are secured by properties that either fully or primarily leased to a single tenant. Loans secured by properties occupied by single tenants have been found to suffer from higher loss severities in the event of default. As such, DBRS modeled single-tenant properties with a higher probability of default (POD) and cash flow volatility compared with multi-tenant properties. The pool is relatively diverse based on loan size with a concentration profile equivalent to that of a pool of 33 equal-sized loans. Diversity is further enhanced by seven loans, representing 19.1% of the pool, that are secured by multiple properties (39 in total). Increased pool diversity insulates the higher-rated classes from event risk. Nine loans, representing 30.0% of the pool, are located in urban markets with increased liquidity that benefit from consistent investor demand, even in times of stress. Urban markets represented in the deal include New York City; Seattle, Washington; New Orleans, Louisiana; Austin, Texas; and Denver, Colorado. The transaction's WA DBRS Refinance (Refi) DSCR is 1.01x, indicating a higher refinance risk on an overall pool level. Furthermore, 14 loans, representing 39.6% of the pool, including six of the largest ten loans, are structured with full-term interest-only (IO) payments. An additional 18 loans, comprising 28.1% of the pool, have partial IO periods ranging from 17 months to 60 months. The DBRS Term DSCR is calculated by using the amortizing debt service obligation and the DBRS Refi DSCR is calculated considering the balloon balance and lack of amortization when determining refinance risk. DBRS determines the POD based on the lower of Term or Refi DSCR; therefore, loans that lack amortization will be treated more punitively. Five of the full-term IO loans, representing 40.0% of the full IO concentration in the transaction, are located in urban markets. Of these, three loans, totaling 20.4% of the concentration, have excellent locations in immensely infill Super Dense Urban markets that benefit from steep investor demand. The deal appears to be concentrated by property type with 14 loans, representing 40.0% of the pool, secured by office properties and 12 loans, representing 18.6% of the pool, secured by 13 hotel properties. Of the office property concentration, 42.6% of the loans are located in urban markets and no loans are located in tertiary/rural markets. DBRS cash flow volatility for hotels, which ultimately determines a loan's POD, assumes between a 22.4% and 28.4% cash flow decline for a BBB stress and a 60.2% and 76.4% cash flow decline for a AAA stress. To further mitigate the more volatile cash flow of hotels, the loans in the pool secured by hotel properties have a WA DBRS Debt Yield and DBRS Exit Debt Yield of 10.8% and 12.4%, respectively, which compare quite favorably with the comparable figures of 8.9% and 9.9%, respectively, for the non-hotel properties in the pool. Additionally, 50.9% of the hotel concentration is located in urban markets. The DBRS sample included 31 of the 57 loans in the pool. Site inspections were performed on 50 of the 89 properties in the portfolio (72.2% of the pool by allocated loan balance). The DBRS sample had an average NCF variance of -8.7%, ranging from -21.4% to -0.4%. DBRS identified ten loans, representing 23.3% of the pool, with unfavorable sponsor strength, including two of the top ten loans. DBRS increased the POD for the loans with identified sponsorship concerns. The ratings assigned to the Certificates by DBRS are based exclusively on the credit provided by the transaction structure and underlying trust assets. All classes will be subject to ongoing surveillance, which could result in upgrades or downgrades by DBRS after the date of issuance. N-STAR REL VIII: Moody's Hikes Class C Notes Rating to B3(sf) ------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by N-Star REL CDO VIII, Ltd.: Cl. A-2, Upgraded to Baa1 (sf); previously on Jun 8, 2016 Upgraded to Baa3 (sf) Cl. B, Upgraded to B1 (sf); previously on Jun 8, 2016 Affirmed B3 (sf) Cl. C, Upgraded to B3 (sf); previously on Jun 8, 2016 Affirmed Caa1 (sf) Moody's has also affirmed the ratings on the following notes: Cl. D, Affirmed Caa2 (sf); previously on Jun 8, 2016 Affirmed Caa2 (sf) Cl. E, Affirmed Caa3 (sf); previously on Jun 8, 2016 Affirmed Caa3 (sf) Cl. F, Affirmed Ca (sf); previously on Jun 8, 2016 Affirmed Ca (sf) Cl. G, Affirmed Ca (sf); previously on Jun 8, 2016 Affirmed Ca (sf) Cl. H, Affirmed Ca (sf); previously on Jun 8, 2016 Affirmed Ca (sf) Cl. J, Affirmed Ca (sf); previously on Jun 8, 2016 Affirmed Ca (sf) Cl. K, Affirmed Ca (sf); previously on Jun 8, 2016 Affirmed Ca (sf) Cl. L, Affirmed C (sf); previously on Jun 8, 2016 Affirmed C (sf) Cl. M, Affirmed C (sf); previously on Jun 8, 2016 Affirmed C (sf) Cl. N, Affirmed C (sf); previously on Jun 8, 2016 Affirmed C (sf) RATINGS RATIONALE Moody's has upgraded the ratings on the transaction due to higher than anticipated recoveries on very high credit-risk collateral including certain commercial real estate whole loans; resulting in the amortization of approximately 21.7% of the collateral balance as of last review. Moody's has affirmed the ratings on the transaction because its 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 CLO) transactions. N-Star REL CDO VIII, Ltd. is currently static cash transaction; the reinvestment period ended in February 2012; that is backed by a portfolio of: i) CRE CDOs (10.1% of the collateral pool balance), ii) whole loans and senior-participations (53.6%); and iii) mezzanine interests (36.4%). As of the trustee's 01 May, 2017 report, the aggregate note balance of the transaction, including preferred shares, is $460.7 million, compared to $900.0 million at issuance, with paydowns directed to the senior-most outstanding class of notes and resulting from regular amortization and recoveries on defaulted assets. The reduction in note balance is also due to prior partial junior note cancellations of Class G and J, which occurred prior to this review. In general, holding all key parameters static, the junior note cancellations result in slightly higher expected losses and longer weighted average lives on the senior notes, while producing slightly lower expected losses on the mezzanine and junior notes. However, this does not cause, in and of itself, a downgrade or upgrade on any outstanding class of notes. The pool contains one commercial real estate whole loan asset totaling $29.7 million (7.8% of the collateral pool balance) that is listed as defaulted securities as of the trustee's May 01, 2017 report. While there have been limited losses on the underlying collateral to date, Moody's does expect moderate losses to occur on the defaulted security. Moody's has identified the following as key indicators of the expected loss in CRE CDO 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 CDO CLO pool. Moody's has updated its assessments for the collateral it does not rate. The rating agency modeled a bottom-dollar WARF of 8932, compared to 8256 at last review. The current ratings on the Moody's-rated collateral and the assessments of the non-Moody's rated collateral follow: Ba1-Ba3 (2.0%, compared to 1.2% at last review); B1-B3 (1.0%, compared to 0.6% at last review); and Caa1-Ca/C (96.9%, compared to 98.1% at last review). Moody's modeled a WAL of 4.4 years, as compared to 5.0 years at last review. The WAL is based on assumptions about extensions on the underlying loan collateral. Moody's modeled a fixed WARR of 28.4%, as compared to 28.3% at last review. Moody's modeled a MAC of 100%, 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. Reducing the recovery rates of 100% of the collateral pool by -10.0% would result in an average modeled rating movement on the rated notes of zero to eleven 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 +10.0% would result in an average modeled rating movement on the rated notes of zero to fourteen 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. NATIONSTAR HECM 2017-1: Moody's Assigns Ba2 Rating to Cl. M2 Debt ----------------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to three classes of residential mortgage-backed securities (RMBS) issued by Nationstar HECM Loan Trust 2017-1 (NHLT 2017-1). The ratings range from Aaa (sf) to Ba2 (sf). The definitive ratings on Class M1 and Class M2 are higher than for the provisional ratings assigned due to the reduced coupon on the notes by 0.43% for Class A, 0.56% for Class M1, and 1.30% for Class M2. Overall, the weighted average coupon on the notes is lower by 0.55%. Given the available funds waterfall, the lower coupon will allow for a faster pay-down of principal on the notes. The certificates are backed by a pool that includes 1,283 inactive home equity conversion mortgages (HECMs) and 229 real estate owned (REO) properties. The servicer for the deal is Nationstar Mortgage LLC. The complete rating actions are: Issuer: Nationstar HECM Loan Trust 2017-1 Cl. A, Definitive Rating Assigned Aaa (sf) Cl. M1, Definitive Rating Assigned A2 (sf) Cl. M2, Definitive Rating Assigned Ba2 (sf) RATINGS RATIONALE The collateral backing Nationstar HECM Loan Trust 2017-1 consists of first-lien inactive HECMs covered by Federal Housing Administration (FHA) insurance secured by properties in the US along with Real-Estate Owned (REO) properties acquired through conversion of ownership of reverse mortgage loans that are covered by FHA insurance. Nationstar acquired the mortgage assets from Ginnie Mae sponsored HECM mortgage backed (HMBS) securitizations. All of the mortgage assets are covered by FHA insurance for the repayment of principal up to certain amounts. If a borrower or their estate fails to pay the amount due upon maturity or otherwise defaults, sale of the property is used to recover the amount owed. There are 1,512 mortgage assets with a balance of $324,518,063. Mortgage assets are in either default, due and payable, referred, foreclosure or REO status. Loans that are in default may move to due and payable; due and payable loans may move to foreclosure; and foreclosure loans may move to REO. 28.90% of mortgage assets are in default, of which 3.35% (of total pool) are in default due to non-occupancy, 25.37% (of total pool) are in default due to taxes and insurance and 0.18% (of total pool) are in default for other reasons. 14.45% of the mortgage assets are due and payable. 1.70% of the mortgage assets are referred loans. 41.93% of the mortgage assets are in foreclosure. Finally, 13.01% of the mortgage assets are REO properties and were acquired through foreclosure or deed-in-lieu of foreclosure on the associated loan. The pool includes 1,283 loans with an aggregate balance of approximately $282,288,943 and 229 REO properties with an aggregate balance of approximately $42,229,120. If the value of the related mortgaged property is greater than the loan amount, some of these loans may be settled by the borrower or their estate. Transaction Structure The securitization has a sequential liability structure amongst three classes of notes with overcollateralization and structural subordination. All funds collected, prior to an acceleration event, are used to make interest payments to the notes, then principal payments to the Class A notes, then to a redemption account until the amount on deposit in the redemption account is sufficient to cover future principal and interest payments for the subordinate notes up to their expected final payment dates. The subordinate notes will not receive principal until the beginning of their respective target amortization periods (in the absence of an acceleration event). The notes benefit from overcollateralization and structural subordination as credit enhancement, and an interest reserve account funded with cash received from the initial purchasers of the notes for liquidity and credit enhancement. The transaction is callable on or after six months with a 1.0% premium and on or after 12 months without a premium. The mandatory call date for the Class A notes is in May 2019. For the Class M1 notes, the expected final payment date is in November 2019. Finally, for the Class M2 notes, the expected final payment date is in May 2020. For each of the subordinate notes, there are six month target amortization periods that conclude on the respective expected final payment dates. The legal final maturity of the transaction is 10 years. Available funds to the transaction are expected to primarily come from the liquidation of REO properties and receipt of FHA insurance claims. These funds will be received with irregular timing. In the event that there are insufficient funds to pay interest in a given period, the interest reserve fund may be utilized. Additionally, any shortfall in interest will be classified as an available funds cap shortfall. These available funds cap carryover amounts will have priority of payments in the waterfall and will also accrue interest at the respective note rate. Certain aspects of the waterfall are dependent upon Nationstar remaining as servicer. Servicing fees and servicer related reimbursements are subordinated to interest and principal payments while Nationstar is servicer. However, servicing advances will instead have priority over interest and principal payments in the event that Nationstar defaults. Third-Party Review A third party firm conducted a review of certain characteristics of the mortgage assets on behalf of Nationstar. The review focused on data integrity, FHA insurance coverage verification, accuracy of appraisal recording, accuracy of occupancy status recording, borrower age documentation, identification of excessive corporate advances, documentation of servicer advances, and identification of tax liens with first priority in Texas. Also, broker price opinions (BPOs) were ordered for 253 properties in the pool. The results of the third-party review (TPR) are comparable to that of NHLT 2016-3 and NHLT 2016-2, indicating a number of exceptions related to the accuracy of appraisal information, and corporate advances exceeding FHA reimbursement thresholds or missing invoices or necessary information. NHLT 2017-1's TPR results showed a 3.25% initial-tape exception rate related to valuation, a 8.71% initial-tape exception rate related to property inspection, a 15.02% initial-tape exception rate related to foreclosure and bankruptcy fees, and a 11.25% initial-tape exception rate related to tax liens. This compares to 5.95%, 26.77%, 12.50%, and 34.15% initial-tape exception rate for NHLT 2016-3 in these categories respectively. The scope of the review was broader than for previously rated NHLT transactions. In particular, the TPR firm conducted an extensive data integrity review. Certain data tape fields, such as the MIP rate, the current UPB, current interest rate, and marketable title date were reviewed against Nationstar's servicing system. However, a significant number of data tape fields were reviewed against imaged copies of original documents of record, screen shots of HUD's HERMIT system, or HUD documents. Some key fields reviewed in this manner included the original note rate, the debenture rate, foreclosure first legal date, and the called due date. This type of review provides for the highest level of certainty in data quality. Reps & Warranties (R&W) Nationstar is the loan-level R&W provider and is rated B2 (Stable) and thus relatively weak from a credit perspective. Given the nascent nature of their securitization program, Moody's has limited insight as to their ability to serve in this capacity. This risk is mitigated by the fact that Nationstar is the equity holder in the transaction and there is therefore a significant alignment of interests. Another factor mitigating this risk is that a third-party due diligence firm conducted a review on the loans for evidence of FHA insurance. Nationstar represents that the mortgage loans are covered by FHA insurance that is in full force and effect. Nationstar provides further R&Ws including those for title, first lien position, enforceability of the lien, and the condition of the property. Although Nationstar provides a no fraud R&W covering the origination of the mortgage loans, determination of value of the mortgaged properties, and the sale and servicing of the mortgage loans, the no fraud R&W is qualified and is made only as to the initial mortgage loans. Aside from the no fraud R&W, Nationstar does not provide any other R&W in connection with the origination of the mortgage loans, including whether the mortgage loans were originated in compliance with applicable federal, state and local laws. Upon the identification of an R&W breach, Nationstar has to cure the breach. If Nationstar is unable to cure the breach, Nationstar must repurchase the loan within 90 days from receiving the notification. Moody's believes the absence of an independent third party reviewer who can identify any breaches to the R&W makes the enforcement mechanism weak in this transaction. Trustee & Master Servicer The acquisition and owner trustee for the NHLT 2017-1 transaction is Wilmington Savings Fund Society, FSB. The paying agent and cash management functions will be performed by U.S. Bank National Association. U.S. Bank National Association will also serve as the claims payment agent and as such will be the HUD mortgagee of record for the mortgage assets in the pool. