/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/170625.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 25, 2017, Vol. 21, No. 175 Headlines 1345 AVENUE 2005-1: S&P Affirms 'BB+' Rating on Cl. F Certificates ALM LTD XII: Fitch Affirms 'B-sf' Rating on Class E Notes ALM LTD XII: Moody's Assigns Ba3(sf) Rating to Class D-R Notes APIDOS CLO XVI: S&P Affirms 'BB' Rating on Class D Notes APIDOS CLO XXVII: Moody's Assigns (P)B3(sf) Rating to Cl. E Notes ATLAS SENIOR VIII: S&P Assigns Prelim. 'B' Rating on Cl. F Notes BAIN CAPITAL 2017-1: S&P Assigns Prelim. BB- Rating on Cl. F Debt BANC OF AMERICA 2006-1: S&P Lowers Rating on Class F Certs to D BARINGS CLO 2017-I: Moody's Assigns (P)B3 Rating to Class F Notes BATTALION CLO VIII: Moody's Assigns Ba3 Rating to Cl. D-2-R Notes BAYVIEW COMMERCIAL 2005-1: Moody's Cuts Class B-2 Debt Rating to B1 BAYVIEW OPPORTUNITY 2017-SPL5: Fitch to Rate Class B5 Notes 'Bsf' BCC FUNDING X: DBRS Hikes Class F Notes Rating to BB(sf) BEAR STEARNS 2005-PWR7: Fitch Cuts Class B Certs Rating to BBsf BENEFIT STREET II: S&P Assigns Prelim. BB- Rating on Cl. D-R Notes BUSINESS LOAN 2001-2: Fitch Affirms Then Withdraws Ratings BXP TRUST 2017-GM: Moody's Assigns (P)Ba2 Rating to Cl. E Certs CARLYLE US 2017-3: S&P Assigns Prelim. BB- Rating on Cl. D Notes CGDB COMMERCIAL 2017-BIO: S&P Assigns BB- Rating on Cl. E Certs CITIGROUP 2006-C5: Moody's Cuts Class A-J Debt Rating to Caa1 COLONY MULTIFAMILY 2014-MF1: Moody's Affirms B1 on Class X Debt COMM 2013-CCRE10: Moody's Cuts Rating on Class F Debt to B3(sf) COMM 2013-CCRE8: Moody's Affirms B3(sf) Rating on Cl. X-C Debt CSAIL 2017-C8: DBRS Assigns Prov. BB(sf) Ratings to Class E Debt CSMC TRUST 2017-CHOP: S&P Assigns Prelim. B- Rating on Cl. F Certs CSMC TRUST 2017-HL1: Fitch to Rate Class B-5 Certificates 'Bsf' DEUTSCHE BANK 2011-LC3: Fitch Affirms 'Bsf' Rating on Class F Certs DRIVE AUTO 2015-C: S&P Affirms BB Rating on Cl. E Notes DRIVE AUTO 2017-1: S&P Assigns Prelim. BB Rating on Cl. E Notes ELLINGTON CLO I: Moody's Assigns Ba3(sf) Rating to Class C Notes FIGUEROA CLO 2013-2: S&P Assigns 'BB' Rating on Cl. D-R Notes FRANKLIN CLO VI: S&P Affirms 'B+' Rating on Class E Notes GE BUSINESS 2007-1: S&P Raises Rating on Cl. D Notes to 'BB+' GLS AUTO 2017-1: S&P Assigns Prelim. BB Rating on Class D Notes GOLDMAN SACHS 2011-GC5: Fitch Affirms 'Bsf' Rating on Class F Certs HIGHBRIDGE LOAN 5-2015: S&P Affirms 'B' Rating on Class F Notes HPS LOAN 3-2014: S&P Assigns Prelim. 'B-' Rating on Cl. E-R Notes IMSCI 2012-2: Fitch Affirms 'Bsf' Rating on Class G Certificates JAMESTOWN CLO X: Moody's Assigns (P)B3(sf) Rating to Cl. E Notes JP MORGAN 2007-LDP12: Moody's Cuts Rating on Class X Certs to Ca JP MORGAN 2013-C14: Fitch Affirms 'Bsf' Rating on Class G Certs JP MORGAN 2017-JP6: Fitch Assigns 'B-sf' Rating to Cl. G-RR Certs JPMBB 2014-C22: DBRS Confirms Bsf Rating on Class X-D Certs LB-UBS COMMERCIAL 2008-C1: Moody's Cuts Cl. A-J Certs Rating to C LIME STREET: Moody's Affirms B2(sf) Rating on Class E Notes LNR CDO 2002-1: Moody's Affirms C(sf) Rating on 3 Tranches MADISON PARK XVII: Moody's Assigns B3(sf) Rating to Class F-R Notes MCA FUND I: DBRS Confirms BB Rating on Class C Deferrable Notes MCA FUND II: DBRS Assigns Prov. BB(sf) Rating to Class C Notes MERRILL LYNCH 2005-MCP1: Moody's Affirms C Rating on 2 Tranches MERRILL LYNCH 2006-C1: Fitch Affirms CCC Rating on Class A-J Certs MFA 2017-RPL1: DBRS Finalizes B(sf) Rating on Class B-2 Debt MILL CITY 2017-2: Fitch Assigns 'Bsf' Rating to Class B2 Notes MILL CITY 2017-2: Moody's Assigns Ba3(sf) Rating to Class B1 Notes MORGAN STANLEY 2000-PRIN: Moody's Affirms B2 Rating on Cl. X Debt MORGAN STANLEY 2002-IQ3: Moody's Affirms C Rating on 2 Tranches MORGAN STANLEY 2007-TOP25: Fitch Hikes Cl. A-J Certs Rating to Bsf MORGAN STANLEY 2008-TOP29: S&P Raises Rating on Cl. E Certs to BB+ MORGAN STANLEY 2012-C5: Moody's Affirms B2 Rating on 2 Tranches MP CLO IV: Moody's Assigns (P)Ba3(sf) Rating to Class E-R Notes N-STAR REAL IX: S&P Lowers Rating on 3 Classes to 'CC' NEW RESIDENTIAL 2017-3: DBRS Finalizes BB Ratings on 7 Tranches NORTHWOODS CAPITAL XV: Moody's Assigns Ba3 Rating to Cl. E Notes PALMER SQUARE 2016-2: S&P Hikes Class D Notes Rating to 'BB+' PREFERRED TERM XIII: Moody's Hikes Rating on 3 Tranches to Ba1 PREFERRED TERM XVII: Moody's Affirms Ba2(sf) Rating on Cl. B Notes REALT 2017-1: DBRS Assigns Prov. BB(sf) Ratings to Class F Debt REALT 2017-1: Fitch to Rate Class G Certificates 'Bsf' ROSSLYN PORTFOLIO 2017-ROSS: S&P Gives Prelim B- to 2 Tranches SAGUARO ISSUER: Moody's Hikes Rating on 2 Tranches to Ba3 SOVEREIGN COMMERCIAL 2007-C1: Moody's Affirms C Rating on 3 Classes SPRINGLEAF FUNDING 2017-A: S&P Gives Prelim BB Rating to D Notes STACR 2017-HQA2: Fitch Assigns Bsf Rating on 12 Tranches STONEY LANE I: S&P Affirms B+ Rating on Class D Notes THL CREDIT 2017-2: Moody's Assigns B3(sf) Rating to Class F Notes TRINITAS CLO VI: Moody's Assigns Ba3(sf) Rating to Cl. E Notes UNITED AUTO 2017-1: S&P Assigns 'BB-' Rating on Class E Notes WACHOVIA BANK 2007-C33: Moody's Affirms C Rating on Class J Certs WELLS FARGO 2015 LC22: Fitch Affirms 'B-sf' Rating on 2 Tranches WELLS FARGO 2017-C38: Fitch to Rate Class F Notes 'B-sf' [*] Fitch Lowers 122 Bonds in 89 US RMBS Transactions to D(sf) [*] Moody's Hikes $256.9MM of Subprime RMBS Issued 2003-2004 [*] Moody's Hikes $740MM of Subprime RMBS Issued 2004-2007 [*] Moody's Lowers $852.6MM of Puerto Rican RMBS Loans [*] Moody's Takes Action on $112.7MM of Alt-A Issued 2003-2004 [*] Moody's Takes Action on $255.2MM of RMBS Issued 2004-2007 [*] Moody's Takes Action on $85.4MM of Alt-A RMBS Issued 2003-2005 [*] Moody's Takes Action on $94MM of RMBS Issued 2003-2004 [*] S&P Completes Review of 30 Classes From 8 US RMBS Deals [*] S&P Completes Review of 46 Classes From 13 US RMBS Deals [*] S&P Completes Review on 18 Classes From 7 RMBS Deals ********* 1345 AVENUE 2005-1: S&P Affirms 'BB+' Rating on Cl. F Certificates ------------------------------------------------------------------ S&P Global Ratings affirmed its ratings on eight classes of commercial mortgage pass-through certificates from 1345 Avenue of the Americas and Park Avenue Plaza Trust's series FB 2005-1, a U.S. commercial mortgage-backed securities (CMBS) transaction. The affirmations on the principal- and interest-paying certificate classes follow S&P's analysis of the transaction primarily using its criteria for rating U.S. and Canadian CMBS transactions and S&P's review of the office collateral securing the transaction, the deal structure, and liquidity available to the trust. The affirmations also reflect S&P's expectation that the available credit enhancement for the classes will be within its estimate of the necessary credit enhancement required for the current ratings and S&P's views regarding the current and future performance of the office collateral in the trust. The affirmed 'BB+ (sf)' rating on the class F certificates, specifically, reflects S&P's criteria for rating U.S. and Canadian CMBS transactions, which applies a credit enhancement minimum equal to 1% of the transaction or loan amount to address the potential for unexpected trust expenses that may incur during the life of the loan or transaction. These potential unexpected trust expenses may include servicer fees, servicer advances, workout or corrected mortgage fees, and potential trust legal fees. S&P affirmed its 'AAA (sf)' rating on the class X interest-only (IO) certificates based on S&P's criteria for rating IO securities. The analysis of large-loan transactions is predominantly a recovery-based approach that assumes a loan default. Using this approach, S&P's property-level analysis included a revaluation of the office properties that secure the mortgage loans in the trust. S&P also considered the stable servicer-reported net operating income (NOI) and occupancy for both office properties since issuance. According to the June 12, 2017, trustee remittance report, the trust consisted of participation interests in two fixed-rate partial IO mortgage loans with a $520.1 million aggregate pooled trust balance, down from $548.7 million at issuance. To date, the trust has not incurred any principal losses. S&P based its analysis partly on a review of each office property's historical NOI for the years ended Dec. 31, 2016, 2015, 2014 and 2013, and the Feb. 1, 2017, rent-rolls provided by the master servicer to determine our opinion of a sustainable cash flow for the office properties. The 1345 Avenue of the Americas loan, the larger of the two loans in the pool, has a whole-loan balance of $608.7 million that consists of senior A, subordinate B, and subordinate C notes. The $392.2 million senior A note is further divided into five pari passu notes (two of which have been repaid in full). The 1-A3 and 1-A4 notes ($316.1 million in aggregate) are in this transaction and the remaining pari passu component is held outside the trust. The $116.5 million B note, which is subordinate to the A note, is split into three pari passu pieces, two of which--the 1-B1 and 1-B2 notes, totaling $98.0 million--are in thistransaction. The $100.0 million C note, which is subordinate to the A and B notes, is divided into four pari passu notes, all of which are held outside the trust. The 1345 Avenue of the Americas whole loan pays interest at 5.36% per year, matures on Aug. 8, 2025, amortizes on a constant monthly interest and principal payment, and is IO for the first two and the last three years of the loan term. The amortization amount is currently used to pay down the A notes on a pro rata basis. In addition, the equity interests in the mortgage borrower secure mezzanine debt totaling $151.3 million. The whole loan is secured by a 1,896,140-sq.-ft. office property in midtown Manhattan. The master servicer, Wells Fargo Bank N.A., reported a debt service coverage (DSC) of 1.72x on the whole loan for the year ended Dec. 31, 2016, and an occupancy of 90.6% according to the Feb. 1, 2017, rent-roll. S&P's expected case valuation, using a 6.25% capitalization rate, yielded a 38.0% loan-to-value (LTV) ratio on the whole loan. The Park Avenue Plaza loan, the smaller of the two loans, has a whole-loan balance of $200.4 million that consists of senior A and subordinate B notes. The $198.2 million senior A note was split into five pari passu notes (two of which were repaid in full). The 1-A3 and 1-A4 notes ($104.7 million in aggregate) are in this transaction, and the remaining pari passu piece is held outside the trust. The $2.2 million B note, which is subordinate to the A note, is divided into three pari passu pieces, of which the 1-B1 and 1-B2 notes, totaling $1.3 million, are in this transaction. The Park Avenue Plaza whole loan pays interest at 5.39% per year, matures on Aug. 8, 2025, amortizes on a constant monthly interest and principal payment, and is IO for the first 30 months and the last three years of the loan term. The amortization amount is currently used to pay down the A notes on a pro rata basis. In addition, the equity interests in the mortgage borrower secure mezzanine debt totaling $225.0 million. The whole loan is secured by a 1,137,452-sq.-ft. office property in midtown Manhattan. Wells Fargo reported a 2.90x DSC on the whole loan for the year ended Dec. 31, 2016, and an occupancy of 99.7% according to the Feb. 1, 2017, rent-roll. S&P's expected case valuation, using a 6.25% capitalization rate, yielded a 40.6% LTV ratio on the whole loan. RATINGS LIST 1345 Avenue of the Americas and Park Avenue Plaza Trust Commercial mortgage pass-through certificates series FB 2005-1 Rating Class Identifier To From A-2 68275CAB4 AAA (sf) AAA (sf) A-3 68275CAC2 AAA (sf) AAA (sf) X 68275CAJ7 AAA (sf) AAA (sf) B 68275CAD0 AAA (sf) AAA (sf) C 68275CAE8 AAA (sf) AAA (sf) D 68275CAF5 AAA (sf) AAA (sf) E 68275CAG3 AAA (sf) AAA (sf) F 68275CAH1 BB+ (sf) BB+ (sf) ALM LTD XII: Fitch Affirms 'B-sf' Rating on Class E Notes --------------------------------------------------------- Fitch Ratings has assigned the following rating and Rating Outlook to the refinancing notes issued by ALM XII, Ltd./LLC (ALM XII): -- $492,750,000 class A-1-R notes 'AAAsf'; Outlook Stable. Fitch has also affirmed the following rating: -- $11,500,000 class E notes at 'B-sf'; Outlook Stable. The class A-1 notes have been marked 'PIF'. Fitch does not rate the class A-2a-R, A-2b-R, B-R, C-1-R, C-2-R, D-R or subordinated notes. TRANSACTION SUMMARY ALM XII issued class A-1-R, A-2a-R, A-2b-R, B-R, C-1-R, C-2-R and D-R notes (collectively, the refinancing notes), and applied the net issuance proceeds thereof to redeem the existing class A-1, A-2a, A-2b, B, C-1, C-2 and D notes at par (plus accrued interest) on the refinancing date of June 20, 2017. The class E and subordinated notes were not refinanced. Fitch originally rated the class A-1 and E notes. The refinancing notes generally have the same terms as the previously outstanding classes except that the stated coupons have changed and the refinancing notes may not be subsequently refinanced or repriced. Spreads over LIBOR on the class A-1-R, A-2a-R, A-2b-R, B-R, C-1-R, C-2-R and D-R notes were reduced to 1.05%, 1.60%, 1.60%, 2.05%, 3.20%, 3.20% and 5.40%, respectively, from 1.55%, 2.35%, 2.35%, 3.25%, 3.75%, 4.50% and 5.50%. KEY RATING DRIVERS The reduction in the cost of the liabilities is viewed as credit positive, and no other material changes were made to the capital structure as a result of the refinancing. The transaction remains in its reinvestment period (ending April 2019) and continues to display stable performance since Fitch's last review in January 2017. All coverage tests continue to pass, and the rating default rate (RDR) and rating loss rate (RLR) for the current portfolio, plus losses to date, remain lower than the RDR and RLR modelled for the Fitch stressed portfolio at close. As a result, the modelled Fitch stressed portfolio at close continues to serve as a proxy, and an updated cash flow model analysis was not conducted for this rating action. Fitch has determined that the class A-1-R notes shall be assigned the same rating as the original class A-1 notes ('AAAsf'/Outlook Stable), and that the class E notes will be affirmed at their current rating ('B-sf'/Outlook Stable). The current portfolio, including $15.2 million of principal cash and $4 million of defaulted assets, totals approximately $773.5 million as of the May 2017 trustee report. All collateral quality tests and concentration limitations are in compliance. The current weighted average spread (WAS) is at 3.82% versus a minimum WAS trigger of 3.70%. Fitch currently considers 4.4% of the collateral assets to be rated in the 'CCC' category or below, based on Fitch's Issuer Default Rating (IDR) Equivalency Map. The current weighted average Fitch rating factor is 33.5 ('B/B-') compared to 34.0 ('B/B-') at last review. Additionally, approximately 93.5% of the portfolio has strong recovery prospects or a Fitch-assigned Recovery Rating of 'RR2' or higher. The Stable Outlook on the class A-1-R and E notes reflects the expectation that the classes have a sufficient level of credit protection to withstand potential deterioration in the credit quality of the portfolio in stress scenarios commensurate with such class's rating. RATING SENSITIVITIES The ratings of the class A-1-R and E notes may be sensitive to the following: asset defaults, significant credit migration, and lower than historically observed recoveries for defaulted assets. Fitch conducted rating sensitivity analysis on the closing date of ALM XII, Ltd./LLC, incorporating increased levels of defaults and reduced levels of recovery rates, among other sensitivities. ALM LTD XII: Moody's Assigns Ba3(sf) Rating to Class D-R Notes -------------------------------------------------------------- Moody's Investors Service has assigned the following ratings to the following notes (the "Refinancing Notes") issued by ALM XII, Ltd: US$492,750,000 Class A-1-R Senior Secured Floating Rate Notes due 2027 (the "Class A-1-R Notes"), Assigned Aaa (sf) US$64,750,000 Class A-2a-R Senior Secured Floating Rate Notes due 2027 (the "Class A-2a-R Notes"), Assigned Aa2 (sf) US$20,000,000 Class A-2b-R Senior Secured Floating Rate Notes due 2027 (the "Class A-2b-R Notes"), Assigned Aa2 (sf) US$39,750,000 Class B-R Senior Secured Deferrable Floating Rate Notes due 2027 (the "Class B-R Notes"), Assigned A2 (sf) US$40,000,000 Class C-1-R Senior Secured Deferrable Floating Rate Notes due 2027 (the "Class C-1-R Notes"), Assigned Baa3 (sf) US$10,000,000 Class C-2-R Senior Secured Deferrable Floating Rate Notes due 2027 (the "Class C-2-R Notes"), Assigned Baa3 (sf) US$41,000,000 Class D-R Secured Deferrable Floating Rate Notes due 2027 (the "Class D-R Notes"), Assigned Ba3 (sf) The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of senior secured, broadly syndicated corporate loans. Apollo Credit Management (CLO), LLC (the "Manager") manages the CLO. It directs the selection, acquisition, and disposition of collateral on behalf of the Issuer. RATINGS RATIONALE Moody's ratings on the Refinancing Notes address the expected loss posed to noteholders. The ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. The Issuer has issued the Refinancing Notes on June 20, 2017 (the "Refinancing Date") in connection with the refinancing of certain classes of notes (the "Refinanced Original Notes") previously issued on the Original Closing Date. On the Refinancing Date, the Issuer used the proceeds from the issuance of the Refinancing Notes to redeem in full the Refinanced Original Notes. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in October 2016. Factors That Would Lead to an Upgrade or a Downgrade of the Ratings: The performance of each class of the Issuer's notes is subject to uncertainty relating to certain factors and circumstances, and this uncertainty could lead to either an upgrade or downgrade of Moody's ratings: 1) Macroeconomic uncertainty: CLO performance is subject to uncertainty about credit conditions in the general economy. 2) Collateral Manager: Performance can also be affected positively or negatively by a) the Manager's investment strategy and behavior and b) differences in the legal interpretation of CLO documentation by the Manager or other transaction parties owing to embedded ambiguities. 3) Collateral credit risk: Investing in collateral of better credit quality, or better than Moody's expected credit performance of the assets collateralizing the transaction can lead to positive CLO performance. Conversely, a negative shift in the credit quality or performance of the collateral can have adverse consequences for CLO performance. 4) Deleveraging: During the amortization period, the pace of deleveraging from unscheduled principal proceeds is an important source of uncertainty. Deleveraging of the CLO could accelerate owing to high prepayment levels in the loan market and/or collateral sales by the Manager, which could have a significant impact on the ratings. Note repayments that are faster than Moody's current expectations will usually have a positive impact on CLO notes, beginning with those notes having the highest payment priority. 5) Recovery of defaulted assets: Fluctuations in the market value of defaulted assets could result in volatility in the deal's overcollateralization levels. Further, the timing of recovery realization and whether the Manager decides to work out or sell defaulted assets create additional uncertainty. Realization of recoveries that are either materially higher or lower than assumed in Moody's analysis would impact the CLO positively or negatively, respectively. 6) Weighted average life: The notes' ratings can be sensitive to the weighted average life assumption of the portfolio, which could lengthen owing to any decision by the Manager to reinvest into new issue loans or loans with longer maturities, or participate in amend-to-extend offerings. Life extension can increase the default risk horizon and assumed cumulative default probability of CLO collateral. 7) Weighted Average Spread (WAS): CLO performance can be sensitive to WAS, which is a key factor driving the amount of excess spread available as credit enhancement when a deal fails its over-collateralization or interest coverage tests. A decrease in excess spread, including as a result of losing the net interest benefit of LIBOR floors, or because market conditions make it difficult for the deal to source assets of appropriate credit quality in order to maintain its WAS target, would reduce the effective credit enhancement available for the notes. Together with the set of modeling assumptions described below, Moody's conducted additional sensitivity analyses, which were considered in determining the rating(s) assigned to the rated notes. In particular, in addition to the base case analysis, Moody's conducted sensitivity analyses to test the impact of a number of default probabilities on the rated notes relative to the base case modeling results. Below is a summary of the impact of different default probabilities, expressed in terms of WARF level, on the rated notes (shown in terms of the number of notches difference versus the base case model output, where a positive difference corresponds to a lower expected loss): Moody's Assumed WARF - 20% (2632) Class A-1-R: 0 Class A-2a-R: +1 Class A-2b-R: +1 Class B-R: +3 Class C-1-R: +3 Class C-2-R: +3 Class D-R: +1 Moody's Assumed WARF + 20% (3948) Class A-1-R: 0 Class A-2a-R: -3 Class A-2b-R: -3 Class B-R: -2 Class C-1-R: -1 Class C-2-R: -1 Class D-R: -1 Loss and Cash Flow Analysis: Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score, weighted average recovery rate, and weighted average spread, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $767,875,732 Defaulted par: $4,248,537 Diversity Score: 65 Weighted Average Rating Factor (WARF): 3290 (corresponding to a weighted average default probability of 27.5%) Weighted Average Spread (WAS): 3.8% Weighted Average Recovery Rate (WARR): 47.5% 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 verage 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. APIDOS CLO XVI: S&P Affirms 'BB' Rating on Class D Notes -------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1R, A-2AR, A-2BR, B-R, and C-R replacement notes from Apidos CLO XVI, a U.S. collateralized loan obligation (CLO) originally issued in 2014 that is managed by CVC Credit Partners LLC. S&P withdrew its ratings on the transaction's original class A-1, A-2A, A-2B, B, and C notes following payment in full on the June 19, 2017, refinancing date. At the same time, S&P affirmed its ratings on the class D and E notes, which were not part of the refinancing. On the June 19, 2017, refinancing date, the proceeds from the class A-1R, A-2AR, A-2BR, B-R, and C-R replacement note issuances were used to redeem the original class A-1, A-2A, A-2B, B, and C notes as outlined in the transaction document provisions. Therefore, S&P withdrew the ratings on the transaction's original notes in line with their full redemption, and we assigned ratings to the transaction's 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 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 transaction remain consistent with the credit enhancement available to support them, and S&P will take rating actions as it deems necessary. RATINGS ASSIGNED Apidos CLO XVI Replacement class Rating Amount (mil. $) A-1R AAA (sf) 383.00 A-2AR AA (sf) 34.50 A-2BR AA (sf) 30.00 B-R A (sf) 46.00 C-R BBB (sf) 31.25 RATINGS WITHDRAWN Apidos CLO XVI Rating Original class To From A-1 NR AAA (sf) A-2A NR AA (sf) A-2B NR AA (sf) B NR A (sf) C NR BBB (sf) RATINGS AFFIRMED Apidos CLO XVI Class Rating D BB (sf) E B (sf) OUTSTANDING CLASS Apidos CLO XVI Class Rating Subordinated notes NR NR--Not rated. APIDOS CLO XXVII: Moody's Assigns (P)B3(sf) Rating to Cl. E Notes ----------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to six classes of notes to be issued by Apidos CLO XXVII. Moody's rating action is: US$320,000,000 Class A-1 Senior Secured Floating Rate Notes due 2030 (the "Class A-1 Notes"), Assigned (P)Aaa (sf) US$57,500,000 Class A-2 Senior Secured Floating Rate Notes due 2030 (the "Class A-2 Notes"), Assigned (P)Aa2 (sf) US$28,750,000 Class B Mezzanine Deferrable Floating Rate Notes due 2030 (the "Class B Notes"), Assigned (P)A2 (sf) US$31,250,000 Class C Mezzanine Deferrable Floating Rate Notes due 2030 (the "Class C Notes"), Assigned (P)Baa3 (sf) US$22,500,000 Class D Mezzanine Deferrable Floating Rate Notes due 2030 (the "Class D Notes"), Assigned (P)Ba3 (sf) US$7,500,000 Class E Junior Deferrable Floating Rate Notes due 2030 (the "Class E Notes"), Assigned (P)B3 (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." Moody's issues provisional ratings in advance of the final sale of financial instruments, but these ratings only represent Moody's preliminary credit opinions. Upon a conclusive review of a transaction and associated documentation, Moody's will endeavor to assign definitive ratings. A definitive rating, if any, may differ from a provisional rating. RATINGS RATIONALE Moody's provisional ratings of the Rated Notes address the expected losses posed to noteholders. The provisional ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. Apidos XXVII is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated first lien senior secured corporate loans. At least 90% of the portfolio must consist of senior secured loans and eligible investments, and up to 10% of the portfolio may consist of second lien loans and unsecured loans. Moody's expects the portfolio to be approximately 75% ramped as of the closing date. CVC Credit Partners U.S. CLO Management LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets, subject to certain restrictions. In addition to the Rated Notes, the Issuer will issue subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in October 2016. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $500,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 2970 Weighted Average Spread (WAS): 3.60% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 48.0% Weighted Average Life (WAL): 9 years. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in October 2016. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. Together with the set of modeling assumptions above, Moody's conducted an additional sensitivity analysis, which was a component in determining the ratings assigned to the Rated Notes. This sensitivity analysis includes increased default probability relative to the base case. Below is a summary of the impact of an increase in default probability (expressed in terms of WARF level) on the Rated Notes (shown in terms of the number of notch difference versus the current model output, whereby a negative difference corresponds to higher expected losses), assuming that all other factors are held equal: Percentage Change in WARF -- increase of 15% (from 2970 to 3416) 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: 0 Percentage Change in WARF -- increase of 30% (from 2970 to 3861) Rating Impact in Rating Notches Class A-1 Notes: -1 Class A-2 Notes: -3 Class B Notes: -4 Class C Notes: -2 Class D Notes: -1 Class E Notes: -2 ATLAS SENIOR VIII: S&P Assigns Prelim. 'B' Rating on Cl. F Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Atlas Senior Secured Loan Fund VIII Ltd./Atlas Senior Secured Loan Fund VIII LLC's $375.30 million floating-rate notes. The note issuance is a collateralized loan obligation transaction backed primarily by broadly syndicated speculative-grade senior secured term loans. The preliminary ratings are based on information as of June 21, 2017. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The diversified collateral pool, which consists primarily of broadly syndicated speculative-grade senior secured term loans that are governed by collateral quality tests. The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. The transaction's legal structure, which is expected to be bankruptcy remote. PRELIMINARY RATINGS ASSIGNED Atlas Senior Secured Loan Fund VIII Ltd./Atlas Senior Secured Loan Fund VIII LLC Class Rating Amount (mil. $) X AAA (sf) 4.10 A AAA (sf) 246.00 B AA (sf) 53.80 C (deferrable) A (sf) 26.50 D (deferrable) BBB (sf) 20.30 E (deferrable) BB- (sf) 17.70 F (deferrable) B (sf) 6.90 Subordinated notes NR 38.10 NR--Not rated. BAIN CAPITAL 2017-1: S&P Assigns Prelim. BB- Rating on Cl. F Debt ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Bain Capital Credit CLO 2017-1 Ltd./Bain Capital Credit CLO 2017-1 Corp.'s $452.30 million floating-rate notes. The note issuance is a collateralized loan obligation (CLO) transaction backed primarily by broadly syndicated senior secured term loans. The preliminary ratings are based on information as of June 16, 2017. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The diversified collateral pool, which consists primarily of broadly syndicated speculative-grade senior secured term loans that are governed by collateral quality tests. The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. The transaction's legal structure, which is expected to be bankruptcy remote. PRELIMINARY RATINGS ASSIGNED Bain Capital Credit CLO 2017-1 Ltd./Bain Capital Credit CLO 2017-1 Corp. Class Rating Amount (mil. $) X AAA (sf) 5.00 A-1 AAA (sf) 298.00 A-2 NR 19.50 B AA (sf) 65.50 C-1 A (sf) 18.725 C-2 A (sf) 9.475 D BBB- (sf) 28.00 E BB- (sf) 20.60 F B- (sf) 7.00 Subordinated notes NR 38.50 NR--Not rated. BANC OF AMERICA 2006-1: S&P Lowers Rating on Class F Certs to D --------------------------------------------------------------- S&P Global Ratings raised its rating on the class C commercial mortgage pass-through certificates from Banc of America Commercial Mortgage Trust 2006-1, a U.S. commercial mortgage-backed securities (CMBS) transaction. In addition, S&P lowered its rating on class F and affirmed its ratings on two other classes from the same transaction. S&P's rating actions on the certificates follow its analysis of the transaction, primarily using its criteria for rating U.S. and Canadian CMBS transactions, which included a review of the credit characteristics and performance of the remaining assets in the pool, the transaction's structure, the liquidity available to the trust, and S&P's interest shortfall methodology. S&P raised its rating on class C to reflect its expectation of the available credit enhancement for the class, which S&P believes is greater than its most recent estimate of necessary credit enhancement for the rating level, and the reduced trust balance. S&P lowered its rating on class F to 'D (sf)' because it expects the accumulated interest shortfalls, which have affected the certificates for the past four months, to remain outstanding for the foreseeable future. According to the June 12, 2017, trustee remittance report, the current monthly interest shortfalls totaled $141,730 and resulted primarily from: -- Appraisal subordinate entitlement reduction amounts totaling $129,470; -- Special servicing fees totaling $9,901; and -- Workout fees totaling $2,359. The current interest shortfalls affected classes subordinate to and including class F. The affirmations on classes D and E 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. While available credit enhancement levels suggest further positive rating movement on class C and positive rating movement on classes D and E, S&P's analysis also considered the certificates susceptibility to reduced liquidity support from the specially serviced Medical Mutual Headquarters loan ($45.9 million, 41.3%). In addition, S&P's analysis considered the performance of the remaining five nondefeased loans, particularly the Plaza Antonio loan ($35.7 million, 32.1%), which has been with the special servicer twice and has returned to the master servicer with no modifications, and the Mitsuwa Marketplace loan ($14.9 million, 13.4%), which is on the master servicer's watchlist because the single tenant, Mitsuwa Market, has not yet renewed or extended its lease expiring on Sept. 2, 2017. The loan matures on Sept. 1, 2017. TRANSACTION SUMMARY As of the June 12, 2017, trustee remittance report, the collateral pool balance was $111.1 million, which is 5.5% of the pool balance at issuance. The pool currently includes seven loans, down from 192 loans at issuance. One of these loans, one ($45.9 million, 41.3%) is with the special servicer, one ($1.0 million, 0.9%) is defeased, and two ($23.6 million, 21.2%) are on the master servicer's watchlist. The master servicer, KeyBank Real Estate Capital, reported financial information for 58.3% of the nondefeased loans in the pool, of which 86.5% was year-end 2016 data, and the remainder was year-end 2015 data. S&P calculated a 1.06x S&P Global Ratings weighted average debt service coverage (DSC) and 85.4% S&P Global Ratings weighted average loan-to-value (LTV) ratio using a 7.05% S&P Global Ratings weighted average capitalization rate. The DSC, LTV, and capitalization rate calculations exclude the specially serviced and defeased loans. To date, the transaction has experienced $130.6 million in principal losses, or 6.4% of the original pool trust balance. S&P expects losses to reach approximately 7.8% of the original pool trust balance in the near term, based on losses incurred to date and additional losses S&P expects upon the eventual resolution of the specially serviced loan. CREDIT CONSIDERATIONS As of the June 12, 2017, trustee remittance report, the Medical Mutual Headquarters loan, the largest loan in the pool, was the sole loan with the special servicer Torchlight Loan Services LLC. The loan has a reported nonperforming matured balloon payment status and has a total reported exposure of $50.4 million. The loan is secured by a 381,176-sq.-ft. medical office building in Cleveland, Ohio. The loan was transferred to the special servicer on Dec. 23, 2015, because of imminent default after the borrower reached out to the master servicer indicating that it would not be able to pay off or refinance the loan at its Jan. 1, 2016, maturity date. The special servicer indicated that foreclosure process is currently ongoing. The property is occupied by a single tenant, and no recent performance metrics are available. An appraisal reduction amount of $26.7 million is in effect against this loan. S&P expects a moderate loss (between 26% and 59%) upon its eventual resolution. RATINGS LIST Banc of America Commercial Mortgage Trust 2006-1 Commercial mortgage pass-through certificates series 2006-1 Rating Class Identifier To From C 05947U7R3 BBB+ (sf) BBB- (sf) D 05947U7S1 BB- (sf) BB- (sf) E 05947U6C7 B (sf) B (sf) F 05947U6E3 D (sf) B- (sf) BARINGS CLO 2017-I: Moody's Assigns (P)B3 Rating to Class F Notes ----------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to seven classes of notes to be issued by Barings CLO Ltd. 2017-I. Moody's rating action is: US$300,000,000 Class A-1 Senior Secured Floating Rate Notes due 2029 (the "Class A-1 Notes"), Assigned (P)Aaa (sf) US$30,000,000 Class A-2 Senior Secured Floating Rate Notes due 2029 (the "Class A-2 Notes"), Assigned (P)Aaa (sf) US$37,500,000 Class B Senior Secured Floating Rate Notes due 2029 (the "Class B Notes"), Assigned (P)Aa2 (sf) US$37,500,000 Class C Secured Deferrable Mezzanine Floating Rate Notes due 2029 (the "Class C Notes"), Assigned (P)A2 (sf) US$28,250,000 Class D Secured Deferrable Mezzanine Floating Rate Notes due 2029 (the "Class D Notes"), Assigned (P)Baa3 (sf) US$26,750,000 Class E Secured Deferrable Mezzanine Floating Rate Notes due 2029 (the "Class E Notes"), Assigned (P)Ba3 (sf) US$10,000,000 Class F Secured Deferrable Mezzanine Floating Rate Notes due 2029 (the "Class F Notes"), Assigned (P)B3 (sf) The Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the Class C Notes, the Class D Notes, the Class E Notes, and the Class F 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. Barings CLO 2017-I is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated first lien senior secured corporate loans. At least 96% of the portfolio must consist of senior secured loans and eligible investments representing principal proceeds, and up to 4% of the portfolio may consist of second lien loans and senior unsecured loans. Moody's expects the portfolio to be approximately 75% ramped as of the closing date. Barings 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: 60 Weighted Average Rating Factor (WARF): 2820 Weighted Average Spread (WAS): 3.35% Weighted Average Coupon (WAC): 7.50% Weighted Average Recovery Rate (WARR): 47.0% 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 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 2820 to 3243) Rating Impact in Rating Notches Class A-1 Notes: 0 Class A-2 Notes: -1 Class B Notes: -1 Class C Notes: -2 Class D Notes: -1 Class E Notes: -1 Class F Notes: -2 Percentage Change in WARF -- increase of 30% (from 2820 to 3666) Rating Impact in Rating Notches Class A-1 Notes: 0 Class A-2 Notes: -2 Class B Notes: -3 Class C Notes: -4 Class D Notes: -2 Class E Notes: -1 Class F Notes: -4 BATTALION CLO VIII: Moody's Assigns Ba3 Rating to Cl. D-2-R Notes ----------------------------------------------------------------- Moody's Investors Service has assigned the following ratings to the following notes (the "Refinancing Notes") issued by Battalion CLO VIII Ltd.: US$1,750,000 Class X Senior Secured Floating Rate Notes Due 2030 (the "Class X Notes"), Assigned Aaa (sf) US$321,400,000 Class A-1-R Senior Secured Floating Rate Notes Due 2030 (the "Class A-1-R Notes"), Assigned Aaa (sf) US$45,000,000 Class A-2-R Senior Secured Floating Rate Notes Due 2030 (the "Class A-2-R Notes"), Assigned Aa2 (sf) US$27,900,000 Class B-R Senior Secured Deferrable Floating Rate Notes Due 2030 (the "Class B-R Notes"), Assigned A2 (sf) US$30,700,000 Class C-R Senior Secured Deferrable Floating Rate Notes Due 2030 (the "Class C-R Notes"), Assigned Baa3 (sf) US$30,520,000 Class D-1-R Secured Deferrable Floating Rate Notes Due 2030 (the "Class D-1-R Notes"), Assigned Ba3 (sf) US$880,000 Class D-2-R Secured Deferrable Floating Rate Notes Due 2030 (the "Class D-2-R Notes"), Assigned Ba3 (sf) The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of senior secured, broadly syndicated corporate loans. Brigade Capital Management, LP (the "Manager") manages the CLO. It directs the selection, acquisition, and disposition of collateral on behalf of the Issuer. RATINGS RATIONALE Moody's ratings on the Refinancing Notes address the expected loss posed to noteholders. The ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. The Issuer has issued the Refinancing Notes on June 21, 2017 (the "Refinancing Date") in connection with the refinancing of all classes of secured notes (the "Refinanced Original Notes") previously issued on April 9, 2015 (the "Original Closing Date"). 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: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; 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: $497,514,984 Defaulted par: $1,511,305 Diversity Score: 56 Weighted Average Rating Factor (WARF): 3216 Weighted Average Spread (WAS): 3.60% Weighted Average Coupon (WAC): 6.0% Weighted Average Recovery Rate (WARR): 49.8% Weighted Average Life (WAL): 9.1 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 3216 to 3699) Rating Impact in Rating Notches Class X Notes: 0 Class A-1-R Notes: -1 Class A-2-R Notes: -2 Class B-R Notes: -2 Class C-R Notes: -1 Class D-1-R Notes: -1 Class D-2-R Notes: -1 Percentage Change in WARF -- increase of 30% (from 3216 to 4181) Rating Impact in Rating Notches Class X Notes: 0 Class A-1-R Notes: -2 Class A-2-R Notes: -4 Class B-R Notes: -4 Class C-R Notes: -2 Class D-1-R Notes: -1 Class D-2-R Notes: -1 BAYVIEW COMMERCIAL 2005-1: Moody's Cuts Class B-2 Debt Rating to B1 ------------------------------------------------------------------- Moody's Investors Service downgraded eleven tranches from two transactions issued by Bayview Commercial Asset Trust due to the release or expected future release of significant amounts of funds from the reserve funds of these transactions to the residual interest holders. The Bayview transactions are backed by small business loans secured primarily by small commercial real estate properties in the U.S. owned by small businesses and investors. Complete rating actions are: Issuer: Bayview Commercial Asset Trust 2004-3 Cl. A-1, Downgraded to A1 (sf); previously on May 31, 2012 Downgraded to Aa2 (sf) Cl. A-2, Downgraded to A1 (sf); previously on May 31, 2012 Downgraded to Aa2 (sf) Cl. M-1, Downgraded to A3 (sf); previously on Jan 14, 2016 Upgraded to A1 (sf) Cl. M-2, Downgraded to Baa2 (sf); previously on Jan 14, 2016 Upgraded to A3 (sf) Cl. B-1, Downgraded to Baa3 (sf); previously on Nov 22, 2016 Upgraded to Baa2 (sf) Issuer: Bayview Commercial Asset Trust 2005-1 Cl. A-1, Downgraded to A3 (sf); previously on May 31, 2012 Downgraded to Aa3 (sf) Cl. A-2, Downgraded to A3 (sf); previously on May 31, 2012 Downgraded to Aa3 (sf) Cl. M-1, Downgraded to Baa2 (sf); previously on May 31, 2012 Downgraded to A3 (sf) Cl. M-2, Downgraded to Baa3 (sf); previously on May 31, 2012 Downgraded to Baa1 (sf) Cl. B-1, Downgraded to Ba2 (sf); previously on May 31, 2012 Downgraded to Baa3 (sf) Cl. B-2, Downgraded to B1 (sf); previously on Nov 22, 2016 Upgraded to Ba2 (sf) RATINGS RATIONALE Moody's has learned that the master servicer for the Bayview 2004-1, 2004-2, 2004-3 and 2005-1 transactions applies a different interpretation than Moody's as to the application of the credit test provisions specified in the respective transaction documents. The credit test determines whether the overcollateralization and reserve fund targets will be at their higher or lower thresholds, as defined in the respective transaction documents. Moody's interpretation of the transaction documents was that once the credit test is breached, both the overcollateralization and the reserve fund have to build up to their higher thresholds before they are allowed to step down. However, Moody's has learned that subsequent to a February 2010 Omnibus Amendment, the master servicer made an internal decision to assume that the credit test is satisfied when calculating the initial overcollateralization and reserve fund targets. The effect of this assumption is that the overcollateralization target is at the lower rather than the higher threshold, which increases the risk of a release of a significant amount of funds from the reserve fund to the residual interest holders. Moody's has adjusted its analysis to take into account this risk stemming from the master servicer's approach to the credit test. The downgrade action on the Bayview Commercial Asset Trust 2005-1 transaction is prompted by the step down of the reserve fund target which led to a release of funds to the residual interest holders in the amount of $4.8 million as of the March 2017 distribution date. This reduced the reserve fund balance to 4.3% of the outstanding pool balance as of the March 2017 distribution date from 16.9% of the outstanding pool balance as of the February 2017 distribution date. Moody's had not anticipated the release of funds from the reserve fund in March 2017 under its interpretation of the transaction documents. The downgrade action on the Bayview Commercial Asset Trust 2004-3 transaction is due to the adjustment of Moody's analysis to incorporate the master servicer's assumption that the initial credit test is satisfied, when calculating the OC and RF targets. Moody's expectation is that the reserve fund which is currently at 27.7% of the outstanding pool balance as of the May 2017 distribution date could be allowed to step down in the future to a target of 6.5% of the outstanding pool balance as of that future distribution date, causing a release of funds from the reserve account to the residual interest holders. The Bayview Commercial Asset Trust 2004-1 and 2004-2 transactions are not impacted by the adjustment of Moody's analysis to incorporate the master servicer's assumption, as outlined above. METHODOLOGY The principal methodology used in these ratings was "Moody's Global Approach to Rating SME Balance Sheet Securitizations" published in October 2015. Moody's evaluated the sufficiency of credit enhancement by first analyzing the loans to determine an expected remaining net loss for each collateral pool. Moody's compared these expected net losses with the available credit enhancement, consisting of overcollateralization, subordination, excess spread, and a reserve account if any. To forecast expected losses for the Bayview small business ABS collateral pools, Moody's evaluated each pool according to the delinquency and modification status of the underlying loans, applying different roll rates to default to loans according to each status. In order to determine the roll rates to default, Moody's assessed historical roll rate behavior according to their delinquency status. Other methodologies and factors that Moody's may have considered in the process of rating these transactions appear on Moody's website. More information on Moody's analysis of this transaction is available at www.moodys.com. 