/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/171008.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, October 8, 2017, Vol. 21, No. 280 Headlines 280 PARK AVE 2017-280P: Fitch Assigns B- Rating to Cl. HRR Debt ABACUS LTD 2006-10: S&P Lowers Class A Notes Rating to CC(sf) ACA ABS 2003-2: Moody's Hikes Class A1-SD Notes Rating to Caa3(sf) AIR 2: Fitch Affirms BB- Rating on Series B EENs Notes ALLEGRO CLO V: Moody's Assigns Ba3 Rating to Class E Notes ARES CLO XLV: Moody's Assigns Ba3(sf) Rating to Class E Notes ARES CLO XXXV: Moody's Affirms Ba2(sf) Rating on Class E Notes ASSET SECURITIZATION 1997-D5: Moody's Affirms C on Cl. PS-1 Certs BANK 2017-BNK7: Fitch Assigns 'B-sf' Ratings to 2 Tranches BAYVIEW KOITERE 2017-RT4: Fitch Assigns Bsf Rating to Cl. B5 Notes CBAM LLC 2017-3: Moody's Assigns Ba3(sf) Rating to Class E-2 Notes CBAM LTD 2017-3: Moody's Assigns Ba3(sf) Rating on 2 Tranches CG-CCRE COMMERCIAL 2014-FL2: S&P Hikes Cl. SSS Certs Rating to B+ CIM TRUST 2017-7: Fitch to Rate Class B2 Notes 'Bsf' CITIGROUP 2017-P8: Fitch Assigns Final B- Ratings on 2 Tranches CITIGROUP COMMERCIAL 2015-GC35: Fitch Affirms B- Rating on F Certs CITIGROUP COMMERCIAL 2017-P8: S&P Assigns BB Rating on 2 Tranches COMM 2017-COR2: Fitch Assigns B- Rating to Class G-RR Certs COMM 2017-DLTA: S&P Assigns B-(sf) Rating on Class F Notes COSMOPOLITAN HOTEL 2016: Moody's Affirms Ba3 Rating on Cl. E Certs CREDIT SUISSE 2006-C4: Fitch Affirms CCC Rating on Cl. A-J Certs CSAIL 2017-CX9: Fitch Assigns 'B-sf' Rating to Class F Certs CSMC TRUST 2016-MFF: Moody's Affirms B2(sf) Rating on Class F Certs DLJ COMMERCIAL 1999-CG3: Moody's Affirms C Rating on Cl. S Certs DRYDEN XXV: S&P Assigns Prelim BB- Rating on Class E-RR Notes FLAGSTAR MORTGAGE 2017-1: DBRS Finalizes B Rating on Cl. B-5 Debt GREAT WOLF 2017-WOLF: S&P Assigns B(sf) Rating on Class F Certs GSMS 2015-GS1: Fitch Affirms 'B-sf' Rating on Class F Certs HIGHBRIDGE LOAN 2013-2: S&P Gives Prelim B- Rating on Cl. E-R Notes HUNTINGTON BANCSHARES: Fitch Affirms BB Preferred Stock Rating JP MORGAN 2006-LDP7: Fitch Affirms 'CCCsf' Rating on Cl. A-J Certs JP MORGAN 2007-CIBC18: Moody's Lowers Ratings on 2 Tranches to C JP MORGAN 2007-CIBC20: Moody's Hikes Class B Certs Rating to B1 JP MORGAN 2015-3: Moody's Hikes Rating on Class B-4 Debt From Ba1 JP MORGAN 2017-MAUI: DBRS Finalizes Bsf Rating on Class F Certs JPMCC COMMERCIAL 2017-JP7: DBRS Finalizes (P)BB on F-RR Debt KILIMANJARO RE 2014-1: S&P Lowers Cl. B Notes Rating to 'B-(sf)' LEHMAN BROTHERS 2007-3: S&P Affirms B (sf) Rating on Cl. M1 Notes MARINER CLO 2017-4: S&P Assigns Prelim. B- Rating on Cl. F Notes MERCURY CDO 2004-1: Moody's Hikes Ratings on 3 Tranches to B1 MERRILL LYNCH 2004-BPC1: S&P Affirms B(sf) Rating on Class E Certs MILL CITY 2017-3: Fitch Assigns 'Bsf' Rating to Class B2 Notes MILL CITY 2017-3: Moody's Assigns Ba2 Rating to Class B1 Notes ML-CFC COMMERCIAL 2007-7: Moody's Hikes Ratings on 2 Tranches to B1 MORGAN STANLEY 2003-IQ4: Moody's Affirms B1 Rating on Class K Certs MORGAN STANLEY 2015-C25: Fitch Affirms B- Rating on Class F Certs MORGAN STANLEY 2017-C34: Fitch to Rate Class F Notes 'B-sf' NATIONSTAR HECM 2017-2: Moody's Assigns Ba3 Rating to Cl. M2 Debt NEW RESIDENTIAL 2017-5: DBRS Finalizes Bsf Ratings on 5 Tranches NORTHWOODS CAPITAL XVI: Moody's Gives (P)Ba3 Rating to Cl. E Notes NXT CAPITAL 2017-2: S&P Gives Prelim. BB(sf) Rating on Cl. E Notes OFSI FUND VII: S&P Assigns BB(sf) Rating on Class E-R Notes PRUDENTIAL SECURITIES 2000-C1: Moody's Affirms C on Cl. M Debt PUTNAM STRUCTURED 2003-1: Moody's Affirms C Ratings on 2 Tranches SEQUOIA MORTGAGE 2017-CH1: Moody's Rates Cl. B-5 Certs 'Ba2' SHELLPOINT CO-ORIGINATOR 2017-2: Moody's Gives Ba1 to B-4 Debt SLM STUDENT 2006-3: Fitch Affirms 'Bsf' Ratings on 2 Tranches SLM STUDENT 2010-1: Fitch Affirms 'Bsf' Rating on Cl. A & B Notes SOCO REAL ESTATE: Proposed Sale of Austin Property for $1.5M Denied STONEMONT PORTFOLIO 2017-STONE: Fitch Rates Class F Certs 'Bsf' SUNTRUST BANKS: Fitch Affirms BB Preferred Stock Rating TABERNA PREFERRED VIII: Moody's Hikes Cl. A-2 Notes Rating to Ba1 THL CREDIT 2013-2: S&P Gives BB- Ratings on 2 Tranches TOWD POINT 2017-4: DBRS Finalizes B Rating on Class B2 Notes TOYS 'R' US 2001-31: S&P Lowers $13.09MM Class A-1 Certs to 'D' VOYA CLO 2013-1: S&P Assigns Prelim BB-(sf) Rating on D-R Notes WACHOVIA BANK 2006-C25: Moody's Lowers Cl. G Certs' Rating to C WELLS FARGO 2017-C40: Fitch to Rate Class G Notes 'B-sf' WFRBS COMMERCIAL 2014-C24: Moody's Affirms Ba2 Rating on SJ-D Certs [*] Moody's Takes Action on $2.1BB of RMBS Issued 2014-2015 [*] Moody's Takes Action on $259.7MM of Alt-A Issued 2004-2007 [*] Moody's Takes Action on $946MM of RMBS Issued 2004-2007 [*] S&P Completes Review on 38 Classes From 15 US RMBS Deals [*] S&P Completes Review on 56 Classes From 14 US RMBS Deals [*] S&P Completes Review on 58 Classes From 9 US RMBS Deals [*] S&P Completes Review on 60 Classes From Six US RMBS Deals [*] S&P Discontinues 'D(sf)' Ratings on Three US CMBS Deals ********* 280 PARK AVE 2017-280P: Fitch Assigns B- Rating to Cl. HRR Debt --------------------------------------------------------------- Fitch Ratings has assigned the following ratings and Rating Outlooks to 280 Park Avenue 2017-280P Mortgage Trust Commercial Mortgage Pass-Through Certificates: -- $509,053,000a class A 'AAAsf'; Outlook Stable; -- $78,257,000a class B 'AA-sf'; Outlook Stable; -- $80,865,000a class C 'A-sf'; Outlook Stable; -- 106,825,000a class D 'BBB-sf'; Outlook Stable; -- $151,000,000a class E 'BB-sf'; Outlook Stable; -- $95,000,000a class F 'Bsf'; Outlook Stable; -- $54,000,000ab class HRR 'B-sf'; Outlook Stable. a)Privately placed pursuant to Rule 144A. b)Horizontal credit risk retention interest representing 5% of the loan balance (as of the closing date). Two interest only classes, class X-CP and class X-EXT, were removed from the final deal structure and withdrawn after Fitch issued expected ratings for the deal on Sept. 11, 2017. The certificates represent the beneficial interests in the mortgage loan securing the fee interest in a 1,260,101 square foot (sf), 43-story office tower located at 280 Park Avenue between 48th and 49th Streets in New York City. Mortgage and mezzanine loan proceeds were used to refinance the property's existing $900 million mortgage, pay closing costs and return approximately $278 million of cash equity to the sponsor. The certificates will follow a sequential-pay structure. KEY RATING DRIVERS High-Quality Asset in Strong Location: 280 Park Avenue is a 43-story, class A office building located on Park Avenue between 48th and 49th Streets in the Grand Central office submarket of Midtown Manhattan. Fitch has assigned it a property quality grade of 'A'. Capital Improvements: The sponsor acquired the property in 2011 and has spent $142.5 million ($113psf) on the redevelopment of the building. The redevelopment included a complete redesigning of the lobby and exterior plaza, installing a new breezeway, redeveloping the public plazas, repositioning the retail, upgrading the elevators, electrical and plumbing systems, replacing the room and installing a modern HVAC system. High Overall Fitch Leverage: The $1.075 billion mortgage loan has a Fitch debt service coverage ratio (DSCR) and loan to value (LTV) of 0.84x and 104.7%, respectively, and debt of $853psf. The capital stack also includes a $125 million mezzanine loan. The total debt Fitch DSCR and LTV are 0.75x and 116.9%, respectively, and the total debt is $952psf. Creditworthy Tenancy: Approximately 20% of the net rentable area (NRA) is leased to creditworthy tenants including: Franklin Templeton (not rated by Fitch), GIC (AAA/F1+), Orix USA (A-/F2), Wells Fargo Advisors (parent rated AA-/F1+), Scottrade (BBB-/Positive) and Starbucks (A/F1). RATING SENSITIVITIES Fitch evaluated the sensitivity of the ratings for class A and found that a 10% decline in Fitch's implied NCF would result in a one-category downgrade, while a 34% decline would result in a downgrade to below investment grade. The Rating Sensitivity section in the presale report includes a detailed explanation of additional stresses and sensitivities. Key Rating Drivers and Rating Sensitivities are further described in the accompanying presale report. ABACUS LTD 2006-10: S&P Lowers Class A Notes Rating to CC(sf) ------------------------------------------------------------- S&P Global Ratings lowered its ratings on the class A, B, and C notes from Abacus 2006-10 Ltd., a synthetic collateralized debt obligation transaction backed by commercial mortgage-backed securities. The downgrade on the class A notes reflects S&P's expectation that they will incur a principal loss under the most optimistic collateral performance scenario within the next 12 months. The downgrades on the class B and C notes reflect principal losses on these notes based on recent trustee reports. RATINGS LOWERED Abacus 2006-10 Ltd. Rating Class To From A CC (sf) CCC- (sf) B D (sf) CCC- (sf) C D (sf) CCC- (sf) ACA ABS 2003-2: Moody's Hikes Class A1-SD Notes Rating to Caa3(sf) ------------------------------------------------------------------ Moody's Investors Service has upgraded the ratings on notes issued by ACA ABS 2003-2, Limited: US$10,000,000 Class A1-SW Floating Rate Notes, due December 10 , 2038 (current outstanding balance of $ 78,946.42), Upgraded to Caa3 (sf); previously on May 28, 2010 Downgraded to Ca (sf) US$315,000,000 Class A1-SU Floating Rate Notes, due December 10 , 2038 (current outstanding balance of $2,486,812.23), Upgraded to Caa3 (sf); previously on May 28, 2010 Downgraded to Ca (sf) US$146,500,000 Class A1-SD Floating Rate Notes, due December 10, 2038 (current outstanding balance of $ 1,156,565.06), Upgraded to Caa3 (sf); previously on May 28, 2010 Downgraded to Ca (sf) ACA ABS 2003-2, Limited issued in November 2003, is a collateralized debt obligation backed primarily by a portfolio of Residential Mortgage-Backed Securities (RMBS) originated between 2003 and 2006. RATINGS RATIONALE These rating actions are due primarily to the deleveraging of the senior notes and an increase in the transaction's overcollateralization (OC) ratio since September 2016. The Class A1-SW, Class A1-SU, and Class A1-SD notes have been paid down collectively by approximately 91.9%, or $42.0 million, since that time. Based on Moody's calculation, the OC ratio for the Class A-1S notes is currently 240.2% versus 67.9% in September 2016. The paydown of the Class A-1S notes is primarily the result of sales proceeds of certain assets treated as defaulted by the trustee in amounts materially exceeding expectations. Nevertheless, due to shortage in interest proceeds generated by performing assets, principal proceeds were used to make interest payments to subordinated notes. Since September 2016, the Class A-1J and A2 notes have received $4.0 million in interest payments from principal proceeds. 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: This transaction is subject to a number of factors and circumstances that could lead to either an upgrade or downgrade of the ratings, as described below: 1) Macroeconomic uncertainty: Primary causes of uncertainty about assumptions are the extent of any deterioration in either consumer or commercial credit conditions and in the residential real estate property markets. The residential real estate property market's uncertainties include housing prices; the pace of residential mortgage foreclosures, loan modifications and refinancing; the unemployment rate; and interest rates. 2) Deleveraging: One source of uncertainty in this transaction is whether deleveraging from principal proceeds, recoveries from defaulted assets, and excess interest proceeds will continue and at what pace. Faster than expected deleveraging could have a significantly positive impact on the notes' ratings. 3) Lack of portfolio granularity: the performance of the portfolio depends largely on the credit conditions of and cashflows from a few obligors. The transaction will be negatively affected if these assets experience deterioration in credit quality and/or disruption in their cashflows. Loss and Cash Flow Analysis: Owing to the deal's lack of granularity and credit quality of the portfolio, Moody's did not use a cash flow model to analyze the default and recovery properties of the collateral pool. Instead, Moody's analyzed the transaction by assessing the deal's sensitivity in scenario runs that include analysing overcollateralization levels under different default scenarios, different waterfall mechanisms and asset coverage of the rated notes. The deal's ratings are not expected to be sensitive to the typical range of changes (plus or minus two rating notches on Caa-rated assets) in the rating quality of the collateral that Moody's tests, and no sensitivity analysis was performed. AIR 2: Fitch Affirms BB- Rating on Series B EENs Notes ------------------------------------------------------ Fitch Ratings has affirmed the ratings on the following enhanced equipment notes (EENs) issued by AIR 2 US: -- Series A EENs at 'BB+/RR1'; -- Series B EENs at 'BB-/RR5'. AIR 2 US is a special purpose Cayman Islands company created to issue EENs; use the proceeds to purchase permitted investments; and enter into a risk transfer agreement. The transaction is structured as a lease payment securitization backed by payments from United Airlines for 22 Airbus A320's. The deal initially included payments from American Airlines for 19 leased A300's, but American's obligations only ran through October 2011. United's lease payments were restructured when they filed for bankruptcy in 2002, creating a continuing deficiency on each payment date. As such, the class C and class D notes (not rated by Fitch) are subject to on-going payment deficiencies. The shortfall is funded by allocating a portion of a pool of permitted investments to the lessor on each payment date. The class A and B notes continue to receive timely payments. AIR 2 US entered into the risk transfer agreement (the Payment Recovery Agreement), with a subsidiary of Airbus. The primary provision of the Payment Recovery Agreement states that if United Airlines, Inc. ('BB'/Outlook Stable) fails to pay scheduled rentals under existing subleases of aircraft with subsidiaries of Airbus, AIR 2 US will pay these rental deficiencies to a subsidiary of Airbus. These deficiency payments will come from the cash flows created by the Permitted Investments. As such, the greatest risk of the transaction is the bankruptcy risk of the lessee airline. KEY RATING DRIVERS Fitch rates this transaction using its Non-Financial Corporates Notching and Recovery Ratings Criteria. Fitch's analysis utilizes a discounted cash flow model to determine the NPV of future lease payments. The analysis assumes that lease payments experience a severe haircut in the stress case, reflecting a scenario where the aircraft are rejected and re-leased at a lower rate. The analysis also assumes a six month re-leasing period, wherein, no rental proceeds are received. The NPV is then compared to the outstanding principal balance to determine a recovery rating. Fitch expects recoveries for series A noteholders to be very strong in a lease rejection scenario. Discounted lease cash flows, applying heavy stresses to current A320 lease rates, cover series A principal and a full liquidity facility draw. The 'BB+/RR1' rating, one notch above United's 'BB' IDR, reflects the high level of projected recovery. Fitch notes that the series A notes have sufficient collateral cushion to withstand a longer re-leasing period, or lower future lease rates while still maintaining an RR1 recovery rating. Expected recoveries for series B noteholders may be weak, in the 'RR5' range, reflecting a high probability of lease payment shortfalls in a post-rejection scenario. The one-notch differential between the 'BB-/RR5' rating of the series B notes and United's 'BB' corporate IDR captures this weak recovery potential. Fitch notes that the aircraft underlying this transaction are not highly desirable. The collateral aircraft consist of Airbus A320-200s that were delivered in the mid-1990s and are now in excess of 20 years old. While newer build A320s would be considered tier 1 aircraft, older production A320's such as those in this pool are classified as tier 2 due to the lower demand for these less fuel efficient vintages. Although Air 2 US features some structural features that are akin to EETC transactions or ABS transactions, AIR 2 US is not covered effectively by Fitch's EETC or ABS ratings criteria. Underlying aircraft cannot be sold and liquidated in the event of a lease rejection by United, as they would be in a standard EETC. In addition, the underlying subleases are not cross-defaulted or cross-collateralized. ABS transactions include multiple lessors, whereas Air 2 US is solely reliant on lease payments from United. DERIVATION SUMMARY Air 2 US is a unique transaction and is not directly comparable to EETC ratings or other aircraft backed debt. Fitch rates the Air 2 US class A notes in line with United's secured term loan facilities. The term loans benefit from their security interests in key strategic assets for United like slots and gates at key airports. Fitch does not consider the A320s underlying the Air 2 US transaction to be key strategic assets due to their advanced age. Nonetheless, both Air 2 US and the United term loans are rated at 'BB+/RR1' due to their strong recovery prospects. The class B notes are rated one notch below United's unsecured notes reflecting the subordinated position and relatively weak recovery prospects of the class B notes. KEY ASSUMPTIONS Fitch's key assumptions within the rating case for Air 2 US include" -- A stress scenario where the underlying releases are rejected in the near- to intermediate term; -- Lease rates come under pressure, falling below current market rates; -- The collateral aircraft experience a re-leasing period of six months. RATING SENSITIVITIES The ratings are primarily driven by Fitch's recovery expectations and by the IDR of the underlying airline. Therefore, changes in either of those factors could lead to rating actions on the Air 2 US notes. LIQUIDITY The class A notes are cash collateralized in an amount intended to cover up to 18 months of interest payments. ALLEGRO CLO V: Moody's Assigns Ba3 Rating to Class E Notes ---------------------------------------------------------- Moody's Investors Service has assigned ratings to six classes of notes issued by Allegro CLO V, Ltd. Moody's rating action is: US$3,000,000 Class X Senior Secured Floating Rate Notes due 2030 (the "Class X Notes"), Definitive Rating Assigned Aaa (sf) US$317,500,000 Class A Senior Secured Floating Rate Notes due 2030 (the "Class A Notes"), Definitive Rating Assigned Aaa (sf) US$59,500,000 Class B Senior Secured Floating Rate Notes due 2030 (the "Class B Notes"), Definitive Rating Assigned Aa2 (sf) US$26,750,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2030 (the "Class C Notes"), Definitive Rating Assigned A2 (sf) US$33,250,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2030 (the "Class D Notes"), Definitive Rating Assigned Baa3 (sf) US$25,500,000 Class E Junior Secured Deferrable Floating Rate Notes due 2030 (the "Class E Notes"), Definitive Rating Assigned 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." 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. Allegro CLO V 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, in the aggregate, of second lien loans and unsecured loans. The portfolio is approximately 65% ramped as of the closing date. AXA Investment Managers, 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 August 2017. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $500,000,000 Diversity Score: 60 Weighted Average Rating Factor (WARF): 2951 Weighted Average Spread (WAS): 3.60% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 48.00% 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 August 2017. 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 2951 to 3394) Rating Impact in Rating Notches Class X Notes: 0 Class A Notes: 0 Class B Notes: -2 Class C Notes: -2 Class D Notes: -1 Class E Notes: -1 Percentage Change in WARF -- increase of 30% (from 2951 to 3836) Rating Impact in Rating Notches Class X Notes: 0 Class A Notes: -1 Class B Notes: -4 Class C Notes: -4 Class D Notes: -2 Class E Notes: -1 ARES CLO XLV: Moody's Assigns Ba3(sf) Rating to Class E Notes ------------------------------------------------------------- Moody's Investors Service has assigned ratings to five classes of notes issued by Ares XLV CLO Ltd. Moody's rating action is: US$341,250,000 Class A Senior Floating Rate Notes due 2030 (the "Class A Notes"), Assigned Aaa (sf) US$53,813,000 Class B Senior Floating Rate Notes due 2030 (the "Class B Notes"), Assigned Aa2 (sf) US$27,562,000 Class C Mezzanine Deferrable Floating Rate Notes due 2030 (the "Class C Notes"), Assigned A2 (sf) US$36,750,000 Class D Mezzanine Deferrable Floating Rate Notes due 2030 (the "Class D Notes"), Assigned Baa3 (sf) US$23,625,000 Class E Mezzanine Deferrable Floating Rate Notes due 2030 (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. Ares XLV 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 not senior secured loans. The portfolio is approximately 83% ramped as of the closing date. Ares CLO Management II LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets, subject to certain restrictions. In addition to the Rated Notes, the Issuer has 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 August 2017. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $525,000,000 Diversity Score: 60 Weighted Average Rating Factor (WARF): 2928 Weighted Average Spread (WAS): 3.50% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 47.5% Weighted Average Life (WAL): 9.0 years. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2017. 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 2928 to 3367) Rating Impact in Rating Notches Class A Notes: -1 Class B Notes: -2 Class C Notes: -2 Class D Notes: -1 Class E Notes: 0 Percentage Change in WARF -- increase of 30% (from 2928 to 3806) 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 ARES CLO XXXV: Moody's Affirms Ba2(sf) Rating on Class E Notes -------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Ares XXXV CLO Ltd.: US$39,750,000 Class B Senior Secured Floating Rate Notes due 2025, Upgraded to Aa1 (sf); previously on September 29, 2015 Definitive Rating Assigned Aa2 (sf) US$18,000,000 Class D Secured Deferrable Floating Rate Notes due 2025, Upgraded to Baa2 (sf); previously on September 29, 2015 Definitive Rating Assigned Baa3 (sf) Moody's also affirmed the ratings on the following notes: US$271,000,000 Class A Senior Secured Floating Rate Notes due 2025, Affirmed Aaa (sf); previously on September 29, 2015 Definitive Rating Assigned Aaa (sf) US$20,000,000 Class C Secured Deferrable Floating Rate Notes due 2025, Affirmed A2 (sf); previously on September 29, 2015 Definitive Rating Assigned A2 (sf) US$19,750,000 Class E Secured Deferrable Floating Rate Notes due 2025, Affirmed Ba2 (sf); previously on September 29, 2015 Definitive Rating Assigned Ba2 (sf) Ares XXXV CLO Ltd., issued in September 2015, is a collateralized loan obligation (CLO) backed primarily by a portfolio of senior secured loans. The transaction's reinvestment period will end in October 2017. RATINGS RATIONALE These rating actions reflect the benefit of the short period of time remaining before the end of the deal's reinvestment period in October 2017. In light of the reinvestment restrictions during the amortization period, and therefore the limited ability of the manager to effect significant changes to the current collateral pool, Moody's analyzed the deal assuming a higher likelihood that the collateral pool characteristics will maintain a positive buffer relative to certain covenant requirements. The deal has also benefited from a shortening of the portfolio's weighted average life since September 2016. Furthermore, the transaction's reported OC ratios have been stable since September 2016. Nevertheless, the credit quality of the portfolio has deteriorated since September 2016. Based on the trustee's August 2017 report, the weighted average rating factor (WARF) is currently 2872 compared to 2670 in September 2016. Additionally, the weighted average spread (WAS) of the portfolio has decreased. Based on the trustee's August 2017 report, the WAS is currently 3.53% compared to 4.05% in September 2016. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2017. 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. 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% (2301) Class A: 0 Class B: +1 Class C: +4 Class D: +3 Class E: +1 Moody's Adjusted WARF + 20% (3451) Class A: 0 Class B: -3 Class C: -2 Class D: -2 Class E: -2 Loss and Cash Flow Analysis: Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. In its base case, Moody's analyzed the collateral pool as having a performing par and principal proceeds balance of $400.2 million, no defaulted par, a weighted average default probability of 23.05% (implying a WARF of 2876), a weighted average recovery rate upon default of 48.76%, a diversity score of 78 and a weighted average spread of 3.53% (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. ASSET SECURITIZATION 1997-D5: Moody's Affirms C on Cl. PS-1 Certs ----------------------------------------------------------------- Moody's Investors Service Moody's Investor Service has affirmed the rating of one interest-only (IO) class of Asset Securitization Corporation 1997-D5, Commercial Mortgage Pass-Through Certificates, Series 1997-D5: Cl. PS-1, Affirmed C (sf); previously on Jun 9, 2017 Downgraded to C (sf) RATINGS RATIONALE The rating of the IO class, Class PS-1, 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 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 5.8% of the original pooled balance, compared to 5.7% 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 RATING: An IO class may be subject to ratings upgrades if there is an improvement in the credit quality of its referenced classes, subject to the limits and provisions of the updated IO methodology. An IO class may be subject to ratings downgrades if there is (i) a decline in the credit quality of the reference classes and/or (ii) paydowns of higher quality reference classes, subject to the limits and provisions of the updated IO methodology. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in this rating was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. Additionally, the methodology used in rating Class PS-1 was "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. DEAL PERFORMANCE As of the September 14, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 99.8% to $3.7 million from $1.8 billion at securitization. The Certificates are collateralized by three mortgage loans. Two loans, representing 51% of the pool, have defeased and are secured by US Government securities. Twenty loans have been liquidated from the pool, resulting in an aggregate realized loss of $102.9 million (64% loss severity on average). The sole non-defeased loan is the 2080 North Black Horse Pike Loan ($1.8 million -- 49% of the pool). The loan is secured by a 135,000 square foot (SF) single tenant retail property in Williamstown, New Jersey located approximately 24 miles southeast of Philadelphia. This loan is fully-amortizing and the property is fully leased to Sam's Club through October 2019, which is coterminous with the maturity date of the loan. Moody's LTV and stressed DSCR are 23% and 4.67X, respectively. BANK 2017-BNK7: Fitch Assigns 'B-sf' Ratings to 2 Tranches ---------------------------------------------------------- Fitch Ratings has assigned the following Ratings and Rating Outlooks to BANK 2017-BNK7 Commercial Mortgage Pass-Through Certificates, Series 2017-BNK7: -- $32,602,000 class A-1 'AAAsf'; Outlook Stable; -- $35,234,000 class A-2 'AAAsf'; Outlook Stable; -- $44,439,000 class A-3 'AAAsf'; Outlook Stable; -- $50,058,000 class A-SB 'AAAsf'; Outlook Stable; -- $310,000,000 class A-4 'AAAsf'; Outlook Stable; -- $334,853,000 class A-5 'AAAsf'; Outlook Stable; -- $807,186,000a class X-A 'AAAsf'; Outlook Stable; -- $233,508,000a class X-B 'AA-sf'; Outlook Stable; -- $144,141,000 class A-S 'AAAsf'; Outlook Stable; -- $50,449,000 class B 'AA-sf'; Outlook Stable; -- $38,918,000 class C 'A-sf'; Outlook Stable; -- $43,242,000ab class X-D 'BBB-sf'; Outlook Stable; -- $23,063,000ab class X-E 'BB-sf'; Outlook Stable; -- $11,531,000ab class X-F 'B-sf'; Outlook Stable; -- $43,242,000b class D 'BBB-sf'; Outlook Stable; -- $23,063,000b class E 'BB-sf'; Outlook Stable; -- $11,531,000b class F 'B-sf'; Outlook Stable. The following classes are not rated: -- $34,594,180ab class X-G; -- $34,594,180b class G; -- $60,690,746.32bc RR Interest. (a) Notional amount and interest-only. (b) Privately placed and pursuant to Rule 144A. (c) Vertical credit risk retention interest representing no less than 5% of the estimated fair value of all classes of regular certificates issued by the issuing entity as of the closing date. The ratings are based on information provided by the issuer as of Sept. 28, 2017. Since Fitch published its expected ratings on Sept. 13, 2017, the class X-B changed from 'A-sf' to 'AA-sf' based on the final deal structure. The certificates represent the beneficial ownership interest in the trust, primary assets of which are 65 loans secured by 83 commercial properties having an aggregate principal balance of $1,213,814,926 as of the cut-off date. The loans were contributed to the trust by Wells Fargo Bank, National Association; Morgan Stanley Mortgage Capital Holdings LLC; Bank of America, National Association; and National Cooperative Bank, N.A. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 82.1% of the properties by balance, cash flow analysis of 86.3%, 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 comparable Fitch-rated multiborrower transactions. The Fitch debt service coverage ratio (DSCR) and loan to value (LTV) for the pool are 1.53x and 90.9%, respectively, significantly better than the year-to-date (YTD) 2017 averages of 1.25x and 101.4%. Excluding investment-grade credit opinion and multifamily cooperative loans, the pool has a Fitch DSCR and LTV of 1.22x and 106.7%, respectively, in line with the YTD 2017 normalized averages of 1.20x and 106.7%. Investment-Grade Credit Opinion Loans: Four loans, representing 21.4% of the pool, have investment-grade credit opinions. General Motors Building (9.2% of the pool), Westin Building Exchange (5.6%), The Churchill (4.0%), and Moffett Place B4 (2.6%) have investment-grade credit opinions of 'AAAsf*', 'AAAsf*', 'AAAsf*' and 'BBB-sf*', respectively, on a stand-alone basis. Combined, the four loans have a weighted average (WA) Fitch DSCR and LTV of 1.80x and 50.6%. Above-Average Multifamily Concentration: Loans secured by multifamily properties make up 22.2% of the pool, which is well above the YTD 2017 average of 6.8% for other Fitch-rated multiborrower transactions. Loans secured by multifamily properties have a below-average probability of default in Fitch's multiborrower model. RATING SENSITIVITIES For this transaction, Fitch's net cash flow (NCF) was 15.8% below the most recent year's net operating income (NOI) for properties for which a full-year NOI was provided, excluding properties that were stabilizing during this period. Unanticipated further declines in property-level NCF could result in higher defaults and loss severities on defaulted loans and in potential rating actions on the certificates. Fitch evaluated the sensitivity of the ratings assigned to the BANK 2017-BNK7 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. BAYVIEW KOITERE 2017-RT4: Fitch Assigns Bsf Rating to Cl. B5 Notes ------------------------------------------------------------------ Fitch Ratings has assigned the following ratings to Bayview Koitere Fund Trust 2017-RT4 (BKFT 2017-RT4): -- $79,074,000 class A notes 'AAAsf'; Outlook Stable; -- $79,074,000 class A-IOA notional notes 'AAAsf'; Outlook Stable; -- $79,074,000 class A-IOB notional notes 'AAAsf'; Outlook Stable; -- $9,317,000 class B1 notes 'AAsf'; Outlook Stable; -- $9,317,000 class B1-IOA notional notes 'AAsf'; Outlook Stable; -- $9,317,000 class B1-IOB notional notes 'AAsf'; Outlook Stable; -- $2,807,000 class B2 notes 'Asf'; Outlook Stable; -- $2,807,000 class B2-IO notional notes 'Asf'; Outlook Stable; -- $7,346,000 class B3 notes 'BBBsf'; Outlook Stable; -- $7,346,000 class B3-IOA notional notes 'BBBsf'; Outlook Stable; -- $7,346,000 class B3-IOB notional notes 'BBBsf'; Outlook Stable; -- $6,510,000 class B4 notes 'BBsf'; Outlook Stable; -- $4,300,000 class B5 notes 'Bsf'; Outlook Stable. The following class will not be rated by Fitch: -- $10,094,297 class B6 notes. The notes are supported by a pool of 2,052 seasoned performing and re-performing loans (RPL) totaling $119.45 million, which including $4.1 million in non-interest-bearing deferred principal amounts, as of the cutoff date. Distributions of principal and interest and loss allocations are based on a sequential pay, senior subordinate structure. The 'AAAsf' rating on the class A, A-IOA and A-IOB notes reflects the 33.80% subordination provided by the 7.80% class B1, 2.35% class B2, 6.15% class B3, 5.45% class B4, 3.60% class B5, and 8.45% class B6 notes. Fitch's ratings on the notes reflect the credit attributes of the underlying collateral, the quality of the servicer (Bayview Loan Servicing, LLC, RSS2+), the representation (rep) and warranty framework, minimal due diligence findings, and the sequential pay structure. KEY RATING DRIVERS Recent Delinquencies (Negative): Approximately 30.5% of the borrowers in the pool have had a delinquency in the prior 24 months, with 22.5% occurring in the past 12 months. The majority of the pool (53.5%) has received a modification due to performance issues. Although the borrowers had prior delinquencies as recent as two or three months ago and tend to be chronic late payers, the seasoning of roughly 11 years indicates a willingness to stay in their home. Low Property Values (Negative): Based on Fitch's analysis, the average current property value of the pool is approximately $112,000, which is lower than the average of other Fitch-rated RPL transactions of over $150,000. Historical data from CoreLogic Loan Performance indicate that recently observed loss severities (LS) have been higher for very low property values than implied by Fitch's loan loss model. For this reason, LS floors were applied to loans with property values below $100,000, which increased the 'AAAsf' loss expectation by roughly 230 basis points (bps). Tier I Representation Framework (Positive): While the breach review trigger has been revised from prior transactions, Fitch still considers the transaction's representation, warranty and enforcement (RW&E) mechanism framework to be consistent with Tier I quality. The automatic third-party review performed on any loan that becomes 120+ days delinquent or experienced a realized loss has been replaced with an automatic review of any loan that incurs a realized loss or is 180 or more days delinquent after cumulative realized losses plus the 180+ delinquency bucket exceeds 50% of the single-B percentage as of the closing date. In addition, any unaffiliated investor has the ability to cause a third-party review (TPR) on any loans within 180 days of the loan incurring a realized loss. The transaction benefits from life-of-loan representations and warranties (R&Ws) as well as a backstop by Bayview Asset Management (BAM) in the event the sponsor, Koitere Fund L.P., is liquidated or terminated. Due Diligence Findings (Negative): A third-party review, which was conducted on 100% of the pool, resulted in 14.7% (or 302 loans) graded 'C' or 'D'. For 230 loans, the due diligence results showed issues regarding high-cost testing; the loans were either missing the final HUD1, used alternate documentation to test, or had incomplete loan files. Therefore, a slight upward revision to the model output LS was applied, as further described in the Third-Party Due Diligence section beginning on page six of the presale report. In addition, timelines were extended on 227 loans that were missing final modification documents (excluding 54 loans that were already adjusted for HUD1 issues). Hurricane Harvey and Irma Loans (Mixed): The extent of damage from Hurricane Harvey and Irma to properties in the mortgage pool is not yet known. The servicer, Bayview Loan Servicing, LLC (BLS), will be conducting inspections on properties located in counties designated as major disaster areas by the Federal Emergency Management Agency (FEMA) as a result of Harvey and Irma. The sponsor is obligated to repurchase loans that have incurred property damage due to water, flood or hurricane prior to the transaction's closing that adversely affects the value of the property. Fitch currently does not expect the effect of the storm damage to have rating implications due to the repurchase obligation of the sponsor and due to the limited exposure to affected areas relative to the credit enhancement (CE) of the rated bonds. Sequential-Pay Structure (Positive): The transaction's cash flow is based on a sequential-pay structure, whereby the subordinate classes do not receive principal until the senior classes are repaid in full. Losses are allocated in reverse-sequential order. In addition, 40 bps from the interest remittance amount will be used to pay down principal as well as any excess interest allocation from the loan-level daily interest accrual calculation. The provision to re-allocate principal to pay interest on the 'AAAsf' and 'AAsf' rated notes prior to other principal distributions, as well as the application of excess interest to the notes, is highly supportive of timely interest payments to those classes, in the absence of servicer advancing. No Servicer P&I Advances (Mixed): The servicer will not be advancing delinquent monthly payments of P&I, which reduces liquidity to the trust. However, as P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust, the loan-level LS are less for this transaction than for those where the servicer is obligated to advance P&I. Structural provisions and cash flow priorities, together with increased subordination, provide for timely payments of interest to the 'AAAsf' and 'AAsf' rated classes. Solid Alignment of Interest (Positive): The sponsor, Koitere Fund L.P., will acquire and retain a 5% vertical interest in each class of the securities to be issued. In addition, the sponsor will also be the rep provider until at least September 2024. If the fund is liquidated or terminated, BAM will be obligated to provide a remedy for material breaches of R&Ws. Deferred Amounts (Negative): Non-interest-bearing principal forbearance amounts totaling $4.1 million (3.4%) of the unpaid principal balance are outstanding on 1,534 loans. Fitch included the deferred amounts when calculating the borrower's LTV and sLTV despite the lower payment and amounts not being owed during the term of the loan. The inclusion resulted in higher PDs and LS than if there were no deferrals. Fitch believes that borrower default behavior for these loans will resemble that of the higher LTVs, as exit strategies (that is, sale or refinancing) will be limited relative to those borrowers with more equity in the property. Servicing Fee Stress (Negative): Fitch determined that the servicing fee may be insufficient to attract subsequent servicers under a period of poor performance and high delinquencies. To account for the potentially higher fee above what is allowed for under the current transaction documents, Fitch's cash flow analysis assumed a 100-bp servicing fee. CRITERIA APPLICATION Fitch's analysis incorporated one criteria variation from "U.S. RMBS Loan Loss Model Criteria," and one criteria variation from "U.S. RMBS Seasoned, Re-Performing and Non-Performing Loan Rating Criteria," which are described below. The first variation relates to overriding the default assumption for original DTI in Fitch's Loan Loss model. Based on a historical data analysis of over 750,000 loans from Fannie Mae and Fitch's rated RPL transactions, Fitch assumed an original debt-to-income ratio (DTI) of 45% for all loans in pool that did not have original DTI data available (100% of the pool). The historical loan data supports the DTI assumption of 45%. Prior to conducting the historical analysis, Fitch had previously assumed 55% for loans that were missing original DTI values. The second variation is that 0.05% of the tax, title, and lien review will be conducted within 90 days after securitization. If there are any issues found, the loan will be repurchased from the trust. Fitch also considered the robust servicing and ongoing monitoring from Bayview Loan Servicing, which is a high-touch servicing platform that specializes in seasoned loans. Given the strength of the servicer, Fitch considered the impact of a small percentage of missing tax, title, and lien reviews as of the closing date to be nonmaterial. RATING SENSITIVITIES Fitch's analysis incorporates sensitivity analyses to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at both the metropolitan statistical area (MSA) and national levels. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or be considered in the surveillance of the transaction. Fitch conducted sensitivity analysis determining how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20%, and 30%, in addition to the model-projected 37.5% at 'AAAsf'. The analysis indicates there is some potential rating migration with higher MVDs, compared with the model projection. Fitch also conducted sensitivities to determine the stresses to MVDs that would reduce a rating by one full category, to non-investment grade, and to 'CCCsf'. CBAM LLC 2017-3: Moody's Assigns Ba3(sf) Rating to Class E-2 Notes ------------------------------------------------------------------ Moody's Investors Service announced that it has assigned the following rating to a class of notes issued by CBAM 2017-3 (Secured Note) LLC: US$299,100,000 Class A Secured Notes due 2029 (the "Class A Secured Notes"), Assigned Baa3 (sf) with respect to the ultimate cash receipt of the Class A Secured Note Balance (as defined in the transaction's indenture). The Class A Secured Notes are composed of the following components that were issued by CBAM 2017-3, Ltd. (the "CLO Issuer") on September 29, 2017: US$51,999,999 Class B-2 Floating Rate Notes due 2029 (the "Class B-2 Notes"), Assigned Aa2 (sf) US$67,925,000 Class C Deferrable Floating Rate Notes due 2029 (the "Class C Notes"), Assigned A2 (sf) US$74,100,000 Class D Deferrable Floating Rate Notes due 2029 (the "Class D Notes"), Assigned Baa3 (sf) US$12,999,999 Class E-2 Deferrable Floating Rate Notes due 2029 (the "Class E-2 Notes"), Assigned Ba3 (sf) US$93,527,499 Subordinated Notes (the "Subordinated Notes") The Class B-2 Notes, Class C Notes, the Class D Notes, the Class E-2 Notes, and the Subordinated Notes are referred to herein, collectively as the "CLO Notes". The Secured Note Issuer was created solely to issue secured notes. The secured notes' structure includes several notable features. The Class A Secured Notes promise the repayment of Class A Secured Note Balance and do not bear a stated rate of interest. Moody's rating of the Class A Secured Notes does not address any other payments or additional amounts that a holder of the Class A Secured Notes may receive pursuant to the underlying documents. In addition to the Class A Secured Notes, the Secured Notes Issuer issued Class B Secured Notes. Any proceeds from the CLO Notes will be first applied to the payment of principal of the Class A Secured Notes until its principal is reduced to zero and second, distributed to the Class B Secured Notes. While the Class A Secured Notes are outstanding, the CLO Notes will not be refinanced. RATINGS RATIONALE Moody's rating of the Class A Secured Notes addresses the expected loss posed to noteholders. The rating reflects the risks due to defaults on the CLO Issuer's underlying portfolio of assets, the transaction's legal structure, and the characteristics of the CLO Issuer's underlying assets. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1, Section 3.4 and Appendix 14 ("Approach to Rating Instruments that Are Backed by CLO Secured Debt Tranches and Equity, and CLO Instruments with non-Standard Promises") of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2017. For modeling purposes, Moody's used the following base-case assumptions for the CLO Issuer's portfolio: Par amount: $1,300,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 2800 Weighted Average Spread (WAS): 3.53% Weighted Average Coupon (WAC): 5.00% Weighted Average Recovery Rate (WARR): 47.25% Weighted Average Life (WAL): 8 years. The CLO Issuer is a managed cash flow CLO. The issued notes of the CLO Issuer are collateralized primarily by broadly syndicated first lien senior secured corporate loans. At least 90% of the portfolio must consist of senior secured loans, cash and eligible investments, and up to 10% of the portfolio may consist of second lien loans and senior unsecured loans. CBAM CLO Management LLC (the "CLO Manager") directs the selection, acquisition and disposition of the assets on behalf of the CLO Issuer and may engage in trading activity, including discretionary trading, during the CLO Issuer's four year reinvestment period. Methodology Underlying the Rating Action: The principal methodology used in this rating was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2017. Factors That Would Lead to an Upgrade or Downgrade of the Rating: The performance of the Class A Secured Notes is subject to uncertainty. The performance of the Class A Secured Notes is sensitive to the performance of the CLO Notes and the CLO Issuer's portfolio, which in turn depend on economic and credit conditions that may change. The CLO Manager's investment decisions and management of the CLO Issuer will also affect the performance of the Class A Secured Notes. The rating on the Class A Secured Notes, which combines cash flows from the CLO Notes, is subject to a higher degree of volatility than the rated notes of the CLO Issuer, primarily due to the uncertainty of cash flows from the Subordinated Notes. Moody's applied haircuts to the cash flows from the Subordinated Notes based on the target rating of the Class A Secured Notes. Actual distributions from the Subordinated Notes that differ significantly from Moody's assumptions can lead to a faster (or slower) speed of reduction in the Class A Secured Note Balance, thereby resulting in better (or worse) ratings performance than previously expected. 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 Class A Secured Notes. This sensitivity analysis includes increased default probability relative to the base case default probability assumption for the CLO Issuer's portfolio. Below is a summary of the impact of an increase in default probability (expressed in terms of WARF level) on the Class A Secured Notes (shown in terms of the number of notch difference versus the current model output, whereby a negative difference corresponds to higher expected losses), holding all other factors equal: Percentage Change in WARF -- increase of 15% (from 2800 to 3220) Rating Impact in Rating Notches Class A Secured Notes: -1 Percentage Change in WARF -- increase of 30% (from 2800 to 3640) Rating Impact in Rating Notches Class A Secured Notes: -2 CBAM LTD 2017-3: Moody's Assigns Ba3(sf) Rating on 2 Tranches ------------------------------------------------------------- Moody's Investors Service has assigned ratings to eight classes of notes issued by CBAM 2017-3, Ltd. (the "Issuer" or "CBAM 2017-3"). Moody's rating action is: US$13,000,000 Class X Floating Rate Notes due 2029 (the "Class X Notes"), Assigned Aaa (sf) US$832,000,000 Class A Floating Rate Notes due 2029 (the "Class A Notes"), Assigned Aaa (sf) US$101,263,158 Class B-1 Floating Rate Notes due 2029 (the "Class B-1 Notes"), Assigned Aa2 (sf) US$54,736,842 Class B-2 Floating Rate Notes due 2029 (the "Class B-2 Notes"), Assigned Aa2 (sf) US$71,500,000 Class C Deferrable Floating Rate Notes due 2029 (the "Class C Notes"), Assigned A2 (sf) US$78,000,000 Class D Deferrable Floating Rate Notes due 2029 (the "Class D Notes"), Assigned Baa3 (sf) US$44,815,790 Class E-1 Deferrable Floating Rate Notes due 2029 (the "Class E-1 Notes"), Assigned Ba3 (sf) US$13,684,210 Class E-2 Deferrable Floating Rate Notes due 2029 (the "Class E-2 Notes"), Assigned Ba3 (sf) The Class X Notes, Class A Notes, the Class B-1 Notes, the Class B-2 Notes, the Class C Notes, the Class D Notes, the Class E-1 Notes and the Class E-2 Notes are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE Moody's ratings of the Rated Notes address the expected losses posed to noteholders. The ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. CBAM 2017-3 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 senior unsecured loans. Moody's expects the portfolio to be approximately 75% ramped as of the closing date. CBAM 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 August 2017. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $1,300,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 2800 Weighted Average Spread (WAS): 3.53% Weighted Average Coupon (WAC): 5.00% Weighted Average Recovery Rate (WARR): 47.25% 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 August 2017. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. Together with the set of modeling assumptions above, Moody's conducted an additional sensitivity analysis, which was a component in determining the ratings assigned to the Rated Notes. This sensitivity analysis includes increased default probability relative to the base case. Below is a summary of the impact of an increase in default probability (expressed in terms of WARF level) on the Rated Notes (shown in terms of the number of notch difference versus the current model output, whereby a negative difference corresponds to higher expected losses), assuming that all other factors are held equal: Percentage Change in WARF -- increase of 15% (from 2800 to 3220) Rating Impact in Rating Notches Class X Notes: 0 Class A Notes: 0 Class B-1 Notes: -2 Class B-2 Notes: -2 Class C Notes: -2 Class D Notes: -1 Class E-1 Notes: 0 Class E-2 Notes: 0 Percentage Change in WARF -- increase of 30% (from 2800 to 3640) Rating Impact in Rating Notches Class X Notes: 0 Class A Notes: -1 Class B-1 Notes: -3 Class B-2 Notes: -3 Class C Notes: -4 Class D Notes: -2 Class E-1 Notes: -1 Class E-2 Notes: -1 CG-CCRE COMMERCIAL 2014-FL2: S&P Hikes Cl. SSS Certs Rating to B+ ----------------------------------------------------------------- S&P Global Ratings lowered its ratings on five nonpooled classes of commercial mortgage pass-through certificates from CG-CCRE Commercial Mortgage Trust 2014-FL2, a U.S. commercial mortgage-backed securities (CMBS) transaction. In addition, S&P affirmed its ratings on six pooled classes and five other nonpooled classes from the same transaction. The rating actions on the principal- and interest-paying certificate classes follow S&P's analysis of the transaction primarily using its criteria for rating U.S. and Canadian CMBS transactions. This included a review of the collateral securing the remaining five interest-only (IO) floating-rate mortgage loans in the trust, the deal structure, and the liquidity available to the trust. The downgrades on the nonpooled STC1, STC2, STC3, CURT, and SSS rake classes reflect S&P's analysis of the South Towne Center, Curtis Center, and Sheraton Station Square loans. The STC, CURT, and SSS classes derive 100% of their cash flow from a subordinate nonpooled portion of the South Towne Center, Curtis Center, and Sheraton Station Square loans, respectively. Details on these loans are below. S&P said, "The affirmations on the pooled principal- and interest-paying certificate classes reflect our expectation that the available credit enhancement for these classes will generally be within our estimate of the necessary credit enhancement required for the current ratings. "The affirmations of the class COL1, COL2, and COL3 rake certificates reflect our analysis of the Colonie Center loan. The $110.0 million trust loan is secured by 759,750 sq. ft. of a 1.33 million-sq.-ft. regional mall in Albany, N.Y. The class COL rake certificates derive 100% of their cash flows from the subordinate nonpooled component totaling $36.3 million of the loan. Our property analysis concluded stable operating performance, and using a 7.25% capitalization rate, we derived an S&P Global Ratings' loan-to-value (LTV) ratio of 99.4% on the trust balance. "The affirmations on the class RGN1 and RGN2 rake certificates reflect our analysis of the Regions Tower loans. The $50.0 million trust loan is secured by a 685,612-sq.-ft. office property in Indianapolis, Ind. The class RGN rake certificates derive 100% of their cash flows from the subordinate nonpooled component totaling $10.4 million of the loan. Our property analysis concluded stable operating performance, and using a 7.50% capitalization rate, we derived an S&P Global Ratings' LTV ratio of 79.7% on the trust balance. "The affirmation on the class X-EXT IO certificates is based on our criteria for rating IO securities, in which the rating on the IO securities would not be higher than that of the lowest-rated reference class. The notional balance on class X-EXT references classes A, B, C, D, and E." As of the Sept. 15, 2017, trustee remittance report, the trust consisted of five floating-rate IO loans indexed to one-month LIBOR with an aggregate pooled trust balance of $345.7 million and an aggregate trust balance of $447.3 million, down from six loans totaling $410.2 million pooled trust balance and $512.0 million trust balance at issuance. Four loans mature in 2017, and the remaining loan matures in 2018. All of the loans have extension options remaining with final maturities in 2019. 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. The trust has not incurred any principal losses to date. Details on the three loans with material cash flow changes are as follows: -- The South Towne Center loan, the largest loan remaining in the pool, has a whole loan balance of $146.3 million that is split into a $113.1 million (32.7% of the pool trust balance) senior pooled trust participation interest and a $33.2 million subordinate nonpooled trust participation interest that provides support to the STC rake classes. In addition, the borrower's equity interest in the whole loan secures mezzanine debt totaling $20.0 million. The loan is IO, pays a floating interest rate of LIBOR plus spread (2.72898% [pooled], 4.36680% [nonpooled]) per year, and currently matures Nov. 9, 2017. The loan has two one-year extension options remaining. The loan is secured by 1,065,947 sq. ft. of a 1,277,885-sq.-ft. super regional mall and power center in Sandy, Utah. The loan is on the master servicer's watchlist because the borrower has requested for a six-month maturity extension. Our analysis considered the decline in servicer-reported net operating income (NOI) due to increasing operating expenses and decreasing revenue. The master servicer, KeyBank Real Estate Capital (KeyBank) reported a debt service coverage (DSC) and occupancy for year-end 2016 of 2.49x and 94.5%, respectively, on the trust balance. S&P's expected-case valuation, using a 7.50% S&P Global Ratings' capitalization rate, yielded an 83.1% S&P Global Ratings' LTV ratio on the trust balance. -- The Curtis Center loan, the second-largest loan remaining in the pool, has a whole loan balance of $102.0 million that is divided into a $90.2 million (26.1%) senior pooled trust balance and a $11.8 million subordinate nonpooled trust balance that provide support to the CURT rake class. In addition, the borrower's equity interest in the whole loan secures mezzanine debt totaling $48.0 million. The loan is IO, pays a floating interest rate of LIBOR plus spread (3.2941% [pooled], 4.01350% [nonpooled]) per year, and currently matures Oct. 9, 2017. The loan has two one-year extension options remaining. The loan is secured by a mixed-use (office/retail) building totaling 885,786 sq. ft., located in the central business district of Philadelphia, Penn. Our analysis considered the declining servicer-reported NOI and occupancy since issuance. KeyBank reported a 72.7% occupancy and a 1.74x DSC for the year ended Dec. 31, 2016. S&P's expected-case valuation, using a 7.00% S&P Global Ratings' capitalization rate, yielded an 83.0% S&P Global Ratings' LTV ratio on the trust balance. -- The Sheraton Station Square loan, the smallest loan remaining in the pool, has a whole loan balance of $39.0 million that is divided into a $29.1 million (8.4%) senior pooled trust participation interest and a $9.9 million subordinated nonpooled trust participation interest. In addition, the borrower's equity interest in the whole loan secures mezzanine debt totaling $22.6 million. The loan is IO, pays a floating interest rate of LIBOR plus spread (2.60000% [pooled], 5.01350% [nonpooled]) per year, and currently matures Nov. 9, 2017. The loan has two one-year extension options remaining. The loan is secured by a 399-key, full-service hotel in Pittsburgh, Penn. The loan is on KeyBank's watchlist because the loan matures in November 2017, and the first-quarter 2017 debt yield test was 5.75%, which failed to meet the debt yield trigger event threshold of 12.24% or the debt yield cure of 13.03%. Our analysis considered the servicer-reported declining NOI. KeyBank reported a DSC and occupancy of 3.03x and 57.4%, respectively, for the trailing 12 months ended March 31, 2017. S&P's expected-case valuation, using a 9.25% S&P Global Ratings' capitalization rate, yielded an 85.6% S&P Global Ratings' LTV ratio. RATINGS LIST CG-CCRE Commercial Mortgage Trust 2014-FL2 Commercial mortgage pass-through certificates series 2014-FL2 Rating Class Identifier To From A 12528PAA0 AAA (sf) AAA (sf) X-EXT 12528PAG7 BBB- (sf) BBB- (sf) B 12528PAB8 AA- (sf) AA- (sf) C 12528PAC6 A (sf) A (sf) D 12528PAD4 A- (sf) A- (sf) E 12528PAE2 BBB- (sf) BBB- (sf) STC1 12528PAJ1 BB (sf) BBB- (sf) STC2 12528PAK8 B+ (sf) BB (sf) STC3 12528PAL6 B+ (sf) BB- (sf) CURT 12528PAM4 BB- (sf) BBB- (sf) COL1 12528PAN2 BBB- (sf) BBB- (sf) COL2 12528PAP7 BB- (sf) BB- (sf) COL3 12528PAQ5 B- (sf) B- (sf) RGN1 12528PAS1 BBB- (sf) BBB- (sf) RGN2 12528PAT9 BB- (sf) BB- (sf) SSS 12528PAU6 B+ (sf) BB- (sf) CIM TRUST 2017-7: Fitch to Rate Class B2 Notes 'Bsf' ---------------------------------------------------- Fitch Ratings expects to rate CIM Trust 2017-7 as follows: -- $264,166,000 class A notes 'AAAsf'; Outlook Stable; -- $264,166,000 class A-IO notional notes 'AAAsf'; Outlook Stable; -- $47,657,000 class M1 notes 'AAsf'; Outlook Stable; -- $47,657,000 class M1-IO notional notes 'AAsf'; Outlook Stable; -- $23,829,000 class M2 notes 'Asf'; Outlook Stable; -- $23,829,000 class M2-IO notional notes 'Asf'; Outlook Stable; -- $13,067,000 class M3 notes 'BBBsf'; Outlook Stable; -- $13,067,000 class M3-IO notional notes 'BBBsf'; Outlook Stable; -- $34,334,000 class B1 notes 'BBsf'; Outlook Stable; -- $37,409,000 class B2 notes 'Bsf'; Outlook Stable. The following classes will not be rated by Fitch: -- $91,984,384 class B3 notes; -- $512,446,384 notional class A-IO-S notes. The notes are supported by 3,548 seasoned performing and re-performing mortgages with a total balance of approximately $512.5 million (which includes $34.4 million, or 6.7%, of the aggregate pool balance in non-interest-bearing deferred principal amounts) as of the cut-off date. The 'AAAsf' rating on the class A1 notes reflects the 48.45% subordination provided by the 9.30% class M1, 4.65% class M2, 2.55% class M3, 6.70% class B1, 7.30% class B2, and 17.95% class B3 notes. Fitch's ratings on the class notes reflect the credit attributes of the underlying collateral, the quality of the servicer, Select Portfolio Servicing, Inc. (SPS, rated RPS1-), and the representation (rep) and warranty framework, minimal due diligence findings and the sequential pay structure. KEY RATING DRIVERS Distressed Performance History (Negative): The collateral pool consists primarily of peak-vintage seasoned re-performing loans (RPLs). Based on Mortgage Bankers Association (MBA) methodology, 6.8% of the loans were 30 days delinquent and 1.1% of the loans were 60 days delinquent as of the cut-off date. Of these, 59.7% have either experienced a delinquency in the past 24 months, or had an incomplete pay string, identified by Fitch as "dirty current." The remaining 32.4% have been paying for the past 24 months, identified as "clean current"; 83.2% of the loans have received modifications. Solid Alignment of Interest (Positive): The sponsor, or a majority-owned affiliate, will retain at least a 5% eligible horizontal interest in the securities to be issued. Fitch considers the transaction's representation, warranty, and enforcement (RW&E) mechanism framework to be consistent with Tier 1 quality. The transaction benefits from life-of-loan representations and warranties (R&Ws). New Issuer (Neutral): This is Chimera Investment Corporation's first rated RPL securitization. Chimera has been involved as an issuer in 16 non-rated RPL securitizations since 2014 and completed five prime jumbo securitizations from 2008 to 2012. Fitch conducted a full review of Chimera's aggregation processes and believes they meet industry standards that are needed to properly aggregate and securitize re-performing and non-performing residential mortgage loans (RPL and NPL, respectively). In addition to the satisfactory operational assessment, a due diligence review was completed on 100% of the pool. Sequential-Pay Structure (Positive): The transaction's cash flow is based on a sequential-pay structure whereby the subordinate classes do not receive principal until the senior classes are repaid in full. Losses are allocated in reverse-sequential order. Furthermore, the provision to re-allocate principal to pay interest on the 'AAAsf' and 'AAsf' rated notes prior to other principal distributions is highly supportive of timely interest payments to those classes in the absence of servicer advancing. Limited Excess Cash Flow (Negative): The excess cash flow in the structure is limited due to the inclusion of corresponding interest-only (IO) notes for all of the non net-WAC classes (class A, M1, M2, and M3) which results in nearly all of the interest from the collateral being used to pay interest to the bonds. This, in conjunction with principal being diverted to pay interest to the A and M1 bonds, causes the difference between Fitch's expected losses and the subordination needed to be higher than in other recently rated RPL transactions. Third-Party Due Diligence (Mixed): A third-party due diligence review was conducted on 100% of the pool and focused on regulatory compliance, pay history, and a tax and title lien search. The third-party review (TPR) firms' due diligence review resulted in 7.7% 'C' and 'D' graded loans, meaning the loans had material violations or lacked documentation to confirm regulatory compliance. This is below the average of approximately 10.8% seen in other recently rated RPL transactions and demonstrates relatively low operational risk. Deferred Amounts (Negative): Non-interest-bearing principal forbearance amounts totaling $34.4 million (6.7%) of the unpaid principal balance are outstanding on 1,877 loans. Fitch included the deferred amounts when calculating the borrower's LTV and sLTV despite the lower payment and amounts not being owed during the term of the loan. The inclusion resulted in higher PDs and LS than if there were no deferrals. Fitch believes that borrower default behavior for these loans will resemble that of the higher LTVs, as exit strategies (i.e. sale or refinancing) will be limited relative to those borrowers with more equity in the property. No Servicer P&I Advances (Mixed): The servicer will not be advancing delinquent monthly payments of P&I, which reduces liquidity to the trust. However, as P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust, the loan-level loss severities (LS) are less for this transaction than for those where the servicer is obligated to advance P&I. Structural provisions and cash flow priorities, together with increased subordination, provide for timely payments of interest to the 'AAAsf' and 'AAsf' rated classes. Hurricane Harvey and Irma Loans (Negative): Inspections were ordered on properties located in counties designated as major disaster areas by the Federal Emergency Management Agency (FEMA) as a result of Hurricane Harvey. Out of the 125 loans in the disaster areas, only two loans showed minimal damage and therefore remain in the loan pool. The extent of damage from Hurricane Irma to properties in the mortgage pool is not yet known. Currently, 16.9% of the pool is located in disaster areas in AL, FL, GA, and SC. Within 30 days of the closing date, the servicer will order inspections on properties located in designated disaster areas. The remedy provider is obligated to repurchase loans that have incurred property damage due to water, flood, or hurricane prior to the transaction's closing that adversely affects the value of the property. Fitch currently does not expect the effect of the storm damage to have rating implications due to the repurchase obligation of the sponsor and due to the limited exposure to affected areas relative to the credit enhancement (CE) of the rated bonds. CRITERIA APPLICATION Fitch's analysis incorporated one criteria variation from "U.S. RMBS Loan Loss Model Criteria," which is described below. The variation relates to overriding the default assumption for original debt-to-income ratio (DTI) in Fitch's Loan Loss model. Based on a historical data analysis of over 750,000 loans from Fannie Mae and Fitch's rated RPL transactions, Fitch assumed an original DTI of 45% for all loans in pool that did not have original DTI data available (100% of the pool). The historical loan data supports the DTI assumption of 45%. Prior to conducting the historical analysis, Fitch had previously assumed 55% for loans that were missing original DTI values. RATING SENSITIVITIES Fitch's analysis incorporates sensitivity analyses to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at both the metropolitan statistical area (MSA) and national levels. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or be considered in the surveillance of the transaction. Fitch conducted sensitivity analysis determining how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20%, and 30%, in addition to the model-projected 37.7% at 'AAAsf'. The analysis indicates there is some potential rating migration with higher MVDs, compared with the model projection. Fitch also conducted sensitivities to determine the stresses to MVDs that would reduce a rating by one full category, to non-investment grade, and to 'CCCsf'. CITIGROUP 2017-P8: Fitch Assigns Final B- Ratings on 2 Tranches --------------------------------------------------------------- Fitch Ratings has assigned final ratings and Outlooks to Citigroup Commercial Mortgage Trust 2017-P8 commercial mortgage pass-through certificates. -- $31,000,000 class A-1 'AAAsf'; Outlook Stable; -- $40,600,000 class A-2 'AAAsf'; Outlook Stable; -- $285,000,000 class A-3 'AAAsf'; Outlook Stable; -- $317,631,000 class A-4 'AAAsf'; Outlook Stable; -- $48,700,000 class A-AB 'AAAsf'; Outlook Stable; -- $111,022,000 class A-S 'AAAsf'; Outlook Stable; -- $833,953,000a class X-A 'AAAsf'; Outlook Stable; -- $41,310,000 class B 'AA-sf'; Outlook Stable; -- $41,310,000a class X-B 'AA-sf'; Outlook Stable; -- $42,601,000 class C 'A-sf'; Outlook Stable; -- $47,765,000b class D 'BBB-sf'; Outlook Stable; -- $47,765,000ab class X-D 'BBB-sf'; Outlook Stable; -- $20,655,000b class E 'BB-sf'; Outlook Stable; -- $20,655,000ab class X-E 'BB-sf'; Outlook Stable; -- $10,328,000b class F 'B-sf'; Outlook Stable; -- $10,328,000ab class X-F 'B-sf'; Outlook Stable. -- $43,892,263bcd class V-2A 'AAAsf'; Outlook Stable; -- $2,174,211bcd class V-2B 'AA-sf'; Outlook Stable; -- $2,242,158bcd class V-2C 'A-sf'; Outlook Stable; -- $2,513,947bcd class V-2D 'BBB-sf'; Outlook Stable; -- $48,308,632bcd class V-3AC 'A-sf'; Outlook Stable; -- $2,513,947bcd class V-3D 'BBB-sf'; Outlook Stable. The following classes are not expected to be rated by Fitch: -- $36,147,149b class G; -- $36,147,149ab class X-G; -- $54,355,745bc class V-1; -- $3,533,166bcd class V-2E; -- $3,533,166bcd class V-3E. (a) Notional amount and interest-only. (b) Privately placed and pursuant to Rule 144A. (c) Vertical credit risk retention interest representing no less than 5% of the estimated fair value of all classes of regular certificates issued by the issuing entity as of the closing date. (d) Exchangeable classes that are components of class V-1. Since Fitch issued its expected ratings on Sept. 8, 2017, the issuer removed the interest-only class X-C; as such, Fitch withdrew its expected rating on this class. Also, the V-2A, V-2B, V-2C, V-2D, V-2E, V-3AC, V-3D and V-3E classes have been added to the transaction as exchangeable certificates exchangeable for class V-1. The classes above reflect the final ratings and deal structure. The certificates represent the beneficial ownership interest in the trust, primary assets of which are 53 loans secured by 167 commercial properties having an aggregate principal balance of $1,087,114,895 as of the cut-off date. The loans were contributed to the trust by Citi Real Estate Funding Inc., Barclays Bank PLC, Principal Commercial Capital, Starwood Mortgage Capital LLC and Citigroup Global Markets Realty Corp. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 75% of the properties by balance, cash flow analysis of 89.8%, and asset summary reviews on 100% of the pool. KEY RATING DRIVERS Fitch Leverage in Line with Recent Transactions: The pool has a weighted average Fitch DSCR of 1.26x, which is slightly better than the 2016 average of 1.21x and approximately in line with the YTD 2017 average of 1.25x for other recent Fitch-rated U.S. multiborrower deals. Additionally, the pool's weighted average Fitch LTV of 100% is slightly better than the 2016 and YTD 2017 averages of 105.2% and 101.4%, respectively. Investment-Grade Credit Opinion Loans: Three loans representing 11.98% of the pool received an investment grade credit opinion on a stand-alone basis including, 225 & 233 Park Avenue South (BBB-sf*), General Motors Building (AAAsf*) and 245 Park (BBB-sf*). This is higher than the 2016 and YTD 2017 averages of 8.36% and 11.33% for other recent Fitch-rated U.S. multiborrower deals. Fitch's stressed conduit DSCR and LTV, net of credit opinion loans, are 1.24x and 104.8%, respectively. Diverse Pool: Top 10 loans comprise 43.5% of the pool by balance. This is better than average when compared with the 2016 and YTD 2017 averages of 54.8% and 53.3%, respectively. As a result, the pool's loan concentration index (LCI) of 301 is below the 2016 and YTD 2017 averages of 422 and 399, respectively. Higher Office and Lower Hotel Concentrations: The largest property type in the pool is office at 43.4% of the pool by balance, followed by retail at 32.4% and hotel at 10.1%. Office concentration is significantly higher than the 2016 average of 28.7% and slightly higher than the YTD 2017 average of 41.3%. Retail concentration is average compared to 31.4% for other Fitch-rated deals in 2016 but higher than the YTD 2017 average of 24.3%. The pool's hotel concentration is lower than the 2016 and YTD 2017 averages of 16% and 15.8%, respectively. Loans secured by 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 9.6% 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 CGCMT 2017-P8 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. CITIGROUP COMMERCIAL 2015-GC35: Fitch Affirms B- Rating on F Certs ------------------------------------------------------------------ Fitch Ratings has affirmed 15 classes of Citigroup Commercial Mortgage Trust (CGCMT) 2015-GC35 Mortgage Pass-Through Certificates, Series 2015-GC34. KEY RATING DRIVERS The affirmations are based on the overall stable performance of the majority of the underlying collateral with no material changes to pool metrics since issuance. As of the September 2017 distribution date, the pool's aggregate principal balance has been reduced by 0.84% to $1.096 billion from $1.105 billion at issuance. Currently, there is one specially serviced loan (2.9%) while seven additional loans (9%) are considered Fitch Loans of Concern (FLOCs). The majority of these loans are experiencing performance issues anticipated at closing. All loans remain current. Interest shortfalls are currently affecting the non-rated class H. Specially Serviced Loan: The 10th largest loan in the pool, Hammons Hotel Portfolio (2.9% of the pool), transferred to special servicing in August 2016 due to the borrower and parent company filing for Chapter 11 bankruptcy. The filing was made in connection with litigation, which was ongoing at issuance, related to a complex deal made in 2005 to reprivatize Hammons Hotels. Overall portfolio cash flow has improved since issuance, with year-end (YE) 2016 net cash flow (NCF) debt service coverage ratio (DSCR) at 1.96x, up from 1.88x at YE 2015. Further, per the trailing 12 months (TTM) June 2017 STR reporting, the weighted average revenue per available room (RevPAR) penetration for the collateral properties was 119.9%. Fitch Loans of Concern: Seven additional loans (9% of the pool) are considered FLOCs, including the eighth largest loan in the transaction. At issuance, 750 Lexington Avenue (4.2% of the pool) was facing a large imminent lease roll; Locke Lord, which occupied 31% of the net rentable area (NRA; 22% of the revenue), subsequently vacated the property at lease expiration in June 2016. The loan includes a $7.75 million upfront leasing reserve related to this space. Fitch will continue to monitor the leasing status of the space. High Hotel Exposure: Approximately 23% of the pool by balance consists of loans secured by hotel properties, including four of the largest 10 loans. This concentration is above the average for Fitch-rated transactions of similar vintage. Hotels have the highest probability of default in Fitch's multiborrower CMBS model. Above-Average Pool Concentration: The largest 10 loans account for 63% of the pool by balance, which is higher than Fitch-rated transactions of similar vintage. Pool Amortization: To date, the pool has paid down by only 0.84%. Based on the scheduled balance at maturity, the pool is scheduled to amortize by approximately 7.7%. Eight loans (37.8%) are full term interest only while 23 loans (33.1%) are partial interest only. Hurricane Exposure: Fitch has identified eight loans (4.7% of the pool), which are located in areas of Texas and Florida impacted by Hurricanes Harvey and Irma. Servicer reporting on the six Texas locations noted significant flooding damage at one small retail property (0.4%), which was factored into Fitch's analysis. A servicer update on any damage to the Florida properties has not yet been received; however, recent Fitch inquiries found the three properties open for business. RATING SENSITIVITIES The Rating Outlooks on all classes remain Stable. Fitch does not foresee positive or negative ratings migration until a material economic or asset-level event changes the transaction's overall portfolio-level metrics. Deutsche Bank is the trustee for the transaction, and also serves as the backup advancing agent. Fitch recently downgraded Deutsche Bank's Issuer Default Rating to 'BBB+'/'F2' from 'A-'/'F1' on Sept. 28, 2017. Please refer to press release, "Fitch: Deutsche Bank Downgrade Breaches SF Counterparty Triggers," dated Oct. 3, 2017 for further details. Fitch is in discussion with Deutsche Bank for potential mitigants. 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: -- $21.5 million class A-1 at 'AAAsf'; Outlook Stable; -- $111.6 million class A-2 at 'AAAsf'; Outlook Stable; -- $200 million class A-3 at 'AAAsf'; Outlook Stable; -- $386.6 million class A-4 at 'AAAsf'; Outlook Stable; -- $44.5 million class A-AB at 'AAAsf'; Outlook Stable; -- $829.3 million* class X-A at 'AAAsf'; Outlook Stable; -- $59.4 million* class X-B at 'AA-sf'; Outlook Stable; -- $64.9 million class A-S at 'AAAsf'; Outlook Stable; -- $59.4 million class B at 'AA-sf'; Outlook Stable; -- $183.7 million class PEZ at 'A-sf'; Outlook Stable; -- $59.4 million class C at 'A-sf'; Outlook Stable; -- $58 million class D at 'BBB-sf'; Outlook Stable; -- $58 million* class X-D at 'BBB-sf'; Outlook Stable; -- $29 million class E at 'BB-sf'; Outlook Stable; -- $11.1 million class F at 'B-sf'; Outlook Stable. * Notional amount and interest only. Class A-S, class B, and class C certificates may be exchanged for class PEZ certificates, and class PEZ certificates may be exchanged for the class A-S, class B, and class C certificates. Fitch does not rate the class G or the class H. CITIGROUP COMMERCIAL 2017-P8: S&P Assigns BB Rating on 2 Tranches ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Citigroup Commercial Mortgage Trust 2017-P8's $917.9 million commercial mortgage pass-through certificates series 2017-P8. The certificate issuance is a commercial mortgage-backed securities (CMBS) transaction backed by 53 commercial mortgage loans with an aggregate principal balance of $1.087 billion ($917.9 million of offered certificates), secured by the fee and leasehold interests in 167 properties across 32 states. The ratings reflect the credit support provided by the transaction structure, S&P's view of the underlying collateral's economics, the trustee-provided liquidity, the collateral pool's relative diversity, and our overall qualitative assessment of the transaction. Since preliminary ratings were issued, the X-C certificate class has been removed from the transaction. Additionally, a portion of the non-offered vertical risk retention will be rated, as represented by the V-2A through V-2D, V-3AC, and V-3D certificates. RATINGS ASSIGNED Citigroup Commercial Mortgage Trust 2017-P8 Class Rating Amount ($) A-1 AAA (sf) 31,000,000 A-2 AAA (sf) 40,600,000 A-3 AAA (sf) 285,000,000 A-4 AAA (sf) 317,631,000 A-AB AAA (sf) 48,700,000 X-A AAA (sf) 833,953,000(i) X-B AA (sf) 41,310,000(i) A-S AAA (sf) 111,022,000 B AA (sf) 41,310,000 C A (sf) 42,601,000 X-D(ii) BBB- (sf) 47,765,000(i) X-E(ii) BB (sf) 20,655,000(i) X-F(ii) BB- (sf) 10,328,000(i) X-G(ii) NR 36,147,149(i) D(ii) BBB- (sf) 47,765,000 E(ii) BB (sf) 20,655,000 F(ii) BB- (sf) 10,328,000 G(ii) NR 36,147,149 V-1(ii) NR 30,771,042(iii) V-2A(ii) AAA (sf) 9,227,244(iii) V-2B(ii) AA (sf) 457,073(iii) V-2C(ii) A(sf) 471,073(iii) V-2D(ii) BBB-(sf) 528,494(iii) V-2E(ii) NR 742,759(iii) V-3AC(ii) A (sf) 10,805,216(iii) V-3D(ii) BBB- (sf) 562,295(iii) V-3E(ii) NR 790,265(iii) (i)Notional balance. (ii)Non-offered certificates. (iii)Initial balance. Class V-1 certificates can be exchanged for Class V-2A through Class V-3E certificates. NR--Not rated. COMM 2017-COR2: Fitch Assigns B- Rating to Class G-RR Certs ----------------------------------------------------------- Fitch Ratings has assigned the following ratings and Rating Outlooks to COMM 2017-COR2 Mortgage Trust Pass-Through Certificates, Series 2017-COR2: -- $23,905,000 class A-1 'AAAsf'; Outlook Stable; -- $46,998,000 class A-SB 'AAAsf'; Outlook Stable; -- $255,000,000 class A-2 'AAAsf'; Outlook Stable; -- $315,633,000 class A-3 'AAAsf'; Outlook Stable; -- $703,398,000 class X-A 'AAAsf'; Outlook Stable; -- $61,862,000 class A-M 'AAAsf'; Outlook Stable; -- $43,533,000 class B 'AA-sf'; Outlook Stable; -- $44,678,000 class C 'A-sf'; Outlook Stable; -- $43,533,000 class X-B 'AA-sf'; Outlook Stable; -- $28,640,000 class X-D 'BBBsf'; Outlook Stable; -- $28,640,000 class D 'BBBsf'; Outlook Stable; -- $22,912,000 class E-RR 'BBB-sf'; Outlook Stable; -- $20,621,000 class F-RR 'BBsf'; Outlook Stable; -- $12,602,000 class G-RR 'B-sf'; Outlook Stable. The ratings are based on information provided by the issuer as of Sept. 28, 2017. Fitch does not rate the $40,096,327 class H-RR. The certificates represent the beneficial ownership interest in the trust, primary assets of which are 42 loans secured by 55 commercial properties having an aggregate principal balance of $916,480,327 as of the cut-off date. The loans were contributed to the trust by Jefferies LoanCore LLC, German American Capital Corporation and Citi Real Estate Funding Inc. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 80.6% of the properties by balance, cash flow analysis of 80.0%, and asset summary reviews on 100% of the pool. KEY RATING DRIVERS Higher Fitch Leverage Compared to Recent Transactions: The pool has higher leverage than other recent Fitch-rated multiborrower transactions. The pool's Fitch debt service coverage ratio (DSCR) of 1.15x is lower than both the year-to-date (YTD) 2017 average of 1.25x and the 2016 average of 1.21x. The pool's Fitch loan to value (LTV) of 109.8% is higher than both the YTD 2017 average of 101.6% and the 2016 average of 105.2%. Limited Amortization: There are 14 loans (42.1% of the pool) that are full-term interest-only and 17 loans (39.0%) that are partial interest-only. Based on the scheduled balance at maturity, the pool will pay down by 8.4%, which is below both the YTD 2017 average of 8.2% and the 2016 average of 10.4%. Investment-Grade Credit Opinion Loan: The seventh largest loan, Colorado Center (4.4% of the pool) has a credit opinion of 'A+sf*' on a stand-alone basis; this is below the YTD 2017 average of 11.3% credit opinion loans in other Fitch-rated multiborrower transactions. Net of this loan, the Fitch DSCR and LTV are 1.14x and 112.1%, respectively, for this transaction. RATING SENSITIVITIES For this transaction, Fitch's net cash flow (NCF) was 7.2% 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 COMM 2017-COR2 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. COMM 2017-DLTA: S&P Assigns B-(sf) Rating on Class F Notes ---------------------------------------------------------- S&P Global Ratings assigned its ratings to COMM 2017-DLTA Mortgage Trust's $283.0 million commercial mortgage pass-through certificates. The issuance is a commercial mortgage-backed securities transaction backed by one two-year, floating-rate commercial mortgage loan totaling $283.0 million with five one-year extension options, secured by the fee simple interest in 56 industrial properties within northern California. The ratings reflect S&P's view of the collateral's historical and projected performance, the sponsors' and managers' experience, the trustee-provided liquidity, the loan's terms, and the transaction's structure. RATINGS ASSIGNED COMM 2017-DLTA Mortgage Trust Class Rating(i) Amount ($) A AAA (sf) 118,916,000 X-EXT NR 0(ii) B AA- (sf) 29,363,000 C A- (sf) 22,021,000 D BBB- (sf) 27,014,000 E BB- (sf) 36,702,000 F B- (sf) 34,834,000 VRR(iii) NR 14,150,000 (i)The issuer will issue the certificates to qualified institutional buyers in line with Rule 144A of the Securities Act of 1933. (ii)The class X-EXT certificates' amount will equal to zero, and any prepayment charges will be allocated to this class and the class VRR certificates. (iii)Non-offered vertical risk retention class. NR--Not rated. COSMOPOLITAN HOTEL 2016: Moody's Affirms Ba3 Rating on Cl. E Certs ------------------------------------------------------------------ Moody's Investors Service affirmed the ratings on five classes of Cosmopolitan Hotel Trust 2016-COSMO, Commercial Mortgage Pass-Through Certificates, Series 2016-COSMO. Moody's rating action is: Cl. A, Affirmed Aaa (sf); previously on Nov 9, 2016 Definitive Rating Assigned Aaa (sf) Cl. B, Affirmed Aa3 (sf); previously on Nov 9, 2016 Definitive Rating Assigned Aa3 (sf) Cl. C, Affirmed A3 (sf); previously on Nov 9, 2016 Definitive Rating Assigned A3 (sf) Cl. D, Affirmed Baa3 (sf); previously on Nov 9, 2016 Definitive Rating Assigned Baa3 (sf) Cl. E, Affirmed Ba3 (sf); previously on Nov 9, 2016 Definitive Rating Assigned Ba3 (sf) RATINGS RATIONALE Moody's has affirmed the ratings on five P&I classes due to the transaction's key metrics, including Moody's loan-to-value (LTV) ratio and Moody's stressed debt service coverage ratio (DSCR), being within acceptable ranges. 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, an increase in defeasance or an improvement in loan performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the loan 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. DEAL PERFORMANCE As of the September 15, 2017 Payment Date, the transaction's aggregate certificate balance remains unchanged at $1.037 Billion. The securitization is backed by a single floating rate loan collateralized by The Cosmopolitan of Las Vegas. The interest only loan's final maturity date including three one-year extensions is in November 2021. The property encumbered with $513 million of subordinated mezzanine debt. The Cosmopolitan of Las Vegas is a full-service, luxury hotel and casino located on the Las Vegas Strip, NV. The hotel opened in 2010 and is one of the newest properties in the market. The property features 3,005 rooms and suites situated within two high-rise towers, a 111,500 SF casino, 30 restaurants, lounges and bars, a nightclub/dayclub, full-service spa, two fitness centers, a live theater, 23,500 SF of retail, three outdoor swimming pools, various public and private spa pools, two rooftop tennis courts, business center, and 250,000 SF of meeting/conference space. The property's Net Cash Flow (NCF) for the trailing twelve month period ending March 2017 was $235.6 million, up significantly from $172.0 Million at securitization. Moody's stabilized NCF is $133.1 million, the same as securitization. Moody's stressed LTV and stressed DSCR are 91% and 1.39X, respectively. The trust has not incurred any losses or interest shortfalls as of the current Payment Date. CREDIT SUISSE 2006-C4: Fitch Affirms CCC Rating on Cl. A-J Certs ---------------------------------------------------------------- Fitch Ratings has affirmed 15 classes and downgraded one class of Credit Suisse Commercial Mortgage Trust (CSMC) commercial mortgage pass-through certificates series 2006-C4. KEY RATING DRIVERS Concentrated Pool: The pool is highly concentrated with only 17 loans remaining, and the top three loans represent 75% of the pool. In addition, the second and third largest loans (47%) are considered Fitch Loans of Concern (FLOC). 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 fully amortizing loans, balloon loans, and FLOCs. The ratings reflect this sensitivity analysis. High Percentage of Loans of Concern: Fitch has designated nine loans (62.5% of the pool balance) as FLOCs, which includes five specially serviced loans (28.6%). The four FLOCs not in special servicing (29.2%) are characterized by deteriorating performance, near-term tenant rollover and/or previously modified loans including one Hope Note (4.7%). The transaction's distressed ratings reflect the high percentage of FLOCs, as well as the concentrated nature of the pool. Maturity Schedule: The remaining loans have maturity dates as follows: 2017 (26.8%), 2018 (29.4%), 2019 (8%), 2021(6.9%) and 2026 (1.7%). In addition, three loans (27.2%) matured in 2016 and are in special servicing. RATING SENSITIVITIES Future upgrades are unlikely due to the portfolio's concentration; however, upgrades to class A-J are possible in the event recoveries are better than expected on the second largest loan in the pool (25.5%), which is also the largest FLOC. Classes B and C are subject to further downgrades should more loans transfer to special servicing and/or additional losses are realized. Fitch has downgraded the following class: -- $12 million class D to 'Dsf' from 'Csf'; RE 0%. Fitch has affirmed the following ratings: -- $101 million class A-J at 'CCCsf'; RE 95%; -- $26.7 million class B at 'CCsf'; RE 0%; -- $64.1 million class C at 'Csf'; RE 0%; -- $0 million class E at 'Dsf'; RE 0%; -- $0 class F at 'Dsf'; RE 0%; -- $0 class G at 'Dsf'; RE 0%; -- $0 class H at 'Dsf'; RE 0%; -- $0 class J at 'Dsf'; RE 0%; -- $0 class K at 'Dsf'; RE 0%; -- $0 class L at 'Dsf'; RE 0%; -- $0 class M at 'Dsf'; RE 0%; -- $0 class N at 'Dsf'; RE 0%; -- $0 class O at 'Dsf'; RE 0%. -- $0 class P at 'Dsf'; RE 0%. -- $0 class Q at 'Dsf'; RE 0%. Classes A-1, A-2, A-3, A-AB, A-4 FL, A-1-A and A-M were repaid in full. Fitch does not rate the class S certificates. Fitch previously withdrew the ratings on the interest-only class A-X, A-SP and A-Y certificates. CSAIL 2017-CX9: Fitch Assigns 'B-sf' Rating to Class F Certs ------------------------------------------------------------ Fitch Ratings has assigned the following ratings and Ratings Outlooks to CSAIL 2017-CX9 Commercial Mortgage Trust Commercial Mortgage Pass-Through Certificates Series 2017-CX9: -- $21,973,000 class A-1 'AAAsf'; Outlook Stable; -- $233,274,000 class A-2 'AAAsf'; Outlook Stable; -- $97,756,000 class A-3 'AAAsf'; Outlook Stable; -- $93,339,000 class A-4 'AAAsf'; Outlook Stable; -- $140,010,000 class A-5 'AAAsf'; Outlook Stable; -- $14,861,000 class A-SB 'AAAsf'; Outlook Stable; -- $703,205,000b class X-A 'AAAsf'; Outlook Stable; -- $73,004,000b class X-B 'AA-sf'; Outlook Stable; -- $101,992,000 class A-S 'AAAsf'; Outlook Stable; -- $703,205,000d class V1-A 'AAAsf'; Outlook Stable; -- $42,943,000 class B 'AA-sf'; Outlook Stable; -- $30,061,000 class C 'A-sf'; Outlook Stable; -- $73,004,000d class V1-B 'A-sf'; Outlook Stable; -- $31,134,000a class D 'BBB-sf'; Outlook Stable; -- $31,134,000ad class V1-D 'BBB-sf'; Outlook Stable; -- $18,252,000ab class X-E'BB-sf'; Outlook Stable; -- $18,252,000a class E 'BB-sf'; Outlook Stable; -- $18,252,000ad class V1-E 'BB-sf'; Outlook Stable; -- $8,588,000ac class F 'B-sf'; Outlook Stable. The following classes are not rated: -- $24,693,504ac class NR; -- $33,281,503ad class V1-F; -- $858,876,503ad class V2-A. (a) Privately placed and pursuant to Rule 144A. (b) Notional amount and interest-only. (c) Horizontal credit risk retention interest representing 3.71% of the pool balance (as of the closing date). (d) Exchangeable classes. The ratings are based on information provided by the issuer as of Sept. 29, 2017. Fitch revised its rating for class X-B to a final rating of 'AA-sf' from an expected rating of 'A-sf' based on the final deal structure. VRR Interest - The amount of the VRR Interest represents 4.27% ($36,680,503) of the pool balance (as of the closing date). The certificates represent the beneficial ownership interest in the trust, primary assets of which are 31 loans secured by 70 commercial properties having an aggregate principal balance of $858,876,504 as of the cut-off date. The loans were contributed to the trust by: Column Financial, Inc., Natixis Real Estate Capital LLC, and Benefit Street Partners CRE Finance LLC. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 84.9% of the properties by balance, cash flow analysis of 97.5%, and asset summary reviews on 100% of the pool. KEY RATING DRIVERS Lower Fitch Leverage than Recent Transactions: The pool's leverage statistics are significantly lower than those of recent, comparable Fitch-rated multiborrower transactions. The pool's Fitch DSCR of 1.55x is better than the 2017 YTD average of 1.25x and 2016 average of 1.21x. The pool's Fitch LTV of 85.0% is better than the 2017 YTD and 2016 averages of 101.4% and 105.2%, respectively. Excluding the transaction's five credit opinions, the pool has a Fitch DSCR and LTV of 1.53x and 95.7%. Investment-Grade Credit Opinion Loans: Five loans, representing 29.3% of the pool, have investment-grade credit opinions - 245 Park Avenue (6.3% of the pool) and 85 Broad Street (5.2%) both have 'BBB-sf*'credit opinions. West Town Mall (3.5%) has a 'BBBsf*' credit opinion, while Two Independence Square (6.4%) and Building Exchange (7.9%) have respective credit opinions of 'A-sf*' and 'AAAsf'. Dark Value Adjustment: Fitch adjusted the 'AAA' proceeds assigned to the Bob Evans portfolio loan to constrain the 'AAA' proceeds to Fitch's calculated dark value for the portfolio of $11.6 million. The loan, which is secured by 23 free-standing restaurants, represents 2.8% of the pool. Highly Concentrated Pool: The largest 10 loans compose 60.5% of the pool, higher than the average top 10 concentration for 2017 YTD and 2016 of 53.3% and 54.8%, respectively. The pool's loan concentration index (LCI) score is 491, indicating greater concentration than the 2017 YTD average of 399 and 2016 average of 422. RATING SENSITIVITIES For this transaction, Fitch's net cash flow (NCF) was 8.4% 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 the CSAIL 2017-Cx9 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. CSMC TRUST 2016-MFF: Moody's Affirms B2(sf) Rating on Class F Certs ------------------------------------------------------------------- Moody's Investors Service affirmed the ratings on seven classes of CSMC Trust 2016-MFF, Commercial Mortgage Pass-Through Certificates, Series 2016-MFF. Moody's rating action is: Cl. A, Affirmed Aaa (sf); previously on Nov 23, 2016 Definitive Rating Assigned Aaa (sf) Cl. B, Affirmed Aa3 (sf); previously on Nov 23, 2016 Definitive Rating Assigned Aa3 (sf) Cl. C, Affirmed A3 (sf); previously on Nov 23, 2016 Definitive Rating Assigned A3 (sf) Cl. D, Affirmed Baa3 (sf); previously on Nov 23, 2016 Definitive Rating Assigned Baa3 (sf) Cl. E, Affirmed Ba3 (sf); previously on Nov 23, 2016 Definitive Rating Assigned Ba3 (sf) Cl. F, Affirmed B2 (sf); previously on Nov 23, 2016 Definitive Rating Assigned B2 (sf) Cl. X-CP, Affirmed Aaa (sf); previously on Nov 23, 2016 Definitive Rating Assigned Aaa (sf) RATINGS RATIONALE Moody's has affirmed the ratings on six P&I classes due to the transaction's key metrics, including Moody's loan-to-value (LTV) ratio and Moody's stressed debt service coverage ratio (DSCR), being within acceptable ranges. Moody's has affirmed the rating on the Class X-CP based on the credit quality of the referenced class. Moody's does not rate Class X-EXT. 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, an increase in defeasance or an improvement in loan performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the loan 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 Class X-CP was "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. DEAL PERFORMANCE As of the September 15, 2017 Payment Date, the transaction's aggregate certificate balance remains unchanged at $280 million. The securitization is backed by a single floating rate loan collateralized by a portfolio of 27 standalone retail properties (approximately 5.94 million SF) occupied under a unitary Master Lease by Mills Fleet Farm, a Midwest (WI, MN and IA) regional outdoor and lifestyle retailer. The base rent payable is $42,875,000 per annum with annual increase equal to 2.0%. The interest only floating rate loan is secured by first lien on cross collateralized and cross defaulted fee simple interests in the portfolio. The final maturity date, including three one-year extensions, is in October 2021. The properties are encumbered with $38.5 million of subordinated mezzanine debt. Moody's stressed LTV and stressed DSCR are 99% and 1.25X, respectively. The trust has not incurred any losses or interest shortfalls as of the current Payment Date. DLJ COMMERCIAL 1999-CG3: Moody's Affirms C Rating on Cl. S Certs ---------------------------------------------------------------- Moody's Investors Service has affirmed the rating on one class and upgraded the rating on one class in DLJ Commercial Mortgage Corp., Commercial Mortgage Pass-Through Certificates, Series 1999-CG3: Cl. B-4, Upgraded to Aa1 (sf); previously on Oct 4, 2016 Upgraded to Aa2 (sf) Cl. S, Affirmed C (sf); previously on Jun 9, 2017 Downgraded to C (sf) RATINGS RATIONALE The rating on Class B-4 was upgraded based primarily on an increase in credit support resulting from loans amortization. The deal has paid down 6.5% since Moody's last review. The rating on the IO class, Class S, was affirmed based on the credit quality of the referenced classes. Moody's rating action reflects a base expected loss of 0% of the current balance, the same as at Moody's last review. Moody's base expected loss plus realized losses is now 5.2% of the original pooled balance, the same as at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. Moody's does not anticipate losses from the remaining collateral in the current environment. However, over the remaining life of the transaction, losses may emerge from macro stresses to the environment and changes in collateral performance. Moody's ratings reflect the potential for future losses under varying levels of stress. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. Additionally, the methodology used in rating Cl. S was "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. DEAL PERFORMANCE As of the September 11, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 99% to $10.3 million from $899 million at securitization. The certificates are collateralized by four remaining mortgage loans. One loan, constituting 27% of the pool, has defeased and is secured by US government securities. Two properties, representing 19.7% of the pool, located in Florida that were potentially affected by Hurricane Irma. While the full extent of any damage is not yet known, Moody's will continue to monitor potentially affected loans as more information becomes available. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 2, the same as at Moody's last review. Thirty-seven loans have been liquidated from the pool, resulting in an aggregate realized loss of $46.7 million (for an average loss severity of 30%). There are currently no loans in special servicing or on the servicer's watchlist. The three non-defeased loans represent 73% of the pool balance. The largest loan is The Regency Apartments Loan ($5.6 million -- 52.8% of the pool), which is secured by a 186-unit multifamily property located in Fayetteville, North Carolina, just south of the Fort Bragg military base. As of June 2017, the property was 86% occupied compared to 84% as of March 2016. Performance has been stable and the loan matures in September 2018. Moody's LTV and stressed DSCR are 64% and 1.52X, respectively, compared to 71% and 1.36X at the last review. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The second largest loan is the Whitfield Village Apartments Loan ($1.3 million -- 12.1% of the pool), which is secured by a 48-unit, seven building apartment complex located in Sarasota, Florida. The loan previously had been transferred to special servicing in March 2012 due to monetary default and was modified in January 2015, resulting in the loan's modification with a decrease in the interest rate and an extension of the maturity date to December 2024. The property was 98% occupied as of June 2017 the same as of April 2016. Moody's LTV and stressed DSCR are 77% and 1.25X, respectively, compared to 78% and 1.24X at the last review. The third largest loan is the Manor Court Apartments Loan ($0.8 million -- 7.7% of the pool), which is secured by a 74-unit apartment complex located in North Miami, Florida. As of June 2017, the property was 97% occupied, the same as of June 2016. The loan is fully amortizing and has paid down 54% since securitization. Moody's LTV and stressed DSCR are 20% and >4.00X, respectively, compared to 21% and >4.0X at the last review. DRYDEN XXV: S&P Assigns Prelim BB- Rating on Class E-RR Notes ------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-RR, B-RR, C-RR, D-RR, and E-RR replacement notes from Dryden XXV Senior Loan Fund, a collateralized loan obligation (CLO) originally issued in December 2012 that is managed by PGIM Inc. 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 Oct. 3, 2017. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Oct. 16, 2017, refinancing date, the proceeds from the issuance of the replacement notes are expected to redeem the originally refinanced class A-R, B-1-R, B-2-R, C-R, D, and E notes. S&P said, "At that time, we anticipate withdrawing the ratings on those notes and assigning ratings to the replacement notes. However, if the refinancing doesn't occur, we may affirm the ratings on the 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, and non-call period; and -- Make changes to maturity extension provisions and some concentration limitations. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and we will take further rating actions as we deem necessary." PRELIMINARY RATINGS ASSIGNED Dryden XXV Senior Loan Fund Replacement class Rating Amount (mil. $) A-RR AAA (sf) 451.00 B-RR (deferrable) AA (sf) 80.60 C-RR (deferrable) A (sf) 56.00 D-RR (deferrable) BBB- (sf) 34.35 E-RR (deferrable) BB- 29.25 NR--Not rated. FLAGSTAR MORTGAGE 2017-1: DBRS Finalizes B Rating on Cl. B-5 Debt ----------------------------------------------------------------- DBRS, Inc. has finalized its provisional ratings on the Mortgage Pass-Through Certificates, Series 2017-1 (the Certificates) issued by Flagstar Mortgage Trust 2017-1 (the Trust) as follows: -- $365.9 million Class 1-A-1 at AAA (sf) -- $365.9 million Class 1-A-2 at AAA (sf) -- $343.4 million Class 1-A-3 at AAA (sf) -- $343.4 million Class 1-A-4 at AAA (sf) -- $257.6 million Class 1-A-5 at AAA (sf) -- $257.6 million Class 1-A-6 at AAA (sf) -- $85.9 million Class 1-A-7 at AAA (sf) -- $85.9 million Class 1-A-8 at AAA (sf) -- $22.4 million Class 1-A-9 at AAA (sf) -- $22.4 million Class 1-A-10 at AAA (sf) -- $365.9 million Class 1-A-X-1 at AAA (sf) -- $365.9 million Class 1-A-X-2 at AAA (sf) -- $343.4 million Class 1-A-X-3 at AAA (sf) -- $257.6 million Class 1-A-X-4 at AAA (sf) -- $85.9 million Class 1-A-X-5 at AAA (sf) -- $22.4 million Class 1-A-X-6 at AAA (sf) -- $50.2 million Class 2-A-1 at AAA (sf) -- $47.1 million Class 2-A-2 at AAA (sf) -- $3.1 million Class 2-A-3 at AAA (sf) -- $50.2 million Class 2-A-X-1 at AAA (sf) -- $9.1 million Class B-1 at AA (sf) -- $7.8 million Class B-2 at A (sf) -- $5.3 million Class B-3 at BBB (sf) -- $2.4 million Class B-4 at BB (sf) -- $1.1 million Class B-5 at B (sf) Classes 1-A-X-1, 1-A-X-2, 1-A-X-3, 1-A-X-4, 1-A-X-5, 1-A-X-6 and 2-A-X-1 are interest-only certificates. The class balances represent notional amounts. Classes 1-A-1, 1-A-2, 1-A-3, 1-A-4, 1-A-5, 1-A-7, 1-A-9, 1-AX-2, 1-AX-3 and 2-A-1 are exchangeable certificates. These classes can be exchanged for a combination of depositable certificates as specified in the offering documents. Classes 1-A-3, 1-A-4, 1-A-5, 1-A-6, 1-A-7, 1-A-8 and 2-A-2 are super-senior certificates. These classes benefit from additional protection from senior support certificates (Classes 1-A-9, 1-A-10 and 2-A-3) with respect to loss allocation. The AAA (sf) ratings on the Certificates reflect the 6.25% of credit enhancement provided by subordinated Certificates in the pool. The AA (sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings reflect 4.20%, 2.45%, 1.25%, 0.70% and 0.45% of credit enhancement, respectively. Other than the specified classes above, DBRS does not rate any other classes in this transaction. This transaction is a securitization of a portfolio of first-lien, fixed-rate, prime residential mortgages. The Certificates are backed by 668 loans with a total principal balance of $443,790,711 as of the Cut-off Date (July 1, 2017). The loans are divided into two groups: Group 1 and Group 2. Group 1 consists of fully amortizing fixed-rate mortgages (FRMs) with original terms to maturity of 20 to 30 years, while Group 2 consists of fully amortizing FRMs with original terms to maturity of 15 years. Flagstar Bank, FSB is the originator and servicer of the mortgage loans and the sponsor of the transaction. Wells Fargo Bank, N.A. will act as the Master Servicer, Securities Administrator, Certificate Registrar and Custodian. Wilmington Trust, National Association will serve as Trustee. Inglet Blair LLC will act as the Representation and Warranty Reviewer. The transaction employs a senior-subordinate shifting-interest cash flow structure that is enhanced from a pre-crisis structure. Group 1 and Group 2 senior certificates will be backed by collateral from each pool, respectively. The subordinate certificates will be cross-collateralized between the two pools. This is generally known as Y-Structure. Unique to this transaction, the servicing fee payable to the Servicer comprises three separate components: the base servicing fee, the aggregate delinquent servicing fee and the aggregate incentive servicing fee. These fees vary based on the delinquency status of the related loan and will be paid from interest collections before distribution to the securities. The base servicing fee will reduce the Net weighted-average coupon (WAC) payable to certificateholders as part of the aggregate expense calculation. However, the delinquent and incentive servicing fees will not be included in the reduction of Net WAC and will thus reduce available funds entitled to the certificateholders (except for the Class B-6-C Net WAC). To capture the impact of such potential fees, DBRS ran additional cash flow stresses based on its 60+-day delinquency and default curves. GREAT WOLF 2017-WOLF: S&P Assigns B(sf) Rating on Class F Certs --------------------------------------------------------------- S&P Global Ratings today assigned its ratings to Great Wolf Trust 2017-WOLF's $1.0 billion commercial mortgage pass-through certificates. The certificate issuance is a commercial mortgage-backed securities transaction backed by one two-year, floating-rate commercial mortgage loan totaling $1.0 billion, with three one-year extension options, secured by cross-collateralized first-mortgage liens on the fee interests in 12 Great Wolf resort properties (the wholly owned properties), a pledge of the borrowers' indirect equity interests in two joint venture properties (the JV properties), and a pledge of the borrowers' interest in the license and franchise management agreements in one property (the non-owned managed/licensed property). The ratings reflect S&P's view of the collateral's historical and projected performance, the sponsor's and manager's experience, the trustee-provided liquidity, the loan's terms, and the transaction's structure. RATINGS ASSIGNED Great Wolf Trust 2017-WOLF Class Rating Amount ($) A AAA (sf) 319,900,000 X-CP(i) BBB- (sf) 448,400,000(ii) X-EXT(i) BBB- (sf) 648,400,000(ii) B AA- (sf) 120,500,000 C A- (sf) 89,600,000 D BBB- (sf) 118,400,000 E BB- (sf) 186,600,000 F B (sf) 114,000,000 HRR B- (sf) 51,000,000 (i)Interest-only class. (ii)Notional balance. The notional amount of the class X-CP certificates will be reduced by the aggregate amount of principal distributions and realized losses allocated to the A-2 portion of the class A certificates and the class B, C, and D certificates. The notional amount of the class X-EXT certificates will be reduced by the aggregate amount of principal distributions and realized losses allocated to the class A, B, C, and D certificates. The A-2 portion of the class A certificates will be $119.9 million. GSMS 2015-GS1: Fitch Affirms 'B-sf' Rating on Class F Certs ----------------------------------------------------------- Fitch Ratings has affirmed 14 classes of GSMS 2015-GS1 commercial mortgage pass-through certificates. KEY RATING DRIVERS The affirmations are based on the stable performance of the underlying collateral. As of the September distribution date, the pool had paid down 0.9% to $820.6 million from $813.4 million at issuance. Stable Performance: The overall performance of the pool has been stable since issuance. There is one loan in special servicing totaling 5.4% of the pool. Only one loan (0.6%) is on the servicer watch list, however, this loan is not a Fitch Loan of Concern. Specially Serviced Loan: The sixth largest loan, Hammons Hotel Portfolio (8.4%), transferred to special servicing in August 2016 due to the borrower and parent company filing for Chapter 11 bankruptcy. The filing was made in connection with litigation, which was ongoing at issuance, related to a complex deal made in 2005 to reprivatize Hammons Hotels. Overall portfolio cash flow has improved since issuance, with year-end (YE) 2016 NCF debt service coverage ratio (DSCR) at 1.96x, up from 1.88x at YE 2015. Further, per the trailing 12 month (TTM) June 2017 STR reporting, the weighted average revenue per available room (RevPAR) penetration for the collateral properties was 119.9%. High Pool Concentration: The top 10 loans comprise 65.6% of the pool, which is much higher than the 2015 and 2014 vintage averages of 49.3% and 50.5%, respectively. It was also noted at issuance that the sponsor and loan concentrations were higher than average for this transaction. Property Type Concentration: Retail and office properties also account for 37.3% and 32% of the pool, respectively. This compares with average retail and office concentrations of 26.7% and 23.5%, respectively, during 2016. The retail concentration includes two regional mall properties (16% of the pool) in tertiary markets, with direct or indirect exposure to Sears, Macy's, and JCPenney, which have recently experienced declining sales and closed stores. RATING SENSITIVITIES Rating Outlooks for all classes remain Stable due to the overall stable performance of the pool and continued amortization. Upgrades may occur with improved pool performance and significant paydown or defeasance. Downgrades to the classes are possible should overall pool performance decline. Fitch has affirmed the following ratings: -- $21,922,780 class A-1 at 'AAAsf'; Outlook Stable; -- $200,000,000 class A-2 at 'AAAsf'; Outlook Stable; -- $297,565,000 class A-3 at 'AAAsf'; Outlook Stable; -- $47,694,000 class A-AB at 'AAAsf'; Outlook Stable; -- $618,469,780b class X-A at 'AAAsf'; Outlook Stable; -- $43,082,000b class X-B at 'AA-sf'; Outlook Stable; -- $51,288,000c class A-S at 'AAAsf'; Outlook Stable; -- $43,082,000c class B at 'AA-sf'; Outlook Stable; -- $141,554,000c class PEZ at 'A-sf'; Outlook Stable; -- $47,184,000c class C at 'A-sf'; Outlook Stable; -- $42,056,000 class D at 'BBB-sf'; Outlook Stable; -- $42,056,000b class X-D at 'BBB-sf'; Outlook Stable; -- $20,515,000a class E at 'BB-sf'; Outlook Stable; -- $8,207,000a class F at 'B-sf'; Outlook Stable. (a) Privately placed pursuant to Rule 144A. (b) Notional amount and interest-only. (c) Class A-S, B and C certificates may be exchanged for class PEZ certificates, and class PEZ certificates may be exchanged for class A-S, B, and C certificates. Fitch does not rate class G. HIGHBRIDGE LOAN 2013-2: S&P Gives Prelim B- Rating on Cl. E-R Notes ------------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-1A-R, A-2-R, B-R, C-R, D-R, and E-R replacement notes from Highbridge Loan Management 2013-2 Ltd./Highbridge Loan Management 2013-2 LLC, a collateralized loan obligation (CLO) originally issued in 2013 that is managed by Highbridge Investment Partners CLO (US) LLC. The replacement notes will be issued via a proposed supplemental indenture. The preliminary ratings reflect our opinion that the credit support available is commensurate with the associated rating levels. The preliminary ratings are based on information as of Oct. 3, 2017. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Oct. 20, 2017 refinancing date, the proceeds from the replacement note issuance are expected to redeem the original notes. At that time, we anticipate withdrawing the ratings on the original notes and assigning ratings to the replacement notes. However, if the refinancing doesn't occur, we may affirm the ratings on the original notes and withdraw our preliminary ratings on the replacement notes. The replacement notes are being issued via a proposed supplemental indenture, which, in addition to outlining the terms of the replacement notes, propose that: -- At closing, the issuers' names will change from Highbridge Loan Management 2013-2 Ltd./Highbridge Loan Management 2013-2 LLC to HPS Loan Management 2013-2 Ltd./HPS Loan Management 2013-2 LLC. -- The original class A-1 notes will be broken out into two sequentially paying class A-1A-R and A-1B-R replacement notes. A class X note will be issued. -- The original class B-1 and B-2 fixed- and floating-rate notes will be collapsed into the class B-R floating-rate notes. -- All replacement classes are expected to be issued at a floating spread. -- The stated maturity and reinvestment period will both be extended five years. -- The manager will be able to use the formula-based Standard & Poor's CDO Monitor. -- The updated S&P Global Ratings industry categories and recovery rates will be used. S&P sid, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and we will take further rating actions as we deem necessary." PRELIMINARY RATINGS ASSIGNED Highbridge Loan Management 2013-2 Ltd./Highbridge Loan Management 2013-2 LLC Class Rating Amount (mil. $) X NR 4.00 A-1A-R AAA (sf) 278.50 A-1B-R NR 8.50 A-2-R AA (sf) 90.50 B-R (deferrable) A (sf) 30.50 C-R (deferrable) BBB- (sf) 32.00 D-R (deferrable) BB- (sf) 17.50 E-R (deferrable) B- (sf) 11.00 NR--Not rated. HUNTINGTON BANCSHARES: Fitch Affirms BB Preferred Stock Rating -------------------------------------------------------------- Fitch Ratings has affirmed the long-term and short-term Issuer Default Ratings (IDRs) of Huntington Bancshares, Inc. (HBAN) with a Stable Outlook. The rating action follows a periodic review of the large regional banking group, which includes Huntington Bancshares Inc. (HBAN), BB&T Corporation (BBT), Capital One Finance Corporation (COF), Citizens Financial Group, Inc. (CFG), Comerica Incorporated (CMA), Fifth Third Bancorp (FITB), Keycorp (KEY), M&T Bank Corporation (MTB), MUFG Americas Holding Corporation (MUAH), PNC Financial Services Group (PNC), Regions Financial Corporation (RF), SunTrust Banks Inc. (STI), US Bancorp (USB), and Wells Fargo & Company (WFC). Company-specific rating rationales for the other banks are published separately, and for further discussion of the large regional bank sector in general, refer to the special report titled 'Large Regional Bank Periodic Review,' to be published shortly. KEY RATING DRIVERS IDRS, NATIONAL RATINGS AND SENIOR DEBT HBAN's rating affirmation is supported by the company's solid financial profile, including good earnings trajectory, improved funding profile and stable asset quality performance. Further, HBAN seems on pace to successfully execute the integration of FirstMerit (FMER) while also demonstrating continued progress in achieving its financial targets. Fitch believes the company's earnings are sustainable, particularly given good loan growth and stable credit performance, which support the current ratings level. Additionally, the FMER transaction presents good cost save opportunities, estimated at 40%, which, in Fitch's view, is a reasonable assumption given market overlap in key markets such as Ohio as well as Michigan. The combined entity is expected to deliver improvements to ROAA of 15 basis points (bps) and ROTCE of 300bps compared to HBAN's stand-alone measures by 2018. HBAN expects to achieve $255 million in annualized cost savings. Fitch believes these forecasted measures are achievable based on cost saves and the expected credit performance of FMER's portfolio. Further, the company is targeting $100 million of total revenue enhancements in 2018 mainly through cross-sell opportunities to FMER's customer base and growth in consumer assets such as residential mortgages and RV & Boat lending while also expanding small business lending. HBAN's credit performance, like many of its peers, remains sound and supports current ratings. Over the last few years, HBAN loan growth has been above the peer average. Much of the growth has come from auto lending and acquisitions that have increased C&I loans. More recently, excluding the FMER acquisition, loan growth has slowed and is in-line with the peer group. To-date, credit performance has remained stable and NCOs are well below normalized ranges of 35bps to 55bps. Fitch remains cautious regarding C&I lending across the industry which remains very competitive. Incorporated in the Stable Outlook is Fitch's view that HBAN will continue to deliver above peer credit performance within its auto securitization programs as well as its on balance sheet portfolio despite expected challenges in the auto sector related to used car values. The company has a long, established history of indirect auto lending with strong asset quality measures through various credit downturns. Of note, the company has grown its auto portfolio in new markets over the last few years given opportunities as others have pulled back. Nonetheless, the company has continued to originate the same borrower base with minimal changes to its underwriting practices. Further, HBAN has prudent risk monitoring practices in place, particularly for newer markets. HBAN's funding profile is considered solid and in-line with peers. Over the last several years, HBAN has been focused on growing its retail deposit base with much success reflected by the increase in non-interest bearing deposits which accounts for about 30% of total deposit mix. Nonetheless, similar to peers, Fitch expects HBAN to experience a manageable level of deposit run-off in a rising rate environment. Although HBAN's capital position has been trending lower given its acquisitions, loan growth and capital return to shareholders, Fitch considers the bank's capital levels to be adequate given HBAN's improvements in its risk profile. Additionally, HBAN's solid earnings growth has led to a good rate of internal capital generation, which should help maintain sound capital levels. Given the FMER acquisition, HBAN's tangible common equity position has declined compared to a year ago but is still in-line with current ratings and expectations. For 2Q17, HBAN's CET1 ratio stood at 9.88%, its TCE/TA totaled 7.28% and its FCC/RWA was 8.9%. SUPPORT RATING AND SUPPORT RATING FLOOR HBAN has a Support Rating of '5' and Support Rating Floor of 'NF'. In Fitch's view, HBAN is not systemically important and therefore, the probability of support is unlikely. IDRs and VRs do not incorporate any support. SUBORDINATED DEBT AND OTHER HYBRID SECURITIES HBAN's subordinated debt is notched one level below its VR for loss severity. HBAN's preferred stock is notched five levels below its VR, two times for loss severity and three times for non-performance, while HBAN's trust preferred securities are notched two times from the VR for loss severity and two times for non-performance. These ratings are in accordance with Fitch's criteria and assessment of the instruments non-performance and loss severity risk profiles and have thus been affirmed due to the affirmation of the VR. LONG- AND SHORT-TERM DEPOSIT RATINGS The uninsured deposit ratings of Huntington National Bank are rated one notch higher than HBAN's IDR and senior unsecured debt because U.S. uninsured deposits benefit from depositor preference. U.S. depositor preference gives deposit liabilities superior recovery prospects in the event of default. HOLDING COMPANY HBAN's IDR and VR are equalized with those of its operating companies and bank, reflecting its role as the bank holding company, which is mandated in the U.S. to act as a source of strength for its bank subsidiaries. Ratings are also equalized reflecting the very close correlation between holding company and subsidiary failure and default probabilities. RATING SENSITIVITIES IDRS, NATIONAL RATINGS AND SENIOR DEBT Fitch believes HBAN's ratings do not have ratings upside over the near to intermediate term given that performance is in-line with similarly rated peers coupled with its forecasted capital position. HBAN's ratings are sensitive to its ability to achieve many of the key targets in undertaking the FMER transaction. Moreover, HBAN's ratings could be pressured if it is not able to realize/generate the internal rate of return, estimated profitability improvements, and targeted cost saves. Further, should unexpected operational and integration risks arise that are material to financial performance HBAN's rating could likely be reviewed for negative rating action. Given its relatively larger auto lending portfolio and Fitch's concerns with auto lending in general, HBAN's ratings would be sensitive to the performance of this portfolio. Additionally, ratings pressure could ensue should management take an aggressive approach to capital management such as future acquisitions of size or a total pay-out ratio that pushes capital below peers. SUPPORT RATING AND SUPPORT RATING FLOOR Since HBAN's Support and Support Rating Floors are '5' and 'NF', respectively, there is limited likelihood that these ratings will change over the foreseeable future. SUBORDINATED DEBT AND OTHER HYBRID SECURITIES The ratings for HBAN and its operating companies' subordinated debt and preferred stock are sensitive to any change to HBAN's VR. LONG- AND SHORT-TERM DEPOSIT RATINGS The long- and short-term deposit ratings are sensitive to any change to HBAN's long- and short-term IDR. HOLDING COMPANY Should HBAN's holding company begin to exhibit signs of weakness, demonstrate trouble accessing the capital markets, or have inadequate cash flow coverage to meet near-term obligations, there is the potential that Fitch could notch the holding company IDR and VR from the ratings of the operating companies. Fitch has affirmed the following ratings: Huntington Bancshares, Incorporated -- Long-term IDR at 'A-'; Outlook Stable; -- Short-term IDR at 'F1'; -- Viability rating at 'a-'; -- Senior unsecured at 'A-'; -- Subordinated debt at 'BBB+'; -- Preferred stock at 'BB'. -- Support at '5'; -- Support Floor at 'NF'. Huntington National Bank -- Long-term deposits at 'A'; -- Long-term IDR at 'A-'; Outlook Stable; -- Viability rating at 'a-'; -- Senior unsecured at 'A-'; -- Subordinated debt at 'BBB+'; -- Short-term IDR at 'F1'; -- Short-term deposits at 'F1'; -- Support at '5'; -- Support Floor at 'NF'. Huntington Capital I, II -- Preferred stock at 'BB+'. Sky Financial Capital Trust III & IV -- Preferred stock at 'BB+'. JP MORGAN 2006-LDP7: Fitch Affirms 'CCCsf' Rating on Cl. A-J Certs ------------------------------------------------------------------ Fitch Ratings affirms J.P. Morgan Chase Commercial Mortgage Securities Corp (JPMCC) commercial mortgage pass-through certificates series 2006-LDP7. KEY RATING DRIVERS Pool Concentration/Adverse Selection: The transaction is highly concentrated with only 25 of the original 271 loans remaining. 