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of stress could drive the ratings up. Transaction performance depends greatly on the US macro economy and housing market. Property markets could improve from Moody's original expectations resulting in appreciation in the value of the mortgaged property and faster property sales. Down Levels of credit protection that are insufficient to protect investors against current expectations of stresses could drive the ratings down. Transaction performance depends greatly on the US macro economy and housing market. Property markets could deteriorate from Moody's original expectations resulting in depreciation in the value of the mortgaged property and slower property sales. Methodology The methodologies used in these ratings were "Moody's Approach to Rating Securitisations Backed by Non-performing and Re-Performing Loans," published in August 2016 and "Moody's Global Approach to Rating Reverse Mortgage Securitizations," published in May 2015. Our quantitative asset analysis is based on a loan-by-loan modeling of expected payout amounts given the structure of FHA insurance and with various stresses applied to model parameters depending on the target rating level. FHA insurance claim types: funds come into the transaction primarily through the sale of REO properties and through FHA insurance claim receipts. There are uncertainties related to the extent and timing of insurance proceeds received by the trust due to the mechanics of the FHA insurance. HECM mortgagees may suffer losses if a property is sold for less than its appraised value. The amount of insurance proceeds received from the FHA depends on whether a sales based claim (SBC) or appraisal based claim (ABC) is filed. SBCs are filed in cases where the property is successfully sold within the first six months after the servicer has acquired it. ABCs are filed six months after the servicer has obtained marketable title if the property has not yet been sold. For an SBC, HUD insurance will cover the difference between (i) the loan balance and (ii) the higher of the sales price and 95.0% of the latest appraisal, with the transaction on the hook for losses if the sales price is lower than 95.0% of the latest appraisal. For an ABC, HUD only covers the difference between the loan amount and 100% of appraised value, so failure to sell the property at the appraised value results in loss. Moody's expects ABCs to have higher levels of losses than SBCs. The fact that there is a delay in the sale of the property usually implies some adverse characteristics associated with the property. FHA insurance will not protect against losses to the extent that an ABC property is sold at a price lower than the appraisal value taken at the six month mark of REO. Additionally, ABCs do not cover the cost to sell properties (broker fees) while SBCs do cover these costs. For SBCs, broker fees are reimbursable up to 6.0% ordinarily. Moody's base case expectation is that properties will be sold for 13.5% less than their appraisal value for ABCs. This is based on the historical experience of Nationstar. Moody's stressed these losses at higher credit rating levels. In Moody's asset analysis, Moody's also assumed there would be some losses for SBCs, albeit lower amounts than for ABCs. Based on historical performance, in the base case scenario Moody's assumed that SBCs would suffer 1.0% losses due to a failure to sell the property for an amount equal to or greater than 95.0% of the most recent appraisal. Moody's stressed these losses at higher rating levels. Under Moody's analytical approach, each loan is modeled to go through both the ABC and SBC process with a certain probability. Each loan will thus have both of the sales disposition payments and associated insurance payments (four payments in total). All payments are then probability weighted and run through a modeled liability structure. Based on the historical experience of Nationstar, for the base case scenario Moody's assumed that 85% of claims would be SBCs and the rest would be ABCs. Moody's stressed this assumption and assumed higher ABC percentages for higher rating levels. Liquidation process: each mortgage asset is categorized into one of four categories: default, due and payable, foreclosure and REO. In Moody's analysis, Moody's assume loans that are in referred status to be either in foreclosure or REO category. The loans are assumed to move through each of these stages until being sold out of REO. Moody's assumed that loans would be in default status for six months. Due and payable status is expected to last six to twelve months depending on the default reason. Foreclosure status is based on the state in which that the related property is located and is further stressed at higher rating levels. The base case foreclosure timeline is based on FHA timeline guidance. REO disposition is assumed to take place in six months with respect to SBCs and twelve months with respect to ABCs. Debenture interest: the receipt of debenture interest is dependent upon performance of certain actions within certain timelines by the servicer. If these timeline and performance benchmarks are not met by the servicer, debenture interest is subject to curtailment. Moody's base case assumption is that 95.0% of debenture interest will be received by the trust. Moody's stressed the amount of debenture interest that will be received at higher rating levels. Moody's debenture interest assumptions reflect the requirement that Nationstar (B2, Stable) reimburse the trust for debenture interest curtailments due to servicing errors or failures to comply with HUD guidelines. Additional model features: Moody's incorporated certain additional considerations into Moody's analysis, including the following: * In most cases, the most recent appraisal value was used as the property value in Moody's analysis. However, for seasoned appraisals Moody's applied a 15.0% haircut to account for potential home price depreciation between the time of the appraisal and the cut-off date. * Mortgage loans with borrowers that have significant equity in their homes are likely to be paid off by the borrowers or their heirs rather than complete the foreclosure process. Moody's estimated which loans would be bought out of the trust by comparing each loans' appraisal value (post haircut) to its UPB. * Moody's assumed that foreclosure costs will average $4,500 per loan, two thirds of which will be reimbursed by the FHA. Moody's then applied a negative adjustment to this amount based on the TPR results. * Moody's estimated monthly tax and insurance advances based on cumulative tax and insurance advances to date. Moody's ran additional stress scenarios that were designed to mimic expected cash flows in the case where Nationstar is no longer the servicer. Moody's assume the following in the situation where Nationstar is no longer the servicer: * Servicing advances and servicing fees: Nationstar subordinates their recoupment of servicing advances, servicing fees, and MIP payments. A replacement servicer will not subordinate these amounts. * Nationstar indemnifies the trust for lost debenture interest due to servicing errors or failure to comply with HUD guidelines. If Nationstar went bankrupt it likely will not have the financial capacity to do this. * A replacement servicer may require an additional fee and thus Moody's assume a 25 bps strip will take effect if the servicer is replaced. * One third of foreclosure costs will be removed from sales proceeds to reimburse a replacement servicer (one third of foreclosure costs are not reimbursable under FHA insurance). This is typically on the order of $1,500. NCMS 2017-75B: S&P Assigns BB- Rating on 3 Tranches --------------------------------------------------- S&P Global Ratings assigned its ratings to NCMS 2017-75B's $143.0 million commercial mortgage pass-through certificates series 2017-75B. The certificate issuance is a commercial mortgage-backed securities transaction backed by a $143.0 million portion of a whole loan with an aggregate cut-off date principal balance of $230.0 million. The ratings reflect S&P's view of the collateral's historical and projected performance, the sponsor's and manager's experience, the trustee-provided liquidity, the loan's terms, and the transaction's structure. RATINGS ASSIGNED NCMS 2017-75B Class Rating Amount (mil. $) A AAA (sf) 56,997,000 X-A AAA (sf) 56,997,000(i) X-B A- (sf) 37,764,000(i) B AA- (sf) 21,100,000 C A- (sf) 16,664,000 D BBB- (sf) 20,442,000 E BB- (sf) 27,797,000 V1-A(ii) AAA (sf) 56,997,000 V1-XB(ii) A- (sf) 37,764,000(i) V1-B(ii) AA- (sf) 21,100,000 V1-C(ii) A- (sf) 16,664,000 V1-D(ii) BBB- (sf) 20,442,000 V1-E(ii) BB- (sf) 27,797,000 V2(ii) BB- (sf) 143,000,000 (i)Notional balance. The notional amount of the class X-A and X-B certificates will be reduced by the aggregate amount of realized losses allocated to the class A certificates. The notional amount of the class X-B certificates will be reduced by the aggregate amount of realized losses allocated to the class B and C certificates. (ii)Exchangeable classes, all of which will have a $0 balance at issuance. The dollar amount shown represents the maximum balance of each class if all initial certificates are exchanged. OCTAGON INVESTMENT XIV: Moody's Assigns B3 Rating to Cl. E-R Notes ------------------------------------------------------------------ Moody's Investors Service has assigned the following ratings to the following notes (the "Refinancing Notes") issued by Octagon Investment Partners XIV, Ltd.: US$6,400,000 Class X-R Senior Secured Floating Rate Notes due 2019, Definitive Rating Assigned Aaa (sf) US$420,500,000 Class A-1a-R Senior Secured Floating Rate Notes due 2029, Definitive Rating Assigned Aaa (sf) US$46,200,000 Class A-1b-R Senior Secured Floating Rate Notes due 2029, Definitive Rating Assigned Aaa (sf) US$62,700,000 Class A-2-R Senior Secured Floating Rate Notes due 2029, Definitive Rating Assigned Aa2 (sf) US$45,300,000 Class B-R Senior Secured Deferrable Floating Rate Notes due 2029, Definitive Rating Assigned A2 (sf) US$38,000,000 Class C-R Senior Secured Deferrable Floating Rate Notes due 2029, Definitive Rating Assigned Baa3 (sf) US$27,860,000 Class D-R Senior Secured Deferrable Floating Rate Notes due 2029, Definitive Rating Assigned Ba3 (sf) US$14,000,000 Class E-R Senior Secured Deferrable Floating Rate Notes due 2029, Definitive Rating Assigned B3 (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. Octagon Credit Investors, 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 of 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 May 25, 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 used 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): 2692 Weighted Average Spread (WAS): 3.5% Weighted Average Coupon (WAC): 7.5% 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% (from 2692 to 3096) 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: -2 Percentage Change in WARF -- increase of 30% (from 2692 to 3500) 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: -4 OLYMPIC TOWER 2017-OT: Fitch Assigns BB-sf Rating to Class E Certs ------------------------------------------------------------------ Fitch Ratings has assigned the following ratings and Rating Outlooks to Olympic Tower 2017-OT Mortgage Trust Commercial Mortgage Pass-Through Certificates. -- $230,597,000 class A 'AAAsf'; Outlook Stable; -- $230,597,000 class X-A 'AAAsf'; Outlook Stable; -- $35,990,000 class X-B 'AA-sf'; Outlook Stable; -- $35,990,000 class B 'AA-sf'; Outlook Stable; -- $28,821,000 class C 'A-sf'; Outlook Stable; -- $56,092,000 class D 'BBB-sf'; Outlook Stable; -- $104,500,000 class E 'BB-sf'; Outlook Stable. Fitch does not rate the following class: -- $24,000,000b VRR Interest. (a) Notional amount and interest-only. (b) Vertical credit risk retention interest representing 5.0% of the pool balance (as of the closing date). Since Fitch published its expected ratings on May 8, 2017, the notional balance of the interest-only class X-B changed from $64,811,000 to $35,990,000. As such, the rating for the class changed from 'A-sf' to 'AA-sf'. The classes above reflect the final ratings and deal structure. The certificates represent the beneficial interests in the mortgage loan, securing the leasehold interests in 388,170 square feet (sf) of office space and 36,556 sf of retail space within 21 stories of a 52-story mixed use building known as Olympic Tower, two adjoining buildings totaling 75,000 sf of ground and upper level retail space, and a 25,646 sf, seven-story mixed use building located at 641, 647, and 651 Fifth Avenue, and 10 East 52nd Street in New York, NY. Proceeds of the loan were used to refinance existing debt, fund up-front reserves, pay closing costs, and return equity to the borrower. The certificates will follow a sequential-pay structure. KEY RATING DRIVERS High Quality Asset in Prime Office and Retail Location: The property consists of 388,170 sf of class A office space within the Plaza submarket and 96,899 sf of retail space along Fifth Avenue, between East 51st and East 52nd Streets in midtown Manhattan. The retail submarket is a premier shopping district, with some of the highest asking rents in the world. Strong Historical Occupancy and Long Term Leases: The property is currently 98.8% leased and has maintained an average historical occupancy of 97.2% since 2008. The top five tenants, which account for 83.2% of the NRA, have a weighted average remaining lease term of 13.8 years. Diverse and High Quality Tenant Base: The property is leased to 22 office and retail tenants. It serves as the headquarters' locations for the NBA, MSD Capital, and Richemont North America and as flagship locations for Cartier and Versace USA. The property leases space to other luxury retailers including Furla, Armani, and H. Stern. Below-Market Retail Rents: In-place rents for the retail space that expires during the loan term are approximately 23% below-market rents as determined by the appraisal. Fitch Leverage: The $760.0 million mortgage loan has a Fitch DSCR and LTV of 1.05x and 83.6%, respectively, and debt of $1,447 psf. RATING SENSITIVITIES Fitch performed a break-even analysis to determine the amount of value deterioration the pool could withstand prior to $1 of loss on the total debt and 'AAAsf' rated class. The break-even value declines were performed using both the appraisal values at issuance and the Fitch-stressed value. Based on the as-is appraisal value of $1.9 billion, break-even values represent declines of 60.0% and 76.4% for the total debt and 'AAAsf' class, respectively. Similarly, Fitch estimated total debt and 'AAAsf' break-even value declines using the Fitch-adjusted property value of $909.5 million, which is a function of the Fitch NCF and a stressed capitalization rate, in relation to the appropriate class balances. The break-even value declines relative to the total debt and 'AAAsf' balances are 16.4% and 50.7%, respectively, which correspond to equivalent declines to Fitch NCF, as the Fitch capitalization rate is held constant. Fitch evaluated the sensitivity of the ratings for class A and found that a 7% decline in Fitch's implied NCF would result in a one-category downgrade, while a 31% decline would result in a downgrade to below investment grade. PALMER SQUARE 2015-1: S&P Assigns BB- Rating on Cl. D-R Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1-R, A-2-R, B-R, C-R, and D-R replacement notes from Palmer Square CLO 2015-1 Ltd., a collateralized loan obligation (CLO) originally issued in 2015 that is managed by Palmer Square Capital Management LLC. S&P withdrew its ratings on the original class A-1, A-2, B, C, and D notes following payment in full on the May 22, 2017, refinancing date. On the May 22, 2017, refinancing date, the proceeds from the class A-1-R, A-2-R, B-R, C-R, and D-R replacement note issuances were used to redeem the original class A-1, A-2, B, C, and D notes as outlined in the transaction document provisions. Therefore, S&P withdrew its ratings on the original notes in line with their full redemption, and S&P is assigning ratings to the replacement notes. 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 Palmer Square CLO 2015-1 Ltd. (Refinancing And Extension) Replacement class Rating Amount (mil. $) A-1-R AAA (sf) 457.00 A-2-R AA (sf) 84.20 B-R (deferrable) A (sf) 56.50 C-R (deferrable) BBB (sf) 36.10 D-R (deferrable) BB- (sf) 33.10 Subordinated notes NR 76.40 RATINGS WITHDRAWN Palmer Square CLO 2015-1 Ltd. Rating Original Class To From A-1 NR AAA (sf) A-2 NR AA (sf) B NR A (sf) C NR BBB (sf) D NR BB- (sf) NR--Not rated. PREFERREDPLUS TRUST CZN-1: Moody's Cuts Rating on $34MM Certs to B2 ------------------------------------------------------------------- Moody's Investors Service announced that it has downgraded the rating of the following certificates issued by PREFERREDPLUS Trust Series CZN-1: $34,500,000 PREFERREDPLUS Trust Series CZN-1 Certificates, Downgraded to B2; previously on November 10, 2016 Downgraded to B1 RATINGS RATIONALE The rating action is a result of the change in the rating of 7.05% Debentures due October 01, 2046 issued by Frontier Communications Corporation ("Underlying Securities") which was downgraded to B2 on May 22, 2017. The transaction is a structured note whose ratings are based on the rating of the Underlying Securities and the legal structure of the transaction. Methodology Underlying the Rating Action The principal methodology used in this rating was "Moody's Approach to Rating Repackaged Securities" published in June 2015. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The ratings will be sensitive to any change in the rating of the 7.05% Debentures due October 01, 2046 issued by Frontier Communications Corporation. RAIT TRUST 2015-FL4: DBRS Confirms B(sf) Rating on Class F Debt --------------------------------------------------------------- DBRS Limited confirmed the ratings on the following classes of notes issued by RAIT 2015-FL4 Trust: -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class X-1 at BB (sf) -- Class X-2 at B (high) (sf) -- Class E at BB (sf) -- Class F at B (sf) DBRS has changed the trend on Class B to Positive from Stable. All other trends are Stable. DBRS does not rate the first loss piece, Class G. The rating confirmations and trend change reflect the stable overall performance of the pool and the successful repayment of loans from the transaction. The transaction currently consists of 12 interest-only, floating-rate loans secured by 16 transitional commercial real estate assets, including office, retail, industrial and multifamily properties. According to the April 2017 remittance, there has been collateral reduction of 39.5% since issuance, as eight loans have left the trust since issuance, contributing to a principal paydown of $88.2 million. In the last 12 months, six loans have left the trust, providing increased credit support to the bonds. Based on YE2016 financial reporting for the individual loans, the pool has a weighted-average debt yield of 8.5%. According to the April 2017 remittance, there are currently no loans on the servicer's watchlist nor any delinquent or specially serviced loans. All the properties securing the loans are cash-flowing assets, and a majority of the properties are approaching stabilization, with viable plans in place to improve asset value. Select loans were initially funded with reserves, which may have included funds for capital improvements, tenant inducements, leasing commissions and operating shortfalls. In both its initial transaction analysis and in this review, DBRS took into account the potential effects of the in-place reserves. The largest loan is highlighted below. The Monarch Portfolio loan (22.3% of the current pool balance) is secured by three retail properties across Georgia, and two ground leases totalling 466,906 square feet (sf), built between 1983 and 1989. At issuance, loan proceeds were used to fund upfront reserves, including approximately $4.4 million for TI/LCs to facilitate leasing at the subject. According to the March 2017 rent roll, the portfolio was 77.4% occupied with an average rental rate of $9.70 psf, showing steady improvement since issuance, when the occupancy rate was 71.3% with an average rental rate of $7.42 psf. The largest three tenants collectively represent 32.5% of the net rentable area (NRA) with leases scheduled to expire between February 2021 and June 2032. The largest tenant, Kroger, 13.7% of the NRA, renewed its lease by five years in March 2016, and the borrower executed a new 15-year lease with Zion Market for 11.0% of the NRA commencing in June 2017. Zion Market will pay a base rental rate of approximately $8.00 psf. According to the March 2017 servicer update, The Checkers pad and the Zion parcel paid off as a partial release, which has been reflected in the April 2017 remittance report, as the principal balance has been reduced by approximately $800,000 following the release. According to Reis, retail properties in the NE Gwinnet/I-85 submarket built in the 1980s reported average asking rent of $16.10 psf with average vacancy of 19.6%. Overall, retail properties throughout the submarket reported average rent of $17.73 psf with average vacancy of 12.7% According to the April 2017 loan level reserve report, approximately $1.0 million of the TI/LC reserve balance has been used, with an ending balance $3.4 million. Based on the current vacancy across the property, this computes to over $30 psf in available dollars to lease the property to a stabilized occupancy rate. According to the YE2016 financials, the net cash flow was $2.3 million, indicative of a 7.7% debt yield. The ratings assigned to the Class B and C 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. REALT 2015-1: DBRS Confirms B(sf) Rating on Class G Certificates ---------------------------------------------------------------- DBRS Limited confirmed the ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2015-1 issued by Real Estate Liquidity Trust (REALT), Series 2015-1: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class B at AA (sf) -- Class C at A (sf) -- Class X at A (sf) -- Class D at BBB (sf) -- Class E at BBB (low) -- Class F at BB (sf) -- Class G at B (sf) All trends are Stable. DBRS does not rate the first loss piece, Class H. The rating confirmations reflect the overall stable performance of the transaction since issuance in May 2015. The transaction consists of 46 fixed-rate loans secured by 46 commercial properties. The pool has experienced a collateral reduction of 5.1% since issuance as a result of scheduled amortization, with all of the original 46 loans outstanding. The most recent financials available at the time of review were YE2015 financials, which reported a weighted-average (WA) debt service coverage ratio (DSCR) of 1.64 times (x) and a WA debt yield of 10.8% for the pool. The DBRS WA DSCR and WA debt yield for the pool at issuance were 1.50x and 9.3%, respectively. As of the May 2017 remittance, there was one loan, representing 2.2% of the pool balance, on the servicer's watchlist, and no loans in special servicing. The York Industrial Leduc loan (Prospectus ID#15, 2.2% of the current pool) was added to the servicer's watchlist, as the largest tenant, Raptor Manufacturing, which occupied 54.5% of the net rentable area at issuance, went bankrupt and vacated the property. As such, the subject is currently 45.5% occupied by one tenant on a lease through October 2019. The U-Haul SAC 3 Portfolio loan (Prospectus ID#35-38, 41-46; 3.7% of the current pool) is secured by a portfolio of ten individual loans backed by self-storage properties totalling 4,985 units across ten different cities in Ontario. At issuance, DBRS shadow-rated this loan as investment grade. DBRS confirms with this review that the performance of this loan remains consistent with investment-grade loan characteristics. The ratings assigned to Class X materially deviate from the lower 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; in this case, the deviation is warranted on the notional class, as it is less likely to be adversely affected by collateral credit losses supported by historical performance of Canadian CMBS, in which total losses in the sector are less than 0.01% since inception in 1998. REALT 2016-1: DBRS Confirms B(sf) Rating on Class G Certificates ---------------------------------------------------------------- DBRS Limited confirmed the ratings for all classes of Commercial Mortgage Pass-Through Certificates, Series 2016-1 (the Certificates) issued by Real Estate Asset Liquidity Trust (REALT), Series 2016-1 (the Trust) as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class B at AA (sf) -- Class X at A (sf) -- Class C at A (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (sf) -- Class G at B (sf) All trends are Stable. The rating confirmations reflect the overall stable performance exhibited by the transaction since issuance in 2016. At issuance, the collateral consisted of 55 fixed-rate loans secured by 91 commercial properties. As of the May 2017 remittance, all loans remained in the pool with an aggregate principal balance of $391.7 million, representing a collateral reduction of 2.3% due to scheduled loan amortization. To date, only eight loans (7.7% of the pool) have reported 2016 net cash flow figures. The pool is fairly concentrated by property type, as 26 loans (representing 39.9% of the pool) are secured by retail properties, 11 loans (23.1% of the pool) are secured by multifamily properties, nine loans (17.6% of the pool) are secured by industrial properties and five loans (14.7% of the pool) are secured by office properties; in total representing 95.3% of the pool. By geographical location, the pool is most concentrated in central Canada, as the largest concentration by province is Ontario with 34 loans (55.8% of the pool), followed by Québec with eight loans (17.6% of the pool) and British Columbia with nine loans (10.0% of the pool). The pool is rather diverse in concentration by loan size, as the top ten and top 15 loans only represent 43.7% and 56.0% of the pool, respectively. The transaction benefits from 27 loans (50.7% of the pool) having some degree of recourse to their respective sponsors. As of the May 2017 remittance, there are no loans on the servicer's watchlist or in special servicing. At issuance, DBRS shadow-rated the Toronto Congress Centre (Prospectus ID#2, 5.4% of the pool) as investment grade. DBRS confirms that the performance of this loan remains consistent with investment-grade loan characteristics. The rating assigned to Class X materially deviate from the lower 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; in this case, the deviation is warranted on the notional class as it is less likely to be adversely affected by collateral credit losses supported by historical performance of Canadian commercial mortgage-backed securities (CMBS), in which total losses in the sector are less than 0.01% since inception in 1998. REGATTA IX: Moody's Assigns Ba3(sf) Rating to Class E Notes ----------------------------------------------------------- Moody's Investors Service has assigned ratings to five classes of notes issued by Regatta IX Funding Ltd. Moody's rating action is: US$256,000,000 Class A Senior Secured Floating Rate Notes due 2030 (the "Class A Notes"), Definitive Rating Assigned Aaa (sf) US$47,500,000 Class B Senior Secured Floating Rate Notes due 2030 (the "Class B Notes"), Definitive Rating Assigned Aa2 (sf) US$18,800,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2030 (the "Class C Notes"), Definitive Rating Assigned A2 (sf) US$24,800,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2030 (the "Class D Notes"), Definitive Rating Assigned Baa3 (sf) US$20,900,000 Class E Junior Secured Deferrable Floating Rate Notes due 2030 (the "Class E Notes"), Definitive Rating Assigned Ba3 (sf) The Class A Notes, the Class B Notes, the Class C Notes, the Class D Notes and the Class E Notes are referred to herein as the "Rated Notes." RATINGS RATIONALE Moody's ratings of the Rated Notes address the expected losses posed to noteholders. The ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. Regatta IX 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 first-lien and last-out, second lien loans and unsecured loans. The portfolio is approximately 90% ramped as of the closing date. Regatta Loan Management LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets, subject to certain restrictions. In addition to the Rated Notes, the Issuer issued one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in October 2016. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $400,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 2727 Weighted Average Spread (WAS): 3.50% Weighted Average Coupon (WAC): 7.50% Weighted Average Recovery Rate (WARR): 45.0% 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 2727 to 3136) Rating Impact in Rating Notches Class A Notes: 0 Class B Notes: -2 Class C Notes: -2 Class D Notes: -1 Class E Notes: -1 Percentage Change in WARF -- increase of 30% (from 2727 to 3545) Rating Impact in Rating Notches Class A Notes: -1 Class B Notes: -4 Class C Notes: -4 Class D Notes: -2 Class E Notes: -1 ROCKWALL CDO II: S&P Puts Cl. B-2L Notes' BB- Rating on Watch Pos. ------------------------------------------------------------------ S&P Global Ratings placed its ratings on five classes from Rockwall CDO II Ltd., a U.S. hybrid collateralized loan obligation (CLO) transaction, on CreditWatch with positive implications. Today's CreditWatch placements follow our surveillance review of U.S. cash flow collateralized debt obligation (CDO) transactions. The affected tranches had an original issuance amount of $293.51 million. The CreditWatch positive placements resulted from enhanced overcollateralization due to paydowns to the transaction's senior tranches. The transaction closed in 2007 and exited it reinvestment period in 2014. S&P expects to resolve the CreditWatch placements within 90 days after S&P completes a comprehensive cash flow analysis and committee review of the affected transaction. S&P will continue to monitor the CDO transactions it rates and take rating actions, including CreditWatch placements, as S&P deems appropriate. RATINGS PLACED ON CREDITWATCH POSITIVE Rockwall CDO II Ltd. Rating Class To From A-Lb AA (sf)/Watch Pos AA (sf) A-2L A+ (sf)/Watch Pos A+ (sf) A-3L BBB+ (sf)/Watch Pos BBB+ (sf) B-1L BB+ (sf)/Watch Pos BB+ (sf) B-2L BB- (sf)/Watch Pos BB- (sf) SDART 2017-2: Fitch Assigns 'BBsf' Rating to Class E Notes ---------------------------------------------------------- Fitch Ratings has assigned the following ratings and Outlooks to the notes issued from Santander Drive Auto Receivables Trust 2017-2 (SDART 2017-2): -- $245,000,000 class A-1 notes 'F1+sf'; -- $343,000,000 class A-2 notes 'AAAsf'; Outlook Stable; -- $147,280,000 class A-3 notes 'AAAsf'; Outlook Stable; -- $163,150,000 class B notes 'AAsf'; Outlook Stable; -- $199,240,000 class C notes 'Asf'; Outlook Stable; -- $150,370,000 class D notes 'BBBsf'; Outlook Stable; -- $75,190,000 class E notes 'BBsf'; Outlook Stable. KEY RATING DRIVERS Stable Credit Quality: 2017-2 is backed by collateral relatively consistent with the 2014-2017 pools, with a WA FICO score of 614 and internal weighted average (WA) loss forecast score (LFS) of 555. Obligors with no FICO scores are down from peak levels, but remain at 12.2% of the pool. Increased Extended-Term Contracts: The concentration of 73-75-month loans decreased to 7.7% from 12.3% in 2017-1 (NR), and 60+ month loans account for 92.7% of the pool, towards the higher end of the range, historically, for the platform. Consistent with prior Fitch-rated transactions, an additional stress was applied to the 73-75-month loans when deriving the loss proxy. Weakening Performance: Although within range of the 2010 - 2012 performance, recent 2013 - 2016 portfolio and securitization losses are tracking higher. Loss frequency has been driven higher by looser underwriting, while loss severity has risen due to slightly weaker wholesale vehicle values and early-stage defaults on extended term collateral. Fitch expects the 2015 -2016 vintages to perform relatively in line with 2013-2014, if not weaker. Sufficient Credit Enhancement: The cash flow distribution is a sequential pay structure. Initial hard credit enhancement (CE) totals 52.10% for the class A notes, up slightly from recent transactions. Excess spread is expected to be 9.84% per annum, down from recent transactions due to the decline in the WA APR. Stable Corporate Health: Santander Consumer USA Inc.'s recent financial results have been weaker due to higher losses on the managed portfolio. However, the company has been profitable since 2007 and Fitch currently rates Santander, SC's majority owner, 'A-'/'F2'/Outlook Stable. Consistent Origination/Underwriting/Servicing: SC demonstrates adequate abilities as originator, underwriter, and servicer as evidenced by historical portfolio and securitization performance. Fitch deems SC capable to service this series. Legal Structure Integrity: The legal structure of the transaction should provide that a bankruptcy of SC would not impair the timeliness of payments on the securities. RATING SENSITIVITIES Unanticipated increases in the frequency of defaults and loss severity on defaulted receivables could produce loss levels higher than the base case. This in turn could result in Fitch taking negative rating actions on the notes. Fitch evaluated the sensitivity of the ratings assigned to Santander Drive Auto Receivables Trust 2017-2 to increased credit losses over the life of the transaction. Fitch's analysis found that the transaction displays some sensitivity to increased defaults and credit losses. This shows a potential downgrade of one or two categories under Fitch's moderate (1.5x base case loss) scenario, especially for the subordinate bonds. The notes could experience downgrades of three or more rating categories, potentially leading to distressed ratings (below 'Bsf') or possibly default, under Fitch's severe (2x base case loss) scenario. SDART 2017-2: Fitch to Rate Class E Notes 'BBsf' ------------------------------------------------ Fitch Ratings expects to assign the following ratings and Outlooks to the notes issued from Santander Drive Auto Receivables Trust 2017-2 (SDART 2017-2): -- Class A-1 notes 'F1+sf'; -- Class A-2 notes 'AAAsf'; Outlook Stable; -- Class A-3 notes 'AAAsf'; Outlook Stable; -- Class B notes 'AAsf'; Outlook Stable; -- Class C notes 'Asf'; Outlook Stable; -- Class D notes 'BBBsf'; Outlook Stable; -- Class E notes 'BBsf'; Outlook Stable. KEY RATING DRIVERS Stable Credit Quality: 2017-2 is backed by collateral relatively consistent with the 2014-2017 pools, with a WA FICO score of 614 and internal weighted average (WA) loss forecast score (LFS) of 555. Obligors with no FICO scores are down from peak levels, but remain at 12.2% of the pool. Increased Extended-Term Contracts: The concentration of 73-75-month loans decreased to 7.6% from 12.3% in 2017-1 (NR), and 60+ month loans account for 92.7% of the pool, towards the higher end of the range, historically, for the platform. Consistent with prior Fitch-rated transactions, an additional stress was applied to the 73-75-month loans when deriving the loss proxy. Weakening Performance: Although within range of the 2010-2012 performance, recent 2013-2016 portfolio and securitization losses are tracking higher. Loss frequency has been driven higher by looser underwriting, while loss severity has risen due to slightly weaker wholesale vehicle values and early-stage defaults on extended term collateral. Fitch expects the 2015-2016 vintages to perform relatively in line with 2013-2014, if not weaker. Sufficient Credit Enhancement: The cash flow distribution is a sequential pay structure. Initial hard credit enhancement (CE) totals 52.10% for the class A notes, up slightly from recent transactions. Excess spread is expected to be 9.48% per annum, down from recent transactions due to the decline in the WA APR. Stable Corporate Health: Santander Consumer USA Inc.'s recent financial results have been weaker due to higher losses on the managed portfolio. However, the company has been profitable since 2007 and Fitch currently rates Santander, SC's majority owner, 'A-/F2'/Stable. Consistent Origination/Underwriting/Servicing: SC demonstrates adequate abilities as originator, underwriter, and servicer as evidenced by historical portfolio and securitization performance. Fitch deems SC capable to service this series. Legal Structure Integrity: The legal structure of the transaction should provide that a bankruptcy of SC would not impair the timeliness of payments on the securities. RATING