/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/170820.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, August 20, 2017, Vol. 21, No. 231 Headlines APEX CREDIT 2017-II: Moody's Assigns (P)Ba3 Rating to Cl. E Notes ARCAP 2004-1: Moody's Hikes Rating on Class D Debt to B2 ATLAS SENIOR IV: S&P Affirms BB-(sf) Rating on Class B-2L Notes BANC OF AMERICA 2006-5: Moody's Affirms C Ratings on 2 Tranches BANC OF AMERICA 2007-3: Fitch Affirms 'CCsf' Rating on 2 Tranches BATTALION CLO XI: S&P Assigns Prelim BB(sf) Rating on Class E Notes BBCMS TRUST 2017-DELC: Moody's Assigns Prov. B3 Rating to F Certs BEAR STEARNS 2005-PWR10: Fitch Hikes Cl. B Certs Rating From BB BEAR STEARNS 2006-PWR14: Fitch Hikes Class A-J Certs Rating to Bsf BX TRUST 2017-SLCT: S&P Assigns B(sf) Rating on Class F Certs BXP TRUST 2017-CC: S&P Gives Prelim BB-(sf) Rating on Class E Certs CALIFORNIA STREET V: Moody's Hikes Rating on Class D Notes to Ba1 CARLYLE GLOBAL 2013-1: Moody's Assigns Ba3 Rating to Cl. D-R Notes CD MORTGAGE 2017-CD5: Fitch Assigns 'B-sf' Rating to Class F Notes CEDAR FUNDING VIII: S&P Gives Prelim BB-(sf) Rating on Cl. E Notes CGDBB COMMERCIAL 2017-BIOC: S&P Rates Class E Notes BB-(sf) CITIGROUP 2013-GC15: Fitch Affirms 'Bsf' Rating on Cl. F Certs CITIGROUP COMMERCIAL 2015-101A: S&P Affirms B+ on 2 Tranches CITIGROUP COMMERCIAL 2017-1500: S&P Gives (P)B Rating on F Certs COMM 2012-CCRE3: Moody's Affirms B2(sf) Rating on Class G Notes COMM MORTGAGE 2013-GAM: Fitch Affirms 'BB-sf' Rating on Cl. F Debt CREDIT SUISSE 2003-CPN1: Moody's Affirms C Rating on Class H Certs DRYDEN SENIOR XXVIII: S&P Assigns BB- Rating on Class B-2R Notes EASTLAND CLO: Moody's Affirms B1(sf) Rating on Class D Notes FANNIE MAE 2017-C06: Fitch to Rate 38 Note Classes 'Bsf' FIRST UNION 1999-C2: Moody's Affirms C(sf) Rating on Class IO Certs FLAGSHIP CREDIT 2017-3: S&P Gives Prelim BB- Rating on Cl. E Notes GALAXY CLO XIX: S&P Assigns Prelim. B- Rating on Class E-R Notes GREENWICH CAPITAL 2004-GG1: Moody's Lower Class J Debt to C(sf) GREENWICH CAPITAL 2006-GG7: Moody's Cuts B2 Rating to Cl. A-J Debt HARBOR LLC 2006-1: Moody's Lowers Rating on 2 Tranches to Ca(sf) HEMPSTEAD LTD II: Moody's Assigns Ba3(sf) Rating to Cl. D Notes JAMESTOWN CLO IV: Moody's Lowers Class E Notes Rating to Caa1 JP MORGAN 2003-C1: Moody's Affirms C(sf) Ratings on 2 Tranches JP MORGAN 2005-LDP3: Moody's Affirms C(sf) Rating on Cl. G Certs JP MORGAN 2010-C1: Fitch Cuts Class C Debt Rating to BBsf JP MORGAN 2017-FL10: S&P Assigns B- Rating on Class F Certs KKR CLO 12: Moody's Assigns Ba3(sf) Rating to Class E-R Notes LB-UBS COMMERCIAL 2007-C1: Fitch Hikes Cl. D Certs Rating to CCC LB-UBS COMMERCIAL 2007-C6: S&P Affirms CCC Rating on Cl. D Certs MACH ONE 2004-1: Fitch Affirms 'Dsf' Rating on Class O Notes MAD MORTGAGE 2017-330M: S&P Assigns BB(sf) Rating on Class E Certs MADISON PARK XXIII: S&P Assigns BB-(sf) Rating on Class E Notes MAGNETITE XIX: Moody's Assigns B3(sf) Rating to Class F Notes ML-CFC COMMERCIAL 2006-3: Fitch Hikes Class C Debt Rating to Bsf MORGAN STANLEY 2005-IQ9: Fitch Cuts Ratings on 4 Tranches to 'Csf' MORGAN STANLEY 2007-TOP27: S&P Hikes Class B Certs Rating to B+ MOUNTAIN VIEW 2017-1: Moody's Assigns Ba3 Rating to Cl. E Notes NASSAU LTD 2017-I: S&P Assigns BB- Rating on Class D Notes NOMURA CRE 2007-2: Fitch Affirms 'CCCsf' Rating on Cl. B Notes OCP CLO 2016-11: S&P Assigns BB-(sf) Rating on Class D-R Notes OFSI BSL VIII: S&P Assigns BB(sf) Rating on Class E Notes PRESTIGE AUTO 2017-1: S&P Gives Prelim BB Rating on Class E Notes PROTECTIVE FINANCE 2007-PL: Moody's Affirms B2 Rating on 2 Ratings RAIT PREFERRED II: Moody's Hikes Rating on 2 Tranches to B3 REALT 2007-2: S&P Affirms B+(sf) Rating on 2 Tranches ROCKWALL CDO II: S&P Raises Class B-2L Notes Rating to BB+ (sf) SCHOONER TRUST 2007-8: Moody's Lowers Class XC Certs Rating to C SCRT 2017-2: Moody's Assigns B1(sf) Rating to Class M-1 Debt SEQUOIA MORTGAGE 2017-6: Moody's Gives (P)Ba3 Rating to B-4 Certs SORIN REAL I: Moody's Affirms C(sf) Ratings on 4 Tranches TELOS CLO 2013-3: Moody's Assigns Ba3(sf) Rating to Cl. E-R Notes UBS COMMERCIAL 2017-C2: S&P Rates Class H-RR Certs 'B+(sf)' UBS COMMERCIAL 2017-C3: Fitch to Rates Class G-RR Debt 'B-sf' VENTURE CLO XIV: Moody's Gives Prov. Ba3 Rating to Class E-R Notes WACHOVIA BANK 2003-C5: Moody's Affirms Ca Rating on Cl. X-C Certs WESTLAKE AUTOMOBILE 2016-1: S&P Affirms BB Rating on Class E Debt WESTLAKE AUTOMOBILE 2017-2: S&P Rates $800MM Class E Notes 'BB(sf)' WFRBS COMMERCIAL 2012-C9: Fitch Affirms Bsf Rating on Class F Certs WOODMONT LP 2017-3: S&P Gives Prelim BB(sf) Rating on Class E Notes WRIGHTWOOD CAPITAL 2005-1: Moody's Hikes Class D Debt Rating to B1 [*] Fitch Lowers 348 Wells Fargo Trustee US RMBS Classes [*] Fitch Takes Actions on 8 SLM Loan Trusts [*] Moody's Withdraws Ratings on 8 Tranches From 5 RMBS BofA Deals [*] S&P Discontinues Ratings on 123 Classes From 38 CDO Deals [*] S&P Puts Ratings on 45 Tranches From 13 CLO Deals on Watch Pos. [*] S&P Takes Various Actions on 164 Classes From 14 US RMBS Deals [*] S&P Takes Various Actions on 74 Classes From 11 US RMBS Deals ********* APEX CREDIT 2017-II: Moody's Assigns (P)Ba3 Rating to Cl. E Notes ----------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to six classes of notes issued by Apex Credit CLO 2017-II Ltd. Moody's rating action is: US$2,500,000 Class X Senior Secured Floating Rate Notes due 2029 (the "Class X Notes"), Assigned (P)Aaa (sf) US$288,000,000 Class A Senior Secured Floating Rate Notes due 2029 (the "Class A Notes"), Assigned (P)Aaa (sf) US$51,750,000 Class B Senior Secured Floating Rate Notes due 2029 (the "Class B Notes"), Assigned (P)Aa2 (sf) US$29,250,000 Class C Secured Deferrable Floating Rate Notes due 2029 (the "Class C Notes"), Assigned (P)A2 (sf) US$22,500,000 Class D Secured Deferrable Floating Rate Notes due 2029 (the "Class D Notes"), Assigned (P)Baa3 (sf) US$22,500,000 Class E Secured Deferrable Floating Rate Notes due 2029 (the "Class E Notes"), Assigned (P)Ba3 (sf) The Class X Notes, the Class A Notes, the Class B Notes, the Class C Notes, the Class D Notes, and the Class E Notes are referred to herein, collectively, as the "Rated Notes." Moody's issues provisional ratings in advance of the final sale of financial instruments, but these ratings only represent Moody's preliminary credit opinions. Upon a conclusive review of a transaction and associated documentation, Moody's will endeavor to assign definitive ratings. A definitive rating, if any, may differ from a provisional rating. RATINGS RATIONALE Moody's provisional ratings of the Rated Notes address the expected losses posed to noteholders. The provisional ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. Apex CLO 2017-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 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 85% ramped as of the closing date. Apex Credit Partners 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 and three months 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: 70 Weighted Average Rating Factor (WARF): 2705 Weighted Average Spread (WAS): 3.60% Weighted Average Coupon (WAC): 6.50% Weighted Average Recovery Rate (WARR): 45.50% 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 2705 to 3111) Rating Impact in Rating Notches Class X Notes: 0 Class A Notes: 0 Class B Notes: -1 Class C Notes: -2 Class D Notes: -1 Class E Notes: 0 Percentage Change in WARF -- increase of 30% (from 2705 to 3517) Rating Impact in Rating Notches Class X Notes: 0 Class A Notes: -1 Class B Notes: -3 Class C Notes: -4 Class D Notes: -2 Class E Notes: -1 ARCAP 2004-1: Moody's Hikes Rating on Class D Debt to B2 -------------------------------------------------------- Moody's Investors Service has upgraded and affirmed the ratings on the following notes issued by ARCap 2004-1 Resecuritization Trust Collateralized Debt Obligation Certificates, Series 2004-1. ("ARCap 2004-1"): Moody's rating action is: Cl. C, Upgraded to Baa3 (sf); previously on Aug 11, 2016 Upgraded to Ba3 (sf) Cl. D, Upgraded to B2 (sf); previously on Aug 11, 2016 Upgraded to Caa1 (sf) Cl. E, Affirmed Ca (sf); previously on Aug 11, 2016 Affirmed Ca (sf) Cl. F, Affirmed C (sf); previously on Aug 11, 2016 Affirmed C (sf) The Class C, Class D, Class E, and Class F Notes are referred to herein as the "Rated Notes" RATINGS RATIONALE Moody's has upgraded the ratings of two classes of notes due to materially greater than expected recoveries on defaulted and high credit risk assets resulting in full amortization of the Class B notes. This is in combination with improvements in the intra-rating distribution of the remaining collateral pool as evidenced by over 43% of the collateral pool experienced ratings upgrades or improved assessments of the credit quality of non-Moody's rated assets. The affirmations are due to the key transaction metrics performing within levels commensurate with existing ratings. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO and RE-REMIC) transactions. ARCap 2004-1 is a cash transaction backed by a portfolio of commercial mortgage backed securities (CMBS) (100% of the portfolio). As of the trustee's July 18, 2017 report, the aggregate note balance of the transaction, including preferred shares, is $252.1 million from $340.9 million at issuance with paydowns directed to the senior most outstanding class. The paydowns are a result of regular amortization on the underlying collateral. Moody's has identified the following as key indicators of the expected loss in CRE CDO transactions: the weighted average rating factor (WARF), the weighted average life (WAL), the weighted average recovery rate (WARR), and Moody's asset correlation (MAC). Moody's typically models these as actual parameters for static deals and as covenants for managed deals. WARF is a primary measure of the credit quality of a CRE CDO pool. Moody's has updated its assessments for the collaterals it does not rate. The rating agency modeled a bottom-dollar WARF of 4929, compared to 4981 at last review. The current ratings on the Moody's-rated collateral and the assessments of the non-Moody's rated collateral follow: Aaa-Aa3 (15.1%, compared to 4.5% at last review); Baa1-Baa3 (8.8%, compared to 4.1% at last review); Ba1-Ba3 (11.7%, compared to 11.0% at last review); B1-B3 (21.0%, compared to 12.5% at last review); Caa1-Ca/C (43.4%, compared to 53.8% at last review). Moody's modeled a WAL of 2.7 years, compared to 3.0 years at last review. The WAL is based on assumptions about extensions on the underlying look-through CMBS loan assets. Moody's modeled a fixed WARR of 0.0%, compared to 0.0% at last review. Moody's modeled a MAC of 15.1%, compared to 14.2% at last review. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Approach to Rating SF CDOs" published in June 2017. Factors That Would Lead to Upgrade or Downgrade of the Ratings: The performance of the notes is subject to uncertainty, because it is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that are subject to change. The servicing decisions of the master and special servicer and surveillance by the operating advisor with respect to the collateral interests and oversight of the transaction will also affect the performance of the Rated Notes. Moody's Parameter Sensitivities: Changes to any one or more of the key parameters could have rating implications for the Rated Notes, although a change in one key parameter assumption could be offset by a change in one or more of the other key parameter assumptions. The Rated Notes are particularly sensitive to changes in the recovery rate of the underlying collateral and credit assessments. Holding all other key parameters static, increasing the recovery rate of 100% of the collateral by +5% would result modeled rating movement on the Rated Notes of three to twenty notches upward (e.g. one notch up implies a rating movement from Baa3 to Baa2). The primary sources of uncertainty in Moody's assumptions are the extent of growth in the current macroeconomic environment. Commercial real estate property values continue to improve modestly, along with a rise in investment activity and stabilization in core property type performance. Limited new construction and moderate job growth have aided this improvement. ATLAS SENIOR IV: S&P Affirms BB-(sf) Rating on Class B-2L Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1L-R, A-2L-R, A-3L-R, and B-1L-R replacement notes from Atlas Senior Loan Fund IV Ltd., a collateralized loan obligation (CLO) originally issued in 2014 that is managed by Crescent Capital Group L.P. S&P said, "We withdrew our ratings on the original class A-1L, A-2L, A-3L, and B-1L notes following payment in full on the Aug. 15, 2017, refinancing date. At the same time, we affirmed our ratings on the class B-2L and B-3L notes, which were not part of the refinancing." S&P related, "On the Aug. 15, 2017, refinancing date, the proceeds from the class A-1L-R, A-2L-R, A-3L-R, and B-1L-R replacement note issuances were used to redeem the original class A-1L, A-2L, A-3L, and B-1L 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 supplemental indenture and carry a lower spread over LIBOR than the original notes. 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 Atlas Senior Loan Fund IV Ltd. Replacement class Rating Amount (mil $) A-1L-R AAA (sf) 311.80 A-2L-R AA (sf) 44.70 A-3L-R A (sf) 44.70 B-1L-R BBB (sf) 32.90 RATINGS WITHDRAWN Atlas Senior Loan Fund IV Ltd. Rating Original class To From A-1L NR AAA (sf) A-2L NR AA (sf) A-3L NR A (sf) B-1L NR BBB (sf) RATINGS AFFIRMED Class Rating B-2L BB- (sf) B-3L B (sf) OTHER OUTSTANDING CLASS Class Rating Subordinated notes NR NR--Not rated. BANC OF AMERICA 2006-5: Moody's Affirms C Ratings on 2 Tranches --------------------------------------------------------------- Moody's Investors Service has affirmed the ratings of three classes in Banc of America Commercial Mortgage Inc. Commercial Mortgage Pass-Through Certificates, Series 2006-5: Cl. A-J, Affirmed Caa2 (sf); previously on Aug 18, 2016 Downgraded to Caa2 (sf) Cl. B, Affirmed C (sf); previously on Aug 18, 2016 Affirmed C (sf) Cl. XC, Affirmed C (sf); previously on Jun 9, 2017 Downgraded to C (sf) RATINGS RATIONALE The rating on Classes A-J and B were affirmed because the ratings are consistent with Moody's expected loss. The rating on the IO Class (Class XC) was affirmed based on the credit quality of its referenced classes. Moody's rating action reflects a base expected loss of 22.6% of the current balance compared to 6.9% at Moody's last review. Moody's base expected loss plus realized losses is now 12.6% of the original pooled balance, compared to 13.5% 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 "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. Additionally, the methodology used in rating Cl. XC was "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 87% 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 to the most junior class and the recovery as a pay down of principal to the most senior class. DEAL PERFORMANCE As of the July 10, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 95% to $90.1 million from $2.24 billion at securitization. The certificates are collateralized by eight mortgage loans ranging in size from 2% to 36% of the pool. The pool contains no loans with investment-grade structured credit assessments and no defeased loans. Forty-five loans have been liquidated from the pool, contributing to an aggregate realized loss of $262.3 million (for an average loan loss severity of 48%). Seven loans, constituting 87% of the pool, are currently in special servicing. The largest specially serviced loan is the Oaks at Park South -- A Note Loan ($31 million -- 5% of the pool). The loan is secured by a 510-unit multifamily property located in Oxon Hill, Maryland, approximately 9 miles south of downtown Washington, DC. The loan transferred to special servicing for imminent default due to outstanding maintenance and potential waste issues at the property. The loan was previously modified which included a 30-month maturity extension to March 2019 and the creation of an additional $6.4 million B note which included unpaid interest and expenses at the time of the modification. The remaining six specially serviced loans are secured by a mix of property types. Moody's estimates an aggregate $19.3 million loss for the specially serviced loans. The remaining sole non-specially serviced loan represents 13% of the pool balance. The Cummins Nashville Loan ($10.7 million -- 13% of the pool), is secured by an 87,230 square foot office property located in Nashville, Tennessee that was built in 2001. The property is 100% leased to Cummins, Inc. who is in the process of a 5-year renewal of their lease through 2023. The servicer indicated that the borrower has requested a payoff statement for August 31, 2017. Moody's LTV and stressed DSCR are 84% and 1.19X, respectively. BANC OF AMERICA 2007-3: Fitch Affirms 'CCsf' Rating on 2 Tranches ----------------------------------------------------------------- Fitch Ratings affirms Banc of America Commercial Mortgage Trust (BACM) commercial mortgage pass-through certificates series 2007-3. KEY RATING DRIVERS The affirmations reflect sufficient credit enhancement (CE) relative to the concentrated nature of the pool and expected losses. Concentration & Adverse Selection: The pool is highly concentrated with only 21 of the original 152 loans remaining, of which 18 (89% of the pool) are specially serviced. As of the July 2017 distribution date, the pool's aggregate principal balance has been reduced by 91.9% to $285.4 million from $3.5 billion at issuance. Due to the concentrated nature of the pool, Fitch performed a sensitivity analysis which grouped the remaining loans based on loan structural features, collateral quality and performance which ranked them by their perceived likelihood of repayment. This includes the three non-specially serviced loans, and 18 specially serviced loans. The ratings reflect this sensitivity analysis. Increased Concentration of Specially Serviced Loans: Eighteen loans (89%) are currently in special servicing, the majority of which have transferred due to maturity defaults. The two largest loans are specially serviced loans accounting for 47% of pool balance. The largest specially serviced loan is the JQH Hotel Portfolio (35% of the pool) which is secured by five hotel properties (three full-service and two limited-service) under the Embassy Suites, Renaissance, and Residence flags, built between 2000 and 2005. The hotels are situated in various cities in Tennessee, Texas, and Missouri. The loan was transferred to special servicing in July 2016 due to the Revocable Trust of John Q. Hammons and its affiliates filing for Chapter 13 Bankruptcy. Per the special servicer, a hearing in December 2016 ruled in the debtor's favor regarding the Right of First Refusal (ROFR) litigation and dismissed it under the bankruptcy and an appeal has been filed by JD Holdings. The borrower has engaged UBS to market and sell the remaining hotels. The second largest specially serviced asset is the Stonecrest Marketplace loan (12%), which is secured by a 264,609 sf retail property located in Lithonia, GA, an eastern suburb of Atlanta. The loan was transferred to special servicing in February 2017 due to imminent maturity default. Per the special servicer, the borrower has advised it will cooperate with a receiver appointment and foreclosure proceedings. A receiver was appointed in June 2017 and foreclosure will be commenced with a tentative foreclosure date of Sept. 1, 2017. The largest tenants include Big Lots (lease expiry 2019), Babies R Us (2018), Ross Stores (2018), Marshalls (2018), and DSW (2018). As of March 2017, the property is 95.2% occupied. The most recent servicer-reported DSCR as of year-end 2016 is 1.11x. Long Term Loans: The remaining non-specially serviced loans all have maturity dates in 2022. RATING SENSITIVITIES Rating Outlooks on classes A-J through C remain Stable due to high credit enhancement; however, ratings on these classes have been capped due to the increased concentration of the remaining pool, high percentage of specially serviced loans, and long-term maturities of the remaining three non-specially serviced loans scheduled to mature in 2022. Ratings on the distressed classes may be subject to further downgrades as losses are realized. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third-party due diligence was provided or reviewed in relation to this rating action. Fitch has affirmed and revised recovery estimates on the following ratings: -- $6.1 million class A-J at 'BBBsf'; Outlook Stable; -- $35.2 million class B at 'BBsf'; Outlook Stable; -- $48.3 million class C at 'Bsf'; Outlook Stable; -- $26.4 million class D at 'CCCsf'; RE 100%; -- $26.4 million class E at 'CCsf'; RE revised to 100% from 40%; -- $35.2 million class F at 'CCsf'; RE revised to 100% from 0%; -- $30.8 million class G at 'Csf'; RE 0%; -- $48.3 million class H at 'Csf'; RE 0%; -- $28.9 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%; -- $0 class P at 'Dsf'; RE 0%; -- $0 class Q at 'Dsf'; RE 0%. Fitch does not rate the class S certificates. Classes A-1, A-2, A-2FL, A-3, A-4, A-5, A-1A, A-M, A-MF, A-MFL, and A-AB certificates have paid in full. Fitch previously withdrew the rating on the interest-only class XW certificates. BATTALION CLO XI: S&P Assigns Prelim BB(sf) Rating on Class E Notes ------------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Battalion CLO XI Ltd./Battalion CLO XI LLC's $590.0 million floating-rate notes. The note issuance is a collateralized loan obligation transaction primarily backed by broadly syndicated senior secured term loans. The preliminary ratings are based on information as of Aug. 16, 2017. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The diversified collateral pool, which consists primarily of broadly syndicated speculative-grade senior secured term loans that are governed by collateral quality tests. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. PRELIMINARY RATINGS ASSIGNED Battalion CLO XI Ltd./Battalion CLO XI LLC Class Rating Amount (mil. $) X AAA (sf) 4.00 A AAA (sf) 395.00 B AA (sf) 88.50 C (deferrable) A (sf) 39.50 D (deferrable) BBB (sf) 37.00 E (deferrable) BB (sf) 26.00 Subordinate notes NR 65.75 NR--Not rated. BBCMS TRUST 2017-DELC: Moody's Assigns Prov. B3 Rating to F Certs ----------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to seven classes of CMBS securities, issued by BBCMS 2017-DELC Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2017-DELC: Cl. A, Assigned (P)Aaa (sf) Cl. B, Assigned (P)Aa3 (sf) Cl. C, Assigned (P)A3 (sf) Cl. D, Assigned (P)Baa3 (sf) Cl. E, Assigned (P)Ba3 (sf) Cl. F, Assigned (P)B3 (sf) Cl. X-CP*, Assigned (P)Aa3 (sf) * Reflects interest-only classes RATINGS RATIONALE The Certificates are collateralized by a single loan backed by a first lien commercial mortgage related to one property, the Hotel del Coronado (the "Property"). The ratings are based on the collateral and the structure of the transaction. The Hotel del Coronado is a 757-guestroom (679 collateral guestrooms and 78 condominium hotel guestrooms that are not part of the collateral), luxury hotel and resort located in Coronado, CA which is part of the greater San Diego area. The Property was originally built with 380 guestrooms in 1888, at which point it was considered to be the largest resort hotel in the world. The Property is considered an American landmark with its signature Victorian design and classic red and white color scheme. In 1977, the Hotel del Coronado was designated a National Historic Landmark by the National Trust for Historic Preservation. The Property is AAA Four-Diamond rated and offers a full array of luxury amenities including 64,035 SF of indoor meeting space, nearly 70,000 SF of outdoor and pre-function space, a 12,500 SF spa, fitness center, multiple food and beverage outlets, four pools, numerous retail shops, and 905 parking spaces. The Hotel del Coronado is located on Coronado Island in the City of Coronado, approximately 5.2 miles west of downtown San Diego, California. Coronado Island is located across the San Diego Bay and is connected to the main land by the Silver Strand isthmus (U.S. Highway 75 is the main route along the isthmus) and by the San Diego-Coronado Bay Bridge. The Property has access to three regional freeways, Interstate 5, Interstate 805, and Interstate 15 via the San Diego-Coronado Bay Bridge. San Diego International Airport is located approximately 8.5 miles from the Property. Moody's approach to rating this transaction involved the application of both Moody's Large Loan and Single Asset/Single Borrower CMBS methodology and Moody's IO Rating methodology. The rating approach for securities backed by a single loan compares the credit risk inherent in the underlying collateral with the credit protection offered by the structure. The structure's credit enhancement is quantified by the maximum deterioration in property value that the securities are able to withstand under various stress scenarios without causing an increase in the expected loss for various rating levels. In assigning single borrower ratings, Moody's also considers a range of qualitative issues as well as the transaction's structural and legal aspects. The credit risk of commercial real estate loans is determined primarily by two factors: 1) the probability of default, which is largely driven by the DSCR, and 2) and the severity of loss in the event of default, which is largely driven by the LTV of the underlying loan. The Whole Loan first mortgage balance of $507,600,000 represents a Moody's LTV of 110.9%. The Moody's Whole Loan First Mortgage Actual DSCR is 2.89X and Moody's Whole Loan First Mortgage Stressed DSCR is 0.95X. Moody's also grades properties on a scale of 0 to 5 (best to worst) and considers those grades when assessing the likelihood of debt payment. The factors considered include property age, quality of construction, location, market, and tenancy. The Property's property quality grade is 1.25, reflecting the strong quality of this asset. Notable strengths of the transaction include: asset quality, property location, limited new supply, historical operating performance, newly formed affiliation with Hilton, and an experienced and committed Sponsor. Notable credit challenges of the transaction include: lack of diversity for this single asset transaction, property type volatility, the 78 non-collateral condominium hotel units, dependence on tourism, subordinate debt, and the lack of loan amortization. The principal methodology used in these ratings was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. Additionally, the methodology used in rating Class X-CP was "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. Moody's approach for single borrower and large loan multi-borrower transactions evaluates credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, and property type. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's analysis considers the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit estimates; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type corresponding to an IO type as defined in the published methodology. Moody's Parameter Sensitivities: If Moody's value of the collateral used in determining the initial rating were decreased by 5%, 14.4%, and 22.9%, the model-indicated rating for the currently rated (P) Aaa (sf) classes would be Aa1 (sf), Aa2 (sf), and A2 (sf), respectively. Parameter Sensitivities are not intended to measure how the rating of the security might migrate over time; rather they are designed to provide a quantitative calculation of how the initial rating might change if key input parameters used in the initial rating process differed. The analysis assumes that the deal has not aged. Parameter Sensitivities only reflect the ratings impact of each scenario from a quantitative/model-indicated standpoint. Qualitative factors are also taken into consideration in the ratings process, so the actual ratings that would be assigned in each case could vary from the information presented in the Parameter Sensitivity analysis. These ratings: (a) are based solely on information in the public domain and/or information communicated to Moody's by the issuer at the date it was prepared and such information has not been independently verified by Moody's; (b) must be construed solely as a statement of opinion and not a statement of fact or an offer, invitation, inducement or recommendation to purchase, sell or hold any securities or otherwise act in relation to the issuer or any other entity or in connection with any other matter. Moody's does not guarantee or make any representation or warranty as to the correctness of any information, rating or communication relating to the issuer. Moody's shall not be liable in contract, tort, statutory duty or otherwise to the issuer or any other third party for any loss, injury or cost caused to the issuer or any other third party, in whole or in part, including by any negligence (but excluding fraud, dishonesty and/or willful misconduct or any other type of liability that by law cannot be excluded) on the part of, or any contingency beyond the control of Moody's, or any of its employees or agents, including any losses arising from or in connection with the procurement, compilation, analysis, interpretation, communication, dissemination, or delivery of any information or rating relating to the issuer. Factors that would lead to an upgrade or downgrade of the ratings: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan pay downs or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in overall performance and Property income, increased expected losses from a specially serviced and troubled loan or interest shortfalls. Moody's ratings address only the credit risks associated with the transaction. Other non-credit risks have not been addressed and may have a significant effect on yield to investors. The ratings do not represent any assessment of (i) the likelihood or frequency of prepayment on the mortgage loans, (ii) the allocation of net aggregate prepayment interest shortfalls, (iii) whether or to what extent prepayment premiums might be received, or (iv) in the case of any class of interest-only certificates, the likelihood that the holders thereof might not fully recover their investment in the event of a rapid rate of prepayment of the mortgage loans. BEAR STEARNS 2005-PWR10: Fitch Hikes Cl. B Certs Rating From BB --------------------------------------------------------------- Fitch Ratings upgrades one class and affirms 15 classes of Bear Stearns Commercial Mortgage Securities Trust (BSCMS), series 2005-PWR10 commercial mortgage pass-through certificates. KEY RATING DRIVERS The upgrade to class B reflects the increase in defeased collateral and the stable performance of the remaining loans since Fitch's prior rating action. The affirmation to class A-J is due to the class being fully covered by defeasance. As of the July 2017 remittance report, the pool has been reduced by 95.6% to $115.8 million from $2.6 billion at issuance. There have been $272.9 million in realized losses, accounting for 10.4% of the original pool balance. Cumulative interest shortfalls in the amount of $22 million are currently affecting class C and classes H through S. Pool Concentration/Adverse Selection: The transaction is highly concentrated with only 16 of the original 214 loans remaining. Of the 16 remaining loans, four are on the servicer's watchlist (26.2% of the pool balance) and nine loans (71.2%) have been defeased. Of the non-defeased loans, 58.1% are office properties and 35.8% are retail. The largest loan is an office building in New York City (15% of the pool). Due to the pool's concentrated nature, a sensitivity analysis was performed which grouped and ranked the remaining loans by their structural features, performance, and estimated likelihood of repayment. Defeasance: Nine of the remaining loans, accounting for 71.2% of the remaining pool balance, have been defeased, all with maturities in 2020. Fitch Loans of Concern: Fitch has designated four (11.7%) Fitch Loans of Concern. The loans have been flagged for low debt service coverage ratios (DSCR) and net operating income (NOI), as well as impending lease expirations and locations in tertiary markets. Longer Term Loans: The remaining loans have maturity dates as follows: 2020 (95.4%) and 2025 (4.6%). RATING SENSITIVITIES The Stable Outlook on class A-J reflects the remaining balance being fully covered by defeased collateral. The Stable Outlook on class B reflects the class being partially covered by defeased collateral and sufficient credit enhancement. Further upgrades are likely to be limited due to the portfolio's concentration and adverse selection. Downgrades could occur if pool performance deteriorates or loans default at maturity. Fitch has upgraded the following rating: -- $19.8 million class B to 'BBBsf' from 'BBsf'; Outlook Stable. Fitch has affirmed the following ratings: -- $72.7 million class A-J at 'AAAsf'; Outlook Stable; -- $23.4 million class C at 'Dsf'; RE 0%; -- $0.0 million class D at 'Dsf'; RE 0%; -- $0.0 million class E at 'Dsf'; RE 0%; -- $0.0 million class F at 'Dsf'; RE 0%; -- $0.0 million class G at 'Dsf'; RE 0%; -- $0.0 million class H at 'Dsf'; RE 0%; -- $0.0 million class J at 'Dsf'; RE 0%; -- $0.0 million class K at 'Dsf'; RE 0%; -- $0.0 million class L at 'Dsf'; RE 0%; -- $0.0 million class M at 'Dsf'; RE 0%; -- $0.0 million class N at 'Dsf'; RE 0%; -- $0.0 million class O at 'Dsf'; RE 0%; -- $0.0 million class P at 'Dsf'; RE 0%; -- $0.0 million class Q at 'Dsf'; RE 0%. Classes A-1, A-2, A-3, A-AB, A-4, A-1A, and A-M have been repaid in full. Fitch does not rate the $0.0 million class S. Fitch previously withdrew the rating on the interest-only classes X-1 and X-2. BEAR STEARNS 2006-PWR14: Fitch Hikes Class A-J Certs Rating to Bsf ------------------------------------------------------------------ Fitch Ratings upgrades one class and affirms the remaining classes of Bear Stearns Commercial Mortgage Securities Trust series 2006-PWR14 commercial mortgage pass-through certificates. KEY RATING DRIVERS Increasing Credit Enhancement: The upgrade to class A-J reflects increasing credit enhancement (CE) and better than expected recoveries on loans that paid off on or near their maturity dates. As of the July 2017 distribution date, the transaction has paid down 92.5% since issuance, to $185.6 million from $2.5 billion. Concentrated Pool; High Percentage of Loans of Concern: The pool is highly concentrated with only 15 loans remaining. Due to the concentrated nature of the pool, Fitch performed a sensitivity analysis which grouped the remaining loans based on loan structural features, collateral quality and performance which ranked them by their perceived likelihood of repayment. This includes defeased loans, fully amortizing loans, balloon loans, and Fitch loans of concern including the specially serviced loans. The ratings reflect this sensitivity analysis. Fitch loans of concern comprise 77% of the pool and include the largest remaining loan, One Newark Center (A+B Note, 49.4%), and the five specially serviced loans (19%). The affirmations of distressed ratings on classes B through E reflect Fitch's concern with the concentrations and high percentage of Fitch loans of concern. Defeasance: Three loans totalling 12.4% are defeased. Maturity Schedule: Excluding the specially serviced loans, 29% are ARD loans with final maturities in 2020 through 2036. The largest loan, One Newark Center (A+B Note, 49%) has been modified and matures in December 2017. One loan is a balloon loan (1.3%) and one loan is fully amortizing (1.4%); both mature in 2021. The One Newark Center loan, which currently consists of an $82 million A Note and $9.7 million B Note, is collateralized by a 418,026 sf office property located in Newark, NJ, on the corner of Raymond Boulevard and McCarter Highway across from Newark Penn Station in the central business district. The loan was modified in 2012 and was split into an A/B Note structure, extended through December 2017 and the interest rate reduced. On the modified loan terms, the A Note reported a year-end 2016 DSCR of 1.72x and reported occupancy of 90% as of March 2017. The loan is on the watchlist for upcoming maturity. The servicer is reporting that the borrower is exploring refinance options. RATING SENSITIVITIES+ The Rating Outlook of class A-J is stable, as no rating changes are expected. Due to the increased credit enhancement from paydown, losses are less likely than at Fitch's previous rating action. The class is reliant on the performing loans, including One Newark Center, to pay off. The remaining classes' ratings are distressed and reflect the expectation of losses on both the specially serviced loans and performing Fitch loans of concern. Downgrades are expected as losses are more imminent or realized. Fitch has upgraded the following class: -- $60.5 million class A-J to 'Bsf' from 'CCCsf'; Outlook Stable assigned. Fitch has affirmed the following classes: -- $46.3 million class B at 'CCCsf'; RE revised to 50% from 0%; -- $24.7 million class C at 'CCsf'; RE 0%; -- $37 million class D at 'Csf'; RE 0%. -- $17.2 million class E at 'Dsf'; RE 0% Fitch does not rate class P. Class A-1, A-2, A3, A-AB, A-4, and A-M have paid in full. Class F, G, H, J, K, L, M, N, and O are affirmed at 'Dsf; RE 0%' due to full losses incurred. Fitch has previously withdrawn the ratings on the interest-only classes X-1, X-2 and X-W. BX TRUST 2017-SLCT: S&P Assigns B(sf) Rating on Class F Certs ------------------------------------------------------------- S&P Global Ratings assigned its ratings to BX Trust 2017-SLCT's $1.324 billion commercial mortgage pass-through certificates. The note issuance is a commercial mortgage-backed securities transaction backed by one two-year, floating-rate commercial mortgage loan totaling $1.393 billion ($1.324 billion securitized balance, which excludes the risk retention class), with five one-year extension options, secured by the fee simple and leasehold interest in 55 extended-stay, 40 limited-service, and one full-service hotel properties. The ratings reflect S&P's view of the collateral's historical and projected performance, the sponsors' and managers' experience, the trustee-provided liquidity, the loan's terms, and the transaction's structure. RATINGS ASSIGNED BX Trust 2017-SLCT Class Rating(I) Amount ($) A AAA (sf) 465,500,000 X-CP BBB- (sf) 375,487,500(ii) X-EXT BBB- (sf) 441,750,000(ii) 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(iii) NR 69,675,000 (i)The issuer will issue the certificates to qualified institutional buyers in line with Rule 144A of the Securities Act of 1933. (ii)Notional balance. The notional amount of the class X-CP certificates will be equal to the aggregate of the portion balances of the B-2 portion of the class B certificates, the C-2 portion of the class C certificates, and the D-2 portion of the class D certificates. The notional amount of the class X-EXT certificates will be equal to the aggregate certificate balance of class B, C and D certificates. (iii)Nonoffered vertical risk retention class. NR--Not rated. BXP TRUST 2017-CC: S&P Gives Prelim BB-(sf) Rating on Class E Certs ------------------------------------------------------------------- S&P Global Ratings assigned its preliminary rating to BXP Trust 2017-CC's $350 million commercial mortgage pass-through certificates series 2017-CC. The certificate issuance is backed by a trust loan, which is a $350 million portion of a $550 million whole commercial mortgage loan, secured by a first lien on the borrower's fee interest in Colorado Center, 1.2 million sq.