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. High Percentage of Specially Serviced Loans: 14 loans (87%) are in special servicing and significant losses are expected. Of the 14 loans, six (52%) are REO; five (4.8%) are in foreclosure; and three (30%) are non-performing matured. Maturity Schedule: 10 loans (39%) mature in Oct. 2017 (all but one, 1.1%, are in special servicing); two loans (6.6%) mature in 2019; two loans (3.4%) mature in 2020; two loans (0.9%) mature in 2021; three loans (1.1%) mature in 2026. RATING SENSITIVITIES The Rating Outlook on class A-M is revised to Stable as the class is expected to be paid in full in approximately five months as a result of scheduled amortization from fully amortizing and performing balloon loans. Downgrades to classes A-J and B are likely as additional losses are incurred. 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: -- $3.3 million class A-M at 'AAAsf'; Outlook revised to Stable from Negative; -- $310.3 million class A-J at 'CCCsf'; RE 75%; -- $78.8 million class B at 'CCsf'; RE 0%; -- $44.3 million class C at 'Csf''; RE 0%; -- $14.8 million class D at 'Csf'; RE 0%; -- $39.4 million class E at 'Csf'; RE 0%; -- $31.4 million class F at 'Dsf'; RE 0%; -- $0 class G at 'Dsf'; RE 0%; -- $0 class H at 'Dsf'; RE 0%; -- $0 class J at 'Dsf'; RE 0%; -- $0 class K at 'Dsf'; RE 0%; -- $0 class L at 'Dsf'; RE 0%; -- $0 class M at 'Dsf'; RE 0%. The class A-1, A-2, A-3A, A-3FL, A-3B, A-4, A-SB and A-1A certificates have paid in full. Fitch does not rate the class N, P, Q and NR certificates. Fitch previously withdrew the rating on the interest-only class X certificates. JP MORGAN 2007-CIBC18: Moody's Lowers Ratings on 2 Tranches to C ---------------------------------------------------------------- Moody's Investors Service has downgraded the ratings on seven classes and affirmed the ratings on three classes in J.P. Morgan Chase Commercial Mortgage Securities Corp., Commercial Mortgage Pass-Through Certificates, Series 2007-CIBC18: Cl. A-M, Downgraded to Baa2 (sf); previously on Oct 4, 2016 Affirmed A2 (sf) Cl. A-MFL, Downgraded to Baa2 (sf); previously on Oct 4, 2016 Affirmed A2 (sf) Cl. A-MFX, Downgraded to Baa2 (sf); previously on Oct 4, 2016 Affirmed A2 (sf) Cl. A-J, Downgraded to Caa3 (sf); previously on Oct 4, 2016 Downgraded to Caa1 (sf) Cl. B, Downgraded to C (sf); previously on Oct 4, 2016 Affirmed Caa2 (sf) Cl. C, Downgraded to C (sf); previously on Oct 4, 2016 Affirmed Caa3 (sf) Cl. D, Affirmed C (sf); previously on Oct 4, 2016 Affirmed C (sf) Cl. E, Affirmed C (sf); previously on Oct 4, 2016 Affirmed C (sf) Cl. F, Affirmed C (sf); previously on Oct 4, 2016 Affirmed C (sf) Cl. X, Downgraded to C (sf); previously on Jun 9, 2017 Downgraded to Ca (sf) RATINGS RATIONALE The ratings on six P&I classes, Classes A-M through C, were downgraded due to higher anticipated losses from specially serviced and troubled loans. The ratings on three P&I classes, Classes D, E and F, were affirmed because the ratings are consistent with Moody's expected loss. The rating on the IO Class (Class X) was downgraded due to a decline in the credit quality of its referenced classes. Moody's rating action reflects a base expected loss of 48.4% of the current pooled balance, compared to 12.0% at Moody's last review. Moody's base expected loss plus realized losses is now 14.5% of the original pooled balance, compared to 13.6% 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. Additionally, the methodology used in rating Cl. X was "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 54% of the pool is in special servicing and Moody's has identified additional troubled loans representing 15% of the pool. In this approach, Moody's determines a probability of default for each specially serviced and troubled loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss from specially serviced and troubled loans to the most junior classes and the recovery as a pay down of principal to the most senior classes. DEAL PERFORMANCE As of the September 12, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 99% to $658.1 million from $3.9 billion at securitization. The certificates are collateralized by 26 mortgage loans ranging in size from less than 1% to 31% of the pool, with the top ten loans constituting 81% of the pool. One loan, constituting 0.3% of the pool, is on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Forty-two loans have been liquidated with a loss from the pool, resulting in an aggregate realized loss of $251 million (for an average loss severity of 39%). Twenty loans, constituting 54% of the pool, are currently in special servicing. The largest specially serviced loan is The Plaza at PPL Center ($66.4 million -- 10.2% of the pool). The loan is secured by a six unit mixed use property located in Allentown, Pennsylvania that was built in 2003. The loan transferred to special servicing in December 2016. The Borrower was unable to refinance, as the main tenant, PPL Service Corporation, has a lease expires in 2018 and a notice of extension was not provided per lease terms. The special servicer indicated they are pursuing foreclosure and a receiver has engaged a local broker to begin the leasing process. As of December 2016, the property was 81% occupied. The second largest specially serviced loan is Southside Works ($44.6 million -- 6.9% of the pool), which is secured by a 251,400 square foot mixed used property located in Pittsburgh, Pennsylvania. The property consists of office, multifamily and retail space. The loan was transferred to special servicing in February 2017 due to maturity default as a result of the Borrower's inability to obtain refinancing. As of April 2017, property was 74% occupied and the property is no longer producing sufficient cash flow to fund all required debt service and operating expenses. The special servicer indicated they are pursuing foreclosure. The third largest specially serviced loan is Golden East Crossing - A note Loan ($31.4 million -- 4.8% of the pool), which is secured by a 461,700 square foot mall located in Rocky Mountain, North Carolina. The loan most recently transferred to special servicing in July 2015 for imminent default. The property is anchored by Belk (tenant owned), JC Penney and Ross Dress for Less. The loan was previously modified in 2013 with the term increased by 24 periods; maturity extended to February 2019 and the creation of Hope Note (the Golden East Crossing - B note). The loan is currently 90+ days delinquent. Both the A and B note are in special servicing and the property was 86% leased as of June 2017, compared to 83% at last review. The remaining specially serviced loans are secured by a mix of property types. Moody's estimates an aggregate $227.3 million loss for the specially serviced loans (65% expected loss on average). Moody's has also assumed a high default probability for three poorly performing loans, constituting 15% of the pool, and has estimated an aggregate loss of $62.1 million (a 64% expected loss on average) from these troubled loans. As of the September 12, 2017 remittance statement cumulative interest shortfalls were $49.7 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 largest performing loan is the 131 South Dearborn Loan -- A Note ($200 million -- 30.7% of the pool), which represents a pari passu interest in a $472 million senior mortgage. The loan was previously in special servicing but was modified in 2016. The modification included, among other items, a term extension and an A/B note split. The loan is secured by the 37-story "Citadel Center", a 1.5 million square foot (SF) office tower in the Central Loop submarket of Chicago, Illinois. The property was 97% occupied as of January 2017, compared to 95% occupied as of April 2016. The largest tenant, Citadel (38% of net rentable area), will vacate a portion of their subleased space in 2017, and the second largest tenant, which occupies 20% of the net rentable area (NRA), is executing an early termination option to move out in 2017. A division of Constellation Brands, has agreed to lease about 130,000 SF of space starting in early 2018. The loan is currently performing under the terms of the modification. Moody's has identified the $36 million B note as a troubled loan. Moody's A note LTV and stressed DSCR are 118% and 0.85X, respectively, compared to 116% and 0.89X at the last review. The second largest performing loan is LaGuardia Plaza Hotel - A note Loan ($48.8 million -- 7.5% of the pool), which is secured by a 358 key hotel located near LaGuardia Airport. The hotel underwent a $5M which included a complete refurbishment of over 190 guest rooms and all public space. Amenities include a health and fitness center, heated indoor pool with jacuzzi, restaurant and business center. The loan was previously in special servicing, but returned to the master servicer in 2015 after a loan modification was executed. The modification included, among other items, a term extension and an A/B note split. For the trailing twelve month period ending June 2017, the occupancy and RevPAR was 81% and $117, respectively. The loan is currently performing under the terms of the modification. Moody's has identified both the A note and the $12.1 million B note as troubled loans. The other performing loan is the Berkshire Business Park ($2.6 million -- 0.4% of the pool), which is secured by 246,500 square foot business park located in York, Pennsylvania which is located approximately 35 miles south of Harrisburg, Pennsylvania. As of April 2017, property was 100% occupied. The loan is fully amortizing and Moody's LTV and stressed DSCR are 33% and 3.06X, respectively. JP MORGAN 2007-CIBC20: Moody's Hikes Class B Certs Rating to B1 --------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on six classes, upgraded the ratings on two classes and downgraded the rating on one class in J.P. Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC20, Commercial Pass-Through Certificates, Series 2007-CIBC20: Cl. A-J, Upgraded to Ba1 (sf); previously on Sep 30, 2016 Affirmed B2 (sf) Cl. B, Upgraded to B1 (sf); previously on Sep 30, 2016 Affirmed B3 (sf) Cl. C, Affirmed Caa1 (sf); previously on Sep 30, 2016 Affirmed Caa1 (sf) Cl. D, Affirmed Caa2 (sf); previously on Sep 30, 2016 Affirmed Caa2 (sf) Cl. E, Affirmed Caa3 (sf); previously on Sep 30, 2016 Affirmed Caa3 (sf) Cl. F, Affirmed C (sf); previously on Sep 30, 2016 Affirmed C (sf) Cl. G, Affirmed C (sf); previously on Sep 30, 2016 Affirmed C (sf) Cl. H, Affirmed C (sf); previously on Sep 30, 2016 Affirmed C (sf) Cl. X-1, Downgraded to C (sf); previously on Jun 9, 2017 Downgraded to Caa1 (sf) RATINGS RATIONALE The ratings on two P&I classes (Classes A-J & B) were upgraded based primarily on an increase in credit support resulting from loan paydowns and amortization. The deal has paid down 90% since Moody's last review. The ratings on six P&I classes were affirmed because the ratings are consistent with Moody's expected loss. The rating on the IO Class (Class X-1) was downgraded due to the decline in the credit quality of its reference classes resulting from principal paydowns of higher quality reference classes. Moody's rating action reflects a base expected loss of 33.5% of the current pooled balance, compared to 8.7% at Moody's last review. Moody's base expected loss plus realized losses is now 9.7% of the original pooled balance, compared to 11.0% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The methodologies used in these ratings were "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in July 2017 and "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 September 12, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 93% to $173 million from $2.5 billion at securitization. The certificates are collateralized by 14 mortgage loans ranging in size from less than 1% to 25% of the pool, with the top ten loans (excluding defeasance) constituting 90% 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 8, compared to 14 at Moody's last review. Five loans, constituting 24% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Thirty-four loans have been liquidated from the pool, resulting in an aggregate realized loss of $189.4 million (for an average loss severity of 44.5%). Five loans, constituting 28.5% of the pool, are currently in special servicing. The largest specially serviced loan is the Holiday Inn - Harrisburg West loan ($12.8 million -- 7.4% of the pool), which is secured by a 238-key full-service hotel outside of Harrisburg, PA. The loan transferred to special servicing in July 2016, and the borrower has indicated they can no longer support the cash flow waterfall. The borrower will cooperate with the receiver and foreclosure. The second largest specially serviced loan is the Gannttown loan ($12.6 million -- 7.3% of the pool), which is secured by a 107,587 squarefoot (SF) retail center located in Turnersville, New Jersey. As of July 2017, the property was 67% occupied by seven tenants, compared to 75% occupied in July 2016 and 91% in June 2013. Major tenants at the property include Harbor Freight Tools and Bottom Dollar Food. The loan transferred for imminent payment default in September 2013 and became REO in February 2016. The third largest specially serviced loan is the Ultra Plaza loan ($9.6 million -- 5.6% of the pool), which is secured by a 166,727 SF grocery anchored retail center located in Highland, Indiana, 30 miles south-southeast of the Chicago CBD. The anchor tenant Ultra Foods has occupied the property since securitization, and has extended their prior lease ten years through December 2022. As of June 2017, the property was 95% leased. The loan was transferred to special servicing in August 2017 due to maturity default. The remaining two specially serviced loans are secured by a mix of property types. Moody's estimates an aggregate $27.4 million loss for the specially serviced loans (56% expected loss on average). Moody's has also assumed a high default probability for two poorly performing loans, constituting 20% of the pool, and has estimated an aggregate loss of $20.6 million (a 59% expected loss based on a 74% probability default) from these troubled loans. Moody's received full year 2016 operating results for 100% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 117%, compared to 107% 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 21.5% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.9%. Moody's actual and stressed conduit DSCRs are 1.08X and 0.96X, respectively, compared to 1.27X and 0.97X 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 41.3% of the pool balance. The largest loan is the Clark Tower - A note loan ($43.4 million -- 25.1% of the pool), which is secured by a 34-story suburban office building located in east Memphis, Tennessee. The property is the tallest building outside of downtown Memphis and the third tallest in the city of Memphis overall. As of June 2017, the property is 59% leased to 84 different tenants. The loan had transferred to special servicing in September 2013 due to imminent default and received a modification in July 2015 before being returned to the master servicer in March 2016. The original, $60.75 million loan was bifurcated into the $43.5 million A-Note and a $16.9 million B-Note, which is also held within the trust. Moody's LTV and stressed DSCR are 132% and 0.80X, respectively, compared to 120% and 0.88X at the last review. The second largest loan is the Columbus Corporate Office loan ($19.0 million -- 11.0% of the pool), which is secured by a 130,768 SF, Class B suburban office located in Novi, Michigan, 23 miles northwest of the Detroit CBD. The property is 100% leased by a single tenant, Henry Ford Health System, through August 2019. Medical departments based at this location include gastroenterology, behavioral health services, endocrinology, internal medicine, physical therapy, pathology, neurological rehabilitation, podiatry, and sports medicine. Due to the refinance risk of the sole tenant's upcoming lease expiration, Moody's employed a Lit-Dark analysis at this review. Moody's LTV and stressed DSCR are 100% and 1.10X, respectively. The third largest loan is the Valet Airpark loan ($8.9 million -- 5.2% of the pool), which is secured by The loan is secured by the fee simple interest in a 182-space surface parking lot, located in Los Angeles, California. The parking lot services LAX international airport. The loan matured on 8/1/2017; the borrower is working on securing refinancing. Moody's LTV and stressed DSCR are 129% and 0.86X, respectively, compared to 134% and 0.83X at the last review. JP MORGAN 2015-3: Moody's Hikes Rating on Class B-4 Debt From Ba1 ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 18 tranches from 2 transactions backed by RMBS loans, issued by miscellaneous issuers. The complete rating actions are: Issuer: J.P. Morgan Mortgage Trust 2015-3 Cl. B-1, Upgraded to Aa1 (sf); previously on Oct 3, 2016 Upgraded to Aa2 (sf) Cl. B-2, Upgraded to Aa2 (sf); previously on Oct 3, 2016 Upgraded to A1 (sf) Cl. B-3, Upgraded to A2 (sf); previously on Oct 3, 2016 Upgraded to Baa1 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on Oct 3, 2016 Upgraded to Ba1 (sf) Issuer: WinWater Mortgage Loan Trust 2015-4 Cl. A-15, Upgraded to Aaa (sf); previously on Jun 29, 2015 Definitive Rating Assigned Aa1 (sf) Cl. A-16, Upgraded to Aaa (sf); previously on Jun 29, 2015 Definitive Rating Assigned Aa1 (sf) Cl. A-20, Upgraded to Aaa (sf); previously on Jun 29, 2015 Definitive Rating Assigned Aa1 (sf) Cl. A-X-1, Upgraded to Aaa (sf); previously on Jun 9, 2017 Downgraded to Aa1 (sf) Cl. A-X-2, Upgraded to Aaa (sf); previously on Jun 20, 2017 Downgraded to Aa1 (sf) Cl. A-X-9, Upgraded to Aaa (sf); previously on Jun 29, 2015 Definitive Rating Assigned Aa1 (sf) Cl. A-X-13, Upgraded to Aaa (sf); previously on Jun 29, 2015 Definitive Rating Assigned Aa1 (sf) Cl. A-X-14, Upgraded to Aaa (sf); previously on Jun 20, 2017 Downgraded to Aa1 (sf) Cl. A-X-20, Upgraded to Aaa (sf); previously on Jun 29, 2015 Definitive Rating Assigned Aa1 (sf) Cl. A-X-22, Upgraded to Aaa (sf); previously on Jun 20, 2017 Downgraded to Aa1 (sf) Cl. B-1, Upgraded to Aa1 (sf); previously on Oct 3, 2016 Upgraded to Aa2 (sf) Cl. B-2, Upgraded to Aa2 (sf); previously on Oct 3, 2016 Upgraded to A1 (sf) Cl. B-3, Upgraded to Aa3 (sf); previously on Oct 3, 2016 Upgraded to A3 (sf) Cl. B-4, Upgraded to A3 (sf); previously on Oct 3, 2016 Upgraded to Baa3 (sf) RATINGS RATIONALE The rating upgrades are due to the increase in credit enhancement available to the bonds and a reduction in the expected losses on the underlying pools owing to strong collateral performance. The principal methodology used in these ratings was "Moody's Approach to Rating US Prime RMBS" published in February 2015. Additionally, the methodology used in rating WinWater Mortgage Loan Trust 2015-4, Cl. A-X-1,Cl. A-X-2, Cl. A-X-9, Cl. A-X-13, Cl. A-X-14, Cl. A-X-20, Cl. A-X-22 was "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. Factors that would lead to an upgrade or downgrade of the ratings: Ratings in the US RMBS sector remain exposed to the high level of macroeconomic uncertainty, and in particular the unemployment rate. The unemployment rate fell to 4.4% in August 2017 from 4.9% in August 2016. Moody's forecasts an unemployment central range of 4.5% to 5.5% for the 2017 year. Deviations from this central scenario could lead to rating actions in the sector. House prices are another key driver of US RMBS performance. Moody's expects house prices to continue to rise in 2017. Lower increases than Moody's expects or decreases could lead to negative rating actions. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. JP MORGAN 2017-MAUI: DBRS Finalizes Bsf Rating on Class F Certs --------------------------------------------------------------- DBRS, Inc. has finalized its provisional ratings on the followings classes of Commercial Mortgage Pass-Through Certificates, Series 2017-MAUI (the Certificates) issued by J.P. Morgan Chase Commercial Mortgage Securities Trust 2017-MAUI: -- Class A at AAA (sf) -- Class B at AA (high) (sf) -- Class C at A (high) (sf) -- Class X at A (sf) -- Class D at A (low) (sf) -- Class E at BB (sf) -- Class F at B (sf) All trends are Stable. All classes have been privately placed. The Class X balance is notional. The collateral for the transaction consists of the fee interest in the Four Seasons Maui at Wailea, a 383-key luxury resort on the Hawaiian island of Maui. The property has an irreplaceable oceanfront location within the Wailea Resort master planned community and is the first Four Seasons Resort Worldwide. Situated on a 16.2-acre site, collateral amenities include, but are not limited to, four food and beverage (F&B) venues, 37,571 square feet (sf) of meeting space (16,827 sf of indoor meeting space and 20,744 sf of outdoor meeting space), a 21,000 sf spa, 12,636 sf of retail, a 486-space two-story parking structure, three swimming pools and two rooftop tennis courts. The property is one of the premier resorts on the island and is the only AAA Five-Diamond and Forbes Travel Guide Five-Star luxury resort on Maui. The loan sponsor, MSD Capital, L.P. (MSD), acquired the property in 2004 for a purchase price of $280.0 million ($731,070 per key). Founded in 1998, MSD is an investment vehicle that exclusively handles the capital of Michael Dell and his family. Within its portfolio, MSD currently owns two similar luxury resorts: the Four Seasons Hualalai at Historic Ka'upulehu and the Fairmont Miramar hotel in Santa Monica, California. Due to the success and prestige of the subject and the Four Seasons Hualalai at Historic Ka'upulehu, MSD is considered to be one of the largest revenue-generating owners for Four Seasons Hotels and Resorts, Inc. Since acquiring the asset, MSD has invested approximately $145.0 million ($378,500 per key), in capital improvements with the most recent major renovation occurring between 2015 and 2016 at a cost of $56.4 million ($147,321 per key), which included a $42.9 million ($111,922 per key) transformation of all guest rooms and corridors. Over the next three years, management intends to spend an additional $18.8 million in capital expenditures, which will include the renovation of the lobby, spa, pool, meeting space and F&B outlets, among many others. Loan proceeds of $469.0 million, along with $131.0 million of mezzanine debt, serves to return $64.0 million of equity back to the sponsor and refinance $525 million of debt that was originated in 2014 during which time the $350 million mortgage loan was securitized in CSMC 2014-TIKI. The first mortgage is a 24-month term floating-rate (one-month LIBOR plus 1.951% per annum) interest-only loan with five 12-month extension options. Prior to that securitization, the subject property was collateral for a $425 million mortgage loan that was securitized in CD 2007-CD4 and GECMC 2007-1. The property was severely affected by the economic recession and subsequently went into monetary default in 2010. The sponsor contributed approximately $18.0 million of equity for debt restructuring and the loan was bifurcated with a $350 million A-note and $75 million B-note. Both notes were fully repaid as part of the 2014 refinancing. HVS has determined the as-is market value of the property to be $910,700,000 ($2,377,807 per key) based on a cap rate of 5.5%. Additionally, the appraiser concluded an as-stabilized appraised value of $976.4 million, which anticipates performance to improve as the subject benefits from the recent renovation that occurred. The DBRS value of $434.6 million ($1,134,738 per key) equates to a substantial 52.3% discount to the as-is appraised value. The DBRS cap rate of 9.5% is likely at least 400 basis points above a current market cap rate, allowing for significant reversion to the mean in lodging valuation metrics. While leverage on the full $469.0 million mortgage loan is high at a DBRS loan-to-value (LTV) of 107.9%, the last dollar of mortgage debt is unrated, and the cumulative investment-grade-rated proceeds of $304.0 million have a more modest LTV of 69.9%. Notes: All figures are in U.S. dollars unless otherwise noted. JPMCC COMMERCIAL 2017-JP7: DBRS Finalizes (P)BB on F-RR Debt ------------------------------------------------------------ DBRS, Inc. finalized its provisional ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2017-JP7 (the Certificates) to be issued by JPMCC Commercial Mortgage Securities Trust 2017-JP7: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (high) (sf) -- Class X-B at A (high) (sf) -- Class C at A (sf) -- Class D at A (low) (sf) -- Class E-RR at BBB (low) (sf) -- Class F-RR at BB (sf) -- Class G-RR at B (high) (sf) All trends are Stable. Classes D, E-RR, F-RR and G-RR have been privately placed. The X-A and X-B balances are notional. The collateral consists of 37 fixed-rate loans secured by 168 commercial and multifamily properties. The transaction is a sequential-pay pass-through structure. The conduit pool was analyzed to determine the ratings, reflecting the long-term probability of loan default within the term and its liquidity at maturity. When the cut-off loan balances were measured against the DBRS Stabilized Net Cash Flow (NCF) and their respective actual constants, two loans (4.6% of the pool balance) had a DBRS Term Debt Service Coverage Ratio (DSCR) below 1.15 times (x), a threshold indicative of a higher likelihood of mid-term default. Additionally, to assess refinance risk given the current low interest rate environment, DBRS applied its refinance constants to the balloon amounts. This resulted in 17 loans, representing 54.0% of the pool, having refinance DSCRs below 1.00x and seven loans, representing 38.2% of the pool, having refinance DSCRs below 0.90x. Four of the top ten loans, representing 27.1% of the pool, have Strong sponsorship. Furthermore, DBRS identified only five loans, which combined represent just 8.1% of the pool, that have sponsorship and/or loan collateral associated with a voluntary bankruptcy filing, a prior discounted payoff, a loan default, limited net worth and/or liquidity, a historical negative credit event and/or an inadequate commercial real estate experience. Two of the top ten loans, Gateway Net Lease Portfolio and West Town Mall, representing 12.3% of the pool, exhibit credit characteristics consistent with investment-grade shadow ratings. The Gateway Net Lease Portfolio received a BBB (high) shadow rating, while West Town Mall was shadow rated A (low). Term default risk is low, as indicated by a strong weighted-average (WA) DBRS Term DSCR of 1.77x. In addition, 16 loans, representing 62.6% of the pool, have a DBRS Term DSCR in excess of 1.50x, including nine of the top 15 loans. Only three loans, totaling 10.6% of the transaction balance, are secured by properties that are fully leased to a single tenant. The vast majority of this concentration, or 81.4%, is attributed to two loans in the top ten, 211 Main Street and Torre Plaza, which are fully occupied by investment-grade-rated tenants that have substantial capital invested into the buildings. The 211 Main Street property is fully leased to Charles Schwab & Co., while Torre Plaza is occupied by Amazon. The pool is concentrated based on loan size, with a concentration profile equivalent to that of a pool of 21 equal-sized loans. The largest five and ten loans total 40.7% and 59.5% of the pool, respectively. As a result, a concentration penalty was applied given the pool's lack of diversity, which increases each loan's POD. The transaction's WA DBRS Refinance (Refi) DSCR is 0.98x, indicating higher refinance risk on an overall pool level. Seventeen loans, representing 54.0% of the pool, have DBRS Refi DSCRs below 1.00x, including seven of the top 15 loans. Additionally, seven of these loans, comprising 38.2% of the pool, have DBRS Refi DSCRs less than 0.90x, including six of the top ten loans. The DBRS Refi DSCRs for these loans are based on a WA stressed refinance constant of 9.81%, which implies an interest rate of 9.18% amortizing on a 30-year schedule. This represents a significant stress of 4.76% over the WA contractual interest rate of the loans in the pool. The pool's interest-only (IO) concentration is elevated at 81.2%. Eight loans, representing 50.2% of the pool, including seven top ten loans, are structured with full-term IO payments. An additional 19 loans, comprising 31.0% of the pool, have partial IO periods ranging from 12 months to 60 months. As a result, the transaction's scheduled amortization by maturity is only 7.4%, which is generally below other recent conduit securitizations. The DBRS sample included 25 of the 37 loans in the pool. Site inspections were performed on 58 of the 168 properties in the portfolio (61.6% of the pool by allocated loan balance). The DBRS sample had an average NCF variance of -10.3% and ranged from -20.4% (Courtyard San Antonio Lackland) to +1.7% (211 Main Street). The ratings assigned to the Certificates by DBRS are based exclusively on the credit provided by the transaction structure and underlying trust assets. All classes will be subject to ongoing surveillance, which could result in upgrades or downgrades by DBRS after the date of issuance. The rating assigned to Class G-RR materially deviates from the higher rating implied by the quantitative results. DBRS considers a material deviation to be a rating differential of three or more notches between the assigned rating and the rating implied by the quantitative results that is a substantial component of a rating methodology. The deviations are warranted given the expected dispersion of loan level cash flows post issuance. For more information on this transaction and supporting data, please log into www.ireports.dbrs.com. DBRS will continue to monitor this transaction with periodic updates provided in the DBRS CMBS IReports platform. Notes: All figures are in U.S. dollars unless otherwise noted. KILIMANJARO RE 2014-1: S&P Lowers Cl. B Notes Rating to 'B-(sf)' ---------------------------------------------------------------- S&P Global Ratings said it lowered its ratings on Kilimanjaro Re Ltd.'s Series 2014-1 Class B notes to 'B-(sf)' from 'BB-(sf)' and placed the notes on CreditWatch Developing. The notes cover losses from named storms and earthquakes on an annual aggregate basis. The covered area for named storms is Alabama, Connecticut, Delaware, District of Columbia, Florida, Georgia, Louisiana, Maryland, Massachusetts, Mississippi, New Jersey, New York, North Carolina, Rhode Island, South Carolina, Texas, Virginia, and Puerto Rico. For earthquake, the covered area is: Alabama, California, Connecticut, Delaware, District of Columbia, Florida, Georgia, Louisiana, Maryland, Massachusetts, Mississippi, New Jersey, New York, North Carolina, Oregon, Rhode Island, South Carolina, Texas Virginia, Washington, Puerto Rico, and British Columbia. The covered loss amount equals the Property Claims Services (PCS) estimate of insured industry losses multiplied by a state/commonwealth specific payout factor. In the past month, there have been three covered events that may have caused losses in excess of the franchise deductible of $110 million. On Sept. 19, PCS published an insured industry loss estimate of $15.9 billion from Hurricane Harvey. The majority of the losses are in Texas, and its payout factor is 2%. The second event was Hurricane Irma. The current estimate of insured industry losses in the U.S. from AIR Worldwide Inc. (AIR), the risk modeling agent for the transaction, ranges between $25 billion and $35 billion, less $2.5 billion-$5.5 billion for losses attributed to the National Flood Insurance Program. The majority of the losses was incurred in Florida, and the payout factor is 1.27%. The third and final event is Hurricane Maria. The current estimate of insured industry losses from AIR ranges between $40 billion and $85 billion, with 85% attributed to Puerto Rico. The current loss estimate from Risk Management Solutions for this event ranges between $15 billion and $30 billion. The payout factor for Puerto Rico is 2.73%. There is still considerable uncertainty regarding the estimates from Maria and potentially from Irma. Covered losses will be based on the loss amounts reported by PCS. The current attachment point is $2 billion. S&P said, "We may lower the rating on the notes if there are additional covered events or if the loss amounts as reported by PCS are higher than anticipated. We may raise the rating on the notes if the loss amounts as reported from PCS are lower than anticipated or if there are no additional covered events between now and the end of the hurricane season." RATINGS LIST Downgrade To From Kilimanjaro Re Ltd. Series 2014-B notes B-(sf)/Watch Developing BB-(sf) LEHMAN BROTHERS 2007-3: S&P Affirms B (sf) Rating on Cl. M1 Notes ----------------------------------------------------------------- S&P Global Ratings took various ratings actions on six Lehman Brothers Small Balance Commercial transactions. These transactions are asset-backed securitizations backed by payments from small business loans primarily collateralized by first-liens on commercial real estate. LEHMAN BROTHERS SMALL BALANCE COMMERCIAL MORTGAGE TRUST 2006-2 The transaction has paid down to a pool factor of approximately 13.9% as of the July servicer report. Delinquent and defaulted loans represented 11.8% of the current pool balance. Cumulative realized losses to date are approximately 19.5%. The reserve account remains depleted, breaching the $4.065 million current requisite. Notes exceed the outstanding receivables balance by approximately $4 million, but the current sequential principal pay structure continues to support the senior-most classes. The class M3 certificates have cured their carry-forward interest, and only the class B certificates have a carry-forward interest amount. S&P said, "We lowered our ratings on the class M3 and B certificates, and affirmed our ratings on the class 1A, 2A3, M1, and M2 certificates." LEHMAN BROTHERS SMALL BALANCE COMMERCIAL MORTGAGE TRUST 2006-3 The transaction has paid down to a pool factor of approximately 16.0% as of the July servicer report. Delinquent