SENSITIVITIES Unanticipated increases in the frequency of defaults and loss severity on defaulted receivables could produce loss levels higher than the base case. This in turn could result in Fitch taking negative rating actions on the notes. Fitch evaluated the sensitivity of the ratings assigned to Santander Drive Auto Receivables Trust 2017-2 to increased credit losses over the life of the transaction. Fitch's analysis found that the transaction displays some sensitivity to increased defaults and credit losses. This shows a potential downgrade of one or two categories under Fitch's moderate (1.5x base case loss) scenario, especially for the subordinate bonds. The notes could experience downgrades of three or more rating categories, potentially leading to distressed ratings (below 'Bsf') or possibly default, under Fitch's severe (2x base case loss) scenario. SDART 2017-2: S&P Assigns BB Rating on $75.19MM Class E Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to Santander Drive Auto Receivables Trust (SDART) 2017-2's $1.32 billion 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 53.90%, 47.08%, 37.74%, 30.55%, and 27.01% of credit support for the class A (A-1, A-2, A-3), B, C, D, and E notes, respectively, based on stress cash flow scenarios (including excess spread), which provide coverage of approximately 3.30x, 2.85x, 2.25x, 1.70x, and 1.50x S&P's 15.75%-16.50% expected cumulative net loss. - The timely interest and principal payments made under stressed cash flow modeling scenarios appropriate to the assigned ratings. - S&P's expectation that under a moderate ('BBB') stress scenario (1.7x S&P's expected loss level), all else being equal, its ratings on the class A, B, and C notes ('AAA (sf)', 'AA (sf)', and 'A (sf)', respectively) will remain within one rating category, and our rating on the class D notes ('BBB (sf)') will remain within two rating categories of the assigned ratings while they are outstanding. These rating movements are within the outer bounds specified by S&P's credit stability criteria. These criteria indicate that S&P would not assign 'AAA (sf)' and 'AA (sf)' ratings if, under moderate stress conditions, the ratings would be lowered by more than one rating category within the first year and by more than three rating categories over a three-year period. The criteria also specify that S&P would not assign 'A (sf)' and 'BBB (sf)' ratings if such ratings would fall by more than two categories in one year or three categories over three years. The 'BB (sf)' rated class E notes will remain within two rating categories of the assigned rating during the first year but will eventually default under the 'BBB' stress scenario, after having received 88% of their principal. - Santander Consumer USA Inc. (SC; originator/servicer's) long history of originating and servicing subprime auto loan receivables. S&P's analysis of nine years of origination static pool data on SC's lending programs. - Six years of performance on SC's securitizations since it re-entered the asset-backed securities market in 2010. - The transaction's payment/credit enhancement and legal structures. - The inclusion of a representation by the originator that states the obligor on each receivable has made, or will make, the first two monthly payments under such receivable. RATINGS ASSIGNED Santander Drive Auto Receivables Trust 2017-2 Class Rating Type Interest Amount rate (mil. $) A-1 A-1+ (sf) Senior Fixed 245.00 A-2 AAA (sf) Senior Fixed 343.00 A-3 AAA (sf) Senior Fixed 147.28 B AA (sf) Subordinate Fixed 163.15 C A (sf) Subordinate Fixed 199.24 D BBB (sf) Subordinate Fixed 150.37 E BB (sf) Subordinate Fixed 75.19 SOUND POINT XVI: Moody's Assigns (P)Ba3 Rating to Class E Notes --------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to five classes of notes to be issued by Sound Point CLO XVI, Ltd. Moody's rating action is: US$520,000,000 Class A Senior Secured Floating Rate Notes due 2030 (the "Class A Notes"), Assigned (P)Aaa (sf) US$88,000,000 Class B Senior Secured Floating Rate Notes due 2030 (the "Class B Notes"), Assigned (P)Aa2 (sf) US$48,000,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2030 (the "Class C Notes"), Assigned (P)A2 (sf) US$40,000,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2030 (the "Class D Notes"), Assigned (P)Baa3 (sf) US$40,000,000 Class E Junior Secured Deferrable Floating Rate Notes due 2030 (the "Class E Notes"), Assigned (P)Ba3 (sf) The Class A Notes, the Class B Notes, the Class C Notes, the Class D Notes and the Class E Notes are referred to herein, collectively, as the "Rated Notes." Moody's issues provisional ratings in advance of the final sale of financial instruments, but these ratings only represent Moody's preliminary credit opinions. Upon a conclusive review of a transaction and associated documentation, Moody's will endeavor to assign definitive ratings. A definitive rating, if any, may differ from a provisional rating. RATINGS RATIONALE Moody's provisional ratings of the Rated Notes address the expected losses posed to noteholders. The provisional ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. Sound Point CLO XVI is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated first lien senior secured corporate loans. At least 92.5% of the portfolio must consist of senior secured loans, cash, and eligible investments, and up to 7.5% of the portfolio may consist of second lien loans, senior unsecured loans and first-lien last-out loans. Moody's expects the portfolio to be approximately 60% ramped as of the closing date. Sound Point Capital Management, LP (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five-year reinvestment period. Thereafter, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets, subject to certain restrictions. In addition to the Rated Notes, the Issuer will issue subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in October 2016. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $800,000,000 Diversity Score: 55 Weighted Average Rating Factor (WARF): 2600 Weighted Average Spread (WAS): 3.55% Weighted Average Coupon (WAC): 4.00% Weighted Average Recovery Rate (WARR): 46.5% Weighted Average Life (WAL): 9 years. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in October 2016. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. Together with the set of modeling assumptions above, Moody's conducted an additional sensitivity analysis, which was a component in determining the ratings assigned to the Rated Notes. This sensitivity analysis includes increased default probability relative to the base case. Below is a summary of the impact of an increase in default probability (expressed in terms of WARF level) on the Rated Notes (shown in terms of the number of notch difference versus the current model output, whereby a negative difference corresponds to higher expected losses), assuming that all other factors are held equal: Percentage Change in WARF -- increase of 15% (from 2600 to 2990) Rating Impact in Rating Notches Class A Notes: 0 Class B Notes: -1 Class C Notes: -2 Class D Notes: -1 Class E Notes: 0 Percentage Change in WARF -- increase of 30% (from 2600 to 3380) 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 TICP CLO VII: Moody's Assigns (P)Ba3(sf) Rating to Class E Notes ---------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to seven classes of notes to be issued by TICP CLO VII, Ltd. Moody's rating action is: U$293,500,000 Class A-S Senior Secured Floating Rate Notes due 2029 (the "Class A-S Notes"), Assigned (P)Aaa (sf) US$36,500,000 Class A-J Senior Secured Floating Rate Notes due 2029 (the "Class A-J Notes"), Assigned (P)Aaa (sf) US$15,000,000 Class B-1 Senior Secured Floating Rate Notes due 2029 (the "Class B-1 Notes"), Assigned (P)Aa2 (sf) US$25,000,000 Class B-2 Senior Secured Fixed Rate Notes due 2029 (the "Class B-2 Notes"), Assigned (P)Aa2 (sf) US$36,250,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2029 (the "Class C Notes"), Assigned (P)A2 (sf) US$25,000,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2029 (the "Class D Notes"), Assigned (P)Baa3 (sf) US$28,750,000 Class E Junior Secured Deferrable Floating Rate Notes due 2029 (the "Class E Notes"), Assigned (P)Ba3 (sf) The Class A-S Notes, the Class A-J Notes, the Class B-1 Notes, the Class B-2 Notes, the Class C Notes, the Class D Notes, and the Class E Notes are referred to herein as the "Rated Notes." Moody's issues provisional ratings in advance of the final sale of financial instruments, but these ratings only represent Moody's preliminary credit opinions. Upon a conclusive review of a transaction and associated documentation, Moody's will endeavor to assign definitive ratings. A definitive rating, if any, may differ from a provisional rating. RATINGS RATIONALE Moody's provisional ratings of the Rated Notes address the expected losses posed to noteholders. The provisional ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. TICP VII is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated first lien senior secured corporate loans. At least 92.5% of the portfolio must consist of senior secured loans, cash, and eligible investments, and up to 7.5% of the portfolio may consist of second lien loans and unsecured loans. Moody's expects the portfolio to be approximately 65% ramped as of the closing date. TICP CLO VII Management, LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets, subject to certain restrictions. In addition to the Rated Notes, the Issuer will issue one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in October 2016. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $500,000,000 Diversity Score: 55 Weighted Average Rating Factor (WARF): 2860 Weighted Average Spread (WAS): 3.50% Weighted Average Coupon (WAC): 7.50% 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 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 2860 to 3289) Rating Impact in Rating Notches Class A-S Notes: 0 Class A-J Notes: -1 Class B-1 Notes: -1 Class B-2 Notes: -1 Class C Notes: -2 Class D Notes: -1 Class E Notes: -1 Percentage Change in WARF -- increase of 30% (from 2860 to 3718) Rating Impact in Rating Notches Class A-S Notes: 0 Class A-J Notes: -3 Class B-1 Notes: -3 Class B-2 Notes: -3 Class C Notes: -4 Class D Notes: -2 Class E Notes: -1 TOWD POINT 2015-2: Fitch Assigns 'Bsf' Ratings on 2 Tranches ------------------------------------------------------------ Fitch Ratings has assigned the following ratings and Outlooks to three previously unrated classes from three Towd Point Mortgage Trust (TPMT) Residential Mortgage Backed Securities (RMBS) transactions issued in 2015: -- Series 2015-1 class B-1 notes 'Bsf'; Outlook Stable; -- Series 2015-2 class 1-B3 notes 'B-sf'; Outlook Stable; -- Series 2015-2 class 2-B3 notes 'Bsf'; Outlook Stable. Fitch had previously rated the more senior classes from these transactions at deal close. The transactions are collateralized with seasoned performing and re-performing residential mortgages. Both of the transactions have performed well since closing with many of the rated bonds upgraded or assigned a Positive Rating Outlook. KEY RATING DRIVERS Performance Better Than Expected (Positive): Serious delinquency has increased since issuance for each transaction under review to approximately 6% for TPMT 2015-1 and 3.8% and 1.5% for TPMT 2015-2 groups 1 and 2, respectively. These values are materially lower than Fitch's base case cumulative lifetime default expectations at initial rating, which ranged from 20% to 38%. Realized losses have also been limited with losses as a percentage of original balance all less than 1%. When losses have been realized, severities have generally been in line to slightly below Fitch's initial base case expectations. Lower Loss Expectations (Positive): Reflecting solid performance, the expected losses for the underlying pools backing the rated notes have decreased since issuance. On average the 'Bsf' expected loss has fallen by 3 to 4 points. The reduced loss expectation is driven by home price appreciation over the past two years, continued borrower performance and criteria changes. Since initial rating Fitch has expanded its application of a seasoned performing credit for borrower's that have been current for at least three years. This has led to both a higher credit as well as more borrowers receiving the benefit as they have continued to perform since transaction close. Increased Subordination (Positive): Since the transactions have closed, the subordination on the newly rated classes listed above has increased by two to three points on average. The increase in subordination has been driven by limited losses to date, steady paydown of the mortgages and the use of excess spread to build up additional protection to the rated notes. No Servicer P&I Advances (Mixed): The servicer will not be advancing delinquent monthly payments of P&I, which reduces liquidity to the trust. However, as P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust, loan-level loss severity is less for these transactions than for those where the servicer is obligated to advance P&I. RATING SENSITIVITIES Fitch's analysis incorporates sensitivity analyses to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at both the metropolitan statistical area (MSA) and national levels. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or be considered in the surveillance of the transaction. Fitch also conducted defined rating sensitivities, which determine the stresses to MVDs that would reduce a rating by one full category, to non-investment grade, and to 'CCCsf'. TRITON AVIATION: Moody's Cuts Rating on Cl. A-1 Debt to C(sf) ------------------------------------------------------------- Moody's Investors Service has downgraded the rating of Class A-1 issued by Triton Aviation Finance. The complete rating action is: Issuer: Triton Aviation Finance Class A-1, Downgraded to C (sf); previously on Jan 22, 2016 Downgraded to Ca (sf) RATINGS RATIONALE The downgrade rating action on Class A-1 issued by Triton Aviation Finance reflects the value of the aircraft backing the deal and Moody's expectations about future note amortization of Class A-1. Four aircraft have been sold since August 2016, and the deal has only one remaining aircraft that Triton Aviation is in the process of selling. The deal is now receiving minimal cash flows and the Class A-1 has not received any principal since August 2016. Using the most recent appraisal value of the remaining aircraft as a rough proxy for expected Class A-1 Note principal pay down, Moody's estimated that note holders would recover around 15% of their notes outstanding. Moody's used appraisal value as of March 2017 and adjusted it down by assuming 10% per annum depreciation. PRINCIPAL METHODOLOGY The principal methodology used in this rating was "Moody's Approach To Pooled Aircraft-Backed Securitization' published in March 1999. On March 22, 2017, Moody's released a Request for Comment, in which it has requested market feedback on potential revisions to its "Approach to Assessing Counterparty Risks in Structured Finance". If the revised Methodology is implemented as proposed, the Credit Ratings on the transaction will be neutral. Please refer to Moody's Request for Comment, titled "Moody's Proposes Revisions to Its Approach to Assessing Counterparty Risks in Structured Finance," for further details regarding the implications of the proposed Methodology revisions on certain Credit Ratings. Primary sources of uncertainty include the global economic environment, aircraft lease income generating ability, aircraft maintenance and other expenses to the trust, and valuation for the aircraft backing the transaction. Factors that would lead to an upgrade of the rating: Changes to lease rates or aircraft values that differ from historical and current trends. UBS COMMERCIAL 2017-C1: Fitch to Rate Class F-RR Notes 'B-sf' ------------------------------------------------------------- Fitch Ratings has issued a presale report on UBS Commercial Mortgage Trust 2017-C1 commercial mortgage pass-through certificates. Fitch expects to rate the transaction and assign Rating Outlooks: -- $40,505,000 class A-1'AAAsf'; Outlook Stable; -- $46,665,000 class A-2 'AAAsf'; Outlook Stable; -- $52,548,000 class A-SB 'AAAsf'; Outlook Stable; -- $235,000,000 class A-3 'AAAsf'; Outlook Stable; -- $296,571,000 class A-4 'AAAsf'; Outlook Stable; -- $671,289,000b class X-A 'AAAsf'; Outlook Stable; -- $175,015,000b class X-B 'A-sf'; Outlook Stable; -- $95,899,000 class A-S 'AAAsf'; Outlook Stable; -- $45,551,000 class B 'AA-sf'; Outlook Stable; -- $33,565,000 class C 'A-sf'; Outlook Stable; -- $10,069,000ab class X-D 'BBB+sf'; Outlook Stable; -- $10,069,000a class D 'BBB+sf'; Outlook Stable; -- $40,278,000ac class D-RR 'BBB-sf'; Outlook Stable; -- $19,179,000ac class E-RR 'BB-sf'; Outlook Stable; -- $9,590,000ac class F-RR 'B-sf'; Outlook Stable. The following class is not expected to be rated: -- $33,565,038ac class NR-RR. (a) Privately placed and pursuant to Rule 144A. (b) Notional amount and interest only. (c) Horizontal credit risk retention interest representing at least 5% of the estimated fair value of all classes of regular certificates issued by the issuing entity (as of the closing date). The expected ratings are based on information provided by the issuer as of May 22, 2017. The certificates represent the beneficial ownership interest in the trust, primary assets of which are 67 loans secured by 134 commercial properties having an aggregate principal balance of $958,985,038 as of the cut-off date. The loans were contributed to the trust by UBS AG, Rialto Mortgage Finance, LLC, Natixis Real Estate Capital LLC, Wells Fargo Bank, National Association, Societe Generale and CIBC Inc. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 65.2% of the properties by balance, cash flow analysis of 80.9%, and asset summary reviews on 100% of the pool. KEY RATING DRIVERS High Pool Diversity: The largest 10 loans account for 37.8% of the pool, which is well below the YTD 2017 average of 53.7% for fixed-rate multiborrower transactions. The transaction exhibits very low pool concentration, with a loan concentration index (LCI) of 243, compared to the YTD 2017 average of 399. Lower Fitch Leverage than Recent Transactions: The pool's leverage is lower than recent comparable Fitch-rated multiborrower transactions. The pool's Fitch DSCR and LTV are 1.23x and 100.3%, respectively, which are comparable to the YTD 2017 averages of 1.22x and 104.3%. Excluding investment-grade credit opinion loans, the pool has a Fitch DSCR and LTV of 1.21x and 103.3%, respectively, better than the YTD 2017 normalized averages of 1.18x and 107.4%. Above-Average Amortization: Eleven loans, representing 29% of the pool, are full-term interest-only, well below the YTD 2017 average of 42.9%. Partial interest-only loans represent 27.4% of the pool, compared to 31.8% for YTD 2017. The pool is scheduled to pay down by 11.5%, above the YTD 2017 average paydown of 8.3%. RATING SENSITIVITIES For this transaction, Fitch's net cash flow (NCF) was 15.9% below the most recent year's net operating income (NOI) for properties for which a full-year NOI was provided, excluding properties that were stabilizing during this period). Unanticipated further declines in property-level NCF could result in higher defaults and loss severities on defaulted loans and in potential rating actions on the certificates. Fitch evaluated the sensitivity of the ratings assigned to UBS 2017-C1 certificates and found that the transaction displays average sensitivities to further declines in NCF. In a scenario in which NCF declined a further 20% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB+sf' could result. In a more severe scenario, in which NCF declined a further 30% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB-sf' could result. UNITED AUTO 2016-1: DBRS Confirms BB(high) Rating on Class E Notes ------------------------------------------------------------------ DBRS, Inc. reviewed the four outstanding ratings of United Auto Credit Securitization Trust 2016-1 (the Issuer). Of the four outstanding publicly rated classes reviewed, DBRS has confirmed one class, upgraded two classes and discontinued one class due to full repayment. For the rating that was confirmed, performance trends are such that credit enhancement levels are sufficient to cover DBRS's expected losses at the current rating level. 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 Issuer's 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. Debt Rated Rating Action Rating United Auto Credit Securitization Trust 2016-1 Class B Notes Disc-Repaid Discontinued Class C Notes Upgraded AAA(sf) Class D Notes Upgraded A(sf) Class E Notes Confirmed BB(high)(sf) WELLS FARGO 2015-C28: DBRS Confirms B(low) Rating on Class F Debt ----------------------------------------------------------------- DBRS Limited confirmed the ratings on the Commercial Mortgage Pass-Through Certificates, Series 2015-C28 issued by Wells Fargo Commercial Mortgage Trust 2015-C28 as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class PEX at A (low) (sf) -- Class D at BBB (low) (sf) -- Class X-E at BB (sf) -- Class E at BB (low) (sf) -- Class X-F at B (sf) -- Class F 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 collateral consists of 99 fixed-rate loans secured by 134 commercial properties; as of the April 2017 remittance, there has been a collateral reduction of 1.0% since issuance. Loans representing 88.4% of the current pool balance are reporting YE2016 figures, and loans representing 23.2% of the current pool balance are reporting partial-year 2016 financials. According to YE2016 financials, the pool reported a weighted average (WA) debt service coverage ratio (DSCR) and WA debt yield of 1.71 times (x) and 9.7%, respectively. The DBRS WA DSCR and WA debt yield at issuance were 1.53x and 8.5%, respectively. The largest 15 loans in the pool represent 57.1% of the transaction balance, and all but two of those loans reported YE2016 financials, which showed a WA net cash flow increase of 15.9% over the DBRS figures, with a WA DSCR and WA debt yield of 1.66x and 8.7%, respectively. As of the April 2017 remittance, there are eight loans on the servicer's watchlist, representing 10.3% of the current pool balance, including one loan in the Top 15; however, the largest watchlisted loan, RPC Northeast Storage Portfolio (Prospectus ID #4, 6.0% of the pool), was placed on the watchlist because of property condition issues that have since been resolved. WELLS FARGO 2016-C34: DBRS Confirms B(low) Rating on Class G Debt ----------------------------------------------------------------- DBRS Limited confirmed the ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2016-C34 (the Certificates) issued by Wells Fargo Commercial Mortgage Trust 2016-C34. -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-3FL at AAA (sf) -- Class A-3FX at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-S at AAA (sf) -- Class A-SB at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class X-E at BBB (low) (sf) -- Class E at BB (high) (sf) -- Class F at BB (low) (sf) -- Class X-FG 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 68 fixed-rate loans secured by 92 commercial properties. As of the April 2017 remittance report, the trust balance was $698.8 million, representing collateral reduction of 0.6% from issuance as a result of scheduled amortization with all of the original loans remaining in the pool. As of the April 2017 remittance report, loans representing 69.5% of the pool are reporting YE2016 figures and loans representing 14.6% of the pool are reporting annualized Q3 2016 figures. Based on the most recent reporting for the underlying loans, the pool has a weighted-average (WA) debt service coverage ratio (DSCR) of 1.48 times (x), with a WA debt yield of 9.4%. These figures compare with the DBRS WA DSCR and DBRS WA debt yield at issuance of 1.35x and 8.5%, respectively. As of the April 2017 remittance report, there are no loans in special servicing and there are five loans, representing 5.4% of the pool, including one in the top ten, on the servicer's watchlist. Only one of these loans, Prospectus ID#8, Nolitan Hotel, representing 3.4% of the pool, is on the servicer's watchlist for a performance decline since issuance, with the loan reporting a low YE2016 net cash flow figure. WESTLAKE AUTOMOBILE: DBRS Review 24 Ratings From 6 ABS Transactions ------------------------------------------------------------------- DBRS, Inc. reviewed 24 ratings from six U.S. structured finance asset-backed securities transactions of Westlake Automobile Receivables Trust. Of the 24 outstanding publicly rated classes reviewed, DBRS has confirmed 18 classes, upgraded four classes and discontinued two classes due to repayment. 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 issuer's 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. A full text copy of the ratings is available free at: https://is.gd/KCubzW WFRBS COMMERCIAL 2012-C8: Moody's Affirms B2 Rating on Cl. G Certs ------------------------------------------------------------------ Moody's Investors Service has affirmed the ratings on fourteen classes in WFRBS Commercial Mortgage Trust 2012-C8, Commercial Mortgage Pass-Through Certificates, Series 2012-C8: Cl. A-2, Affirmed Aaa (sf); previously on Jun 24, 2016 Affirmed Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on Jun 24, 2016 Affirmed Aaa (sf) Cl. A-FL, Affirmed Aaa (sf); previously on Jun 24, 2016 Affirmed Aaa (sf) Cl. A-FX, Affirmed Aaa (sf); previously on Jun 24, 2016 Affirmed Aaa (sf) Cl. A-S, Affirmed Aaa (sf); previously on Jun 24, 2016 Affirmed Aaa (sf) Cl. A-SB, Affirmed Aaa (sf); previously on Jun 24, 2016 Affirmed Aaa (sf) Cl. B, Affirmed Aa2 (sf); previously on Jun 24, 2016 Affirmed Aa2 (sf) Cl. C, Affirmed A2 (sf); previously on Jun 24, 2016 Affirmed A2 (sf) Cl. D, Affirmed Baa1 (sf); previously on Jun 24, 2016 Affirmed Baa1 (sf) Cl. E, Affirmed Baa3 (sf); previously on Jun 24, 2016 Affirmed Baa3 (sf) Cl. F, Affirmed Ba2 (sf); previously on Jun 24, 2016 Affirmed Ba2 (sf) Cl. G, Affirmed B2 (sf); previously on Jun 24, 2016 Affirmed B2 (sf) Cl. X-A, Affirmed Aaa (sf); previously on Jun 24, 2016 Affirmed Aaa (sf) Cl. X-B, Affirmed Aa2 (sf); previously on Jun 24, 2016 Affirmed Aa2 (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 were affirmed based on the credit performance (or the weighted average rating factor or WARF) of the referenced classes. Moody's rating action reflects a base expected loss of 2.1% of the current balance, compared to 1.9% at Moody's last review. Moody's base expected loss plus realized losses is now 1.7% of the original pooled balance, compared to 1.8% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in December 2014. Additionally, the methodology used in rating Cl. X-A and Cl. X-B was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in October 2015. 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 20, compared to 22 at Moody's last review. DEAL PERFORMANCE As of the May 17th, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 19.5% to $1.05 billion from $1.30 billion at securitization. The certificates are collateralized by 75 mortgage loans ranging in size from less than 1% to 14% of the pool, with the top ten loans (excluding defeasance) constituting 55% of the pool. Seven loans, constituting 4% of the pool, have defeased and are secured by US government securities. Nine loans, constituting 12% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. No loans have been liquidated from the pool. One loan, constituting 0.7% of the pool, is currently in special servicing. The specially serviced loan is the Springhill Suites - San Angelo loan ($7.7 million -- 0.7% of the pool), which is secured by a 96-room hotel built in 2010 and is located in San Angelo, Texas. Per the Borrower, the extreme down turn of the oil and gas industry was the major cause of the drastic decline in the hotel's recent performance. The loan transferred to special servicing in April 2016. The special servicer and borrower are actively engaged in resolution discussions. Moody's estimates a severe loss for the specially serviced loan. Moody's received full year 2015 operating results for 100% of the pool, and full or partial year 2016 operating results for 86% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 87%, compared to 86% 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 9.6%. Moody's actual and stressed conduit DSCRs are 1.69X and 1.24X, respectively, compared to 1.82X and 1.27X 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 28% of the pool balance. The largest loan is the 100 Church Street Loan ($143 million -- 14% of the pool), which represents a participation interest in a $220 million mortgage loan. The loan is secured by a 1.1 million square feet (SF), Class B office property in Lower Manhattan. The property was 98% leased as of March 2017, compared to 99% leased as of March 2016 and 84% leased as of securitization. Moody's LTV and stressed DSCR are 93% and 1.05X, respectively, compared to 95% and 1.03X at Moody's last review. The second largest loan is the Northridge Fashion Center Loan ($82 million -- 8% of the pool). The loan represents a participation interest in a $227 million mortgage loan. The loan is secured by a 644,000 SF portion of a 1.5 million SF super-regional mall located in Northridge, California. The mall's non-collateral anchors include Macy's, Macy's Men and Home, Sears and JC Penney. The mall was 95% leased as of year-end 2016, compared to 97% leased as of year-end 2015. The loan benefits from amortization. Moody's LTV and stressed DSCR are 91% and 1.07X, respectively, compared to 93% and 1.05X at Moody's last review. The third largest loan is the BJ's Portfolio Loan ($68 million -- 6.5% of the pool). The BJ's Portfolio loan is secured by first mortgage liens on six properties consisting of five retail stores of BJ's Wholesale Club and one industrial center serving as a BJ's Distribution facility. The portfolio is located in five different states: Massachusetts, Pennsylvania, Maryland, New Jersey and Florida. The portfolio is 100% occupied by a single tenant, BJ's Wholesale Club, Inc. Due to the single tenant exposure, Moody's valuation reflects a lit/dark analysis. Moody's LTV and stressed DSCR are 98% and 1.13X, respectively. [*] DBRS Reviews 333 Classes From 47 US RMBS Transactions --------------------------------------------------------- DBRS, Inc. reviewed 333 classes from 47 U.S. residential mortgage-backed security (RMBS) transactions. Of the 333 classes reviewed, 80 ratings were upgraded, 227 ratings were confirmed, one rating was downgraded and 25 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 rating downgrade reflects the transaction's continued erosion of credit support as well as negative trends in delinquency and projected loss activity. The discontinued ratings are 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" (see the press release "DBRS Publishes RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology," dated April 4, 2017). The transactions consist of U.S. RMBS and Resecuritization of Real Estate Mortgage Investment Conduit (Re-REMIC) transactions. The pools backing these transactions consist of Prime, Alt-A, Scratch and Dent, Option - Adjustable-Rate Mortgage (ARM), 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. -- ASG Resecuritization Trust 2009-1, REMIC Notes, Series 2009-1, Class G75 -- ASG Resecuritization Trust 2009-1, REMIC Notes, Series 2009-1, Class A75 -- Banc of America Funding 2015-R5 Trust, Resecuritization Trust Securities, Class 1A1 -- Citigroup Mortgage Loan Trust 2009-4, Re-REMIC Trust Certificates, Series 2009-4, Class 2A2 -- Citigroup Mortgage Loan Trust 2009-4, Re-REMIC Trust Certificates, Series 2009-4, Class 3A2 -- Citigroup Mortgage Loan Trust 2009-4, Re-REMIC Trust Certificates, Series 2009-4, Class 7A6 -- Citigroup Mortgage Loan Trust 2009-4, Re-REMIC Trust Certificates, Series 2009-4, Class 7A7 -- Citigroup Mortgage Loan Trust 2009-4, Re-REMIC Trust Certificates, Series 2009-4, Class 9A2 -- Citigroup Mortgage Loan Trust 2009-4, Re-REMIC Trust Certificates, Series 2009-4, Class 13A3 -- Citigroup Mortgage Loan Trust 2009-8, Resecuritization Trust Certificates, Series 2009-8, Class 6A2 -- Citigroup Mortgage Loan Trust 2009-10, Resecuritization Trust Certificates, Series 2009-10, Class 2A2C -- Citigroup Mortgage Loan Trust 2009-10, Resecuritization Trust Certificates, Series 2009-10, Class 3A2 -- Credit Suisse First Boston Mortgage Securities Corp., CSMC Series 2009-6R, CSMC Series 2009-6R, Class 1-A4 -- Credit Suisse First Boston Mortgage Securities Corp., CSMC Series 2009-6R, CSMC Series 2009-6R, Class 6-A3 -- Credit Suisse First Boston Mortgage Securities Corp., CSMC Series 2009-6R, CSMC Series 2009-6R, Class 8-A5 -- Credit Suisse First Boston Mortgage Securities Corp., CSMC Series 2009-6R, CSMC Series 2009-6R, Class 9-A4 -- Credit Suisse First Boston Mortgage Securities Corp., CSMC Series 2009-6R, CSMC Series 2009-6R, Class 12-A5 -- GSMSC Resecuritization Trust 2015-3R, Resecuritization Trust Securities, Series 2015-3R, Class 1A-1 -- GSMSC Resecuritization Trust 2015-3R, Resecuritization Trust Securities, Series 2015-3R, Class 2A-1 -- GSMSC Resecuritization Trust 2015-3R, Resecuritization Trust Securities, Series 2015-3R, Class 1A-1D -- GSMSC Resecuritization Trust 2015-3R, Resecuritization Trust Securities, Series 2015-3R, Class 2A-1C -- GSMSC Resecuritization Trust 2015-3R, Resecuritization Trust Securities, Series 2015-3R, Class 2A-1D -- J.P. Morgan Mortgage Trust, Series 2008-R4, Series 2008-R4 Trust Certificates, Class 2-A-1 -- LVII Resecuritization Trust 2009-1, Mortgage Resecuritization Notes, Series 2009-1, Class M-2 -- LVII Resecuritization Trust 2009-1, Mortgage Resecuritization Notes, Series 2009-1, Class M-3 -- LVII Resecuritization Trust 2009-1, Mortgage Resecuritization Notes, Series 2009-1, Class M-4 -- Morgan Stanley Resecuritization Trust 2013-R6, Resecuritization Trust Securities, Class 5-A3 -- Morgan Stanley Resecuritization Trust 2013-R6, Resecuritization Trust Securities, Class 5-A -- Morgan Stanley Resecuritization Trust 2013-R9, Resecuritization Trust Securities, Class 3-A3 -- Morgan Stanley Resecuritization Trust 2013-R9, Resecuritization Trust Securities, Class 5-A3 -- Morgan Stanley Resecuritization Trust 2013-R9, Resecuritization Trust Securities, Class 3-A -- Morgan Stanley Resecuritization Trust 2013-R9, Resecuritization Trust Securities, Class 5-A -- RBSSP Resecuritization Trust 2009-5, Resecuritization Trust Certificates, Series 2009-5, Class 4-A2 -- RBSSP Resecuritization Trust 2009-5, Resecuritization Trust Certificates, Series 2009-5, Class 4-A4 -- RBSSP Resecuritization Trust 2009-6, Resecuritization Trust Certificates, Series 2009-6, Class 7-A2 -- RBSSP Resecuritization Trust 2009-6, Resecuritization Trust Certificates, Series 2009-6, Class 7-A4 -- C-BASS 2004-CB7 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB7, Class M-1 -- First Franklin Mortgage Loan Trust, Series 2005-FFH2, Mortgage Pass-Through Certificates, Series 2005-FFH2, Class M2 -- First Franklin Mortgage Loan Trust, Series 2005-FFH2, Mortgage Pass-Through Certificates, Series 2005-FFH2, Class M3 -- Soundview Home Loan Trust 2007-2, Asset-Backed Certificates, Series 2007-2, Class A-IO -- Terwin Mortgage Trust 2004-7HE, Asset-Backed Certificates, \ Series 2004-7HE, Class A-1 -- Terwin Mortgage Trust 2004-7HE, Asset-Backed Certificates, Series 2004-7HE, Class A-3 -- Terwin Mortgage Trust 2004-7HE, Asset-Backed Certificates, Series 2004-7HE, Class M-1 -- Terwin Mortgage Trust 2004-7HE, Asset-Backed Certificates, Series 2004-7HE, Class M-2 -- Terwin Mortgage Trust 2004-7HE, Asset-Backed Certificates, Series 2004-7HE, Class S -- Terwin Mortgage Trust 2004-9HE, Asset-Backed Certificates, Series 2004-9HE, Class A-1 -- Terwin Mortgage Trust 2004-9HE, Asset-Backed Certificates, Series 2004-9HE, Class A-3 -- Terwin Mortgage Trust 2004-13ALT, Asset-Backed Certificates, Series 2004-13ALT, Class 2-P-X -- Terwin Mortgage Trust 2004-15ALT, Asset-Backed Certificates, Series 2004-15ALT, Class A-X -- C-BASS 2005-CB1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB1, Class M-1 -- C-BASS 2005-CB1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB1, Class M-2 -- C-BASS 2005-CB1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB1, Class M-3 -- C-BASS 2005-CB1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB1, Class B-1 -- C-BASS 2005-CB1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB1, Class B-2 -- C-BASS 2006-MH1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-MH1, Class M-1 -- C-BASS 2006-MH1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-MH1, Class M-2 -- C-BASS 2006-MH1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-MH1, Class B-1 A full text copy of the ratings is available free at: https://is.gd/3bomro [*] DBRS Reviews 406 Classes From 31 US RMBS Transactions --------------------------------------------------------- DBRS, Inc. reviewed 406 classes from 31 U.S. residential mortgage-backed security (RMBS) transactions. Of the 406 classes reviewed, 23 ratings were upgraded and 383 ratings were confirmed. 