-ft. office campus located in the Santa Monica submarket of Los Angeles. The remaining $200 million of the whole commercial mortgage loan is comprised of six companion notes that are currently held by the loan sellers and will be securitized in separate transactions. The whole commercial mortgage loan will be serviced and administered according to the trust and servicing agreement for this securitization. The whole commercial mortgage loan has a 10-year fixed-rate term. The preliminary ratings are based on information as of Aug. 11, 2017. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. S&P said, "The preliminary ratings reflect our view of the collateral's historic and projected performance, the sponsors' and managers' experience, the trustee-provided liquidity, the loan's terms, and the transaction's structure. We determined that the mortgage loan has a beginning and ending loan-to-value (LTV) ratio of 83.1%, based on S&P Global Ratings' value and the $550 million whole commercial mortgage loan balance." PRELIMINARY RATINGS ASSIGNED BXP Trust 2017-CC Class Rating(i) Amount ($) A AAA (sf) 93,100,000 X-A(ii) AAA (sf) 93,100,000(ii) X-B(ii) AA- (sf) 62,700,000(ii) B AA- (sf) 62,700,000 C A- (sf) 47,120,000 D BBB- (sf) 57,855,000 E BB- (sf) 71,725,000 RR(iii) NR 17,500,000 (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 X-A certificates will be equal to the balance of the class A certificates, and the notional amount of the class X-B certificates will be equal to the balance of the class B certificates. (iii)Non-offered vertical risk retention certificate. NR--Not rated. CALIFORNIA STREET V: Moody's Hikes Rating on Class D Notes to Ba1 ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by California Street CLO V, Ltd.: US$25,000,000 Class A-2 Senior Secured Floating Rate Notes due 2024, Upgraded to Aaa (sf); previously on August 17, 2016 Upgraded to Aa1 (sf) US$16,000,000 Class B Senior Secured Deferrable Floating Rate Notes due 2024, Upgraded to Aa3 (sf); previously on August 17, 2016 Upgraded to A1 (sf) US$14,000,000 Class C Senior Secured Deferrable Floating Rate Notes due 2024, Upgraded to A3 (sf); previously on August 17, 2016 Upgraded to Baa2 (sf) US$12,240,000 Class D Secured Deferrable Floating Rate Notes due 2024, Upgraded to Ba1 (sf); previously on August 17, 2016 Affirmed Ba2 (sf) Moody's also affirmed the rating on the following notes: US$311,300,000 Class A-1 Senior Secured Floating Rate Notes due 2024 (current outstanding balance of $159,059,438), Affirmed Aaa (sf); previously on August 17, 2016 Affirmed Aaa (sf) California Street CLO V, Ltd., formerly known as Symphony CLO V, Ltd., issued in December 2007, is a collateralized loan obligation (CLO) backed primarily by a portfolio of senior secured loans. The transaction's reinvestment period ended in January 2015. 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 August 2016. The Class A-1notes have been paid down by approximately 43% or $120.4 million since then. Based on Moody's calculations, the OC ratios for the Class A, Class B, Class C, and Class D notes are currently 138.84%, 127.73%, 119.38%, and 112.92%, respectively, versus August 2016 levels of 124.30%, 118.09%, 113.15%, and 109.15%, respectively. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in October 2016. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: This transaction is subject to a number of factors and circumstances that could lead to either an upgrade or downgrade of the ratings: 1) Macroeconomic uncertainty: CLO performance is subject to a) uncertainty about credit conditions in the general economy and b) the large concentration of upcoming speculative-grade debt maturities, which could make refinancing difficult for issuers. 2) Collateral Manager: Performance can also be affected positively or negatively by a) the manager's investment strategy and behavior and b) differences in the legal interpretation of CLO documentation by different transactional parties owing to embedded ambiguities. 3) Collateral credit risk: A shift towards collateral of better credit quality, or better credit performance of assets collateralizing the transaction than Moody's current expectations, can lead to positive CLO performance. Conversely, a negative shift in credit quality or performance of the collateral can have adverse consequences for CLO performance. 4) Deleveraging: An important source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will continue and at what pace. Deleveraging of the CLO could accelerate owing to high prepayment levels in the loan market and/or collateral sales by the manager, which could have a significant impact on the notes' ratings. Note repayments that are faster than Moody's current expectations will usually have a positive impact on CLO notes, beginning with those with the highest payment priority. 5) Recovery of defaulted assets: Fluctuations in the market value of defaulted assets reported by the trustee and those that Moody's assumes as having defaulted could result in volatility in the deal's OC levels. Further, the timing of recoveries and whether a manager decides to work out or sell defaulted assets create additional uncertainty. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. Realization of higher than assumed recoveries would positively impact the CLO. 6) Long-dated assets: The presence of assets that mature after the CLO's legal maturity date exposes the deal to liquidation risk on those assets. This risk is borne first by investors with the lowest priority in the capital structure. Moody's assumes that the terminal value of an asset upon liquidation at maturity will be equal to the lower of an assumed liquidation value (depending on the extent to which the asset's maturity lags that of the liabilities) or the asset's current market value. 7) 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. 8) Exposure to assets with low credit quality and weak liquidity: The presence of assets rated Caa3 with a negative outlook, Caa2 or Caa3 on review for downgrade or the worst Moody's speculative grade liquidity (SGL) rating, SGL-4, exposes the notes to additional risks if these assets default. The historical default rate is higher than average for these assets. Due to the deal's exposure to such assets, which constitute around $9.1 million of par, Moody's ran a sensitivity case defaulting those assets. In addition to the base case analysis, Moody's also conducted sensitivity analyses to test the impact of a number of default probabilities on the rated notes relative to the base case modeling results, which may be different from the current public ratings of the notes. Below is a summary of the impact of different default probabilities (expressed in terms of WARF) on all of the rated notes (by the difference in the number of notches versus the current model output, for which a positive difference corresponds to lower expected loss): Moody's Adjusted WARF -- 20% (2079) Class A-1: 0 Class A-2: 0 Class B: +2 Class C: +2 Class D: +2 Moody's Adjusted WARF + 20% (3118) Class A-1: 0 Class A-2: -1 Class B: -1 Class C: -2 Class D: -1 Loss and Cash Flow Analysis: Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. In its base case, Moody's analyzed the collateral pool as having a performing par and principal proceeds balance of $253.0 million, defaulted par of $5.1 million, a weighted average default probability of 15.97% (implying a WARF of 2598), a weighted average recovery rate upon default of 50.09%, a diversity score of 37 and a weighted average spread of 2.95% (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. CARLYLE GLOBAL 2013-1: Moody's Assigns Ba3 Rating to Cl. D-R Notes ------------------------------------------------------------------ Moody's Investors Service has assigned definitive ratings to five classes of notes issued by Carlyle Global Market Strategies CLO 2013-1, Ltd.: US$380,000,000 Class A-1-R Senior Secured Floating Rate Notes due 2030 (the "Class A-1-R Notes"), Assigned Aaa (sf) US$71,000,000 Class A-2-R Senior Secured Floating Rate Notes due 2030 (the "Class A-2-R Notes"), Assigned Aa2 (sf) US$36,000,000 Class B-R Senior Secured Deferrable Floating Rate Notes due 2030 (the "Class B-R Notes"), Assigned A2 (sf) US$38,000,000 Class C-R Senior Secured Deferrable Floating Rate Notes due 2030 (the "Class C-R Notes"), Assigned Baa3 (sf) US$27,000,000 Class D-R Senior Secured Deferrable Floating Rate Notes due 2030 (the "Class D-R Notes"), Assigned Ba3 (sf) The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of senior secured, broadly syndicated corporate loans. Carlyle CLO Management L.L.C. (the "Manager") manages the CLO. It directs the selection, acquisition, and disposition of collateral on behalf of the Issuer. The Class A-1-R Notes, the Class A-2-R Notes, the Class B-R Notes, the Class C-R Notes, and the Class D-R notes are collectively referred to herein as the "Refinancing Notes." RATINGS RATIONALE Moody's ratings on the Refinancing Notes address the expected losses posed to noteholders. The definitive 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 August 14, 2017 (the "Refinancing Date") in connection with the refinancing of all classes of the secured notes (the "Refinanced Original Notes") previously issued on February 14, 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: reinstatement and extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; changes to the overcollateralization test levels; and changes to comply with the Volcker Rule. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in October 2016. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $599,113,720 Defaulted par: $2,017,774 Diversity Score: 70 Weighted Average Rating Factor (WARF): 3069 Weighted Average Spread (WAS): 3.55% Weighted Average Recovery Rate (WARR): 49.0% 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 3069 to 3529) Rating Impact in Rating Notches Class A-1-R Notes: 0 Class A-2-R Notes: -2 Class B-R Notes: -2 Class C-R Notes: -1 Class D-R Notes: 0 Percentage Change in WARF -- increase of 30% (3069 to 3990) Rating Impact in Rating Notches Class A-1-R Notes: -1 Class A-2-R Notes: -3 Class B-R Notes: -4 Class C-R Notes: -2 Class D-R Notes: -1 CD MORTGAGE 2017-CD5: Fitch Assigns 'B-sf' Rating to Class F Notes ------------------------------------------------------------------ Fitch Ratings has assigned the following ratings and Ratings Outlooks to CD 2017-CD5 Mortgage Trust, Series 2017-CD5: --$32,096,000 class A-1 'AAAsf'; Outlook Stable; --$70,987,000 class A-2 'AAAsf'; Outlook Stable; --$225,000,000 class A-3 'AAAsf'; Outlook Stable; --$252,232,000 class A-4 'AAAsf'; Outlook Stable; --$47,057,000 class A-AB 'AAAsf'; Outlook Stable; --$730,440,000b class X-A 'AAAsf'; Outlook Stable; --$71,700,000b class X-B 'A-sf'; Outlook Stable; --$103,068,000 class A-S 'AAAsf'; Outlook Stable; --$39,211,000 class B 'AA-sf'; Outlook Stable; --$32,489,000 class C 'A-sf'; Outlook Stable; --$39,211,000ab class X-D 'BBB-sf'; Outlook Stable; --$15,684,000ab class X-E 'BB-sf'; Outlook Stable; --$39,211,000a class D 'BBB-sf'; Outlook Stable; --$15,684,000a class E 'BB-sf'; Outlook Stable; --$8,962,000ad class F 'B-sf'; Outlook Stable. Since Fitch published its expected ratings on July 17, 2017, the issuer removed the interest-only class X-C and the class X-B was increased to $71,700,000 and will reference class B and class C. The rating for class X-C was withdrawn. The classes above reflect the final ratings and deal structure. The following are not rated by Fitch: --$30,249,217ad class G; --$35,402,658c VRR Interest. (a) Privately placed and pursuant to Rule 144A. (b) Notional amount and interest only. (c) Vertical credit risk retention interest representing approximately 3.8% of the pool balance (as of the closing date). (d) Class F and G certificates, in the aggregate initial certificate balance of approximately $39,211,217, constitute the eligible horizontal residual interest to satisfy a portion of the sponsor's risk retention obligation. The combined interest retained by both the vertical credit risk retention and horizontal residual interest is no less than 5%. The certificates represent the beneficial ownership interest in the trust, primary assets of which are 48 loans secured by 134 commercial properties having an aggregate principal balance of $931,648,876 as of the cut-off date. The loans were contributed to the trust by Citigroup Global Markets Realty Corp. and German American Capital Corporation. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 75.9% of the properties by balance, cash flow analysis of 78.1%, and asset summary reviews on 100% of the pool. KEY RATING DRIVERS Lower Fitch Leverage than Recent Transactions: The pool's leverage is lower than recent Fitch-rated multiborrower transactions. The Fitch debt service coverage ratio (DSCR) and loan to value (LTV) for the pool are 1.27x and 97.7%, respectively, which is better than the year-to-date (YTD) 2017 averages of 1.23x and 102.4%. Excluding investment-grade credit opinion loans, the pool has a Fitch DSCR and LTV of 1.23x and 108%, respectively. Investment-Grade Credit Opinion Loans: Three loans, representing 22.7% of the pool, have investment-grade credit opinions; this is better than the YTD 2017 average credit opinion concentration of 9% in recent transactions. General Motors Building (10.7% of the pool) has an investment-grade credit opinion of 'AAAsf'* on a stand-alone basis, while 245 Park Avenue (5.5% of the pool) and Olympic Tower (6.4% of the pool) have investment-grade credit opinions of 'BBB-sf'* and 'BBBsf'*, respectively, on a stand-alone basis. Significant Hotel Exposure: The pool has an above-average concentration of hotel properties compared to other recent Fitch-rated transactions. Loans secured by hotel properties comprise 21.7% of the pool, compared to the YTD 2017 average of 14.8%. Hotel properties have an above-average probability of default in Fitch's multiborrower model, all else equal. RATING SENSITIVITIES For this transaction, Fitch's net cash flow (NCF) was 11.6% 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 the CD 2017-CD5 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. CEDAR FUNDING VIII: S&P Gives Prelim BB-(sf) Rating on Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Cedar Funding VIII CLO Ltd./Cedar Funding VIII CLO LLC's $441.00 million floating-rate notes. The note issuance is a collateralized loan obligation transaction backed by primarily broadly syndicated speculative-grade senior secured term loans that are governed by collateral quality tests. The preliminary ratings are based on information as of Aug. 10, 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 Cedar Funding VIII CLO Ltd./Cedar Funding VIII CLO LLC Class Rating Amount (mil. $) A-1 AAA (sf) 310.25 A-2 NR 18.75 B AA (sf) 51.25 C (deferrable) A (sf) 29.75 D (deferrable) BBB- (sf) 25.25 E (deferrable) BB- (sf) 24.50 Subordinated notes NR 49.75 NR—Not rated. CGDBB COMMERCIAL 2017-BIOC: S&P Rates Class E Notes BB-(sf) ----------------------------------------------------------- S&P Global Ratings assigned its ratings to CGDBB Commercial Mortgage Trust 2017-BIOC's $825.0 million commercial mortgage pass-through certificates series 2017-BIOC. The certificate issuance is a commercial mortgage-backed securities transaction backed by a two-year, floating-rate commercial mortgage loan totaling $825 million, with three one-year extension options, secured by a first lien on the borrowers' fee interests in a portfolio of 15 office and laboratory properties totaling 2.2 million sq. ft. The properties are located in California and Massachusetts. The ratings reflect S&P's view of the collateral's historical and projected performance, the sponsor's and managers' experience, the trustee-provided liquidity, the loan's terms, and the transaction's structure. RATINGS ASSIGNED CGDBB Commercial Mortgage Trust 2017-BIOC Class Rating(i) Amount ($) A AAA (sf) 415,467,000 X-NCP BBB- (sf) 261,010,000(ii) B AA- (sf) 97,757,000 C A- (sf) 73,317,000 D BBB- (sf) 89,936,000 E BB- (sf) 107,273,000 Class VRR(iii) NR 41,250,000 (i)The issuer will issue the certificates to qualified institutional buyers in line with Rule 144A of the Securities Act of 1933. (ii)Notional balance. The notional amount of the class X-NCP certificates will be equal to the aggregate of the certificate balances of the class B, C, and D certificates. (iii)Non-offered vertical interest certificate. NR--Not rated. CITIGROUP 2013-GC15: Fitch Affirms 'Bsf' Rating on Cl. F Certs -------------------------------------------------------------- Fitch Ratings has affirmed 13 classes of Citigroup Commercial Mortgage Trust (CGCMT) commercial mortgage pass-through certificates, series 2013-GC15. KEY RATING DRIVERS Overall Stable Performance: The affirmations reflect the relatively stable performance, with no material changes to pool metrics since issuance. As of the July 2017 remittance reporting, the pool's aggregate principal balance has paid down by 5.2% to $1.06 billion from $1.12 billion at issuance; the pool has experienced no realized losses to date. Five loans (5.7% of the pool balance) are fully defeased. Loans of Concern: Seven loans (9.4% of the pool balance) have been identified as Fitch Loans of Concern (FLOC), including two (6.7%) of the top 10 loans and one loan (0.4%) in special servicing. The largest FLOC, the Sky Song Center (4.4%; Scottsdale, AZ) and Columbia Square (2.3%; San Diego, CA) loans, are secured by office properties that have experienced occupancy declines and will face further pressure with significant near-term rollover. The specially serviced loan (0.4%) is secured by a 33,190 square foot mixed-use property in Kissimmee, FL that has experienced cash flow issues due to significant occupancy declines. Per servicer reporting, occupancy fell to 38% by year-end 2016, compared to 100% at issuance. The loan transferred to special servicing in December 2015 for imminent default, and has been in payment default since February 2016. A receiver was appointed in July 2016 and the servicer continues to pursue foreclosure. High Percentage of Interest-Only Loans: Five loans (22.7% of pool) are interest-only for the full term. Additionally, 15 loans (26%) were structured as partial interest-only of which 12 (15.9%) have transitioned into their amortization periods. Pool Concentrations: The pool is highly diverse with the top 10 loans representing 39.8% of the pool balance, well below Fitch-rated transactions between 2013 and year to date 2017 ranging from 49.3% to 54.8%. Upcoming loan maturities consist of 21.5% of the pool in 2018, with the remaining 78.5% in 2023. Approximately 32.5% of the pool is secured by retail properties (38 loans), including five loans within the top 15 (11.8%), none of which are classified as regional malls. RATING SENSITIVITIES Stable Outlook: Rating Outlooks on all classes remain Stable due to increasing credit enhancement and continued stable performance of the pool since issuance. Fitch does not foresee positive or negative ratings migration until a material economic or asset level event changes the transaction's portfolio-level metrics. Future upgrades are possible as CE improves when 21.5% of the pool is expected to pay off at their scheduled 2018 maturities. Downgrades may be possible should overall performance decline significantly. Fitch has affirmed the following classes: -- $235.8 million class A-2 at 'AAAsf', Outlook Stable; -- $150 million class A-3 at 'AAAsf', Outlook Stable; -- $264.2 million class A-4 at 'AAAsf', Outlook Stable; -- $72.2 million class A-AB at 'AAAsf', Outlook Stable; -- $94.8 million class A-S at 'AAAsf', Outlook Stable; -- $817 million* class X-A at 'AAAsf', Outlook Stable; -- $18.1 million* class X-C at 'BBsf', Outlook Stable; -- $54.4 million class B at 'AA-sf', Outlook Stable; -- $204.9 million** class PEZ at 'A-sf', Outlook Stable; -- $55.8 million class C at 'A-sf', Outlook Stable; -- $50.2 million class D at 'BBB-sf', Outlook Stable; -- $18.1 million class E at 'BBsf', Outlook Stable; -- $16.7 million class F at 'Bsf', Outlook Stable. *Notional amount and interest-only. **Class A-S, B, and C certificates may be exchanged for class PEZ certificates, the class PEZ certificates may be exchanged for up to the full certificate principal amount of the class A-S, B, and C certificates. The class A-1 certificates have paid in full. Fitch does not rate the class G certificates. CITIGROUP COMMERCIAL 2015-101A: S&P Affirms B+ on 2 Tranches ------------------------------------------------------------ S&P Global Ratings affirmed its ratings on nine classes of commercial mortgage pass-through certificates from Citigroup Commercial Mortgage Trust 2015-101A, 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 net rentable 436,204-sq.-ft. class A office property in Manhattan, N.Y., which secures the $200.0 million fixed-rate interest-only (IO) mortgage loan that serves as collateral for the stand-alone transaction. We also considered the deal structure and liquidity available to the trust. The affirmations 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 and our views regarding the collateral's current and future performance . "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 class X-A references class A, and the notional balance on Class X-B references classes B and C. "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 two years. We then derived our sustainable in-place net cash flow, which we divided by a 6.50% 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 85.0% and 1.59x, 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 $200.0 million, pays an annual fixed interest rate of 4.65%, and matures on Jan. 10, 2035. The transaction has no secondary financing at present, but the borrower can incur mezzanine debt after meeting certain performance hurdles. According to the transaction documents, the borrowers will pay the special servicing, work-out, and liquidation fees, as well as costs and expenses incurred from appraisals and inspections conducted by the special servicer. 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 trailing three-months ended March 31, 2017 and years ended Dec. 31, 2016 and 2015, and the May 31, 2017, 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 of 1.94x on the trust balance for the year ended Dec. 31, 2016, and occupancy was 99.7% according to the May 31, 2017, rent roll. Based on the May 2017 rent roll, the five largest tenants make up 94.2% of the collateral's total net rentable area (NRA). In addition, we noted that there are minimal lease rollovers until 2024, when Two Sigma Investments LLC, the second-largest tenant by NRA and representing 34.0% of total rents and reimbursements, has an option to terminate its lease agreement." RATINGS LIST Citigroup Commercial Mortgage Trust 2015-101A Commercial mortgage pass-through certificates series 2015-101A Rating Class Identifier To From A 17290MAA2 AAA (sf) AAA (sf) X-A 17290MAE4 AAA (sf) AAA (sf) X-B 17290MAG9 A+ (sf) A+ (sf) B 17290MAJ3 AA (sf) AA (sf) C 17290MAL8 A+ (sf) A+ (sf) D 17290MAN4 BBB+ (sf) BBB+ (sf) E 17290MAQ7 BB (sf) BB (sf) F 17290MAS3 B+ (sf) B+ (sf) G 17290MAU8 B+ (sf) B+ (sf) CITIGROUP COMMERCIAL 2017-1500: S&P Gives (P)B Rating on F Certs ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Citigroup Commercial Mortgage Trust 2017-1500's $240 million commercial mortgage pass-through certificates series 2017-1500. The certificate issuance is a commercial mortgage-backed securities transaction backed by a $240 million trust mortgage loan secured by a first lien on the borrower's fee interest in 1500 Market, a 1.76 million- sq.-ft. office complex located in Philadelphia within the Market Street West submarket. The preliminary ratings are based on information as of Aug. 16, 2017. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of the collateral's historical and projected performance, the sponsor's and managers' experience, the trustee-provided liquidity, the loan's terms, and the transaction's structure. PRELIMINARY RATINGS ASSIGNED Citigroup Commercial Mortgage Trust 2017-1500 Class Rating(i) Amount ($) A AAA (sf) 108,752,000 X-CP A- (sf) 153,533,000(ii) X-NCP A- (sf) 153,533,000(ii) B AA- (sf) 25,589,000 C A- (sf) 19,192,000 D BBB- (sf) 23,542,000 E BB- (sf) 31,986,000 F B (sf) 18,639,000 HRR(iii) B- (sf) 12,300,000 (i)The issuer will issue the certificates to qualified institutional buyers in line with Rule 144A of the Securities Act of 1933. (ii)Notional balance. The notional amount of the class X-CP and X-NCP certificates will be equal to the aggregate certificate balance of the class A, B, and C certificates. (iii)Non-offered horizontal interest certificate. COMM 2012-CCRE3: Moody's Affirms B2(sf) Rating on Class G Notes --------------------------------------------------------------- Moody's Investors Service has affirmed thirteen classes in COMM 2012-CCRE3 Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2012-CCRE3: Cl. A-2, 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. 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. 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 Baa1 (sf); previously on Aug 4, 2016 Affirmed Baa1 (sf) Cl. E, Affirmed Baa3 (sf); previously on Aug 4, 2016 Affirmed Baa3 (sf) Cl. F, Affirmed Ba2 (sf); previously on Aug 4, 2016 Affirmed Ba2 (sf) Cl. G, Affirmed B2 (sf); previously on Aug 4, 2016 Affirmed B2 (sf) Cl. PEZ, Affirmed Aa3 (sf); previously on Aug 4, 2016 Affirmed Aa3 (sf) Cl. X-A, Affirmed Aaa (sf); previously on Aug 4, 2016 Affirmed Aaa (sf) Cl. X-B, Affirmed Ba3 (sf); previously on Aug 4, 2016 Affirmed Ba3 (sf) RATINGS RATIONALE The ratings on ten 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 two IO classes, Class X-A and X-B, were affirmed based on the credit quality of their referenced classes. The rating on the PEZ class was affirmed based on the weighted average rating factor (WARF) of the exchangeable classes. Moody's rating action reflects a base expected loss of 1.5% of the current balance compared to 1.4% at Moody's prior review. Moody's base expected loss plus realized losses is now 1.4% of the original pooled balance compared to 1.3% at the prior 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 July 2017, and "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. 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 17, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 7.5% to $1.16 billion from $1.25 billion at securitization. The Certificates are collateralized by 48 mortgage loans ranging in size from less than 1% to 11% of the pool, with the top ten loans (excluding defeasance) representing 66% of the pool. Five loans, representing 5% of the pool have defeased and are secured by US Government securities. Nine loans, representing 17% 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. No loans have been liquidated from the pool and there are no loans in special servicing at this time. Moody's received full or partial year 2016 operating results for 98% of the pool and partial year 2017 results for 83% of the pool. Moody's weighted average conduit LTV is 85%, the same as at 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 8% 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 1.94X and 1.25X, respectively, compared to 1.88X and 1.25X at the last review. Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed rate applied to the loan balance. The top three performing conduit loans represent 29% of the pool balance. The largest loan is the 260 and 261 Madison Avenue Loan ($126 million -- 10.9% of the pool), which is secured by two Class-B office towers located in midtown Manhattan on Madison Avenue between 36th and 37th Street. The properties total 840,000 square feet (SF) of office space, 37,000 SF of retail space, and a 46,000 SF parking garage. This loan represents a pari passu interest in a $231 million loan. As of March 2017, the properties had a combined occupancy of approximately 90%, compared to 88% as of December 2015. Moody's LTV and stressed DSCR are 97% and 0.98X, respectively, the same as at last review. The second largest loan is the Solano Mall Loan ($105.0 million -- 9.1% of the pool), which is secured by a 561,015 SF portion of 1.1 million SF super regional mall located in Fairfield, California. The mall is anchored by Macy's, Sears, and J.C. Penney, which are not part of the collateral. The largest collateral tenant is Edwards Cinemas (11.2% of NRA, lease expiration December 2024) which serves as a significant draw to the center. The property was 94% leased as of March 2017, compared to 92% at last review. Property cash flow declined in 2016 due to lower total revenues. The loan is interest-only for the entire 10-year term. Moody's LTV and stressed DSCR are 95% and 1.11X, respectively, compared to 85% and 1.18X at the last review. The third largest loan is the Crossgates Mall Loan ($99.9 million -- 8.6% of the pool), which is secured by a 1.3 million portion of a 1.7 million SF super regional mall located in Albany, New York. This loan represents a pari passu interest in a $277.5 million mortgage loan. The mall is anchored by Macy's, J.C. Penny, Dick's Sporting Goods, Best Buy and a Regal Crossgates 18 IMAX theater. The property was 91.5% leased as of March 2017, compared to 89% at last review. Moody's LTV and stressed DSCR are 101% and 1.04X, respectively. COMM MORTGAGE 2013-GAM: Fitch Affirms 'BB-sf' Rating on Cl. F Debt ------------------------------------------------------------------ Fitch Ratings has affirmed all classes of COMM 2013-GAM Mortgage Trust with Stable Rating Outlooks. KEY RATING DRIVERS Stable Collateral Performance: The affirmation is due to relatively stable collateral performance of the Green Acres Mall since Fitch's last rating action. Occupancy has remained strong at 97.9% at March 2017 compared to 97.6% at year-end (YE) 2016 and YE 2015. The servicer-reported YE 2016 net cash flow (NCF) debt service coverage ratio (DSCR) was 1.80x, compared to 1.78x at YE 2015 and 1.71 at issuance. Additionally, as of the August 2017 distribution date the pool's aggregate certificate balance has paid down approximately 8.9% as a result of scheduled amortization. Amortization: The loan will amortize by $60 million over the eight-year loan term. Single Asset Concentration: The transaction is secured by a single property and so is more susceptible to single-event risk related to the market, sponsor, or the largest tenants occupying the property. Declining Anchor Sales; Stable to Improved Inline Sales: The property has seen a decline in anchor sales including Macy's, which has dropped to $187 psf from $204 psf at YE 2015 and $225 at issuance while Macy's Men's & Furniture declined to $148 from $173 at issuance. JCPenney's sales have declined to $146 psf from $168 psf at YE 2015 and $197 at issuance. Kohl's sales have declined to $90 psf from $95 psf at YE 2015 and $111 at issuance. BJ's Wholesale Club has increased to $911psf from $896 at YE 2015 but declined from $928 at issuance. Century 21 has sales of $279 psf. Sears does not report sales. Comparable in-line sales were $611 per square foot (psf) as of trailing 12 months (TTM) March 2017, compared with $650 psf at YE2015, $580 psf at YE2014, $545 psf at YE2013 and $501 psf at issuance. Major in-line tenants include Michael's, Forever 21, Modell's Sporting Goods, Old Navy, H&M, Express, and Victoria's Secret. RATING SENSITIVITIES The Rating Outlooks remain Stable, which reflects the stable collateral performance. Upgrades may occur with continued stable to improved performance. Although downgrades are not likely, they may occur should performance significantly deteriorate. Fitch will continue to monitor the mall's performance to ensure that revenues and expenses considered at the time of Fitch's initial ratings remain in line over the loan's term. 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: -- $26.2 million A-1 at 'AAAsf'; Outlook Stable; -- $154.9 million class A-2 at 'AAAsf'; Outlook Stable; -- $181.1 class X-A at 'AAAsf'; Outlook Stable; -- $26 million class B at 'AA-sf'; Outlook Stable; -- $17 million class C at 'Asf'; Outlook Stable; -- $24.8 million class D at 'BBBsf'; Outlook Stable; -- $19 million class E at 'BBB-sf'; Outlook Stable; -- $27.6 million class F at 'BB-sf'; Outlook Stable. CREDIT SUISSE 2003-CPN1: Moody's Affirms C Rating on Class H Certs ------------------------------------------------------------------ Moody's Investors Service has affirmed the ratings of two classes in Credit Suisse First Boston Mortgage Securities Corp. Commercial Mortgage Pass-Through Certificates, Series 2003 CPN1: Cl. H, Affirmed C (sf); previously on Aug 18, 2016 Reinstated to C (sf) Cl. A-Y, Affirmed Aaa (sf); previously on Aug 18, 2016 Affirmed Aaa (sf) RATINGS RATIONALE The rating on the P&I class was affirmed because the rating is consistent with realized losses from previously liquidated loans. The rating on the IO class was affirmed based on the credit quality its referenced loans. Moody's rating action reflects a base expected loss of 0.0% of the current balance, unchanged from the prior review. Realized losses represent 9.2% of the original pooled balance, essentially 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. 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 such conditions. 