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 expected losses could drive the ratings up. Losses below Moody's expectations as a result of a decrease in seriously delinquent loans or lower severities than expected on liquidated loans. Down Levels of credit protection that are insufficient to protect investors against expected losses could drive the ratings down. Losses above Moody's expectations as a result of an increase in seriously delinquent loans and higher severities than expected on liquidated loans. BAYVIEW OPPORTUNITY 2017-SPL5: Fitch to Rate Class B5 Notes 'Bsf' ----------------------------------------------------------------- Fitch Ratings expects to rate Bayview Opportunity Master Fund IVa Trust 2017-SPL5 (BOMFT 2017-SPL5): -- $252,972,000 class A notes 'AAAsf'; Outlook Stable; -- $252,972,000 class A-IOA notional notes 'AAAsf'; Outlook Stable; -- $252,972,000 class A-IOB notional notes 'AAAsf'; Outlook Stable; -- $26,830,000 class B1 notes 'AAsf'; Outlook Stable; -- $26,830,000 class B1-IOA notional notes 'AAsf'; Outlook Stable; -- $26,830,000 class B1-IOB notional notes 'AAsf'; Outlook Stable; -- $16,482,000 class B2 notes 'Asf'; Outlook Stable; -- $16,482,000 class B2-IO notional notes 'Asf'; Outlook Stable; -- $18,781,000 class B3 notes 'BBBsf'; Outlook Stable; -- $18,781,000 class B3-IOA notional notes 'BBBsf'; Outlook Stable; -- $18,781,000 class B3-IOB notional notes 'BBBsf'; Outlook Stable; -- $16,481,000 class B4 notes 'BBsf'; Outlook Stable; -- $16,481,000 class B4-IOA notional notes 'BBsf'; Outlook Stable; -- $16,481,000 class B4-IOB notional notes 'BBsf'; Outlook Stable; -- $13,032,000 class B5 notes 'Bsf'; Outlook Stable. The following classes will not be rated by Fitch: -- $38,713,271 class B6 notes; -- $38,713,271 class B6-IO notional notes. The notes are supported by a pool of 8,003 seasoned performing and re-performing loans (RPL) totaling $383.29 million, which excludes $11.2 million in non-interest-bearing deferred principal amounts, as of the cutoff date. Of the total interest-bearing pool balance, 96.4% 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 34.00% subordination provided by the 7.00% class B1, 4.30% class B2, 4.90% class B3, 4.30% class B4, 3.40% class B5, and 10.10% 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 95.5% paying on time for the past 24 months and 92.0% for the past three years. In addition, 31.7% have been modified due to performance issues, while the remaining loans were either not modified (35.7%) or had their interest rates reduced due to a rate reduction rider at origination (32.6%). Low Property Values (Concern): Based on Fitch's analysis, the average current property value of the pool is approximately $93,000, 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 much lower 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 280bps. 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 47% 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 21% 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 to 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, Fitch 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 IVa, L.P., is liquidated or terminated. Solid Alignment of Interest (Positive): The sponsor, Bayview Opportunity Master Fund IVa, 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 January 2024. 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 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 Fitch 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 to have 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 BCC FUNDING X: DBRS Hikes Class F Notes Rating to BB(sf) -------------------------------------------------------- DBRS, Inc. on June 14 reviewed eight ratings from two U.S. structured finance asset-backed securities transactions: SCF Equipment Trust 2016-1 LLC and BCC Funding X LLC Equipment Contract Backed Notes, Series 2015-1. Of the eight outstanding publicly rated classes reviewed, one was confirmed and seven were upgraded. For the rating that was confirmed, performance trends are such that credit enhancement levels are sufficient to cover DBRS's expected losses at their current respective rating levels. For the ratings that were upgraded, performance trends are such that credit enhancement levels are sufficient to cover DBRS's expected losses at their new respective rating levels. The ratings are based on DBRS's review of the following analytical considerations: -- Transaction capital structure, proposed ratings and form and sufficiency of available credit enhancement. -- The transaction parties' capabilities with regard to origination, underwriting and servicing. -- The credit quality of the collateral pool and historical performance. The Affected Ratings are: BCC Funding X LLC Equipment Contact Backed Notes Series 2015-1 Class A-2 Notes Confirmed AAA(sf) Class B Notes Upgraded AAA(sf) Class C Notes Upgraded AA(sf) Class D Notes Upgraded A(sf) Class E Notes Upgraded BBB(sf) Class F Notes Upgraded BB(sf) SCF Equipment Trust 2016-1 LLC Class A Notes Upgraded AA(sf) Class B Notes Upgraded A(low)(sf) BEAR STEARNS 2005-PWR7: Fitch Cuts Class B Certs Rating to BBsf --------------------------------------------------------------- Fitch Ratings has downgraded two and affirmed 11 classes of Bear Stearns Commercial Mortgage Securities Trust (BSCMS) commercial mortgage pass-through certificates. KEY RATING DRIVERS The downgrades reflect the significant concentration and adverse selection of the remaining pool, as well as uncertainty surrounding the ultimate timing and resolution of the specially serviced loans. Fitch modeled losses of 44% of the remaining pool; expected losses based on the original pool balance are 6.7%, including $29.6 million (2.6% of the original pool balance) in realized losses to date. Of the original 124 loans, 10 remain, five of which have been designated (85.2% of the pool balance) as a Fitch Loan of Concern (FLOC), and includes two specially serviced loans (75%). Pool Concentration: The pool is highly concentrated with only 10 of the original 124 loans remaining. As of the June 2017 distribution date, the pools' aggregate principal balance has been reduced by 90.8% to $103.7 million from $1.1 billion at issuance. Three loans are fully defeased (2.4%). The non-specially serviced loans' final maturity dates are in 2019 (1.9%), 2020 (14.1%), and 2023 (6.8%). Three loans are currently on the servicer watchlist (10.4%). Loans of Concern / Specially Serviced: Five loans (85.2% of the pool balance) have been identified as Fitch Loans of Concern (FLOCs), including the top two loans which are both in special servicing (75%). Risks associated with the non-specially serviced FLOCs include low debt service coverage ratios (DSCR), retail properties in secondary markets and/or with single tenant risks, and previously modified loans. The largest loan in the pool is the Shops at Boca Park (46.7%), secured by a 247,472-square foot (sf) anchored retail center located in Las Vegas, NV, approximately 10 miles west of downtown. The property has experienced cash flow issues due to a significant decline in occupancy, which was reported at 48% per the March 2017 rent roll. The loan had originally transferred to special servicing in October 2009 for imminent default, and the borrower subsequently filed for bankruptcy in June 2010. The loan was modified in November 2012, which included an extension of the interest-only period and maturity, and a reduction in interest rate. The loan matured in January 2016 without repayment and transferred back to special servicing in February 2016. According to the servicer, an agreement for forbearance or additional extensions has not yet been reached and the servicer continues to evaluate the property and its legal options. Fitch continues to monitor the status of any negotiations and/or loan resolution. The second largest loan in the pool is the real estate owned (REO) Quintard Mall, a 375,486 sf retail center located in Oxford, AL (28 of the pool balance%). The property experienced cash flow issues starting in 2012 due to occupancy declines and an increase in expenses associated with renewing a number of large tenants. The property was transferred to the special servicer in May 2013 for payment default and the special servicer completed the foreclosure process in October 2014. As of April 2017, the mall's total occupancy was 75%, which is down from the high of 96% in 2011. The special servicer's marketing plan started in 2Q17 and will focus on tenant retention and new leasing. RATING SENSITIVITIES Fitch analysis included conservative loss assumptions on the specially serviced loans. The Rating Outlooks on classes B and C are considered Stable due to high credit enhancement. Upgrades are unlikely due to adverse selection of the remaining collateral and high percentage of specially serviced loans. Downgrades to the distressed classes are possible if additional loans transfer to special servicing and/or expected losses increase significantly.} Fitch has downgraded and revised the Outlooks as indicated: -- $27.7 million class B to 'BBsf' from 'BBBsf'; Outlook to Stable from Negative; -- $8.4 million class C to 'Bsf' from 'BBsf'; Outlook to Stable from Negative. Fitch has affirmed the following classes: -- $15.5 million class D at 'CCCsf'; RE 100%; -- $11.2 million class E at 'CCsf'; RE 65% -- $11.2 million class F at 'Csf'; RE 0% -- $9.8 million class G at 'Csf'; RE 0%. -- $12.7 million class H at 'Csf'; RE 0%; -- $4.2 million class J at 'Csf'; RE 0%; -- $2.7 million 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 classes A-1, A-2, A-AB, A-3, and A-J certificates have paid in full. Fitch does not rate the class Q certificates. Fitch previously withdrew the ratings on the interest-only class X-1 and X-2 certificates. BENEFIT STREET II: S&P Assigns Prelim. BB- Rating on Cl. D-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the class X, A-1-R, A-2-R, B-R, C-R, and D-R replacement notes from Benefit Street Partners CLO II Ltd., a collateralized loan obligation (CLO) originally issued in 2013 that is managed by Benefit Street Partners LLC. The replacement notes will be issued via a proposed supplemental indenture. The preliminary ratings reflect S&P's opinion that the credit support available is commensurate with the associated rating levels. The preliminary ratings are based on information as of June 19, 2017. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the June 29, 2017, refinancing date, the proceeds from the issuance of the replacement notes are expected to redeem the original notes. At that time, S&P anticipates withdrawing the ratings on the original notes and assigning ratings to the replacement notes. However, if the refinancing doesn't occur, S&P may affirm the ratings on the original notes and withdraw its preliminary ratings on the replacement notes. The replacement notes are being issued via a proposed supplemental indenture. Based on the provisions in the amended and restated indenture: -- The replacement class A-1-R, C-R, and D-R notes are expected to be issued at a higher spread than the original notes. -- The replacement class B-R notes are expected to be issued at a lower spread than the original notes. -- The replacement class A-2-R notes are expected to be issued at a floating spread, replacing the current A-2A floating rate notes and A-2B fixed coupon notes. The stated maturity and reinvestment period, and weighted average life test date will both be extended four years. -- The issuer is also now issuing a class X note. S&P's review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the trustee report, to estimate future performance). In line with S&P's criteria, its cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, S&P's analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches. S&P will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and S&P will take further rating actions as it deems necessary. PRELIMINARY RATINGS ASSIGNED Benefit Street Partners CLO II Ltd. Replacement class Rating Amount (mil. $) X AAA (sf) 5.00 A-1-R AAA (sf) 307.50 A-2-R AA (sf) 61.90 B-R (deferrable) A (sf) 40.00 C-R (deferrable) BBB- (sf) 28.10 D-R (deferrable) BB- (sf) 22.50 BUSINESS LOAN 2001-2: Fitch Affirms Then Withdraws Ratings ---------------------------------------------------------- Fitch Ratings affirms & withdraws the ratings for Business Loan Express SBA loan-backed adjustable-rate notes, series 2001-2 (2001-2) and series 2002-1 (2002-1) as follows: Business Loan Express SBA Loan-Backed Adjustable-Rate Notes, Series 2001-2 -- Class A at 'CCsf', RE 100%; -- Class M at 'Csf', RE 100%. Business Loan Express SBA Loan-Backed Adjustable-Rate Notes, Series 2002-1 -- Class A at 'BBBsf'; Outlook Stable; -- Class M at 'BBsf'; Outlook Stable. KEY RATING DRIVERS BLX 2001-2's affirmation reflects the recent stable performance of the transaction as hard credit enhancement (CE) has built for class A and M notes since the prior review. However, the transaction remains under-collateralized and late-stage delinquencies remain elevated. For these reasons, default is considered a real possibility. Class A and M notes are expected to have a 100% recovery of their current note balances. BLX 2002-1's affirmation for the class A and M is largely attributable to both classes benefiting from a fully funded spread account. The Outlooks remain Stable as the available CE is expected to provide sufficient protection from losses and future obligor concentrations. Fitch has withdrawn the ratings as they are no longer considered relevant to the agency's coverage, because Fitch is no longer maintaining criteria for transactions backed by small business loan receivables. METHODOLOGY In reviewing the transaction, Fitch utilized its 'Bespoke Assumptions: Small Business Loan ABS Rating Methodology'. This methodology took into account analytical considerations outlined in Fitch's 'Global Structured Finance Rating Criteria', issued June 27, 2016, including asset quality, credit enhancement, financial structure, legal structure, and originator and servicer quality and is outlined below. Fitch's analysis focused on concentration risks within the pool, by evaluating the impact of the default of the largest performing obligors. The obligor concentration analysis is consistent with Fitch's 'Criteria for Rating US Equipment Lease and Loan ABS', dated Dec. 29, 2016. The analysis compares expected loss coverage relative to the default of a certain number of the largest obligors. The required net obligor coverage varies by rating category. The required number of obligors covered ranges from 20 at 'AAA' to five at 'B'. Fitch applied loss and recovery expectations based on collateral type and historical recovery performance to the largest performing obligors commensurate with the individual rating category. The expected loss assumption was then compared to the loss coverage available to the outstanding notes given Fitch's expected losses on the currently delinquent loans. Fitch also applied Appendix Four of the 'Global Structured Finance Rating Criteria' dated May 3, 2017 in determining the ratings. The ratings within this sector are capped at 'Asf' given the potential for high obligor concentrations. Additionally, Fitch's analysis incorporated a review of collateral characteristics, in particular, focusing on delinquent and defaulted loans within the pool. All loans over 60 days delinquent were deemed defaulted loans. The defaulted loans were applied loss and recovery expectations based on collateral type and historical recovery performance to establish an expected net loss assumption for the transaction. Fitch stressed the cashflow generated by the underlying assets by applying its expected net loss assumption. Furthermore, Fitch applied a loss multiplier to evaluate break-even cash flow runs to determine the level of expected cumulative losses the structure can withstand at a given rating level. The loss multiplier scale utilized is consistent with that of other commercial ABS transactions. While the obligor concentration approach was the primary driver, its results were compared to the stresses loss approach and qualitative factors such the results of these approaches compared to prior reviews, recent performance, and available credit enhancement. The rating actions taken were ultimately the result of a combination of these factors. RATING SENSITIVITIES Unanticipated increases in the frequency of defaults and loss severity could produce loss levels higher than the current projected losses and impact available loss coverage and obligor coverage. Lower loss coverage could impact ratings and Rating Outlooks, depending on the extent of the decline in coverage. Should performance materially deteriorate, the decline in loss coverage could negatively impact current ratings. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. BXP TRUST 2017-GM: Moody's Assigns (P)Ba2 Rating to Cl. E Certs --------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to seven classes of CMBS securities, issued by BXP Trust 2017-GM, Commercial Mortgage Pass-Through Certificates, Series 2017-GM: Cl. A, Assigned (P)Aaa (sf) Cl. B, Assigned (P)Aa3 (sf) Cl. C, Assigned (P)A3 (sf) Cl. D, Assigned (P)Baa3 (sf) Cl. E, Assigned (P)Ba2 (sf) Cl. X-A*, Assigned (P)Aaa (sf) Cl. X-B*, Assigned (P)Aa3 (sf) * Reflects interest-only class RATINGS RATIONALE The Certificates are collateralized by a beneficial ownership in a portion of an interest-only, 10-year, fixed-rate, first-lien whole loan with an outstanding Cut-off Date principal balance of $2,300,000,000 (the "Whole Loan"). The Whole Loan will be secured by the Borrower's fee simple interest in the General Motors Building, a 1,989,983 square foot, Class A, office property located at 767 Fifth Avenue in New York City. More specifically, the trust assets primarily consist of eight promissory notes, including four senior promissory notes (the "Senior Trust Notes") and four junior promissory notes (the "Junior Notes", and together with the Senior Trust Notes, the "Mortgage Loan"), which combined, have an aggregate principal balance of $1,350,000,000 as of the Cut-off Date. The aggregate Senior Trust Notes and the aggregate Junior Notes have principal balances of $520,000,000 and $830,000,000, respectively. The Mortgage Loan is part of a split loan structure comprised of (i) the Mortgage Loan and (ii) the "Companion Loans" (not assets of the trust fund) including 25 promissory notes with an aggregate initial principal balance of $950,000,000 that are pari passu in right of payment with each other and with the Senior Trust Notes and senior in right of payment with the Junior Notes. The Mortgage Loan and the Companion Loans are primarily secured by a first priority mortgage on the Property. The Borrower, 767 Fifth Partners LLC, is a Delaware limited liability company that is indirectly owned (in part) and controlled by affiliates of Boston Properties Limited Partnership. The Borrower is a single purpose entity whose primary business is the performance of the obligations under the Loan Documents and the ownership and/or operation of the Property. Boston Properties Limited Partnership acts as the Loan Sponsor. Developed in 1968, the Property is a 50-story high-rise office building that occupies the entire city block bound by 58th Street, 59th Street, Madison Avenue and Fifth Avenue on the southeast corner of Central Park. The Property features 188,000 SF of retail space on the first two stories and the below-grade concourse. As of June 1, 2017, the Property was 95.0% occupied and features a diverse tenant roster, including the global headquarters for Weil, Gotshal & Manges (24.6% of NRA), Aramis/Estee Lauder's headquarter (15.1% of NRA), a flagship retail location for Under Armour (2.5% of NRA), BAMCO (5.3% of NRA) and Apple's flagship retail store (5.3% of NRA), among others. Moody's approach to rating this transaction involved the application of both Moody's Large Loan and Single Asset/Single Borrower CMBS methodology and Moody's IO Rating methodology. The rating approach for securities backed by a single loan compares the credit risk inherent in the underlying collateral with the credit protection offered by the structure. The structure's credit enhancement is quantified by the maximum deterioration in property value that the securities are able to withstand under various stress scenarios without causing an increase in the expected loss for various rating levels. In assigning single borrower ratings, Moody's also consider a range of qualitative issues as well as the transaction's structural and legal aspects. The credit risk of commercial real estate loans is determined primarily by two factors: 1) the probability of default, which is largely driven by the DSCR, and 2) and the severity of loss in the event of default, which is largely driven by the LTV of the underlying loan. The Whole Loan first mortgage balance of $2,300,000,000 represents a Moody's LTV of 91.4%. The Moody's Whole Loan First Mortgage Actual DSCR is 2.35X and Moody's Whole Loan First Mortgage Stressed DSCR is 0.87X. Moody's also grades properties on a scale of 0 to 5 (best to worst) and considers those grades when assessing the likelihood of debt payment. The factors considered include property age, quality of construction, location, market, and tenancy. The Property's property quality grade is 0, reflecting the superior quality of this trophy asset. Notable strengths of the transaction include: trophy asset, asset quality, high investor liquidity, property location, transport access, recent tenant renewals and an experienced and committed Sponsor. Notable credit challenges of the transaction include: lack of diversity for this single asset transaction, the lack of loan amortization, tenant rollover risk, and the pipeline of New York City Class A new office supply under construction. The principal methodology used in these ratings was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in October 2015. Additionally, the methodology used in rating Cl. X-A and Cl. X-B was "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. Moody's approach for single borrower and large loan multi-borrower transactions evaluates 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. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's analysis considers the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit estimates; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type corresponding to an IO type as defined in the published methodology. Moody's Parameter Sensitivities: If Moody's value of the collateral used in determining the initial rating were decreased by 5%, 15.7%, and 25.2%, the model-indicated rating for i) the currently rated (P)Aaa (sf) classes would be Aa1 (sf), A2 (sf), and Baa1 (sf), respectively, ii) the currently rated (P)Aa3 (sf) classes would be A3 (sf), Baa2 (sf), and Ba2 (sf), respectively, iii) the currently rated (P)A3 (sf) classes would be Baa2 (sf), Ba2 (sf), and B1 (sf), respectively, iv) the currently rated (P)Baa3 (sf) classes would be Ba1 (sf), B1 (sf), and B3 (sf), respectively, and v) the currently rated (P)Ba2 (sf) classes would be Ba3 (sf), B3 (sf), and Caa2 (sf), respectively. Parameter Sensitivities are not intended to measure how the rating of the security might migrate over time; rather they are designed to provide a quantitative calculation of how the initial rating might change if key input parameters used in the initial rating process differed. The analysis assumes that the deal has not aged. Parameter Sensitivities only reflect the ratings impact of each scenario from a quantitative/model-indicated standpoint. Qualitative factors are also taken into consideration in the ratings process, so the actual ratings that would be assigned in each case could vary from the information presented in the Parameter Sensitivity analysis. These ratings: (a) are based solely on information in the public domain and/or information communicated to Moody's by the issuer at the date it was prepared and such information has not been independently verified by Moody's; (b) must be construed solely as a statement of opinion and not a statement of fact or an offer, invitation, inducement or recommendation to purchase, sell or hold any securities or otherwise act in relation to the issuer or any other entity or in connection with any other matter. Moody's does not guarantee or make any representation or warranty as to the correctness of any information, rating or communication relating to the issuer. Moody's shall not be liable in contract, tort, statutory duty or otherwise to the issuer or any other third party for any loss, injury or cost caused to the issuer or any other third party, in whole or in part, including by any negligence (but excluding fraud, dishonesty and/or willful misconduct or any other type of liability that by law cannot be excluded) on the part of, or any contingency beyond the control of Moody's, or any of its employees or agents, including any losses arising from or in connection with the procurement, compilation, analysis, interpretation, communication, dissemination, or delivery of any information or rating relating to the issuer. 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 may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan pay downs or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in overall performance and Property income, increased expected losses from a specially serviced and troubled loan or interest shortfalls. Moody's ratings address only the credit risks associated with the transaction. Other non-credit risks have not been addressed and may have a significant effect on yield to investors. The ratings do not represent any assessment of (i) the likelihood or frequency of prepayment on the mortgage loans, (ii) the allocation of net aggregate prepayment interest shortfalls, (iii) whether or to what extent prepayment premiums might be received, or (iv) in the case of any class of interest-only certificates, the likelihood that the holders thereof might not fully recover their investment in the event of a rapid rate of prepayment of the mortgage loans. CARLYLE US 2017-3: S&P Assigns Prelim. BB- Rating on Cl. D Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Carlyle US CLO 2017-3 Ltd./Carlyle US CLO 2017-3 LLC's $519.00 million floating-rate notes. The note issuance is a collateralized loan obligation backed by broadly syndicated speculative-grade senior secured term loans. The preliminary ratings are based on information as of June 19, 2017. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The diversified collateral pool, which consists primarily of broadly syndicated speculative-grade senior secured term loans that are governed by collateral quality tests. The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. The transaction's legal structure, which is expected to be bankruptcy remote. PRELIMINARY RATINGS ASSIGNED Carlyle US CLO 2017-3 Ltd. /Carlyle US CLO 2017-3 LLC Class Rating Amount (mil. $) A-1a AAA (sf) 360.00 A-1b NR 33.00 A-2 AA (sf) 63.00 B (deferrable) A (sf) 37.00 C (deferrable) BBB- (sf) 35.00 D (deferrable) BB- (sf) 24.00 Subordinated notes NR 61.00 NR--Not rated. CGDB COMMERCIAL 2017-BIO: S&P Assigns BB- Rating on Cl. E Certs --------------------------------------------------------------- S&P Global Ratings assigned its ratings to CGDB Commercial Mortgage Trust 2017-BIO's $330.0 million commercial mortgage pass-through certificates series 2017-BIO. The certificate issuance is backed by a two-year, floating-rate commercial mortgage loan totaling $330.0 million, with three one-year extension options, secured by a first lien on the borrowers' fee and leasehold interests in a portfolio of 18 life science, office, laboratory, and medical properties totaling 1.44 million sq. ft. The properties are located in California, Colorado, Massachusetts, Maryland, New Jersey, Pennsylvania, and Washington. The ratings reflect S&P's view of the collateral's historic and projected performance, the sponsor's and managers' experience, the trustee-provided liquidity, the loan's terms, and the transaction's structure. RATINGS ASSIGNED CGDB Commercial Mortgage Trust 2017-BIO Class Rating(i) Amount ($) A AAA (sf) 154,356,000 X-CP BBB- (sf) 69,517,700(ii) X-NCP BBB- (sf) 99,311,000(ii) B AA- (sf) 37,196,000 C A- (sf) 27,896,000 D BBB- (sf) 34,219,000 E BB- (sf) 46,493,000 F B+ (sf) 13,340,000 RR(iii) NR 16,500,000 (i)The rating on each class of securities is subject to change at any time. 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 aggregate of the portion balances of the class B portion 2, class C portion 2, and class D portion 2 at certain times. The notional amount of the class X-NCP certificates will be equal to the aggregate of the certificate balances of the class B, class C, and class D certificates at certain times. (iii)Non-offered vertical interest certificate. LTV--Loan-to-value ratio, based on S&P Global Ratings' values. N/A--Not applicable. NR--Not rated. CITIGROUP 2006-C5: Moody's Cuts Class A-J Debt Rating to Caa1 ------------------------------------------------------------- Moody's Investors Service has downgraded the ratings on two and affirmed the ratings on three classes in Citigroup Commercial Mortgage Trust 2006-C5: Cl. A-J, Downgraded to Caa1 (sf); previously on Jun 23, 2016 Downgraded to B2 (sf) Cl. B, Downgraded to C (sf); previously on Jun 23, 2016 Downgraded to Caa3 (sf) Cl. C, Affirmed C (sf); previously on Jun 23, 2016 Downgraded to C (sf) Cl. D, Affirmed C (sf); previously on Jun 23, 2016 Affirmed C (sf) Cl. XC, Affirmed C (sf); previously on Jun 9, 2017 Downgraded to C (sf) RATINGS RATIONALE The ratings on two P&I Classes (A-J & B) were downgraded because realized and anticipated losses from specially serviced loans were higher than Moody's had previously expected. The ratings on two P&I Classes (C & D) were affirmed due to Moody's expected loss. The rating IO Class XC was affirmed based on the credit performance (or the weighted average rating factor or WARF) of their referenced classes. Moody's rating action reflects a base expected loss of 13.5% of the current balance, compared to 13.4% at Moody's last review. Moody's base expected loss plus realized losses is now 52.7% of the original pooled balance, compared to 13.2% at Moody's last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO 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 (IO) Securities" published in June 2017. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 96% of the pool is in special servicing. In this approach, Moody's determines a probability of default for each specially serviced and troubled loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss from specially serviced loans to the most junior classes and the recovery as a pay down of principal to the most senior classes. DEAL PERFORMANCE As of the May 17, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 89.8% to $215.9 million from $2.1 billion at securitization. The certificates are collateralized by 11 mortgage loans ranging in size from less than 1% to 53% of the pool. 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 38 at Moody's last review. There are no loans on the master servicer's watchlist. Fifty three loans have been liquidated from the pool, resulting in an aggregate realized loss of $172 million (for an average loss severity of 42.9%). Eight loans, constituting 96% of the pool, are currently in special servicing. The largest specially serviced loan is the IRET Portfolio ($115.7 million -- 53.6% of the pool), which is secured by a portfolio of seven cross-collateralized and cross-defaulted suburban office properties located in Nebraska, Minnesota and Kansas. The loan transferred to special servicing in July 2014 and the properties became REO in January 2016. At securitization, the portfolio originally consisted of nine properties, but two located in Missouri were sold in March 2017. The remaining specially serviced loans are secured by a mix of property types. Moody's estimates an aggregate $114 million loss for the specially serviced loans (55% expected loss on average). Moody's received full year 2015 operating results for 100% of the pool, and full or partial year 2016 operating results for 79% of the pool. Moody's weighted average conduit LTV is 69%, compared to 92% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 15% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.0%. Moody's actual and stressed conduit DSCRs are 1.35X and 1.42X, respectively, compared to 1.54X and 1.34X 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 3.8% of the pool balance. The largest loan is Laurel Point Senior Apartments Loan ($4.49 million -- 2.1% of the pool), which is secured by a by a 148 unit seniors only, garden style multifamily property located 20 miles west of Houston, Texas and 9 miles north of Sugar Land. The Property was 99% occupied as of March 2017 and remains the same since December 2016. The property was listed in good condition as per the master servicer's December 2016 inspection report. The Loan has amortized 12.9% and is scheduled to mature in August 2021. Moody's LTV and stressed DSCR are 71.4% and 1.36X, respectively, compared to 73.2% and 1.33X at the last review. The second largest loan is the Killeen Stone Ranch Apartments Loan ($2.89 million -- 1.3% of the pool), which is secured by a 152 unit garden style multifamily apartment property located in Killeen, Texas approximately 3 south of Fort Hood military base. The Property was 95% occupied as of March 2017 compared to 94% in December 2016. The master servicer's October 2016 inspection report listed the property in good condition with no deferred maintenance. The Loan has amortized 12.9% and is scheduled to mature in September 2021. Moody's LTV and stressed DSCR are 62.5% and 1.56X, respectively, compared to 63.7% and 1.53X at the last review. The third largest loan is the Thornton Hall Apartments Loan ($0.81 million -- 0.4% of the pool), which is secured 40 unit multifamily apartment property located in Georgetown, South Caroline approximately 37 miles south of Myrtle Beach. The property was 100% occupied as of December 2016. No deferred maintenance was noted in the master servicer's August 2016 property inspection report. The loan has amortized 14.2% and is scheduled to mature in October 2021. Moody's LTV and stressed DSCR are 78.4% and 1.23X, respectively, compared to 78.9% and 1.22X at the last review. COLONY MULTIFAMILY 2014-MF1: Moody's Affirms B1 on Class X Debt --------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on two classes and affirmed the ratings on five classes in Colony Multifamily Mortgage Trust 2014-1: Cl. A, Affirmed Aaa (sf); previously on Sep 16, 2016 Affirmed Aaa (sf) Cl. B, Upgraded to Aa2 (sf); previously on Sep 16, 2016 Affirmed Aa3 (sf) Cl. C, Upgraded to A2 (sf); previously on Sep 16, 2016 Affirmed A3 (sf) Cl. D, Affirmed Baa3 (sf); previously on Sep 16, 2016 Affirmed Baa3 (sf) Cl. E, Affirmed Ba3 (sf); previously on Sep 16, 2016 Affirmed Ba3 (sf) Cl. F, Affirmed B3 (sf); previously on Sep 16, 2016 Affirmed B3 (sf) Cl. X, Affirmed B1 (sf); previously on Jun 9, 2017 Downgraded to B1 (sf) RATINGS RATIONALE The ratings on Classes B and C were upgraded based primarily on an increase in credit support resulting from loan paydowns and amortization. The deal has paid down 28% since Moody's last review and 51% since securitization. The ratings on four P&I classes, Classes A, D, E, and F, were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The rating on the IO class, Class X, was affirmed based on the credit quality of the referenced classes. Moody's rating action reflects a base expected loss of 9.9% of the current balance, compared to 9.3% at Moody's last review. Moody's base expected loss plus realized losses is now 5.2% of the original pooled balance, compared to 6.4% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION: The principal 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 was "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. DEAL PERFORMANCE As of the May 22, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 51% to $154 million from $316 million at securitization. The certificates are collateralized by 166 mortgage loans ranging in size from less than 1% to 2% of the pool, with the top ten loans (excluding defeasance) constituting 17% of the pool. One loan, constituting 2% of the pool, has defeased and is secured by US government securities. 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 112, compared to 144 at Moody's last review. Thirty-three loans, constituting 19% 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. Five loans have been liquidated from the pool, resulting in an aggregate realized loss of $1 million (for an average loss severity of 34%). Six loans, constituting 5% of the pool, are currently in special servicing. The largest specially serviced loan is the Elm Grove Garden Apartments ($2.4 million -- 1.5% of the pool), which is secured by an 84-unit apartment complex located in Baton Rouge, Louisiana. The special servicer indicated that the loan transferred to special servicing in November 2014 due to delinquent payments. The property operates under the Louisiana Housing Finance Authority Housing Assistance Payment Contract. The servicer noted that in April 2017 the borrower indicated a potential buyer and contract, but has failed to provide further information. The remaining five specially serviced loans are secured by multifamily and manufactured housing properties. Moody's estimates an aggregate $2.6 million loss for the specially serviced loans (33% expected loss on average). Moody's has assumed a high default probability for 32 poorly performing loans, constituting 17% of the pool, and has estimated an aggregate loss of $6.3 million (a 24% expected loss based on a 50% probability default) from these troubled loans. Moody's received full year 2015 operating results for 80% of the pool, and full or partial year 2016 operating results for 57% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 98%, compared to 101% 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 23% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 10.4%. Moody's actual and stressed conduit DSCRs are 1.34X and 1.27X, respectively, compared to 1.27X and 1.21X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The top three conduit loans represent 6% of the pool balance. The largest loan is the Cedar Ridge Apartments Loan ($3.6 million -- 2.3% of the pool), which is secured by a 117-unit multifamily complex located in Waynesburg, Pennsylvania, which is a tertiary market approximately 52 miles south of Pittsburgh. The collateral includes eight garden-style apartment buildings. The property was 91% occupied in December 2016, compared to 95% in December 2015 and 100% at securitization. Moody's LTV and stressed DSCR are 93.0% and 1.13X, respectively, compared to 91.8% and 1.15X at the last review. The second largest loan is the Saddle Creek Apartments Loan ($3.1 million -- 2.0% of the pool), which is secured by a 107-unit multifamily complex located in Cincinnati, Ohio. The property was 86% occupied as of December 2015, compared to 84% in December 2014. Moody's LTV and stressed DSCR are 126% and 0.84X, respectively, compared to 128% and 0.82X at the last review. The third largest loan is the Orchard Apartments Loan ($3.0 million -- 1.9% of the pool), which is secured a 97-unit multifamily property located in Tehachapi, California. The property was 98% occupied at securitization. Moody's LTV and stressed DSCR are 74% and 1.54X, respectively, compared to 76% and 1.50X at the last review. COMM 2013-CCRE10: Moody's Cuts Rating on Class F Debt to B3(sf) --------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on thirteen classes and downgraded the ratings on two classes in COMM 2013-CCRE10 Mortgage Trust: Cl. A-1, Affirmed Aaa (sf); previously on Jun 30, 2016 Affirmed Aaa (sf) Cl. A-2, Affirmed Aaa (sf); previously on Jun 30, 2016 Affirmed Aaa (sf) Cl. A-SB, Affirmed Aaa (sf); previously on Jun 30, 2016 Affirmed Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on Jun 30, 2016 Affirmed Aaa (sf) Cl. A-3FL, Affirmed Aaa (sf); previously on Jun 30, 2016 Affirmed Aaa (sf) Cl. A-3FX, Affirmed Aaa (sf); previously on Jun 30, 2016 Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Jun 30, 2016 Affirmed Aaa (sf) Cl. A-M, Affirmed Aaa (sf); previously on Jun 30, 2016 Affirmed Aaa (sf) Cl. B, Affirmed Aa3 (sf); previously on Jun 30, 2016 Affirmed Aa3 (sf) Cl. C, Affirmed A3 (sf); previously on Jun 30, 2016 Affirmed A3 (sf) Cl. D, Affirmed Baa3 (sf); previously on Jun 30, 2016 Affirmed Baa3 (sf) Cl. E, Downgraded to Ba3 (sf); previously on Jun 30, 2016 Affirmed Ba2 (sf) Cl. F, Downgraded to B3 (sf); previously on Jun 30, 2016 Affirmed B2 (sf) Cl. PEZ, Affirmed A1 (sf); previously on Jun 30, 2016 Affirmed A1 (sf) Cl. X-A, Affirmed Aaa (sf); previously on Jun 30, 2016 Affirmed Aaa (sf) RATINGS RATIONALE The ratings on eleven P&I classes were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR), and the transaction's Herfindahl Index (Herf) are within acceptable ranges. The ratings on two P&I classes, Classes E and F, were downgraded due to higher anticipated losses as a result of the further decline in performance of the loan in special servicing. The rating on the IO class, Class X-A, was affirmed based on the credit quality of the referenced classes. The rating on the PEZ class was affirmed based on the weighted average rating factor (WARF) of the exchangeable classes.. Moody's rating action reflects a base expected loss of 5.2% of the current balance, compared to 4.2% at Moody's last review. Moody's base expected loss plus realized losses is now 5.3% of the original pooled balance, compared to 4.1% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in December 2014. The principal methodology used in rating the exchangeable class, Cl. PEZ was "Moody's Approach to Rating Repackaged Securities" published in June 2015. Additionally, the methodology used in rating Cl. X-A was "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. DEAL PERFORMANCE As of the June 12, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 4.9% to $961.2 million from $1.01 billion at securitization. The certificates are collateralized by 59 mortgage loans ranging in size from less than 1% to 10.4% of the pool, with the top ten loans (excluding defeasance) constituting 49.2% of the pool. Two loans, constituting 15.4% of the pool, have investment-grade structured credit assessments. Two loans, constituting 2.4% of the pool, have defeased and are secured by US government securities. 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 27, compared to 28 at Moody's last review. Eleven loans, constituting 22.5% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. One loan, constituting 1.8% of the pool, is currently in special servicing. The specially serviced loan is the Strata Estate Suites Loan ($17.1 million -- 1.8% of the pool), which is secured by two multifamily properties located in North Dakota, one in Williston, ND and one in Watford, ND. The two properties, which total 134-units were transferred to the special servicer in February 2014 for payment default. Prior to the special servicer taking over the asset, the prior sponsor was operating the assets like extended stay hotels. Class G (not rated by Moody's) has already experienced a $2.9 million realized loss as a result of reimbursement from principal proceeds of non-receoverable advances related to this loan. Moody's anticipates a significant loss on this specially serviced loan. Moody's received full year 2015 operating results for 86% of the pool, and full or partial year 2016 operating results for 94% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 96%, compared to 95% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 14% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.7%. Moody's actual and stressed conduit DSCRs are 1.56X and 1.13X, respectively, compared to 1.62X and 1.16X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The largest loan with a structured credit assessment is the One Wilshire Loan ($100.0 million -- 10.4% of the pool), which represents a pari passu component of a $180.0 million first mortgage loan. The loan is secured by a 663,000 square-foot (SF) Class A office building and colocation center located in Los Angeles, California. The building operated as a traditional office building until 1992, when the building was converted to a telecommunications building through installation of infrastructure necessary to attract telecommunication companies. The building is recognized as the primary communications hub connecting North America and Asia, the most significant point of interconnection in the western United States, and one of the top three network interconnections points in the world. Moody's structured credit assessment and stressed DSCR are a1 (sca.pd) and 1.59X, respectively. The second largest loan with a structured credit assessment is the Raytheon & DirectTV Buildings Loan ($48.4 million -- 5.0% of the pool), which is secured by three office buildings located in El Segundo, California, in close proximity to Los Angeles International Airport (LAX). Two of the three buildings are 100% leased to Raytheon and one building is 100% leased to DirectTV. Raytheon operates their Space and Airborne Systems (SAS) testing facility at the properties and DirectTV's space is part of their corporate headquarters complex. Moody's structured credit assessment and stressed DSCR are baa1 (sca.pd) and 1.63X, respectively. The top three conduit loans represent 15.4% of the pool balance. The largest loan is the RHP Portfolio IV Loan ($53.6 million -- 5.6% of the pool), which is secured by a portfolio of five manufactured housing communities located across four states: Florida (2), Kansas (1), New York (1), and Utah (1). The sponsors for the loan are Northstar Realty Finance Corporation and RHP. RHP is one of the largest operators of manufactured housing communities in the United States. The portfolio was 85% leased as of December 2016. Moody's LTV and stressed DSCR are 112% and 0.88X, respectively, compared to 114% and 0.87X at the last review. The second largest loan is the RHP Portfolio V Loan ($52.1 million -- 5.4% of the pool), which is secured by a portfolio of seven manufactured housing communities located across four states: Florida (2), Kansas (1), New York (1), and Utah (3). The sponsors for the loan are Northstar Realty Finance Corporation and RHP. The portfolio was 75% leased as of December 2016. Moody's LTV and stressed DSCR are 110% and 0.89X, respectively, compared to 112% and 0.87X at the last review. The third largest loan is the Brighton Town Square Loan ($42.6 million -- 4.4% of the pool), which is secured by a 328,000 SF mixed-use power center located in Brighton, Michigan, approximately 20 miles north of Ann Arbor and 45 miles northwest of Detroit. The property is comprised of a 236,000 SF retail component and 91,500 SF office component. Major tenants at the property include Home Depot, MJR Theatre, and the University of Michigan, which operates a medical office at the property. The collateral is also shadow-anchored by a Target. The property was 95% leased as of December 2016. Moody's LTV and stressed DSCR are 112% and 0.95X, respectively, compared to 105% and 1.01X at the last review. COMM 2013-CCRE8: Moody's Affirms B3(sf) Rating on Cl. X-C Debt -------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on fifteen classes in COMM 2013-CCRE8 Mortgage Trust: Cl. A-1, Affirmed Aaa (sf); previously on Apr 28, 2016 Affirmed Aaa (sf) Cl. A-2, Affirmed Aaa (sf); previously on Apr 28, 2016 Affirmed Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on Apr 28, 2016 Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Apr 28, 2016 Affirmed Aaa (sf) Cl. A-5, Affirmed Aaa (sf); previously on Apr 28, 2016 Affirmed Aaa (sf) Cl. A-M, Affirmed Aaa (sf); previously on Apr 28, 2016 Affirmed Aaa (sf) Cl. A-SBFL, Affirmed Aaa (sf); previously on Apr 28, 2016 Affirmed Aaa (sf) Cl. A-SBFX, Affirmed Aaa (sf); previously on Apr 28, 2016 Affirmed Aaa (sf) Cl. B, Affirmed Aa3 (sf); previously on Apr 28, 2016 Affirmed Aa3 (sf) Cl. C, Affirmed A3 (sf); previously on Apr 28, 2016 Affirmed A3 (sf) Cl. D, Affirmed Baa3 (sf); previously on Apr 28, 2016 Affirmed Baa3 (sf) Cl. E, Affirmed Ba2 (sf); previously on Apr 28, 2016 Affirmed Ba2 (sf) Cl. F, Affirmed B2 (sf); previously on Apr 28, 2016 Affirmed B2 (sf) Cl. X-A, Affirmed Aaa (sf); previously on Apr 28, 2016 Affirmed Aaa (sf) Cl. X-C, Affirmed B3 (sf); previously on Apr 28, 2016 Affirmed B3 (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 quality of the referenced classes. Moody's rating action reflects a base expected loss of 2.5% of the current balance, compared to 2.7% at Moody's last review. Moody's base expected loss plus realized losses is now 2.4% of the original pooled balance, compared to 2.7% 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-A and Cl. X-C was "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. DEAL PERFORMANCE As of the June 12, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 5% to $1.32 billion from $1.38 billion at securitization. The certificates are collateralized by 59 mortgage loans ranging in size from less than 1% to 16% of the pool, with the top ten loans (excluding defeasance) constituting 56% of the pool. Two loans, constituting 20% of the pool, have investment-grade structured credit assessments. Five loans, constituting 8% of the pool, have defeased and are secured by US government securities. 