and defaulted loans represented 24.8% of the current pool balance. Cumulative realized losses to date are approximately 21.7%. The reserve account remains depleted, breaching the $4.078 million current requisite. Notes exceed the outstanding receivables balance by approximately $13.5 million, but the current sequential principal pay structure continues to support the senior-most classes. The class M2 certificates have cured their carry-forward interest, but the class M3 and B certificates each have increased their carry-forward interest amounts. S&P said, "We lowered our ratings on the class M2, M3, and B certificates, and affirmed our ratings on the class 1A, 2A3, and M1 certificates." LEHMAN BROTHERS SMALL BALANCE COMMERCIAL LOAN TRUST 2006-SBA This transaction is a pass-through, whereby the class A certificates are pledged to the series 2006-3 transaction. The transaction has paid down to an approximately 7.8% pool factor, as 29 loans remain in the pool. The certificate has paid down to approximately $685,829. There are no delinquent or defaulted loans in the pool as of the July servicer report. The note is supported by a collateral pool consisting of approximately $2.3 million in receivables and an unrated class B certificate. S&P raised its rating to 'AA (sf)'. LEHMAN BROTHERS SMALL BALANCE COMMERCIAL MORTGAGE TRUST 2007-1 The transaction has paid down to a pool factor of approximately 18.5%, as of the July servicer report. Delinquent and defaulted loans represented 24.0% of the current pool balance. Cumulative realized losses to date are approximately 22.3%. The reserve account remains depleted, breaching the $4.089 million current requisite. Notes exceed the outstanding receivables balance by approximately $17.8 million, but the current sequential principal pay structure continues to support the senior-most classes. The class M1 certificates have cured their carry-forward interest, but the class M2 through B certificates each has increased their carry-forward interest amounts. S&P lowered the ratings on the class M1, M2, M4, and B certificates, and affirmed its ratings on the class 1A, 2A3, and M3 certificates. LEHMAN BROTHERS SMALL BALANCE COMMERCIAL MORTGAGE TRUST 2007-2 The transaction has paid down to a pool factor of approximately 17.1%, as of the July servicer report. Delinquent and defaulted loans represented 19.0% of the current pool balance. Cumulative realized losses to date are approximately 19.1%. The reserve account remains depleted, breaching the $6.258 million current requisite. Notes exceed the outstanding receivables balance by approximately $27.6 million, but the current sequential principal pay structure continues to support the senior-most classes. The class M2 certificates have cured their carry-forward interest, but the class M3 through B certificates each has increased their carry-forward interest amounts. S&P said, "We raised our ratings on the class 1A3, 1A4, and 2A3 certificates, and lowered our ratings on the class M4, M5, and M6 certificates. We also affirmed our ratings on the class M1, M2, and M3 certificates." LEHMAN BROTHERS SMALL BALANCE COMMERCIAL MORTGAGE TRUST 2007-3 The transaction has paid down to a pool factor of approximately 23.6%, as of the July servicer report. Delinquent and defaulted loans represented 13.3% of the current pool balance. Cumulative realized losses to date are approximately 18.6%. The reserve account remains depleted, breaching the $7.003 million current requisite. Notes exceed the outstanding receivables balance by approximately $24.4 million, but the current sequential principal pay structure continues to support the senior-most classes. The class M2 certificates have cured their carry-forward interest, but the class M3 through B certificates each has increased their carry-forward interest amounts. S&P said, "We lowered our ratings on the class M2, M5, and B certificates, and affirmed our ratings on the class AM, AJ, M1, M3, and M4 certificates." RATINGS RAISED Lehman Brothers Small Balance Commercial Mortgage Trust 2007-2 Rating Class To From 1A3 BBB+ (sf) BB+ (sf) 1A4 BBB+ (sf) BB+ (sf) 2A3 BBB+ (sf) BB+ (sf) Lehman Brothers Small Balance Commercial Loan Trust 2006-SBA Rating Class To From A AA (sf) BBB- (sf) RATINGS LOWERED Lehman Brothers Small Balance Commercial Mortgage Trust 2006-2 Rating Class To From M3 CCC- (sf) CCC+ (sf) B CC (sf) CCC- (sf) Lehman Brothers Small Balance Commercial Mortgage Trust 2006-3 Rating Class To From M2 CCC- (sf) CCC+ (sf) M3 CC (sf) CCC+ (sf) B CC (sf) CCC- (sf) Lehman Brothers Small Balance Commercial Mortgage Trust 2007-1 Rating Class To From M1 CCC (sf) B- (sf) M2 CCC- (sf) CCC (sf) M4 CC (sf) CCC- (sf) B CC (sf) CCC- (sf) Lehman Brothers Small Balance Commercial Mortgage Trust 2007-2 Rating Class To From M4 CC (sf) CCC- (sf) M5 CC (sf) CCC- (sf) B CC (sf) CCC- (sf) Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3 Rating Class To From M2 CCC- (sf) CCC (sf) M5 CC (sf) CC (sf) B CC (sf) CCC- (sf) RATINGS AFFIRMED Lehman Brothers Small Balance Commercial Mortgage Trust 2006-2 Class Rating 1A AA- (sf) 2A3 AA- (sf) M1 A+ (sf) M2 BBB+ (sf) Lehman Brothers Small Balance Commercial Mortgage Trust 2006-3 Class Rating 1A BBB+ (sf) 2A3 BBB+ (sf) M1 BBB (sf) Lehman Brothers Small Balance Commercial Mortgage Trust 2007-1 Class Rating 1A BBB- (sf) 2A3 BBB- (sf) Lehman Brothers Small Balance Commercial Mortgage Trust 2007-2 Class Rating M1 B+ (sf) M2 CCC+ (sf) M3 CCC- (sf) Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3 Class Rating AM A+ (sf) AJ BB+ (sf) M1 B (sf) M3 CCC- (sf) M4 CCC- (sf) MARINER CLO 2017-4: S&P Assigns Prelim. B- Rating on Cl. F Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Mariner CLO 2017-4 Ltd./Mariner CLO 2017-4 LLC 's $561.8 million floating-rate notes. The note issuance is collateralized loan obligation securitization backed by primarily of broadly syndicated speculative-grade senior secured term loans that are governed by collateral quality tests. The preliminary ratings are based on information as of Oct. 3, 2017. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect our view of: -- The 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 Mariner CLO 2017-4 Ltd./Mariner CLO 2017-4 LLC Class Rating Amount (mil. $) A AAA (sf) 369.90 B AA (sf) 72.00 C (deferrable) A (sf) 50.10 D (deferrable) BBB- (sf) 34.00 E (deferrable) BB- (sf) 25.00 F (deferrable) B- (sf) 10.80 Subordinated notes NR 46.20 NR--Not rated. MERCURY CDO 2004-1: Moody's Hikes Ratings on 3 Tranches to B1 ------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on notes issued by Mercury CDO 2004-1, Ltd.: US$299,900,000 Class A-1NV First Priority Senior Secured Non-Voting Floating Rate Notes (current outstanding balance of $22,460,634.08), Upgraded to B1 (sf); previously on October 5, 2016 Upgraded to B3 (sf) US$100,000 Class A-1VA First Priority Senior Secured Voting Floating Rate Notes (current outstanding balance of $7487.78), Upgraded to B1 (sf); previously on October 5, 2016 Upgraded to B3 (sf) US$330,000,000 Class A-1VB First Priority Senior Secured Voting Floating Rate Notes (current outstanding balance of $24,714,934.86), Upgraded to B1 (sf); previously on October 5, 2016 Upgraded to B3 (sf) Mercury CDO 2004-1, Ltd. is a collateralized debt obligation issuance backed primarily by a portfolio of Residential Mortgage-Backed Securities (RMBS) and CDOs originated from 2002-2005. RATINGS RATIONALE These rating actions are due primarily to the deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since October 2016. The Class A-1 notes have paid down collectively by approximately 28.5%, or $18.8 million, since that time. Based on Moody's calculation, the OC ratio of the Class A-1 notes is currently 181.1 %, versus 153.6% in October 2016. The paydown of the Class A-1 notes is partially the result of cash collections from certain assets treated as defaulted by the trustee in amounts materially exceeding expectations. The deal has also benefited from an improvement in the credit quality of the underlying portfolio since October 2016. Based on Moody's calculation, the weighted average rating factor (WARF) is currently 1716, compared to 2011 in October 2016. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Approach to Rating SF CDOs," published in June 2017. Loss and Cash Flow Analysis: Moody's applies a Monte Carlo simulation framework in Moody's CDROM(TM) to model the loss distribution for SF CDOs. The simulated defaults and recoveries for each of the Monte Carlo scenarios define the reference pool's loss distribution. Moody's then uses the loss distribution as an input in the CDOEdge(TM) cash flow model. 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. 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): Caa1 and below ratings notched up by two rating notches (1569): Class A-1NV: +1 Class A-1VA: +1 Class A-1VB: +1 Class A-2A:0 Class A-2B:0 Class B:0 Class C:0 Caa1 and below ratings notched down by two notches (1864): Class A-1NV: 0 Class A-1VA: 0 Class A-1VB: 0 Class A-2A: 0 Class A-2B: 0 Class B: 0 Class C: 0 MERRILL LYNCH 2004-BPC1: S&P Affirms B(sf) Rating on Class E Certs ------------------------------------------------------------------ S&P Global Ratings raised its rating on the class D commercial mortgage pass-through certificates from Merrill Lynch Mortgage Trust 2004-BPC1, a U.S. commercial mortgage-backed securities (CMBS) transaction. In addition, S&P affirmed its rating on the class E certificates from the same transaction. S&P said, "Our rating actions on the certificates follow our analysis of the transaction, primarily using our criteria for rating U.S. and Canadian CMBS transactions, which included a review of the credit characteristics and performance of the remaining loans in the pool, the transaction's structure, and the liquidity available to the trust. "We raised our rating on class D to reflect our expectation of the available credit enhancement for the class, which we believe is greater than our most recent estimate of necessary credit enhancement for the respective rating level. The upgrades also reflect the reduction in trust balance. "The rating affirmation on class E 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. While available credit enhancement levels suggest positive rating movement on class E, our analysis also considered the class's interest shortfalls outstanding of $40,130. We expect the outstanding interest shortfalls to be repaid over the next several months." TRANSACTION SUMMARY As of the Sept. 12, 2017, trustee remittance report, the collateral pool balance was $16.7 million, which is 1.3% of the pool balance at issuance. The pool currently includes three loans down from 87 loans at issuance. One of these loans, Courtyard Dulles Town Center ($8.5 million, 51.1%), is on the master servicer's watchlist due to a decline in debt service coverage (DSC). The master servicer, Midland Loan Services, reported year-end 2016 financial information for 100.0% of the loans in the pool. For the three remaining loans, S&P calculated a 1.51x S&P Global Ratings weighted average DSC and 58.0% S&P Global Ratings weighted average loan-to-value ratio using a 8.43% S&P Global Ratings weighted average capitalization rate. To date, the transaction has experienced $80.0 million in principal losses, or 6.4% of the original pool trust balance. RATINGS LIST Merrill Lynch Mortgage Trust 2004-BPC1 Commercial mortgage pass-through certificates series 2004-BPC1 Rating Class Identifier To From D 59022HFB3 AAA (sf) A (sf) E 59022HFE7 B (sf) B (sf) MILL CITY 2017-3: Fitch Assigns 'Bsf' Rating to Class B2 Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings to Mill City Mortgage Loan Trust 2017-3 (MCMLT 2017-3) as follows: -- $278,728,000 class A1 notes 'AAAsf'; Outlook Stable; -- $24,944,000 class M1 notes 'AAsf'; Outlook Stable; -- $28,199,000 class M2 notes 'Asf'; Outlook Stable; -- $23,860,000 class M3 notes 'BBBsf'; Outlook Stable; -- $17,352,000 class B1 notes 'BBsf'; Outlook Stable; -- $17,353,000 class B2 notes 'Bsf'; Outlook Stable; -- $303,672,000 class A2 subsequent exchangeable notes 'AAsf'; Outlook Stable; -- $331,871,000 class A3 subsequent exchangeable notes 'Asf'; Outlook Stable. -- $355,731,000 class A4 subsequent exchangeable notes 'BBBsf'; Outlook Stable. The following classes will not be rated by Fitch: -- $26,029,000 class B3 notes; -- $8,676,000 class B4 notes; -- $8,676,744 class B5 notes. The notes are supported by one collateral group that consists of 1,665 seasoned performing and re-performing mortgages with a total balance of approximately $433.82 million (which includes $25.7 million, or 5.9%, of the aggregate pool balance in non-interest-bearing deferred principal amounts) as of the statistical calculation date. The 'AAAsf' rating on the class A1 notes reflects the 35.75% subordination provided by the 5.75% class M1, 6.50% class M2, 5.50% class M3, 4.00% class B1, 4.00% class B2, 6.00% class B3, 2.00% class B4 and 2.00% class B5 notes. Fitch's ratings on the class notes reflect the credit attributes of the underlying collateral, the quality of the servicers: Select Portfolio Servicing, Inc. (SPS) rated 'RPS1-',Shellpoint Mortgage Servicing (Shellpoint) and Fay Servicing, LLC (Fay), both rated 'RSS3+'; the representation (rep) and warranty framework; minimal due diligence findings and the sequential pay structure. KEY RATING DRIVERS Distressed Performance History (Concern): The collateral pool consists primarily of peak-vintage seasoned re-performing loans (RPLs), including loans that have been paying for the past 24 months, which Fitch identifies as "clean current" (54.7%), and loans that are current but have recent delinquencies or incomplete paystrings, identified as "dirty current" (45.3%). All loans were current as of the cutoff date; 71.3% of the loans have received modifications. Due Diligence Findings (Concern): The third-party review (TPR) firm's due diligence review resulted in approximately 349 loans (21%) graded 'C' and 'D', of which 102 were subject to a loss severity (LS) adjustment for issues regarding high-cost testing, and one loan that was not reviewed by any TPR firm. Furthermore, Fitch applied a 300% LS adjustment to two loans because the TPR firm concluded that the lender did not document all the Ability to Repay (ATR) underwriting factors. Fitch extended timelines on 79 loans that were missing final modification documents and increased the LS of one loan by $15,500 due to an incurable TILA/RESPA Integrated Disclosure (TRID) exception cited by the TPR firm. Hurricane Harvey and Irma Loans Removed (Positive): CarVal Investors, LLC (CarVal) dropped all loans in Federal Emergency Management Agency (FEMA) zones impacted by Hurricane Harvey. The company also dropped all loans in the southern half of Florida as well as the coastal regions of Georgia, South Carolina and North Carolina that may be affected by Hurricane Irma. In addition, any loan located in Florida will be repurchased if the borrower does not make the first two payments following the closing date. Land Loans Included (Concern): Eleven loans were identified as land loans. These loans were originated as construction to permanent over 10 years ago; however, a house was never constructed on these properties. Fitch treated these land loans conservatively by assuming 100% LS and as cash-out refinance, manufactured housing and investor properties. Due to the limited number of land loans in the transaction, the impact to the expected loss was roughly 5.0 basis points (bps). Tax and Title Search Aged over Six Months (Concern): For approximately 48% of the loans, the updated tax and title search was performed more than six months prior to securitization. Fitch expects to receive updated gap reports that list all outstanding tax, title and lien issues, as of the closing date. Fitch believes the risk of any potential taxes and liens that exist at the time of closing is low due to the servicers' very close oversight of borrower payments. Any issues will be cleared within 90 days or the loans will be repurchased by the issuer. Sequential-Pay Structure (Positive): The transaction's cash flow is based on a sequential-pay structure whereby the subordinate classes do not receive principal until the senior classes are repaid in full. Losses are allocated in reverse-sequential order. Furthermore, the provision to re-allocate principal to pay interest on the 'AAAsf' and 'AAsf' rated notes prior to other principal distributions is highly supportive of timely interest payments to those classes, in the absence of servicer advancing. HELOCs Included (Concern): Approximately 11.7% of the total pool is made up of loans with home equity lines of credit (HELOCs). To account for future potential draws, Fitch added the available draw amount to the loans where the credit line was not permanently closed or temporarily frozen in declining markets (as evidenced by declining updated property values). This approach affected 60 loans (2.6% of the pool) and increased the amount owed by $1.47 million for determining borrowers' probability of default (PD) and LS in Fitch's analysis. Deferred Amounts (Concern): Non-interest-bearing principal forbearance amounts totaling $25.7 million (5.9% of the unpaid principal balance) are outstanding on 578 loans. Fitch included the deferred amounts when calculating the borrower's LTV and sLTV, despite the lower payment and amounts not being owed during the term of the loan. The inclusion resulted in higher PDs and LS than if there were no deferrals. Fitch believes that borrower default behavior for these loans will resemble that of the higher LTVs, as exit strategies (that is, sale or refinancing) will be limited relative to those borrowers with more equity in the property. Potential Interest Deferrals (Mixed): To address the lack of an external P&I advance mechanism, principal otherwise distributable to the notes may be used to pay monthly interest. While this helps provide stability in the cash flows to the high investment-grade-rated bonds, the lower-rated bonds may experience long periods of interest deferral that will generally not be repaid until such note becomes the most senior outstanding. Under Fitch's "Global Structured Finance Rating Criteria," dated May 2017, the agency may assign ratings of up to 'Asf' on notes that incur deferrals if such deferrals are permitted under terms of the transaction documents, provided such amounts are fully recovered well in advance of the legal final maturity under the relevant rating stress. Representation Framework (Mixed): Fitch generally considers the representation, warranty and enforcement (RW&E) mechanism construct for this transaction to be generally consistent with a Tier 2 framework due to the inclusion of knowledge qualifiers and the exclusion of loans from certain reps as a result of third-party due diligence findings. For 38 loans that are seasoned less than 24 months, Fitch viewed the framework as a Tier 3 because the reps related to the origination and underwriting of the loan, which are typically expected for newly originated loans, were not included. Thus, Fitch increased its 'AAAsf' PD loss expectations by approximately 480bps to account for a potential increase in defaults and losses arising from weaknesses in the reps. Limited Life of Rep Provider (Concern): CVI CVF III Lux Master S.a.r.l., as rep provider, will only be obligated to repurchase a loan due to breaches prior to the payment date in October 2018. Thereafter, a reserve fund will be available to cover amounts due to noteholders for loans identified as having rep breaches. Amounts on deposit in the reserve fund, as well as the increased level of subordination, will be available to cover additional defaults and losses resulting from rep weaknesses or breaches occurring on or after the payment date in October 2018. Fitch applied a breach reserve account credit, which lowered Fitch's loss expectations by approximately 25bps. No Servicer P&I Advances (Mixed): The servicers will not be advancing delinquent monthly payments of P&I, which reduces liquidity to the trust. However, as P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust, the loan-level LS is less for this transaction than for those where the servicer is obligated to advance P&I. Structural provisions and cash flow priorities, together with increased subordination, provide for timely payments of interest to the 'AAAsf' and 'AAsf' rated classes. Timing of Recordation and Document Remediation (Neutral): A review to confirm that the mortgage and subsequent assignments were recorded in the relevant local jurisdiction was performed. The review confirmed that all mortgages and subsequent assignments were recorded in the relevant local jurisdiction or were being recorded. While the expected timelines for recordation and remediation are viewed by Fitch as reasonable, the obligation of CVI CVF III Lux Master S.a.r.l. to repurchase loans for which assignments are not recorded and endorsements are not completed by the payment date in October 2018, aligns the issuer's interests regarding completing the recordation process with those of noteholders. While there will not be an asset manager in this transaction, the indenture trustee will be reviewing the custodian reports. The indenture trustee will request CVI CVF III Lux Master S.a.r.l. to purchase any loans with outstanding assignment and endorsement issues two days prior to the October 2018 payment date. Solid Alignment of Interest (Positive): The sponsor, Mill City Holdings, LLC, will acquire and retain a 5% interest in each class of the securities to be issued. In addition, the rep provider is an indirect owner of the sponsor. CRITERIA APPLICATION Fitch analyzed the transaction in accordance with its criteria, as described in its June 2017 report "U.S. RMBS Rating Criteria." This incorporates a review of the originators' lending platforms, as well as an assessment of the transaction's R&Ws provided by the originators and arranger, which were found to be consistent with the ratings assigned to the certificates. Fitch's analysis incorporated one criteria variation from "U.S. RMBS Rating Criteria" and one criteria variation from the "U.S. RMBS Loan Loss Model Criteria," which are described below. The first variation is that 38 loans (approximately 2.4% by balance) in the pool are seasoned less than 24 months and considered newly originated. On average, these loans are approximately 18 months seasoned. The due diligence scope for these loans was not consistent with Fitch's scope for newly originated loans. Fitch is comfortable with the due diligence that was completed on these loans as the loans made up a small percentage of the pool. In addition, conservative assumptions were made on the collateral analysis for these loans. The second variation relates to overriding the default assumption for original DTI in Fitch's loan loss model. Based on a historical data analysis of over 750,000 loans from Fannie Mae and Fitch's rated RPL transactions, Fitch assumed an original debt-to-income ratio (DTI) of 45% for all loans in a pool that did not have original DTI data available (approximately 68% of the pool). The historical loan data support the DTI assumption of 45%. Prior to conducting the historical analysis, Fitch had previously assumed 55% for loans that were missing original DTI values. RATING SENSITIVITIES Fitch's analysis incorporates sensitivity analyses to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at both the metropolitan statistical area (MSA) and national levels. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or be considered in the surveillance of the transaction. Fitch conducted sensitivity analysis determining how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20%, and 30%, in addition to the model-projected 37.9% at 'AAAsf'. The analysis indicates there is some potential rating migration with higher MVDs, compared with the model projection. Fitch also conducted sensitivities to determine the stresses to MVDs that would reduce a rating by one full category, to non-investment grade, and to 'CCCsf'. MILL CITY 2017-3: Moody's Assigns Ba2 Rating to Class B1 Notes -------------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to eight classes of notes issued by Mill City Mortgage Loan Trust ("MCMLT") 2017-3. The certificates are backed by one pool of 1,665 seasoned performing and modified re-performing loans which include home equity lines of credit (HELOC) mortgage loans and loans with a negative amortization feature. The collateral pool has a non-zero updated weighted average FICO score of 677 and a weighted average current LTV of 79.21%. There are approximately 11.51% HELOC loans in this pool, of which 22.50% of the borrowers are currently eligible to make draws up to their credit limit. Approximately 64.36% of the HELOC loans have their credit line temporarily frozen due to certain circumstances including but not limited to the event where the current home value has declined below a specified level. The borrowers may unfreeze their credit line in future if the circumstances that cause such credit line to be frozen are cured. The remaining HELOC loans (approx. 13.14%) have their credit lines permanently frozen. In the event that all HELOC loans (other than the HELOC loans that are permanently frozen) are no longer precluded from making draws, the maximum amount of draws available to the borrowers as of August 2017 is equal to $4,543,930 or approximately 1.05% of closing date UPB, compared to $668,202 in MCMLT 2017-2 and $3.698 million in MCMLT 2017-1. A HELOC borrower will be assessed a principal payment only in the case that their credit limit amortizes to an amount that is below the outstanding principal balance of the loan, otherwise the borrower will be required to make only an interest payment. During the amortization period, the credit limit will decrease at a fixed rate. For example, if the amortization period is 240 months then in each month, the credit limit will reduce by 1/240 of the original credit limit. In addition, approximately 9.80% of the loans are originated on or after January 1, 2010 ("newly originated loans") for which Moody's also performed additional loan level analysis similar to Moody's analysis of newly originated prime quality loans and approximately 2.70% of the loans have a negative amortization feature. 70.51% of the loans in the collateral pool were also previously modified and the remaining loans have never been modified. Fay Servicing LLC ("Fay"), Select Portfolio Servicing, Inc. ("SPS") and Shellpoint Mortgage Servicing ("Shellpoint"), are the servicers for the loans in the pool. The servicers will not advance any principal or interest on the delinquent loans. However, the servicers will be required to advance costs and expenses incurred in connection with a default, delinquency or other event in the performance of its servicing obligations. In addition, if a borrower of a HELOC loan requests a draw on the related HELOC credit line, the related servicer will be required to fund such draw. The complete rating actions are: Issuer: Mill City Mortgage Loan Trust 2017-3 Cl. A1, Definitive Rating Assigned Aaa (sf) Cl. A2, Definitive Rating Assigned Aa1 (sf) Cl. A3, Definitive Rating Assigned A1 (sf) Cl. A4, Definitive Rating Assigned A3 (sf) Cl. M1, Definitive Rating Assigned Aa2 (sf) Cl. M2, Definitive Rating Assigned A2 (sf) Cl. M3, Definitive Rating Assigned Baa3 (sf) Cl. B1, Definitive Rating Assigned Ba2 (sf) RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Moody's expected losses on MCMLT 2017-3's collateral pool average 10.20% in Moody's base case scenario. Moody's loss estimates take into account the historical performance of loans that have similar collateral characteristics as the loans in the pool. For example, Moody's observed the performance of 10 year IO-ARM loans as a proxy to estimate future delinquencies for first lien HELOC loans because of the similarities in the two loan types. A typical HELOC is an adjustable rate loan with an IO period after which the loan amortizes over the remaining term. For the non-modified portion of this pool, Moody's analyzed data on delinquency rates for always current (including self-cured) loans. Moody's final loss estimates also incorporates adjustments for the strength of the third party due diligence, the servicing framework (including the capability to service HELOC loans) and the representations and warranties (R&W) framework of the transaction. The methodologies used in these ratings were "Moody's Approach to Rating Securitisations Backed by Non-Performing and Re-Performing Loans" published in August 2016, and "US RMBS Surveillance Methodology" published in January 2017. Collateral Description MCMLT 2017-3 is a securitization of 1,665 loans and is primarily comprised of seasoned performing and modified re-performing mortgage loans. Approximately 70.51% of the loans in the collateral pool have been previously modified. Moody's based Moody's expected losses on Moody's estimates of 1) the default rate on the remaining balance of the loans and 2) the principal recovery rate on the defaulted balances. The two factors that most strongly influence a re-performing mortgage loan's likelihood of re-default are the length of time that the loan has performed since a loan modification, and the amount of the reduction in the monthly mortgage payment as a result of the modification. The longer a borrower has been current on a re-performing loan, the less likely the borrower is to re-default. Approximately 49.14% of the borrowers have been current on their payments for at least the past 24 months. There are approximately 221 properties in the pool which had potential exposure to Hurricane Irma. Majority of the properties are located in Florida. Moody's did not make any specific adjustments to Moody's expected loss because (i) there is a No Damage R&W which specifies that the property is undamaged by events including flood, tornado and windstorm and (ii) The Representation Provider covenants that with respect to any property located in Florida, if the borrower does not make any two of the first three mortgage payments due immediately following the Closing Date, the Representation Provider will repurchase the related Mortgage Loan. It is expected that the servicer will inspect properties that were affected by Hurricane Irma and any damaged properties will be removed from the portfolio. This portfolio contains no properties that were affected by Hurricane Harvey. Moody's estimated expected losses for the pool using two approaches -- (1) pool-level approach, and (2) re-performing loan level analysis. In the pool-level approach, Moody's estimates losses on the pool by using a approach similar to Moody's surveillance approach wherein Moody's apply assumptions on expected future delinquencies, default rates, loss severities and prepayments as observed from Moody's surveillance of similar collateral. Moody's projects future annual delinquencies for eight years by applying an initial annual default rate and delinquency burnout factors. Based on the loan characteristics of the pool and the demonstrated pay histories, Moody's expects an annual delinquency rate of 9.5% on the collateral pool for year one. Moody's then calculated future delinquencies on the pool using Moody's default burnout and voluntary conditional prepayment rate (CPR) assumptions. Moody's assumptions also factor in the high delinquency rates expected in the early stages of the transaction due to payment shock expected during the amortization phase for HELOC loans originated in 2005-2008 as well as payment shock expected for step-rate loans. The delinquency burnout factors reflect Moody's future expectations of the economy and the U.S. housing market. Moody's then aggregated the delinquencies and converted them to losses by applying pool-specific lifetime default frequency and loss severity assumptions. Moody's loss severity assumptions are based off observed severities on liquidated seasoned loans and reflect the lack of principal and interest advancing on the loans. Moody's also conducted a loan level analysis on MCMLT 2017-3's collateral pool. Moody's applied loan-level baseline lifetime propensity to default assumptions based on the historical performance of loans with similar collateral characteristics and payment histories. Moody's then adjusted this base default propensity up for (1) adjustable-rate loans, (2) loans that have the risk of coupon step-ups and (3) loans with high updated loan to value ratios (LTVs). Moody's applied a higher baseline lifetime default propensity for interest-only loans, using the same adjustments. To calculate the final expected loss for the pool, Moody's applied a loan-level loss severity assumption based on the loans' updated estimated LTVs. Moody's further adjusted the loss severity assumption upwards for loans in states that give super-priority status to homeowner association (HOA) liens, to account for potential risk of HOA liens trumping a mortgage. For 9.80% of newly originated loans, Moody's also performed additional loan level analysis similar to Moody's analysis of newly originated prime quality loans. The deferred balance in this transaction is approximately $25.66 million, representing approximately 5.92% of the total unpaid principal balance. Loans that have HAMP and proprietary remaining principal reduction alternative (PRA) amounts totaled $190,278, representing approximately 0.04% of total deferred balance. Under HAMP-PRA, the principal of the borrower's mortgage may be reduced by a predetermined amount called the PRA forbearance amount if the borrower satisfies certain conditions during a trial period. If the borrower continues to make timely payments on the loan for three years, the entire PRA forbearance amount is forgiven. Also, if the loan is in good standing and the borrower voluntary pays off the loan, the entire forbearance amount is forgiven. For non-PRA forborne amounts, the deferred balance is the full obligation of the borrower and must be paid in full upon (i) sale of property (ii) voluntary payoff or (iii) final scheduled payment date. Upon sale of the property, the servicer therefore could potentially recover some of the deferred amount. For loans that default in future or get modified after the closing date, the servicer may opt for partial or full principal forgiveness to the extent permitted under the servicing agreement. Based on performance data and information from servicers, Moody's assume that 100% of the remaining PRA amount would be forgiven and not recovered. For non-PRA deferred balance, Moody's applied a slightly higher default rate for these loans than what Moody's assumed for the overall pool given that these borrowers have experienced past credit events that required loan modification, as opposed to borrowers who have been current and have never been modified. Also, for non-PRA loans, based on performance data from an RPL servicer, Moody's assumed approximately 95% severity as servicers may recover a portion of the deferred balance. The final expected loss for the collateral pool reflects the due diligence scope and findings of the independent third party review (TPR) firms as well as Moody's assessments of MCMLT 2017-3's representations & warranties (R&Ws) framework. Transaction Structure The securitization has a simple sequential priority of payments structure without any cash flow triggers. The transaction allocates 75% of excess cashflow (net of realized losses and certain unreimbursed amounts) pro-rata to Class A1 through Class B3. This arrangement is weaker than some rated transactions where excess cashflow is used to pay principal sequentially, however, it is still beneficial to the senior bonds because principal payments from excess interest collection helps to build credit enhancement through overcollateralization. Similar to MCMLT 2017-2, due to the inclusion of HELOC loans (and potential for future draws) certain structural features were incorporated in this transaction. If a borrower of a HELOC loan makes a draw on the related HELOC credit line, the servicer will be required to fund such draw and will be reimbursed through the following mechanism. On the Closing Date, the Depositor will remit $2.275 million in the HELOC Draw Reserve Account, which will be used to reimburse the servicer for any draws made on the HELOC credit line. The remaining 25% of excess cashflow will be used to first fund the HELOC reserve account to its target amount ($4.544 million). Subsequently, if amounts on deposit in the HELOC Draw Reserve Account are not sufficient to reimburse such draws, the Class D Certificates will be obligated to remit the deficient amount to the HELOC Draw Reserve Account ("Class D Draw Amount"). The Class D certificate is not an offered certificate and will represent an equity interest in the issuer (MCMLT 2017-3) In the event the holder of the Class D Certificates fails to remit all or part of any Class D Draw Amount on any payment date, the Indenture Trustee will fund any unpurchased draw or portion of a draw on future Payment Dates from amounts in the HELOC Draw Reserve Account. The servicer will not advance any principal or interest on delinquent loans. However, the servicer will be required to advance costs and expenses incurred in connection with a default, delinquency or other event in the performance of its servicing obligations. Credit enhancement in this transaction is comprised of subordination provided by mezzanine and junior tranches, the buildup of overcollateralization from available excess interest and from additional collateral available to the trust if HELOC borrowers draw on their credit line, which will be purchased by the Indenture Trustee from the servicer. If the Indenture Trustee is unable to purchase the additional collateral, then the servicer will be entitled to a portion of P&I payments on such HELOC loan. The principal payment received from this additional collateral will facilitate a faster pay down on the senior notes. 