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 July 2017. Additionally, the methodology used in rating 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 17, 2017 distribution date, the transaction's aggregate certificate balance has decreased by over 99% to approximately $130,000 from $1.01 billion at securitization. The certificates are collateralized by five mortgage loans ranging in size from 2% to 32% of the pool. Two loans, constituting 35% of the pool, have defeased and are secured by US government securities. The remaining three loans, constituting 65% of the pool, have an investment-grade structured credit assessment and are secured by two residential co-operatives (co-ops) located in Manhattan and one co-operative located in Elizabeth, New Jersey. The co-op loans have a structured credit assessment of aaa (sca.pd), the same as last review. Eleven loans have been liquidated from the pool, resulting in an aggregate realized loss of $93 million (for an average loss severity of 64%). Moody's received full year 2016 operating results for the non-defeased loans. DRYDEN SENIOR XXVIII: S&P Assigns BB- Rating on Class B-2R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1R, A-2R, A-3R, B-1R, B-2R, and B-3R replacement notes from Dryden XXVIII Senior Loan Fund, a collateralized loan obligation (CLO) originally issued in 2013 that is managed by PGIM Inc. S&P said, "We also assigned a rating to the new class X notes, which were created in connection with the refinancing. We withdrew our ratings on the original class A-1L, A-2L, A-3L, B-1L, B-2L, and B-3L notes following payment in full on the Aug. 15, 2017, refinancing date. S&P related, "On the Aug. 15, 2017, refinancing date, the proceeds from the class A-1R, A-2R, A-3R, B-1R, B-2R, and B-3R replacement note issuances were used to redeem the original class A-1L, A-2L, A-3L, B-1L, B-2L, and B-3L notes as outlined in the transaction document provisions. Therefore, we withdrew our ratings on the refinanced notes in line with their full redemption, and we are assigning ratings to the replacement classes." The replacement notes are being issued via an amended indenture, which, in addition to outlining the terms of the replacement notes, will also upsize the transaction to $530.55 million in total liabilities, and extend the reinvestment period, non-call period, and final maturity date. 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 Dryden XXVIII Senior Loan Fund Replacement class Rating Amount (mil. $) A-1R AAA (sf) 296.50 A-2R AA (sf) 77.00 A-3R A (sf) 30.50 B-1R BBB (sf) 25.55 B-2R BB- (sf) 23.30 B-3R B- (sf) 7.45 New class Rating Amount (mil. $) X AAA (sf) 4.00 RATINGS WITHDRAWN Dryden XXVIII Senior Loan Fund Rating Class To From A-1L NR AAA (sf) A-2L NR AA (sf) A-3L NR A (sf) B-1L NR BBB (sf) B-2L NR BB- (sf) B-3L NR B (sf) EASTLAND CLO: Moody's Affirms B1(sf) Rating on Class D Notes ------------------------------------------------------------ Moody's Investors Service has upgraded the ratings on the following notes issued by Eastland CLO, Ltd.: US$81,500,000 Class B Floating Rate Senior Secured Deferrable Interest Extendable Notes Due 2022, Upgraded to Aaa (sf); previously on March 30, 2017 Upgraded to Aa1 (sf) Moody's also affirmed the ratings on the following notes: US$78,500,000 Class A-3 Floating Rate Senior Secured Extendable Notes Due 2022 (current outstanding balance of $55,611,936.92), Affirmed Aaa (sf); previously on March 30, 2017 Affirmed Aaa (sf) US$68,500,000 Class C Floating Rate Senior Secured Deferrable Interest Extendable Notes Due 2022, Affirmed Ba1 (sf); previously on March 30, 2017 Affirmed Ba1 (sf) US$48,000,000 Class D Floating Rate Senior Secured Deferrable Interest Extendable Notes Due 2022 (current outstanding balance of $37,636,187.11), Affirmed B1 (sf); previously on March 30, 2017 Affirmed B1 (sf) US$5,000,000 Class P Securities Due 2022, Affirmed Aaa (sf); previously on March 30, 2017 Affirmed Aaa (sf) Eastland CLO, Ltd., issued in March 2007, is a collateralized loan obligation (CLO) backed primarily by a portfolio of senior secured loans, with exposure to CLO tranches. The transaction's reinvestment period ended in May 2014. RATINGS RATIONALE The rating upgrade is primarily a result of deleveraging of the senior notes and an increase in the transaction's overcollateralization (OC) ratios since March 2017. Since then, the Class A-1 notes and Class A-2b notes paid down in full, by $18.1 million and $186.6 million, respectively, and the Class A-3 notes paid down by $22.9 million or 29.2%. Based on Moody's calculation, The Class A, Class B, Class C and Class D notes OC ratios improved to 473.2%, 191.9%, 128.0%, and 108.2%, respectively, versus March 2017 levels of 171.2%, 133.0%, 111.9% and 103.0%, respectively. Nevertheless, the credit quality of the portfolio has deteriorated. Based on Moody's calculation, The weighted average rating factor (WARF) has increased to 3384, from 2912 in March 2017. In addition, the deal holds a material dollar amount 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. Realization of higher than assumed recoveries would positively impact the CLO. 6) Long-dated and illiquid assets: Repayment of the notes at their maturity will be highly dependent on the issuer's successful monetization of illiquid assets and those that mature after the CLO's legal maturity date (long-dated assets). This risk in turn may be contingent upon issuer's ability and willingness to sell these assets. This risk is borne first by investors with the lowest priority in the capital structure. However, actual long-dated and illiquid asset exposures and prevailing market prices and conditions at the time of liquidation will drive the deal's actual losses, if any. 7) Exposure to credit estimates: The deal contains a 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% (2707) Class A-3: 0 Class B: 0 Class C: +2 Class D: +1 Moody's Adjusted WARF + 20% (4060) Class A-3: 0 Class B: 0 Class C: -2 Class D: 0 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 $251.5 million, defaulted par of $55.2 million, a weighted average default probability of 21.74% (implying a WARF of 3384), a weighted average recovery rate upon default of 46.34%, a diversity score of 17 and a weighted average spread of 3.24% (before accounting for LIBOR floors). Moody's incorporates the default and recovery properties of the collateral pool in cash flow model analysis where they are subject to stresses as a function of the target rating on each CLO liability reviewed. Moody's derives the default probability from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate for future defaults is based primarily on the seniority of the assets in the collateral pool. Moody's generally applies recovery rates for CLO securities as published in "Moody's Approach to Rating SF CDOs". In some cases, alternative recovery assumptions may be considered based on the specifics of the analysis of the CLO transaction. In each case, historical and market performance and the collateral manager's latitude for trading the collateral are also factors. A material proportion of the collateral pool includes debt obligations whose credit quality Moody's assesses through credit estimates. Moody's analysis reflects adjustments with respect to the default probabilities associated with credit estimates. Specifically, Moody's assumed an equivalent of Caa3 for assets with credit estimates that have not been updated within the last 15 months, which represent approximately 9.0% of the collateral pool. Additionally, for each credit estimates whose related exposure constitutes more than 3% of the collateral pool, Moody's applied a two-notch equivalent assumed downgrade. FANNIE MAE 2017-C06: Fitch to Rate 38 Note Classes 'Bsf' -------------------------------------------------------- Fitch Ratings expects to assign the following ratings and Rating Outlooks to Fannie Mae's risk transfer transaction, Connecticut Avenue Securities, series 2017-C06: -- $156,644,000 class 1M-1 notes 'BBB-sf'; Outlook Stable; -- $93,986,000 class 1M-2A notes 'BB+sf'; Outlook Stable; -- $93,986,000 class 1M-2B notes 'BB-sf'; Outlook Stable; -- $93,986,000 class 1M-2C notes 'Bsf'; Outlook Stable; -- $281,958,000 class 1M-2 exchangeable notes 'Bsf'; Outlook Stable; -- $93,986,000 class 1A-I1 exchangeable notional notes 'BB+sf'; Outlook Stable; -- $93,986,000 class 1E-A1 exchangeable notes 'BB+sf'; Outlook Stable; -- $93,986,000 class 1A-I2 exchangeable notional notes 'BB+sf'; Outlook Stable; -- $93,986,000 class 1E-A2 exchangeable notes 'BB+sf'; Outlook Stable; -- $93,986,000 class 1A-I3 exchangeable notional notes 'BB+sf'; Outlook Stable; -- $93,986,000 class 1E-A3 exchangeable notes 'BB+sf'; Outlook Stable; -- $93,986,000 class 1A-I4 exchangeable notional notes 'BB+sf'; Outlook Stable; -- $93,986,000 class 1E-A4 exchangeable notes 'BB+sf'; Outlook Stable; -- $93,986,000 class 1B-I1 exchangeable notional notes 'BB-sf'; Outlook Stable; -- $93,986,000 class 1E-B1 exchangeable notes 'BB-sf'; Outlook Stable; -- $93,986,000 class 1B-I2 exchangeable notional notes 'BB-sf'; Outlook Stable; -- $93,986,000 class 1E-B2 exchangeable notes 'BB-sf'; Outlook Stable; -- $93,986,000 class 1B-I3 exchangeable notional notes 'BB-sf'; Outlook Stable; -- $93,986,000 class 1E-B3 exchangeable notes 'BB-sf'; Outlook Stable; -- $93,986,000 class 1B-I4 exchangeable notional notes 'BB-sf'; Outlook Stable; -- $93,986,000 class 1E-B4 exchangeable notes 'BB-sf'; Outlook Stable; -- $93,986,000 class 1C-I1 exchangeable notional notes 'Bsf'; Outlook Stable; -- $93,986,000 class 1E-C1 exchangeable notes 'Bsf'; Outlook Stable; -- $93,986,000 class 1C-I2 exchangeable notional notes 'Bsf'; Outlook Stable; -- $93,986,000 class 1E-C2 exchangeable notes 'Bsf'; Outlook Stable; -- $93,986,000 class 1C-I3 exchangeable notional notes 'Bsf'; Outlook Stable; -- $93,986,000 class 1E-C3 exchangeable notes 'Bsf'; Outlook Stable; -- $93,986,000 class 1C-I4 exchangeable notional notes 'Bsf'; Outlook Stable; -- $93,986,000 class 1E-C4 exchangeable notes 'Bsf'; Outlook Stable; -- $187,972,000 class 1E-D1 exchangeable notes 'BB-sf'; Outlook Stable; -- $187,972,000 class 1E-D2 exchangeable notes 'BB-sf'; Outlook Stable; -- $187,972,000 class 1E-D3 exchangeable notes 'BB-sf'; Outlook Stable; -- $187,972,000 class 1E-D4 exchangeable notes 'BB-sf'; Outlook Stable; -- $187,972,000 class 1E-D5 exchangeable notes 'BB-sf'; Outlook Stable; -- $187,972,000 class 1E-F1 exchangeable notes 'Bsf'; Outlook Stable; -- $187,972,000 class 1E-F2 exchangeable notes 'Bsf'; Outlook Stable; -- $187,972,000 class 1E-F3 exchangeable notes 'Bsf'; Outlook Stable; -- $187,972,000 class 1E-F4 exchangeable notes 'Bsf'; Outlook Stable; -- $187,972,000 class 1E-F5 exchangeable notes 'Bsf'; Outlook Stable; -- $187,972,000 class 1-X1 exchangeable notional notes 'BB-sf'; Outlook Stable; -- $187,972,000 class 1-X2 exchangeable notional notes 'BB-sf'; Outlook Stable; -- $187,972,000 class 1-X3 exchangeable notional notes 'BB-sf'; Outlook Stable; -- $187,972,000 class 1-X4 exchangeable notional notes 'BB-sf'; Outlook Stable; -- $187,972,000 class 1-Y1 exchangeable notional notes 'Bsf'; Outlook Stable; -- $187,972,000 class 1-Y2 exchangeable notional notes 'Bsf'; Outlook Stable; -- $187,972,000 class 1-Y3 exchangeable notional notes 'Bsf'; Outlook Stable; -- $187,972,000 class 1-Y4 exchangeable notional notes 'Bsf'; Outlook Stable; -- $117,869,000 class 2M-1 notes 'BBB-sf'; Outlook Stable; -- $119,342,000 class 2M-2A notes 'BBsf'; Outlook Stable; -- $120,816,000 class 2M-2B notes 'BB-sf'; Outlook Stable; -- $120,816,000 class 2M-2C notes 'Bsf'; Outlook Stable; -- $360,974,000 class 2M-2 exchangeable notes 'Bsf'; Outlook Stable; -- $119,342,000 class 2A-I1 exchangeable notional notes 'BBsf'; Outlook Stable; -- $119,342,000 class 2E-A1 exchangeable notes 'BBsf'; Outlook Stable; -- $119,342,000 class 2A-I2 exchangeable notional notes 'BBsf'; Outlook Stable; -- $119,342,000 class 2E-A2 exchangeable notes 'BBsf'; Outlook Stable; -- $119,342,000 class 2A-I3 exchangeable notional notes 'BBsf'; Outlook Stable; -- $119,342,000 class 2E-A3 exchangeable notes 'BBsf'; Outlook Stable; -- $119,342,000 class 2A-I4 exchangeable notional notes 'BBsf'; Outlook Stable; -- $119,342,000 class 2E-A4 exchangeable notes 'BBsf'; Outlook Stable; -- $120,816,000 class 2B-I1 exchangeable notional notes 'BB-sf'; Outlook Stable; -- $120,816,000 class 2E-B1 exchangeable notes 'BB-sf'; Outlook Stable; -- $120,816,000 class 2B-I2 exchangeable notional notes 'BB-sf'; Outlook Stable; -- $120,816,000 class 2E-B2 exchangeable notes 'BB-sf'; Outlook Stable; -- $120,816,000 class 2B-I3 exchangeable notional notes 'BB-sf'; Outlook Stable; -- $120,816,000 class 2E-B3 exchangeable notes 'BB-sf'; Outlook Stable; -- $120,816,000 class 2B-I4 exchangeable notional notes 'BB-sf'; Outlook Stable; -- $120,816,000 class 2E-B4 exchangeable notes 'BB-sf'; Outlook Stable; -- $120,816,000 class 2C-I1 exchangeable notional notes 'Bsf'; Outlook Stable; -- $120,816,000 class 2E-C1 exchangeable notes 'Bsf'; Outlook Stable; -- $120,816,000 class 2C-I2 exchangeable notional notes 'Bsf'; Outlook Stable; -- $120,816,000 class 2E-C2 exchangeable notes 'Bsf'; Outlook Stable; -- $120,816,000 class 2C-I3 exchangeable notional notes 'Bsf'; Outlook Stable; -- $120,816,000 class 2E-C3 exchangeable notes 'Bsf'; Outlook Stable; -- $120,816,000 class 2C-I4 exchangeable notional notes 'Bsf'; Outlook Stable; -- $120,816,000 class 2E-C4 exchangeable notes 'Bsf'; Outlook Stable; -- $240,158,000 class 2E-D1 exchangeable notes 'BB-sf'; Outlook Stable; -- $240,158,000 class 2E-D2 exchangeable notes 'BB-sf'; Outlook Stable; -- $240,158,000 class 2E-D3 exchangeable notes 'BB-sf'; Outlook Stable; -- $240,158,000 class 2E-D4 exchangeable notes 'BB-sf'; Outlook Stable; -- $240,158,000 class 2E-D5 exchangeable notes 'BB-sf'; Outlook Stable; -- $241,632,000 class 2E-F1 exchangeable notes 'Bsf'; Outlook Stable; -- $241,632,000class 2E-F2 exchangeable notes 'Bsf'; Outlook Stable; -- $241,632,000class 2E-F3 exchangeable notes 'Bsf'; Outlook Stable; -- $241,632,000class 2E-F4 exchangeable notes 'Bsf'; Outlook Stable; -- $241,632,000class 2E-F5 exchangeable notes 'Bsf'; Outlook Stable; -- $240,158,000 class 2-X1 exchangeable notional notes 'BB-sf'; Outlook Stable; -- $240,158,000 class 2-X2 exchangeable notional notes 'BB-sf'; Outlook Stable; -- $240,158,000 class 2-X3 exchangeable notional notes 'BB-sf'; Outlook Stable; -- $240,158,000 class 2-X4 exchangeable notional notes 'BB-sf'; Outlook Stable; -- $241,632,000 class 2-Y1 exchangeable notional notes 'Bsf'; Outlook Stable; -- $241,632,000 class 2-Y2 exchangeable notional notes 'Bsf'; Outlook Stable; -- $241,632,000 class 2-Y3 exchangeable notional notes 'Bsf'; Outlook Stable; -- $241,632,000 class 2-Y4 exchangeable notional notes 'Bsf'; Outlook Stable. The following classes will not be rated by Fitch: -- $15,862,354,897 class 1A-H reference tranche; -- $8,245,344 class 1M-1H reference tranche; -- $4,947,606 class 1M-AH reference tranche; -- $4,947,606 class 1M-BH reference tranche; -- $4,947,606 class 1M-CH reference tranche; -- $78,322,000 class 1B-1 notes; -- $4,122,672 class 1B-1H reference tranche; -- $82,444,672 class 1B-2H reference tranche; -- $14,850,014,032 class 2A-H reference tranche; -- $6,204,224 class 2M-1H reference tranche; -- $6,282,140 class 2M-AH reference tranche; -- $6,359,055 class 2M-BH reference tranche; -- $6,359,055 class 2M-CH reference tranche; -- $73,668,000 class 2B-1 notes; -- $3,877,765 class 2B-1H reference tranche; -- $77,545,765 class 2B-2H reference tranche. The notes are general senior unsecured obligations of Fannie Mae (rated 'AAA'/Outlook Stable) subject to the credit and principal payment risk of a pool of certain residential mortgage loans held in various Fannie Mae-guaranteed MBS. The 'BBB-sf' rating for the 1M-1 note reflects the 2.80% subordination provided by the 0.60% class 1M-2A, the 0.60% class 1M-2B, the 0.60% class 1M-2C, the 0.50% class 1B-1 and their corresponding reference tranches as well as the 0.50% 1B-2H reference tranche. The 'BBB-sf' rating for the 2M-1 note reflects the 3.45% subordination provided by the 0.81% class 2M-2A, the 0.82% class 2M-2B, the 0.82% class 2M-2C, the 0.50% class 2B-1 and their corresponding reference tranches as well as the 0.50% 2B-2H reference tranche. The CAS 2017-C06 transaction includes two separate loan groups. One loan group will consist of loans with loan-to-value (LTV) ratios greater than 60% and less than or equal to 80% (Group 1), and another that consists of loans with LTVs greater than 80% and less than or equal to 97% (Group 2). The two groups will have identical structures. Connecticut Avenue Securities, series 2017-C06 (CAS 2017-C06) is Fannie Mae's 22nd risk transfer transaction issued as part of the Federal Housing Finance Agency's Conservatorship Strategic Plan for 2013 to 2017 for each of the government sponsored enterprises (GSEs) to demonstrate the viability of multiple types of risk transfer transactions involving single family mortgages. The objective of the transaction is to transfer credit risk from Fannie Mae to private investors with respect to a $32 billion pool of mortgage loans currently held in previously issued MBS guaranteed by Fannie Mae where principal repayment of the notes are subject to the performance of a reference pool of mortgage loans. As loans liquidate, are modified or other credit events occur, the outstanding principal balance of the debt notes will be reduced by the loan's actual loss severity percentage related to those credit events. While the transaction structure simulates the behavior and credit risk of traditional RMBS mezzanine and subordinate securities, Fannie Mae will be responsible for making monthly payments of interest and principal to investors. Due to the counterparty dependence on Fannie Mae, Fitch's expected rating on the 1M-1, 1M-2A, 1M-2B, 1M-2C, 2M-1, 2M-2A, 2M-2B and 2M-2C notes will be based on the lower of: the quality of the mortgage loan reference pool and credit enhancement (CE) available through subordination and on Fannie Mae's Issuer Default Rating. The notes will be issued as LIBOR-based floaters. In the event that the one-month LIBOR rate falls below the applicable negative LIBOR trigger value described in the offering memorandum, the interest payment on the interest-only notes will be capped at the excess of (i) the interest amount payable on the related class of exchangeable notes for that payment date over (ii) the interest amount payable on the class of floating rate related combinable and recombinable (RCR) notes included in the same combination for that payment date. If there are no floating rate classes in the related exchange, then the interest payment on the interest-only notes will be capped at the aggregate of the interest amounts payable on the classes of RCR notes included in the same combination that were exchanged for the specified class of interest-only RCR notes for that payment date. KEY RATING DRIVERS High-Quality Mortgage Pool (Positive): The reference mortgage loan pools consist of high-quality mortgage loans that were acquired by Fannie Mae in the first quarter of 2017 (1Q 2017). The group 1 reference pool will consist of loans with LTVs greater than 60% and less than or equal to 80%, and Group 2 will consist of loans with LTVs greater than 80% and less than or equal to 97%. Overall, the reference pool's collateral characteristics are similar to recent CAS transactions and reflect the strong credit profile of post-crisis mortgage originations. Higher HomeReady Exposure (Negative): Both groups contain loans (1.07% Group 1 and 8.17% Group 2) originated to Fannie Mae's HomeReady program, the highest percentages of any Fitch-rated transaction to date. HomeReady is an affordable low down payment program that can allow for non-standard sources of income and down payment for qualifying borrowers. The credit profile of HomeReady borrowers is weaker on average than the overall mortgage pool, which is reflected in increased credit enhancement. Mortgage Insurance Guaranteed by Fannie Mae (Positive): The majority of the loans in Group 2 are covered either by borrower paid mortgage insurance (BPMI) or lender paid MI (LPMI). Fannie Mae will be guaranteeing the MI coverage amount, which will typically be the MI coverage percentage multiplied by the sum of the unpaid principal balance as of the date of the default, up to 36 months of delinquent interest, taxes and maintenance expenses. While the Fannie Mae guarantee allows for credit to be given to MI, Fitch applied a haircut to the amount of BPMI available due to the automatic termination provision as required by the Homeowners Protection Act when the loan balance is first scheduled to reach 78%. 12.5-Year Hard Maturity (Positive): The notes benefit from a 12.5-year legal final maturity. Thus, any credit or modification events on the reference pool that occur beyond year 12.5 are borne by Fannie Mae and do not affect the transaction. Fitch accounted for the 12.5-year hard maturity in its default analysis and applied a reduction to its lifetime default expectations. Limited Size/Scope of Third-Party Diligence (Neutral): Fitch received third party due diligence on a loan production basis, as opposed to a transaction specific review. Fitch believes that regular, periodic third-party reviews (TPRs) conducted on a loan production basis are sufficient for validating Fannie Mae's quality control processes. Fitch views the results of the due diligence review as consistent with its opinion of Fannie Mae as an above average aggregator; as a result, no adjustments were made to Fitch's loss expectations based on due diligence. See due diligence section for more details. Solid Alignment of Interests (Positive): While the transaction is designed to transfer credit risk to private investors, Fitch believes that it benefits from a solid alignment of interests. Fannie Mae will be retaining credit risk in the transaction by holding the 1A-H and 2-AH senior reference tranches, which have an initial loss protection of 3.80% and 4.25%, respectively, as well as the first loss B-2H reference tranches, sized at 0.50% for each group. Fannie Mae is also retaining an approximately 5% vertical slice/interest in each group's M-1, M-2A, M-2B, M-2C, and B-1 tranches. RATING SENSITIVITIES Fitch's analysis incorporates sensitivity analyses to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at both the metropolitan statistical area (MSA) and national levels. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or be considered in the surveillance of the transaction. This defined stress sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model projected sMVD. It indicates there is some potential rating migration with higher MVDs, compared with the model projection. Fitch also conducted defined rating sensitivities which determine the stresses to MVDs that would reduce a rating by one full category, to non-investment grade, and to 'CCCsf'. For example, additional MVDs of 12%, 18% and 13% would potentially reduce the 'BBB-sf' Group 1 rated class down one rating category, to non-investment grade, and to 'CCCsf', respectively. Additional MVDs of 11%, 11% and 37% would potentially reduce the 'BBB-sf' Group 2 rated class down one rating category, to non-investment grade, and to 'CCCsf', respectively. FIRST UNION 1999-C2: Moody's Affirms C(sf) Rating on Class IO Certs ------------------------------------------------------------------- Moody's Investors Service has upgraded the rating of one class and affirmed two classes in First Union National Bank-Chase Manhattan Bank Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 1999-C2: L, Upgraded to Aaa (sf); previously on Aug 19, 2016 Upgraded to Aa2 (sf) M, Affirmed Ca (sf); previously on Aug 19, 2016 Affirmed Ca (sf) IO, Affirmed C (sf); previously on Jun 9, 2017 Downgraded to C (sf) RATINGS RATIONALE The rating on the P&I class was upgraded based primarily on an increase in credit support resulting from amortization, as well as defeasance. The deal has paid down 23% since Moody's last review and defeasance now represents 47% of the pool. The rating on the P&I class was affirmed because the rating is commensurate with realized losses and outstanding interest shortfalls impacting the class. The rating on the IO class was affirmed based on the credit performance of its referenced classes. Moody's rating action reflects a base expected loss of 18.5% of the current balance compared to 16.8% at Moody's last review. Moody's base expected loss plus realized losses is now 2.2% of the original pooled balance, compared to 2.3% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The methodologies used in these ratings were "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017, 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 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 $13 million from $1.18 billion at securitization. The certificates are collateralized by 19 mortgage loans ranging in size from 2% to 12% of the pool . The pool contains a credit tenant lease (CTL) component that includes nine loans, representing 53% of the pool. The remaining 47% of the pool consists of defeased loans which are secured by US government securities. Moody's received full year 2016 operating results for 100% of the pool, and partial year 2017 operating results for 33% of the pool. The CTL component (53% of the pool) is secured by properties leased to four tenants. The largest exposures are Rite Aid Corporation (approximately $5.4 million -- 40.3 % of the pool; senior unsecured rating: B3/Caa1 -- ratings under review -- direction uncertain) and Walgreen Co. ($0.6 million -- 4.5 % of the pool; senior unsecured rating: Baa2 -- stable outlook). Three of the tenants have a Moody's rating and Moody's has completed an updated credit assessment for the non-Moody's rated tenant. The bottom-dollar weighted average rating factor (WARF) for this pool is 4300, compared to 3842 at the last review. At last review the CTL component included an additional Walgreen Co. loan which has since defeased. WARF is a measure of the overall quality of a pool of diverse credits. The bottom-dollar WARF is a measure of default probability. FLAGSHIP CREDIT 2017-3: S&P Gives Prelim BB- Rating on Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Flagship Credit Auto Trust 2017-3's $223.00 million automobile receivables-backed notes series 2017-3. The note issuance is an asset-backed securities transaction backed by subprime auto loan receivables. The preliminary ratings are based on information as of Aug. 10, 2017. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The availability of approximately 49.74%, 39.96%, 31.14%, 24.05%, and 19.48% credit support (including excess spread) for the class A, B, C, D, and E notes, respectively, based on stressed cash flow scenarios. These credit support levels provide coverage of approximately 3.50x, 3.00x, 2.30x, 1.75x, and 1.40x our 12.75%-13.25% expected cumulative net loss range for the class A, B, C, D, and E notes, respectively. These break-even scenarios cover total cumulative gross defaults (using a recovery assumption of 40%) of approximately 83%, 67%, 52%, 40%, and 32%, respectively. -- The timely interest and principal payments made under stressed cash flow modeling scenarios that are appropriate to the assigned ratings. -- The expectation that under a moderate ('BBB') stress scenario, all else being equal, S&P's ratings on the class A and B notes would not be lowered by more than one rating category from its preliminary 'AAA (sf)' and 'AA (sf)' ratings throughout the transaction's life, and our ratings on the class C and D notes would not be lowered more than two rating categories from its preliminary 'A (sf)' and 'BBB (sf)' ratings. The rating on the class E notes would remain within two rating categories of its preliminary 'BB- (sf)' rating within the first year, but the class would eventually default under the 'BBB' stress scenario after receiving 35%-40% of its principal. The above rating movements are within the one-category rating tolerance for 'AAA' and 'AA' rated securities during the first year and three-category tolerance over three years; a two-category rating tolerance for 'A', 'BBB', and 'BB' rated securities during the first year; and a three-category tolerance for 'A' and 'BBB' rated securities over three years. The 'BB' rated securities are permitted to default under a 'BBB' stress scenario (see "Methodology: Credit Stability Criteria," published May 3, 2010). -- The credit enhancement in the form of subordination, overcollateralization, a reserve account, and excess spread. -- The characteristics of the collateral pool being securitized. -- The transaction's payment and legal structures. PRELIMINARY RATINGS ASSIGNED Flagship Credit Auto Trust 2017-3 Class Rating Type Interest Amount rate(i) (mil. $) A AAA (sf) Senior Fixed 129.41 B AA (sf) Subordinate Fixed 32.93 C A (sf) Subordinate Fixed 26.57 D BBB (sf) Subordinate Fixed 21.38 E BB- (sf) Subordinate Fixed 12.71 (i) The actual coupons of these tranches will be determined on the pricing date. GALAXY CLO XIX: S&P Assigns Prelim. B- Rating on Class E-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-1-R, A-2-R, B-R, C-R, D-1-R, D-2-R, and E-R replacement notes from Galaxy XIX CLO Ltd., a collateralized loan obligation (CLO) originally issued in February 2015 that is managed by PineBridge Investments 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 Aug. 14, 2017. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Aug. 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." 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; and -- Change the overcollateralization test levels. 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 (see table). 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 Galaxy XIX CLO Ltd. Replacement class Rating Amount (mil. $) A-1-R AAA (sf) 313.00 A-2-R AA (sf) 61.00 B-R (deferrable) A (sf) 36.50 C-R (deferrable) BBB (sf) 27.00 D-1-R (deferrable) BB- (sf) 16.20 D-2-R (deferrable) BB- (sf) 5.00 E-R (deferrable) B- (sf) 9.00 Class A sub notes NR 41.95 Class B sub notes NR 0.25 NR—Not rated. GREENWICH CAPITAL 2004-GG1: Moody's Lower Class J Debt to C(sf) --------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on five classes and downgraded the ratings on two classes in Greenwich Capital Commercial Funding Corp., 2004-GG1: Cl. F, Affirmed Baa1 (sf); previously on Aug 18, 2016 Affirmed Baa1 (sf) Cl. G, Affirmed Ba2 (sf); previously on Aug 18, 2016 Affirmed Ba2 (sf) Cl. H, Downgraded to Caa3 (sf); previously on Aug 18, 2016 Downgraded to Caa1 (sf) Cl. J, Downgraded to C (sf); previously on Aug 18, 2016 Downgraded to Caa3 (sf) Cl. K, Affirmed C (sf); previously on Aug 18, 2016 Downgraded to C (sf) Cl. L, Affirmed C (sf); previously on Aug 18, 2016 Affirmed C (sf) Cl. XC, Affirmed C (sf); previously on Jun 9, 2017 Downgraded to C (sf) RATINGS RATIONALE The ratings of Classes F and G were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR), and the transaction's Herfindahl Index (Herf) are within acceptable ranges. The ratings of Classes H and J were downgraded primarily due to higher expected losses on the pool's largest loan, the Aegon Center -- A Note (78.4% of the pool). The ratings of Clases K and L were affirmed because the ratings are consistent with Moody's expected loss plus realized losses. The rating on the IO class XC was affirmed because of the credit quality of the referenced classes. Moody's rating action reflects a base expected loss of 39.9% of the current pooled balance, compared to 30.4% at Moody's last review. Moody's base expected loss plus realized losses is now 4.6% of the original pooled balance, compared to 4.4% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. 