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 17, compared to 19 at Moody's last review. Two loans, constituting 2% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. There have been no loans liquidated from the pool. Three loans, constituting 2% of the pool, are currently in special servicing. The largest specially serviced loan is the Georgetown MHC Portfolio ($9.6 million), which is secured by a 502-pad manufactured housing community in Georgetown, Kentucky, located just outside the city of Lexington. The loan transferred to special servicing in March 2014 due to delinquency. The property was 73% occupied as of February 2017, down from 97% at securitization. The loan is currently REO. The remaining two specially serviced loans are secured by a mix of property types. Moody's estimates an aggregate $8.1 million loss for the specially serviced loans (55% expected loss on average). Moody's has assumed a high default probability for two poorly performing loans, constituting 2% of the pool, and has estimated an aggregate loss of $4.2 million (a 20% expected loss based on a 50% probability default) from these troubled loans. Moody's received full year 2015 operating results for 96% of the pool, and full or partial year 2016 operating results for 92% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 100%, compared to 101% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 15% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.1%. Moody's actual and stressed conduit DSCRs are 1.60X and 1.04X, respectively, compared to 1.59X and 1.03X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The largest loan with a structured credit assessment is the 375 Park Avenue Loan ($209 million -- 16% of the pool), which represents a participation interest in a $418 million senior mortgage loan. The loan is secured by the Seagram Building, a class A trophy, landmark office tower located in Midtown Manhattan. The building has 38 stories with a net rentable area (NRA) of approximately 830,928 square feet. The property was 94% leased as of November 30, 2016, compared to 88% leased at December 2015. The loan is also encumbered by a $364.8 million B note and $217.3 million of mezzanine debt. Moody's structured credit assessment and stressed DSCR are aaa (sca.pd) and 1.64X, respectively. The second largest loan with a structured credit assessment is the Paramount Building Loan ($55 million -- 4% of the pool), which represents a participation interest in a $130 million mortgage loan. The loan is secured by a 31-story, Class A office property in the Times Square section of Midtown Manhattan. The property was originally constructed in 1926 and received a major overhaul in 2006. The property incudes ground floor retail space leased to national retail and restaurant tenants. Moody's structured credit assessment and stressed DSCR are aaa (sca.pd) and 1.67X. The top three conduit loans represent 19% of the pool balance. The largest loan is the Moffett Towers Phase II Loan ($115 million -- 9% of the pool), which is secured by three, eight-story, Class A suburban office properties in Sunnyvale, California. The properties were 100% occupied as of October 2016, the same as at last review and compared to 91% at securitization. The two tenants occupying the property are the Hewlett-Packard Company and a subsidiary of Amazon.com, Inc. Moody's LTV and stressed DSCR are 107% and 0.94X, respectively, unchanged from the prior review. The second largest loan is the 175 Park Avenue Loan ($71 million -- 5% of the pool). The loan is secured by a 270,000 square foot, Class A, suburban office property in Madison, New Jersey. The property was originally built in 1971 and was extensively renovated into the headquarters office for Realogy Holdings Corporation, a real estate conglomerate. Realogy occupies 100% of the property under a lease set to expire in March 2030, six years after scheduled loan maturity. After an initial interest-only period, the loan is now amortizing. Moody's LTV and stressed DSCR are 101% and 1.05X, respectively, compared to 100% and 1.03X at the last review. The third largest loan is the Westin San Diego Loan ($65.6 million -- 5% of the pool). The loan is secured by a 27-story, 436-room, full service hotel property in downtown San Diego, California. The hotel property is part of a larger, mixed use development which contains non-collateral components, including condominium residences and offices. Moody's LTV and stressed DSCR are 92% and, 1.2X, respectively, compared to 94% and, 1.17X at the last review. CSAIL 2017-C8: DBRS Assigns Prov. BB(sf) Ratings to Class E Debt ---------------------------------------------------------------- DBRS, Inc. on June 14, 2017, assigned provisional ratings to the followings classes of Commercial Mortgage Pass-Through Certificates, Series 2017-C8 (the Certificates) to be issued by CSAIL 2017-C8 Commercial 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-SB at AAA (sf) -- Class X-A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (sf) -- Class X-B at A (high) (sf) -- Class C at A (sf) -- Class D at BBB (sf) -- Class E at BB (sf) -- Class F at B (high) (sf) -- Class 85BD-A at AA (low) (sf) -- Class 85BD-B at A (low) (sf) -- Class 85BD-X at BBB (sf) -- Class 85BD-C at BBB (low) (sf) All trends are Stable. Classes D, E, F, NR, 85BD-A, 85BD-B, 85BD-X and 85BD-C will be privately placed. The Class X-A, X-B and 85BD-X balances are notional. Classes 85BD-A, 85BD-B, 85BD-X and 85BD-C are non-pooled rake bonds backed by the non-pooled $72.0 million 85 Broad Street A-B note. The loan's non-pooled $58.8 million B-A note and $58.8 million B-B note are subordinate to both the rake bonds and the $169.0 million pooled A-note. The collateral consists of 32 fixed-rate loans secured by 55 commercial and multifamily properties. The transaction is a sequential-pay pass-through structure. Trust assets contributed from four loans, representing 27.6% of the pool, are shadow-rated investment grade by DBRS. Proceeds for each shadow-rated loan are floored at their respective rating within the pool. When 27.6% of the pool has no proceeds assigned below the rated floor, the resulting pool subordination is diluted or reduced below the rated floor. 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 NCF and their respective actual constants, three loans, representing 4.9% 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 59.1% of the pool, having refinance DSCRs below 1.00x, and ten loans totaling 47.3% of the pool with refinance DSCRs below 0.90x. Four loans, representing 27.6% of the transaction balance, exhibit credit characteristics consistent with an investment-grade shadow rating: 85 Broad Street (AA (low)), Apple Sunnyvale ("A"), Urban Union Amazon (AAA) and 71 Fifth Avenue (AAA). Additionally, 14 loans, totaling 61.0% of the pool, have a DBRS Term DSCR in excess of 1.50x. This includes seven of the largest ten loans. Based solely on A-note balances, the DBRS Term DSCR significantly increases to a robust 1.93x. Even when excluding the four loans shadow-rated investment grade, the majority of which have large pieces of subordinate mortgage debt held outside the trust, the deal continues to display a favorable DBRS Term DSCR of 1.59x. Eight loans, representing 44.9% of the pool, are located in urban markets, which benefit from consistent investor demand and increased liquidity even in times of stress. Furthermore, five of these loans, totaling 32.6% of the transaction balance, are considered to be located in Super Dense Urban markets that DBRS defines as gateway locations with extremely high liquidity and low cap rates. Urban markets represented in the deal include New York, Los Angeles, Seattle and Portland. Only four loans, comprising 3.6% of the pool, are considered to be located in tertiary/rural markets. The pool is concentrated based on loan size, property type and geography. The largest five and ten loans total 41.3% and 62.9% of the pool, respectively, and the pool has a concentration profile equivalent to that of 18.7 equal-sized loans. Furthermore, 52.4% of the properties (by allocated loan balance) are concentrated in just two states: New York and California. Lastly, the pool is highly concentrated by property type, as the office concentration is high at 47.8% of the pool, based on DBRS classification, which does not break out mixed-use assets. A concentration penalty was applied given the pool's lack of diversity, which increases each loan's probability of default. While the transaction is concentrated in the largest ten loans, three of these loans (85 Broad Street, Apple Sunnyvale and Urban Union Amazon), totaling 24.5% of the pool and just over half of the office concentration, are shadow-rated investment grade by DBRS. In addition, six of the top ten loans, or 39.3% of the pool, are located in Urban or Super Dense Urban markets that benefit from steep investor demand. The transaction's weighted-average (WA) DBRS Refi DSCR of 0.97x indicates higher refinance risk at an overall pool level. There is an elevated concentration of loans that exhibit refinance risk. Fifteen loans, representing 59.1% of the pool, have DBRS Refi DSCRs below 1.00x. Ten of these loans, comprising 47.3% of the pool, have DBRS Refi DSCRs below 0.90x. However, these credit metrics are based on whole loan balances. Four of the loans with a DBRS Refi DSCR below 0.90x (85 Broad Street, 245 Park Avenue, Apple Sunnyvale and Urban Union Amazon), representing 34.3% of the pool, have large pieces of subordinate mortgage debt outside the trust. Based on A-note balances only, the deal's WA DBRS Refi DSCR increases drastically to 1.15x, and the concentration of loans with DBRS Refi DSCRs below 1.00x and 0.90x reduces to 34.7% and 22.8%, respectively. The DBRS Refi DSCRs for these loans are based on a WA stressed refinance constant of 9.67%, which implies an interest rate of 9.09% amortizing on a 30-year schedule. This represents a significant stress of 4.60% and is more than double the WA contractual interest rate of the loans in the pool. The DBRS sample included 22 of the 32 loans in the pool. Site inspections were performed on 32 of the 55 properties in the portfolio (85.9% of the pool by allocated loan balance). The DBRS sample had an average NCF variance of -8.7% and ranged from -18.6% (245 Park Avenue) to +14.1% (71 Fifth Avenue). CSMC TRUST 2017-CHOP: S&P Assigns Prelim. B- Rating on Cl. F Certs ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to CSMC Trust 2017-CHOP's $780.0 million commercial mortgage pass-through certificates series 2017-CHOP. The issuance is a commercial mortgage-backed securities transaction backed by one two-year, floating-rate commercial mortgage loan totaling $780.0 million, with three one-year extension options, secured by the fee simple interest in 28 limited-service and 18 extended-stay hotels and leasehold interests in one limited-service and one extended-stay hotel property. The preliminary ratings are based on information as of June 15, 2017. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of the collateral's historical and projected performance, the sponsors' and managers' experience, the trustee-provided liquidity, the loan's terms, and the transaction's structure. PRELIMINARY RATINGS ASSIGNED CSMC Trust 2017-CHOP Class Rating Amount ($) A AAA (sf) 210,500,000 X-CP AAA sf) 54,500,000(i) X-EXT AAA (sf) 54,500,000(i) B AA- (sf) 69,000,000 C A- (sf) 51,200,000 D BBB- (sf) 67,800,000 E BB- (sf) 81,500,000 F B- (sf) 119,900,000 G NR 70,400,000 H NR 70,400,000 HRR NR 39,300,000 (i)Notional balance. The notional amount of the class X-CP and X-EXT certificates will be reduced by the aggregate amount of principal distributions and realized losses allocated to the class A2 portion of the class A certificates. NR--Not rated. CSMC TRUST 2017-HL1: Fitch to Rate Class B-5 Certificates 'Bsf' --------------------------------------------------------------- Fitch Ratings expects to rate CSMC 2017-HL1 Trust (CSMC 2017-HL1) as follows: -- $435,178,000 class A-1 exchangeable certificates 'AAAsf'; Outlook Stable; -- $435,178,000 class A-2 exchangeable certificates 'AAAsf'; Outlook Stable; -- $326,383,000 class A-3 certificates 'AAAsf'; Outlook Stable; -- $326,383,000 class A-4 exchangeable certificates 'AAAsf'; Outlook Stable; -- $21,758,000 class A-5 certificates 'AAAsf'; Outlook Stable; -- $21,758,000 class A-6 exchangeable certificates 'AAAsf'; Outlook Stable; -- $87,037,000 class A-7 certificates 'AAAsf'; Outlook Stable; -- $87,037,000 class A-8 exchangeable certificates 'AAAsf'; Outlook Stable; -- $49,406,000 class A-9 certificates 'AAAsf'; Outlook Stable; -- $49,406,000 class A-10 exchangeable certificates 'AAAsf'; Outlook Stable; -- $348,141,000 class A-11 exchangeable certificates 'AAAsf'; Outlook Stable; -- $108,795,000 class A-12 exchangeable certificates 'AAAsf'; Outlook Stable; -- $348,141,000 class A-13 exchangeable certificates 'AAAsf'; Outlook Stable; -- $108,795,000 class A-14 exchangeable certificates 'AAAsf'; Outlook Stable; -- $484,584,000 class A-IO1 notional certificates 'AAAsf'; Outlook Stable; -- $435,178,000 class A-IO2 notional exchangeable certificates 'AAAsf'; Outlook Stable; -- $326,383,000 class A-IO3 notional exchangeable certificates 'AAAsf'; Outlook Stable; -- $21,758,000 class A-IO4 notional exchangeable certificates 'AAAsf'; Outlook Stable; -- $87,037,000 class A-IO5 notional exchangeable certificates 'AAAsf'; Outlook Stable; -- $49,406,000 class A-IO6 notional exchangeable certificates 'AAAsf'; Outlook Stable; -- $7,936,000 class B-1 certificates 'AAsf'; Outlook Stable; -- $8,960,000 class B-2 certificates 'Asf'; Outlook Stable; -- $5,119,000 class B-3 certificates 'BBBsf'; Outlook Stable; -- $2,304,000 class B-4 certificates 'BBsf'; Outlook Stable; -- $1,741,000 class B-5 certificates 'Bsf'; Outlook Stable. The following class will not be rated by Fitch: -- $1,331,048 class B-6 certificates. The notes are supported by one collateral group that consists of 850 prime fixed-rate mortgages (FRMs) acquired by subsidiaries of American International Group, Inc. (AIG) from various mortgage originators with a total balance of approximately $511.98 million of the cut-off date. The 'AAAsf' rating on the class A notes reflects the 5.35% subordination provided by the 1.55% class B-1, 1.75% class B-2, 1.00% class B-3, 0.45% class B-4, 0.34% class B-5 and 0.26% class B-6 notes. KEY RATING DRIVERS High-Quality Mortgage Pool (Positive): The collateral attributes are among the strongest of those rated by Fitch. The pool consists of 30-year fixed-rate fully amortizing Safe Harbor Qualified Mortgage (SHQM) loans to borrowers with strong credit profiles, relatively low leverage and large liquid reserves. The loans are seasoned an average of 15 months. The pool has a weighted average (WA) original FICO score of 779 which is higher than any transaction rated by Fitch post crisis and is indicative of very high credit-quality borrowers. Approximately 53% of the borrowers have original FICO scores at or above 780. In addition, the original WA CLTV ratio of 73.8% represents substantial borrower equity in the property and reduced default probability. New Aggregator (Neutral): AIG is a global insurance corporation that previously has not participated in the issuance of RMBS. In 2013, AIG established the Residential Mortgage Lending (RML) group to establish relationships with mortgage originators and acquire prime jumbo loans on behalf of funds owned by AIG. Fitch conducted a full review of AIG's aggregation processes and believes that AIG meets industry standards needed to aggregate mortgages for residential mortgage-backed securitization. In addition to the satisfactory operational assessment, a due diligence review was completed on 100% of the pool. Third-Party Due Diligence Results (Positive): A loan-level due diligence reviews was conducted on 100% of the pool in accordance with Fitch's criteria, and focused on credit, compliance and property valuation. 22% of the loans received an 'A' grade, and the remainder were graded 'B' (77.3%) and 'C' (0.7%). The loans that were graded 'B' and 'C' were due to nonmaterial findings and contained compensating factors such as large reserves, low LTV, low DTIs and high FICOs. In Fitch's view, the results of the diligence indicate acceptable controls and adherence to underwriting guidelines, and no adjustment was made to the expected losses. Top Tier Representation and Warranty Framework (Positive): Fitch considers the transaction's representation, warranty and enforcement (RW&E) mechanism framework to be consistent with Tier I quality. As a result of the Tier I RW&E framework and the 'A' Fitch-rated counterparty supporting the repurchase obligations of the RW&E providers, the pool received a PD credit of 43 basis points at the 'AAAsf' level. Straightforward Deal Structure (Positive): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the deal. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. CE Floor (Positive): To mitigate tail risk, which arises as the pool seasons and fewer loans are outstanding, a subordination floor of 1.00% of the original balance will be maintained for the certificates. Additionally, there is no early stepdown test that might allow principal prepayments to subordinate bondholders earlier than the five-year lockout schedule. Geographic Concentration (Neutral): Approximately 36.7% of the pool is located in California, which is in line or slightly lower than recent Fitch rated transactions. In addition, the Metropolitan Statistical Area (MSA) concentration is minimal, as the top three MSAs account for only 28% of the pool. As a result, no geographic concentration penalty was applied. 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 5.8%. 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'. DEUTSCHE BANK 2011-LC3: Fitch Affirms 'Bsf' Rating on Class F Certs ------------------------------------------------------------------- Fitch Ratings has affirmed Deutsche Bank Securities (DBUBS) commercial mortgage pass-through certificates series 2011-LC3. KEY RATING DRIVERS The affirmations reflect overall stable performance of the pool since issuance and increased credit enhancement in light of increasing concentrations. As of the May 2017 distribution date, the pooled aggregate principal balance has been reduced by 58.2% to $584.9 million. Six loans (27.1% of the pool) are on the master servicer's watchlist due to declining performance due to tenants vacating and or deferred maintenance; five (12.3%) are considered Fitch Loans of Concern. Five loans (8.4%) are defeased. Increased Credit Enhancement: Overall stable pool performance since issuance. The transaction has paid down 58.2% and credit enhancement continues to increase. Two loans (8%) are fully defeased. Retail Concentration: The transaction has a high retail concentration (52% of the pool), which includes nine of the top 15 loans (three of which are regional malls). Overall, cash flow has been relatively stable for the majority of the retail properties in the pool; however, the three regional malls have shown recent declines in performance. There are growing concerns that sustainability of present cash flow levels may become increasingly difficult given current pressures on the retail sector. Additionally, many of the retail properties in the pool have exposure to anchor tenants Macy's JC Penney's and Sears, are located in secondary/suburban markets, and have near-term rollover, and single tenant exposure. Fitch analysis reflects concerns surrounding the pool's retail component. Pool Concentrations: Of the original pool of 43 loans, 25 loans remain as of the May 2017 distribution date. The largest loan represents 18% of the pool; the largest three loans, 41%; the largest 10 loans, 77%; and the largest 15 loans, 89.6% Limited Upcoming Maturities: One loan (8%) of the pool matures in October 2017. The remaining loans (92% of the pool) mature in 2021. RATING SENSITIVITIES Rating Outlooks on the remaining classes are Stable due to the overall stable performance. Although credit enhancement has increased, upgrades may be limited due increasing pool concentrations and higher retail exposure. Fitch's analysis included an additional sensitivity test to address the concentration and retail exposure. Downgrades are considered unlikely, but are possible should there be any significant performance declines. Fitch has affirmed the following classes: -- $53.2 million class A-3 at 'AAAsf'; Outlook Stable; -- $112.1 million class A-4 at 'AAAsf'; Outlook Stable; -- $127.6 million class A-M at 'AAAsf'; Outlook Stable; -- Interest-only class X-A at 'AAAsf'; Outlook Stable; -- $75.2 million class B at 'AAAsf'; Outlook Stable; -- $54.2 million class C at 'Asf'; Outlook Stable; -- $73.4 million class D at 'BBB-sf'; Outlook Stable; -- $19.2 million class E at 'BBsf'; Outlook Stable; -- $19.2 million class F at 'Bsf'; Outlook Stable; -- $122.0 million class PM-1 at 'AAAsf'; Outlook Stable; -- Interest-only class PM-X at 'AAAsf'; Outlook Stable; -- $32.9 million class PM-2 at 'AAsf'; Outlook Stable; -- $28.9 million class PM-3 at 'Asf'; Outlook Stable; -- $26.5 million class PM-4 at 'BBBsf'; Outlook Stable; -- $20.9 million class PM-5 at 'BBB-sf'; Outlook Stable. Classes PM-1 through PM-5 are secured by Providence Place Mall on a stand-alone basis. Performance of the mall has been stable since issuance. The class A-1 and A-2 certificates have paid in full. Fitch does not rate the class G certificates. DRIVE AUTO 2015-C: S&P Affirms BB Rating on Cl. E Notes ------------------------------------------------------- S&P Global Ratings raised its ratings on seven classes and affirmed its ratings on four classes from Drive Auto Receivables Trust (DRIVE) series 2015-A, 2015-B, 2015-C, and 2015-D. The rating actions reflect the collateral performance to date and S&P's expectations regarding future collateral performance, as well as each transaction's structure and credit enhancement. Additionally, S&P incorporated secondary credit factors, including credit stability, payment priorities under various scenarios, and sector- and issuer-specific analyses. Considering all these factors, S&P believes the creditworthiness of the notes remains consistent with the raised and affirmed ratings. S&P revised its loss expectations down for series 2015-A and 2015-B as these vintages are performing slightly better than its initial expectations. S&P also considered the repurchases and their levels in its revised loss expectation. While these repurchases are common across Santander Consumer USA Inc.'s (SC's) securitization platforms, the level at which the receivables have been repurchased out of the DRIVE trusts is slightly higher than in SC's other platforms (namely Santander Drive Auto Receivables Trust and Chrysler Capital Auto Receivables Trust). S&P will continue to monitor the performance of these transactions. S&P is maintaining our initial loss expectations for series 2015-C and 2015-D as these vintages are performing in line with its initial expectations. Table 1 Collateral Performance (%) As of the June 2017 distribution date Pool Current 60+ day Series Mo. factor CNL delinq. 2015-A 27 36.34 15.67 8.67 2015-B 25 39.93 13.47 8.00 2015-C 23 41.62 14.77 8.65 2015-D 21 45.79 13.77 8.16 CNL--Cumulative net loss. Table 2 CNL Expectations (%) Initial expected Revised expected Series lifetime CNL (%) lifetime CNL (%) 2015-A 27.00-28.00 26.50-27.50 2015-B 27.00-28.00 26.00-27.00 2015-C 27.00-28.00 27.00-28.00 2015-D 27.00-28.00 27.00-28.00 CNL--Cumulative net loss. Each transaction contains a sequential principal payment structure in which the notes are paid principal by seniority. Each also has credit enhancement in the form of a non-amortizing reserve account, overcollateralization, subordination for the higher-rated tranches, and excess spread. The credit enhancement for each of the transactions is at the specified target, and each class' credit support continues to increase as a percentage of the amortizing collateral balance. In addition, the overcollateralization for all four transactions can step up to a higher target overcollateralization level if certain cumulative net loss metrics are breached. Overcollateralization step-up tests occur every month and are noncurable once breached. None of these transactions have approached their cumulative net loss triggers as of the June 2017 distribution date. The raised and affirmed ratings reflect S&P's view that the total credit support as a percentage of the amortizing pool balance, compared with S&P's expected remaining losses, is commensurate with each raised or affirmed rating. Table 3 Hard Credit Support (%) As of the June 2017 distribution date Total hard Current credit total hard support at credit support(i) Series Class issuance(i) (% of current) 2015-A C 37.00 65.52 2015-A D 27.00 38.00 2015-B C 37.00 71.59 2015-B D 27.00 46.54 2015-B E 21.00 31.51 2015-C C 37.00 69.74 2015-C D 27.00 45.72 2015-C E 21.00 31.30 2015-D B 52.95 99.18 2015-D C 35.00 59.98 2015-D D 25.00 38.14 (i)Calculated as a percentage of the total receivable pool balance, consisting of a reserve account, overcollateralization and, if applicable, subordination. S&P incorporated a cash flow analysis to assess the loss coverage level, giving credit to excess spread. S&P's various cash flow scenarios included forward-looking assumptions on recoveries, timing of losses, and voluntary absolute prepayment speeds that S&P believes are appropriate given each transaction's performance to date. Aside from S&P's break-even cash flow analysis, it also conducted sensitivity analyses for these series to determine the impact that a moderate ('BBB') stress scenario would have on S&P's ratings if losses began trending higher than S&P's revised base-case loss expectation. In S&P's view, the results demonstrated that all of the classes have adequate credit enhancement at the raised or affirmed rating levels. S&P will continue to monitor the performance of all of the outstanding transactions to ensure that the credit enhancement remains sufficient, in S&P's view, to cover its cumulative net loss expectations under S&P's stress scenarios for each of the rated classes. RATINGS RAISED Drive Auto Receivables Trust Rating Series Class To From 2015-A C AAA (sf) A (sf) 2015-B C AAA (sf) A (sf) 2015-B D A- (sf) BBB (sf) 2015-C C AAA (sf) A (sf) 2015-C D A- (sf) BBB+ (sf) 2015-D C AA- (sf) A (sf) 2015-D D BBB+ (sf) BBB (sf) RATINGS AFFIRMED Drive Auto Receivables Trust Series Class Rating 2015-A D BBB (sf) 2015-B E BB (sf) 2015-C E BB (sf) 2015-D B AAA (sf) DRIVE AUTO 2017-1: S&P Assigns Prelim. BB Rating on Cl. E Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Drive Auto Receivables Trust 2017-1's $1.110 billion automobile receivables-backed notes series 2017-1. The note issuance is an asset-backed securities transaction backed by subprime auto loan receivables. The preliminary ratings are based on information as of June 15, 2017. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The availability of 65.9%, 59.3%, 49.3%, 39.0% and 36.3% of credit support for the class A (consisting of classes A-1, A-2, and A-3), B, C, D, and E notes, respectively, based on stressed cash flow scenarios (including excess spread), which provide coverage of more than 2.35x, 2.10x, 1.70x, 1.35x, and 1.25x for S&P's 27.00%-28.00% expected cumulative net loss (CNL). These break-even scenarios cover total cumulative gross defaults of 94%, 85%, 70%, 60% and 56%, respectively. -- The timely interest and principal payments made under stressed cash flow modeling scenarios appropriate to the assigned preliminary ratings. -- The expectation that under a moderate ('BBB') stress scenario (1.35x S&P's expected loss level), all else being equal, its ratings on the class A and B notes ('AAA (sf)' and 'AA (sf)', respectively) will remain at the assigned preliminary ratings, S&P's rating on the class C notes ('A (sf)') will remain within one category of the assigned preliminary rating, and S&P's rating on the class D notes ('BBB (sf)') will remain within two rating categories of the assigned preliminary rating while they are outstanding. The class E 'BB (sf)' rated notes will remain within two rating categories of the assigned preliminary rating during the first year, but will eventually default under the 'BBB' stress scenario, after having received 46%-86% of their principal. These rating movements are within the limits specified by our credit stability criteria. -- The originator/servicer's history in the subprime/specialty auto finance business. -- S&P's analysis of 10 years of static pool data on Santander Consumer USA Inc.'s (SC's) lending programs. -- The transaction's payment/credit enhancement and legal structures. PRELIMINARY RATINGS ASSIGNED Drive Auto Receivables Trust 2017-B Class Rating Type Interest Prelim. amount rate(i) (mil. $)(i) A-1 A-1+ (sf) Senior Fixed 141.00 A-2-A AAA (sf) Senior Fixed 120.00 A-2-B AAA (sf) Senior Float 120.00 A-3 AAA (sf) Senior Fixed 111.92 B AA (sf) Subordinate Fixed 159.00 C A (sf) Subordinate Fixed 207.40 D BBB (sf) Subordinate Fixed 187.36 E BB (sf) Subordinate Fixed 63.60 (i)The tranches' coupons and sizing will be determined on the pricing date. ELLINGTON CLO I: Moody's Assigns Ba3(sf) Rating to Class C Notes ---------------------------------------------------------------- Moody's Investors Service has assigned ratings to three classes of notes issued by Ellington CLO I, Ltd. Moody's rating action is: US$187,500,000 Class A Senior Secured Floating Rate Notes due 2027 (the "Class A Notes"), Assigned Aaa (sf) US$56,000,000 Class B Secured Deferrable Floating Rate Notes due 2027 (the "Class B Notes"), Assigned Baa2 (sf) US$41,250,000 Class C Secured Deferrable Floating Rate Notes due 2027 (the "Class C Notes"), Assigned Ba3 (sf) The Class A Notes, the Class B Notes, and the Class C 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. Ellington CLO I is a managed cash flow CLO. The issued notes will be collateralized primarily by senior secured corporate loans. At least 82.5% of the portfolio must consist of senior secured loans, and up to 17.5% of the portfolio may consist of second lien loans and unsecured loans. The portfolio is approximately 83% ramped as of the closing date. Ellington CLO Management LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's two year reinvestment period. After the end of the reinvestment period, no additional asset purchases are permitted. Proceeds from the sale and prepayment of assets will be used to amortize the notes in sequential order. This is the Manager's first CLO. 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: $375,000,000 Diversity Score: 28 Weighted Average Rating Factor (WARF): 4575 Weighted Average Spread (WAS): 5.20% Weighted Average Coupon (WAC): 7.50% Weighted Average Recovery Rate (WARR): 38.5% Weighted Average Life (WAL): 6.0 years. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in October 2016. 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 4575 to 5261) Rating Impact in Rating Notches Class A Notes: -1 Class B Notes: 0 Class C Notes: 0 Percentage Change in WARF -- increase of 30% (from 4575 to 5948) Rating Impact in Rating Notches Class A Notes: -2 Class B Notes: -1 Class C Notes: 0 FIGUEROA CLO 2013-2: S&P Assigns 'BB' Rating on Cl. D-R Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class X-R, A-1R, A-2R, B-R, C-R, and D-R replacement notes from Figueroa CLO 2013-2 Ltd., a U.S. collateralized loan obligation (CLO) transaction managed by TCW Asset Management Co. S&P withdrew its ratings on the original class A-1, A-2, B, C, and D notes following payment in full on the June 20, 2017, refinancing date. On the June 20, 2017, refinancing date, the proceeds from the 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 the ratings on the original notes in line with their full redemption, and are assigning ratings to the replacement notes. The replacement notes are being issued via a supplemental indenture and a restated indenture. In addition to outlining the terms of the replacement notes, the restated indenture outlines these: -- The replacement class A-1R, A-2R, and B-R notes will be issued at lower spreads than the original notes, and the replacement class C-R and D-R notes will be issued at higher spreads than the original notes. -- The class X-R note will be paid down by $250,000 per quarter from the interest waterfall. The proceeds of the X-R note issuance will be used to reinvest. -- The non-call period, the reinvestment period, and the stated maturity will be extended to June 2018, June 2019, and June 2027, respectively. The weighted average life test has also been extended. 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 take rating actions as it deems necessary. RATINGS ASSIGNED Figueroa CLO 2013-2 Ltd. Replacement class Rating Amount (mil $) X-R AAA (sf) 2.00 A-1R AAA (sf) 245.00 A-2R AA (sf) 48.00 B-R A (sf) 25.50 C-R BBB (sf) 20.50 D-R BB (sf) 18.00 Equity NR 43.00 RATINGS WITHDRAWN Figueroa CLO 2013-2 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. FRANKLIN CLO VI: S&P Affirms 'B+' Rating on Class E Notes --------------------------------------------------------- S&P Global Ratings raised its ratings on the class B, C, and D notes from Franklin CLO VI Ltd. S&P also removed the class B and C ratings from CreditWatch, where S&P placed them with positive implications on March 2017. At the same time, S&P affirmed its ratings on the class A and E notes from the same transaction. The rating actions follow S&P's review of the transaction's performance using data from the April 2017 trustee report. The upgrades reflect the transaction's $204.43 million in paydowns to the class A notes since S&P's June 2014 rating actions. These paydowns resulted in improved reported overcollateralization (O/C) ratios since the May 2014 trustee report, which S&P used for its last rating actions: -- The class A/B O/C ratio improved to 158.85% from 124.74%. -- The class C O/C ratio improved to 133.53% from 116.28%. -- The class D O/C ratio improved to 117.88% from 110.05%. -- The class E O/C ratio improved to 108.51% from 105.89%. The collateral portfolio's credit quality has deteriorated since S&P's last rating actions. Collateral obligations with ratings in the 'CCC' category have increased, with $13.53 million reported as of the April 2017 trustee report, compared with $4.61 million reported as of the May 2014 trustee report. However, despite the slightly larger concentrations in the 'CCC' category, the transaction has benefited from a drop in the weighted average life due to underlying collateral's seasoning, with 2.69 years reported as of the April 2017 trustee report, compared with 4.51 years reported at the time of S&P's May 2014 rating actions. On a standalone basis, the results of the cash flow analysis indicated higher ratings on the class C, D and E notes. However, in addition to having increased exposure to 'CCC' rated collateral obligations, the transaction's exposure to long-dated (i.e., assets that mature after the CLO's stated maturity) has increased significantly. According to the April 2017 trustee report, the balance of collateral with a maturity date after the transaction's stated maturity totaled $29.09 million (19.27% of the portfolio). S&P's analysis took into account the potential market value risk and settlement-related risk arising from the possible liquidation of the remaining securities on the transaction's legal final maturity date. S&P's ratings on the class C, D, and E notes are constrained at 'AA+ (sf)','BB+ (sf)', and 'CCC+ (sf)', respectively, by the application of the largest obligor default test from S&P's corporate collateralized debt obligation criteria. The test is intended to address event and model risks that might be present in rated transactions. The top five-largest obligors in the transaction currently account for more than 24% of the portfolio's performing collateral balance. Also, there are only 29 unique obligors remaining in the portfolio indicating significant concentration risk. Despite this test capping the rating on the class E notes at 'CCC+ (sf)', S&P do not feel that this class currently demonstrates S&P's definition of CCC credit risk. The upgrades reflect the improved credit support at the prior rating levels. The affirmations reflect S&P's view that the credit support available is commensurate with the current rating level. S&P's review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the aforementioned trustee report, to estimate future performance. In line with S&P's criteria, its cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, S&P's analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis demonstrated, in S&P's view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions. S&P will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and will take rating actions as S&P deems necessary. RATINGS RAISED AND REMOVED FROM CREDITWATCH POSITIVE Franklin CLO VI Ltd Rating Class To From B AAA (sf) AA+ (sf)/Watch Pos C AA+ (sf) A+ (sf)/Watch Pos RATING RAISED Franklin CLO VI Ltd Rating Class To From Class D BBB+ (sf) BBB (sf) RATINGS AFFIRMED Franklin CLO VI Ltd Class Rating A AAA (sf) E B+ (sf) GE BUSINESS 2007-1: S&P Raises Rating on Cl. D Notes to 'BB+' ------------------------------------------------------------- S&P Global Ratings lowered its ratings on two classes, raised its rating on one class, and affirmed its rating on one class from GE Business Loan Trust 2007-1. The deals are asset-backed securities transactions backed by payments from small business loans primarily collateralized by first liens on commercial real estate. The transactions distribute principal payments on a pro rata basis, with principal payments distributed to the rated classes based on set percentages. The downgrades reflect insufficient credit enhancement at their respective rating levels. The decreasing portfolio size and increase in obligor concentrations contributed to a higher projected default rate while pool performance has been stable. In addition to supplemental tests, S&P's analysis also considered the increased concentration in loans greater than $5 million and balloon loans in the underlying portfolio. S&P ran additional scenarios to address these factors. The affirmed ratings reflect the adequate credit support available at the current rating levels. The raised ratings reflect the increased credit support available. Since S&P's May 2014 rating actions, this transaction has paid down to approximately 20.4% of its original outstanding balance. There are 97 loans remaining in the pool, according to the April 2017 servicer report. The five largest obligors represent approximately 20% of the pool, up from 14% in the March 2014 servicer report, and the 10 largest represent approximately 34% of the pool, up from approximately 22%. There were no delinquent or defaulted loans in the pool as of the April 2017 servicer report, down from 1.9% in the March 2014 servicer report. The reserve account's current balance is $14.9 million, which is its requisite amount. Pool performance has been stable with a cumulative realized loss to the trust of approximately 2.3% of the original pool balance. 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 LOWERED GE Business Loan Trust 2007-1 Class To From A A- (sf) A+ (sf) B A- (sf) A (sf) RATING RAISED GE Business Loan Trust 2007-1 Class To From D BB+ (sf) B+ (sf) RATING AFFIRMED GE Business Loan Trust 2007-1 Class Rating C BBB+ (sf) GLS AUTO 2017-1: S&P Assigns Prelim. BB Rating on Class D Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to GLS Auto Receivables Trust 2017-1's $181.65 million automobile receivables-backed notes series 2017-1. The note issuance is an asset-backed securities transaction backed by subprime auto loan receivables. The preliminary ratings are based on information as of June 15, 2017. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The availability of approximately 49.6%, 41.5%, 33.7%, and 28.1% of credit support (preliminary pricing) for the class A, B, C, and D notes, respectively, based on stressed cash flow scenarios (including excess spread, post haircut). These credit support levels provide coverage of approximately 1.90x, 1.77x, 1.50x, and 1.25x, S&P's 21.00%- 22.00% expected cumulative net loss (ECNL) for the class A, B, C, and D notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.50x S&P's expected loss level), all else being equal, its ratings on the class A notes will remain at the assigned preliminary ratings ('A (sf)'), S&P's ratings on the B notes will remain within one rating category of the assigned preliminary 'A- (sf),' and S&P's ratings on the C notes will remain within two rating categories of the assigned preliminary 'BBB (sf).' The class D notes will remain within two rating categories of the assigned preliminary 'BB (sf)' rating during the first year, but will eventually default under the 'BBB' stress scenario, after having received 25% of their principal. These rating movements are within the limits specified by S&P's credit stability criteria. -- S&P's analysis of over four years of origination static pool data and performance data on GLS' two securitizations. -- The collateral characteristics of the subprime automobile loans securitized in this transaction, including the representations in the transaction documents that all contracts in the pool have made a least one payment. -- The notes' underlying credit enhancement in the form of subordination, overcollateralization (O/C), a reserve account, and excess spread for the class A, B, C, and D notes. -- The timely interest and principal payments made to the notes under S&P's stressed cash flow modeling scenarios, which S&P believes is appropriate for the assigned ratings. PRELIMINARY RATINGS ASSIGNED GLS Auto Receivables Trust 2017-1 Class Rating Type Interest Prelim. amount rate(i) (mil. $)(i) A-1 NR Senior Fixed 27.00 A-2 A (sf) Senior Fixed 105.63 B A- (sf) Subordinate Fixed 29.23 C BBB (sf) Subordinate Fixed 25.73 D BB (sf) Subordinate Fixed 21.06 (i)The interest rates and actual sizes of these tranches will be determined on the pricing date. GOLDMAN SACHS 2011-GC5: Fitch Affirms 'Bsf' Rating on Class F Certs ------------------------------------------------------------------- Fitch Ratings has affirmed nine classes of Goldman Sachs Commercial Mortgage Capital, L.P., series 2011-GC5 commercial mortgage pass-through certificates. 