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 rating actions are the result of DBRS’s applying its “RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology” (see the press release “DBRS Publishes RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology,” dated April 4, 2017). The transactions consist of U.S. RMBS transactions. The pools backing these transactions consist of Prime, Alt-A, Second Lien, Subprime and Re-Performing collateral. The ratings assigned to the following securities differ from the ratings implied by the quantitative model. DBRS considers this difference to be a material deviation, but in this case, the ratings of the subject notes reflect a small collateral loan count, as well as structural features and historical performance that constrain the ratings from the quantitative model’s output. -- Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-5, Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-5, Class 6-A-1-2 -- Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-5, Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-5, Class 6-A-2-1 -- Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-5, Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-5, Class 6-A-2-2 -- C-BASS 2006-CB6 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB6, Class A-I -- C-BASS 2006-CB6 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB6, Class A-II-3 -- C-BASS 2006-CB6 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB6, Class A-II-4 -- C-BASS 2006-CB8 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB8, Class A-2B -- C-BASS 2006-RP1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-RP1, Class B-2 -- C-BASS 2007-MX1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2007-MX1, Class A-2 -- C-BASS 2007-MX1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2007-MX1, Class A-3 -- C-BASS 2007-MX1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2007-MX1, Class A-4 -- CWABS Asset-Backed Certificates Trust 2004-AB2, Asset-Backed Certificates, Series 2004-AB2, Class M-3 -- Fremont Home Loan Trust 2005-D, Mortgage-Backed Certificates, Series 2005-D, Class 1-A-1 -- Fremont Home Loan Trust 2005-D, Mortgage-Backed Certificates, Series 2005-D, Class 2-A-4 -- Fremont Home Loan Trust 2005-D, Mortgage-Backed Certificates, Series 2005-D, Class M1 -- GSAMP Trust 2005-HE3, Mortgage Pass-Through Certificates, Series 2005-HE3, Class M-4 -- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-8, Home Equity Pass-Through Certificates, Series 2005-8, Class M-2 -- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2006-4, Home Equity Pass-Through Certificates, Series 2006-4, Class 1-A-1 -- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2006-4, Home Equity Pass-Through Certificates, Series 2006-4, Class 2-A-3 -- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2006-4, Home Equity Pass-Through Certificates, Series 2006-4, Class 2-A-4 -- J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through Certificates, Series 2005-A2, Class 1-A-1 -- J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through Certificates, Series 2005-A2, Class 1-A-2 -- J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through Certificates, Series 2005-A2, Class 2-A-1 -- J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through Certificates, Series 2005-A2, Class 2-A-2 -- J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through Certificates, Series 2005-A2, Class 3-A-2 -- J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through Certificates, Series 2005-A2, Class 3-A-3 -- J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through Certificates, Series 2005-A2, Class 3-A-4 -- J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through Certificates, Series 2005-A2, Class 4-A-1 -- J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through Certificates, Series 2005-A2, Class 5-A-2 -- J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through Certificates, Series 2005-A2, Class 5-A-3 -- J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through Certificates, Series 2005-A2, Class 6-A-1 -- J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through Certificates, Series 2005-A2, Class 6-A-2 -- J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through Certificates, Series 2005-A2, Class 7CB1 -- J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through Certificates, Series 2005-A2, Class 7CB2 -- J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through Certificates, Series 2005-A2, Class 8-A-1 -- J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through Certificates, Series 2005-A2, Class 9-A-1 -- Long Beach Mortgage Loan Trust 2005-WL1, Asset-Backed Certificates, Series 2005-WL1, Class III-M1 -- Long Beach Mortgage Loan Trust 2005-WL1, Asset-Backed Certificates, Series 2005-WL1, Class III-M2 -- Lehman Mortgage Trust 2008-6, Mortgage Pass-Through Certificates, Series 2008-6, Class 1-A1 -- Lehman Mortgage Trust 2008-6, Mortgage Pass-Through Certificates, Series 2008-6, Class 2-A1 -- Lehman Mortgage Trust 2008-6, Mortgage Pass-Through Certificates, Series 2008-6, Class 2-A2 -- Meritage Mortgage Loan Trust 2005-2, Asset-Backed Certificates, Series 2005-2, Class M-2 -- New Century Home Equity Loan Trust 2004-3, Asset-Backed Notes, Series 2004-3, Class M-1 -- New Century Home Equity Loan Trust 2004-4, Asset-Backed Notes, Series 2004-4, Class M-1 A full text copy of the ratings is available free at: https://is.gd/S5tE65 [*] Moody's Hikes $19.9MM of Second Lien RMBS Issued 2001-2005 -------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of eight tranches from six transactions backed by second-lien RMBS loans. Complete rating actions are: Issuer: CWABS, Inc. Asset-Backed Certificates, Series 2003-S2 Cl. A-4, Upgraded to A2 (sf); previously on Jul 22, 2011 Downgraded to Baa1 (sf) Issuer: RFMSII Home Equity Loan Trust 2004-HS3 Cl. A, Upgraded to Ba3 (sf); previously on Jul 7, 2016 Upgraded to B3 (sf) Underlying Rating: Upgraded to Ba3 (sf); previously on Jul 7, 2016 Upgraded to B3 (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Issuer: RFMSII Home Equity Loan Trust 2005-HI3 Cl. M-4, Upgraded to A2 (sf); previously on Sep 4, 2015 Upgraded to Baa1 (sf) Cl. M-5, Upgraded to Baa2 (sf); previously on Sep 4, 2015 Upgraded to Baa3 (sf) Issuer: RFMSII Home Loan Trust 2001-HI3 A-I-7, Upgraded to Baa1 (sf); previously on Sep 1, 2015 Upgraded to Baa2 (sf) Issuer: RFMSII Home Loan Trust 2001-HI4 A-7, Upgraded to Baa1 (sf); previously on Sep 1, 2015 Upgraded to Baa2 (sf) Issuer: RFMSII Home Loan Trust 2003-HI3 A-I-5, Upgraded to Ba1 (sf); previously on Jul 7, 2016 Upgraded to B1 (sf) A-II, Upgraded to Baa3 (sf); previously on Jul 7, 2016 Upgraded to Ba3 (sf) RATINGS RATIONALE The actions reflect the recent performance of the underlying pools and Moody's updated loss expectations on these pools. The tranches upgraded are primarily due to the build-up in credit enhancement available to the bonds. 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 4.4% in April 2017 from 5.0% in April 2016. Moody's forecasts an unemployment central range of 4.5% to 5.5% for the 2017 year. Deviations from this central scenario could lead to rating actions in the sector. House prices are another key driver of US RMBS performance. Moody's expects house prices to continue to rise in 2017. Lower increases than Moody's expects or decreases could lead to negative rating actions. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. [*] Moody's Hikes $219.4MM of Subprime RMBS Issued 2000-2004 ------------------------------------------------------------ Moody's Investors Service has upgraded the ratings of 32 tranches from 17 transactions issued by various issuers, backed by subprime mortgage loans. Complete rating actions are: Issuer: Morgan Stanley ABS Capital I Inc. Trust 2003-NC10 Cl. M-2, Upgraded to B3 (sf); previously on Feb 18, 2016 Upgraded to Caa3 (sf) Cl. M-3, Upgraded to Caa2 (sf); previously on Mar 15, 2011 Downgraded to Ca (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2003-NC5 Cl. M-3, Upgraded to Caa2 (sf); previously on Mar 15, 2011 Downgraded to C (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2003-NC7 Cl. B-2, Upgraded to Caa2 (sf); previously on Mar 15, 2011 Downgraded to C (sf) Cl. M-2, Upgraded to B3 (sf); previously on Mar 25, 2016 Upgraded to Caa1 (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2003-NC8 Cl. M-2, Upgraded to Caa1 (sf); previously on Dec 3, 2013 Upgraded to Ca (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2004-HE4 Cl. M-2, Upgraded to B2 (sf); previously on Mar 25, 2016 Upgraded to Caa1 (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2004-HE5 Cl. M-1, Upgraded to Baa3 (sf); previously on Apr 12, 2016 Upgraded to Ba1 (sf) Cl. M-2, Upgraded to B2 (sf); previously on Apr 12, 2016 Upgraded to B3 (sf) Cl. M-3, Upgraded to Caa1 (sf); previously on Mar 15, 2011 Downgraded to Ca (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2004-HE7 Cl. M-2, Upgraded to Ba1 (sf); previously on Jun 24, 2016 Upgraded to B1 (sf) Cl. M-3, Upgraded to Ba3 (sf); previously on Aug 6, 2015 Upgraded to Caa1 (sf) Cl. M-4, Upgraded to B3 (sf); previously on Apr 1, 2013 Affirmed Ca (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2004-HE8 Cl. M-2, Upgraded to Ba3 (sf); previously on Jun 8, 2012 Upgraded to B1 (sf) Cl. M-4, Upgraded to Caa2 (sf); previously on Sep 22, 2015 Upgraded to Caa3 (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2004-HE9 Cl. M-2, Upgraded to B1 (sf); previously on Jun 24, 2016 Upgraded to B2 (sf) Cl. M-3, Upgraded to Caa1 (sf); previously on Apr 1, 2013 Affirmed Ca (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2004-NC3 Cl. M-1, Upgraded to Ba1 (sf); previously on Jun 26, 2014 Upgraded to B1 (sf) Cl. M-2, Upgraded to B3 (sf); previously on Mar 15, 2011 Downgraded to Ca (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2004-WMC1 Cl. B-3, Upgraded to Ca (sf); previously on Feb 11, 2009 Downgraded to C (sf) Cl. M-3, Upgraded to B3 (sf); previously on Nov 4, 2015 Upgraded to Caa2 (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2004-WMC2 Cl. B-2, Upgraded to Caa3 (sf); previously on Mar 15, 2011 Downgraded to C (sf) Issuer: Morgan Stanley ABS Capital I Trust 2000-1 Cl. B-1, Upgraded to Ba1 (sf); previously on Mar 18, 2013 Downgraded to B1 (sf) Issuer: Morgan Stanley Dean Witter Capital I Inc. Mortgage Pass-Through Certificates, Series 2001-NC3 Cl. M-2, Upgraded to Caa1 (sf); previously on Mar 25, 2016 Upgraded to Caa2 (sf) Issuer: Morgan Stanley Dean Witter Capital I Inc. Trust 2001-AM1 Cl. M-2, Upgraded to Caa2 (sf); previously on Jul 11, 2016 Upgraded to Ca (sf) Issuer: Morgan Stanley Dean Witter Capital I Inc. Trust 2002-HE2 Cl. B-1, Upgraded to Ca (sf); previously on Feb 11, 2009 Downgraded to C (sf) Cl. M-2, Upgraded to B1 (sf); previously on Jul 11, 2016 Upgraded to B3 (sf) Issuer: Renaissance Home Equity Loan Trust 2004-3 Cl. AF-4, Upgraded to Aa2 (sf); previously on Jun 10, 2013 Confirmed at A1 (sf) Underlying Rating: Upgraded to Aa2 (sf); previously on Jun 10, 2013 Confirmed at A1 (sf) Financial Guarantor: Assured Guaranty Municipal Corp (Affirmed at A2, Outlook Stable on August 8, 2016) Cl. AF-5, Affirmed A2 (sf); previously on Jan 18, 2013 Downgraded to A2 (sf) Underlying Rating: Upgraded to Ba1 (sf); previously on Mar 10, 2015 Upgraded to Ba3 (sf) Financial Guarantor: Assured Guaranty Municipal Corp (Affirmed at A2, Outlook Stable on August 8, 2016) Cl. AF-6, Affirmed A2 (sf); previously on Jan 18, 2013 Downgraded to A2 (sf) Underlying Rating: Upgraded to Baa2 (sf); previously on Jun 10, 2013 Confirmed at Baa3 (sf) Financial Guarantor: Assured Guaranty Municipal Corp (Affirmed at A2, Outlook Stable on August 8, 2016) Cl. AV-1, Upgraded to A2 (sf); previously on May 9, 2014 Downgraded to Baa1 (sf) Cl. M-1, Upgraded to B3 (sf); previously on Jul 30, 2015 Confirmed at Caa1 (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 4.4% in April 2017 from 5.0% in April 2016. Moody's forecasts an unemployment central range of 4.5% to 5.5% for the 2017 year. Deviations from this central scenario could lead to rating actions in the sector. House prices are another key driver of US RMBS performance. Moody's expects house prices to continue to rise in 2017. Lower increases than Moody's expects or decreases could lead to negative rating actions. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. [*] Moody's Hikes $33.5MM of Second Lien RMBS Issued 2003-2005 -------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 19 tranches from 8 transactions backed by second-lien RMBS loans. Complete rating actions are: Issuer: Home Equity Mortgage Trust 2005-2 Cl. M-7, Upgraded to Baa2 (sf); previously on Oct 20, 2015 Upgraded to Ba2 (sf) Issuer: HomeBanc Mortgage Trust 2005-2 Cl. M-3, Upgraded to B1 (sf); previously on Sep 29, 2015 Upgraded to B3 (sf) Cl. M-4, Upgraded to B3 (sf); previously on Sep 29, 2015 Upgraded to Ca (sf) Issuer: Irwin Home Equity Loan Trust 2003-1 Cl. B-1, Upgraded to A3 (sf); previously on Jul 8, 2016 Upgraded to Baa1 (sf) Cl. B-2, Upgraded to Baa1 (sf); previously on Jul 8, 2016 Upgraded to Baa2 (sf) Cl. M-2, Upgraded to A1 (sf); previously on Jul 8, 2016 Upgraded to A2 (sf) Issuer: Irwin Home Equity Loan Trust 2004-1 Cl. IA-1, Upgraded to Ba1 (sf); previously on Sep 1, 2015 Upgraded to Ba2 (sf) Issuer: Irwin Whole Loan Home Equity Trust 2003-B B, Upgraded to A3 (sf); previously on Jul 8, 2016 Upgraded to Baa1 (sf) IA, Upgraded to Aa3 (sf); previously on Sep 1, 2015 Upgraded to A1 (sf) M, Upgraded to A1 (sf); previously on Jul 8, 2016 Upgraded to A2 (sf) Issuer: Irwin Whole Loan Home Equity Trust 2005-B Cl. 1B-1, Upgraded to Ba3 (sf); previously on Aug 14, 2015 Upgraded to B1 (sf) Cl. 1B-2, Upgraded to B1 (sf); previously on Oct 7, 2015 Upgraded to B3 (sf) Cl. 1M-1, Upgraded to Aa3 (sf); previously on Jun 30, 2010 Downgraded to A1 (sf) Cl. 1M-2, Upgraded to A3 (sf); previously on Aug 14, 2015 Upgraded to Baa1 (sf) Cl. 1M-3, Upgraded to Baa3 (sf); previously on Aug 14, 2015 Upgraded to Ba1 (sf) Cl. 1M-4, Upgraded to Ba1 (sf); previously on Oct 7, 2015 Upgraded to Ba2 (sf) Issuer: Merrill Lynch Mortgage Investors Trust Series 2005-SL3 Cl. M-1, Upgraded to B1 (sf); previously on Oct 6, 2015 Upgraded to B2 (sf) Issuer: Structured Asset Securities Corp Trust 2004-S2 Cl. M4, Upgraded to Baa2 (sf); previously on Jul 5, 2016 Upgraded to Ba1 (sf) Cl. M6, Upgraded to B1 (sf); previously on Jul 5, 2016 Upgraded to Caa2 (sf) RATINGS RATIONALE The upgrades are primarily due to the build-up in credit enhancement available to the bonds.The actions reflect the recent performance of the underlying pools and Moody's updated loss expectations 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 4.4% in April 2017 from 5.0% in April 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 $1.13BB of RMBS Issued 2004-2007 ------------------------------------------------------------ Moody's Investors Service has upgraded the ratings of 41 tranches from 18 transactions and downgraded the rating of one tranche from one transaction, issued by various issuers, and backed by subprime mortgage loans. Complete rating actions are: Issuer: Accredited Mortgage Loan Trust 2005-1, Asset-Backed Notes, Series 2005-1 Cl. A-2C, Upgraded to Aaa (sf); previously on Jul 29, 2016 Upgraded to Aa1 (sf) Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2004-RM1 Cl. B-1, Upgraded to Caa3 (sf); previously on Mar 15, 2011 Downgraded to C (sf) Cl. M-3, Upgraded to B1 (sf); previously on Jul 29, 2016 Upgraded to B2 (sf) Cl. M-4, Upgraded to B2 (sf); previously on Jul 29, 2016 Upgraded to B3 (sf) Cl. M-5, Upgraded to B2 (sf); previously on Jul 29, 2016 Upgraded to Caa1 (sf) Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2005-HE6 Cl. M-1, Downgraded to B1 (sf); previously on Sep 2, 2015 Upgraded to Ba3 (sf) Cl. M-2, Upgraded to Ca (sf); previously on Apr 14, 2010 Downgraded to C (sf) Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2006-ASAP4 Cl. A-1, Upgraded to Caa1 (sf); previously on Apr 14, 2010 Downgraded to Caa2 (sf) Cl. A-2C, Upgraded to Caa1 (sf); previously on Apr 14, 2010 Downgraded to Caa3 (sf) Cl. A-2D, Upgraded to Caa2 (sf); previously on Apr 14, 2010 Downgraded to Ca (sf) Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2006-CW1 Cl. A-1, Upgraded to Caa1 (sf); previously on Apr 14, 2010 Downgraded to Caa2 (sf) Issuer: Aegis Asset Backed Securities Trust 2004-6 Cl. M3, Upgraded to Ca (sf); previously on Mar 13, 2011 Downgraded to C (sf) Issuer: BNC Mortgage Loan Trust 2006-2 Cl. A4, Upgraded to Caa1 (sf); previously on Jul 22, 2016 Upgraded to Caa2 (sf) Issuer: Bravo Mortgage Asset Trust 2006-1 Cl. A-2, Upgraded to Aa2 (sf); previously on Jul 22, 2016 Upgraded to A2 (sf) Cl. A-3, Upgraded to Aa3 (sf); previously on Jul 22, 2016 Upgraded to A3 (sf) Cl. M-1, Upgraded to B3 (sf); previously on May 1, 2014 Downgraded to Caa2 (sf) Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB5 Cl. M-2, Upgraded to Caa2 (sf); previously on Aug 10, 