/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/170730.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, July 30, 2017, Vol. 21, No. 210 Headlines AMMC CLO XIII: Moody's Assigns B3(sf) Rating to Cl. B3L-R Notes AMMC CLO XIV: Moody's Assigns Ba3(sf) Rating to 2 Tranches ANGEL OAK I: DBRS Finalizes Bsf Rating on Class B-2 Certs ARCAP 2004-1: Fitch Affirms 'Csf' Ratings on 4 Tranches ATLAS SENIOR VIII: S&P Assigns B(sf) Rating on Class E Notes BAIN CLO 2017-1: S&P Assigns B-(sf) Rating on Class F Notes BAMLL 2015-200P: S&P Affirms BB-(sf) Rating on Class F Certs BANK 2017-BNK6: DBRS Assigns BBsf Rating to Class F Debt BANK 2017-BNK6: S&P Assigns B+(sf) Rating on Class F Certificates BANK OF AMERICA 2015-HAUL: Fitch Affirms BBsf Rating on Cl. E Debt BAYVIEW OPPORTUNITY 2017-RT2: Fitch to Rate Class B5 Notes 'Bsf' BEAR STEARNS 2005-TOP18: Fitch Affirms BB Rating on Class G Debt BEAR STEARNS 2006-TOP22: Fitch Affirms CCCsf Rating on Cl. G Notes BEAR STEARNS 2007-PWR17: Fitch Hikes Class B Certs Rating to CCCsf BENEFIT CLO III: S&P Assigns BB-(sf) Rating on Class D-R Notes BLACK CLO 2013-1: S&P Affirms BB Rating on Class D Notes BLC CAPITAL 2002-A: S&P Raises Class B Notes Rating to B-(sf) BLUEMOUNTAIN CLO 2014-2: S&P Affirms 'B' Rating on Class E Notes BX TRUST 2017-SLCT: S&P Assigns Prelim. B Rating on Class F Notes CARLYLE GLOBAL 2014-1: S&P Withdraws CCC Rating on Sr. Notes CARLYLE US 2017-3: S&P Gives Prelim BB-sf Rating on Class D Notes CASTLELAKE AIRCRAFT 2017-1: S&P Gives 'BB' Rating on Class C Loans CATHEDRAL LAKE II: S&P Affirms BB- Rating on Class E-2-R Notes CATHEDRAL LAKE III: S&P Assigns BB- Rating on Class E-R Notes CFCRE 2015-RUM: DBRS Confirms BB(high) Rating on Class E Debt CITI HELD 2015-PM1: Moody's Hikes Class C Notes Rating to Ba2(sf) CITIGROUP 2008-C7: Moody's Lowers Rating on Class B Debt to C(sf) CITIGROUP COMMERCIAL 2012-GC8: Fitch Affirms BB Rating on E Certs CITIGROUP COMMERCIAL 2013-GC15: DBRS Confirms BB Rating on E Debt COMM 2007-C9: S&P Hikes Rating on Class K Certificates to CCC COMM 2012-CCRE4: Moody's Lowers Rating on Class F Certs to B3(sf) COMM 2012-CCRE5: Moody's Affirms B2(sf) Rating on Cl. G Certs. COMM 2013-CCRE6: Moody's Affirms B2 Rating on Class F Certificates COMM 2013-LC6: Moody's Affirms Caa1(sf) Rating on Class X-C Certs COMM 2014-CCRE19: Fitch Affirms BB Rating on Class E Certs CONNECTICUT AVE 2017-C05: Moody's Assigns B1 Ratings on 5 Tranches CPS AUTO 2017-C: DBRS Assigns Prov. BB Rating to Class E Debt CPS AUTO 2017-C: S&P Assigns BB-Rating on Class E Notes CSFB MORTGAGE 2004-C4: Moody's Affirms 'C' Ratings on 2 Tranches CSMC 2017-HL1: Fitch Corrects June 19 Release CSMC 2017-HL1: Fitch Corrects June 29 Release CVP CLO 2017-1: S&P Assigns BB-(sf) Rating on Class E Notes DENALI CAPITAL XI: Moody's Affirms B2 Rating on Class E Notes DRIVE AUTO 2017-2: S&P Gives Prelim. BB Rating on Class E Notes DUNCANNON CRE CDO I: S&P Lowers Ratings on 4 Tranches to Dsf ELEVATION CLO 2017-6: Moody's Assigns B3(sf) Rating to Cl. F Notes FIRST INVESTORS 2017-2: S&P Assigns BB- Rating on Class E Notes FIRST UNION 1999-C1: Moody's Affirms C Rating on Class IO-1 Certs FLAGSTAR MORTGAGE 2017-1: Fitch to Rate Class B-5 Certs 'Bsf' FLAGSTAR MORTGAGE 2017-1: Moody's Gives '(P)B3' Rating to B-5 Debt FREDDIE MAC 2017-SC02: Moody's Assigns Ba3 Rating to Cl. M-2 Certs GE COMMERCIAL 2002-2: Moody's Affirms Ca Rating on Cl. X-1 Certs GE COMMERCIAL 2004-C2: Moody's Lowers Class M Certs Rating to Ba1 GMAC COMMERCIAL 1997-C1: Moody's Affirms Csf Rating on Cl. X Debt GRAYSON CLO: Moody's Affirms B2(sf) Rating on Class D Notes GREEN TREE 1998-3: S&P Lowers Class A-5 Notes Rating to 'D(sf)' GREYWOLF CLO III: S&P Affirms B(sf) Rating on Class E Notes GS MORTGAGE 2012-GCJ7: Moody's Cuts Rating on Class E Certs to Ba3 GS MORTGAGE 2013-KING: S&P Raises Class E Certs Rating to BB+ HEMPSTEAD II: Moody's Assigns (P)Ba3 Rating to Class D Notes HPS LOAN 3-2014: S&P Rates Class E-R Notes 'B-(sf)' IMT TRUST 2017-APTS: S&P Assigns B- Rating on 2 Tranches JFIN CLO 2014-II: Moody's Affirms B2 Rating on Class E Notes JP MORGAN 2007-C1: Moody's Lowers Rating on 2 Tranches to Csf JP MORGAN 2013-C16: Fitch Affirms 'Bsf' Rating on Class F Certs JP MORGAN 2014-C22: Fitch Affirms 'BB-sf' Rating on Class E Certs JP MORGAN 2017-JP7: DBRS Assigns B(high) Rating to Class G-RR Debt JP MORGAN 2017-MAUI: S&P Gives Prelim B Rating on Class F Certs MAD MORTGAGE 2017-330M: S&P Rates Class E Certificates 'BBsf' MADISON AVENUE 2013-650M: DBRS Confirms BB(low) Rating on E Certs MAGNETITE LTD XIX: Moody's Assigns (P)B3 Rating to Class F Notes MARINER CLO 2016-3: S&P Assigns BB(sf) Rating on Class E-R Notes MCF CLO VI: S&P Rates Class E Notes 'BB-(sf)' MERRILL LYNCH 2005-CIP1: Moody's Hikes Class D Debt Rating to Caa2 MERRILL LYNCH 2007-C1: S&P Affirms B- Rating on Class AM Certs MJX VENTURE II: Moody's Assigns Ba1(sf) Rating to Cl. E Notes MORGAN STANLEY 2006-HQ10: Moody's Affirms Ba2 Rating on A-J Debt MORGAN STANLEY 2007-TOP27: Fitch Hikes Class C Certs Rating to CCC MORGAN STANLEY 2012-C6: Fitch Affirms 'Bsf' Rating on Cl. H Certs MORGAN STANLEY 2013-C12: Moody's Affirms B1 Rating on Cl. F Certs MORGAN STANLEY 2013-C7: Moody's Affirms B2 Rating on Cl. G Certs MORGAN STANLEY 2016-UBS11: Fitch Affirms B- Rating to Cl. F Certs MP CLO IV: Moody's Assigns Ba3(sf) Rating to Class E-R Sr. Notes NATIONAL COLLEGIATE 2005-GATE: Moody's Cuts B Debt Rating to Ba1 NEW RESIDENTIAL 2017-5: Moody's Gives (P)B1 Rating on 5 Tranches OCP CLO 2016-11: S&P Gives Prelim. BB- Rating on Class D-R Notes OCP CLO 2017-13: S&P Assigns BB-(sf) Rating on Class D Notes OCTAGON INVESTMENT XV: S&P Assigns BB- Rating on Class E-R Notes OFSI BSL VIII: S&P Assigns Prelim. BB(sf) Rating on Class E Notes OFSI FUND VI: S&P Affirms B(sf) Rating on Class E Notes OZLM FUNDING: S&P Assigns B(sf) Rating on Class E-R2 Notes OZLM FUNDING: S&P Assigns Prelim. B(sf) on Class E-R2 Notes PALMER SQUARE 2015-2: S&P Assigns B- Rating on Class E-R Notes PREFERRED TERM XIX: Moody's Hikes Rating on Cl. C Notes to B2(sf) PRUDENTIAL 2003-PWR1: Fitch Cuts Rating on Class F Certs to Csf REALT 2014-1: Fitch Affirms 'Bsf' Rating on Class G Certificates ROCKWELL CHARTER: S&P Rates 2017A/B School Bonds 'BB' SILVER CREEK: Moody's Assigns Ba3sf Ratings on 2 Tranches SLM STUDENT 2004-10: Moody's Puts Cl. B Debt's Ba1 Rating on Review TABERNA PREFERRED II: Moody's Hikes Rating on Cl. A-1C Notes to B3 TCP WHITNEY: S&P Give Prelim. BB- Rating on Class D Notes THL CREDIT 2013-1: S&P Assigns BB(sf) Rating on Class D-R Notes TOWD POINT 2017-3: Fitch Assigns 'Bsf' Rating to Class B2 Notes TOWD POINT 2017-3: Moody's Assigns B3(sf) Rating to Class B2 Notes TRALEE CLO II: S&P Assigns Prelim B- Rating on Class F-R Notes TRESTLES CLO 2017-1: Moody's Assigns Ba3(sf) Rating to Cl. D Notes UBS COMMERCIAL 2017-C2: Fitch to Rate Class H-RR Debt 'B-sf' UBS COMMERCIAL 2017-C2: S&P Gives Prelim B- Rating on G-RR Certs VENTURE 28A: Moody's Assigns Prov. Ba3(sf) to Class E Notes VENTURE CLO XXVIII: Moody's Assigns Ba3 Rating to Class E Notes VERUS TRUST 2017-2: S&P Gives Prelim 'B+' Rating on Cl. B-3 Certs VIBRANT CLO II: S&P Affirms B(sf) Rating on Class E Notes VIBRANT CLO II: S&P Assigns Prelim B Rating on Class C-R Notes WACHOVIA BANK 2005-C21: Moody's Lowers Rating on Class F Debt to B3 WASATCH CLO: Moody's Hikes Rating on Class C Notes From Ba1(sf) WELLS FARGO 2011-C5: Fitch Affirms 'Bsf' Rating on Class G Certs WELLS FARGO 2015-NXS2: DBRS Confirms B Rating on Class X-F Debt WEST TOWN 2017-KNOX: S&P Assigns BB(sf) Rating on Class RR Certs WHITEHORSE LTD VIII: Moody's Lowers Cl. F Notes Rating to Caa1(sf) [*] Moody's Takes Action on $108.4MM Alt-A Loans Issued 2002-2004 [*] Moody's Takes Action on $60MM of RMBS Issued 2001-2005 [*] S&P Discontinues Ratings on 17 Classes From Five CDO Deals [*] S&P Puts Ratings on 50 Classes From 12 CLO Deals on Watch Pos. [*] S&P Puts Ratings on 73 Classes From 10 RMBS Deals on Watch Neg [*] S&P Takes Various Actions on 56 Classes From 11 US RMBS Deals [*] S&P Takes Various Actions on 85 Classes From 14 US RMBS Deals [*] US CMBS Conduit Loan Delinquencies Up in June, Moody's Says ********* AMMC CLO XIII: Moody's Assigns B3(sf) Rating to Cl. B3L-R Notes --------------------------------------------------------------- Moody's Investors Service has assigned the following ratings to the following notes (the "Refinancing Notes") issued by AMMC CLO XIII, Limited.: US$3,800,000 Class X Amortizing Senior Secured Floating Rate Notes due 2029 (the "Class X Notes"), Assigned Aaa (sf) US$247,500,000 Class A1L-R Senior Secured Floating Rate Notes due 2029 (the "Class A1L-R Notes"), Assigned Aaa (sf) US$50,000,000 Class A2L-R Senior Secured Floating Rate Notes due 2029 (the "Class A2L-R Notes"), Assigned Aa2 (sf) US$20,500,000 Class A3L-R Senior Secured Deferrable Floating Rate Notes due 2029 (the "Class A3L-R Notes"), Assigned A2 (sf) US$24,500,000 Class B1L-R Senior Secured Deferrable Floating Rate Notes due 2029 (the "Class B1L-R Notes"), Assigned Baa3 (sf) US$10,500,000 Class B2L1-R Senior Secured Deferrable Floating Rate Notes due 2029 (the "Class B2L1-R Notes"), Assigned Ba3 (sf) US$10,500,000 Class B2L2-R Senior Secured Deferrable Floating Rate Notes due 2029 (the "Class B2L2-R Notes"), Assigned Ba3 (sf) US$10,500,000 Class B3L-R Senior Secured Deferrable Floating Rate Notes due 2029 (the "Class B3L-R Notes"), Assigned B3 (sf) The Class X Notes, Class A1L-R Notes, Class A2L-R Notes, Class A3L-R Notes, Class B1L-R Notes, Class B2L1-R Notes, Class B2L2-R Notes and Class B3L-R Notes are referenced to herein as the "Refinancing Notes." 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. American Money Management Corporation (the "Manager") manages the CLO. It directs the selection, acquisition, and disposition of collateral on behalf of the Issuer. RATINGS RATIONALE Moody's ratings on the Refinancing Notes address the expected losses posed to noteholders. The ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. The Issuer has issued the Refinancing Notes on July 24, 2017 (the "Refinancing Date") in connection with the refinancing of all of the secured notes (the "Refinanced Original Notes") previously issued on December 19, 2013 (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; extension of the weighted average life test; changes to the collateral quality matrix; changes to comply with the Volcker Rule and a variety of other changes to transaction features. 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: $393,169,931 Defaulted par: $3,449,809 Diversity Score: 80 Weighted Average Rating Factor (WARF): 3137 Weighted Average Spread (WAS): 3.85% Weighted Average Recovery Rate (WARR): 48.0% Weighted Average Life (WAL): 8.25 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 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% (3137 to 3608) Rating Impact in Rating Notches Class X Notes: 0 Class A1L-R Notes: 0 Class A2L-R Notes: -2 Class A3L-R Notes: -2 Class B1L-R Notes: -1 Class B2L1-R Notes: -1 Class B2L2-R Notes: -1 Class B3L-R Notes: -3 Percentage Change in WARF -- increase of 30% (3137 to 4078) Rating Impact in Rating Notches Class X Notes: 0 Class A1L-R Notes: -1 Class A2L-R Notes: -4 Class A3L-R Notes: -4 Class B1L-R Notes: -2 Class B2L1-R Notes: -1 Class B2L2-R Notes: -1 Class B3L-R Notes: -5 AMMC CLO XIV: Moody's Assigns Ba3(sf) Rating to 2 Tranches ---------------------------------------------------------- Moody's Investors Service has assigned the following ratings to the following notes (the "Refinancing Notes") issued by AMMC CLO XIV, Limited: US$5,800,000 Class X Amortizing Senior Secured Floating Rate Notes due 2029 (the "Class X Notes"), Assigned Aaa (sf) US$250,000,000 Class A1L-R Senior Secured Floating Rate Note due 2029 (the "Class A1L-R Notes"), Assigned Aaa (sf) US$50,000,000 Class A2L-R Senior Secured Floating Rate Notes due 2029 (the "Class A2L-R Notes"), Assigned Aa2 (sf) US$20,000,000 Class A3L-R Senior Secured Deferrable Floating Rate Notes due 2029 (the "Class A3L-R Notes"), Assigned A2 (sf) US$23,000,000 Class B1L-R Senior Secured Deferrable Floating Rate Notes due 2029 (the "Class B1L-R Notes"), Assigned Baa3 (sf) US$11,500,000 Class B2L1-R Senior Secured Deferrable Floating Rate Notes due 2029 (the "Class B2L1-R Notes"), Assigned Ba3 (sf) US$10,500,000 Class B2L2-R Senior Secured Deferrable Floating Rate Notes due 2029 (the "Class B2L2-R Notes"), Assigned Ba3 (sf) The Class X Notes, Class A1L-R Notes, Class A2L-R Notes, Class A3L-R Notes, Class B1L-R Notes, Class B2L1-R Notes and Class B2L2-R Notes are referenced to herein as the "Refinancing Notes." 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. American Money Management Corporation (the "Manager") manages the CLO. It directs the selection, acquisition, and disposition of collateral on behalf of the Issuer. RATINGS RATIONALE Moody's ratings on the Refinancing Notes address the expected losses posed to noteholders. The ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. The Issuer has issued the Refinancing Notes on July 25, 2017 (the "Refinancing Date") in connection with the refinancing of all of the secured notes (the "Refinanced Original Notes") previously issued on July 11, 2014 (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; extension of the weighted average life test; changes to the collateral quality matrix; changes to comply with the Volcker Rule and a variety of other changes to transaction features. 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: $394,981,338 Defaulted par: $1,226,969 Diversity Score: 80 Weighted Average Rating Factor (WARF): 2905 Weighted Average Spread (WAS): 3.45% Weighted Average Recovery Rate (WARR): 48.0% Weighted Average Life (WAL): 8.25 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% (2905 to 3341) Rating Impact in Rating Notches Class X Notes: 0 Class A1L-R Notes: 0 Class A2L-R Notes: -2 Class A3L-R Notes: -2 Class B1L-R Notes: -1 Class B2L1-R Notes: -1 Class B2L2-R Notes: -1 Percentage Change in WARF -- increase of 30% (2905 to 3777) Rating Impact in Rating Notches Class X Notes: 0 Class A1L-R Notes: -1 Class A2L-R Notes: -4 Class A3L-R Notes: -4 Class B1L-R Notes: -2 Class B2L1-R Notes: -1 Class B2L2-R Notes: -1 ANGEL OAK I: DBRS Finalizes Bsf Rating on Class B-2 Certs --------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the Mortgage-Backed Certificates, Series 2017-2 (the Certificates) issued by Angel Oak Mortgage Trust I, LLC 2017-2 (AOMT 2017-2 or the Trust): -- $131.0 million Class A-1 at AAA (sf) -- $15.7 million Class A-2 at AA (sf) -- $22.7 million Class A-3 at A (sf) -- $15.8 million Class M-1 at BBB (sf) -- $10.5 million Class B-1 at BB (sf) -- $7.9 million Class B-2 at B (sf) The AAA (sf) ratings on the Certificates reflect the 37.75% of credit enhancement provided by subordinated Certificates in the pool. The AA (sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings reflect 30.30%, 19.50%, 12.00%, 7.00% and 3.25% of credit enhancement, respectively. Other than the specified classes above, DBRS does not rate any other classes in this transaction. This transaction is a securitization of a portfolio of fixed- and adjustable-rate, non-prime, first-lien residential mortgages. The Certificates are backed by 698 loans with a total principal balance of $210,448,066 as of the Cut-Off Date (June 1, 2017). Angel Oak Mortgage Solutions LLC (AOMS), Angel Oak Home Loans LLC (AOHL) and Angel Oak Prime Bridge LLC are the originators for 79.3%, 17.6% and 3.0% of the portfolio, respectively. The mortgages were originated under the following six programs: (1) Portfolio Select (67.6%) – Made to borrowers with near-prime credit scores who are unable to obtain financing through conventional or governmental channels because (a) they fail to satisfy credit requirements; (b) they are self-employed and need an alternate income calculation using 12 or 24 months of bank statements to qualify; (c) they may have a credit score that is lower than that required by government-sponsored entity underwriting guidelines; or (d) they may have been subject to a bankruptcy or foreclosure 24 or more months prior to origination. (2) Non-Prime General (7.8%) – Made to borrowers who have not sustained a housing event in the past 24 months, but whose credit reports show multiple 30+ and/or 60+ day delinquencies on any reported debt in the past 12 months. (3) Non-Prime Recent Housing (6.9%) – Made to borrowers who have completed or have had their properties subject to a short sale, deed-in-lieu, notice of default or foreclosure. Borrowers who have filed for bankruptcy 12 or more months prior to origination or have experienced severe delinquencies may also be considered for this program. (4) Non-Prime Foreign National (6.1%) – Made to investment property borrowers who are citizens of foreign countries and who do not reside or work in the United States. Borrowers may use alternative income and credit documentation. Income is typically documented by the employer or accountant, and credit is verified by letters from overseas credit holders. (5) Non-Prime Investment Property (0.8%) – Made to real estate investors who may have financed up to five mortgaged properties with the originators (or 20 mortgaged properties overall). (6) Investor Cash Flow (10.8%) – Made to real estate investors who are experienced in purchasing, renting and managing investment properties with an established five-year credit history and at least 24 months of clean housing payment history, but who are unable to obtain financing through conventional or governmental channels because (a) they fail to satisfy the requirements of such programs or (b) may be over the maximum number of properties allowed. Loans originated under the Investor Cash Flow program are considered business-purpose and are not covered by the ability-to-repay (ATR) rules or TRID (TILA-RESPA Integrated Disclosure) rule. Select Portfolio Servicing Inc. (SPS) is the servicer for the loans. Angel Oak Home Loans LLC will act as Servicing Administrator, and Wells Fargo Bank, N.A. (Wells Fargo) will act as the Master Servicer. U.S. Bank National Association will serve as Trustee and Custodian. Although the mortgage loans were originated to satisfy the Consumer Financial Protection Bureau (CFPB) ATR rules, they were made to borrowers who generally do not qualify for agency, government or private label non-agency prime jumbo products for various reasons described above. In accordance with the CFPB Qualified Mortgage (QM) rules, none of the loans are designated as QM Safe Harbor, 1.0% as QM Rebuttable Presumption and 75.9% as non-QM. Approximately 23.1% of the loans are for investment properties and thus not subject to the QM rules. The servicing administrator or servicer will generally fund advances of delinquent principal and interest on any mortgage until such loan becomes 180 days delinquent, and they are obligated to make advances in respect of taxes, insurance premiums and reasonable costs incurred in the course of servicing and disposing of properties. On or after the distribution date in July 2019, the Depositor has the option to purchase all of the outstanding certificates at a price equal to the outstanding class balance plus accrued and unpaid interest, including any cap carryover amounts. The transaction employs a sequential-pay cash flow structure with a pro rata principal distribution among the senior tranches. Principal proceeds can be used to cover interest shortfalls on the Certificates as the outstanding senior Certificates are paid in full. Further, excess spread can be used to cover realized losses first before being allocated to unpaid cap carryover amounts up to the Class B-1 Certificates. ARCAP 2004-1: Fitch Affirms 'Csf' Ratings on 4 Tranches ------------------------------------------------------- Fitch Ratings has upgraded three and affirmed six classes of ARCap 2004-1 Resecuritization, Inc. (ARCap 2004-1). KEY RATING DRIVERS The upgrades are the result of increased credit enhancement (CE) from continued deleveraging and positive credit migration of the underlying collateral since Fitch's last rating action. Since the last rating action, the transaction has paid down by $25 million; principal paydowns since issuance total $87.5 million. Over this period, 42.6% of the underlying collateral has been upgraded a weighted average of 4.9 notches, while only 5.1% has been downgraded a weighted average of 2.8 notches. The portfolio has become increasingly more concentrated with 23 assets from seven obligors remaining. Currently, 70% of the portfolio has a Fitch-derived rating below investment grade and 34.8% has a distressed rating in the 'CCCsf' category and below, compared to 78.7% and 45.8%, respectively, at the last rating action. As of the June 22, 2017 payment date, the class B through D notes are current on their interest payment, the class E notes are deferring a portion of their interest payment and the class F through K notes are deferring their full interest payment. This transaction was analyzed under the framework described in the reports, 'Global Structured Finance Rating Criteria' and 'Structured Finance CDOs Surveillance Rating Criteria'. Due to portfolio concentration, the transaction was not analyzed within a cash flow model framework and the Portfolio Credit Model was only used as a reference point. A look-through analysis of the underlying obligors and individual assets was performed to determine collateral coverage of the remaining liabilities (see 'Structured Finance CDOs Surveillance Rating Criteria': Obligor Concentrations). Based on this analysis, the class B through D notes are covered by collateral with credit characteristics at their assigned ratings. For the class E through K notes, Fitch analyzed each class' sensitivity to the default of the distressed assets ('CCCsf' and below). Given the high probability of default of the underlying assets and the expected limited recovery prospects upon default, the class E and F notes have been affirmed at 'CCsf', indicating that default is probable. Similarly, the class G through K notes have been affirmed at 'Csf', indicating that default is inevitable. RATING SENSITIVITIES The Stable Outlook on the class B, C, and D notes reflects Fitch's view that the notes will continue to delever. However, negative migration and defaults beyond those projected by the look-through analysis as well as increasing concentration of weaker credit quality assets could lead to downgrades. If recoveries are better than expected and if there is additional positive credit migration of the underlying portfolio, there could be additional upgrades. Fitch has upgraded the following classes as indicated: -- $220,981 class B notes to 'AAAsf' from 'BBBsf'; Outlook Stable; -- $26,500,000 class C notes to 'Asf' from 'Bsf'; Outlook Stable; -- $8,500,000 Class D Notes to 'Bsf' from 'CCCsf'; Outlook Stable Assigned. Fitch has affirmed the following classes as indicated: -- $30,700,000 Class E Notes at 'CCsf'; -- $13,600,000 Class F Notes at 'CCsf; -- $36,000,000 Class G Notes at 'Csf'; -- $13,000,000 Class H Notes at 'Csf'; -- $31,500,000 Class J Notes at 'Csf'; -- $20,500,000 Class K Notes at 'Csf'. Fitch does not rate the preference shares. ATLAS SENIOR VIII: S&P Assigns B(sf) Rating on Class E Notes ------------------------------------------------------------ S&P Global Ratings assigned its 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 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. 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 38.40 NR--Not rated. BAIN CLO 2017-1: S&P Assigns B-(sf) Rating on Class F Notes ----------------------------------------------------------- S&P Global Ratings today assigned its 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 transaction backed by broadly syndicated speculative-grade senior secured term loans. The ratings reflect S&P's view of: -- The diversified collateral pool, which consists primarily of broadly syndicated speculative-grade senior secured term loans that are governed by collateral quality tests. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. 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. BAMLL 2015-200P: S&P Affirms BB-(sf) Rating on Class F Certs ------------------------------------------------------------ S&P Global Ratings affirmed its ratings on eight classes of commercial mortgage pass-through certificates from BAMLL Commercial Mortgage Securities Trust 2015-200P, a U.S. commercial mortgage-backed securities (CMBS) transaction. S&P said, "The affirmations on the principal- and interest-paying certificate classes follow our analysis of the transaction primarily using our criteria for rating U.S. and Canadian CMBS transactions. Our analysis included a review of the 3.0 million net rentable sq. ft. office property in midtown Manhattan, which secures the $1.4 billion fixed-rate interest-only (IO) mortgage loan that serves as the transaction's collateral. We also considered the deal structure and liquidity available to the trust. The affirmations reflect subordination and liquidity that are consistent with the current ratings. "We affirmed our ratings on the class X-A and X-B IO certificates based on our criteria for rating IO securities, in which the ratings on the IO securities would not be higher than the lowest rated reference class. The notional balance on classes X-A and X-B references classes A and B, respectively. "The analysis of stand-alone (single borrower) transactions is predominantly a recovery-based approach that assumes a loan default. Using this approach, our property-level analysis included a revaluation of the office property that secures the mortgage loan in the trust. We also considered the stable servicer-reported net operating income (NOI) and occupancy for the past four years. We then derived our sustainable in-place net cash flow (NCF), which we divided by a 6.25% capitalization rate to determine our expected-case value. This yielded an overall S&P Global Ratings loan-to-value ratio and debt service coverage (DSC) of 79.7% and 2.14x, respectively, on the trust balance." According to the July 14, 2017, trustee remittance report, the IO mortgage loan has a trust and whole-loan balance of $1.4 billion, pays an annual fixed interest rate of 3.60%, and matures on April 10, 2025. The transaction has no additional debt other than the mortgage loan, and future debt is not permitted. According to the transaction documents, the borrowers will pay the special servicing fees, work-out fees, liquidation fees, and costs and expenses incurred from appraisals and inspections the special servicer conducts. To date, the trust has not incurred any principal losses. S&P said, "We based our analysis partly on a review of the property's historical NOI for the years ended Dec. 31, 2016, 2015, 2014, and 2013, and the year-end 2016 rent roll provided by the master servicer to determine our opinion of a sustainable cash flow for the office property. The master servicer, Wells Fargo Bank N.A., reported a DSC and occupancy of 1.79x and 99% for the year ended Dec. 31, 2016. Based on the year-end 2016 rent roll, the five largest tenants make up 54.8% of the collateral's total net rentable area (NRA). In addition, 0.7% of the NRA have leases that expire in 2017 and 2018, and 7.4% have leases that expire in 2019." RATINGS LIST BAMLL Commercial Mortgage Securities Trust 2015-200P Commercial mortgage pass-through certificates series 2015-200P Rating Class Identifier To From A 05526QAA4 AAA (sf) AAA (sf) X-A 05526QAC0 AAA (sf) AAA (sf) X-B 05526QAU0 AA- (sf) AA- (sf) B 05526QAE6 AA- (sf) AA- (sf) C 05526QAG1 A- (sf) A- (sf) D 05526QAJ5 BBB- (sf) BBB- (sf) E 05526QAL0 BBB- (sf) BBB- (sf) F 05526QAN6 BB- (sf) BB- (sf BANK 2017-BNK6: DBRS Assigns BBsf Rating to Class F Debt -------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the followings classes of Commercial Mortgage Pass-Through Certificates, Series 2017-BNK6 (the Certificates) to be issued by BANK 2017-BNK6: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class X-A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AAA (sf) -- Class X-B at AA (high) (sf) -- Class C at AA (sf) -- Class X-D at A (low) (sf) -- Class D at BBB (high) (sf) -- Class X-E at BBB (sf) -- Class E at BBB (low) (sf) -- Class X-F at BB (high) (sf) -- Class F at BB (sf) All trends are Stable. Classes X-D, X-E, X-F, X-G, D, E, F and G will be privately placed. The X-A, X-B, X-D, X-E, X-F and X-G balances are notional. The collateral consists of 72 fixed-rate loans secured by 189 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, no loans 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 (refi) risk given the current low interest rate environment, DBRS applied its refinance constants to the balloon amounts. This resulted in 17 loans, representing 49.6% of the pool, having refinance DSCRs below 1.00x and 11 loans, representing 34.4% of the pool, having refinance DSCRs below 0.90x. Three loans, representing 22.6% of the transaction balance, exhibit credit characteristics consistent with an investment-grade shadow rating: General Motors Building (AAA), Gateway Net Lease Portfolio (BBB (high)) and Del Amo Fashion Center (A (low)). Both the pool's term default risk and refinance risk are low as indicated by the strong weighted-average (WA) DBRS Term and Refi DSCRs of 1.95x and 1.28x, respectively. In addition, 52 loans, representing 77.1% of the pool, have a DBRS Term DSCR in excess of 1.50x and 34 loans, totaling 77.1%, have a DBRS Refi DSCR in excess of 1.15x. Eleven of the largest 15 loans in the pool meet both criteria. Even when excluding the three loans shadow-rated investment grade and the 19 co-operative loans that are very low leverage, the deal exhibits robust WA DBRS Term and Refi DSCRs of 1.73x and 1.13x, respectively. Seven loans that comprise 36.8% of the DBRS sample (28.3% of the pool) have favorable property quality based on physical attributes and/or a desirable location within their respective markets. One loan, representing 12.5% of the DBRS sample, was considered to be of Excellent property quality and two loans, totaling 11.9% of the DBRS sample, were considered to be Above Average property quality. Another four loans, representing 12.4% of the DBRS sample, received Average (+) property quality. Higher-quality properties are more likely to retain existing tenants/guests and more easily attract new tenants/guests, resulting in a more stable performance. No sampled loans were considered to be Below Average or Poor quality and only one loan, comprising 3.6% of the DBRS sample, was considered to be Average (-) quality. The pool has a relatively high concentration of loans secured by non-traditional property types, such as self-storage, hospitality and mobile home community (MHC) assets which, on a combined basis, represent 24.0% of the pool across 17 loans. There are six loans totaling 14.7% of the pool that are secured by hotels, nine loans totaling 8.7% of the transaction balance secured by self-storage properties and two loans comprising 0.7% of the pool secured by MHC properties. Each of these asset types is vulnerable to high NCF volatility because of the relatively short-term leases compared with other commercial properties, which can cause NCF to quickly deteriorate in a declining market; however, such loans exhibit a WA DBRS Debt Yield and DBRS Exit Debt Yield of 11.5% and 13.0%, respectively, which compare favorably with the overall deal. The pool's interest-only (IO) concentration is elevated at 73.3%. Fourteen loans, representing 43.9% of the pool, including seven of the largest 15 loans, are structured with IO payments for the full term and another 20 loans, representing 29.5% of the pool, have partial-IO periods ranging from 12 months to 60 months. Four of the full-term IO loans, representing 27.8% of the full-IO concentration in the transaction, have excellent locations in super dense urban markets that benefit from steep investor demand. Additionally, the transaction's scheduled amortization by maturity is 9.4%, which is generally in line with other recent conduit securitizations. The DBRS sample included 30 of the 72 loans in the pool. Site inspections were performed on 72 of the 189 properties in the portfolio (66.8% of the pool by allocated loan balance). The DBRS sample had an average NCF variance of -8.6% and ranged from -26.6% (General Motors Building) to +5.0% (Amazon Lakeland). The ratings assigned to the Certificates by DBRS are based exclusively on the credit provided by the transaction structure and underlying trust assets. All classes will be subject to ongoing surveillance, which could result in upgrades or downgrades by DBRS after the date of issuance. BANK 2017-BNK6: S&P Assigns B+(sf) Rating on Class F Certificates ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to BANK 2017-BNK6's $933.3 million commercial mortgage pass-through certificates. The certificate issuance is a commercial mortgage-backed securities transaction backed by 72 commercial mortgage loans with an aggregate principal balance of $933.3 million ($835.3 million of offered certificates), secured by the fee and leasehold interests in 189 properties across 33 states. The ratings reflect S&P's view of the underlying collateral's economics, the trustee-provided liquidity, the collateral pool's relative diversity, and our overall qualitative assessment of the transaction. RATINGS ASSIGNED BANK 2017-BNK6 Class Rating(i) Amount ($) A-1 AAA (sf) 31,100,000 A-2 AAA (sf) 26,600,000 A-SB AAA (sf) 39,900,000 A-3 AAA (sf) 58,200,000 A-4 AAA (sf) 225,000,000 A-5 AAA (sf) 239,812,000 X-A AAA (sf) 620,612,000(ii) X-B A (sf) 172,885,000(ii) A-S AAA (sf) 97,525,000 B AA (sf) 41,005,000 C A (sf) 34,355,000 X-D(iii) BBB-(sf) 35,464,000(ii) X-E(iii) BB- (sf) 19,948,000(ii) X-F(iii) B+ (sf) 8,866,000(ii) X-G(iii) NR 28,814,330(ii) D(iii) BBB- (sf) 35,464,000 E(iii) BB- (sf) 19,948,000 F(iii) B+ (sf) 8,866,000 G(iii) NR 28,814,330 RR interest(iii) NR 46,662,596 (i)The certificates will be issued to qualified institutional buyers according to Rule 144A of the Securities Act of 1933. (ii)Notional balance. (iii)Non-offered certificates. NR--Not rated. BANK OF AMERICA 2015-HAUL: Fitch Affirms BBsf Rating on Cl. E Debt ------------------------------------------------------------------ Fitch Ratings has affirmed all classes of Bank of America Merrill Lynch BAMLL Commercial Mortgage Securities Trust 2015-HAUL (BAMLL 2015-HAUL). KEY RATING DRIVERS The affirmations reflect continued stable portfolio performance and loan amortization as expected since issuance. Stable Performance and Credit Metrics: The loan has a Fitch-stressed debt service coverage ratio (DSCR) and loan-to-value (LTV) of 1.45x and 65.8%, respectively, compared to 1.22x and 78.3% at issuance, inclusive of an amortization factor of 75%. The loan has amortized 5.9% since issuance. Both portfolio occupancy and net cash flow (NCF) have improved since 2010. Occupancy has increased from 77.5% in 2010 to 89.1% at year-end (YE) 2016. NCF has experienced average year-over-year growth of 6.7% over the 2010 to 2016 period, with the 2016 NCF at nearly 47% above the 2010 level. Between 2015 and 2016, the servicer-reported NCF increased 8.9%. YE 2016 NCF DSCR was 1.62x, compared to 1.49x in 2015. Fully Amortizing Loan: The loan is structured with a 20-year amortization schedule providing full amortization over the term of the loan. The loan matures in July 2035. Experienced Sponsorship and Management: The loan is sponsored by Private Mini Storage, L.P. The sponsor is indirectly wholly owned and controlled by Blackwater Investments, Inc., which is controlled by Mark V. Shoen, the son of the original founders of U-Haul and a significant shareholder in AMERCO, the holding company of U-Haul. The portfolio is managed by U-Haul through management agreements with U-Haul subsidiaries in each of the states where the portfolio properties are located. U-Haul owns and operates approximately over 1,200 self-storage locations in the U.S. with over 450,000 units and 42 million sf of space. Granular Portfolio: The loan is secured by 60 cross-collateralized self-storage properties located across six states. No single property represents more than 3.2% of YE 2016 NCF. Ground Leases: Fifty-six of the properties are owned fee simple and four properties are held in leasehold. The four ground-leased properties secure approximately 7% of the portfolio by loan balance. The earliest fully extended ground lease maturity date is Aug. 31, 2043, eight years beyond the loan's maturity date. Competitive Industry: The self-storage industry is very fragmented with the top 10 self-storage companies owning only 13% of total facilities; the top 50 companies own approximately 17% of total U.S. facilities. RATING SENSITIVITIES The Rating Outlook for all classes remains Stable. Fitch expects to see several years of sustained improved performance prior to upgrading. Should the loan's performance metrics decline significantly, downgrades are possible. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third-party due diligence was provided or reviewed in relation to this rating action. Fitch has affirmed the following classes: -- $77.7 million(a) class A-1 at 'AAAsf'; Outlook Stable; -- $65 million(a) class A-2 at 'AAAsf'; Outlook Stable; -- $142.7 million(a)(b) class X-A at 'AAAsf'; Outlook Stable; -- $31.8 million(a) class B at 'AA-sf'; Outlook Stable; -- $23.9 million(a) class C at 'A-sf'; Outlook Stable; -- $55.7 million(a)(b) class X-B at 'A-sf'; Outlook Stable; -- $38.5 million(a) class D at 'BBB-sf'; Outlook Stable; -- $21.4 million(a) class E at 'BBsf'; Outlook Stable. (a) Privately placed pursuant to Rule 144A. (b) Notional amount and interest-only. BAYVIEW OPPORTUNITY 2017-RT2: Fitch to Rate Class B5 Notes 'Bsf' ---------------------------------------------------------------- Fitch Ratings expects to rate Bayview Opportunity Master Fund IVb Trust 2017-RT2 (BOMFT 2017-RT2): -- $77,192,000 class A notes 'AAAsf'; Outlook Stable; -- $77,192,000 class A-IO notional notes 'AAAsf'; Outlook Stable; -- $11,324,000 class B1 notes 'AAsf'; Outlook Stable; -- $11,324,000 class B1-IO notional notes 'AAsf'; Outlook Stable; -- $2,579,000 class B2 notes 'Asf'; Outlook Stable; -- $2,579,000 class B2-IO notional notes 'Asf'; Outlook Stable; -- $6,102,000 class B3 notes 'BBBsf'; Outlook Stable; -- $6,102,000 class B3-IO notional notes 'BBBsf'; Outlook Stable; -- $11,702,000 class B4 notes 'BBsf'; Outlook Stable; -- $5,914,000 class B5 notes 'Bsf'; Outlook Stable. The following classes will not be rated by Fitch: -- $11,009,566 class B6 notes. The notes are supported by a pool of 1,581 seasoned performing, re-performing (RPL), and newly originated loans totaling $125.8 million, which excludes $5.2 million in non-interest-bearing deferred principal amounts, as of the cutoff date. Of the total interest-bearing pool balance, 49.2% 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-IO notes reflects the 38.65% subordination provided by the 9.00% class B1, 2.05% class B2, 4.85% class B3, 9.30% class B4, 4.70% class B5, and 8.75% 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 Recent Delinquencies (Negative): Approximately 44% of the borrowers in the pool have had a delinquency in the prior 24 months, with 29.3% occurring in the past 12 months. The majority of the pool (65.9%) has received a modification due to performance issues. Although the borrowers had prior delinquencies as recent as four months ago and tend to be chronic late payers, the seasoning of roughly 11 years indicates a willingness to stay in their home. Low Property Values (Concern): Based on Fitch's analysis, the average current property value of the pool is approximately $140,000, which is lower than the average of other Fitch-rated RPL transactions of over $150,000. Historical data from CoreLogic Loan Performance indicate that recently observed loss severities (LS) have been higher for very low property values than implied by Fitch's loan loss model. For this reason, LS floors were applied to loans with property values below $99,000, which increased the 'AAAsf' loss expectation by roughly 250 basis points (bps). 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 Bayview Asset Management (BAM) in the event the sponsor, Bayview Opportunity Master Fund IVb, L.P., is liquidated or terminated. Due Diligence Findings (Concern): A third-party review (TPR), which was conducted on 100% of the pool, resulted in 13.7% (or 216 loans) graded 'C' or 'D'. For 159 loans, the due diligence results showed issues regarding high cost testing -- the loans were either missing the final HUD1, used alternate documentation to test, or had incomplete loan files -- and therefore a slight upward revision to the model output LS was applied, as further described in the Third-Party Due Diligence section beginning on page 6. In addition, timelines were extended on 230 loans that were missing final modification documents (excluding 50 loans that were already adjusted for HUD1 issues). 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): Given that there is no external P&I advancing mechanism, Fitch analyzed the collateral's cash flows using its standard prepayment and default timing assumptions to assess the cash flow stability of the high investment-grade rated bonds. Fitch considered the borrower's pay histories in comparison to its timing assumptions and found that the subordination is expected to be sufficient to cover timely payment of interest on the 'AAAsf' and 'AAsf' notes. In addition, principal otherwise distributable to the notes may be used to pay monthly interest, which also helps provide stability in the cash flows. However, 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. 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 Solid Alignment of Interest (Positive): The sponsor, Bayview Opportunity Master Fund IVb, L.P., will acquire and retain a 5% vertical interest in each class of the securities to be issued. In addition, the sponsor will also be the rep provider until at least July 2021. If the fund is liquidated or terminated, BAM will be obligated to provide a remedy for material breaches of R&Ws. CRITERIA APPLICATION Fitch's analysis incorporated one criteria variation from 'U.S. RMBS Seasoned, Re-Performing and Non-Performing Loan Criteria,' which is described below. The variation is that 3% of the tax, title and lien review will be conducted within 90 days after securitization. If there are any issues found, the loan will be repurchased from the trust. Fitch also considered the robust servicing and ongoing monitoring from Bayview Loan Servicing, which is a high-touch servicing platform that specializes in seasoned loans. Given the strength of the servicer, Fitch considered the impact of slightly seasoned tax, title and lien reviews to be nonmaterial. 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 37.4% 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'. BEAR STEARNS 2005-TOP18: Fitch Affirms BB Rating on Class G Debt ---------------------------------------------------------------- Fitch Ratings has affirmed 10 classes of Bear Stearns Commercial Mortgage Securities Trust commercial mortgage pass-through certificates series 2005-TOP18 (BSCMSI 2005-TOP18). KEY RATING DRIVERS The affirmations reflect the concentrated nature of the pool and the stable performance of the remaining loans. There have been $24.7 million (2.2% of the original pool balance) in realized losses to date. Fitch has designated three loans (24.9%) as Fitch Loans of Concern; there are no loans are in special servicing. As of the July 2017 distribution date, the pool's aggregate principal balance has been reduced by 96.4% to $40.3 million from $1.12 billion at issuance. Per the servicer reporting, one loan (4% of the pool) is defeased. Interest shortfalls are currently affecting classes J through P. Concentrated Pool: The pool is concentrated with only 14 loans remaining, of which eight (30.3%) are fully amortizing and mature in 2019 through 2026. Due to the pool's concentrated nature, a sensitivity analysis was performed that grouped and ranked the remaining loans by their structural features, performance and estimated likelihood of repayment. Fitch Loans of Concern: There are two (24.9%) Fitch Loans of Concern. The Summa Care Centre is the second largest loan (21.2%) and is secured by an office property located in Akron, OH. The property is 98% occupied by Summa Health System, whose lease expires in November 2017. The loan is passed its ARD date and the borrower is attempting to extend the lease as well as obtain refinancing. The other Fitch Loan of Concern is secured by a single tenant Best Buy located in Reynoldsburg, OH. The Best Buy lease runs through January 2020. The borrower has been attempting to further extend the lease and to secure refinancing. RATING SENSITIVITIES Rating Outlooks on classes E through G remain Stable. Although the credit enhancement will increase with continued paydown, upgrades are unlikely as Fitch has concerns with adverse selection. Fitch does not foresee negative rating migration for these classes unless there is material economic change to the remaining loans. The distressed class H, however, is subject to a downgrade if the Summa Care Centre loan is transferred to special servicing and unable to secure financing. DUE DILIGENCE USAGE PURSUANT TO SEC RULE 17G-10 No third party due diligence was provided or reviewed in relation to this rating. Fitch affirms the following classes as indicated: -- $10.4 million class E at 'AAAsf'; Outlook Stable; -- $9.8 million class F at 'BBBsf'; Outlook Stable; -- $9.8 million class G at 'BBsf'; Outlook Stable; -- $8.4 million class H at 'CCCsf'; RE 90%; -- $1.9 million 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-2, A-3, A-AB, A-4, A-4FL, A-J, B, C and D 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. BEAR STEARNS 2006-TOP22: Fitch Affirms CCCsf Rating on Cl. G Notes ------------------------------------------------------------------ Fitch Ratings affirms 13 classes of Bear Stearns Commercial Mortgage Securities Inc. (BSCMSI), series 2006-TOP22 commercial mortgage pass-through certificates. KEY RATING DRIVERS The affirmations reflect the stable performance expectations from Fitch's last rating action, as well as the concentrated nature of the pool. The pool has nineteen assets remaining, four of which have been defeased (19.3% of pool balance). As of the July 2017 remittance report, the pool has been reduced by 93.1% to $118.2 million from $1.7 billion at issuance. There have been $31.8 million in realized losses, accounting for 1.9% of the original pool balance. Pool Concentration/Adverse Selection: The transaction is highly concentrated with only 19 of the original 224 loans remaining. Of the 19 remaining loans, one (2.2% of the pool balance) is performing specially serviced and nine (44% of the pool balance) are performing but on the master servicer's watchlist. Fitch has designated four loans (18.7%) as Fitch Loans of Concern. Due to the pool's concentrated nature, a sensitivity analysis was performed which grouped and ranked the remaining loans by their structural features, performance, estimated likelihood of repayment, and estimated loss on the specially serviced asset. Fitch Loans of Concern: There are currently four Fitch Loans of Concern in this pool. The loans have been flagged due the loan being in special servicing, to declined net operating income (NOI) and debt service coverage ratio (DSCR), as well as impending lease expirations that could have significant impacts on cash flow. Specially Serviced Loan: Only one loan in this pool, Country Inn and Suites by Carlson Scottsdale is in special servicing. This loan is being monitored by the special servicer due to the borrower's failure to renew a minimum 10-year franchise agreement, various management and operational issues at the property, and pending litigation between the borrower and landlord. Despite these issues, the loan is current. As of year-end (YE) 2016, occupancy was 64% and NOI DSCR was 2.52x. The DSCR has been improving since 2009. Longer Term Loans: The remaining loans have maturity dates as follows: 2017 (1.5% of pool balance), 2018 (13%), 2019 (3.8%), 2020 (48.7%), 2021 (30.1%), 2026 (2.2%), and 2029 (0.7%). RATING SENSITIVITIES The Rating Outlooks on classes B, C, D, E, and F remain Stable due to increasing credit enhancement, defeasance, continued amortization and relatively stable performance of the transaction. Class B is fully covered by defeased collateral and class C is partially covered by defeased collateral. Future upgrades are likely to be limited due to the portfolio's concentration and adverse selection. Downgrades could occur if losses are greater than expected from the specially serviced loan, pool performance deteriorates, or loans default at maturity. Distressed classes may be subject to further downgrades if losses exceed Fitch's expectations. Fitch has affirmed the following ratings: -- $18,131,724 class B notes at 'AAAsf'; outlook stable; -- $12,785,000 class C notes at 'AAAsf'; outlook stable; -- $25,570,000 class D notes at 'BBBsf'; outlook stable; -- $14,917,000 class E notes at 'BBsf'; outlook stable; -- $14,916,000 class F notes at 'Bsf'; outlook stable; -- $14,916,000 class G notes at 'CCCsf'; RE 100%; -- $8,523,000 class H notes at 'CCsf'; RE 60%; -- $8,787,679 class J notes at 'Dsf'; RE 0%; -- $0 class K notes at 'Dsf'; RE 0%; -- $0 class L notes at 'Dsf'; RE 0%; -- $0 class M notes at 'Dsf'; RE 0%; -- $0 class N notes at 'Dsf'; RE 0%; -- $0 class O notes at 'Dsf'; RE 0%. Fitch does not rate the $0.0 million class P. Classes A-1, A-2, A-3, A-AB, A-4, A-1A, A-M, and A-J have repaid in full. Classes K through O and the unrated class P have been reduced to zero due to losses realized on loans liquidated from the trust. Fitch previously withdrew the rating on the interest-only class X. BEAR STEARNS 2007-PWR17: Fitch Hikes Class B Certs Rating to CCCsf ------------------------------------------------------------------ Fitch Ratings has upgraded two classes and affirmed 16 classes of Bear Stearns Commercial Mortgage Securities Trust, series 2007-PWR17 (BSCMS 2007-PWR17) commercial mortgage pass-through certificates. KEY RATING DRIVERS The upgrades reflect the paydown and resulting increase in credit enhancement from loans that have matured since January 2017. The affirmations of the investment-grade classes are due to sufficient credit enhancement to offset Fitch expected losses. Fitch modeled losses of 17.3% of the remaining pool; expected losses on the original pool balance total 11.4%, including $264.2 million (8.1% of the original pool balance) in realized losses to date. Fitch has designated 12 loans (52.8%) as Fitch Loans of Concern, which includes nine specially serviced loans (12.8%). As of the July 2017 distribution date, the pool's aggregate principal balance has been reduced by 80.9% to $622.5 million from $3.26 billion at issuance. Per the servicer reporting, one loan (2% of the pool) is defeased. Interest shortfalls are currently affecting classes C through S. Continued Paydown: The transaction continues to delever with $500 million in paydown received in July 2017. There are 39 loans remaining, down from 265 at issuance. Near Term Maturities: 72.3% of the pool is set to mature by September 2017. Fitch Loans of Concern: Twelve loans totaling 52.8% of the pool were considered Fitch Loans of Concern, including the largest loan, Bank of America Center (37.3%). The loan is secured by a 56-story, 1.3 million square foot (sf) office property located in the Houston CBD. Major tenants include ANR Pipeline Company, Bank of America and Mayer Brown. Media reports indicate that Bank of America has signed a lease for 210,000-sf in Capital Tower, which is currently under construction and expected to be completed in 2019. The interest-only loan is the largest contributor to expected losses given the energy exposure and reports about the new Bank of America location. The borrower has not provided any updates regarding the September 2017 maturity. Limited Amortization: Of the remaining loans, 17.9% ($398 million) are interest-only. None of the loans are fully amortizing. RATING SENSITIVITIES The Rating Outlooks on classes A-M and A-MFL have been revised to Stable from Negative based on continued transaction paydown and the senior positions within the capital structure. A Stable Outlook has been assigned to class A-J to reflect the sufficient credit enhancement. A further upgrade to this class may be warranted if the Bank of America Center loan pays off at maturity. Conversely, a downgrade may be possible if the loan is unable to refinance. The distressed classes are subject to further downgrades as losses are realized. Fitch upgrades the following classes and assigns or revises Rating Outlooks and REs as indicated: -- $269 million class A-J to 'Bsf' from 'CCCsf'; Outlook Stable assigned; -- $28.5 million class B to 'CCCsf' from 'CCsf'; RE 75%. Fitch affirms the following classes and revises Rating Outlooks as indicated: -- $166.3 million class A-M at 'AAAsf'; Outlook to Stable from Negative; -- $68.4 million class A-MFL at 'AAAsf'; Outlook to Stable from Negative. Fitch affirms the following classes: -- $44.8 million class C at 'CCsf'; RE0%; -- $24.5 million class D at 'Csf'; RE 0%; -- $20.4 million class E at 'Csf'; RE 0%; -- $717,456 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%; -- $0 class P at 'Dsf'; RE 0%; -- $0 class Q at 'Dsf'; RE 0%. The class A-1, A-2, A-3, A-AB, A-4 and A-1A certificates have paid in full. Fitch does not rate the class S certificates. Fitch previously withdrew the ratings on the interest-only class X-1 and X-2 certificates. BENEFIT CLO III: S&P Assigns BB-(sf) Rating on Class D-R Notes -------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the new class X notes and replacement class A1-R, A2-R, B-R, C-R, and D-R notes from Benefit Street Partners CLO III 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 redrafted indenture. S&P said, "The preliminary ratings reflect our opinion that the credit support available is commensurate with the associated rating levels. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. "On the July 20, 2017, refinancing date, the proceeds from the issuance of the replacement notes are expected to redeem the original notes. At that time, we anticipate withdrawing the ratings on the original notes and assigning ratings to the replacement notes. However, if the refinancing doesn't occur, we may affirm the ratings on the original notes and withdraw our preliminary ratings on the replacement notes." The replacement notes are being issued via a proposed redrafted indenture, which, in addition to outlining the terms of the replacement notes, will also: -- Extend the reinvestment period, legal final maturity, and non-call period. -- Increase the allowable covenant-lite obligations to 60% from 50%. -- Include provisions intended to comply with risk retention requirements. REPLACEMENT AND ORIGINAL NOTE ISSUANCES Replacement Notes Class Amount Interest (mil. $) rate (%) X 5.20 LIBOR + 0.85 A1-R 305.20 LIBOR + 1.25 A2-R 70.00 LIBOR + 1.80 B-R 35.30 LIBOR + 2.60 C-R 29.00 LIBOR + 3.90 D-R 23.00 LIBOR + 6.60 Original Notes Class Amount Interest (mil. $) rate (%) A-1a 245.20 LIBOR + 1.35 A-1b 60.00 3.539 A-2 70.00 LIBOR + 1.75 B 35.30 LIBOR + 2.50 C 29.00 LIBOR + 3.25 D 23.00 LIBOR + 4.50 S&P said, "Our 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 our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and we will take further rating actions as we deem necessary." PRELIMINARY RATINGS ASSIGNED Benefit Street Partners CLO III Ltd. Replacement class Rating Amount (mil. $) X AAA (sf) 5.20 A1-R AAA (sf) 305.20 A2-R AA (sf) 70.00 B-R A (sf) 35.30 C-R BBB- (sf) 29.00 D-R BB- (sf) 23.00 BLACK CLO 2013-1: S&P Affirms BB Rating on Class D Notes -------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1-R, A-2-R, B-R, and C-R replacement notes from Black Diamond CLO 2013-1 Ltd., a U.S. collateralized loan obligation originally issued in 2014 that is managed by Black Diamond Capital Management LLC. S&P said, "We withdrew our ratings on the transaction's original class A-1, A-2, B, and C notes following payment in full on the July 17, 2017, refinancing date. At the same time, we affirmed our rating on the class D note, which was not a part of the refinancing. "On the July 17, 2017, refinancing date, the proceeds from the class A-1-R, A-2-R, B-R, and C-R replacement note issuances were used to redeem the original class A-1, A-2, B, and C notes as outlined in the transaction document provisions. Therefore, we 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. "Our 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 our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches. "The ratings reflect our opinion that the credit support available is commensurate with the associated rating levels. "We will continue to review whether, in our view, the ratings assigned to the transaction remain consistent with the credit enhancement available to support them, and we will take rating actions as we deem necessary." RATINGS ASSIGNED Black Diamond CLO 2013-1 Ltd. Replacement class Rating Amount (mil. $) A-1-R AAA (sf) 246.90 A-2-R AA (sf) 53.70 B-R A (sf) 29.30 C-R BBB (sf) 21.70 RATINGS WITHDRAWN Black Diamond CLO 2013-1 Ltd. Rating Original class To From A-1 NR AAA (sf) A-2 NR AA (sf) B NR A (sf) C NR BBB (sf) RATING AFFIRMED Black Diamond CLO 2013-1 Ltd. Class Rating D BB (sf) OUTSTANDING CLASS Black Diamond CLO 2013-1 Ltd. Class Rating Subordinated notes NR NR--Not rated. BLC CAPITAL 2002-A: S&P Raises Class B Notes Rating to B-(sf) ------------------------------------------------------------- S&P Global Ratings raised its rating on the class B notes and affirmed its rating on the class A notes from BLC Capital Corp. Series 2002-A. The transaction is an asset-backed securities transaction collateralized primarily by a pool of small business development loans. The raised rating primarily reflects the portfolio's stable performance, fully funded reserve account with a current balance of $2 million, and sufficient credit support at the higher rating level. The affirmed rating reflects the sufficient credit support at the current rating level. The rating actions also considered that the portfolio is very concentrated. According to the May 25, 2017, payment date report, the portfolio has only five outstanding obligors. Of which, the top obligor makes up 38% of the current portfolio. The portfolio's performance has been stable with no delinquent loans and low cumulative net losses as of May 2017. S&P said, "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and we will take further rating actions as we deem necessary." RATING RAISED BLC Capital Corp. Series 2002-A Rating Class To From B B- (sf) CCC+ (sf) RATING AFFIRMED BLC Capital Corp. Series 2002-A Class Rating A B- (sf) BLUEMOUNTAIN CLO 2014-2: S&P Affirms 'B' Rating on Class E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-R, B-1-R, B-2-R, C-R, and D-R replacement notes from BlueMountain CLO 2014-2 Ltd., a U.S. collateralized loan obligation (CLO) originally issued in 2014 that is managed by BlueMountain Capital Management L.P. S&P said, "We withdrew our ratings on the transaction's original class A, B-1, B-2, C, and D notes following payment in full on the July 20, 2017, refinancing date. At the same time, we affirmed our ratings on the original class E and F notes, which were not a part of the refinancing. "On the July 20, 2017, refinancing date, the proceeds from the class A-R, B-1-R, B-2-R, C-R, and D-R notes were used to redeem the original class A, B-1, B-2, C, and D notes as outlined in the transaction document provisions. Therefore, we 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. "Our 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 our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches. "The ratings reflect our opinion that the credit support available is commensurate with the associated rating levels. "We will continue to review whether, in our view, the ratings assigned to the transaction remain consistent with the credit enhancement available to support them, and we will take rating actions as we deem necessary." RATINGS ASSIGNED BlueMountain CLO 2014-2 Ltd. Replacement class Rating Amount (mil. $) A-R AAA (sf) 340.00 B-1-R AA (sf) 43.05 B-2-R AA (sf) 17.00 C-R A (sf) 45.25 D-R BBB (sf) 27.30 RATINGS WITHDRAWN BlueMountain CLO 2014-2 Ltd. Rating Original class To From A NR AAA (sf) B-1 NR AA (sf) B-2 NR AA (sf) C NR A (sf) D NR BBB (sf) RATINGS AFFIRMED BlueMountain CLO 2014-2 Ltd. Class Rating E BB (sf) F B (sf) OUTSTANDING CLASS BlueMountain CLO 2014-2 Ltd. Class Rating Subordinated notes NR NR--Not rated. BX TRUST 2017-SLCT: S&P Assigns Prelim. B Rating on Class F Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to BX Trust 2017-SLCT's $1.324 billion commercial mortgage pass-through certificates. The certificate issuance is a commercial mortgage-backed securities transaction backed by one two-year, floating-rate commercial mortgage loan totaling $1.393 billion ($1.324 billion securitized balance, which excludes the risk retention class), with five one-year extension options, secured by the fee simple and leasehold interest in 55 extended-stay, 40 limited-service, and one full-service hotel property. The preliminary ratings are based on information as of July 20, 2017. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of the collateral's historical and projected performance, the sponsors' and managers' experience, the trustee-provided liquidity, the loan's terms, and the transaction's structure. PRELIMINARY RATINGS ASSIGNED BX Trust 2017-SLCT Class Rating(i) Amount ($) A AAA (sf) 465,500,000 X-CP BBB- (sf) 375,487,500 X-EXT BBB- (sf) 441,750,000 B AA- (sf) 161,500,000 C A- (sf) 120,650,000 D BBB- (sf) 159,600,000 E BB- (sf) 250,800,000 F B (sf) 165,775,000 RR NR 69,675,000 CARLYLE GLOBAL 2014-1: S&P Withdraws CCC Rating on Sr. Notes ------------------------------------------------------------ S&P Global Ratings withdrew its rating on the senior notes issued by Carlyle Global Market Strategies Commodities Funding 2014-1 Ltd. and Carlyle Global Market Strategies Commodities Funding 2015-1 Ltd. at the issuer's request. S&P previously lowered the ratings on these notes to 'CCC (sf)' in May 2017 due to concerns about the remaining liquidity available to the rated notes following Lloyd's rejection of the insurance claims filed in each transaction. RATINGS WITHDRAWN Carlyle Global Market Strategies Commodities Funding 2014-1 Ltd. Rating Class To From Senior NR CCC (sf) Carlyle Global Market Strategies Commodities Funding 2015-1 Ltd. Rating Class To From Senior NR CCC (sf) NR--Not rated. CARLYLE US 2017-3: S&P Gives Prelim BB-sf Rating on Class D Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary rating to Carlyle US CLO 2017-3 Ltd./Carlyle US CLO 2017-3 LLC's $10.00 million combination notes. There is no impact to the preliminary ratings on the other outstanding notes from the same transaction. The note issuance is a collateralized loan obligation backed by broadly syndicated speculative-grade senior secured term loans. The preliminary rating is based on information as of July 13, 2017. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary rating reflects: -- 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. -- S&P's preliminary rating on the combination notes is based on the ultimate payment of the notes' $10 million notional amount. -- The underlying collateral consists of $8.00 million class B notes and $2.00 million subordinate notes. PRELIMINARY RATING ASSIGNED Carlyle US CLO 2017-3 Ltd./Carlyle US CLO 2017-3 LLC Class Rating Amount (mil. $) Combination note A-p (sf) 10.00 OTHER PRELIMINARY RATINGS OUTSTANDING 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 p--Principal only. NR--Not rated. CASTLELAKE AIRCRAFT 2017-1: S&P Gives 'BB' Rating on Class C Loans ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Castlelake Aircraft Structured Trust 2017-1's $785.5 million fixed-rate class A, B, and C loans. The issuance is backed by the aircraft-owning entity issuers' series A, B, and C loans, which are in turn backed by aircraft-related leases and shares or beneficial interests in entities that directly and indirectly receive aircraft portfolio lease and residual cash flows, among others. The ratings reflect: -- The likelihood of timely interest on the class A loans (excluding the step-up amount) on each payment date, the timely interest on the class B loans (excluding the step-up amount) when they are the senior-most loans outstanding on each payment date, and the ultimate interest and principal payment on the class A, B, and C loans on the legal final maturity at the respective rating stresses. -- The 74.13% loan-to-value (LTV) ratio (based on the lower of the mean and median [LMM] of the half-life base values and the half-life current market values) on the class A loans, the 84.96% LTV ratio on the class B loans, and the 94.52% LTV ratio on the class C loans. -- The initial asset portfolio, which comprises 39 narrow-body passenger planes (30 A320 family, four B737-700, and five B737-800), and four A330-300 wide-body passenger planes. The 43 assets have a weighted average age of approximately 13 years and remaining average lease term of approximately 4.3 years. None of the assets are currently out of production. -- The age of the initial assets in the portfolio, which are in mid-life, with a 13-year weighted average age (by value). Currently, all 43 assets are on lease, with a 4.3-year weighted average remaining maturity. -- That some of the lessees are in emerging markets where the commercial aviation market is growing. -- The class A and B loans' 12-year amortization profile. -- The class C loans follow a seven-year amortization profile. -- That during the sixth and seventh year of the transaction, if no rapid amortization event has occurred and is continuing, the transaction will pay 50% of the available collections first to the class A loans and second to the class B loans. Starting in the eighth year after the initial closing date, the transaction will pay 100% of the available collections first to the class A loans and second to the class B loans. From the fourth to the seventh year of the transaction, 30% of the available collections will be paid to the class C loans. tarting in year eight the transaction will pay 100% of the available collections to the class C loans. -- That if a rapid amortization event (the debt service coverage ratio or utilization triggers have been breached or eight years after the initial losing date) has occurred and is continuing, the transaction will pay the class A loans' outstanding principal balance. A similar arrangement applies to the class B loans after the class A loans are paid. -- That a portion of the end-of-lease payments will be paid to the class A,B, and C loans according to a percentage based on the LTV. -- A liquidity facility that equals nine months of interest on the class A and B loans. -- Morten Beyer & Agnew's (MBA's) provision of a maintenance analysis at closing. After closing, Castlelake will perform the maintenance analysis, which will be confirmed for reasonableness and achievability in an opinion letter from MBA. Maintenance reserve accounts are required to keep a balance to meet the higher of $1 million in the aggregate and the sum of forward-looking maintenance expenses (up to 12 months). The excess maintenance over the required maintenance amount will be transferred to the payment waterfall. -- The senior indemnification (capped at $10 million), which is modeled to occur in the first 12 months. -- The junior indemnification (uncapped), which is subordinated to the rated classes' principal payment. -- Castlelake, which is a private investment firm focusing on distressed assets and the servicer for this transaction. Castlelake's in-house aircraft assets and aviation finance team is experienced in managing mid-life and older aircraft assets. RATINGS ASSIGNED Castlelake Aircraft Structured Trust 2017-1 Class Rating Interest Amount rate (%) (mil. $) A loans(i) A (sf) 3.97 616.00 B loans(i) BBB (sf) 5.93 90.00 C loans BB (sf) 6.90 79.50 (i)A portion of the class A and B loans are delayed-draw notes. S&P's analysis assumes the entire balance of each loan ($616 million class A loans and $90 million class B loans) will be funded at close. CATHEDRAL LAKE II: S&P Affirms BB- Rating on Class E-2-R Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1-R, A-X-R, B-R, C-R, D-R, E-1-R, and E-2-R replacement notes from Cathedral Lake II Ltd./Cathedral Lake II LLC, a collateralized loan obligation (CLO) originally issued in 2015 that is managed by Carlson CLO Advisers LLC. S&P said, "We withdrew our ratings on the original class A-1, A-X, B, C, D, E-1, and E-2 notes following payment in full on the July 17, 2017, refinancing date." On the July 17, 2017, refinancing date, the proceeds from the class A-1-R, A-X-R, B-R, C-R, D-R, E-1-R, and E-2-R replacement note issuances were used to redeem the original class A-1, A-X, B, C, D, E-1, and E-2 notes as outlined in the transaction document provisions. S&P said, "Therefore, we withdrew our ratings on the refinanced notes in line with their full redemption, and we are assigning ratings to the replacement notes." The replacement notes are being issued via an amended indenture, which, in addition to outlining the terms of the replacement notes, will also extend the stated maturity, reinvestment period, and non-call period by two years. S&P said, "Our 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 our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our 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 our opinion that the credit support available is commensurate with the associated rating levels. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and we will take rating actions as we deem necessary." RATINGS ASSIGNED Cathedral Lake II Ltd./Cathedral Lake II LLC Replacement class Rating Amount (mil. $) A-1-R AAA (sf) 257.00 A-X-R AAA (sf) 2.50 B-R AA (sf) 46.75 C-R A (sf) 26.25 D-R BBB (sf) 20.40 E-1-R BB- (sf) 12.25 E-2-R BB- (sf) 7.00 RATINGS WITHDRAWN Cathedral Lake II Ltd./Cathedral Lake II LLC Rating Class To From A-1 NR AAA (sf) A-X NR AAA (sf) B NR AA (sf) C NR A (sf) D NR BBB (sf) E-1 NR BB (sf) E-2 NR BB (sf) NR--Not rated. CATHEDRAL LAKE III: S&P Assigns BB- Rating on Class E-R Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1-R loans and class A-R, B-R, C-R, D-R, and E-R notes from Cathedral Lake III Ltd./Cathedral Lake III LLC, a collateralized loan obligation (CLO) originally issued in 2015 that is managed by Carlson CLO Advisers LLC. S&P said, "We withdrew our ratings on the original class A-1 loans and class A-1L, B, C, D, and E notes following payment in full on the July 17, 2017, refinancing date. In addition, we discontinued our rating on the class A-X notes, which amortized fully on the refinancing date." On the July 17, 2017, refinancing date, the proceeds from the replacement class A-1-R loan and class A-R, B-R, C-R, D-R, and E-R note issuances were used to redeem the original class A-1 loans and class A-1L, B, C, D, and E notes as outlined in the transaction document provisions. S&P said, "Therefore, we withdrew our ratings on the refinanced notes in line with their full redemption, and we are assigning ratings to the replacement notes." The replacement notes are being issued via an amended indenture, which, in addition to outlining the terms of the replacement notes, will also: -- Extend the stated maturity by 3.5 years; -- Extend the reinvestment period by four years; and -- Extend the non-call period by 2.5 years. S&P said, "Our 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 our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our 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 our opinion that the credit support available is commensurate with the associated rating levels. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and we will take rating actions as we deem necessary." RATINGS ASSIGNED Cathedral Lake III Ltd./Cathedral Lake III LLC Replacement class Rating Amount (mil. $) A-1-R loans AAA (sf) 241.65 A-R AAA (sf) 15.35 B-R AA (sf) 46.00 C-R A (sf) 24.00 D-R BBB (sf) 21.00 E-R BB- (sf) 20.00 RATINGS WITHDRAWN Cathedral Lake III Ltd./Cathedral Lake III LLC Rating Class To From A-1 loans NR AAA (sf) A-1L NR AAA (sf) B NR AA (sf) C NR A (sf) D NR BBB (sf) E NR BB (sf) RATING DISCONTINUED Cathedral Lake III Ltd./Cathedral Lake III LLC Rating Class To From A-X NR AAA (sf) NR--Not rated. CFCRE 2015-RUM: DBRS Confirms BB(high) Rating on Class E Debt ------------------------------------------------------------- DBRS, Inc. confirmed all classes of Commercial Mortgage Pass-Through Certificates issued by CFCRE 2015-RUM Mortgage Trust as follows: -- Class A at AAA (sf) -- Class B at AA (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (high) (sf) -- Class X-CP at BBB (low) (sf) -- Class X-EXT at BBB (low) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction, which remains in line with DBRS's expectations at issuance. The trust loan is secured by the Ritz-Carlton Grand Cayman, a 300-room luxury hotel resort located along the renowned Seven Mile Beach on Grand Cayman, the largest of the Cayman Islands. The $140.0 million floating-rate, securitized mortgage loan is supplemented by a subordinate $35.0 million interest-only (IO) mezzanine loan. The transaction closed in July 2015 and is IO for the initial two-year term as well as during the three subsequent one-year extension options. According to the servicer, the borrower has exercised its first one-year extension option extending the loan until July 2018. The collateral includes the leasehold interest in the hotel and amenities, which include six restaurants and bars, a 20,000-square foot (sf) spa, 59,032 sf of meeting space, 9,600 sf of retail space, two pools and a children's waterpark, as well as a five-court tennis center. Improvements are situated on land owned by the government of the Cayman Islands under a ground lease extending through November 2104, which has been prepaid for the entire term. The resort includes 69 luxury residential condo units that do not serve as collateral for the loan. There are also 24 hotel-condo units that participate in the hotel's unit rental program and the corresponding rental agreements serve as security for the loan. The condo-hotel unit owners are allowed to split their units, yielding a maximum of 65 keys for a total of 365 rooms across the subject hotel at any given time. Since issuance, a further five condo-hotel suites, divisible into up to ten units, have been constructed and added to the pool of rental units, increasing the total room count at the property to a maximum of 375 units. The collateral's performance has remained healthy since issuance, as the YE2016 debt service coverage ratio (DSCR) was 3.58 times (x) compared with the YE2015 DSCR of 3.63x. Year-end cash flow reporting continues to be in excess of the DBRS stressed Term DSCR of 2.45x. While the year-end occupancy rate increased 1.0% between YE2015 and YE2016, the average daily rate (ADR) over the same period decreased by 3.7% to $658 from $683. The resulting revenue per available room (RevPAR) decreased marginally by 2.1%, to $435 from $444. As of the April 2016 Smith Travel Research report, the property continues to outperform its competitive set, with occupancy, ADR and RevPAR penetration of 107.4%, 145.4% and 156.1%, respectively. The loan benefits from strong institutional sponsorship, as it is majority owned by Five Mile Capital Partners, which has invested over $23 million in improving the property since acquiring it in 2012, including a full renovation of all guestrooms at $32,500 per key in 2013. The loan benefits from both a seasonality reserve and an insurance reserve with current balances of $3.99 million and $2.17 million, respectively, with contributions being made during the high season each year from January to July in order to cover debt service and operating expense shortfalls during the low season. The Kimpton Seafire Resort and Spa (Kimpton), a 266-key, boutique-style, upscale resort located a mile and a half north of the Ritz-Carlton, opened in November 2016, and represents the first new development on Seven Mile Beach in ten years. While it is the newest hotel in the market, DBRS expects the Kimpton to be only slightly competitive to the Ritz-Carlton given its inferior amenities and flag. Management's opinion mirrored that view and they do not expect a big impact because of the different guest profile expected at the Kimpton property. Additionally, the Grand Hyatt Baha Mar, located in Nassau, the Bahamas that totals 2,200 rooms, opened in May 2017 after several delays of its original scheduled grand opening. The resort will include a golf course, a 100,000 sf casino and a luxury spa among other amenities. It will also include 160 rooms under the Rosewood flag that will be directly competitive with the luxury brand of the Ritz-Carlton. CITI HELD 2015-PM1: Moody's Hikes Class C Notes Rating to Ba2(sf) ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of the Class B Notes issued by Consumer Credit Origination Loan Trust (CCOLT) 2015-1, and the Class B and C Notes issued by Citi Held for Asset Issuance (CHAI) 2015-PM1, 2015-PM2 and 2015-PM3. These transactions are backed by pools of unsecured consumer installment loans originated by Prosper Funding LLC (Prosper) in partnership with WebBank, a Utah state-chartered industrial bank, and serviced through the online platform operated by Prosper. First Associates Loan Servicing LLC and Citibank, N.A. act as back-up servicer for CCOLT and CHAI transactions respectively. The complete rating actions are: Issuer: Citi Held For Asset Issuance 2015-PM1 Class B Notes, Upgraded to A1 (sf); previously on Aug 6, 2015 Definitive Rating Assigned Baa3 (sf) Class C Notes, Upgraded to Ba2 (sf); previously on Jul 14, 2016 Confirmed at Ba3 (sf) Issuer: Citi Held For Asset Issuance 2015-PM2 Class B Notes, Upgraded to A1 (sf); previously on Oct 23, 2015 Definitive Rating Assigned Baa3 (sf) Class C Notes, Upgraded to Ba2 (sf); previously on Jul 14, 2016 Confirmed at Ba3 (sf) Issuer: Citi Held For Asset Issuance 2015-PM3 Class B Notes, Upgraded to A1 (sf); previously on Dec 18, 2015 Definitive Rating Assigned Baa3 (sf) Class C Notes, Upgraded to Ba2 (sf); previously on Jul 14, 2016 Confirmed at Ba3 (sf) Issuer: Consumer Credit Origination Loan Trust 2015-1 Class B Notes, Upgraded to A1 (sf); previously on Feb 11, 2016 Upgraded to Ba2 (sf) RATINGS RATIONALE The upgrades of Class B Notes were prompted by a fast buildup in credit enhancement as the deal paid down and deleveraged. As of July 17, 2017, the Class A Notes from all four transactions are fully repaid and the credit enhancement on Class B from overcollateralization, subordination, and reserve funds has increased to approximately 54%-76% from 11%-27% at the transactions' closing date. At the same time, Moody's maintains its expected lifetime losses for the collateral pools backing these transactions at 12%. The upgrades of Class C Notes from CHAI transactions also reflects the build-up of credit enhancement from overcollateralization and reserve funds to 17.0%-17.7% as of July 17, 2017 from 16.2%-17.1% as of June 15, 2016. However, after the transactions reached their over-collateralization targets of 15.5%, 15.5%, and 16.5% of outstanding pool balance, respectively, the build-up of Class C Notes' credit enhancement is solely a result of non-declining reserve accounts, until the transactions hit the over-collateralization target floors of 2% of original pool balance. In addition, if realized pool losses result in a transaction breaching its trigger curve, the cash flow allocation of the bonds will change to full sequential payment instead of sequential payment only up to an over-collateralization target. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Approach to Rating Consumer Loan-Backed ABS" published in September 2015. On March 22, 2017, Moody's released a Request for Comment, in which it has requested market feedback on potential revisions to its "Approach to Assessing Counterparty Risks in Structured Finance". If the revised Methodology is implemented as proposed, the Credit Ratings on CCOLT and CHAI are not expected to be affected. Please refer to Moody's Request for Comment, titled "Moody's Proposes Revisions to Its Approach to Assessing Counterparty Risks in Structured Finance," for further details regarding the implications of the proposed Methodology revisions on certain Credit Ratings. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to offset current expectations of loss could drive the ratings up. Losses could decline below Moody's expectations as a result of a lower than expected cumulative charge-offs. Favorable regulatory policies and legal actions could also move the ratings up. Down Levels of credit protection that are lower than necessary to offset current expectations of loss could drive the ratings down. Losses could increase above Moody's expectations as a result of higher than expected cumulative charge-offs. Adverse regulatory and legal risks, specifically legal issues stemming from the origination model and whether interest rates charged on some loans could violate usury laws, could also move the ratings down. CITIGROUP 2008-C7: Moody's Lowers Rating on Class B Debt to C(sf) ----------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on six classes and downgraded the ratings on six classes in Citigroup Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2008-C7 as follow: Cl. A-1A, Affirmed Aaa (sf); previously on Aug 5, 2016 Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Aug 5, 2016 Affirmed Aaa (sf) Cl. A-M, Downgraded to Baa1 (sf); previously on Aug 5, 2016 Affirmed A2 (sf) Cl. A-MA, Downgraded to Baa1 (sf); previously on Aug 5, 2016 Affirmed A2 (sf) Cl. A-J, Downgraded to Ca (sf); previously on Aug 5, 2016 Downgraded to Caa2 (sf) Cl. A-JA, Downgraded to Ca (sf); previously on Aug 5, 2016 Downgraded to Caa2 (sf) Cl. B, Downgraded to C (sf); previously on Aug 5, 2016 Downgraded to Caa3 (sf) Cl. C, Affirmed C (sf); previously on Aug 5, 2016 Downgraded to C (sf) Cl. D, Affirmed C (sf); previously on Aug 5, 2016 Downgraded to C (sf) Cl. E, Affirmed C (sf); previously on Aug 5, 2016 Affirmed C (sf) Cl. F, Affirmed C (sf); previously on Aug 5, 2016 Affirmed C (sf) Cl. X, Downgraded to Caa2 (sf); previously on Jun 9, 2017 Downgraded to Caa1 (sf) RATINGS RATIONALE The ratings on two P&I classes, Classes A-4 and A-1A 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 five P&I classes, Classes AM through B, were downgraded due to anticipated losses from specially serviced and troubled loans. The ratings on four P&I classes, Classes C through F, were affirmed because the ratings are consistent with Moody's expected loss. The rating on the IO Class was downgraded due to the decline in the credit quality of its reference classes resulting from principal paydowns of higher quality reference classes. Moody's rating action reflects a base expected loss of 17.9% of the current pooled balance, compared to 15% at Moody's last review. Moody's base expected loss plus realized losses is now 16.3% of the original pooled balance, compared to 16.6% 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. 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 July 12, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 54.9% to $833.7 million from $1.8 billion at securitization. The certificates are collateralized by 49 mortgage loans ranging in size from less than 1% to 27.7% of the pool, with the top ten loans (excluding defeasance) constituting 60.2% of the pool. Five loans, constituting 5.7% 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 15 at Moody's last review. Nineteen loans, constituting 46.9% 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. Twenty-six loans have been liquidated from the pool at a loss, resulting in an aggregate realized loss of $152.8 million (for an average loss severity of 44%). Thirteen loans, constituting 29.6% of the pool, are currently in special servicing. The largest specially serviced loan is the Alexandria Mall ($46.5 million -- 5.6% of the pool), which is secured by a 559,000 square foot (SF) portion of an 837,176 square foot (SF) anchored mall located in Alexandria, Louisiana. The collateral is encumbered by a $12 million B-Note. The loan transferred to special servicing in October 2012 due to imminent monetary default. Major tenants include JC Penney, Sears, Dillards, Burlington Coat Factory, with only JC Penney as part of the collateral. As of December 2016, total occupancy was 87%, up slightly from 82% in March 2015. The second largest specially serviced loan is the Huntsville Office Portfolio II Loan ($38.1 million -- 4.6% of the pool), which is secured by three office buildings located in Huntsville, Alabama. The properties include the Perimeter Center Corporate Park, Progress Center and the Former DRS Building which measure approximately 670,000 square feet (SF). The former largest tenant, DRS, who occupied approximately 31% of the NRA vacated their space in June 2015. The loan transferred to Special Servicing in June 2016 for imminent default due to cash flow issues. Per the Special Servicer the Lender is currently seeking foreclosure. The third largest specially serviced loan is the Cooper Beech Townhomes II -- Columbia Loan ($31.1 million -- 3.7% of the pool), which is secured by a 824 bed, student housing complex located in Columbia, South Carolina. The property is located approximately 2.5 miles from the University of South Carolina and 1 mile from the football stadium. The loan transferred to Special Servicing in February 2016 for imminent default. The remaining 10 specially serviced loans are secured by a mix of property types. Moody's estimates an aggregate $112 million loss for the specially serviced loans (45.5% expected loss on average). Moody's has also assumed a high default probability for 8 poorly performing loans, constituting 12.3% of the pool, and has estimated an aggregate loss of $26.5 million (a 25.8% expected loss based on a 60.3% probability default) from these troubled loans. As of the July 12, 2017 remittance statement cumulative interest shortfalls were $22.2 million. Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced loans and/or modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. Moody's received full year 2016 operating results for 97% of the pool, and full or partial year 2017 operating results for 14% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 103.4%, compared to 100.6% 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 5.3% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.42%. Moody's actual and stressed conduit DSCRs are 1.14X and 0.99X, respectively, compared to 1.3X and 1.07X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The top three conduit loans represent 35.1% of the pool balance. The largest loan is the One Liberty Plaza Loan ($230.6 million -- 27.7% of the pool), which represents a pari-passu interest in a $784.3 million mortgage loan. The collateral consists of a 2.19 million square foot (SF), class A, office building located in Manhattan's financial district. As per the December 2016 rent roll the property was 83.7% leased; compared to 80% leased as of December 2015 and down from 99% leased in December 2013. The tenant turnover that caused this decrease in occupancy included Bank of Nova Scotia, vacated 220,000 square feet (SF) in May 2014 and Goldman Sachs who vacated 240,000 square feet (SF) in April 2015. Current major tenants include: Cleary, Gottlieb, Steen and Hamilton (537,000 SF -- lease expiration December 2030), FINRA (255,000 SF -- lease expiration February 2021), and Zurich American Insurance Co. (252,000 SF -- lease expiration May 2017). Zurich American Insurance Co. is reportedly moving their headquarters to 4 World Trade Center. Moody's LTV and stressed DSCR are 110.3% and 0.86X, respectively, compared to 112.1% and 0.84X at the last review. The second largest loan is the Huntsville Office Portfolio III Loan ($32.1 million -- 3.8% of the pool), which is secured by three suburban office properties located in Huntsville, Alabama. As per the May 2017 rent roll the weighted average occupancy for the portfolio was 82%; compared to 93% as of March 2016. Property performance has reportedly declined due to the sluggish market. Moody's LTV and stressed DSCR are 114.9% and 0.94X, respectively, compared to 92.3% and 1.17X at the last review. The third largest loan is the Huntsville Office Portfolio I Loan ($30.1 million -- 3.6% of the pool), which is secured by three suburban office properties located in Huntsville, Alabama. As per the December 2016 rent roll the weighted average occupancy for the portfolio was 69.7%. The largest tenant Northrop Grumman (110,275 SF; 21% of NRA) has a lease that expires in February 2018. Property performance has reportedly declined due to the sluggish market. Due to declining property performance Moody's has recognized this as a troubled loan. CITIGROUP COMMERCIAL 2012-GC8: Fitch Affirms BB Rating on E Certs ----------------------------------------------------------------- Fitch Ratings has affirmed 10 classes of Citigroup Commercial Mortgage Trust 2012-GC8 (CGCMT 2012-GC8) commercial mortgage pass-through certificates. KEY RATING DRIVERS The affirmations are based on generally stable performance of the underlying collateral pool. All values are as of the June 2017 distribution date with the exception of the class balances, which are as of the July 2017 distribution date. The pool has no realized losses to date and only one loan has ever been delinquent, and has since been defeased. Declining Loan-Level Performance: Four of the top five loans totaling 41.8% of the pool are on the servicer watch list for looming or demonstrated declines in performance. Additionally, 14 loans totaling 58.1% of the pool are on the servicer watch list. Concentrated Pool: The top 10 loans in the pool account for approximately 61.8% of the pool, with the top 15 accounting for 71.8% of the pool. Additionally, office and hotel properties account for approximately 37.3% and 19.1% of the pool, respectively, compared with 2012 averages of 28.2% and 13.3%, respectively. Hotel Performance: Five hotels totaling 15.7% of the pool reflect net operating income (NOI) declines of approximately 25% or more, relative to bank underwritten NOI. Performing Loans: Despite multiple loans reflecting performance declines, all loans have remained current and no loans have transferred to special servicing. Defeasance and Paydown: Nine loans totaling approximately 10% of the pool are defeased. Additionally, the pool has paid down approximately 21.6% since issuance. RATING SENSITIVITIES The Rating Outlook on class F has been revised to Negative from Stable given declines in loan-level performance for several of the largest loans in the pool. Ratings on all other classes remain Stable given otherwise stable performance of the pool, additional paydown and defeasance. Rating downgrades are possible in the event the loan-level underperformance continues and in the event one or more of these loans transfers to special servicing or exhibits delinquency. Conversely, rating upgrades are possible with substantial paydown or defeasance. 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 rating and revised Outlook to Negative from Stable: -- $19.5 million class F at 'Bsf'; Outlook to Negative from Stable. Fitch has affirmed the following ratings: -- $25.5 million class A-3 at 'AAAsf'; Outlook Stable; -- $379.6 million class A-4 at 'AAAsf'; Outlook Stable; -- $80.3 million class A-AB at 'AAAsf'; Outlook Stable; -- $93.6 million class A-S at 'AAAsf'; Outlook Stable; -- $61.1 million class B at 'AA-sf'; Outlook Stable; -- $39 million class C at 'A-sf'; Outlook Stable; -- $45.5 million class D at 'BBB-sf'; Outlook Stable; -- $19.5 million class E at 'BBsf'; Outlook Stable; -- $579.0 million* class X-A at 'AAAsf'; Outlook Stable. Fitch does not rate the class G and X-B certificates. Classes A-1 and A-2 have paid in full. CITIGROUP COMMERCIAL 2013-GC15: DBRS Confirms BB Rating on E Debt ----------------------------------------------------------------- DBRS Limited confirmed the ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2013-GC15 issued by Citigroup Commercial Mortgage Trust 2013-GC15: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-AB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class X-C at BB (high) (sf) -- Class B at AA (high) (sf) -- Class C at A (sf) -- Class PEZ at A (sf) -- Class D at BBB (low) (sf) -- Class E at BB (sf) -- Class F at B (high) (sf) All trends are Stable. The rating confirmations reflects the overall stable performance exhibited since issuance in 2013. At issuance, the collateral consisted of 92 fixed-rate loans secured by 129 commercial properties. As of the June 2017 remittance, 90 loans remained in the pool with an aggregate principal balance of $1.06 billion, representing a collateral reduction of 5.1% as a result of loan repayment and scheduled loan amortization. Five loans, representing 4.7% of the pool, are fully defeased. The pool is concentrated by property type, as 39 loans, representing 35.2% of the pool, are secured by retail properties, 18 loans (25.0% of the pool) are secured by multifamily properties, 12 loans (15.2% of the pool) are secured by office properties, and ten loans (16.4% of the pool) are secured by hotel properties. By loan size, the pool is diverse, as the Top 10 and Top 15 loans only represent 39.5% and 48.5%, respectively. Five loans (22.7% of the pool) are structured with full interest-only (IO) terms, while an additional three loans (10.1% of the pool) have partial IO periods remaining, ranging from 13 months to 15 months. Excluding defeasance, 81 loans (91.8% of the pool) have reported Q1 2017 partial-year net cash flow (NCF) figures, with five loans (4.7% of the pool) reporting YE2016 NCF figures most recently, and two loans (3.5% of the pool) that show YE2015 NCF figures as the most recently reported. As calculated on the most recent year-end financials available (mostly YE2016), the transaction had a weighted-average (WA) amortizing debt service coverage ratio (DSCR) and WA debt yield of 1.61 times (x) and 10.7%, respectively, compared with the DBRS issuance figures of 1.51x and 9.4%, respectively. Throughout 2018, 14 loans (21.5% of the pool) are scheduled to mature; two of these loans (2.2% of the pool) are fully defeased. Excluding defeasance and calculated on the most recent year-end financials available, the 12 non-defeased loans scheduled to mature in 2018 (19.3% of the pool) had a WA amortizing DSCR, WA DBRS Refi DSCR and exit debt yield of 1.79x, 1.07x and 10.3%, respectively. Based on the most recent NCF figures (both partial-year and YE2016), the Top 15 loans reported a WA amortizing DSCR of 1.79x compared with the DBRS issuance figure of 1.61x, which reflects a WA NCF growth of 12.3%. As of the June 2017 remittance, there is one loan (0.5% of the pool) in special servicing and 14 loans (9.2% of the pool) on the servicer's watchlist. The City Center Building loan (Prospectus ID#34) was transferred to special servicing in December 2015 for imminent default, with the servicer's foreclosure action currently stalled by ongoing litigation initiated by the borrower. Of the 14 loans currently on the servicer's watchlist, five loans (5.6% of the pool) were flagged for deferred maintenance, while eight loans (2.9% of the pool) were flagged for tenant rollover. Based on the most recent NCF figures (both partial-year and YE2016), these eight loans reported a WA amortizing DSCR of 1.43x compared with the DBRS issuance figure of 1.39x. COMM 2007-C9: S&P Hikes Rating on Class K Certificates to CCC ------------------------------------------------------------- S&P Global Ratings lowered its ratings on two classes of commercial mortgage pass-through certificates from COMM 2007-C9, a U.S. commercial mortgage-backed securities (CMBS) transaction. At the same time, S&P affirmed its ratings on two classes and discontinued its ratings on eight other classes from the same transaction. S&P said, "Our rating actions on the certificates follow our analysis of the transaction, primarily using our criteria for rating U.S. and Canadian CMBS transactions, which included a review of the credit characteristics and performance of the remaining assets in the pool, the transaction's structure, and the liquidity available to the trust as well as the Structured Finance Temporary Interest Shortfall Methodology published Dec. 15, 2015. "The downgrades on classes K and L reflect accumulated interest shortfalls outstanding on the classes. Specifically, we lowered our rating on class L to 'D (sf)' because we expect the accumulated interest shortfalls to remain outstanding for the foreseeable future." According to the July 10, 2017, trustee remittance report, the current monthly interest shortfalls totaled $113,433 and resulted primarily from: -- Interest not advanced totaling $57,442; -- Appraisal subordinate entitlement reduction (ASER) amounts totaling $41,549; and -- Special servicing fees totaling $13,696. The current interest shortfalls affected classes subordinate to and including class K. S&P said, "The affirmations on the class H and J certificates reflect our expectation that the available credit enhancement for these classes will be within our estimate of the necessary credit enhancement required for the current ratings. "We expect the accumulated interest shortfalls on class J, which has been outstanding for three consecutive months, to be recovered in full in the near-term. "While available credit enhancement levels suggest positive rating movements onclasses H and J, our analysis also considered their susceptibility to reduced liquidity support from the six specially serviced assets ($72.2 million, 61.6%) and the four loans on the master servicers' combined watchlist ($45.0 million, 38.4%), as well as the bonds' recent interest shortfalls. "Finally, we discontinued our ratings on classes AJ, AJ-FL, B, C, D, E, F, and G following their full principal repayment as noted in the July 2017 trustee remittance report." TRANSACTION SUMMARY As of the July 10, 2017, trustee remittance report, the collateral pool balance was $117.2 million, which is 4.1% of the pool balance at issuance. The pool currently includes nine loans (adjusted for subordinate B hope note) and one real estate owned (REO) asset, down from 109 loans at issuance. Six (adjusted for subordinate B hope note) of these assets are with the special servicer, and four are on the master servicers' combined watchlist. The master servicers, KeyBank Real Estate Capital and Berkadia Commercial Mortgage LLC, reported financial information for 95.8% of the loans in the pool, of which 7.9% was partial-year 2017 data, 78.5% was year-end 2016, and the remainder was year-end 2015 data. S&P said, "We calculated a S&P Global Ratings' weighted average debt service coverage (DSC) of 1.50x and loan-to-value (LTV) ratio of 82.3% using a S&P Global Ratings' weighted average capitalization rate of 8.65%. The DSC, LTV, and capitalization rate calculations exclude five ($47.3 million, 40.4%) of the six specially serviced assets. While the Grants Pass Shopping Center specially serviced loan is included in the DSC, LTV, and capitalization rate calculations, we excluded the associated subordinate B hope note balance ($4.9 million, 4.2%) from the calculation. "To date, the transaction has experienced $64.5 million in principal losses, or 2.2% of the original pool trust balance. We expect losses to reach approximately 2.9% of the original pool trust balance in the near term, based on losses incurred to date and additional losses we expect upon the eventual resolution of five of the six specially serviced assets." CREDIT CONSIDERATIONS As of the July 10, 2017, trustee remittance report, six assets in the pool were with the special servicer, Situs Holdings LLC (Situs). Details of the twolargest specially serviced assets are: The Grants Pass Shopping Center - A note and B note loan (aggregate balance of $24.9 million, 21.2%) is the largest loan in the trust, and the largest loan with the special servicer. The loan, which has a reported current payment status, has a total reported exposure of $24.9 million. The loan is secured by a retail property totaling 277,156 sq. ft. in Grants Pass, Ore. The loan was transferred to the special servicer on April 6, 2017, due to imminent maturity default. The loan matured on July 1, 2017. The reported DSC and occupancy as of year-end 2016 were 1.62x and 81.8%, respectively. According to the special servicer, due to JC Penney's recent departure (lease expires in May 2019) from the property, occupancy at the property as of June 2017 is about 68.0%. An appraisal reduction amount (ARA) of $5.3 million is in effect against the loan. Situs stated that a short-term extension has been agreed upon for this loan. The Intercontinental Center loan ($18.6 million, 15.8%) is the second-largest loan in the trust and has a total reported exposure of $18.8 million. The loan is secured by an office property totaling 196,895 sq. ft. in Houston, Texas. The loan was transferred to the special servicer on May 12, 2017, due to imminent maturity default. The loan matured on June 1, 2017. The reported DSC and occupancy as of year-end 2016 were 1.18x and 67.8%, respectively. The loan currently does not carry an ARA. According to Situs, it is exploring various liquidation strategies. S&P expects a moderate loss (26%-59%) upon the loan's eventual resolution. The four remaining assets with the special servicer each have individual balances that represent less than 9.1% of the total pool trust balance. S&P estimated losses for the five of the six specially serviced assets, arriving at a weighted-average loss severity of 37.8%. RATINGS LIST COMM 2007-C9 Commercial mortgage pass-though certificates series 2007-C9 Rating Class Identifier To From A-J 20047RAH6 NR BB+ (sf) B 20047RAJ2 NR BB (sf) C 20047RAK9 NR BB- (sf) D 20047RAL7 NR B+ (sf) E 20047RAM5 NR B+ (sf) F 20047RAN3 NR B (sf) AJ-FL 20047RBK8 NR BB+ (sf) G 20047RAR4 NR B (sf) H 20047RAS2 B- (sf) B- (sf) J 20047RAT0 B- (sf) B- (sf) K 20047RAU7 CCC- (sf) B- (sf) L 20047RAV5 D (sf) CCC+ (sf) NR--Not rated COMM 2012-CCRE4: Moody's Lowers Rating on Class F Certs to B3(sf) ----------------------------------------------------------------- Moody's Investors Service has affirmed the ratings of nine classes and downgraded the ratings of two classes in COMM 2012-CCRE4 Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2012-CCRE4: Cl. A-2, Affirmed Aaa (sf); previously on Aug 4, 2016 Affirmed Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on Aug 4, 2016 Affirmed Aaa (sf) Cl. A-M, Affirmed Aaa (sf); previously on Aug 4, 2016 Affirmed Aaa (sf) Cl. A-SB, Affirmed Aaa (sf); previously on Aug 4, 2016 Affirmed Aaa (sf) Cl. B, Affirmed Aa3 (sf); previously on Aug 4, 2016 Affirmed Aa3 (sf) Cl. C, Affirmed A3 (sf); previously on Aug 4, 2016 Affirmed A3 (sf) Cl. D, Affirmed Baa3 (sf); previously on Aug 4, 2016 Affirmed Baa3 (sf) Cl. E, Downgraded to Ba3 (sf); previously on Aug 4, 2016 Affirmed Ba2 (sf) Cl. F, Downgraded to B3 (sf); previously on Aug 4, 2016 Affirmed B2 (sf) Cl. X-A, Affirmed Aaa (sf); previously on Aug 4, 2016 Affirmed Aaa (sf) Cl. X-B, Affirmed A2 (sf); previously on Aug 4, 2016 Affirmed A2 (sf) RATINGS RATIONALE The ratings on seven 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 were downgraded due to an increase in Moody's anticipated losses from specially serviced and troubled loans that were higher than Moody's had previously expected. 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 4.3% of the current pooled balance, compared to 3.3% at Moody's last review. Moody's base expected loss plus realized losses is now 4.0% of the original pooled balance, compared to 3.2% 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://v3.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-B was "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. DEAL PERFORMANCE As of the July 15, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 6% to $1.04 billion from $1.11 billion at securitization. The certificates are collateralized by forty-four mortgage loans ranging in size from less than 1% to 12% of the pool, with the top ten loans constituting 58% of the pool. Four loans, constituting 6.5% of the pool, have defeased and are secured by US government securities. Six loans, constituting 15% 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. Three loans have been liquidated from the pool, resulting in an aggregate realized loss of $86,566 (for an average loss severity of 1.4%). One loan, making up 1.1% of the pool is in special servicing. The loan in special servicing is the Towne Place Suites Odessa Loan ($11.0 million -- 1.1% of the pool). The loan is secured by a 108 unit lodging facility located in Odessa, Texas. The property was built in 2009. Property performance has declined due to a decrease in both occupancy and revenue per avaliable room (RevPAR). The loan transferred to special servicing in April 2016 due to payment default and became REO in December 2016. Moody's has also assumed a high default probability for one other poorly performing loan, constituting 1.4% of the pool. Moody's received full year 2016 operating results for 96% of the pool, and full or partial year 2017 operating results for 72% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 90.6%, compared to 88.5% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 12% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.9%. Moody's actual and stressed conduit DSCRs are 1.92X and 1.25X, respectively, compared to 1.94X and 1.26X 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 30% of the pool balance. The largest loan is the Prince Building Loan ($125.0 million -- 12.0% of the pool). The loan represents a pari-passu interest in a $200 million loan and is interest-only throughout the entire term. The loan is secured by a mixed use (retail / office) building located in Manhattan's SoHo District. The property's leasable area includes 276,400 square feet (SF) of office space, 69,300 SF of retail and 8,800 SF of storage space. As of December 2016, the retail component was 100% leased to three tenants with Equinox (11% of the total NRA, lease expiration November 2020) as the largest retail tenant. The total property was 98.85% leased as of December 2016 compared to 98.5% at the last review. Moody's LTV and stressed DSCR are 85% and 1.10X, respectively, the same as at the last review. The second largest loan is the Eastview Mall and Commons Loan ($120.0 million -- 11.5% of the pool). The loan represents a pari-passu interest in a $210.0 million loan and is interest-only throughout the entire term. The loan is secured by the borrower's interest in a 725,000 SF portion of a 1.4 million SF super regional mall and a 86,000 SF portion of a 341,000 SF adjacent power center, both located in Victor, New York, approximately 15 miles southeast of Rochester. The mall's non-collateral anchors includes Macy's, Von Maur, JC Penney, Lord & Taylor and Sears. The mall was 95% leased as of January 2017 with 89% inline occupancy. Moody's LTV and stressed DSCR are 110% and 0.88X, respectively, compared to 94% and 0.98X at the last review. The third largest loan is the Fashion Outlets of Las Vegas Loan ($67.3 million -- 6.5% of the pool), which is secured by a 375,700 SF outlet center located along Interstate 15 in Primm, Nevada. The property is also encumbered with $32.0 million of mezzanine financing. The property was built in 1998 and subsequently renovated in 2004. Major tenants include H&M, Vanity Fair, Old Navy, Williams Sonoma, and Nike. As of May 2017, the property was 74% leased, compared to 77% in March 2016 and 96% at securtization. Moody's LTV and stressed DSCR are 105% and 0.97X, respectively, compared to 100% and 1.03X at the last review. COMM 2012-CCRE5: Moody's Affirms B2(sf) Rating on Cl. G Certs. -------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on 14 classes in COMM 2012-CCRE5 Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2012-CCRE5: Cl. A-2, Affirmed Aaa (sf); previously on Jul 21, 2016 Affirmed Aaa (sf) Cl. A-SB, Affirmed Aaa (sf); previously on Jul 21, 2016 Affirmed Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on Jul 21, 2016 Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Jul 21, 2016 Affirmed Aaa (sf) Cl. A-M, Affirmed Aaa (sf); previously on Jul 21, 2016 Affirmed Aaa (sf) Cl. B, Affirmed Aa2 (sf); previously on Jul 21, 2016 Affirmed Aa2 (sf) Cl. C, Affirmed A2 (sf); previously on Jul 21, 2016 Affirmed A2 (sf) Cl. D, Affirmed Baa1 (sf); previously on Jul 21, 2016 Affirmed Baa1 (sf) Cl. E, Affirmed Baa3 (sf); previously on Jul 21, 2016 Affirmed Baa3 (sf) Cl. F, Affirmed Ba2 (sf); previously on Jul 21, 2016 Affirmed Ba2 (sf) Cl. G, Affirmed B2 (sf); previously on Jul 21, 2016 Affirmed B2 (sf) Cl. PEZ, Affirmed Aa3 (sf); previously on Jul 21, 2016 Affirmed Aa3 (sf) Cl. X-A, Affirmed Aaa (sf); previously on Jul 21, 2016 Affirmed Aaa (sf) Cl. X-B, Affirmed Aa2 (sf); previously on Jul 21, 2016 Affirmed Aa2 (sf) RATINGS RATIONALE The ratings on eleven P&I Classes (A-2, A-SB, A-3, A-4, A-M, B, C, D, E, F & G) were affirmed due to the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR). The rating on the PEZ Class was affirmed due to the weighted average rating factor (WARF) of the exchangeable classes. The ratings on IO Classes (X-A & X-B) were affirmed based on the credit quality of the referenced classes. Moody's rating action reflects a base expected loss of 3.9% of the current balance, compared to 3.1% at Moody's last review. Moody's base expected loss plus realized losses is now 3.4% of the original pooled balance, compared to 2.8% 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 "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in December 2014. The 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 Classes X-A and X-B was "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. DEAL PERFORMANCE As of the July 12, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 11% to $1.00 billion from $1.13 billion at securitization. The certificates are collateralized by 56 mortgage loans ranging in size from less than 1% to 9% of the pool, with the top ten loans constituting 52.5% of the pool. Two loans, constituting 9.5% of the pool, have investment-grade structured credit assessments. Nine loans, constituting 11.7% of the pool, have defeased and are secured by US government securities. Three loans, constituting 6% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Moody's received full year 2015 operating results for 83% of the pool, and full or partial year 2016 operating results for 99%. Moody's weighted average conduit LTV is 96%, 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 9% 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 1.61X and 1.12X, respectively, compared to 1.66X 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 largest loan with a structured credit assessment is the 200 Varick Street Loan ($63.6 million -- 6.3% of the pool), which is secured by a 12-story, 430,000 square foot office property located in lower Manhattan. As of May 2017, the property was over 99.5% leased, unchanged from at securitization. Moody's structured credit assessment and stressed DSCR are aa3 (sca.pd) and 1.66X, respectively, compared to aa3 (sca.pd) and 1.62X at the last review. The second largest loan with a structured credit assessment is the Ritz-Carlton South Beach Loan ($31.7 million -- 3.2% of the pool), which is secured by a beachfront land parcel in Miami Beach, Florida. The land is subject to a long-term ground lease which is set to expire in 2028. The improvements include a 375-room luxury hotel. While Moody's DSCR figures reflect the cash flow from the ground lease, Moody's considered the value of the ground and the improvements when assessing the risk of the loan. Moody's structured credit assessment and stressed DSCR are aaa (sca.pd) and 0.99X, respectively, compared to aaa (sca.pd) and 0.96X at the last review. The top three conduit loans represent 21.7% of the pool balance. The largest loan is the Eastview Mall and Commons Loan ($90.0 million -- 8.9% of the pool), which represents a participation interest in a mortgage loan which is secured by a 725,000 SF portion of a 1.4 million super-regional mall and an 86,000 SF portion of a 341,000 SF adjacent retail power center located in Victor, New York, approximately 15 miles southeast of Rochester. The malls non-collateral anchors includes Macy's, Von Maur, JC Penney, Lord & Taylor and Sears. The mall was 95% leased as of January 2017 with 89% inline occupancy. Moody's LTV and stressed DSCR are 110% and 0.88X, respectively, compared to 94% and 0.98X at the last review. The second largest loan is the Harmon Corner Loan ($68.7 million -- 6.8% of the pool), which is secured by a 66,000 SF portion of a 110,000 SF retail property located on the Las Vegas Strip at the intersection of Harmon Avenue. The Property was constructed between 2010 and 2012 as part of the larger Harmon Center retail development. As of December 2016, the property was 100% leased compared to 94% in December 2015, 81% in December 2014 and 100% at securitization. Moody's LTV and stressed DSCR are 88% and 0.99X, respectively, compared to 89% and 0.97X at the last review. The third largest loan is the Metroplex Loan ($59.3 million -- 5.9% of the pool), by an 18 story, 404,000 SF office property in the Mid-Wilshire office submarket of Los Angeles, California. The property was 91% leased as of March 2017, compared to 88% in December 2015, 80% in December 2014 and 86% at securitization. Moody's LTV and stressed DSCR are 112% and 0.89X, respectively compared to 114% and 0.87X at the last review. COMM 2013-CCRE6: Moody's Affirms B2 Rating on Class F Certificates ------------------------------------------------------------------ Moody's Investors Service has affirmed the ratings on 14 classes in COMM 2013-CCRE6 Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2013-CCRE6: Cl. A-2, Affirmed Aaa (sf); previously on Jul 21, 2016 Affirmed Aaa (sf) Cl. A-3FL, Affirmed Aaa (sf); previously on Jul 21, 2016 Affirmed Aaa (sf) Cl. A-3FX, Affirmed Aaa (sf); previously on Jul 21, 2016 Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Jul 21, 2016 Affirmed Aaa (sf) Cl. A-M, Affirmed Aaa (sf); previously on Jul 21, 2016 Affirmed Aaa (sf) Cl. A-SB, Affirmed Aaa (sf); previously on Jul 21, 2016 Affirmed Aaa (sf) Cl. B, Affirmed Aa3 (sf); previously on Jul 21, 2016 Affirmed Aa3 (sf) Cl. C, Affirmed A3 (sf); previously on Jul 21, 2016 Affirmed A3 (sf) Cl. D, Affirmed Baa3 (sf); previously on Jul 21, 2016 Affirmed Baa3 (sf) Cl. F, Affirmed B2 (sf); previously on Jul 21, 2016 Affirmed B2 (sf) Cl. PEZ, Affirmed A1 (sf); previously on Jul 21, 2016 Affirmed A1 (sf) Cl. E, Affirmed Ba2 (sf); previously on Jul 21, 2016 Affirmed Ba2 (sf) Cl. X-A, Affirmed Aaa (sf); previously on Jul 21, 2016 Affirmed Aaa (sf) Cl. X-B, Affirmed A2 (sf); previously on Jul 21, 2016 Affirmed A2 (sf) RATINGS RATIONALE The ratings on the P&I classes were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The ratings on the IO classes were affirmed based on the credit quality of the referenced classes. The ratings on class PEZ was affirmed due to the weighted average rating factor (WARF) of the exchangeable classes. Moody's rating action reflects a base expected loss of 2.6% of the current pooled balance, the same as at Moody's last review. Moody's base expected loss plus realized losses is now 2.4% of the original pooled balance, compared to 2.6% 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 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 and Cl. X-B was "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. DEAL PERFORMANCE As of the July 12th, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 10% to $1.35 Billion from $1.49 Billion at securitization. The certificates are collateralized by 46 mortgage loans ranging in size from less than 1% to 10% of the pool, with the top ten loans (excluding defeasance) constituting 64% of the pool. One loan, constituting 9.6% of the pool, has an investment-grade structured credit assessment. One loan, constituting 7.4% 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 18, compared to 20 at Moody's last review. Seven loans, constituting 7% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. No loans have been liquidated from the pool and no loans are currently in special servicing. Moody's received full or partial year 2016 operating results for 100% of the pool, and partial year 2017 operating results for 51% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 91%, compared to 89% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 16% 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 1.92X and 1.20X, respectively, compared to 2.04X and 1.25X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The loan with a structured credit assessment is the Federal Center Plaza Loan ($130.0 million -- 9.6% of the pool), which is secured by two adjacent office buildings totaling 725,000 square feet (SF) in Washington, DC. Well-located between the US Capitol and Washington Monument, two blocks from two separate metro stations (Federal Center SW and L'Enfant Plaza), the property was 94% leased as of December 2016, compared to 100% leased at last review, with federal government agencies as the largest tenants. Moody's structured credit assessment and stressed DSCR are a3 (sca.pd) and 1.49X, respectively, compared to a2 (sca.pd) and 1.51X at Moody's last review. The top three conduit loans represent 25% of the pool balance. The largest loan is the Moffett Towers Loan ($117.0 million -- 8.7% of the pool), which represents a pari passu portion of a $326.5 million senior mortgage loan. The loan is secured by three eight-story Class A