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 GSMS 2011-GC5 transaction and property-level performance of the related trust loans. KEY RATING DRIVERS The affirmations are based on the stable performance of the underlying collateral. As of the June 2017 distribution date, the pool's aggregate principal balance has been reduced by 32.5% to $1.18 billion from $1.75 billion at issuance. Stable Performance: Overall pool performance remains stable from issuance. As of YE2016, aggregate pool-level NOI improved 3.4% from 2015. One REO asset representing 1.2% of the pool is in special servicing. Paydown and Defeasance: The transaction has paid down 32.5% from issuance, including the payoff of the third largest loan, Copper Beech Portfolio. Additionally, six loans (10.7%) have been defeased, including the fifth largest loan, Shoppes at Chino Hills (4.7%). High Retail Concentration and Mall Exposure: Loans backed by retail properties represent 68.1% of the pool, including seven within the top 15. Five loans (31.1%) are secured by regional malls with locations in tertiary markets including Beaumont, TX, Ashland, KY, and Plattsburgh, NY. Of the five malls, four have exposure to Sears, JCPenney or Macy's as an anchor tenant. Transaction Amortization: Of the pool, 75% is structured with amortization, including 42 amortizing balloon loans (72.5%) and four partial interest-only loans (2.1%), all of which have commenced amortization. Four loans (25.3%) are full interest-only throughout the term including the second largest loan, 1551 Broadway (15.3%). RATING SENSITIVITIES Rating Outlooks for all classes remain Stable due to overall stable performance of the pool and continued amortization. Upgrades may occur with improved pool performance and additional paydown or defeasance, although this possibility may be limited due to the high retail concentration and exposure to regional malls in tertiary markets. Fitch's analysis includes additional stress scenarios applied to the regional malls based on sales productivity where potential losses would be absorbed by the non-rated class. Downgrades to the classes are possible should a material asset-level or economic event adversely affect pool performance. Fitch has affirmed the following classes as indicated: -- $86.2 million class A-3 at 'AAAsf'; Outlook Stable; -- $568.2 million class A-4 at 'AAAsf'; Outlook Stable; -- $181.1 million class A-S at 'AAAsf'; Outlook Stable; -- $96 million class B at 'AAsf'; Outlook Stable; -- $69.8 million class C at 'Asf'; Outlook Stable; -- $74.2 million class D at 'BBB-sf'; Outlook Stable; -- $28.4 million class E at 'BBsf'; Outlook Stable; -- $24 million class F at 'Bsf'; Outlook Stable; -- $835.5 million* class X-A at 'AAAsf'; Outlook Stable. *Notional amount and interest only. Classes A-1 and A-2 have paid in full. Fitch does not rate the class G and X-B certificates. HIGHBRIDGE LOAN 5-2015: S&P Affirms 'B' Rating on Class F Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-R, B-1-R, B-2-R, C-1-R, C-2-R, D-1-R, and D-2-R replacement notes from Highbridge Loan Management 5-2015 Ltd., a collateralized loan obligation (CLO) originally issued in 2015 that is managed by Highbridge Principal Strategies LLC. S&P withdrew its ratings on the original class A, B-1, B-2, C-1, C-2, D-1, and D-2 notes following payment in full on the June 16, 2017, refinancing date. At the same time, S&P affirmed its ratings on the class E and F notes. On the June 16, 2017, refinancing date, the proceeds from the class A-R, B-1-R, B-2-R, C-1-R, C-2-R, D-1-R, and D-2-R replacement note issuances were used to redeem the original class A, B-1, B-2, C-1, C-2, D-1, and D-2 notes as outlined in the transaction document provisions. Therefore, S&P withdrew its ratings on the original notes in line with their full redemption, and S&P assigned ratings to the replacement notes. The replacement notes were issued via a supplemental indenture. Based on the supplemental indenture and the information provided to S&P Global Ratings in connection with this review, the replacement notes were issued at a lower spread over LIBOR than the corresponding original notes. There was no change to the reinvestment period duration, which ends in January 2019, or to the transaction's legal final maturity date, scheduled for January 2026. The supplemental indenture did not make other substantive changes to the transaction. S&P's review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the trustee report, to estimate future performance. In line with S&P's criteria, its cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, S&P's analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches. The assigned ratings reflect S&P's opinion that the credit support available is commensurate with the associated rating levels. S&P will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and S&P will take rating actions as it deems necessary. RATINGS ASSIGNED Highbridge Loan Management 5-2015 Ltd. Replacement class Rating Amount (mil $) A-R AAA (sf) 309.00 B-1-R AA (sf) 60.50 B-2-R AA (sf) 8.00 C-1-R A (sf) 30.00 C-2-R A (sf) 4.00 D-1-R BBB (sf) 23.75 D-2-R BBB (sf) 4.00 RATINGS AFFIRMED Highbridge Loan Management 5-2015 Ltd. Class Rating E BB (sf) F B (sf) RATINGS WITHDRAWN Highbridge Loan Management 5-2015 Ltd. Rating Original class To From A NR AAA (sf) B-1 NR AA (sf) B-2 NR AA (sf) C-1 NR A (sf) C-2 NR A (sf) D-1 NR BBB (sf) D-2 NR BBB (sf) OTHER NOTES OUTSTANDING Highbridge Loan Management 5-2015 Ltd. Original class Rating Amount (mil $) Subordinated notes NR 46.25 HPS LOAN 3-2014: S&P Assigns Prelim. 'B-' Rating on Cl. E-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-1R, A-2R, B-R, C-R, D-R, and E-R replacement notes from HPS Loan Management 3-2014 Ltd., a collateralized loan obligation (CLO) originally issued in 2014 that is managed by HPS Investment Partners CLO (U.S.) LLC (see list). The replacement notes will be issued via a proposed amended indenture. The preliminary ratings reflect S&P's opinion that the credit support available is commensurate with the associated rating levels. The preliminary ratings are based on information as of June 19, 2017. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the July 18, 2017, refinancing date, the proceeds from the issuance of the replacement notes are expected to redeem the original notes. At that time, S&P anticipates withdrawing the ratings on the original notes and assigning ratings to the replacement notes. However, if the refinancing doesn't occur, S&P may affirm the ratings on the original notes and withdraw its preliminary ratings on the replacement notes. S&P's review of this transaction included a cash flow analysis, based on the portfolio and transaction as presented to S&P in connection with this review, to estimate future performance. In line with S&P's criteria, its cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, S&P's analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches. The results of the cash flow analysis demonstrated, in S&P's view, that all of the rated outstanding classes have adequate credit enhancement available at the preliminary rating levels associated with these rating actions. PRELIMINARY RATINGS ASSIGNED HPS Loan Management 3-2014 Ltd./HPS Loan Management 3-2014 LLC Replacement class Rating Amount (mil. $) X-R NR 4.00 A-1R AAA (sf) 310.00 A-2R AA (sf) 68.00 B-R A (sf) 32.00 C-R BBB (sf) 30.00 D-R BB (sf) 20.00 E-R B- (sf) 6.00 NR--Not rated. IMSCI 2012-2: Fitch Affirms 'Bsf' Rating on Class G Certificates ---------------------------------------------------------------- Fitch Ratings has affirmed nine classes of Institutional Mortgage Capital, commercial mortgage pass-through certificates series 2012-2 (IMSCI 2012-2). All currencies are denominated in Canadian dollars (CAD). KEY RATING DRIVERS Overall Stable Performance and Increase in Credit Enhancement: The pool performance has been stable since Fitch's last rating action. As of the June 2017 distribution date, the pool's aggregate principal balance has been reduced 31.4% to $164.7 million from $240.2 million at issuance with 19 loans remaining. The transaction paid down by $38.3 million in June 2017, including the payoff of five defeased loans. There are no full or partial interest only loans in the pool. There are currently no delinquent or specially serviced loans and there are four loans (20.2%) on the servicer's watch list. Pool Concentrations: The top five, 10 and 15 loans account for 42.6%, 75% and 88.2% of the pool, respectively. There is sponsor concentration with three loans in the top five (29.5%) with the same sponsor group, 2668921 Manitoba Ltd and related entities. Additionally, the pool has three loans (28.8%) backed by properties in Alberta, which has experienced volatility from the energy sector in the past few years. Multifamily properties back 42.4% of the pool while retail-backed loans comprise 36% of the pool. Canadian Loan Attributes: The ratings reflect strong Canadian commercial real estate loan performance, including a low delinquency rate and low historical losses of less than 0.1%, as well as positive loan attributes such as short amortization schedules, recourse to the borrower, and additional guarantors. Loans with Recourse: Of the remaining pool, 81.8% of the loans feature full or partial recourse to the borrowers and/or sponsors. The largest Fitch Loan of Concern is Lakewood Apartments (10.2%), which is secured by a 111-unit apartment building located in Fort McMurray, Alberta. The loan transferred to special servicing in February 2016 due to the downturn in the energy markets which is the main driver of the Fort McMurray economy. In May 2016, the Fort McMurray area was evacuated due to wildfires. The building did not sustain structural damage and the sponsor is working to stabilize operations. However, property level performance remains significantly below 2012-2013 levels. The loan returned to master servicing in January 2017 and is scheduled to mature in August 2017. Fitch has requested an update from the servicer regarding payoff. The loan has full recourse to the borrower, sponsor and manager. RATING SENSITIVITIES The Rating Outlook on classes E, F and G are Negative. Downgrades could be possible if the volatility in energy markets has a prolonged impact on loan performance and property values and the ability for loans to refinance. However, any potential losses could be mitigated by loan recourse provisions. Additionally, if the Lakewood Apartments loan pays in full, the Outlooks may be revised to Stable. The Rating Outlooks on the senior classes remain Stable as the classes have benefited from an increase in credit enhancement from loan payoffs though upgrades may be limited as the pool is becoming more concentrated. Fitch has affirmed the following ratings: -- $65.7 million class A-1 at 'AAAsf'; Outlook Stable; -- $63 million class A-2 at 'AAAsf'; Outlook Stable; -- Interest-only class XP at 'AAAsf'; Outlook Stable; -- $6 million class B at 'AAsf'; Outlook Stable; -- $8.4 million class C at 'Asf'; Outlook Stable; -- $7.2 million class D at 'BBBsf'; Outlook Stable; -- $3.6 million class E at 'BBB-sf'; Outlook Negative; -- $3 million class F* at 'BBsf'; Outlook Negative; -- $2.4 million class G* at 'Bsf'; Outlook Negative. * Non-offered certificates. Fitch does not rate the $5.4 million class H or the interest-only class XC. JAMESTOWN CLO X: Moody's Assigns (P)B3(sf) Rating to Cl. E Notes ---------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to eight classes of notes to be issued by Jamestown CLO X Ltd. Moody's rating action is: US$4,000,000 Class X Senior Secured Floating Rate Notes due 2029 (the "Class X Notes"), Assigned (P)Aaa (sf) US$384,000,000 Class A-1 Senior Secured Floating Rate Notes due 2029 (the "Class A-1 Notes"), Assigned (P)Aaa (sf) US$72,000,000 Class A-2 Senior Secured Floating Rate Notes due 2029 (the "Class A-2 Notes"), Assigned (P)Aa2 (sf) US$13,370,000 Class B-1A Senior Secured Deferrable Floating Rate Notes due 2029 (the "Class B-1A Notes"), Assigned (P)A2 (sf) US$16,630,000 Class B-1B Senior Secured Deferrable Floating Rate Notes due 2029 (the "Class B-1B Notes"), Assigned (P)A2 (sf) US$42,000,000 Class C Senior Secured Deferrable Floating Rate Notes due 2029 (the "Class C Notes"), Assigned (P)Baa3 (sf) US$24,000,000 Class D Senior Secured Deferrable Floating Rate Notes due 2029 (the "Class D Notes"), Assigned (P)Ba3 (sf) U.S.$9,000,000 Class E Senior Secured Deferrable Floating Rate Notes due 2029 (the "Class E Notes"), Assigned (P)B3 (sf) The Class X Notes, the Class A-1 Notes, the Class A-2 Notes, the Class B-1A Notes, the Class B-1B 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. Jamestown CLO X is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated first lien senior secured corporate loans. At least 90% of the portfolio must consist of senior secured loans, cash and eligible investments, and up to 10% of the portfolio may consist of second lien loans and unsecured loans. Moody's expects the portfolio to be approximately 80% ramped as of the closing date. Investcorp Credit Management 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 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 one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in October 2016. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $600,000,000 Diversity Score: 60 Weighted Average Rating Factor (WARF): 2810 Weighted Average Spread (WAS): 3.60% Weighted Average Coupon (WAC): 6.50% Weighted Average Recovery Rate (WARR): 48.0% 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 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 2810 to 3232) Rating Impact in Rating Notches Class X Notes: 0 Class A-1 Notes: 0 Class A-2 Notes: -2 Class B-1A Notes: -2 Class B-1B Notes: -2 Class C Notes: -1 Class D Notes: 0 Class E Notes: 0 Percentage Change in WARF -- increase of 30% (from 2810 to 3653) Rating Impact in Rating Notches Class X Notes: 0 Class A-1 Notes: -1 Class A-2 Notes: -3 Class B-1A Notes: -3 Class B-1B Notes: -3 Class C Notes: -2 Class D Notes: -1 Class E Notes: -2 JP MORGAN 2007-LDP12: Moody's Cuts Rating on Class X Certs to Ca ---------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on one class and downgraded one class in J.P. Morgan Chase Commercial Mortgage Securities Trust 2007-LDP12, Commercial Mortgage Pass-Through Certificates, Series 2007-LDP12: Cl. A-M, Affirmed A2 (sf); previously on Jun 24, 2016 Affirmed A2 (sf) Cl. X, Downgraded to Ca (sf); previously on Jun 9, 2017 Downgraded to Caa2 (sf) RATINGS RATIONALE The ratings on one P&I class was affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The rating on the IO Class was downgraded due to the decline in the credit performance of its reference classes resulting from principal paydowns of higher quality reference classes. Moody's rating action reflects a base expected loss of 30.6% of the current balance, compared to 11.8% at Moody's last review. Moody's base expected loss plus realized losses is now 13.1% of the original pooled balance, compared to 12.6% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in December 2014. Additionally, the methodology used in rating Cl. X was "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. DEAL PERFORMANCE As of the June 15, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 77% to $575.5 million from $2.5 billion at securitization. The certificates are collateralized by 68 mortgage loans ranging in size from less than 1% to 11% of the pool, with the top ten loans constituting 55% of the pool. Four loans, constituting 2% of the pool, have defeased and are secured by US government securities. 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 23, compared to 28 at Moody's last review. Twenty-eight loans, constituting 51% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Thirty-one loans have been liquidated from the pool, resulting in an aggregate realized loss of $151.5 million (for an average loss severity of 27%). Thirty loans, constituting 43% of the pool, are currently in special servicing. The largest specially serviced loan is the Liberty Plaza Loan ($43 million -- 4.8% of the pool), which is secured by a 372,000 square foot (SF) power center in northeast Philadelphia, Pennsylvania. The loan transferred to special servicing in January 2013 for imminent default. The property became REO via a deed-in-lieu of foreclosure accepted in July 2013. In 2015 the property lost two major tenants, Walmart and Pathmark. As of March 2017, the property was 45% leased, the same as in March 2016 and compared to 62% at year-end 2015 and 94% at year-end 2014. A November 2016 appraisal valued the property at $13 million. The remaining 29 specially serviced loans are secured by a mix of property types. Moody's estimates an aggregate $153.9 million loss for the specially serviced loans (61.9% expected loss on average). Moody's has assumed a high default probability for one poorly performing loans, constituting less than 1% of the pool, and has estimated an aggregate loss of $576 thousand (a 15% expected loss based on a 50% 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. Moody's weighted average conduit LTV is 106% compared to 102% 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 9.4%. Moody's actual and stressed conduit DSCRs are 1.24X and 1.04X, respectively, compared to 1.43X and 1.06X 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 Pacific Coast Plaza Loan ($62.9 million -- 10.9% of the pool), which is secured by an anchored retail property consisting of twelve buildings across 312,313 SF in Oceanside, CA. Anchors include Lucky Stores, Best Buy, Bed Bath and Beyond while shadow anchored by a WalMart. Sports Authority vacated in May 2016 lowering the occupancy at the property to 79%. Moody's LTV and stressed DSCR are 134% and 0.71X, respectively, compared to 127% and 0.74X at the last review. The second largest loan is the Chula Vista II Retail Portfolio Loan ($34.5 million -- 6.0% of the pool), which is secured by six-retail properties located in Chula Vista, CA. The portfolio was 78% occupied as of September 2016 compared to 76% at year-end 2015 and 79% at year-end 2014. Moody's LTV and stressed DSCR are 119% and 0.84X, respectively compared to 119% and 0.79X at the last review. The third largest loan is secured by the Bentley Mall Loan ($27.0 million -- 4.7% of the pool), which is secured by an enclosed regional mall located in Fairbanks, AK. The property is anchored by Safeway, Michael's and Office Max. The property was 96% occupied as of June 2016 the same as at year-end 2015 and compared to 95% at year-end 2014. Moody's LTV and stressed DSCR are 96% and 1.04X, respectively compared to 106% and 0.94X at the last review. JP MORGAN 2013-C14: Fitch Affirms 'Bsf' Rating on Class G Certs --------------------------------------------------------------- Fitch Ratings has affirmed 12 classes of J.P. Morgan Chase Commercial Mortgage Securities Trust (JPMBB) commercial mortgage pass-through certificates series 2013-C14. KEY RATING DRIVERS The affirmations reflect the relatively stable performance of the pool, and sufficient credit enhancement (CE) relative to Fitch's loss expectations for the pool. Fitch modeled losses of 3.60% of the remaining pool; expected losses based on the original pool balance are 3.14%. The pool has experienced no realized losses to date since issuance; there is one loan currently in special servicing (0.89%). Stable Performance: The pool has had relatively stable performance since issuance. As of the May 2017 remittance reporting, the pool's aggregate principal balance has paid down by 12.7% to $1 billion from $1.15 billion at issuance. Three loans have paid in full (8% of the original pool), and three loans (3.4% of current pool) have been fully defeased. Retail Concentration; Regional Mall Exposure: Loans secured by retail properties represent the largest concentration at 44% of the pool, which includes six of the top 15 loans (32.6%). Three of these top 15 loans (19.6%) are secured by regional malls located in Las Vegas, NV (9.9%, sponsored by General Growth Properties); Greendale, WI (7.2%, sponsored by Simon Property Group); and Lavale, MD (2.4%). In addition, all three of these regional malls (19.6%) have exposure to Sears and JC Penney, and one has exposure to Macy's (7.2%). Fitch Loans of Concern: Four non-specially loans (14.8% of the current pool) have been identified as Fitch Loans of Concern (FLOCs), all of which are in the top 15. Risks associated with these FLOCs include a regional mall with declining sales and a vacating anchor tenant (Southridge Mall, 7.2% of the pool); an industrial warehouse portfolio with significant NOI declines and single tenant exposure (Copper Creek, 2.7%); a Class B office in a secondary market with concentrated tenancy and near term rollover risks (575 Maryville Centre Drive, 2.5%); and a Class 'C+ regional mall in a secondary market with declining anchor sales and short term rollover risks (Country Club Mall; 2.4%). Specially Serviced Loan: The Four Points Sheraton - San Diego loan (0.89% of the pool), which is secured by a 225-key full service hotel property located in San Diego, CA, transferred to special servicing in February 2016 due to payment default in December 2015. The property has experienced cash flow issues due to a significant increase in expenses since issuance, driven by an increase in franchise fees plus general & administrative costs. In addition, the property condition had significantly declined, leaving the borrower in default with the franchisor on a property improvement plan (PIP). A receiver was appointed by the servicer in April 2016, followed shortly by the borrower filing for Chapter 11 bankruptcy in May 2016. A court ordered bankruptcy reorganization plan was approved in May 2017, which includes prompt completion of the PIP by August 2017 and the repayment of servicer advances and outstanding debt service payments. Amortization and Loan Term: The pool is scheduled to amortize 14.3% prior to maturity. Two loans (10.5%) are interest only (IO), and 10 loans (26.1%) were structured with partial IO, of which eight (18.4%) have transitioned into their amortization period. The remaining 31 loans (63.4%) are balloon loans. The pool currently receives $1.48 million in scheduled monthly principal per the May 2017 remittance report. Approximately 80.1% of the current pool consists of 10-year loans, 12.3% consists of five-year loans and 7.6% comprises one six-year loan. RATING SENSITIVITIES The Rating Outlooks for classes A-2 through F are considered Stable due to the relatively stable performance of the pool, sufficient credit enhancement and expected continued amortization. Upgrades may be possible with improved pool performance and additional pay-down or defeasance. The Negative Rating Outlook on class G indicates that given the pool's high retail concentration, this component of the transaction now carries greater volatility as uncertainties in this sector continue to mount. Downgrades are considered possible should pool performance decline significantly, particularly the regional malls in the pool that have reported lower sales since issuance and due to the overall weakness in the retail sector. Fitch's analysis included a sensitivity test on the Country Club Mall (2.4%) reflecting a negative stress scenario due to the low anchor sales, Sears and JC Penney exposure, and The Bon-Ton rollover risk with the near term lease expiration. Fitch has affirmed the ratings and revised the Outlooks for the following classes as indicated: -- $212.8 million class A-2 at 'AAAsf'; Outlook Stable; -- $75 million class A-3 at 'AAAsf'; Outlook Stable; -- $288.5 million class A-4 at 'AAAsf'; Outlook Stable; -- $81.8 million class A-SB at 'AAAsf'; Outlook Stable; -- $80.4 million class A-S at 'AAAsf'; Outlook Stable; -- $842.6 million * class X-A at 'AAAsf'; Outlook Stable; -- $76.1 million class B at 'AA-sf'; Outlook Stable; -- $45.9 million class C at 'A-sf'; Outlook Stable; -- $53.1 million class D at 'BBB-sf'; Outlook Stable; -- $11.5 million class E at 'BBB-sf'; Outlook Stable; -- $12.9 million class F at 'BB+sf'; Outlook Stable; -- $23 million class G at 'Bsf'; Outlook to Negative from Stable. * Notional amount and interest-only. The class A-1 certificates have paid in full. Fitch does not rate the class NR or class X-C certificates. The class X-B certificate was withdrawn from the transaction prior to closing. JP MORGAN 2017-JP6: Fitch Assigns 'B-sf' Rating to Cl. G-RR Certs ----------------------------------------------------------------- Fitch Ratings has assigned the following ratings and Rating Outlooks to J.P. Morgan Chase Commercial Mortgage Securities Trust 2017-JP6 commercial mortgage pass-through certificates, series 2017-JP6: -- $26,228,000 class A-1 'AAAsf'; Outlook Stable; -- $123,971,000 class A-2 'AAAsf'; Outlook Stable; -- $86,731,000 class A-3 'AAAsf'; Outlook Stable; -- $80,000,000 class A-4 'AAAsf'; Outlook Stable; -- $200,074,000 class A-5 'AAAsf'; Outlook Stable; -- $33,632,000 class A-SB 'AAAsf'; Outlook Stable; -- $627,331,000b class X-A 'AAAsf'; Outlook Stable; -- $68,830,000b class X-B 'A-sf'; Outlook Stable; -- $76,695,000 class A-S 'AAAsf'; Outlook Stable; -- $34,415,000 class B 'AA-sf'; Outlook Stable; -- $34,415,000 class C 'A-sf'; Outlook Stable; -- $9,832,000a class D 'BBB+sf'; Outlook Stable; -- $29,499,000ac class E-RR 'BBB-sf'; Outlook Stable; -- $16,715,000ac class F-RR 'BB-sf'; Outlook Stable; -- $7,867,000ac class G-RR 'B-sf'; Outlook Stable. The following class is not rated by Fitch: -- $26,548,166ac class NR-RR. (a) Privately placed and pursuant to Rule 144A. (b) Notional amount and interest-only. (c) Horizontal credit risk retention interest representing at least 5% of the estimated fair value of all classes of regular certificates issued by the issuing entity. The certificates represent the beneficial ownership interest in the trust, primary assets of which are 42 loans secured by 72 commercial properties having an aggregate principal balance of $786,622,167 as of the cut-off date. The loans were contributed to the trust by JP Morgan Chase Bank, National Association, Benefit Street Partners CRE Finance LLC and Starwood Mortgage Funding VI LLC. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 81.1% of the properties by balance, cash flow analysis of 85.1%, and asset summary reviews on 100% of the pool. KEY RATING DRIVERS Lower Leverage Than Recent Transactions: The Fitch leverage for this transaction is better than other recent Fitch-rated transactions. The pool's weighted average (WA) Fitch debt service coverage ratio (DSCR) of 1.21x is in line with than both the year-to-date (YTD) 2017 average of 1.22x and the 2016 average of 1.21x. The pool's WA Fitch loan to value (LTV) of 99.5% is lower than both the YTD 2017 average of 104.7% and the 2016 average of 105.2%. The lower WA Fitch LTV is due in part to two credit opinion loans in the pool. When excluding these loans, the WA Fitch LTV increases to 104.4%. High Percentage of Credit Opinion Loans: Two loans representing 15% of the pool have investment-grade credit opinions. The largest loan in the pool, 245 Park Avenue (12.46%), has a credit opinion of 'BBB-*' on a stand-alone basis and the 15th largest loan, Moffett Gateway (2.54%), has a credit opinion of 'BBB-*' on a stand-alone basis. High Pool Concentration: The largest 10 loans comprise 52.47% of the pool, which is in line with the average top-10 concentration of 53.2% for YTD 2017 and 54.8% for 2016. Of note, the largest loan representing 12.46% of the pool is materially higher than the average largest loan of 7.9% for YTD 2017 and 8.9% for 2016. RATING SENSITIVITIES For this transaction, Fitch's net cash flow (NCF) was 6.3% below the most recent year's net operating income (NOI) for properties for which a full-year NOI was provided, excluding properties that were stabilizing during this period. Unanticipated further declines in property-level NCF could result in higher defaults and loss severities on defaulted loans and in potential rating actions on the certificates. Fitch evaluated the sensitivity of the ratings assigned to the JPMCC 2017-JP6 certificates and found that the transaction displays average sensitivities to further declines in NCF. In a scenario in which NCF declined a further 20% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'A-sf' could result. In a more severe scenario, in which NCF declined a further 30% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB-sf' could result. JPMBB 2014-C22: DBRS Confirms Bsf Rating on Class X-D Certs ----------------------------------------------------------- DBRS Limited on June 12, 2017, confirmed all classes of Commercial Pass-Through Certificates, Series 2014-C22 issued by JPMBB 2014-C22 as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-3A1 at AAA (sf) -- Class A-3A2 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 (sf) -- Class C at A (sf) -- Class EC at A (sf) -- Class D at BBB (low) (sf) -- Class X-C at BB (sf) -- Class E at BB (low) (sf) -- Class F at B (high) (sf) -- Class X-D at B (sf) -- Class G at B (low) (sf) All trends are Stable. The Class EC certificates are exchangeable with the Class A-S, Class B and Class C certificates (and vice versa). The rating confirmations reflect the overall stable performance of the transaction, which has experienced a collateral reduction of 2.2% as a result of scheduled loan amortization since closing. At issuance, the pool consisted of 76 fixed-rate loans secured by 120 commercial properties. As of the May 2017 remittance, all 76 loans remain in the pool with an aggregate outstanding principal balance of $1,096.1 million. Two loans, representing 0.8% of the pool balance, are fully defeased. The top 15 loans continue to exhibit stable performance with a weighted-average (WA) debt service coverage ratio (DSCR) of 1.67 times (x) and a WA net cash flow growth over the respective DBRS issuance figures of 20.8%, based on the most recent year-end (YE) reporting available for the individual loans. At issuance, six loans, representing 12.9% of the pool balance, were structured with full interest-only (IO) terms, with an additional 37 loans, representing 60.0% of the pool balance, structured with partial IO terms. As of the May 2017 remittance, 19 loans, representing 45.8% of the pool balance, have partial IO periods remaining. Based on the most recent YE reporting, the pool reported a WA DSCR and WA debt yield of 1.70x and 10.2%, respectively, compared with 1.60x and 9.4% at issuance, respectively. As of the May 2017 remittance, there are no loans in special servicing and ten loans, representing 13.2% of the pool balance, on the servicer's watchlist. Five loans are on the watchlist as a result of low occupancy rates or upcoming tenant rollover. One of these properties has achieved full occupancy as of YE2016, and another is secured by a single-tenant property that has a lease amendment drafted, which has been sent to the lender for approval. Two loans on the watchlist have been flagged because of damages sustained from severe weather and a fire; however, both borrowers have received insurance proceeds with repairs in progress. An additional two loans on the watchlist have been flagged for non-performance-related reasons pertaining to deferred maintenance. LB-UBS COMMERCIAL 2008-C1: Moody's Cuts Cl. A-J Certs Rating to C ----------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on two classes and downgraded the rating on two classes in LB-UBS Commercial Mortgage Trust 2008-C1, Commercial Mortgage Pass-Through Certificates, Series 2008-C1: Cl. A-2, Affirmed Aaa (sf); previously on Jul 21, 2016 Affirmed Aaa (sf) Cl. A-2FL, Affirmed Aaa (sf); previously on Jul 21, 2016 Affirmed Aaa (sf) Cl. A-M, Downgraded to B1 (sf); previously on Jul 21, 2016 Affirmed Ba3 (sf) Cl. A-J, Downgraded to C (sf); previously on Jul 21, 2016 Affirmed Caa3 (sf) RATINGS RATIONALE The ratings on the P&I classes A-2 and A-2FL were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The ratings on the P&I classes A-M and A-J were downgraded due to anticipated losses from specially serviced and troubled loans that were higher than Moody's had previously expected. Moody's rating action reflects a base expected loss of 6.9% of the current balance, compared to 5.8% at Moody's last review. Moody's base expected loss plus realized losses is now 18.3% of the original pooled balance, compared to 18.2% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The 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. DEAL PERFORMANCE As of the May 17, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 43% to $571 million from $1.007 billion at securitization. The certificates are collateralized by 40 mortgage loans ranging in size from less than 1% to 25% of the pool, with the top ten loans (excluding defeasance) constituting 79% of the pool. Two loans, constituting 2% of the pool, have defeased and are secured by US government securities. 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 9 at Moody's last review. Twelve loans, constituting 40% 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. Twelve loans have been liquidated from the pool, resulting in an aggregate realized loss of $145 million (for an average loss severity of 67%). One loan, constituting less than 1% of the pool, is currently in special servicing. The specially serviced loan is the Comfort Suites -- Midland loan ($4.2 million -- 0.7% of the pool), which is secured by a 63-key hotel located in Midland, TX. As of January 2017, the hotel was 60% occupied with an ADR and RevPAR of $82.8 and $49.9, respectively. The loan transferred to special servicing in August 2016 due to imminent default. Moody's estimates an aggregate $3.3 million loss for the specially serviced loan (78% expected loss on average). Moody's has assumed a high default probability for one poorly performing loan, constituting 15% of the pool, and has estimated an aggregate loss of $16 million (a 19% expected loss based on a 75% probability default) from this troubled loan. Moody's received full year 2015 operating results for 96% 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 97%, compared to 94% 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 19% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.4%. Moody's actual and stressed conduit DSCRs are 1.31X and 1.09X, respectively, compared to 1.33X and 1.11X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The top three loans represent 52% of the pool balance. The largest loan is the Southlake Mall loan, formerly the Westfield Southlake loan ($140 million -- 25% of the pool), which is secured by the borrower's interest in a 1.4 million square foot (SF) regional mall located in Merrillville, Indiana. The mall is anchored by Sears (not part of the collateral), J.C. Penney, Macy's (not part of the collateral) and Carson (not part of the collateral). Gander Mountain (40,000 SF of the NRA) recently announced that they will be closing their store at this mall as part of their bankruptcy. As of December 2016, the property was 98% leased, compared to 99% at the prior review. The loan is interest-only for its entire ten-year term maturing in January 2018, though there was a small condemnation in 2014 that resulted in a principal payment. Moody's LTV and stressed DSCR are 90% and 1.09X, respectively, compared to 87% and 1.09X at the last review. The second largest loan is the Regions Harbert Plaza Loan ($82.8 million --14.5% of the pool), which is secured by a 614,000 SF, 32-story Class A office building with a small retail component located in downtown Birmingham, Alabama. The property is considered the premier commercial office building in Birmingham. The total property was 94% leased as of March 2017, unchanged from the prior two years and down from 98% in 2012 and 2013. The office and retail components were 95% and 80% leased as of February 2017, respectively. Region's Bank (35% NRA) recently notified that they will not be renewing their lease once it expires in December 2017. Moody's has identified this as a troubled loan. The third largest loan is the Chevy Chase Center Loan ($76.6 million -- 13.4% of the pool), which is secured by a 398,000 SF mixed-use property in Chevy Chase, Maryland. The office component is 224,000 SF and the retail space is 174,000 SF. The office component is primarily located in an eight-story tower and is leased by The Mills Limited Partnership (51% NRA) through April 2019. However, The Mills Limited Partnership's physical occupancy is 8% of the NRA; 29% has subsequently been sublet to seven different tenants and 14% of their leased space is dark. The borrower estimates that only 65% of tenants will renew their leases over the next two years. The total property was 88% leased as of yearend 2016, compared to 92% at yearend 2015 and 93% at yearend 2014. The loan fully amortizes on a 240-month schedule and matures in November 2026. Moody's LTV and stressed DSCR are 65% and 1.42X, respectively, compared to 69% and 1.34X at the last review. LIME STREET: Moody's Affirms B2(sf) Rating on Class E Notes ----------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Lime Street CLO, Ltd.: US$22,000,000 Class C Deferrable Floating Rate Notes Due 2021, Upgraded to Aa1 (sf); previously on February 2, 2017 Upgraded to Aa3 (sf) US$15,000,000 Class D Deferrable Floating Rate Notes Due 2021, Upgraded to Baa2 (sf); previously on February 2, 2017 Upgraded to Baa3 (sf) Moody's also affirmed the ratings on the following notes: US$290,000,000 Class A Senior Floating Rate Notes Due 2021 (current outstanding balance of $78,967,474), Affirmed Aaa (sf); previously on February 2, 2017 Affirmed Aaa (sf) US$30,000,000 Class B Senior Floating Rate Notes Due 2021, Affirmed Aaa (sf); previously on February 2, 2017 Affirmed Aaa (sf) US$12,600,000 Class E Deferrable Floating Rate Notes Due 2021 (current outstanding balance of $12,574,062), Affirmed B2 (sf); previously on February 2, 2017 Affirmed B2 (sf) Lime Street CLO, Ltd., issued in August 2007, is a collateralized loan obligation (CLO) backed primarily by a portfolio of senior secured loans. The transaction's reinvestment period ended in September 2013. RATINGS RATIONALE These rating actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since February 2017. The Class A notes have been paid down by approximately 23.5% or $24.2 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 151.16%, 125.77%, 112.85%, and 103.90%, respectively, versus February 2017 levels of 140.45%, 120.54%, 109.91%, and 102.35%, respectively. The portfolio includes a number of investments in securities that mature after the notes do. Based on Moody's calculation, securities that mature after the notes do currently make up approximately $11.6 million or 9.0% of the portfolio. These investments could expose the notes to market risk in the event of liquidation when the notes mature. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in October 2016. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: This transaction is subject to a number of factors and circumstances that could lead to either an upgrade or downgrade of the ratings: 1) Macroeconomic uncertainty: CLO performance is subject to a) uncertainty about credit conditions in the general economy and b) the large concentration of upcoming speculative-grade debt maturities, which could make refinancing difficult for issuers. 2) Collateral Manager: Performance can also be affected positively or negatively by a) the manager's investment strategy and behavior and b) differences in the legal interpretation of CLO documentation by different transactional parties owing to embedded ambiguities. 3) Collateral credit risk: A shift towards collateral of better credit quality, or better credit performance of assets collateralizing the transaction than Moody's current expectations, can lead to positive CLO performance. Conversely, a negative shift in credit quality or performance of the collateral can have adverse consequences for CLO performance. 4) Deleveraging: An important source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will continue and at what pace. Deleveraging of the CLO could accelerate owing to high prepayment levels in the loan market and/or collateral sales by the manager, which could have a significant impact on the notes' ratings. Note repayments that are faster than Moody's current expectations will usually have a positive impact on CLO notes, beginning with those with the highest payment priority. 5) Recovery of defaulted assets: Fluctuations in the market value of defaulted assets reported by the trustee and those that Moody's assumes as having defaulted could result in volatility in the deal's OC levels. Further, the timing of recoveries and whether a manager decides to work out or sell defaulted assets create additional uncertainty. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. Realization of higher than assumed recoveries would positively impact the CLO. 6) Long-dated assets: The presence of assets that mature after the CLO's legal maturity date exposes the deal to liquidation risk on those assets. This risk is borne first by investors with the lowest priority in the capital structure. Moody's assumes that the terminal value of an asset upon liquidation at maturity will be equal to the lower of an assumed liquidation value (depending on the extent to which the asset's maturity lags that of the liabilities) or the asset's current market value. 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% (2330) Class A: 0 Class B: 0 Class C: +1 Class D: +2 Class E: +1 Moody's Adjusted WARF + 20% (3496) Class A: 0 Class B: 0 Class C: -2 Class D: -2 Class E: -2 Loss and Cash Flow Analysis: Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score 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 $163.3 million, defaulted par of $4.8 million, a weighted average default probability of 16.47% (implying a WARF of 2913), a weighted average recovery rate upon default of 48.62%, a diversity score of 28 and a weighted average spread of 3.54% (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. LNR CDO 2002-1: Moody's Affirms C(sf) Rating on 3 Tranches ---------------------------------------------------------- Moody's Investors Service has affirmed the ratings on the following notes issued by LNR CDO 2002-1 Collateralized Debt Obligations, Series 2002-1 ("LNR CDO 2002-1"): Cl. E-FL, Affirmed C (sf); previously on Aug 11, 2016 Affirmed C (sf) Cl. E-FX, Affirmed C (sf); previously on Aug 11, 2016 Affirmed C (sf) Cl. E-FXD, Affirmed C (sf); previously on Aug 11, 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 improvement of credit quality of the outstanding pool of assets, as evidenced by WARF, was not enough to offset the implied losses to date. 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 2002-1 is a static cash transaction backed by a portfolio of commercial mortgage backed securities (CMBS) (100.0% of the pool balance). As of the May 25, 2017 trustee report, the aggregate note balance of the transaction, including preferred shares, is $635.9 million compared to $800.6 million at issuance, as a result of the combination of pay-down to the senior most outstanding classes of notes, and capitalization of deferred interest. The deal is currently under-collateralized by $457.9 million as a result of implied 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 5377, compared to 6044 at last review. The current ratings on the Moody's-rated collaterals and the assessments of the non-Moody's rated collaterals follow: Aaa-Aa3 and 25.9% compared to 26.8% at last review, Caa1-Ca/C and 74.1% compared to 73.2% at last review. Moody's modeled a WAL of 1.6 years, compared to 2.0 years at last review. The WAL is based on assumptions about extensions on the underlying look-through CMBS loan assets. Moody's modeled a fixed WARR of 0.0%, compared to 1.9% at last review. Moody's modeled a MAC of 31.3%, compared to 19.0% 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 June 2017. 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 XVII: Moody's Assigns B3(sf) Rating to Class F-R Notes ------------------------------------------------------------------- Moody's Investors Service has assigned the following ratings to the following notes (the "Refinancing Notes") issued by Madison Park Funding XVII, Ltd.: US$507,000,000 Class A-R Floating Rate Notes Due 2030 (the "Class A-R Notes"), assigned Aaa(sf) US$82,000,000 Class B-1-R Floating Rate Notes Due 2030 (the "Class B-1-R Notes"), assigned Aa2(sf) US$10,000,000 Class B-2-R Fixed Rate Notes Due 2030 (the "Class B-2-R Notes"), assigned Aa2(sf) US$43,500,000 Class C-R Deferrable Floating Rate Notes Due 2030 (the "Class C-R Notes"), assigned A2(sf) US$48,500,000 Class D-R Deferrable Floating Rate Notes Due 2030 (the "Class D-R Notes"), assigned Baa3(sf) US$42,300,000 Class E-R Deferrable Floating Rate Notes Due 2030 (the "Class E-R Notes"), assigned Ba3(sf) US$18,000,000 Class F-R Deferrable Floating Rate Notes Due 2030 (the "Class F-R Notes"), 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. Credit Suisse Asset Management, LLC (the "Manager") manages the CLO. It directs the selection, acquisition, and disposition of collateral on behalf of the Issuer. RATINGS RATIONALE Moody's ratings on the Refinancing Notes addresses the expected losses posed to noteholders. The ratings reflects 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 June 15, 2017 (the "Refinancing Date") in connection with the refinancing of all classes of the secured notes (the "Refinanced Original Notes") previously issued on May 21, 2015 (the "Original Closing Date"). 