75% of available excess interest net of realized losses and certain unreimbursed amounts) pro-rata to Class A1 through Class B3. The remaining excess interest will be used to first replenish the HELOC Draw Reserve Account to the target amount, to the Class D certificate holder and to reimburse any unpaid fees before paying the Class X certificate. To the extent that the overcollateralization amount is zero, realized losses will be allocated to the notes in a reverse sequential order starting with the lowest subordinate bond. The Class A1, M1, M2, M3, B1, B2 and B3 notes carry a fixed-rate coupon subject to the collateral adjusted net weighted average coupon (WAC) and applicable available funds cap. The Class B4 and B5 are variable rate notes where the coupon is equal to the lesser of adjusted net WAC and applicable available funds cap. Moody's modeled MCMLT 2017-3's cashflows using SFW®, a cashflow tool developed by Moody's Analytics. To assess the final rating on the notes, Moody's ran 96 different loss and prepayment scenarios through SFW. The scenarios encompass six loss levels, four loss timing curves, and four prepayment curves. The structure allows for timely payment of interest and ultimate payment of principal with respect to the notes by the legal final maturity. Third Party Review Three third party review (TPR) firms conducted due diligence on all but one of the loans in MCMLT 2017-3's collateral pool. The TPR firms reviewed compliance, data integrity and key documents, to verify that loans were originated in accordance with federal, state and local anti-predatory laws. The TPR firms also conducted audits of designated data fields to ensure the accuracy of the collateral tape. An independent firm also reviewed the title and tax reports for all the loans in the pool. Based on Moody's analysis of the third-party review reports, Moody's determined that a portion of the loans had legal or compliance exceptions (including 2 loans where the diligence providers were unable to determine if these loans were originated in accordance with ATR rules. Moody's have made adjustments consistent with Moody's approach to account for the rating impact of ATR rules) that could cause future losses to the trust. Two loans were also found as Non-QM loans but ATR compliant. Moody's incorporated an additional hit to the loss severities for these loans to account for this risk. The title review includes confirming the recordation status of the mortgage and the intervening chain of assignments, the status of real estate taxes and validating the lien position of the underlying mortgage loan. Once securitized, delinquent taxes will be advanced on behalf of the borrower and added to the borrower's account. The servicer will be reimbursed for delinquent taxes from the top of the waterfall, as a servicing advance. The representation provider has deposited collateral of $750,000 in the Assignment Reserve Account (ARA) to ensure one or more third parties monitored by the Depositor completes all assignment and endorsement chains and record an intervening assignment of mortgage as necessary. The amount deposited in the ARA at the closing date is same as MCMLT 2017-1 but lower than previous Mill City transactions issued in 2015 and 2016. Moody's has considered the lower ARA deposit and factors such as: (i) the high historical cure rate in the previous Mill City transactions; (ii) the low delinquency rate of the previous Mill City transactions; and (iii) quality of the collateral. Representations & Warranties Moody's ratings also factor in MCMLT 2017-3's weak representations and warranties (R&Ws) framework because they contain many knowledge qualifiers and the regulatory compliance R&W does not cover monetary damages that arise from TILA violations whose right of rescission has expired. The breach discovery process for this transaction is also weaker than previous Mill City securitizations and other rated RPL transactions. Previously, an independent party reviewed R&W breaches for every loan that became 120 days delinquent. For this transaction, an independent party reviews R&W breaches for every loan that incurs a realized loss. Moody's has made adjustments to account for the weaker breach discovery process. While the transaction provides for a Breach Reserve Account to cover for any breaches of R&Ws, the size of the account is small relative to MCMLT 2017-3's aggregate collateral pool ($433.8 million). An initial deposit of $1.0 million will be remitted to the Breach Reserve Account on the closing date, with an initial Breach Reserve Account target amount of $1.59 million. Trustee Indemnification Moody's believes there is a very low likelihood that the rated notes in Mill City 2017-3 will incur any loss from extraordinary expenses or indemnification payments owing to potential future lawsuits against key deal parties. First, majority of the loans are seasoned with demonstrated payment history, reducing the likelihood of a lawsuit on the basis that the loans have underwriting defects. Second, historical performance of loans aggregated by the sponsor to date has been within expectation, with minimal losses on previously issued Mill City transactions. Third, the transaction has reasonably well defined processes in place to identify loans with defects on an ongoing basis. In this transaction, an independent breach reviewer must review loans for breaches of representations and warranties when a realized loss is incurred on a loan, which reduces the likelihood that parties will be sued for inaction. Furthermore, the issuer has performed nearly 100% due diligence by independent third parties with respect to compliance and payment history and has disclosed the results of the review. Transaction Parties The transaction benefits from an adequate servicing arrangement. Shellpoint will service 81.73% of the pool, Fay will service 9.55% of the pool and SPS will service 8.73% of the pool. Wells Fargo Bank, N.A. is the Custodian of the transaction. The Delaware Trustee for MCMLT 2017-3 is Wilmington Savings Fund Society, FSB, d/b/a, Christiana Trust. MCMLT 2017-3's Indenture Trustee is U.S. Bank National Association. Factors that would lead to an upgrade or downgrade of the ratings: Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligors defaulting or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. ML-CFC COMMERCIAL 2007-7: Moody's Hikes Ratings on 2 Tranches to B1 ------------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on two classes, affirmed the rating on one class and downgraded the ratings on two classes ML-CFC Commercial Mortgage Trust 2007-7, Commercial Mortgage Pass-Through Certificates, Series 2007-7: Cl. AM, Upgraded to B1 (sf); previously on Sep 29, 2016 Affirmed B2 (sf) Cl. AM-FL, Upgraded to B1 (sf); previously on Sep 29, 2016 Affirmed B2 (sf) Cl. AJ, Downgraded to C (sf); previously on Sep 29, 2016 Affirmed Ca (sf) Cl. AJ-FL, Downgraded to C (sf); previously on Sep 29, 2016 Affirmed Ca (sf) Cl. X, Affirmed C (sf); previously on Jun 9, 2017 Downgraded to C (sf) RATINGS RATIONALE The ratings on the P&I Classes AM and AM-FL were upgraded based primarily on an increase in credit support resulting from loan paydowns and amortization. The deal has paid down 86% since Moody's last review. The ratings on the P&I Classes AJ and AJ-FL were downgraded due to anticipated losses and realized losses from specially serviced and troubled loans that were higher than Moody's had previously expected. The rating on the IO Class X was affirmed based on the credit quality of the referenced classes. Moody's rating action reflects a base expected loss of 49.4% of the current pooled balance, compared to 7.1% at Moody's last review. Moody's base expected loss plus realized losses is now 18.0% of the original pooled balance, compared to 16.7% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The methodologies used in these ratings were "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in July 2017, and "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 was "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" methodology published in June 2017. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 87% of the pool is in special servicing and Moody's has identified an additional troubled loan representing 4% of the pool. In this approach, Moody's determines a probability of default for each specially serviced and troubled loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss from specially serviced and troubled loans to the most junior classes and the recovery as a pay down of principal to the most senior classes. DEAL PERFORMANCE As of the September 14, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 86% to $219 million from $2.79 billion at securitization. The certificates are collateralized by 30 mortgage loans ranging in size from less than 1% to 17% of the pool, with the top ten loans (excluding defeasance) constituting 69% 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 13, compared to 70 at Moody's last review. Five loans, constituting 11% 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. Eighty-two loans have been liquidated from the pool, resulting in an aggregate realized loss of $393.8 million (for an average loss severity of 61%). Twenty-one loans, constituting 87% of the pool, are currently in special servicing. The largest specially serviced loan is the Scottsdale Center loan ($38.0 million -- 17.3% of the pool), which is secured by an 201,565 squarefoot (SF) anchored community shopping center located in Rogers, Arkansas, the northwest portion of the state in the Fayetteville-Springdale-Rogers Metropolitan Area. The property consists of five buildings situated on 24 acres. Major tenants at the property include Belk, Ross Dress for Less, Barnes & Noble, and Staples. Belk currently makes up 57% of the property's net rentable area, occupying their space on two ground leases until March 2022. The second largest specially serviced loan is the Renaissance III Retail - A note ($30.0 million -- 13.7% of the pool), which is secured by a 225,973 SF class B+ grocery-anchored retail center located in central Las Vegas, Nevada, four miles east of the Vegas strip. The anchor space is currently leased to Ralph's Grocery, however the space is unoccupied. Current tenants at the property include the State of Nevada Welfare Division, Planet Fitness, Ace Hardware, Chase Bank, and Sonic. The loan first transferred to special servicing in March 2010 and received a modification in April 2011. The original note was split into a $30 million A-Note and a $10 million B-Note. The loan transferred back to special servicing for imminent default following the borrower's inability to pay the loan in full at maturity in May 2017. The third largest specially serviced loan is the Gristmill Village loan ($12.9 million -- 5.9% of the pool), which is secured by a 91,845 SF mixed-use property located in Concord, Ohio, thirty miles northeast of the Clevelend CBD. The retail component of the property makes up 59,891 SF (65% by NRA) and is anchored by Reider's Market, an independent, owner operated grocery store. Other retail tenants are a mix of small restraunts and local businesses. The office component makes up 33,264 sf (35% by NRA). It is primarily leased to a mix of medical offices. The loan transferred to special servicing after it was not paid at maturity in April 2017. The remaining 18 specially serviced loans are secured by a mix of property types. Moody's has also assumed a high default probability for one other poorly performing loan, constituting 3.8% of the pool. Moody's estimates an aggregate $107.7 million loss for the specially serviced and troubled loans (54% expected loss on average). Moody's received full year 2016 operating results for 64% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 87%, compared to 102% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 22% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 10.2%. Moody's actual and stressed conduit DSCRs are 1.26X and 2.48X, respectively, compared to 1.37X and 1.12X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The top two conduit loans represent 6.6% of the pool balance. The largest loan is the Montgomery Trace Shopping Center Loan ($7.4 million -- 3.4% of the pool), which is secured by a grocery anchored shopping center located in Montgomery, Texas directly off of Highway 105 and fifty miles north of the Houston CBD. The anchor, Brookshire Brothers, is currently under lease until 2022. Per the Master Servicer, the property sustained only minor damage from Hurricane Harvey; three tenants reported minor roof leaks in need of ceiling tile replacements. Moody's LTV and stressed DSCR are 123% and 0.81X, respectively, compared to 126% and 0.80X at the last review. The second largest loan is the Villa La Jolla Building Loan ($7.1 million -- 3.3% of the pool), which is secured by a medical office buillding located in La Jolla, California, roughly ten miles north of the San Diego CBD. The loan matured in May 2017, however the borrower reached a six-month extension agreement; the loan now matures on November 1, 2017. UC San Diego Health rents the entire space into April 2018. Due to the upcoming lease maturity of the sole tenant, Moody's employed a lit-dark analysis during this review. Moody's LTV and stressed DSCR are 102% and 1.09X, respectively. MORGAN STANLEY 2003-IQ4: Moody's Affirms B1 Rating on Class K Certs ------------------------------------------------------------------- Moody's Investors Service has upgraded the rating on one class and affirmed the ratings on five classes in Morgan Stanley Capital I Trust Commercial Mortgage Pass-through Certificates, Series 2003-IQ4: Cl. J, Upgraded to A1 (sf); previously on October 20, 2016 Upgraded to A3 (sf) Cl. K, Affirmed B1 (sf); previously on October 20, 2016 Affirmed B1 (sf) Cl. L, Affirmed Caa3 (sf); previously on October 20, 2016 Affirmed Caa3 (sf) Cl. M, Affirmed C (sf); previously on October 20, 2016 Affirmed C (sf) Cl. N, Affirmed C (sf); previously on October 20, 2016 Affirmed C (sf) Cl. X-1, Affirmed C (sf); previously on June 9, 2017 Downgraded to C (sf) RATINGS RATIONALE The rating on Class J was upgraded primarily due to an increase in credit support since Moody's last review, resulting from loan paydowns and amortization. The pool has paid down by 28% since Moody's last review and 98% since securitization. The ratings on Classes K, L, M and N were affirmed because ratings are consistent with Moody's expected loss and these classes are currently impacted by interest shortfalls. 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 30.9% of the current pooled balance, compared to 18.4% at Moody's last review. Moody's base expected loss plus realized losses is now 1.7% of the original pooled balance, compared to 1.6% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The methodologies used in these ratings were "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in July 2017, and "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 September 15, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 98% to $13.6 million from $727.8 million at securitization. The certificates are collateralized by 17 mortgage loans ranging in size from less than 1% to 35.5% of the pool, with the top ten loans (excluding defeasance) constituting 91.3% of the pool. One loan, constituting 0.7% of the pool, have defeased and are secured by US government securities. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 6, compared to 9 at Moody's last review. Six loans have been liquidated from the pool, resulting in an aggregate realized loss of $8.1 million. One loan, the North Mayfair Loan ($4.8 million -- 35.5% of the pool), is currently in special servicing. The loan is secured by an 102,500 square foot (SF), class B, mid-rise office building located in the northwest suburbs of Milwaukee, Wisconsin. As per the July 2017 rent roll the property was 73% occupied, compared to 68% occupied as of September 2016. The property has been REO since December 2014 and the special servicer indicated they have marketed the property for sale in the third quarter of 2017. As of the September 15, 2017 remittance statement cumulative interest shortfalls were $1.4 million. Moody's anticipates interest shortfalls will continue because of the exposure to the specially serviced loan. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. Moody's received full year 2016 operating results for 93% of the pool, and full or partial year 2017 operating results for 33% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 27.1%, compared to 32.3% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 11.2% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.9%. Moody's actual and stressed conduit DSCRs are 1.31X and 5.43X, respectively, compared to 1.35X and 4.06X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The top three conduit loans represent 28.3% of the pool balance. The largest loan is the Plainview Commons Loan ($1.4 million -- 10.1% of the pool), which is secured by a retail property located in Plainview, New York. As per the December 2016 rent roll the property was 100% occupied, compared to the 83% at the time of Moody's last review. The loan is a fully amortizing loan and matures in February 2023. Moody's LTV and stressed DSCR are 35.0% and 3.24X, respectively. The second largest loan is the is the Boardwalk Plaza Loan ($1.3 million -- 9.8% of the pool), which is secured by a 49,000 square foot (SF) anchored retail property located east of Detroit, MI. As per the November 2016 rent roll the property was 100% occupied, compared to 93% leased at the time of Moody's last review. The loan is a fully amortizing loan and matures in February 2023. Moody's LTV and stressed DSCR are 29.3% and 3.51X, respectively. The third largest loan is the Garden West Apartments Loan ($1.1 million -- 8.4% of the pool), which is secured by 122 units in garden style apartments in Yuba, California. As per December 2016 rent roll the property was 97% occupied, compared to 90% at the time of Moody's last review. The loan is a fully amortizing loan and matures in January 2023. Moody's LTV and stressed DSCR are 32.6% and 3.15X, respectively. MORGAN STANLEY 2015-C25: Fitch Affirms B- Rating on Class F Certs ----------------------------------------------------------------- Fitch Ratings has affirmed 15 classes of Morgan Stanley Bank of America Merrill Lynch Trust (MSBAM) Mortgage Trust 2015-C25 commercial mortgage pass-through certificates. KEY RATING DRIVERS Stable Performance: The affirmations are based on the relatively stable performance of the underlying collateral. As of the September 2017 distribution date, the pool's aggregate principal balance has paid down by 0.8% to $1.17 billion from $1.18 billion at issuance. There are no specially serviced or delinquent loans. One loan (4.3% of current pool) is on the servicer's watchlist. There is one loan (4.7%) that is considered a Fitch Loan of Concern, Villas at Dorsey Ridge, due to a 24.6% drop in YE 2016 NOI compared to issuance. The property occupancy still remains strong at 90% as of July 2017 compared to 98% at issuance and has an interest-only NOI DSCR of 1.23x at YE 2016. Pool Concentration: The top 10 loans comprise 53.6% of the pool, which is higher than averages of 50.5% and 49.3% for 2014 and 2015, respectively. The transaction's exposure to areas impacted by Hurricane Harvey include one loan (1.2%), a multifamily located in Bay City, TX, that has minor damage. There was also minimal exposure to Hurricane Irma with one multifamily property (1.5%) located in Casselberry, Florida for which no update on the condition has been reported. Limited Upcoming Maturities: Only 2.3% of the pool is scheduled to mature in 2020. The majority of the pool matures in 2024 (9.8%) and 2025 (86%). Below-Average Amortization: The pool is scheduled to amortize by 10.1% of the initial pool balance prior to maturity. This is not as good as the averages of 12.0% and 11.7% for 2014 and 2015, respectively. Five loans (22.3%) are full-term interest-only and 32 loans (55.3%) are partial interest-only, with the remaining 19 loans (22.5%) being balloon loans. Property Diversity: The largest property type is office, which comprises 22.6% of the pool, followed by retail (21.8%) and multifamily (19.8%). Hotels comprise 13.3% of the pool, which is lower than the average of 17% for 2015. RATING SENSITIVITIES Rating Outlooks for all classes remain Stable due to the overall stable performance of the pool and continued amortization. Rating upgrades may occur with improved pool performance and additional paydown or defeasance. Rating downgrades to the classes are possible should a material asset-level or economic event adversely affect pool performance. Fitch has affirmed the following ratings: -- $24,882,613 class A-1 at 'AAAsf'; Outlook Stable; -- $28,700,000 class A-2 at 'AAAsf'; Outlook Stable; -- $93,700,000 class A-SB at 'AAAsf'; Outlook Stable; -- $115,000,000 class A-3 at 'AAAsf'; Outlook Stable; -- $230,000,000 class A-4 at 'AAAsf'; Outlook Stable; -- $324,193,000 class A-5 at 'AAAsf'; Outlook Stable; -- $816,475,613b class X-A at 'AAAsf'; Outlook Stable; -- $45,702,000b class X-B at 'AAAsf'; Outlook Stable; -- $63,394,000b class X-D at 'BBB-sf'; Outlook Stable; -- $45,702,000 class A-S at 'AAAsf'; Outlook Stable; -- $89,931,000 class B at 'AA-sf'; Outlook Stable; -- $56,022,000 class C at 'A-sf'; Outlook Stable; -- $63,394,000 class D at 'BBB-sf'; Outlook Stable; -- $29,485,0000a class E at 'BB-sf'; Outlook Stable; -- $13,269,000a class F at 'B-sf'; Outlook Stable. (a) Privately placed (b) Notional amount and interest-only Fitch does not rate class G. MORGAN STANLEY 2017-C34: Fitch to Rate Class F Notes 'B-sf' ----------------------------------------------------------- Fitch Ratings has issued a presale report on Morgan Stanley Bank of America Merrill Lynch Trust 2017-C34, Series 2017-C34. Fitch expects to rate the transaction and assign Rating Outlooks as follows: -- $25,285,000 class A-1 'AAAsf'; Outlook Stable; -- $47,024,000 class A-2 'AAAsf'; Outlook Stable; -- $61,577,000 class A-SB 'AAAsf'; Outlook Stable; -- $200,000,000 class A-3 'AAAsf'; Outlook Stable; -- $363,447,000 class A-4 'AAAsf'; Outlook Stable; -- $697,333,000a class X-A 'AAAsf'; Outlook Stable; -- $171,843,000a class X-B 'A-sf'; Outlook Stable; -- $77,205,000 class A-S 'AAAsf'; Outlook Stable; -- $48,564,000 class B 'AA-sf'; Outlook Stable; -- $46,074,000 class C 'A-sf'; Outlook Stable; -- $56,036,000ab class X-D 'BBB-sf'; Outlook Stable; -- $24,905,000ab class X-E 'BB-sf'; Outlook Stable; -- $11,207,000ab class X-F 'B-sf'; Outlook Stable; -- $56,036,000b class D 'BBB-sf'; Outlook Stable; -- $24,905,000b class E 'BB-sf'; Outlook Stable; -- $11,207,000b class F 'B-sf'; Outlook Stable. The following classes are not expected to be rated by Fitch: -- $34,867,004b class G; -- $34,867,004ab class X-G; -- $52,431,106b class VRR Interest. (a) Notional amount and interest-only. (b) Privately placed and pursuant to Rule 144A. The certificates represent the beneficial ownership interest in the trust, primary assets of which are 50 loans secured by 179 commercial properties having an aggregate principal balance of $1,048,622,110 as of the cut-off date. The loans were contributed to the trust by Bank of America, National Association, Morgan Stanley Mortgage Capital Holdings LLC, Starwood Mortgage Funding III LLC and KeyBank National Association. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 77.2% of the properties by balance, cash flow analysis of 84.5%, and asset summary reviews on 84.5% of the pool. KEY RATING DRIVERS Higher Fitch Leverage than Recent Transactions: The pool's leverage is slightly higher than recent Fitch-rated multiborrower transactions. The pool's Fitch DSCR and LTV are 1.20x and 105.7%, respectively, which reflect slightly worse leverage statistics compared to the YTD 2017 averages of 1.25x and 101.4%, respectively. Excluding credit opinion loans, the pool has a Fitch DSCR and LTV of 1.18x and 109.1%, respectively, compared with the YTD 2017 normalized averages of 1.20x and 109.9%. Weak Amortization: Thirteen loans representing 42.5% of the pool are full interest-only loans, which is slightly below the YTD 2017 average of 44.2% but greater than the 2016 average of 33.3% for other Fitch-rated multiborrower transactions. Additionally, there are 16 loans representing 32.5% of the pool that are partial interest-only loans. Based on the scheduled balance at maturity, the pool is scheduled to pay down by 8.7%, which is slightly above the YTD 2017 average of 8.2% but below the 2016 average of 10.4%. Below-Average Hotel Exposure: Hotel properties represent 9.5% of the pool by balance, which is lower than the YTD 2017 average of 15.8% and 2016 average of 16.0%. Loans secured by 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 3.4% 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 the MSBAM 2017-C34 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. NATIONSTAR HECM 2017-2: Moody's Assigns Ba3 Rating to Cl. M2 Debt ----------------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to three classes of residential mortgage-backed securities (RMBS) issued by Nationstar HECM Loan Trust 2017-2 (NHLT 2017-2). The ratings range from Aaa (sf) to Ba3 (sf). The certificates are backed by a pool that includes 1,360 inactive home equity conversion mortgages (HECMs) and 200 real estate owned (REO) properties. The servicer for the deal is Nationstar Mortgage LLC (Nationstar). The complete rating actions are: Issuer: Nationstar HECM Loan Trust 2017-2 Cl. A, Definitive Rating Assigned Aaa (sf) Cl. M1, Definitive Rating Assigned A3 (sf) Cl. M2, Definitive Rating Assigned Ba3 (sf) RATINGS RATIONALE The collateral backing NHLT 2017-2 consists of first-lien inactive HECMs covered by Federal Housing Administration (FHA) insurance secured by properties in the US along with Real-Estate Owned (REO) properties acquired through conversion of ownership of reverse mortgage loans that are covered by FHA insurance. If a borrower or their estate fails to pay the amount due upon maturity or otherwise defaults, the sale of the property is used to recover the amount owed. Nationstar acquired the mortgage assets from Ginnie Mae sponsored HECM mortgage backed (HMBS) securitizations. All of the mortgage assets are covered by FHA insurance for the repayment of principal up to certain amounts. 18.2% of the collateral is from the recently collapsed NHLT 2015-2 transaction and 33.5% of the collateral is from the recently collapsed NHLT 2016-1 transaction. There are 1,560 mortgage assets with a balance of $422,256,709. The assets are in either default, due and payable, referred, foreclosure or REO status. Loans that are in default may move to due and payable; due and payable loans may move to foreclosure; and foreclosure loans may move to REO. 28.93% of the assets are in default of which 11.84% (of the total assets) are in default due to non-occupancy, 16.86% (of the total assets) are in default due to taxes and insurance and 0.22% (of the total assets) are in default for other reasons. 9.25% of the assets are due and payable, 48.63% of the assets are in foreclosure and 1.92% of the assets are in referred status. Finally, 11.27% of the assets are REO properties and were acquired through foreclosure or deed-in-lieu of foreclosure on the associated loan. If the value of the related mortgaged property is greater than the loan amount, some of these loans may be settled by the borrower or their estate. Compared to previous NHLT transactions that Moody's has rated, NHLT 2017-2 has a comparatively high percentage of loans in states with long foreclosure timelines such as New York, New Jersey, and Florida. In addition, 16.0% of the assets in this transaction are backed by properties that may have been affected by Hurricane Harvey or Hurricane Irma. Finally, there are 12 assets (0.5% of the asset balance) in NHLT 2017-2 that are backed by properties in Puerto Rico. Moody's credit ratings reflect state-specific foreclosure timeline stresses as well as adjustments for risks associated with the recent hurricanes and the real estate market in Puerto Rico. Transaction Structure The securitization has a sequential liability structure amongst three classes of notes with overcollateralization and structural subordination. All funds collected, prior to an acceleration event, are used to make interest payments to the notes, then principal payments to the Class A notes, then to a redemption account until the amount on deposit in the redemption account is sufficient to cover future principal and interest payments for the subordinate notes up to their expected final payment dates. The subordinate notes will not receive principal until the beginning of their respective target amortization periods (in the absence of an acceleration event). The notes benefit from overcollateralization and structural subordination as credit enhancement, and an interest reserve account funded with cash received from the initial purchasers of the notes for liquidity and credit enhancement. The transaction is callable on or after six months with a 1.0% premium and on or after 12 months without a premium. The mandatory call date for the Class A notes is in September 2019. For the Class M1 notes, the expected final payment date is in March 2020. Finally, for the Class M2 notes, the expected final payment date is in September 2020. For each of the subordinate notes, there are six month target amortization periods that conclude on the respective expected final payment dates. The legal final maturity of the transaction is 10 years. Available funds to the transaction are expected to primarily come from the liquidation of REO properties and receipt of FHA insurance claims. These funds will be received with irregular timing. In the event that there are insufficient funds to pay interest in a given period, the interest reserve account may be utilized. Additionally, any shortfall in interest will be classified as an available funds cap shortfall. These available funds cap carryover amounts will have priority of payments in the waterfall and will also accrue interest at the respective note rate. Certain aspects of the waterfall are dependent upon Nationstar remaining as servicer. Servicing fees and servicer related reimbursements are subordinated to interest and principal payments while Nationstar is servicer. However, servicing advances will instead have priority over interest and principal payments in the event that Nationstar defaults and a new servicer is appointed. Third-Party Review A third party firm conducted a review of certain characteristics of the mortgage assets on behalf of Nationstar. The review focused on data integrity, FHA insurance coverage verification, accuracy of appraisal recording, accuracy of occupancy status recording, borrower age documentation, identification of excessive corporate advances, documentation of servicer advances, and identification of tax liens with first priority in Texas. Also, broker price opinions (BPOs) were ordered for 300 properties in the pool. The TPR firm conducted an extensive data integrity review. Certain data tape fields, such as the MIP rate, the current UPB, current interest rate, and marketable title date were reviewed against Nationstar's servicing system. However, a significant number of data tape fields were reviewed against imaged copies of original documents of record, screen shots of HUD's HERMIT system, or HUD documents. Some key fields reviewed in this manner included the original note rate, the debenture rate, foreclosure first legal date, and the called due date. The results of the third-party review (TPR) are comparable to previous NHLT transactions in many respects. However, the number of exceptions related to missing invoices and corporate advances in excess of FHA reimbursement thresholds is higher than in other recently rated NHLT transactions, particularly with respect to missing tax and insurance invoices. NHLT 2017-2's TPR results showed a 24.23% initial-tape exception rate related to foreclosure and bankruptcy fees, a 3.21% initial-tape exception rate related to property preservation fees, a 12.79% initial-tape exception rate related to tax and insurance disbursements and a 7.57% initial-tape exception rate related to non-tax and insurance disbursements. This compares to 15.02%, 3.00%, 1.91% and 0.32% initial-tape exception rates for NHLT 2017-1 in these categories respectively. Reps & Warranties (R&W) Nationstar is the loan-level R&W provider. Nationstar is rated B2 (Stable). At this point, Moody's has limited insight as to their ability to serve in this capacity. This risk is mitigated by the fact that Nationstar is the equity holder in the transaction and there is therefore a significant alignment of interests. Another factor mitigating this risk is that a third-party due diligence firm conducted a review on the loans for evidence of FHA insurance. Nationstar represents that the mortgage loans are covered by FHA insurance that is in full force and effect. Nationstar provides further R&Ws including those for title, first lien position, enforceability of the lien, and the condition of the property. Although Nationstar provides a no fraud R&W covering the origination of the mortgage loans, determination of value of the mortgaged properties, and the sale and servicing of the mortgage loans, the no fraud R&W is made only as to the initial mortgage loans. Aside from the no fraud R&W, Nationstar does not provide any other R&W in connection with the origination of the mortgage loans, including whether the mortgage loans were originated in compliance with applicable federal, state and local laws. Although certain representations are knowledge qualified, the transaction documents contain language specifying that if a representation would have been breached if not for the knowledge qualifier then Nationstar will repurchase the relevant asset as if the representation had been breached. Upon the identification of an R&W breach, Nationstar has to cure the breach. If Nationstar is unable to cure the breach, Nationstar must repurchase the loan within 90 days from receiving the notification. Moody's believes the absence of an independent third party reviewer who can identify any breaches to the R&W makes the enforcement mechanism weak in this transaction. When analyzing the transaction, Moody's reviewed the transaction's exposure to large potential indemnification payments owed to transaction parties due to potential lawsuits. In particular, Moody's assessed the risk that the acquisition trustee would be subject to lawsuits from investors for a failure to adequately enforce the R&Ws against the Seller. Moody's believes that NHLT 2017-2 is adequately protected against such risk in part because a third-party data integrity review was conducted on a significant random sample of the loans. In addition, the third-party due diligence firm verified that all of the loans in the pool are covered by FHA insurance. Trustee & Master Servicer The acquisition and owner trustee for the NHLT 2017-2 transaction is Wilmington Savings Fund Society, FSB. The paying agent and cash management functions will be performed by U.S. Bank National Association. U.S. Bank National Association will also serve as the claims payment agent and as such will be the HUD mortgagee of record for the mortgage assets in the pool. Methodology The methodologies used in these ratings were "Moody's Approach to Rating Securitisations Backed by Non-Performing and Re-Performing Loans" published in August 2016, and "Moody's Global Approach to Rating Reverse Mortgage Securitizations" published in May 2015. Moody's quantitative asset analysis is based on a loan-by-loan modeling of expected payout amounts given the structure of FHA insurance and with various stresses applied to model parameters depending on the target rating level. FHA insurance claim types: funds come into the transaction primarily through the sale of REO properties and through FHA insurance claim receipts. There are uncertainties related to the extent and timing of insurance proceeds received by the trust due to the mechanics of the FHA insurance. HECM mortgagees may suffer losses if a property is sold for less than its appraised value. The amount of insurance proceeds received from the FHA depends on whether a sales based claim (SBC) or appraisal based claim (ABC) is filed. SBCs are filed in cases where the property is successfully sold within the first six months after the servicer has acquired it. ABCs are filed six months after the servicer has obtained marketable title if the property has not yet been sold. For an SBC, HUD insurance will cover the difference between (i) the loan balance and (ii) the higher of the sales price and 95.0% of the latest appraisal, with the transaction on the hook for losses if the sales price is lower than 95.0% of the latest appraisal. For an ABC, HUD only covers the difference between the loan amount and 100% of appraised value, so failure to sell the property at the appraised value results in loss. Moody's expects ABCs to have higher levels of losses than SBCs. The fact that there is a delay in the sale of the property usually implies some adverse characteristics associated with the property. FHA insurance will not protect against losses to the extent that an ABC property is sold at a price lower than the appraisal value taken at the six month mark of REO. Additionally, ABCs do not cover the cost to sell properties (broker fees) while SBCs do cover these costs. For SBCs, broker fees are reimbursable up to 6.0% ordinarily. Moody's base case expectations is that properties will be sold for 13.5% less than their appraisal value for ABCs. This is based on the historical experience of Nationstar. Moody's stressed this percentage at higher credit rating levels. At a Aaa rating level, Moody's assumed that ABC appraisal haircuts could reach up to 30.0%. In Moody's asset analysis, Moody's also assumed there would be some losses for SBCs, albeit lower amounts than for ABCs. Based on historical performance, in the base case scenario Moody's assumed that SBCs would suffer 1.0% losses due to a failure to sell the property for an amount equal to or greater than 95.0% of the most recent appraisal. Moody's stressed this percentage at higher credit rating levels. At a Aaa rating level, Moody's assumed that SBC appraisal haircuts could reach up to 11.0% (i.e., 6.0% below 95.0%). Under Moody's analytical approach, each loan is modeled to go through both the ABC and SBC process with a certain probability. Each loan will thus have both of the sales disposition payments and associated insurance payments (four payments in total). All payments are then probability weighted and run through a modeled liability structure. Based on the historical experience of Nationstar, for the base case scenario Moody's assumed that 85% of claims would be SBCs and the rest would be ABCs. Moody's stressed this assumption and assumed higher ABC percentages for higher rating levels. At a Aaa rating level, Moody's assumed that 85% of insurance claims would be submitted as ABCs. Liquidation process: each mortgage asset is categorized into one of four categories: default, due and payable, foreclosure and REO. In Moody's analysis, Moody's assume loans that are in referred status to be either in foreclosure or REO category. The loans are assumed to move through each of these stages until being sold out of REO. Moody's assumed that loans would be in default status for six months. Due and payable status is expected to last six to 12 months depending on the default reason. Foreclosure status is based on the state in which that the related property is located and is further stressed at higher rating levels. The base case foreclosure timeline is based on FHA timeline guidance. REO disposition is assumed to take place in six months with respect to SBCs and 12 months with respect to ABCs. Debenture interest: the receipt of debenture interest is dependent upon performance of certain actions within certain timelines by the servicer. If these timeline and performance benchmarks are not met by the servicer, debenture interest is subject to curtailment. Moody's base case assumption is that 95.0% of debenture interest will be received by the trust. Moody's stressed the amount of debenture interest that will be received at higher rating levels. Moody's debenture interest assumptions reflect the requirement that Nationstar (B2, Stable) reimburse the trust for debenture interest curtailments due to servicing errors or failures to comply with HUD guidelines. Additional model features: Moody's incorporated certain additional considerations into Moody's analysis, including the following: * In most cases, the most recent appraisal value was used as the property value in Moody's analysis. However, for seasoned appraisals Moody's applied a 15.0% haircut to account for potential home price depreciation between the time of the appraisal and the cut-off date. * Mortgage loans with borrowers that have significant equity in their homes are likely to be paid off by the borrowers or their heirs rather than complete the foreclosure process. Moody's estimated which loans would be bought out of the trust by comparing each loans' appraisal value (post haircut) to its UPB. * Moody's assumed that foreclosure costs will average $4,500 per loan, two thirds of which will be reimbursed by the FHA. Moody's then applied a negative adjustment to this amount based on the TPR results. * Moody's estimated monthly tax and insurance advances based on cumulative tax and insurance advances to date. Moody's ran additional stress scenarios that were designed to mimic expected cash flows in the case where Nationstar is no longer the servicer. Moody's assume the following in the situation where Nationstar is no longer the servicer: * Servicing advances and servicing fees: While Nationstar subordinates their recoupment of servicing advances, servicing fees, and MIP payments, a replacement servicer will not subordinate these amounts. * Nationstar indemnifies the trust for lost debenture interest due to servicing errors or failure to comply with HUD guidelines. In the event of a bankruptcy, Nationstar will not have the financial capacity to do so. * A replacement servicer may require an additional fee and thus Moody's assume a 25 bps strip will take effect if the servicer is replaced. * One third of foreclosure costs will be removed from sales proceeds to reimburse a replacement servicer (one third of foreclosure costs are not reimbursable under FHA insurance). This is typically on the order of $1,500 per loan. Finally, to account for risks posed by the recent hurricanes, Moody's assumed the following: * To account for delays in the foreclosure process due to the hurricanes, Moody's added 7.5 months to the foreclosure timeline in the base case scenario for properties located in hurricane affected areas. At a Aaa rating level, this timeline stress is multiplied by 1.6x and so this equates to adding an additional year to foreclosure timelines in a Aaa scenario. * For properties located in hurricane impacted areas, Moody's assumed that a higher percentage of insurance claims would be submitted as ABCs as a result of the hurricanes. * For properties located in hurricane impacted areas, Moody's increased the amount of non-reimbursable expenses that Moody's expect would be incurred by a replacement servicer following a servicer termination event. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of stress could drive the ratings up. Transaction performance depends greatly on the US macro economy and housing market. Property markets could improve from Moody's original expectations resulting in appreciation in the value of the mortgaged property and faster property sales. Down Levels of credit protection that are insufficient to protect investors against current expectations of stresses could drive the ratings down. Transaction performance depends greatly on the US macro economy and housing market. Property markets could deteriorate from Moody's original expectations resulting in depreciation in the value of the mortgaged property and slower property sales. NEW RESIDENTIAL 2017-5: DBRS Finalizes Bsf Ratings on 5 Tranches ---------------------------------------------------------------- DBRS, Inc. has finalized the following provisional ratings on the Mortgage-Backed Notes, Series 2017-5 issued by New Residential Mortgage Loan Trust 2017-5 (the Trust): -- $302.6 million Class A-1 at AAA (sf) -- $302.6 million Class A-IO at AAA (sf) -- $311.8 million Class A-2 at AA (sf) -- $319.1 million Class A-3 at A (sf) -- $302.6 million Class A-4 at AAA (sf) -- $311.8 million Class A-5 at AA (sf) -- $319.1 million Class A-6 at A (sf) -- $319.1 million Class IO at A (sf) -- $9.2 million Class B-1 at AA (sf) -- $9.2 million Class B1-IO at AA (sf) -- $9.2 million Class B-1A at AA (sf) -- $7.2 million Class B-2 at A (sf) -- $7.2 million Class B2-IO at A (sf) -- $7.2 million Class B-2A at A (sf) -- $16.5 million Class B-IO at A (sf) -- $4.4 million Class B-3 at BBB (sf) -- $4.4 million Class B-3A at BBB (sf) -- $4.4 million Class B-3B at BBB (sf) -- $4.4 million Class B-3C at BBB (sf) -- $4.4 million Class B3-IOA at BBB (sf) -- $4.4 million Class B3-IOB at BBB (sf) -- $4.4 million Class B3-IOC at BBB (sf) -- $3.9 million Class B-4 at BB (sf) -- $3.9 million Class B-4A at BB (sf) -- $3.9 million Class B-4B at BB (sf) -- $3.9 million Class B4-IOA at BB (sf) -- $3.9 million Class B4-IOB at BB (sf) -- $2.7 million Class B-5 at B (sf) -- $2.7 million Class B-5A at B (sf) -- $2.7 million Class B-5B at B (sf) -- $2.7 million Class B5-IOA at B (sf) -- $2.7 million Class B5-IOB at B (sf) Classes A-IO, X, IO, B1-IO, B2-IO, B-IO, B3-IOA, B3-IOB, B3-IOC, B4-IOA, B4-IOB, B5-IOA and B5-IOB are interest-only notes. The class balances represent notional amounts. Classes A-2, A-3, A-4, A-5, A-6, IO, B-1A, B-2A, B-IO, B-3A, B-3B, B-3C, B3-IOA, B3-IOB, B3-IOC, B-4A, B-4B, B4-IOA, B4-IOB, B-5A, B-5B, B5-IOA, B5-IOB, B-7, B-8, B-9, B-10, B-11 and B are exchangeable notes. These classes can be exchanged for combinations of initial exchangeable notes as specified in the offering documents. The AAA (sf) ratings on the Notes reflect the 10.00% of credit enhancement provided by the subordinated Notes in the pool. The AA (sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings reflect 7.25%, 5.10%, 3.80%, 2.65% and 1.85% of credit enhancement, respectively. Other than the specified classes above, DBRS does not rate any other classes in this transaction. This transaction is a securitization of a portfolio of seasoned performing and re-performing first-lien residential mortgages. The Notes are backed by 1,312 loans with a total principal balance of $336,216,788 as of the Cut-Off Date (July 1, 2017). The loans are significantly seasoned with a weighted-average age of 163 months. As of the Cut-Off Date, 96.8% of the pool is current, 1.9% is 30 days delinquent under the Mortgage Bankers Association (MBA) delinquency method and 1.3% is in bankruptcy (all bankruptcy loans are performing or 30 days delinquent). Approximately 85.3% and 89.1% of the mortgage loans have been zero times 30 days delinquent (0 x 30) for the past 24 months and 12 months, respectively, under the MBA delinquency method. The portfolio contains 11.2% modified loans. The modifications happened more than two years ago for 77.6% of the modified loans. As a result of the seasoning of the collateral, none of the loans are subject to the Consumer Financial Protection Bureau Ability-to-Repay/Qualified Mortgage rules. The Seller, NRZ Sponsor VII LLC (NRZ), acquired certain loans prior to the Closing Date and will acquire certain loans on the Closing Date in connection with the termination of various securitization trusts or through a whole loan purchase. Upon acquiring the loans from the securitization trusts, NRZ, through an affiliate, New Residential Funding 2017-5 LLC (the Depositor), will contribute the loans to the Trust. As the Sponsor, New Residential Investment Corp., through a majority-owned affiliate, will acquire and retain a 5% eligible vertical interest in each class of securities to be issued (other than the residual notes) to satisfy the credit risk retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. These loans were originated and previously serviced by various entities through purchases in the secondary market. As of the Cut-Off Date, 76.8% of the pool is serviced by Nationstar Mortgage LLC (Nationstar) and 23.2% by Ocwen Loan Servicing, LLC. Nationstar will also act as the Master Servicer and the Special Servicer. Beginning on November 1, 2017, the Seller will have the option to repurchase any loan that becomes 60 or more days delinquent under the MBA method at a price equal to the principal balance of the loan (Optional Repurchase Price), provided that such repurchases will be limited to 10% of the principal balance of the mortgage loans as of the Cut-Off Date. The transaction employs a senior-subordinate, shifting-interest cash flow structure that is enhanced from a pre-crisis structure. The ratings reflect transactional strengths that include underlying assets that have significant seasoning, relatively clean payment histories and robust loan attributes with respect to credit scores, product types and loan-to-value ratios. Additionally, historical NRMLT securitizations have exhibited fast voluntary prepayment rates and satisfactory deal performance. The transaction employs a relatively weak representations and warranties framework that includes an unrated representation provider (NRZ), certain knowledge qualifiers and fewer mortgage loan representations relative to DBRS criteria for seasoned pools. Satisfactory third-party due diligence was performed on the pool for regulatory compliance, title/lien, payment history and data integrity. Updated Home Data Index and/or broker price opinions were provided for the pool; however, a reconciliation was not performed on the updated values. Certain loans have missing assignments or endorsements as of the Closing Date. Given the relatively clean performance history of the mortgages and the operational capability of the servicers, DBRS believes the risk of impeding or delaying foreclosure is remote. NORTHWOODS CAPITAL XVI: Moody's Gives (P)Ba3 Rating to Cl. E Notes ------------------------------------------------------------------ Moody's Investors Service has assigned provisional ratings to five classes of notes to be issued by Northwoods Capital XVI, Limited. Moody's rating action is: US$317,500,000 Class A Senior Secured Floating Rate Notes due 2030 (the "Class A Notes"), Assigned (P)Aaa (sf) US$60,000,000 Class B Senior Secured Floating Rate Notes due 2030 (the "Class B Notes"), Assigned (P)Aa2 (sf) US$30,000,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2030 (the "Class C Notes"), Assigned (P)A2 (sf) US$27,500,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2030 (the "Class D Notes"), Assigned (P)Baa3 (sf) US$25,000,000 Class E Junior Secured Deferrable Floating Rate Notes due 2030 (the "Class E Notes"), Assigned (P)Ba3 (sf) The Class A Notes, the Class B Notes, the Class C Notes, the Class D Notes, and the Class E Notes are referred to herein 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. Northwoods Capital XVI is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated first lien senior secured corporate loans. At least 92.5% of the portfolio must consist of senior secured loans and up to 7.5% of the portfolio may consist of assets that are not senior secured loans. Moody's expects the portfolio to be approximately 70% ramped as of the closing date. Angelo, Gordon & Co., L.P. (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets, subject to certain restrictions. In addition to the Rated Notes, the Issuer will issue one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2017. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $500,000,000 Diversity Score: 55 Weighted Average Rating Factor (WARF): 2800 Weighted Average Spread (WAS): 3.70% Weighted Average Coupon (WAC): 6.50% Weighted Average Recovery Rate (WARR): 46.5% Weighted Average Life (WAL): 9.0 years. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2017. 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 NXT CAPITAL 2017-2: S&P Gives Prelim. BB(sf) Rating on Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to NXT Capital CLO 2017-2 LLC's $352.00 million floating-rate notes (see list). The note issuance is a collateralized loan obligation transaction backed primarily by middle-market speculative-grade senior secured term loans that are governed by collateral quality tests. The preliminary ratings are based on information as of Oct. 3, 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 NXT Capital CLO 2017-2 LLC Class Rating Amount (mil. $) A AAA (sf) 228.000 B AA (sf) 40.000 C (deferrable) A (sf) 32.000 D (deferrable) BBB- (sf) 26.000 E (deferrable) BB (sf) 26.000 Subordinated notes NR 54.715 NR--Not rated. OFSI FUND VII: S&P Assigns BB(sf) Rating on Class E-R Notes ----------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-R, B-R, C-R, D-R, and E-R notes from OFSI Fund VII Ltd., a U.S. collateralized loan obligation (CLO) transaction managed by OFS Capital Management LLC. S&P withdrew its ratings on the original class A, B, C, D, E, and combination notes from this transaction after they were fully redeemed. The combination note consists of the class A and B notes. S&P said, "The new notes were issued via a supplemental indenture. On the Oct. 3, 2017, refinancing date, the proceeds from the new note issuances were used to redeem the original notes as outlined in the transaction docu ment provisions. We withdrew our ratings on the original notes in line with their full redemption, and we assigned ratings to the new notes. We also affirmed our ratings on the class X and F notes which were not affected by this amendment. "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 and affirmed 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 OFSI Fund VII Ltd. New class Rating Amount (mil $) A-R AAA (sf) 238.800 B-R AA (sf) 59.000 C-R A (sf) 28.800 D-R BBB (sf) 20.600 E-R BB (sf) 17.000 RATINGS WITHDRAWN OFSI Fund VII Ltd. Rating Original class To From A NR AAA (sf) B NR AA (sf) C NR A (sf) D NR BBB (sf) E NR BB (sf) ComboNotes NR AA (sf) RATINGS AFFIRMED OFSI Fund VII Ltd. Class Rating X AAA (sf) F B (sf) OTHER RATING OFSI Fund VII Ltd. Class Rating Subordinate notes NR NR--Not rated. PRUDENTIAL SECURITIES 2000-C1: Moody's Affirms C on Cl. M Debt -------------------------------------------------------------- Moody's Investors Service has affirmed the rating on one class in Prudential Securities Secured Financing Corporation, Series Key 2000-C1: Cl. M, Affirmed C (sf); previously on Oct 13, 2016 Affirmed C (sf) RATINGS RATIONALE The rating on the P&I class, class M, was affirmed because the class has already experienced a 98% realized loss as result of previously liquidated loans. Moody's base expected loss plus realized losses is now 3.5% 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 RATING: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the 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 this rating was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. DEAL PERFORMANCE As of the September 15, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 99.9% to $349 thousand from $816 million at securitization. The certificates are collateralized by one mortgage loan that has defeased and is secured by US government securities. Twenty-one loans have been liquidated from the pool, resulting in an aggregate realized loss of $28.4 million (for an average loss severity of 20.9%). PUTNAM STRUCTURED 2003-1: Moody's Affirms C Ratings on 2 Tranches ----------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on the following notes issued by Putnam Structured Product Funding 2003-1 Ltd/Putnam Structured Product Funding 2003-1 LLC ("Putnam Funding 2003-1"): Moody's rating action is: Cl. A-2, Affirmed Caa3 (sf); previously on Oct 7, 2016 Affirmed Caa3 (sf) Cl. B, Affirmed Ca (sf); previously on Oct 7, 2016 Affirmed Ca (sf) Cl. C, Affirmed C (sf); previously on Oct 7, 2016 Affirmed C (sf) Cl. Equity, Affirmed C (sf); previously on Oct 7, 2016 Affirmed C (sf) The Class A-2 Notes, Class B Notes, Class C Notes, and Class Equity are referred to herein as the "Rated Notes." RATINGS RATIONALE Moody's has affirmed the ratings on the transaction because its key transaction metrics are commensurate with existing ratings. The affirmations are the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO & Re-REMIC) transactions. Putnam Funding 2003-1 is a cash transaction whose reinvestment period ended in October 2010. The transaction is currently backed by a portfolio of: i) asset backed securities (ABS) (67.9% of the pool balance) which are primarily in the form of subprime Residential Mortgage Backed Securities (RMBS); ii) CRE CDO bonds (15.7%); and iii) commercial mortgage backed securities (CMBS) (16.4%). As of the trustee's September 8, 2017 report, the aggregate note balance of the transaction, including preferred shares, is $166.3.1 million, as compared to $561 million at issuance with the paydown directed to the senior most outstanding class of notes, as a result of regular amortization, redirection of interest proceeds as principal due to the failure of one or more over-collateralization tests; and the reclassification of interest as principal on defaulted assets. The pool contains forty one assets totaling $48.5 million (39.0% of the collateral pool balance) that are listed as defaulted securities as of the trustee's August 8, 2017 report. Thirty two of these assets (37% of the defaulted balance) are RMBS, five assets (34.7%) are CDO, and four assets (28.3%) are CMBS. 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 assets once they are realized. Moody's has identified the following as key indicators of the expected loss in CRE CDO CLO transactions: the weighted average rating factor (WARF), the weighted average life (WAL), the weighted average recovery rate (WARR), and Moody's asset correlation (MAC). Moody's typically models these as actual parameters for static deals and as covenants for managed deals. WARF is a primary measure of the credit quality of a CRE CDO CLO pool. Moody's has updated its assessments for the collateral it does not rate. The rating agency modeled a bottom-dollar WARF of 6869, compared to 6631 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 (6.2% compared to 8.0% at last review), A1-A3 (8.5% compared to 1.1% at last review), Baa1-Baa3 (0.9% compared to 8.6% at last review), Ba1-Ba3 (3.4% compared to 4.5% at last review), B1-B3 (8.7% compared to 1.9% at last review), and Caa1-Ca/C (72.3% compared to 76.0% at last review). Moody's modeled a WAL of 1.9 years, as compared to 2.5 years at last review. The WAL is based on assumptions about extensions on the underlying look-through loan collateral. Moody's modeled a fixed WARR of 6.9%, as compared to 6.7% at last review. Moody's modeled a MAC of 100%, same as last review. The high MAC is the result of high-risk collateral concentrated within a small number of collateral names. 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 Rated 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. 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 recovery rates of the underlying collateral and credit assessments. Reducing the recovery rate of 100% of the collateral pool by -5% 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). Increasing the recovery rate of 100% of the collateral pool by +5% would result in an average modeled rating movement on the rated notes of zero to 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. SEQUOIA MORTGAGE 2017-CH1: Moody's Rates Cl. B-5 Certs 'Ba2' ------------------------------------------------------------ Moody's Investors Service has assigned definitive ratings to the classes of residential mortgage-backed securities (RMBS) issued by Sequoia Mortgage Trust (SEMT) 2017-CH1, except for the interest-only classes. The certificates are backed by one pool of prime quality, first-lien mortgage loans. SEMT 2017-CH1 is the first securitization that includes loans acquired by Redwood Residential Acquisition Corporation ("Redwood" or "Seller"), a subsidiary of Redwood Trust, Inc., under its expanded credit prime loan program called "Redwood Choice". Redwood's Choice program is a prime program with credit parameters outside of Redwood's traditional prime jumbo program, "Redwood Select." The Choice program expands the low end of Redwood's FICO range to 661 from 700, while increasing the high end of eligible loan-to-value ratios from 85% to 90%. The pool also includes loans with non-QM characteristics (27.09%), such as debt-to-income ratios greater than 43%. Non-QM loans were acquired by Redwood under each of the Select and Choice programs. The assets of the trust consist of 409 fixed rate mortgage loans, all of which are fully amortizing, except for two mortgage loans that have an interest-only term. The mortgage loans have an original term to maturity of 30 years except for one loan which has an original term to maturity of 20 years. The loans were sourced from multiple originators and acquired by Redwood. All of the loans conform to the Seller's guidelines, except for loans originated by First Republic Bank, which were originated to conform with First Republic Bank's guidelines. The transaction benefits from nearly 100% due diligence of data integrity, credit, property valuation, and compliance conducted by an independent third-party firm. CitiMortgage, Inc. will act as the master servicer of the loans in this transaction. Shellpoint Mortgage Servicing and First Republic Bank will be primary servicers on the deal. The complete rating actions are: Issuer: Sequoia Mortgage Trust 2017-CH1 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aaa (sf) Cl. A-15, Definitive Rating Assigned Aaa (sf) Cl. A-16, Definitive Rating Assigned Aaa (sf) Cl. A-17, Definitive Rating Assigned Aaa (sf) Cl. A-18, Definitive Rating Assigned Aaa (sf) Cl. A-19, Definitive Rating Assigned Aa1 (sf) Cl. A-20, Definitive Rating Assigned Aa1 (sf) Cl. A-21, Definitive Rating Assigned Aa1 (sf) Cl. A-22, Definitive Rating Assigned Aaa (sf) Cl. A-23, Definitive Rating Assigned Aaa (sf) Cl. A-24, Definitive Rating Assigned Aaa (sf) Cl. B-1A, Definitive Rating Assigned Aa3 (sf) Cl. B-1B, Definitive Rating Assigned Aa3 (sf) Cl. B-2A, Definitive Rating Assigned A1 (sf) Cl. B-2B, Definitive Rating Assigned A1 (sf) Cl. B-3, Definitive Rating Assigned A2 (sf) Cl. B-4, Definitive Rating Assigned Baa1 (sf) Cl. B-5, Definitive Rating Assigned Ba2 (sf) RATINGS RATIONALE Summary Credit Analysis Moody's expected cumulative net loss on the aggregate pool is 0.85% in a base scenario and reaches 9.90% 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-CH1 transaction is a securitization of 409 first lien residential mortgage loans, with an aggregate unpaid principal balance of $307,636,938.92. There are more than 100 originators in this pool, including Fairway (6.68%), PrimeLending (6.65%), Homestreet Bank (5.28%), and Homebridge Financial Services Inc. (5.25%). The remaining contributed less than 5% 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. SEMT 2017-CH1 includes loans acquired by Redwood under its Choice program. Although from a FICO and LTV perspective, the borrowers in SEMT 2017-CH1 are not the super prime borrowers included in traditional SEMT transactions, these borrowers are prime borrowers with a demonstrated ability to manage household finance. On average, borrowers in this pool have made a 25.5% down payment on a mortgage loan of $762,785.38. In addition, the majority of borrowers have more than 24 months of liquid cash reserves or enough money to pay the mortgage for two years should there be an interruption to the borrower's cash flow. Moreover, the borrowers on average have a monthly residual income of $11,920. The WA FICO is 744, which is lower than traditional SEMT transactions, which has averaged 769 in 2017 SEMT transactions. The lower WA FICO for SEMT 2017-CH1 may reflect recent mortgage lates (0x30x3, 1x30x12, 2x30x24) which are allowed under the Choice program, but not under Redwood's traditional product, Redwood Select (0x30x24). While the WA FICO may be lower for this transaction, Moody's does not believes that the limited mortgage lates demonstrates a history of financial mismanagement. Moody's also note that SEMT 2017-CH1 is the first SEMT transaction to include a significant number of non-QM loans (108) compared to previous SEMT transactions, where the number of non-QM loans was limited. Previously, SEMT 2015-3 had the largest number of non-QM loans at 26 loans out of 460 loans. Redwood's Choice program is in its early stages, having been launched by Redwood in April 2016. In contrast to Redwood's traditional program, Select, Redwood's Choice program allows for higher LTVs, lower FICOs, non-occupant co-borrowers, non-warrantable condos, limited loans with adverse credit events, among other loan attributes. Under both Select and Choice, Redwood also allows for loans with non-QM features, such as interest-only, DTIs greater than 43%, asset depletion, among other loan attributes. However, Moody's note that Redwood historically has been on average stronger than its peers as an aggregator of prime jumbo loans, including a limited number of non-QM loans in previous SEMT transactions. 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. While in traditional SEMT transactions, Moody's has factored this qualitative strength into Moody's analysis, in SEMT 2017-CH1, Moody's has a neutral assessment of the Choice Program until Moody's is able to review a longer performance history of Choice mortgage loans. 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. Moody's believes there is a low likelihood that the rated securities of SEMT 2017-CH1 will incur any losses from extraordinary expenses or indemnification payments owing to potential future lawsuits against key deal parties. First, the loans are prime quality and were originated under a regulatory environment that requires tighter controls for originations than pre-crisis, which reduces the likelihood that the loans have defects that could form the basis of a lawsuit. Second, Redwood (or a majority-owned affiliate of the sponsor), who will retain credit risk in accordance with the U.S. Risk Retention Rules and provides a back-stop to the representations and warranties of all the originators except for First Republic Bank, has a strong alignment of interest with investors, and is incentivized to actively manage the pool to optimize performance. Third, the transaction has reasonably well defined processes in place to identify loans with defects on an ongoing basis. In this transaction, an independent breach reviewer must review loans for breaches of representations and warranties when a loan becomes 120 days delinquent, which reduces the likelihood that parties will be sued for inaction. 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 1.90% ($5,845,101.84) 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 initial pool population of 421 loans. For 417 loans, the TPR firm conducted a review for credit, property valuation, compliance and data integrity ("full review") and limited review for 4 First Republic loans. For the 4 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. For the full review loans, the TPR report identified one grade "C" compliance-related condition relating to the TILA-RESPA Integrated Disclosure (TRID) rule. The TPR firm assigned a "C" grade for a loan that closed within the 3-day waiting period under TRID. However, Moody's did not believes that this condition was material because the mortgage file contains a letter from the borrower acknowledging that the borrower waives the right to not receiving the closing disclosure at least 3 days prior to consummation and the borrower has provided reasoning for closing prior to the end of the waiting period. 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 First Republic Bank 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 originated by First Republic Bank. The property valuation review conducted by the TPR firm consisted of (i) a review of all of the appraisals for full review loans, checking for issues with the comparables selected in the appraisal and (ii) a value supported analysis for all 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. The TPR report identified one grade "C" condition where the TPR firm was still reviewing a property valuation as of the date of the TPR report. Moody's expects to receive the final finding before closing. Moody's has received the inspection results for all properties in the areas affected by Hurricane Harvey. The inspection report noted that all of the properties in areas affected by Hurricane Harvey did not sustain any damage. Moody's has received the inspection results for all the properties in the areas affected by Hurricane Irma backing the loans that remain in the pool. The results indicate that the majority of the properties did not sustain any damage due to Hurricane Irma. Four properties sustained minor damage, which included damage to landscaping and fencing, and one property sustained significant damage due to beach erosion. According to the inspection report, the estimated cost to repair the damage is between $25,000 and $50,000 on a property where the initial appraisal valued is $1.15 million and where the current loan amount is approximately $781,034. It is Moody's understanding that Redwood has ordered a new appraisal of the property. SEMT 2017-CH1 includes a representation that the pool does not include properties with material damage that would adversely affect the value of the mortgaged property. The originators and Redwood 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. SHELLPOINT CO-ORIGINATOR 2017-2: Moody's Gives Ba1 to B-4 Debt -------------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to 28 classes of residential mortgage-backed securities (RMBS) issued by Shellpoint Co-Originator Trust 2017-2 (SCOT 2017-2). The ratings range from Aaa (sf) to Ba1 (sf). The certificates are backed by one pool of prime quality, 30-year first-lien mortgage loans originated by various originators. The loans are primarily fixed rate (99.6%); two loans have an adjustable mortgage rate. Shellpoint Mortgage Servicing is the primary servicer, Wells Fargo Bank, N.A. (Wells Fargo) is the master servicer and Wilmington Savings Fund Society, FSB, is the trustee. The complete rating actions are: Issuer: Shellpoint Co-Originator Trust 2017-2 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aaa (sf) Cl. A-15, Definitive Rating Assigned Aaa (sf) Cl. A-16, Definitive Rating Assigned Aaa (sf) Cl. A-17, Definitive Rating Assigned Aaa (sf) Cl. A-18, Definitive Rating Assigned Aaa (sf) Cl. A-19, Definitive Rating Assigned Aa1 (sf) Cl. A-20, Definitive Rating Assigned Aa1 (sf) Cl. A-21, Definitive Rating Assigned Aa1 (sf) Cl. A-22, Definitive Rating Assigned Aaa (sf) Cl. A-23, Definitive Rating Assigned Aaa (sf) Cl. A-24, Definitive Rating Assigned Aaa (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A1 (sf) Cl. B-3, Definitive Rating Assigned Baa1 (sf) Cl. B-4, Definitive Rating Assigned Ba1 (sf) RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Moody's expected cumulative net loss on the aggregate pool is 0.35% in a base scenario and reaches 4.30% 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 SCOT 2017-2 transaction is a securitization of 459 first lien residential mortgage loans with an unpaid principal balance of $323,377,050. The loans in this transaction have strong borrower characteristics with a weighted average original FICO score of 773 and a weighted-average original combined loan-to-value ratio (CLTV) of 70.2%. In addition, 21.4% of the borrowers are self-employed and refinance loans comprise 30.6% of the aggregate pool. The pool has a high geographic concentration with 41.1% of the aggregate pool located in California and 11.7% located in the Los Angeles-Long Beach-Anaheim MSA. Loans located in Texas and Florida comprise 10.7% of the pool. The transaction has minimal exposure to the areas affected by the recent hurricanes in Texas and Florida. In addition, Shellpoint has provided a property inspection report which shows no material damages to properties in the affected areas. Out of total of 459 loans in this transaction, 7 loans (1.16% of stated principal balance) were originated or acquired by New Penn Financial, LLC ("New Penn"). The remaining 452 loans (98.84% of stated principal balance) were aggregated by Bank of America National Association (BANA) through its jumbo whole loan purchase program. There are 17 originators in the transaction. The largest originators in the pool with more than 5% by balance are Guild Mortgage Company (23.04%), New Penn Financial, LLC (15.50%), Guaranteed Rate Inc. (13.65%), PrimeLending (9.65%), JMAC Lending, Inc. (8.88%), Loandepot.com LLC (8.63%), Home Point Financial Corporation (7.40%), Stearns Lending, LLC (6.55%). Moody's reviewed the SCOT 2017-2 acquisition criteria of BANA's jumbo whole loan purchase program. All the loans aggregated by BANA were underwritten to the SCOT 2017-2 acquisition criteria except for Quicken and Caliber. However, given that Moody's has limited performance information on the majority of the originators, Moody's increased Moody's base case and Aaa loss expectations for the loans aggregated by BANA with the exception of PrimeLending and Caliber Home Loans Inc. both of which Moody's views as stronger than their peers. Moody's also views New Penn Financial, LLC as an above average originator of prime jumbo residential mortgage loans. Moody's decreased Moody's base case and Aaa loss expectations for loans originated by New Penn Financial, LLC and Caliber Home Loans Inc. All of the mortgage loans in SCOT 2017-2 will be serviced by Shellpoint Mortgage Servicing (SMS). Moody's views SMS to be an above average primary servicer of residential mortgage loans with adequate collection abilities, loss mitigation efforts, foreclosure and REO timeline management, and loan administration. Wells Fargo Bank, N.A. will serve as the master servicer. Third Party Review and Reps & Warranties (R&W) Three third party review (TPR) firms verified the accuracy of the loan-level information that the sponsor gave us. These firms conducted detailed credit, property valuation, data integrity and regulatory reviews on 100% of the mortgage pool. The TPR results indicate that the majority of reviewed loans were in compliance with originators' and aggregators' underwriting guidelines, no material compliance or data issues, and no appraisal defects. New Penn and each originator of a loan acquired by Bank of America and New Penn will provide comprehensive loan level R&W for their respective loans. For Bank of America aggregated loans, the bank will assign each originator's R&W to New Penn, who will assign to the depositor, which will assign to the trust. To mitigate the potential concerns regarding Bank of America originators' ability to meet their respective R&W obligations, New Penn will backstop the R&Ws for all originators' loans acquired by the bank as well as originators' loans acquired by New Penn. New Penn's obligation to backstop third party R&Ws will terminate 5 years after the closing date. While Moody's acknowledge New Penn's relatively weak financial strength, the collateral pool benefits from the diversity of the originators that sourced the loans. In addition, Shellpoint Partners LLC will act as guarantor for New Penn in the event that New Penn has insufficient funds to fulfill its repurchase obligation. Moody's note that Shellpoint Partners' financial strength is also weak. Trustee and Master Servicer The transaction trustee is Wilmington Savings Fund Society, FSB. The custodian and securities administrator functions will be performed by Wells Fargo Bank, N.A. In addition, Wells Fargo is the master servicer and is responsible for servicer oversight, termination of servicers and for the appointment of successor servicers. As master servicer, Wells Fargo is also committed to act as successor if no other successor servicer can be found. Moody's assess Wells Fargo as a strong master servicer of residential loans. Other Considerations Similar to prior SCOT transactions, extraordinary trust expenses in the SCOT 2017-2 transaction are deducted from Net WAC as opposed to available distribution amount. Moody's believes there is a very low likelihood that the rated certificates in SCOT 2017-2 will incur any losses from extraordinary expenses or indemnification payments from potential future lawsuits against key deal parties. First, the loans are prime quality, 100% Qualified Mortgages and were originated under a regulatory environment that requires tighter controls for originations than pre-crisis, which reduces the likelihood that the loans have defects that could form the basis of a lawsuit. Second, the transaction has reasonably well defined processes in place to identify loans with defects on an ongoing basis. In this transaction, an independent breach reviewer must review loans for breaches of representations and warranties when certain clearly defined triggers have been breached which reduces the likelihood that parties will be sued for inaction. Third, the issuer has disclosed the results of a credit, compliance and valuation review of all of the mortgage loans by an independent third parties (AMC, Opus and Clayton Services LLC): 100% of the mortgage loans were included in the due diligence performed on the pool. Finally, the performance of past SCOT transactions have been well within expectation. Tail Risk & Subordination Floor The transaction has 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 senior subordination floor of 1.80% of the closing pool balance, which mitigates tail risk by protecting the senior bonds from eroding credit enhancement over time. Additionally there is a subordination lock-out amount which is 1.35% of the closing pool balance. Transaction Structure The transaction is structured as a one pool shifting interest structure in which the senior bonds benefit from a senior floor and a subordination floor. Funds collected, including principal, are first used to make interest payments to the senior bonds. Next principal payments are made to the senior bonds and then interest and principal payments are paid to the subordinate bonds in sequential order, subject to the subordinate class percentage of the subordinate principal distribution amounts. Realized losses are allocated in a reverse sequential order, first to the lowest subordinate bond. After the balances of the subordinate bonds are written off, losses from the pool begin to write off the principal balances of the senior support bonds until their principal balances are reduced to zero. Next realized losses are allocated to the super senior bonds until their principal balances are written off. As in all transactions with shifting-interest structures, the senior bonds benefit from a cash flow waterfall that allocates all prepayments to the senior bonds for a specified period of time, and allocates increasing amounts of prepayments to the subordinate bonds thereafter only if loan performance satisfies both delinquency and loss