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 12 July, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 96% to $104.6 million from $2.6 billion at securitization. The certificates are collateralized by five mortgage loans ranging in size from less than 1% to 78.4% of the pool. One loan, constituting 0.4% of the pool, has 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. One loan, constituting 78.4% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Twenty loans have been liquidated from the pool at a loss, contributing to an aggregate realized loss of $77.7 million (for an average loss severity of 37%). There are currently no loans in special servicing. Moody's has assumed a high default probability for one poorly performing loan, constituting 20.2% of the pool, and has estimated an aggregate loss of $21.1 million (a 100% expected loss based on a 100% probability default) from these troubled loans. Moody's received full year 2016 operating results for 100% of the pool. The top three conduit loans represent 79.5% of the pool balance. The largest loan is the Aegon Center - A Note Loan ($82.0 million -- 78.4% of the pool), which is secured by a 34-story Class A office building, now known as 400 West Market, located in Louisville, Kentucky. In addition to the office component, the collateral also consists of the leasehold interest in an adjacent 504-space parking garage. The property is currently on the watchlist due to its occupancy rate falling below 80%. The Loan was transferred to the special servicer in March 2012 due to imminent monetary default, but was returned to the Master Servicer in November 2013 after a loan modification. The modification included the birfucation of the loan and creation of an $82.0 million A-note and $21.1 million hope note. The modification also temporarily reduced the A-note interest rate and extended the maturity of the loan through April 2019. The property was 74% leased as of June 2017, compared to 79% as of December 2016. The increase in vacancy is due to Humana Insurance Company's early termination of their lease in December 2016; which was initially set to expire in March 2018. The second largest loan is the Bangor Plaza Loan ($0.8 million -- 0.8% of the pool), which is secured by a 135,000 SF grocery-anchored shopping center located in Pen Argyl, Pennsylvania, approximately 20 miles north of Allentown. The property was 84% leased as of June 2017. The loan is fully amortizing and has paid down 84% since securitization. Moody's LTV and stressed DSCR are 9% and 4.00X, respectively, compared to 13% and 4.00X at the last review. The third largest loan is the Rancho Santa Barbara MHP Loan ($0.3 million -- 0.3% of the pool), which is secured by a 334 unit manufactured housing community located in Santa Barbara, California, approximately 100 miles northwest of the Los Angeles CBD. The loan is fully amortizing and has paid down 83% since securitization. The property was 100% leased as of March 2017. Moody's LTV and stressed DSCR are 3% and 4.00X, respectively, compared to 4% and 4.00X at the last review. GREENWICH CAPITAL 2006-GG7: Moody's Cuts B2 Rating to Cl. A-J Debt ------------------------------------------------------------------ Moody's Investors Service has affirmed the ratings on five classes and downgraded the ratings on three classes in Greenwich Capital Commercial Funding Corp., Series 2006-GG7: Cl. A-M, Affirmed Aa3 (sf); previously on Sep 1, 2016 Affirmed Aa3 (sf) Cl. A-J, Downgraded to B2 (sf); previously on Sep 1, 2016 Downgraded to Ba3 (sf) Cl. B, Downgraded to Caa2 (sf); previously on Sep 1, 2016 Downgraded to B3 (sf) Cl. C, Downgraded to C (sf); previously on Sep 1, 2016 Downgraded to Caa3 (sf) Cl. D, Affirmed C (sf); previously on Sep 1, 2016 Downgraded to C (sf) Cl. E, Affirmed C (sf); previously on Sep 1, 2016 Affirmed C (sf) Cl. F, Affirmed C (sf); previously on Sep 1, 2016 Affirmed C (sf) Cl. G, Affirmed C (sf); previously on Sep 1, 2016 Affirmed C (sf) RATINGS RATIONALE The rating on Class A-M was affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The ratings on the Classes D, E, F, and G, were affirmed because the ratings are consistent with Moody's expected loss. The ratings on the Classes A-J, B, and C, were downgraded due to anticipated losses from specially serviced and troubled loans. Moody's rating action reflects a base expected loss of 37.0% of the current pooled balance, compared to 32.3% at Moody's last review. Moody's base expected loss plus realized losses is now 13.4% of the original pooled balance, compared to 12.6% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 55% of the pool is in special servicing and Moody's has identified additional troubled loans representing 31% of the pool. In this approach, Moody's determines a probability of default for each specially serviced and troubled loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss from specially serviced 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 July 12, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 83% to $613.6 million from $3.6 billion at securitization. The certificates are collateralized by 13 mortgage loans ranging in size from less than 1% to 26% 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 6, the same as at Moody's last review. Thirty-six loans have been liquidated from the pool, resulting in an aggregate realized loss of $258.7 million (for an average loss severity of 40%). Ten loans, constituting 55% of the pool, are currently in special servicing. The largest specially serviced loan is Portals I Loan ($155 million -- 25.3% of the pool), which is secured by 449,933 square foot (SF) office property located in Washington, DC. The loan was transferred to the special servicer in May 2016 for imminent maturity default and became REO in January 2017. As of June 2017, the property was 71% leased, unchanged from the prior year. The property's vacancy rate is higher than the submarket's rate of 15%. The second largest specially serviced loan is Corporate Center Loan ($36.5 million -- 6.0% of the pool), which is secured by a leasehold interest in a 342,686 SF office building located in downtown Fort Lauderdale, Florida. The loan transferred to the special servicer in April 2012 due to monetary default. The property became REO in May 2017. Moody's has assumed a significant loss on this property. The third largest specially serviced loan is Lorden Plaza ($26.0 million -- 4.2% of the pool), which is secured by a 148,803 SF grocery anchored retail center in Milford, New Hampshire. The loan transferred to special servicing in March 2016 for imminent maturity default and became REO in November 2016. The largest tenant, Shaw's Supermarkets (48% of NRA), has a lease expiration in February 2022. As of March 2017, the property was 88% leased. The special servicers indicated their strategy is to lease-up the property and correct deferred maintenance. The remaining seven specially serviced loans are secured by a mix of property types. Moody's has also assumed a high default probability for two poorly performing loans, constituting 31% of the pool. Moody's estimates an aggregate $212.5 million loss for the specially serviced and troubled loans (40% expected loss on average). The largest non-specially loan is the JP Morgan International Plaza I & II Loan ($159.0 million -- 25.9% of the pool), which is secured by two class A suburban office buildings in Farmers Branch, Texas. The property is fully leased to JP Morgan through February 2018. The property is also encumbered by a $30.75 million B-note, held outside of the Trust. This loan was transferred to special servicing in November 2015 after the Borrower advised the special servicer they will be unable to repay the loan at the original maturity date in June 2016. The loan was modified with a 20 month maturity extension (to February 2018) and the loan returned to the master servicer in August 2016. The loan is currently performing and is current on its debt service payments. As of July 2016, the property was appraised for $147.2 million ($195 PSF). Due to the tenant concentration risk and upcoming lease expiration date, Moody's has identified this as a troubled loan. The second largest loan is the Montehiedra Town Center -- A note Loan ($86.7 million -- 14.1% of the pool), which is secured by a 540,000 SF regional mall in San Juan (Rio Piedras), Puerto Rico. The loan was transferred to special servicing in May 2013 for imminent default due to cash flow issues and expiring leases. In January 2015, the loan was modified into a $90 million A Note and a $30 million B Note. The A Note interest rate was reduced from 6.04% to 5.33% per annum. The B Note interest rate was reduced to 3.00% per annum, which accrues on each payment date but will not be paid current. The modification also provided for a 5-year maturity extension to allow the repositioned property to stabilize operations. In conjunction with the modification, a Borrower affiliate guaranteed a $20 million capital infusion and provided the Lender with cooperation covenants in the event of a future default backed by a $25 million guaranty. Currently, the borrower is performing under the terms of the loan modification. Moody's identified the B-Note as a troubled loan and anticipates a loss on this loan. As of March 2017, the property was 92.7% leased and the property has been between 88% and 93% occupied since 2009. Anchor tenants include: Kmart (lease expiration: November 2050, 25% of NRA), The Home Depot (November 2050, 20% of NRA), Marshalls (January 2019, 10% of NRA), and Tiendas Capri (January 2018, 6.0% of NRA). Moody's LTV and stressed DSCR on the A note are 124% and 0.78X, respectively, compared to 119% and 0.77X at the last review. HARBOR LLC 2006-1: Moody's Lowers Rating on 2 Tranches to Ca(sf) ---------------------------------------------------------------- Moody's Investors Service has affirmed and downgraded the ratings on the following notes issued by Harbor Series 2006-1 LLC. Moody's rating action is: Cl. A, Affirmed Caa2 (sf); previously on Sep 21, 2016 Affirmed Caa2 (sf) Cl. B, Downgraded to Ca (sf); previously on Sep 21, 2016 Affirmed Caa3 (sf) Cl. C, Downgraded to Ca (sf); previously on Sep 21, 2016 Affirmed Caa3 (sf) Cl. D, Affirmed Ca (sf); previously on Sep 21, 2016 Downgraded to Ca (sf) The Class A Notes, Class B Notes, Class C Notes and Class D Notes are referred to herein as the "Rated Notes" RATINGS RATIONALE Moody's has affirmed the ratings on two classes of notes because the key transaction metrics are commensurate with the existing ratings. Moody's has downgraded the ratings on two classes of notes because the classes realized a combination of amortization and losses that have reduced their balances to $0. They will subsequently be withdrawn. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO Synthetic) transactions. Harbor Series 2006-1 LLC is a static synthetic transaction backed by a portfolio of credit default swaps on commercial mortgage backed securities (CMBS) (100% of the reference obligation pool balance). As of the July 20, 2017 trustee report, the aggregate issued note balance of the transaction has decreased to $53.5 million from $160 million at issuance, with the reference pool amortization being paid to the notes on a senior sequential basis. This transaction features a pro-rata to senior-sequential and vice-versa waterfall switch which is based upon certain thresholds. Since last review, the reference pool has realized losses, resulting in the full write-down of the remaining balances of Classes B, C, and D; and partial write-down of Class A. Moody's has identified the following as key indicators of the expected loss in CRE CDO transactions: the weighted average rating factor (WARF), the weighted average life (WAL), the weighted average recovery rate (WARR), and Moody's asset correlation (MAC). Moody's typically models these as actual parameters for static deals and as covenants for managed deals. WARF is a primary measure of the credit quality of a CRE CDO pool. Moody's has updated its assessments for the reference obligations it does not rate. The rating agency modeled a bottom-dollar WARF of 3649, compared to 3551 at last review. The current ratings on the Moody's-rated reference obligations and the assessments of the non-Moody's rated reference obligations follow: Aaa-Aa3 and 8.5% compared to 0.7% at last review, A1-A3 and 0.2% compared to 13.1% at last review, Baa1-Baa3 and 0.0% compared to 5.2% at last review, Ba1-Ba3 and 38.4% compared to 23.0% at last review, B1-B3 and 7.7% compared to 17.3% at last review, Caa1-Ca/C and 45.3% compared to 40.7% at last review. Moody's modeled a WAL of 1.3 years, compared to 0.6 years at last review. The WAL is based on assumptions about extensions on the underlying look-through loans within the reference obligations. Moody's modeled a fixed WARR of 10.1%, compared to 6.3% at last review. Moody's modeled a MAC of 18.7%, compared to 27.1% at last review. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Approach to Rating SF CDOs" published in June 2017. Factors That Would Lead to Upgrade or Downgrade of the Ratings: The performance of the notes is subject to uncertainty, because it is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that are subject to change. The servicing decisions of the master and special servicer and surveillance by the operating advisor with respect to the collateral interests and oversight of the transaction will also affect the performance of the Rated Notes. Moody's Parameter Sensitivities: Changes to any one or more of the key parameters could have rating implications for some of the Rated Notes, although a change in one key parameter assumption could be offset by a change in one or more of the other key parameter assumptions. The Rated Notes are particularly sensitive to changes in the ratings of the underlying reference obligations and credit estimates. Notching down 100% of the reference obligations pool by one notch would result in an average modeled rating movement on the Rated Notes of zero notches downward (e.g., one notch down implies a ratings movement of Baa3 to Ba1). Notching 100% of the reference obligations pool by one notch would result in an average modeled rating movement on the Rated Notes of one notch upward (e.g., one notch up implies a ratings movement of Baa3 to Baa2). The primary sources of uncertainty in Moody's assumptions are the extent of growth in the current macroeconomic environment. Commercial real estate property values continue to improve modestly, along with a rise in investment activity and stabilization in core property type performance. Limited new construction and moderate job growth have aided this improvement. HEMPSTEAD LTD II: Moody's Assigns Ba3(sf) Rating to Cl. D Notes --------------------------------------------------------------- Moody's Investors Service has assigned ratings to six classes of notes 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"), Definitive Rating Assigned Aaa (sf) US$378,000,000 Class A-1 Senior Secured Floating Rate Notes due 2029 (the "Class A-1 Notes"), Definitive Rating Assigned Aaa (sf) US$61,500,000 Class A-2 Senior Secured Floating Rate Notes due 2029 (the "Class A-2 Notes"), Definitive Rating Assigned Aa2 (sf) US$37,500,000 Class B Mezzanine Secured Deferrable Floating Rate Notes due 2029 (the "Class B Notes"), Definitive Rating Assigned A2 (sf) US$38,000,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2029 (the "Class C Notes"), Definitive Rating Assigned Baa3 (sf) US$35,000,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2029 (the "Class D Notes"), Definitive Rating Assigned 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." 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. Hempstead II CLO Ltd. is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated first lien senior secured corporate loans. At least 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 at least 80% 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 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: $600,000,000 Diversity Score: 60 Weighted Average Rating Factor (WARF): 3143 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 3143 to 3614) 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 3143 to 4086) 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 JAMESTOWN CLO IV: Moody's Lowers Class E Notes Rating to Caa1 ------------------------------------------------------------- Moody's Investors Service has downgraded the rating on the following notes issued by Jamestown CLO IV Ltd.: US$5,400,000 Class E Senior Secured Deferrable Floating Rate Notes due July 2026, Downgraded to Caa1 (sf); previously on June 26, 2014 Assigned B2 (sf) Moody's also affirmed the ratings on the following notes: US$257,000,000 Class A-1A Senior Secured Floating Rate Notes due July 2026, Affirmed Aaa (sf); previously on June 26, 2014 Assigned Aaa (sf) Up to U.S.$50,000,000 Class A-1B Senior Secured Floating Rate Notes due July 2026, Affirmed Aaa (sf); previously on June 26, 2014 Assigned Aaa (sf) US$77,000,000 Class A-1C Senior Secured Floating Rate Notes due July 2026, Affirmed Aaa (sf); previously on June 26, 2014 Assigned Aaa (sf) US$50,000,000 Class A-1L Loans due July 2026, Affirmed Aaa (sf); previously on June 26, 2014 Assigned Aaa (sf) US$73,800,000 Class A-2 Senior Secured Floating Rate Notes due July 2026, Affirmed Aa2 (sf); previously on June 26, 2014 Assigned Aa2 (sf) US$26,400,000 Class B Senior Secured Deferrable Floating Rate Notes due July 2026, Affirmed A2 (sf); previously on June 26, 2014 Assigned A2 (sf) US$36,000,000 Class C Senior Secured Deferrable Floating Rate Notes due July 2026, Affirmed Baa3 (sf); previously on June 26, 2014 Assigned Baa3 (sf) US$33,600,000 Class D Senior Secured Deferrable Floating Rate Notes due July 2026, Affirmed Ba3 (sf); previously on June 26, 2014 Assigned Ba3 (sf) Jamestown CLO IV Ltd., issued in June 2014, is a collateralized loan obligation (CLO) backed primarily by a portfolio of senior secured loans. The transaction's reinvestment period will end in July 2018. RATINGS RATIONALE The rating downgrade on the Class E notes reflects the par loss and credit deterioration in the underlying CLO portfolio. Based on the trustee's July 2017 report, the total collateral par balance is $585.8 million, or $14.2 million less than the $600 million initial par amount targeted during the deal's ramp-up. Furthermore, the current trustee-reported weighted average rating factor (WARF) and weighted average spread (WAS) of 3074 and 3.74%, respectively, are failing the covenants of 3060 and 3.94%, respectively. Based on Moody's calculation, assets that have a corporate family rating equivalent to Caa1 or lower (after applicable adjustments for negative outlook or review for downgrade) represent approximately 14.9% of the performing portfolio. The rating action also reflects the limited time remaining before the end of the deal's reinvestment period in July 2018, which could constrain the issuer's ability to effect significant changes to the current collateral pool. 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) Other collateral quality metrics: Reinvestment is allowed and the manager has the ability to negatively affect the collateral quality metrics' existing buffers against the covenant levels, which could negatively affect the transaction. 7) Weighted Average Spread: 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 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% (2434) Class A-1A: 0 Class A-1B: 0 Class A-1C: 0 Class A-1L: 0 Class A-2: +1 Class B: +3 Class C: +3 Class D: +2 Class E: +4 Moody's Adjusted WARF + 20% (3650) Class A-1A: 0 Class A-1B: 0 Class A-1C: 0 Class A-1L: 0 Class A-2: -3 Class B: -2 Class C: -1 Class D: 0 Class E: -2 Loss and Cash Flow Analysis: Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. In its base case, Moody's analyzed the collateral pool as having a performing par and principal proceeds balance of $579.0 million, defaulted par of $11.8 million, a weighted average default probability of 23.43% (implying a WARF of 3042), a weighted average recovery rate upon default of 49.18%, a diversity score of 66 and a weighted average spread of 3.70% (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. JP MORGAN 2003-C1: Moody's Affirms C(sf) Ratings on 2 Tranches -------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on one class and affirmed the ratings on two classes in J.P. Morgan Chase Commercial Mortgage Securities Corp. 2003-C1: Cl. F, Upgraded to A3 (sf); previously on Sep 15, 2016 Upgraded to Baa2 (sf) Cl. G, Affirmed C (sf); previously on Sep 15, 2016 Affirmed C (sf) Cl. X-1, Affirmed C (sf); previously on Jun 9, 2017 Downgraded to C (sf) RATINGS RATIONALE The rating on Class F was upgraded based primarily on an increase in credit support resulting from loan paydowns and amortization. The deal has paid down 18% since Moody's last review. The rating on Class G was affirmed because the ratings are consistent with Moody's expected loss plus realized losses. Class G has already experienced a 69% realized loss as result of previously liquidated loans. The rating on the IO class, Class X-1, was affirmed based on the credit quality of its referenced classes. Moody's rating action reflects a base expected loss of 6.6% of the current pooled balance, compared to 3.9% at Moody's last review. Moody's base expected loss plus realized losses is now 8.8% of the original pooled balance, compared to 8.7% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these rating was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. 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. DEAL PERFORMANCE As of the July 12, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 98% to $19.7 million from $1.068 billion at securitization. The certificates are collateralized by six mortgage loans ranging in size from 1% to 52% of the pool. Two loans, constituting 12% 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 2, compared to 3 at Moody's last review. There are currently no loans on the watchlist. Fifteen loans have been liquidated from the pool, resulting in an aggregate realized loss of $92 million (for an average loss severity of 70%). One loan, the Blue Ash Corporate Center Loan ($2.6 million -- 13.0% of the pool), is currently in special servicing. The loan is secured by a 57,000 square foot (SF) office property located in Blue Ash, Ohio. The loan transferred to the Special Servicer in December 2012 for payment default, and then subsequently maturity default. A receiver was appointed in September 2015. As of March 2017, the property was 74% leased, the same as in June 2016. Moody's received full year 2016 operating results for 100% of the pool, and full or partial year 2017 operating results for 16% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 37%, compared to 51% 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 21% 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 1.21X and 2.78X, respectively, compared to 1.18X and 1.99X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The top three conduit loans represent 76% of the pool balance. The largest loan is the Mark IV Las Vegas Loan ($10.3 million -- 52.3% of the pool), which is secured by three adjoining industrial properties totaling 451,000 SF and located in Las Vegas, Nevada. The collateral was 94% leased as of December 2016, compared to 100% leased as of December 2015. Moody's LTV and stressed DSCR are 35% and 2.94X, respectively, compared to 53% and 1.95X at the last review. The second largest loan is the Ocoee Crossing Shopping Center Loan ($2.4 million -- 12.3% of the pool), which is secured by a 63,000 SF grocery-anchored retail center located in Cleveland, Tennessee. The property was 94% leased as of December 2016, compared to 100% leased in December 2015. Moody's LTV and stressed DSCR are 41% and 2.50X, respectively, compared to 42% and 2.45X at the last review. The third largest loan is the Walgreens-Lyndon Lane Loan ($2.1 million -- 10.9% of the pool), which is secured by a 15,000 SF retail property. Walgreens leases the entire property with a long term triple net lease expiring in October 2061. Moody's LTV and stressed DSCR are 44% and 2.36X, respectively, compared to 49% and 2.11X at the last review. JP MORGAN 2005-LDP3: Moody's Affirms C(sf) Rating on Cl. G Certs ---------------------------------------------------------------- Moody's Investors Service has upgraded the rating on one class and affirmed the rating on one class in J.P. Morgan Chase Commercial Mortgage Securities Corp., Commercial Pass-Through Certificates, Series 2005 LDP3: Cl. F, Upgraded to Baa3 (sf); previously on Sep 8, 2016 Upgraded to B1 (sf) Cl. G, Affirmed C (sf); previously on Sep 8, 2016 Affirmed C (sf) RATINGS RATIONALE The rating on Class F was upgraded based primarily on an increase in credit support resulting from loan paydowns and amortization. The deal has paid down 36% since Moody's last review. The rating on Class G was affirmed because the ratings are consistent with Moody's expected loss plus realized losses. Class G has already experienced a 69% realized loss as result of previously liquidated loans. Moody's rating action reflects a base expected loss of 7.7% of the current pooled balance, compared to 3.6% at Moody's last review. Moody's base expected loss plus realized losses is now 5.3% 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 principal methodology used in these ratings was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 67% of the pool is in special servicing. In this approach, Moody's determines a probability of default for each specially serviced and troubled loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss from specially serviced loans to the most junior class and the recovery as a pay down of principal to the most senior class. DEAL PERFORMANCE As of the July 17, 2017 distribution date, the transaction's aggregate certificate balance has decreased by over 99% to $6.8 million from $2 billion at securitization. The certificates are collateralized by three remaining mortgage loans. Twenty-nine loans have been liquidated from the pool, resulting in an aggregate realized loss of $107.5 million (for an average loss severity of 50%). One loan, the Maineville Crossing Loan ($4.7 million -- 67% of the pool), is currently in special servicing. The specially serviced loan is secured by a mixed use office/retail property located approximately 28 miles northeast of the Cincinnati CBD in Maineville, Ohio. The loan transferred to special servicing in September 2015 due to a balloon default. The borrower entered into a forbearance from May to August 2016. As per the March 2017 rent roll the property was 100% leased, compared to 94% as of June 2014. As of the July 17, 2017 remittance statement cumulative interest shortfalls were $2.47 million. Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced loans and/or modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. The two performing loans represent 33% of the pool balance. The largest performing loan is the LaSalle Bank- St. Charles, IL Loan ($1.9 million -- 27.9% of the pool), which is secured by a 6,000 square foot (SF) single tenant retail property located in St. Charles, Illinois (approximately 40 miles west of Chicago). As of March 2016, the property was 100% leased to Bank of America through August 2021. Moody's value incorporates a lit/dark analysis due to the property's single tenancy. Moody's LTV and stressed DSCR are 90% and 1.05X, respectively. The other performing loan is the Ambassador Caffery Plaza Loan ($0.36 million -- 5.1% of the pool), which is secured by a 9,938 square foot (SF) retail property located in Lafayette, Louisiana. As per the June 2017 rent roll the property was 100% leased, the same as of March 2016. The loan is fully amortizing and has amortized 72% since securitization. Moody's LTV and stressed DSCR are 19.7% and >4.00X, respectively. JP MORGAN 2010-C1: Fitch Cuts Class C Debt Rating to BBsf --------------------------------------------------------- Fitch Ratings has downgraded and removed from Rating Watch Negative two classes of JP Morgan Chase Commercial Mortgage Securities Trust, commercial mortgage pass through certificates, series 2010-C1. Fitch has also affirmed seven classes. KEY RATING DRIVERS The downgrade of classes B and C is due to continued performance uncertainty, high volatility and increasing concentration risk surrounding the largest loan in the pool, Gateway Salt Lake, which now represents approximately 26% of the total collateral pool. Additionally, approximately 70% of the remaining pool balance secured by retail properties. Gateway Salt Lake is a 623,972 square foot (sf) open-air lifestyle center located in Salt Lake City, UT. Presently, major tenants include Gateway Theatres (11.9% of net rentable area [NRA]), Barnes & Noble (4.1%) and The Depot (4.0%). Dick's Sporting Goods, a former anchor tenant that occupied 14.5% of the NRA, vacated in January 2017 upon lease expiration. The Gateway Salt Lake loan transferred to the special servicer in August 2015 for imminent default following several years of declining performance as a result of newer competition in the market. In mid-2016, the servicer negotiated a loan assumption and write-down of debt, which resulted in realized losses to the pool of approximately $41.3 million. In addition, the maturity date was extended until February 2021. The corrected loan returned to the master servicer in May 2016 and has remained current under its new owner, Vestar, an operator of retail and entertainment destinations in the Western U.S. Vestar is in the process of repositioning the property with a focus on entertainment tenants. Although a near-term decline in performance was expected (per the servicer) as the new sponsor implements their business plan to the center, stabilizing the property may become increasingly challenging as the retail sector weakens. Store closures, declining sales, and review of brick and mortar exposure are items of great focus for retailers as they navigate through a softening market and adapt to changing consumer habits. Since loan modification in April 2016, property performance has continued to decline with decreasing occupancy and rental revenue. As of June 2017, the property was 48% occupied, compared to 75% a year ago. The servicer reported year-to-date second quarter 2017 debt service coverage ratio, on a net operating income basis, was 0.96x, down from 1.95x at year-end 2016. The loan is currently on the servicer watchlist due to poor financial performance. In addition to lower occupancy and cash flow, many tenants at the center have co-tenancy clauses in their leases; these tenants are negotiating lower rents or other favourable lease terms with the sponsor. As of the June 2017 rent roll, leases representing 23% of the property NRA are set to expire within the next 12 month, the majority of which either have renewed for one year or are under negotiation for renewal. Dave & Busters has signed a 10 year lease to occupy 44,000 sf of the property. An additional 60,000 sf of space is currently in various stages of lease negotiations. RATING SENSITIVITIES The Negative Outlooks on classes A-3, X-A, B and C indicate Fitch's ongoing concerns with current transaction performance; however, the Gateway remains a performing loan and another default is not expected in the near term; the property has the potential to improve should the sponsor successfully increase occupancy per their repositioning plan. While recovery of 'AAAsf' proceeds is expected at this time, should the borrower's business plan fail to materialize and the loan re-transfer to special servicing, the 'AAAsf' rated classes may be susceptible to future interest shortfalls. Additionally, should any of the other performing loans fail to refinance at maturity all of the classes on Outlook Negative could be vulnerable to a downgrade. The distressed classes reflect either low recovery prospects or already realized losses (in the cases of the 'Dsf' rated classes). Upgrades are unlikely given pool concerns and concentration, but could be possible with sustained improvement in the Gateway Salt Lake loan. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third-party due diligence was provided or reviewed in relation to this rating action. Fitch has downgraded the following classes: -- $16.1 million class B to 'BBBsf' from 'Asf'; Outlook Negative; -- $26.9 million class C to 'BBsf' from 'BBB-sf'; Outlook Negative. Fitch has affirmed the following classes and revised Rating Outlooks as indicated: -- $97 million class A-2 at 'AAAsf'; Outlook to Stable from Negative; -- $61.5 million class A-3 at 'AAAsf'; Outlook Negative; -- Interest-only class X-A at 'AAAsf'; Outlook Negative; -- $14.3 million class D at 'CCsf'; RE 50%; -- $8.9 million class E at 'Dsf'; RE 0%; -- $0 class F at 'Dsf'; RE 0%; -- $0 class G at 'Dsf'; RE 0%; -- $0 class H at 'Dsf'; RE 0%. JP MORGAN 2017-FL10: S&P Assigns B- Rating on Class F Certs ----------------------------------------------------------- S&P Global Ratings assigned its ratings to J.P. Morgan Chase Commercial Mortgage Securities Trust 2017-FL10's $382.090 million commercial mortgage pass-through certificates. The certificate issuance is backed by six commercial mortgage loans with a $402.2 million aggregate principal balance, secured by the fee and/or leasehold interests in 14 properties across five U.S. states. The ratings reflect S&P Global Ratings' view of the collateral's historical and projected performance, the sponsors' and managers' experience, the trustee-provided liquidity, the loans' terms, and the transaction's structure. RATINGS ASSIGNED J.P. Morgan Chase Commercial Mortgage Securities Trust 2017-FL10 Class Rating(i) Amount ($) A AAA (sf) 219,260,000 X-CP(ii) B- (sf) 382,090,000 X-EXT(ii) B- (sf) 382,090,000 B AA (sf) 47,690,000 C A (sf) 36,005,000 D BBB- (sf) 38,855,000 E BB- (sf) 30,115,000 F B- (sf) 10,165,000 VRR interest(iii) NR 20,110,000 (i)The certificates will be issued to qualified institutional buyers according to Rule 144A of the Securities Act of 1933. (ii)Notional balance. The class X-CP certificates' notional amount will be equal to the class A, B, C, D, E, and F certificates' aggregate balances from time to time. The class X-EXT certificates' notional amount will be equal to the aggregate of the class A, B, C, D, E, and F certificates' balances from time to time. (iii)The VRR interest component provides credit support to the limited extent that losses are incurred on the underlying mortgage loans, as such losses are allocated between the VRR interest and the nonretained certificates, pro rata, according to their respective percentage allocation entitlements (vertical split). NR--Not rated. KKR CLO 12: Moody's Assigns Ba3(sf) Rating to Class E-R Notes ------------------------------------------------------------- Moody's Investors Service has assigned the following ratings to the following notes (the "Refinancing Notes") issued by KKR CLO 12 Ltd. (the "Issuer"): US$256,000,000 Class A-1-R Senior Secured Floating Rate Notes Due 2027 (the "Class A-1-R Notes"), Assigned Aaa (sf) US$25,000,000 Class B-1-R Senior Secured Floating Rate Notes Due 2027 (the "Class B-1-R Notes"), Assigned Aa1 (sf) US$20,000,000 Class B-2-R Senior Secured Fixed Rate Notes Due 2027 (the "Class B-2-R Notes"), Assigned Aa1 (sf) US$20,000,000 Class C-R Senior Secured Deferrable Floating Rate Notes Due 2027 (the "Class C-R Notes"), Assigned A2 (sf) US$28,000,000 Class D-R Senior Secured Deferrable Floating Rate Notes Due 2027 (the "Class D-R Notes"), Assigned Baa3 (sf) US$19,000,000 Class E-R Senior Secured Deferrable Floating Rate Notes Due 2027 (the "Class E-R Notes"), Assigned Ba3 (sf) The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of senior secured, broadly syndicated corporate loans. KKR Financial Advisors II, 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 August 16, 2017 (the "Refinancing Date") in connection with the refinancing of certain classes of notes (the "Refinanced Original Notes") previously issued on the Original Closing Date. On the Refinancing Date, the Issuer used the proceeds from the issuance of the Refinancing Notes to redeem in full the Refinanced Original Notes. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in October 2016. Factors That Would Lead to an Upgrade or a Downgrade of the Ratings: The performance of each class of the Issuer's notes is subject to uncertainty relating to certain factors and circumstances, and this uncertainty could lead Moody's to change its 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) 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% (2379) Class A-1-R: 0 Class B-1-R: +1 Class B-2-R: +1 Class C-R: +3 Class D-R: +3 Class E-R: +1 Moody's Assumed WARF + 20% (3569) Class A-1-R: 0 Class B-1-R: -2 Class B-2-R: -2 Class C-R: -2 Class D-R: -2 Class E-R: -1 Loss and Cash Flow Analysis: Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score, weighted average recovery rate, and weighted average spread, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions Performing par and principal proceeds balance: $400,000,000 No defaulted par Diversity Score: 61 Weighted Average Rating Factor (WARF): 2974 (corresponding to a weighted average default probability of 24.81%) Weighted Average Spread (WAS): 3.70% Weighted Average Recovery Rate (WARR): 49.4% 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. LB-UBS COMMERCIAL 2007-C1: Fitch Hikes Cl. D Certs Rating to CCC ---------------------------------------------------------------- Fitch Ratings upgrades two classes and affirms nine classes of LB-UBS Commercial Mortgage Trust commercial mortgage pass-through certificates, series 2007-C1. KEY RATING DRIVERS Paydown and Increased Credit Enhancement: The upgrades are the result of increased credit enhancement, as well as better than expected recoveries on loans that paid in full on or near their maturity date. As of the July 2017 distribution date, the transaction has paid down 93.5% to $181.2 million from $2.8 billion at issuance. Significant Concentration of Specially Serviced Loans and High Expected Losses: Seventeen (92%) of the remaining 18 loans are specially serviced including eight REO (41.3%), five loans in foreclosure (34.7%) and three non-performing matured loans (16%). Although credit enhancement is high, significant losses are expected. The largest assets in the pool were originally a crossed loan pool of two suburban office/flex properties totalling 263,000 sf located in West Greenwich, RI (17.1%). Both properties are now REO and according to the special servicing, are being listed for sale. The second largest loan in the pool is collateralized by a 412,000 sf industrial building located in Vero Beach, FL, which serves as a CVS distribution facility. The loan transferred to special servicing in January 2017 after the borrower failed to payoff the loan at maturity. The special servicer filed for foreclosure in June 2017. One Performing Loan: The transaction's one performing loan (8.1%) is the third largest loan in the deal and is collateralized by a 106,944 sf open air neighborhood retail center located in Montgomery AL. Tenants include Ross Dress for Less (28% of the NRA, lease expiration in 2020); Office Depot (20% NRA, 2021); Dollar Tree (11% NRA, 2021); Shoe Carnival (11%, 2021); Verizon (5%, 2022). The property has maintained high occupancy throughout the loan term from 96%-100%. Occupancy as of March 2017 was 97%. Reported NOI has been consistently low, and the NOI DSCR was 1.17x as of March 2017 and 1.18x as of YE 2016. Tenants Ross Dress for Less and Verizon both signed new leases in early 2017 at their respective lease expirations. The current loan per square foot is $137. The balloon loan's maturity date is in December 2018. RATING SENSITIVITIES The Rating Outlook of class C is Stable, as no rating changes are expected. Due to the increased credit enhancement from paydown, losses are no longer expected. The class is reliant on the performing loan to pay off. The remaining classes' ratings are distressed and reflect the expectation of losses on the specially serviced loans. Downgrades are expected as losses become more imminent or are realized. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third-party due diligence was provided or reviewed in relation to this rating action. Fitch has upgraded the following classes: -- $4.5 million class C to 'BBsf' from 'CCsf'; Outlook Stable assigned; -- $37.1 million class D to 'CCCsf' from 'CCsf'; RE revised to 20%. Fitch has affirmed the following classes: -- $18.6 million class E at 'CCsf'; RE 0%; -- $32.5 million class F at 'Csf'; RE 0%; -- $32.5 million class G at 'Csf'; RE 0%; -- $41.8 million class H at 'Csf'; RE 0%; -- $14.1 million class J at 'Dsf'; RE 0%; -- $0 million class K at 'Dsf'; RE 0%; -- $0 million class L at 'Dsf'; RE 0%; -- $0 million class M at 'Dsf'; RE 0%; -- $0 million class N at 'Dsf'; RE 0%. The class A-1, A-2, A-3, A-AB, A-4, A-1A, A-M, A-J and B certificates have all paid in full. Fitch does not rate the class P, Q, S, T, or BMP certificates. Fitch previously withdrew the rating on the interest-only class X-CL, X-CP, and X-W certificates. LB-UBS COMMERCIAL 2007-C6: S&P Affirms CCC Rating on Cl. D Certs ---------------------------------------------------------------- S&P Global Ratings raised its ratings on four classes of commercial mortgage pass-through certificates from LB-UBS Commercial Mortgage Trust 2007-C6, a U.S. commercial mortgage-backed securities (CMBS) transaction. In addition, we affirmed our ratings on two other classes from the same transaction. S&P said, "Our rating actions 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. "We raised our ratings on classes A-M, A-MFL, A-J, and B to reflect our expectation of the available credit enhancement for these classes, which we believe is greater than our most recent estimate of necessary credit enhancement for the respective rating levels. The upgrades also follow our views regarding the collateral's current and future performance and lower trust balance. "The affirmations on classes C and D 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, as well as our views regarding the collateral's current and future performance. "While available credit enhancement levels suggest further positive rating movements on classes A-J and B and positive rating movement on class C, our analysis also considered the susceptibility to reduced liquidity support from the 53 specially serviced assets ($422.9 million, 71.0%)." TRANSACTION SUMMARY As of the July 17, 2017, trustee remittance report, the collateral pool balance was $595.6 million, which is 20.0% of the pool balance at issuance. The pool currently includes 24 loans (reflecting the Islandia Shopping Center A and B notes as one loan) and 41 real estate owned (REO) assets, down from 181 loans at issuance. Fifty-three of these assets are currently with the special servicer (including the Hickory Grove loan, see below), four ($31.4 million, 5.3%) are defeased, and seven ($127.2 million, 21.4%) are on the master servicer's watchlist. The master servicer, Wells Fargo Bank N.A., reported financial information for 87.7% of the nondefeased assets in the pool, of which 88.1% was year-end 2016 data, and the remainder was year-end 2015 data. S&P said, "We calculated a 0.90x S&P Global Ratings weighted average debt service coverage (DSC) and 107.6% S&P Global Ratings weighted average loan-to-value (LTV) ratio using a 7.25% S&P Global Ratings weighted average capitalization rate. The DSC, LTV ratio, and capitalization rate calculations exclude the 53 specially serviced assets, four defeased loans, and the Islandia Shopping Center subordinate B hope note ($10.1 million, 1.7%). The top 10 nondefeased assets have an aggregate outstanding pool trust balance of $493.1 million (82.8%). Using adjusted servicer-reported numbers, we calculated an S&P Global Ratings weighted average DSC and LTV of 0.85x and 112.0%, respectively, for four of the top 10 nondefeased assets. The remaining assets are specially serviced and discussed below. "To date, the transaction has experienced $159.0 million in principal losses, or 5.3% of the original pool trust balance. We expect losses to reach approximately 10.6% 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 53 specially serviced assets." CREDIT CONSIDERATIONS As of the July 17, 2017, trustee remittance reports, 52 assets ($409.3 million, 68.7%) in the pool were with the special servicer, LNR Partners LLC. The Hickory Grove loan ($13.6 million, 2.3%) was previously on the master servicer's watchlist and transferred to special servicing after the July 2017 trustee remittance report due to maturity default. The loan matured on July 11, 2017. Details on the three largest specially serviced assets, all of which are part of the top 10 nondefeased assets, are as follows: The PECO Portfolio REO asset ($261.0 million, 43.8%) has a $266.8 million total reported exposure and is the largest nondefeased asset in the pool. The loans, which comprise 39 cross-collateralized and cross-defaulted loans, were transferred to the special servicer on Aug. 2, 2012, because of imminent payment default and the properties became REO between June 2014 and March 2015. The asset consisted of 39 retail properties totaling 4.3 million sq. ft. in 13 U.S. states. According to the special servicer, nine of the properties have been sold and released to date, and it is working on leasing up the remaining properties. S&P said, "It is our understanding from LNR that the sale proceeds from these properties were used to repay prior advances, deferred interest, and principal. A $112.2 million appraisal reduction amount is in effect against the asset. We expect a moderate loss (between 26% and 59%) upon its eventual resolution." The 707 Broad Street loan ($42.0 million, 7.1%) has a total reported exposure of $42.2 million and is the third-largest nondefeased asset in the pool. The loan is secured by a 543,951-sq.-ft. office building in Newark, N.J. The loan, which has a late but less-than-one-month-delinquent payment status, was transferred to special servicer on June 9, 2017, due to imminent maturity default. The loan matures on Sept. 11, 2017. The reported DSC and occupancy for the three months ended March 2017 were 1.14x and 96.9%, respectively. S&P expects a moderate loss upon this loan's eventual resolution. The Lakeland Town Center loan ($25.1 million, 4.2%) has a $25.4 million total reported exposure and is the fourth-largest nondefeased asset in the pool. The loan is secured by a 304,375-sq.-ft. retail center in Lakeland, Fla. The loan, which has a nonperforming maturity balloon payment status, was transferred to the special servicer on Oct. 12, 2016, because of imminent default. The special servicer indicated that the property is currently 73.0% occupied and DSC was 1.00x for the three months ended March 31, 2017. S&P expects a moderate loss upon this loan's eventual resolution. The remaining assets with the special servicer each have individual balances that represent less than 3.8% of the total pool trust balance. S&P estimated losses for the 53 specially serviced assets, arriving at a weighted average loss severity of 37.1%. RATINGS LIST LB-UBS Commercial Mortgage Trust 2007-C6 Commercial mortgage pass-through certificates series 2007-C6 Rating Class Identifier To From A-M 52109PAG0 AAA (sf) AA (sf) A-J 52109PAH8 BBB- (sf) BB- (sf) B 52109PAJ4 BB+ (sf) B (sf) C 52109PAK1 B- (sf) B- (sf) D 52109PAL9 CCC (sf) CCC (sf) A-MFL 52109PAU9 AAA (sf) AA (sf) MACH ONE 2004-1: Fitch Affirms 'Dsf' Rating on Class O Notes ------------------------------------------------------------ Fitch Ratings has affirmed six classes of MACH ONE 2004-1, LLC (MACH ONE). KEY RATING DRIVERS The affirmations 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 $6.3 million; principal paydowns since issuance total $558.4 million. Over this period, 45.2% of the underlying collateral has been upgraded a weighted average of 5.2 notches and none of the underlying collateral has been downgraded. The portfolio has become increasingly more concentrated with four assets from three obligors remaining. Currently, 54.8% of the portfolio has a Fitch-derived rating below investment grade and 13.8% has a distressed rating in the 'CCC' category and below, compared to 83.5% and 14.9%, respectively, at the last rating action. As of the July 28, 2017 payment date, the class J through N notes are current on their interest payments. 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 not run. 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 J through M notes are covered by collateral with credit characteristics at their assigned ratings. For the class N and O 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 N notes have been affirmed at 'CCCsf', indicating that default is possible. The class O notes have been affirmed at 'Dsf' due to incurred principal losses (approximately $2.6 million since issuance). RATING SENSITIVITIES The Negative Outlooks of classes L and M reflect the potential for negative credit migration. 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. Upgrades are possible if recoveries are better than expected and if there is additional positive credit migration of the underlying portfolio. 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 and revised Outlooks as indicated: -- $2,870,963 class J notes at 'Asf'; Outlook Stable; -- $8,844,000 class K notes at 'BBsf'; Outlook Stable; -- $8,040,000 class L notes at 'BBsf'; Outlook to Negative from Stable; -- $8,844,000 class M notes at 'BBsf'; Outlook to Negative from Stable; -- $6,432,000 class N notes at 'CCCsf'; -- $3,814,201 class O notes at 'Dsf'. The class A-1 through H notes have all paid in full. Classes P-1 through P-6 are not rated. The rating on class X was previously withdrawn. MAD MORTGAGE 2017-330M: S&P Assigns BB(sf) Rating on Class E Certs ------------------------------------------------------------------ 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 commercial mortgage-backed securities 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 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(i) NR 25,000,000 (i) Non-offered vertical risk retention class. NR--Not rated. MADISON PARK XXIII: S&P Assigns BB-(sf) Rating on Class E Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to Madison Park Funding XXIII Ltd./Madison Park Funding XXIII LLC's $735 million floating-rate notes. The note issuance is a collateralized loan obligation backed 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 Madison Park Funding XXIII Ltd./Madison Park Funding XXIII LLC Class Rating Amount (mil. $) A AAA (sf) 488.00 B AA (sf) 108.00 C (deferrable) A (sf) 60.00 D (deferrable) BBB- (sf) 48.00 E (deferrable) BB- (sf) 31.00 Subordinated notes NR 80.00 NR--Not rated. MAGNETITE XIX: Moody's Assigns B3(sf) Rating to Class F Notes ------------------------------------------------------------- Moody's Investors Service has assigned ratings to six classes of notes 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"), Definitive Rating Assigned Aaa (sf) US$55,000,000 Class B Senior Secured Floating Rate Notes due 2030 (the "Class B Notes"), Definitive Rating Assigned Aa2 (sf) US$28,750,000 Class C Deferrable Mezzanine Floating Rate Notes due 2030 (the "Class C Notes"), Definitive Rating Assigned A2 (sf) US$30,000,000 Class D Deferrable Mezzanine Floating Rate Notes due 2030 (the "Class D Notes"), Definitive Rating Assigned Baa3 (sf) US$26,250,000 Class E Deferrable Mezzanine Floating Rate Notes due 2030 (the "Class E Notes"), Definitive Rating Assigned Ba3 (sf) US$7,500,000 Class F Deferrable Mezzanine Floating Rate Notes due 2030 (the "Class F Notes"), Definitive Rating Assigned 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." 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. 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 (excluding first lien last out loans), and up to 10% of the portfolio may consist of collateral obligations that are second lien loans and unsecured loans. The portfolio is approximately 65% 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 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: 65 Weighted Average Rating Factor (WARF): 3018 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 3018 to 3471) 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 3018 to 3923) 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 ML-CFC COMMERCIAL 2006-3: Fitch Hikes Class C Debt Rating to Bsf ---------------------------------------------------------------- Fitch Ratings has upgraded two and affirmed 11 classes of ML-CFC Commercial Mortgage Trust (MLCFC) commercial mortgage pass-through certificates series 2006-3. KEY RATING DRIVERS Increased Credit Enhancement: The upgrades are the result of increased credit enhancement(CE) due to collateral paydown and better than expected recoveries on loans that paid off at or close to their maturity dates. Over the past 12 months, 17 loans ($129 million) paid in full with zero losses, and five loans ($31 million) were liquidated with $19.6 million in incurred losses to the trust. As of the August 2017 distribution date, the pool's aggregate principal balance has been reduced by 96% to $90.6 million from $2.43 billion at issuance. One loan (8.8% of the pool balance) is fully defeased. Interest shortfalls are currently affecting classes D through Q. Pool Concentration/Adverse Selection: The transaction is highly concentrated with only 14 of the original 213 loans remaining. Of the 14 remaining loans, two loans are on the servicer's watchlist (34%). Of the non-defeased loans, 45% are retail properties and 33% are office. 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 losses on the specially serviced assets. Fitch Loans of Concern: Fitch has designated nine loans (92%) as Fitch Loans of Concern (FLOCs) in this pool, including seven loans (49%) in special servicing. The two non-specially serviced FLOCs (43%) are secured by single-tenant office properties, which have been flagged for near-term loan maturities, impending lease expirations, and secondary market locations. The largest specially serviced loan is secured by a 295,000 square foot (sf) retail center located in Woonsocket, RI (24% of the pool balance). The loan, which is currently the second largest in the pool, transferred to special servicing in June 2013 due to monetary default and became REO in April 2014. The property had begun to experience cash flow issues after the lease expiration and vacancy of an anchor tenant's lease in 2013 (Shaw's Supermarket, previously 18% of the net rentable area [NRA]). The servicer has been working to stabilize leasing at the property, successfully re-tenanting the vacated Shaw's space with two new tenants: Planet Fitness (7%) and Trampoline Park (11.7%), both of which took occupancy in first quarter 2017. However, Sears, which leases 60,700sf (20.5% NRA), vacated the property earlier this year but continues to remit rental payments under its lease obligation which expires in August 2018. Excluding the dark Sears space, the property is currently 61% occupied. RATING SENSITIVITIES The Rating Outlooks on classes B and C are considered Stable due to sufficient credit enhancement. Although CE on these classes is high, Fitch remains concerned with the increasing concentrations, the near-term loan maturities, as well as performance volatility and adverse selection of the remaining collateral in the pool. The classes are subject to downward rating migration should realized losses exceed Fitch's expectation, or should loans not refinance at maturity as expected. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third-party due diligence was provided or reviewed in relation to this rating action. Fitch has upgraded the following ratings: -- $10.5 million class B to 'BBBsf' from 'Bsf'; Outlook Stable; -- S18.2 million class C to 'Bsf' from 'CCsf'; Stable Outlook assigned. Fitch has affirmed the following classes: -- $48.5 million class D at 'Csf'; RE 40%; -- $13.3 million class E at 'Dsf'; RE 0%; -- $0 million class F at 'Dsf'; RE 0%; -- $0 million class G at 'Dsf'; RE 0%; -- $0 million class H at 'Dsf'; RE 0%; -- $0 class J at 'Dsf'; RE 0%; -- $0 class K at 'Dsf'; RE 0%; -- $0 class L at 'Dsf'; RE 0%; -- $0 class M at 'Dsf'; RE 0%; -- $0 class N at 'Dsf'; RE 0%; -- $0 class P at 'Dsf'; RE 0%. The class A-1, A-2 A-3, A-SB, A-4, A-1A, AM, and AJ certificates have paid in full. Fitch does not rate the class Q certificate or the interest-only class XR certificate. Fitch previously withdrew the ratings on the interest-only class XP and XC certificates. MORGAN STANLEY 2005-IQ9: Fitch Cuts Ratings on 4 Tranches to 'Csf' ------------------------------------------------------------------ Fitch Ratings has downgraded seven and affirmed seven classes of Morgan Stanley Capital I Trust's commercial mortgage pass-through certificates, series 2005-IQ9. KEY RATING DRIVERS Concentration and Adverse Selection: As of the July 2017 distribution date, the pool's aggregate principal balance had been paid down by 88.3% to $179.3 million from $1.531 billion at issuance. Fitch modeled losses of 38.1% of the remaining pool; expected losses on the original pool balance total 6.4%, including $29.8 million (1.9% of the original pool balance) in realized losses to date. The pool is concentrated with 46 loans remaining and the top 10 loans accounting for 82.5%; the largest loan represents 63.2% of the pool. There are five Fitch Loans of Concern (66.8% of the pool) including the number one loan (Central Mall Portfolio, 63.2%) and one specially serviced loan (London Towne Houses, 1.7%). Two loans are defeased (2.4% of the pool). Remaining maturities are concentrated in 2017 (5.1%), 2018 (67.6%), and 2019 (16.4%). Interest shortfalls are currently affecting classes K through P. Largest Loan of Concern: The Central Mall Portfolio is secured by three malls (1,752,673 square feet [sf]) located in tertiary markets (Lawton, OK, Texarkana, TX, and Port Arthur, TX); anchor tenants in each mall include Sears, JC Penney, and Dillard's. The loan had previously transferred to special servicing in October 2014 for imminent maturity default after the borrower expressed concerns over its ability to refinance the portfolio, prior to its December 2014 maturity date. While in special servicing the loan maturity date was extended three times: first to June 2015, second to June 2016 and third to June 2018, with an option to extend to June 2019. Pursuant to the third modification agreement the borrower made interest-only payments from June 2016 to February 2017, and resumed principal and interest payments in March 2017. The loan returned to the master servicer in August 2016. As of year-end (YE) 2016, reported portfolio occupancy and NOI DSCR was 90% and 1.36x, respectively, but as of May 2017 portfolio-wide sales are on a declining trend. In addition, Sears has announced store closures at two of the three properties. RATING SENSITIVITIES The rating of class A-J is expected to remain stable as credit enhancement remains high and is expected to increase through loan payoffs and amortization. Concerns remain with the largest loan, the Central Mall Portfolio; Fitch applied stresses which indicated that classes B and below are sensitive to fluctuations in loan performance. Rating Outlooks on classes B through D are Negative as they may be subject to future rating actions should realized losses, particularly on the Central Mall Portfolio, be greater than expected. Fitch has downgraded the following classes as indicated: -- $11.5 million class C to 'BBBsf' from 'Asf', Outlook Negative; -- $26.8 million class D to 'BBsf' from 'BBBsf', Outlook Negative; -- $15.3 million class E to 'CCCsf' from 'BBsf', RE 60%; -- $15.3 million class F to 'Csf' from 'Bsf', RE 0%; -- $11.5 million class G to 'Csf' from 'CCCsf', RE 0%; -- $17.2 million class H to 'Csf' from 'CCCsf', RE 0%; -- $5.7 million class J to 'Csf' from 'CCsf', RE 0%. Fitch has affirmed the following classes and revised Outlooks as indicated: -- $76 million class A-J at 'AAAsf', Outlook Stable; -- $32.6 million class B at 'Asf', Outlook to Negative from Stable; -- $7.7 million class K at 'Csf', RE 0%; -- $2.8 million class L at 'Dsf', RE 0%; -- $0 class M at 'Dsf', RE 0%; -- $0 class N at 'Dsf', RE 0%; -- $0 class O at 'Dsf', RE 0%. The class A-1, A-1A, A-2, A-3, A-4, A-AB and A-5 certificates have paid in full. Fitch does not rate the class P certificates. Fitch previously withdrew the ratings on the interest-only class X-1, X-2 and X-Y certificates. MORGAN STANLEY 2007-TOP27: S&P Hikes Class B Certs Rating to B+ --------------------------------------------------------------- S&P Global Ratings raised its ratings on the class A-J and B commercial mortgage pass-through certificates from Morgan Stanley Capital I Trust 2007-TOP27, a U.S. commercial mortgage-backed securities (CMBS) transaction. We also affirmed our ratings on classes C and AW34 from the same transaction. S&P said, "At the same time, we discontinued our ratings on classes A-M and A-MFL and withdrew our rating on the class X interest-only (IO) certificates from the same transaction. "Our rating actions on the pooled principal- and interest-paying 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. "The upgrades on the class A-J and B pooled certificates reflect our expectation of the available credit enhancement for these classes, which we believe is greater than our most recent estimate of necessary credit enhancement for the rating levels. The upgrades also follow our views regarding the collateral's current and future performance, as well as the significantly lower trust balance. "The affirmation on the class C pooled certificates reflects our expectation that the available credit enhancement for the class will be within our estimate of the necessary credit enhancement required for the current rating, as well as our views regarding the collateral's current and future performance. "The affirmation on the class AW34 nonpooled certificates reflects our analysis of the 330 West 34th Street loan. The $50.1 million loan is secured by the leased fee interest in a 46,413-sq.-ft. parcel of land beneath a 638,982-sq.-ft. office and retail building located at 330 West 34th Street in Manhattan, and is the sole source of cash flow for the class AW34 certificates. Our analysis included assessing the ground lease loan in terms of the debt service coverage (DSC), both during the term at the loan's contracted interest and at maturity using a refinancing constant. In addition, our rating also reflects a credit enhancement minimum equal to 1% of the transaction or loan amount, per U.S. and Canadian CMBS criteria, to address the potential for unexpected trust expenses that may be incurred during the loan's life." The discontinued ratings on classes A-M and A-MFL follow their full repayment as noted in the July 13, 2017, trustee remittance report. S&P said, "Finally, based on our criteria for rating IO securities, we withdrew our 'AAA (sf)' rating on the class X IO certificates following the full repayment of all principal- and interest-paying classes rated 'AA- (sf)' or higher." TRANSACTION SUMMARY As of the July 13, 2017, trustee remittance report, the collateral pool balance was $293.0 million, which is 10.8% of the pool balance at issuance, and the trust balance, including the nonpooled class, was $343.1 million. The pool includes seven loans and one real estate owned (REO) asset, down from 225 loans at issuance. Four of these assets ($59.6 million, 20.4% of the pool balance) are with the special servicer, two loans ($11.8 million, 4.0%) are on the master servicer's watchlist, and no loans are defeased. The master servicer, Wells Fargo Bank N.A., reported partial- or full-year 2016 financial information for 92.0% of the loans in the pool. S&P said, "Excluding the four specially serviced assets, we calculated a 0.69x S&P Global Ratings weighted average DSC and 109.3% S&P Global Ratings weighted average loan-to-value ratio using a 7.28% S&P Global Ratings weighted average capitalization rate on the remaining loans in the pool. "To date, the pool transaction has experienced $135.9 million in principal losses, or 5.0% of the original pool trust balance. We expect losses to reach approximately 6.1% 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 four specially serviced assets." CREDIT CONSIDERATIONS As of the July 13, 2017, trustee remittance report, four assets in the pool were with the special servicer, C-III Asset Management LLC (C-III). Details of the two largest specially serviced assets are as following: The Residence - Inn Herndon loan ($26.5 million, 9.0%), the second-largest asset in the pool, has a reported total exposure of $26.6 million. The loan is secured by a 168-key extended-stay lodging property in Herndon, Va. The loan was transferred to the special servicer on May 24, 2017, due to imminent maturity default. The loan matured on June 1, 2017. The loan, which has a reported nonperforming matured balloon payment status, had a reported DSC and occupancy for the three months ended March 31, 2017, of 0.67x and 60.6%, respectively. C-III stated that it is exploring various liquidation strategies. S&P expects a moderate loss upon the loan's eventual resolution. The Towne Square Mall REO asset ($23.6 million, 8.0%), the third-largest asset in the pool, has a total reported exposure of $26.8 million. The asset is a357,355-sq.-ft. retail property in Owensboro, Ky. The loan was transferred to the special servicer on Feb. 6, 2015, due to imminent default and the property became REO on April 8, 2016. The reported DSC and occupancy as of year-end 2016 were 0.63x and 68.0%, respectively. An appraisal reduction amount of $19.5 million is in effect against this asset. S&P expects a significant loss upon its eventual resolution. The two remaining assets with the special servicer each have individual balances that represent less than 3.0% of the total pool trust balance. We estimated losses for the four specially serviced assets, arriving at a weighted average loss severity of 51.5%. 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 Morgan Stanley Capital I Trust 2007-TOP27 Commercial mortgage pass-through certificates series 2007-TOP27 Rating Class Identifier To From A-M 61754JAG3 NR AA+ (sf) A-MFL 61754JBA5 NR AA+ (sf) A-J 61754JAH1 A (sf) BBB- (sf) B 61754JAK4 B+ (sf) B- (sf) C 61754JAL2 B- (sf) B- (sf) X 61754JAJ7 NR AAA (sf) AW34 61754JAZ1 BB+ (sf) BB+ (sf) NR--Not rated. MOUNTAIN VIEW 2017-1: Moody's Assigns Ba3 Rating to Cl. E Notes --------------------------------------------------------------- Moody's Investors Service has assigned ratings to five classes of notes issued by Mountain View CLO 2017-1 Ltd. Moody's rating action is: US$320,000,000 Class A Senior Secured Floating Rate Notes Due 2029 (the "Class A Notes"), Assigned Aaa (sf) US$60,000,000 Class B Senior Secured Floating Rate Notes Due 2029 (the "Class B Notes"), Assigned Aa2 (sf) US$30,000,000 Class C Mezzanine Secured Deferrable Floating Rate Notes Due 2029 (the "Class C Notes"), Assigned A2 (sf) US$25,000,000 Class D Mezzanine Secured Deferrable Floating Rate Notes Due 2029 (the "Class D Notes"), Assigned Baa3 (sf) US$25,000,000 Class E Junior Secured Deferrable Floating Rate Notes Due 2029 (the "Class E Notes"), Assigned Ba3 (sf) The Class A Notes, the Class B Notes, the Class C Notes, the Class D Notes, and the Class E Notes are referred to herein 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. Mountain View CLO 2017-1 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated first lien senior secured corporate loans. At least 92.5% of the portfolio must consist of senior secured loans and eligible investments, and up to 7.5% of the portfolio may consist of second-lien loans, senior unsecured loans, and first-lien last out loans. The portfolio is approximately 80% ramped as of the closing date. Seix CLO Management LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's four year reinvestment period. Thereafter, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets, subject to certain restrictions. In addition to the Rated Notes, the Issuer issued one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in October 2016. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $500,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 2800 Weighted Average Spread (WAS): 3.70% Weighted Average Coupon (WAC): 7.50% Weighted Average Recovery Rate (WARR): 47.0% 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 2800 to 3220) Rating Impact in Rating Notches Class A Notes: 0 Class B Notes: -2 Class C Notes: -2 Class D Notes: -1 Class E Notes: 0 Percentage Change in WARF -- increase of 30% (from 2800 to 3640) Rating Impact in Rating Notches Class A Notes: -1 Class B Notes: -3 Class C Notes: -4 Class D Notes: -2 Class E Notes: -1 NASSAU LTD 2017-I: S&P Assigns BB- Rating on Class D Notes ---------------------------------------------------------- S&P Global Ratings assigned its ratings to Nassau 2017-I Ltd./Nassau 2017-I LLC's $391.00 million floating-rate notes. The note issuance is a collateralized loan obligation backed primarily by broadly syndicated speculative-grade senior secured term loans that are governed by collateral quality tests. 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 Nassau 2017-1 Ltd./Nassau 2017-I LLC Class Rating Amount (mil. $) A-1a AAA (sf) 231.30 A-1b AAA (sf) 30.00 A-2 AA (sf) 59.50 B A (sf) 29.80 C BBB- (sf) 21.20 D BB- (sf) 19.20 Subordinated notes NR 47.00 NR--Not rated. NOMURA CRE 2007-2: Fitch Affirms 'CCCsf' Rating on Cl. B Notes -------------------------------------------------------------- Fitch Ratings has affirmed all classes of Nomura CRE CDO 2007-2, Ltd. /LLC (Nomura 2007-2). KEY RATING DRIVERS The affirmations reflect the CDO's continued delevering relative to the high concentration with only 10 assets remaining. Since the last rating action, principal paydowns totaled $58.4 million resulting in the full payoff of class A-2 and significant paydown of class B ($33 million). Three loans with $16 million in modeled losses paid off in full; losses on the one loan collateralized by a junior position were in line with Fitch expectations. The transaction is very concentrated with only 10 assets remaining. Five loans ($32.8 million) are viewed as unlikely to pay in full due to their defaulted status, significant near-term lease expirations or no status update regarding their upcoming loan maturity. Should the other five remaining assets ($26.8 million) pay off as expected, proceeds are insufficient to repay class B's current balance of $37.6 million. Defaulted assets accounted for approximately 41% of interest collections per the July 2017 trustee report. Defaulted assets increased to 43.8% compared to 42.3% at last review due to the pool's increased concentration. Fitch loans of concern (FLOC) decreased to 7.7% compared to 37.7% at last review, primarily due to the sale of the Ilikai Waikiki Hotel A-2 and Sheraton Hotel loans which represented 27.6% of the pool; Chesterfield subsequently defaulted and another loan is no longer a FLOC. The credit quality of the rated securities remained flat since last review at 'CC/C'. As of the July 2017 trustee report, the CDO is failing all overcollateralization tests. The transaction is under-collateralized in excess of $250 million. Classes D and below are not receiving any interest payments. Interest is being capitalized on these classes. Class C and below have negative credit enhancement (CE). A deterministic analysis was performed due to the pool concentration; a 100% probability of default was assumed and a look-through analysis was performed on the remaining assets with respect to principal coverage and interest coverage. This transaction was analyzed according to the 'Surveillance Criteria for U.S. CREL CDOs'. Cash flow modeling was not performed, as it would not provide analytical value given that the remaining assets were modeled at 100% default probability in all stresses. RATING SENSITIVITIES Upgrades to class B are unlikely due to the asset quality of the remaining collateral. Proceeds from non-defaulted assets total $33.5 million, which is less than class B's current balance of $37.6 million and approximately 41% of interest proceeds are generated from defaulted assets. Class C and below have negative CE and are subject to further downgrade to 'Dsf' should the classes default at legal maturity or earlier. 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: -- $37.6 million class B affirm at 'CCCsf'; RE 70%; -- $26.6 million class C affirm at 'Csf'; RE 0%; -- $28.9 million class D affirm at 'Csf'; RE 0%; -- $21.9 million class E affirm at 'Csf'; RE 0%; -- $23.4 million class F affirm at 'Csf'; RE 0%; -- $27.4 million class G affirm at 'Csf'; RE 0%; -- $22.5 million class H affirm at 'Csf'; RE 0%; -- $28.5 million class J affirm at 'Csf'; RE 0%; -- $29.8 million class K affirm at 'Csf'; RE 0%; -- $11.9 million Class L affirm at 'Csf'; RE 0%; -- $8.0 million Class M affirm at 'Csf'; RE 0%; -- $12.3 million Class N affirm at 'Csf'; RE 0%; -- $21.7 million Class O affirm at 'Csf'; RE 0%. Fitch does not rate the $48.5 million preferred shares. Classes A-1, AR and A-2 were paid in full. OCP CLO 2016-11: S&P Assigns BB-(sf) Rating on Class D-R Notes -------------------------------------------------------------- S&P Global Ratings assigned its 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. S&P said, "We withdrew our ratings on the original class A-1L, A-1a, A-1b, A-2a, A-2b, B, C, D-1, and D-2 notes following payment in full on the Aug. 10, 2017, refinancing date." On the Aug. 10, 2017, refinancing date, the proceeds from the class A-1L-R, A-1a-R, A-1b-R, A-2-R, B-R, C-R, and D-R replacement note issuances were used to redeem the original class A-1L, A-1a, A-1b, A-2a, A-2b, B, C, D-1, and D-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 classes." 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, non-call period, and final maturity date. 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 OCP CLO 2016-11 Ltd. 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 the $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. RATINGS WITHDRAWN OCP CLO 2016-11 Ltd. Rating Class To From A-1L NR AAA (sf) A-1a NR AAA (sf) A-1b NR AAA (sf) A-2a NR AA (sf) A-2b NR AA (sf) B NR A (sf) C NR BBB (sf) D-1 NR BB- (sf) D-2 NR BB- (sf) NR--Not rated. OFSI BSL VIII: S&P Assigns BB(sf) Rating on Class E Notes --------------------------------------------------------- S&P Global Ratings assigned its 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 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 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. PRESTIGE AUTO 2017-1: S&P Gives Prelim BB Rating on Class E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Prestige Auto Receivables Trust 2017-1's $335.2 million automobile receivables-backed notes series 2017-1. The note issuance is an asset-backed securities transaction backed by subprime auto loan receivables. The preliminary ratings are based on information as of Aug. 10, 2017. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The availability of approximately 47.8%, 41.3%, 32.1%, 25.5%, and 21.8% of credit support for the class A, B, C, D, and E notes, respectively (based on stressed cash flow scenarios, including excess spread), which provides coverage of more than 3.50x, 3.00x, 2.30x, 1.75x, and 1.50x our 13.00%-13.75% expected cumulative net loss range for the class A, B, C, D, and E notes, respectively. These credit support levels are commensurate with the assigned preliminary 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB (sf)' ratings on the class A, B, C, D, and E notes. -- S&P's expectation that under a moderate, or 'BBB', loss scenario, all else equal, its preliminary ratings on the class A, B, and C notes would not decline by more than one rating category, and its preliminary ratings on the class D and E notes would not decline by more than two rating categories (all else being equal). These potential rating movements are consistent with S&P's credit stability criteria, which outline the outer bound of credit deterioration equal to a one-category downgrade within the first year for 'AAA' and 'AA' rated securities, a two-category downgrade within the first year for 'A' through 'BB' rated securities, and within three rating categories in a three-year horizon for 'AAA' through 'BBB' rated securities under moderate stress conditions (see "Methodology: Credit Stability Criteria," published May 3, 2010). -- The credit enhancement in the form of subordination, overcollateralization, a reserve account, and excess spread. -- The timely interest and ultimate principal payments made under the stressed cash flow modeling scenarios, which are consistent with the assigned preliminary ratings. -- The collateral characteristics of the securitized pool of subprime auto loans. -- Prestige Financial Services Inc.'s securitization performance history since 2001. -- The transaction's payment and legal structures. PRELIMINARY RATINGS ASSIGNED Prestige Auto Receivables Trust 2017-1 Class Rating Type Interest Amount rate (mil. $)(i) A-1 A-1+ (sf) Senior Fixed 45.700 A-2 AAA (sf) Senior Fixed 117.000 A-3 AAA (sf) Senior Fixed 50.260 B AA (sf) Subordinate Fixed 35.850 C A (sf) Subordinate Fixed 44.100 D BBB (sf) Subordinate Fixed 31.020 E BB (sf) Subordinate Fixed 11.293 (i)The actual size of these tranches will be determined on the pricing date. PROTECTIVE FINANCE 2007-PL: Moody's Affirms B2 Rating on 2 Ratings ------------------------------------------------------------------ Moody's Investors Service has affirmed the ratings on eighteen classes in Protective Finance Corporation REMIC, Commercial Mortgage Pass-Through Certificates, Series 2007-PL: Cl. A-M, Affirmed Aaa (sf); previously on Aug 17, 2016 Affirmed Aaa (sf) Cl. A-J, Affirmed Aaa (sf); previously on Aug 17, 2016 Affirmed Aaa (sf) Cl. B, Affirmed Aaa (sf); previously on Aug 17, 2016 Affirmed Aaa (sf) Cl. C, Affirmed Aaa (sf); previously on Aug 17, 2016 Affirmed Aaa (sf) Cl. D, Affirmed Aaa (sf); previously on Aug 17, 2016 Upgraded to Aaa (sf) Cl. E, Affirmed Aa1 (sf); previously on Aug 17, 2016 Upgraded to Aa1 (sf) Cl. F, Affirmed Aa2 (sf); previously on Aug 17, 2016 Upgraded to Aa2 (sf) Cl. G, Affirmed Aa3 (sf); previously on Aug 17, 2016 Upgraded to Aa3 (sf) Cl. H, Affirmed A3 (sf); previously on Aug 17, 2016 Upgraded to A3 (sf) Cl. J, Affirmed Baa2 (sf); previously on Aug 17, 2016 Upgraded to Baa2 (sf) Cl. K, Affirmed Ba1 (sf); previously on Aug 17, 2016 Upgraded to Ba1 (sf) Cl. L, Affirmed Ba2 (sf); previously on Aug 17, 2016 Upgraded to Ba2 (sf) Cl. M, Affirmed B1 (sf); previously on Aug 17, 2016 Affirmed B1 (sf) Cl. N, Affirmed B2 (sf); previously on Aug 17, 2016 Affirmed B2 (sf) Cl. O, Affirmed B3 (sf); previously on Aug 17, 2016 Affirmed B3 (sf) Cl. P, Affirmed Caa1 (sf); previously on Aug 17, 2016 Affirmed Caa1 (sf) Cl. Q, Affirmed Caa3 (sf); previously on Aug 17, 2016 Affirmed Caa3 (sf) Cl. IO, Affirmed B2 (sf); previously on Jun 9, 2017 Downgraded to B2 (sf) RATINGS RATIONALE The ratings on seventeen 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 its referenced classes. Moody's rating action reflects a base expected loss of 2.0% of the current balance compared to 2.3% at last review. The combined base plus realized loss now totals 1.0% compared to 1.2% at 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 July 2017. Additionally, the methodology used in rating Cl. IO was "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. DEAL PERFORMANCE As of the July 14, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 76% to $248.9 million from $1.02 billion at securitization. The certificates are collateralized by 87 mortgage loans ranging in size from less than 1% to 8% of the pool, with the top ten loans constituting 43% of the pool. Of the remaining loans, 97% fully amortize throughout their loan term. The pool does not contain any defeased loans or loans with a 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 35 compared to 41 at last review. There is one loan on the master servicer's watchlist constituting 0.3% of the pool. There are no loans in special servicing. Two loans have been liquidated from the pool, resulting in an aggregate realized loss of $5.3 million (for an average loss severity of 67%). Moody's has assumed a high default probability for two poorly performing loans, constituting 0.9% of the pool, and has estimated an aggregate loss of $318,464 (a 15% expected loss based on a 50% probability default) from these troubled loans. Moody's received full year 2015 and 2016 operating results for 91% of the pool. Moody's weighted average conduit LTV is 52%, compared to 56% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 12% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.5%. Moody's actual and stressed conduit DSCRs are 1.41X and 2.53X, respectively, compared to 1.38X and 2.30X 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 20% of the pool balance. The largest loan is the Beckley Portfolio Loan ($19.3 million -- 7.7% of the pool), which are secured by two cross-collateralized shopping centers located adjacent from one another in Beckley, West Virginia. The shopping centers are anchored by Lowe's and Kohl's. The fully-amortizing loans have amortized over 41% since securitization. Moody's LTV and stressed DSCR are 42% and 2.46X, respectively. The second largest conduit loan is the Conway Commons Loan ($16.7 million -- 6.7% of the pool), which is secured by an anchored retail center located in Conway, Arkansas. Overall property performance has been stable for the past three years. The three largest tenants total 46% of the NRA and are leased to Kohl's, Belk, and TJ Maxx. The fully-amortizing loan has amortized over 25% since securitization. Moody's LTV and stressed DSCR are 35% and 2.68X, respectively. The third largest conduit loan is the Belle Isle Apartments Loan ($14.4 million -- 5.0% of the pool), which is secured by a 336-unit multifamily located in Orlando, Florida, eight miles southeast of the Orlando CBD and nine miles northwest of the Orlando International Airport. The property was 100% leased as of year-end 2016, compared to 98% in July 2015. The loan has amortized 19% since securitization. Moody's LTV and stressed DSCR are 73% and 1.30X, respectively. RAIT PREFERRED II: Moody's Hikes Rating on 2 Tranches to B3 ----------------------------------------------------------- Moody's Investors Service has upgraded and affirmed the ratings on the following notes issued by RAIT Preferred Funding II, Ltd. Moody's rating action is: Cl. B, Upgraded to Baa3 (sf); previously on Sep 7, 2016 Upgraded to Ba2 (sf) Cl. C, Upgraded to B2 (sf); previously on Sep 7, 2016 Affirmed Caa1 (sf) Cl. D, Upgraded to B3 (sf); previously on Sep 7, 2016 Affirmed Caa2 (sf) Cl. E, Upgraded to B3 (sf); previously on Sep 7, 2016 Affirmed Caa2 (sf) Cl. F, Affirmed Caa3 (sf); previously on Sep 7, 2016 Affirmed Caa3 (sf) Cl. G, Affirmed Caa3 (sf); previously on Sep 7, 2016 Affirmed Caa3 (sf) Cl. H, Affirmed Caa3 (sf); previously on Sep 7, 2016 Affirmed Caa3 (sf) Cl. J, Affirmed Caa3 (sf); previously on Sep 7, 2016 Affirmed Caa3 (sf) The Class B Notes, Class C Notes, Class D Notes, Class E Notes, Class F Notes, Class G Notes, Class H Notes, and Class J Notes, are referred to herein as the "Rated Notes." RATINGS RATIONALE Moody's has upgraded ratings on four classes of notes because of higher than anticipated recoveries on high credit risk collateral resulting in higher subordination levels, combined with improved credit quality of the remaining pool as evidenced by WARF and WARR. Moody's has affirmed the ratings on four classes of notes because the key transaction metrics are commensurate with the existing ratings. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO CLO) transactions. RAIT Preferred Funding II. Ltd. is a static cash transaction wholly backed by a portfolio of i) whole loans (90.6% of the deal balance), ii) mezzanine interests and preferred equity participations (2.4%), and iii) B-notes (7.0%). As of the July 10, 2017 trustee report, the aggregate note balance of the transaction, including preferred shares, has decreased to $297.9 million from $833 million at issuance, with the pay-down directed to the senior most outstanding class of notes. Previously, there were partial cancellations to the Class D, E, F and G notes. In general, holding all key parameters static, the junior note cancellations results in slightly higher expected losses and longer weighted average lives on the senior notes, while producing slightly lower expected losses on the mezzanine and junior notes. However, this does not cause, in and of itself, a downgrade or upgrade of any outstanding classes of notes. The pool contains one asset totaling $18.5 million (7.0% of the collateral pool balance) that is listed as defaulted as of the trustee's July 10, 2017 report. This asset (100.0% of the defaulted balance) is a B-note. While there have been limited realized losses on the underlying collateral to date, Moody's does expect moderate/high losses to occur on the defaulted asset. Moody's has identified the following as key indicators of the expected loss in CRE CLO transactions: the weighted average rating factor (WARF), the weighted average life (WAL), the weighted average recovery rate (WARR), and Moody's asset correlation (MAC). Moody's typically models these as actual parameters for static deals and as covenants for managed deals. WARF is a primary measure of the credit quality of a CRE CLO pool. Moody's has updated its assessments for the collateral it does not rate. The rating agency modeled a bottom-dollar WARF (excluding defaulted assets) of 8461, compared to 8814 at last review. The current distribution of Moody's rated collateral and assessments for non-Moody's rated collateral is: B1-B3 and 0.0% compared to 1.2% at last review, Caa1-Ca/C and 100.0% compared to 98.8% at last review. Moody's modeled a WAL of 2.7 years, compared to 2.4 years at last review. The WAL is based on assumptions about extensions on the underlying loan collateral. Moody's modeled a fixed WARR of 51.8%, compared to 50.2% at last review. Moody's modeled a MAC of 100%, the same as at last review. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Approach to Rating SF CDOs" published in June 2017. Factors That Would Lead to Upgrade or Downgrade of the Ratings: The performance of the notes is subject to uncertainty, because it is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that are subject to change. The servicing decisions of the master and special servicer and surveillance by the operating advisor with respect to the collateral interests and oversight of the transaction will also affect the performance of the Rated Notes. Moody's Parameter Sensitivities: Changes to any one or more of the key parameters could have rating implications for some of the Rated Notes, although a change in one key parameter assumption could be offset by a change in one or more of the other key parameter assumptions. The Rated Notes are particularly sensitive to changes in the ratings of the underlying collateral and assessments. Holding all other parameters constant, increasing the recovery rate of 100% of the collateral pool by 10% would result in an average modeled rating movement on the Rated Notes of zero to thirteen notches upward (e.g., one notch up implies a ratings movement of Baa3 to Baa2). Reducing the recovery rate of 100% of the collateral pool by 10% would result in an average modeled rating movement on the Rated Notes of zero to thirteen notches downward (e.g., one notch down implies a ratings movement of Baa3 to Ba1). The primary sources of uncertainty in Moody's assumptions are the extent of growth in the current macroeconomic environment. Commercial real estate property values continue to improve modestly, along with a rise in investment activity and stabilization in core property type performance. Limited new construction and moderate job growth have aided this improvement. REALT 2007-2: S&P Affirms B+(sf) Rating on 2 Tranches ----------------------------------------------------- S&P Global Ratings raised its ratings on the class D-1 and D-2 commercial mortgage pass-through certificates from Real Estate Asset Liquidity Trust's (REALT)series 2007-2, a Canadian commercial mortgage-backed securities (CMBS) transaction. In addition, S&P affirmed its ratings on 10 other classes and discontinued our ratings on three other classes from the same transaction. S&P said, "Our rating actions on the principal- and interest-paying 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 loans in the pool, the transaction's structure, and the liquidity available to the trust. "We raised our ratings on classes D-1 and D-2 to reflect our expectation of the available credit enhancement for these classes, which we believe is greater than our most recent estimate of necessary credit enhancement for the respective rating levels. The upgrades also follow our views regarding the collateral's current and future performance and significantly lower trust balance. "We affirmed our ratings on classes E-1, E-2, F, G, H, J, K, and L to reflect our expectation that the available credit enhancement for the class will be within our estimate of the necessary credit enhancement required for the current ratings and our views regarding the collateral's current and future performance. In addition, our analysis also considered that these classes experienced interest shortfalls as depicted in the July 2017 trustee remittance report due to a one-time expense related to a liquidated specially serviced loan. Based on our analysis, we expect the accumulated interest shortfalls on these classes to be repaid in full in the next few months. "We affirmed our 'AAA (sf)' ratings on the class XC-1 and XC-2 interest-only (IO) certificates based on our criteria for rating IO securities. "Lastly, we discontinued our ratings on classes A-J, B, and C following their full repayment as noted in the July 12, 2017, trustee remittance report." TRANSACTION SUMMARY As of the July 12, 2017, trustee remittance report, the collateral pool balance was C$17.2 million, which is 4.6% of the pool balance at issuance. The pool currently includes five loans. There are no defeased or specially serviced loans reported currently in the deal, but four loans (C$7.2 million, 42.2%) are on the master servicer's watchlist due their maturities. The four loans matured in May or June 2017 and it is S&P's understanding from the master servicer that the borrowers for these loans obtained or are in the process of obtaining refinancing proceeds. The master servicer, First National Financial L.P., reported financial information for 100.0% of the remaining loans in the pool, of which 78.2% was partial-year or year-end 2016 data, and the remainder was year-end 2015 data. S&P calculated a 1.27x S&P Global Ratings weighted average debt service coverage and 64.4% S&P Global Ratings weighted average loan-to-value ratio using an 8.12% S&P Global Ratings weighted average capitalization rate. To date, the transaction has experienced C$918,703 in principal losses, or 0.2% of the original pool trust balance. RATINGS LIST Real Estate Asset Liquidity Trust Commercial mortgage pass-through certificates series 2007-2 Rating Rating Class Identifier To From A-J 75585RJS5 NR AA (sf) XC-1 75585RJU0 AAA (sf) AAA (sf) B 75585RJV8 NR A+ (sf) C 75585RJW6 NR BBB+ (sf) D-1 75585RJX4 AAA (sf) BB+ (sf) E-1 75585RJY2 BB (sf) BB (sf) D-2 75585RKM6 AAA (sf) BB+ (sf) E-2 75585RKN4 BB (sf) BB (sf) F 75585RKP9 BB- (sf) BB- (sf) G 75585RKQ7 B+ (sf) B+ (sf) H 75585RKR5 B+ (sf) B+ (sf) J 75585RKS3 B (sf) B (sf) K 75585RKT1 B (sf) B (sf) L 75585RKU8 B- (sf) B- (sf) XC-2 75585RKX2 AAA (sf) AAA (sf) NR--Not rated. ROCKWALL CDO II: S&P Raises Class B-2L Notes Rating to BB+ (sf) --------------------------------------------------------------- S&P Global Ratings raised its ratings on the class A-1Lb, A-2L, A-3L, B-1L, and B-2L notes from Rockwall CDO II Ltd., a U.S. hybrid collateralized loan obligation (CLO) managed by Highland Capital Management L.P. At the same time, S&P removed these ratings from CreditWatch, where it placed them with positive implications on May 22, 2017. The rating actions follow S&P's review of the transaction's performance using data from the July 21, 2017, trustee report. The upgrades reflect increased credit support following the transaction's $441.91 million in collective paydowns since S&P's August 2015 rating actions. These paydowns resulted in improved reported overcollateralization (O/C) ratios since the July 2015 trustee report, which S&P used for its previous rating actions: -- The class A O/C ratio improved to 135.03% from 113.08%. -- The class B-1L O/C ratio improved to 120.58% from 108.83%. -- The class B-2L retention O/C ratio improved to 112.96% from 106.47%. S&P said, "The collateral portfolio's credit quality has deteriorated slightly since our last rating actions. The concentration of trustee-reported 'CCC' obligations as a percentage of the aggregate par amount has increased, with 6.09% reported as of the July 21, 2017, trustee report, compared with 2.74% reported as of the July 23, 2015, trustee report. Over the same period, nonperforming obligations as a percentage of the aggregate par amount have increased to 11.35% from 4.97%. Despite the increase in 'CCC' rated and defaulted collateral, the transaction has benefited significantly from the paydowns and drop in the weighted average life due to the underlying collateral's seasoning. "On a stand-alone basis, the results of the cash flow analysis indicated a higher rating on the class B-1L and B-2L notes. However, because of the reduction in the portfolio's weighted average rating, high exposure to 'CCC' and 'D' rated collateral obligations, and increasing concentration risk, our rating actions consider additional sensitivity runs, and we limited the upgrade on these classes to offset future potential credit migration in the underlying collateral. "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 further rating actions as we deem necessary." RATINGS RAISED Rockwall CDO II Ltd. Class Rating To From A-1Lb AAA (sf) AA (sf)/Watch Pos A-2L AAA (sf) A+ (sf)/Watch Pos A-3L AA+ (sf) BBB+ (sf)/Watch Pos B-1L BBB+ (sf) BB+ (sf)/Watch Pos B-2L BB+ (sf) BB- (sf)/Watch Pos SCHOONER TRUST 2007-8: Moody's Lowers Class XC Certs Rating to C ---------------------------------------------------------------- Moody's Investors Service has downgraded the ratings on two classes in Schooner Trust Commercial Mortgage Pass-Through Certificates, Series 2007-8: Cl. L, Downgraded to Caa3 (sf); previously on Nov 11, 2016 Downgraded to Caa2 (sf) Cl. XC, Downgraded to C (sf); previously on Jun 9, 2017 Downgraded to B3 (sf) RATINGS RATIONALE The ratings on the Class L was downgraded due to higher realized losses. Class L has experienced a 28% realized loss due to previously liquidated loans. The rating on the IO Class (Class XC) was downgraded due to a decline in the credit quality of its reference classes resulting from principal paydowns of higher quality referenced classes. Moody's does not anticipate losses from the remaining collateral in the current environment. However, over the remaining life of the transaction, losses may emerge from macro stresses to the environment and changes in collateral performance. Moody's ratings reflect the potential for future losses under varying levels of stress. Moody's base expected loss plus realized losses is now 1.6% of the original pooled balance, compared to 2.5% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://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 principal methodology used in these ratings was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. 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 99.7% to $1.7 million from $518.1 million at securitization. The certificates are collateralized by one mortgage loans representing 100% of the pool. Two loans have been liquidated from the pool, contributing to an aggregate realized loss of $8.3 million (for an average loss severity of 66%). The remaining loan in the pool is the 35 and 37 West Columbia Street West Loan ($1.7 million).The loan is secured by a 60 unit student housing complex located in Waterloo, Ontario (approximately 70 miles southwest of Toronto). As of August 2016, the property was 93% leased. The loan maturity date has been extended to October 1, 2017. Moody's LTV and stressed DSCR are 80% and 1.21X, respectively. SCRT 2017-2: Moody's Assigns B1(sf) Rating to Class M-1 Debt ------------------------------------------------------------ Moody's Investors Service has assigned definitive rating to Class M-1 issued by Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-2 (SCRT 2017-2). SCRT 2017-2 is a securitization of 9,939 fixed and step-rate modified seasoned loans secured by residential properties with an aggregate outstanding trust balance of $ 2,474,629,247. This is the second Re-Performing Loan (RPL) credit risk transfer deal in 2017 sponsored by Freddie Mac. All the mortgage loans underlying the pool were previously modified and the majority (86%) of which have been current for at least the prior 24 months. The loans are divided into two groups: Group H and Group M. Group H is comprised of 5,779 first lien mortgage loans that were subject to step rate modifications and Group M is comprised of 4,160 first lien mortgage loans that were subject to fixed rate and step-rate modifications. The complete rating actions are: Issuer: Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-2 Cl. M-1, Definitive Rating Assigned B1 (sf) RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Moody's expected losses on the mortgage loans is 11% in Moody's base case scenario. 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 estimate losses on the pool by applying Moody's assumptions on expected future delinquencies, default rates, loss severities and prepayments as observed from Moody's surveillance of similar collateral as well as from the Freddie Mac Single Family Loan-Level dataset. In applying Moody's loss severity assumptions, Moody's accounted for the lack of principal and interest advancing in this transaction. In the loan level analysis, Moody's applied loan-level baseline lifetime propensity to default assumptions, and considered the historical performance of seasoned modified loans with similar collateral characteristics and payment histories. Moody's then adjusted this base default propensity up for (1) loans that have the risk of coupon step-ups and (2) loans with high updated loan to value ratios (LTVs). 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. Our final loss estimates also incorporates adjustments for the strength of the third party due diligence, the servicing framework and the representations and warranties (R&W) framework of the transaction. The methodologies used in this rating 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 SCRT 2017-2 is a securitization of 9,939 fixed-rate and step-rate modified seasoned loans which are divided into two groups: Group H and Group M. Group H is comprised of 5,779 first lien mortgage loans that were subject to step-rate modifications, and have a weighted average updated FICO score of 687 and a weighted average (WA) current Loan-To-Value Ratio (LTV) of 87.3%. The total unpaid principal balance of Group H mortgage loans is $1,519,856,308 which includes $278,288,853 of non-interest bearing deferred principal balance. Group M is comprised of 4,160 first lien mortgage loans that were subject to fixed-rate and step-rate modifications, and have a weighted average (WA) updated FICO score of 672 and a WA current Loan-To-Value Ratio (LTV) of 99.7%. The total unpaid principal balance of Group M mortgage loans is $954,772,939 which includes $209,769,174 of non-interest bearing deferred principal balance. Our loss analysis considered the number of step-ups that the borrowers have experienced, as well as the potential payment shock from the remaining step-ups. Valuations of the related mortgaged properties were obtained through Freddie Mac's automated valuation model, Home Value Explorer (HVE), where available. When a HVE value was not available, a Freddie Mac MSA, state or national (in order of availability) home price index was used to estimate the property value. As part of the due diligence process, Freddie Mac also obtained updated BPO for 2,421 properties and Comparative Market Analysis ("CMA") for 66 properties. Updated property values obtained through an AVM may not reflect accurate values of the properties. In assessing the updated property values, Moody's assessed the strength of the AVMs and performed additional validation on the values using home price index projections from Moody's Analytics. This transaction has a high percentage of deferred balances, which are the full obligation of the borrowers, and must be paid in full at the earliest of (i) the sale of properties (ii) voluntary payoff or (iii) final scheduled payment date of the loans. For loans that default in the future or get modified after the closing date, the servicer may opt for partial principal forgiveness to the extent permitted under the pooling and servicing agreement. Given that none of the deferred balances are a result of HAMP principal reduction amount (PRA) where the deferred amounts could be forgiven over a period of time, Moody's expects a large percentage of the amounts to be recovered. However, based on performance data and information from servicers, Moody's applied a default rate slightly higher than what Moody's assumed for the overall pool given that these borrowers have experienced past credit events that required loan modification. Moody's also assumed a severity of approximately 95% on the deferred amounts as servicers can recover a portion of the deferred balance. Third Party Review (TPR) Third party due diligence review was performed on 100% of the loans for data integrity and title review. However, compliance and pay history review was performed on sample of 1,291 loans. The review procedures were intended to discover certain material discrepancies and possible material defects in the due diligence sample. The initial custodial receipt indicates that a portion of the underlying loans have document exceptions. Freddie Mac will indemnify the trust for any losses due to collateral deficiencies for a period of 36 months. Representation and Warranties (R&W) Freddie Mac is providing a discrete set of R&W with respect to the mortgage loans to the trust and is the only party from which the trust may seek repurchase of a mortgage loan or an indemnity for a loss as a result of any material breach that provides for repurchase or indemnity as a remedy. R&Ws contain knowledge qualifiers but there is a clawback that neutralizes them. The R&Ws sunset after 36 months (except for a REMIC R&W which will not expire). Moody's considers the sunset provision as a weakness in the R&Ws framework. In addition, certain mortgage loans, as of the closing date, have existing HOA, tax and municipal liens. To the extent that any such mortgage loan experiences a loss attributable to such lien within the first 36 months following the closing date, Freddie Mac will indemnify the trust in the amount of the applicable existing lien. The enforcement mechanism in this transaction is weak because of the absence of a pre-designated independent third party breach reviewer. However, it is mitigated by the strength of the R&W provider (Freddie Mac) as well as the review mechanism of the R&Ws. Overall, Moody's has not made any additional adjustment to Moody's expected loss for the R&W framework. Transaction Parties Nationstar Mortgage LLC will act as the primary servicer for the transaction. Moody's assess the overall servicing arrangement for this transaction as adequate. Based on an operational review, Moody's found the company to be an average servicer with the infrastructure, including staff, technology, processes, and oversight, to effectively service the transaction. Nationstar Mortgage is an indirectly held, wholly owned subsidiary of Nationstar Mortgage Holdings Inc. Moody's rate Nationstar Mortgage at B2 stable. Freddie Mac will serve as the Sponsor and Trustee of the Trust. Wilmington Trust, National Association will function as Trust Agent. Bank of New York Mellon Trust Company, N.A. is the Custodian for the Trust and U.S. Bank National Association will serve as the Securities Administrator for the Trust. Alignment of Interest Unlike Freddie Mac's Structured Agency Credit Risk (STACR) and Freddie Mac Whole Loan Securities (FWLS) transactions where Freddie Mac generally retains a portion of the subordinate tranches, in this transaction, Freddie will not retain any portion of the subordinate tranches. However, as the guarantor of the senior certificates, Freddie Mac may be exposed to losses in a severe stress scenario. This represents a weak alignment of interest compared to transactions where issuers retain a portion of the offered certificates and Moody's considered this risk in Moody's analysis. Transaction Structure SCRT 2017-2 has a two-pool 'Y' structure. This structure has two pools of collateral, two groups of senior certificates and one shared group of subordinated certificates. The transaction allocates scheduled and unscheduled principal pro rata between senior certificates and subordinate certificates unless step-down tests are satisfied. There are four performance triggers (step-down test) in the transaction (i) the minimum credit enhancement test, (ii) the aged securitization test, (iii) the cumulative loss test and (iv) the delinquency test. If any one of the step-down performance test is breached, the senior principal distribution amount will include all principal payment allocated to the subordinate certificates. This will delay the paydown and increase the weighted average life (WAL) of the rated subordinate certificate. Moody's ran 96 different loss and prepayment scenarios through Moody's cash flow model to assess the rating implications of Moody's projected loss levels. The assigned rating on the Class M-1 reflects the expected loss on the bond under the various scenarios. We believe there is a very low likelihood that the rated certificates in Freddie Mac SCRT 2017-2 will incur any losses from extraordinary expenses or indemnification payments owing to potential future lawsuits against key deal parties. First, the loans have significant performance history. Nearly all (97.5%) of the loans in this pool were originated in 2005 or earlier and, although some loans were previously delinquent and modified, they have a substantial history of payment performance. Second, Freddie Mac, who guarantees the senior classes is incentivized to actively manage the pool to optimize performance. Freddie Mac has strong oversight over the originators and servicers in the transaction. 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 180 days delinquent, which reduces the likelihood that parties will be sued for inaction. Factors that would lead to an upgrade or downgrade of the rating: 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. SEQUOIA MORTGAGE 2017-6: Moody's Gives (P)Ba3 Rating to B-4 Certs ----------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to the classes of residential mortgage-backed securities (RMBS) issued by Sequoia Mortgage Trust (SEMT) 2017-6. The certificates are backed by one pool of prime quality, first-lien mortgage loans, including 25 large-balance conforming mortgage loans. The assets of the trust consist of 478 fully amortizing, fixed rate mortgage loans, substantially all of which have an original term to maturity of 30 years. The borrowers in the pool have high FICO scores, significant equity in their properties and liquid cash reserves. The complete rating actions are: Issuer: Sequoia Mortgage Trust 2017-6 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aaa (sf) Cl. A-14, Assigned (P)Aaa (sf) Cl. A-15, Assigned (P)Aaa (sf) Cl. A-16, Assigned (P)Aaa (sf) Cl. A-17, Assigned (P)Aaa (sf) Cl. A-18, Assigned (P)Aaa (sf) Cl. A-19, Assigned (P)Aa1 (sf) Cl. A-20, Assigned (P)Aa1 (sf) Cl. A-21, Assigned (P)Aa1 (sf) Cl. A-22, Assigned (P)Aaa (sf) Cl. A-23, Assigned (P)Aaa (sf) Cl. A-24, Assigned (P)Aaa (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A2 (sf) Cl. B-3, Assigned (P)Baa3 (sf) Cl. B-4, Assigned (P)Ba3 (sf) RATINGS RATIONALE Summary Credit Analysis Moody's expected cumulative net loss on the aggregate pool is 0.30% in a base scenario and reaches 3.40% at a stress level consistent with the Aaa ratings. Moody's loss estimates are based on a loan-by-loan assessment of the securitized collateral pool using Moody's Individual Loan Level Analysis (MILAN) model. Loan-level adjustments to the model included: adjustments to borrower probability of default for higher and lower borrower DTIs, borrowers with multiple mortgaged properties, self-employed borrowers, origination channels and at a pool level, for the default risk of HOA properties in super lien states. The adjustment to Moody's Aaa stress loss above the model output also includes adjustments related to aggregator and originators assessments. The model combines loan-level characteristics with economic drivers to determine the probability of default for each loan, and hence for the portfolio as a whole. Severity is also calculated on a loan-level basis. The pool loss level is then adjusted for borrower, zip code, and MSA level concentrations. Collateral Description The SEMT 2017-6 transaction is a securitization of 478 first lien residential mortgage loans, with an aggregate unpaid principal balance of $355,413,851. There are 125 originators in this pool, including First Republic Bank (18.41%). None of the originators other than First Republic Bank contributed 10% or more of the principal balance of the loans in the pool. The loan-level third party due diligence review (TPR) encompassed credit underwriting, property value and regulatory compliance. In addition, Redwood has agreed to backstop the rep and warranty repurchase obligation of all originators other than First Republic Bank. The loans were all aggregated by Redwood Residential Acquisition Corporation (Redwood), which Moody's has assessed as an Above Average aggregator of prime jumbo residential mortgages. As of the July 2017 remittance report, there have been no losses on Redwood-aggregated transactions that Moody's has rated to date, and delinquencies to date have also been very low. Structural considerations Similar to recent rated Sequoia transactions, in this transaction, Redwood is adding a feature prohibiting the servicer, or securities administrator, from advancing principal and interest to loans that are 120 days or more delinquent. These loans on which principal and interest advances are not made are called the Stop Advance Mortgage Loans ("SAML"). The balance of the SAML will be removed from the principal and interest distribution amounts calculations. Moody's views the SAML concept as something that strengthens the integrity of senior and subordination relationships in the structure. Yet, in certain scenarios the SAML concept, as implemented in this transaction, can lead to a reduction in interest payment to certain tranches even when more subordinated tranches are outstanding. The senior/subordination relationship between tranches is strengthened as the removal of SAML in the calculation of the senior percentage amount, directs more principal to the senior bonds and less to the subordinate bonds. Further, this feature limits the amount of servicer advances that could increase the loss severity on the liquidated loans and preserves the subordination amount for the most senior bonds. On the other hand, this feature can cause a reduction in the interest distribution amount paid to the bonds; and if that were to happen such a reduction in interest payment is unlikely to be recovered. The final ratings on the bonds, which are expected loss ratings, take into consideration Moody's expected losses on the collateral and the potential reduction in interest distributions to the bonds. Furthermore, the likelihood that in particular the subordinate tranches could potentially permanently lose some interest as a result of this feature was considered. Tail Risk & Subordination Floor The transaction cash flows follow a shifting interest structure that allows subordinated bonds to receive principal payments under certain defined scenarios. Because a shifting interest structure allows subordinated bonds to pay down over time as the loan pool shrinks, senior bonds are exposed to increased performance volatility, known as tail risk. The transaction provides for a subordination floor of 1.50% of the closing pool balance, which mitigates tail risk by protecting the senior bonds from eroding credit enhancement over time. Third-party Review and Reps & Warranties One TPR firm conducted a due diligence review of 100% of the mortgage loans in the pool. For 478 loans, the TPR firm conducted a review for credit, property valuation, compliance and data integrity ("full review") and limited review for 63 First Republic loans. For the 63 loans, Redwood Trust elected to conduct a limited review, which did not include a TPR firm check for TRID compliance. For the full review loans, the third party review found that the majority of reviewed loans were compliant with Redwood's underwriting guidelines and had no valuation or regulatory defects. Most of the loans that were not compliant with Redwood's underwriting guidelines had strong compensating factors. Additionally, the third party review didn't identify material compliance-related exceptions relating to the TILA-RESPA Integrated Disclosure (TRID) rule for the full review loans. No TRID compliance reviews were performed by the TPR firm on the limited review loans. Therefore, there is a possibility that some of these loans could have unresolved TRID issues. We, however reviewed the initial compliance findings of loans from the same originator where a full review was conducted and there were no material compliance findings. As a result, Moody's did not increase Moody's Aaa loss for the limited review loans. After a review of the TPR appraisal findings, Moody's found the exceptions to be minor in nature and did not pose a material increase in the risk of loan loss. Moody's note that there are five escrow holdback loans, including two loans where escrow holdbacks amounts are more than 10%. In the event the escrow funds greater than 10% have not been disbursed within six months of the Closing Date, the Seller shall repurchase the affected Escrow Holdback Mortgage Loan, on or before the date that is six months after the Closing Date at the applicable Repurchase Price. Given that the small number of such loans and that the seller has the obligation to repurchase, Moody's did not make an adjustment for these loans. The originators and the seller have provided unambiguous representations and warranties (R&Ws) including an unqualified fraud R&W. There is provision for binding arbitration in the event of dispute between investors and the R&W provider concerning R&W breaches. Trustee & Master Servicer The transaction trustee is Wilmington Trust, National Association. The paying agent and cash management functions will be performed by Citibank, N.A. and the custodian functions will be performed by Wells Fargo Bank, N.A., rather than the trustee. In addition, CitiMortgage Inc., as Master Servicer, is responsible for servicer oversight, and termination of servicers and for the appointment of successor servicers. In addition, CitiMortgage is committed to act as successor if no other successor servicer can be found. 