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: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; 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: $ 797,638,227 Defaulted par: $9,228,767 Diversity Score: 65 Weighted Average Rating Factor (WARF): 3010 Weighted Average Spread (WAS): 3.40% Weighted Average Coupon (WAC): 7.0% 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 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 3010 to 3462) Rating Impact in Rating Notches Class A-R Notes: -1 Class B-1-R Notes: -2 Class B-2-R Notes: -2 Class C-R Notes: -2 Class D-R Notes: -1 Class E-R Notes: -1 Class F-R Notes: -2 Percentage Change in WARF -- increase of 30% (from 3010 to 3913) Rating Impact in Rating Notches Class A-R Notes: -1 Class B-1-R Notes: -4 Class B-2-R Notes: -4 Class C-R Notes: -4 Class D-R Notes: -2 Class E-R Notes: -1 Class F-R Notes: -4 MCA FUND I: DBRS Confirms BB Rating on Class C Deferrable Notes --------------------------------------------------------------- DBRS, Inc. on June 14, 2017, taken the following rating actions on ratings on the classes of collateralized fund obligation (CFO) notes issued by MCA Fund I Holding LLC as well as the Liquidity Loan Facility between MCA Fund I Holding LLC as Issuer and Barclays Bank PLC as Liquidity Lender (the Liquidity Facility) as follows: -- Class A Notes confirmed at A (sf) -- Class B Notes confirmed at BBB (high) (sf) and placed Under Review with Positive Implications -- Class C Deferrable Notes confirmed at BB (high) (sf) and placed Under Review with Positive Implications -- Liquidity Facility confirmed at A (sf) The ratings on the Class A Notes, Class B Notes and the Liquidity Facility address the timely payment of interest and the ultimate payment of principal on or before their respective maturity. The rating on the Class C Deferrable Notes addresses the ultimate payment of interest and principal on or before their maturity. The Class B Notes and Class C Deferrable Notes ratings are Under Review with Positive Implications. The ratings on the Class B and Class C Notes are being placed Under Review with Positive Implications as a result of the rate of deleveraging of the rated notes and the consistency of quarterly Net Cash Inflows. DBRS views these trends as credit positive to the transaction. Generally, the conditions that lead to the assignment of reviews are resolved within a 90-day period. The notes are backed by a portfolio of limited partnership interests in leveraged buyout, mezzanine debt and venture capital private equity funds. Each class of notes is able to withstand a percentage of tranche defaults from a Monte Carlo asset analysis commensurate with its respective rating. MCA FUND II: DBRS Assigns Prov. BB(sf) Rating to Class C Notes -------------------------------------------------------------- DBRS, Inc. on June 13, 2017, assigned the following provisional ratings to the Class A Notes, the Class B Notes and the Class C Deferrable Notes (together, the Notes) contemplated to be issued by MCA Fund II Holding LLC pursuant to the Indenture dated as of [ ], 2017 between MCA Fund II Holding LLC, as Issuer, and Wells Fargo Bank, N.A. (rated AA (high) with a Negative trend by DBRS), as Trustee and Calculation Agent. DBRS has also assigned a provisional rating to the Liquidity Loan Facility (the Liquidity Facility) with MCA Fund II Holding LLC as Issuer, Barclays Bank PLC (rated A (high) with a Negative trend by DBRS) as Liquidity Lender and Wells Fargo Bank, N.A. as Trustee and Calculation Agent: -- Class A Notes at A (sf) -- Class B Notes at BBB (sf) -- Class C Deferrable Notes at BB (sf) -- Liquidity Facility at A (sf) The provisional ratings on the Class A Notes, the Class B Notes and the Liquidity Facility address the timely payment of interest and the ultimate payment of principal on or before the Final Maturity Date (as defined in the Indenture referenced above). The provisional rating on the Class C Deferrable Notes addresses the ultimate payment of interest and the ultimate payment of principal on or before the Final Maturity Date (as defined in the Indenture referenced above). The Notes are backed by a portfolio of limited partnership interests in leveraged buyout, mezzanine debt and venture capital private equity funds. Each class of notes is able to withstand a percentage of tranche defaults from a Monte Carlo asset analysis commensurate with its respective rating. The rating reflects the following: (1) The draft Indenture dated [ ], 2017. (2) The integrity of the transaction structure. (3) DBRS's assessment of the portfolio quality. (4) Adequate credit enhancement to withstand projected collateral loss rates under various cash flow stress scenarios. (5) DBRS's assessment of the management capabilities of MEMBERS Capital Advisors, Inc. as Investment Manager. MERRILL LYNCH 2005-MCP1: Moody's Affirms C Rating on 2 Tranches --------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on four classes in Merrill Lynch Mortgage Trust 2005-MCP1, Commercial Mortgage Pass-Through Certificates, Series 2005-MCP1: Cl. F, Affirmed Caa1 (sf); previously on Jun 10, 2016 Affirmed Caa1 (sf) Cl. G, Affirmed Caa3 (sf); previously on Jun 10, 2016 Affirmed Caa3 (sf) Cl. H, Affirmed C (sf); previously on Jun 10, 2016 Affirmed C (sf) Cl. XC, Affirmed C (sf); previously on Jun 9, 2017 Downgraded to C (sf) RATINGS RATIONALE The rating on Class F was affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The ratings Classes G and H were affirmed because the ratings are consistent with Moody's expected loss. The rating on the IO class, Class XC, was affirmed based on the credit quality of its referenced classes. Moody's rating action reflects a base expected loss of 32.3% of the current balance, compared to 15.1% at Moody's last review. Moody's base expected loss plus realized losses is now 5.0% of the original pooled balance, compared to 4.6% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in October 2015. Additionally, the methodology used in rating Cl. XC was "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 67% of the pool is in special servicing. In this approach, Moody's determines a probability of default for each specially serviced and troubled loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss from specially serviced loans to the most junior classes and the recovery as a pay down of principal to the most senior classes. DEAL PERFORMANCE As of the June 12, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 98% to $43.9 million from $1.7 billion at securitization. The certificates are collateralized by four remaining mortgage loans. One loan, constituting 25.2% of the pool, is on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Sixteen loans have been liquidated from the pool, resulting in an aggregate realized loss of $73 million (for an average loss severity of 24%). One loan, the Prium Office Portfolio II ($29.4 million -- 67% of the pool), is currently in special servicing. The loan is secured by a portfolio of nine Class B suburban office buildings located throughout the state of Washington. As of March 2017 the portfolio was 78% leased, the same as of May 2016. Two of the nine properties are currently 100% vacant. The majority of the buildings are leased to various State of Washington agencies on separate five year leases. As of the June 12, 2017 remittance statement cumulative interest shortfalls were $3.8 million. Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced loans and/or modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. The three performing conduit loans represent 33% of the pool balance. The largest performing loan is the 844 Front Street Loan ($11.09 million -- 25.2% of the pool), which is secured by a 12,000 square foot (SF) retail center located on the island of Maui in Lahaina, Hawaii. As per the December 2016 rent roll, the property was 88% leased, compared to 95% leased as of May 2016. The loan originally transferred to special servicing in 2009 due to the economic downturn and subsequently transferred back to the master servicer as a modified loan in December 2010. The loan passed its original scheduled maturity date in May 2015 and the borrower requested a two year term extension. The property is on the master servicer's watchlist due to the impending loan maturity. Moody's LTV and stressed DSCR are 123% and 0.88X, respectively, the same as at the last review. The second largest loan is the Madison Meadows Apartments Loan ($2.2 million -- 5.1% of the pool), which is secured by a 120 unit multifamily apartment complex located in Statesboro, Georgia approximately one hour northwest of Savannah, Georgia. As per the March 2017 rent roll the property was 96.7% occupied, compared to 87.5% leased as of September 2015. The loan has amortized 19.6% since securitization. Moody's LTV and stressed DSCR are 47.6% and 1.99X, respectively, compared to 53.7% and 1.76X at the last review. The third largest loan is the Linden Professional Tower Loan ($1.2 million -- 2.7% of the pool), which is secured by an office tower located in Linden, New Jersey approximately 9 miles southwest of Newark Airport. The property is occupied by primarily medical tenants. The loan is fully amortizing and has amortized 72.2% since securitization. Moody's LTV and stressed DSCR are 23.4% and >4.00X, respectively, compared to 30.8% and 3.51X at the last review. MERRILL LYNCH 2006-C1: Fitch Affirms CCC Rating on Class A-J Certs ------------------------------------------------------------------ Fitch Ratings has affirmed 14 classes of Merrill Lynch Mortgage Trust (MLMT 2006-C1) commercial mortgage pass-through certificates series 2006-C1. KEY RATING DRIVERS The affirmations reflect the concentrated nature of the pool coupled with adverse selection. The pool has 10 assets remaining, eight of which are in special servicing (89.4%). Six assets (73.3%) are real estate owned (REO) or in foreclosure. As of the June 2017 distribution date, the pool's aggregate principal balance has been reduced by 95.4% to $114.9 million from $2.49 billion at issuance. Interest shortfalls are currently affecting class B. Concentration and Adverse Selection: The pool is highly concentrated with only 10 of the original 246 assets remaining, of which eight (89% of the pool balance) are in special servicing. 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 a fully amortizing loan, one balloon loan, and eight specially serviced assets. The ratings reflect this sensitivity analysis. Largest Loan in Special Servicing: The largest loan in the pool, Gateway One, represents 40% of the pool balance and is in special servicing. The loan is secured by a 409,920 square foot (sf) office building located in the central business district of St. Louis, MO. The loan transferred to special servicing in May 2016 due to maturity default. The largest tenant in the building, Peabody Energy (38%), emerged from Chapter 11 bankruptcy in April 2017 and has downsized their space by 30%. In addition, the downtown submarket of St. Louis is facing high vacancy and is expected to worsen with AT&T vacating the nearby One AT&T Center. As of the second quarter, Reis' reported a vacancy rate of 24.7% for class A office properties. The servicer is in discussion with the borrower while dual tracking foreclosure. RATING SENSITIVITIES The distressed classes (those rated below 'B') may be subject to further downgrades as additional losses are realized. Upgrades are not likely as the remaining pool is adversely selected and has a high concentration of assets in special servicing. Fitch has affirmed the following classes: -- $36.6 million class A-J at 'CCCsf'; RE 100%; -- $56 million class B at 'Csf'; RE 0%. -- $22.2 million class C at 'Dsf'; RE 0%. -- $0 class class D at 'Dsf'; RE 0%; -- $0 class class E at 'Dsf'; RE 0%; -- $0 class class F at 'Dsf'; RE 0%; -- $0 class class G at 'Dsf'; RE 0%; -- $0 class class H at 'Dsf'; RE 0%; -- $0 class class J at 'Dsf'; RE 0%; -- $0 class 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-3, A-3B, A-SB, A-4, A-1A and A-M certificates have paid in full. Fitch does not rate the class Q certificates. Fitch previously withdrew the rating on the interest-only class X certificates. MFA 2017-RPL1: DBRS Finalizes B(sf) Rating on Class B-2 Debt ------------------------------------------------------------ DBRS, Inc. on June 12, 2017, finalized its provisional ratings on MFA 2017-RPL1 Mortgage-Backed Securities, Series 2017-RPL1 (the Notes) issued by MFA 2017-RPL1 Trust (the Trust) as follows: -- $120.7 million Class A-1 at AAA (sf) -- $27.2 million Class M-1 at A (sf) -- $11.7 million Class M-2 at BBB (sf) -- $10.1 million Class B-1 at BB (sf) -- $9.9 million Class B-2 at B (sf) The AAA (sf) ratings on the Notes reflect the 45.10% of credit enhancement provided by the subordinated Notes in the pool. The A (sf), BBB (sf), BB (sf) and B (sf) ratings reflect 32.75%, 27.45%, 22.85% and 18.35% 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 992 loans with a total principal balance of $219,848,032 as of the Cut-Off Date (April 30, 2017). The loans are approximately 137 months seasoned. As of the Cut-Off Date, the pool is 100.0% current under the Office of Thrift Supervision (OTS) method and includes 0.6% bankruptcy loans. Compared with other DBRS-rated seasoned transactions, the portfolio exhibits spottier payment histories in the 24 months prior to the Cut-Off Date with 88.0% of the pool having been at least one times 30 days delinquent (1 x 30) under both the OTS and Mortgage Bankers Association delinquency methods. Approximately 10.3% of the mortgage loans have been 0 x 30 for at least the past 24 months, 60.1% have been 0 x 30 for the past 12 months and 66.7% have been 0 x 30 for the past six months. The portfolio contains 71.4% modified loans. Within the pool, 794 mortgages have non-interest-bearing deferred amounts as of the Cut-Off Date, which equates to 11.4% of the total principal balance. The modifications happened more than two years ago for 45.6% of the modified loans. As the Sponsor, MFA Financial, Inc. (MFA), or a majority-owned affiliate, will acquire and retain at least a 5% eligible horizontal interest in the securities to be issued to satisfy the credit risk retention requirements. These loans were originated and previously serviced by various entities through purchases in the secondary market. As of the Closing Date, the loans will be serviced by Select Portfolio Servicing, Inc. There will be no advancing of delinquent principal or interest on the mortgages by the servicer or any other party to the transaction; however, the servicer is obligated to make advances in respect of homeowner association fees, 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-1 Notes, but such shortfalls on Class M-1 and more subordinate bonds will not be paid until the more senior classes are retired. 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. On or after the three-year anniversary of the Closing Date (the Redemption Date), the Issuer has the option to redeem the outstanding notes at a price equal to the outstanding class balance plus accrued and unpaid interest, including any interest shortfall and net weighted-average coupon shortfall amounts, and any fees and expenses of the transaction parties. The ratings reflect transactional strengths that include underlying assets that have an experienced servicer, strong structural features and asset management oversight. Additionally, a due diligence review was performed on the portfolio with respect to regulatory compliance, payment history, data integrity, tax, title/lien and servicing comment review. Updated property values (generally broker price opinions) were provided for all but one of the mortgage loans. The transaction employs a relatively weak representations and warranties framework that includes an unrated representation provider (MFA), certain knowledge qualifiers and fewer mortgage loan representations relative to DBRS criteria for seasoned pools. Mitigating factors include (1) third-party due diligence review; (2) for representations and warranties with knowledge qualifiers, even if the Sponsor did not have actual knowledge of the breach, the Sponsor is still required to remedy the breach in the same manner as if no knowledge qualifier had been made; and (3) disputes are ultimately subject to determination made in a related arbitration proceeding. The enforcement mechanism for breaches of representations includes automatic breach reviews by a third-party reviewer for any loans that incur loss upon liquidation or sale of a defaulted mortgage loan. The DBRS rating of AAA (sf) addresses 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. MILL CITY 2017-2: Fitch Assigns 'Bsf' Rating to Class B2 Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings to Mill City Mortgage Loan Trust 2017-2 (MCMLT 2017-2) as follows: -- $250,689,000 class A1 notes 'AAAsf'; Outlook Stable; -- $26,580,000 class M1 notes 'AAsf'; Outlook Stable; -- $21,799,000 class M2 notes 'Asf'; Outlook Stable; -- $18,357,000 class M3 notes 'BBBsf'; Outlook Stable; -- $18,740,000 class B1 notes 'BBsf'; Outlook Stable; -- $13,194,000 class B2 notes 'Bsf'; Outlook Stable; -- $277,269,000 class A2 subsequent exchangeable notes 'AAsf'; Outlook Stable; -- $299,068,000 class A3 subsequent exchangeable notes 'Asf'; Outlook Stable. The following classes will not be rated by Fitch: -- $14,724,000 class B3 notes; -- $10,709,000 class B4 notes; -- $7,648,865 class B5 notes. The notes are supported by one collateral group that consists of 1,568 seasoned performing and re-performing mortgages with a total balance of approximately $382.44 million (which includes $20.6 million, or 5.4%, of the aggregate pool balance in non-interest-bearing deferred principal amounts) as of the cut-off date. The 'AAAsf' rating on the class A1 notes reflects the 34.45% subordination provided by the 6.95% class M1, 5.70% class M2, 4.80% class M3, 4.90% class B1, 3.45% class B2, 3.85% class B3, 2.80% class B4 and 2.00% class B5 notes. Fitch's ratings on the class notes reflect the credit attributes of the underlying collateral, the quality of the servicers: Shellpoint Mortgage Servicing (Shellpoint) and Fay Servicing, LLC (Fay), both rated 'RSS3+', the representation (rep) and warranty framework, minimal due diligence findings and the sequential pay structure. KEY RATING DRIVERS Distressed Performance History (Concern): The collateral pool consists primarily of peak-vintage seasoned re-performing loans (RPLs), including loans that have been paying for the past 24 months, which Fitch identifies as "clean current" (71%), and loans that are current but have recent delinquencies or incomplete paystrings, identified as "dirty current" (29%). All loans were current as of the cutoff date; 69.8% of the loans have received modifications. Due Diligence Findings (Concern): The third-party review (TPR) firm's due diligence review resulted in approximately 317 loans (20%) graded 'C' and 'D', of which 74 were subject to a loss severity (LS) adjustment for issues regarding high-cost testing, including 15 loans that were unable to perform a compliance review due to incomplete loan files. In addition, timelines were extended on 56 loans that were missing final modification documents. HELOCs Included (Concern): Approximately 6.2% of the total pool is made up of home equity lines of credit (HELOCs). To account for future potential draws, Fitch added the available draw amount to the loans where the line was marked as anything other than "permanently closed." This approach impacted 71 loans and increased the amount owed by $668 thousand for determining borrowers' probability of default (PD) and loss severity (LS) in Fitch's analysis. No Servicer P&I Advances (Mixed): The servicers 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 is 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 (Mixed): 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. Furthermore, the provision to re-allocate principal to pay interest on the 'AAAsf' and 'AAsf' rated notes prior to other principal distributions is highly supportive of timely interest payments to those classes, in the absence of servicer advancing. 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 that will generally not be repaid until such note becomes the most senior outstanding. Under Fitch's "Global Structured Finance Criteria," dated May 3, 2017, the agency 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. Limited Life of Rep Provider (Concern): CVI CVF III Lux Master S.a.r.l., as rep provider, will only be obligated to repurchase a loan due to breaches prior to the payment date in July 2018. Thereafter, a reserve fund will be available to cover amounts due to noteholders for loans identified as having rep breaches. Amounts on deposit in the reserve fund, as well as the increased level of subordination, will be available to cover additional defaults and losses resulting from rep weaknesses or breaches occurring on or after the payment date in July 2018. 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 that will generally not be repaid until such note becomes the most senior outstanding. Representation Framework (Concern): Fitch generally considers the representation, warranty, and enforcement (RW&E) mechanism construct for this transaction to be generally consistent with a Tier 2 framework due to the inclusion of knowledge qualifiers and the exclusion of loans from certain reps as a result of third-party due diligence findings. For 67 loans that are seasoned less than 24 months, Fitch viewed the framework as a Tier 3 because the reps related to the origination and underwriting of the loan, which are typically expected for newly originated loans, were not included. Thus, Fitch increased its 'AAAsf' PD l expectations by approximately 462bps to account for a potential increase in defaults and losses arising from weaknesses in the reps. Timing of Recordation and Document Remediation (Neutral): A review was performed and confirmed that all mortgages and subsequent assignments were recorded in the relevant local jurisdiction or were being recorded. While the expected timelines for recordation and remediation are viewed by Fitch as reasonable, the obligation of CVI CVF III Lux Master S.a.r.l. to repurchase loans, for which assignments are not recorded and endorsements are not completed by the payment date in July 2018, aligns the issuer's interests regarding completing the recordation process with those of noteholders. While there will not be an asset manager in this transaction, the indenture trustee will be reviewing the custodian reports. The indenture trustee will request CVI CVF III Lux Master S.a.r.l. to purchase any loans with outstanding assignment and endorsement issues two days prior to the July 2018 payment date. Deferred Amounts (Negative): Non-interest-bearing principal forbearance amounts totaling $20.6 million (5.4% of the unpaid principal balance) are outstanding on 490 loans. Fitch included the deferred amounts when calculating the borrower's LTV and sLTV, despite the lower payment and amounts not being owed during the term of the loan. The inclusion resulted in higher PDs and LS than if there were no deferrals. Fitch believes that borrower default behavior for these loans will resemble that of the higher LTVs, as exit strategies (that is, sale or refinancing) will be limited relative to those borrowers with more equity in the property. Solid Alignment of Interest (Positive): The sponsor, Mill City Holdings, LLC, through a majority owned affiliate, will acquire and retain a 5% interest in each class of the securities to be issued. In addition, the rep provider is an indirect owner of the sponsor. CRITERIA APPLICATION Fitch's analysis incorporated one criteria variation from the 'U.S. RMBS Seasoned and Re-performing Loan Criteria' as described below. The transaction was analyzed with one criteria variation relating to timing of the tax and title search conducted on the loans. To ensure that no liens senior to the mortgage are present, an updated search should be completed no more than six months prior to securitization. Approximately 70% of the loans had a search performed outside of this window. Both of the transaction servicers are rated by Fitch and utilize a suite of CoreLogic products to monitor delinquent taxes or tax liens. Both servicers would also be notified of any HOA liens and would work toward resolution, helping mitigate the outdated search. Fitch was provided with a gap report indicating that the total delinquent taxes amounted to about $240,000 with the total combined HOA and municipal liens equal to less than $35,000. 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 38% 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'. MILL CITY 2017-2: Moody's Assigns Ba3(sf) Rating to Class B1 Notes ------------------------------------------------------------------ Moody's Investors Service has assigned definitive ratings to seven classes of notes issued by Mill City Mortgage Loan Trust 2017-2. The certificates are backed by one pool of 1,568 seasoned performing and modified re-performing loans which include home equity lines of credit (HELOC) mortgage loans and loans with a negative amortization feature. The collateral pool has a non-zero updated weighted average FICO score of 686 and a weighted average current LTV of 80.74%. As of the cut-off date, approximately 10.86% of the mortgage loans have a negative amortization feature. These borrowers have interest rates that reset monthly, monthly payments and amortization schedules that generally adjust annually and are subject to caps and limitation. Therefore, in certain scenarios, the monthly payment may not adequately cover the accrued interest causing the loan to negatively amortize. This is the first post crisis RPL securitization to include a high concentration (>10%) of negatively amortizing loans. There are approximately 6.20% HELOC loans in this pool, of which 1.92% of the borrowers are currently eligible to make draws up to their credit limit. Approximately 74.82% of the HELOC loans have their credit line temporarily frozen due to certain circumstances including but not limited to the event where the current home value has declined below a specified level. The borrowers may unfreeze their credit line in future if the circumstances that cause such credit line to be frozen are cured. The remaining HELOC loans (approx. 23.26%) have their credit lines permanently frozen. In the event that all HELOC loans (other than the HELOC loans that are permanently frozen) are no longer precluded from making draws, the maximum amount of draws available to the borrowers as of May 2017 is equal to $668,202 or approximately 0.17% of closing date UPB, compared to $3.698 million in MCMLT 2017-1. A HELOC borrower will be assessed a principal payment only in the case that their credit limit amortizes to an amount that is below the outstanding principal balance of the loan, otherwise the borrower will be required to make only an interest payment. During the amortization period, the credit limit will decrease at a fixed rate. For example, if the amortization period is 240 months then in each month, the credit limit will reduce by 1/240 of the original credit limit. In addition, approximately 10.43% of the loans are originated on or after January 1, 2010 ("newly originated loans") for which Moody's also performed additional loan level analysis similar to Moody's analysis of newly originated prime quality loans. 69.77% of the loans in the collateral pool were also previously modified and the remaining loans have never been modified. Fay Servicing LLC and Shellpoint Mortgage Servicing ("Shellpoint"), are the servicers for the loans in the pool. The servicers will not advance any principal or interest on the delinquent loans. However, the servicers will be required to advance costs and expenses incurred in connection with a default, delinquency or other event in the performance of its servicing obligations. In addition, if a borrower of a HELOC loan requests a draw on the related HELOC credit line, the related servicer will be required to fund such draw. The complete rating actions are: Issuer: Mill City Mortgage Loan Trust 2017-2 Cl. A1, Definitive Rating Assigned Aaa (sf) Cl. A2, Definitive Rating Assigned Aa1 (sf) Cl. A3, Definitive Rating Assigned A1 (sf) Cl. M1, Definitive Rating Assigned Aa2 (sf) Cl. M2, Definitive Rating Assigned A3 (sf) Cl. M3, Definitive Rating Assigned Baa3 (sf) Cl. B1, Definitive Rating Assigned Ba3 (sf) RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Moody's expected losses on MCMLT 2017-2's collateral pool average 10.00% in Moody's base case scenario. Moody's loss estimates take into account the historical performance of loans that have similar collateral characteristics as the loans in the pool. For example, Moody's observed the performance of 10 year IO-ARM loans as a proxy to estimate future delinquencies for first lien HELOC loans because of the similarities in the two loan types. A typical HELOC is an adjustable rate loan with an IO period after which the loan amortizes over the remaining term. Similarly, for the negatively amortizing loans in this pool, Moody's analyzed performance of negatively amortizing loans originated in the same vintage. Typically, for negatively amortizing loans, the maximum percentage by which the payment can change in one period (usually annual) is capped along with other limitations. For a conventional ARM loan, the cap typically applies to the maximum percentage the interest rate can change in one period. Therefore, in certain interest rate scenarios, the performance of conventional ARM loans can be different from a negatively amortizing loans. Moody's analysis shows that negatively amortizing loans originated in 2006-2007 have behaved very similarly to conventional ARM loans from same vintages because of the declining interest rate environment since origination. However, Moody's has made qualitative adjustments to account for the negative amortization feature in a rising interest rate environment. For the non-modified portion of this pool, Moody's analyzed data on delinquency rates for always current (including self-cured) loans. Moody's final loss estimates also incorporates adjustments for the strength of the third party due diligence, the servicing framework (including the capability to service HELOC loans) and the representations and warranties (R&W) framework of the transaction. 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 "US RMBS Surveillance Methodology" published in January 2017. Collateral Description MCMLT 2017-2 is a securitization of 1,568 loans and is primarily comprised of seasoned performing and modified re-performing mortgage loans. Approximately 69.77% of the loans in the collateral pool have been previously modified. Moody's based Moody's expected losses on Moody's estimates of 1) the default rate on the remaining balance of the loans and 2) the principal recovery rate on the defaulted balances. The two factors that most strongly influence a re-performing mortgage loan's likelihood of re-default are the length of time that the loan has performed since a loan modification, and the amount of the reduction in the monthly mortgage payment as a result of the modification. The longer a borrower has been current on a re-performing loan, the less likely the borrower is to re-default. Approximately 61.97% of the borrowers have been current on their payments for at least the past 24 months. Moody's estimated expected losses for the pool using two approaches -- (1) pool-level approach, and (2) re-performing loan level analysis. In the pool-level approach, Moody's estimates losses on the pool by using a approach similar to Moody's surveillance approach wherein Moody's apply assumptions on expected future delinquencies, default rates, loss severities and prepayments as observed from Moody's surveillance of similar collateral. Moody's projects future annual delinquencies for eight years by applying an initial annual default rate and delinquency burnout factors. Based on the loan characteristics of the pool and the demonstrated pay histories, Moody's expects an annual delinquency rate of 9% on the collateral pool for year one. Moody's then calculated future delinquencies on the pool using Moody's default burnout and voluntary conditional prepayment rate (CPR) assumptions. Moody's assumptions also factor in the high delinquency rates expected in the early stages of the transaction due to payment shock expected during the amortization phase for HELOC loans originated in 2006-2008 as well as payment shock expected for step-rate loans. The delinquency burnout factors reflect Moody's future expectations of the economy and the U.S. housing market. Moody's then aggregated the delinquencies and converted them to losses by applying pool-specific lifetime default frequency and loss severity assumptions. Moody's loss severity assumptions are based off observed severities on liquidated seasoned loans and reflect the lack of principal and interest advancing on the loans. Moody's also conducted a loan level analysis on MCMLT 2017-2's collateral pool. Moody's applied loan-level baseline lifetime propensity to default assumptions based on the historical performance of loans with similar collateral characteristics and payment histories. Moody's then adjusted this base default propensity up for (1) adjustable-rate loans, (2) loans that have the risk of coupon step-ups and (3) loans with high updated loan to value ratios (LTVs). Moody's applied a higher baseline lifetime default propensity for interest-only loans, using the same adjustments. To calculate the final expected loss for the pool, Moody's applied a loan-level loss severity assumption based on the loans' updated estimated LTVs. Moody's further adjusted the loss severity assumption upwards for loans in states that give super-priority status to homeowner association (HOA) liens, to account for potential risk of HOA liens trumping a mortgage. For 10.43% of newly originated loans, Moody's also performed additional loan level analysis similar to Moody's analysis of newly originated prime quality loans. The deferred balance in this transaction is approximately $20.61 million, representing approximately 5.39% of the total unpaid principal balance. Loans that have HAMP and proprietary remaining principal reduction alternative (PRA) amounts totaled $346,022, representing approximately 1.68% of total deferred balance. Under HAMP-PRA, the principal of the borrower's mortgage may be reduced by a predetermined amount called the PRA forbearance amount if the borrower satisfies certain conditions during a trial period. If the borrower continues to make timely payments on the loan for three years, the entire PRA forbearance amount is forgiven. Also, if the loan is in good standing and the borrower voluntary pays off the loan, the entire forbearance amount is forgiven. For non-PRA forborne amounts, the deferred balance is the full obligation of the borrower and must be paid in full upon (i) sale of property (ii) voluntary payoff or (iii) final scheduled payment date. Upon sale of the property, the servicer therefore could potentially recover some of the deferred amount. For loans that default in future or get modified after the closing date, the servicer may opt for partial or full principal forgiveness to the extent permitted under the servicing agreement. Based on performance data and information from servicers, Moody's assume that 100% of the remaining PRA amount would be forgiven and not recovered. For non-PRA deferred balance, Moody's applied a slightly higher default rate for these loans than what Moody's assumed for the overall pool given that these borrowers have experienced past credit events that required loan modification, as opposed to borrowers who have been current and have never been modified. Also, for non-PRA loans, based on performance data from an RPL servicer, Moody's assumed approximately 95% severity as servicers may recover a portion of the deferred balance. The final expected loss for the collateral pool reflects the due diligence scope and findings of the independent third party review (TPR) firms as well as Moody's assessment of MCMLT 2017-2's representations & warranties (R&Ws) framework. Transaction Structure The securitization has a simple sequential priority of payments structure without any cash flow triggers. In some scenarios, excess spread will be available to pay down the notes up to the Targeted Overcollateralization Amount, which is the lower of (i) 2% of the aggregate cut-off date pool balance and (ii) 2.5% of the aggregate current pool balance. On the closing date, the Targeted Overcollateralization Amount will be approximately $7.649 million. Similar to MCMLT 2017-1, due to the inclusion of HELOC loans (and potential for future draws) certain structural features were incorporated in this transaction. If a borrower of a HELOC loan makes a draw on the related HELOC credit line, the servicer will be required to fund such draw and will be reimbursed through the following mechanism. On the closing date, the HELOC Draw Reserve Account will be fully funded to its target amount of $668,202 by the depositor, which will be used to reimburse the servicer for any draws made on the HELOC credit line. Subsequently, if amounts on deposit in the HELOC Draw Reserve Account are not sufficient to reimburse such draws, the Class D Certificates will be obligated to remit the deficient amount to the HELOC Draw Reserve Account ("Class D Draw Amount"). The Class D certificate is not an offered certificate and will represent an equity interest in the issuer (MCMLT 2017-2) In the event the holder of the Class D Certificates fails to remit all or part of any Class D Draw Amount on any payment date, the Indenture Trustee will fund any unpurchased draw or portion of a draw on future Payment Dates from amounts in the HELOC Draw Reserve Account. The servicer will not advance any principal or interest on delinquent loans. However, the servicer will be required to advance costs and expenses incurred in connection with a default, delinquency or other event in the performance of its servicing obligations. Credit enhancement in this transaction is comprised of subordination provided by mezzanine and junior tranches, the buildup of overcollateralization up to the target amount, from available excess interest (0.55% at closing) and from additional collateral available to the trust if HELOC borrowers draw on their credit line, which will be purchased by the Indenture Trustee from the servicer. If the Indenture Trustee is unable to purchase the additional collateral, then the servicer will be entitled to a portion of P&I payments on such HELOC loan. The principal payment received from this additional collateral will facilitate a faster pay down on the senior notes. The available excess interest however, will be used to first replenish the HELOC Draw Reserve Account to the target amount, to the Class D certificate holder and to reimburse any unpaid fees before paying down the rated notes sequentially until the target amount is reached. On the closing date, the HELOC Draw Reserve Account will be fully funded to its target amount, thereby, increasing the likelihood that excess spread will be available to pay down the bonds (only up to the target amount) from the first remittance date. To the extent that the overcollateralization amount is zero, realized losses will be allocated to the notes in a reverse sequential order starting with the lowest subordinate bond. The Class A1, M1, M2, and M3 notes carry a fixed-rate coupon subject to the collateral adjusted net weighted average coupon (WAC) and applicable available funds cap. The Class B1, B2, B3, B4 and B5 are variable rate notes where the coupon is equal to the lesser of adjusted net WAC and applicable available funds cap. Moody's modeled MCMLT 2017-2's cashflows using SFW®, a cashflow tool developed by Moody's Analytics. To assess the final rating on the notes, Moody's ran 96 different loss and prepayment scenarios through SFW. The scenarios encompass six loss levels, four loss timing curves, and four prepayment curves. The structure allows for timely payment of interest and ultimate payment of principal with respect to the notes by the legal final maturity. Third Party Review Three third party review (TPR) firms conducted due diligence on all but 15 of the loans in MCMLT 2017-2's collateral pool. The TPR firms reviewed compliance, data integrity and key documents, to verify that loans were originated in accordance with federal, state and local anti-predatory laws. The TPR firms also conducted audits of designated data fields to ensure the accuracy of the collateral tape. An independent firm also reviewed the title and tax reports for all the loans in the pool. Based on Moody's analysis of the third-party review reports, Moody's determined that a portion of the loans had legal or compliance exceptions that could cause future losses to the trust. Moody's incorporated an additional hit to the loss severities for these loans to account for this risk. The title review includes confirming the recordation status of the mortgage and the intervening chain of assignments, the status of real estate taxes and validating the lien position of the underlying mortgage loan. Once securitized, delinquent taxes will be advanced on behalf of the borrower and added to the borrower's account. The servicer will be reimbursed for delinquent taxes from the top of the waterfall, as a servicing advance. The representation provider has deposited collateral of $750,000 in the Assignment Reserve Account (ARA) to ensure one or more third parties monitored by the Depositor completes all assignment and endorsement chains and record an intervening assignment of mortgage as necessary. The amount deposited in the ARA at the closing date is same as MCMLT 2017-1 but lower than previous Mill City transactions issued in 2015 and 2016. Moody's has considered the lower ARA deposit and factors such as: (i) the high historical cure rate in the previous Mill City transactions; (ii) the low delinquency rate of the previous Mill City transactions; and (iii) quality of the collateral. Representations & Warranties Moody's ratings also factor in MCMLT 2017-2's weak representations and warranties (R&Ws) framework because they contain many knowledge qualifiers and the regulatory compliance R&W does not cover monetary damages that arise from TILA violations whose right of rescission has expired. While the transaction provides for a Breach Reserve Account to cover for any breaches of R&Ws, the size of the account is small relative to MCMLT 2017-2's aggregate collateral pool ($382.4 million). An initial deposit of $1.025 million will be remitted to the Breach Reserve Account on the closing date, with an initial Breach Reserve Account target amount of $1.43 million. Transaction Parties The transaction benefits from an adequate servicing arrangement. Shellpoint Mortgage Servicing ("Shellpoint") will service 81.45% of the pool and Fay Servicing LLC ("Fay") will service 18.55% of the pool. Wells Fargo Bank, N.A. is the Custodian of the transaction. The Delaware Trustee for MCMLT 2017-2 is Wilmington Savings Fund Society, FSB, d/b/a, Christiana Trust. MCMLT 2017-2's Indenture Trustee is U.S. Bank National Association. Factors that would lead to an upgrade or downgrade of the ratings: Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligors defaulting or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. MORGAN STANLEY 2000-PRIN: Moody's Affirms B2 Rating on Cl. X Debt ----------------------------------------------------------------- Moody's Investors Service has affirmed the rating on one interest only class in Morgan Stanley Dean Witter Capital I Trust 2000-PRIN: Cl. X, Affirmed B2 (sf); previously on Jun 9, 2017 Downgraded to B2 (sf) RATINGS RATIONALE The rating on the IO class X was affirmed based on the credit quality of the referenced classes. The IO class is the only outstanding Moody's rated class in this transaction. Moody's does not anticipate losses from the remaining collateral in the current environment. However, over the remaining life of the transaction, losses may emerge from macro stresses to the environment and changes in collateral performance. Moody's ratings reflect the potential for future losses under varying levels of stress. Moody's base expected loss plus realized losses is now 0.10% of the original pooled balance, compared to 0.11% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING: An IO class may be subject to ratings upgrades if there is an improvement in the credit quality of its referenced classes, subject to the limits and provisions of the updated IO methodology. An IO class may be subject to ratings downgrades if there is (i) a decline in the credit quality of the reference classes and/or (ii) paydowns of higher quality reference classes, subject to the limits and provisions of the updated IO methodology. 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 (IO) Securities" published in June 2017. DEAL PERFORMANCE As of the May 23, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 98% to $11 million from $598 million at securitization. The certificates are collateralized by seven mortgage loans ranging in size from 4% to 29% of the pool. 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 5, compared to 7 at Moody's last review. Two loans, constituting 22% 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. Two loans have been liquidated from the pool, resulting in an aggregate realized loss of $590,044 (for an average loss severity of 7%). There are currently no loans 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 78% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 28%, compared to 27% 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 17% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.7%. Moody's actual and stressed conduit DSCRs are 1.31X and 4.58X, respectively, compared to 1.54X and 9.84X 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 67% of the pool balance. The largest loan is the 10900 Research Boulevard Loan ($3.1 million -- 28.7% of the pool), which is secured by an approximately 73,900 square foot (SF) portion of an approximately 83,500 SF grocery-anchored retail center located in Austin, Texas. The property was 100% leased as of December 2016, the same as last review. The loan is fully amortizing and has amortized by 61% since securitization. Moody's LTV and stressed DSCR are 28% and 3.74X, respectively, compared to 33% and 3.21X at the last review. The second largest loan is the Kroger Center Loan ($2.2 million -- 20.3% of the pool), which is secured by an approximately 106,000 SF retail property located in Greensboro, North Carolina. As of December 2016, the property was 95% leased, compared to 100% in December 2015. The loan is fully amortizing and has amortized by 60% since securitization. Moody's LTV and stressed DSCR are 25% and >4.00X, respectively, compared to 29% and 3.54X at the last review. The third largest loan is the Randall's Austin Loan (also known as the Westcreek Shopping Center) ($1.9 million -- 17.9% of the pool), which is secured by an approximately 81,000 SF retail property located in Austin, Texas. As of December 2016, the property was 100% occupied, the same as in December 2015. The loan is fully amortizing and has amortized by 64% since securitization. Moody's LTV and stressed DSCR are 27% and 3.95X, respectively, compared to 31% and 3.46X at the last review. MORGAN STANLEY 2002-IQ3: Moody's Affirms C Rating on 2 Tranches --------------------------------------------------------------- Moody's Investors Service has upgraded the rating on one class and affirmed the ratings on four classes in Morgan Stanley Dean Witter Capital I Trust 2002-IQ3, Commercial Mortgage Pass-Through Certificates, 2002-IQ3: Cl. F, Affirmed Aaa (sf); previously on Jun 30, 2016 Upgraded to Aaa (sf) Cl. G, Upgraded to Baa3 (sf); previously on Jun 30, 2016 Upgraded to Ba2 (sf) Cl. H, Affirmed C (sf); previously on Jun 30, 2016 Affirmed C (sf) Cl. X-1, Affirmed C (sf); previously on Jun 9, 2017 Downgraded to C (sf) Cl. X-Y, Affirmed Aaa (sf); previously on Jun 30, 2016 Affirmed Aaa (sf) RATINGS RATIONALE The rating on Class G was upgraded based primarily on an increase in credit support resulting from loan paydowns and amortization. The deal has paid down 27% since Moody's last review. The rating on Class F was affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The rating on Class H was affirmed because the ratings are consistent with Moody's expected loss plus realized losses. Class H has already experienced a 92% realized loss as result of previously liquidated loans. The rating on one IO class, Class X-1, was affirmed based on the credit quality of the referenced classes. The rating on one IO Class, Class X-Y, was affirmed due to the credit quality of its referenced loan. Class X-Y refers to a former residential cooperative loan in the pool which has defeased. Moody's rating action reflects a base expected loss of 1.0% of the current balance, compared to 1.4% at Moody's last review. Moody's base expected loss plus realized losses is now 4.8% of the original pooled balance, unchanged from Moody's last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO 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-1 and Cl. X-Y was "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. DEAL PERFORMANCE As of the May 15, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 98.6% to $12.73 million from $909.6 million at securitization. The certificates are collateralized by 25 mortgage loans ranging in size from less than 1% to 11% of the pool, with the top ten loans (excluding defeasance) constituting 67% of the pool. One loan, constituting 0.4% of the pool, has defeased and is secured by US government securities. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 16, compared to 19 at Moody's last review. Thirteen loans, constituting 45% 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. Nine loans have been liquidated from the pool, contributing to an aggregate realized loss of $43.6 million (for an average loss severity of 54%). Moody's received full year 2015 operating results for 96% of the pool, and full or partial year 2016 operating results for 96% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 28%, compared to 32% 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 18% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 10.1%. Moody's actual and stressed conduit DSCRs are 1.40X and 4.84X, respectively, compared to 1.39X and 5.36X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The top three conduit loans represent 31% of the pool balance. The largest loan is the Homewood Plaza Loan ($1.44 million -- 11% of the pool), which is secured by a 53,000 square foot (SF) office property in Homewood, Alabama. The property was 95% leased as of December 2016, down from 100% at year-end 2015. The fully-amortizing loan matures in September 2022 and has amortized 58% since securitization. Moody's LTV and stressed DSCR are 26% and 4.10X, respectively, compared to 27% and 3.94X at the last review. The second largest loan is the Monroeville Giant Eagle Loan ($1.41 million -- 11% of the pool), which is secured by a 89,000 SF single-tenant grocery retail property in Monroeville, Pennsylvania. The property is 100% leased to Giant Eagle through a triple net lease that expires in February 2019. The loan is coterminous with Giant Eagle's initial lease term, but the lease has two five-year extension options. The loan has amortized 83% since securitization and Moody's LTV and stressed DSCR are 16% and 6.47X, respectively, compared to 21% and 4.88X at the last review. The third largest loan is the 4051 Douglas Boulevard Loan ($1.07 million -- 8.4% of the pool), which is secured by a 14,500 SF single tenant retail property in Granite Bay, California. The property is 100% leased to Walgreens through September 2022. The fully-amortizing loan matures in October 2022 and has amortized 57% since securitization. Moody's LTV and stressed DSCR are 39% and 2.92X, respectively, compared to 37% and 3.09X at the last review. MORGAN STANLEY 2007-TOP25: Fitch Hikes Cl. A-J Certs Rating to Bsf ------------------------------------------------------------------ Fitch Ratings has upgraded two classes and affirmed 12 classes of Morgan Stanley Capital I Trust 2007-TOP25 (MSCI 2007-TOP25) commercial mortgage pass-through certificates. KEY RATING DRIVERS The upgrades to classes A-J and B reflect the substantial credit enhancement to the classes relative to expected losses. As of the May 2017 distribution date, the pool's aggregate principal balance has been reduced by 91.5% to $132 million from $1.55 billion at issuance. Further, since the last rating action in 2016, the transaction received pay down of approximately $785 million with realized losses on assets disposed over the period better than anticipated. Pool Concentration: Only 13 of the original 204 loans remain in the pool. Further, the largest loan, the specially serviced, Shoppes at Park Place, comprises 53.8% of the pool. A significant percentage of the remaining loans are secured by retail properties (87% of the pool). Due to the concentrated nature of the pool, Fitch performed a sensitivity analysis that grouped the remaining loans based on loan structural features, collateral quality, and performance, then ranked them by the perceived likelihood of repayment. This included specially serviced assets, a small defeased loan, fully amortizing loans, and performing loans with binary performance risk. The ratings reflect this sensitivity analysis. Loans of Concern: A majority of the loans in the pool are considered Fitch Loans of Concern at 80.9%, including 74.9% in special servicing. Shoppes at Park Place: The largest remaining loan in the pool transferred to special servicing in January 2017 due to maturity default. The interest-only loan is secured by a 325,270 sf retail center located in Pinellas Park, FL. The property, which was constructed in 2006, has a mix of national retailers, including Regal Cinemas (22.4% of the NRA through 2021), American Signature Furniture (15.4% through 2021), Marshalls (9.2% through 2021), and Michaels (6.6% through 2026). The property is shadow anchored by Target and Home Depot. The servicer reported YE 2016 NOI DSCR was 1.32x. As of the November 2016 rent roll, the property remained 99% occupied. Approximately 11% of the NRA was scheduled to roll over the next year, including Off Broadway Shoes (6.2%). A substantial recovery is expected on this loan based on a recently provided valuation. RATING SENSITIVITIES The Stable Outlook on class A-J reflects the sufficient credit enhancement to the class and strong recovery expectations for the largest loan in the pool. Further upgrade to the class is unlikely due to the portfolio's concentration, adverse selection and significant percentage of Fitch Loans of Concern. The distressed classes B and C may be subject to further rating actions depending on the ultimate recoveries for the specially serviced loans. Fitch has upgraded the following ratings: -- $76.4 million class A-J to 'Bsf' from 'CCCsf'; Outlook Stable Assigned. -- $27.2 million class B to 'CCCsf' from 'CCsf'; RE 50%. Fitch has affirmed the following ratings: -- $11.7 million class C at 'CCsf'; RE 0%; -- $16.7 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 O at 'Dsf'; RE 0%. The class A-1, A-1A, A-2, A-3, A-AB and A-M 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 2008-TOP29: S&P Raises Rating on Cl. E Certs to BB+ ------------------------------------------------------------------ S&P Global Ratings raised its ratings on eight classes of commercial mortgage pass-through certificates from Morgan Stanley Capital I Trust 2008-TOP29, a U.S. commercial mortgage-backed securities (CMBS) transaction. At the same time, S&P lowered its rating on one class and affirmed our ratings on nine other classes from the same transaction. S&P's rating actions on the principal- and interest-paying certificates follow its analysis of the transaction, primarily using its criteria for rating U.S. and Canadian CMBS transactions, which included a review of the credit characteristics and performance of the remaining assets in the pool, the transaction's structure, and the liquidity available to the trust. S&P raised its ratings on classes A-M through G to reflect its expectation of the available credit enhancement for these classes, which S&P believes is greater than its most recent estimate of necessary credit enhancement for the respective rating levels. The upgrades also reflect the reduction in trust balance as well as an increase in defeased loans in the transaction ($274.1 million, 33.6%). S&P lowered its rating on class O to 'D (sf)' because it expects the accumulatedinterest shortfalls to remain outstanding for the foreseeable future. According to the June 13, 2017, trustee remittance report, the current monthly interest shortfalls totaled $28,249, resulting primarily from: -- Appraisal subordinate entitlement reduction amounts totaling $24,471; and -- Special servicing fees totaling $3,777. The current interest shortfalls affected classes subordinate to and including class O. The affirmations on the principal- and interest-paying certificates reflect S&P's expectation that the available credit enhancement for these classes will be within its estimate of the necessary credit enhancement required for the current ratings. S&P affirmed itsour 'AAA (sf)' rating on the class X interest-only (IO) certificates based on S&P's criteria for rating IO securities. TRANSACTION SUMMARY As of the June 13, 2017, trustee remittance report, the collateral pool balance was $814.8 million, which is 66.0% of the pool balance at issuance. The pool currently includes 63 loans and one real estate-owned (REO) asset, down from 82 loans at issuance. One of the assets ($17.5 million, 2.2%) is with the special servicer, seven are defeased, and 26 ($229.8 million, 28.2%) are on the master servicer's watchlist. The master servicer, Wells Fargo Bank N.A., reported financial information for 100% of the nondefeased loans in the pool, of which 97.7% was year-end 2016 data, 0.9% was partial-year 2017 data, and the remaining was year-end 2015 data. S&P calculated an S&P Global Ratings weighted average debt service coverage (DSC) of 1.25x and a loan-to-value (LTV) ratio of 83.9% using an S&P Global Ratings weighted average capitalization rate of 7.92%. The DSC, LTV, and capitalization rate calculations exclude the one specially serviced asset, seven defeased loans, and one cooperative housing loan ($5.1 million, 0.6%). The top 10 nondefeased loans have an aggregate outstanding pool trust balance of $324.6 million (39.8%). Using servicer-reported numbers, S&P calculated an S&P Global Ratings weighted average DSC and LTV of 1.22x and 91.2%, respectively, for nine of the top 10 nondefeased performing loans. The remaining loan is specially serviced and discussed below. To date, the transaction has experienced $11.6 million in principal losses, or 0.9% of the original pool trust balance. S&P expects losses to reach approximately 1.3% 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 asset. CREDIT CONSIDERATIONS As of the June 13, 2017, trustee remittance report, one loan ($17.5 million, 2.2%) in the pool was with the special servicer, C-III Asset Management LLC. Details of the asset are: -- The Scottsdale Retail Center, an REO asset ($17.5 million, 2.2%), is the eighth-largest nondefeased asset in the trust, and has a total reported exposure of $18.7 million. The asset is a retail property totaling 102,563 sq. ft. located in Scottsdale, Ariz. The loan was transferred to the special servicer on Sept. 22, 2016, because of imminent default as one anchor tenant, Sports Chalet (40% of gross leasable area), filed for bankruptcy in April 2016, and subsequently closed the store and stopped paying rent in May 2016. The property became REO on May 31, 2017. The reported DSC as of June 2016 was 0.91x. An appraisal reduction amount (ARA) of $4.6 million is in effect against the asset. S&P expects a moderate loss (26%-59%) upon the asset's eventual resolution. S&P's estimated loss for the asset is 27.8%. RATINGS LIST Morgan Stanley Capital I Trust 2008-TOP29 Commercial mortgage pass-through certificates series 2008-TOP29 Rating Class Identifier To From A-4 61757LAE0 AAA (sf) AAA (sf) A-4FL 61757LAK6 AAA (sf) AAA (sf) A-M 61757LAF7 AA+ (sf) A+ (sf) A-J 61757LAG5 A+ (sf) BBB (sf) B 61757LAL4 A- (sf) BBB- (sf) C 61757LAM2 BBB+ (sf) BB+ (sf) D 61757LAN0 BBB- (sf) BB (sf) E 61757LAP5 BB+ (sf) BB- (sf) F 61757LAQ3 BB (sf) B+ (sf) G 61757LAR1 B+ (sf) B (sf) H 61757LAS9 B- (sf) B- (sf) J 61757LAT7 B- (sf) B- (sf) K 61757LAU4 B- (sf) B- (sf) L 61757LAV2 B- (sf) B- (sf) M 61757LAW0 B- (sf) B- (sf) N 61757LAX8 CCC- (sf) CCC- (sf) O 61757LAY6 D (sf) CCC- (sf) X 61757LAJ9 AAA (sf) AAA (sf) MORGAN STANLEY 2012-C5: Moody's Affirms B2 Rating on 2 Tranches --------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on fifteen classes in Morgan Stanley Bank of America Merrill Lynch Trust 2012-C5, Commercial Mortgage Pass-Through Certificates, Series 2012-C5: Cl. A-2, Affirmed Aaa (sf); previously on Jun 30, 2016 Affirmed Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on Jun 30, 2016 Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Jun 30, 2016 Affirmed Aaa (sf) Cl. A-S, Affirmed Aaa (sf); previously on Jun 30, 2016 Affirmed Aaa (sf) Cl. B, Affirmed Aa2 (sf); previously on Jun 30, 2016 Affirmed Aa2 (sf) Cl. C, Affirmed A2 (sf); previously on Jun 30, 2016 Affirmed A2 (sf) Cl. D, Affirmed Baa1 (sf); previously on Jun 30, 2016 Affirmed Baa1 (sf) Cl. E, Affirmed Baa3 (sf); previously on Jun 30, 2016 Affirmed Baa3 (sf) Cl. F, Affirmed Ba2 (sf); previously on Jun 30, 2016 Affirmed Ba2 (sf) Cl. G, Affirmed Ba3 (sf); previously on Jun 30, 2016 Affirmed Ba3 (sf) Cl. H, Affirmed B2 (sf); previously on Jun 30, 2016 Affirmed B2 (sf) Cl. PST, Affirmed Aa3 (sf); previously on Jun 30, 2016 Affirmed Aa3 (sf) Cl. X-A, Affirmed Aaa (sf); previously on Jun 30, 2016 Affirmed Aaa (sf) Cl. X-B, Affirmed Aa2 (sf); previously on Jun 30, 2016 Affirmed Aa2 (sf) Cl. X-C, Affirmed B2 (sf); previously on Jun 9, 2017 Downgraded to B2 (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 three IO classes were affirmed based on the credit quality of the referenced classes. The rating on Class PST was affirmed due to the weighted average rating factor (WARF) of the exchangeable classes. Moody's rating action reflects a base expected loss of 2.8% of the current balance, compared to 1.8% at Moody's last review. Moody's base expected loss plus realized losses is now 2.2% of the original pooled balance, compared to 1.6% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The methodologies used in these ratings were "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in December 2014, and "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in October 2015. The principal methodology used in rating the exchangeable class PST, was "Moody's Approach to Rating Repackaged Securities" published in June 2015. Additionally, the methodology used in rating Classes X-A, X-B and X-C was "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. DEAL PERFORMANCE As of the May 17, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 21% to $1 billion from $1.35 billion at securitization. The certificates are collateralized by 65 mortgage loans ranging in size from less than 1% to 15.6% of the pool, with the top ten loans (excluding defeasance) constituting 57.3% of the pool. One loan, constituting 9.4% of the pool, has an investment-grade structured credit assessment. Three loans, constituting 1.9% of the pool, have defeased and are secured by US government securities. 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 18, compared to 19 at Moody's last review. Ten loans, constituting 17.9% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. There are no loans that have been liquidated from the pool, nor are there any loans 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 94% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 95.3%, compared to 92.6% 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 18.3% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.5%. Moody's actual and stressed conduit DSCRs are 1.47X and 1.12X, respectively, compared to 1.52X and 1.14X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The loan with a structured credit assessment is the Silver Sands Factory Stores Loan ($100 million -- 9.4% of the pool), which is secured by a 442,000 square foot (SF) outlet center located in Miramar Beach, Florida. As of December 2016 the property was 92% leased, compared to 94% leased in March 2016. Moody's structured credit assessment and stressed DSCR are a2 (sca.pd) and 1.43X, respectively. The top three conduit loans represent 31% of the pool balance. The largest loan is the Legg Mason Tower Loan ($165.6 million -- 15.6% of the pool), which is secured by a 613,000 square foot (SF), 24-story, Class A office building located along the Inner Harbor waterfront in downtown Baltimore, Maryland. The improvements were constructed in 2009 and consist of a 24-story high rise office building, 19,000 square feet (SF) of ground floor retail space and a 5-level subterranean garage containing 1,145 parking spaces. As per the April 2017 rent roll, the property was 100% leased, compared to 96% leased as of December 2015. Moody's LTV and stressed DSCR are 89.8% and 1.08X, respectively, compared to 93.6% and 1.04X at the last review. The second largest loan is the US Bank Tower Loan ($82.8 million -- 7.8% of the pool), which is secured by a 520,000 square foot (SF), Class A office building located in the central business district of Denver, Colorado. The property is comprised of a 26-story office building with a two-level subterranean parking garage, an adjacent six-level parking garage, as well as ground floor retail. As per the March 2017 rent roll the property was 79% leased, compared to 78% leased as of December 2015. The largest tenant, US Bank (28% of net rentable area), whose lease expired in December 2016 reached an agreement to extend and downsize their footprint by 66% to approximately 96,000 SF. They will surrender their space over a sixteen month period. Moody's LTV and stressed DSCR are 127% and 0.78X, respectively, compared to 111% and 0.90X at the last review. The third largest loan is the Hamilton Town Center Loan ($81.4 million -- 7.6% of the pool), which is secured by a 494,000 square foot (SF) component of a larger 671,000 square foot (SF) retail lifestyle center located 20 miles northeast of Indianapolis in Noblesville, Indiana. The property is sponsored by Simon Property Group and is anchored by a JC Penney and an IMAX Theatre. Neither anchor tenant serves as part of the loan collateral. As per the January 2017 rent roll the property was 94% leased, compared to 93% leased as of December 2015. Moody's LTV and stressed DSCR are 91% and 1.16X, respectively, compared to 84% and 1.19X at the last review. MP CLO IV: Moody's Assigns (P)Ba3(sf) Rating to Class E-R Notes --------------------------------------------------------------- Moody's Investors Service has assigned the following provisional ratings to the following notes (the "Refinancing Notes") to be issued by MP CLO IV, Ltd.: US$4,000,000 Class X Amortizing Senior Secured Floating Rate Notes due 2029 (the "Class X Notes"), Assigned (P)Aaa (sf) US$258,000,000 Class A-R Senior Secured Floating Rate Notes Due 2029 (the "Class A-R Notes"), Assigned (P)Aaa (sf) US$42,000,000 Class B-R Senior Secured Floating Rate Notes due 2029 (the "Class B-R Notes"), Assigned (P)Aa2 (sf) US$19,400,000 Class C-R Senior Secured Deferrable Floating Rate Notes due 2029 (the "Class C-R Notes"), Assigned (P)A2 (sf) US$24,600,000 Class D-R Senior Secured Deferrable Floating Rate Notes due 2029 (the "Class D-R Notes"), Assigned (P)Baa3 (sf) US$24,000,000 Class E-R Senior Secured Deferrable Floating Rate Notes Due 2029 (the "Class E-R Notes"), Assigned (P)Ba3 (sf) Moody's issues provisional ratings in advance of the final sale of financial instruments, but these ratings only represent Moody's preliminary credit opinions. Upon a conclusive review of a transaction and associated documentation, Moody's will endeavor to assign definitive ratings. A definitive rating, if any, may differ from a provisional rating. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of senior secured, broadly syndicated corporate loans. MP CLO Management LLC (the "Manager") manages the CLO. It directs the selection, acquisition, and disposition of collateral on behalf of the Issuer. RATINGS RATIONALE Moody's provisional ratings on the Refinancing Notes address the expected losses posed to noteholders. The provisional ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. The Issuer intends to issue the Refinancing Notes on July 25, 2017 (the "Refinancing Date") in connection with the refinancing of all classes of the secured notes (the "Refinanced Original Notes") previously issued on September 25, 2013. On the Refinancing Date, the Issuer will use proceeds from the issuance of the Refinancing Notes to redeem in full the Refinanced Original Notes. In addition to the issuance of the Refinancing Notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: 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. 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: $399,635,083 Defaulted par: $733,596 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2950 Weighted Average Spread (WAS): 3.45% Weighted Average Coupon (WAC): 6.50% Weighted Average Recovery Rate (WARR): 47.75% Weighted Average Life (WAL): 8 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in October 2016. Factors That Would Lead to an Upgrade or a Downgrade of the Ratings: The performance of the 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 rating(s) 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% (3393) Rating Impact in Rating Notches Class X Notes: 0 Class A-R Notes: -1 Class B-R Notes: -2 Class C-R Notes: -2 Class D-R Notes: -1 Class E-R Notes: -1 Percentage Change in WARF -- increase of 30% (3835) Rating Impact in Rating Notches Class X Notes: 0 Class A-R Notes: -1 Class B-R Notes: -4 Class C-R Notes: -4 Class D-R Notes: -2 Class E-R Notes: -2 N-STAR REAL IX: S&P Lowers Rating on 3 Classes to 'CC' ------------------------------------------------------ S&P Global Ratings lowered its ratings on three classes from N-Star Real Estate CDO IX Ltd., a U.S. commercial real estate collateralized debt obligation (CRE CDO) transaction. At the same time, S&P affirmed its ratings on nine other classes from the same transaction. The rating actions follow S&P's review of the transaction's performance using data from the May 2017 monthly trustee report (that includes the details on June 7, 2017, payment date) and the notice issued by the trustee on June 7, 2017. On June 7, 2017, the trustee filed an interpleader action alleging a conflict between the controlling class noteholders and the collateral manager regarding whether events of default have occurred or are continuing. Following that, only the class A-1 noteholders received interest payments; the interest (as well as future interest) to the nondeferrable class A-2, A-3, and B notes is currently in an escrow account pending court resolution. Because S&P expects this resolution within a year, it affirmed its ratings on the class A-2, A-3, and B notes based on their existing credit support and quality of assets backing the respective notes in line with "Structured Finance Temporary Interest Shortfall Methodology," published Dec. 15, 2015. S&P will revisit the ratings for these classes if there is no resolution within 12 months. Even though the transaction continues to pay down the class A-1 notes, it has experienced an increase in defaults since S&P's last rating action in June 2014. This caused the overcollateralization (O/C) ratios to decline since the June 2014 trustee report, which S&P used for its last rating actions: -- The class A/B O/C ratio declined to 107.34% from 111.53%. -- The class C/D/E O/C ratio declined to 98.83% from 105.80%. -- The class F/G/H O/C ratio declined to 95.51% from 103.50%. S&P lowered its ratings on the class H, J, and K notes to reflect credit support erosion. Since S&P's previous review on June 2014, the class A-1 notes have been paid down by $221.94 million, and the current outstanding balance of the notes is about 38.60% of its original issuance. Although our model indicated a downgrade, S&P affirmed its rating based on the expectation of continued paydowns and the credit quality of the assets backing the notes. S&P affirmed its 'CCC- (sf)' ratings on the class C, D, E, F, and G notes to reflect S&P's belief that the credit support available is commensurate with the current rating level. Because the transaction previously experienced subordinate debt cancellation, S&P's ratings relied in part upon a criteria interpretation of our global CDO criteria "Global Methodologies And Assumptions For Corporate Cash Flow And Synthetic CDOs, published Aug. 8, 2016, applicable to such situations. This involves the application of an additional rating stress, which is designed to assess the potential creditworthiness without the support of interest or principal diversion mechanisms linked to the outstanding subordinated tranches. S&P's review of the transaction also relied in part upon a criteria interpretation with respect to our May 2014 criteria, "CDOs: Mapping A Third Party's Internal Credit Scoring System To Standard & Poor's Global Rating Scale," which allows S&P to use a limited number of public ratings from other Nationally Recognized Statistical Rating Organizations to assess the credit quality of assets not rated by S&P Global Ratings. The criteria provide specific guidance for the treatment of corporate assets not rated by S&P Global Ratings, while the interpretation outlines the treatment of securitized assets. S&P's review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the aforementioned trustee report, to estimate future performance. In line with S&P's criteria, its cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, S&P's analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis demonstrated, in S&P's view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions. S&P will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and will take rating actions as S&P deems necessary. RATING LOWERED N-Star Real Estate CDO IX Ltd. Rating Class To From H CC (sf) CCC- (sf) J CC (sf) CCC- (sf) K CC (sf) CCC- (sf) RATING AFFIRMED N-Star Real Estate CDO IX Ltd. Class Rating A-1 CCC+ (sf) A-2 CCC (sf) A-3 CCC- (sf) B CCC- (sf) C CCC- (sf) D CCC- (sf) E CCC- (sf) F CCC- (sf) G CCC- (sf) NEW RESIDENTIAL 2017-3: DBRS Finalizes BB Ratings on 7 Tranches --------------------------------------------------------------- DBRS, Inc. on June 9, 2017, finalized the following provisional ratings on the Mortgage-Backed Notes, Series 2017-3 (the Notes) issued by New Residential Mortgage Loan Trust 2017-3 (the Trust): -- $566.2 million Class A-1 at AAA (sf) -- $566.2 million Class A-IO at AAA (sf) -- $566.2 million Class A-1A at AAA (sf) -- $566.2 million Class A-1B at AAA (sf) -- $566.2 million Class A-1C at AAA (sf) -- $566.2 million Class A1-IOA at AAA (sf) -- $566.2 million Class A1-IOB at AAA (sf) -- $566.2 million Class A1-IOC at AAA (sf) -- $596.9 million Class A-2 at AA (sf) -- $566.2 million Class A at AAA (sf) -- $30.6 million Class B-1 at AA (sf) -- $30.6 million Class B1-IO at AA (sf) -- $30.6 million Class B-1A at AA (sf) -- $30.6 million Class B-1B at AA (sf) -- $30.6 million Class B-1C at AA (sf) -- $30.6 million Class B1-IOA at AA (sf) -- $30.6 million Class B1-IOB at AA (sf) -- $30.6 million Class B1-IOC at AA (sf) -- $20.9 million Class B-2 at A (sf) -- $20.9 million Class B2-IO at A (sf) -- $20.9 million Class B-2A at A (sf) -- $20.9 million Class B-2B at A (sf) -- $20.9 million Class B-2C at A (sf) -- $20.9 million Class B2-IOA at A (sf) -- $20.9 million Class B2-IOB at A (sf) -- $20.9 million Class B2-IOC at A (sf) -- $24.0 million Class B-3 at BBB (sf) -- $24.0 million Class B-3A at BBB (sf) -- $24.0 million Class B-3B at BBB (sf) -- $24.0 million Class B-3C at BBB (sf) -- $24.0 million Class B3-IOA at BBB (sf) -- $24.0 million Class B3-IOB at BBB (sf) -- $24.0 million Class B3-IOC at BBB (sf) -- $13.9 million Class B-4 at BB (sf) -- $13.9 million Class B-4A at BB (sf) -- $13.9 million Class B4-IOA at BB (sf) -- $13.9 million Class B-4B at BB (sf) -- $13.9 million Class B4-IOB at BB (sf) -- $13.9 million Class B-4C at BB (sf) -- $13.9 million Class B4-IOC at BB (sf) -- $12.9 million Class B-5 at B (sf) -- $12.9 million Class B-5A at B (sf) -- $12.9 million Class B5-IOA at B (sf) -- $12.9 million Class B-5B at B (sf) -- $12.9 million Class B5-IOB at B (sf) -- $12.9 million Class B-5C at B (sf) -- $12.9 million Class B5-IOC at B (sf) -- $12.9 million Class B-5D at B (sf) -- $12.9 million Class B5-IOD at B (sf) Classes A-IO, A1-IOA, A1-IOB, A1-IOC, B1-IO, B1-IOA, B1-IOB, B1-IOC, B2-IO, B2-IOA, B2-IOB, B2-IOC, B3-IOA, B3-IOB, B3-IOC, B4-IOA, B4-IOB, B4-IOC, B5-IOA, B5-IOB, B5-IOC and B5-IOD are interest-only notes. The class balances represent notional amounts. Classes A-1A, A-1B, A-1C, A1-IOA, A1-IOB, A1-IOC, A-2, A, B-1A, B-1B, B-1C, B1-IOA, B1-IOB, B1-IOC, B-2A, B-2B, B-2C, B2-IOA, B2-IOB, B2-IOC, B-3A, B-3B, B-3C, B3-IOA, B3-IOB, B3-IOC, B-4A, B4-IOA, B-4B, B4-IOB, B-4C, B4-IOC, B-5A, B5-IOA, B-5B, B5-IOB, B-5C, B5-IOC, B-5D and B5-IOD are exchangeable notes. These classes can be exchanged for combinations of initial exchangeable notes as specified in the offering documents. The AAA (sf) ratings on the Notes reflect the 18.60% of credit enhancement provided by subordinated Notes in the pool. The AA (sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings reflect 14.20%, 11.20%, 7.75%, 5.75% and 3.90% 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. Based on the stated principal balances, the Notes are backed by 6,551 loans with a total principal balance of $695,630,510 as of the Cut-Off Date (May 1, 2017). The note amounts and notional amounts of the Notes are based on the aggregate stated principal balance of the mortgage loans. Based on the actual loan balances, the total principal balance is $698,108,121 as of the Cut-Off Date. Unless specified otherwise, all the statistics regarding the mortgage loans in this PR are based on the actual loan balances. The loans are significantly seasoned with a weighted-average age of 161 months. As of the Cut-Off Date, 91.2% of the pool is current, 7.6% is 30 days delinquent under the Mortgage Bankers Association (MBA) delinquency method and 1.2% is in bankruptcy (all bankruptcy loans are performing or 30 days delinquent). Approximately 70.3% and 77.2% of the mortgage loans have been zero times 30 days delinquent (0 x 30) for the past 24 months and 12 months, respectively, under the MBA delinquency method. The portfolio contains 30.0% modified loans. The modifications happened more than two years ago for 65.5% of the modified loans. As a result of the seasoning of the collateral, none of the loans are subject to the Consumer Financial Protection Bureau Ability-to-Repay/Qualified Mortgage rules. The Seller, NRZ Sponsor VI LLC (NRZ), acquired certain loans prior to the Closing Date and will acquire certain loans on the Closing Date in connection with the termination of various securitization trusts or through a whole loan purchase. Upon acquiring the loans from the securitization trusts, NRZ, through an affiliate, New Residential Funding 2017-3 LLC (the Depositor), will contribute the loans to the Trust. As the Sponsor, New Residential Investment Corp., through a majority-owned affiliate, will acquire and retain a 5% eligible vertical interest in each class of securities to be issued (other than the residual notes) to satisfy the credit risk retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. These loans were originated and previously serviced by various entities through purchases in the secondary market. As of the Cut-Off Date, 58.3% of the pool is serviced by Ocwen Loan Servicing, LLC, 21.6% by Specialized Loan Servicing LLC and 20.1% by Nationstar Mortgage LLC (Nationstar). Nationstar will also act as the Master Servicer and the Special Servicer. Beginning on September 1, 2017, the Seller will have the option to repurchase any loan that becomes 60 or more days delinquent under the MBA method at a price equal to the principal balance of the loan (Optional Repurchase Price), provided that such repurchases will be limited to 10% of the principal balance of the mortgage loans as of the Cut-Off Date. The transaction employs a senior-subordinate, shifting-interest cash flow structure that is enhanced from a pre-crisis structure. The ratings reflect transactional strengths that include underlying assets that have significant seasoning, relatively clean payment histories and robust loan attributes with respect to credit scores, product types and LTV ratios. Additionally, historical NRMLT securitizations have exhibited fast voluntary prepayment rates and satisfactory deal performance. The transaction employs a relatively weak representations and warranties framework that includes an unrated representation provider (NRZ), certain knowledge qualifiers and fewer mortgage loan representations relative to DBRS criteria for seasoned pools. Satisfactory third-party due diligence was performed on the pool for regulatory compliance, title/lien, payment history and data integrity. Updated Home Data Index and/or broker price opinions were provided for the pool; however, a reconciliation was not performed the updated values. Certain loans have missing assignments or endorsements as of the Closing Date. Given the relatively clean performance history of the mortgages and the operational capability of the servicers, DBRS believes the risk of impeding or delaying foreclosure is remote. The full description of the strengths, challenges and mitigating factors are detailed in the related report. Please see the related appendix for additional information regarding sensitivity of assumptions used in the rating process. NORTHWOODS CAPITAL XV: Moody's Assigns Ba3 Rating to Cl. E Notes ---------------------------------------------------------------- Moody's Investors Service has assigned ratings to six classes of notes issued by Northwoods Capital XV, Limited. Moody's rating action is: US$285,750,000 Class A Senior Secured Floating Rate Notes due 2029 (the "Class A Notes"), Definitive Rating Assigned Aaa (sf) US$44,000,000 Class B-1 Senior Secured Floating Rate Notes due 2029 (the "Class B-1 Notes"), Definitive Rating Assigned Aa2 (sf) US$10,000,000 Class B-2 Senior Secured Fixed Rate Notes due 2029 (the "Class B-2 Notes"), Definitive Rating Assigned Aa2 (sf) US$27,000,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2029 (the "Class C Notes"), Definitive Rating Assigned A2 (sf) US$24,750,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2029 (the "Class D Notes"), Definitive Rating Assigned Baa3 (sf) US$22,500,000 Class E Junior Secured Deferrable Floating Rate Notes due 2029 (the "Class E Notes"), Definitive Rating Assigned Ba3 (sf) The Class A 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." 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. Northwoods Capital XV 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, and up to 7.5% of the portfolio may consist of collateral obligations that are not senior secured loans. The portfolio is approximately 84% ramped as of the closing date. Angelo, Gordon & Co., L.P. (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's four-year reinvestment period. Thereafter, the Manager may 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: $450,000,000 Diversity Score: 55 Weighted Average Rating Factor (WARF): 2800 Weighted Average Spread (WAS): 3.70% Weighted Average Coupon (WAC): 6.50% Weighted Average Recovery Rate (WARR): 46.5% Weighted Average Life (WAL): 8 years. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in October 2016. Factors That Would Lead to Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. Together with the set of modeling assumptions above, Moody's conducted an additional sensitivity analysis, which was a component in determining the ratings assigned to the Rated Notes. This sensitivity analysis includes increased default probability relative to the base case. Below is a summary of the impact of an increase in default probability (expressed in terms of WARF level) on the Rated Notes (shown in terms of the number of notch difference versus the current model output, whereby a negative difference corresponds to higher expected losses), assuming that all other factors are held equal: Percentage Change in WARF -- increase of 15% (from 2800 to 3220) Rating Impact in Rating Notches Class A Notes: 0 Class B-1 Notes: -2 Class B-2 Notes: -2 Class C Notes: -2 Class D Notes: -1 Class E Notes: 0 Percentage Change in WARF -- increase of 30% (from 2800 to 3640) Rating Impact in Rating Notches Class A Notes: -1 Class B-1 Notes: -3 Class B-2 Notes: -3 Class C Notes: -4 Class D Notes: -2 Class E Notes: -1 PALMER SQUARE 2016-2: S&P Hikes Class D Notes Rating to 'BB+' ------------------------------------------------------------- S&P Global Ratings raised its ratings on the class A-2, B, C, and D notes from Palmer Square Loan Funding 2016-2 Ltd. S&P also removed these ratings from CreditWatch, where it placed them with positive implications on March 30, 2017. At the same time, S&P affirmed its 'AAA (sf)' rating on the class A-1 notes from the same transaction. Palmer Square Loan Funding 2016-2 Ltd. is a static collateralized loan obligation that closed in June 2016 and entered its amortization phase on the Oct. 21, 2016, payment date. This transaction is managed by Palmer Square Capital Management LLC. The rating actions follow S&P's review of the transaction's performance using data from the May 15, 2017, trustee report. The upgrades reflect the stable credit quality of the collateral portfolio. The current 'CCC' asset exposure is 0.8% of the portfolio, compared to 0.0% in July 2016. There are still no defaults in the portfolio. The upgrades also reflect the transaction's $68.9 million in collective paydowns to the class A-1 notes since S&P's June 2016 rating actions. These paydowns resulted in improved reported overcollateralization (O/C) ratios since the July 2016 trustee report, which S&P used for its last rating actions: -- The class A O/C ratio improved to 155.19% from 130.35%. -- The class B O/C ratio improved to 129.32% from 117.42%. -- The class C O/C ratio improved to 120.24% from 112.38%. -- The class D O/C ratio improved to 112.94% from 108.09%. S&P's review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the aforementioned trustee report, to estimate future performance. In line with S&P's criteria, its cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, S&P's analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of cash flow analysis demonstrated, in S&P's view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions. S&P will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and will take rating actions as S&P deems necessary. RATINGS RAISED AND REMOVED FROM CREDITWATCH POSITIVE Palmer Square Loan Funding 2016-2 Ltd. Rating Class To From A-2 AAA (sf) AA (sf)/Watch Pos B AA+ (sf) A (sf)/Watch Pos C A (sf) BBB (sf)/Watch Pos D BB+ (sf) BB (sf)/Watch Pos RATING AFFIRMED Palmer Square Loan Funding 2016-2 Ltd. Class Rating A-1 AAA (sf) PREFERRED TERM XIII: Moody's Hikes Rating on 3 Tranches to Ba1 -------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Preferred Term Securities XIII, Ltd.: US$98,350,000 Floating Rate Class B-1 Mezzanine Notes Due March 24, 2034, Upgraded to Ba1 (sf); previously on November 16, 2015 Upgraded to Ba3 (sf) US$21,450,000 Fixed/Floating Rate Class B-2 Mezzanine Notes Due March 24, 2034, Upgraded to Ba1 (sf); previously on November 16, 2015 Upgraded to Ba3 (sf) US$44,000,000 Fixed/Floating Rate Class B-3 Mezzanine Notes Due March 24, 2034, Upgraded to Ba1 (sf); previously on November 16, 2015 Upgraded to Ba3 (sf) Moody's also affirmed the ratings on the following notes: US$276,250,000 Floating Rate Class A-1 Senior Notes Due March 24, 2034 (current outstanding balance of $83,822,210), Affirmed Aaa (sf); previously on November 16, 2015 Upgraded to Aaa (sf) US$27,000,000 Floating Rate Class A-2 Senior Notes Due March 24, 2034, Affirmed Aa1 (sf); previously on November 16, 2015 Upgraded to Aa1 (sf) US$7,750,000 Fixed/Floating Rate Class A-3 Senior Notes Due March 24, 2034, Affirmed Aa1 (sf); previously on November 16, 2015 Upgraded to Aa1 (sf) US$21,500,000 Fixed/Floating Rate Class A-4 Senior Notes Due March 24, 2034, Affirmed Aa1 (sf); previously on November 16, 2015 Upgraded to Aa1 (sf) Preferred Term Securities XIII, Ltd., issued in March 2004, is a collateralized debt obligation (CDO) backed by a portfolio of bank trust preferred securities (TruPS). RATINGS RATIONALE The rating actions are primarily a result of the deleveraging of the Class A-1 notes and an increase in the transaction's over-collateralization ratios (OC) since June 2016. The Class A-1 notes have paid down by approximately 21.1% or $22.4 million since June 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-4 and Class B notes have improved to 405.0%, 242.3%, 111.7%, respectively, from June 2016 levels of 313.6%, 208.5% and 105.5%, respectively. Moody's gave full par credit in its analysis to three deferring assets that meet certain criteria, totaling $12 million in par. The Class A-1 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. Because the transaction's portfolio includes TruPS issued by a number of bank holding companies with significant amounts of other debt, the rating actions also took into account a stress scenario in which Moody's made adjustments to the RiskCalc(TM) credit scores for these highly levered bank holding companies. 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. 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(TM) 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 510) Class A-1: 0 Class A-2: +1 Class A-3: +1 Class A-4: +1 Class B-1: +3 Class B-2: +3 Class B-3: +3 Assuming a two-notch downgrade to assets with below-investment grade ratings or rating estimates (WARF of 1144) Class A-1: 0 Class A-2: 0 Class A-3: 0 Class A-4: 0 Class B-1: -1 Class B-2: -1 Class B-3: -1 Loss and Cash Flow Analysis: Moody's applied a Monte Carlo simulation framework in Moody's CDROM(TM) to model the loss distribution for TruPS CDOs. The simulated defaults and recoveries for each of the Monte Carlo scenarios defined the reference pool's loss distribution. Moody's then used the loss distribution as an input in its CDOEdge(TM) cash flow model. 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 $339.5 million, defaulted/deferring par of $30.1 million, a weighted average default probability of 7.99% (implying a WARF of 764), and a weighted average recovery rate upon default of 10%. 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 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. PREFERRED TERM XVII: Moody's Affirms Ba2(sf) Rating on Cl. B Notes ------------------------------------------------------------------ Moody's Investors Service has upgraded the rating on the following notes issued by Preferred Term Securities XVII, Ltd.: US$65,600,000 Floating Rate Class C Mezzanine Notes due June 23, 2035 (current balance of $62,918,885.09), Upgraded to Caa3 (sf); previously on October 17, 2013 Affirmed C (sf) Moody's also affirmed the ratings on the following notes: US$270,800,000 Floating Rate Class A-1 Senior Notes due June 23, 2035 (current balance of $135,012,282.06), Affirmed Aa3 (sf); previously on July 1, 2015 Upgraded to Aa3 (sf) US$62,000,000 Floating Rate Class A-2 Senior Notes due June 23, 2035, Affirmed A2 (sf); previously on July 1, 2015 Upgraded to A2 (sf); US$58,400,000 Floating Rate Class B Mezzanine Notes due June 23, 2035 (current balance of $55,179,237.35), Affirmed Ba2 (sf); previously on July 1, 2015 Upgraded to Ba2 (sf) Preferred Term Securities XVII, Ltd., issued in March 2005, is a collateralized debt obligation (CDO) backed mainly by a portfolio of bank and insurance trust preferred securities (TruPS). RATINGS RATIONALE The Class C notes' upgrade rating action is primarily a result of the deleveraging of the notes, an increase in the transaction's overcollateralization (OC) ratios, and the full repayment of the Class C deferred interest balance since June 2016. Since June 2016, the Class A-1 notes have paid down by approximately 2.8% or $3.9 million, the Class B notes have paid down by 1.3% or $0.7 million, and the Class C notes have paid down by 1.3% or $0.8 million. Additionally, the Class C notes' deferred interest was reduced to zero on the June 2016 payment date with a payment of $2.9 million. Based on Moody's calculations, the OC ratios for the Class A-1, Class A-2, Class B, and Class C notes have improved to 235.6%, 161.4%, 126.1%, and 100.9%, respectively, from June 2016 levels of 215.1%, 148.7%, 116.3%, and 92.1%, respectively. The Class A-1, Class B, and Class C notes will continue to benefit from the diversion of excess interest due to the failure of the Class C OC test (current level of 100.0% versus trigger of 107.0%). The Class A-1 notes will also continue to benefit from the use of proceeds from redemptions of any assets in the collateral pool. Moody's gave full par credit in its analysis to one deferring asset that meets certain criteria, totaling $1.9 million in par. The total par amount that Moody's treated as having defaulted or deferring declined by $20.6 million to $85.6 million from $106.1 million in June 2016. Since that time, one previously deferring bank with par of $20.6 million has resumed making interest payments on its TruPS. Despite the OC improvements for Class A-1, Class A-2, and Class B notes, Moody's affirmed the ratings of the notes as a result of deterioration in the credit quality of the underlying portfolio. Based on Moody's calculations, the weighted average rating factor (WARF) increased to 1402. 