2015 Upgraded to Ca (sf) Issuer: Citicorp Residential Mortgage Trust Series 2006-2 Cl. M-1, Upgraded to B2 (sf); previously on Aug 3, 2016 Upgraded to Caa1 (sf) Issuer: HSI Asset Securitization Corporation Trust 2005-OPT1 Cl. A-4, Upgraded to Aaa (sf); previously on Jul 22, 2016 Upgraded to Aa1 (sf) Issuer: IXIS Real Estate Capital Trust 2005-HE4 Cl. M-1, Upgraded to B1 (sf); previously on Sep 22, 2015 Upgraded to B3 (sf) Issuer: J.P. Morgan Mortgage Acquisition Corp. 2006-RM1 Cl. A-1A, Upgraded to B3 (sf); previously on Dec 14, 2010 Downgraded to Caa2 (sf) Issuer: J.P. Morgan Mortgage Acquisition Trust 2007-CH1, Asset-Backed Pass-Through Certificates, Series 2007-CH1 Cl. AF-4, Upgraded to Caa1 (sf); previously on Dec 28, 2010 Upgraded to Caa2 (sf) Cl. AF-6, Upgraded to B3 (sf); previously on Jul 22, 2016 Upgraded to Caa1 (sf) Cl. AV-1, Upgraded to Aaa (sf); previously on Jul 22, 2016 Upgraded to Aa1 (sf) Cl. AV-5, Upgraded to Aaa (sf); previously on Jul 22, 2016 Upgraded to Aa2 (sf) Cl. MV-5, Upgraded to B1 (sf); previously on Feb 19, 2015 Upgraded to B2 (sf) Cl. MV-6, Upgraded to B1 (sf); previously on Feb 19, 2015 Upgraded to Caa1 (sf) Cl. MV-7, Upgraded to Caa1 (sf); previously on May 1, 2014 Upgraded to Caa3 (sf) Cl. MV-8, Upgraded to Caa3 (sf); previously on Jun 12, 2009 Downgraded to C (sf) Issuer: Popular ABS Mortgage Pass-Through Trust 2005-1 Cl. AV-1A, Upgraded to Aaa (sf); previously on Jul 29, 2016 Upgraded to Aa2 (sf) Cl. AV-1B, Upgraded to Aaa (sf); previously on Jul 29, 2016 Upgraded to Aa3 (sf) Cl. AV-2, Upgraded to Aaa (sf); previously on Jul 29, 2016 Upgraded to Aa3 (sf) Cl. M-2, Upgraded to Ca (sf); previously on Jul 21, 2010 Downgraded to C (sf) Issuer: SG Mortgage Securities Trust 2006-OPT2 Cl. A-1, Upgraded to Ba1 (sf); previously on Jul 22, 2016 Upgraded to B2 (sf) Cl. A-2, Upgraded to B3 (sf); previously on May 5, 2010 Downgraded to Caa3 (sf) Cl. A-3B, Upgraded to Caa2 (sf); previously on Jul 17, 2014 Downgraded to Caa3 (sf) Cl. A-3C, Upgraded to Caa3 (sf); previously on May 5, 2010 Downgraded to Ca (sf) Cl. A-3D, Upgraded to Caa3 (sf); previously on May 5, 2010 Downgraded to Ca (sf) Issuer: Soundview Home Loan Trust 2006-1 Cl. A-4, Upgraded to Aa3 (sf); previously on Jul 29, 2016 Upgraded to A2 (sf) Issuer: Soundview Home Loan Trust 2007-OPT4 Cl. II-A-2, Upgraded to Caa1 (sf); previously on Jun 17, 2010 Downgraded to Caa2 (sf) Cl. II-A-3, Upgraded to Caa1 (sf); previously on Jun 17, 2010 Downgraded to Caa3 (sf) Cl. X-2, Upgraded to Caa1 (sf); previously on Feb 22, 2012 Downgraded to Caa3 (sf) RATINGS RATIONALE The rating upgrades are primarily due to the total credit enhancement available to the bonds. The rating downgrade on Class M-1 from ACE 2005-HE6 is due to the outstanding unpaid interest shortfall that is unlikely to be recouped. The actions reflect the recent performance of the underlying pools and Moody's updated loss expectation on these pools. Class X-2 from Soundview Home Loan Trust 2007-OPT4 is an Interest-Only (IO) bond linked to Classes II-A-2 and II-A-3, thus this IO bond should carry the same rating following the upgrade actions on Classes II-A-2 and II-A-3. The rating actions on Classes MV-5, MV-7 and MV-8 from JPMAC 2007-CH1 also partially reflect a correction to the cash-flow model previously used by Moody's in rating this transaction. In prior rating actions, the cash flow model overestimated the excess spread available to be paid as principal. This error has now been corrected, and rating actions reflect this change. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in January 2017. Additionally, the methodology used in rating Cl. X-2 from Soundview Home Loan Trust 2007-OPT4 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 (RFC), in which it has requested market feedback on potential revisions to its cross-sector rating methodology for rating structured finance IO securities. Please refer to Moody's RFC titled "Moody's Proposes Revised Approach to Rating Structured Finance Interest-Only (IO) Securities " for further details regarding the implications of the proposed methodology revisions on certain Credit Ratings. 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 4.4% in April 2017 from 5.0% in April 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 $239.7MM Alt-A Debt Issued 2002-2004 ---------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 28 tranches and downgraded two tranches from 10 transactions backed by Alt-A mortgage loans, issued by multiple issuers. Complete rating actions are: Issuer: Banc of America Alternative Loan Trust 2003-8 2-NC-3, Upgraded to Ba1 (sf); previously on Jul 22, 2016 Upgraded to B1 (sf) Cl. 2-NC-2, Upgraded to Ba1 (sf); previously on Jul 22, 2016 Upgraded to B1 (sf) Issuer: Banc of America Alternative Loan Trust 2004-6 Cl. 2-A-1, Upgraded to Ba1 (sf); previously on Apr 13, 2012 Downgraded to B1 (sf) Issuer: Banc of America Alternative Loan Trust 2004-8 Cl. 2-CB-1, Upgraded to Baa3 (sf); previously on Jun 2, 2015 Upgraded to Ba2 (sf) Issuer: Bear Stearns ALT-A Trust 2004-12 Cl. I-A-1, Upgraded to Aa2 (sf); previously on Jul 18, 2016 Upgraded to A1 (sf) Cl. I-A-2, Upgraded to A1 (sf); previously on Jul 18, 2016 Upgraded to A3 (sf) Cl. I-A-3, Upgraded to Aa2 (sf); previously on Jul 18, 2016 Upgraded to A1 (sf) Cl. I-A-4, Upgraded to Aa3 (sf); previously on Jul 18, 2016 Upgraded to A2 (sf) Cl. I-M-1, Upgraded to Ba3 (sf); previously on Jul 18, 2016 Upgraded to B2 (sf) Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series 2002-30 Cl. D-B-1, Downgraded to Ba2 (sf); previously on Jul 16, 2012 Downgraded to Baa2 (sf) Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series 2004-AR5 Cl. I-B-1, Upgraded to Ba3 (sf); previously on Dec 14, 2015 Upgraded to B3 (sf) Cl. C-B-1, Upgraded to Caa2 (sf); previously on Mar 18, 2011 Downgraded to Ca (sf) Issuer: GSAA Home Equity Trust 2004-5 Cl. AF-4, Upgraded to A1 (sf); previously on Jul 22, 2016 Upgraded to Baa1 (sf) Cl. AF-5, Upgraded to A1 (sf); previously on Jul 22, 2016 Upgraded to A3 (sf) Issuer: HarborView Mortgage Loan Trust 2004-7 Cl. 1-A, Upgraded to B1 (sf); previously on Mar 22, 2011 Downgraded to B3 (sf) Cl. 2-A-1, Upgraded to B2 (sf); previously on Dec 22, 2015 Upgraded to Caa1 (sf) Cl. 2-A-2, Upgraded to B2 (sf); previously on Dec 22, 2015 Upgraded to Caa1 (sf) Cl. 2-A-3, Upgraded to B2 (sf); previously on Dec 22, 2015 Upgraded to Caa1 (sf) Cl. 3-A-2, Upgraded to B2 (sf); previously on Dec 22, 2015 Upgraded to Caa1 (sf) Cl. 4-A, Upgraded to B1 (sf); previously on Mar 22, 2011 Downgraded to B3 (sf) Cl. X-1, Upgraded to B2 (sf); previously on Dec 22, 2015 Upgraded to Caa1 (sf) Cl. X-2, Upgraded to Ba2 (sf); previously on Jun 29, 2012 Downgraded to B2 (sf) Issuer: RALI Series 2004-QS16 Trust Cl. I-A-V, Downgraded to Caa1 (sf); previously on Apr 18, 2012 Downgraded to B3 (sf) Issuer: Structured Adjustable Rate Mortgage Loan Trust 2004-14 Cl. 1-A, Upgraded to Baa2 (sf); previously on Jul 18, 2016 Upgraded to Ba1 (sf) Cl. 2-A, Upgraded to Baa2 (sf); previously on Jul 6, 2012 Downgraded to Ba1 (sf) Cl. 3-A1, Upgraded to Baa1 (sf); previously on Jul 6, 2012 Downgraded to Baa3 (sf) Cl. 4-A, Upgraded to Baa1 (sf); previously on Jul 6, 2012 Confirmed at Baa3 (sf) Cl. 5-A1, Upgraded to Baa1 (sf); previously on Mar 10, 2011 Downgraded to Baa3 (sf) Cl. 6-A, Upgraded to Baa1 (sf); previously on Jul 6, 2012 Confirmed at Baa3 (sf) Cl. 7-A, Upgraded to Baa1 (sf); previously on Mar 10, 2011 Downgraded to Baa3 (sf) RATINGS RATIONALE The rating upgrades are primarily due to improvement of credit enhancement and pay down of the affected bonds. The rating downgrades are due to declining credit enhancement and in some cases, tail risk associated with pro rata pay structures. 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. Additionally, the methodology used in rating HarborView Mortgage Loan Trust 2004-7 Cl. X-1 and Cl. X-2 S16 and RALI Series 2004-QS16 Trust Cl. I-A-V 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 (RFC), in which it has requested market feedback on potential revisions to its cross-sector rating methodology for rating structured finance IO securities. Please refer to Moody's RFC titled "Moody's Proposes Revised Approach to Rating Structured Finance Interest-Only (IO) Securities " for further details regarding the implications of the proposed methodology revisions on certain Credit Ratings. 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 4.4% in April 2017 from 5.0% in April 2016. Moody's forecasts an unemployment central range of 4.5% to 5.5% for the 2017 year. Deviations from this central scenario could lead to rating actions in the sector. House prices are another key driver of US RMBS performance. Moody's expects house prices to continue to rise in 2017. Lower increases than Moody's expects or decreases could lead to negative rating actions. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. [*] S&P Completes Review on 104 Classes From 13 RMBS Deals ---------------------------------------------------------- S&P Global Ratings completed its review of 104 classes from 13 U.S. residential mortgage-backed securities (RMBS) transactions issued between 2003 and 2005. The review yielded 32 upgrades, two downgrades, 69 affirmations, and one withdrawal. The transactions in this review are backed by a mix of fixed- and adjustable-rate alternative-A and prime mortgage loans, which are secured primarily by first liens on one- to four-family residential properties. ANALYSIS Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by S&P's projected cash flows. These considerations are based on transaction-specific performance or structural characteristics (or both) and their potential effects on certain classes. UPGRADES S&P's projected credit support for the affected classes is sufficient to cover its projected losses for these rating levels. The upgrades reflect one or more of these: -- Improved collateral performance/delinquency trends; -- Increased credit support relative to our projected losses; -- The class' expected short duration; and/or -- Principal-only (PO) criteria. The upgrades include 20 ratings that were raised three or more notches. Of these, two were due to their expected shorter duration because S&P anticipates the classes to be paid down within the next 12 months, five were due to the improvement of the underlying collateral performance during the most recent performance periods compared to previous review dates, 12 were due to an increase in credit support and the classes' ability to withstand a higher level of projected losses than previously anticipated, and one reflects the application of S&P's criteria for PO classes. The upgrades on the following classes reflect a decrease in S&P's projected losses because there have been fewer reported delinquencies during the most recent performance periods compared to those reported during the previous review dates. This table shows the change in delinquencies for the related pool associated with each class since the last review. Date of Delinquency (%) Transaction Class last review Current Prior Wells Fargo Mortgage Backed Securities 2003-J Trust III-A-2 March 2015 0.12 15.46 III-A-3 March 2015 0.12 15.46 Wells Fargo Mortgage Backed Securities 2003-K II-A-5 March 2015 9.22 10.29 II-A-7 March 2015 9.22 10.29 Wells Fargo Mortgage Backed Securities 2003-L Trust I-A-5 March 2015 2.96 6.31 The upgrades on the following classes reflect an increase in credit support since S&P's last review and the classes' ability to withstand a higher level of projected losses than previously anticipated. This table shows the change in credit support for each class since the last review. Date of Delinquency (%) Transaction Class last review Current Prior Deutsche Alt-A Securities, Inc. Alternative Loan Trust Series 2003-1 A-1 March 2015 20.92 17.09 A-3 March 2015 20.92 17.09 Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2004-3 I-A-5 January 2015 28.36 21.82 II-AR-1 January 2015 51.39 34.78 Homestar Mortgage Acceptance Corp. Series 2004-2 M-1 March 2015 27.93 18.75 First Horizon Mortgage Pass-Through Trust 2005-AR1 I-A-1 January 2015 18.08 10.67 II-A-1 January 2015 18.08 10.67 II-A-2 January 2015 22.03 14.83 II-A-4 January 2015 22.03 14.83 II-A-5 January 2015 18.08 10.67 III-A-1 January 2015 18.08 10.67 IV-A-1 January 2015 28.63 19.05 DOWNGRADES S&P lowered its ratings on classes IV-A-2 and IV-A-3 from Wells Fargo Mortgage Backed Securities 2003-J Trust due to an increase in delinquencies for the related pool. The downgrades reflect S&P's belief that its projected credit support for the affected classes will be insufficient to cover its projected losses for the related transactions at a higher rating. Total delinquencies increased to 9.77% at March 2017 from 0.00% at March 2015. AFFIRMATIONS The affirmations of ratings in the 'AA' through 'B' rating categories reflect S&P's opinion that its projected credit support on these classes remained relatively consistent with its prior projections and is sufficient to cover its projected losses for those rating scenarios. For certain transactions, S&P considered specific performance characteristics that, in its view, could add volatility to its loss assumptions and, in turn, to the ratings suggested by S&P's cash flow projections. When S&P's model recommended an upgrade, it either limited the extent of its upgrade or affirmed its ratings on those classes to account for this uncertainty and promote ratings stability. In general, these classes have one or more of these characteristics that limit any potential upgrade: -- Insufficient subordination, overcollateralization, or both; -- Delinquency trends; -- Historical interest shortfalls; -- Low priority in principal payments; and/or -- Significant growth in observed loss severities. The ratings affirmed at 'CCC (sf)' or 'CC (sf)' reflect S&P's belief that its projected credit support will remain insufficient to cover its 'B' expected case projected losses for these classes. Pursuant to "Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings," Oct. 1, 2012, the 'CCC (sf)' affirmations reflect S&P's view that these classes are still vulnerable to defaulting, and the 'CC (sf)' affirmations reflect S&P's view that these classes remain virtually certain to default. WITHDRAWALS S&P withdrew its rating on class IV-M-2 from Credit Suisse First Boston Mortgage Securities Corp. Series 2003-AR15 because the related pool has a small number of loans remaining. Once a pool has declined to a de minimis amount, we believe there is a high degree of credit instability that is incompatible with any rating level. A list of the Affected Ratings is available at: http://bit.ly/2rBC9MO [*] S&P Completes Review on 106 Classes From 12 US RMBS Deals ------------------------------------------------------------- S&P Global Ratings completed its review of 106 classes from 12 U.S. residential mortgage-backed securities (RMBS) transactions issued between 2003 and 2006. The review yielded 34 upgrades, six downgrades, 53 affirmations, and 13 withdrawals. ANALYSIS Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by S&P's projected cash flows. These considerations are based on transaction-specific performance or structural characteristics (or both) and their potential effects on certain classes. UPGRADES The upgrades include 18 ratings that were raised three or more notches. S&P's projected credit support for the affected classes is sufficient to cover its projected losses for these rating levels. The upgrades reflect one or more of these: -- Improved collateral performance; -- Increased credit support relative to our projected losses; and/or -- Expected short duration. S&P raised its rating on class I-M-1 from Bear Stearns Asset-Backed Securities Trust 2005-SD3 to 'A (sf)' from 'B (sf)' to reflect increased credit support to 39.88% in March 2017 from 29.71% at the time of S&P's prior review in March 2015. Additionally, S&P expects credit support to continue to increase because all funds are paid sequentially due to failing cumulative loss triggers. S&P raised its ratings on seven classes from 'CCC (sf)' because S&P believes these classes are no longer vulnerable to default. S&P also raised one rating to 'CCC (sf)' from 'CC (sf)' because S&P believes this class is no longer virtually certain to default. However, the 'CCC (sf)' ratings reflect S&P's belief that its projected credit support will remain insufficient to cover its projected losses for these classes and that the classes are still vulnerable to defaulting. DOWNGRADES S&P lowered its rating on one class to speculative-grade ('BB+' or lower) from investment-grade ('BBB-' or higher). One of the lowered ratings remained at an investment-grade level, while the remaining four downgraded classes already had speculative-grade ratings. The downgrades reflect S&P's belief that its projected credit support for the affected classes will be insufficient to cover its projected losses for the related transactions at higher ratings. The downgrades further reflect one or more of these: -- Deteriorated credit performance trends; -- Decreased credit support; -- Tail risk; and/or -- Reduced interest payments over time due to loan modifications or other credit-related events. Loan Modifications And Imputed Promises S&P lowered its rating on class A-4 from American General Mortgage Loan Trust 2006-1 to 'BB (sf)' from 'BBB- (sf)'. This downgrade reflects the application of S&P's imputed promises criteria, which resulted in a maximum potential rating (MPR) lower than the previous rating on the class. When a class of securities supported by a particular collateral pool is paid interest through a weighted average coupon (WAC) and the interest owed to that class is reduced because of loan modifications, S&P imputes an amount of interest owed to that class of securities by applying "Methodology For Incorporating Loan Modifications And Extraordinary Expenses Into U.S. RMBS Ratings," published April 17, 2015, and "Principles For Rating Debt Issues Based On Imputed Promises," published Dec. 19, 2014. Based on S&P's criteria, it applies an MPR