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. SORIN REAL I: Moody's Affirms C(sf) Ratings on 4 Tranches --------------------------------------------------------- Moody's Investors Service has upgraded and affirmed the ratings on the following notes issued by Sorin Real Estate CDO I Ltd. Moody's rating action is: Class A2 Floating Rate Senior Notes, Affirmed Ba1 (sf); previously on Aug 11, 2016 Upgraded to Ba1 (sf) Class B Floating Rate Senior Notes, Upgraded to Ba3 (sf); previously on Aug 11, 2016 Upgraded to B2 (sf) Class C Floating Rate Subordinate Notes, Affirmed C (sf); previously on Aug 11, 2016 Affirmed C (sf) Class D Floating Rate Subordinate Notes, Affirmed C (sf); previously on Aug 11, 2016 Affirmed C (sf) Class E Floating Rate Subordinate Notes, Affirmed C (sf); previously on Aug 11, 2016 Affirmed C (sf) Class F Fixed Rate Subordinate Notes, Affirmed C (sf); previously on Aug 11, 2016 Affirmed C (sf) The Class A2, Class B, Class C, Class D, Class E, and Class F Notes are referred to herein as the "Rated Notes" RATINGS RATIONALE Moody's has upgraded the ratings of one class of notes due to amortization of high credit risk assets in the asset pool. This more than offset the decrease in credit quality of the remaining pool balance as evidenced by WARF and WARR. Five classes of notes were affirmed due to the key transaction metrics performing within levels commensurate with existing ratings. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO and RE-REMIC) transactions. Sorin Real Estate CDO I, Ltd. is a cash transaction whose reinvestment period ended in September 2010. The transaction is collateralized by a portfolio of: i) asset backed securities (ABS), primarily in the form of subprime residential mortgage backed securities (78.1%); ii) collateralized debt obligations (CDO) (21.3%); and iii) commercial mortgage backed securities (CMBS) (0.5% of the pool balance). As of the trustee's June 30, 2017 report, the aggregate note balance of the transaction, including preferred shares, has decreased to $93.4 million from $403.0 million at issuance, with the pay-down directed to the senior most class of notes, as a result of amortization, recoveries from defaulted assets, and interest proceeds diverted to pay principal due to the failure of certain par value tests. Moody's has identified the following as key indicators of the expected loss in CRE CDO transactions: the weighted average rating factor (WARF), the weighted average life (WAL), the weighted average recovery rate (WARR), and Moody's asset correlation (MAC). Moody's typically models these as actual parameters for static deals and as covenants for managed deals. WARF is a primary measure of the credit quality of a CRE CDO pool. Moody's has updated its assessments for the collaterals it does not rate. The rating agency modeled a bottom-dollar WARF of 3937, compared to 2015 at last review. The current ratings on the Moody's-rated collateral and the assessments of the non-Moody's rated collateral follow: Aaa-Aa3 (0.0%, compared to 22.5% at last review); Baa1-Baa3 (0.0%, compared to 32.2% at last review); Ba1-Ba3 (35.1%, compared to 10.8% at last review); B1-B3 (32.0%, compared to 18.8% at last review); Caa1-Ca/C (32.9%, compared to 15.6% at last review). Moody's modeled a WAL of 2.8 years, compared to 2.0 years at last review. The WAL is based on assumptions about extensions on the underlying look-through loan assets. Moody's modeled a fixed WARR of 0.0%, compared to 8.0% at last review. Moody's modeled a MAC of 24.6%, compared to 12.4% at last review. The greater MAC is due to higher credit risk assets concentrated in fewer obligors. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Approach to Rating SF CDOs" published in June 2017. Factors That Would Lead to Upgrade or Downgrade of the Ratings: The performance of the notes is subject to uncertainty, because it is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that are subject to change. The servicing decisions of the master and special servicer and surveillance by the operating advisor with respect to the collateral interests and oversight of the transaction will also affect the performance of the Rated Notes. Moody's Parameter Sensitivities: Changes to any one or more of the key parameters could have rating implications for the Rated Notes, although a change in one key parameter assumption could be offset by a change in one or more of the other key parameter assumptions. The Rated Notes are particularly sensitive to changes in the recovery rate of the underlying collateral and credit assessments. Holding all other key parameters static, increasing the recovery rate of 100% of the collateral by +5% would result modeled rating movement on the Rated Notes of zero to one notch upward (e.g. one notch up implies a rating movement from Baa3 to Baa2). The primary sources of uncertainty in Moody's assumptions are the extent of growth in the current macroeconomic environment. Commercial real estate property values continue to improve modestly, along with a rise in investment activity and stabilization in core property type performance. Limited new construction and moderate job growth have aided this improvement. TELOS CLO 2013-3: Moody's Assigns Ba3(sf) Rating to Cl. E-R Notes ----------------------------------------------------------------- Moody's Investors Service has assigned a rating to six classes of notes issued by Telos CLO 2013-3, Ltd.: US$4,000,000 Class X Amortizing Senior Secured Floating Rate Notes due 2019 (the "Class X Notes"), Assigned Aaa (sf) US$295,900,000 Class A-R Senior Secured Floating Rate Notes due 2026 (the "Class A-R Notes"), Assigned Aaa (sf) US$50,100,000 Class B-R Senior Secured Floating Rate Notes due 2026 (the "Class B-R Notes"), Assigned Aa2 (sf) US$24,100,000 Class C-R Mezzanine Secured Deferrable Floating Rate Notes due 2026 (the "Class C-R Notes"), Assigned A2 (sf) US$30,300,000 Class D-R Mezzanine Secured Deferrable Floating Rate Notes due 2026 (the "Class D-R Notes"), Assigned Baa3 (sf) US$24,100,000 Class E-R Mezzanine Secured Deferrable Floating Rate Notes due 2026 (the "Class E-R Notes"), Assigned Ba3 (sf) The Class X Notes, Class A-R Notes, Class B-R Notes, Class C-R Notes, Class D-R Notes and Class E-R Notes are referenced to herein as the "Refinancing Notes". RATINGS RATIONALE Moody's rating of the Refinancing Notes addresses the expected loss posed to noteholders. The rating reflects the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. The Issuer has issued the Refinancing Notes in connection with the refinancing of all of the secured notes previously issued on 26 February 2013. In addition to changes to the capital structure described above and to the coupons of the notes, key modifications to the CLO that occurred in connection with the refinancing include: extensions of the non-call period, reinvestment period, weighted average life test and stated maturity of the notes, changes to the collateral quality matrix and modifiers, and a variety of other changes to transaction features. Telos CLO 2013-3, LLC is a managed cash flow CLO. The issued notes are collateralized primarily by broadly syndicated first lien senior secured corporate loans. At least 90% of the portfolio must consist of senior secured loans and eligible investments, and up to 10% of the portfolio may consist of second lien loans and unsecured loans. The underlying portfolio is 100% ramped as of the refinancing closing date. Telos Asset Management LLC (the "Manager") manages the CLO. It directs the selection, acquisition, and disposition of collateral on behalf of the Issuer. After the reinvestment period, which ends in July 2019, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk obligations, subject to certain restrictions. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in October 2016. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and 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: $460,308,670 Diversity Score: 55 Weighted Average Rating Factor (WARF): 3098 Weighted Average Spread (WAS): 4.10% (before accounting for LIBOR floors) Weighted Average Recovery Rate (WARR): 47.5% Weighted Average Life (WAL): 6 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in October 2016. Factors That Would Lead to an Upgrade or 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 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 3098 to 3563) Rating Impact in Rating Notches Class X Notes: 0 Class A-R Notes: 0 Class B-R Notes: -1 Class C-R Notes: -2 Class D-R Notes: -1 Class E-R Notes: -1 Percentage Change in WARF -- increase of 30% (from 3098 to 4027) Rating Impact in Rating Notches Class X Notes: 0 Class A-R Notes: -1 Class B-R Notes: -2 Class C-R Notes: -3 Class D-R Notes: -2 Class E-R Notes: -1 UBS COMMERCIAL 2017-C2: S&P Rates Class H-RR Certs 'B+(sf)' ----------------------------------------------------------- S&P Global Ratings assigned its 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 ($804.1 million of offered certificates), secured by the fee and leasehold interests in 204 properties across 28 states. The ratings reflect the credit support provided by the transaction structure, S&P's view of the underlying collateral's economics, the trustee-provided liquidity, the collateral pool's relative diversity, and our overall qualitative assessment of the transaction. RATINGS ASSIGNED UBS Commercial Mortgage Trust 2017-C2 Class Rating(i) Amount ($) 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(ii) X-B A- (sf) 175,332,000(ii) A-S AA+ (sf) 103,348,000 B AA- (sf) 39,317,000 C A- (sf) 32,667,000 D-RR(iii) BBB+ (sf) 14,514,000 E-RR(iii) BBB (sf) 8,987,000 F-RR(iii) NR 16,850,000 G-RR(iii) BB- (sf) 16,850,000 H-RR(iii) B+ (sf) 8,987,000 NR-RR(iii) 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. (iii)Non-offered certificates. NR--Not rated. UBS COMMERCIAL 2017-C3: Fitch to Rates Class G-RR Debt 'B-sf' ------------------------------------------------------------- Fitch Ratings has issued a presale report on UBS Commercial Mortgage Trust 2017-C3 commercial mortgage pass-through certificates. Fitch expects to rate the transaction and assign Rating Outlooks: -- $24,572,000 class A-1 'AAAsf'; Outlook Stable; -- $97,843,000 class A-2 'AAAsf'; Outlook Stable; -- $45,701,000 class A-SB 'AAAsf'; Outlook Stable; -- $146,000,000 class A-3 'AAAsf'; Outlook Stable; -- $181,922,000 class A-4 'AAAsf'; Outlook Stable; -- $496,038,000b class X-A 'AAAsf'; Outlook Stable; -- $135,525,000b class X-B 'A-sf'; Outlook Stable; -- $74,406,000 class A-S 'AAAsf'; Outlook Stable; -- $32,774,000 class B 'AA-sf'; Outlook Stable; -- $28,345,000 class C 'A-sf'; Outlook Stable; -- $17,715,000ac class D-RR 'BBBsf'; Outlook Stable; -- $13,287,000ac class E-RR 'BBB-sf'; Outlook Stable; -- $10,629,000ac class F-RR 'BBsf'; Outlook Stable; -- $10,630,000ac class G-RR 'B-sf'; Outlook Stable. The following class is not expected to be rated: -- $24,802,195ac 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 Aug. 9, 2017. The certificates represent the beneficial ownership interest in the trust, primary assets of which are 42 loans secured by 64 commercial properties having an aggregate principal balance of $708,626,196 as of the cut-off date. The loans were contributed to the trust by UBS AG, Societe Generale, KeyBank National Association, Natixis Real Estate Capital LLC, and Rialto Mortgage Finance, LLC. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 72.8% of the properties by balance, cash flow analysis of 87.9%, and asset summary reviews on 100% of the pool. KEY RATING DRIVERS Lower Fitch Leverage Than Recent Transactions: The pool's leverage is below recent comparable Fitch-rated multiborrower transactions. The pool's Fitch debt service coverage ratio (DSCR) and loan to value (LTV) are 1.30x and 95.7%, respectively, better than the year-to-date (YTD) 2017 averages of 1.25x and 101.7%, respectively. Excluding credit opinion loans, the pool's normalized Fitch DSCR and LTV are 1.31x and 101.0%, compared to the YTD averages of 1.20x and 106.6%, respectively. Above-Average Concentrated Pool: The transaction is slightly more concentrated than other Fitch-rated multiborrower transactions. The top 10 loans comprise 55.6% of the pool, above the YTD 2017 average of 53.4%. The transaction's loan concentration index of 419 is also slightly above the YTD 2017 average of 400. Investment-Grade Credit Opinion Loans: Three loans, representing 16.7% of the pool, have investment-grade credit opinions: Del Amo Fashion Center (7.1% of the pool), 245 Park Avenue (5.4% of the pool) and Park West Village (4.2% of the pool). Combined, the three credit opinion loans have a weighted average (WA) Fitch DSCR and LTV of 1.28x and 69.2%, respectively. RATING SENSITIVITIES For this transaction, Fitch's net cash flow (NCF) was 12.4% 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-C3 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 'BBBsf' could result. VENTURE CLO XIV: Moody's Gives Prov. Ba3 Rating to Class E-R Notes ------------------------------------------------------------------ Moody's Investors Service has assigned the following provisional ratings to the following notes (the "Refinancing Notes") to be issued by Venture XIV CLO, Limited. US$346,000,000 Class A-R Senior Secured Floating Rate Notes due 2029 (the "Class A-R Notes"), Assigned (P)Aaa (sf) US$60,000,000 Class B-R Senior Secured Floating Rate Notes due 2029 (the "Class B-R Notes"), Assigned (P)Aa1 (sf) US$55,500,000 Class C-R Mezzanine Secured Deferrable Floating Rate Notes due 2029 (the "Class C-R Notes"), Assigned (P)A2 (sf) US$34,000,000 Class D-R Mezzanine Secured Deferrable Floating Rate Notes due 2029 (the "Class D-R Notes"), Assigned (P)Baa3 (sf) US$31,750,000 Class E-R Junior Secured Deferrable Floating Rate Notes due 2029 (the "Class E-R Notes"), Assigned (P)Ba3 (sf) Moody's issues provisional ratings in advance of the final sale of financial instruments, but these ratings only represent Moody's preliminary credit opinions. Upon a conclusive review of a transaction and associated documentation, Moody's will endeavor to assign definitive ratings. A definitive rating, if any, may differ from a provisional rating. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of senior secured, broadly syndicated corporate loans. MJX Venture Management LLC (the "Manager"), as successor collateral manager to MJX Asset Management LLC, will manage the CLO. It will direct the selection, acquisition, and disposition of collateral on behalf of the Issuer. RATINGS RATIONALE Moody's provisional ratings on the Refinancing Notes address the expected losses posed to noteholders. The provisional ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. The Issuer is expected to issue the Refinancing Notes on August 28, 2017 (the "Refinancing Date") in connection with the refinancing of all classes of secured notes (the "Refinanced Original Notes") previously issued on August 14, 2013 (the "Original Closing Date"). On the Refinancing Date, the Issuer will use the proceeds from the issuance of the Refinancing Notes to redeem in full the Refinanced Original Notes In addition to the issuance of the Refinancing Notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; changes to the waterfall and coverage tests; assignment of the collateral manager role from MJX Asset Management LLC to MJX Venture Management LLC; changes to the initial asset matrix and possibly recovery rate modifier matrix, 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: $561,568,713 Defaulted par: $9,401,570 Diversity Score: 75 Weighted Average Rating Factor (WARF): 2970 Weighted Average Spread (WAS): 3.90% Weighted Average Recovery Rate (WARR): 48.0% Weighted Average Life (WAL): 8 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in October 2016. Factors That Would Lead to 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% (from 2970 to 3416) Rating Impact in Rating Notches Class A-R Notes: 0 Class B-R Notes: 0 Class C-R Notes: -1 Class D-R Notes: -1 Class E-R Notes: -1 Percentage Change in WARF -- increase of 30% (from 2970 to 3861) Rating Impact in Rating Notches Class A-R Notes: 0 Class B-R Notes: -2 Class C-R Notes: -3 Class D-R Notes: -2 Class E-R Notes: -1 WACHOVIA BANK 2003-C5: Moody's Affirms Ca Rating on Cl. X-C Certs ----------------------------------------------------------------- Moody's Investors Service has affirmed the rating on one interest only (IO) class of Wachovia Bank Commercial Mortgage Trust 2003-C5, Commercial Mortgage Pass-through Certificates, Series 2003-C5: Cl. X-C, Affirmed Ca (sf); previously on Jun 9, 2017 Downgraded to Ca (sf) RATINGS RATIONALE The rating on the IO class X-C was affirmed based on the credit quality of its 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 13.5% of the current balance, compared to 15.0% at Moody's last review. Moody's base expected loss plus realized losses is now 1.0% of the original pooled balance, compared to 0.9% 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 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 methodologies used in this rating were "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017, and "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 $14.4 million from $1.2 billion at securitization. The Certificates are collateralized by nine mortgage loans ranging in size from less than 1% to 20% of the pool. Two loans, representing 12% of the pool have defeased and are secured by US Government securities. One loans, representing 14% of the pool, is 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. Six loans have been liquidated from the pool, resulting in an aggregate realized loss of $9.7 million (43% loss severity on average). One loan, the Randhurst Crossings Shopping Center Loan ($2.9 million -- 20% of the pool), is currently in special servicing. The loan is secured by an approximately 17,000 square foot (SF) retail center located in Mount Prospect, IL. As of June 2017, the property was 65% leased, compared to 85% at the prior review. The loan transferred into special servicing in November 2012 due to a maturity default. Moody's was provided with full year 2016 and full or partial year 2017 operating results for 100% and 53% of the pool, respectively. Moody's weighted average conduit LTV is 43% compared to 47% at Moody's prior review. Moody's conduit component excludes loans with 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 9.1%. Moody's actual and stressed conduit DSCRs are 1.19X and 2.40X, respectively, compared to 1.17X and 2.13X at prior 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% stressed rate applied to the loan balance. The top three conduit loans represent 44% of the pool balance. The largest loan is the Brandon Oaks Loan ($2.3 million -- 16.2% of the pool), which is secured by a 160-unit multifamily property located in Brandon, FL. As of March 2017, the property was 98% leased, compared to 97% at the prior review. Moody's LTV and stressed DSCR are 27% and 3.59X, respectively. The second largest loan is the 1815 East Flamingo Road Loan ($2.0 million -- 14.1% of the pool), which is secured by an approximately 17,000 SF single tenant retail property in Las Vegas, NV. The property is 100% leased to Dollar General through July 2024. Moody's LTV and stressed DSCR are 48% and 1.96X, respectively. The third largest loan is the Forest Hill Centre Loan ($2.0 million -- 13.7% of the pool), which is secured by an approximately 53,000 SF grocery anchored retail center in Lexington, NC. As of March 2017, the property was 80% leased, compared to 82% leased at the prior review. Moody's LTV and stressed DSCR are 57% and 1.75X, respectively. WESTLAKE AUTOMOBILE 2016-1: S&P Affirms BB Rating on Class E Debt ----------------------------------------------------------------- S&P Global Ratings raised its ratings on nine classes and affirmed its ratings on seven classes from Westlake Automobile Receivables Trust 2015-1, 2015-2, 2015-3, and 2016-1. S&P said, "T[he] rating actions reflect collateral performance to date and our expectations regarding future collateral performance, as well as each transaction's structure and credit enhancement. Additionally, we incorporated secondary credit factors, including credit stability, payment priorities under various scenarios, and sector- and issuer-specific analysis. Considering all these factors, we believe the creditworthiness of the notes remains consistent with the raised and affirmed ratings. "We maintained our previously revised loss expectations on the series 2015-1 and 2015-2 transactions. Given that we now have sufficient data to project losses on series 2015-3 and 2016-1, we are revising the loss levels upward to reflect that they are performing in line with series 2015-1 and 2015-2." Table 1 Collateral Performance (%) As of the July 2017 distribution date Pool Current 60+ day Series Mo. factor CNL delinq. 2015-1 28 16.76 11.76 2.13 2015-2 25 27.22 11.18 2.18 2015-3 21 34.15 9.99 1.79 2016-1 18 41.10 9.26 2.06 Mo.--Month. Delinq.—Delinquencies. CNL--cumulative net loss. Table 2 CNL Expectations (%) Original Former Revised lifetime lifetime lifetime Series CNL exp. CNL exp. CNL exp. (As of Sept 2016) (As of July 2017) 2015-1 11.50-12.00 12.25-12.75 12.25-12.75 2015-2 11.50-12.00 13.00-13.50 13.00-13.50 2015-3 11.25-11.75 N/A 13.00-13.50 2016-1 11.50-12.00 N/A 13.00-13.50 CNL exp.--Cumulative net loss expectations. N/A–-Not applicable. Each transaction contains a sequential principal payment structure in which the notes are paid principal by seniority. Each transaction also has credit enhancement in the form of a nonamortizing reserve account, overcollateralization, subordination for the higher-rated tranches, and excess spread. The credit enhancement for each of the transactions is at the specified target, and each class' credit support continues to increase as a percentage of the amortizing collateral balance. In addition, since the transactions closed, the credit support for each series has increased as a percentage of the amortizing pool balance. The raised and affirmed ratings reflect our view that the total credit support as a percentage of the amortizing pool balance, compared with S&P's expected remaining losses, is commensurate with the raised and affirmed ratings. Table 3 Hard Credit Support (%) As of the July 2017 distribution date Total hard Current total hard credit support credit support Series Class at issuance(i) (% of current)(i) 2015-1 C 16.00 70.46 2015-1 D 8.00 17.96 2015-2 B 27.00 99.78 2015-2 C 17.00 61.76 2015-2 D 8.00 29.44 2015-2 E 3.00 11.07 2015-3 A-2-A 35.00 102.93 2015-3 A-2-B 35.00 102.93 2015-3 B 27.00 81.05 2015-3 C 17.00 50.73 2015-3 D 8.00 24.98 2015-3 E 3.00 10.33 2016-1 A-2A 36.00 86.25 2016-1 A-2B 36.00 86.25 2016-1 B 29.00 69.22 2016-1 C 18.00 44.28 2016-1 D 10.00 24.21 2016-1 E 5.00 11.43 (i)Calculated as a percentage of the total gross receivable pool balance, consisting of a reserve account, overcollateralization, and, if applicable, subordination. S&P said, "We incorporated a cash flow analysis to assess the loss coverage level, giving credit to excess spread. Our various cash flow scenarios included forward-looking assumptions on recoveries, timing of losses, and voluntary absolute prepayment speeds that we believe are appropriate given each transaction's performance to date. Aside from our break-even cash flow analysis, we also conducted sensitivity analyses for these series to determine the impact that a moderate ('BBB') stress scenario would have on our ratings if losses began trending higher than our revised base-case loss expectation. "We will continue to monitor the performance of all of the outstanding transactions to ensure that the credit enhancement remains sufficient, in our view, to cover our cumulative net loss expectations under our stress scenarios for each of the rated classes." RATINGS RAISED Westlake Automobile Receivables Trust Rating Series Class To From 2015-1 D AA+ (sf) A- (sf) 2015-2 D AAA (sf) A- (sf) 2015-2 E BBB (sf) BB (sf) 2015-3 B AAA (sf) AA (sf) 2015-3 C AAA (sf) A (sf) 2015-3 D AA- (sf) BBB (sf) 2016-1 B AAA (sf) AA (sf) 2016-1 C AAA (sf) A (sf) 2016-1 D AA- (sf) BBB (sf) RATINGS AFFIRMED Westlake Automobile Receivables Trust Series Class Rating 2015-1 C AAA (sf) 2015-2 B AAA (sf) 2015-2 C AAA (sf) 2015-3 E BB (sf) 2016-1 A-2A AAA (sf) 2016-1 A-2B AAA (sf) 2016-1 E BB (sf) WESTLAKE AUTOMOBILE 2017-2: S&P Rates $800MM Class E Notes 'BB(sf)' ------------------------------------------------------------------- S&P Global Ratings assigned its ratings to Westlake Automobile Receivables Trust 2017-2's $800.00 million automobile receivables-backed notes series 2017-2. The note issuance is an asset-backed securities transaction backed by subprime auto loan receivables. The ratings reflect: -- The availability of approximately 48.37%, 41.92%, 32.69%, 25.50%, and 22.20% credit support for the class A, B, C, D, and E notes, respectively, based on stress cash flow scenarios (including excess spread). These provide approximately 3.50x, 3.00x, 2.30x, 1.75x, and 1.50x, respectively, of our 13.25%-13.75% expected cumulative net loss range. -- The transaction's ability to make timely interest and principal payments under stressed cash flow modeling scenarios appropriate for the assigned ratings. -- S&P's expectation that under a moderate ('BBB') stress scenario, all else being equal, for the transaction's life its ratings on the class A and B notes would not be lowered from the assigned ratings, its rating on the class C notes would remain within one rating category of the assigned rating, and its rating on the class D notes would remain within two rating categories of the assigned rating. S&P's rating on the class E notes would remain within two rating categories of the assigned rating over one year, but would ultimately default at month 61, which is within the bounds of its credit stability criteria (see "Methodology: Credit Stability Criteria," published May 3, 2010). -- The collateral characteristics of the securitized pool of subprime automobile loans. -- The originator/servicer's long history in the subprime/specialty auto finance business. -- S&P's analysis of approximately 10 years (2006-2016) of static pool data on the company's lending programs. -- The transaction's payment, credit enhancement, and legal structures. RATINGS ASSIGNED Westlake Automobile Receivables Trust 2017-2 Class Rating Type Interest Amount rate (mil. $) A-1 A-1+ (sf) Senior Fixed 214.00 A-2-A AAA (sf) Senior Fixed 249.22 A-2-B AAA (sf) Senior Floating(i) 40.00 B AA (sf) Subordinate Fixed 74.84 C A (sf) Subordinate Fixed 98.90 D BBB (sf) Subordinate Fixed 81.72 E BB (sf) Subordinate Fixed 41.32 (i)The class A-2-B coupon is expressed as a spread tied to one-month LIBOR. WFRBS COMMERCIAL 2012-C9: Fitch Affirms Bsf Rating on Class F Certs ------------------------------------------------------------------- Fitch Ratings has upgraded one class and affirmed 10 classes of WFRBS Commercial Mortgage Trust (WFRBS) commercial mortgage pass-through certificates, series 2012-C9. KEY RATING DRIVERS Stable Performance and Increase in Credit Enhancement (CE): The upgrade and affirmations are the result of an increase in CE from loan payoffs, amortization, as well as the defeasance of seven loans (11.1%). The pool's underlying collateral's overall performance has been stable. As of the July 2017 distribution date, the pool's aggregate principal balance has paid down by 10.9% to $937.98 million from $1.05 billion at issuance. Since Fitch's last rating action, four loans totalling $30.5 million were repaid at or prior to their scheduled maturity date. The pool has experienced no realized losses to date and there are currently no specially serviced loans. Retail and Hotel Exposure: Loans secured by retail properties represent 33.8% of the current pool balance, including three of the top four loans (20.4%). The largest loan in the pool, Chesterfield Towne Center (11%), is the only enclosed regional mall, and it has exposure to anchors Macy's, and noncollateral Sears and JC Penney. There are 11 hospitality properties which comprise 17.4% of the pool. Five hotels are in the top 20 (11.5% of the pool balance). Amortization: There are no full-term interest-only (IO) loans. One self-storage loan (0.5%) begins to amortize later this year. All other loans, including the partial-term IO loans (17.3%), are currently amortizing. Near-Term Loan Maturities: The pool has four loans (8.4% of the current pool) that mature later in 2017 including two hotels in the top 20 (5.5%) and an office property located in Houston, TX that is on the master servicer's watchlist (1.5%). All other loans mature or reach their anticipated repayment date (ARD) in 2022. RATING SENSITIVITIES Rating Outlooks for all classes are Stable due to overall stable performance of the pool and continued amortization and increasing CE. Fitch incorporated additional sensitivity stresses due to the retail and hospitality concentration. Further rating upgrades may be limited, but may occur with continued improvement in loan performance and significant additional paydown or defeasance. 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 upgraded the following class: -- $64.5 million class B to 'AAsf' from 'AA-sf', Outlook to Stable from Positive. Fitch has affirmed the following ratings: -- $81.7 million class A-2 at 'AAAsf', Outlook Stable; -- $444.2 million class A-3 at 'AAAsf', Outlook Stable; -- $96.2 million class A-SB at 'AAAsf', Outlook Stable; -- $93.4 million class A-S at 'AAAsf', Outlook Stable; -- Interest-only class X-A at 'AAAsf', Outlook Stable; -- Interest-only class X-B at 'A-sf', Outlook to Stable from Positive; -- $36.8 million class C at 'A-sf', Outlook to Stable from Positive; -- $42.1 million class D at 'BBB-sf', Outlook Stable; -- $21.1 million class E at 'BBsf', Outlook Stable; -- $19.7 million class F at 'Bsf', Outlook Stable. Class A-1 is paid in full. Fitch does not rate the class G certificates. WOODMONT LP 2017-3: S&P Gives Prelim BB(sf) Rating on Class E Notes ------------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Woodmont 2017-3 LP/Woodmont 2017-3 GP/Woodmont 2017-3 LLC's $306.25 million floating-rate notes. The note issuance is a collateralized loan obligation transaction backed by middle-market speculative-grade senior secured term loans. The preliminary ratings are based on information as of Aug. 10, 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. PRELIMINARY RATINGS ASSIGNED Woodmont 2017-3 LP/Woodmont 2017-3 GP/Woodmont 2017-3 LLC Class Rating Amount (mil. $) A-1 AAA (sf) 196.000 A-2 AAA (sf) 19.250 B AA (sf) 22.750 C (deferrable) A (sf) 24.500 D (deferrable) BBB- (sf) 21.500 E (deferrable) BB (sf) 22.250 Subordinated notes NR 47.075 NR--Not rated. WRIGHTWOOD CAPITAL 2005-1: Moody's Hikes Class D Debt Rating to B1 ------------------------------------------------------------------ Moody's Investors Service has upgraded and affirmed the ratings on the following notes issued by Wrightwood Capital Real Estate CDO 2005-1. Moody's rating action is as follows: Cl. B, Upgraded to Baa3 (sf); previously on Aug 19, 2016 Affirmed Ba3 (sf) Cl. C, Upgraded to Ba3 (sf); previously on Aug 19, 2016 Affirmed B2 (sf) Cl. D, Upgraded to B1 (sf); previously on Aug 19, 2016 Affirmed B3 (sf) Cl. E, Affirmed Caa3 (sf); previously on Aug 19, 2016 Affirmed Caa3 (sf) Cl. F, Affirmed Caa3 (sf); previously on Aug 19, 2016 Affirmed Caa3 (sf) Cl. G, Affirmed Caa3 (sf); previously on Aug 19, 2016 Affirmed Caa3 (sf) Cl. H, Affirmed Caa3 (sf); previously on Aug 19, 2016 Affirmed Caa3 (sf) The Class B, Class C, Class D, Class E, Class F, Class G, and Class H Notes are referred to herein as the "Rated Notes" RATINGS RATIONALE Moody's has upgraded the ratings of three classes of notes due to greater than expected recoveries on high credit risk assets in the asset pool. This more than offset the decrease in credit quality of the remaining pool balance as evidenced by WARF. Four classes of notes were affirmed due to the key transaction metrics performing within levels commensurate with existing ratings. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO and RE-REMIC) transactions. Wrightwood 2005-1 is a cash transaction whose reinvestment period ended in August 2010. The transaction is wholly backed by a portfolio of whole loans and senior participations collateralized by the following property types: i) office (71.7% of the collateral pool balance), and ii) industrial (28.3%). As of the trustee's July 31, 2017 report, the aggregate note balance of the transaction, including preferred shares, is $169.8 million, down from $650.0 million at issuance, with the pay-down directed to the senior most class of notes, as a result of amortization. Moody's has identified the following as key indicators of the expected loss in CRE CDO transactions: the weighted average rating factor (WARF), the weighted average life (WAL), the weighted average recovery rate (WARR), and Moody's asset correlation (MAC). Moody's typically models these as actual parameters for static deals and as covenants for managed deals. WARF is a primary measure of the credit quality of a CRE CDO pool. Moody's has updated its assessments for the collaterals it does not rate. The rating agency modeled a bottom-dollar WARF of 9362, compared to 8455 at last review. The current distribution of Moody's rated collateral and assessments for non-Moody's rated collateral is as follows: Caa1-Ca/C and 100.0% compared to 100.0% at last review. Moody's modeled a WAL of 1.7 years, compared to 2.0 years at last review. The WAL is based on assumptions about extensions on the underlying assets. Moody's modeled a fixed WARR of 56.4%, compared to 57.5% at last review. Moody's modeled a MAC of 100%, same as last review. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Approach to Rating SF CDOs" published in June 2017. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the notes is subject to uncertainty, because it is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that are subject to change. The servicing decisions of the master and special servicer and surveillance by the operating advisor with respect to the collateral interests and oversight of the transaction will also affect the performance of the Rated Notes. Moody's Parameter Sensitivities: Changes to any one or more of the key parameters could have rating implications for the Rated Notes, although a change in one key parameter assumption could be offset by a change in one or more of the other key parameter assumptions. The Rated Notes are particularly sensitive to changes in the recovery rate of the underlying collateral and credit assessments. Holding all other key parameters static, increasing the recovery rate of 100% of the collateral by +10% would result in modeled rating movement on the Rated Notes of zero to ten notches upward (e.g. one notch up implies a rating movement from Baa3 to Baa2). Decreasing the recovery rate of 100% of the collateral by -10% would result in modeled rating movement on the Rated Notes of zero to eight notches downward (e.g. one notch down implies a rating movement from Baa3 to Ba1) The primary sources of uncertainty in Moody's assumptions are the extent of growth in the current macroeconomic environment. Commercial real estate property values continue to improve modestly, along with a rise in investment activity and stabilization in core property type performance. Limited new construction and moderate job growth have aided this improvement. [*] Fitch Lowers 348 Wells Fargo Trustee US RMBS Classes -------------------------------------------------------- Fitch Ratings downgrades 348 U.S. RMBS classes ($2.4 billion) from 84 transactions issued between 2004 and 2007. The downgrades reflect the risk of future payment disruption from the retention of trust funds by Wells Fargo Bank NA (Wells Fargo) to reserve against expenses the bank may incur to defend itself against investor lawsuits that allege the bank failed in its trustee duties. A list of the Affected Ratings is available at: http://bit.ly/2wL2l6A All of the affected classes that were previously rated 'Bsf' or higher prior to actions had been on Rating Watch Negative. The rating revisions generally follow the preliminary rating guidance provided in the prior rating action commentaries that placed the classes on Rating Watch Negative. All classes have now been removed from Rating Watch Negative. The downgraded classes have not been directly affected by Wells Fargo's actions to date, but are at increased risk for payment disruption in the future if Wells Fargo continues the behaviour exhibited on the June remittance date when rated classes in called transactions incurred unrecovered principal and unpaid interest. While some of the classes in those called transactions may ultimately recover their full principal amount, the lack of interest payments resulted in a default under Fitch's rating definitions and those classes were downgraded to 'Dsf' on Aug. 1. KEY RATING DRIVERS The timing of a resolution to the litigation and Wells Fargo's fund retention strategy remains uncertain. Wells Fargo has not provided any clear public guidance on their withholding strategy going forward. Fitch assumes that Wells Fargo will continue to pre-emptively retain funds in trust accounts to reserve against future expenses in scenarios where they may not be able to reimburse themselves from the trust in the future, such as when a transaction is called or when the remaining pool balance is relatively small. The amount Wells Fargo withheld from the called transactions in June reflects an assumption of future legal expenses of $3,000 per loan originally in the trust, plus $130,000 for each transaction. Notably, on the July distribution date, Wells Fargo withheld a total of approximately $65,000 on the only called transaction involved in ongoing litigation. Fitch assumes the lower amount withheld for that transaction is due to its inclusion in the recently approved Lehman Brothers RMBS settlement, which is expected to result in its removal from the ongoing trustee litigation. Lacking any additional guidance from Wells Fargo, Fitch will assume a withholding amount of $3,000 per loan and $130,000 per transaction when analysing the risk of future payment disruption to outstanding rated classes. Fitch's rating analysis of payment disruption risk made distinctions based on pool size, credit enhancement and whether the transaction is callable. At greatest risk are transactions in litigation that are currently callable or callable within the near future and include bonds with credit enhancement less than an estimated future retained amount (based on an assumption of $3,000 per loan and $130,000 per transaction). 298 of the 348 classes downgraded fall into this category, including 44 classes that were previously investment grade. Distinctions in ratings were made based on sensitivity analysis that considered smaller retained amounts and considered the economic incentive to call the transaction based on the weighted average pool coupon and the pool delinquency. All classes in this category were revised to a non-investment grade rating, with the high majority at 'Bsf' or below. At next greatest risk are classes with credit enhancement less than the estimated future withholding amount, but within transactions that will not soon be eligible to be called. 34 of the 348 classes downgraded fall into this category, including five classes that were previously investment grade. All classes in this category were revised to a non-investment grade rating, with the high majority at 'Bsf' or below. Ratings on some classes with credit enhancement greater than the estimated future retained amount were downgraded to reflect that credit enhancement will decline over time and that the future retained amount assumption is only an estimate. Ratings were downgraded on classes if the relationship multiple of credit enhancement to the estimated future withholding amount was less than 2.0x, 1.75x, 1.5x, 1.25x, 1.1x and 1.05x for existing ratings of 'AAAsf', 'AAsf', 'Asf', 'BBBsf', 'BBsf' and 'Bsf', respectively. 16 of the 348 classes downgraded fall into this category, including nine investment grade classes. The consideration of the relationship between each bond's credit enhancement to the estimated future retained amount is a variation to Fitch's published rating criteria to reflect the specific risk of the transactions currently included in lawsuits against trustees. RATING SENSITIVITIES The ratings will be affected by future court decisions or the resolution of pending litigation that can influence the risk of payment disruption on the affected trusts. The ratings may also be affected by a change in the fund retention strategy by Wells Fargo. It is currently uncertain how Wells Fargo's action affects the probability that trusts named in litigation may be called through an optional redemption. Fitch is currently assuming the probability of a call is not affected. [*] Fitch Takes Actions on 8 SLM Loan Trusts -------------------------------------------- Fitch Ratings has taken rating actions on the notes of SLM Private Credit Student Loan Trust (SLM) 2005-A, SLM 2005-B, SLM 2006-A, SLM 2006-B, SLM 2006-C, SLM 2007-A, SLM Private Education Loan Trust (SLM PE) 2013-B and SLM PE 2013-C, and Navient Private Education Loan Trust (Navient PE) 2015-A and Navient PE 2016-A. Overall, Fitch has affirmed 20 tranches, upgraded 17 tranches and downgraded 4 tranches of SLM, SLM PE, and Navient PE transactions. A list of the Affected Ratings is available at: http://bit.ly/2uJ5CSx The rating actions reflect the transaction performance and available credit enhancement (CE) as well as the implementation of the recent publication of Fitch's "U.S. Private Student Loan ABS Rating Criteria" (PSL criteria) on Aug. 4, 2017, which specified some changes to the rating approach for notes with sequential pay structure within the same class of notes, and removed the one-rating category tolerance for default multiples in surveillance. SLM 2006-B's class A-5W notes are a portion of A-5 notes, receiving interest and principal payments pro-rata with A-5 notes. KEY RATING DRIVERS Collateral Quality: All trusts are collateralized by private student loans originated by Navient Corp. ('BB'/Stable/'B'). SLM trusts were originated under the Signature Education Loan Program, LAWLOANS program, MBA Loans program, and MEDLOANS program. SLM 2007-A also included loans originated under the Direct to Consumer and Private Credit Consolidation. In addition to previously mentioned programs, SLM PE and Navient PE also included Navient's Smart Option program, launched in 2009. Fitch's remaining default projections are 10.5%, 10.7%, 11.1%, 12.5%, 12.2%, 13.7%, 7.9%, 7.8%, 13.9%, 13.5% of the current pool balance of SLM 2005-A, 2005-B, 2006-A, 2006-B, 2006-C, 2007-A, SLM PE 2013-B, 2013-C, Navient PE 2015-A, 2016-A respectively. Recovery assumption is 18% for all transactions. Stress Multiple Definition: The agency applied a default stress multiple in the lower end of the multiple range envisaged by Fitch's PSL Criteria (resulting in a 3.5x multiple at 'AAAsf') to SLM 2005-A and SLM 2005-B and a median/low multiple to all other transactions (resulting in a 3.75x multiple at 'AAAsf'). The higher multiple to post-2005 transactions reflects the higher volatility in portfolios' default behavior for more seasoned deals and the short performance data available on more recent deals. CE: For all transactions, available CE is sufficient to provide loss coverage in line with the assigned rating category. CE is provided by a combination of overcollateralization (OC; the excess of the trust's asset balance over the bond balance), excess spread, and subordination of more junior notes. All transactions have reached their target overcollateralization floor level. Updated Analysis at Tranche Level: Under the PSL Criteria, Fitch analyzes structure at tranche level (e.g. class A-3 and A-4 notes within the A notes) rather than class level (class A notes as a whole). The upgrades on the most senior tranches of SLM transactions (class A-3 notes for SLM 2005-A and 2005-B, class A-4 notes for SLM 2006-A and 2006-C, class A-2 and A-3 notes for SLM 2007-A) reflect the current sequential payment structure within the class A notes for all transactions. Principal payments within the A notes may switch to a pro rata/pari passu amortization if the collateral balance falls below the outstanding balance of the class A notes. In Fitch's view, this trigger is unlikely to be breached before the most senior tranches are redeemed in full, also under 'AAAsf' stressed scenarios. Adequate Liquidity Support: For all transactions, liquidity support is provided by a fully-funded non-amortizing reserve account. In Fitch's view the available reserve accounts can cover 1-3 months of senior costs and interest payments on the notes, adequately mitigating payment interruption risk in all transactions. Satisfactory Servicing Capabilities: Navient Solutions Inc. is the servicer for all the loans in the trusts. Fitch has reviewed the servicing operations of Navient and considers it to be an effective private student loan servicer. RATING SENSITIVITIES SLM 2005-A Expected impact on the note rating of increased defaults (class A-3/A-4/B/C): Current Ratings: 'AAAsf'/'A+sf'/'A-sf'/'BBBsf' Increase base case defaults by 10%:'AAAsf'/'Asf'/'BBB+sf'/'BBBsf' Increase base case defaults by 25%: 'AAAsf'/'A-sf'/'BBBsf'/'BB+sf' Increase base case defaults by 50%: 'AAAsf'/'BBBsf'/'BB+sf'/'BB-sf' Expected impact on the note rating of reduced recoveries ((class A-3/A-4/B/C): Current Ratings: 'AAAsf'/'A+sf'/'A-sf'/'BBBsf' Reduce base case recoveries by 10%: 'AAAsf'/'A+sf'/'A-sf'/'BBBsf' Reduce base case recoveries by 20%: 'AAAsf'/'A+sf'/'A-sf'/'BBBsf' Reduce base case recoveries by 30%: 'AAAsf'/'A+sf'/'A-sf'/'BBBsf' Expected impact on the note rating of increased defaults and reduced recoveries (class A-3/A-4/B/C): Current Ratings: 'AAAsf'/'A+sf'/'A-sf'/'BBBsf' Increase base case defaults and reduce base case recoveries each by 10%: 'AAAsf'/'Asf'/'BBB+sf'/'BBBsf' Increase base case defaults and reduce base case recoveries each by 25%: 'AAAsf'/'A-sf'/'BBBsf'/'BB+sf' Increase base case defaults and reduce base case recoveries each by 50%: 'AAAsf'/'BBBsf'/'BBsf'/'Bsf' SLM 2005-B Expected impact on the note rating of increased defaults (class A-3/A-4/B/C): Current Ratings: 'AAAsf'/'A+sf'/'A-sf'/'BBBsf' Increase base case defaults by 10%:'AAAsf'/'Asf'/'BBB+sf'/'BBB-sf' Increase base case defaults by 25%: 'AAAsf'/'A-sf'/'BBBsf'/'BB+sf' Increase base case defaults by 50%: 'AAAsf'/'BBBsf'/'BB+sf'/'B+sf' Expected impact on the note rating of reduced recoveries ((class A-3/A-4/B/C): Current Ratings: 'AAAsf'/'A+sf'/'A-sf'/'BBBsf' Reduce base case recoveries by 10%: 'AAAsf'/'A+sf'/'A-sf'/'BBBsf' Reduce base case recoveries by 20%: 'AAAsf'/'A+sf'/'A-sf'/'BBBsf' Reduce base case recoveries by 30%: 'AAAsf'/'Asf'/'A-sf'/'BBBsf' Expected impact on the note rating of increased defaults and reduced recoveries (class A-3/A-4/B/C): Current Ratings: 'AAAsf'/'A+sf'/'A-sf'/'BBBsf' Increase base case defaults and reduce base case recoveries each by 10%: 'AAAsf'/'Asf'/'BBB+sf'/'BBB-sf' Increase base case defaults and reduce base case recoveries each by 25%: 'AAAsf'/'A-sf'/'BBBsf'/'BBsf' Increase base case defaults and reduce base case recoveries each by 50%: 'AAAsf'/'BBBsf'/'BBsf'/'CCCsf' SLM 2006-A Expected impact on the note rating of increased defaults (class A-4/A-5/B/C): Current Ratings: 'AAAsf'/'A+sf'/'Asf'/'BBBsf' Increase base case defaults by 10%:'AAAsf'/'Asf'/'A-sf'/'BBBsf' Increase base case defaults by 25%: 'AAAsf'/'A-sf'/'BBBsf'/'BB+sf' Increase base case defaults by 50%: 'AAAsf'/'BBBsf'/'BBB-sf'/'BB-sf' Expected impact on the note rating of reduced recoveries (class A-4/A-5/B/C): Current Ratings: 'AAAsf'/'A+sf'/'Asf'/'BBBsf' Reduce base case recoveries by 10%: 'AAAsf'/'A+sf'/'Asf'/'BBBsf' Reduce base case recoveries by 20%: 'AAAsf'/'A+sf'/'Asf'/'BBBsf' Reduce base case recoveries by 30%: 'AAAsf'/'A+sf'/'A-sf'/'BBBsf' Expected impact on the note rating of increased defaults and reduced recoveries (class A-4/A-5/B/C): Current Ratings: 'AAAsf'/'A+sf'/'Asf'/'BBBsf' Increase base case defaults and reduce base case recoveries each by 10%: 'AAAsf'/'Asf'/'A-sf'/'BBBsf' Increase base case defaults and reduce base case recoveries each by 25%: 'AAAsf'/'A-sf'/'BBBsf'/'BB+sf' Increase base case defaults and reduce base case recoveries each by 50%: 'AAAsf'/'BBBsf'/'BB+sf'/'Bsf' SLM 2006-B Expected impact on the note rating of increased defaults (class A-5 & class A-5W/B/C): Current Ratings: 'Asf'/'BBB+sf'/'BBB-sf' Increase base case defaults by 10%: 'A-sf'/'BBB+sf'/'BBB-sf' Increase base case defaults by 25%: 'BBB+sf'/'BBB-sf'/'BBsf' Increase base case defaults by 50%: 'BBB-sf'/'BBsf'/'Bsf' Expected impact on the note rating of reduced recoveries (class A-5 & class A-5W/B/C): Current Ratings: 'Asf'/'BBB+sf'/'BBB-sf' Reduce base case recoveries by 10%: 'Asf'/'BBB+sf'/'BBB-sf' Reduce base case recoveries by 20%: 'Asf'/'BBB+sf'/'BBB-sf' Reduce base case recoveries by 30%: 'Asf'/'BBB+sf'/'BBB-sf' Expected impact on the note rating of increased defaults and reduced recoveries (class A-5 & class A-5W/B/C): Current Ratings: 'Asf'/'BBB+sf'/'BBB-sf' Increase base case defaults and reduce base case recoveries each by 10%: 'A-sf'/'BBBsf'/'BB+sf' Increase base case defaults and reduce base case recoveries each by 25%: 'BBB+sf'/'BBB-sf'/'BBsf' Increase base case defaults and reduce base case recoveries each by 50%: 'BB+sf'/'BBsf'/'CCCsf' SLM 2006-C Expected impact on the note rating of increased defaults (class A-4/A-5/B/C): Current Ratings: 'AAAsf'/'AA-sf'/'Asf'/'BBB-sf' Increase base case defaults by 10%: 'AAAsf'/'A+sf'/'A-sf'/'BBB-sf' Increase base case defaults by 25%: 'AAAsf'/'Asf'/'BBB+sf'/'BB+sf' Increase base case defaults by 50%: 'AAAsf'/'BBB+sf'/'BBB-sf'/'Bsf' Expected impact on the note rating of reduced recoveries (class A-4/A-5/B/C): Current Ratings: 'AAAsf'/'AA-sf'/'Asf'/'BBB-sf' Reduce base case recoveries by 10%: 'AAAsf'/'AA-sf'/'Asf'/'BBB-sf' Reduce base case recoveries by 20%: 'AAAsf'/'AA-sf'/'Asf'/'BBB-sf' Reduce base case recoveries by 30%: 'AAAsf'/'AA-sf'/'Asf'/'BBB-sf' Expected impact on the note rating of increased defaults and reduced recoveries (class A-4/A-5/B/C): Current Ratings: 'AAAsf'/'AA-sf'/'Asf'/'BBB-sf' Increase base case defaults and reduce base case recoveries each by 10%: 'AAAsf'/'A+sf'/'A-sf'/'BBB-sf' Increase base case defaults and reduce base case recoveries each by 25%: 'AAAsf'/'Asf'/'BBB+sf'/'BBsf' Increase base case defaults and reduce base case recoveries each by 50%: 'AAAsf'/'BBBsf'/'BB+sf'/'CCCsf' SLM 2007-A Expected impact on the note rating of increased defaults (class A-2/A-3/A-4/B/C-1/C-2): Current Ratings: 'AAAsf'/'AAAsf'/ 'A-sf'/'BBBsf'/'BB+sf'/'BB+sf' Increase base case defaults by 10%: 'AAAsf'/'AAAsf'/ 'A-sf'/'BBBsf'/'BB+sf'/'BB+sf' Increase base case defaults by 25%: 'AAAsf'/'AAAsf'/ 'BBB+sf'/'BBB-sf'/'BBsf'/'BBsf' Increase base case defaults by 50%: 'AAAsf'/'AAAsf'/ 'BBB-sf'/'BBsf'/'CCCsf'/'CCCsf' Expected impact on the note rating of reduced recoveries (class A-2/A-3/A-4/B/C-1/C-2): Current Ratings: 'AAAsf'/'AAAsf'/ 'A-sf'/'BBBsf'/'BB+sf'/'BB+sf' Reduce base case recoveries by 10%: 'AAAsf'/'AAAsf'/ 'A-sf'/'BBBsf'/'BB+sf'/'BB+sf' Reduce base case recoveries by 20%: 'AAAsf'/'AAAsf'/ 'A-sf'/'BBBsf'/'BB+sf'/'BB+sf' Reduce base case recoveries by 30%: 'AAAsf'/'AAAsf'/ 'A-sf'/'BBBsf'/'BB+sf'/'BB+sf' Expected impact on the note rating of increased defaults and reduced recoveries (class A-2/A-3/A-4/B/C-1/C-2): Current Ratings: 'AAAsf'/'AAAsf'/ 'A-sf'/'BBBsf'/'BB+sf'/'BB+sf' Increase base case defaults and reduce base case recoveries each by 10%: 'AAAsf'/'AAAsf'/ 'A-sf'/'BBBsf'/'BB+sf'/'BB+sf' Increase base case defaults and reduce base case recoveries each by 25%: 'AAAsf'/'AAAsf'/ 'BBBsf'/'BBB-sf'/'BB-sf'/'BB-sf' Increase base case defaults and reduce base case recoveries each by 50%: 'AAAsf'/'AAAsf'/ 'BB+sf'/'BB-sf'/'CCCsf'/'CCCsf' SLM PE 2013-B Expected impact on the note rating of increased defaults (class A-1/A-2A/A-2B/B): 'AAAsf'/'AAAsf'/'AAAsf'/'AAAsf' Current Ratings: 'AAAsf'/'AAAsf'/'AAAsf'/'AAAsf' Increase base case defaults by 10%: 'AAAsf'/'AAAsf'/'AAAsf'/'AAAsf' Increase base case defaults by 25%: 'AAAsf'/'AAAsf'/'AAAsf'/'AAAsf' Increase base case defaults by 50%: 'AAAsf'/'AAAsf'/'AAAsf'/'AAAsf' Expected impact on the note rating of reduced recoveries (class A-1/A-2A/A-2B/B): Current Ratings: 'AAAsf'/'AAAsf'/'AAAsf'/'AAAsf' Reduce base case recoveries by 10%: 'AAAsf'/'AAAsf'/'AAAsf'/'AAAsf' Reduce base case recoveries by 20%: 'AAAsf'/'AAAsf'/'AAAsf'/'AAAsf' Reduce base case recoveries by 30%: 'AAAsf'/'AAAsf'/'AAAsf'/'AAAsf' Expected impact on the note rating of increased defaults and reduced recoveries (class A-1/A-2A/A-2B/B): Current Ratings: 'AAAsf'/'AAAsf'/'AAAsf'/'AAAsf' Increase base case defaults and reduce base case recoveries each by 10%: 'AAAsf'/'AAAsf'/'AAAsf'/'AAAsf' Increase base case defaults and reduce base case recoveries each by 25%: 'AAAsf'/'AAAsf'/'AAAsf'/'AAAsf' Increase base case defaults and reduce base case recoveries each by 50%: 'AAAsf'/'AAAsf'/'AAAsf'/'AAAsf' SLM PE 2013-C Expected impact on the note rating of increased defaults (class A-2A/A-2B/B): 'AAAsf'/'AAAsf'/'AAAsf' Current Ratings: 'AAAsf'/'AAAsf'/'AAAsf' Increase base case defaults by 10%: 'AAAsf'/'AAAsf'/'AAAsf' Increase base case defaults by 25%: 'AAAsf'/'AAAsf'/'AAAsf' Increase base case defaults by 50%: 'AAAsf'/'AAAsf'/'AAAsf' Expected impact on the note rating of reduced recoveries (class A-2A/A-2B/B): Current Ratings: 'AAAsf'/'AAAsf'/'AAAsf' Reduce base case recoveries by 10%: 'AAAsf'/'AAAsf'/'AAAsf' Reduce base case recoveries by 20%: 'AAAsf'/'AAAsf'/'AAAsf' Reduce base case recoveries by 30%: 'AAAsf'/'AAAsf'/'AAAsf' Expected impact on the note rating of increased defaults and reduced recoveries (class A-2A/A-2B/B): Current Ratings: 'AAAsf'/'AAAsf'/'AAAsf' Increase base case defaults and reduce base case recoveries each by 10%: 'AAAsf'/'AAAsf'/'AAAsf' Increase base case defaults and reduce base case recoveries each by 25%: 'AAAsf'/'AAAsf'/'AAAsf' Increase base case defaults and reduce base case recoveries each by 50%: 'AAAsf'/'AAAsf'/'AAAsf' Navient PE 2015-A Expected impact on the note rating of increased defaults (class A-2A/A-2B/A-3/B): Current Ratings: 'AAAsf'/'AAAsf'/'AAAsf'/'AAsf' Increase base case defaults by 10%: 'AAAsf'/'AAAsf'/'AAAsf'/'AAsf' Increase base case defaults by 25%: 'AAAsf'/'AAAsf'/'AAAsf'/'A+sf' Increase base case defaults by 50%: 'AAAsf'/'AAAsf'/'AAAsf'/'Asf' Expected impact on the note rating of reduced recoveries (class A-2A/A-2B/A-3/B): Current Ratings: 'AAAsf'/'AAAsf'/'AAAsf'/'AAsf' Reduce base case recoveries by 10%: 'AAAsf'/'AAAsf'/'AAAsf'/'AAsf' Reduce base case recoveries by 20%: 'AAAsf'/'AAAsf'/'AAAsf'/'AAsf' Reduce base case recoveries by 30%: 'AAAsf'/'AAAsf'/'AAAsf'/'AAsf' Expected impact on the note rating of increased defaults and reduced recoveries (class A-2A/A-2B/A-3/B): Current Ratings: 'AAAsf'/'AAAsf'/'AAAsf'/'AAsf' Increase base case defaults and reduce base case recoveries each by 10%: 'AAAsf'/'AAAsf'/'AAAsf'/'AA-sf' Increase base case defaults and reduce base case recoveries each by 25%: 'AAAsf'/'AAAsf'/'AA+sf'/'A+sf' Increase base case defaults and reduce base case recoveries each by 50%: 'AAAsf'/'AAsf'/'A+sf'/'A-sf' Navient PE 2016-A Expected impact on the note rating of increased defaults (class A-1/A-2A/A-2B/B): Current Ratings: 'AAAsf'/'AAAsf'/'AAAsf'/'AAsf' Increase base case defaults by 10%: 'AAAsf'/'AAAsf'/'AAAsf'/'AAsf' Increase base case defaults by 25%: 'AAAsf'/'AA+sf'/'AA+sf'/'AA-sf' Increase base case defaults by 50%: 'AAAsf'/'AA-sf'/'AA-sf'/'Asf' Expected impact on the note rating of reduced recoveries (class A-1/A-2A/A-2B/B): Current Ratings: 'AAAsf'/'AAAsf'/'AAAsf'/'AAsf' Reduce base case recoveries by 10%:'AAAsf'/'AAAsf'/'AAAsf'/'AAsf' Reduce base case recoveries by 20%: 'AAAsf'/'AAAsf'/'AAAsf'/'AAsf' Reduce base case recoveries by 30%: 'AAAsf'/'AAAsf'/'AAAsf'/'AAsf' Expected impact on the note rating of increased defaults and reduced recoveries (class A-1/A-2A/A-2B/B): Current Ratings: 'AAAsf'/'AAAsf'/'AAAsf'/'AAsf' Increase base case defaults and reduce base case recoveries each by 10%: 'AAAsf'/'AAAsf'/'AAAsf'/'AAsf' Increase base case defaults and reduce base case recoveries each by 25%: 'AAAsf'/'AA+sf'/'AA+sf'/'A+sf' Increase base case defaults and reduce base case recoveries each by 50%: 'AAAsf'/'A+sf'/'A+sf'/'Asf' [*] Moody's Withdraws Ratings on 8 Tranches From 5 RMBS BofA Deals ------------------------------------------------------------------ Moody's Investors Service has withdrawn the ratings of 8 tranches from 5 Bank of America RMBS transactions. Issuer: Banc of America Alternative Loan Trust 2004-1 Cl. 1-A-1, Withdrawn (sf); previously on Aug 14, 2017 Downgraded to B1 (sf) and Remained On Review for Possible Downgrade Cl. 2-A-1, Withdrawn (sf); previously on Aug 14, 2017 Downgraded to B1 (sf) and Remained On Review for Possible Downgrade Issuer: Banc of America Alternative Loan Trust 2004-2 Cl. 1-A-1, Withdrawn (sf); previously on Aug 14, 2017 Downgraded to B1 (sf) and Remained On Review for Possible Downgrade Cl. 3-A-1, Withdrawn (sf); previously on Aug 14, 2017 Downgraded to B1 (sf) and Remained On Review for Possible Downgrade Issuer: Banc of America Alternative Loan Trust 2004-4 Cl. 1-A-1, Withdrawn (sf); previously on Aug 14, 2017 Downgraded to B1 (sf) and Remained On Review for Possible Downgrade Cl. 2-A-1, Withdrawn (sf); previously on Aug 14, 2017 Downgraded to B1 (sf) and Remained On Review for Possible Downgrade Issuer: Banc of America Alternative Loan Trust 2004-8 Cl. 2-CB-1, Withdrawn (sf); previously on Aug 14, 2017 Downgraded to B1 (sf) and Remained On Review for Possible Downgrade Issuer: Banc of America Mortgage 2004-10 Trust Cl. 1-A-3, Withdrawn (sf); previously on Aug 14, 2017 Downgraded to B1 (sf) and Remained On Review for Possible Downgrade RATINGS RATIONALE On August 14, 2017, the 8 bonds that are subject to withdrawal action were downgraded and remained on watch for possible downgrade. These 8 bonds previously suffered losses at the time of optional termination ("clean-up call") on June 25, 2017 when the trustee, Wells Fargo Bank N.A. (Wells Fargo), as trustee of the affected transactions, withheld some funds received from the clean-up calls to establish reserve accounts to meet current and future expenses for litigation costs and potential judgments resulting from claims against Wells Fargo related to the trusts. The August 14, 2017 announcement noted the lack of sufficient guidance around the timing, amount and method of any future distributions of unused funds currently held in these reserve accounts and the lack of reports on remittances and actual flow of funds needed to monitor ratings. Moody's has withdrawn the rating[s] because it believes it has insufficient or otherwise inadequate information to support the maintenance of the rating[s]. [*] S&P Discontinues Ratings on 123 Classes From 38 CDO Deals ------------------------------------------------------------- S&P Global Ratings discontinued its ratings on 114 classes from 33 cash flow (CF) collateralized loan obligation (CLO) transactions and nine classes from five CF collateral debt obligations (CDO) backed by commercial mortgage-backed securities (CMBS). The discontinuances follow the complete paydowns of the notes as reflected in the most recent trustee-issued note payment reports for each transaction: -- Airlie CLO 2006-II Ltd. (CF CLO): senior-most tranches paid down; other rated tranches still outstanding. -- AMMC CLO IX Ltd. (CF CLO): optional redemption in July 2017. -- Anthracite CDO III Ltd. (CF CDO of CMBS): senior-most tranches paid down; other rated tranches still outstanding. -- ARCap 2004-1 Resecuritization Trust (CF CDO of CMBS): senior-most tranches paid down; other rated tranches still outstanding. -- ARCap 2004-1 Resecuritization Trust Class B (CF CDO of CMBS): tranche paid down. -- Battalion CLO III Ltd. (CF CLO): optional redemption in July 2017. -- BlueMountain CLO 2012-1 Ltd. (CF CLO): all rated tranches paid down. -- CVP Cascade CLO-3 Ltd. (CF CLO): optional redemption in July 2017. -- CWCapital COBALT II Ltd. (CF CDO of CMBS): senior-most tranches paid down; other rated tranches still outstanding. -- Denali Capital CLO VII Ltd. (CF CLO): optional redemption in July 2017. -- Flatiron CLO 2007-1 Ltd. (CF CLO): senior-most tranches paid down; other rated tranches still outstanding. -- Gale Force 3 CLO Ltd. (CF CLO): optional redemption in July 2017. -- GLG Ore Hill CLO 2013-1 Ltd. (CF CLO): senior-most tranches paid down; other rated tranches still outstanding. -- Global Leveraged Capital Credit Opportunity Fund I (CF CLO): senior-most tranches paid down; other rated tranches still outstanding. -- GoldenTree Loan Opportunities XII Ltd. (CF CLO): senior-most tranches paid down; other rated tranches still outstanding. -- Golub Capital Partners CLO 14 Ltd. (CF CLO): senior-most tranches paid down; other rated tranches still outstanding. -- Golub Capital Partners CLO 15 Ltd. (CF CLO): senior-most tranches paid down; other rated tranches still outstanding. -- JFIN CLO 2007 Ltd. (CF CLO): optional redemption in July 2017. -- JFIN Revolver CLO 2015 Ltd. (CF CLO): senior-most tranches paid down; other rated tranches still outstanding. -- KCAP Senior Funding I LLC (CF CLO): optional redemption in July 2017. -- Madison Park Funding VI Ltd. (CF CLO): optional redemption in July 2017. -- Marlborough Street CLO Ltd. (CF CLO): senior-most tranches paid down; other rated tranches still outstanding. -- Mountain Capital CLO VI Ltd. (CF CLO): all rated tranches paid down. -- Mountain View CLO III Ltd. (CF CLO): senior-most tranches paid down; other rated tranches still outstanding. -- Neuberger Berman CLO XIII Ltd. (CF CLO): optional redemption in July 2017. -- Northwoods Capital IX Ltd. (CF CLO): all rated tranches paid down. -- PPM Grayhawk CLO Ltd. (CF CLO): senior-most tranches paid down; other rated tranches still outstanding. -- Sorin Real Estate CDO IV Ltd. (CF CLO): senior-most tranches paid down; other rated tranches still outstanding. -- Telos CLO 2013-3 Ltd. (CF CLO): optional redemption in July 2017. -- Telos CLO 2016-7 (CF CLO): optional redemption in July 2017. -- Tralee CDO I Ltd. (CF CLO): optional redemption in July 2017. -- Trinitas CLO II Ltd. (CF CLO): senior-most tranches paid down; other rated tranches still outstanding. -- Vibrant CLO Ltd. (CF CLO): optional redemption in July 2017. -- Voya CLO 2012-2 Ltd (CF CLO): optional redemption in July 2017. -- Voya CLO 2012-3 Ltd. (CF CLO): optional redemption in July 2017. -- Voya CLO III Ltd. (CF CLO): all rated tranches paid down. -- Voya CLO IV Ltd. (CF CLO): senior-most tranches paid down; other rated tranches still outstanding. -- WhiteHorse IV Ltd. (CF CLO): optional redemption in July 2017. RATINGS DISCONTINUED Airlie CLO 2006-II Ltd. Rating Class To From B NR AAA (sf) AMMC CLO IX Ltd. Rating Class To From A-R NR AAA (sf) B-1-R NR AA (sf) B-2-R NR AA (sf) C-R NR A (sf) D-R NR BBB (sf) E-R NR BB (sf) Anthracite CDO III Ltd. Rating Class To From CFL NR CCC+ (sf) CFX NR CCC+ (sf) ARCap 2004-1 Resecuritization Trust Rating Class To From B NR BB+ (sf) ARCap 2004-1 Resecuritization Trust Class B Rating Class To From B NR BB+ (sf) Battalion CLO III Ltd. 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) BlueMountain CLO 2012-1 Ltd. Rating Class To From A NR AAA (sf) B NR AA+ (sf) C NR A+ (sf) D NR BBB+ (sf) E NR BB (sf) CVP Cascade CLO-3 Ltd. 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 NR BB (sf) CWCapital COBALT II Ltd. Rating Class To From A-1A NR BB- (sf) A-1AR NR BB- (sf) A-1B NR CCC- (sf) A-2B NR CCC- (sf) Denali Capital CLO VII Ltd. Rating Class To From A-1L NR AAA (sf) A-1LR NR AAA (sf) A-2L NR AA+ (sf) A-3L NR AA- (sf) B-1L NR BBB+ (sf) B-2L NR BB+ (sf) Flatiron CLO 2007-1 Ltd. Rating Class To From A-1B NR AAA (sf) Gale Force 3 CLO Ltd. Rating Class To From C NR AAA (sf) D NR AA+ (sf) E NR BB+ (sf) GLG Ore Hill CLO 2013-1 Ltd. Rating Class To From X-2 NR AAA (sf) Global Leveraged Capital Credit Opportunity Fund I Rating Class To From C NR AAA (sf) GoldenTree Loan Opportunities XII Ltd. Rating Class To From X NR AAA (sf) Golub Capital Partners CLO 14 Ltd. Rating Class To From A NR AAA (sf) Golub Capital Partners CLO 15 Ltd. Rating Class To From A-1 NR AAA (sf) JFIN CLO 2007 Ltd. Rating Class To From C NR AAA (sf) D NR AA+ (sf) JFIN Revolver CLO 2015 Ltd. Rating Class To From A-1 NR AAA (sf) A-F NR AAA (sf) KCAP Senior Funding I LLC Rating Class To From A-1 NR AAA (sf) A-2 NR AAA (sf) B-1 NR AA+ (sf) B-2 NR AA+ (sf) C-1 NR A+ (sf) C-2 NR A+ (sf) D-1 NR BBB+ (sf) D-2 NR BBB+ (sf) Madison Park Funding VI Ltd. Rating Class To From A-1 NR AAA (sf) A-2 NR AAA (sf) B NR AA+ (sf) C NR AA- (sf) D NR A- (sf) E NR BB+ (sf) Marlborough Street CLO Ltd. Rating Class To From D NR BBB+ (sf) Mountain Capital CLO VI Ltd. Rating Class To From E NR B- (sf) Mountain View CLO III Ltd. Rating Class To From A-2 NR AAA (sf) B NR AAA (sf) Neuberger Berman CLO XIII Ltd. Rating Class To From A NR AAA (sf) B NR AA (sf) C NR A (sf) D NR BBB (sf) E NR BB (sf) F NR B+ (sf) Northwoods Capital IX Ltd. Rating Class To From A NR AAA (sf) B-1 NR AA (sf) B-2 NR AA (sf) C-1 NR A (sf) C-2 NR A (sf) D NR BBB (sf) E NR BB- (sf) PPM Grayhawk CLO Ltd. Rating Class To From B NR AA+ (sf) Sorin Real Estate CDO IV Ltd. Rating Class To From B NR B- (sf) Telos CLO 2013-3 Ltd. Rating Class To From A NR AAA (sf) B NR AA (sf) C NR A (sf) D NR BBB (sf) E NR BB (sf) F NR B (sf) Telos CLO 2016-7 Rating Class To From A NR AAA (sf) B NR AA (sf) C NR A (sf) D NR BBB- (sf) E NR BB- (sf) Tralee CDO I Ltd. Rating Class To From A-1 NR AAA (sf) A-2a NR AAA (sf) A-2b NR AAA (sf) B NR AA+ (sf) C NR A+ (sf) D NR BB+ (sf) Trinitas CLO II Ltd. Rating Class To From X NR AAA (sf) Vibrant CLO Ltd. Rating Class To From A-1AR NR AAA (sf) A-1L NR AAA (sf) A-2R NR AA (sf) B-R NR A (sf) C-R NR BBB (sf) D-R NR BB (sf) Voya CLO 2012-2 Ltd. Rating Class To From A-R NR AAA (sf) B-R NR AA (sf) C-R NR A (sf) D-R NR BBB (sf) E-R NR BB (sf) Voya CLO 2012-3 Ltd. Rating Class To From A-R NR AAA (sf) B-R NR AA (sf) C-R NR A (sf) D-R NR BBB (sf) E-R NR BB (sf) Voya CLO III Ltd. Rating Class To From D NR AA+ (sf) Voya CLO IV Ltd. Rating Class To From A-1 NR AAA (sf) A-2 NR AAA (sf) WhiteHorse IV Ltd. Rating Class To From B NR AA+ (sf) C NR A+ (sf) D NR BB+ (sf) NR--Not rated. [*] S&P Puts Ratings on 45 Tranches From 13 CLO Deals on Watch Pos. ------------------------------------------------------------------- S&P Global Ratings placed its ratings on 46 tranches from 13 U.S. collateralized loan obligation (CLO) transactions on CreditWatch with positive implications. The affected tranches had an original issuance amount of $1.61 billion. Two transactions were issued in 2006, four were issued in 2007, three were issued in 2012, and four were issued in 2013. 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. 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 collateralized debt obligation transactions we rate and take rating actions, including CreditWatch placements, as we deem appropriate." RATINGS PLACED ON CREDITWATCH POSITIVE ACAS CLO 2013-1 Ltd. 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) F B (sf)/Watch Pos B (sf) Ares XXVI CLO 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) CIFC Funding 2012-II Ltd. Rating Class To From A-2R-F AA (sf)/Watch Pos AA (sf) A-2R-L AA (sf)/Watch Pos AA (sf) A-3R A (sf)/Watch Pos A (sf) B-1R BBB (sf)/Watch Pos BBB (sf) B-2R BB- (sf)/Watch Pos BB- (sf) Crown Point CLO II Ltd. Rating Class To From A-2L AA (sf)/Watch Pos AA (sf) A-3L A (sf)/Watch Pos A (sf) B-1L BBB (sf)/Watch Pos BBB (sf) B-2L BB- (sf)/Watch Pos BB- (sf) Combination AA (sf)/Watch Pos AA (sf) Halcyon Loan Advisors Funding 2012-1 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) Halcyon Loan Advisors Funding 2012-2 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) Hillmark Funding Ltd. Rating Class To From A-2 AA+ (sf)/Watch Pos AA+ (sf) B A+ (sf)/Watch Pos A+ (sf) C BB+ (sf)/Watch Pos BB+ (sf) Kingsland IV Ltd. Rating Class To From C AA+ (sf)/Watch Pos AA+ (sf) D AA- (sf)/Watch Pos AA- (sf) E BBB+ (sf)/Watch Pos BBB+ (sf) Mountain View CLO III Ltd. Rating Class To From C AA+ (sf)/Watch Pos AA+ (sf) D BBB+ (sf)/Watch Pos BBB+ (sf) Nomad CLO 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) Venture VIII CDO 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) Voya CLO IV 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) Wasatch CLO 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) [*] S&P Takes Various Actions on 164 Classes From 14 US RMBS Deals ------------------------------------------------------------------ S&P Global Ratings completed its review of 164 classes from 14 U.S. residential mortgage-backed securities (RMBS) transactions issued between 2002 and 2007. All of these transactions are backed by prime jumbo collateral. The review yielded four upgrades, 30 downgrades, 89 affirmations, 27 withdrawals, and 14 discontinuances. 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; -- Proportion of reperforming loans in the pool; -- Tail risk; -- Erosion of credit support; -- Expected short duration; -- Interest-only criteria; -- Principal-only criteria; and -- Available subordination and/or overcollateralization. Rating Actions The affirmations of ratings reflect S&P's opinion that its projected credit support and collateral performance on these classes has remained relatively consistent with its prior projections. A list of the Affected Ratings is available at: http://bit.ly/2vT9p4y [*] S&P Takes Various Actions on 74 Classes From 11 US RMBS Deals ----------------------------------------------------------------- S&P Global Ratings completed its review of 74 classes from 11 U.S. residential mortgage-backed securities (RMBS) transactions issued between 1999 and 2004. All of these transactions are backed by prime jumbo collateral. The review yielded 10 upgrades, nine downgrades, 46 affirmations, and nine withdrawals. Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by its 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; -- Priority of principal payments; -- Proportion of reperforming loans in the pool; -- Tail risk; and -- Available subordination. Rating Actions The affirmations of ratings reflect S&P's opinion that its projected credit support and collateral performance on these classes has remained relatively consistent with its prior projections. A list of the Affected Ratings is available at: http://bit.ly/2v7gpq3 ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers public debt and equity securities about which we report. Each Tuesday edition of the TCR contains a list of companies with insolvent balance sheets whose shares trade higher than $3 per share in public markets. At first glance, this list may look like the definitive compilation of stocks that are ideal to sell short. Don't be fooled. Assets, for example, reported at historical cost net of depreciation may understate the true value of a firm's assets. A company may establish reserves on its balance sheet for liabilities that may never materialize. The prices at which equity securities trade in public market are determined by more than a balance sheet solvency test. On Thursdays, the TCR delivers a list of recently filed Chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/books/to order any title today. Monthly Operating Reports are summarized in every Saturday edition of the TCR. The Sunday TCR delivers securitization rating news from the week then-ending. TCR subscribers have free access to our on-line news archive. Point your Web browser to http://TCRresources.bankrupt.com/and use the e-mail address to which your TCR is delivered to login. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter is a daily newsletter co-published by Bankruptcy Creditors Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., USA. Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Valerie Udtuhan, Howard C. Tolentino, Carmel Paderog, Meriam Fernandez, Joel Anthony G. Lopez, Cecil R. Villacampa, Sheryl Joy P. Olano, Psyche A. Castillon, Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2017. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. 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