office buildings totaling 950,000 SF located in Sunnyvale, California. Each building is LEED Gold certified and the properties have 2,881 parking spaces as well as shared amenities. As of December 2016, the property was 100% leased, up from 96% at December 2015 and 89% at securitization. All tenants at the property are on triple net leases. Moody's LTV and stressed DSCR are 101% and 0.96X, respectively, compared to 103% and 0.95X at the last review. The second largest loan is the Rochester Hotel Portfolio ($104.1 million A note and $9.5 million B note -- the A note is 7.7% of the pool), which is secured by one limited-service, one extended stay and two full-service hotels located in Rochester, Minnesota. The four Interstate Hotels & Resorts-managed hotels total 1,230 keys and are each connected to the Mayo Clinic via climate controlled pedestrian tunnels. Moody's A note LTV and stressed DSCR are 93% and 1.31X, respectively, compared to 86% and 1.41X at the last review. The third largest loan is The Avenues Loan ($110.0 million -- 8.2% of the pool), which is secured by a 599,000 SF retail component of a 1.1M SF super-regional mall in Jacksonville, Florida. The property was 92% leased as of December 2016 compared to 90% leased as of December 2015. The sponsor is Simon Property Group. Moody's LTV and stressed DSCR are 75% and 1.40X, respectively, compared to 67% and 1.50X at the last review. COMM 2013-LC6: Moody's Affirms Caa1(sf) Rating on Class X-C Certs ----------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on thirteen classes in COMM 2013-LC6 Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2013-LC6: Cl. A-2, Affirmed Aaa (sf); previously on Aug 31, 2016 Affirmed Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on Aug 31, 2016 Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Aug 31, 2016 Affirmed Aaa (sf) Cl. A-M, Affirmed Aaa (sf); previously on Aug 31, 2016 Affirmed Aaa (sf) Cl. A-SB, Affirmed Aaa (sf); previously on Aug 31, 2016 Affirmed Aaa (sf) Cl. B, Affirmed Aa3 (sf); previously on Aug 31, 2016 Affirmed Aa3 (sf) Cl. C, Affirmed A3 (sf); previously on Aug 31, 2016 Affirmed A3 (sf) Cl. D, Affirmed Baa3 (sf); previously on Aug 31, 2016 Affirmed Baa3 (sf) Cl. E, Affirmed Ba2 (sf); previously on Aug 31, 2016 Affirmed Ba2 (sf) Cl. F, Affirmed B2 (sf); previously on Aug 31, 2016 Affirmed B2 (sf) Cl. X-A, Affirmed Aaa (sf); previously on Aug 31, 2016 Affirmed Aaa (sf) Cl. X-B, Affirmed A2 (sf); previously on Aug 31, 2016 Affirmed A2 (sf) Cl. X-C, Affirmed Caa1 (sf); previously on Jun 9, 2017 Downgraded to Caa1 (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 2.8% of the current pooled balance, compared to 3.1% at Moody's last review. Moody's base expected loss plus realized losses is now 2.6% of the original pooled balance, compared to 3.0% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in December 2014. Additionally, the methodology used in rating Cl. X-A, Cl. X-B, 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 July 12, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 6.6% to $1.39 billion from $1.49 billion at securitization. The certificates are collateralized by 69 mortgage loans ranging in size from less than 1% to 12% of the pool, with the top ten loans (excluding defeasance) constituting 44% of the pool. One loan, constituting 2% of the pool, has an investment-grade structured credit assessment. Six loans, constituting 14% 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 22, the same as at Moody's last review. One loan, constituting 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. One loan has been liquidated from the pool, resulting in an aggregate realized loss of $170,049 (for an average loss severity of 1.4%). One loans, constituting 1% of the pool, is currently in special servicing. The specially serviced loan is the Campus Pointe & Campus Manor Apartments loan ($16.8 million -- 1.2% of the pool), which is secured by a 356 unit student housing property located in Macomb, Illinois. The property has been affected by state budget cuts to higher education, which has reduced enrollment to nearby western Illinois universities. As of April 2017, occupancy was 78%. Moody's estimates a modest loss for the specially serviced loan. Moody's has also assumed a high default probability for one poorly performing loan, constituting 0.4% of the pool, and has estimated an aggregate loss of $981,051 (a 20% expected loss based on a 50% probability default) from this troubled loan. Moody's received full year 2015 operating results for 100% of the pool, and full or partial year 2016 operating results for 99% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 91%, the same as at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 15% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.6%. Moody's actual and stressed conduit DSCRs are 1.73X and 1.18X, respectively, compared to 1.84X and 1.18X 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 Glades Plaza and Commons at Town Center Loan ($27 million -- 1.9% of the pool), which is secured by a Class A retail property in Boca Raton, Florida. The property was built in the 1970s but was extensively renovated in 2011. Property performance has stabilized following post-renovation lease up of the property. The property was 81% leased as of May 2017, compared to 87% leased in December 2015. Moody's structured credit assessment and stressed DSCR are a1 (sca.pd) and 1.65X, respectively. The top three conduit loans represent 25% of the pool balance. The largest loan is the Moffett Towers Loan ($171 million -- 12.2% of the pool), which represents a participation interest in a $327 million senior mortgage loan. The loan is secured by a Class A office property in Sunnyvale, California. The loan collateral consists of three, eight-story, LEED Gold certified buildings with nearly 1 million square feet of net rentable area (NRA). The property was 100% leased as of December 2016, the same as at the prior review. Top tenants include Google Inc, Microsoft Corp, and Rambus Inc. Moody's LTV and stressed DSCR are 101% and 0.96X, respectively, compared to 104% and 0.93X at the last review. The second largest loan is the Coastland Center Loan ($118 million -- 8.5% of the pool). The loan is secured by a portion of a 926,000 square foot regional mall located in Naples, Florida. The mall's anchors include Dillards, JC Penney, Sears, and Macys. JC Penney is the sole collateral anchor. The mall was 98% leased as of December 2016, compared to 96% at last review. The loan sponsor is GGP. Moody's LTV and stressed DSCR are 88% and 1.13X, respectively, compared to 86% and 1.13X at the last review. The third largest loan is the Innisfree Pensacola Beach Hotel Portfolio Loan ($64 million -- 4.6% of the pool), which is secured by two adjacent hotel properties located in Pensacola Beach, Florida. The Hilton is a 275 key, 17 story resort and conference center built in 2003. The Holiday Inn is a 206 key, 11 story resort built in 2011. As of Q1 2017, the Hilton had occupancy, ADR and RevPAR of 77%, $209 and $161, respectively. As of Q1 2017, the Holiday Inn had occupancy, ADR and RevPAR of 82%, $201 and $165, respectively. Moody's LTV and stressed DSCR are 73.6% and 1.54X, respectively, compared to 68.3% and 1.66X at the last review. COMM 2014-CCRE19: Fitch Affirms BB Rating on Class E Certs ---------------------------------------------------------- Fitch Ratings has affirmed 14 classes of Deutsche Bank Securities, Inc.'s COMM 2014-CCRE19 Commercial Mortgage Trust Pass-Through Certificates. KEY RATING DRIVERS Stable Performance: As of the July 2017 distribution date, the pool's aggregate principal balance had been paid down by 3.1% to $1.138 billion from $1.174 billion at issuance. There is currently one specially serviced Fitch Loan of Concern (0.4% of the pool), collateralized by an apartment community located in the Bakken Shale region of North Dakota; Fitch has assigned a high loss severity to this loan. Seven loans are on the servicer's watchlist (7.9% of the pool) and three (2.7% of the pool) have collateral with potential or pending major tenant departures; however, each of these loans is current to date. Pool Diversity: The pool is diverse by loan size compared to similar transactions of the same vintage. The fifth and 10th largest loan exposures represent 26.6% and 42.7% of the total pool balance, respectively. High Hotel Concentration: Hotel properties account for 20.7% of the pool, which is greater than the respective 2014, 2015 and 2016 averages of 14.2%, 17% and 16%. Potential volatility is a concern with hotel properties. Interest-Only Loan Periods: Approximately 51.3% of the pool has an interest-only (IO) component; 11% is fully IO and 40.3% has a partial IO component. The majority of the partial IO periods expired in 2015 and 2016 (23.9% of the pool). However, 9.2% of the pool has a partial IO term that expires in 2017; approximately 7.2% of the pool has an IO period that expires in 2018 and 2019. RATING SENSITIVITIES The ratings are expected to remain stable. Rating upgrades may occur with significant paydown and defeasance. Rating downgrades are possible should overall pool performance decline. Fitch has affirmed the following ratings: -- $49.3 million class A-1 at 'AAAsf'; Outlook Stable; -- $168.7 million class A-2 at 'AAAsf'; Outlook Stable; -- $15.8 million class A-3 at 'AAAsf'; Outlook Stable; -- $94.3 million class A-SB at 'AAAsf'; Outlook Stable; -- $190 million class A-4 at 'AAAsf'; Outlook Stable; -- $283.1 million class A-5 at 'AAAsf'; Outlook Stable; -- $875,017,827a class X-A 'AAAsf'; Outlook Stable; -- $108,610,000a class X-B 'AA-sf'; Outlook Stable; -- $89.5b million class A-M at 'AAAsf'; Outlook Stable; -- $55.8b million class B at 'AA-sf'; Outlook Stable; -- $52.8b million class C at 'A-sf'; Outlook Stable; -- $198.1b million class PEZ at 'A-sf'; Outlook Stable; -- $64.6 million class D at 'BBB-sf'; Outlook Stable; -- $23.5 million class E at 'BBsf'; Outlook Stable. a Notional amount and interest only. b Class A-M, B and C certificates may be exchanged for class PEZ certificates, and class PEZ certificates may be exchanged for class A-M, B, and C certificates. Fitch does not rate the class F, G, and H certificates or the interest-only X-C and X-D certificates. CONNECTICUT AVE 2017-C05: Moody's Assigns B1 Ratings on 5 Tranches ------------------------------------------------------------------ Moody's Investors Service has assigned definitive ratings to twenty nine classes of notes on Connecticut Avenue Securities, Series 2017-C05, a securitization designed to provide credit protection to the Federal National Mortgage Association (Fannie Mae) against the performance of a reference pool of mortgages totaling approximately $43.8 billion. All of the Notes in the transaction are direct, unsecured obligations of Fannie Mae, and as such investors are exposed to the credit risk of Fannie Mae (Aaa stable). CAS 2017-C05 is the twenty first transaction in the Connecticut Avenue Securities series issued by Fannie Mae. CAS 2017-C05 is also the thirteenth transaction in the CAS series to have a legal final maturity of 12.5 years, as compared to 10 years in previous fixed severity CAS securitizations. Unlike a typical RMBS transaction, noteholders are not entitled to receive any cash from the mortgage loans in the reference pool. Instead, the timing and amount of principal and interest that Fannie Mae is obligated to pay on the Notes is linked to the performance of the mortgage loans in the reference pool. CAS 2017-C05's note write-downs are determined by actual realized losses and modification losses on the loans in the reference pool, and not tied to pre-set tiered severity schedules. In addition, the interest and principal amount paid to the notes can be reduced by the amount of modification loss incurred on the mortgage loans. Fannie Mae is obligated to retire the Notes in January 2030 if balances remain outstanding. Credit events in CAS 2017-C05 occur when a short sale is settled, when a mortgage note that is 12 or more months delinquent is sold prior to foreclosure, when the mortgaged property that secured the related mortgage note is sold to a third party at a foreclosure sale, when an REO disposition occurs, or when the related mortgage note is charged-off. This differs from previous CAS fixed severity securitizations, where credit events occur as early as when a reference obligation is 180 or more days delinquent. The complete rating action is: Issuer: Connecticut Avenue Securities, Series 2017-C05 $353.3 million of Class 1M-1 notes, Definitive Rating Assigned Baa3 (sf) $789.7 million of Class 1M-2 notes, Definitive Rating Assigned B3 (sf) Class 1M-2 note holders can exchange their notes for the following notes: $249.4 million of Class 1M-2A exchangeable notes, Definitive Rating Assigned Ba3 (sf) $249.4 million of Class 1M-2B exchangeable notes, Definitive Rating Assigned B2 (sf) $290.9 million of Class 1M-2C exchangeable notes, Not Rated The Class 1M-2A note holders can exchange their notes for the following notes: $249.4 million of Class 1E-A1 exchangeable notes, Definitive Rating Assigned Ba3 (sf) $249.4 million of Class 1A-I1 exchangeable notes, Definitive Rating Assigned Ba3 (sf) $249.4 million of Class 1E-A2 exchangeable notes, Definitive Rating Assigned Ba3 (sf) $249.4 million of Class 1A-I2 exchangeable notes, Definitive Rating Assigned Ba3 (sf) $249.4 million of Class 1E-A3 exchangeable notes, Definitive Rating Assigned Ba3 (sf) $249.4 million of Class 1A-I3 exchangeable notes, Definitive Rating Assigned Ba3 (sf) $249.4 million of Class 1E-A4 exchangeable notes, Definitive Rating Assigned Ba3 (sf) $249.4 million of Class 1A-I4 exchangeable notes, Definitive Rating Assigned Ba3 (sf) The Class 1M-2B note holders can exchange their notes for the following notes: $249.4 million of Class 1E-B1 exchangeable notes, Definitive Rating Assigned B2 (sf) $249.4 million of Class 1B-I1 exchangeable notes, Definitive Rating Assigned B2 (sf) $249.4 million of Class 1E-B2 exchangeable notes, Definitive Rating Assigned B2 (sf) $249.4 million of Class 1B-I2 exchangeable notes, Definitive Rating Assigned B2 (sf) $249.4 million of Class 1E-B3 exchangeable notes, Definitive Rating Assigned B2 (sf) $249.4 million of Class 1B-I3 exchangeable notes, Definitive Rating Assigned B2 (sf) $249.4 million of Class 1E-B4 exchangeable notes, Definitive Rating Assigned B2 (sf) $249.4 million of Class 1B-I4 exchangeable notes, Definitive Rating Assigned B2 (sf) The Class 1E-A1 and 1E-B1 note holders can exchange their notes for the following notes: $498.8 million of Class 1E-D1 exchangeable notes, Definitive Rating Assigned B1 (sf) The Class 1E-A2 and 1E-B2 note holders can exchange their notes for the following notes: $498.8 million of Class 1E-D2 exchangeable notes, Definitive Rating Assigned B1 (sf) The Class 1E-A3 and 1E-B3 note holders can exchange their notes for the following notes: $498.8 million of Class 1E-D3 exchangeable notes, Definitive Rating Assigned B1 (sf) The Class 1E-A4 and 1E-B4 note holders can exchange their notes for the following notes: $498.8 million of Class 1E-D4 exchangeable notes, Definitive Rating Assigned B1 (sf) The Class 1M-2A and 1M-2B note holders can exchange their notes for the following notes: $498.8 million of Class 1E-D5 exchangeable notes, Definitive Rating Assigned B1 (sf) The Class 1A-I1 and 1B-I1 note holders can exchange their notes for the following notes: $498.8 million of Class 1-X1 exchangeable notes, Definitive Rating Assigned B2 (sf) The Class 1A-I2 and 1B-I2 note holders can exchange their notes for the following notes: $498.8 million of Class 1-X2 exchangeable notes, Definitive Rating Assigned B2 (sf) The Class 1A-I3 and 1B-I3 note holders can exchange their notes for the following notes: $498.8 million of Class 1-X3 exchangeable notes, Definitive Rating Assigned B2 (sf) The Class 1A-I4 and 1B-I4 note holders can exchange their notes for the following notes: $498.8 million of Class 1-X4 exchangeable notes, Definitive Rating Assigned B2 (sf) Below is a summary description of the transaction and Moody's rating rationale. More details on this transaction can be found in Moody's presale report. The Notes The 1M-1 notes are adjustable rate P&I notes with an interest rate that adjusts relative to One Month LIBOR. The 1M-2 notes are adjustable rate P&I notes with an interest rate that adjusts relative to One Month LIBOR. The holders of the 1M-2 notes can exchange those notes for 1M-2A, 1M-2B and 1M-2C exchangeable notes (together referred as the "Exchangeable Notes"). The 1M-2A notes are adjustable rate P&I notes with an interest rate that adjusts relative to One Month LIBOR. The holders of the 1M-2A notes can exchange those notes for 1E-A1, 1A-I1, 1E-A2, 1A-I2, 1E-A3, 1A-I3, 1E-A4 and 1A-I4 exchangeable notes (together referred as the "Exchangeable Notes"). The 1M-2B notes are adjustable rate P&I notes with an interest rate that adjusts relative to One Month LIBOR. The holders of the 1M-2B notes can exchange those notes for 1E-B1, 1B-I1, 1E-B2, 1B-I2, 1E-B3, 1B-I3, 1E-B4 and 1B-I4 exchangeable notes (together referred as the "Exchangeable Notes"). The 1E-A1 and 1E-B1 notes are adjustable rate P&I notes with an interest rate that adjusts relative to One Month LIBOR. The holders of the 1E-A1 and 1E-B1 notes can exchange those notes for 1E-D1 exchangeable note (together referred as the "Exchangeable Notes"). The 1E-A2 and 1E-B2 notes are adjustable rate P&I notes with an interest rate that adjusts relative to One Month LIBOR. The holders of the 1E-A2 and 1E-B2 notes can exchange those notes for 1E-D2 exchangeable note (together referred as the "Exchangeable Notes"). The 1E-A3 and 1E-B3 notes are adjustable rate P&I notes with an interest rate that adjusts relative to One Month LIBOR. The holders of the 1E-A3 and 1E-B3 notes can exchange those notes for 1E-D3 exchangeable note (together referred as the "Exchangeable Notes"). The 1E-A4 and 1E-B4 notes are adjustable rate P&I notes with an interest rate that adjusts relative to One Month LIBOR. The holders of the 1E-A4 and 1E-B4 notes can exchange those notes for 1E-D4 exchangeable note (together referred as the "Exchangeable Notes"). The 1M-2A and 1M-2B notes are adjustable rate P&I notes with an interest rate that adjusts relative to One Month LIBOR. The holders of the 1M-2A and 1M-2B notes can exchange those notes for 1E-D5 exchangeable note (together referred as the "Exchangeable Notes"). The 1A-I1 and 1B-I1 notes are fixed rate interest only notes. The holders of the 1A-I1 and 1B-I1 notes can exchange those notes for 1-X1 exchangeable note (together referred as the "Exchangeable Notes"). The 1A-I2 and 1B-I2 notes are fixed rate interest only notes. The holders of the 1A-I2 and 1B-I2 notes can exchange those notes for 1-X2 exchangeable note (together referred as the "Exchangeable Notes"). The 1A-I3 and 1B-I3 notes are fixed rate interest only notes. The holders of the 1A-I3 and 1B-I3 notes can exchange those notes for 1-X3 exchangeable note (together referred as the "Exchangeable Notes"). The 1A-I4 and 1B-I4 notes are fixed rate interest only notes. The holders of the 1A-I4 and 1B-I4 notes can exchange those notes for 1-X4 exchangeable note (together referred as the "Exchangeable Notes"). RATINGS RATIONALE Summary Credit Analysis and Rating Rationale The reference pool consists of loans that Fannie Mae acquired between October 1, 2016 and December 31, 2016, and have no previous 30-day delinquencies. The loans in the reference pool are to strong borrowers, as the weighted average credit scores of 752 indicate. The weighted average CLTV of 75.3% is higher than recent private label prime jumbo deals, which typically have CLTVs in the high 60's range, but is similar to the weighted average CLTVs of other CAS transactions. Moody's rating on the transaction is based on both quantitative and qualitative analyses. This included a quantitative evaluation of the credit quality of the reference pool and the impact of the structural mechanisms on credit enhancement. Moody's expects the reference pool to incur 1.25% of losses in a base-case scenario, and 9.80% losses in a stress scenario consistent with Moody's Aaa (sf) rating. Moody's arrived at these expected losses using Moody's MILAN model. The MILAN model provides default probabilities and expected loss given default rates for each loan in a portfolio and for the portfolio as a whole under a severe recession scenario (the Aaa Scenario) similar to the unprecedented events of 2007-09. In this scenario, Moody's stress home prices at two different levels. Moody's assume that national home prices will decline 30% over a 30-month period, remain flat at their respective trough for the next 30 months and then increase back to the levels at the time of analysis by month 180. Moody's also assume that local home prices will decline between 30% and 60%, depending on the geographic concentrations, and then follow the same path as the national prices. Moody's further assume a 5% linear increase in the unemployment rate over 30 months, remaining at the elevated level for next 30 months and then dropping back to the unemployment rate at the time of analysis by month 180. Interest rates remain flat, which is a stress scenario in a severe home price decline and increasing unemployment. The interest rate that a lender charges a borrower is a strong indicator of risk; lenders generally charge a risk premium consistent with a borrower's credit risk. Historically, the spread between a borrower's mortgage rate and the prevailing interest rate charged to borrowers is statistically as predictive of a borrower's relative probability of default (PD) as is the FICO score. Hence, in addition to other loan characteristics (such as the FICO score, loan-to-value (LTV) ratio, loan term, documentation, occupancy, property type, loan purpose, interest and principal payment term, seasoning, property value, prepayment penalty term and mortgage rate), Moody's US MILAN model is also sensitive to the credit spread at lock-in and credit spread on the first payment date. A higher credit spread at the time the mortgage rate was locked in signals an increase in the borrower's PD. A higher credit spread on the first payment date increases the propensity to prepay, and hence reduces the borrower's default risk. Although the collateral in this transaction has consistent overall characteristics to the mortgage loans in CAS 2017-C03, Moody's loss expectation is higher. The main driver for the increase in loss expectation is the credit spread at the first payment date. 33% of the mortgage loans in the CAS 2017-C05 transaction had a first payment date in January and February 2017. The mortgage rate hike that occurred in January 2017 increased the PDs for the loans with first payment dates in January and February 2017 because there is a decrease in the propensity of prepay. Collateral Analysis The reference pool consists of 174,672 loans that meet specific eligibility criteria, which limits the pool to first lien, fixed rate, fully amortizing loans with an original term of 241-360 months and LTVs that range between 60% and 80% on one to four unit properties, PUDs, Condos, Co-ops and manufactured housing. Overall, the reference pool is of prime quality. The credit positive aspects of the pool include borrower, loan and geographic diversification, and a high weighted average FICO of 752. There are no interest-only (IO) loans in the reference pool and all of the loans are underwritten to full documentation standards. Structural Considerations Moody's took structural features such as the principal payment waterfall of the notes, a 12.5-year bullet maturity, performance triggers, as well as the allocation of realized losses and modification losses into consideration in Moody's cash flow analysis. The final structure for the transaction reflects consistent credit enhancement levels available to the notes per the term sheet provided for the provisional ratings. For modification losses, Moody's has taken into consideration the level of rate modifications based on the projected defaults, the weighted average coupon of the reference pool (3.76%), and compared that with the available credit enhancement on the notes, the coupon and the accrued interest amount of the most junior bonds. The Class 1B-1, Class 1B-1H and Class 1B-2H reference tranches collectively represent 1.00% of the pool. The notes are direct, unsecured obligations of Fannie Mae, and as such investors are exposed to the credit risk of Fannie Mae (Aaa stable). The notes are not guaranteed by, nor are they obligations of the United States Government. The terms of the transaction obligate Fannie Mae to retire the notes in January 2030 if any balances remain outstanding. Note holders are not entitled to receive any cash from the mortgage loans in the reference pool. The funds used to make monthly payments on the CAS notes come from Fannie Mae's general corporate funds. As a result, there is no trustee or trust account in CAS transactions. The timing and amount of principal and interest that Fannie Mae is obligated to pay on the notes reflects the performance of the mortgage loans in the reference pool. Fannie Mae will only make principal payments on the original notes based on the scheduled and unscheduled principal payments that it actually collects on the reference pool mortgages. Losses are similarly allocated based on the performance of loans in the reference pool. Unlike previous CAS transactions rated by Moody's, write-downs allocated to the notes in CAS 2017-C05 are directly tied to the actual realized and modification losses on loans in the reference pool, and not determined by a pre-set loss severity schedule. Furthermore, credit events in CAS 2017-C05 occur when a short sale is settled, when the related mortgaged property is sold to a third party during the foreclosure process, when an REO disposition occurs, when a mortgage note sale is executed on a seriously delinquent loan prior to foreclosure or when the related mortgage note is charged-off. This differs from CAS 2015-C03 and earlier securitizations, where credit events occur as early as when a reference obligation is 180 or more days delinquent. The transaction is not exposed to losses from extraordinary expenses or indemnification costs of the key transaction parties. This is because any indemnification expenses incurred by the global agent/exchange administrator are obligations of Fannie Mae only and will not reduce the CAS notes. There is no trustee or trust accounts in the transaction because the notes are direct, unsecured obligation of Fannie Mae. Methodology The principal methodology used in these ratings was "Moody's Approach to Rating US Prime RMBS," published in February 2015. Additionally, the methodology used in rating Cl. 1A-I1, Cl. 1A-I2, Cl. 1A-I3, Cl. 1A-I4, Cl. 1B-I1, Cl. 1B-I2, Cl. 1B-I3, Cl. 1B-I4, Cl. 1-X1 Cl. 1-X2, Cl. 1-X3, and Cl. 1-X4, was "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. While assessing the ratings on this transaction, Moody's did not deviate from its published methodology. The severities for this transaction were estimated using the data on Fannie Mae's actual loss severities. In addition, Moody's publishes a weekly summary of structured finance credit ratings and methodologies, available to all registered users of Moody's website, www.moodys.com/SFQuickCheck. Reps and Warranties Fannie Mae is not providing loan level reps and warranties (RWs) for this transaction because the notes are a direct obligation of Fannie Mae. Fannie Mae commands robust RWs from its seller/servicers pertaining to all facets of the loan, including but not limited to compliance with laws, compliance with all underwriting guidelines, enforceability, good property condition and appraisal procedures. To the extent that a lender repurchases a loan or indemnifies Fannie Mae discovers as a result of an confirmed underwriting eligibility defect in the reference pool, prior months' credit events will be reversed. Moody's expected credit event rate takes into consideration historic repurchase rates. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. As an unsecured general obligation of Fannie Mae, the ratings on the notes depend on the rating of Fannie Mae, which Moody's currently rates Aaa (stable). CPS AUTO 2017-C: DBRS Assigns Prov. BB Rating to Class E Debt ------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following classes issued by CPS Auto Receivables Trust 2017-C (CPS 2017-C): -- $105,800,000 Series 2017-C, Class A rated AAA (sf) -- $35,075,000 Series 2017-C, Class B rated AA (sf) -- $31,050,000 Series 2017-C, Class C rated A (sf) -- $27,600,000 Series 2017-C, Class D rated BBB (sf) -- $25,300,000 Series 2017-C, Class E rated BB (sf) The ratings are based on DBRS's review of the following analytical considerations: -- Transaction capital structure, proposed ratings and form and sufficiency of available credit enhancement. -- Credit enhancement is in the form of overcollateralization, subordination, amounts held in the reserve fund and excess spread. Credit enhancement levels are sufficient to support the DBRS-projected expected cumulative net loss assumption under various stress scenarios. -- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the rating addresses the payment of timely interest on a monthly basis and the payment of principal by the legal final maturity date. -- The capabilities of Consumer Portfolio Services, Inc. (CPS) with regard to originations, underwriting and servicing. -- DBRS has performed an operational review of CPS and considers the entity to be an acceptable originator and servicer of subprime automobile loan contracts with an acceptable backup servicer. -- The CPS senior management team has considerable experience and a successful track record within the auto finance industry, having managed the company through multiple economic cycles. -- The quality and consistency of provided historical static pool data for CPS originations and performance of the CPS auto loan portfolio. -- The May 29, 2014 settlement of the Federal Trade Commission (FTC) inquiry relating to allegedly unfair trade practices. -- CPS paid imposed penalties and restitution payments to consumers. -- CPS has made considerable improvements to the collections process, including management changes, upgraded systems and software as well as implementation of new policies and procedures focused on maintaining compliance. -- CPS will be subject to ongoing monitoring of certain processes by the FTC. -- The legal structure and presence of legal opinions that address the true sale of the assets to the Issuer, the non- consolidation of the special-purpose vehicle with CPS, that the trust has a valid first-priority security interest in the assets and the consistency with DBRS's “Legal Criteria for U.S. Structured Finance” methodology. The CPS 2017-C transaction represents the 26th securitization completed by CPS since 2010 and will offer both senior and subordinate rated securities. The receivables securitized in CPS 2017-C will be subprime automobile loan contracts secured primarily by used automobiles, light-duty trucks, vans and minivans. The rating on the Class A Note reflects the 55.00% of initial hard credit enhancement provided by the subordinated notes in the pool (51.75%), the Reserve Account (1.00%) and overcollateralization (2.25%). The ratings on the Class B, Class C, Class D and Class E Notes reflect 39.75%, 26.25%, 14.25% and 3.25% of initial hard credit enhancement, respectively. Additional credit support may be provided from excess spread available in the structure. CPS AUTO 2017-C: S&P Assigns BB-Rating on Class E Notes ------------------------------------------------------- S&P Global Ratings assigned its ratings to CPS Auto Receivables Trust 2017-C's $224.825 million asset-backed notes. The note issuance is an asset-backed securities transaction backed by subprime auto loan receivables. The ratings reflect: -- The availability of approximately 57.54%, 49.36%, 40.7 31.76%, and 25.22% of credit support for the class A, B, C, D, and E notes, respectively, based on st1%, ressed cash flow scenarios (including excess spread). These credit support levels provide coverage of approximately 3.10x, 2.60x, 2.10x, 1.60x, and 1.23x our 18.00-19.00% expected cumulative net loss range for the class A, B, C, D, and E notes, respectively. Additionally, credit enhancement including excess spread for classes A, B, C, D, and E covers breakeven cumulative gross losses of approximately 93%, 80%, 68%, 53%, and 42%, respectively. -- S&P said, "Our expectation that, under a moderate stress scenario of 1.60x our expected net loss level and all else equal, the ratings on the class A, B, and C notes would remain within one rating category while they are outstanding, and the rating on the class D notes would not decline by more than two rating categories within its life. The rating on the class E notes would remain within two rating categories during the first year, but the class would eventually default under the 'BBB' stress scenario after receiving 35%-56% of its principal. These rating migrations are consistent with our credit stability criteria (see "Methodology: Credit Stability Criteria," published May 3, 2010)." -- The rated notes' underlying credit enhancement in the form of subordination, overcollateralization, a reserve account, and excess spread for the class A, B, C, D, and E notes. -- The timely interest and principal payments made to the rated notes under S&P's stressed cash flow modeling scenarios, which it believes are appropriate for the assigned ratings. -- The transaction's payment and credit enhancement structure, which includes a noncurable performance trigger. RATINGS ASSIGNED CPS Auto Receivables Trust 2017-C Class Rating Type Interest Amount rate (mil. $) A AAA (sf) Senior Fixed 105.800 B AA (sf) Subordinate Fixed 35.075 C A (sf) Subordinate Fixed 31.050 D BBB (sf) Subordinate Fixed 27.600 E BB- (sf) Subordinate Fixed 25.300 CSFB MORTGAGE 2004-C4: Moody's Affirms 'C' Ratings on 2 Tranches ---------------------------------------------------------------- Moody's Investors Service upgraded the ratings on one class and affirmed the ratings on four classes in CSFB Mortgage Securities Corp. Commercial Mtge Pass-Through Ctfs. 2004-C4: Cl. E, Affirmed Aaa (sf); previously on Sep 15, 2016 Upgraded to Aaa (sf) Cl. F, Upgraded to Baa3 (sf); previously on Sep 15, 2016 Affirmed B1 (sf) Cl. G, Affirmed C (sf); previously on Sep 15, 2016 Affirmed C (sf) Cl. A-X, Affirmed C (sf); previously on Jun 9, 2017 Downgraded to C (sf) Cl. A-Y, Affirmed Aaa (sf); previously on Sep 15, 2016 Affirmed Aaa (sf) RATINGS RATIONALE The rating on P&I class E 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 P&I class F was upgraded based primarily on an increase in credit support resulting from loan paydowns and amortization. The deal has paid down 22% since Moody's last review. The rating on P&I class G was affirmed because the ratings are consistent with Moody's expected loss plus realized losses. Class G has already experienced a 39% realized loss as a result of previously liquidated loans. The rating on IO class A-X was affirmed based on the credit quality of the referenced classes. The rating on IO class A-Y was affirmed based on the credit quality of the referenced loans. Moody's rating action reflects a base expected loss of 0.0% of the current pooled balance, unchanged from Moody's last review. Moody's does not anticipate losses from the remaining collateral in the current environment. However, over the remaining life of the transaction, losses may emerge from macro stresses to the environment and changes in collateral performance. Moody's ratings reflect the potential for future losses under varying levels of stress. Moody's base expected loss plus realized losses is now 3.9% of the original pooled balance, unchanged from the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The 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. A-X and Cl. A-Y was "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. DEAL PERFORMANCE As of the July 15, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 98% to $24.9 million from $1.14 billion at securitization. The certificates are collateralized by 15 mortgage loans ranging in size from less than 1% to 29% of the pool. Ten residential cooperative (co-op) loans, constituting 29% of the pool, have aaa (sca.pd) structured credit assessments. Nine of the properties are located in New York and one is located in New Jersey. Two loans, constituting 56% 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 two, the same as at Moody's last review. Four loans, constituting 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. Fourteen loans have been liquidated from the pool, contributing to an aggregate realized loss of $44 million (for an average loss severity of 25%). Moody's weighted average conduit LTV is 55%, compared to 46% 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 39% 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 1.29X and 4.08X, respectively, compared to 1.44X and 3.62X 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 15% of the pool balance. The largest loan is the ATYS Industrial Building Loan ($2.6 million -- 10.6% of the pool), which is secured by a 98,000 square foot (SF) industrial building located in Centerville, Tennessee. The property is 100% leased to Agrana Fruit US, Inc. through February 2019 on a triple net lease. Due to the single tenant exposure, Moody's stressed the value of this property utilizing a lit/dark analysis. Moody's LTV and stressed DSCR are 74% and 1.31X, respectively, compared to 65% and 1.50X at the last review. The second largest loan is the Diamond Bar Plaza Loan ($639,071 -- 2.6% of the pool), which is secured by a 36,000 SF retail center located in Diamond Bar, California. The property was 95% leased at year-end 2016. Moody's LTV and stressed DSCR are 12% and 8.44X, respectively, compared to 18% and 5.78X at the last review. The third largest loan is The Village Apartments Loan ($525,192 -- 2.1% of the pool), which is secured by a 240-unit multifamilty property located in Bartlesville, Oklahoma. The property was 98% leased as of December 2016. Moody's LTV and stressed DSCR are 7.6% and 12.64X, respectively, compared to 11% and 8.74X at the last review. CSMC 2017-HL1: Fitch Corrects June 19 Release --------------------------------------------- Fitch Ratings issued a correction of a press release originally published on June 19, 2017. It includes reference to Fitch's criteria report 'US RMBS Loan Loss Model Criteria'. This transaction was originally rated in accordance with this criteria. The revised press release is as follows: Fitch Ratings expects to rate CSMC 2017-HL1 Trust (CSMC 2017-HL1): -- $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'. CSMC 2017-HL1: Fitch Corrects June 29 Release --------------------------------------------- Fitch Ratings issued a correction of a press release originally published on June 29, 2017. It includes reference to Fitch's criteria report 'US RMBS Surveillance and Re-REMIC Criteria.' This transaction was originally rated in accordance with this criteria. The corrected press release is as follows: Fitch Ratings rates CSMC 2017-HL1 Trust (CSMC 2017-HL1): -- $429,742,000 class A-1 exchangeable certificates 'AAAsf'; Outlook Stable; -- $429,742,000 class A-2 exchangeable certificates 'AAAsf'; Outlook Stable; -- $322,306,000 class A-3 certificates 'AAAsf'; Outlook Stable; -- $322,306,000 class A-4 exchangeable certificates 'AAAsf'; Outlook Stable; -- $21,487,000 class A-5 certificates 'AAAsf'; Outlook Stable; -- $21,487,000 class A-6 exchangeable certificates 'AAAsf'; Outlook Stable; -- $85,949,000 class A-7 certificates 'AAAsf'; Outlook Stable; -- $85,949,000 class A-8 exchangeable certificates 'AAAsf'; Outlook Stable; -- $48,788,000 class A-9 certificates 'AAAsf'; Outlook Stable; -- $48,788,000 class A-10 exchangeable certificates 'AAAsf'; Outlook Stable; -- $343,793,000 class A-11 exchangeable certificates 'AAAsf'; Outlook Stable; -- $107,436,000 class A-12 exchangeable certificates 'AAAsf'; Outlook Stable; -- $343,793,000 class A-13 exchangeable certificates 'AAAsf'; Outlook Stable; -- $107,436,000 class A-14 exchangeable certificates 'AAAsf'; Outlook Stable; -- $478,530,000 class A-IO1 notional certificates 'AAAsf'; Outlook Stable; -- $429,742,000 class A-IO2 notional exchangeable certificates 'AAAsf'; Outlook Stable; -- $322,306,000 class A-IO3 notional exchangeable certificates 'AAAsf'; Outlook Stable; -- $21,487,000 class A-IO4 notional exchangeable certificates 'AAAsf'; Outlook Stable; -- $85,949,000 class A-IO5 notional exchangeable certificates 'AAAsf'; Outlook Stable; -- $48,788,000 class A-IO6 notional exchangeable certificates 'AAAsf'; Outlook Stable; -- $7,837,000 class B-1 certificates 'AAsf'; Outlook Stable; -- $8,848,000 class B-2 certificates 'Asf'; Outlook Stable; -- $5,055,000 class B-3 certificates 'BBBsf'; Outlook Stable; -- $2,276,000 class B-4 certificates 'BBsf'; Outlook Stable; -- $1,718,000 class B-5 certificates 'Bsf'; Outlook Stable. The following class will not be rated by Fitch: -- $1,314,999 class B-6 certificates. The certificates are supported by one collateral group that consists of 839 prime fixed-rate mortgages (FRMs) acquired by subsidiaries of American International Group, Inc. (AIG) from various mortgage originators with a total balance of approximately $505.58 million of the cut-off date. The 'AAAsf' rating on the class A certificates 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 certificates. 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 74.0% 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. 21.9% of the loans received an 'A' grade, and the remainder were graded 'B' (77.4%) 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 41 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 36.5% 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'. CVP CLO 2017-1: S&P Assigns BB-(sf) Rating on Class E Notes ----------------------------------------------------------- S&P Global Ratings assigned its ratings to CVP CLO 2017-1 Ltd./CVP CLO 2017-1 LLC's $335.75 million floating-rate notes. The note issuance is a collateralized loan obligation transaction backed primarily by broadly syndicated senior secured term loans. The 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. RATINGS ASSIGNED CVP CLO 2017-1 Ltd./CVP CLO 2017-1 LLC Class Rating Amount (mil. $) A AAA (sf) 222.50 B AA (sf) 58.25 C (deferrable) A (sf) 18.50 D (deferrable) BBB (sf) 18.00 E (deferrable) BB- (sf) 18.50 Subordinate notes NR 36.25 NR--Not rated. DENALI CAPITAL XI: Moody's Affirms B2 Rating on Class E Notes ------------------------------------------------------------- Moody's Investors Service has assigned the following ratings to the following notes (the "Refinancing Notes") issued by Denali Capital CLO XI, Ltd.: US$253,500,000 Class A-1-R Senior Secured Floating Rate Notes Due 2027 (the "Class A-1-R Notes"), Assigned Aaa (sf) US$41,220,000 Class A-2-R Senior Secured Floating Rate Notes Due 2027 (the "Class A-2-R Notes"), Assigned Aa1 (sf) US$27,410,000 Class B-R Senior Secured Deferrable Floating Rate Notes Due 2027 (the "Class B-R Notes"), Assigned A1 (sf) Additionally, Moody's has taken rating actions on the following outstanding notes issued by the Issuer on the original issuance date (the "Original Closing Date"): US$24,600,000 Class C Senior Secured Deferrable Floating Rate Notes due 2027 (the "Class C Notes"), Upgraded to Baa2 (sf); previously on March 25, 2015 Definitive Rating Assigned Baa3 (sf) US$21,960,000 Class D Senior Secured Deferrable Floating Rate Notes due 2027 (the "Class D Notes"), Affirmed Ba3 (sf); previously on March 25, 2015 Definitive Rating Assigned Ba3 (sf) US$7,910,000 Class E Senior Secured Deferrable Floating Rate Notes due 2027 (the "Class E Notes"), Affirmed B2 (sf); previously on March 25, 2015 Definitive Rating Assigned B2 (sf) The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of senior secured, broadly syndicated corporate loans. Crestline Denali Capital, L.P. (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 July 20, 2017 (the "Refinancing Date") in connection with the refinancing of certain classes of notes (the "Refinanced Original Notes") previously issued on the Original Closing Date. On the Refinancing Date, the Issuer used the proceeds from the issuance of the Refinancing Notes to redeem in full the Refinanced Original Notes. Moody's rating actions on the Class C Notes, Class D Notes, and Class E Notes are primarily a result of the refinancing, which increases excess spread available as credit enhancement to the rated notes. Additionally, Moody's expects the Issuer to continue to benefit from a portfolio weighted average recovery rate (WARR) level that is higher than the covenanted test level. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in October 2016. Factors That Would Lead to an Upgrade or a Downgrade of the Ratings: The performance of each class of the Issuer's notes is subject to uncertainty relating to certain factors and circumstances, and this uncertainty could lead to either an upgrade or downgrade of Moody's ratings: 1) Macroeconomic uncertainty: CLO performance is subject to uncertainty about credit conditions in the general economy. 2) Collateral Manager: Performance can also be affected positively or negatively by a) the Manager's investment strategy and behavior and b) differences in the legal interpretation of CLO documentation by the Manager or other transaction parties owing to embedded ambiguities. 3) Collateral credit risk: Investing in collateral of better credit quality, or better than Moody's expected credit performance of the assets collateralizing the transaction can lead to positive CLO performance. Conversely, a negative shift in the credit quality or performance of the collateral can have adverse consequences for CLO performance. 4) Deleveraging: During the amortization period, the pace of deleveraging from unscheduled principal proceeds is an important source of uncertainty. Deleveraging of the CLO could accelerate owing to high prepayment levels in the loan market and/or collateral sales by the Manager, which could have a significant impact on the ratings. Note repayments that are faster than Moody's current expectations will usually have a positive impact on CLO notes, beginning with those notes having the highest payment priority. 5) Recovery of defaulted assets: Fluctuations in the market value of defaulted assets could result in volatility in the deal's overcollateralization levels. Further, the timing of recovery realization and whether the Manager decides to work out or sell defaulted assets create additional uncertainty. Realization of recoveries that are either materially higher or lower than assumed in Moody's analysis would impact the CLO positively or negatively, respectively. 6) Weighted average life (WAL): The notes' ratings can be sensitive to the weighted average life assumption of the portfolio, which could lengthen owing to any decision by the Manager to reinvest into new issue loans or loans with longer maturities, or participate in amend-to-extend offerings. Life extension can increase the default risk horizon and assumed cumulative default probability of CLO collateral. 7) Weighted Average Spread (WAS): CLO performance can be sensitive to WAS, which is a key factor driving the amount of excess spread available as credit enhancement when a deal fails its over-collateralization or interest coverage tests. A decrease in excess spread, including as a result of losing the net interest benefit of LIBOR floors, or because market conditions make it difficult for the deal to source assets of appropriate credit quality in order to maintain its WAS target, would reduce the effective credit enhancement available for the notes. Together with the set of modeling assumptions described below, Moody's conducted additional sensitivity analyses, which were considered in determining the ratings assigned to the rated notes. In particular, in addition to the base case analysis, Moody's conducted sensitivity analyses to test the impact of a number of default probabilities on the rated notes relative to the base case modeling results. Below is a summary of the impact of different default probabilities, expressed in terms of WARF level, on the rated notes (shown in terms of the number of notches difference versus the base case model output, where a positive difference corresponds to a lower expected loss): Moody's Assumed WARF - 20% (2362) Class A-1-R: 0 Class A-2-R: 0 Class B-R: +2 Class C: +3 Class D: +1 Class E: +1 Moody's Assumed WARF + 20% (3544) Class A-1-R: 0 Class A-2-R: -1 Class B-R: -2 Class C: -1 Class D: -1 Class E: -3 Loss and Cash Flow Analysis: Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score, weighted average recovery rate, and weighted average spread, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions Performing par and principal proceeds balance: $399,128,926 Defaulted par: $0 Diversity Score: 72 Weighted Average Rating Factor (WARF): 2953 (corresponding to a weighted average default probability of 24.14%) Weighted Average Spread (WAS): 3.85% Weighted Average Recovery Rate (WARR): 49.74% Moody's incorporates the default and recovery properties of the collateral pool in cash flow model analysis where they are subject to stresses as a function of the target rating on each CLO liability reviewed. Moody's derives the default probability from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate for future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and the collateral manager's latitude for trading the collateral are also factors. DRIVE AUTO 2017-2: S&P Gives Prelim. BB Rating on Class E Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Drive Auto Receivables Trust 2017-2's $947.89 million automobile receivables-backed notes series 2017-2). The note issuance is an asset-backed securities transaction backed by subprime auto loan receivables. The preliminary ratings are based on information as of July 20, 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%, 48.9%, 39.1% and 36.4% 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 our 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 are appropriate to the assigned preliminary ratings. -- The expectation that under a moderate ('BBB') stress scenario (1.35x our expected loss level), all else being equal, our ratings on the class A and B notes ('AAA (sf)' and 'AA (sf)', respectively) will remain at the assigned preliminary ratings, our rating on the class C notes ('A (sf)') will remain within one category of the assigned preliminary rating, and our 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%-90% of their principal. These rating movements are within the limits specified by our credit stability criteria (see "Methodology: Credit Stability Criteria," published May 3, 2010). -- 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 2017-2 Class Rating Type Interest Amount rate (mil. $) A-1 A-1+ (sf) Senior Fixed 118.00 A-2-A AAA (sf) Senior Fixed 103.00 A-2-B AAA (sf) Senior Float 103.00 A-3 AAA (sf) Senior Fixed 96.79 B AA (sf) Subordinate Fixed 135.76 C A (sf) Subordinate Fixed 177.07 D BBB (sf) Subordinate Fixed 159.96 E BB (sf) Subordinate Fixed 54.31 DUNCANNON CRE CDO I: S&P Lowers Ratings on 4 Tranches to Dsf ------------------------------------------------------------ S&P Global Ratings lowered to 'D (sf)' its credit ratings on Duncannon CRE CDO I PLC's class D2 Def, D3 Def, E1 Def, and E2 Def notes. S&P has subsequently withdrawn, effective in 30 days' time, its ratings on these classes of notes. On the June 2017 interest payment date, principal losses were applied to the class D2 Def, D3 Def, E1 Def, and E2 Def notes. This follows an extraordinary resolution passed by the noteholders of the controlling class in May 2017, to terminate the transaction. Principal losses have been applied to the class D2 Def, D3 Def, E1 Def, and E2 Def notes. S&P said, "We have therefore lowered to 'D (sf)' from 'CCC (sf)' our ratings on the class D2 Def and D3 Def notes, and to 'D (sf)' from 'CCC- (sf)' our ratings on the class E1 Def and E2 Def notes. This is in line with our criteria (see "Timeliness Of Payments: Grace Periods, Guarantees, And Use Of 'D' And 'SD' Ratings," published on Oct. 24, 2013). "We have subsequently withdrawn, effective in 30 days' time, our ratings on all remaining classes of notes." Duncannon CRE CDO I is a commercial real estate collateralized debt obligation (CDO) transaction that closed in 2007. RATINGS LIST Duncannon CRE CDO I PLC EUR810 mil senior and mezzanine deferrable-interest floating- rate notes Rating Class Identifier To From D2 Def 265082AH0 D (sf) CCC (sf) D3 Def 265082AJ6 D (sf) CCC (sf) E1 Def 265082AK3 D (sf) CCC- (sf) E2 Def 265082AL1 D (sf) CCC- (sf) ELEVATION CLO 2017-6: Moody's Assigns B3(sf) Rating to Cl. F Notes ------------------------------------------------------------------ Moody's Investors Service has assigned ratings to seven classes of notes issued by Elevation CLO 2017-6, Ltd. Moody's rating action is: US$288,000,000 Class A-1 Senior Secured Floating Rate Notes due 2029 (the "Class A-1 Notes"), Definitive Rating Assigned Aaa (sf) US$13,500,000 Class A-2 Senior Secured Floating Rate Notes due 2029 (the "Class A-2 Notes"), Definitive Rating Assigned Aaa (sf) US$40,500,000 Class B Senior Secured Floating Rate Notes due 2029 (the "Class B Notes"), Definitive Rating Assigned Aa2 (sf) US$27,000,000 Class C Secured Deferrable Floating Rate Notes due 2029 (the "Class C Notes"), Definitive Rating Assigned A2 (sf) US$24,750,000 Class D Secured Deferrable Floating Rate Notes due 2029 (the "Class D Notes"), Definitive Rating Assigned Baa3 (sf) US$20,250,000 Class E Secured Deferrable Floating Rate Notes due 2029 (the "Class E Notes"), Definitive Rating Assigned Ba3 (sf) US$9,000,000 Class F Secured Deferrable Floating Rate Notes due 2029 (the "Class F Notes"), Definitive Rating Assigned 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." 