to those classes of securities that are affected by reduced interest payments over time due to loan modifications. If S&P applies an MPR cap to a particular class, the resulting rating may be lower than if S&P had solely considered that class' paid interest based on the applicable WAC. Classes M-1, M-2, and B-1 from American General Mortgage Loan Trust 2006-1 have also been affected by reduced interest payments because of loan modifications. However, the amount of reduced interest payments has been mitigated due to the amount of principal these classes have received and will continue to receive. Therefore, the downgrades on these classes reflect the increase in S&P's projected losses due to higher reported loss severities during the most recent performance periods than those reported during the previous review dates. Observed loss severities have increased to 56.47% as of February 2017 from 33.53% at the time of the prior review in March 2015. AFFIRMATIONS The affirmations of ratings in the 'AAA' through 'B' rating categories reflect S&P's opinion that its projected credit support on these classes remained relatively consistent with its prior projections and is sufficient to cover its projected losses for those rating scenarios. For certain transactions, S&P considered specific performance characteristics that, in its view, could add volatility to its loss assumptions and, in turn, to the ratings suggested by S&P's cash flow projections. When S&P's model recommended an upgrade, it either limited the extent of its upgrade or affirmed its ratings on those classes to account for this uncertainty and promote ratings stability. In general, these classes have one or more of these characteristics that limit any potential upgrade: -- Insufficient subordination, overcollateralization, or both; -- Delinquency trends; -- Historical interest shortfalls; -- Tail risk; -- Expected shorter duration; and/or -- Significant growth in observed loss severities. In addition, some of the transactions have failed their delinquency triggers, resulting in reduced--or a complete stop of--unscheduled principal payments to their subordinate classes. However, these transactions allow for unscheduled principal payments to resume to the subordinate classes if the delinquency triggers begin passing again. This would result in eroding the credit support available for the more-senior classes. Therefore, S&P affirmed its ratings on certain classes in these transactions even though these classes may have passed at higher rating scenarios. The ratings affirmed at 'CCC (sf)' or 'CC (sf)' reflect S&P's belief that its projected credit support will remain insufficient to cover its 'B' expected case projected losses for these classes. Per "Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings," published Oct. 1, 2012, the 'CCC (sf)' affirmations reflect S&P's view that these classes are still vulnerable to defaulting, and the 'CC (sf)' affirmations reflect S&P's view that these classes remain virtually certain to default. WITHDRAWALS S&P withdrew its ratings on 13 classes from three deals because the related loan pools have a small number of loans remaining. Once a pool has declined to a de minimis amount, S&P believes there is a high degree of credit instability that is incompatible with any rating level. A list of the Affected Ratings is available at: http://bit.ly/2rzHl3I [*] S&P Completes Review on 52 Ratings From 11 RMBS Deals --------------------------------------------------------- S&P Global Ratings completed its review of 52 ratings from 11 U.S. residential mortgage-backed securities (RMBS) transactions issued between 2003 and 2006. The review yielded 20 upgrades, four downgrades, and 28 affirmations. The transactions in this review are backed by a mix of fixed- and adjustable-rate reperforming mortgage loans secured primarily by first liens on one- to four-family residential properties. ANALYSIS Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by S&P's projected cash flows. These considerations are based on transaction-specific performance or structural characteristics (or both) and their potential effects on certain classes. UPGRADES S&P's projected credit support for the affected classes is sufficient to cover its projected losses for these rating levels. The upgrades reflect one or more of these: -- Improved collateral performance/delinquency trends; -- Increased credit support relative to our projected losses; and/or -- The class' expected short duration. Fifteen of the upgrades were due to an increase in credit support for each class and its ability to withstand a higher level of projected losses than previously anticipated. This table shows the change in credit support for each class since the last review. Date of Credit support (%) Transaction Class last review Current Prior Bayview Financial Mortgage Pass-Through Trust Series 2005-B M-3 March 30, 2015 72.67 52.08 M-4 March 25, 2015 61.91 44.37 B-1 March 30, 2015 43.98 31.52 B-2 March 30, 2015 20.22 14.49 Bayview Financial Mortgage Pass-Through Trust Series 2005-C M-1 March 30, 2015 85.39 62.54 M-2 March 30, 2015 67.73 49.41 M-3 March 30, 2015 39.37 28.32 M-4 March 30, 2015 28.66 20.36 Bayview Financial Mortgage Pass-Through Trust Series 2005-D AF-4 March 28, 2015 48.98 40.26 C-BASS 2005-RP1 Trust M-2 March 25, 2015 76.03 58.92 M-3 March 25, 2015 46.25 37.40 C-BASS 2005-RP2 Trust M-1 March 25, 2015 79.28 64.76 CSMC Trust 2006-CF1 M-1 March 25, 2015 66.75 52.21 M-2 March 25, 2015 39.37 31.05 B-1 March 25, 2015 25.87 20.60 The upgrade to class M-2 from Bayview Financial Mortgage Pass-Through Trust's series 2005-B is due to an expected short remaining duration based on the current rate of payments received. The upgrades on classes 2-A3 and 2-A4 from Bayview Financial Mortgage Pass-Through Trust's series 2006-D reflect a decrease in S&P's projected losses and its belief that its projected credit support for the affected classes will be sufficient to cover its revised projected losses at these rating levels. S&P has decreased its projected losses because there have been fewer reported delinquencies during the most recent performance periods compared to those reported during the previous review dates. Severe delinquencies decreased to 22.74% in April 2017 from 27.02% in March 2015. In addition, S&P raised its ratings on classes B-1 from 2003-CB3 Trust and B-2 from Bayview Financial Mortgage Pass Through Trust 2005-C to 'CCC (sf)' from 'CC (sf)' because S&P believes these classes are no longer virtually certain to default, primarily owing to the improved performance of the collateral backing this transaction. However, the 'CCC (sf)' rating indicates that S&P believes that its projected credit support will remain insufficient to cover its projected losses for these classes and that the classes are still vulnerable to defaulting. DOWNGRADES The downgrades include one rating that was lowered three or more notches. One lowered rating remained at in investment-grade level ('BBB-' or higher), and the remaining three already had speculative-grade ratings ('BB+' or lower). The downgrades reflect S&P's belief that our projected credit support for the affected classes will be insufficient to cover its projected losses for the related transactions at a higher rating. The downgrades reflect one or more of these: -- Decreased credit enhancement available to the classes; -- Observed interest shortfalls; and/or -- Reduced interest payments over time due to loan modifications or other credit-related events. Interest Shortfalls The downgrades on classes M-1 and B-2 from Bear Stearns Asset Backed Securities Trust 2004-1 were based on S&P's assessment of interest shortfalls to the affected classes during recent remittance periods. The lowered ratings were derived by applying S&P's interest shortfall criteria, which designate a maximum potential rating (MPR) to these classes. Loan Modifications And Imputed Promises S&P lowered its rating on class 1-A3 from Bayview Financial Mortgage Pass-Through Trust's series 2006-D to reflect the application of S&P's imputed promises criteria, which resulted in an MPR lower than the previous rating on each of these classes. When a class of securities supported by a particular collateral pool is paid interest through a weighted average coupon (WAC) and the interest owed to that class is reduced because of loan modifications, S&P imputes an amount of interest owed to that class of securities by applying "Methodology For Incorporating Loan Modifications And Extraordinary Expenses Into U.S. RMBS Ratings," published April 17, 2015, and "Principles For Rating Debt Issues Based On Imputed Promises," published Dec. 19, 2014. Based on S&P's criteria, it applies an MPR to those classes of securities that are affected by reduced interest payments over time due to loan modifications. If S&P applies an MPR cap to a particular class, the resulting rating may be lower than if S&P had solely considered that class' paid interest based on the applicable WAC. AFFIRMATIONS The affirmations of ratings in the 'AAA' through 'B' rating categories reflect S&P's opinion that its projected credit support on these classes remained relatively consistent with S&P's prior projections and is sufficient to cover its projected losses for those rating scenarios. For certain transactions, S&P considered specific performance characteristics that, in its view, could add volatility to its loss assumptions and, in turn, to the ratings suggested by S&P's cash flow projections. When S&P's model recommended an upgrade, it either limited the extent of its upgrade or affirmed its ratings on those classes to account for this uncertainty and promote ratings stability. In general, these classes have one or more of these characteristics that limit any potential upgrade: -- Insufficient subordination/overcollateralization; -- Delinquency trends limiting upgrade; and/or -- Bond performance projection remaining stable. The ratings affirmed at 'CCC (sf)' or 'CC (sf)' reflect S&P's belief that its projected credit support will remain insufficient to cover its 'B' expected case projected losses for these classes. Pursuant to "Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings," published Oct. 1, 2012, the 'CCC (sf)' affirmations reflect S&P's view that these classes are still vulnerable to defaulting, and the 'CC (sf)' affirmations reflect S&P's view that these classes remain virtually certain to default. A list of the Affected Ratings is available at: http://bit.ly/2qN6cjw [*] S&P Discontinues Ratings on 60 Classes From 24 CDO Deals ------------------------------------------------------------ S&P Global Ratings discontinued its ratings on 52 classes from 18 cash flow (CF) collateralized loan obligation (CLO) transactions, one class from one CF structured credit retranching (SC retranching), five classes from three CF collateralized debt obligations (CDO) backed by commercial mortgage-backed securities (CMBS), one class from one CF hybrid CLO, and one class from one CDO transaction. The discontinuances follow the complete paydowns of the notes as reflected in the most recent trustee-issued note payment reports for each transaction: -- 1776 CLO I Ltd. (CF CLO): senior-most tranche paid down; other rated tranches still outstanding. -- Black Diamond CLO 2006-1 (Luxembourg) S.A. (CF CLO): senior- most tranches paid down; other rated tranches still outstanding. -- Blue Wing Asset Vehicle Series 2009-1 (CF SC retranching): last remaining rated tranche paid down. -- Brentwood CLO Ltd. (CF CLO): senior-most tranches paid down; other rated tranches still outstanding. -- California Street CLO III Ltd. (CF CLO): senior-most tranches paid down; other rated tranches still outstanding. -- Callidus Debt Partners CLO Fund VI Ltd. (CF CLO): optional redemption in April 2017. -- Carlyle Daytona CLO Ltd. (CF CLO): optional redemption in April 2017. -- ECP CLO 2012-3 Ltd. (CF CLO): senior-most tranches paid down; other rated tranches still outstanding. -- GoldenTree Loan Opportunities III Ltd. (CF CLO): optional redemption in May 2017. -- Gramercy Real Estate CDO 2005-1 Ltd. (CF CDO of CMBS): senior-most tranches paid down; other rated tranches still outstanding. -- Gramercy Real Estate CDO 2006-1 Ltd. (CF CDO of CMBS): senior-most tranches paid down; other rated tranches still outstanding. -- Grayson CLO Ltd. (CF CLO): senior-most tranche paid down; other rated tranches still outstanding. -- Keuka Park CLO Ltd. (CF CLO): rated tranche paid down. -- Multi Security Asset Trust L.P. (CF CDO of CMBS): senior- most tranche paid down; other rated tranches still outstanding. -- Octagon Investment Partners XII Ltd. (CF CLO): optional redemption in April 2017. -- Red River CLO Ltd. (CF CLO): senior-most tranche paid down; other rated tranche still outstanding. -- Rockwall CDO II Ltd. (CF Hybrid CLO): senior-most tranche paid down; other rated tranches still outstanding. -- Rockwall CDO Ltd. (CF CLO): all rated tranches paid down. -- Shackleton 2016-IX CLO Ltd. (CF CLO): class X notes(i) paid down; other rated tranches still outstanding. -- Shackleton I CLO Ltd. (CF CLO): all rated tranches paid down. -- Sheridan Square CLO Ltd. (CF CLO): optional redemption in May 2017. -- Stratford CLO Ltd. (CF CLO): senior-most tranches paid down; other rated tranches still outstanding. -- Trainer Wortham First Republic CBO IV Ltd. (CF CDO): senior- most tranche paid down; other rated tranche still outstanding. -- Westchester CLO Ltd. (CF CLO): senior-most tranche paid down; other rated tranches still outstanding. (i)An "X note" within a CLO is generally a note with a principal balance intended to be repaid early in the CLO's life using interest proceeds from the CLO's waterfall. RATINGS DISCONTINUED 1776 CLO I Ltd. Rating Class To From B NR AAA (sf) Black Diamond CLO 2006-1 (Luxembourg) S.A. Rating Class To From B NR AAA (sf) C NR AAA (sf) Blue Wing Asset Vehicle Series 2009-1 Rating Class To From A2 NR AAA (sf) Brentwood CLO Ltd. Rating Class To From A-1A NR AAA (sf) A-1B NR AAA (sf) California Street CLO III Ltd. Rating Class To From A-1b NR AAA (sf) A-2a NR AAA (sf) A-2b NR AAA (sf) B NR AAA (sf) C NR AA+ (sf) Callidus Debt Partners CLO Fund VI Ltd. Rating Class To From A-1D NR AAA (sf) A-1T NR AAA (sf) A-2 NR AA+ (sf) B NR AA (sf) C NR BBB+ (sf) D NR BB (sf) Carlyle Daytona CLO Ltd. Rating Class To From A-2L NR AAA (sf) A-3L NR AAA (sf) B-1L NR A+ (sf) B-2L NR BB+ (sf) ECP CLO 2012-3 Ltd. Rating Class To From A-1 NR AAA (sf) A-2 NR AAA (sf) GoldenTree Loan Opportunities III Ltd. Rating Class To From B NR AAA (sf) C NR AA+ (sf) D NR A+ (sf) Gramercy Real Estate CDO 2005-1 Ltd. Rating Class To From C NR B- (sf) D NR CCC+ (sf) Gramercy Real Estate CDO 2006-1 Ltd. Rating Class To From C NR CCC- (sf) D NR CCC- (sf) Grayson CLO Ltd. Rating Class To From A-1a NR AAA (sf) Keuka Park CLO Ltd. Rating Class To From A NR AAA (sf) Multi Security Asset Trust L.P. Rating Class To From E NR BBB+ (sf) Octagon Investment Partners XII Ltd. Rating Class To From A-R NR AAA (sf) B-1-R NR AAA (sf) B-2-R NR AAA (sf) C-R NR AA+ (sf) D-R NR A+ (sf) E-R NR BB+ (sf) Red River CLO Ltd. Rating Class To From D NR AA+ (sf) Rockwall CDO II Ltd. Rating Class To From A-1LA NR AAA (sf) Rockwall CDO Ltd. Rating Class To From A-2L NR AAA (sf) A-3L NR AAA (sf) A-4L NR AAA (sf) B-1L NR A+ (sf) Shackleton 2016-IX CLO Ltd. Rating Class To From X NR AAA (sf) Shackleton I CLO Ltd. Rating Class To From E NR BB (sf) Sheridan Square CLO Ltd. Rating Class To From A-1 NR AAA (sf) A-2 NR AAA (sf) B-1 NR AA+ (sf) B-2 NR AA+ (sf) C NR A+ (sf) D NR BBB (sf) E NR BB (sf) E-1 NR BB (sf) F NR B (sf) Stratford CLO Ltd. Rating Class To From A-1 NR AAA (sf) A-2 NR AAA (sf) Trainer Wortham CBO IV Ltd. Rating Class To From B NR CCC- (sf) Westchester CLO Ltd. Rating Class To From A-1-A NR AAA (sf) NR--Not rated. [*] US CMBS Loan Loss Severities Down in Q1 2017, Moody's Says -------------------------------------------------------------- US CMBS loan loss severity decreased for the loans liquidated during the first quarter of 2017, Moody's Investors Service says in its latest report on losses in US commercial mortgage-backed securities (CMBS). The quarterly weighted average loss severity declined to 36.1% for loans liquidated in the quarter from 48.7% for loans liquidated in the prior quarter, primarily as a result of lower losses on loans liquidated from the 2007 vintage, which had a weighted average loss severity of 25.8% due to a high share of maturity default liquidations in the quarter. Moody's quarterly report on US CMBS loss severities covers all US conduit and fusion transactions, regardless of whether Moody's rates them, and provides both point-in-time and cumulative estimates of loss severity. The current report details losses for the 1998 to 2017 vintages based on liquidations that took place from January 1, 2000 to March 31, 2017. "Loans liquidated after a maturity default have lower loss severities than loans that defaulted during their terms," says Associate Managing Director, Keith Banhazl. "This was especially evident for 2007 vintage loans liquidated during the first quarter, in which loans that liquidated after a maturity default constituted 67.9% of the 2007 vintage liquidations by balance and had an average loss severity of 8.3%, compared to the average loss severity of 62.9% for loans that defaulted during their terms." Among the five major property types, loans backed by retail properties continued to have the highest cumulative weighted average loss severity, at 49.0%, Banhazl says. During the first quarter, 68 loans backed by retail properties liquidated with an aggregate loss of $457.5 million and loss severities of 54.6%. Loans backed by troubled malls continued to see high loss severities. In the first quarter, seven loans backed by regional malls were liquidated with an average loss severity of 73.6%. Losses from loans secured by troubled malls accounted for 43.0% of the aggregate dollar loss of retail loans liquidated during the quarter. ********* 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 ***