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 and the US P&C insurance sector, and a negative outlook on the US life 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: One bank is expected to resume making interest payments on its 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(TM) 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 841) Class A-1: +2 Class A-2: +2 Class B: +2 Class C: +3 Assuming a two-notch downgrade to assets with below-investment grade ratings or rating estimates (WARF of 2128) Class A-1: -1 Class A-2: -2 Class B: -3 Class C: -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 $318.0 million, defaulted and deferring par of $85.6 million, a weighted average default probability of 14.51% (implying a WARF of 1402), and a weighted average recovery rate upon default of 10.0%. In addition to the quantitative factors Moody's explicitly models, qualitative factors are part of rating committee considerations. Moody's considers the structural protections in the transaction, the risk of an event of default, recent deal performance under current market conditions, the legal environment and specific documentation features. All information available to rating committees, including macroeconomic forecasts, inputs from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. The portfolio of this CDO contains TruPS issued by small to medium sized U.S. community banks 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. REALT 2017-1: DBRS Assigns Prov. BB(sf) Ratings to Class F Debt --------------------------------------------------------------- DBRS Limited on June 15, 2017, assigned provisional ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2017-1 (the Certificates) issued by Real Estate Asset Liquidity Trust (REALT) Series 2017-1: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class B at AA (sf) -- Class C at A (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (sf) -- Class G at B (sf) -- Class X at A (sf) All trends are Stable. Classes F and G will be privately placed. Class X is notional. The collateral consists of 60 fixed-rate loans secured by 73 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 2.9% 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 24 loans, representing 53.2% of the pool, having refinance DSCRs below 1.00x, an indication of elevated refinance risk. Twenty-seven loans (40.0% of the pool by loan balance) were considered by DBRS to have Strong sponsor strength, and 32 loans (63.3% of the pool by loan balance) were considered to have meaningful recourse to the respective sponsor; all else being equal, recourse loans typically have lower probability of default and were modelled as such. All loans in the transaction amortize for the entire term: 32.9% of the pool by loan balance amortizes on schedules that are 25 years or less, and the remaining loans amortize on schedules that are between 25 years and 30 years. Two top ten loans (13.4% of the pool) were considered to be of Above Average property quality. Higher-quality properties are more likely to retain existing tenants and more easily attract new tenants, resulting in a more stable performance. The transaction exhibits significant sponsor concentration as evidenced by only 28 sponsors and/or sponsor groups for the pool of 60 loans, and 38 loans (54.4% of the pool balance) have related borrowers to one or more loans within the pool. However, 18 of these loans have meaningful full recourse to the sponsor, and none of the related sponsors were considered by DBRS to be weak or below average in terms of net worth or liquidity. Ten loans, representing 22.8% of the pool, are secured by properties that are leased to a single tenant, and three of these loans are in the top ten. Loans secured by properties occupied by single tenants have been found to suffer from higher loss severities in the event of default. To mitigate, 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 35 of the 60 loans in the pool. Site inspections were performed on 43 of the 73 properties in the portfolio (78.2% of the pool by allocated loan balance). The DBRS sample had an average NCF variance of -4.4% from the Issuer's NCF and ranged from -17.9% (U-Haul Royal Windsor Drive) to +13.4% (U-Haul Barnet Highway). The rating assigned to Class X differs from the lower rating implied by the reference rating within the methodology, Rating North American CMBS Interest-Only Certificates. Consideration was given for actual loan, transaction and sector performance where a rating based on the lowest rated referenced notional class may not reflect the observed risk. DBRS considers this difference to be a material deviation from the methodology and, in this case, the rating reflects consideration given to the historical performance of Canadian CMBS, in which the total losses in the sector are less than 0.1% since inception in 1998. REALT 2017-1: Fitch to Rate Class G Certificates 'Bsf' ------------------------------------------------------ Fitch Ratings expects to rate the following classes of Real Estate Asset Liquidity Trust (REAL-T) commercial mortgage pass-through certificates series 2017-1: -- $106,457,000 class A-1 'AAAsf'; Outlook Stable; -- $203,819,000 class A-2 'AAAsf'; Outlook Stable; -- $8,094,000 class B 'AAsf'; Outlook Stable; -- $11,692,000 class C 'Asf'; Outlook Stable; -- $10,792,000 class D 'BBBsf'; Outlook Stable; -- $4,047,000 class E 'BBB-sf'; Outlook Stable; -- $3,597,000 class F 'BBsf'; Outlook Stable; -- $4,047,000 class G 'Bsf'; Outlook Stable. All currencies are in Canadian dollars (CAD). The following classes are not expected to be rated: -- $359,740,410a class X; -- $7,195,410 class H. (a) Notional amount and interest-only. The expected ratings are based on information provided by the issuer as of June 14, 2017. The certificates represent the undivided co-ownership interest in a pool of mortgage loans expected to consist of 60 loans secured by 74 commercial properties having an aggregate principal balance of $359,740,411 as of the cut-off date. The loans will be sold to REAL-T by Royal Bank of Canada on the closing date, which is expected to be June 29, 2017. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 69.7% of the properties by balance, cash flow analysis of 95.3%, and asset summary reviews on 100% of the pool. KEY RATING DRIVERS High Fitch Leverage: The transaction has higher leverage than other recent Fitch-rated Canadian multiborrower deals. The pool's Fitch DSCR of 1.09x is below both the 2016 and 2015 averages of 1.15x and 1.18x, respectively. The pool's Fitch LTV of 112.1% is above both the 2016 and 2015 average of 106.0% and 102.6%, respectively. Favorable Property Type Concentrations: The pool's largest property type is multifamily at 32.6%, which is significantly greater than the 2016 and 2015 averages for Canadian multiborrower transactions of 13.8% and 10.6%, respectively. In Fitch's multiborrower model, multifamily properties have a below-average likelihood of default. Additionally, the pool does not contain any loans backed by hotel properties, which demonstrate more performance volatility and, therefore, have higher default probabilities. Canadian Loan Attributes and Historical Performance: The ratings reflect strong historical Canadian commercial real estate loan performance, including a low delinquency rate and low historical losses of less than 0.1%, as well as positive loan attributes, such as short amortization schedules, recourse to the borrower and additional guarantors. For more information on prior Canadian CMBS securitizations, see Fitch Research on "Canadian CMBS Default and Loss Study," dated October 2013, available on Fitch's website at www.fitchratings.com. Favorable Geographic Concentration: Properties in Ontario represent 61.6% of the pool, which reflects a higher concentration than previous Canadian deals. Ontario is the country's most populous province and accounts for approximately 40% of the country's population and GDP. The properties are spread throughout the province as the top 10 loans include collateral located in Barrie, Windsor, London, Keswick, Welland and Guelph. Other significant province concentrations include Manitoba (10.3% of the pool) and Saskatchewan (8.0%). Four loans accounting for 6.9% of the pool are located in the more energy-dependent province of Alberta. RATING SENSITIVITIES For this transaction, Fitch's net cash flow (NCF) was 17.8% below the most recent year's net operating income (NOI) for properties for which a full-year NOI was provided, excluding properties that were stabilizing during this period. Unanticipated further declines in property-level NCF could result in higher defaults and loss severities on defaulted loans and in potential rating actions on the certificates. Fitch evaluated the sensitivity of the ratings assigned to the REAL-T 2017-1 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 'AAAsf' certificates to 'Asf' could result. In a more severe scenario, in which NCF declined a further 30% from Fitch's NCF, a downgrade of the 'AAAsf' certificates to 'BBB+sf' could result. ROSSLYN PORTFOLIO 2017-ROSS: S&P Gives Prelim B- to 2 Tranches -------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Rosslyn Portfolio Trust 2017-ROSS' $500.0 million commercial mortgage pass-through certificates series 2017-ROSS. The certificate issuance is a commercial mortgage-backed securities transaction backed by the issuing entity's assets, which will consist of a whole loan with an aggregate cut-off date principal balance of $500.0 million. The whole loan is secured by the borrowers' fee simple interest in seven office properties, comprising 2.04 million sq. ft. and located in the Rosslyn submarket of Arlington, Va. The preliminary ratings are based on information as of June 16, 2017. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of the collateral's historical and projected performance, the sponsor's and manager's experience, the trustee-provided liquidity, the loan's terms, and the transaction's structure. S&P determined that the loan has an 92.1% beginning and ending loan-to-value (LTV) ratio based on S&P Global Ratings' value. PRELIMINARY RATINGS ASSIGNED Rosslyn Portfolio Trust 2017-ROSS Class Rating(i) Amount ($) A AAA (sf) 230,676,000 X-CP(ii) B- (sf) 462,500,000(ii) B AA- (sf) 54,277,000 C A- (sf) 40,707,000 D BBB- (sf) 49,935,000 E BB- (sf) 67,845,000 F B- (sf) 31,180,000 HRR B- (sf) 25,380,000 (i)The rating on each class of securities is preliminary and subject to change at any time. The certificates will be issued to qualified institutional buyers according to 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 aggregate portion balance of the A-2 portion, the B-2 portion, the C-2 portion, the D-2 portion, the E-2 portion, the F-2 portion, and the HRR-2 portion, of the class A, B, C, D, E, F and HRR certificates, respectively. SAGUARO ISSUER: Moody's Hikes Rating on 2 Tranches to Ba3 --------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following units issued by Saguaro Issuer Trust: US$11,000,000 Series K Bond, Upgraded to Ba2; previously on March 17, 2014 Downgraded to Ba3 US$34,000,000 Series L Bond, Upgraded to Ba2; previously on March 17, 2014 Downgraded to Ba3 RATINGS RATIONALE The rating actions are a result of a rating change on National Westminster Bank PLC's Junior Subordinate rating ("Underlying Securities"), which was upgraded to Ba2(hyb) from Ba3(hyb) on June 15, 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 these ratings 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 Junior Subordinate rating of National Westminster Bank PLC. SOVEREIGN COMMERCIAL 2007-C1: Moody's Affirms C Rating on 3 Classes ------------------------------------------------------------------- Moody's Investors Service has upgraded the rating on one class and affirmed the ratings on four classes in Sovereign Commercial Mortgage Securities Trust, Commercial Mortgage Pass-Through Certificates, Series 2007-C1: Cl. D, Upgraded to A2 (sf); previously on Aug 4, 2016 Upgraded to Baa1 (sf) Cl. E, Affirmed Caa3 (sf); previously on Aug 4, 2016 Affirmed Caa3 (sf) Cl. F, Affirmed C (sf); previously on Aug 4, 2016 Affirmed C (sf) Cl. G, Affirmed C (sf); previously on Aug 4, 2016 Affirmed C (sf) Cl. X, Affirmed C (sf); previously on Jun 9, 2017 Downgraded to C (sf) RATINGS RATIONALE The rating on one P&I class was upgraded based primarily on an increase in credit support resulting from loan paydowns and amortization. The deal has paid down 37% since Moody's last review. The rating on three P&I class was affirmed because the ratings are consistent with Moody's expected loss plus realized losses. The rating on one IO class was affirmed based on the credit quality of the referenced classes. Moody's rating action reflects a base expected loss of 35.2% of the current balance, compared to 25.8% at Moody's last review. Moody's base expected loss plus realized losses is now 3.2% of the original pooled balance, compared to 3.3% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in October 2015. Additionally, the methodology used in rating Cl. X was "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 59% of the pool is in special servicing. In this approach, Moody's determines a probability of default for each specially serviced and troubled loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss from specially serviced to the most junior class(es) and the recovery as a pay down of principal to the most senior class(es). DEAL PERFORMANCE As of the May 22, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 98% to $20.9 million from $1.01 billion at securitization. The certificates are collateralized by 15 mortgage loans ranging in size from less than 1% to 50% of the pool. 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 a Herf of five at Moody's last review. Eight loans, constituting 29% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Twenty-seven loans have been liquidated with a loss from the pool, resulting in or contributing to an aggregate realized loss of $25.0 million (for an average loss severity of 26%). Two loans, constituting 59% of the pool, are currently in special servicing. The largest specially serviced loan is the 6805 Perimeter Drive Loan ($10.5 million -- 50.3% of the pool), which is secured by a 107,000 square foot (SF) office property located in Dublin, Ohio, a suburb of Columbus. The property was previously 100% leased to a single tenant. However, the tenant opted to not renew its lease and vacated at the 4/1/2016 expiration. The loan previously entered special servicing in January 2014 for maturity default. The full-term interest-only loan was modified with a two-year loan extension, resulting in an April 2016 maturity date. The loan has since transferred to special servicing in February 2016 for pending maturity default and became REO in December 2016. The second largest specially serviced loan is the 3126 Coney Island Avenue Loan ($1.8 million -- 8.4% of the pool), which is secured by a 38-unit garden-style multifamily property located in Brighton Beach, Brooklyn. As of May 2016, the property was 100% leased. Moody's estimates an aggregate $7.4 million loss for specially serviced loans (60% expected loss on average). Moody's received full year 2015 operating results for 83% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 58%, compared to 70% 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 10%. Moody's actual and stressed conduit DSCRs are 1.33X and 3.28X, respectively, compared to 1.30X and 2.26X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The top three conduit loans represent 27.9% of the pool balance. The largest loan is the 299 Meserole Street Loan ($3.7 million -- 17.9% of the pool), which is secured by a 37,000 SF industrial property in the East Williamsburg neighborhood of Brooklyn, New York. The property was 82% leased as of October 2016. The property underwent extensive renovations in 2014, including replacement of HVAC units, repair of roof damage and sidewalk replacement. Moody's LTV and stressed DSCR are 88% and 1.13X, respectively, compared to 90% and 1.11X at the last review. The second largest loan is the 815 Seneca Avenue Loan ($1.5 million -- 7.3% of the pool), which is secured by a mixed-use retail and multifamily property located in Ridgewood, New York on the border between Queens and Brooklyn. The property was 100% leased as of December 2015 per Trepp reports. Moody's LTV and stressed DSCR are 63% and 1.63X, respectively, compared to 54% and 1.93X at the last review. The third largest loan is the 8810-8816 Ditmas Avenue and 331 East 88th Street Loan ($544,969 -- 2.6% of the pool), which is secured by an industrial property located between the East Flatbush and Canarsie neighborhoods in Brooklyn, New York. As of May 2017, the borrower was non-compliant with their loan documents and the servicer had not received annual financial statements or rent rolls since 2015. The loan is current on principal and interest payments and is fully amortizing. Moody's LTV and stressed DSCR are 25% and 3.98X, respectively, compared to 27% and 3.75X at the last review. SPRINGLEAF FUNDING 2017-A: S&P Gives Prelim BB Rating to D Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Springleaf Funding Trust 2017-A's $651.77 million personal consumer loan-backed notes. The note issuance is an asset-backed securities transaction backed by personal consumer loan receivables. The preliminary ratings are based on information as of June 21, 2017. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The availability of approximately 43.9%, 39.4%, 34.1%, and 26.2% credit support to the class A, B, C, and D notes, respectively, in the form of subordination, overcollateralization, a reserve account, and excess spread. These credit support levels are sufficient to withstand stresses commensurate with the preliminary ratings on the notes based on S&P's stressed cash flow scenarios. -- S&P's expectation that under a moderate ('BBB') stress scenario, all else being equal, S&P's 'AA (sf)' rating on the class A notes will remain within one rating category of the assigned rating in the next 12 months, and S&P's 'A (sf)', 'BBB (sf)', and 'BB (sf)' ratings on the class B, C, and D notes, respectively, will remain within two rating categories of the assigned ratings in the next 12 months, based on S&P's credit stability criteria. -- The timely interest and full principal payments expected to be made under stressed cash flow modeling scenarios appropriate to the assigned preliminary ratings. -- The characteristics of the pool being securitized. -- The operational risks associated with OneMain Holding Inc.'s (OneMain's) hybrid business model. -- The relatively limited time since the recent platform integration of Springleaf and OneMain Financial Holdings LLC (OMFH). On Nov. 15, 2015, OneMain, through its wholly owned subsidiary, Independence Holdings LLC, completed the acquisition of OMFH from CitiFinancial Credit Company for $4.5 billion in cash. OneMain and its subsidiaries (other than OMFH) are referred to as "Springleaf." -- The transaction's payment and legal structures. PRELIMINARY RATINGS ASSIGNED Springleaf Funding Trust 2017-A Class Rating Type Amount (mil. $) A AA (sf) Senior 516.82 B A (sf) Subordinate 35.96 C BBB (sf) Subordinate 41.45 D BB (sf) Subordinate 57.54 STACR 2017-HQA2: Fitch Assigns Bsf Rating on 12 Tranches -------------------------------------------------------- Fitch Ratings has assigned ratings to Freddie Mac's risk-transfer transaction, Structured Agency Credit Risk Debt Notes Series 2017-HQA2 (STACR 2017-HQA2): -- $225,000,000 class M-1 notes 'BBB-sf'; Outlook Stable; -- $225,000,000 class M-2A notes 'BBsf'; Outlook Stable; -- $225,000,000 class M-2B notes 'Bsf'; Outlook Stable; -- $450,000,000 class M-2 exchangeable notes 'Bsf'; Outlook Stable; -- $450,000,000 class M-2R exchangeable notes 'Bsf'; Outlook Stable; -- $450,000,000 class M-2S exchangeable notes 'Bsf'; Outlook Stable; -- $450,000,000 class M-2T exchangeable notes 'Bsf'; Outlook Stable; -- $450,000,000 class M-2U exchangeable notes 'Bsf'; Outlook Stable; -- $450,000,000 class M-2I notional exchangeable notes 'Bsf'; Outlook Stable; -- $225,000,000 class M-2AR exchangeable notes 'BBsf'; Outlook Stable; -- $225,000,000 class M-2AS exchangeable notes 'BBsf'; Outlook Stable; -- $225,000,000 class M-2AT exchangeable notes 'BBsf'; Outlook Stable; -- $225,000,000 class M-2AU exchangeable notes 'BBsf'; Outlook Stable; -- $225,000,000 class M-2AI notional exchangeable notes 'BBsf'; Outlook Stable; -- $225,000,000 class M-2BR exchangeable notes 'Bsf'; Outlook Stable; -- $225,000,000 class M-2BS exchangeable notes 'Bsf'; Outlook Stable; -- $225,000,000 class M-2BT exchangeable notes 'Bsf'; Outlook Stable; -- $225,000,000 class M-2BU exchangeable notes 'Bsf'; Outlook Stable; -- $225,000,000 class M-2BI notional exchangeable notes 'Bsf'; Outlook Stable. The following classes will not be rated by Fitch: -- $ 112,500,000 class B-1 notes; -- $30,340,140,424 class A-H reference tranche; -- $91,043,128 class M-1H reference tranche; -- $91,043,130 class M-2AH reference tranche; -- $91,043,129 class M-2BH reference tranche; -- $ 45,521,565 class B-1H reference tranche; -- $158,021,565 class B-2H reference tranche. The 'BBB-sf' rating for the M-1 notes reflects the 3.00% subordination provided by the 1.00% class M-2A notes, the 1.00% class M-2B notes, the 0.50% class B-1 notes and their corresponding reference tranches, as well as the 0.50% class B-2H reference tranche. The 'BBsf' rating for the M-2A notes reflects the 2.00% subordination provided by the 1.00% class M-2B notes, the 0.50% class B-1 notes and their corresponding reference tranches, as well as the 0.50% class B-2H reference tranche. The 'Bsf' rating for the M-2B notes reflects the 1.00% subordination provided by the 0.50% class B-1 notes and its corresponding reference tranches, as well as the 0.50% class B-2H reference tranche. The notes are general unsecured obligations of Freddie Mac ('AAA'/Outlook Stable) subject to the credit and principal payment risk of a pool of certain residential mortgage loans held in various Freddie Mac-guaranteed MBS. The objective of the transaction is to transfer credit risk from Freddie Mac to private investors with respect to a $31.6 billion pool of mortgage loans currently held and guaranteed by Freddie Mac where principal repayment of the notes is subject to the performance of a reference pool of mortgage loans. As loans liquidate or other credit events occur, the outstanding principal balance of the debt notes will be reduced by the actual loan's loss severity (LS) percentage related to those credit events, which includes borrower's delinquent interest. While the transaction structure simulates the behavior and credit risk of traditional RMBS senior-subordinate securities, Freddie Mac will be responsible for making monthly payments of interest and principal to investors. Because of the counterparty dependence on Freddie Mac, Fitch's expected rating on the M-1, M-2A and M-2B notes will be based on the lower of: the quality of the mortgage loan reference pool and credit enhancement (CE) available through subordination, and Freddie Mac's Issuer Default Rating. The M-1, M-2A, M-2B, and B-1 notes will be issued as LIBOR-based floaters. In the event that the one-month LIBOR rate falls below zero and becomes negative, the coupons of the interest-only MAC notes may be subject to a downward adjustment, so that the aggregate interest payable within the related MAC combination does not exceed the interest payable to the notes for which such classes were exchanged. The notes will carry a 12.5-year legal final maturity. KEY RATING DRIVERS High-Quality Mortgage Pool (Positive): The reference pool consists of 129,587 fixed-rate fully amortizing loans with terms of 241-360 months, totaling $31.60 billion, acquired by Freddie Mac between Aug. 1, 2016 and Nov. 30, 2016. The pool has a weighted average (WA) credit score of 747 and WA debt-to-income (DTI) ratio of 35.6% and consists primarily of owner occupied purchase loans. The WA loan-to-value ratio (LTV) for this pool is 91.6%. ADDITIONAL RATING DRIVERS Higher LTV Loans (Concern): Beginning with the STACR 2016-HQA4 transaction in October 2016, Freddie Mac increased its LTV parameter on its high LTV transactions to include loans with LTVs up to 97% from 95%. Fitch believes the increased risk associated with these loans is modest because the probability of default of a loan with a 97% LTV is only marginally higher than that of a loan with a 95% LTV. Additionally, a relatively small number of loans in the reference pool (3.6%) have LTVs greater than 95%. Mortgage Insurance Guaranteed by Freddie Mac (Positive): 99% of the loans are covered either by borrower paid mortgage insurance (BPMI) or lender paid MI (LPMI). Loans without MI coverage are either originated in New York, where the appraised value was used to determine that the LTV was below 81%, or the loans were part of the HomeSteps Financing program. Freddie Mac will guarantee the 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 Freddie Mac 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%. LPMI does not automatically terminate and remains for the life of the loan. Home Possible Loans (Neutral): Approximately 7% of the reference pool was originated under Freddie Mac's Home Possible program, which targets low-to-moderate income homebuyers or buyers in high-cost or underrepresented communities. The Home Possible program provides flexibility for a borrower's LTV, income, down payment, and insurance coverage requirements. Among the eligibility guidelines is that the borrower must be located in an underserved area, or the borrower's income cannot exceed 100% of the area's median income or a higher percentage in some designated high cost areas. All Home Possible borrowers must receive homeownership education to qualify and have early delinquency counselling made available to them in the event they have trouble making their payments. Fitch does not believe the Home Possible loans add meaningful credit risk to this transaction due to the relatively low percentage of the loans in the pool and the full documentation of income, employment and assets. If the Home Possible loans were assumed to have a 25% higher default probability than loans with the same credit attributes that were not originated under Home Possible, the adjustment to the total pool projected loss would not be large enough to change the credit enhancement for the rated classes. 12.5-Year Hard Maturity (Positive): The M-1, M-2A, M-2B, and B-1 notes benefit from a 12.5-year legal final maturity. Thus, any losses on the reference pool that occur beyond year 12.5 are borne by Freddie Mac and do not affect the transaction. In addition, if a credit event occurs prior to maturity, but the losses from liquidations or loan modifications are not realized until after the final maturity date, the losses will not be passed through to noteholders. Solid Lender Review and Acquisition Processes (Positive): Fitch found that Freddie Mac has a well-established and disciplined process in place for the purchase of loans and views its lender approval and oversight processes for minimizing counterparty risk and ensuring sound loan quality acquisitions as positive. Loan quality control (QC) review processes are thorough and indicate a tight control environment that limits origination risk. Fitch has determined Freddie Mac to be an above-average aggregator for its 2013 and later product. The lower risk was accounted for by Fitch by applying a lower default estimate for the reference pool. Advantageous Payment Priority (Positive): The M-1 class benefits from the sequential pay structure and stable CE provided by the more junior M-2A, M-2B, and B-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 M-1 class. Given the size of the M-1 class relative to the combined total of the junior classes, together with the sequential pay structure, the class M-1 will de-lever and CE as a percentage of the outstanding pool will build faster than in a pro rata structure. Solid Alignment of Interests (Positive): While the transaction is designed to transfer credit risk to private investors, Fitch believes the transaction benefits from solid alignment of interests. Freddie Mac will retain credit risk in the transaction by holding the senior reference tranche A-H, which has 4.00% of loss protection, as well as a minimum of 5% of the M-1, M-2A, M-2B, and B-1 tranches and a minimum of 75% of the first-loss B-2H reference tranche. Initially, Freddie Mac will retain an approximately 28.8% vertical slice/interest in the M-1, M-2A and M-2B tranches. Receivership Risk Considered (Neutral): Under the Federal Housing Finance Regulatory Reform Act, the Federal Housing Finance Agency (FHFA) must place Freddie Mac into receivership if it determines that the government-sponsored enterprise's (GSE) assets are less than its obligations for longer than 60 days following the deadline of its SEC filing. As receiver, FHFA could repudiate any contract entered into by Freddie Mac if it is determined that such action would promote an orderly administration of the GSE's affairs. Fitch believes that the U.S. government will continue to support Freddie Mac, as reflected in its current rating of the GSE. However, if, at some point, Fitch views the support as being reduced and receivership likely, the rating of Freddie Mac could be downgraded, and ratings on the M-1, M-2A and M-2B notes, along with their corresponding MAC notes, could be 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 MSA and national levels. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or be considered in the surveillance of the transaction. This defined stress sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model projected 23.4% at the 'BBBsf' level and 18.6% at the 'BBsf' level. The analysis indicates that there is some potential rating migration with higher MVDs, compared with the model projection. Fitch also conducted defined rating sensitivities which determine the stresses to MVDs that would reduce a rating by one full category, to non-investment grade, and to 'CCCsf'. For example, additional MVDs of 11%, 11% and 34% would potentially move the 'BBBsf' rated class down one rating category, to non-investment grade, to 'CCCsf', respectively. STONEY LANE I: S&P Affirms B+ Rating on Class D Notes ----------------------------------------------------- S&P Global Ratings raised its ratings on the class A-2, B, and C notes from Stoney Lane Funding I Ltd. S&P also removed these ratings from CreditWatch, where it placed them with positive implications on March 30, 2017. At the same time, S&P affirmed its ratings on the class A-1 and D notes from the same transaction. The rating actions follow S&P's review of the transaction's performance using data from the May 2017 trustee report. The upgrades reflect the transaction's $281.78 million in paydowns to the class A-1 notes since S&P's February 2015 rating actions. These paydowns resulted in improved reported overcollateralization (O/C) ratios since the January 2015 trustee report, which S&P used for its February 2015 rating actions: -- The class A O/C ratio improved to 242.12% from 125.48%. -- The class B O/C ratio improved to 166.25% from 117.26%. -- The class C O/C ratio improved to 126.59% from 110.05%. -- The class D O/C ratio improved to 110.03% from 105.94%. The collateral portfolio's credit quality has deteriorated since S&P's last rating actions. Collateral obligations with ratings in the 'CCC' category have increased, with $41.04 million reported as of the May 2017 trustee report, compared to $21.36 million reported as of the January 2015 trustee report. Over the same period, the par amount of defaulted collateral increased to $5.11 million from $2.58 million. On a stand-alone basis, the results of the cash flow analysis indicated a higher rating on the class C and D notes. However, the transaction has experienced increased exposure to 'CCC' rated collateral and defaulted obligations. In addition, the portfolio has become increasingly concentrated, with the top 10 obligors representing more than 31% of the transaction's performing collateral. Therefore, S&P limited the upgrade on the class C notes and affirmed the rating on the class D notes to offset future potential credit migration in the underlying collateral. The affirmations reflect S&P's view that the credit support available is commensurate with the current rating levels. S&P's review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the aforementioned trustee report, to estimate future performance. In line with S&P's criteria, its cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, S&P's analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis demonstrated, in S&P's view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions. S&P will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and will take rating actions as S&P deems necessary. RATINGS RAISED AND REMOVED FROM CREDITWATCH POSITIVE Stoney Lane Funding I Ltd. Rating Class To From A-2 AAA (sf) AA+/Watch Pos B AAA (sf) A+/Watch Pos C A- (sf) BBB/Watch Pos RATINGS AFFIRMED Stoney Lane Funding I Ltd. Class Rating A-1 AAA (sf) D B+ (sf) THL CREDIT 2017-2: Moody's Assigns B3(sf) Rating to Class F Notes ----------------------------------------------------------------- Moody's Investors Service has assigned ratings to eight classes of notes issued by THL Credit Wind River 2017-2 CLO Ltd. Moody's rating action is: US$3,000,000 Class X Senior Secured Floating Rate Notes due 2030 (the "Class X Notes"), Assigned Aaa (sf) US$325,000,000 Class A Senior Secured Floating Rate Notes due 2030 (the "Class A Notes"), Assigned Aaa (sf) US$55,000,000 Class B Senior Secured Floating Rate Notes due 2030 (the "Class B Notes"), Assigned Aa2 (sf) US$19,750,000 Class C-1 Mezzanine Secured Deferrable Floating Rate Notes due 2030 (the "Class C-1 Notes", Assigned A2 (sf) US$5,250,000 Class C-2 Mezzanine Secured Deferrable Floating Rate Notes due 2030 (the "Class C-2 Notes"), Assigned A2 (sf) U.S.$35,000,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2030 (the "Class D Notes"), Assigned Baa3 (sf) US$20,000,000 Class E Junior Secured Deferrable Floating Rate Notes due 2030 (the "Class E Notes"), Assigned Ba3 (sf) US$7,500,000 Class F Junior Secured Deferrable Floating Rate Notes due 2030 (the "Class F Notes"), Assigned B3 (sf) The Class X Notes, the Class A Notes, the Class B Notes, the Class C-1 Notes, the Class C-2 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. THL 2017-2 CLO 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 65% ramped as of the closing date. THL Credit 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 and one-half year reinvestment period. Thereafter, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets, subject to certain restrictions. In addition to the Rated Notes, the Issuer 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: $500,000,000 Diversity Score: 60 Weighted Average Rating Factor (WARF): 2920 Weighted Average Spread (WAS): 3.70% Weighted Average Coupon (WAC): 6.50% Weighted Average Recovery Rate (WARR): 48.0% Weighted Average Life (WAL): 8.6 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 2920 to 3358) Class X Notes: 0 Class A Notes: -1 Class B Notes: -2 Class C-1 Notes: -2 Class C-2 Notes: -2 Class D Notes: -1 Class E Notes: 0 Class F Notes: 0 Percentage Change in WARF -- increase of 30% (from 2920 to 3796) Rating Impact in Rating Notches Class X Notes: 0 Class A Notes: -1 Class B Notes: -4 Class C-1 Notes: -4 Class C-2 Notes: -4 Class D Notes: -2 Class E Notes: -1 Class F Notes: -2 TRINITAS CLO VI: Moody's Assigns Ba3(sf) Rating to Cl. E Notes -------------------------------------------------------------- Moody's Investors Service has assigned ratings to five classes of notes issued by Trinitas CLO VI, Limited. Moody's rating action is: US$448,000,000 Class A Floating Rate Notes due 2029 (the "Class A Notes"), Assigned Aaa (sf) US$79,000,000 Class B Floating Rate Notes due 2029 (the "Class B Notes"), Assigned Aa2 (sf) US$37,350,000 Class C Deferrable Floating Rate Notes due 2029 (the "Class C Notes"), Assigned A2 (sf) US$46,600,000 Class D Deferrable Floating Rate Notes due 2029 (the "Class D Notes"), Assigned Baa3 (sf) US$33,050,000 Class E Deferrable Floating Rate Notes due 2029 (the "Class E Notes"), Assigned Ba3 (sf) The Class A Notes, the Class B Notes, the Class C Notes, the Class D Notes and the Class E Notes are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE Moody's ratings of the Rated Notes address the expected losses posed to noteholders. The ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. Trinitas CLO VI, Ltd. 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, with an maximum of 2.5% of the portfolio consisting of unsecured loans. The portfolio is approximately 80% ramped as of the closing date. Trinitas Capital Management, LLC (the "Manager") and Triumph Capital Advisors, LLC acting as staff and services provider, 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 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: $700,000,000 Diversity Score: 55 Weighted Average Rating Factor (WARF): 2825 Weighted Average Spread (WAS): 3.65% Weighted Average Coupon (WAC): 4.00% Weighted Average Recovery Rate (WARR): 47.0% 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 2825 to 3249) Rating Impact in Rating Notches Class A Notes: 0 Class B Notes: -2 Class C Notes: -2 Class D Notes: -1 Class E Notes: 0 Percentage Change in WARF -- increase of 30% (from 2825 to 3673) Rating Impact in Rating Notches Class A Notes: -1 Class B Notes: -3 Class C Notes: -3 Class D Notes: -2 Class E Notes: -1 UNITED AUTO 2017-1: S&P Assigns 'BB-' Rating on Class E Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to United Auto Credit Securitization Trust 2017-1's $147.500 million automobile receivables-backed notes series 2017-1. The note issuance is an asset-backed securities transaction backed by subprime auto loan receivables. The ratings reflect: -- The availability of approximately 62.3%, 54.2%, 45.0%, 34.9%, and 27.8% credit support for the class A, B, C, D, and E notes, respectively, based on stressed break-even cash flow scenarios (including excess spread). These credit support levels provide coverage of approximately 2.85x, 2.45x, 2.00x, 1.50x, and 1.17x S&P's expected net loss range of 21.00%-22.00% for the class A, B, C, D, and E notes, respectively. -- The likelihood of timely interest and principal payments by the assumed legal final maturity dates under stressed cash flow modeling scenarios that are appropriate for the assigned ratings. -- S&P's expectation that under a moderate ('BBB') stress scenario, all else being equal, its ratings on the class A and B notes ('AAA (sf)' and 'AA (sf)', respectively) will remain at the assigned ratings, S&P's rating on the class C notes ('A (sf)') will remain within one rating category of the assigned rating, and S&P's rating on the class D notes ('BBB (sf)') will remain within two rating categories of the assigned ratings. S&P's rating on the class E notes ('BB- (sf)') will remain within two rating categories of the assigned rating within the first year, but the class will eventually default after receiving approximately 40% of its principal. These potential rating movements are within the limits specified by S&P's credit stability criteria. -- The credit enhancement in the form of subordination, overcollateralization, a reserve account, and excess spread. -- The collateral characteristics of the subprime pool being securitized. It is approximately four months seasoned, with a weighted average original term of approximately 42 months and an average remaining term of about 38 months. As a result, S&P expects that the pool will pay down more quickly than many other subprime pools with longer weighted average original and remaining terms. -- S&P's analysis of five years of static pool data following the credit crisis and after United Auto Credit Corp. (UACC) centralized its operations and shifted toward shorter loan terms. S&P also reviewed the performance of UACC's three outstanding securitizations, as well as its seven securitizations from 2004 to 2007. UACC's 20-plus-year history of originating, underwriting, and servicing subprime auto loans. -- The transaction's payment and legal structures. RATINGS ASSIGNED United Auto Credit Securitization Trust 2017-1 Class Rating Type Interest Amount rate (mil. $) A AAA (sf) Senior Fixed 69.20 B AA (sf) Subordinate Fixed 20.80 C A (sf) Subordinate Fixed 19.60 D BBB (sf) Subordinate Fixed 21.70 E BB- (sf) Subordinate Fixed 16.20 WACHOVIA BANK 2007-C33: Moody's Affirms C Rating on Class J Certs ----------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on seven classes and downgraded the ratings on five classes in Wachovia Bank Commercial Mortgage Trust Pass-Through Certificates, Series 2007-C33: Cl. A-1A, Affirmed Aaa (sf); previously on May 6, 2016 Affirmed Aaa (sf) Cl. A-5, Affirmed Aaa (sf); previously on May 6, 2016 Affirmed Aaa (sf) Cl. A-M, Affirmed A3 (sf); previously on May 6, 2016 Affirmed A3 (sf) Cl. A-J, Downgraded to Ba3 (sf); previously on May 6, 2016 Affirmed Ba2 (sf) Cl. B, Downgraded to Caa2 (sf); previously on May 6, 2016 Affirmed Caa1 (sf) Cl. C, Downgraded to Ca (sf); previously on May 6, 2016 Affirmed Caa3 (sf) Cl. D, Downgraded to C (sf); previously on May 6, 2016 Affirmed Ca (sf) Cl. E, Downgraded to C (sf); previously on May 6, 2016 Affirmed Ca (sf) Cl. F, Affirmed C (sf); previously on May 6, 2016 Affirmed C (sf) Cl. G, Affirmed C (sf); previously on May 6, 2016 Affirmed C (sf) Cl. H, Affirmed C (sf); previously on May 6, 2016 Affirmed C (sf) Cl. J, Affirmed C (sf); previously on May 6, 2016 Affirmed C (sf) RATINGS RATIONALE The ratings on three P&I classes, Classes A-1A, A-5, and A-M, were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The ratings on four P&I classes, Classes F through J, were affirmed because the ratings are consistent with Moody's expected loss. The ratings on five P&I classes, Classes A-J through E, were downgraded due to higher realized and anticipated losses from specially serviced and troubled loans. Moody's rating action reflects a base expected loss of 23.0% of the current balance, compared to 13.8% at Moody's last review. Moody's base expected loss plus realized losses is now 12.4% of the original pooled balance, compared to 11.6% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The 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. DEAL PERFORMANCE As of the May 17, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 68% to $1.16 billion from $3.6 billion at securitization. The certificates are collateralized by 61 mortgage loans ranging in size from less than 1% to 22% of the pool, with the top ten loans (excluding defeasance) constituting 66% of the pool. One loan, constituting 0.5% of the pool, has an investment-grade structured credit assessment. Four loans, constituting 3% of the pool, have defeased and are secured by US government securities. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 10, compared to 20 at Moody's last review. Forty-three loans, constituting 66% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Thirty-five loans have been liquidated from the pool, contributing to an aggregate realized loss of $182 million (for an average loss severity of 37%). Ten loans, constituting 16% of the pool, are currently in special servicing. The largest specially serviced loan is the Central / Eastern Industrial Pool ($83.2 million -- 7.2% of the pool), which is secured by 13 industrial properties totaling 2.1 million square feet (SF) and located across several U.S. states. The loan transferred to special servicing in July 2010 for imminent default. As of December 2016, the properties were 84% leased, compared to 82% leased as of June 2015. The special servicer indicated they will continue to discuss potential restructure scenarios with the Borrower while exploring other resolution paths. The remaining nine specially serviced loans are secured by a mix of property types. Moody's estimates an aggregate $101 million loss for the specially serviced loans (54% expected loss on average). Moody's has assumed a high default probability for 16 poorly performing loans, constituting 36% of the pool, and has estimated an aggregate loss of $116 million (a 28% expected loss on average) 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 90% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 121%, compared to 110% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's value reflects a weighted average capitalization rate of 8.7%. Moody's actual and stressed conduit DSCRs are 1.41X and 0.83X, respectively, compared to 1.35X and 0.95X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The loan with a structured credit assessment is the Lawndale Estates Loan ($6.2 million -- 0.5% of the pool), which is secured by a 673-unit manufactured housing community in Saginaw, Michigan. The property was 89% leased as of December 2016, compared to 86% leased as of December 2015. Moody's structured credit assessment and stressed DSCR are a1 (sca.pd) and 1.87X, respectively. The top three performing loans represent 44% of the pool balance. The largest loan is the 666 Fifth Avenue A-Note Loan ($258.5 million -- 22.4% of the pool), which represents a pari-passu interest in a $1.2 billion first mortgage loan. The loan is secured by a 1.5 million square foot (SF) Class A office building located in Midtown Manhattan, New York. In December 2011, as part of a modification, the original loan was bifurcated into $1.1 billion A-Note and a $115 million B-Note. The property was recapitalized with $110 million of new equity as part of the modification. The loan returned to the master servicer in March 2012 and is performing under the modified terms. The property was 79% leased as of October 2016, compared to 76% as of June 2015. Moody's has identified the B-Note ($27.0 million) as a troubled loan. Moody's LTV and stressed DSCR for the modified A-Note are 138% and 0.63X, respectively. The second largest loan is the Independence Mall Loan ($200.0 million -- 17.3% of the pool). The loan is secured by a 398,000 SF portion of a regional mall located in Independence, Missouri, located approximately 10 miles east of downtown Kansas City, Missouri. The mall's anchors are Macy's, Sears, and Dillard's. Dillard's owns its own space. Additionally, the majority of the Macy's and Sear's space are excluded from the collateral of the loan. The total mall was 91% leased as of December 2016, compared to 96% in December 2015 and 98% in December 2014. The servicer has indicated they have received written correspondence from the Borrower regarding their inability to payoff the loan at the scheduled maturity date in July 2017. The loan was transferred to the special servicer effective May 12, 2017. Moody's has identified this as a troubled loan. The third largest loan is the Fort 1 Portfolio Loan ($44.6 million -- 3.9% of the pool), which is secured by four cross-collateralized single tenant buildings (3 retail and 1 industrial) located in four different states. The industrial property located in West Valley City, Utah has been 100% vacant since the single tenant vacated the space at their lease expiration in July 2016. The loan has an anticipated repayment date (ARD) on August 11, 2017 and a final maturity date on August 11, 2037. Moody's LTV and stressed DSCR are 142% and 0.68X, respectively. WELLS FARGO 2015 LC22: Fitch Affirms 'B-sf' Rating on 2 Tranches ---------------------------------------------------------------- Fitch Ratings has affirmed 15 classes of Wells Fargo Commercial Mortgage Trust 2015-LC22 commercial mortgage pass-through certificates. KEY RATING DRIVERS Stable Performance: Pool performance has been stable since issuance; currently there are no delinquent or specially serviced loans. As of the May 2017 distribution date, the pool's aggregate principal balance has been paid down by 1.4% to $950.7 million from $963.7 million at issuance. There is currently one Fitch Loan of Concern outside of the top 15 (0.3% of the pool) that is performing to date. The loan is secured by a limited service hotel in Houston, TX, which has experienced a decline in occupancy and DSCR. Multifamily Concentration: Multifamily properties, including co-ops, comprise 29.3% of the pool, which is greater than the multifamily concentration of similar transactions of the same vintage. Additionally, the pool contains nine loans (4.1% of the pool) secured by multifamily co-ops within the New York City metro area. At issuance, the weighted average Fitch DSCR and LTV of the co-op collateral in this transaction, when analyzed as rental units, were 7.37x and 33.1%, respectively. Esoteric Property Types: Two of the top 20 largest loans in the pool are secured by nontraditional property types. San Diego Park N' Fly (2.3% of the pool) is secured by the interests in an airport parking garage and surface lot located in close proximity to the San Diego International Airport. Jellystone Park (1.4% of the pool) is secured by a campground and waterpark located in Burleson, TX, south of Fort Worth. Interest-Only Loan Periods: Approximately 63.3% of the pool has an interest-only (IO) component; 12.1% is fully IO and 51.2% has a partial IO component. The majority of the partial IO periods expire between 2018 and 2020 (34.7% of the pool). However, 14.4% of the pool has partial IO terms that expire in 2017; approximately 1.4% of the pool had IO periods that expired in 2016. RATING SENSITIVITIES The Rating Outlook for all classes remains Stable. Due to the recent issuance of the transaction and stable performance, Fitch does not foresee positive or negative ratings migration until a material economic or asset-level event changes the transaction's portfolio-level metrics. 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: -- $33,144,973 class A-1 'AAAsf'; Outlook Stable; -- $23,443,000 class A-2 'AAAsf'; Outlook Stable; -- $220,000,000 class A-3 'AAAsf'; Outlook Stable; -- $302,267,000 class A-4 'AAAsf'; Outlook Stable; -- $82,712,000 class A-SB 'AAAsf'; Outlook Stable; -- $69,870,000c class A-S 'AAAsf'; Outlook Stable; -- $731,436,973* class X-A 'AAAsf'; Outlook Stable; -- $56,619,000** class B 'AA-sf'; Outlook Stable; -- $42,162,000** class C 'A-sf'; Outlook Stable; -- $168,651,000** class PEX 'A-sf'; Outlook Stable; -- $44,573,000 class D 'BBB-sf'; Outlook Stable; -- $22,888,000* class X-E 'BB-sf'; Outlook Stable; -- $9,637,000* class X-F 'B-sf'; Outlook Stable; -- $22,888,000 class E 'BB-sf'; Outlook Stable; -- $9,637,000 class F 'B-sf'; Outlook Stable. * Notional amount and interest only. ** Class A-S, B and C certificates may be exchanged for class PEX certificates, and class PEX certificates may be exchanged for class A-S, B, and C certificates. Fitch does not rate the class G or interest only X-G certificates. WELLS FARGO 2017-C38: Fitch to Rate Class F Notes 'B-sf' -------------------------------------------------------- Fitch Ratings has issued a presale report on Wells Fargo Commercial Mortgage Trust Commercial Mortgage Pass Through Certificates, Series 2017-C38. Fitch expects to rate the transaction and assign Rating Outlooks as follows: -- $32,899,000 class A-1 'AAAsf'; Outlook Stable; -- $42,503,000 class A-2 'AAAsf'; Outlook Stable; -- $8,575,000 class A-3 'AAAsf'; Outlook Stable; -- $300,000,000 class A-4 'AAAsf'; Outlook Stable; -- $366,318,000 class A-5 'AAAsf'; Outlook Stable; -- $36,137,000 class A-SB 'AAAsf'; Outlook Stable; -- $119,369,000 class A-S 'AAAsf'; Outlook Stable; -- $786,432,000b class X-A 'AAAsf'; Outlook Stable; -- $214,864,000b class X-B 'A-sf'; Outlook Stable; -- $50,556,000 class B 'AA-sf'; Outlook Stable; -- $44,939,000 class C 'A-sf'; Outlook Stable; -- $49,152,000ab class X-D 'BBB-sf'; Outlook Stable; -- $49,152,000a class D 'BBB-sf'; Outlook Stable; -- $22,470,000a class E 'BB-sf'; Outlook Stable; -- $11,234,000a class F 'B-sf'; Outlook Stable. The following classes are not expected to be rated by Fitch: -- $39,332,437b class G; -- $31,175,549.65c Vertical RR Interest. (a) Privately placed and pursuant to Rule 144A. (b) Notional amount and interest-only. (c) Vertical credit risk retention interest representing at least 5% of the pool balance (as of the closing date). The certificates represent the beneficial ownership interest in the trust, primary assets of which are 76 loans secured by 210 commercial properties having an aggregate principal balance of $1,154,649,987 as of the cut-off date. The loans were contributed to the trust by Barclays Bank PLC, Wells Fargo Bank, National Association, Rialto Mortgage Finance, LLC, C-III Commercial Mortgage LLC, and UBS Real Estate Securities Inc. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 64.1% of the properties by balance, cash flow analysis of 84.7%, and asset summary reviews on 84.7% of the pool. KEY RATING DRIVERS Low Fitch Leverage: The pool has leverage statistics better than recent Fitch-rated multiborrower transactions. The pool's Fitch debt service coverage ratio (DSCR) of 1.27x is higher than the year-to-date (YTD) 2017 and 2016 average of 1.21x. The pool's Fitch loan to value (LTV) of 96.4% is lower than both the YTD 2017 and 2016 averages of 104.1% and 105.2%, respectively. Investment-Grade Credit Opinion Loans: Four loans, received investment-grade credit opinions. The pool's credit opinion loan concentration of 23.82% is greater than the 2017 YTD and the 2016 averages of 5.51% and 8.36%, respectively. Net of the credit opinion loan, Fitch's DSCR and LTV are 1.22x and 106.7%, respectively. Weak Amortization: Eighteen loans (56.5%) are full-term interes- only and 12 loans (13.3%) are partial interest only. Fitch-rated transactions at 2017 YTD had an average full-term interest-only percentage of 41.3% and a partial interest-only percentage of 31.7%. Based on the scheduled balance at maturity, the pool will pay down by only 7.05%, which is below the 2017 YTD average of 8.5% and significantly below the 2016 average of 10.4%. Above Average Property Quality: The pool's collateral quality is better than that of other recent transactions. As a percentage of Fitch-inspected properties, 35.1% received a property quality grade of 'A-' or higher, compared with the YTD 2017 and 2016 averages of 22.6% and 20.2%, respectively. Only 10.2% of the inspected pool received a property quality grade of 'B-' or below compared with 10.7% and 12.0% for the YTD 2017 and 2016 averages, respectively. RATING SENSITIVITIES For this transaction, Fitch's net cash flow (NCF) was 11.8% 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 Lowers 122 Bonds in 89 US RMBS Transactions to D(sf) -------------------------------------------------------------- Fitch Ratings has downgraded 122 distressed bonds in 89 U.S. RMBS transactions to 'Dsf'. The downgrades indicate that the bonds have incurred a principal write-down. Of the bonds downgraded to 'Dsf', 98 classes were previously rated 'Csf', 18 classes were rated 'CCsf', five classes were rated 'CCCsf', and one class was rated 'Bsf'. The Recovery Estimates (REs) of the defaulted bonds were not revised as part of this review. In addition, the review focused only on the bonds which defaulted and did not include any other bonds in the affected transactions. Of the 122 classes affected by these downgrades, 48 are Prime, 38 are Alt-A, and 26 are Subprime. The remaining transaction types are various other sectors. Approximately 60% of the bonds have an RE of 75% to 100%, which indicates that the bonds will recover 75% to 100% of the current outstanding balance, while 6% have an RE of 0%. KEY RATING DRIVERS All of the affected classes had incurred a principal write-down and are expected to endure additional losses in the future. RATING SENSITIVITIES While the bonds that have defaulted are not expected to recover any material amount of lost principal in the future, there is a limited possibility that this may happen. In this unlikely scenario, Fitch would further review the affected class. A list of the Affected Ratings is available at: http://bit.ly/2shKvsG [*] Moody's Hikes $256.9MM of Subprime RMBS Issued 2003-2004 ------------------------------------------------------------ Moody's Investors Service has upgraded the ratings of 28 tranches from 11 transactions, issued by various issuers, backed by subprime mortgage loans. Complete rating actions are: Issuer: Aegis Asset Backed Securities Trust 2004-3 Cl. B1 Certificate, Upgraded to Caa2 (sf); previously on May 4, 2012 Downgraded to C (sf) Cl. M2 Certificate, Upgraded to Ba2 (sf); previously on Aug 15, 2016 Upgraded to B3 (sf) Cl. M1 Certificate, Upgraded to A3 (sf); previously on Aug 15, 2016 Upgraded to Baa1 (sf) Cl. M3 Certificate, Upgraded to B3 (sf); previously on Aug 15, 2016 Upgraded to Caa3 (sf) Issuer: Ameriquest Mortgage Securities Inc., Series 2004-FR1 Cl. A-6 Certificate, Upgraded to A2 (sf); previously on Aug 15, 2016 Upgraded to Baa1 (sf) Cl. A-7 Certificate, Upgraded to A2 (sf); previously on Aug 15, 2016 Upgraded to Baa1 (sf) Cl. M-2 Certificate, Upgraded to B2 (sf); previously on Oct 1, 2015 Upgraded to Caa1 (sf) Cl. M-3 Certificate, Upgraded to Caa3 (sf); previously on Mar 29, 2011 Downgraded to Ca (sf) Issuer: Ameriquest Mortgage Securities Inc., Series 2004-R9 Cl. M-4 Certificate, Upgraded to Caa3 (sf); previously on Feb 28, 2013 Affirmed Ca (sf) Issuer: Citigroup Mortgage Loan Trust, Series 2003-HE2 Cl. M-4 Certificate, Upgraded to B1 (sf); previously on Aug 16, 2016 Upgraded to B2 (sf) Cl. M-5 Certificate, Upgraded to B1 (sf); previously on Aug 16, 2016 Upgraded to Caa1 (sf) Cl. M-6 Certificate, Upgraded to B1 (sf); previously on Nov 25, 2014 Upgraded to Caa3 (sf) Issuer: First Franklin Mortgage Loan Trust 2004-FF8 Cl. M-3 Certificate, Upgraded to Caa3 (sf); previously on Mar 18, 2013 Affirmed Ca (sf) Issuer: New Century Home Equity Loan Trust, Series 2003-6 Cl. M-2 Certificate, Upgraded to B2 (sf); previously on Aug 16, 2016 Upgraded to Caa2 (sf) Cl. M-3 Certificate, Upgraded to Ca (sf); previously on Mar 18, 2011 Downgraded to C (sf) Issuer: NovaStar Mortgage Funding Trust, Series 2004-4 Cl. M-4 Certificate, Upgraded to Aaa (sf); previously on Aug 16, 2016 Upgraded to Aa1 (sf) Cl. M-5 Certificate, Upgraded to Aa1 (sf); previously on Aug 16, 2016 Upgraded to Aa3 (sf) Cl. M-6 Certificate, Upgraded to A3 (sf); previously on Aug 16, 2016 Upgraded to Baa2 (sf) Issuer: People's Choice Home Loan Securities Trust 2004-2 Cl. M1 Certificate, Upgraded to Aaa (sf); previously on Aug 18, 2016 Upgraded to Aa2 (sf) Cl. M2 Certificate, Upgraded to A3 (sf); previously on Aug 18, 2016 Upgraded to Baa2 (sf) Cl. M3 Certificate, Upgraded to B1 (sf); previously on Aug 18, 2016 Upgraded to Caa1 (sf) Cl. M4 Certificate, Upgraded to Ca (sf); previously on Apr 1, 2013 Affirmed C (sf) Issuer: Soundview Home Loan Trust 2004-1 Cl. M-7 Certificate, Upgraded to Caa1 (sf); previously on Oct 1, 2015 Upgraded to Caa2 (sf) Issuer: Specialty Underwriting and Residential Finance Trust, Series 2003-BC1 Cl. M-1 Certificate, Upgraded to Baa3 (sf); previously on Aug 8, 2014 Upgraded to Ba1 (sf) Cl. M-2 Certificate, Upgraded to B2 (sf); previously on Aug 8, 2014 Upgraded to Caa2 (sf) Cl. S Certificate, Upgraded to Caa1 (sf); previously on Jun 9, 2017 Downgraded to Caa2 (sf) Issuer: Specialty Underwriting and Residential Finance Trust, Series 2003-BC3 Cl. M-1 Certificate, Upgraded to Baa3 (sf); previously on Mar 4, 2011 Downgraded to Ba2 (sf) Cl. M-2 Certificate, Upgraded to Caa1 (sf); previously on Mar 4, 2011 Downgraded to Ca (sf) RATINGS RATIONALE The rating upgrades are primarily due to the total credit enhancement available to the bonds. Specialty Underwriting and Residential Finance Trust, Series 2003-BC1 Class S is an Interest Only (IO) tranche that references other tranches in the transaction. The upgrade of this tranche is primarily due to the rating upgrades of related P&I tranches issued by Specialty Underwriting and Residential Finance Trust, Series 2003-BC1. 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. Additionally, the methodology used in rating Specialty Underwriting and Residential Finance Trust, Series 2003-BC1 Cl. S was "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 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 4.3% in May 2017 from 4.7% in May 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 $740MM of Subprime RMBS Issued 2004-2007 ---------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 29 tranches, from 14 transactions issued by various issuers. Complete rating actions are: Issuer: Carrington Mortgage Loan Trust, Series 2005-NC3 Cl. M-4, Upgraded to B1 (sf); previously on Sep 22, 2015 Upgraded to Caa2 (sf) Issuer: Carrington Mortgage Loan Trust, Series 2006-NC1 Cl. A-3, Upgraded to Aa3 (sf); previously on Jul 29, 2016 Upgraded to A3 (sf) Cl. A-4, Upgraded to A2 (sf); previously on Jul 29, 2016 Upgraded to Baa2 (sf) Cl. M-1, Upgraded to B1 (sf); previously on Jul 29, 2016 Upgraded to B3 (sf) Cl. M-2, Upgraded to Ca (sf); previously on Apr 29, 2010 Downgraded to C (sf) Issuer: Credit Suisse First Boston Mortgage Securities Corp. Series 2004-3 Cl. B-1, Upgraded to Caa2 (sf); previously on Jul 26, 2016 Upgraded to Ca (sf) Cl. M-1, Upgraded to Baa1 (sf); previously on Jul 26, 2016 Upgraded to Baa3 (sf) Cl. M-2, Upgraded to Ba3 (sf); previously on Jul 26, 2016 Upgraded to B2 (sf) Issuer: Credit Suisse First Boston Mortgage Securities Corp. Series 2004-5 Cl. M-1, Upgraded to A3 (sf); previously on Nov 19, 2014 Downgraded to Baa1 (sf) Cl. M-2, Upgraded to Ba1 (sf); previously on Mar 15, 2011 Downgraded to B2 (sf) Cl. M-3, Upgraded to Ba2 (sf); previously on Jul 26, 2016 Upgraded to Caa1 (sf) Cl. M-4, Upgraded to B1 (sf); previously on Mar 15, 2011 Downgraded to Ca (sf) Cl. M-5, Upgraded to Caa2 (sf); previously on Apr 9, 2012 Downgraded to C (sf) Issuer: Credit Suisse First Boston Mortgage Securities Corp. Series 2004-7 Cl. M-3, Upgraded to Ba1 (sf); previously on Aug 28, 2015 Upgraded to B1 (sf) Cl. M-4, Upgraded to Ba3 (sf); previously on Aug 28, 2015 Upgraded to B2 (sf) Issuer: CSFB Home Equity Asset Trust 2005-6 Cl. M-2, Upgraded to Aaa (sf); previously on Jul 26, 2016 Upgraded to Aa2 (sf) Cl. M-3, Upgraded to A1 (sf); previously on Jul 26, 2016 Upgraded to Baa1 (sf) Cl. M-4, Upgraded to Ba2 (sf); previously on Aug 21, 2015 Upgraded to Caa1 (sf) Issuer: CSFB Home Equity Asset Trust 2006-4 Cl. 1-A-1, Upgraded to Baa1 (sf); previously on Jul 26, 2016 Upgraded to Ba1 (sf) Cl. 2-A-3, Upgraded to Aaa (sf); previously on Jul 26, 2016 Upgraded to Aa1 (sf) Cl. 2-A-4, Upgraded to Baa2 (sf); previously on Jul 26, 2016 Upgraded to B1 (sf) Issuer: CSFB Home Equity Asset Trust 2007-2 Cl. 2-A-2, Upgraded to A3 (sf); previously on Jul 26, 2016 Upgraded to Ba1 (sf) Issuer: FBR Securitization Trust 2005-3 Cl. AV1, Upgraded to Aaa (sf); previously on Aug 3, 2016 Upgraded to A1 (sf) Cl. AV2-4, Upgraded to Baa3 (sf); previously on Aug 3, 2016 Upgraded to B1 (sf) Issuer: Home Equity Mortgage Loan Asset-Backed Trust, Series SPMD 2004-A Cl. M-2, Upgraded to B2 (sf); previously on Mar 5, 2013 Downgraded to B3 (sf) Issuer: Merrill Lynch Mortgage Investors Trust Series 2006-HE5 Cl. A-1, Upgraded to B2 (sf); previously on Jul 22, 2016 Upgraded to Caa2 (sf) Issuer: Saxon Asset Securities Trust 2005-3 Cl. M-4, Upgraded to B1 (sf); previously on Jul 22, 2016 Upgraded to B2 (sf) Issuer: Wells Fargo Home Equity Asset-Backed Securities 2005-3 Trust Cl. M-7, Upgraded to B2 (sf); previously on Aug 10, 2015 Upgraded to Ca (sf) Issuer: Wells Fargo Home Equity Asset-Backed Securities 2007-2 Trust Cl. A-3, Upgraded to B3 (sf); previously on Dec 9, 2014 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 4.3% in May 2017 from 5.7% in May 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. [*] Moody's Lowers $852.6MM of Puerto Rican RMBS Loans ------------------------------------------------------ Moody's Investors Service has downgraded the rating of 57 tranches from three transactions, backed by Puerto Rican RMBS loans, issued by multiple issuers. Complete rating actions are: Issuer: CSMC Mortgage-Backed Trust Series 2006-9 Cl. 1-A-1, Downgraded to Caa2 (sf); previously on Aug 8, 2014 Downgraded to Caa1 (sf) Cl. 2-A-1, Downgraded to Caa2 (sf); previously on Aug 8, 2014 Downgraded to Caa1 (sf) Cl. 3-A-1, Downgraded to Caa2 (sf); previously on Jan 12, 2011 Downgraded to Caa1 (sf) Cl. 4-A-1, Downgraded to Caa2 (sf); previously on Jan 12, 2011 Downgraded to Caa1 (sf) Cl. 4-A-2, Downgraded to Caa2 (sf); previously on Jan 12, 2011 Downgraded to Caa1 (sf) Cl. 4-A-3, Downgraded to Caa2 (sf); previously on Jan 12, 2011 Downgraded to Caa1 (sf) Cl. 4-A-4, Downgraded to Caa2 (sf); previously on Jan 12, 2011 Downgraded to Caa1 (sf) Cl. 4-A-5, Downgraded to Caa2 (sf); previously on Jan 12, 2011 Downgraded to Caa1 (sf) Cl. 4-A-6, Downgraded to Caa2 (sf); previously on Jan 12, 2011 Downgraded to Caa1 (sf) Cl. 4-A-7, Downgraded to Caa2 (sf); previously on Jan 12, 2011 Downgraded to Caa1 (sf) Cl. 4-A-8, Downgraded to Caa2 (sf); previously on Jan 12, 2011 Downgraded to Caa1 (sf) Cl. 4-A-9, Downgraded to Caa2 (sf); previously on Jan 12, 2011 Downgraded to Caa1 (sf) Cl. 4-A-10, Downgraded to Caa2 (sf); previously on Jan 12, 2011 Downgraded to Caa1 (sf) Cl. 4-A-11, Downgraded to Caa2 (sf); previously on Jan 12, 2011 Downgraded to Caa1 (sf) Cl. 4-A-12, Downgraded to Caa2 (sf); previously on Jan 12, 2011 Downgraded to Caa1 (sf) Cl. 4-A-13, Downgraded to Caa2 (sf); previously on Jan 12, 2011 Downgraded to Caa1 (sf) Cl. 4-A-14, Downgraded to Caa2 (sf); previously on Jan 12, 2011 Downgraded to Caa1 (sf) Cl. 4-A-15, Downgraded to Caa2 (sf); previously on Jan 12, 2011 Downgraded to Caa1 (sf) Cl. D-P, Downgraded to Caa2 (sf); previously on Aug 8, 2014 Downgraded to Caa1 (sf) Cl. D-X, Downgraded to Caa2 (sf); previously on Aug 8, 2014 Downgraded to Caa1 (sf) Issuer: Deutsche Mortgage Securities, Inc. Mortgage Loan Trust, Series 2006-PR1 Cl. 1-A-1, Downgraded to Caa2 (sf); previously on Jan 12, 2011 Downgraded to Caa1 (sf) Cl. 2-PO, Downgraded to Caa2 (sf); previously on Aug 8, 2014 Downgraded to B3 (sf) Cl. 3-PO, Downgraded to Caa2 (sf); previously on Aug 8, 2014 Downgraded to B3 (sf) Cl. 4-PO, Downgraded to Caa2 (sf); previously on Aug 8, 2014 Downgraded to B3 (sf) Cl. 5-PO, Downgraded to Caa2 (sf); previously on Aug 8, 2014 Downgraded to B3 (sf) Cl. 2-A-F, Downgraded to Caa2 (sf); previously on Aug 8, 2014 Downgraded to B3 (sf) Cl. 2-A-S, Downgraded to Caa2 (sf); previously on Aug 8, 2014 Downgraded to B3 (sf) Cl. 3-A-I, Downgraded to Caa2 (sf); previously on Aug 8, 2014 Downgraded to B3 (sf) Cl. 3-A-S, Downgraded to Caa2 (sf); previously on Aug 8, 2014 Downgraded to B3 (sf) Cl. 3-A-F-1, Affirmed A2 (sf); previously on Jan 18, 2013 Downgraded to A2 (sf) Underlying Rating: Downgraded to Caa2 (sf); previously on Aug 8, 2014 Downgraded to B3 (sf) Financial Guarantor: Assured Guaranty Municipal Corp (Affirmed at A2, Outlook Stable on August 8, 2016) Cl. 3-A-F-2, Affirmed A2 (sf); previously on Jan 18, 2013 Downgraded to A2 (sf) Underlying Rating: Downgraded to Caa2 (sf); previously on Aug 8, 2014 Downgraded to B3 (sf) Financial Guarantor: Assured Guaranty Municipal Corp (Affirmed at A2, Outlook Stable on August 8, 2016) Cl. 4-A-F-1, Affirmed A2 (sf); previously on Jan 18, 2013 Downgraded to A2 (sf) Underlying Rating: Downgraded to Caa2 (sf); previously on Aug 8, 2014 Downgraded to B3 (sf) Financial Guarantor: Assured Guaranty Municipal Corp (Affirmed at A2, Outlook Stable on August 8, 2016) Cl. 4-A-F-2, Downgraded to Caa2 (sf); previously on Aug 8, 2014 Downgraded to B3 (sf) Cl. 4-A-I-1, Downgraded to Caa2 (sf); previously on Aug 8, 2014 Downgraded to B3 (sf) Cl. 4-A-I-2, Downgraded to Caa2 (sf); previously on Aug 8, 2014 Downgraded to B3 (sf) Cl. 4-A-S-1, Downgraded to Caa2 (sf); previously on Aug 8, 2014 Downgraded to B3 (sf) Cl. 4-A-S-2, Downgraded to Caa2 (sf); previously on Aug 8, 2014 Downgraded to B3 (sf) Cl. 5-A-F-1, Downgraded to Caa2 (sf); previously on Aug 8, 2014 Downgraded to B3 (sf) Cl. 5-A-F-2, Affirmed A2 (sf); previously on Jan 18, 2013 Downgraded to A2 (sf) Underlying Rating: Downgraded to Caa2 (sf); previously on Aug 8, 2014 Downgraded to B3 (sf) Financial Guarantor: Assured Guaranty Municipal Corp (Affirmed at A2, Outlook Stable on August 8, 2016) Cl. 5-A-F-3, Downgraded to Caa2 (sf); previously on Aug 8, 2014 Downgraded to B3 (sf) Cl. 5-A-F-4, Downgraded to Caa2 (sf); previously on Aug 8, 2014 Downgraded to B3 (sf) Cl. 5-A-I-1, Downgraded to Caa2 (sf); previously on Aug 8, 2014 Downgraded to B3 (sf) Cl. 5-A-I-2, Downgraded to Caa2 (sf); previously on Aug 8, 2014 Downgraded to B3 (sf) Cl. 5-A-I-3, Downgraded to Caa2 (sf); previously on Aug 8, 2014 Downgraded to B3 (sf) Cl. 5-A-I-4, Downgraded to Caa2 (sf); previously on Aug 8, 2014 Downgraded to B3 (sf) Cl. 5-A-S-1, Downgraded to Caa2 (sf); previously on Aug 8, 2014 Downgraded to B3 (sf) Cl. 5-A-S-2, Downgraded to Caa2 (sf); previously on Aug 8, 2014 Downgraded to B3 (sf) Cl. 5-A-S-3, Downgraded to Caa2 (sf); previously on Aug 8, 2014 Downgraded to B3 (sf) Cl. 5-A-S-4, Downgraded to Caa2 (sf); previously on Aug 8, 2014 Downgraded to B3 (sf) Issuer: PRIME Mortgage Trust 2006-DR1 Cl. I-A-1, Downgraded to Caa2 (sf); previously on Jan 12, 2011 Downgraded to B2 (sf) Cl. I-A-2, Downgraded to Caa2 (sf); previously on Jan 12, 2011 Downgraded to B2 (sf) Cl. II-A-1, Downgraded to Caa2 (sf); previously on Jan 12, 2011 Downgraded to B3 (sf) Cl. II-A-2, Downgraded to Caa2 (sf); previously on Jan 12, 2011 Downgraded to B3 (sf) Cl. I-PO, Downgraded to Caa2 (sf); previously on Jan 12, 2011 Downgraded to B2 (sf) Cl. I-X, Downgraded to Caa2 (sf); previously on Jan 12, 2011 Downgraded to B2 (sf) Cl. II-PO, Downgraded to Caa2 (sf); previously on Jan 12, 2011 Downgraded to B3 (sf) Cl. II-X, Downgraded to Caa2 (sf); previously on Jun 16, 2015 Downgraded to B3 (sf) RATINGS RATIONALE The actions reflect the recent performance of the underlying pools and reflect Moody's updated loss expectations on the pools. The ratings downgraded are a result of the continued depreciation or lack of credit enhancement available to bonds. In addition, the rating actions take into account the continued adverse pressures on Puerto Rico's economy, such as its persistent budget deficits and high public debt, and Moody's expectation that delinquencies (and future defaults) will remain high as a result of Puerto Rico's extended recession. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in January 2017. Additionally, the methodology used in rating CSMC Mortgage-Backed Trust Series 2006-9 Cl. 4-A-2, Cl. 4-A-3, Cl. 4-A-4, Cl. 4-A-5, Cl. 4-A-6, Cl. 4-A-7, Cl. 4-A-8, Cl. 4-A-10, Cl. 4-A-11, and Cl. D-X, Deutsche Mortgage Securities, Inc. Mortgage Loan Trust, Series 2006-PR1 Cl. 2-A-S, Cl. 3-A-S, Cl. 4-A-S-1, Cl. 4-A-S-2, Cl. 5-A-S-1, Cl. 5-A-S-2, Cl. 5-A-S-3, and Cl. 5-A-S-4, and PRIME Mortgage Trust 2006-DR1 Cl. I-X and Cl. II-X was "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 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 4.3% in May 2017 from 4.7% in May 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 $112.7MM of Alt-A Issued 2003-2004 -------------------------------------------------------------- Moody's Investors Service has upgraded ratings of seven tranches and downgraded the ratings of 25 tranches from seven transactions backed by Alt-A mortgage loans, issued by multiple issuers. Complete rating actions are: Issuer: Impac Secured Assets Corp. Mortgage Pass-Through Certificates, Series 2003-2 Cl. A-1 Certificate, Downgraded to Ba1 (sf); previously on Oct 1, 2013 Downgraded to Baa2 (sf) Cl. A-2 Certificate, Downgraded to Ba1 (sf); previously on Oct 1, 2013 Downgraded to Baa2 (sf) Cl. A-3 Certificate, Downgraded to Ba1 (sf); previously on Oct 1, 2013 Downgraded to Baa2 (sf) Cl. A-4 Certificate, Downgraded to Ba1 (sf); previously on Oct 1, 2013 Downgraded to Baa2 (sf) Cl. M-2 Certificate, Downgraded to Ca (sf); previously on Nov 15, 2012 Downgraded to Caa3 (sf) Cl. A-PO Certificate, Downgraded to Ba1 (sf); previously on Oct 1, 2013 Downgraded to Baa2 (sf) Issuer: Lehman ABS Corpration 2004-1 Trust Cl. 1-A2 Certificate, Upgraded to Aa1 (sf); previously on Aug 31, 2016 Upgraded to Aa3 (sf) Cl. 2-A2 Certificate, Upgraded to Aa1 (sf); previously on Aug 31, 2016 Upgraded to Aa3 (sf) Cl. M1 Certificate, Upgraded to A3 (sf); previously on Aug 31, 2016 Upgraded to Baa2 (sf) Cl. M1-IO Certificate, Upgraded to A3 (sf); previously on Aug 31, 2016 Upgraded to Baa2 (sf) Cl. M2 Certificate, Upgraded to Ba3 (sf); previously on Aug 31, 2016 Upgraded to B2 (sf) Cl. M2-IO Certificate, Upgraded to Ba3 (sf); previously on Aug 31, 2016 Upgraded to B2 (sf) Issuer: RALI Series 2003-QS12 Trust A-1 Certificate, Downgraded to B1 (sf); previously on Dec 18, 2014 Downgraded to Ba3 (sf) A-2 Certificate, Downgraded to B1 (sf); previously on Dec 18, 2014 Downgraded to Ba3 (sf) A-2A Certificate, Downgraded to B1 (sf); previously on Dec 18, 2014 Downgraded to Ba3 (sf) A-3 Certificate, Downgraded to B1 (sf); previously on Dec 18, 2014 Downgraded to Ba3 (sf) A-4 Certificate, Downgraded to B1 (sf); previously on Dec 18, 2014 Downgraded to Ba3 (sf) A-5 Certificate, Downgraded to B1 (sf); previously on Dec 18, 2014 Downgraded to Ba3 (sf) A-P Certificate, Downgraded to B1 (sf); previously on Dec 18, 2014 Downgraded to Ba3 (sf) Issuer: RALI Series 2003-QS18 Trust A-1 Certificate, Downgraded to B1 (sf); previously on Jul 31, 2014 Downgraded to Ba2 (sf) A-P Certificate, Downgraded to B1 (sf); previously on Jul 31, 2014 Downgraded to Ba3 (sf) Issuer: Structured Asset Securities Corp Trust 2003-24A Cl. 1-A1 Certificate, Downgraded to B1 (sf); previously on Dec 8, 2014 Downgraded to Ba3 (sf) Cl. 1-A2 Certificate, Downgraded to B1 (sf); previously on Dec 8, 2014 Downgraded to Ba3 (sf) Cl. 1-A3 Certificate, Downgraded to B1 (sf); previously on Dec 8, 2014 Downgraded to Ba3 (sf) Cl. 2-A Certificate, Downgraded to B1 (sf); previously on Dec 8, 2014 Downgraded to Ba3 (sf) Cl. 3-A1 Certificate, Downgraded to B1 (sf); previously on Dec 8, 2014 Downgraded to Ba2 (sf) Cl. 3-A2 Certificate, Downgraded to B1 (sf); previously on Dec 8, 2014 Downgraded to Ba2 (sf) Cl. 4-A Certificate, Downgraded to B1 (sf); previously on Dec 8, 2014 Downgraded to Ba3 (sf) Cl. 5-A Certificate, Downgraded to B1 (sf); previously on Dec 8, 2014 Downgraded to Ba2 (sf) Issuer: Structured Asset Securities Corp Trust 2003-33H Cl. 1A1 Certificate, Downgraded to B2 (sf); previously on Aug 29, 2016 Downgraded to Ba3 (sf) Cl. 1A-PO Certificate, Downgraded to B2 (sf); previously on Aug 29, 2016 Downgraded to Ba3 (sf) Issuer: Structured Asset Securities Corp Trust 2004-22 Cl. A2 Certificate, Upgraded to Ba1 (sf); previously on Jul 5, 2012 Downgraded to Ba3 (sf) RATINGS RATIONALE The rating actions reflect the recent performance of the underlying pools and Moody's updated loss expectations on those pools. Rating upgrades are due to buildup in credit enhancement supporting the associated bonds. The rating downgrades are primarily due to erosion of credit enhancement relative to the expected loss on the collateral. The rating actions on Impac Secured Assets 2003-2, RALI 2003-QS12 and RALI 2003-QS18 also reflect the correction of an error in the cash-flow models used by Moody's in rating these transactions. In the prior modeling, the cash-flow waterfalls did not calculate the correct principal payment amount for principal-only bonds. This error has now been corrected and rating actions on these bonds reflect the appropriate calculation of principal payments. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in January 2017. Additionally, the methodology used in rating the Interest-Only bonds was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in June 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 4.3% in May 2017 from 4.7% in May 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 $255.2MM of RMBS Issued 2004-2007 ------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 23 tranches and downgraded the ratings of five tranches issued from 15 transactions backed by "scratch and dent" RMBS loans. Complete rating actions are: Issuer: Bear Stearns Asset Backed Securities Trust 2004-SD3 Cl. A-3 Certificate, Upgraded to Aa3 (sf); previously on Nov 10, 2015 Upgraded to A1 (sf) Cl. A-4 Certificate, Upgraded to Aa3 (sf); previously on Nov 10, 2015 Upgraded to A1 (sf) Cl. M-2 Certificate, Upgraded to Ba2 (sf); previously on Nov 10, 2015 Upgraded to B1 (sf) Issuer: Bear Stearns Asset Backed Securities Trust 2006-3 Cl. A-2 Certificate, Upgraded to Aaa (sf); previously on Jul 25, 2016 Upgraded to Aa2 (sf) Cl. A-3 Certificate, Upgraded to Aa2 (sf); previously on Jul 25, 2016 Upgraded to A1 (sf) Issuer: CSFB Mortgage Pass-Through Certificates, Series 2004-CF2 Cl. I-M-1 Certificate, Downgraded to B2 (sf); previously on Jan 13, 2015 Downgraded to B1 (sf) Cl. I-M-2 Certificate, Upgraded to B3 (sf); previously on May 19, 2011 Downgraded to Caa2 (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2004-SD2 Cl. B-1 Certificate, Downgraded to Caa3 (sf); previously on Jun 21, 2012 Confirmed at Caa2 (sf) Cl. M-1 Certificate, Downgraded to B2 (sf); previously on Aug 5, 2016 Downgraded to Ba3 (sf) Cl. M-2 Certificate, Downgraded to Caa1 (sf); previously on Jun 21, 2012 Downgraded to B3 (sf) Issuer: RAAC Series 2005-SP2 Trust Cl. M-I-2 Certificate, Upgraded to A3 (sf); previously on Nov 10, 2015 Upgraded to Baa2 (sf) Issuer: Structured Asset Securities Corp Trust 2004-GEL2 Cl. M3 Certificate, Downgraded to Caa1 (sf); previously on Jul 25, 2016 Downgraded to B3 (sf) Issuer: Structured Asset Securities Corporation 2005-GEL1 Cl. M1 Certificate, Upgraded to Aa3 (sf); previously on Nov 20, 2015 Upgraded to A1 (sf) Issuer: Structured Asset Securities Corporation 2005-GEL2 Cl. M1 Certificate, Upgraded to A3 (sf); previously on Jul 25, 2016 Upgraded to Baa2 (sf) Issuer: Structured Asset Securities Corporation 2005-GEL3 Cl. M3 Certificate, Upgraded to Aaa (sf); previously on Jul 25, 2016 Upgraded to Aa2 (sf) Cl. M4 Certificate, Upgraded to A3 (sf); previously on Jul 25, 2016 Upgraded to Baa2 (sf) Issuer: RAAC Series 2006-RP3 Trust Cl. A Certificate, Upgraded to Ba2 (sf); previously on Nov 10, 2015 Upgraded to B1 (sf) Issuer: Structured Asset Securities Corp Trust 2007-TC1 Cl. A Certificate, Upgraded to A3 (sf); previously on Jul 25, 2016 Upgraded to Baa1 (sf) Cl. M-1 Certificate, Upgraded to Ba2 (sf); previously on Oct 27, 2015 Upgraded to B1 (sf) Cl. M-2 Certificate, Upgraded to Caa1 (sf); previously on Oct 27, 2015 Upgraded to Caa2 (sf) Cl. M-3 Certificate, Upgraded to Ca (sf); previously on May 20, 2011 Downgraded to C (sf) Issuer: Structured Asset Securities Corporation 2006-GEL1 Cl. M1 Certificate, Upgraded to Aaa (sf); previously on Jul 25, 2016 Upgraded to A1 (sf) Cl. M2 Certificate, Upgraded to Ba2 (sf); previously on Jul 25, 2016 Upgraded to B3 (sf) Issuer: Structured Asset Securities Corporation 2006-GEL2 Cl. A2 Certificate, Upgraded to Aaa (sf); previously on Jul 25, 2016 Upgraded to Aa2 (sf) Cl. M1 Certificate, Upgraded to B2 (sf); previously on Jul 25, 2016 Upgraded to Caa1 (sf) Issuer: Structured Asset Securities Corporation 2006-GEL3 Cl. A3 Certificate, Upgraded to A3 (sf); previously on Jul 25, 2016 Upgraded to Baa3 (sf) Issuer: Structured Asset Securities Corporation 2006-GEL4 Cl. A3 Certificate, Upgraded to A1 (sf); previously on Jul 25, 2016 Upgraded to A3 (sf) Cl. M1 Certificate, Upgraded to Ca (sf); previously on Mar 5, 2009 Downgraded to C (sf) RATINGS RATIONALE The actions reflect the recent performance of the underlying pools and Moody's updated loss expectations on the pools. The upgrades are primarily due to the increase in credit enhancement available to the bonds. The upgrade on RAAC Series 2006-RP3 Trust also reflects the lower projected losses on the related underlying pools. The downgrades on Morgan Stanley ABS Capital I Inc. Trust 2004-SD2 reflect the deteriorating performance and higher projected losses on the related underlying pools. The downgrade on Structured Asset Securities Corp Trust 2004-GEL2 is primarily due to the decrease in credit enhancement available to tranche Cl. M3. The downgrade on CSFB Mortgage Pass-Through Certificates, Series 2004-CF2 tranche Cl. I-M-1 is primarily due to outstanding interest shortfalls that have not been reimbursed and the possibility of future interest shortfalls. 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 4.3% in May 2017 from 4.7% in May 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 $85.4MM of Alt-A RMBS Issued 2003-2005 ------------------------------------------------------------------ Moody's Investors Service has upgraded the ratings of seven tranches and downgraded the ratings of 16 tranches from six transactions, backed by Alt-A RMBS loans, issued by multiple issuers. Complete rating actions are: Issuer: Impac CMB Trust Series 2003-1 Cl. 1-B-1, Upgraded to A1 (sf); previously on Aug 30, 2016 Upgraded to A3 (sf) Issuer: J.P. Morgan Alternative Loan Trust 2005-A2 Cl. 1-A-1, Upgraded to A1 (sf); previously on Jul 27, 2016 Upgraded to Baa1 (sf) Cl. 1-A-2, Upgraded to Baa1 (sf); previously on Jul 27, 2016 Upgraded to Ba1 (sf) Cl. 1-M-1, Upgraded to Caa3 (sf); previously on Jul 27, 2016 Upgraded to Ca (sf) Issuer: MASTR Alternative Loan Trust 2004-3 Cl. B-I-1, Downgraded to Caa2 (sf); previously on Oct 4, 2015 Downgraded to B3 (sf) Issuer: Nomura Asset Acceptance Corporation, Alternative Loan Trust, Series 2003-A3 Cl. B-1, Upgraded to B1 (sf); previously on Jun 29, 2015 Upgraded to Caa1 (sf) Cl. M-1, Upgraded to Ba1 (sf); previously on Jun 29, 2015 Upgraded to Ba2 (sf) Cl. M-2, Upgraded to Ba3 (sf); previously on Jun 29, 2015 Upgraded to B2 (sf) Issuer: Structured Adjustable Rate Mortgage Loan Trust 2004-1 Cl. 2-A, Downgraded to Ba2 (sf); previously on Jul 6, 2012 Downgraded to Ba1 (sf) Cl. 2-AX, Downgraded to Ba2 (sf); previously on Jul 6, 2012 Downgraded to Ba1 (sf) Cl. 3-A1, Downgraded to Ba2 (sf); previously on Jul 6, 2012 Confirmed at Baa3 (sf) Cl. 3-A2, Downgraded to Ba2 (sf); previously on Jul 6, 2012 Confirmed at Baa3 (sf) Cl. 3-A3, Downgraded to Ba2 (sf); previously on Jul 6, 2012 Confirmed at Baa3 (sf) Cl. 4-A1, Downgraded to Ba2 (sf); previously on Aug 4, 2016 Downgraded to Baa3 (sf) Cl. 4-A2, Downgraded to Ba2 (sf); previously on Jul 6, 2012 Downgraded to Baa3 (sf) Cl. 4-A3, Downgraded to Ba2 (sf); previously on Jul 6, 2012 Downgraded to Baa3 (sf) Cl. 4-A4, Downgraded to Ba2 (sf); previously on Jul 6, 2012 Downgraded to Baa3 (sf) Cl. 5-A, Downgraded to Ba2 (sf); previously on Jul 6, 2012 Confirmed at Baa3 (sf) Cl. 6-A, Downgraded to Ba2 (sf); previously on Jul 6, 2012 Confirmed at Baa3 (sf) Issuer: Structured Asset Securities Corp Trust 2005-14 Cl. 1-A3, Downgraded to Caa2 (sf); previously on Feb 7, 2014 Downgraded to Caa1 (sf) Cl. 1-A4, Downgraded to Caa2 (sf); previously on Feb 7, 2014 Downgraded to Caa1 (sf) Cl. 1-A5, Downgraded to Caa2 (sf); previously on Feb 7, 2014 Downgraded to Caa1 (sf) Cl. 1-A6, Downgraded to Caa2 (sf); previously on Feb 7, 2014 Downgraded to Caa1 (sf) RATINGS RATIONALE The rating actions are a result of the recent performance of the underlying pools and reflect Moody's updated loss expectation on the pools. The rating upgrades are a result of the improving performance of the related pools and / or an increase in credit enhancement available to the bonds. The rating downgrades are due to the weaker performance of the underlying collateral and / or the erosion of enhancement available to the bonds. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in January 2017. Additionally, the methodology used in rating Cl. 2-AX from Structured Adjustable Rate Mortgage Loan Trust 2004-1 was "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities Methodology" published in June 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 4.3% in May 2017 from 4.7% in May 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 $94MM of RMBS Issued 2003-2004 ---------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 18 tranches from seven transactions and downgraded two tranches from one transaction issued by various issuers, backed by subprime mortgage loans. Complete rating actions are: Issuer: Argent Securities Inc., Series 2003-W9 Cl. M-2, Upgraded to Ba2 (sf); previously on Sep 18, 2015 Upgraded to B1 (sf) Issuer: Argent Securities Inc., Series 2004-W2 Cl. M-2, Upgraded to Ba2 (sf); previously on Nov 3, 2015 Upgraded to Ba3 (sf) Cl. M-3, Upgraded to B3 (sf); previously on Mar 18, 2011 Downgraded to Caa3 (sf) Cl. M-4, Upgraded to Caa1 (sf); previously on Mar 18, 2011 Downgraded to Caa3 (sf) Issuer: Argent Securities Inc., Series 2004-W8 Cl. A-2, Upgraded to Aaa (sf); previously on Aug 18, 2016 Upgraded to Aa2 (sf) Cl. A-5, Upgraded to Aaa (sf); previously on Aug 18, 2016 Upgraded to Aa1 (sf) Cl. M-3, Upgraded to B1 (sf); previously on Aug 18, 2016 Upgraded to Caa1 (sf) Cl. M-4, Upgraded to Caa1 (sf); previously on Apr 13, 2012 Downgraded to C (sf) Issuer: CWABS Asset-Backed Certificates Trust 2004-13 Cl. AF-5A, Upgraded to Baa1 (sf); previously on Aug 22, 2016 Upgraded to Baa2 (sf) Cl. AF-5B, Upgraded to Baa1 (sf); previously on Aug 22, 2016 Upgraded to Baa2 (sf) Underlying Rating: Upgraded to Baa1 (sf); previously on Aug 22, 2016 Upgraded to Baa2 (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. MF-2, Upgraded to B1 (sf); previously on Aug 22, 2016 Upgraded to Caa3 (sf) Issuer: CWABS, Inc., Asset-Backed Certificates, Series 2003-BC6 Cl. M-2, Upgraded to Ba2 (sf); previously on Aug 16, 2016 Upgraded to B2 (sf) Cl. M-3, Upgraded to B1 (sf); previously on Aug 16, 2016 Upgraded to Caa1 (sf) Cl. M-4, Upgraded to B3 (sf); previously on Mar 17, 2011 Downgraded to Ca (sf) Issuer: Equifirst Mortgage Loan Trust 2003-2 Cl. M-4, Upgraded to B1 (sf); previously on Aug 16, 2016 Upgraded to B3 (sf) Cl. M-5, Upgraded to Caa1 (sf); previously on Aug 16, 2016 Upgraded to Caa3 (sf) Issuer: GSAMP Trust 2004-AR2 Cl. M-5, Downgraded to C (sf); previously on Apr 1, 2013 Affirmed Ca (sf) Cl. M-6, Downgraded to C (sf); previously on Apr 1, 2013 Affirmed Ca (sf) Issuer: Structured Asset Investment Loan Trust 2004-BNC1 Cl. A5, Upgraded to Baa3 (sf); previously on Apr 25, 2014 Upgraded to Ba2 (sf) Cl. M5, Upgraded to Ca (sf); previously on Mar 4, 2011 Downgraded to C (sf) RATINGS RATIONALE The rating upgrades are primarily due to the total credit enhancement available to the bonds. The rating downgrades reflect Moody's expectations that the tranches will not receive material amounts of principal payments in the future as the cumulative loss trigger is projected to fail in the near term. 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 4.3% in May 2017 from 4.7% in May 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 of 30 Classes From 8 US RMBS Deals ----------------------------------------------------------- S&P Global Ratings completed its review of 30 classes from eight U.S. residential mortgage-backed securities (RMBS) transactions issued between 2002 and 2007. All of these transactions are backed by subprime collateral. The review yielded five upgrades, two downgrades, and 23 affirmations. 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. Some of these considerations include: -- Collateral performance/delinquency trends; -- Historical interest shortfalls; and -- Available subordination and/or overcollateralization. A list of the Affected Ratings is available at: http://bit.ly/2rEJOXE [*] S&P Completes Review of 46 Classes From 13 US RMBS Deals ------------------------------------------------------------ S&P Global Ratings completed its review of 46 classes from 13 U.S. residential mortgage-backed securities (RMBS) transactions issued between 1997 and 2007. All of these transactions are backed by subprime collateral. The review yielded 13 upgrades, four downgrades, 28 affirmations, and one withdrawal. 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. Some of these considerations include: -- Collateral performance/delinquency trends; -- Priority of principal payments; -- Imputed promises criteria; -- Proportion of re-performing loans in the pool; and -- Available subordination and/or overcollateralization. The raised ratings on classes M-2 and M-3 from C-BASS Mortgage Loan Asset-Backed Certificates Series 2005-CB3 reflect an increase in credit support and the class' ability to withstand a higher level of projected loss than previously anticipated. Principal is being paid sequentially due to the failing cumulative loss trigger. Class M-2 is the most-senior class and is currently receiving all principal distributions. This class is projected to pay down in about two years, at which time class M-3 will begin to receive all principal distributions. As such, credit support for classes M-2 and M-3 has increased to 69.37% and 48.95% in May 2017 from 52.30% and 37.15% in March 2015, respectively. A list of the Affected Ratings is available at: http://bit.ly/2rXIApP [*] S&P Completes Review on 18 Classes From 7 RMBS Deals -------------------------------------------------------- S&P Global Ratings, on June 20, 2017, completed its review of 18 classes from seven U.S. residential mortgage-backed securities (RMBS) resecuritized real estate mortgage investment conduit (re-REMIC) transactions issued between 2003 and 2010. All of these transactions are supported by underlying classes backed by a mix of prime jumbo, Alternative-A, and reperforming mortgage collateral. Of the 18 ratings, S&P lowered 11. In addition, S&P removed two ratings from CreditWatch with negative implications and kept six ratings (including one of the lowered ratings) on CSMC Series 2010-8R on CreditWatch with negative implications. On March 22, 2017, S&P placed its ratings on classes A2 and A4 from Lehman Mortgage Trust 2008-5 on CreditWatch with negative implications to reflect S&P's ongoing review of interest shortfalls these classes have experienced as a result of extraordinary expenses, as well as the extent to which those shortfalls may be reimbursed after the principal balances on these classes have been reduced to zero. Based on S&P's assessment and review of this issue with the trustee, S&P believes that, per its criteria, these interest shortfalls do not negatively affect its ratings on these classes. CSMC SERIES 2010-8R S&P's ratings on six re-REMIC classes from CSMC Series 2010-8R remain on CreditWatch with negative implications. S&P initially placed its ratings on these classes on CreditWatch negative on Dec. 23, 2016, to determine if these classes experienced interest shortfalls in light of reported interest shortfalls on the underlying bond. S&P's ratings on these classes remained on CreditWatch with negative implications following its March 22, 2017, review due to S&P's ongoing discussions with the trustee as to whether the reimbursement of interest shortfalls on the underlying class had been properly applied to these re-REMIC classes. S&P has determined that these classes shall remain on CreditWatch negative as it continues to work with the trustee to determine the manner in which distributions were made on these classes, whether those distributions were made per the transaction documents, and whether distributions were made in an inconsistent fashion over multiple remittance periods. If S&P determines that payments on these classes were not allocated per the transaction documents or were allocated in an inconsistent manner over time, then S&P will take rating actions on these classes that it considers appropriate, including downgrades to the low speculative-grade range and/or withdrawals. APPLICATION OF INTEREST SHORTFALL CRITERIA In reviewing these ratings, S&P applied "Global Methodology For Rating Retranchings Of ABS, CMBS, And RMBS," published Aug. 1, 2016, and "Structured Finance Temporary Interest Shortfall Methodology," published Dec. 15, 2015, which impose a maximum rating threshold on classes that have incurred interest shortfalls resulting from credit or liquidity erosion. In applying these criteria, S&P reviewed whether the applicable class received additional compensation beyond the imputed interest due as direct economic compensation for the delay in interest payments. In instances where the class did not receive additional compensation for outstanding interest shortfalls, S&P applied the maximum length of time until full interest is reimbursed as part of its analysis to assign the rating on the class. A list of the Affected Ratings is available at: http://bit.ly/2rBzXSh ********* 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. 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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 ***