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. Elevation CLO 2017-6 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 purchased with principal proceeds, and up to 10% of the portfolio may consist of senior unsecured loans, second lien loans, and first-lien last-out loans. The portfolio is approximately 80% ramped as of the closing date. 325 Fillmore 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: $450,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 2774 Weighted Average Spread (WAS): 3.60% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 47.0% Weighted Average Life (WAL): 8.2 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 2774 to 3190) Rating Impact in Rating Notches Class A-1 Notes: 0 Class A-2 Notes: -1 Class B Notes: -2 Class C Notes: -2 Class D Notes: -1 Class E Notes: 0 Class F Notes: -1 Percentage Change in WARF -- increase of 30% (from 2774 to 3606) Rating Impact in Rating Notches Class A-1 Notes: -1 Class A-2 Notes: -3 Class B Notes: -3 Class C Notes: -4 Class D Notes: -2 Class E Notes: -1 Class F Notes: -3 FIRST INVESTORS 2017-2: S&P Assigns BB- Rating on Class E Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to First Investors Auto Owner Trust 2017-2's $226.43 million asset-backed notes. The note issuance is an asset-backed securities (ABS) transaction backed by subprime auto loan receivables. The ratings reflect: -- The availability of approximately 38.3%, 33.6%, 26.3%, 20.5%, and 15.9% credit support for the class A, B, C, D, and E notes, respectively, based on stressed cash flow scenarios (including excess spread). These credit support levels provide approximately 3.50x, 3.00x, 2.30x, 1.75x, and 1.40x coverage of our 10.25%-10.75% expected cumulative net loss (CNL) range for the class A, B, C, D, and E notes, respectively. -- The timely interest and principal payments made under stressed cash flow modeling scenarios that are appropriate for the ratings. -- S&P's expectation that under a moderate ('BBB') stress scenario, all else being equal, the ratings on the class A, B, and C notes would not drop by more than one rating category, and the rating on the class D notes would not drop by more than two rating categories within the first year. These potential rating movements are consistent with our rating stability criteria (see "Methodology: Credit Stability Criteria," published May 3, 2010). -- The collateral characteristics of the pool being securitized with direct loans accounting for approximately 23% of the cut-off pool. These loans historically have lower losses than the indirect-originated loans. -- Prefunding will be used in this transaction in the amount of $25.0 million, which is approximately 11% of the pool. The subsequent receivables, which amount to approximately 17%-23% of the company's 2016 quarterly origination volume, are expected to be transferred into the trust within three months from the closing date. -- First Investors Financial Services Inc.'s (First Investors') 28-year history of originating and underwriting auto loans, and 17-year history of self-servicing auto loans, as well as its track record of securitizing auto loans since 2000. -- First Investors' 13 years of origination static pool data, segmented by direct and indirect loans. -- Wells Fargo Bank N.A.'s experience as the committed back-up servicer. -- The transaction's sequential payment structure, which builds credit enhancement based on a percentage of receivables as the pool amortizes. RATINGS ASSIGNED First Investors Auto Owner Trust 2017-2 Class Rating Type Interest Amount rate (mil. $) A-1 AAA (sf) Senior Fixed 130.00 A-2 AAA (sf) Senior Fixed 33.44 B AA (sf) Subordinate Fixed 14.10 C A (sf) Subordinate Fixed 20.40 D BBB (sf) Subordinate Fixed 16.50 E BB- (sf) Subordinate Fixed 11.99 FIRST UNION 1999-C1: Moody's Affirms C Rating on Class IO-1 Certs ----------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on two classes in First Union Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 1999-C1:. Cl. G, Affirmed Caa1 (sf); previously on Sep 8, 2016 Upgraded to Caa1 (sf) Cl. IO-1, Affirmed C (sf); previously on Jun 9, 2017 Downgraded to C (sf) RATINGS RATIONALE The rating on the P&I class G 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, IO-1 was affirmed based on the credit quality of the referenced classes. Moody's rating action reflects a base expected loss of 15.2% of the current pooled balance, the same as at Moody's last review. Moody's base expected loss plus realized losses is now 3.6% of the original pooled balance, compared to 3.7% 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 "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in October 2015, and "Moody's Approach to Rating Credit Tenant Lease and Comparable Lease Financings" published in October 2016. Additionally, the methodology used in rating Cl. IO-1 was "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. DEAL PERFORMANCE As of the July 17, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 98% to $29 million from $1.16 billion at securitization. The certificates are collateralized by 25 mortgage loans ranging in size from less than 1% to 15% of the pool, with the top ten loans (excluding defeasance) constituting 59% of the pool. Five loans, constituting 29% of the pool, have defeased and are secured by US government securities. The pool contains a Credit Tenant Lease (CTL) component that includes 18 loans, representing 60% 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 11, compared to 14 at Moody's last review. Two loans, constituting 10% 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 loans have been liquidated from the pool, resulting in an aggregate realized loss of $38 million (for an average loss severity of 35%). One loan, the Comcast Data Center loan ($318,207 -- 1.1% of the pool), is currently in special servicing. The loan is fully amortizing and is secured by an office property in East Goshen, Pennsylvania. The property is fully leased to Comcast for the remainder of the loan tem. The loan transferred to special servicing in May 2016 for delinquent payments. Moody's received full year 2016 operating results for 100% of the pool, and full or partial year 2017 operating results for 90% of the pool (excluding specially serviced and defeased loans). The top performing loan represents 10% of the pool balance. The loan is the Ridgewood Apartments Loan ($2.9 million -- 10% of the pool), which is secured by a 160-unit multifamily property in Carrboro, North Carolina. The property was 89% occupied as of March 2017, compared to 90% at the prior review. The loan is fully amortizing and has paid down 33% since origination. Moody's LTV and stressed DSCR are 67% and 1.45X, respectively, compared to 61% and 1.59X at prior review. The non-defeased CTL component consists of 18 loans, totaling 60% of the pool, secured by properties leased to six tenants. The largest exposure is Rite Aid Corporation ($9.2 million -- 32% of the pool; senior unsecured rating: B3/Caa1 -- under review -- direction uncertain). Four of the tenants have a Moody's rating and represent 77% of the CTL component balance. The majority (86%) of the CTL loans are not fully amortizing. The bottom-dollar weighted average rating factor (WARF) for this pool is 4133 compared to 3883 at last review. WARF is a measure of the overall quality of a pool of diverse credits. The bottom-dollar WARF is a measure of the default probability within the pool. FLAGSTAR MORTGAGE 2017-1: Fitch to Rate Class B-5 Certs 'Bsf' ------------------------------------------------------------- Fitch Ratings expects to rate Flagstar Mortgage Trust 2017-1 (FSMT 2017-1) as follows: -- $365,858,000 class 1-A-1 exchangeable certificates 'AAAsf'; Outlook Stable; -- $365,858,000 class 1-A-2 exchangeable certificates 'AAAsf'; Outlook Stable; -- $343,419,000 class 1-A-3 exchangeable certificates 'AAAsf'; Outlook Stable; -- $343,419,000 class 1-A-4 exchangeable certificates 'AAAsf'; Outlook Stable; -- $257,564,000 class 1-A-5 exchangeable certificates 'AAAsf'; Outlook Stable; -- $257,564,000class 1-A-6 certificates 'AAAsf'; Outlook Stable; -- $85,855,000 class 1-A-7 exchangeable certificates 'AAAsf'; Outlook Stable; -- $85,855,000 class 1-A-8 certificates 'AAAsf'; Outlook Stable; -- $22,439,000 class 1-A-9 exchangeable certificates 'AAAsf'; Outlook Stable; -- $22,439,000 class 1-A-10 certificates 'AAAsf'; Outlook Stable; -- $365,858,000 class 1-A-X-1 notional certificates 'AAAsf'; Outlook Stable; -- $365,858,000 class 1-A-X-2 notional exchangeable certificates 'AAAsf'; Outlook Stable; -- $343,419,000 class 1-A-X-3 notional exchangeable certificates 'AAAsf'; Outlook Stable; -- $257,564,000 class 1-A-X-4 notional certificates 'AAAsf'; Outlook Stable; -- $85,855,000 class 1-A-X-5 notional certificates 'AAAsf'; Outlook Stable; -- $22,439,000 class 1-A-X-6 notional certificates 'AAAsf'; Outlook Stable; -- $50,195,000 class 2-A-1 exchangeable certificates 'AAAsf'; Outlook Stable; -- $47,116,000 class 2-A-2 certificates 'AAAsf'; Outlook Stable; -- $3,079,000 class 2-A-3 certificates 'AAAsf'; Outlook Stable; -- $50,195,000 class 2-A-X-1 notional certificates 'AAAsf'; Outlook Stable; -- $9,098,000 class B-1 certificates 'AAsf'; Outlook Stable; -- $7,766,000 class B-2 certificates 'Asf'; Outlook Stable; -- $5,326,000 class B-3 certificates 'BBBsf'; Outlook Stable; -- $2,441,000 class B-4 certificates 'BBsf'; Outlook Stable; -- $1,109,000 class B-5 certificates 'Bsf'; Outlook Stable. The following class will not be rated by Fitch: -- $1,997,711 class B-6-C certificates. The notes are supported by two cross collateralized groups that consists of 668 jumbo prime and high-balance conforming, fixed-rate mortgages (FRMs) originated by Flagstar Bank, FSB with a total balance of approximately $443.8 million as of the cut-off date. The 'AAAsf' rating on the class A notes reflects the 6.25% subordination provided by the 2.05% class B-1, 1.75% class B-2, 1.20% class B-3, 0.55% class B-4, 0.25% class B-5 and 0.45% class B-6-C notes. KEY RATING DRIVERS High-Quality Mortgage Pool (Positive): The collateral pool consists of high-quality 30-year and 15-year, fully amortizing high balance conforming and jumbo fixed-rate Safe Harbor Qualified Mortgage (SHQM) loans to borrowers with strong credit profiles and low leverage. The pool has a weighted average (WA) FICO score of 771 and an original combined loan-to-value (CLTV) ratio of 63.5%. The collateral attributes of the pool are generally consistent with recent prime transactions. Tier 3 Representation and Warranty Framework (Concern): Fitch believes the value of the representation and warranty (R&W) framework is diluted by the presence of qualifying and conditional language in conjunction with a prescriptive testing construct, which reduces lender breach liability. While Fitch believes the high-credit-quality pool and clean diligence results mitigate these risks, the weaker framework was considered in the analysis. As a result of the Tier 3 representation, warranty and enforcement (RW&E) framework and financial condition of the R&W provider, the pool received an 84 basis points (bps) probability of default (PD) adjustment at the 'AAAsf' level. 'Average' Originator (Neutral): Based on its review of Flagstar's origination platform, Fitch believes the bank has adequate processes and procedures in place, and views Flagstar's ability to originate and acquire prime loans as 'average.' Approximately 7% of the pool was originated through Flagstar's retail channel, while the remaining loans were originated through brokers (27.1%) and correspondents (66.1%). Fitch believes that Flagstar has robust risk management in place to mitigate any increased risk of loans originated through non-retail channels. In addition, all broker loans and a majority of correspondent loans are non-delegated and underwritten by Flagstar. High Geographic Concentration (Concern): The pool's primary concentration is in California, representing approximately 60% of the pool. Approximately 47.5% of the pool is located in the top three metropolitan statistical areas (MSAs) (Los Angeles, San Francisco and San Jose), with 27.5% located in Los Angeles. Given the pool's high regional concentration, an additional penalty of approximately 8% was applied to the pool's lifetime default expectations. Strong Due Diligence Results (Positive): A loan-level due diligence review was conducted on 100% of the pool in accordance with Fitch's criteria, and focused on credit, compliance and property valuation. All the reviewed loans received a grade of 'A' or 'B', indicating strong underwriting practices and sound quality control procedures. The majority of the 'B' graded loans were due to nonmaterial compliance issues related to TILA-RESPA Integrated Disclosure (TRID) findings, which have all been corrected or cleared/canceled. 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. 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 senior certificates and 0.70% for the subordinate certificates. Leakage from Reviewer Expenses (Concern): The trust is obligated to reimburse the breach reviewer, Inglet Blair, LLC (Inglet Blair), each month for any reasonable out-of-pocket expenses incurred if the company is requested to participate in any arbitration, legal or regulatory actions, proceedings or hearings. These expenses include Inglet Blair's legal fees and other expenses incurred outside its reviewer fee and are not subject to a cap or certificateholder approval. While Fitch accounted for the potential additional costs by upwardly adjusting its loss estimation for the pool, Fitch views this construct as adding potentially more ratings volatility than those that do not have this type of provision. Extraordinary Expense Adjustment (Concern): Extraordinary expenses, which include loan file review costs, arbitration expenses for enforcement of the reps and additional fees of the breach reviewer, will be taken out of available funds and not accounted for in the contractual interest owed to the bondholders. This construct can result in principal and interest shortfalls to the bonds, starting from the bottom of the capital structure. To account for the risk of these noncredit events reducing subordination, Fitch adjusted its loss expectations upward by 35 bps at the 'AAAsf' level. 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 6.1%. 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'. FLAGSTAR MORTGAGE 2017-1: Moody's Gives '(P)B3' Rating to B-5 Debt ------------------------------------------------------------------ Moody's Investors Service has assigned provisional ratings to 25 classes of residential mortgage-backed securities (RMBS) issued by Flagstar Mortgage Trust 2017-1 (FSMT 2017-1). The ratings range from (P)Aaa (sf)-(P)B3 (sf). The certificates are backed by two pools of fixed rate non agency jumbo mortgages (75% of the aggregate pool) and agency eligible high balance conforming residential fixed rate mortgages (25% of the aggregate pool), originated by Flagstar Bank, FSB. Group 1 consists of agency eligible high balance mortgages and non-agency jumbo loans with terms of greater then 15 years. Group 2 consists of 15 year term agency eligible high balance mortgages and non-agency jumbo loans. Flagstar Bank, FSB ("Flagstar") is the servicer of the pool, Wells Fargo Bank, N.A. ("Well Fargo") is the master servicer and Wilmington Trust N.A. will serve as the trustee. Servicing compensation in this transaction is based on a fee-for-service incentive structure similar to the Chase Mortgage Trust 2016-2 transaction. The fee-for-service incentive structure includes an initial base servicing fee of 4 basis points for all performing loans and increases according to certain delinquent and incentive fee schedules. The Class B-6-C (NR) is first in line to absorb any increase in servicing costs above the base servicing costs. Moreover, the transaction does not have a servicing fee cap. The complete rating actions are: Issuer: FLAGSTAR MORTGAGE TRUST 2017-1 Cl. 1-A-1, Assigned (P)Aaa (sf) Cl. 1-A-2, Assigned (P)Aaa (sf) Cl. 1-A-3, Assigned (P)Aaa (sf) Cl. 1-A-4, Assigned (P)Aaa (sf) Cl. 1-A-5, Assigned (P)Aaa (sf) Cl. 1-A-6, Assigned (P)Aaa (sf) Cl. 1-A-7, Assigned (P)Aaa (sf) Cl. 1-A-8, Assigned (P)Aaa (sf) Cl. 1-A-9, Assigned (P)Aa1 (sf) Cl. 1-A-10, Assigned (P)Aa1 (sf) Cl. 1-A-X-1, Assigned (P)Aaa (sf) Cl. 1-A-X-2, Assigned (P)Aaa (sf) Cl. 1-A-X-3, Assigned (P)Aaa (sf) Cl. 1-A-X-4, Assigned (P)Aaa (sf) Cl. 1-A-X-5, Assigned (P)Aaa (sf) Cl. 1-A-X-6, Assigned (P)Aa1 (sf) Cl. 2-A-1, Assigned (P)Aaa (sf) Cl. 2-A-2, Assigned (P)Aaa (sf) Cl. 2-A-3, Assigned (P)Aa1 (sf) Cl. 2-A-X-1, Assigned (P)Aaa (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A3 (sf) Cl. B-3, Assigned (P)Baa3 (sf) Cl. B-4, Assigned (P)Ba3 (sf) Cl. B-5, Assigned (P)B3 (sf) RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Expected cumulative net losses on Group 1 are 0.40% and reach 4.9% at a stress level consistent with Aaa ratings. Expected cumulative net losses for Group 2 are 0.20% and reach 1.5% at a stress level consistent with Aaa ratings. The collateral quality for this transaction, by itself, is consistent with other prime transactions that Moody's has recently rated. The Aaa Moody's Individual Loan Analysis (MILAN) credit enhancement (CE), inclusive of concentration adjustments, is 4.9% for Group 1 and 1.5% for Group 2. Loan-level adjustments included: adjustments to borrower probability of default for higher and lower borrower DTIs, channel of originations, self-employed borrowers, and at a pool level, for the default risk of HOA properties in super lien states. Moody's based the MILAN model on stressed trajectories of home prices, unemployment rates and interest rates, at a monthly frequency over a 10-year period. Collateral Description The FSMT 2017-1 transaction is a securitization of 668 first lien residential mortgage loans with an unpaid principal balance of $443,790,711. This transaction has approximately 8 months seasoned loans, and strong borrower characteristics. The weighted average current FICO score is 775 and the weighted-average combined loan-to-value ratio (CLTV) is 63.4%. 94.2% of the borrowers have more than 24 months' liquid reserves. There are however a relatively high percentage of self-employed borrowers (28%) in the aggregate pool. Flagstar Bank, FSB originated and will service the loans in the transaction. Moody's considers Flagstar an adequate originator and servicer of prime jumbo and conforming mortgages and Moody's loss estimates did not include an adjustment for originator or servicer quality. Third-party Review and Reps & Warranties A third party review (TPR) firms verified the accuracy of the loan-level information that the sponsor gave us. The firm conducted detailed credit, collateral, and regulatory reviews on 100% of the mortgage pool. The TPR results indicated compliance with the originators' underwriting guidelines for the vast majority of loans, no material compliance issues, and no appraisal defects. Flagstar Bank, FSB as the originator, makes the loan-level R&Ws for the mortgage loans. The loan-level R&Ws are strong and, in general, either meet or exceed the baseline set of credit-neutral R&Ws Moody's has identified for US RMBS. Further, R&W breaches are evaluated by an independent third party using a set of objective criteria. Similar to JPMMT transactions, the transaction contains a "prescriptive" R&W framework. The originator makes comprehensive loan-level R&Ws and an independent reviewer will perform detailed reviews to determine whether any R&Ws were breached when loans become 120 days delinquent or the property is liquidated at a loss above a certain threshold. These reviews are prescriptive in that the transaction documents set forth detailed tests for each R&W that the independent reviewer will perform. Moody's did however make an adjustment to Moody's loss levels to incorporate the weaker financial strength of the R&W provider. Servicing Arrangement We consider the overall servicing arrangement for this pool to be adequate. Servicing compensation for loans in this transaction is based on a fee-for-service incentive structure. The fee-for-service incentive structure includes an initial base fee of 0.04% per annum for all performing loans and increases according to certain delinquent and incentive fee schedules. By establishing a base servicing fee for performing loans that increases with the delinquency of loans, the fee-for-service structure aligns monetary incentives to the servicer with the costs of the servicer. The fee-for-service compensation is reasonable and adequate for this transaction. It also better aligns the servicer's costs with the deal's performance and structure. The Class B-6-C (NR) is first in line to absorb any increase in servicing costs above the base servicing costs. Delinquency and incentive fees will be deducted from the Class B-6-C interest payment amount first and could result in interest shortfall to the certificates depending on the magnitude of the delinquency and incentive fees. Trustee and Master Servicer The transaction trustee is Wilmington Trust, N.A. The custodian functions will be performed by Wells Fargo Bank, N.A. The paying agent and cash management functions will be performed by Wells Fargo Bank, N.A., rather than the trustee. In addition, Wells Fargo, as Master Servicer, is responsible for servicer oversight, and termination of servicers and for the appointment of successor servicers. In addition, Wells Fargo is obligated to make servicing advances if the servicer is unable to do so. Moody's assess Wells Fargo as an SQ1 (strong) master servicer of residential loans. Tail Risk & Subordination Floor The transaction cash flows follow a shifting interest structure that allows subordinated bonds to receive principal payments under certain defined scenarios. Because a shifting interest structure allows subordinated bonds to pay down over time as the loan pool shrinks, senior bonds are exposed to increased performance volatility, known as tail risk. The transaction provides for a credit enhancement floor of 1.0% of the closing pool balance, which mitigates tail risk by protecting the senior bonds from eroding credit enhancement over time. Y-Structure with Structural Updates The transaction is structured as a two-group Y-structure similar to certain JPMMT transactions but with certain structural differences relative to previous JPMMT Y-structure transactions. Compared to previous JPMMT Y-structures, the size of the senior credit enhancement floor (1.0%) is substantially lower than previous deals - JPMMT 2016-2 had a senior credit enhancement floor of 2.50% and JPMMT 2016-4 had a senior credit enhancement floor of 2.00%. Lower floors provide less protection against potential tail risk. Exposure to Extraordinary Expenses Extraordinary trust expenses in the FSMT 2017-1 transaction are deducted directly from the available distribution amount. Although some of the expenses are capped ($300,000 per year, out of which amount the Trustee may only be reimbursed in an aggregate amount of $150,000), the unpaid amount will carry forward and constitute trust expenses on all future distribution dates until they are paid in full. Moody's believes there is a very low likelihood that the rated certificates in FSMT 2017-1 will incur any losses from extraordinary expenses or indemnification payments from potential future lawsuits against key deal parties. First, the loans are prime quality, 100 percent Qualified Mortgages and were originated under a regulatory environment that requires tighter controls for originations than pre-crisis, which reduces the likelihood that the loans have defects that could form the basis of a lawsuit. Second, the transaction has reasonably well defined processes in place to identify loans with defects on an ongoing basis. In this transaction, an independent breach reviewer (Inglet Blair, LLC), named at closing must review loans for breaches of representations and warranties when certain clearly defined triggers have been breached which reduces the likelihood that parties will be sued for inaction. Furthermore, the issuer has disclosed the results of a credit, compliance and valuation review of all of the mortgage loans by an independent third party (Clayton Services LLC) . Finally, Moody's sized Moody's credit enhancement assuming some losses on the collateral owing to extraordinary expenses. Factors that would lead to an upgrade or downgrade of the ratings: Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Methodology The principal methodology used in these ratings was "Moody's Approach to Rating US Prime RMBS" published in February 2015. Additionally, the methodology used in rating Cl. 1-A-X-1, Cl. 1-A-X-2, Cl. 1-A-X-3, Cl. 1-A-X-4, Cl. 1-A-X-5, Cl. 1-A-X-6, Cl. 2-A-X-1 was "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. FREDDIE MAC 2017-SC02: Moody's Assigns Ba3 Rating to Cl. M-2 Certs ------------------------------------------------------------------ Moody's Investors Service has assigned definitive ratings to two classes of residential mortgage-backed securities (RMBS) issued by Freddie Mac Whole Loan Securities Trust, Series 2017-SC02 (FWLS 2017-SC02). The ratings range from Baa2 (sf) to Ba3 (sf). The certificates are backed by two pools of fixed-rate super conforming prime residential mortgage loans. The collateral pools consist of loans acquired by Freddie Mac from three sellers (Caliber Home Loans Inc. (93.9%), Wells Fargo Bank, N.A. (3.9%), and Fremont Bank (2.2%)), pursuant to the terms of the Freddie Mac Single-Family Seller/Servicer Guide. Freddie Mac will serve in a number of capacities with respect to the Trust. Freddie Mac will be the Guarantor of the Senior Certificates, Seller, Master Servicer, Master Document Custodian and Trustee. The complete rating actions are: Issuer: Freddie Mac Whole Loan Securities Trust, Series 2017-SC02 Cl. M-1, Definitive Rating Assigned Baa2 (sf) Cl. M-2, Definitive Rating Assigned Ba3 (sf) RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Moody's expected loss on pool 1 average 0.60% in a base-case scenario and reach 8.55% at a stress level consistent with Aaa rating on the senior classes. Moody's expected losses on pool 2 average 0.70% in a base-case scenario and reach 9.20% at a stress level consistent with Aaa rating on the senior classes. Moody's arrived at these expected losses using Moody's MILAN model. Moody's Aaa stress loss for pool 1 is consistent with prime jumbo transactions Moody's has recently rated. The lower FICO scores and higher CLTV on pool 2 contributed to the higher loss expectations on the pool. In Moody's analysis, Moody's considered the observed loss severity trends on Freddie Mac loans. Moody's did not make any adjustments related to servicers and originators' assessments. However, Moody's decreased Moody's base case and Aaa loss expectation by 5% due to the strong representation and warranties provider (Freddie Mac). Collateral Description The FWLS 2017-SC02 transaction is backed by a total of 1,079 fixed-rate super conforming prime residential mortgage loans with a balance of $571,216,035. Pool 1 is backed by 369 loans with a balance of $192,737,311 and pool 2 is backed by 710 loans with a balance of $378,478,723. The collateral pools consist of loans acquired by Freddie Mac from multiple sellers pursuant to the terms of the Freddie Mac Single-Family Seller/Servicer Guide. The weighted average CLTV is 77.8% for the aggregate pool, and 76.1% and 78.7% for pool 1 and pool 2 loans respectively. The weighted average FICO for the aggregate pool is 749, and 752 and 747 for pool 1 and pool 2 loans respectively. Third-Party Review(TPR) Digital Risk, LLC conducted a review of credit, property valuations, regulatory compliance (regulatory compliance was conducted only for loans in the sample which were in states with assignee liability laws and or regulations) and data accuracy checks for 279 mortgage loans (from an initial pool of 1,111 loans). Moody's reviewed the TPR reports and there were no exceptions for credit, property valuations, and regulatory compliance. The data accuracy exceptions were minor and did not pose a material risk. Representations & Warranties (R&Ws) Freddie Mac will make certain representations and warranties with respect to the mortgage loans and will be the only party from which the trust may seek repurchase of a mortgage loan as a result of any material breach that provides for repurchase as a remedy. Freddie Mac's Aaa senior ratings are underpinned by strong government support. Moody's believes that the US Government will stand behind obligations of the government-sponsored enterprises (GSEs).The loan-level R&Ws are strong and, in general, meet the baseline set of credit-neutral R&Ws Moody's has identified for US RMBS. Structural considerations The securitization has a two-pool 'Y' structure that distributes principal on a pro rata basis between the senior and subordinate classes subject to performance triggers, and sequentially amongst the senior and subordinate certificates. The transaction has two distinct features: recoupment of unpaid interest on stop advance loans and shifting certain principal payments, subject to limits, to cover interest shortfalls to the rated subordinate bonds due to interest rate modifications and extra-ordinary expenses. In this transaction, Freddie Mac will stop advancing principal and interest on any real-estate owned (REO) property or loans that are 180 days or more delinquent. This will decrease the amount of interest remitted to the trust and could result in interest shortfalls to the bonds. However, interest accrued but not paid on the stop advance loans will be recovered from the liquidation proceeds (for liquidated loans), borrower payments, modification or repurchases and added to the interest remittance amount. This will result in subsequent recoveries of any interest shortfalls on subordinates bonds in the order of their payment priority. Also, in this transaction, the certificates are exposed to interest shortfalls due to interest rate modifications and extra-ordinary expenses. If the interest accrued on the Class B certificate is insufficient to absorb the reduction in interest amount caused by modification and extra-ordinary expenses, and to the extent that the Class B certificate is outstanding, the transaction allows for certain principal payments (up to subordinate percentage of scheduled principal) to be re-directed to cover interest shortfall to the rated bonds, with a corresponding write-down of Class B principal balance. As a result, before Classes M-1 or M-2 suffer any unrecoverable interest shortfall, the Class B certificate balance has to be reduced to zero. The Class B certificate represents 1% of the collateral. Other Considerations Moody's believe there is a very low likelihood that the rated certificates in FWLS 2017-SC02 will incur any loss from extraordinary expenses or indemnification payments owing to potential future lawsuits against key deal parties. First, the loans are prime quality and were originated under a regulatory environment that requires tighter controls for originations than pre-crisis, which reduces the likelihood that the loans have defects that could form the basis of a lawsuit. Second, Freddie Mac, who guarantees the senior classes and initially retains a 5% vertical slice of the subordinate classes, has a strong alignment of interest with investors, and is incentivized to actively manage the pool to optimize performance. Freddie Mac has strong oversight over the originators and servicers in the transaction. Third, historical performance of loans aggregated by Freddie Mac has been very strong to date, with minimal losses on previously issued FWLS transactions. Fourth, the transaction has reasonably well defined processes in place to identify loans with defects on an ongoing basis. In this transaction, an independent breach reviewer must review loans for breaches of representations and warranties when a loan becomes 180 days delinquent, which reduces the likelihood that parties will be sued for inaction. Furthermore, Freddie Mac is obligated to buy back the first five loans that the reviewer determines have breached the representations and warranties without disagreeing with the findings. Finally, the optional termination rights exist when the collateral balance has paid down to 1% of the original balance, which reduces the likelihood that any significant holdbacks for reserves will occur prior to actually incurring reimbursable expenses. Factors that would lead to an upgrade or downgrade of the ratings: Downgrade Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Upgrade Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Methodology The principal methodology used in these ratings was "Moody's Approach to Rating US Prime RMBS" published in February 2015. GE COMMERCIAL 2002-2: Moody's Affirms Ca Rating on Cl. X-1 Certs ---------------------------------------------------------------- Moody's Investors Service has affirmed the rating on one interest-only class in GE Commercial Mortgage Pass-Through Certificates, Series 2002-2: Cl. X-1, Affirmed Ca (sf); previously on Jun 9, 2017 Upgraded to Ca (sf) RATINGS RATIONALE The rating on the IO class X-1 was affirmed based on the credit quality of the referenced class. Moody's rating action reflects a base expected loss of 58.9% of the current pooled balance. Moody's base expected loss plus realized losses is now 1.2% of the original pooled balance. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING: The 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 rating include a significant amount of loan paydowns or amortization, an increase in defeasance or an improvement in loan performance. Factors that could lead to a downgrade of the rating include a decline in the performance of the loan, an increase in realized and expected losses from specially serviced and troubled loan or interest shortfalls. 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-1 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 analyzing the P&I class in this deal since 100% of the pool is in special servicing. In this approach, Moody's determines a probability of default for each specially serviced and troubled loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss from specially serviced loans to the most junior class and the recovery as a pay down of principal to the most senior class. DEAL PERFORMANCE As of the 11 July, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 99.6% to $4.0 million from $971.8 million at securitization. The certificates are collateralized by one mortgage loan. Six loans have been liquidated from the pool at a loss, contributing to an aggregate realized loss of $9.1 million (for an average loss severity of 13.6%). One loan, constituting 100% of the pool, is currently in special servicing. The specially serviced loan is the Oakwood Shopping Center Loan, which is secured by a 103,000 SF anchored retail center located in Rocky Mount, North Carolina approximately 60 miles east of Raleigh. The property, which was built in 1975 and renovated in 1995, is anchored by a Food Lion with a lease that extends through May 2025. The loan transferred to the special servicer in July 2012 due to imminent maturity default and became REO in April 2014. The property was 61% leased as of December 2016. Moody's estimates an aggregate $2.4 million loss for this loan (59% expected loss). GE COMMERCIAL 2004-C2: Moody's Lowers Class M Certs Rating to Ba1 ----------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on two classes and downgraded the ratings on two classes in GE Commercial Mortgage Corporation, Commercial Mortgage Pass-Through Certificates, Series 2004-C2: Cl. M, Downgraded to Ba1 (sf); previously on Sep 16, 2016 Upgraded to Baa1 (sf) Cl. N, Downgraded to Caa1 (sf); previously on Sep 16, 2016 Upgraded to B3 (sf) Cl. O, Affirmed C (sf); previously on Sep 16, 2016 Affirmed C (sf) Cl. X-1, Affirmed C (sf); previously on Jun 9, 2017 Downgraded to C (sf) RATINGS RATIONALE The ratings on the P&I classes M and N were downgraded due to the deteriorating performance of the pool's two largest loans, Continental Center A-note ($17.5 million -- 64.6% of the pool) and Continental Center B-note ($5.6 million -- 20.8% of the pool) and the risk of interest shortfalls. The rating on P&I class O was affirmed because the rating is consistent with Moody's expected loss. The rating on the IO Class X-1 was affirmed based on the credit quality of the referenced classes. Moody's rating action reflects a base expected loss of 63.1% of the current pooled balance, compared to 42.2% at Moody's last review. Moody's base expected loss plus realized losses is now 1.4% of the original pooled balance, compared to 1.1% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in October 2015. Additionally, the methodology used in rating Cl. X-1 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 class(es) and the recovery as a pay down of principal to the most senior class(es). DEAL PERFORMANCE As of the 10 July, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 98% to $27.1 million from $1.38 billion at securitization. The certificates are collateralized by five mortgage loans ranging in size from 1% to 65% of the pool. Two loans, constituting 4.2% 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 two, compared to three at Moody's last review. Ten loans have been liquidated from the pool, resulting in an aggregate realized loss of $2.3 million (for an average loss severity of 4.8%). Three loans, constituting 96% of the pool, are currently in special servicing. The largest specially serviced loan is the Continental Center -- A note ($17.5 million -- 64.6% of the pool) and the second largest specially serviced loan is the Continental Center -- B note ($5.6 million -- 20.8% of the pool), which are both secured by 477,000 SF, 26-story, Class A office building located in downtown Columbus, Ohio. The property was initially transferred to the special servicer in December 2012 due to imminent monetary default and was subsequently modified via an A-note/B-note split in February 2014. The loan was transferred back to the special servicer in May 2017 due to imminent default due to tenancy issues. The largest tenant, SBC Ameritech (AT&T) plans to downsized significantly at the property and the property's third-largest tenant, Miami Jacobs Career College is planning to close their location. The downsizing and departure of these two tenants will result in an increase in vacancy by approximately 38% of NRA. The property was 79% leased as of December 2016. The third largest specially serviced loan is the Bayshore Plaza ($2.8 million -- 10.4% of the pool), which is secured by a 28,000 SF multi-tenant strip center that is part of a larger neighborhood center. The collateral is shadow anchored by an Ace Hardware and Desert Fitness. The loan transferred to the special servicer in December 2012 for payment default and became REO in September 2013. The property was 88% leased as of March 2017. Moody's estimates an aggregate $17.1 million loss for the specially serviced loans (66% expected loss on average). GMAC COMMERCIAL 1997-C1: Moody's Affirms Csf Rating on Cl. X Debt ----------------------------------------------------------------- Moody's Investors Service has affirmed the rating on one interest only (IO) class of GMAC Commercial Mortgage Securities, Inc. 1997-C1: Cl. X, Affirmed C (sf); previously on Jun 9, 2017 Downgraded to C (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 rating action reflects a base expected loss of 0.2% of the current balance, compared to 0.1% at Moody's last review. Moody's base expected loss plus realized losses is now 3.9% 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 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 July 17, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 99% to $21.3 million from $1.7 billion at securitization. The Certificates are collateralized by eight mortgage loans ranging in size from 4% to 41% of the pool. Three loans, representing 57% of the pool have defeased and are secured by US Government securities. Three loans, representing 31% of the pool, are on the master servicer's watchlist. The watchlist includes loans which 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, Moody's reviews the watchlist to assess which loans have material issues that could impact performance. Twenty-seven loans have been liquidated from the pool, resulting in an aggregate realized loss of $65 million (57% loss severity on average). There are no loans currently in special servicing. Moody's received full year 2015 operating results for 82% of the pool, and full year 2016 operating results for 82% of the pool (excluding specially serviced and defeased loans). The top three performing loans represent 32% of the pool balance. The largest loan is the Morris Heights Apartments Loan ($2.9 million -- 13.3% of the pool), which is secured by a 158 unit multi-family property located in the Bronx, New York. Reported September 2016 occupancy was 99% compared to 97% at the prior review. The loan is fully amortizing and has paid down 38% since securitization. Moody's LTV and stressed DSCR are 22% and >4.00X, respectively, compared to 23% and >4.00X at prior review. The second largest loan is the Medford Center Loan ($2.4 million -- 11.2% of the pool), which is secured by a retail center which is located in Medford, Wisconsin. The property was 96% occupied as of March 2017, the same as at the prior review. The largest tenant, K-Mart which occupies 55% of the GLA announced that this location will be closing by September 2017. Moody's LTV and stressed DSCR are 115% and 0.94X, respectively, compared to 59% and 1.84X at the prior review. The third largest loan is the CarMax Loan ($1.7 million -- 7.9% of the pool), which is secured by a single tenant retail store in Southeast Houston, Texas. The property is 100% occupied by CarMax. The loan is fully amortizing and has paid down 82% since securitization. Moody's LTV and stressed DSCR are 64% and 1.85X, respectively, compared to 45% and 2.67X at the prior review. GRAYSON CLO: Moody's Affirms B2(sf) Rating on Class D Notes ----------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Grayson CLO, Ltd.: US$72,000,000 Class B Floating Rate Senior Secured Deferrable Interest Extendable Notes Due 2021, Upgraded to Aaa (sf); previously on April 06, 2017 Upgraded to Aa2 (sf) Moody's also affirmed the ratings on the following notes: US$111,500,000 Class A-1b Floating Rate Senior Secured Extendable Notes Due 2021 (current outstanding balance of $37,131,165.51), Affirmed Aaa (sf); previously on April 06, 2017 Affirmed Aaa (sf) US$68,000,000 Class A-2 Floating Rate Senior Secured Extendable Notes Due 2021, Affirmed Aaa (sf); previously on April 06, 2017 Affirmed Aaa (sf) US$75,000,000 Class C Floating Rate Senior Secured Deferrable Interest Extendable Notes Due 2021, Affirmed Ba2 (sf); previously on April 06, 2017 Affirmed Ba2 (sf) US$31,000,000 Class D Floating Rate Senior Secured Deferrable Interest Extendable Notes Due 2021 (current outstanding balance of $18,075,525.63), Affirmed B2 (sf); previously on April 06, 2017 Downgraded to B2 (sf) Grayson CLO, Ltd., issued in November 2006, is a collateralized loan obligation (CLO) backed primarily by a portfolio of senior secured loans, with significant exposure to middle market loans. The transaction's reinvestment period ended in November 2013. RATINGS RATIONALE These rating actions are primarily a result of deleveraging of the senior notes and an increase in most of the transaction's over-collateralization (OC) ratios since February 2017. The Class A-1a notes have been paid down completely, by $100.6 million, and the Class A-1b notes have been paid down by approximately 67% or $74.4 million since that time. Based on the trustee's June report, the OC ratios for the Class A, Class B, Class C and Class D notes are reported at 236.12%, 156.17%, 109.71% and 102.37%, respectively, versus February 2017 levels of 162.97%, 129.74%, 107.01% and 102.67%, respectively. Nevertheless, the credit quality of the portfolio has deteriorated. Based on Moody's calculations, the weighted average rating factor is currently 3361 compared to 2972 in February 2017. Additionally, Moody's notes the transaction contains a number of thinly traded or untraded loans, whose lack of liquidity may pose additional risks relating to the issuer's ultimate ability or inclination to pursue a liquidation of such assets, especially if the sales can be transacted only at heavily discounted price levels. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in October 2016. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: This transaction is subject to a number of factors and circumstances that could lead to either an upgrade or downgrade of the ratings: 1) Macroeconomic uncertainty: CLO performance is subject to a) uncertainty about credit conditions in the general economy and b) the large concentration of upcoming speculative-grade debt maturities, which could make refinancing difficult for issuers. 2) Collateral Manager: Performance can also be affected positively or negatively by a) the manager's investment strategy and behavior and b) differences in the legal interpretation of CLO documentation by different transactional parties owing to embedded ambiguities. 3) Collateral credit risk: A shift towards collateral of better credit quality, or better credit performance of assets collateralizing the transaction than Moody's current expectations, can lead to positive CLO performance. Conversely, a negative shift in credit quality or performance of the collateral can have adverse consequences for CLO performance. 4) Deleveraging: An important source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will continue and at what pace. Deleveraging of the CLO could accelerate owing to high prepayment levels in the loan market and/or collateral sales by the manager, which could have a significant impact on the notes' ratings. Note repayments that are faster than Moody's current expectations will usually have a positive impact on CLO notes, beginning with those with the highest payment priority. 5) Recovery of defaulted assets: Fluctuations in the market value of defaulted assets reported by the trustee and those that Moody's assumes as having defaulted could result in volatility in the deal's OC levels. Further, the timing of recoveries and whether a manager decides to work out or sell defaulted assets create additional uncertainty. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. Realization of higher than assumed recoveries would positively impact the CLO. 6) Exposure to credit estimates: The deal contains a large number of securities whose default probabilities Moody's has assessed through credit estimates. Moody's normally updates such estimates at least once annually, but if such updates do not occur, the transaction could be negatively affected by any default probability adjustments Moody's assumes in lieu of updated credit estimates. 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% (2689) Class A-1b: 0 Class A-2: 0 Class B: 0 Class C: +1 Class D: +2 Moody's Adjusted WARF + 20% (4033) Class A-1b: 0 Class A-2: 0 Class B: -1 Class C: 0 Class D: -1 Loss and Cash Flow Analysis: Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. In its base case, Moody's analyzed the collateral pool as having a performing par and principal proceeds balance of $276.9 million, defaulted par of $52.4 million, a weighted average default probability of 21.68% (implying a WARF of 3361), a weighted average recovery rate upon default of 46.31%, a diversity score of 17 and a weighted average spread of 3.16% (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. A material proportion of the collateral pool includes debt obligations whose credit quality Moody's assesses through credit estimates. Moody's analysis reflects adjustments with respect to the default probabilities associated with credit estimates. Specifically, Moody's assumed an equivalent of Caa3 for assets that either do not have credit estimates or those with credit estimates that have not been updated within the last 15 months, which represent approximately 9.37% of the collateral pool. GREEN TREE 1998-3: S&P Lowers Class A-5 Notes Rating to 'D(sf)' --------------------------------------------------------------- S&P Global Ratings lowered its rating to 'D (sf)' from 'CC (sf)' on the class A-5 notes from Green Tree Financial Corp. Manufactured Housing Trust 1998-3, an asset-backed securities transaction backed by manufactured housing loans. S&P subsequently withdrew the rating. The downgrade reflects that this transaction did not make its full principal payment on class A-5 on its final maturity date in July 2017. RATING LOWERED Green Tree Financial Corp. Manufactured Housing Trust 1998-3 Rating Class To From A-5 D (sf) CC (sf) RATING WITHDRAWN Green Tree Financial Corp. Manufactured Housing Trust 1998-3 Rating Class To From A-5 NR D (sf) NR--Not rated. GREYWOLF CLO III: S&P Affirms B(sf) Rating on Class E Notes ----------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1-R, A-2-R, B-R, and C-R replacement notes from Greywolf CLO III Ltd., a U.S. collateralized loan obligation (CLO) originally issued in 2014 that is managed by Greywolf Capital Management L.P. S&P withdrew its ratings on the original class A-1, A-2, B, and C notes following payment in full on the July 24, 2017, refinancing date. At the same time, S&P affirmed its ratings on the original class D and E notes, which were not a part of the refinancing. S&P said, "On the July 24, 2017, refinancing date, the proceeds from the class A-1-R, A-2-R, B-R, and C-R notes were used to redeem the original class A-1, A-2, B, and C notes as outlined in the transaction document provisions. Therefore, we 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. "Our 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 our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches. "The ratings reflect our opinion that the credit support available is commensurate with the associated rating levels. "We will continue to review whether, in our view, the ratings assigned to the transaction remain consistent with the credit enhancement available to support them, and we will take rating actions as we deem necessary." RATINGS ASSIGNED Greywolf CLO III Ltd. Replacement class Rating Amount (mil. $) A-1-R AAA (sf) 385.250 A-2-R AA (sf) 66.000 B-R A (sf) 54.375 C-R BBB (sf) 33.125 RATINGS WITHDRAWN Greywolf CLO III Ltd. Rating Original class To From A-1 NR AAA (sf) A-2 NR AA (sf) B NR A (sf) C NR BBB (sf) RATINGS AFFIRMED Greywolf CLO III Ltd. Class Rating D BB (sf) E B (sf) OUTSTANDING CLASS Greywolf CLO III Ltd. Class Rating Subordinated notes NR NR--Not rated. GS MORTGAGE 2012-GCJ7: Moody's Cuts Rating on Class E Certs to Ba3 ------------------------------------------------------------------ Moody's Investors Service has affirmed the ratings on eight classes and downgraded the ratings on two classes in GS Mortgage Securities Trust 2012-GCJ7, Commercial Mortgage Pass-Through Certificates, Series 2012-GCJ7: Cl. A-4, Affirmed Aaa (sf); previously on Jan 27, 2017 Affirmed Aaa (sf) Cl. A-AB, Affirmed Aaa (sf); previously on Jan 27, 2017 Affirmed Aaa (sf) Cl. A-S, Affirmed Aaa (sf); previously on Jan 27, 2017 Affirmed Aaa (sf) Cl. B, Affirmed Aa3 (sf); previously on Jan 27, 2017 Affirmed Aa3 (sf) Cl. C, Affirmed A3 (sf); previously on Jan 27, 2017 Affirmed A3 (sf) Cl. D, Affirmed Baa3 (sf); previously on Jan 27, 2017 Affirmed Baa3 (sf) Cl. E, Downgraded to Ba3 (sf); previously on Jan 27, 2017 Affirmed Ba2 (sf) Cl. F, Downgraded to Caa1 (sf); previously on Jan 27, 2017 Affirmed B2 (sf) Cl. X-A, Affirmed Aaa (sf); previously on Jan 27, 2017 Affirmed Aaa (sf) Cl. X-B, Affirmed B1 (sf); previously on Jun 9, 2017 Downgraded to B1 (sf) RATINGS RATIONALE The ratings on the P&I classes A-4 through D 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 X-A and X-B were affirmed based on the credit quality of the referenced classes. The ratings on the P&I classes E and F were downgraded due to realized and 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 4.9% of the current balance, compared to 4.1% at Moody's last review. Moody's base expected loss plus realized losses is now 4.2% of the original pooled balance, compared to 3.5% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in December 2014. Additionally, the methodology used in rating Cl. X-A and Cl. X-B was "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. DEAL PERFORMANCE As of the July 10, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 25% to $1.221 billion from $1.623 billion at securitization. The certificates are collateralized by 65 mortgage loans ranging in size from less than 1% to 10% of the pool, with the top ten loans (excluding defeasance) constituting 53% of the pool. Six 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 23, compared to 26 at Moody's last review. Twelve loans, constituting 18% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. One loan has been liquidated from the pool, resulting in a realized loss of $8.4 million (for a loss severity of 36%). Two loans, constituting 4% of the pool, are currently in special servicing. The largest specially serviced loan is the 545 Long Warf Drive Loan ($28.6 million -- 2.3% of the pool), which is secured by a 9-story, Class A office building located in New Haven, Connecticut, overlooking the New Haven Harbor and Long Island Sound. The loan transferred to special servicing in May 2017 due to imminent monetary default. The property's largest tenant, AT&T (71% of the net rental area), vacated at lease-end in April 2017, and this space is currently being advertised for lease. The second largest specially serviced loan is the Fifth Third Center Loan ($16.1 million -- 1.3% of the pool), which is secured by an office tower located in the Central Business District (CBD) of Dayton, Ohio. The loan transferred to special servicing in April 2017 due to maturity default. As of June 2017, the property was 56% occupied, compared to 62% in December 2016, and 80% at securitization. Moody's estimates an aggregate $22 million loss for specially serviced loans (48% expected loss on average). Moody's has assumed a high default probability for six poorly performing loans, constituting 7% of the pool, and has estimated an aggregate loss of $16 million (a 20% expected loss based on a 50% probability default) from these troubled loans. Moody's received full year 2016 operating results for 93% of the pool, and partial year 2017 operating results for 77% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 85%, compared to 88% 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 16% 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 1.60X and 1.31X, respectively, compared to 1.54X and 1.26X 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 24% of the pool balance. The largest loan is the 1155 F Street Loan ($123.0 million -- 10.1% of the pool), which is secured by a Class A, trophy office and retail building located in Washington, D.C. The collateral is also encumbered by $19.9 million of mezzanine debt. As of March 2017, the property was 97% leased, compared to 96% in September 2016. The property's largest tenants include three law firms that make up 63% of the net rentable area (NRA). Moody's LTV and stressed DSCR are 94% and 1.03X, respectively compared to 95% and 1.02X at the last review. The second largest loan is the Columbia Business Center Loan ($86.9 million -- 7.1% of the pool), which is secured by the fee and leasehold interests in an industrial park consisting of 26 buildings, totaling 4.66 million square feet (SF), located along the Columbia River in Vancouver, Washington. Approximately 9% of the NRA is allocated to office use with the remainder used for warehouse and manufacturing purposes. The property was 99% leased as of March 2017, compared to 97% in September 2016. Moody's LTV and stressed DSCR are 92% and 1.36X, respectively, compared to 94% and 1.34X at the last review. The third largest loan is the Bellis Fair Mall Loan ($85.7 million -- 7.0% of the pool), which is secured by a 538,226 SF component of a 776,136 SF single-story, enclosed regional mall located in Bellingham, Washington. The property is approximately 90 miles north of Seattle and 20 miles south of the border with Canada. The mall is anchored by Macy's, Target, Kohl's, J.C. Penney, and Dick's Sporting Goods, with only Macy's and Dick's Sporting Goods being part of the loan collateral. The property is the dominant mall within its trade area and the only enclosed regional mall within the Bellingham and Northwest Washington markets. The closest regional mall competition is 28 miles south of the subject. As of March 2017, the inline space was 66% leased, compared to 67% in December 2016, and 92% in December 2015. Inline sales per square foot (PSF) were $253 for the March 2017 trailing-twelve-month period. Moody's LTV and stressed DSCR are 117% and 0.97X, respectively. GS MORTGAGE 2013-KING: S&P Raises Class E Certs Rating to BB+ ------------------------------------------------------------- S&P Global Ratings raised its ratings on five classes of commercial mortgage pass-through certificates from GS Mortgage Securities Corporation Trust 2013-KING, a U.S. commercial mortgage-backed securities (CMBS) transaction. S&P said, "At the same time, we affirmed our ratings on two other classes from the same transaction." S&P related, "The rating actions follow our analysis of the transaction primarily using our criteria for rating U.S. and Canadian CMBS transactions. Our analysis included a review of the credit characteristics and current and future performance of the retail collateral securing the loan in the pool, the transaction's structure, and the liquidity available to the trust. "The upgrades on classes B, C, D, and E reflect our expectation that the available credit enhancement for these classes is greater than our most recent estimate of necessary credit enhancement for the respective rating levels, as well as the reduction in trust balance. "The affirmed rating on class A reflects our expectation that the available credit enhancement for the class will be generally within our estimate of the necessary credit enhancement required for the current rating. "We raised our rating on the class X-B interest-only (IO) certificates and affirmed our rating on the class X-A IO certificates based on our criteria for rating IO securities, under which the ratings on the IO securities would not be higher than their respective lowest-rated reference classes. The class X-B certificates reference the class B certificates, and the class X-A certificates reference the class A certificates. "Our analysis of stand-alone transactions is primarily a recovery-based approach that assumes a loan default. Using this approach, our property-level analysis included a re-valuation of the 1.2 million-sq.-ft. two-story superregional shopping mall, the Kings Plaza Mall, in Brooklyn, N.Y., that secures the mortgage loan in the trust. Of the total mall square footage, 872,741 sq. ft. serves as the loan's collateral. We also considered the servicer-reported net operating income (NOI) and occupancy for the past four years ending 2013, 2014, 2015, and 2016 for the retail property. Our expected-case value, using a 6.25% capitalization rate, yielded a 77.0% loan-to-value ratio and a 1.39x debt service coverage on the trust balance, based on a 30-year amortization schedule." According to the July 12, 2017, trustee remittance report, the loan has a$453.8 million trust principal balance, down from $498.5 million at issuance. The loan has a seven-year term and is scheduled to mature on Dec. 3, 2019. The mortgage loan amortizes on a 30-year amortization schedule and pays a per annum interest rate equal to 3.44122%. In addition, the loan has a reported current payment status, and the transaction has not incurred any principal losses to date. According to the transaction documents, the borrower is responsible for the special servicing fees, work-out fees, liquidation fees, and costs and expenses incurred from appraisals and inspections conducted by the special servicer. S&P said, "We based our analysis partly on a review of the property's historical NOI for the years ended Dec. 31, 2016, 2015, 2014, 2013, 2012, and 2011, and the most recent rent rolls provided by the master servicer to determine our opinion of a sustainable cash flow for the retail property. "Based on the June 30, 2017, rent roll, the collateral space was 94.7% occupied, and the five largest tenants -- Lowe's, Best Buy, H&M, Forever 21, and Old Navy -- accounted for 44.2% of the collateral's total net rentable area as calculated by S&P Global Ratings. The occupancy does not include 325,000 sq.ft. of collateral space that is currently under redevelopment, primarily due to the vacancy of the Sears anchor collateral space (289,215 sq. ft.) after Sears vacated the property in September 2016. The master servicer said it expects the redevelopment to be completed by mid-2018. We also understand that a portion of this space has already been leased by various tenants, including Primark and Zara. We have considered these leases in our analysis." RATINGS LIST GS Mortgage Securities Corporation Trust 2013-KING Commercial mortgage pass-through certificates series 2013-KING Rating Class Identifier To From A 36193AAA6 AAA (sf) AAA (sf) X-A 36193AAC2 AAA (sf) AAA (sf) X-B 36193AAE8 AA+ (sf) AA- (sf) B 36193AAG3 AA+ (sf) AA- (sf) C 36193AAJ7 AA- (sf) A- (sf) D 36193AAL2 BBB+ (sf) BBB- (sf) E 36193AAN8 BB+ (sf) BB- (sf) HEMPSTEAD II: Moody's Assigns (P)Ba3 Rating to Class D Notes ------------------------------------------------------------ Moody's Investors Service has assigned provisional ratings to six classes of notes to be issued by Hempstead II CLO Ltd. Moody's rating action is: US$5,000,000 Class X Senior Secured Floating Rate Notes due 2029 (the "Class X Notes"), Assigned (P)Aaa (sf) US$378,000,000 Class A-1 Senior Secured Floating Rate Notes due 2029 (the "Class A-1 Notes"), Assigned (P)Aaa (sf) US$61,500,000 Class A-2 Senior Secured Floating Rate Notes due 2029 (the "Class A-2 Notes"), Assigned (P)Aa2 (sf) US$37,500,000 Class B Mezzanine Secured Deferrable Floating Rate Notes due 2029 (the "Class B Notes"), Assigned (P)A2 (sf) US$38,000,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2029 (the "Class C Notes"), Assigned (P)Baa3 (sf) US$35,000,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2029 (the "Class D Notes"), Assigned (P)Ba3 (sf) The Class X Notes, the Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the Class C Notes, and the Class D 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. Hempstead II 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 95% ramped as of the closing date. Guggenheim Partners Investment 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 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): 3150 Weighted Average Spread (WAS): 3.70% Weighted Average Coupon (WAC): 6.50% Weighted Average Recovery Rate (WARR): 48.5% 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 3150 to 3623) Rating Impact in Rating Notches Class X Notes: 0 Class A-1 Notes: 0 Class A-2 Notes: -2 Class B Notes: -2 Class C Notes: -1 Class D Notes: -1 Percentage Change in WARF -- increase of 30% (from 3150 to 4095) Rating Impact in Rating Notches Class X Notes: 0 Class A-1 Notes: -1 Class A-2 Notes: -3 Class B Notes: -4 Class C Notes: -2 Class D Notes: -1 HPS LOAN 3-2014: S&P Rates Class E-R Notes 'B-(sf)' --------------------------------------------------- S&P Global Ratings assigned its 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 (US) LLC (see list). S&P said, "We withdrew our ratings on the original class A-1, A-2, B, C, D, and E notes following payment in full on the July 18, 2017, refinancing date. The replacement notes are being issued via a supplemental indenture and a restated indenture that is also issuing unrated class X notes." S&P related, "On the July 18, 2017, refinancing date, the proceeds from the replacement note issuance were used to redeem the original class A-1, A-2, B, C, D, and E notes as outlined in the transaction document provisions; therefore, we are withdrawing the ratings on the original class A-1, A-2, B, C, D, and E notes in line with their full redemption and are assigning final ratings to the replacement notes. "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction as presented to us in connection with this review, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our 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 our view, that all of the rated outstanding classes have adequate credit enhancement available at the preliminary rating levels associated with these rating actions. "The ratings reflect our opinion that the credit support available is commensurate with the associated rating levels. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and we will take rating actions as we deem necessary." RATINGS ASSIGNED HPS Loan Management 3-2014 Ltd./HPS Loan Management 3-2014 LLC Replacement class Rating Amount (mil. $) X 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 RATINGS WITHDRAWN HPS Loan Management 3-2014 Ltd./HPS Loan Management 3-2014 LLC Rating 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) E NR B (sf) NR--Not rated. IMT TRUST 2017-APTS: S&P Assigns B- Rating on 2 Tranches -------------------------------------------------------- S&P Global Ratings assigned its ratings to IMT Trust 2017-APTS' $536.0 million commercial mortgage pass-through certificates. S&P withdrew its preliminary rating on the non-offered class XFX-B certificates. The certificate issuance is a commercial mortgage-backed securities transaction backed by one $536.0 million commercial mortgage loan split into two pari passu components: a $268.0 million floating-rate component with an initial term of two years and a fully extended maturity of five years, and a $268.0 million seven-year fixed-rate component. This loan is secured by the cross-collateralized and cross-defaulted first liens on the borrowers' fee simple interests in 11 multifamily properties located in Texas, Florida, and California. The ratings reflect S&P's view of the collateral's historical and projected performance, the sponsor's and managers' experience, the trustee-provided liquidity, the loan's terms, and the transaction's structure. RATINGS ASSIGNED IMT Trust 2017-APTS Class Rating(i) Amount ($) A-FL AAA (sf) 117,540,000 XFL-CP(iii) BBB- (sf) 205,315,000(ii) XFL-NCP(iii) BBB- (sf) 205,315,000 (ii) B-FL AA- (sf) 41,728,000 C-FL A- (sf) 22,752,500 D-FL BBB- (sf) 23,294,500 E-FL BB- (sf) 27,086,000 F-FL B- (sf) 19,249,000 A-FX AAA (sf) 117,540,000 XFX-A(iii) AAA (sf) 117,540,000(ii) B-FX AA- (sf) 41,728,000 C-FX A- (sf) 22,752,500 D-FX BBB- (sf) 23,294,500 E-FX BB- (sf) 27,086,000 F-FX B- (sf) 19,249,000 HRR(iv) NR 32,700,000 (i)The rating on each class of securities is preliminary and 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 XFL-CP and XFL-NCP certificates will be reduced by the aggregate amount of principal distributions and realized losses allocated to the class A-FL, B-FL, C-FL, and D-FL certificates; and the notional amount of the class XFX-A certificates will be reduced by the aggregate amount of principal distributions and realized losses allocated to the class A-FX certificates. (iii)Interest only. (iv)Non-offered eligible horizontal interest. NR--Not rated. JFIN CLO 2014-II: Moody's Affirms B2 Rating on Class E Notes ------------------------------------------------------------ Moody's Investors Service has assigned the following ratings to the following notes (the "Refinancing Notes") issued by JFIN CLO 2014-II Ltd.: US$312,000,000 Class A-1A-R Senior Secured Floating Rate Notes Due 2026 (the "Class A-1A-R Notes"), Assigned Aaa (sf) US$31,750,000 Class A-1B-R Senior Secured Fixed Rate Notes Due 2026 (the "Class A-1B-R Notes"), Assigned Aaa (sf) US$52,700,000 Class A-2A-R Senior Secured Floating Rate Notes Due 2026 (the "Class A-2A-R Notes"), Assigned Aa1 (sf) US$10,000,000 Class A-2B-R Senior Secured Fixed Rate Notes Due 2026 (the "Class A-2B-R Notes"), Assigned Aa1 (sf) US$25,000,000 Class B-1-R Senior Secured Deferrable Floating Rate Notes Due 2026 (the "Class B-1-R Notes"), Assigned A1 (sf) US$2,500,000 Class B-2-R Senior Secured Deferrable Fixed Rate Notes Due 2026 (the "Class B-2-R Notes"), Assigned A1 (sf) Additionally, Moody's has taken rating actions on the following outstanding notes issued by the Issuer on the original issuance date (the "Original Closing Date"): US $34,800,000 Class C Senior Secured Deferrable Floating Rate Notes Due 2026 (the "Class C Notes"), Upgraded to Baa2 (sf); previously on July 17, 2014 Definitive Rating Assigned Baa3 (sf) US $33,900,000 Class D Senior Secured Deferrable Floating Rate Notes Due 2026 (the "Class D Notes"), Affirmed Ba3 (sf); previously on July 17, 2014 Definitive Rating Assigned Ba3 (sf) US $4,600,000 Class E Senior Secured Deferrable Floating Rate Notes Due 2026 (the "Class E Notes"), Affirmed B2 (sf); previously on July 17, 2014 Definitive Rating Assigned B2 (sf) The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of senior secured, broadly syndicated corporate loans. Apex Credit Partners 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 July 20, 2017 (the "Refinancing Date") in connection with the refinancing of certain classes of notes (the "Refinanced Original Notes") previously issued on July 17, 2014, the Original Closing Date. On the Refinancing Date, the Issuer used the proceeds from the issuance of the Refinancing Notes to redeem in full the Refinanced Original Notes. Moody's rating actions on the Class C Notes, Class D Notes, and Class E Notes are primarily a result of the refinancing, which increases excess spread available as credit enhancement to the rated notes. Additionally, Moody's expects the Issuer to continue to benefit from a portfolio weighted average recovery rate (WARR) level that is higher than the covenanted test level. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in October 2016. Factors That Would Lead to an Upgrade or a Downgrade of the Ratings: The performance of each class of the Issuer's notes is subject to uncertainty relating to certain factors and circumstances, and this uncertainty could lead to either an upgrade or downgrade of Moody's rating(s): 1) Macroeconomic uncertainty: CLO performance is subject to uncertainty about credit conditions in the general economy. 2) Collateral Manager: Performance can also be affected positively or negatively by a) the Manager's investment strategy and behavior and b) differences in the legal interpretation of CLO documentation by the Manager or other transaction parties owing to embedded ambiguities. 3) Collateral credit risk: Investing in collateral of better credit quality, or better than Moody's expected credit performance of the assets collateralizing the transaction can lead to positive CLO performance. Conversely, a negative shift in the credit quality or performance of the collateral can have adverse consequences for CLO performance. 4) Deleveraging: During the amortization period, the pace of deleveraging from unscheduled principal proceeds is an important source of uncertainty. Deleveraging of the CLO could accelerate owing to high prepayment levels in the loan market and/or collateral sales by the Manager, which could have a significant impact on the ratings. Note repayments that are faster than Moody's current expectations will usually have a positive impact on CLO notes, beginning with those notes having the highest payment priority. 5) Recovery of defaulted assets: Fluctuations in the market value of defaulted assets could result in volatility in the deal's overcollateralization levels. Further, the timing of recovery realization and whether the Manager decides to work out or sell defaulted assets create additional uncertainty. Realization of recoveries that are either materially higher or lower than assumed in Moody's analysis would impact the CLO positively or negatively, respectively. 6) Weighted average life (WAL): The notes' ratings can be sensitive to the weighted average life assumption of the portfolio, which could lengthen owing to any decision by the Manager to reinvest into new issue loans or loans with longer maturities, or participate in amend-to-extend offerings. Life extension can increase the default risk horizon and assumed cumulative default probability of CLO collateral. 7) Weighted Average Spread (WAS): CLO performance can be sensitive to WAS, which is a key factor driving the amount of excess spread available as credit enhancement when a deal fails its over-collateralization or interest coverage tests. A decrease in excess spread, including as a result of losing the net interest benefit of LIBOR floors, or because market conditions make it difficult for the deal to source assets of appropriate credit quality in order to maintain its WAS target, would reduce the effective credit enhancement available for the notes. 8) Exposure to assets with low credit quality and weak liquidity: The historical default rate of assets rated Caa3 with a negative outlook, Caa2 or Caa3 on review for downgrade or the worst Moody's speculative grade liquidity (SGL) rating, SGL-4, is higher than the average. Exposure to such assets subject the notes to additional risks if these assets default. Together with the set of modeling assumptions described below, Moody's conducted additional sensitivity analyses, which were considered in determining the rating(s) assigned to the rated notes. In particular, in addition to the base case analysis, Moody's conducted sensitivity analyses to test the impact of a number of default probabilities on the rated notes relative to the base case modeling results. Below is a summary of the impact of different default probabilities, expressed in terms of WARF level, on the rated notes (shown in terms of the number of notches difference versus the base case model output, where a positive difference corresponds to a lower expected loss): Moody's Assumed WARF - 20% (2400) Class A-1A-R: 0 Class A-1B-R: 0 Class A-2A-R: 0 Class A-2B-R: 0 Class B-1-R: +3 Class B-2-R: +3 Class C: +3 Class D: +1 Class E: +2 Moody's Assumed WARF + 20% (3600) Class A-1A-R: 0 Class A-1B-R: 0 Class A-2A-R: -1 Class A-2B-R: -1 Class B-1-R: -2 Class B-2-R: -2 Class C: -2 Class D: -1 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, 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: $539,950,471 Defaulted par: $13,327,164 Diversity Score: 70 Weighted Average Rating Factor (WARF): 3000 (corresponding to a weighted average default probability of 22.84%) Weighted Average Spread (WAS): 4.00% Weighted Average Recovery Rate (WARR): 47.83% 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. JP MORGAN 2007-C1: Moody's Lowers Rating on 2 Tranches to Csf ------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on eleven classes and downgraded the ratings on four classes in J.P. Morgan Chase Commercial Mortgage Securities Trust 2007-C1, Commercial Pass-Through Certificates, Series 2007-C1: Cl. A-4, Affirmed Aa2 (sf); previously on Jul 29, 2016 Affirmed Aa2 (sf) Cl. A-M, Affirmed Ba1 (sf); previously on Jul 29, 2016 Affirmed Ba1 (sf) Cl. A-J, Affirmed B3 (sf); previously on Jul 29, 2016 Affirmed B3 (sf) Cl. B, Affirmed Caa1 (sf); previously on Jul 29, 2016 Affirmed Caa1 (sf) Cl. C, Downgraded to Ca (sf); previously on Jul 29, 2016 Affirmed Caa2 (sf) Cl. D, Downgraded to C (sf); previously on Jul 29, 2016 Affirmed Caa3 (sf) Cl. E, Downgraded to C (sf); previously on Jul 29, 2016 Affirmed Ca (sf) Cl. F, Affirmed C (sf); previously on Jul 29, 2016 Affirmed C (sf) Cl. G, Affirmed C (sf); previously on Jul 29, 2016 Affirmed C (sf) Cl. H, Affirmed C (sf); previously on Jul 29, 2016 Affirmed C (sf) Cl. J, Affirmed C (sf); previously on Jul 29, 2016 Affirmed C (sf) Cl. K, Affirmed C (sf); previously on Jul 29, 2016 Affirmed C (sf) Cl. L, Affirmed C (sf); previously on Jul 29, 2016 Affirmed C (sf) Cl. M, Affirmed C (sf); previously on Jul 29, 2016 Affirmed C (sf) Cl. X-1, Downgraded to Caa2 (sf); previously on Jun 9, 2017 Downgraded to Caa1 (sf) RATINGS RATIONALE The ratings on four 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 seven P&I classes were affirmed because the ratings are consistent with Moody's expected loss. The ratings on three P&I classes were downgraded due to anticipated losses and realized losses from specially serviced and troubled loans that were higher than Moody's had previously expected. The rating on the X-1 IO class was downgraded due to a decline in the credit quality of its referenced classes. Moody's rating action reflects a base expected loss of 21.2% of the current balance, compared to 15.8% at Moody's last review. Moody's base expected loss plus realized losses is now 13.9% of the original pooled balance, compared to 15.0% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The methodologies used in these ratings were "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in December 2014, and "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in October 2015. Additionally, the methodology used in rating Cl. X-1 and Cl. X-B was "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. DEAL PERFORMANCE As of the July 17, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 53% to $551.91 million from $1.18 billion at securitization. The certificates are collateralized by 38 mortgage loans ranging in size from less than 1% to 20% of the pool, with the top ten loans constituting 71% of the pool. Five loans, constituting 5% 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 11, compared to 14 at Moody's last review. Nine 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. Eleven loans been liquidated from the pool, resulting in an aggregate realized loss of $46.4 million (for an average loss severity of 43%). Eight loans, constituting 48% of the pool, are currently in special servicing. The largest specially serviced loan is the Westin Portfolio Loan (for $108.1 million -- 20% of the pool), which is secured by two Westin Hotels -- the Westin La Paloma, a 487-key full-service hotel in Tucson, Arizona and the Westin Hilton Head, a 412-key full-service ocean-front hotel in Hilton Head, South Carolina. The loan represents an approximately 50% pari-passu interest in a $215 million loan. The loan was transferred to special servicing in October 2008 due to imminent default. The borrower filed for Chapter 11 Bankruptcy in November 2010. A bankruptcy court in Arizona modified the loan in May 2012 with the loan term extended and loan made principal-only for 21 years of $500,000 monthly payments split pro rata between the two pari passu notes. Various fees, interest, and other expenses were capitalized into the loan balance as a part of the loan modification. The remaining seven specially serviced loans are secured by a mix of property types. Moody's estimates an aggregate $111.2 million loss for the specially serviced loans (42% expected loss on average). Moody's has assumed a high default probability for two poorly performing loans, constituting 5% of the pool, and has estimated an aggregate loss of $3.7 million (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 year 2016 operating results for 83% of the pool. Moody's weighted average conduit LTV is 89%, compared to 100% 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 13% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.8%. Moody's actual and stressed conduit DSCRs are 1.32X and 1.26X, respectively, compared to 1.28X and 1.10X 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 20% of the pool balance. The largest loan is The Outlet Shoppes at El Paso Loan ($61.7 million -- 11% of the pool), which is secured by a 378,000 SF outlet retail center. As of June 2017 the property was 96% leased, compared to 98% leased in March 2017. The outlet's major tenants include: Old Navy, Nike, and Gap. Performance declined in 2014 due to an increase in real estate taxes, however in 2015 taxes were reassessed and NOI was rightsized. The loan is scheduled to mature in December 2017. Moody's LTV and stressed DSCR are 79% and 1.33X, respectively, compared to 80% and 1.32X at the last review. The second largest loan is the Brandywine Regency Warehouse Loan ($34.6 million -- 6% of the pool), which is secured by a 624,502 SF warehouse and distribution facility in Brandywine, Maryland approximately 27 miles southeast of Washington, D.C. The property is one of the largest warehouse and distribution facilities in the Washington, D.C. area. The property was 100% to leased to two tenants as of March 2017. Performance has been stable. The loan is scheduled to mature in September 2017. Moody's LTV and stressed DSCR are 65% and 1.59X, respectively, compared to 74% and 1.39X at the last review. The third largest loan is the Ashland Hanover Shopping Center Loan ($13.9 million -- 3% of the pool), which is secured by a 227,158 SF grocery-anchored shopping center in Ashland, Virginia approximately 20 miles north of Richmond. The centers major tenants include Giant Foods, Pebbles, Ace Hardware and Petco. The property was 92% leased as of March 2017. Performance has been stable. The loan is scheduled to mature in October 2017. Moody's LTV and stressed DSCR are 105% and 0.98X, respectively, compared to 135% and 0.76X at the last review. JP MORGAN 2013-C16: Fitch Affirms 'Bsf' Rating on Class F Certs --------------------------------------------------------------- Fitch Ratings has affirmed 13 classes of J.P. Morgan Chase Commercial Mortgage Securities Trust (JPMCC) commercial mortgage pass-through certificates series 2013-C16. 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 JPMCC 2013-C16 transaction and property-level performance of the related trust loans. KEY RATING DRIVERS The affirmations reflect the overall stable performance of the pool. As of the July 2017 distribution date, the pool's aggregate principal balance has been reduced by 11.7% to $1 billion from $1.14 billion at issuance. Three loans (3.3%) are defeased. Stable Performance: Overall pool performance remains stable from issuance. As of YE16, aggregate pool-level NOI improved 2.9% from issuance. There is one loan (0.5% of pool) secured by a hotel property in special servicing. Six loans (21.8%), including the largest loan in the pool, are on the servicer watchlist due to a low DSCR. High Multifamily Concentration: The pool has a multifamily concentration of 23.8%, which is significantly higher than the 2013 average concentration of 12.2%. The second-largest loan in the pool, Veritas Multifamily Portfolio (8.1%), paid off in January 2016. Subordinate Debt: Six loans, representing 28.0% of the pool balance, have subordinate debt in place, including three of the four largest loans in the pool (24.1%). The Aire has a $25 million B-note and unsecured debt in place. Below-Average Retail Concentration: Loans backed by retail properties represent 17% of the pool, including three within the top 15. This compares with the average retail concentration of 33.8% for Fitch-rated transactions in 2013. One loan (3.7%) is secured by a regional enclosed mall in Fort Worth, TX anchored by a Macy's, Sears and Dillards. Maturity Concentration: Approximately 15% of the pool is scheduled to mature in 2018, including the Hulen Mall (3.7%), which matures in October. The remaining loans in the pool mature in 2023. RATING SENSITIVITIES Rating Outlooks for all classes remain Stable due to the overall stable performance of the pool and continued amortization. Rating upgrades may occur with improved pool performance and additional paydown or defeasance. Rating downgrades to the classes are possible should a material asset-level or economic event adversely affect pool performance. Fitch affirms the following classes: -- $160.9 million class A-2 at 'AAAsf'; Outlook Stable; -- $145 million class A-3 at 'AAAsf'; Outlook Stable; -- $276.2 million class A-4 at 'AAAsf'; Outlook Stable; -- $80.5 million class A-SB at 'AAAsf'; Outlook Stable; -- $83.8 million class A-S at 'AAAsf'; Outlook Stable; -- $73.8 million class B at 'AA-sf'; Outlook Stable; -- $41.2 million class C at 'A-sf'; Outlook Stable; -- $56.8 million class D at 'BBB-sf'; Outlook Stable; -- $21.3 million class E at 'BBsf'; Outlook Stable; -- $11.4 million class F at 'Bsf'; Outlook Stable; -- $198.8 million class EC* at 'A-sf'; Outlook Stable; -- $746.4 million class X-A at 'AAAsf'; Outlook Stable; -- $73.8 million class X-B at 'AA-sf'; Outlook Stable. * Class A-S, class B and class C certificates may be exchanged for a related amount of class EC certificates, and class EC certificates may be exchanged for class A-S, class B and class C certificates. Class A-1 has paid in full. Fitch does not rate the class NR certificates or the interest only class X-C. JP MORGAN 2014-C22: Fitch Affirms 'BB-sf' Rating on Class E Certs ----------------------------------------------------------------- Fitch Ratings has affirmed 14 classes of J.P. Morgan Chase Commercial Mortgage Securities Trust commercial mortgage pass-through certificates series 2014-C22 (JPMBB 2014-C22). KEY RATING DRIVERS Stable Performance: Overall pool performance remains stable and in line with issuance expectations. Although nine loans (11.5%) are on the watchlist for various reasons, four loans (4.8%) were considered Fitch Loans of Concern (FLOC). While not on the servicer's watchlist, the 13th largest loan was flagged as a FLOC due to declining performance. No loans are in special servicing. Geographic Concentration: Two of the top 10 loans are secured by properties located in tertiary locations. Las Catalinas Mall (6.8%) is located in Caguas, Puerto Rico, and the Plazacorp Portfolio (4.6%) has a large concentration of properties located in the Kalamazoo, MI MSA. The largest state concentrations are New York (17.1%), California (14%) and Texas (9.5%). High Office Concentration: Office properties comprise 38.0% of the pool, including five of the top 10 loans. The pool's office composition is greater than the first-half 2014 and 2013 averages of 18.4% and 19.6%, respectively. Other property type concentrations include retail (23.4%), mixed-use (11.3%) and hospitality (9.5%). Limited Amortization: 13% of the pool is full-term interest-only, 59.2% of the pool is partial term interest-only, and 4.3% of the pool is fully amortizing. The remainder of the pool (31 loans, 23.4%) consists of amortizing balloon loans with loan terms of five to 10 years. Based on the scheduled balance at maturity, the pool will have paid down 14.9%. Low Mortgage Coupons: The pool's weighted average coupon is 4.58%, which is considered lower than average based on recent historical trends. RATING SENSITIVITIES Rating Outlooks for classes A-1 through D remain Stable due to the overall stable performance of the pool and continued amortization. Rating upgrades may be limited due to the high office exposure but may occur with improved pool performance and additional paydown or defeasance. The Negative Outlook for class E reflects the pool's retail concentration (23.4%), of which 15.6% is collateralized by four loans in the top 15; two regional malls are exposed to Sears and/or JCPenney and have reported declining anchor sales. Additionally, two non- retail properties within the top 15 (5%), are considered Fitch Loans of Concern due to a significant decline in performance due to the loss of large tenants. Rating downgrades to the classes are possible should overall pool performance decline. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third-party due diligence was provided or reviewed in relation to this rating action. Fitch has affirmed the following ratings and revised Outlooks as indicated: -- $22 million class A-1 at 'AAAsf'; Outlook Stable; -- $29.2 million class A-2 at 'AAAsf'; Outlook Stable; -- $175 million class A-3A1 at 'AAAsf'; Outlook Stable; -- $75 million class A-3A2 at 'AAAsf'; Outlook Stable; -- $355.4 million class A-4 at 'AAAsf'; Outlook Stable; -- $102.6 million class A-SB at 'AAAsf'; Outlook Stable; -- $78.4 million class A-S* at 'AAAsf'; Outlook Stable; -- $58.8 million class B* at 'AA-sf'; Outlook Stable; -- $47.6 million class C* at 'A-sf'; Outlook Stable; -- $184.9 million class EC* at 'A-sf'; Outlook Stable; -- $837.6 million class X-A** at 'AAAsf'; Outlook Stable; -- $28 million class X-C** at 'BB-sf'; Outlook to Negative from Stable; -- $61.6 million class D at 'BBB-sf'; Outlook Stable; -- $28 million class E at 'BB-sf'; Outlook to Negative from Stable. *The class A-S, class B and class C certificates may be exchanged for class EC certificates, and class EC certificates may be exchanged for the class A-S, class B and class C certificates. **Notional amount and interest only. Fitch does not rate the class NR, UHP, X-D, X-E, F G certificates. JP MORGAN 2017-JP7: DBRS Assigns B(high) Rating to Class G-RR Debt ------------------------------------------------------------------ DBRS, Inc. assigned provisional ratings to the followings classes of Commercial Mortgage Pass-Through Certificates, Series 2017-JP7 (the Certificates) to be issued by JPMCC 2017-JP7 Mortgage Trust: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (high) (sf) -- Class X-B at A (high) (sf) -- Class C at A (sf) -- Class D at A (low) (sf) -- Class E-RR at BBB (low) (sf) -- Class F-RR at BB (sf) -- Class G-RR at B (high) (sf) All trends are Stable. Classes D, E-RR, F-RR and G-RR will be privately placed. The X-A and X-B balances are notional. The collateral consists of 37 fixed-rate loans secured by 168 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 (4.6% of the pool balance) had a DBRS Term Debt Service Coverage Ratio (DSCR) below 1.15 times (x), a threshold indicative of a higher likelihood of mid-term default. Additionally, to assess refinance risk given the current low interest rate environment, DBRS applied its refinance constants to the balloon amounts. This resulted in 17 loans, representing 54.0% of the pool, having refinance DSCRs below 1.00x and seven loans, representing 38.2% of the pool, having refinance DSCRs below 0.90x. Four of the top ten loans, representing 27.1% of the pool, have Strong sponsorship. Furthermore, DBRS identified only five loans, which combined represent just 8.1% of the pool, that have sponsorship and/or loan collateral associated with a voluntary bankruptcy filing, a prior discounted payoff, a loan default, limited net worth and/or liquidity, a historical negative credit event and/or an inadequate commercial real estate experience. Two of the top ten loans, Gateway Net Lease Portfolio and West Town Mall, representing 12.3% of the pool, exhibit credit characteristics consistent with investment-grade shadow ratings. The Gateway Net Lease Portfolio received a BBB (high) shadow rating, while West Town Mall was shadow rated A (low). Term default risk is low, as indicated by a strong weighted-average (WA) DBRS Term DSCR of 1.77x. In addition, 16 loans, representing 62.6% of the pool, have a DBRS Term DSCR in excess of 1.50x, including nine of the top 15 loans. Only three loans, totaling 10.6% of the transaction balance, are secured by properties that are fully leased to a single tenant. The vast majority of this concentration, or 81.4%, is attributed to two loans in the top ten, 211 Main Street and Torre Plaza, which are fully occupied by investment-grade-rated tenants that have substantial capital invested into the buildings. The 211 Main Street property is fully leased to Charles Schwab & Co., while Torre Plaza is occupied by Amazon. The pool is concentrated based on loan size, with a concentration profile equivalent to that of a pool of 21 equal-sized loans. The largest five and ten loans total 40.7% and 59.5% of the pool, respectively. As a result, a concentration penalty was applied given the pool's lack of diversity, which increases each loan's POD. The transaction's WA DBRS Refinance (Refi) DSCR is 0.98x, indicating higher refinance risk on an overall pool level. Seventeen loans, representing 54.0% of the pool, have DBRS Refi DSCRs below 1.00x, including seven of the top 15 loans. Additionally, seven of these loans, comprising 38.2% of the pool, have DBRS Refi DSCRs less than 0.90x, including six of the top ten loans. The DBRS Refi DSCRs for these loans are based on a WA stressed refinance constant of 9.81%, which implies an interest rate of 9.18% amortizing on a 30-year schedule. This represents a significant stress of 4.76% over the WA contractual interest rate of the loans in the pool. The pool's interest-only (IO) concentration is elevated at 81.2%. Eight loans, representing 50.2% of the pool, including seven top ten loans, are structured with full-term IO payments. An additional 19 loans, comprising 31.0% of the pool, have partial IO periods ranging from 12 months to 60 months. As a result, the transaction's scheduled amortization by maturity is only 7.4%, which is generally below other recent conduit securitizations. The DBRS sample included 25 of the 37 loans in the pool. Site inspections were performed on 58 of the 168 properties in the portfolio (61.6% of the pool by allocated loan balance). The DBRS sample had an average NCF variance of -10.3% and ranged from -20.4% (Courtyard San Antonio Lackland) to +1.7% (211 Main Street). JP MORGAN 2017-MAUI: S&P Gives Prelim B Rating on Class F Certs --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to J.P. Morgan Chase Commercial Mortgage Securities Trust 2017-MAUI's $469.0 million commercial mortgage pass-through certificates. The issuance is a commercial mortgage-backed securities (CMBS) transaction backed by one two-year, floating-rate commercial mortgage loan totaling $469.0 million that is secured by a first-priority mortgage on the Four Seasons Resort Maui at Wailea, including the borrower's fee simple interest in the property and all furniture, fixtures, equipment, and personal property used to operate the property and owned by the borrower. The preliminary ratings are based on information as of July 21, 2017. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect our view of the collateral's historical and projected performance, the sponsors' and manager's experience, the trustee-provided liquidity, the loan's terms, and the transaction's structure. PRELIMINARY RATINGS ASSIGNED J.P. Morgan Chase Commercial Mortgage Securities Trust 2017-MAUI Class Rating Amount (mil. $) A AAA (sf) 150.00 X BBB- (sf) 304.00(i) B AA- (sf) 56.50 C A- (sf) 42.00 D BBB- (sf) 55.50 E BB- (sf) 87.50 F B (sf) 54.00 HRR B- (sf) 23.50 (i)Notional balance. The notional amount of the class X certificates will be reduced by the aggregate amount of principal distributions and realized losses allocated to the class A, B, C, and D certificates. MAD MORTGAGE 2017-330M: S&P Rates Class E Certificates 'BBsf' ------------------------------------------------------------- S&P Global Ratings assigned its ratings to MAD Mortgage Trust 2017-330M's $500.0 million commercial mortgage pass-through certificates series 2017-330M. The certificate issuance is a CMBS transaction backed by a seven-year, fixed-rate commercial mortgage loan totaling $500 million, secured by a first lien on the borrower's fee interest in 330 Madison Avenue, a 39-story office building totaling 849,372 sq. ft. located within Midtown Manhattan's Grand Central office submarket. The ratings reflect S&P's view of the collateral's historical and projected performance, the sponsor's and manager's experience, the trustee-provided liquidity, the loan's terms, and the transaction's structure. RATINGS ASSIGNED MAD Mortgage Trust 2017-330M Class Rating Amount ($) A AAA (sf) 267,045,000 X-A(i) AAA (sf) 267,045,000 B AA- (sf) 59,375,000 C A- (sf) 44,460,000 D BBB- (sf) 54,625,000 E BB (sf) 49,495,000 RR(ii) NR 25,000,000 (i)Notional balance. The notional amount of the class X-A certificates will be reduced by the aggregate amount of realized losses allocated to the class A certificates. (ii)Nonoffered vertical risk retention class. MADISON AVENUE 2013-650M: DBRS Confirms BB(low) Rating on E Certs ----------------------------------------------------------------- DBRS Limited on July 12 confirmed all classes of Commercial Mortgage Pass-Through Certificates Series 2013-650M issued by Madison Avenue Trust 2013-650M as follows: -- Class A at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) All trends are Stable. The confirmations reflect the stable performance of the property securing the underlying loan in the transaction, which remains in line with DBRS expectations at issuance. The transaction consists of a $675 million fixed-rate loan secured by 650 Madison Avenue, a 27-storey Class A office and retail tower consisting of 523,608 square feet (sf) of office and 70,862 sf of retail space for a total of 594,470 sf. Constructed in 1957, the property is considered one of the premier office towers in the Plaza District because of its unobstructed views of Central Park starting at the 15th floor and its 200 feet of ground-floor retail frontage along Madison Avenue. The loan sponsor is a joint venture between Vornado Realty L.P., OP USA Debt Holdings L.P. and other institutional investors. As of the April 2017 rent roll, the property was 87.4% occupied, remaining unchanged from June 2016 and slightly below the issuance level of 91.3%, due to the loss of the former third-largest tenant, Crate and Barrel (C&B), in August 2015. While C&B's departure pushed the retail occupancy at the subject down to 36.2% from 100.0% at issuance, the office space is 94.0% occupied as of April 2017, an increase from 90.5% at issuance. The largest tenants at the property are Ralph Lauren Corporation (46.5% of the net rentable area (NRA)) and Memorial Sloan Kettering Cancer Center (16.9% of the NRA). Both tenants are investment grade and have long-term leases expiring in December 2024 and July 2023, respectively. The sponsor executed leases with Moncler USA, Inc. (Moncler) and Bottega Veneta for a portion of the former C&B space, and both tenants are now paying rent as their respective free rent periods of 14 months and six months have burned off. Moncler signed a ten-year lease commencing in February 2016, paying a rental rate of $668 per sf (psf), and Bottega Veneta signed a lease at $703 psf commencing in August 2015 and expiring in February 2018. In March 2017, Bottega Veneta's annual rent increased to $1,206 psf, resulting in an overall annual rent increase from $3.5 million to $6.0 million for its retail space. Combined, the two tenants account for only 29.0% of the former C&B space and 3.0% of the NRA, but their combined annual rents of $12.0 million exceed the $7.5 million previously paid for the entire space by C&B. The remainder of the retail space is anticipated to be filled by similar luxury retailers at rental rates comparable to market. The sponsor has estimated that this retail space will be able to generate between $25.0 million and $30.0 million in rental revenue annually. At issuance, a reserve in the amount of $55.8 million was established to fund the difference between the C&B rental rate and the market rental rate through the original lease expiry in 2019. As of the June 2017 remittance, that reserve had a balance of $15.2 million. In addition, a leasing reserve was funded with monthly contributions required through the loan term; as of the June 2017 remittance, that reserve had a balance of $5.5 million. The sponsor also provided a guaranty to fund the $7.5 million shortfall between Moncler's rent and C&B's rent during Moncler's free rent period, which burned off in March 2017, and paid an additional $6.8 million to fund C&B's outstanding leasing costs, Moncler's tenant improvement/leasing costs and the cost of demolishing the remaining C&B space. Finally, a guaranty was also provided to fund all leasing costs incurred in connection with future re-letting of any space previously leased by C&B. The office portion of the subject, which amounted for 63.3% of the rental income at issuance, reported an occupancy rate of 94.0% as of April 2017, an increase from 90.3% at issuance. Since August 2016, one tenant expanded its existing space and three office tenants signed leases at the property, totalling 22,301 sf (3.8% of the NRA) on leases ranging from five to ten years, at a weighted-average (WA) rental rate of $83.23 psf. The resulting in-place WA office rental rate is $92.55 psf, which is a modest increase over $91.89 psf at issuance and compares favourably with the $72.54 psf average asking rent for Class A properties in the Plaza District office submarket, according to CoStar, while the vacancy level at the subject is also lower than the 10.0% vacancy in the submarket. The remaining office space is being marketed by the sponsor to high-net-worth private financial companies and individuals at market rents. According to the YE2016 financials, the loan reported a debt service coverage ratio (DSCR) of 1.17 times; however, this figure is not reflective of the distributions provisioned by the C&B Rent Restructuring Reserve and the sponsor guarantee to cover rental shortfalls for the former C&B space. In the analysis for this review, DBRS applied an adjusted net cash flow figure to factor current occupancy and rents at the property, with expenses based on the YE2016 figures reported by the servicer. The resulting term and refinance DSCR figures are in line with issuance figures and are expected to increase over the near term as cash flows are expected to continue to improve with the recent leasing activity and potential income for the vacant retail space. MAGNETITE LTD XIX: Moody's Assigns (P)B3 Rating to Class F Notes ---------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to six classes of notes to be issued by Magnetite XIX, Limited. Moody's rating action is: US$320,000,000 Class A Senior Secured Floating Rate Notes due 2030 (the "Class A Notes"), Assigned (P)Aaa (sf) US$55,000,000 Class B Senior Secured Floating Rate Notes due 2030 (the "Class B Notes"), Assigned (P)Aa2 (sf) US$28,750,000 Class C Deferrable Mezzanine Floating Rate Notes due 2030 (the "Class C Notes"), Assigned (P)A2 (sf) US$30,000,000 Class D Deferrable Mezzanine Floating Rate Notes due 2030 (the "Class D Notes"), Assigned (P)Baa3 (sf) US$26,250,000 Class E Deferrable Mezzanine Floating Rate Notes due 2030 (the "Class E Notes"), Assigned (P)Ba3 (sf) US$7,500,000 Class F Deferrable Mezzanine Floating Rate Notes due 2030 (the "Class F Notes"), Assigned (P)B3 (sf) The Class A Notes, the Class B Notes, the Class C Notes, the Class D Notes, the Class E Notes, and the Class F Notes are referred to herein as the "Rated Notes." 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. Magnetite XIX 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 up to 10% of the portfolio may consist of collateral obligations that are second lien loans and unsecured loans. Moody's expects the portfolio to be approximately 75% ramped as of the closing date. BlackRock Financial Management, Inc. (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: 65 Weighted Average Rating Factor (WARF): 3015 Weighted Average Spread (WAS): 3.45% Weighted Average Coupon (WAC): 7.50% Weighted Average Recovery Rate (WARR): 48.0% Weighted Average Life (WAL): 9 years. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in October 2016. Factors That Would Lead to Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. Together with the set of modeling assumptions above, Moody's conducted an additional sensitivity analysis, which was a component in determining the ratings assigned to the Rated Notes. This sensitivity analysis includes increased default probability relative to the base case. Below is a summary of the impact of an increase in default probability (expressed in terms of WARF level) on the Rated Notes (shown in terms of the number of notch difference versus the current model output, whereby a negative difference corresponds to higher expected losses), assuming that all other factors are held equal: Percentage Change in WARF -- increase of 15% (from 3015 to 3467) Rating Impact in Rating Notches Class A Notes: -1 Class B Notes: -2 Class C Notes: -2 Class D Notes: -1 Class E Notes: -1 Class F Notes: -1 Percentage Change in WARF -- increase of 30% (from 3015 to 3920) Rating Impact in Rating Notches Class A Notes: -1 Class B Notes: -4 Class C Notes: -4 Class D Notes: -2 Class E Notes: -1 Class F Notes: -4 MARINER CLO 2016-3: S&P Assigns BB(sf) Rating on Class E-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-R, B-R, C-R, D-R, and E-R notes from Mariner CLO 2016-3 Ltd., a U.S. collateralized loan obligation (CLO) transaction managed by Mariner Investment Group LLC. We withdrew our ratings on the original class A, B, C, D, and E notes following payment in full on the July 24, 2017, refinancing date. On the July 24, 2017, refinancing date, the proceeds from the replacement note issuance were used to redeem the original class A, B, C, D, and E notes as outlined in the transaction document provisions. Therefore, we are withdrawing the ratings on the original class A, B, C, D, and E notes in line with their full redemption and 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 new notes, the restated indenture outlines the following: -- The transaction will have an updated capital structure with updated coverage tests. -- The non-call period, the reinvestment period, and the stated maturity will be extended to July 2019, July 2021, and July 2029, respectively. -- The weighted average life test has also been extended. S&P said, "Our 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 our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our 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 our opinion that the credit support available is commensurate with the associated rating levels. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary." RATINGS ASSIGNED Mariner CLO 2016-3 Ltd. Replacement class Rating Amount (mil $) A-R AAA (sf) 315.000 B-R AA (sf) 63.000 C-R A (sf) 37.000 D-R BBB (sf) 25.000 E-R BB (sf) 20.000 Subordinated notes NR 43.400 RATINGS WITHDRAWN Mariner CLO 2016-3 Ltd. Rating Original class To From A NR AAA (sf) B NR AA (sf) C NR A (sf) D NR BBB (sf) E NR BB (sf) NR--Not rated. MCF CLO VI: S&P Rates Class E Notes 'BB-(sf)' --------------------------------------------- S&P Global Ratings assigned its ratings to MCF CLO VI LLC's $400.585 million floating-rate notes. The note issuance is a collateralized loan obligation transaction backed primarily by middle-market speculative-grade senior secured term loans. The ratings reflect: -- The diversified collateral pool, which consists primarily of middle-market 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. RATINGS ASSIGNED MCF CLO VI LLC Class Rating Amount (mil. $) A AAA (sf) 188.000 B AA (sf) 27.000 C (deferrable) A (sf) 25.500 D (deferrable) BBB- (sf) 19.500 E (deferrable) BB- (sf) 24.100 Subordinated notes NR 40.770 Combination notes BBB-p (sf) 116.485 NR--Not rated. p--Principal only. MERRILL LYNCH 2005-CIP1: Moody's Hikes Class D Debt Rating to Caa2 ------------------------------------------------------------------ Moody's Investors Service has affirmed the rating on one class and upgraded the rating on one class in Merrill Lynch Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2005-CIP1: Cl. D, Upgraded to Caa2 (sf); previously on Sep 21, 2016 Affirmed Caa3 (sf) Cl. XC, Affirmed C (sf); previously on Jun 9, 2017 Downgraded to C (sf) RATINGS RATIONALE The rating on the P&I class, Class D, was upgraded based primarily on loan paydowns and amortization. The deal has paid down 67.2% since Moody's last review. The rating on the IO class was affirmed based on the credit quality of the referenced classes. Moody's rating action reflects a base expected loss of 0% of the current pooled balance, compared to 49.9% at Moody's last review. 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 8.4% of the original pooled balance, compared to 8.7% 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 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. DEAL PERFORMANCE As of the July 12, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 98.6% to $29.2 million from $2.06 billion at securitization. The certificates are collateralized by 4 mortgage loans ranging in size from less than 1% to 66.8% of the pool. One loan, constituting 7.8% 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 2, compared to 4 at Moody's last review. There are no loans on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Twenty-nine loans have been liquidated with a loss from the pool, resulting in an aggregate realized loss of $173.7 million (for an average loss severity of 44%). There are currently no loans in special servicing. As of the July 12, 2017 remittance statement cumulative interest shortfalls were $14.6 million. Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced loans and/or modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. Moody's received full year 2015 operating results for 100% of the pool, and full or partial year 2016 operating results for 100% of the pool (excluding specially serviced and defeased loans). Moody's net cash flow (NCF) reflects a weighted average haircut of 19.8% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 8.95%. Moody's actual and stressed conduit DSCRs are 2.06X and 1.58X, respectively, compared to 1.89X and 1.45X 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 92.2% of the pool balance. The largest loan is the Malibu Country Mart -- 3835 Loan ($19.5 million -- 66.8% of the pool), which is secured by an outdoor lifestyle center located in Malibu, California. As per the April 2017 rent roll the property was 100% occupied, compared to 93% leased as of July 2015. Moody's LTV and stressed DSCR are 58.8% and 1.65X, respectively, compared to 62.3% and 1.56X at the last review. The second largest loan is the Malibu Country Mart - 3900 Loan ($6.8 million -- 23.4% of the pool), which is secured by an outdoor lifestyle center located in Malibu, California. As per the April 2017 rent roll, the property was 93% leased, compared to 100% leased as of July 2015. Moody's LTV and stressed DSCR are 69.5% and 1.4X, respectively, compared to 74.6% and 1.3X at the last review. The third largest loan is the El Dorado Homes Phase III Loan ($.60 million -- 2.1% of the pool), which is secured by a 19 unit low-income housing project located in El Dorado, Arkansas. As per the March 2017 rent roll the property was 100% occupied. Moody's LTV and stressed DSCR are 67.1% and 1.37X, respectively, compared to 63.3% and 1.4X at the last review. MERRILL LYNCH 2007-C1: S&P Affirms B- Rating on Class AM Certs -------------------------------------------------------------- S&P Global Ratings affirmed its ratings on the class A-1A and AM commercial mortgage pass-through certificates from Merrill Lynch Mortgage Trust 2007-C1, a U.S. commercial mortgage-backed securities (CMBS) transaction. S&P said, "Our affirmations follow our analysis of the transaction, primarily using our criteria for rating U.S. and Canadian CMBS transactions, which included a review of the credit characteristics and performance of the remaining assets in the pool, the transaction's structure, and the liquidity available to the trust, as well as our views regarding the collateral's current and future performance. The affirmations on classes A-1A and AM also reflect our expectation that the available credit enhancement for these classes will be within our estimate of the necessary credit enhancement required for the current ratings. "While available credit enhancement levels suggest positive rating movements on classes A-1A and AM, our analysis also considered refinancing risks with some of the performing loans and the susceptibility to reduced liquidity support from the 13 specially serviced assets ($163.6 million, 16.4%), the 14 loans on the master servicers' combined watchlist ($300.1 million, 30.0%), including the corrected DRA/Colonial Office Portfolio loan ($74.4 million, 7.4%), as well as two other corrected mortgage loans, the Empirian Multifamily Portfolio Pool 1 ($293.1 million, 29.3%) and the Empirian Multifamily Portfolio Pool 3 ($240.0 million, 24.0%) loans. In addition, our analysis also considered class AM's recent interest shortfall." TRANSACTION SUMMARY As of the July 14, 2017, trustee remittance report, the collateral pool balance was $1.0 billion, which is 24.7% of the pool balance at issuance. The pool currently includes 27 loans and three real estate owned assets (adjusting for subordinate B hope notes), down from 265 loans at issuance. Thirteen assets are with the special servicer, 14 loans are on the master servicers' combined watchlist, and one loan ($3.8 million, 0.4%) is defeased. The master servicers, Wells Fargo Bank N.A. and KeyBank Real Estate Capital, reported financial information for 73.2% of the nondefeased loans in the pool, of which 82.5% was partial-year or year-end 2016 data, and the remainder was partial-year 2015, year-end 2015, or partial-year 2017 data. S&P said, "We calculated a 0.86x S&P Global Ratings weighted average debt service coverage (DSC) and 103.9% S&P Global Ratings weighted average loan-to-value (LTV) ratio using a 7.72% S&P Global Ratings weighted average capitalization rate. The DSC, LTV, and capitalization rate calculations exclude the defeased loan, 13 specially serviced assets, two subordinate B hope notes ($214.5 million, 21.4%), and two loans on the master servicers' combined watchlist ($8.0 million, 0.8%) that the master servicers informed us were recently transferred or are in the process of being transferred to special servicing. The top 10 loans have an aggregate outstanding pool trust balance of $914.2 million (91.4%). Using adjusted servicer-reported numbers, we calculated an S&P Global Ratings weighted average DSC and LTV ratio of 0.80x and 107.9%, respectively, for six of the top 10 loans. The remaining loans are specially serviced and discussed below. "To date, the transaction has experienced $390.9 million in principal losses, or 9.7% of the original pool trust balance. We expect losses to reach approximately 11.8% of the original pool trust balance in the near term, based on losses incurred to date and additional losses we expect upon the eventual resolution of the 13 specially serviced assets and the two aforementioned loans on the master servicers' combined watchlist." CREDIT CONSIDERATIONS As of the July 14, 2017, trustee remittance report, 13 loans in the pool were with the special servicer, C-III Asset Management LLC (C-III). C-III indicated that the Empirian Multifamily Portfolio Pool 1 and 3 loans (aggregating $533.1 million, 53.3%) were returned back to the master servicer on June 12, 2017, as corrected mortgage loans without any modifications. In addition, the master servicers indicated that two loans on the master servicers' combined watchlist were transferred or in the process of being transferred to special servicing. Details on the two largest specially serviced assets, both of which are top 10 nondefeased loans, are below. The OfficeMax Headquarters loan ($49.0 million, 4.9%), the sixth-largest nondefeased loan in the pool, has a reported $49.0 million total exposure. The loan, which has a reported foreclosure in process payment status, is secured by a 354,098-sq.-ft. suburban office property in Naperville, Ill. The loan was transferred to special servicing on Dec. 20, 2016, due to imminent default. The loan matured on July 1, 2017, and the borrower was unable to pay off the loan. According to C-III, the single tenant occupying 100% of the roperty's space vacated upon its May 31, 2017, lease expiration and the property is currently 100% vacant. C-III stated that it is exploring various liquidation strategies. There is currently no appraisal reduction mount (ARA) in effect against the loan; however, based on the updated 2017 appraisal value, S&P expects a significant loss upon its eventual resolution. The Jefferson Crossing Shopping Center loan ($28.3 million, 2.8%), the seventh-largest nondefeased loan in the pool, has a reported $28.7 million total exposure. The loan, which has a reported nonperforming matured balloon payment status, was transferred to special servicing on May 9, 2017, due to maturity default. The loan matured on May 1, 2017. The loan is secured by a 159,206-sq.-ft. grocery-anchored retail property in Charles Town, W.Va. C-III indicated that it is exploring various liquidation strategies. As of year-end 2016, the reported DSC and occupancy were 1.01x and 84.6%, respectively. An ARA of $7.1 million is in effect against the loan and S&P expects a moderate loss upon its eventual resolution. The 13 remaining assets with the special servicer or expected to be in special servicing, each have individual balances that represent less than 2.3% of the total pool trust balance. S&P estimated losses for the 15 specially serviced assets, arriving at a weighted average loss severity of 51.3%. With respect to the specially serviced assets noted above, a minimal loss is less than 25%, a moderate loss is 26%-59%, and a significant loss is 60% or greater. RATINGS LIST Merrill Lynch Mortgage Trust 2007-C1 Commercial mortgage pass-through certificates series 2007-C1 Rating Class Identifier To From A-1A 59025KAF9 BBB+ (sf) BBB+ (sf) AM 59025KAG7 B- (sf) B- (sf) MJX VENTURE II: Moody's Assigns Ba1(sf) Rating to Cl. E Notes ------------------------------------------------------------- Moody's Investors Service has assigned ratings to eight classes of notes issued by MJX Venture Management II LLC. Moody's rating action is: US$7,421,053 Series B/Class A-1 Notes due 2030 (the "Class A-1 Notes"), Assigned Aaa (sf) US$11,042,948 Series B/Class A-2 Notes due 2030 (the "Class A-2 Notes"), Assigned Aaa (sf) US$1,868,422 Series B/Class B-1 Notes due 2030 (the "Class B-1 Notes"), Assigned Aa1 (sf) US$1,387,500 Series B/Class B-F Notes due 2030 (the "Class B-F Notes"), Assigned Aa1 (sf) US$657,895 Series B/Class C-1 Notes due 2030 (the "Class C-1 Notes"), Assigned Aa3 (sf) US$1,150,000 Series B/Class C-F Notes due 2030 (the "Class C-F Notes"), Assigned Aa3 (sf) US$1,592,381 Series B/Class D Notes due 2030 (the "Class D Notes"), Assigned A3 (sf) US$1,395,000 Series B/Class E Notes due 2030 (the "Class E Notes"), Assigned Ba1 (sf) The Class A-1 Notes, the Class A-2 Notes, the Class B-1 Notes, the Class B-F Notes, the Class C-1 Notes, the Class C-F Notes, the Class D Notes, and the Class E Notes are referred to herein as the "Rated Notes," and together with five unrated supplemental payment notes, are the "Series B Notes." The Series B Notes are the second series of issuance in a program of financing for CLOs to be managed by the Issuer. RATINGS RATIONALE Moody's ratings of the Rated Notes address the expected losses posed to noteholders. The ratings reflect the credit risks of the collateral assets securing the notes, the Issuer's legal structure, and the characteristics of the Issuer's assets. MJX VM II is the collateral manager of Venture XXVIII CLO, Limited (the "Underlying CLO"). The proceeds from the issuance of the Rated Notes will be used to finance the purchase of a 5% vertical slice of all the CLO tranches (the "Underlying CLO Notes") issued by the Underlying CLO, in order for the Issuer to comply with the retention requirements of both the US and EU Risk Retention Rules. MJX VM II also acts as "originator" (as defined in the EU Risk Retention Rules) of a part of the assets of the Underlying CLO (the "Originated Assets"). As a result, MJX VM II is exposed to potential credit and market value risk of the Originated Assets during a holding period from the time the Issuer purchases the Originated Assets in the market by until the Originated Assets are sold from the Issuer to the Underlying CLO. To mitigate these risks, the Issuer incorporates (i) a substantial cash reserve in an escrow account to cover any potential losses during the holding period and until the Originated Assets settle into the CLO and (ii) minimum industry diversity and rating requirements for the Originated Assets. The Rated Notes are collateralized primarily by the Underlying CLO Notes. In addition, the Rated Notes benefit from additional credit enhancement provided by (i) 50% of the senior management fees from the Underlying CLO (the "Pledged Management Fee"), (ii) an unconditional guaranty provided by MJX Asset Management LLC, the indirect parent of the Issuer, up to 10% of the initial aggregate principal amount of the Series B Notes, and, (iii) in the event the Rated Notes experience a default, certain excess collections from other, non-defaulted Series of notes issued by the Issuer. On each payment date, each class of Rated Notes will receive an interest payment equal to 5% of the interest payment paid to the entire class of the related Underlying CLO Notes. In the event of a permitted refinancing or re-pricing, the respective interest amount each class of Rated Notes receives will be reduced by the amount the respective refinancing or re-pricing reduced the interest rates on the Underlying CLO Notes. The Issuer's priority of payments includes an interest trapping mechanism following the occurrence of certain events (the "Cash-Trap Events"). Upon a Cash-Trap Event, after payment of interest on the Rated Notes, all remaining interest proceeds from the Underlying CLO Notes and the Pledged Management Fee will be trapped in a cash-trap account. Cash-Trap Events include, but are not limited to, failure of an overcollateralization test, deferral of interest on certain Underlying CLO Notes, and certain collateral manager-related events. Unless the Cash-Trap Event is cured, amounts in the cash-trap account will be applied to repay the Rated Notes at maturity or redemption. Although the Rated Notes constitute full recourse indebtedness of the Issuer, the holders of the Rated Notes have no right to foreclose upon the assets of the Issuer's other Series and have limited rights to assets constituting excess collections from other Series. Holders of other Series of Debt of the Issuer are likewise precluded from foreclosing on the assets of the Series B Notes and are limited in their rights to excess collections from the Series B Notes. In addition to a variety of other factors, Moody's analysis of the Issuer's bankruptcy remoteness took into account a substantive consolidation legal opinion. The opinion provided comfort that the Issuer's structure and separateness features minimize the risk that a bankruptcy court would order the consolidation of the assets and liabilities of Issuer's parent or the guarantor and the Issuer. Moody's modeled the Rated Notes using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in October 2016. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $574,500,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2775 Weighted Average Spread (WAS): 3.70% Weighted Average Coupon (WAC): 6.50% Weighted Average Recovery Rate (WARR): 45.0% 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 Underlying CLO, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the Underlying CLO will also affect the performance of the Rated Notes. Together with the set of modeling assumptions above, Moody's conducted an additional sensitivity analysis, which was a component in determining the ratings assigned to the Rated Notes. This sensitivity analysis includes increased default probability relative to the base case. Below is a summary of the impact of an increase in default probability (expressed in terms of WARF level) on the Rated Notes (shown in terms of the number of notch difference versus the current model output, whereby a negative difference corresponds to higher expected losses), assuming that all other factors are held equal: Percentage Change in WARF -- increase of 15% (from 2775 to 3191) Rating Impact in Rating Notches Class A-1 Notes: 0 Class A-2 Notes: 0 Class B-1 Notes: 0 Class B-F Notes: 0 Class C-1 Notes: -1 Class C-F Notes: -1 Class D Notes: -2 Class E Notes: 0 Percentage Change in WARF -- increase of 30% (from 2775 to 3608) Rating Impact in Rating Notches Class A-1 Notes: 0 Class A-2 Notes: 0 Class B-1 Notes: -2 Class B-F Notes: -2 Class C-1 Notes: -3 Class C-F Notes: -3 Class D Notes: -3 Class E Notes: -1 MORGAN STANLEY 2006-HQ10: Moody's Affirms Ba2 Rating on A-J Debt ---------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on five classes and downgraded the ratings on two classes in Morgan Stanley Capital I Trust 2006-HQ10: Class A-J, Affirmed Ba2 (sf); previously on December 1, 2016 Affirmed Ba2 (sf) Class B, Downgraded to Caa2 (sf); previously on December 1, 2016 Affirmed Caa1 (sf) Class C, Downgraded to C (sf); previously on December 1, 2016 Affirmed Caa3 (sf) Class D, Affirmed C (sf); previously on December 1, 2016 Affirmed C (sf) Class E, Affirmed C (sf); previously on December 1, 2016 Affirmed C (sf) Class F, Affirmed C (sf); previously on December 1, 2016 Affirmed C (sf) Class X-1, Affirmed C (sf); previously on June 9, 2017 Downgraded to C (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 rating on the IO class was affirmed based on the credit quality of the referenced classes. The ratings on the P&I class were downgraded due to anticipated losses and realized 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 36.4% of the current pooled balance, compared to 27.1% at Moody's last review. Moody's base expected loss plus realized losses is now 9.5% of the original pooled balance, compared to 8.9% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in October 2015. Additionally, the methodology used in rating Cl. X-1 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 87.9% of the pool is in special servicing. In this approach, Moody's determines a probability of default for each specially serviced and troubled loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss from specially serviced to the most junior classes and the recovery as a pay down of principal to the most senior classes. DEAL PERFORMANCE As of the July 14, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 89.9% to $150.1 million from $1,491.0 million at securitization. The certificates are collateralized by 12 mortgage loans ranging in size from less than 1% to 64% of the pool. One loan, constituting 2.8% 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. Twenty nine loans have been liquidated from the pool, resulting in an aggregate realized loss of $87.2 million (for an average loss severity of 36.7%). Nine loans, constituting 87.9% of the pool, are currently in special servicing. The largest specially serviced loan is the PPG Portfolio ($95.6 million -- 64.3% of the pool), which is secured by seven medical office properties located in Arizona, Colorado and Indiana, totaling 435,000 square feet. The loan transferred to special servicing in May 2016 due to imminent maturity default. The loan was scheduled to mature in October 2016 and the foreclosure process is ongoing. The properties face significant tenant rollover in 2017, which impeded the borrower's ability to refinance. The eight remaining loans in special servicing represent 29% of the pool. Moody's estimates an aggregate $53.9 million loss for the specially serviced loans (41% expected loss on average). Moody's received full year 2016 operating results for 100% of the pool, and full or partial year 2017 operating results for 77% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 79.6%, compared to 80.3% 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 23.7% 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 1.61X and 1.53X, respectively, compared to 1.35X and 1.30X 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 12.1% of the pool balance. The largest loan is the Copperwood Apartments Loan ($10.2 million -- 6.8% of the pool). The loan is secured by a 300-unit apartment complex located in The Woodlands, Texas. Built in 1982 and renovated in 2000, this property has enjoyed sustained occupancy at or above 99% since securitization. This loan has amortized 11% since securitization. Moody's LTV and stressed DSCR are 45.9% and 2.06X, respectively, versus 62.7% and 1.51X at the time the of the last review. The second largest loan is the 8 Progress Drive Loan ($4.2 million -- 2.8% of the pool), which is secured by a 63,500 square foot office property located in Shelton, Connecticut. The property was 74% occupied as of December 2016, compared to 83% at last review. The loan has amortized 16% since securitization. Moody's LTV and stressed DSCR are 128.2% and 0.84X, respectively, relative to 86.6% and 1.22X at the time of the last review. The third largest loan is the Dick's Sporting Goods loan ($3.8 million -- 2.5% of the pool), which is secured by a freestanding store in Akron, Ohio. The loan was originally scheduled to mature in October 2016 at its anticipated repayment date. The loan remains current with a final maturity date of October 2036. Given the single tenant exposure for this loan, a lit/dark approach was applied to Moody's net cash flow determination. Moody's LTV and stressed DSCR are 116.6% and 0.88X, respectively. MORGAN STANLEY 2007-TOP27: Fitch Hikes Class C Certs Rating to CCC ------------------------------------------------------------------ Fitch Ratings has upgraded three classes and affirmed 11 classes of Morgan Stanley Capital I Trust, commercial mortgage pass-through certificates, series 2007-TOP27 (MSCI 2007-TOP27). KEY RATING DRIVERS Significant Paydown and Increased Credit Enhancement: The transaction has paid down an additional 58% since Fitch's last rating action, or approximately $1.56 billion. Most of this paydown has occurred in recent months as loans paid off at maturity. In addition, the transaction experienced better than expected recoveries on several of the maturing loans. Since issuance, the transaction has paid down 89.2%, to $293 million from $2.7 billion. Pool Concentration/Adverse Selection: The transaction is highly concentrated with only eight of the original 234 loans remaining. Of the eight remaining loans, four (20.4% of the pool balance) are specially serviced and two (3.5% of the pool balance) are performing but on the master servicer's watchlist. Fitch loans of concern comprise 21.5% of the pool. Due to the pool's concentrated nature, a sensitivity analysis was performed that grouped and ranked the remaining loans by their structural features, performance, estimated likelihood of repayment, and estimated losses on the specially serviced assets. Specially Serviced Assets: The specially serviced loans account for 20.4% of the pool. Town Square Mall is an REO asset (8.0%) that is located in Owensboro, Kentucky and has a dark anchor space from Sears vacating in December 2014. The Residence Inn - Herndon (9.1%) located in Herndon, VA transferred to the special servicer in June 2017 due to maturity default and Marriott is requiring $3 million in PIP expenditures to maintain the Marriott flag through 2023 when the agreement expires. Longer Term Loans: Two of the remaining loans, 360 Park Avenue South and Broadmoor Mini Storage, which consist of 75.5% of the pool, mature in 2022. As of year-end 2016, 360 Park Avenue South had a 1.97x NOI DSCR and is 100% occupied by Reed Elsevier (now known as RELX) until December 2021. RATING SENSITIVITIES The Rating Outlooks on classes A-J and B are Stable due to increasing credit enhancement, continued amortization and expected continued paydown of the pool. The class A-J and B balances are covered by the largest loan in the pool, 360 Park Avenue South. Further upgrades are unlikely considering 360 Park Avenue South's long term loan maturity and Reed Elsevier's (RELX is rated 'BBB+'/'F2' by Fitch) lease expiring in December 2021, which precedes the loan's maturity in March 2022. Downgrades, although unlikely, could occur if the performance 360 Park Avenue South deteriorates. Distressed classes may be subject to further downgrades as additional losses are realized or if losses exceed Fitch's expectations. Fitch has upgraded the following classes and revised Outlooks as indicated: -- $156.6 million class A-J to 'BBBsf' from 'BBsf'; Outlook to Stable from Negative; -- $54.5 million class B to 'BBBsf' from 'CCCsf'; Outlook Stable assigned; -- $30.6 million class C to 'CCCsf' from 'CCsf'; RE 100%. In addition, Fitch has affirmed the following classes: -- $30.6 million class D at 'Csf'; RE 15%; -- $20.7 million class E at 'Dsf'; RE 0%; -- $0 class F at 'Dsf'; RE 0%; -- $0 class G at 'Dsf'; RE 0%; -- $0 class H at 'Dsf'; RE 0%; -- $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%; -- $50.2 million class AW34 at 'AAAsf'; Outlook Stable. The class A-1, A-2, A-3, A-AB, A-4. A-1A, A-M, and A-MFL 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 2012-C6: Fitch Affirms 'Bsf' Rating on Cl. H Certs ----------------------------------------------------------------- Fitch Ratings has affirmed 14 classes from Morgan Stanley Capital I, Inc. MSBAM 2012-C6 commercial mortgage pass-through certificates. KEY RATING DRIVERS Stable Performance: The affirmations are based on generally stable performance of the underlying collateral pool. As of the July 2017 distribution date, the pool's aggregate principal balance has paid down by 21.8% to $878.2 million from $1.12 billion at issuance. Since Fitch's last rating action, six loans totaling $173 million were repaid at or prior to their scheduled maturity dates. Fitch modelled losses of 2.8% of the remaining pool; expected losses based on the original pool balance are 2.2%. The pool has experienced no realized losses to date and there are currently no specially serviced loans. One loan (4.6% of current pool) has been defeased. Pool and Loan Concentrations: The pool is becoming increasingly concentrated with 51 of the original 61 loans remaining as of July 2017. The largest loan represents 14.2% of the current pool and the largest 15 loans represent 70.4% of the pool. Seven loans (38.3%) are secured by properties located in New York and New Jersey, with five of the top 15 loans (32.5% of pool) secured by properties located in Manhattan, NY. High Retail Concentration: Loans secured by retail properties represent 41.4% of the current pool by balance and include four of the top 15 loans (28.9%). There are also two regional malls in the top 5 loans. Greenwood Mall, located in Bowling Green, KY, has had declining inline sales and has exposure to Sears and JCPenney and is currently in the process of replacing a Macy's with Belk. Cumberland Mall, located in Vineland NJ, has had declining net operating income (NOI) since issuance and recently replaced JCPenney who vacated in April 2016 with Dick's Sporting Goods. Maturities: The pool has four loans (9.3% of the current pool) that mature in August, September, or October and all other loans mature in 2022. Amortization: The top two loans in the pool (22.8%) are full time interest only while all other loans are currently amortizing, except for two loans that the interest only period expires in the next couple of months. RATING SENSITIVITIES Rating Outlooks for all classes remain Stable due to overall stable pool performance and expected continued paydown. Future upgrades may be limited due to increasing concentrations and exposure to two regional malls in the top five loans. Fitch's ratings incorporated additional sensitivity stresses on the two malls. Downgrades, although not likely in the near term, may be possible should overall performance decline significantly. Fitch has affirmed the following classes as indicated: -- $57.7 million class A-2 at 'AAAsf'; Outlook Stable; -- $72 million class A-3 at 'AAAsf'; Outlook Stable; -- $411.4 million class A-4 at 'AAAsf'; Outlook Stable; -- $98.3 million class A-S at 'AAAsf'; Outlook Stable; -- $50.6 million class B at 'AAsf'; Outlook Stable; -- $43.5 million class C at 'Asf'; Outlook Stable; -- $0 class PST (Exchangeable) at 'Asf'; Outlook Stable; -- $21.1 million class D at 'BBB+sf'; Outlook Stable; -- $40.7 million class E at 'BBB-sf'; Outlook Stable; -- $9.8 million class F at 'BBB-sf'; Outlook Stable; -- $19.7 million class G at 'BBsf'; Outlook Stable; -- $12.6 million class H at 'Bsf'; Outlook Stable; -- $639.4 million class X-A at 'AAAsf'; Outlook Stable; -- $94.1 million class X-B at 'Asf'; Outlook Stable. The class PST certificates are exchangeable for the class A-S, class B, and class C certificates. Class A-1 has paid in full. Fitch does not rate the class J and X-C certificates. MORGAN STANLEY 2013-C12: Moody's Affirms B1 Rating on Cl. F Certs ----------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on 13 classes in Morgan Stanley Bank of America Merrill Lynch Trust 2013-C12, Commercial Mortgage Pass-Through Certificates: Cl. A-1, Affirmed Aaa (sf); previously on Aug 18, 2016 Affirmed Aaa (sf) Cl. A-2, Affirmed Aaa (sf); previously on Aug 18, 2016 Affirmed Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on Aug 18, 2016 Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Aug 18, 2016 Affirmed Aaa (sf) Cl. A-S, Affirmed Aaa (sf); previously on Aug 18, 2016 Affirmed Aaa (sf) Cl. A-SB, Affirmed Aaa (sf); previously on Aug 18, 2016 Affirmed Aaa (sf) Cl. B, Affirmed Aa3 (sf); previously on Aug 18, 2016 Affirmed Aa3 (sf) Cl. C, Affirmed A3 (sf); previously on Aug 18, 2016 Affirmed A3 (sf) Cl. D, Affirmed Baa3 (sf); previously on Aug 18, 2016 Affirmed Baa3 (sf) Cl. E, Affirmed Ba2 (sf); previously on Aug 18, 2016 Affirmed Ba2 (sf) Cl. F, Affirmed B1 (sf); previously on Aug 18, 2016 Affirmed B1 (sf) Cl. PST, Affirmed A1 (sf); previously on Aug 18, 2016 Affirmed A1 (sf) Cl. X-A, Affirmed Aaa (sf); previously on Aug 18, 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 rating on class PST was affirmed due to the weighted average rating factor (WARF) of the exchangeable classes. The rating on the IO class was affirmed based on the credit quality of the referenced classes. Moody's rating action reflects a base expected loss of 2.0% of the current pooled balance, compared to 2.6% at Moody's last review. Moody's base expected loss plus realized losses is now 1.9% of the original pooled balance, compared to 2.5% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in December 2014. The methodology used in rating the exchangeable class, Cl. PST 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 July 15, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 4.6% to $1.22 billion from $1.28 billion at securitization. The certificates are collateralized by 72 mortgage loans ranging in size from less than 1% to 10.3% of the pool, with the top ten loans (excluding defeasance) constituting 49% of the pool. Two loans, constituting 1.2% 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 28, the same as at Moody's last review. Nine loans, constituting 8.3% 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 currently no loans in special servicing. Moody's received full year 2016 operating results for 100% of the pool, and partial year 2017 operating results for 96% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 91%, 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 16% 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 1.64X and 1.16X, respectively, compared to 1.60X 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 conduit loans represent 24% of the pool balance. The largest loan is the Merrimack Premium Outlets Loan ($125.3 million -- 10.3% of the pool), which is secured by a 408,996 square foot (SF) outlet center located in Merrimack, New Hampshire. The outlet center is situated immediately off the Everett Turnpike within the Southern New Hampshire section of the greater Boston market area, approximately ten miles north of the Massachusetts/New Hampshire border. The property was developed by Simon Property Group, L.P. and opened in June 2012. As of March 2017, the property was 99% leased to roughly 100 tenants. Moody's LTV and stressed DSCR are 93% and 1.05X respectively, compared to 98% and 0.99X at the last review. The second largest loan is the 15 MetroTech Center Loan ($83 million -- 6.8% of the pool), which is secured by a 19-story, Class A office building containing 649,492 SF of net rentable area located in Brooklyn, New York. The loan represents a pari-passu interest in a $156.8 million mortgage loan. It is one of seven Class A buildings situated within the MetroTech Center, all of which are owned by the sponsor. The property was built in 2003 and contains a two-level below-grade parking garage offering 113 spaces. As of March 2017, the building was 100% leased by three credit tenants who signed leases prior to the building's completion. One of the tenants, WellPoint Inc. currently subleases 92% of their space to seven subtenants. The WellPoint Inc. lease represents 60% of the building's net rentable area (NRA) and is scheduled to expire on June 30, 2020. Moody's LTV and stressed DSCR are 84% and 1.15X, respectively, compared to 86% and 1.13X at the last review. The third largest loan is the City Creek Center Loan ($79.4 million -- 6.5% of the pool), which is secured by 348,537 SF of net rentable area contained within a 628,934 SF regional mall located in Salt Lake City, Utah. City Creek Center opened in March 2012 as part of a $1.5 billion mixed-used redevelopment of downtown Salt Lake City that started in 2006. In addition to the subject property, the development contains 2.1 million SF of office space, 800 multi-family units and a 4,000-space subterranean garage. The center is anchored by Macy's and Nordstrom. Both anchor units are owned by their respective tenants and are not contributed as collateral for the loan. The borrower owns a leasehold interest in the majority of the collateral and a fee interest in three restaurants (27,685 SF). The ground-lease is with the Church of Latter-day Saints with an initial term of 30 years through March 21, 2042 and four additional 10-year options. As of March 2017, the collateral property was 98% leased, compared to 97% at securitization. Moody's LTV and stressed DSCR are 75% and 1.23X, respectively, compared to 76% and 1.21X at the last review. MORGAN STANLEY 2013-C7: Moody's Affirms B2 Rating on Cl. G Certs ---------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on 14 classes in Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7, Commercial Mortgage Pass-Through Certificates: Cl. A-2, Affirmed Aaa (sf); previously on Jul 21, 2016 Affirmed Aaa (sf) Cl. A-AB, Affirmed Aaa (sf); previously on Jul 21, 2016 Affirmed Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on Jul 21, 2016 Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Jul 21, 2016 Affirmed Aaa (sf) Cl. A-S, Affirmed Aaa (sf); previously on Jul 21, 2016 Affirmed Aaa (sf) Cl. B, Affirmed Aa3 (sf); previously on Jul 21, 2016 Affirmed Aa3 (sf) Cl. PST, Affirmed A1 (sf); previously on Jul 21, 2016 Affirmed A1 (sf) Cl. C, Affirmed A3 (sf); previously on Jul 21, 2016 Affirmed A3 (sf) Cl. D, Affirmed Baa3 (sf); previously on Jul 21, 2016 Affirmed Baa3 (sf) Cl. E, Affirmed Ba2 (sf); previously on Jul 21, 2016 Affirmed Ba2 (sf) Cl. F, Affirmed Ba3 (sf); previously on Jul 21, 2016 Affirmed Ba3 (sf) Cl. G, Affirmed B2 (sf); previously on Jul 21, 2016 Affirmed B2 (sf) Cl. X-A, Affirmed Aaa (sf); previously on Jul 21, 2016 Affirmed Aaa (sf) Cl. X-B, Affirmed A2 (sf); previously on Jul 21, 2016 Affirmed A2 (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 transaction contains a group of exchangeable certificates. Classes A-S, B and C may be exchanged for Class PST certificates and Class PST may be exchanged for the Classes A-S, B and C. The PST certificates will be entitled to receive the sum of interest and principal distributable on the Classes A-S, B and C certificates that are exchanged for such PST certificates. The rating on the PST class was affirmed based on the weighted average rating factor (or WARF) of its exchangeable classes. The ratings on the IO classes, classes X-A and X-B were affirmed based on the credit quality of the referenced classes. Moody's rating action reflects a base expected loss of 2.0% of the current balance, compared to 2.2% at Moody's last review. Moody's base expected loss plus realized losses is now 2.0% of the original pooled balance, the same as at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The methodologies used in these ratings were "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in December 2014, and "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in October 2015. The methodology used in rating the exchangeable class, Cl. PST was "Moody's Approach to Rating Repackaged Securities" published in June 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. DEAL PERFORMANCE As of the July 17, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 12.1% to $1.23 billion from $1.39 billion at securitization. The certificates are collateralized by 57 mortgage loans ranging in size from less than 1% to 14% of the pool, with the top ten loans constituting 59.1% of the pool. One loan, constituting 1.8% of the pool, has an investment-grade structured credit assessment. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 19, compared to 21 at Moody's last review. Three loans, constituting 17.4% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. One loans have been liquidated from the pool, resulting in an aggregate realized loss of $2.8 million (for an average loss severity of 17.8%). No loans are currently in special servicing. Moody's has assumed a high default probability for three poorly performing loan, constituting 1.3% of the pool, and has estimated an aggregate loss of $2.4 million (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 year 2016 operating results for 97% of the pool. Moody's weighted average conduit LTV is 97%, 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 9% 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 1.74X and 1.10X, respectively, compared to 1.73X and 1.09X 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 Sunvalley Shopping Center Fee Loan ($21.8 million -- 1.8% of the pool), which is secured by the leased fee interest associated with six parcels of land totaling 68.4 acres located in Concord, California. The parcels generate revenue through a ground lease to a 1.4 million square foot regional mall which is operated by an affiliate of Taubman Centers Inc. The mall anchors are JC Penney, Macy's and Sears. Moody's structured credit assessment is aaa (sca.pd), the same as at Moody's last review. The top three conduit loans represent 30% of the pool balance. The largest loan is the Chrysler East Building Loan ($165 million -- 13.5% of the pool), which is secured by a 32-story, 745,000 SF multi-tenant office building within the Grand Central office market of New York, New York. The loan sponsor is Tishman Speyer Properties. Several leases expired in 2014 and 2015 including the two largest tenants at securitization, Credit Agricole (19% of the NRA) and Grant Thorton (8% of the NRA). Both tenants vacated the property, however, Credit Aricole was already subleasing its space and the majority of its original space has been re-leased. Property performance has declined since securitization and the property was 83% leased as of March 2017 compared to 96% at securitization. Moody's LTV and stressed DSCR are 123% and 0.75X, respectively, the same as at Moody's last review. The second largest loan is the Millennium Boston Retail Loan ($101.3 million -- 8.3% of the pool), which is secured by nine commercial condominium units contained within three buildings, totaling 282,000 SF of mixed use space in the Midtown/Theater District area of downtown Boston, Massachusetts. The properties are 100% leased to nine tenants, including Loews Theater, The Sports Club/LA, and CVS. Moody's LTV and stressed DSCR are 82% and 1.05X, respectively, compared to 84% and 1.03X at the last review. The third largest loan is the Solomon Pond Mall Loan ($100.6 million -- 8.2% of the pool), which is secured by a 399,000 SF component of a 885,000 SF regional mall located in Marlborough, Massachusetts (approximately 27 miles west of Boston). The property is anchored by Macy's, JC Penney, and Sears, none of which are part of the loan collateral. The largest collateral tenants are Regal Cinema (17% of the NRA) and Tilt Arcade (7% of the NRA). As of March 2017, the total property was 96% occupied and inline occupancy was 89% occupied. Moody's LTV and stressed DSCR are 92% and 1.15X, respectively, compared to 90% and 1.17X at the last review. MORGAN STANLEY 2016-UBS11: Fitch Affirms B- Rating to Cl. F Certs ----------------------------------------------------------------- Fitch Ratings has affirmed 16 classes of Morgan Stanley Capital l Trust 2016-UBS11 Commercial Mortgage Pass-Through Certificates. KEY RATING DRIVERS Stable Performance: The affirmations are based on the stable performance of the underlying collateral. There have been no material changes to the pool since issuance, and therefore the original rating analysis was considered in affirming the transaction. As of the July, 2017 distribution date, the pool's aggregate balance has been reduced by 1% to $712.5 million, from $719.8 million at issuance. All loans are current and there have been no specially serviced loans. One loan, Irish Hills Plaza & Broadway Plaza (7.8% of the pool), is on the servicer's watchlist. The loan is secured by two anchored retail properties totalling 311,816 square feet, located in San Luis Obispo, CA (Irish Hills) and Santa Maria, CA (Broadway). The loan has been placed on the servicers watchlist due to the largest tenant (23.4% of the combined net rentable area [NRA]; 42% of Broadway Plaza NRA) failing to renew their lease within the 18-month notice period (ended April 2017). A lockbox has been activated, and there are currently no renewal updates for the tenants leases which expire in July 2018 and October 2018. High Lodging Exposure: Approximately 36.0% of the pool by balance, including eight of the top 20 loans, consists of hotel properties. Hotel concentration in the pool is greater than the 2016 and 2015 averages of 16.0% and 17.0%, respectively. Two of the top 10 loans, 132 West 27th Street (9.4% of the pool) and Fairfield Inn Times Square Fee (6.9%), are classified as hotels but are collateralized by a net lease and leased fee interest, respectively. Excluding these two loans, the hotel concentration is 19.6%, which is higher than the 2016 and 2015 averages, respectively. High Pool Concentration: The top 10 loans comprise 65.7% of the pool, which is greater than the 2016 average of 54.8% and the 2015 average of 49.3%. At issuance, the pool's loan concentration index (LCI) was 553, which is greater than the 2016 and 2015 averages of 422 and 367, respectively. Above-Average Amortization: The pool is scheduled to amortize by 14.9%, there are four loans representing 24.0% of the pool that are full-term interest only and six loans representing 16.3% of the pool that are partial interest-only. Additional Debt: Three loans (22.1% of the pool) have non-pooled subordinate debt held outside the trust. At issuance, the Fitch stressed DSCR and LTV for the pool on the total debt are 1.22x and 104.8%, respectively. RATING SENSITIVITIES The Rating Outlook on all classes remains Stable given the relatively stable performance of the transaction since issuance. Fitch does not foresee positive or negative ratings migration until a material economic or asset-level event changes the transaction's overall portfolio level metrics. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third-party due diligence was provided or reviewed in relation to this rating action. Fitch has affirmed the following classes: -- $34.8 million class A-1 at 'AAAsf'; Outlook Stable; -- $60.3 million class A-2 ' at AAAsf'; Outlook Stable; -- $55.9 million class A-SB at 'AAAsf'; Outlook Stable; -- $170 million class A-3 at 'AAAsf'; Outlook Stable; -- $175.5 million class A-4 at 'AAAsf'; Outlook Stable; -- $496.5* million class X-A at 'AAAsf'; Outlook Stable; -- $128.7 million* class X-B at 'A-sf'; Outlook Stable; -- $60.3 million class A-S at 'AAAsf'; Outlook Stable; -- $34.2 million class B at 'AA-sf'; Outlook Stable; -- $34.2 million class C at 'A-sf'; Outlook Stable; -- $36.9* million class X-D at 'BBB-sf'; Outlook Stable; -- $18* million class X-E at 'BB-sf'; Outlook Stable; -- $7.2* million class X-F at 'B-sf'; Outlook Stable; -- $36.9 million class D at 'BBB-sf'; Outlook Stable; -- $18 million class E at 'BB-sf'; Outlook Stable; -- $7.2 million class F at 'B-sf'; Outlook Stable. * Notional amount and interest-only. Fitch does not rate class G or class XG certificates. MP CLO IV: Moody's Assigns Ba3(sf) Rating to Class E-R Sr. Notes ---------------------------------------------------------------- Moody's Investors Service has assigned the following ratings to the following notes (the "Refinancing Notes") issued by MP CLO IV, Ltd.: US$4,000,000 Class X Amortizing Senior Secured Floating Rate Notes due 2029 (the "Class X Notes"), Definitive Rating Assigned Aaa (sf) US$258,000,000 Class A-R Senior Secured Floating Rate Notes Due 2029 (the "Class A-R Notes"), Definitive Rating Assigned Aaa (sf) US$42,000,000 Class B-R Senior Secured Floating Rate Notes due 2029 (the "Class B-R Notes"), Definitive Rating Assigned Aa2 (sf) US$19,400,000 Class C-R Senior Secured Deferrable Floating Rate Notes due 2029 (the "Class C-R Notes"), Definitive Rating Assigned A2 (sf) US$24,600,000 Class D-R Senior Secured Deferrable Floating Rate Notes due 2029 (the "Class D-R Notes"), Definitive Rating Assigned Baa3 (sf) US$24,000,000 Class E-R Senior Secured Deferrable Floating Rate Notes Due 2029 (the "Class E-R Notes"), Definitive Rating Assigned Ba3 (sf) The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of senior secured, broadly syndicated corporate loans. 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 ratings on the Refinancing Notes address the expected losses posed to noteholders. The ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. The Issuer issued the Refinancing Notes in connection with the refinancing of all classes of the secured notes (the "Refinanced Original Notes") previously issued on September 25, 2013. In addition to the issuance of the Refinancing Notes, a variety of other changes to transaction features that occurred in connection with the refinancing: 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: $399,519,377 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 NATIONAL COLLEGIATE 2005-GATE: Moody's Cuts B Debt Rating to Ba1 ---------------------------------------------------------------- Moody's Investors Service downgraded three tranches and confirmed the rating on another tranche in three transactions, The National Collegiate Trust 2005-GATE, National Collegiate Trust 2006-A ("NCT 2006-A") and National Collegiate Trust 2007-A ("NCT 2007-A"). The underlying collateral for these transactions includes private student loans, which are not guaranteed by the US government. The complete rating actions are as follow: Issuer: The National Collegiate Trust 2005-GATE Class B, Downgraded to B1 (sf); previously on Jul 28, 2016 Downgraded to Ba1 (sf) Issuer: National Collegiate Trust 2006-A Cl. B, Confirmed at A3 (sf); previously on May 4, 2017 A3 (sf) Placed Under Review for Possible Upgrade Issuer: National Collegiate Trust 2007-A Cl. B, Downgraded to A3 (sf); previously on May 4, 2017 A1 (sf) Placed Under Review for Possible Downgrade Cl. C, Downgraded to Baa3 (sf); previously on May 4, 2017 Baa2 (sf) Placed Under Review for Possible Downgrade RATINGS RATIONALE The downgrade on the class B notes in NCT 2005-GATE reflects the high probability of the tranche to not pay off by the final maturity date in April 2023. Moody's expects an event of default to be triggered at maturity that could allow the use of amount then standing on the reserve account to partially cover up the principal in default at maturity. Currently, the reserve account is at a floor of $1 million. Moody's assessed a high probability that the remaining principal then due on class B will be paid off as the collateral runs off past the legal final maturity of the tranche. The rating actions on class B of NCT 2006-A and Class B and C of NCT 2007-A, are a result of detailed cash flow analysis of the transactions under various scenarios using additional information provided by the administrator of the issuers. Moody's further assessed the benefit of additional credit enhancement provided by the funded and unfunded guarantee pledges from participating schools on their student loan repayment as well as the limited guarantee provided by Bank of America NA on the repayment of another portion of the pool. In particular, Moody's modeled the allocation of projected loan defaults according to various scenarios using past performance of loans broken down by school. The rating action on NCT 2007-A Class B and C also accounts for the correction disclosed in the rating action taken on May 4, 2017, of a model error in the coding of the waterfall which was triggering an undue turbo payment of the capital structure benefiting the transaction. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Approach to Rating U.S. Private Student Loan-Backed Securities" published in January 2010. On March 22, 2017, Moody's released a Request for Comment, in which it has requested market feedback on potential revisions to its Methodology for "Approach to Assessing Counterparty Risks in Structured Finance". If the revised Methodology is implemented as proposed, the Credit Rating on National Collegiate Trust 2005-GATE, 2006-A and 2007-A are not expected to be affected. Please refer to Moody's Request for Comment, titled " Moody's Proposes Revisions to Its Approach to Assessing Counterparty Risks in Structured Finance," for further details regarding the implications of the proposed Methodology revisions on certain Credit Ratings." Factors that would lead to an upgrade or downgrade of the ratings: Up Among the factors that could drive the ratings up are lower net losses on the underlying assets or higher benefit from the guarantee than Moody's expectation. Down Among the factors that could drive the ratings down are higher net losses on the underlying assets or lower benefit from the guarantee than Moody's expectation. NEW RESIDENTIAL 2017-5: Moody's Gives (P)B1 Rating on 5 Tranches ---------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to 32 classes of notes issued by New Residential Mortgage Loan Trust 2017-5. The NRMLT 2017-5 transaction is a securitization of $336.2 million of first lien, seasoned performing and re-performing mortgage loans with weighted average seasoning of 163 months, weighted average updated LTV ratio of 43.5% and weighted average updated FICO score of 722. Based on the OTS methodology, 94.3% of the loans by scheduled balance have been current every month in the past 24 months. 11.2% of the loans in the pool were previously modified. Nationstar Mortgage LLC (Nationstar Mortgage) and Ocwen Loan Servicing, LLC (Ocwen), will act as primary servicers and Nationstar Mortgage will act as master servicer, successor servicer and special servicer. The complete rating action is: Issuer: New Residential Mortgage Loan Trust 2017-5 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aa1 (sf) Cl. A-3, Assigned (P)A1 (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aa1 (sf) Cl. A-6, Assigned (P)A1 (sf) Cl. A-IO, Assigned (P)Aaa (sf) Cl. B-1, Assigned (P)Aa2 (sf) Cl. B-1A, Assigned (P)Aa2 (sf) Cl. B1-IO, Assigned (P)Aa2 (sf) Cl. B-2, Assigned (P)A2 (sf) Cl. B-2A, Assigned (P)A2 (sf) Cl. B2-IO, Assigned (P)A2 (sf) Cl. B-3, Assigned (P)Baa2 (sf) Cl. B-3A, Assigned (P)Baa2 (sf) Cl. B-3B, Assigned (P)Baa2 (sf) Cl. B-3C, Assigned (P)Baa2 (sf) Cl. B3-IOA, Assigned (P)Baa2 (sf) Cl. B3-IOB, Assigned (P)Baa2 (sf) Cl. B3-IOC, Assigned (P)Baa2 (sf) Cl. B-4, Assigned (P)Ba2 (sf) Cl. B-4A, Assigned (P)Ba2 (sf) Cl. B-4B, Assigned (P)Ba2 (sf) Cl. B4-IOA, Assigned (P)Ba2 (sf) Cl. B4-IOB, Assigned (P)Ba2 (sf) Cl. B-5, Assigned (P)B1 (sf) Cl. B-5A, Assigned (P)B1 (sf) Cl. B-5B, Assigned (P)B1 (sf) Cl. B5-IOA, Assigned (P)B1 (sf) Cl. B5-IOB, Assigned (P)B1 (sf) Cl. B-IO, Assigned (P)A1 (sf) Cl. IO, Assigned (P)Aa1 (sf) RATINGS RATIONALE Our losses on the collateral pool average 1.40% in an expected scenario and reach 8.95% at a stress level consistent with the Aaa ratings on the senior classes. Moody's based Moody's expected losses on the pool 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 final expected losses for the pool reflect the third party review (TPR) findings and Moody's assessment of the representations and warranties (R&Ws) framework for this transaction. To estimate the losses on the pool, Moody's used an approach similar to Moody's surveillance approach. Under this approach, Moody's apply expected annual delinquency rates, conditional prepayment rates (CPRs), loss severity rates and other variables to estimate future losses on the pool. Moody's assumptions on these variables are based on the observed rate of delinquency on seasoned modified and non-modified loans, the collateral attributes of the pool including the percentage of loans that were delinquent in the past 24 months, and the observed performance of recent New Residential Mortgage Loan Trust issuances rated by Moody's. The pool has a significant percentage of adjustable rate mortgages (ARMs) and, in Moody's analysis, Moody's incorporated the effect of rising interest rates on the probability of default for ARMs. For this pool, Moody's used default burnout and voluntary CPR assumptions similar to those detailed in Moody's "US RMBS Surveillance Methodology" for Alt-A loans originated before 2005. Moody's then aggregated the delinquencies and converted them to losses by applying pool-specific lifetime default frequency and loss severity assumptions. Collateral Description NRMLT 2017-5 is a securitization of seasoned performing and re-performing residential mortgage loans which the seller, NRZ Sponsor VII LLC, has previously purchased in connection with the termination of various securitization trusts. The transaction is comprised of 1,312 loans of which 90.3% by principal balance are ARMs. 88.8% of the loans in this pool by balance have never been modified and have been performing while 11.2% of the loans were previously modified but are now current and cash flowing. The weighted average seasoning on the collateral is 163 months. Property values were updated using home data index (HDI) values or broker price opinions (BPOs). HDIs were obtained for 1,295 out of the 1,312 properties contained within the securitization. In addition, updated BPOs were obtained from a third party BPO provider for 303 properties. Third-Party Review ("TPR") and Representations & Warranties ("R&W") A third party due diligence provider, AMC, conducted a compliance review on a sample of 337 mortgage loans for the securitization pool. The regulatory compliance review consisted of a review of compliance with the federal Truth in Lending Act (TILA) as implemented by Regulation Z, the federal Real Estate Settlement Procedures Act (RESPA) as implemented by Regulation X, the disclosure requirements and prohibitions of Section 50(a)(6), Article XVI of the Texas Constitution, federal, state and local anti-predatory regulations, federal and state specific late charge and prepayment penalty regulations, and document review. The TPR identified 303 loans with compliance exceptions, 47 of which were considered to have rating agency grade C or D level exceptions. These C or D level exceptions broadly fell into three categories: missing final HUD-1 Settlement Statements/HUD errors, (TX50(a)(6)) Texas cash-out loan violations, and missing documents or missing information. Moody's applied a small adjustment to Moody's loss severities to account for the C or D level missing final HUD-1 Settlement Statement and HUD errors. For these types of issues, borrowers can raise legal claims in defense against foreclosure as a set off or recoupment and win damages that can reduce the amount of the foreclosure proceeds. Such damages can include up to $4,000 in statutory damages, borrowers' legal fees and other actual damages. Moody's considered but did not apply an adjustment for TX(a)(6) violations due to the small percentage of exceptions and the R&Ws in place to prevent losses to the trust. Moody's did not apply an adjustment for missing documents or missing information identified by the Diligence Provider in part because Moody's separately received and assessed a title report and a custodial report for the mortgage loans in the pool. The third party due diligence provider also conducted reviews of data integrity, pay history, and title/lien on selected samples to confirm that certain information in the mortgage loan files matched the information supplied by the servicers and that the loans in the sample were in first lien position. The pay history and data integrity analysis largely confirmed the accuracy of information provided in the data tape. The TPR also confirmed the first lien position for 277 out of 282 loans subject to the title/lien review. For the five remaining loans, proof of first lien position could only be confirmed using the final title policy as of loan origination. The seller, NRZ Sponsor VII LLC, is providing a representation and warranty for missing mortgage files. To the extent that the indenture trustee, master servicer, related servicer, depositor or custodian has actual knowledge of a defective or missing mortgage loan document or a breach of a representation or warranty regarding the completeness of the mortgage file or the accuracy of the mortgage loan documents, and such missing document, defect or breach is preventing or materially delaying the (a) realization against the related mortgaged property through foreclosure or similar loss mitigation activity or (b) processing of any title claim under the related title insurance policy, the party with such actual knowledge will give written notice of such breach, defect or missing document, as applicable, to the related seller, indenture trustee, depositor, master servicer, related servicer and custodian. Upon notification of a missing or defective mortgage loan file, the related seller will have 120 days from the date it receives such notification to deliver the missing document or otherwise cure the defect or breach. If it is unable to do so, the related seller will be obligated to replace or repurchase the mortgage loan. Despite this provision, Moody's increased Moody's loss severities to account for loans with note instrument issues. This adjustment was based on both the results of the TPR review and because the R&W provider is an unrated entity and weak from a credit perspective. In Moody's analysis Moody's assumed that a small percentage of the projected defaults (calculated based upon the TPR results) will have missing document breaches that will not be remedied and result in higher than expected loss severities. Trustee, Custodian, Paying Agent, Servicers, Master Servicer, Successor Servicer and Special Servicer The transaction indenture trustee is Wilmington Trust, National Association. The custodian functions will be performed by Wells Fargo Bank, N.A. The paying agent and cash management functions will be performed by Citibank, N.A. In addition, Nationstar Mortgage, as master servicer, is responsible for servicer oversight, termination of servicers, and the appointment of successor servicers. Having Nationstar Mortgage as a master servicer mitigates servicing-related risk due to the performance oversight that it will provide. Moody's assess Nationstar Mortgage's servicing quality assessment at SQ2- (Above Average) as a master servicer of residential mortgage loans. Nationstar Mortgage is the named successor servicer for the transaction and will also serve as the special servicer. As the special servicer, it will be responsible for servicing mortgage loans that become 60 or more days delinquent. Nationstar Mortgage will service 76.8% of the loans in the pool by principal balance (895 loans) and Ocwen will service 23.2% of the loans in the pool by principal balance (417 loans). On April 20, 2017, the Consumer Financial Protection Bureau's (CFPB) announced that it had filed suit against Ocwen and a consortium of state mortgage regulators filed cease and desist orders against Ocwen due to alleged violations of state and federal laws. These regulatory actions could adversely impact Ocwen's servicing operations and could result in monetary penalties, judgments, and reputational damage. These potential adverse consequences would in turn increase the probability of an Ocwen bankruptcy. In NRMLT 2017-5, these risks are mitigated by Nationstar Mortgage's roles as master servicer, special servicer, and designated successor servicer. Transaction Structure The transaction cash flows follow a shifting interest structure that allows subordinated bonds to increasingly receive principal prepayments after an initial lock-out period of five years, provided two performance tests are met. To pass the first test, the delinquent and recently modified loan balance cannot exceed 50% of the subordinate bonds outstanding. To pass the second test, cumulative losses cannot exceed certain thresholds that gradually increase over time. Because a shifting interest structure allows subordinated bonds to pay down over time as the loan pool shrinks, senior bonds are exposed to tail risk, i.e., risk of back-ended losses when fewer loans remain in the pool. The transaction provides for a subordination floor that helps to reduce this tail risk. Specifically, the subordination floor prevents subordinate bonds from receiving any principal if the amount of subordinate bonds outstanding falls below 1.50% of the closing principal balance. There is also a provision that prevents subordinate bonds from receiving principal if the credit enhancement for the Class A-1 Note falls below its percentage at closing, 10.00%. These provisions mitigate tail risk by protecting the senior bonds from eroding credit enhancement over time. Other Considerations When analyzing the transaction, Moody's reviewed the transaction's exposure to large potential indemnification payments owed to transaction parties due to potential lawsuits. In particular, Moody's assessed the risk that the indenture trustee would be subject to lawsuits from investors for a failure to adequately enforce the R&Ws against the Seller. Moody's believes that NRMLT 2017-5 is adequately protected against such risk primarily because all of the loans in this transaction are more than 11 years seasoned and the weighted average seasoning is approximately 14 years. Although some loans in the pool were previously delinquent and modified, the loans all have a substantial history of payment performance. This includes payment performance during the recent recession. As such, if loans in the pool were materially defective, such issues would likely have been discovered prior to the securitization. Furthermore, third party due diligence was conducted on a significant random sample of the loans for issues such as data integrity, compliance, and title. As such, Moody's did not apply adjustments in this transaction to account for indemnification payment risk. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for better-than-expected performance include changes to servicing practices that enhance collections or refinancing opportunities that result in prepayments. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. 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. Additionally, the methodology used in rating Cl. A-IO, Cl. B1-IO, Cl. B2-IO, Cl. IO, Cl. B3-IOA, Cl. B3-IOB, Cl. B3-IOC, Cl. B4-IOA, Cl. B4-IOB, Cl. B5-IOA, Cl. B5-IOB, Cl. BIO was "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. OCP CLO 2016-11: S&P Gives Prelim. BB- Rating on Class D-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-1L-R, A-1a-R, A-1b-R, A-2-R, B-R, C-R, and D-R replacement notes from OCP CLO 2016-11 Ltd., a collateralized loan obligation (CLO) originally issued in 2016 that is managed by Onex Credit 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 July 25, 2017. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Aug. 10, 2017, refinancing date, the proceeds from the replacement note issuance are expected to redeem the original notes. S&P said, "At that time, we anticipate withdrawing the ratings on the original notes and assigning ratings to the replacement notes. However, if the refinancing doesn't occur, we may affirm the ratings on the original notes and withdraw our preliminary ratings on the replacement notes. "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction as presented to us in connection with this review, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and we will take further rating actions as we deem necessary." PRELIMINARY RATINGS ASSIGNED OCP CLO 2016-11 Ltd./OCP CLO 2016-11 LLC Replacement class Rating Amount (mil. $) A-1L-R(i) AAA (sf) 207.00 A-1a-R AAA (sf) 95.50 A-1b-R(i) AAA (sf) 0.00 A-2-R AA (sf) 75.50 B-R A (sf) 32.00 C-R BBB (sf) 30.00 D-R BB- (sf) 17.30 (i)Includes $207 million aggregate outstanding amount of class A-1L-R loans that may be converted into class A-1b-R notes if a conversion option has been exercised. OCP CLO 2017-13: S&P Assigns BB-(sf) Rating on Class D Notes ------------------------------------------------------------ S&P Global Ratings assigned its ratings to OCP CLO 2017-13 Ltd./OCP CLO 2017-13 LLC's $516.00 million fixed- and floating-rate notes. The note issuance is a collateralized loan obligation transaction backed primarily by broadly syndicated senior secured term loans. The 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. RATINGS ASSIGNED OCP CLO 2017-13 Ltd./OCP CLO 2017-13 LLC Class Rating Amount (mil. $) A-1a AAA (sf) 366.00 A-1b NR 36.00 A-2a AA (sf) 38.50 A-2b AA (sf) 12.50 B (deferrable) A (sf) 42.00 C (deferrable) BBB- (sf) 33.00 D (deferrable) BB- (sf) 24.00 Subordinate notes NR 57.90 NR--Not rated. OCTAGON INVESTMENT XV: S&P Assigns BB- Rating on Class E-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class X-R, A-1A-R, A-1B-R, B-R, C-R, D-R, and E-R replacement notes from Octagon Investment Partners XV Ltd., a collateralized loan obligation originally issued in 2013 that is managed by Octagon Credit Investors LLC. S&P said, "We withdrew our ratings on the original class A, B-1, B-2, C, D, and E notes following payment in full on the July 19, 2017, refinancing date. We did not rate the refinanced class A-2 notes." On the July 19, 2017, refinancing date, the proceeds from the class X-R,A-1A-R, A-1B-R, B-R, C-R, D-R, and E-R replacement note issuances were used to redeem the original class A, B-1, B-2, C, D, and E notes as outlined in the transaction document provisions. S&P said, "Therefore, we withdrew our ratings on the original notes in line with their full redemption, and we are assigning ratings to the replacement notes. The replacement notes are being issued via a supplemental indenture, which, in addition to outlining the terms of the replacement notes, will also: -- Extend the stated maturity, reinvestment period, and weighted average life test date by five years, while the non-call period will be extended by two years. -- Prohibit the purchase of bonds or letter of credit obligations, changes the overcollateralization test levels, updates S&P Global Ratings' industry codes and recovery rates to conform to current criteria, and incorporates the non-model version of S&P CDO Monitor. -- Increase the allowable 'CCC' and covenant-lite limits to 7.5% and 60.0%, respectively, from 5.0% and 40%. S&P said, "Our 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 our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our 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 our opinion that the credit support available is commensurate with the associated rating levels. "Our review of the transaction also relied in part upon a criteria interpretation with respect to "CDOs: Mapping A Third Party's Internal Credit Scoring System To Standard & Poor's Global Rating Scale," published May 8,2014, which allows us to use a limited number of public ratings from other NRSROs for the purposes of assessing the credit quality of assets not rated by S&P Global Ratings. The criteria provide specific guidance for treatment of corporate assets not rated by S&P Global Ratings, and the interpretation outlines treatment of securitized assets. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and we will take rating actions as we deem necessary." RATINGS ASSIGNED Octagon Investment Partners XV Ltd. Replacement class Rating Amount (mil $) X-R AAA (sf) 5.00 A-1A-R AAA (sf) 278.00 A-1B-R AAA (sf) 18.00 B-R AA (sf) 47.00 C-R A (sf) 30.00 D-R BBB- (sf) 29.00 E-R BB- (sf) 16.80 RATINGS WITHDRAWN Octagon Investment Partners XV Ltd. Rating Original class To From A NR AAA (sf) B-1 NR AA+ (sf) B-2 NR AA+ (sf) C NR A+ (sf) D NR BBB (sf) E NR BB (sf) NR--Not rated. OFSI BSL VIII: S&P Assigns Prelim. BB(sf) Rating on Class E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to OFSI BSL VIII Ltd./OFSI BSL VIII LLC's $371 million floating-rate notes. The note issuance is a collateralized loan obligation transaction backed by broadly syndicated speculative-grade senior secured term loans that are governed by collateral quality tests. The preliminary ratings are based on information as of July 18, 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 OFSI BSL VIII Ltd./OFSI BSL VIII LLC Class Rating Amount (mil. $) X AAA (sf) 3.00 A AAA (sf) 252.00 B AA (sf) 56.00 C (deferrable) A (sf) 20.00 D (deferrable) BBB (sf) 20.00 E (deferrable) BB (sf) 20.00 Subordinate notes (deferrable) NR 37.00 NR--Not rated. OFSI FUND VI: S&P Affirms B(sf) Rating on Class E Notes ------------------------------------------------------- S&P Global Ratings affirmed its ratings on seven classes from OFSI Fund VI Ltd., a U.S. collateralized loan obligation (CLO) transaction that closed in March 2014 and is managed by OFS Capital Management LLC. The transaction is scheduled to remain in its reinvestment period until April 2018. S&P said, "The rating actions follow our review of the transaction's performance using data from the July 2017 trustee report. Since the June 2014 trustee report, the amount of 'CCC' rated assets has increased to $15 million from $0, though there are currently zero defaults in the portfolio. There has also been a slight decline in the overcollateralization (O/C) ratios during this time." The July 2017 trustee report indicated the following O/C changes compared with the June 2014 report: -- The class A O/C ratio decreased to 132.09% from 133.22%. -- The class B O/C ratio decreased to 119.43% from 120.45%. -- The class C O/C ratio decreased to 112.09% from 113.05%. -- The class D O/C ratio decreased to 107.57% from 108.49%. -- The class E O/C ratio decreased to 104.13% from 105.02%. S&P said, "Every class is passing our cash flow stresses with cushion. (The combination notes comprise up to $232 million of the class A-1 and $51 million of the class A-2 notes.) We affirmed our ratings on these classes to maintain the rating cushion because this transaction will continue reinvesting until April 2018 and also to reflect our belief that the credit support available is commensurate with the current rating levels. We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and will take rating actions as we deem necessary." RATINGS AFFIRMED OFSI Fund VI Ltd. Class Rating A-1 AAA (sf) A-2 AA (sf) B A (sf) C BBB (sf) D BB (sf) E B (sf) Combination notes AA (sf) OZLM FUNDING: S&P Assigns B(sf) Rating on Class E-R2 Notes ---------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1-R2, A-2-R2, B-R2, C-R2, and D-R2 notes as well as the new class E-R2 and X notes from OZLM Funding Ltd., a collateralized loan obligation (CLO) originally issued in 2012 that is managed by OZ CLO Management LLC. S&P said, "We withdrew our ratings on the originally refinanced class A-1-R, A-2-R, B-R, C-R, and D-R notes following payment in full on the July 24, 2017, refinancing date." S&P said, "On the July 24, 2017 refinancing date, the proceeds from the class A-1-R2, A-2-R2, B-R2, C-R2, D-R2, E-R2, and X note issuances were used to redeem the originally refinanced class A-1-R, A-2-R, B-R, C-R, and D-R notes as outlined in the transaction document provisions. Therefore, we withdrew our ratings on the original notes in line with their full redemption, and we are assigning ratings to the replacement notes." The replacement notes are being issued via a redrafted indenture, which, in addition to outlining the terms of the replacement notes, will also: -- Extend the stated maturity, reinvestment period, weighted average life test date, and non-call period by two years. -- Change the overcollateralization test levels, update the S&P Global Ratings industry codes and recovery rates to conform to current criteria, and incorporate the non-model version of Standard & Poor's CDO Monitor. -- Increase the allowable covenant-lite limit to 70% from 60%. S&P said, "Our 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 our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our 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 our opinion that the credit support available is commensurate with the associated rating levels. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and we will take rating actions as we deem necessary." RATINGS ASSIGNED OZLM Funding Ltd. Replacement class Rating Amount (mil $) X AAA (sf) 3.00 A-1-R2 AAA (sf) 313.00 A-2-R2 AA (sf) 63.00 B-R2 A (sf) 27.00 C-R2 BBB (sf) 29.50 D-R2 BB (sf) 24.00 E-R2 B (sf) 10.00 RATINGS WITHDRAWN OZLM Funding Ltd. Rating Original class To From A-1-R NR AAA (sf) A-2-R NR AA (sf) B-R NR A (sf) C-R NR BBB (sf) D-R NR BB (sf) NR--Not rated. OZLM FUNDING: S&P Assigns Prelim. B(sf) on Class E-R2 Notes ----------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-1-R2, A-2-R2, B-R2, C-R2, and D-R2 replacement notes and class X and E-R2 notes from OZLM Funding Ltd., a collateralized loan obligation (CLO) originally issued in July 2012 that is managed by OZ CLO Management LLC. The replacement notes will be issued via a proposed amended and restated indenture. S&P said, "The preliminary ratings reflect our opinion that the credit support available is commensurate with the associated rating levels. The refinanced notes are expected to be issued with lower spreads than the original notes. "The preliminary ratings are based on information as of July 21, 2017. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. "On the July 24, 2017, refinancing date, the proceeds from the replacement note issuance are expected to redeem the previously refinanced notes. At that time, we anticipate withdrawing the ratings on those notes and assigning ratings to the replacement notes. However, if the refinancing doesn't occur, we may affirm the ratings on the previously refinanced notes and withdraw our preliminary ratings on the replacement notes." The replacement notes are being issued via a proposed supplemental indenture, which, in addition to outlining the terms of the replacement notes, will also: -- Extend the stated maturity, reinvestment period, weighted average life test date, and non-call period by two years. -- Change the overcollateralization test levels, update the S&P Global Ratings industry codes and recovery rates to conform to current criteria, and incorporate the non-model version of Standard & Poor's CDO Monitor. -- Increase the allowable covenant-lite limit to 70% from 60%. REPLACEMENT AND ORIGINAL NOTE ISSUANCES Replacement notes Class Amount Interest (mil. $) rate (%) X 3.00 LIBOR + 0.90 A-1-R2 313.00 LIBOR + 1.23 A-2-R2 63.00 LIBOR + 1.85 B-R2 27.00 LIBOR + 2.30 C-R2 29.50 LIBOR + 3.60 D-R2 24.00 LIBOR + 6.67 E-R2 10.00 LIBOR + 7.05 Original notes Class Amount Interest (mil. $) rate (%) A-1-R 322.80 LIBOR + 1.52 A-2-R 58.00 LIBOR + 2.35 B-R 37.50 LIBOR + 3.00 C-R 19.10 LIBOR + 4.30 D-R 21.60 LIBOR + 6.70 S&P said, "Our 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 our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and we will take further rating actions as we deem necessary." PRELIMINARY RATINGS ASSIGNED OZLM Funding Ltd. Replacement class Rating Amount (mil. $) X AAA (sf) 3.00 A-1-R2 AAA (sf) 313.00 A-2-R2 AA (sf) 63.00 B-R2 A (sf) 27.00 C-R2 BBB (sf) 29.50 D-R2 BB (sf) 24.00 E-R2 B (sf) 10.00 PALMER SQUARE 2015-2: S&P Assigns B- Rating on Class E-R Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1A-R, A-2-R, B-R, C-R, D-R, and E-R replacement notes from Palmer Square CLO 2015-2 Ltd., a collateralized loan obligation (CLO) originally issued in 2015 that is managed by Palmer Square Capital Management LLC. S&P withdrew its ratings on the class A-1A, A-1B, A-2, B, C, D, and E notes following payment in full on the July 20, 2017, refinancing date. On the July 20, 2017, refinancing date, the proceeds from the class A-1A-R, A-1B-R A-2-R, B-R, C-R, D-R, and E-R replacement note issuances were used to redeem the class A-1A, A-1B, A-2, B, C, D, and E notes as outlined in the transaction document provisions. S&P said, "Therefore, we withdrew our rating on the original notes in line with their full redemption, and we are assigning a rating to the replacement notes." The replacement notes are being issued via an amended indenture, which, in addition to outlining the terms of the replacement notes, will also: -- Extend the reinvestment period end date and stated maturity by three years. -- Upsize the transaction to a target par balance of $550 million. S&P said, "Our 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 our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our 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 our opinion that the credit support available is commensurate with the associated rating levels. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and we will take rating actions as we deem necessary." RATINGS ASSIGNED Palmer Square CLO 2015-2 Ltd. Amount Replacement class Rating (mil $) A-1A-R AAA (sf) 330.00 A-1B-R NR 20.50 A-2-R AA (sf) 68.90 B-R A (sf) 31.50 C-R BBB- (sf) 33.00 D-R BB- (sf) 19.25 E-R B- (sf) 8.25 RATINGS WITHDRAWN Palmer Square CLO 2015-2 Ltd. Rating Class To From A-1A NR AAA (sf) A-1B NR AAA (sf) A-2 NR AA (sf) B NR A (sf) C NR BBB (sf) D NR BB (sf) E NR B (sf) NR--Not rated. PREFERRED TERM XIX: Moody's Hikes Rating on Cl. C Notes to B2(sf) ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Preferred Term Securities XIX, Ltd. and PreTSL Combination Certificates: Issuer: Preferred Term Securities XIX, Ltd.: US $385,300,000 Floating Rate Class A-1 Senior Notes Due 2035 (current balance of $242,992,402), Upgraded to Aa1 (sf); previously on March 4, 2016 Upgraded to Aa2 (sf) US$98,100,000 Floating Rate Class A-2 Senior Notes Due 2035 (current balance of $91,542,851), Upgraded to Aa3 (sf); previously on March 4, 2016 Upgraded to A1 (sf) US$87,600,000 Floating Rate Class B Mezzanine Notes Due 2035 (current balance of $81,744,867), Upgraded to Baa2 (sf); previously on March 4, 2016 Upgraded to Baa3 (sf) US$82,800,000 Floating Rate Class C Mezzanine Notes Due 2035 (current balance of $81,050,972), Upgraded to B2 (sf); previously on May 9, 2016 Downgraded to Caa1 (sf) Issuer: PreTSL Combination Certificates: US$9,000,000 Combination Certificates, Series P XIX-4 (composed of components representing US$4,000,000 of Class B Notes and US$5,000,000 of Subordinate Income Notes issued by Preferred Term Securities XIX, Ltd.) due December 22, 2035 (current rated balance of $5,106,941), Upgraded to B3 (sf); previously on August 5, 2014 Upgraded to Caa2 (sf) Moody's also affirmed the rating on the following notes issued by PreTSL Combination Trust I: US$15,200,000 Combination Certificates, Series P XIX-1 (composed of components representing US$7,600,000 of Class A-1 Notes and US$6,300,000 of Subordinate Income Notes issued by Preferred Term Securities XIX, Ltd., and US$4,180,000 of FNMA strip) due December 22, 2035 (current rated balance of $7,462,710), Affirmed Aaa (sf); previously on March 4, 2016 Affirmed Aaa (sf) Preferred Term Securities XIX, Ltd., issued in September 2005, is a collateralized debt obligation (CDO) backed mainly by a portfolio of bank and insurance trust preferred securities (TruPS). RATINGS RATIONALE The rating actions are primarily a result of an increase in the transaction's over-collateralization (OC) ratios, the resumption of interest payments of previously deferring assets, and full repayment of the Class C notes' deferred interest balance since June 2016. 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 217.5%, 158.0%, 127.0% and 106.3%, respectively, from June 2016 levels of 200.5%, 146.3%, 117.9% and 97.5%, respectively. Since June 2016, one previously deferring asset has resumed making interest payments on its TruPS, totaling $27 million in par. Additionally, because the deal has cured its breach of the Class B OC trigger, $7.9 million of excess interest was used to pay the Class C notes' deferred interest balance, which was paid in full in March 2017. Based on the trustee report in June 2017, the Class C OC ratio of 103.13% continued to fail its trigger of 105.40%, and because of a structural feature excess interest is and will continue to pay down the Class A-1, A-2, B and C notes on a pro rata basis until the Class C OC breach is cured. The rating action on PreTSL Combination Certificates, Series P XIX-4 also reflects the correction of a prior error. In previous rating actions, the outstanding amount of the rated balance of the combination notes was miscalculated due to an input error. This error has now been corrected, and action reflects this change. Methodology Underlying the Rating Action The principal methodology used in these ratings was "Moody's Approach to Rating TruPS CDOs" published in October 2016. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: This transaction is subject to a number of factors and circumstances that could lead to either an upgrade or downgrade of the ratings, as described below: 1) Macroeconomic uncertainty: TruPS CDOs performance could be negatively affected by uncertainty about credit conditions in the general economy. Moody's has a stable outlook on the US banking sector. Moody's maintains its stable outlook on the US insurance sector. 2) Portfolio credit risk: Credit performance of the assets collateralizing the transaction that is better than Moody's current expectations could have a positive impact on the transaction's performance. Conversely, asset credit performance weaker than Moody's current expectations could have adverse consequences on the transaction's performance. 3) Deleveraging: One source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds and excess interest proceeds will continue and at what pace. Note repayments that are faster than Moody's current expectations could have a positive impact on the notes' ratings, beginning with the notes with the highest payment priority. 4) Resumption of interest payments by deferring assets: A number of banks have resumed making interest payments on their TruPS. The timing and amount of deferral cures could have significant positive impact on the transaction's over-collateralization ratios and the ratings on the notes. 5) Exposure to non-publicly rated assets: The deal contains a large number of securities whose default probability Moody's assesses through credit scores derived using RiskCalc™ or credit estimates. Because these are not public ratings, they are subject to additional uncertainties. In addition to the base case analysis, Moody's also conducted sensitivity analyses to test the impact of a number of default probabilities on the rated notes relative to the base case modeling results, which may be different from the current public ratings of the notes. Below is a summary of the impact of different default probabilities (expressed in terms of WARF) on all of the rated notes (by the difference in the number of notches versus the current model output, for which a positive difference corresponds to lower expected loss): Assuming a two-notch upgrade to assets with below-investment grade ratings or rating estimates (WARF of 586) Class A-1: 0 Class A-2: +2 Class B: +3 Class C: +4 Series P XIX-1: 0 Series P XIX-4: +2 Assuming a two-notch downgrade to assets with below-investment grade ratings or rating estimates (WARF of 1508) Class A-1: -1 Class A-2: -2 Class B: -2 Class C: -2 Series P XIX-1: 0 Series P XIX-4: -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 and (after treating deferring securities as performing if they meet certain criteria) of $528.6 million, defaulted/deferring par of $24 million, a weighted average default probability of 10.23% (implying a WARF of 949), 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 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. PRUDENTIAL 2003-PWR1: Fitch Cuts Rating on Class F Certs to Csf --------------------------------------------------------------- Fitch Ratings has downgraded one and affirmed seven classes of Prudential Commercial Mortgage Trust 2003-PWR1 (PCMT 2003-PWR1) commercial mortgage pass-through certificates. KEY RATING DRIVERS The downgrade to class F is due to continued uncertainty of losses surrounding the sole remaining loan in the transaction, Brandywine Office Building & Garage, which re-transferred to special servicing in February 2017. The property securing the loan is a 443,632 sf, 18-story office building located in Wilmington, DE. The subject experienced a sharp decline in performance at the height of the great recession, with occupancy falling to as low as 34% in 2011. The loan has had lengthy stays in special servicing, once modified in 2011 and again modified in 2016. The loan was returned to the master servicer in June 2016; however, it re-defaulted in February of this year after the borrower indicated cash flow was insufficient to cover an interest rate increase. Based on numerous unsuccessful attempts to correct and stabilize the loan, and given the loan's performance remains below market (property occupancy was 43% as of March 2017), Fitch feels there is a high level of uncertainty in the property's market value. In addition, with the loan's recent return to special servicing, there is potential for workout-related expenses to increase. RATING SENSITIVITIES The ratings are expected to remain distressed given the final outstanding loan in the pool is underperforming and in special servicing. Downgrades are expected when losses impact classes F and G. Fitch downgrades the following class: -- $8.8 million class F to 'Csf' from 'CCCsf'; RE 25%. Fitch affirms the following classes: -- $12 million class G at 'Csf'; RE 0%; -- $8.2 million 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%. REALT 2014-1: Fitch Affirms 'Bsf' Rating on Class G Certificates ---------------------------------------------------------------- Fitch Ratings has affirmed seven classes of Real Estate Asset Liquidity Trust's (REALT) commercial mortgage pass-through certificates, series 2014-1. All currencies are in Canadian dollars (CAD). KEY RATING DRIVERS Stable Loss Projections: Fitch's modeled loss estimates are unchanged since the last review and pool performance remains in line with expectations. Lodging Concerns: Fitch continues to monitor two loans in the top 15 which are secured by hotels and have experienced performance declines since issuance. One of these two loans is full recourse to the sponsor, while the other has no recourse. Recourse: Over 90% of the pool features full or partial recourse to the borrower and/or sponsor. Amortization: The pool has a weighted-average amortization term of 26.7 years. There are no partial or full interest-only loans. Since issuance, the pool has experienced 6.3% collateral reduction. RATING SENSITIVITIES The Negative Outlook on class G reflects declining performance of the hotel assets within the pool coupled with slow growth forecasts for the hotel sector. Stable Outlooks reflect overall stable loss projections and continued amortization. Upgrades may occur with improved pool performance and significant paydown or defeasance, though would be unlikely without timely and robust servicer reporting. Downgrades to the classes are possible should pool performance decline and loss projections increase. Fitch has affirmed the following ratings: -- $223.9 million class A at 'AAAsf', Outlook Stable; -- $7.0 million class B at 'AAsf', Outlook Stable; -- $9.1 million class C at 'Asf', Outlook Stable; -- $7.7 million class D at 'BBBsf', Outlook Stable; -- $3.5 million class E at 'BBB-sf', Outlook Stable; -- $3.2 million class F at 'BBsf', Outlook Stable; -- $2.8 million class G at 'Bsf', Outlook Negative. All currencies are in Canadian dollars (CAD). Fitch does not rate the interest-only class X or the non-offered $5.6 million class H certificate. ROCKWELL CHARTER: S&P Rates 2017A/B School Bonds 'BB' ----------------------------------------------------- S&P Global Ratings has assigned its 'BB' rating to the Utah Charter School Finance Authority's series 2017A and 2017B charter school revenue bonds issued for Rockwell Charter High School (RCHS), Utah. The outlook is stable. S&P said, "We have assessed RCHS' enterprise profile as adequate, characterized by weak demand with thin enrollment levels, a stable board, and an experienced management team. RCHS' financial profile is vulnerable in our view, with a small operating base and a high debt burden, but with solid liquidity." "While RCHS has modest enrollment levels compared with peers and is also highly leveraged, management's tenured-and-stable team coupled with its support from Red Apple Financial to manage business functions within a supportive charter school state, should allow for enterprise and financial profiles in line with the recommended rating level," said S&P Global Ratings credit analyst Brian Marshall. S&P said, "We believe that, combined, these credit factors lead to an indicative stand-alone credit profile of 'bb' and a final rating of 'BB'. The 'BB' rating reflects S&P's view of the school's: -- Modest enrollment levels with no historical waitlist; -- Highly leveraged position; -- Risk, as with other charter schools, that the charter could be revoked (although Utah's charter authorizations are evergreen). Partly offsetting the above credit limitations, in S&P's view, are RCHS': -- Healthy liquidity position and acceptable pro forma maximum annual debt service (MADS) coverage at fiscal year-end 2016; -- Stable board and tenured management team, coupled with the business management and back-office support of Red Apple Financial; and -- Limited additional debt plans, with no intent of expanding over the outlook horizon. S&P said, "The stable outlook reflects our expectation that, over our one-year outlook horizon, the charter school will maintain a steady financial profile by continuing to generate positive revenue over expenses, keep its MADS and debt service coverage at current rating-category medians, and maintain its stable cash position. We anticipate the school's demand profile will continue to support stable enrollment trends and good retention levels. "We could lower the rating if enrollment materially declines, operations produce deficits, MADS coverage weakens, the school incurs additional debt plans, or cash on hand decreases significantly. "A positive rating action is unlikely over the outlook period, given the school's modest demand and competition profile and high debt burden. However, we could raise the rating if the school's debt burden moderates to levels more in line with those of higher-rated peers, while maintaining stable enrollment trends, satisfactory MADS coverage, and healthy liquidity. SILVER CREEK: Moody's Assigns Ba3sf Ratings on 2 Tranches --------------------------------------------------------- Moody's Investors Service has assigned the following ratings to the following notes (the "Refinancing Notes") issued by Silver Creek CLO, Ltd.: US$3,000,000 Class X Senior Secured Floating Rate Notes due 2030 (the "Class X Notes"), Assigned Aaa (sf) US$225,400,000 Class A-R Senior Secured Floating Rate Notes due 2030 (the "Class A-R Notes"), Assigned Aaa (sf) US$36,600,000 Class B-R Senior Secured Floating Rate Notes due 2030 (the "Class B-R Notes"), Assigned Aa2 (sf) US$17,600,000 Class C-R Secured Deferrable Floating Rate Notes due 2030 (the "Class C-R Notes"), Assigned A2 (sf) US$21,600,000 Class D-R Secured Deferrable Floating Rate Notes due 2030 (the "Class D-R Notes"), Assigned Baa3 (sf) US$7,800,000 Class E-1R Secured Deferrable Floating Rate Notes due 2030 (the "Class E-1R Notes"), Assigned Ba3 (sf) US$10,000,000 Class E-2R Secured Deferrable Floating Rate Notes due 2030 (the "Class E-2R 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. CreekSource LLC (the "Manager") manages the CLO. It directs the selection, acquisition, and disposition of collateral on behalf of the Issuer. RATINGS RATIONALE Moody's ratings on the Refinancing Notes address the expected losses posed to noteholders. The ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. The Issuer has issued the Refinancing Notes on July 20, 2017 (the "Refinancing Date") in connection with the refinancing of all classes of the secured notes (the "Refinanced Original Notes") previously issued on July 18, 2014 (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 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: $346,815,465 Defaulted par: $0 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2777 Weighted Average Spread (WAS): 3.20% Weighted Average Coupon (WAC): 7.50% Weighted Average Recovery Rate (WARR): 48.0% Weighted Average Life (WAL): 9 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in October 2016. Factors That Would Lead to an Upgrade or 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 2777 to 3194) Rating Impact in Rating Notches Class X Notes: 0 Class A-R Notes: 0 Class B-R Notes: -2 Class C-R Notes: -2 Class D-R Notes: -1 Class E-1R Notes: -1 Class E-2R Notes: -1 Percentage Change in WARF -- increase of 30% (from 2777 to 3610) Rating Impact in Rating Notches Class X Notes: 0 Class A-R Notes: -1 Class B-R Notes: -3 Class C-R Notes: -4 Class D-R Notes: -2 Class E-1R Notes: -1 Class E-2R Notes: -1 SLM STUDENT 2004-10: Moody's Puts Cl. B Debt's Ba1 Rating on Review ------------------------------------------------------------------- Moody's Investors Service has placed 38 tranches on review for downgrade and 2 tranches on review for upgrade in 14 asset-backed securities (ABS) securitizations after the rating agency revised its approach to assessing counterparty risks in structured finance. All 14 securitizations are backed by student loans made under the Federal Family Education Loan Program (FFELP) that are guaranteed by US government for a minimum of 97% of defaulted principal and accrued interest. 12 securitizations have outstanding currency swaps and two securitization have outstanding fixed floating swaps. The complete rating actions are: Issuer: Education Loan Asset-Backed Trust I (2003 Trust Indenture) 2003-2A-2, Aa1 (sf) Placed Under Review for Possible Downgrade; previously on Nov 10, 2016 Downgraded to Aa1 (sf) 2003-2A-3, Aa1 (sf) Placed Under Review for Possible Downgrade; previously on Nov 10, 2016 Downgraded to Aa1 (sf) 2003-2A-5, Aa1 (sf) Placed Under Review for Possible Downgrade; previously on Nov 10, 2016 Downgraded to Aa1 (sf) 2003-2A-1, Aa1 (sf) Placed Under Review for Possible Downgrade; previously on Nov 10, 2016 Downgraded to Aa1 (sf) 2003-2A-8, Aa1 (sf) Placed Under Review for Possible Downgrade; previously on Nov 10, 2016 Downgraded to Aa1 (sf) 2003-2A-11, Aa1 (sf) Placed Under Review for Possible Downgrade; previously on Nov 10, 2016 Downgraded to Aa1 (sf) 2003-2A-13, Aa1 (sf) Placed Under Review for Possible Downgrade; previously on Nov 10, 2016 Downgraded to Aa1 (sf) Sr Ser. 03-1A10, Aa1 (sf) Placed Under Review for Possible Downgrade; previously on Nov 10, 2016 Downgraded to Aa1 (sf) Sr Ser. 03-1A11, Aa1 (sf) Placed Under Review for Possible Downgrade; previously on Nov 10, 2016 Downgraded to Aa1 (sf) Senior Ser. 2003-1A-7, Aa1 (sf) Placed Under Review for Possible Downgrade; previously on Nov 10, 2016 Downgraded to Aa1 (sf) Senior Ser. 2003-1A-8, Aa1 (sf) Placed Under Review for Possible Downgrade; previously on Nov 10, 2016 Downgraded to Aa1 (sf) Senior Ser. 2003-1A-2, Aa1 (sf) Placed Under Review for Possible Downgrade; previously on Nov 10, 2016 Downgraded to Aa1 (sf) Issuer: Goal Capital Funding Trust 2006-1 Cl. A-5, Aa1 (sf) Placed Under Review for Possible Downgrade; previously on Nov 10, 2016 Confirmed at Aa1 (sf) Cl. A-6, Aa2 (sf) Placed Under Review for Possible Downgrade; previously on Nov 10, 2016 Confirmed at Aa2 (sf) Cl. B, A2 (sf) Placed Under Review for Possible Downgrade; previously on Nov 10, 2016 Upgraded to A2 (sf) Issuer: Nelnet Student Loan Trust 2006-2 Cl. A-7, A3 (sf) Placed Under Review for Possible Downgrade; previously on Nov 15, 2016 Downgraded to A3 (sf) Cl. B, Baa3 (sf) Placed Under Review for Possible Downgrade; previously on Nov 15, 2016 Downgraded to Baa3 (sf) Issuer: New Mexico Educational Assistance Foundation - Education Loan Bonds (2010 Indenture) Series 2010-1 A-3, Aaa Placed Under Review for Possible Downgrade; previously on Nov 22, 2016 Upgraded to Aaa Issuer: SLC Student Loan Trust 2008-1 Cl. A-4A, Aaa (sf) Placed Under Review for Possible Downgrade; previously on May 5, 2014 Affirmed Aaa (sf) Cl. A-4B, Aaa (sf) Placed Under Review for Possible Downgrade; previously on May 5, 2014 Affirmed Aaa (sf) Cl. B, Aa2 (sf) Placed Under Review for Possible Downgrade; previously on Nov 18, 2016 Confirmed at Aa2 (sf) Issuer: SLM Student Loan Trust 2003-10 Cl. A-4, A1 (sf) Placed Under Review for Possible Upgrade; previously on Nov 18, 2016 Downgraded to A1 (sf) Issuer: SLM Student Loan Trust 2003-12 Cl. A-6, Aa2 (sf) Placed Under Review for Possible Downgrade; previously on Nov 18, 2016 Confirmed at Aa2 (sf) Cl. B, Baa3 (sf) Placed Under Review for Possible Downgrade; previously on Nov 18, 2016 Downgraded to Baa3 (sf) Issuer: SLM Student Loan Trust 2004-10 Cl. B, Ba1 (sf) Placed Under Review for Possible Downgrade; previously on Nov 18, 2016 Upgraded to Ba1 (sf) Issuer: SLM Student Loan Trust 2004-2 Cl. A-5, Aaa (sf) Placed Under Review for Possible Downgrade; previously on May 5, 2014 Affirmed Aaa (sf) Cl. A-6, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Nov 18, 2016 Confirmed at Aaa (sf) Cl. B, A3 (sf) Placed Under Review for Possible Downgrade; previously on Nov 18, 2016 Downgraded to A3 (sf) Issuer: SLM Student Loan Trust 2004-5 Cl. A-6, Aa3 (sf) Placed Under Review for Possible Downgrade; previously on Nov 18, 2016 Downgraded to Aa3 (sf) Issuer: SLM Student Loan Trust 2005-9 Cl. A-7a, Aa3 (sf) Placed Under Review for Possible Downgrade; previously on Nov 18, 2016 Confirmed at Aa3 (sf) Cl. A-7b, Aa3 (sf) Placed Under Review for Possible Downgrade; previously on Nov 18, 2016 Confirmed at Aa3 (sf) Cl. B, Baa2 (sf) Placed Under Review for Possible Downgrade; previously on Nov 18, 2016 Downgraded to Baa2 (sf) Issuer: SLM Student Loan Trust 2006-10 Cl. A-6, Aa1 (sf) Placed Under Review for Possible Downgrade; previously on Nov 18, 2016 Downgraded to Aa1 (sf) Cl. B, A3 (sf) Placed Under Review for Possible Downgrade; previously on Nov 18, 2016 Downgraded to A3 (sf) Issuer: SLM Student Loan Trust 2006-4 Cl. A-6, Aa1 (sf) Placed Under Review for Possible Downgrade; previously on Nov 18, 2016 Upgraded to Aa1 (sf) Cl. B, Baa2 (sf) Placed Under Review for Possible Upgrade; previously on Nov 18, 2016 Downgraded to Baa2 (sf) Issuer: SLM Student Loan Trust 2007-4 Cl. A-5, A1 (sf) Placed Under Review for Possible Downgrade; previously on Nov 18, 2016 Downgraded to A1 (sf) Cl. B-1, A1 (sf) Placed Under Review for Possible Downgrade; previously on Nov 18, 2016 Downgraded to A1 (sf) Cl. B-2A, Baa3 (sf) Placed Under Review for Possible Downgrade; previously on Nov 18, 2016 Downgraded to Baa3 (sf) Cl. B-2B, Baa3 (sf) Placed Under Review for Possible Downgrade; previously on Nov 18, 2016 Downgraded to Baa3 (sf) RATINGS RATIONALE The rating actions reflect the updates to Moody's structured finance rating methodologies with respect to assessing exposure to swap counterparties. Moody's reduced the value of certain notching uplifts in connection with swaps subject to margining requirements. Under new swap margin rules, certain structured finance swaps entered into or transferred after March 1, 2017 must include collateral posting obligations for both parties (two-way posting). The requirement for two-way posting reduces the likelihood of counterparty replacement for existing structured finance swaps, and therefore an increased probability of securitizations' swaps to become unhedged. Since US law provides that, should the swap be replaced, the replacement counterparty must collect margin from the issuer, Moody's will generally apply no notching uplifts relating to (1) any transfer trigger or collateral provisions in the swap; or (2) the issuer's ability to replace a defaulting out-the-money swap. The review for downgrade on 12 tranches in Education Loan Asset-Backed Trust I (2003 Trust Indenture) also reflects the correction of an error. In prior rating actions too much benefit was given to the swap. This error has now been corrected, and rating actions reflect this change. The review for upgrade on Class A-4 in SLM Student Loan Trust 2003-10 was due to the successful remarketing of Class A3 in the same securitization and the review for upgrade on Class B in SLM Student Loan Trust 2006-4 was a result of the maturity extension on the tranche. The benefit of both actions is likely to outweigh the negative impact from reducing notching uplifts in connection with swap subject to margining requirements. Moody's expects to conclude Moody's reviews of the affected ratings within six months from the date of publication of the updated approach to assessing counterparty risks in structured finance. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Approach to Rating Securities Backed by FFELP Student Loans" published August 2016. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the ratings if the paydown speed of the loan pool increases as a result of declining borrower usage of deferment, forbearance and IBR, increasing voluntary prepayment rates, or prepayments with proceeds from sponsor repurchases of student loan collateral. Moody's could also upgrade the rating owing to a build-up in credit enhancement and upgrades of ratings or CR Assessments on the swap counterparties. Down Moody's could downgrade the ratings if the paydown speed of the loan pool declines as a result of low voluntary prepayments, and high deferment, forbearance and IBR rates, which would threaten full repayment of the classes by their final maturity dates. In addition, because the US Department of Education guarantees at least 97% of principal and accrued interest on defaulted loans, Moody's could downgrade the ratings of the notes if it were to downgrade the rating on the United States government. Moody's could also downgrade the rating owing to downgrades of ratings or CR Assessments on the swap counterparties. TABERNA PREFERRED II: Moody's Hikes Rating on Cl. A-1C Notes to B3 ------------------------------------------------------------------ Moody's Investors Service has upgraded the ratings on the following notes issued by Taberna Preferred Funding II, Ltd.: US$400,000,000 Class A-1A First Priority Delayed Draw Senior Secured Floating Rate Notes Due 2035 (current balance of $170,564,182), Upgraded to B3 (sf); previously on December 8, 2010 Downgraded to Caa1 (sf); US$106,500,000 Class A-1B First Priority Senior Secured Floating Rate Notes Due 2035 (current balance of $45,412,712), Upgraded to B3 (sf); previously on December 8, 2010 Downgraded to Caa1 (sf); US$10,000,000 Class A-1C First Priority Senior Secured Fixed/Floating Rate Notes Due 2035 (current balance of $4,264,105), Upgraded to B3 (sf); previously on December 8, 2010 Downgraded to Caa1 (sf); Taberna Preferred Funding II, Ltd., issued in June 2005, is a collateralized debt obligation (CDO) backed mainly by a portfolio of REIT trust preferred securities (TruPS), with exposure to CMBS and CRE CDO tranches. RATINGS RATIONALE The rating actions are primarily a result of the deleveraging of the Class A-1A, A-1B and A-1C notes and an increase in the transaction's over-collateralization (OC) ratios. The Class A-1A, A-1B and A-1C notes have paid down collectively by approximately 20.7% or $57.6 million since July 2016, using principal proceeds from redemptions and recoveries of the underlying assets, as well as the diversion of excess interest proceeds. Based on Moody's calculations, the OC ratios for the Class A-1 notes have improved to 151.2% from 133.2% in July 2016. The rating actions also took into consideration an Event of Default (EoD) and subsequent acceleration of the transaction in 2009. The transaction declared an EoD because of missed interest payments on the Class A-1, A-2 and B notes, according to Section 5.1(a) of the indenture. Additionally, two pay-fixed receive-floating interest rate swaps matured in 2015, freeing up excess interest to repay the Class A-1 notes' principal. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Approach to Rating TruPS CDOs," published in October 2016. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: This transaction is subject to a number of factors and circumstances that could lead to either an upgrade or downgrade of the ratings, as described below: 1) Macroeconomic uncertainty: TruPS CDOs performance could be negatively affected by uncertainty about credit conditions in the general economy. Moody's has a stable outlook on the US REIT sector. 2) Portfolio credit risk: Credit performance of the assets collateralizing the transaction that is better than Moody's current expectations could have a positive impact on the transaction's performance. Conversely, asset credit performance weaker than Moody's current expectations could have adverse consequences on the transaction's performance. 3) Deleveraging: One source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds and excess interest proceeds will continue and at what pace. Note repayments that are faster than Moody's current expectations could have a positive impact on the notes' ratings, beginning with the notes with the highest payment priority. 4) Exposure to non-publicly rated assets: The deal contains a large number of securities whose default probability Moody's assesses through credit scores derived using credit estimates. Because these are not public ratings, they are subject to additional uncertainties. In addition to the base case analysis, Moody's also conducted sensitivity analyses to test the impact of a number of default probabilities on the rated notes relative to the base case modeling results, which may be different from the current public ratings of the notes. Below is a summary of the impact of different default probabilities (expressed in terms of WARF) on all of the rated notes (by the difference in the number of notches versus the current model output, for which a positive difference corresponds to lower expected loss): Assuming a two-notch upgrade to assets with below-investment grade ratings or rating estimates (WARF of 2763) Class A-1A: +3 Class A-1B: +3 Class A-1C: +3 Class B: 0 Assuming a two-notch downgrade to assets with below-investment grade ratings or rating estimates (WARF of 5676) Class A-1A: -2 Class A-1B: -2 Class A-1C: -2 Class B: 0 Loss and Cash Flow Analysis: Moody's applied a Monte Carlo simulation framework in Moody's CDOROM 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 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 and principal proceeds of $333.1 million, defaulted and deferring par of $181.6 million, a weighted average default probability of 59.56% (implying a WARF of 4750), and a weighted average recovery rate upon default of 9.77%. 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 REIT companies that Moody's does not rate publicly. To evaluate the credit quality of REIT companies that do not have public ratings, Moody's REIT group assesses their credit quality using the REIT firms' annual financials. TCP WHITNEY: S&P Give Prelim. BB- Rating on Class D Notes --------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to TCP Whitney CLO Ltd./TCP Whitney CLO LLC's $329.550 million floating-rate and combination notes. The note issuance is a collateralized loan obligation (CLO) transaction backed by primarily middle-market, speculative-grade, senior secured term loans. The preliminary ratings are based on information as of July 27, 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 middle-market, 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. S&P said, "Our rating on the combination notes, which consist of the $8.5 million class B notes, $4.0 million class C notes, $7.5 million class D notes, and $5.55 million subordinate notes, takes into account our cash flow analysis, assuming paydowns to the combination notes from interest payments, equity distributions, or principal payments on the underlying notes." PRELIMINARY RATINGS ASSIGNED TCP Whitney CLO Ltd./TCP Whitney CLO LLC Class Rating Amount (mil. $) A-1 AAA (sf) 195.00 A-2 AA (sf) 37.00 B A- (sf) 28.00 C BBB (sf) 24.00 D BB- (sf) 20.00 Subordinate notes NR 46.85 Combination notes BBB-p (sf) 25.55 THL CREDIT 2013-1: S&P Assigns BB(sf) Rating on Class D-R Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1R, A-2R, B-R, C-R, and D-R notes from THL Credit Wind River 2013-1 CLO Ltd., a U.S. collateralized loan obligation (CLO) transaction managed by THL Credit Senior Loan Strategies LLC. S&P withdrew its ratings on the original class A-1, A-2A, A-2B, B, C, and D notes following payment in full on the July 20, 2017, refinancing date. On the July 20, 2017, refinancing date, the proceeds from the class A-1R, A-2R, B-R, C-R, and D-R notes replacement note issuances were used to redeem the original class A-1, A-2A, A-2B, B, C, and D notes as outlined in the transaction document provisions; therefore, we are withdrawing the rating on the original class A-1, A-2A, A-2B, B, C, and D notes in line with its full redemption, and assigning final 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 the following: -- The transaction will have an updated capital structure with updated coverage tests. -- The non-call period, the reinvestment period, and the stated maturity will be extended to July 2019, July 2022, and July 2030, respectively. The weighted average life test has also been extended. S&P said, "Our 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 our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our 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 our opinion that the credit support available is commensurate with the associated rating levels. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." RATINGS ASSIGNED THL Credit Wind River 2013-1 CLO Ltd. Replacement class Rating Amount (mil $) A-1R AAA (sf) 289.300 A-2R AA (sf) 52.000 B-R A (sf) 29.400 C-R BBB (sf) 24.800 D-R BB (sf) 20.200 Sub Notes NR 51.500 RATINGS WITHDRAWN THL Credit Wind River 2013-1 CLO Ltd. 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) D NR BB+ (sf) NR--Not rated. TOWD POINT 2017-3: Fitch Assigns 'Bsf' Rating to Class B2 Notes --------------------------------------------------------------- Fitch Ratings rates Towd Point Mortgage Trust 2017-3 (TPMT 2017-3): -- $514,270,000 class A1 notes 'AAAsf'; Outlook Stable; -- $49,293,000 class A2 notes 'AAsf'; Outlook Stable; -- $563,563,000 class A3 exchangeable notes 'AAsf'; Outlook Stable; -- $610,914,000 class A4 exchangeable notes 'Asf'; Outlook Stable; -- $47,351,000 class M1 notes 'Asf'; Outlook Stable; -- $37,261,000 class M2 notes 'BBBsf'; Outlook Stable; -- $30,274,000 class B1 notes 'BBsf'; Outlook Stable; -- $22,511,000 class B2 notes 'Bsf'; Outlook Stable. The following classes will not be rated by Fitch: -- $24,841,000 class B3 notes; -- $24,840,000 class B4 notes; -- $25,616,838 class B5 notes. The notes are supported by one collateral group that consists of 4,936 seasoned performing and re-performing mortgages with a total balance of approximately $784.33 million (which includes $43.6 million, or 5.6%, of the aggregate pool balance in non-interest-bearing deferred principal amounts) as of the statistical calculation date. The 'AAAsf' rating on the class A1 notes reflects the 33.75% subordination provided by the 6.35% class A2, 6.10% class M1, 4.80% class M2, 3.90% class B1, 2.90% class B2, 3.20% class B3, 3.20% class B4 and 3.30% class B5 notes. Fitch's ratings on the class notes reflect the credit attributes of the underlying collateral, the quality of the servicer, Select Portfolio Servicing, Inc. (SPS, rated 'RPS1-'), and 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" (73.2%) and loans that are current but have recent delinquencies or incomplete paystrings, identified as "dirty current" (26.8%). All loans were current as of the cutoff date, and 85.2% of the loans have received modifications. Third-Party Due Diligence (Mixed): A third-party due diligence review was conducted and focused on regulatory compliance, pay history and a tax and title lien search. The third-party review (TPR) firm's due diligence review resulted in approximately 6.9% 'C' and 'D' graded loans, meaning the loans had material violations or lacked documentation to confirm regulatory compliance. The percentage of 'C' and 'D' graded loans is the lowest seen in any TPMT transaction and is below the average of approximately 13% seen in other recently rated RPL transactions. See the third-party due diligence section of the pre-sale report for additional details. 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 loss severity (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. 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. Inclusion of Investor Property Loans (Mixed): Approximately 1.0% of the loans were originated as investment property loans by an affiliate of the seller. While the loan to value (LTV) and credit score profile for these loans is strong, the program is geared toward real estate investors who are qualified on a cash flow ratio basis, rather than a DTI. Fitch assumed a 55% borrower DTI and nonfull documentation for these loans. Limited Life of Rep Provider (Concern): FirstKey Mortgage, LLC (FirstKey), as rep provider, will only be obligated to repurchase a loan due to breaches prior to the payment date in August 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 August 2018. Representation Framework (Concern): Fitch considers the representation, warranty, and enforcement (RW&E) mechanism construct for this transaction to generally be consistent with what it views as 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 50 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 expectations by roughly 410 basis points (bps) to account for a potential increase in defaults and losses arising from weaknesses in the reps. Timing of Recordation and Document Remediation (Neutral): An updated title and tax search, as well as a review to confirm that the mortgage and subsequent assignments were recorded in the relevant local jurisdiction, was also performed. Per the representations provided in the transaction documents, all loans have either all been recorded in the appropriate jurisdiction, are in the process of being recorded, or will be sent for recordation within 12 months of the closing date. While the expected timelines for recordation and remediation are viewed by Fitch as reasonable, Fitch believes that FirstKey's oversight for completion of these activities serves as a strong mitigant to potential delays. In addition, the obligation of FirstKey to repurchase loans, for which assignments are not recorded and endorsements are not completed by the payment date in August 2018, aligns the issuer's interests regarding completing the recordation process with those of noteholders. Deferred Amounts (Negative): Non-interest-bearing principal forbearance amounts totaling $43.6 million (5.6%) of the unpaid principal balance) are outstanding on 972 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. Servicing Fee Stress (Negative): Fitch determined that the aggregate servicing fee of 30bps may be insufficient to attract subsequent servicers under a period of poor performance and high delinquencies. To account for the potentially higher fee above what is allowed for under the current transaction documents, Fitch's cash flow analysis assumed a 50-bp servicing fee in the 'AAAsf,' 'AAsf,' and 'Asf' rating stresses. CRITERIA APPLICATION Fitch's analysis incorporated two variations from its "U.S. RMBS Seasoned, Re-Performing and Non-Performing Loan Rating Criteria." The first variation from this criteria is related to the 2.4% of loans for which a compliance and data integrity review was not completed. Fitch expects a compliance and data integrity review to be completed on 100% of loans in re-performing and non-performing pools. These loans were not subject to federal, state, and local high cost testing, not subject to QM/ATR, and are seasoned beyond the SOL for an affirmative action under TILA. Due to the loan characteristics of these loans that did not receive a compliance and data integrity review, such as the high WAVG updated FICO of 746, and low WAVG CLTV of 70.2%, Fitch was comfortable with the 97.6% due diligence performed on the remainder of the pool. In addition, none of these loans have been modified. The second variation is related to the tax and title review for approximately 2% of the loans, which was completed outside of the six-month timeframe expected in Fitch's criteria. These loans had tax and title searches performed at acquisition, which was outside of Fitch's six-month tolerance. However, Fitch does not view the lack of an updated tax and title review as a material risk given that the review conducted at acquisition is aged just slightly more than six months as stated in Fitch's criteria. Additionally, Fitch considers the robust servicing of SPS, which is a high-touch servicing platform that specializes in seasoned loans, to be a mitigant to the slightly aged tax and title search. SPS uses industry accepted tools to identify new liens on a regular basis, and Fitch feels confident that they are appropriately monitoring any additional liens. Given the strength of the servicer, Fitch considers the impact of slightly seasoned tax, title and lien reviews to be nonmaterial. Fitch's analysis also incorporated one criteria variation from its "U.S. RMBS Rating Criteria." There are 50 loans (approximately 1.36% by balance) in the pool which are seasoned slightly less than Fitch's threshold for seasoned loans, which is 24 months. On average these loans are approximately 21 months seasoned. The due diligence scope for these loans was not consistent with Fitch's scope for newly originated loans. Fitch is comfortable with the due diligence that was completed on these loans as it is a small percentage of pool and the scope was consistent with Fitch's criteria for seasoned and re-performing loans. In addition Fitch received updated values for these loans and conservative assumptions were made on the collateral analysis. 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 37.5% 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'. TOWD POINT 2017-3: Moody's Assigns B3(sf) Rating to Class B2 Notes ------------------------------------------------------------------ Moody's Investors Service has assigned definitive ratings to eight classes of notes issued by Towd Point Mortgage Trust 2017-3. The notes are backed by one pool of seasoned, performing and re-performing residential mortgage loans. The collateral pool is comprised of 4,936 first lien, fixed-rate and adjustable rate mortgage loans as of the statistical calculation date, and has a non-zero updated weighted average FICO score of 680 and a weighted average current LTV of 83.5%. Approximately 85.2% of the loans in the collateral pool have been previously modified. Select Portfolio Servicing, Inc. is the servicer for the loans in the pool. FirstKey Mortgage, LLC will be the asset manager for the transaction. The complete rating actions are: Issuer: Towd Point Mortgage Trust 2017-3 Cl. A1, Definitive Rating Assigned Aaa (sf) Cl. A2, Definitive Rating Assigned Aa2 (sf) Cl. A3, Definitive Rating Assigned Aa1 (sf) Cl. A4, Definitive Rating Assigned A1 (sf) Cl. M1, Definitive Rating Assigned A3 (sf) Cl. M2, Definitive Rating Assigned Baa3 (sf) Cl. B1, Definitive Rating Assigned Ba2 (sf) Cl. B2, Definitive Rating Assigned B3 (sf) RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Moody's expected losses on TPMT 2017-3's collateral pool is 10.0% in Moody's base case scenario. Moody's loss estimates take into account the historical performance of the loans that have similar collateral characteristics as the loans in the pool, and also incorporate an expectation of a continued strong credit environment for RMBS, supported by improving home prices over the next two to three years. 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 TPMT 2017-3's collateral pool is primarily comprised of seasoned, re-performing mortgage loans. Approximately 85.2% of the loans in the collateral pool have been previously modified. The majority of the loans underlying this transaction exhibit collateral characteristics similar to that of seasoned Alt-A mortgages. Moody's expected losses on the pool 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 modification, and the amount of the reduction in monthly mortgage payments as a result of modification. The longer a borrower has been current on a re-performing loan, the less likely they are to re-default. Approximately 71.3% of the borrowers of the loans in the collateral pool have been current on their payments for the past 24 months. Moody's estimated expected losses using two approaches -- (1) pool-level approach, and (2) re-performing loan level analysis. In the pool-level approach, Moody's estimated losses on the pool by applying Moody's assumptions on expected future delinquencies, default rates, loss severities and prepayments as observed on similar seasoned collateral. Moody's projected future annual delinquencies for eight years by applying an initial annual default rate assumption adjusted for future years through delinquency burnout factors. The delinquency burnout factors reflect Moody's future expectations of the economy and the U.S. housing market. Based on the loan characteristics of the pool and the demonstrated pay histories, Moody's applied an initial expected annual delinquency rate of 11.0% for the pool for year one. Moody's then calculated future delinquencies using default burnout and voluntary conditional prepayment rate (CPR) assumptions. Moody's aggregated the delinquencies and converted them to losses by applying pool specific lifetime default frequency and loss severity assumptions. Moody's CPR and loss severity assumptions are based on actual observed performance of seasoned loans and prior TPMT deals. In applying Moody's loss severity assumptions, Moody's accounted for the lack of principal and interest advancing in this transaction. Moody's also conducted a loan level analysis on TPMT 2017-3's collateral pool. Moody's applied loan-level baseline lifetime propensity to default assumptions, and considered the historical performance of seasoned 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 loans with deferred balances, Moody's assumed that 100% of the remaining PRA amount and a portion of the non-PRA deferred principal balance on modified loans would be forgiven and not recovered. The deferred balance in this transaction is $43,563,795, representing approximately 5.6% of the total unpaid principal balance. Loans that have HAMP and proprietary remaining principal reduction amount (PRA) totaled $715,219, representing approximately 1.6% of total deferred balance. The final expected loss for the collateral pool reflects the due diligence findings of four independent third party review (TPR) firms as well as Moody's assessment of TPMT 2017-3's representations & warranties (R&Ws) framework. Although all of the mortgage loans were contractually current under both the MBA and OTS method as of the statistical calculation date, approximately 4.5% of the mortgage loans were more than 29 days delinquent under the MBA method as of the cut-off date. FirstKey believes such delinquency is attributed in part to the recent servicing transfer of the acquired loans. Transaction Structure TPMT 2017-3 has a sequential priority of payments structure, in which a given class of notes can only receive principal payments when all the classes of notes above it have been paid off. Similarly, losses will be applied in the reverse order of priority. The Class A1, A2, M1 and M2 notes carry a fixed-rate coupon subject to the collateral adjusted net WAC and applicable available funds cap. The Class A3 and A4 are variable Rate Notes where the coupon is equal to the weighted average of the note rates of the related exchange notes. 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. There are no performance triggers in this transaction. Additionally, the servicer will not advance any principal or interest on delinquent loans. Moreover, the monthly excess cash flow in this transaction, after payment of such expenses, if any, will be fully captured to pay the principal balance of the bonds sequentially, allowing for a faster paydown of the bonds. Moody's coded TPMT 2017-3's cashflows using SFW(R), 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. Other Considerations Moody's believes there is a very low likelihood that the rated notes in TPMT 2017-3 will incur any loss from extraordinary expenses or indemnification payments owing to potential future lawsuits against key deal parties. First, majority of the loans are seasoned with demonstrated payment history, reducing the likelihood of a lawsuit on the basis that the loans have underwriting defects. Second, historical performance of loans aggregated by FirstKey to date has been within expectation, with minimal losses on previously issued TPMT transactions. Third, the transaction has reasonably well defined processes in place to identify loans with defects on an ongoing basis. In this transaction, an independent breach reviewer must review loans for breaches of representations and warranties when a loan becomes 120 days delinquent, which reduces the likelihood that parties will be sued for inaction. Furthermore, the issuer has performed nearly 100% due diligence by independent third parties with respect to compliance and payment history and has disclosed the results of the review. Third Party Review Four independent third party review (TPR) firms -- JCIII & Associates, Inc. (subsequently acquired by American Mortgage Consultants), Clayton Services, LLC, AMC Diligence, LLC, and Westcor Land Title Insurance Company -- conducted due diligence for the transaction. Due diligence was performed on 97.6% of the loans in TPMT 2017-3's collateral pool for compliance and data capture, 96.7% for pay string history, and 100% for title and tax review. 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 conducted audits of designated data fields to ensure the accuracy of the collateral tape. 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. FirstKey Mortgage, LLC, retained Westcor to review the title and tax reports for the loans in the pool, and will oversee Westcor and monitor the loan sellers in the completion of the assignment of mortgage chains. 100% of the loans are in first lien position, subject in some cases to certain liens as described in the R&Ws. In addition, FirstKey expects a significant number of the assignment and endorsement exceptions to be cleared within the first twelve months following the closing date of the transaction. The representation provider has deposited collateral of $0.5 million in Assignment Reserve Account to ensure that the asset manager completes the clearing of these exceptions. Representations & Warranties Moody's ratings reflect TPMT 2017-3's weak representations and warranties (R&Ws) framework. The representation provider, FirstKey Mortgage, LLC is unrated by Moody's. Moreover, FirstKey's obligations will be in effect for only thirteen months (until the payment date in August 2018). The R&Ws themselves are weak 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 a Breach Reserve Account to cover for any breaches of R&Ws, the size of the account is small relative to TPMT 2017-3's aggregate collateral pool ($776 million) as of the cut-off date. An initial deposit of $1,700,000 will be remitted to the Breach Reserve Account on the closing date, with an initial Breach Reserve Account target amount of $2,921,153. Transaction Parties The transaction benefits from a strong servicing arrangement. Select Portfolio Servicing, Inc. will service 100% of TPMT 2017-3's collateral pool. Moody's assess SPS higher compared to its peers. Furthermore, FirstKey Mortgage, LLC, the asset manager, will oversee the servicer, which strengthens the overall servicing framework in the transaction. Wells Fargo Bank NA and U.S. Bank National Association are the Custodians of the transaction. The Delaware Trustee for TPMT 2017-3 is Wilmington Trust, National Association. TPMT 2017-3'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. TRALEE CLO II: S&P Assigns Prelim B- Rating on Class F-R Notes -------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-R, B-R, C-R, D-R, E-R, and F-R replacement notes from Tralee CLO II Ltd., a collateralized loan obligation (CLO) originally issued in 2013 that is managed by Par-Four Investment Management LLC. The replacement notes will be issued via a proposed supplemental indenture. The preliminary ratings reflect S&P's opinion that the credit support available is commensurate with the associated rating levels. The preliminary ratings are based on information as of July 20, 2017. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Aug. 8, 2017, refinancing date, the proceeds from the issuance of the replacement notes are expected to redeem the original notes. S&P said, "At that time, we anticipate withdrawing the ratings on the original notes and assigning ratings to the replacement notes. However, if the refinancing doesn't occur, we may affirm the ratings on the original notes and withdraw our preliminary ratings on the replacement notes." The replacement notes are being issued via a proposed supplemental indenture, which, in addition to outlining the terms of the replacement notes, will also make the following changes: The replacement class A-R, B-R, D-R, E-R, and F-R notes are expected to be issued at higher spreads than the original notes. The replacement class B-R notes are expected to be issued at a floating spread, replacing the current class B-1 floating-rate and B-2 fixed-rate notes. The stated maturity, reinvestment period, non-call period, and weighted average life test date will be extended 4.3 years. S&P said, "Our 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 our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and we will take further rating actions as we deem necessary." PRELIMINARY RATINGS ASSIGNED Tralee CLO II Ltd. /Tralee CLO II LLC Replacement Class Rating Amount (mil. $) A-R AAA (sf) 257.50 B-R AA (sf) 48.00 C-R A (sf) 25.50 D-R BBB (sf) 20.00 E-R BB (sf) 17.00 F-R B- (sf) 8.50 TRESTLES CLO 2017-1: Moody's Assigns Ba3(sf) Rating to Cl. D Notes ------------------------------------------------------------------ Moody's Investors Service has assigned ratings to six classes of notes issued by Trestles CLO 2017-1, Ltd. (the "Issuer" or "Trestles 2017-1"). Moody's rating action is: US$317,500,000 Class A-1a Senior Floating Rate Notes due 2029 (the "Class A-1a Notes"), Assigned Aaa(sf) US$22,500,000 Class A-1b Senior Floating Rate Notes due 2029 (the "Class A-1b Notes"), Assigned Aaa(sf) US$32,500,000 Class A-2 Senior Floating Rate Notes due 2029 (the "Class A-2 Notes"), Assigned Aa2(sf) US$32,500,000 Class B Mezzanine Deferrable Floating Rate Notes due 2029 (the "Class B Notes"), Assigned A2(sf) US$28,750,000 Class C Mezzanine Deferrable Floating Rate Notes due 2029 (the "Class C Notes"), Assigned Baa3(sf) US$26,250,000 Class D Junior Deferrable Floating Rate Notes due 2029 (the "Class D Notes"), Assigned Ba3(sf) The Class A-1a Notes, the Class A-1b Notes, the Class A-2 Notes, the Class B Notes, the Class C Notes, and the Class D Notes are referred to herein 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. Trestles 2017-1 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated first lien senior secured corporate loans. At least 90% 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, first-lien last-out loans, and unsecured loans. The portfolio is approximately 90% ramped as of the closing date. Pacific Life Fund Advisors LLC, doing business as Pacific Asset Management (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. 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: $500,000,000 Diversity Score: 55 Weighted Average Rating Factor (WARF): 2800 Weighted Average Spread (WAS): 3.20% Weighted Average Coupon (WAC): 7.0% Weighted Average Recovery Rate (WARR): 49.0% Weighted Average Life (WAL): 8.0 years. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in October 2016. Factors That Would Lead to 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-1a Notes: 0 Class A-1b Notes: -1 Class A-2 Notes: -1 Class B Notes: -2 Class C Notes: -1 Class D Notes: -1 Percentage Change in WARF -- increase of 30% (from 2800 to 3640) Rating Impact in Rating Notches Class A-1a Notes: -1 Class A-1b Notes: -3 Class A-2 Notes: -3 Class B Notes: -3 Class C Notes: -2 Class D Notes: -1 UBS COMMERCIAL 2017-C2: Fitch to Rate Class H-RR Debt 'B-sf' ------------------------------------------------------------ Fitch Ratings has issued a presale report on UBS Commercial Mortgage Trust 2017-C2 commercial mortgage pass-through certificates. Fitch expects to rate the transaction and assign Rating Outlooks: -- $34,851,000 class A-1 'AAAsf'; Outlook Stable; -- $77,613,000 class A-2 'AAAsf'; Outlook Stable; -- $46,089,000 class A-SB 'AAAsf'; Outlook Stable; -- $210,000,000 class A-3 'AAAsf'; Outlook Stable; -- $260,524,000 class A-4 'AAAsf'; Outlook Stable; -- $629,077,000b class X-A 'AAAsf'; Outlook Stable; -- $175,063,000b class X-B 'A-sf'; Outlook Stable; -- $103,348,000 class A-S 'AAAsf'; Outlook Stable; -- $39,317,000 class B 'AA-sf'; Outlook Stable; -- $32,398,000 class C 'A-sf'; Outlook Stable; -- $14,783,000ac class D-RR 'BBB+sf'; Outlook Stable; -- $8,987,000ac class E-RR 'BBBsf'; Outlook Stable; -- $16,850,000ac class F-RR 'BBB-sf'; Outlook Stable; -- $16,850,000ac class G-RR 'BB-sf'; Outlook Stable; -- $8,987,000ac class H-RR 'B-sf'; Outlook Stable. The following class is not expected to be rated: -- $28,084,591ac class NR-RR. (a) Privately placed and pursuant to Rule 144A. (b) Notional amount and interest only. (c) Horizontal credit risk retention interest representing at least 5% of the estimated fair value of all classes of regular certificates issued by the issuing entity (as of the closing date). The expected ratings are based on information provided by the issuer as of July 25, 2017. The certificates represent the beneficial ownership interest in the trust, primary assets of which are 59 loans secured by 204 commercial properties having an aggregate principal balance of $898,681,592 as of the cut-off date. The loans were contributed to the trust by UBS AG, Societe Generale, German American Capital Corporation, Natixis Real Estate Capital LLC, Rialto Mortgage Finance, LLC and CIBC Inc. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 59.7% of the properties by balance, cash flow analysis of 76.5%, and asset summary reviews on 100% of the pool. KEY RATING DRIVERS Investment-Grade Credit Opinion Loans: Five loans, representing 23.5% of the pool, have investment-grade credit opinions. General Motors Building (5.6% of the pool), Park West Village (5.6% of the pool), Del Amo Fashion Center (5.0% of the pool), 85 Broad Street (3.8% of the pool) and 245 Park Avenue (3.6% of the pool) have investment grade credit opinions. Combined, the five credit opinion loans have a weighted average (WA) Fitch debt service coverage ratio (DSCR) and loan to value (LTV) of 1.44x and 65.7%, respectively. High Pool Diversity: The largest 10 loans account for 44.4% of the pool, which is well below the year-to-date (YTD) 2017 average of 53.3% for fixed-rate multiborrower transactions. The transaction exhibits very low pool concentration, with a loan concentration index (LCI) of 290, compared to the YTD 2017 average of 399. The average loan size for this transaction is $15.2 million compared to the YTD 2017 average of $20.3 million. Lower Fitch Leverage Than Recent Transactions: The pool's leverage is lower than recent comparable Fitch-rated multiborrower transactions. The pool's Fitch DSCR and LTV are 1.23x and 97.2%, respectively, which are comparable to the YTD 2017 averages of 1.22x and 104.3%. Excluding investment-grade credit opinion loans, the pool has a Fitch DSCR and LTV of 1.21x and 104.8%, respectively, better than the YTD 2017 normalized averages of 1.18x and 107.4%. RATING SENSITIVITIES For this transaction, Fitch's net cash flow (NCF) was 12.6% below the most recent year's net operating income (NOI) for properties for which a full-year NOI was provided, excluding properties that were stabilizing during this period). Unanticipated further declines in property-level NCF could result in higher defaults and loss severities on defaulted loans and in potential rating actions on the certificates. Fitch evaluated the sensitivity of the ratings assigned to UBS 2017-C2 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. UBS COMMERCIAL 2017-C2: S&P Gives Prelim B- Rating on G-RR Certs ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to UBS Commercial Mortgage Trust 2017-C2's $898.7 million commercial mortgage pass-through certificates series 2017-C2. The certificate issuance is a commercial mortgage-backed securities transaction backed by 59 commercial mortgage loans with an aggregate principal balance of $898.7 million ($804.1 million of offered certificates), secured by the fee and leasehold interests in 204 properties across 28 states. The preliminary ratings are based on information as of July 25, 2017. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect the credit support provided by the transaction structure, our view of the underlying collateral's economics, the trustee-provided liquidity, the collateral pool's relative diversity, and our overall qualitative assessment of the transaction. PRELIMINARY RATINGS ASSIGNED UBS Commercial Mortgage Trust 2017-C2 Class Rating(i) Amount ($) A-1 AAA (sf) 34,851,000 A-2 AAA (sf) 77,613,000 A-SB AAA (sf) 46,089,000 A-3 AAA (sf) 210,000,000 A-4 AAA (sf) 260,524,000 X-A AAA (sf) 629,077,000 X-B A- (sf) 175,063,000 A-S AA+ (sf) 103,348,000 B AA- (sf) 39,317,000 C A- (sf) 32,398,000 D-RR(ii) BBB+ (sf) 14,783,000 E-RR(ii) BBB (sf) 8,987,000 F-RR(ii) NR 16,850,000 G-RR(ii) BB- (sf) 16,850,000 H-RR(ii) B+ (sf) 8,987,000 NR-RR NR 28,084,591 (i)The certificates will be issued to qualified institutional buyers according to Rule 144A of the Securities Act of 1933. (ii)Notional balance. (ii)Non-offered certificates. NR--Not rated. VENTURE 28A: Moody's Assigns Prov. Ba3(sf) to Class E Notes ----------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to eight classes of notes to be issued by Venture 28A CLO, Limited. Moody's rating action is: US$164,736,000 Class A-1 Senior Secured Floating Rate Notes due 2029 (the "Class A-1 Notes"), Assigned (P)Aaa (sf) US$105,264,000 Class A-2 Senior Secured Floating Rate Notes due 2029 (the "Class A-2 Notes"), Assigned (P)Aaa (sf) US$5,264,000 Class B-1 Senior Secured Floating Rate Notes due 2029 (the "Class B-1 Notes"), Assigned (P)Aa2 (sf) US$42,536,000 Class B-F Senior Secured Fixed Rate Notes due 2029 (the "Class B-F Notes"), Assigned (P)Aa2 (sf) US$13,868,000 Class C-1 Mezzanine Secured Deferrable Floating Rate Notes due 2029 (the "Class C-1 Notes"), Assigned (P)A2 (sf) US$12,632,000 Class C-F Mezzanine Secured Deferrable Fixed Rate Notes due 2029 (the "Class C-F Notes"), Assigned (P)A2 (sf) US$23,300,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2029 (the "Class D Notes"), Assigned (P)Baa3 (sf) US$20,500,000 Class E Junior Secured Deferrable Floating Rate Notes due 2029 (the "Class E Notes"), Assigned (P)Ba3 (sf) The Class A-1 Notes, the Class A-2 Notes, the Class B-1 Notes, the Class B-F Notes, the Class C-1 Notes, the Class C-F 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. Venture 28A 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. MJX Venture Management II LLC (the "Manager"), a relying adviser on MJX Asset Management LLC, will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's four year reinvestment period. Thereafter, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets, subject to certain restrictions. In addition to the Rated Notes, the Issuer will issue subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in October 2016. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $422,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 2750 Weighted Average Spread (WAS): 3.70% Weighted Average Coupon (WAC): 6.50% Weighted Average Recovery Rate (WARR): 45.0% Weighted Average Life (WAL): 8.25 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 2750 to 3163) Rating Impact in Rating Notches Class A-1 Notes: 0 Class A-2 Notes: 0 Class B-1 Notes: -1 Class B-F Notes: -1 Class C-1 Notes: -2 Class C-F Notes: -2 Class D Notes: -1 Class E Notes: 0 Percentage Change in WARF -- increase of 30% (from 2750 to 3575) Rating Impact in Rating Notches Class A-1 Notes: -1 Class A-2 Notes: -1 Class B-1 Notes: -3 Class B-F Notes: -3 Class C-1 Notes: -4 Class C-F Notes: -4 Class D Notes: -2 Class E Notes: -1 VENTURE CLO XXVIII: Moody's Assigns Ba3 Rating to Class E Notes --------------------------------------------------------------- Moody's Investors Service has assigned ratings to eight classes of notes issued by Venture XXVIII CLO, Limited. Moody's rating action is: US$148,421,053 Class A-1 Senior Secured Floating Rate Notes due 2030 (the "Class A-1 Notes"), Definitive Rating Assigned Aaa (sf) US$219,242,948 Class A-2 Senior Secured Floating Rate Notes due 2030 (the "Class A-2 Notes"), Definitive Rating Assigned Aaa (sf) US$37,368,422 Class B-1 Senior Secured Floating Rate Notes due 2030 (the "Class B-1 Notes"), Definitive Rating Assigned Aa2 (sf) US$27,750,000 Class B-F Senior Secured Fixed Rate Notes due 2030 (the "Class B-F Notes"), Definitive Rating Assigned Aa2 (sf) US$13,157,895 Class C-1 Mezzanine Secured Deferrable Floating Rate Notes due 2030 (the "Class C-1 Notes"), Definitive Rating Assigned A2 (sf) US$22,950,000 Class C-F Mezzanine Secured Deferrable Fixed Rate Notes due 2030 (the "Class C-F Notes"), Definitive Rating Assigned A2 (sf) US$31,742,381 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2030 (the "Class D Notes"), Definitive Rating Assigned Baa3 (sf) US$27,900,000 Class E Junior Secured Deferrable Floating Rate Notes due 2030 (the "Class E Notes"), Definitive Rating Assigned Ba3 (sf) The Class A-1 Notes, the Class A-2 Notes, the Class B-1 Notes, the Class B-F Notes, the Class C-1 Notes, the Class C-F 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. Venture XXVIII 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. The portfolio is approximately 90% ramped as of the closing date. MJX Venture Management II LLC (the "Manager"), a relying adviser on MJX Asset Management LLC, will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets, subject to certain restrictions. In addition to the Rated Notes, the Issuer 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: $574,500,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2775 Weighted Average Spread (WAS): 3.70% Weighted Average Coupon (WAC): 6.50% Weighted Average Recovery Rate (WARR): 45.0% Weighted Average Life (WAL): 9 years. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in October 2016. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. Together with the set of modeling assumptions above, Moody's conducted an additional sensitivity analysis, which was a component in determining the ratings assigned to the Rated Notes. This sensitivity analysis includes increased default probability relative to the base case. Below is a summary of the impact of an increase in default probability (expressed in terms of WARF level) on the Rated Notes (shown in terms of the number of notch difference versus the current model output, whereby a negative difference corresponds to higher expected losses), assuming that all other factors are held equal: Percentage Change in WARF -- increase of 15% (from 2775 to 3191) Rating Impact in Rating Notches Class A-1 Notes: 0 Class A-2 Notes: 0 Class B-1 Notes: -1 Class B-F Notes: -1 Class C-1 Notes: -2 Class C-F Notes: -2 Class D Notes: -1 Class E Notes: 0 Percentage Change in WARF -- increase of 30% (from 2775 to 3608) Rating Impact in Rating Notches Class A-1 Notes: -1 Class A-2 Notes: -1 Class B-1 Notes: -3 Class B-F Notes: -3 Class C-1 Notes: -4 Class C-F Notes: -4 Class D Notes: -2 Class E Notes: -1 VERUS TRUST 2017-2: S&P Gives Prelim 'B+' Rating on Cl. B-3 Certs ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Verus Securitization Trust 2017-2's $236.056 million mortgage pass-through certificates. The certificate issuance is a residential mortgage-backed securities transaction backed by first-lien, fixed- and adjustable-rate fully amortizing and interest-only residential mortgage loans, as well as some five-year balloon loans, secured by single-family residential properties, planned-unit developments, condominiums, and two- to four-family residential properties to both prime and nonprime borrowers. The pool has 592 loans, which are primarily non-qualified mortgage loans. The preliminary ratings are based on information as of July 19 2017. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The pool's collateral composition; -- The credit enhancement provided for this transaction; -- The transaction's associated structural mechanics; -- The representation and warranty framework for this transaction; and -- The mortgage aggregator. PRELIMINARY RATINGS ASSIGNED Verus Securitization Trust 2017-2 Class Rating(i) Interest Amount rate(ii) ($) A-1 AAA (sf) Fixed 153,756,000 A-2 AA (sf) Fixed 15,062,000 A-3 A (sf) Fixed 32,896,000 B-1 BBB-(sf) Fixed 22,413,000 B-2 BB (sf) Fixed 5,061,000 B-3 B+ (sf) Net WAC 6,868,000 B-4 NR Net WAC 4,941,003 A-IO-S NR (v) Notional (iii) XS NR (vi) Notional (iv) P NR (vii) 100 R NR N/A N/A (i)Interest can be deferred on the classes; the preliminary ratings assigned to the classes address the ultimate payment of interest and principal. (ii)Coupons are subject to the pool's net WAC rate. Coupons on classes B-3 and B-4 equal the pool's net WAC rate. (iii)Notional amount is equal to the loans'stated principal balance. (iv)Notional amount equals the aggregate balance of the class A-1, A-2, A-3, B-1, B-2, B-3, B-4, and P certificates. (v)Excess servicing strip plus excess prepayment strip minus compensating interest. (vi)Certain excess amounts per the pooling and servicing agreement. (vii)Prepayment premiums during the related prepayment period. WAC--Weighted average coupon. N/A--Not applicable. NR--Not rated. VIBRANT CLO II: S&P Affirms B(sf) Rating on Class E Notes --------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1b-R, A-2a-R, A-2b-R, B-R, and C-R replacement notes from Vibrant CLO II Ltd., a collateralized loan obligation (CLO) originally issued in 2013 that is managed by DFG Investment Advisors Inc. S&P said, "We withdrew our ratings on the original class A-1, A-2a, A-2b, B, and C notes following payment in full on the July 24, 2017, refinancing date. At the same time, we affirmed our ratings on the class D and E notes which were not part of this refinancing." S&P related, "On the July 24, 2017, refinancing date, the proceeds from the class A-1b-R, A-2a-R, A-2b-R, 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, we withdrew our ratings on the original class A-1, A-2a, A-2b, B, and C notes in line with their full redemption, and we are assigning ratings to the replacement notes. "Our 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 our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our 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 our opinion that the credit support available is commensurate with the associated rating levels. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and we will take rating actions as we deem necessary." RATINGS ASSIGNED Vibrant CLO II Ltd. Replacement class Rating Amount (mil $) A-1b-R AAA (sf) 214.80 A-2a-R AA (sf) 35.10 A-2b-R AA (sf) 10.00 B-R A (sf) 28.90 C-R BBB (sf) 18.80 RATINGS AFFIRMED Class Rating D BB (sf) E B (sf) RATINGS WITHDRAWN Vibrant CLO II Ltd. 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) NR--Not rated. VIBRANT CLO II: S&P Assigns Prelim B Rating on Class C-R Notes -------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-1b-R, A-2a-R, A-2b-R, C-R, and D-R replacement notes from Vibrant CLO II Ltd., a collateralized loan obligation originally issued in 2013 that is managed by DFG Investment Advisors Inc. The replacement notes will be issued via a proposed supplemental indenture. The class D and E notes are not part of this refinancing. S&P said, "The preliminary ratings reflect our opinion that the credit support available is commensurate with the associated rating levels." The preliminary ratings are based on information as of July 20, 2017. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the July 24, 2017, refinancing date, the proceeds from the issuance of the replacement notes are expected to redeem the original notes. S&P said, "At that time, we anticipate withdrawing the ratings on the original notes and assigning ratings to the replacement notes. However, if the refinancing doesn't occur, we may affirm the ratings on the original notes and withdraw our preliminary ratings on the replacement notes. "Our 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 our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and we will take further rating actions as we deem necessary." PRELIMINARY RATINGS ASSIGNED Vibrant CLO II Ltd. Replacement class Rating Amount (mil. $) A-1b-R AAA (sf) 214.80 A-2a-R AA (sf) 35.10 A-2b-R AA (sf) 10.00 B-R A (sf) 28.90 C-R B (sf) 18.80 OTHER OUTSTANDING RATINGS Vibrant CLO II Ltd. Class Rating D BB (sf) E B (sf) WACHOVIA BANK 2005-C21: Moody's Lowers Rating on Class F Debt to B3 ------------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on four classes and downgraded the ratings on five classes in Wachovia Bank Commercial Mortgage Trust 2005-C21, Commercial Mortgage Pass-Through Certificates, Series 2005-C21: Cl. B, Affirmed Aa2 (sf); previously on Jul 29, 2016 Upgraded to Aa2 (sf) Cl. C, Affirmed A1 (sf); previously on Jul 29, 2016 Upgraded to A1 (sf) Cl. D, Affirmed Baa3 (sf); previously on Jul 29, 2016 Affirmed Baa3 (sf) Cl. E, Downgraded to Ba3 (sf); previously on Jul 29, 2016 Affirmed Ba2 (sf) Cl. F, Downgraded to B3 (sf); previously on Jul 29, 2016 Affirmed B1 (sf) Cl. G, Downgraded to Caa3 (sf); previously on Jul 29, 2016 Affirmed Caa1 (sf) Cl. H, Downgraded to C (sf); previously on Jul 29, 2016 Affirmed Caa3 (sf) Cl. J, Affirmed C (sf); previously on Jul 29, 2016 Affirmed C (sf) Cl. IO, Downgraded to Ca (sf); previously on Jun 9, 2017 Downgraded to Caa3 (sf) RATINGS RATIONALE The ratings on the P&I classes, B, C, and D 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 class, J, was affirmed because the rating is consistent with Moody's expected loss. The rating on the IO class was downgraded due to a decline in the credit quality of its referenced classes. The ratings on the P&I classes, E, F, G, and H, were downgraded due to anticipated losses from specially serviced and troubled loans. Moody's rating action reflects a base expected loss of 40.3% of the current pooled balance, compared to 32.8% at Moody's last review. Moody's base expected loss plus realized losses is now 7.4% of the original pooled balance, compared to 5.8 % at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in October 2015. Additionally, the methodology used in rating Cl. IO was "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" methodology published in June 2017. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 84% 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 July 17, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 90% to $318.2 million from $3.2 billion at securitization. The certificates are collateralized by 11 mortgage loans ranging in size from less than 1% to 39% 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 4, the same as at Moody's last review. One loan, constituting less than 1% 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. Twenty-one loans have been liquidated from the pool, resulting in an aggregate realized loss of $111.6 million (for an average loss severity of 35%). Five loans, constituting 84% of the pool, are currently in special servicing. The largest specially serviced loan is the Metropolitan Square ($124.1 million -- 39.0% of the pool), which is secured by a 43-story office tower located in the central business district of Saint Louis, Missouri. The collateral is also encumbered by a $25.5 million B-note held outside the trust. The property was 76% leased as of June 2017, compared to 77% in March 2016. The loan originally transferred to special servicing back in August 2012 due to cash flow issues, and was modified and returned to the master servicer. The loan recently transferred back to special servicing in July 2017 due to imminent maturity default. The submarket's vacancy rate is 14.3% as of the second-quarter 2017. The largest tenant, which is 23.6% of the NRA, has a lease expiration in June 2022. The second largest tenant, 4.8% of the NRA, has a lease expiration in December 2021. The second largest specially serviced loan is NGP Rubicon GSA Pool ($58.9 million -- 18.5% of the pool), which represents a 50% participation interest in a mortgage loan originally secured by 2.2 million square foot portfolio of fourteen office and distribution centers. The seven properties that remain are office properties with a weighted average occupancy of 80%. The largest property, Suffolk VA, has single tenant exposure whose lease expires in May 2018. The portfolio transferred to special servicing in April 2015 for imminent monetary default. Moody's value per square foot did not change from last review. The third largest specially serviced loan is Park Place II ($44.6 million -- 14.0% of the pool), which is secured by a second phase of an anchored power center located in Sacramento, California. The loan transferred to special servicing in January 2012 due to cash flow issues and became REO (real estate owned) in April 2013. The asset is not currently for sale. As of March 2017, the property was 74% occupied, compared to 68% in May 2016. The largest tenant, Kohl's, has a lease expiration in January 2025. The second largest tenant, Marshall's, has a lease expiration in August 2019. Moody's did not receive tenant sales information. The fourth largest specially serviced loan is Taurus Pool ($31.3 million -- 9.8% of the pool), which was originally secured by six properties located in six states. Three properties have been sold. Two of the three remaining properties are REO. Moody's has increased its loss estimate from last review. The remaining specially serviced loan is secured by a retail property. Moody's estimates an aggregate $123.1 million loss for the specially serviced loans (46% expected loss on average). Moody's received full year 2016 operating results for 100% of the pool, and full or partial year 2017 operating results for 57% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 115%, compared to 117% 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 9.0 %. Moody's actual and stressed conduit DSCRs are 1.45X and 1.14X, respectively, compared to 1.44X and 1.10X 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 conduit loan is the Phillips Lighting Loan ($37.5 million -- 11.8% of the pool), which is secured by a 199,900 SF suburban office building located in Franklin Township, New Jersey. This ARD loan had an initial maturity date of September 15, 2015 but is continuing to pay subject to additional 2.0% interest with a final maturity date of September 2035. Phillips Electronics occupies the entire building through 2021. Moody's used a lit / dark analysis given the single tenant lease exposure. Moody's LTV and stressed DSCR are 129% and 0.82X, respectively, compared to 131% and 0.81X, at the last review. The second largest conduit loan is the Maywood Village Loan ($6.3 million -- 2.0% of the pool), which is secured by a 48,000 SF retail center in Maywood, CA. The property was built in 1991 and is located five miles southeast of the Los Angeles central business district. As of December 2016, the property was 81% leased compared to 90% in March 2016. The second largest tenant, CSK Auto, whose lease expires in 2026, downsized when it renewed its lease. Moody's LTV and stressed DSCR are 83% and 1.08X, respectively, compared to 87% and 1.03X at the last review. WASATCH CLO: Moody's Hikes Rating on Class C Notes From Ba1(sf) --------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Wasatch CLO Ltd.: US$42,500,000 Class B Senior Secured Deferrable Floating Rate Notes due 2022, Upgraded to Aa1 (sf); previously on March 30, 2017 Upgraded to A1 (sf) US$29,000,000 Class C Senior Secured Deferrable Floating Rate Notes due 2022, Upgraded to Baa1 (sf); previously on March 30, 2017 Affirmed Ba1 (sf) Moody's also affirmed the ratings on the following notes: US$60,000,000 Class A-1a Senior Secured Floating Rate Notes due 2022 (current outstanding balance of $24,458,024.36), Affirmed Aaa (sf); previously on March 30, 2017 Affirmed Aaa (sf) US$429,000,000 Class A-1b Senior Secured Floating Rate Notes due 2022 (current outstanding balance of $174,874,874.30), Affirmed Aaa (sf); previously on March 30, 2017 Affirmed Aaa (sf) US$24,500,000 Class A-2 Senior Secured Floating Rate Notes due 2022, Affirmed Aaa (sf); previously on March 30, 2017 Upgraded to Aaa (sf) Wasatch CLO Ltd., issued in November 2006, is a collateralized loan obligation (CLO) backed primarily by a portfolio of senior secured loans. The transaction's reinvestment period ended in November 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 March 2017. The Class A-1 notes have been paid down by approximately 30.6% or $87.9 million since March 2017. Based on the trustee's July 2017 report, the OC ratios for the Class A, Class B and Class C notes are reported at 150.74%, 126.69% and 114.25%, respectively, versus March 2017 levels of 137.36%, 120.88% and 111.74%, respectively. The deal has also benefited from an improvement in the credit quality of the portfolio since March 2017. Based on the trustee's July 2017 report, the weighted average rating factor is currently 2495 compared to 2575 in March 2017. 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. Moody's notes that the transaction held a large amount of cash in its principal account, of $30.8 million based on the July 2017 trustee report, and as such the manager's decision to reinvest in additional collateral versus releasing the unscheduled principal proceeds to repay the notes could impact the speed of note repayment, and thus the notes' ratings. In addition, deleveraging of the CLO could accelerate owing to high prepayment levels in the loan market and collateral sales by the manager, which could have a significant impact on the notes' ratings. Note repayments that are faster than Moody's current expectations will usually have a positive impact on CLO notes, beginning with those with the highest payment priority. 5) Recovery of defaulted assets: Fluctuations in the market value of defaulted assets reported by the trustee and those that Moody's assumes as having defaulted could result in volatility in the deal's OC levels. Further, the timing of recoveries and whether a manager decides to work out or sell defaulted assets create additional uncertainty. 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) Post-Reinvestment Period Trading: Subject to certain requirements, the deal can reinvest certain proceeds after the end of the reinvestment period, and as such the manager has the ability to erode some of the collateral quality metrics to the covenant levels. Such reinvestment could affect the transaction either positively or negatively. In addition to the base case analysis, Moody's also conducted sensitivity analyses to test the impact of a number of default probabilities on the rated notes relative to the base case modeling results, which may be different from the current public ratings of the notes. Below is a summary of the impact of different default probabilities (expressed in terms of WARF) on all of the rated notes (by the difference in the number of notches versus the current model output, for which a positive difference corresponds to lower expected loss): Moody's Adjusted WARF - 20% (2113) Class A-1a: 0 Class A-1b: 0 Class A-2: 0 Class B: +1 Class C: +2 Moody's Adjusted WARF + 20% (3169) Class A-1a: 0 Class A-1b: 0 Class A-2: 0 Class B: -2 Class C: -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 $333.6 million, defaulted par of $8.9 million, a weighted average default probability of 17.08% (implying a WARF of 2641), a weighted average recovery rate upon default of 47.06%, a diversity score of 57 and a weighted average spread of 3.08% (before accounting for LIBOR floors). Moody's incorporates the default and recovery properties of the collateral pool in cash flow model analysis where they are subject to stresses as a function of the target rating on each CLO liability reviewed. Moody's derives the default probability from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate for future defaults is based primarily on the seniority of the assets in the collateral pool. Moody's generally applies recovery rates for CLO securities as published in "Moody's Approach to Rating SF CDOs". In some cases, alternative recovery assumptions may be considered based on the specifics of the analysis of the CLO transaction. In each case, historical and market performance and the collateral manager's latitude for trading the collateral are also factors. WELLS FARGO 2011-C5: Fitch Affirms 'Bsf' Rating on Class G Certs ---------------------------------------------------------------- Fitch Ratings has affirmed 10 classes of Wells Fargo Bank, N.A. Commercial Mortgage Trust commercial mortgage pass-through certificates series 2011-C5 (WFRBS 2011-C5). KEY RATING DRIVERS Stable Loss Expectations: Overall loss expectations remain generally in line with issuance expectations. As of the July 2017 distribution date, the pool's aggregate principal balance has paid down by 18.1% to $893.8 million from $1.09 billion at issuance. Since Fitch's last rating action, five loans totaling $32.3 million were repaid at or prior to their 2016 scheduled maturity date. The pool has experienced no realized losses to date and there are currently no specially serviced loans. Eight loans (6.1% of current pool) have been defeased. High Retail Concentration: Loans secured by retail properties represent 50.2% of the current pool by balance and include five of the top 15 loans (42.3%). The largest loan in the pool is secured by The Domain (21.3%), a lifestyle center comprising retail and office space located in Austin, TX. Macy's is a non-collateral anchor tenant at the property and this store location is not reported to be on any recent store closing lists. Fitch Loans of Concern: Eight loans (14.6% of current pool) were designated as Fitch Loans of Concern (FLOCs), including four loans in the top 15 (10.9%). The FLOCs include three underperforming office properties (919 Congress, Torrance Plaza East and 8301 Professional Place; 6.7% of pool) with recent occupancy declines and two retail properties (Madonna Plaza and Wolflin Village Shopping Center; 5.7%) with low occupancy or vacating anchor tenants. The other FLOCs outside of the top 15 include two hotel loans with recent performance declines related to oil and gas industry exposure and a multifamily loan affected by significant flood damage. Pool and Loan Concentrations: The pool is becoming increasingly concentrated with 59 of the original 75 loans remaining as of July 2017. The largest loan represents 21.3% of the current pool and the largest 15 loans represent 74.2% of the pool. Ten loans (37.3%) are secured by properties located in Texas, with three of the top 10 loans (28.5% of pool) secured by properties located in Austin, TX. Amortization: The majority of the pool (58 loans, 99%) is currently amortizing. Only one loan (1%) is full-term interest-only. RATING SENSITIVITIES The Stable Outlooks for all classes reflect increasing credit enhancement, low leverage of the remaining loans in the pool and expected continued paydown. Future upgrades may be limited due to overall pool concentrations and the designated Fitch Loans of Concern. The ratings reflect an additional sensitivity test whereby the loss expectations for two underperforming office loans were increased. Downgrades, although not likely in the near term, may be possible should overall performance decline significantly. Fitch has affirmed the following ratings: -- $95.5 million class A-3 at 'AAAsf'; Outlook Stable; -- $471 million class A-4 at 'AAAsf'; Outlook Stable; -- $85.9 million class A-S at 'AAAsf'; Outlook Stable; -- $652.4 million class X-A* at 'AAAsf'; Outlook Stable; -- $54.6 million class B at 'AAsf'; Outlook Stable; -- $40.9 million class C at 'Asf'; Outlook Stable; -- $25.9 million class D at 'BBB+sf'; Outlook Stable; -- $49.1 million class E at 'BBB-sf'; Outlook Stable; -- $17.7 million class F at 'BBsf'; Outlook Stable; -- $16.4 million class G at 'Bsf'; Outlook Stable. *Notional amount and interest-only. Classes A-1 and A-2 have paid in full. Fitch does not rate the class H and interest-only class X-B certificates. WELLS FARGO 2015-NXS2: DBRS Confirms B Rating on Class X-F Debt --------------------------------------------------------------- DBRS Limited confirmed all classes of Commercial Pass-Through Certificates, Series 2015-NXS2 (the Certificates) issued by WFCM 2015-NXS2 as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class PEX at A (low) (sf) -- Class D at BBB (low) (sf) -- Class X-E at BB (sf) -- Class E at BB (low) (sf) -- Class X-F at B (sf) -- Class F at B (low) (sf) All trends are Stable. The Class A-S, Class B and Class C Certificates may be exchanged for the Class PEX Certificates (and vice versa). The rating confirmations reflect the overall stable performance of the transaction since issuance. The transaction consists of 63 fixed-rate loans secured by 77 commercial and multifamily properties. According to the June 2017 remittance, the pool has experienced a collateral reduction of 1.0% since issuance as a result of scheduled loan amortization, with all loans remaining in the pool. The transaction has an aggregate outstanding principal balance of $904.9 million. There are 54 loans, representing 89.3% of the current pool balance, that are reporting YE2016 financials. These loans exhibited a WA debt service coverage ratio (DSCR) and debt yield of 1.80 times (x) and 9.4%, respectively, compared with 1.70x and 8.9% at issuance. The top 15 loans reported a WA DSCR and debt yield of 1.71x and 8.3%, respectively. The pool has a healthy concentration of 14 properties, representing 28.1% of the pool balance, located in urban markets, while loans secured by properties located in tertiary and rural markets represent only 5.9% of the pool balance, none of which are in the top 15. As of the June 2017 remittance, there are no loans in special servicing and three loans, representing 1.7% of the pool balance, are on the servicer's watchlist. At issuance, DBRS shadow-rated the Patriots Park loan (Prospectus ID#1) representing 9.9% of the current pool balance, as investment-grade. DBRS has today confirmed that the performance of this loan remains consistent with investment-grade characteristics. WEST TOWN 2017-KNOX: S&P Assigns BB(sf) Rating on Class RR Certs ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to West Town Mall Trust 2017-KNOX's $150.0 million commercial mortgage pass-through certificates series 2017-KNOX. The issuance is a commercial mortgage-backed securities transaction backed by a $150.0 million portion of a $210.0 million commercial mortgage loan encumbering the borrower's fee-simple and leasehold interest in West Town Mall, an approximately 1.34 million-sq.-ft. (772,503 sq. ft. serve as the collateral) super-regional mall in Knoxville, Tenn. The ratings reflect S&P's view of the collateral's historical and projected performance, the sponsor's experience, the trustee-provided liquidity, the loan's terms, and the transaction's structure. RATINGS ASSIGNED West Town Mall Trust 2017-KNOX Class Rating Amount ($) A AAA (sf) 60,705,000 X(i) AA- (sf) 86,165,000(i) B AA- (sf) 25,460,000 C A- (sf) 19,095,000 D BBB- (sf) 23,465,000 E BB (sf) 13,775,000 RR(ii) BB (sf) 7,500,000 (i)Notional balance. The notional amount of the class X certificates will be equal to the balance of the class A and B certificates. (ii)Non-offered certificates, expected to be held by JPMorgan Chase Bank N.A., to satisfy its U.S. risk retention requirements with respect to this securitization transaction. WHITEHORSE LTD VIII: Moody's Lowers Cl. F Notes Rating to Caa1(sf) ------------------------------------------------------------------ Moody's Investors Service has downgraded the rating on the following notes issued by Whitehorse VIII, Ltd.: US$12,250,000 Class F Junior Secured Deferrable Floating Rate Notes due 2026, Downgraded to Caa1 (sf); previously on May 9, 2014 Assigned B2 (sf) Moody's also affirmed the ratings on the following notes: US$341,000,000 Class A Senior Secured Floating Rate Notes due 2026, Affirmed Aaa (sf); previously on May 9, 2014 Assigned Aaa (sf) US$74,250,000 Class B Senior Secured Floating Rate Notes due 2026, Affirmed Aa2 (sf); previously on May 9, 2014 Assigned Aa2 (sf) US$33,000,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2026, Affirmed A2 (sf); previously on May 9, 2014 Assigned A2 (sf) US$31,500,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2026, Affirmed Baa3 (sf); previously on May 9, 2014 Assigned Baa3 (sf) US$26,250,000 Class E Junior Secured Deferrable Floating Rate Notes due 2026, Affirmed Ba3 (sf); previously on May 9, 2014 Assigned Ba3 (sf) Whitehorse VIII, Ltd., issued in May 2014, is a collateralized loan obligation (CLO) backed primarily by a portfolio of senior secured loans. The transaction's reinvestment period will end in May 2018. RATINGS RATIONALE The rating downgrade on the Class F notes reflects the credit deterioration in the underlying CLO portfolio and increased expected losses on the notes. Based on the trustee's June 2017 report, the transaction had a portfolio weighted average rating factor (WARF) of 3061, which was failing the covenant of 3040. Based on Moody's calculations, assets that have a corporate family rating equivalent to Caa1 or lower (after applicable adjustments for negative outlook or review for downgrade) represent approximately 17.4% of the performing portfolio. Furthermore, as a result of defaults and net trading losses, the interest reinvestment test ratio has decreased to 102.48% in June 2017, from 104.73% in October 2016, and is now failing the 103.10% trigger level. The weighted average spread (WAS) of the portfolio has also declined, to 4.0% in June 2017 from 4.5% in October 2016, reducing excess spread available to support the Class F notes in case of a coverage test failure. The rating actions also reflect corrections to Moody's modelling. In the May 2014 rating action, the trigger level for the Class E Par Coverage Test and certain fees were not modelled correctly. These errors have been corrected, and rating actions reflect these changes. 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 commence and at what pace. Deleveraging of the CLO could accelerate owing to high prepayment levels in the loan market and/or collateral sales by the manager, which could have a significant impact on the notes' ratings. Note repayments that are faster than Moody's current expectations will usually have a positive impact on CLO notes, beginning with those with the highest payment priority. 5) Recovery of defaulted assets: Fluctuations in the market value of defaulted assets reported by the trustee and those that Moody's assumes as having defaulted could result in volatility in the deal's OC levels. Further, the timing of recoveries and whether a manager decides to work out or sell defaulted assets create additional uncertainty. Realization of higher than assumed recoveries would positively impact the CLO. 6) 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. 7) Exposure to assets with low credit quality and weak liquidity: The presence of assets rated Caa3 with a negative outlook, Caa2 or Caa3 on review for downgrade or the worst Moody's speculative grade liquidity (SGL) rating, SGL-4, exposes the notes to additional risks if these assets default. The historical default rate is higher than average for these assets. 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% (2534) Class A: 0 Class B: +1 Class C: +2 Class D: +2 Class E: +2 Class F: +3 Moody's Adjusted WARF + 20% (3802) Class A: 0 Class B: -2 Class C: -2 Class D: -1 Class E: 0 Class F: -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 $530.4 million, defaulted par of $15.2 million, a weighted average default probability of 24.16% (implying a WARF of 3168), a weighted average recovery rate upon default of 48.60%, a diversity score of 71 and a weighted average spread of 4.0% (before accounting for LIBOR floors). Moody's incorporates the default and recovery properties of the collateral pool in cash flow model analysis where they are subject to stresses as a function of the target rating on each CLO liability reviewed. Moody's derives the default probability from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate for future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and the collateral manager's latitude for trading the collateral are also factors. [*] Moody's Takes Action on $108.4MM Alt-A Loans Issued 2002-2004 ----------------------------------------------------------------- Moody's Investors Service has upgraded ratings of 19 tranches and downgraded the ratings of four tranches from eight transactions backed by Alt-A mortgage loans, issued by multiple issuers. Complete rating actions are: Issuer: American Home Mortgage Investment Trust 2004-3 Cl. VI-A1, Downgraded to Baa3 (sf); previously on Aug 23, 2016 Upgraded to Baa2 (sf) Cl. VI-A5, Downgraded to Ba3 (sf); previously on Aug 23, 2016 Upgraded to Ba1 (sf) Issuer: Banc of America Funding 2004-C Trust Cl. 4-A-1, Upgraded to A3 (sf); previously on Aug 23, 2016 Upgraded to Baa2 (sf) Cl. 4-A-3A, Upgraded to Baa2 (sf); previously on Aug 23, 2016 Upgraded to Ba1 (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2004-12CB Cl. 1-A-1, Upgraded to A3 (sf); previously on Aug 22, 2016 Upgraded to Baa2 (sf) Cl. 1-A-3, Upgraded to A3 (sf); previously on Aug 22, 2016 Upgraded to Baa2 (sf) Cl. 2-A-1, Upgraded to Baa1 (sf); previously on Aug 22, 2016 Upgraded to Baa3 (sf) Cl. 2-A-2, Upgraded to Baa1 (sf); previously on Aug 22, 2016 Upgraded to Baa3 (sf) Cl. 3-A-1, Upgraded to Baa3 (sf); previously on Aug 22, 2016 Upgraded to Ba1 (sf) Issuer: Deutsche Mortgage Securities, Inc. Mortgage Loan Loan Trust, Series 2004-1 Cl. III-A-5, Upgraded to A2 (sf); previously on Oct 7, 2015 Upgraded to Baa1 (sf) Cl. III-A-6, Upgraded to A1 (sf); previously on May 4, 2012 Upgraded to A3 (sf) Cl. III-M-1, Upgraded to Caa3 (sf); previously on Mar 3, 2011 Downgraded to Ca (sf) Issuer: FNBA Mortgage Loan Trust 2004-AR1 Cl. A-1, Upgraded to Aa2 (sf); previously on Aug 31, 2016 Upgraded to Aa3 (sf) Cl. A-2, Upgraded to Aa1 (sf); previously on Aug 31, 2016 Upgraded to Aa2 (sf) Cl. A-3, Upgraded to Aa3 (sf); previously on Aug 31, 2016 Upgraded to A1 (sf) Cl. M-2, Upgraded to B1 (sf); previously on Aug 31, 2016 Upgraded to B3 (sf) Issuer: Impac CMB Trust Series 2002-9F Cl. A-1, Upgraded to Aa2 (sf); previously on Aug 23, 2016 Upgraded to Aa3 (sf) Cl. B, Upgraded to Baa1 (sf); previously on Aug 23, 2016 Upgraded to Baa2 (sf) Cl. M-1, Upgraded to A1 (sf); previously on Aug 23, 2016 Upgraded to A2 (sf) Cl. M-2, Upgraded to A2 (sf); previously on Aug 23, 2016 Upgraded to A3 (sf) Issuer: Impac CMB Trust Series 2003-2F Cl. B, Upgraded to B1 (sf); previously on Aug 23, 2016 Upgraded to B3 (sf) Issuer: Structured Asset Mortgage Investments II Trust 2004-AR2 Cl. II-A, Downgraded to Ba3 (sf); previously on Aug 22, 2016 Confirmed at Baa3 (sf) Cl. III-A, Downgraded to Ba3 (sf); previously on Aug 22, 2016 Confirmed at Baa3 (sf) RATINGS RATIONALE The rating actions reflect the recent performance of the underlying pools and Moody's updated loss expectations on those pools. The rating upgrades are due to buildup in bond-specific credit enhancement. The rating downgrades are primarily due to erosion of credit enhancement relative to the expected loss on the collateral. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in January 2017. Factors that would lead to an upgrade or downgrade of the ratings: Ratings in the US RMBS sector remain exposed to the high level of macroeconomic uncertainty, and in particular the unemployment rate. The unemployment rate fell to 4.4% in June 2017 from 4.9% in June 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 $60MM of RMBS Issued 2001-2005 ---------------------------------------------------------- Moody's Investors Service, on July 18, 2017, upgraded the ratings of 11 tranches and downgraded the rating of one tranche from 9 transactions, issued by various issuers, backed by subprime mortgage loans. Complete rating actions are: Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2003-FM1 Cl. M-2, Upgraded to B3 (sf); previously on Mar 15, 2011 Downgraded to Ca (sf) Cl. M-3, Upgraded to Caa2 (sf); previously on Mar 15, 2011 Downgraded to C (sf) Issuer: Asset Backed Securities Corporation Home Equity Loan Trust 2005-HE6 Cl. M6, Upgraded to Caa1 (sf); previously on Feb 16, 2016 Upgraded to Caa3 (sf) Issuer: C-BASS 2002-CB2 Trust Cl. A-1, Upgraded to Ba1 (sf); previously on May 4, 2012 Confirmed at Ba3 (sf) Cl. A-2, Upgraded to Ba3 (sf); previously on May 4, 2012 Confirmed at B2 (sf) Cl. M-1, Upgraded to Caa3 (sf); previously on May 4, 2012 Confirmed at Ca (sf) Issuer: Citigroup Home Equity Loan Trust, Series 2003-HE1 Cl. M-1, Upgraded to Baa3 (sf); previously on Nov 4, 2013 Upgraded to Ba1 (sf) Issuer: CWABS, Inc. Asset-Backed Certificates, Series 2002-6 Cl. AV-1, Upgraded to Ba1 (sf); previously on Apr 16, 2012 Downgraded to B2 (sf) Issuer: Equity One Mortgage Pass-Through Trust 2003-3 AF-4, Upgraded to Aa3 (sf); previously on Aug 24, 2015 Upgraded to A2 (sf) Issuer: Fremont Home Loan Trust 2003-A Cl. M-2, Upgraded to Caa1 (sf); previously on Apr 18, 2012 Downgraded to Ca (sf) Issuer: Home Equity Mortgage Loan Asset-Backed Trust, Series SPMD 2001-C Cl. M-2, Downgraded to Ca (sf); previously on Aug 14, 2013 Confirmed at Caa2 (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2002-HE3 Cl. M-1, Upgraded to B1 (sf); previously on Jun 26, 2014 Upgraded to B3 (sf) RATINGS RATIONALE The rating upgrades and the downgrade are primarily due to the total credit enhancement available to the bonds. In addition, the upgrades from C-BASS 2002-CB2 Trust, Equity One Mortgage Pass-Through Trust 2003-3, Fremont Home Loan Trust 2003-A, and ACE Securities Corp. Home Equity Loan Trust 2003-FM1 are also due to increase in credit enhancement available to the bonds. The downgrade on Cl. M-2 from Home Equity Mortgage Loan Asset-Backed Trust, Series SPMD 2001-C is due to the decrease in credit enhancement available to the bond. The actions reflect the recent performance of the underlying pools and Moody's updated loss expectation on these pools. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in January 2017. Factors that would lead to an upgrade or downgrade of the ratings: Ratings in the US RMBS sector remain exposed to the high level of macroeconomic uncertainty, and in particular the unemployment rate. The unemployment rate fell to 4.4% in June 2017 from 4.9% in June 2016. Moody's forecasts an unemployment central range of 4.5% to 5.5% for the 2017 year. Deviations from this central scenario could lead to rating actions in the sector. House prices are another key driver of US RMBS performance. Moody's expects house prices to continue to rise in 2017. Lower increases than Moody's expects or decreases could lead to negative rating actions. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. [*] S&P Discontinues Ratings on 17 Classes From Five CDO Deals -------------------------------------------------------------- S&P Global Ratings, on July 19, 2017, discontinued its ratings on six classes from three cash flow (CF)collateralized loan obligation (CLO) transactions, one class from one CF collateral debt obligation (CDO) backed by commercial mortgage-backed securities (CMBS), and 10 classes from one CF CDO backed by high-grade structured finance (SF) collateral. The discontinuances follow the complete pay down of the notes as reflected in the most recent trustee-issued note payment reports for each transaction: ACIS CLO 2013-2 Ltd. (CF CLO): senior-most tranche paid down, other rated tranches still outstanding. Battalion CLO 2007-1 Ltd. (CF CLO): optional redemption in July 2017. CRIIMI MAE Commercial Mortgage Trust (CF CDO of CMBS): last remaining rated tranche paid down. Kingsland V Ltd. (CF CLO): senior-most tranche paid down, other rated tranches still outstanding. Putnam Structured Product CDO 2002-1 Ltd. (CF High-Grade SF CDO): optional redemption in July 2017. RATINGS DISCONTINUED ACIS CLO 2013-2 Ltd. Rating Class To From B-R NR AAA (sf) Battalion CLO 2007-1 Ltd. Rating Class To From B NR AAA (sf) C NR AAA (sf) D NR AA+ (sf) E NR BBB- (sf) CRIIMI MAE Commercial Mortgage Trust Rating Class To From G NR B- (sf) Kingsland V Ltd. Rating Class To From A-2R NR AAA (sf) Putnam Structured Product CDO 2002-1 Ltd. Rating Class To From A-1LT-a NR BB- (sf) A-1LT-b NR BB- (sf) A-1LT-c NR BB- (sf) A-1LT-d NR BB- (sf) A-1LT-f NR BB- (sf) A-1LT-g NR BB- (sf) A-1LT-h NR BB- (sf) A-1LT-i NR BB- (sf) A-1LT-j NR BB- (sf) A2 NR CCC+ (sf) NR--Not rated. [*] S&P Puts Ratings on 50 Classes From 12 CLO Deals on Watch Pos. ------------------------------------------------------------------ S&P Global Ratings placed its ratings on 50 tranches from 12 U.S. collateralized loan obligation (CLO) transactions on CreditWatch with positive implications. S&P said, "Today's CreditWatch placements follow our surveillance review of U.S. cash flow collateralized debt obligation (CDO) transactions. The affected tranches had an original issuance amount of $1.50 billion." The CreditWatch positive placements resulted from enhanced overcollateralization due to paydowns to the senior tranches of these CLO transactions. All of the transactions have exited their reinvestment periods. The table below reflects the year of issuance for the 12 transactions whose ratings were placed on CreditWatch. Year of issuance No. of deals 2012 9 2013 3 S&P said, "We expect to resolve today's CreditWatch placements within 90 days after we complete a comprehensive cash flow analysis and committee review for each of the affected transactions. We will continue to monitor the CDO transactions we rate and take rating actions, including CreditWatch placements, as we deem appropriate." RATINGS PLACED ON CREDITWATCH POSITIVE Apidos CLO X Rating Class To From B-1 AA (sf)/Watch Pos AA (sf) B-2 AA (sf)/Watch Pos AA (sf) C A (sf)/Watch Pos A (sf) D BBB (sf)/Watch Pos BBB (sf) E BB (sf)/Watch Pos BB (sf) Atlas Senior Loan Fund II Ltd. Rating Class To From B-R AA+ (sf)/Watch Pos AA+ (sf) C-R A+ (sf)/Watch Pos A+ (sf) D-R BBB (sf)/Watch Pos BBB (sf) E BB (sf)/Watch Pos BB (sf) BlueMountain CLO 2012-1 Ltd. Rating Class To From B AA+ (sf)/Watch Pos AA+ (sf) C A+ (sf)/Watch Pos BBB- (sf) D BBB+ (sf)/Watch Pos BB- (sf) E BB (sf)/Watch Pos B (sf) Finn Square CLO Ltd. Rating Class To From A-2-R AA (sf)/Watch Pos AA (sf) B-1-R A (sf)/Watch Pos A (sf) B-2-R A (sf)/Watch Pos A (sf) C BBB (sf)/Watch Pos BBB (sf) Gallatin CLO IV 2012-1 Ltd. Rating Class To From B AA (sf)/Watch Pos AA (sf) C A (sf)/Watch Pos A (sf) D BBB (sf)/Watch Pos BBB (sf) E BB (sf)/Watch Pos BB (sf) F B (sf)/Watch Pos B (sf) Golub Capital Partners CLO 15 Ltd. Rating Class To From A-2 AA+ (sf)/Watch Pos AA (sf) B A+ (sf)/Watch Pos A (sf) C BBB (sf)/Watch Pos BBB (sf) D BB (sf)/Watch Pos BB (sf) Jamestown CLO II Ltd. Rating Class To From A-2A AA (sf)/Watch Pos AA (sf) A-2B AA (sf)/Watch Pos AA (sf) B A (sf)/Watch Pos A (sf) C BBB (sf)/Watch Pos BBB (sf) LCM XII L.P. Rating Class To From B-R AA (sf)/Watch Pos AA (sf) C-R A (sf)/Watch Pos A (sf) D-R BBB (sf)/Watch Pos BBB (sf) E BB (sf)/Watch Pos BB (sf) Marine Park CLO Ltd. Rating Class To From A-2-R AA (sf)/Watch Pos AA (sf) B-R A (sf)/Watch Pos A (sf) C-R BBB (sf)/Watch Pos BBB (sf) D-R BB- (sf)/Watch Pos BB- (sf) Neuberger Berman CLO XIII Ltd. Rating Class To From B AA (sf)/Watch Pos AA (sf) C A (sf)/Watch Pos A (sf) D BBB (sf)/Watch Pos BB- (sf) Northwoods Capital IX Ltd. Rating Class To From B-1 AA (sf)/Watch Pos AA (sf) B-2 AA (sf)/Watch Pos AA (sf) C-1 A (sf)/Watch Pos A (sf) C-2 A (sf)/Watch Pos A (sf) D BBB (sf)/Watch Pos BBB (sf) E BB- (sf)/Watch Pos BB- (sf) Vibrant CLO Ltd. Rating Class To From A-2R AA (sf)/Watch Pos AA (sf) B-R A (sf)/Watch Pos A (sf) C-R BBB (sf)/Watch Pos BBB (sf) [*] S&P Puts Ratings on 73 Classes From 10 RMBS Deals on Watch Neg ------------------------------------------------------------------ S&P Global Ratings placed its ratings on 73 classes from 10 U.S. residential mortgage-backed securities (RMBS) transactions on CreditWatch with negative implications. S&P said, "We also discontinued our ratings on 49 other classes that were paid in full. The transactions were issued in 2004 and 2005 and are backed by prime jumbo and Alternative-A collateral." According to the June trustee remittance reports for these 10 transactions, $53.57 million in total payments have been withheld by the trustee, Wells Fargo Bank N.A. Due to these payment withholdings, reported amounts owed on the affected classes remain unpaid. As we currently understand, in reaction to clean-up calls on the loans underlying these transactions, Wells Fargo has held back these payments to cover its legal expenses in pending litigation concerning its performance as trustee. S&P said, "While other circumstances involving a payment delay may cause us to lower our ratings to 'D (sf)' and subsequently withdraw our ratings, we are placing our ratings on these classes on CreditWatch negative because the withheld funds could be released to make the payments owed on the classes. We are further investigating the situation to develop a better understanding as to whether such payments may be made. We will continue to monitor these transactions and will take the rating actions that we consider appropriate under the circumstances. "We also discontinued our ratings on 49 other classes from these transactions that were paid in full. "A number of other legacy RMBS transactions are subject to similar trustee litigation, and, in our view, the trustees in those transactions could also hold back securities payments to cover the trustees' legal expenses in reaction to clean-up calls on the underlying collateral. We have not, however, observed any payment holdbacks in these transactions that would warrant rating actions, and the potential for any such holdbacks in these transactions is currently uncertain, in our view. We will continue to monitor the performance of these transactions and will take ratings actions, if any, that we consider appropriate under the circumstances." A list of the Affected Ratings is available at: http://bit.ly/2vCfheE [*] S&P Takes Various Actions on 56 Classes From 11 US RMBS Deals ----------------------------------------------------------------- S&P Global Ratings completed its review of 56 classes from 11 U.S. residential mortgage-backed securities (RMBS) transactions issued between 2001 and 2005. All of these transactions are backed by subprime collateral. The review yielded two upgrades, 14 downgrades, 39 affirmations, and one discontinuance. Analytical Considerations S&P said, "We incorporate various considerations into our decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by our 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; -- Loss severity trends; -- Proportion of reperforming loans in the pool; and -- Available subordination and/or overcollateralization. A list of the Affected Ratings is available at: http://bit.ly/2ugUhfF [*] S&P Takes Various Actions on 85 Classes From 14 US RMBS Deals ----------------------------------------------------------------- S&P Global Ratings completed its review of 85 classes from 14 U.S. residential mortgage-backed securities (RMBS) transactions issued between 2002 and 2005. All of these transactions are backed by prime jumbo collateral. The review yielded six upgrades, 36 downgrades, 42 affirmations, and one withdrawal. Analytical Considerations S&P said, "We incorporate various considerations into our decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by our 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; -- Expected duration of the bond; -- Priority of principal payments; -- Erosion of credit support; -- Tail risk; Interest-only criteria; Principal-only criteria; and -- Available subordination and/or overcollateralization. Rating Actions Please see the ratings list for the rationales for classes with rating transitions. S&P said, "The affirmations of ratings reflect our opinion that our projected credit support and collateral performance on these classes has remained relatively consistent with our prior projections. A list of the Affected Ratings is available at: http://bit.ly/2w30Ct2 [*] US CMBS Conduit Loan Delinquencies Up in June, Moody's Says --------------------------------------------------------------- Moody's Delinquency Tracker rose to 7.07% in June from 6.97% in May, due largely to newly delinquent loans from the 2007 vintage, the rating agency says in a just-published, monthly report on US CMBS conduit loan delinquencies. Among property types, delinquencies rose for multifamily, hotel, industrial and retail, while they fell for the office sector. Moody's Delinquency Tracker follows the delinquency rate of US CMBS conduit/fusion loans across six commercial property types -- apartment, core commercial, retail, industrial, office -- CBD and office - suburban -- by amount outstanding, market and vintage. "Among property types, the multifamily sector saw the largest increase in the delinquency rate last month, rising to 4.10% from 2.77% in May," said Vice President -- Senior Analyst, Kevin Fagan. "The difference was due mainly to two newly delinquent loans, both multifamily portfolios in the MLMT 2007-C1 transaction. Assuming these loans were current, the multifamily delinquency rate for June would be 2.57%." Other findings from this month's Moody's Delinquency Tracker include: - The delinquency rate for the multifamily sector rose 133 basis points in June, with the difference attributable to two newly delinquent loans, Empirian Multifamily Portfolio Pool 1 ($293 million) and the Empirian Multifamily Portfolio Pool 3 ($240 million), last month's largest and third-largest new delinquencies, respectively. - The multifamily sector had an outstanding conduit CMBS balance of $34.64 billion in June, with the sector's overall delinquency rate affected particularly by the delinquency status of large loans. - Among property types, the industrial sector had the highest delinquency rate last month, rising to 9.41% from 9.11% in May. 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