tests. Factors that would lead to an upgrade or downgrade of the ratings: Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Methodology The principal methodology used in these ratings was "Moody's Approach to Rating US Prime RMBS" published in February 2015. SLM STUDENT 2006-3: Fitch Affirms 'Bsf' Ratings on 2 Tranches ------------------------------------------------------------- Fitch Ratings has affirmed SLM Student Loan Trust 2006-3 as follows: -- Class A-4 notes at 'AAAsf'; -- Class A-5 notes at 'Bsf'; -- Class B notes at 'Bsf'. The Rating Outlook remains Stable for all notes. The class A-5 notes miss their legal final maturity date under both Fitch's credit and maturity base cases. This technical default would result in interest payments being diverted away from class B, which would cause that note to default as well. In affirming at 'Bsf' rather than downgrading to 'CCCsf' or below, Fitch has considered qualitative factors such as Navient's ability to call the notes upon reaching 10% pool factor, the revolving credit agreement in place for the benefit of the noteholders, and the eventual full payment of principal in modelling. The trust has entered into a revolving credit agreement with Navient by which it may borrow funds at maturity in order to pay the off notes. Because Navient has the option but not the obligation to lend to the trust, Fitch cannot give full quantitative credit to this agreement. However, the agreement does provide qualitative comfort that Navient is committed to limiting investors' exposure to maturity risk. KEY RATING DRIVERS U.S. Sovereign Risk: The trust collateral comprises 100% Federal Family Education Loan Program (FFELP) loans, with guaranties provided by eligible guarantors and reinsurance provided by the U.S. Department of Education (ED) for at least 97% of principal and accrued interest. The U.S. sovereign rating is currently 'AAA'/Outlook Stable. Collateral Performance: Fitch assumes a base case default rate of 25.25% and a 75.75% default rate under the 'AAA' credit stress scenario. Fitch assumed a sustainable constant default rate of 5.1% and a sustainable constant prepayment rate (voluntary and involuntary) of 10.5% based on data provided by the issuer. Fitch applies the standard default timing curve in its credit stress cash flow analysis. The claim reject rate is assumed to be 0.5% in the base case and 3.0% in the 'AAA' case. The trailing 12 months (TTM) levels of deferment, forbearance and income-based repayment (prior to adjustment) are 10.4%, 15.4%, and 16.4%, respectively, and are used as the starting point in cash flow modelling. Subsequent declines or increases are modelled as per criteria. The borrower benefit is assumed to be 0.01%. Basis and Interest Rate Risk: Basis risk for this transaction arises from any rate and reset frequency mismatch between interest rate indices for SAP and the securities. As of June 2017, 3.7 % of the trust student loans are indexed to 91-day T-Bill and 96.3% to one-month LIBOR. All notes are indexed to three-month LIBOR. Fitch applies its standard basis and interest rate stresses to this transaction as per criteria. Payment Structure: Credit enhancement (CE) is provided by overcollateralization (OC), excess spread and for the class A notes, subordination. As of June 2017, senior and total effective parity ratio (including the reserve) are 146.71% (31.84% CE) and 101.25% (1.24% CE), respectively. Liquidity support is provided by a reserve account currently sized at its floor of $2,502,119. No cash can be released until all notes are paid in full because the pool factor has reached 10%. Maturity Risk: Fitch's student loan ABS cash flow model indicates that the A-4 notes are paid in full on or prior to the legal final maturity dates under the 'AAAsf' rating scenarios. The class A-5 notes, however, do not pay off before their maturity date in all of Fitch's modelling scenarios, including the base cases. If the breach of the class A-5 maturity date triggers an event of default, interest payments will be diverted away from the class B notes, causing them to fail the base cases as well. Operational Capabilities: Day-to-day servicing is provided by Navient Solutions. Fitch believes Navient to be an acceptable servicer, due to its extensive track record as the largest servicer of FFELP loans. RATING SENSITIVITIES 'AAAsf' rated tranches of most FFELP securitizations will likely move in tandem with the U.S. sovereign rating, given the strong linkage to the U.S. sovereign by nature of the reinsurance and SAP provided by ED. Sovereign risks are not addressed in Fitch's sensitivity analysis. Fitch conducted a CE sensitivity analysis by stressing both the related lifetime default rate and basis spread assumptions. In addition, Fitch conducted a maturity sensitivity analysis by running different assumptions for the IBR usage and prepayment rate. The results below should only be considered as one potential model-implied outcome, as the transaction is exposed to multiple risk factors that are all dynamic variables. Additionally, the results do not take into account any rating cap considerations. Credit Stress Rating Sensitivity -- Default increase 25%: class A 'CCCsf'; class B 'CCCsf' -- Default increase 50%: class A 'CCCsf'; class B 'CCCsf' -- Basis Spread increase 0.25%: class A 'CCCsf'; class B 'CCCsf' -- Basis Spread increase 0.50%: class A 'CCCsf'; class B 'CCCsf' Maturity Stress Rating Sensitivity -- CPR decrease 50%: class A 'CCCsf'; class B 'CCCsf' -- CPR increase 100%: class A 'CCCsf'; class B 'CCCsf' -- IBR Usage increase 100%: class A 'CCCsf'; class B 'CCCsf' -- IBR Usage decrease 50%: class A 'CCCsf'; class B 'CCCsf' Stresses are intended to provide an indication of the rating sensitivity of the notes to unexpected deterioration in trust performance. Rating sensitivity should not be used as an indicator of future rating performance. SLM STUDENT 2010-1: Fitch Affirms 'Bsf' Rating on Cl. A & B Notes ----------------------------------------------------------------- Fitch Ratings has affirmed SLM Student Loan Trust 2010-1 class A and B notes at 'Bsf'. The Rating Outlook remains Stable. The class A notes miss their legal final maturity date under both Fitch's credit and maturity base cases. This technical default would result in interest payments being diverted away from class B, which would cause that note to default as well. In affirming at 'Bsf' rather than downgrading to 'CCCsf' or below, Fitch has considered qualitative factors such as Navient's ability to call the notes upon reaching the 10% pool factor, the revolving credit agreement in place for the benefit of the noteholders, and the eventual full payment of principal in modelling. The trust has entered into a revolving credit agreement with Navient by which it may borrow funds at maturity in order to pay the off notes. Because Navient has the option but not the obligation to lend to the trust, Fitch cannot give full quantitative credit to this agreement. However, the agreement does provide qualitative comfort that Navient is committed to limiting investors' exposure to maturity risk. KEY RATING DRIVERS U.S. Sovereign Risk: The trust collateral comprises 100% Federal Family Education Loan Program (FFELP) loans, approximately 11% of which are rehab loans, with guaranties provided by eligible guarantors and reinsurance provided by the U.S. Department of Education (ED) for at least 97% of principal and accrued interest. The U.S. sovereign rating is currently 'AAA'/Outlook Stable. Collateral Performance: Fitch assumes a base case default rate of 26.75% and 80.25% default rate under the 'AAA' credit stress scenario. Fitch assumed a sustainable constant default rate of 5.8% and a sustainable constant prepayment rate (voluntary and involuntary) of 12% based on data provided by the issuer. Fitch applies the standard default timing curve in its credit stress cash flow analysis. The claim reject rate is assumed to be 0.5% in the base case and 3.0% in the 'AAA' case. The TTM levels of deferment, forbearance and income-based repayment (prior to adjustment) are 10.6%, 15%, and 19.1%, respectively, and are used as the starting point in cash flow modelling. Subsequent declines or increases are modelled as per criteria. The borrower benefit is assumed to be 0.05%. Basis and Interest Rate Risk: Basis risk for this transaction arises from any rate and reset frequency mismatch between interest rate indices for SAP and the securities. As of June 2017, 19.9% of the trust student loans are indexed to 91-day T-Bill and 80.1% to one-month LIBOR. All notes are indexed to one-month LIBOR. Fitch applies its standard basis and interest rate stresses to this transaction as per criteria. Payment Structure: Credit enhancement (CE) is provided by overcollateralization (OC), excess spread, and for the class A notes, subordination. As of June 2017, senior and total effective parity ratio (including the reserve) are 114.7% (12.8% CE) and 101.3% (1.3% CE), respectively. Liquidity support is provided by a reserve account sized at its floor of $1,211,252. The transaction will continue to release cash as long as the specified OC amount of $3 million is maintained. Maturity Risk: Fitch's student loan ABS cash flow model (SLABS) indicates that the class A notes do not pay off before their maturity date in all of Fitch's modelling scenarios, including the base cases. If the breach of the class A maturity date triggers an event of default, interest payments will be diverted away from the class B notes, causing them to fail the base cases as well. Operational Capabilities: Day-to-day servicing is provided by Navient Solutions. Fitch believes Navient to be an acceptable servicer, due to its extensive track record as the largest servicer of FFELP loans. RATING SENSITIVITIES 'AAAsf' rated tranches of most FFELP securitizations will likely move in tandem with the U.S. sovereign rating, given the strong linkage to the U.S. sovereign by nature of the reinsurance and SAP provided by ED. Sovereign risks are not addressed in Fitch's sensitivity analysis. Fitch conducted a CE sensitivity analysis by stressing both the related lifetime default rate and basis spread assumptions. In addition, Fitch conducted a maturity sensitivity analysis by running different assumptions for the IBR usage and prepayment rate. The results below should only be considered as one potential model-implied outcome, as the transaction is exposed to multiple risk factors that are all dynamic variables. Additionally, the results do not take into account any rating cap considerations. Credit Stress Rating Sensitivity -- Default increase 25%: class A 'CCCsf'; class B 'CCCsf' -- Default increase 50%: class A 'CCCsf'; class B 'CCCsf' -- Basis Spread increase 0.25%: class A 'CCCsf'; class B 'CCCsf' -- Basis Spread increase 0.50%: class A 'CCCsf'; class B 'CCCsf' Maturity Stress Rating Sensitivity -- CPR decrease 50%: class A 'CCCsf'; class B 'CCCsf' -- CPR increase 100%: class A 'AAsf'; class B 'AAsf' -- IBR Usage increase 100%: class A 'CCCsf'; class B 'CCCsf' -- IBR Usage decrease 50%: class A 'CCCsf'; class B 'CCCsf' Stresses are intended to provide an indication of the rating sensitivity of the notes to unexpected deterioration in trust performance. Rating sensitivity should not be used as an indicator of future rating performance. SOCO REAL ESTATE: Proposed Sale of Austin Property for $1.5M Denied ------------------------------------------------------------------- Judge Tony M. Davis of the U.S. Bankruptcy Court for the Western District of Texas denied SOCO Real Estate, LLC's proposed sale of real property located at 808 Avondale Road, Austin, Texas for $1,500,000, subject to higher and better offers. The Debtor owns and maintains the Property. About SOCO Real Estate Based in Austin, Texas, SOCO Real Estate, LLC, sought protection under Chapter 11 of the Bankruptcy Code (Bankr. W.D. Tex. Case No. 17-10393) on April 4, 2017. The petition was signed by Gerald McMillan, managing member. At the time of the filing, the Debtor estimated its assets and debt at $1 million to $10 million. Mark A. Castillo, Esq., and Bryan C. Assink, Esq., at Curtis | Castillo PC, serve as counsel to the Debtor. STONEMONT PORTFOLIO 2017-STONE: Fitch Rates Class F Certs 'Bsf' --------------------------------------------------------------- Fitch Ratings has assigned the following ratings and Rating Outlooks to Stonemont Portfolio Trust 2017-STONE commercial mortgage pass-through certificates: -- $344,850,000 class A 'AAAsf'; Outlook Stable; -- $76,950,000 class B 'AA-sf'; Outlook Stable; -- $53,200,000 class C; 'A-sf'; Outlook Stable; -- $76,000,000 class D; 'BBB-sf'; Outlook Stable; -- $115,900,000 class E; 'BB-sf'; Outlook Stable; -- $93,100,000 class F; 'Bsf'; Outlook Stable; -- $468,350,000a class X-CP; 'BBB-sf'; Outlook Stable; -- $551,000,000a class X-EXT; 'BBB-sf'; Outlook Stable. The following classes are not rated by Fitch: -- $24,000,000b RR Interest; -- $16,000,000b class RR certificates. a) Notional amount and interest-only. b) Vertical credit risk retention interest. The Stonemont Portfolio Trust 2017-STONE Mortgage Trust commercial mortgage pass-through certificates represent the beneficial interests in a trust that holds a two-year, floating-rate, interest-only $800 million mortgage loan securing the fee simple interest in 94 properties and a leasehold interest in one property in a portfolio totaling 6,846,154 sf. The portfolio consists of office, industrial, retail and bank branch property types distributed across 20 states. Proceeds of the loan, along with mezzanine loans totaling $274.1 million, were combined with $181 million of preferred equity and $72.5 million of sponsor equity to acquire the portfolio for $1.294 billion and pay closing costs. The certificates will follow a sequential-pay structure; however, so long as there is no event of default, any voluntary prepayments (up to the first 15% of the loan), including property releases, will be applied to the loan components on a pro rata basis. KEY RATING DRIVERS High Aggregate Leverage: The trust amount of $800 million represents 61.8% of the purchase price. The total capitalization of $1.074 billion (not including $181 million of preferred equity) represents a loan-to-cost of 82.9%. Fitch's LTV on the trust is 99.3%, while Fitch's LTV on the total outstanding debt is 155.7%. Fitch's stressed DSCR on the trust is 0.91x. Approximately 90.7% by allocated loan amount is leased to long-term, investment-grade tenants. Long-Term Investment-Grade Tenancy: Investment-grade tenants account for approximately 90.7% of the allocated loan amount (ALA). All of the tenants are considered long-term with lease expirations more than three years beyond the initial loan term. The weighted average term remaining on the leases is 11.2 years. The tenants are distributed across 12 different industries including biotech, financial services, healthcare, manufacturing, and pharmaceuticals. Diverse and Granular Pool: The loan is secured by 95 commercial properties including 18 office (66.2% of ALA), 8 industrial assets (19.4% of ALA), 51 bank branches (12.6% of ALA) and 18 retail properties (1.7% of the ALA). The properties are located in 20 states and are occupied by 16 unique tenants across 12 different industries. No state represents more than 32.9% of the trust amount and only two represent more than 10% of the total portfolio value. RATING SENSITIVITIES For this transaction, Fitch's NCF was 5.3% below the current budgeted contractual cash flow (inclusive of a 3% management fee). Included in Fitch's presale report are numerous Rating Sensitivities that describe the potential impact given further NCF declines below Fitch's NCF. Fitch evaluated the sensitivity of the ratings for class A and found that a 30% decline would result in a downgrade to 'BBB+sf'. The Rating Sensitivity section in the presale report includes a detailed explanation of additional stresses and sensitivities. Key Rating Drivers and Rating Sensitivities are further described in the accompanying presale report. SUNTRUST BANKS: Fitch Affirms BB Preferred Stock Rating ------------------------------------------------------- Fitch Ratings has affirmed SunTrust Banks Inc.'s (STI) long-term and short-term Issuer Default Ratings (IDRs) at 'A-/F1', respectively. The Rating Outlook is Stable. The affirmation reflects its balanced and diverse business profile, generally improving trends in earnings, and still benign asset quality. The rating action follows a periodic review of the large regional banking group, which includes BB&T Corporation (BBT), Capital One Finance Corporation (COF), Citizens Financial Group, Inc. (CFG), Comerica Incorporated (CMA), Fifth Third Bancorp (FITB), Huntington Bancshares Inc. (HBAN), Keycorp (KEY), M&T Bank Corporation (MTB), MUFG Americas Holding Corporation (MUAH), PNC Financial Services Group (PNC), Regions Financial Corporation (RF), SunTrust Banks Inc. (STI), US Bancorp (USB), and Wells Fargo & Company (WFC). Company-specific rating rationales for the other banks are published separately, and for further discussion of the large regional bank sector in general, refer to the special report titled 'Large Regional Bank Periodic Review,' to be published shortly. KEY RATING DRIVERS IDRs, VRs, AND SENIOR DEBT SunTrust Banks, Inc.'s (STI) ratings have been affirmed reflecting its diverse business profile, generally improving trends in earnings, and still benign asset quality. STI's ratings reflect the company's balanced consumer and commercial banking franchise, as well as a national mortgage banking franchise and a sizable and strong middle-market-focused capital markets business. Since the financial crisis, STI has materially reduced its reliance on residential real estate. STI's earnings benefit from a solid level of non-interest income, with revenues from deposit service charges, investment banking, trading income, mortgage revenues, CRE-related income, as well as trust and investment management income. During 1H17, STI earned a 0.98% ROA, as compared to the peer median of approximately 1.05%, and 1bp better than a year ago. STI is targeting a medium-term tangible efficiency ratio of below 60%, both of which Fitch views as attainable, especially under a higher interest rate environment. The company's asset quality performance also supports its ratings. While STI's level of NPAs remains somewhat elevated, this includes a large balance of mortgage-related troubled debt restructurings (TDRs), of which, 89%% of TDRs are accruing, and of those, 98% are current, mitigating the associated credit risk. Excluding the accruing TDRs, STI's ratio of nonaccrual loans to total loans falls to the third lowest of the large regional peer group at June 30, 2017. With NCOs in second quarter 2017 (2Q17) at just 20bps, Fitch expects some credit deterioration for STI, as well as the industry, as credit losses are likely at unsustainably low levels. Fitch notes that STI's Common Equity Tier 1 and Fitch Core Capitals both fall below peer medians. Despite this, Fitch views STI's capital ratios as appropriate for its risk profile. Further, Fitch expects many peers will manage capital lower over time. During 2Q17, STI issued $750 million of 5.05% preferred stock, contributing to Tier 1 capital. STI indicated it hopes to get its CET1 ratio below 9% over the next couple of years. Fitch expects most large regionals will manage with long-term CET1 between 8% and 9.5%. STI's liquidity profile remains stable. However, compared with large regional peers, STI's loan to deposit LTD ratio is on the higher end. Nonetheless, Fitch views STI's liquidity profile as in line with others. STI has access to diversified sources of funding, including deposits, FHLB advances, and access to the capital markets. SUBORDINATED DEBT AND OTHER HYBRID SECURITIES STI's subordinated debt is notched one level below its VR for loss severity. STI's preferred stock is notched five levels below its VR, two times for loss severity and three times for non-performance, while STI's trust preferred securities are notched two times from the VR for loss severity and two times for non-performance. These ratings are in accordance with Fitch's criteria and assessment of the instruments non-performance and loss severity risk profiles and have thus been affirmed due to the affirmation of the VR. LONG- AND SHORT-TERM DEPOSIT RATINGS The uninsured deposit ratings of SunTrust Bank are rated one notch higher than the bank's IDR and senior unsecured debt because U.S. uninsured deposits benefit from depositor preference. U.S. depositor preference gives deposit liabilities superior recovery prospects in the event of default. HOLDING COMPANY STI's VR is equalized with those of its operating companies and banks, reflecting its role as the bank holding company, which is mandated in the U.S. to act as a source of strength for its bank subsidiaries. Ratings are also equalized reflecting the very close correlation between holding company and subsidiary failure and default probabilities. SUPPORT RATING AND SUPPORT RATING FLOOR STI has a Support Rating (SR) of '5' and Support Rating Floor (SRF) of 'NF'. In Fitch's view, the probability of support is unlikely. IDRs and VRs do not incorporate any support. RATING SENSITIVITIES VR, IDRs, AND SENIOR DEBT Fitch envisions limited near-term upward ratings momentum for STI. The company's ratings incorporate expectations of gradual improvement in earnings over time, especially under a higher rate environment, and that capital will be deployed over time. If capital is maintained at appropriate levels, asset quality remains stable, and STI's earnings performance consistently improves to levels above the peer average, there could be further upside to STI's ratings, though this would likely only occur over the medium- to long-term. Fitch anticipates that if there were any upwards rating potential, it would likely be capped to a one-notch upgrade. Conversely, a material deterioration in capital or asset quality may prompt negative rating action, though Fitch expects some level of mean reversion in loan losses, as well as a reduction in capital ratios over time. Long-term capital targets are expected to remain between 8% and 9.5% for the large regional bank peer group. For those banks whose long-term capital targets fall to the lower end of that range, Fitch expects they will also have a superior earnings profile that provides for adequate capital generation capabilities. Absent that, there could be negative rating actions. While not anticipated, greater reliance on more volatile capital markets revenues may be a constraint to further upside in the company's ratings. On average, STI's investment banking and trading income accounts for around 9% of revenues, slightly more elevated than in the past. A sustained reliance of greater than 20% to 25% or being on a trajectory to doing will likely constrain further upside ratings momentum. Fitch views STI as one of the few large regional banks that is in the position to do bank-level M&A. STI has not completed a significant bank acquisition since 2004. Fitch would evaluate any transaction on its individual merits. As such, rating implications are dependent on the financial implication, strategic rationale, and execution risks inherent in any transaction. SUBORDINATED DEBT AND OTHER HYBRID SECURITIES The ratings for STI and its operating companies' subordinated debt, trust preferred securities, and preferred stock are sensitive to any change to the VR. LONG- AND SHORT-TERM DEPOSIT RATINGS The long- and short-term deposit ratings are sensitive to any change to STI's long- and short-term IDR. HOLDING COMPANY Should STI's holding company begin to exhibit signs of weakness, demonstrate trouble accessing the capital markets, or have inadequate cash flow coverage to meet near-term obligations, there is potential that Fitch could notch the holding company VR from the ratings of the operating companies. SUPPORT RATING AND SUPPORT RATING FLOOR Since STI's Support and Support Rating Floors are '5' and 'NF', respectively, there is limited likelihood that these ratings will change over the foreseeable future. Fitch has affirmed the following ratings: SunTrust Banks, Inc. -- Long-term IDR at 'A-'; Outlook Stable; -- Short-term IDR at 'F1'; -- Viability Rating at 'a-'; -- Preferred stock at 'BB'; -- Senior debt at 'A-'; -- Subordinated debt at 'BBB+'; -- Short-term debt at 'F1'; -- Support at 5; -- Support Floor at 'NF'. SunTrust Bank -- Long-term IDR at 'A-'; Outlook Stable; -- Short-term IDR at 'F1'; -- Viability Rating at 'a-'; -- Long-term deposits at 'A'; -- Market-linked securities at 'Aemr'; -- Senior notes at 'A-'; -- Short-term deposits at 'F1'; -- Subordinated debt at 'BBB+'; -- Short-term debt at 'F1'; -- Support at 5; -- Support Floor at 'NF'. SunTrust Capital I SunTrust Capital III National Commerce Capital Trust I -- Preferred stock at 'BB+'. SunTrust Preferred Capital I -- Preferred stock at 'BB'. TABERNA PREFERRED VIII: Moody's Hikes Cl. A-2 Notes Rating to Ba1 ----------------------------------------------------------------- Moody's Investors Service has upgraded the rating on the following notes issued by Taberna Preferred Funding VIII, Ltd.: Us$120,000,000 Class A-2 Second Priority Senior Secured Floating Rate Notes Due 2037, Upgraded to Ba1 (sf); previously on April 20, 2017 Upgraded to Ba2 (sf) Moody's also affirmed the ratings on the following notes: US$160,000,000 Class A-1A First Priority Delayed Draw Senior Secured Floating Rate Notes Due 2037 (current balance of $2,679,841), Affirmed Aaa (sf); previously on April 20, 2017 Upgraded to Aaa (sf) US$215,000,000 Class A-1B First Priority Senior Secured Floating Rate Notes Due 2037 (current balance of $3,601,036), Affirmed Aaa (sf); previously on April 20, 2017 Upgraded to Aaa (sf) Taberna Preferred Funding VIII, Ltd., issued in March 2007, is a collateralized debt obligation (CDO) backed mainly by a portfolio of REIT trust preferred securities (TruPS) and corporate bonds. RATINGS RATIONALE The rating actions are primarily a result of the deleveraging of the Class A-1A and Class A-1B notes, an increase in the transaction's over-collateralization ratios (OC), the improvement in the credit quality of the underlying portfolio and the maturity of six out-of-money interest rate swaps since April 2017. The Class A-1A and Class A-1B notes have paid down by approximately 86% or $38.5 million since April 2017 using primarily principal proceeds from the redemption of the underlying assets. Based on Moody's calculations, the OC ratios for the Class A-1, A-2, B and C notes have improved to 4308.1%, 214.3%, 134.2% and 110.0%, respectively, compared to April 2017 levels of 689.4%, 187.5%, 128.8% and 108.8%, respectively. In addition, the notes will benefit from credit enhancement available in the form of excess spread, because six out-of-money interest rate swaps, with a total notional of $163.9 million, matured in August 2017. On the August 2017 payment date, $1.6 million of interest proceeds were used to make payments on the swaps. The deal has also benefited from improvement in the credit quality of the underlying portfolio. According to Moody's calculations, the weighted average rating factor (WARF) improved to 4377 from 4663 in April 2017. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Approach to Rating TruPS CDOs," published in October 2016. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: This transaction is subject to a number of factors and circumstances that could lead to either an upgrade or downgrade of the ratings, as described below: 1) Macroeconomic uncertainty: TruPS CDOs performance could be negatively affected by uncertainty about credit conditions in the general economy. Moody's maintains its stable outlook on the US REIT sector. 2) Portfolio credit risk: Credit performance of the assets collateralizing the transaction that is better than Moody's current expectations could have a positive impact on the transaction's performance. Conversely, asset credit performance weaker than Moody's current expectations could have adverse consequences on the transaction's performance. 3) Deleveraging: One source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds and excess interest proceeds will continue and at what pace. Note repayments that are faster than Moody's current expectations could have a positive impact on the notes' ratings, beginning with the notes with the highest payment priority. 4) Exposure to non-publicly rated assets: The deal contains a large number of securities whose default probability Moody's assesses through credit scores derived using credit estimates. Because these are not public ratings, they are subject to additional uncertainties. In addition to the base case analysis, Moody's also conducted sensitivity analyses to test the impact of a number of default probabilities on the rated notes relative to the base case modeling results, which may be different from the current public ratings of the notes. Below is a summary of the impact of different default probabilities (expressed in terms of WARF) on all of the rated notes (by the difference in the number of notches versus the current model output, for which a positive difference corresponds to lower expected loss): Assuming a two-notch upgrade to assets with below-investment grade ratings or rating estimates (WARF of 2638) Class A-1A: 0 Class A-1B: 0 Class A-2: +3 Class B: +5 Class C: +3 Assuming a two-notch downgrade to assets with below-investment grade ratings or rating estimates (WARF of 5429) Class A-1A: 0 Class A-1B: 0 Class A-2: -2 Class B: -3 Class C: 0 Loss and Cash Flow Analysis: Moody's applied a Monte Carlo simulation framework in Moody's CDROM(TM) to model the loss distribution for TruPS CDOs. The simulated defaults and recoveries for each of the Monte Carlo scenarios defined the reference pool's loss distribution. Moody's then used the loss distribution as an input in its CDOEdge(TM) cash flow model. CDROM(TM) is available on www.moodys.com under Products and Solutions -- Analytical models, upon receipt of a signed free license agreement. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, and weighted average recovery rate, are based on its methodology and could differ from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool has having a performing par and principal proceeds balance of $270.6 million, defaulted/deferring par of $24.2 million, a weighted average default probability of 55.61% (implying a WARF of 4377), and a weighted average recovery rate upon default of 11.85%. In addition to the quantitative factors Moody's explicitly models, qualitative factors are part of rating committee considerations. Moody's considers the structural protections in the transaction, the risk of an event of default, recent deal performance under current market conditions, the legal environment and specific documentation features. All information available to rating committees, including macroeconomic forecasts, inputs from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. The portfolio of this CDO contains mainly TruPS issued by small to medium sized REIT companies that Moody's does not rate publicly. To evaluate the credit quality of REIT TruPS that do not have public ratings, Moody's REIT group assesses their credit quality using the REIT firms' annual financials. THL CREDIT 2013-2: S&P Gives BB- Ratings on 2 Tranches ------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the class A-R, B-R, C-R, D-R, E-1-R, and E-2-R replacement notes from THL Credit Wind River 2013-2 CLO Ltd., a collateralized loan obligation (CLO) originally issued in 2013 that is managed by THL Credit Advisors 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 replacement classes are all expected to be issued at floating spreads, replacing the current floating-rate notes. The preliminary ratings are based on information as of Oct. 2, 2017. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Oct. 18, 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." S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and we will take further rating actions as we deem necessary." PRELIMINARY RATINGS ASSIGNED THL Credit Wind River 2013-2 CLO Ltd. Replacement class Rating Amount (mil. $) A-R AAA (sf) 320.00 B-R AA (sf) 53.75 C-R (deferrable) A (sf) 38.75 D-R (deferrable) BBB- (sf) 27.50 E-1-R (deferrable) BB- (sf) 15.00 E-2-R (deferrable) BB- (sf) 5.00 TOWD POINT 2017-4: DBRS Finalizes B Rating on Class B2 Notes ------------------------------------------------------------ DBRS, Inc. finalized the following provisional ratings on the Asset Backed Securities, Series 2017-4 (the Notes) issued by Towd Point Mortgage Trust 2017-4 (the Trust): -- $920.9 million Class A1 at AAA (sf) -- $78.2 million Class A2 at AA (sf) -- $64.1 million Class M1 at A (sf) -- $55.2 million Class M2 at BBB (sf) -- $44.9 million Class B1 at BB (sf) -- $26.9 million Class B2 at B (sf) -- $999.1 million Class A3 at AA (sf) -- $1063.3 million Class A4 at A (sf) Classes A-3 and A-4 are exchangeable notes. These classes can be exchanged for combinations of exchange notes as specified in the offering documents. The AAA (sf) ratings on the Notes reflect the 28.20% of credit enhancement provided by subordinated Notes in the pool. The AA (sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings reflect credit enhancement of 22.10%, 17.10%, 12.80%, 9.30% and 7.20%, respectively. Other than the specified classes above, DBRS does not rate any other classes in this transaction. This transaction is a securitization of a portfolio of seasoned performing and re-performing first-lien residential mortgages. The Notes are backed by 5,487 loans with a total principal balance of $1,282,579,499 as of the Cut-Off Date (July 31, 2017). As of the Statistical Calculation Date (June 30, 2017), the portfolio contains 5,528 loans with a total principal balance of $1,296,211,338. All of the following statistics regarding the mortgage loans are based on the Statistical Calculation Date. The portfolio is approximately 132 months seasoned and contains 90.3% modified loans. The modifications happened more than two years ago for 86.5% of the modified loans. Within the pool, 789 mortgages have non-interest-bearing deferred amounts, which equates to 2.9% of the total principal balance. Included in the deferred amounts are proprietary principal forgiveness and HAMP principal reduction alternative amounts (collectively, the PRA amounts), which comprise approximately 0.8% of the total principal balance. All loans (100.0%) were current as of the Statistical Calculation Date, including 1.5% bankruptcy-performing loans. Approximately 72.3% of the mortgage loans have been zero times 30 days delinquent (0 x 30) for at least the past 24 months under the Mortgage Bankers Association delinquency method. In accordance with the Consumer Financial Protection Bureau Ability-to-Repay (ATR) and Qualified Mortgage (QM) rules, only two loans (0.1% of the pool) are designated as QM Safe Harbor and the rest are not subject to the ATR/QM rules. FirstKey Mortgage, LLC (FirstKey) will acquire the loans from various transferring trusts on or prior to the Closing Date. The transferring trusts acquired the mortgage loans between 2013 and 2017, and are beneficially owned by funds managed by affiliates of Cerberus Capital Management, L.P. Upon acquiring the loans from the transferring trusts, FirstKey, through a wholly owned subsidiary, Towd Point Asset Funding, LLC (the Depositor), will contribute loans to the Trust. As the Sponsor, FirstKey, through a majority-owned affiliate, will acquire and retain a 5% eligible vertical interest in each class of securities to be issued (other than any residual certificates) to satisfy the credit risk retention requirements. These loans were originated and previously serviced by various entities through purchases in the secondary market. As of the Closing Date, 96.5% of the loans will be serviced by Select Portfolio Servicing, Inc. and 3.5% by Selene Finance LP. There will not be any advancing of delinquent principal or interest on any mortgages by the servicer or any other party to the transaction; however, the servicer is obligated to make advances in respect of homeowner association fees, taxes and insurance, reasonable costs and expenses incurred in the course of servicing and disposing of properties. FirstKey, as the Asset Manager, has the option to sell certain non-performing loans or real estate owned (REO) properties to unaffiliated third parties individually or in bulk sales. The asset sale price has to equal a minimum reserve amount to maximize liquidation proceeds of such loans or properties. The minimum reserve amount equals the product of 69.22% and the then-current principal amount of the mortgage loans or REO properties. In addition, on the payment date when the aggregate pool balance of the mortgage loans is reduced to less than 30% of the Cut-Off Date balance, the holders of more than 50% of the Class X Certificates will have the option to cause the Issuer to sell all of its remaining property (other than amounts in the Breach Reserve Account) to one or more third-party purchasers so long as the aggregate proceeds meets a minimum price. The transaction employs a sequential-pay cash flow structure. Principal proceeds can be used to cover interest shortfalls on the Notes, but such shortfalls on Class M1 and more subordinate bonds will not be paid until the more senior classes are retired. The lack of principal and interest advances on delinquent mortgages may increase the possibility of periodic interest shortfalls to the Noteholders; however, principal proceeds can be used to pay interest to the Notes sequentially and subordination levels are greater than expected losses, which may provide for timely payment of interest to the rated Notes. The ratings reflect transactional strengths that include underlying assets that generally performed well through the crisis, a strong servicer and Asset Manager oversight. Additionally, a satisfactory third-party due diligence review was performed on the portfolio with respect to regulatory compliance, payment history and data capture as well as title and tax review. Servicing comments were reviewed for a sample of loans. Updated broker price opinions or exterior appraisals were provided for 100.0% of the pool; however, a reconciliation was not performed on the updated values. The transaction employs a relatively weak representations and warranties framework that includes a 13-month sunset, an unrated representation provider (FirstKey), certain knowledge qualifiers and fewer mortgage loan representations relative to DBRS criteria for seasoned pools. Mitigating factors include (1) significant loan seasoning and relative clean performance history in recent years, (2) a comprehensive due diligence review and (3) a strong representations and warranties enforcement mechanism, including delinquency review trigger and breach reserve accounts. The DBRS ratings of AAA (sf) and AA (sf) address the timely payment of interest and full payment of principal by the legal final maturity date in accordance with the terms and conditions of the related Notes. The DBRS ratings of A (sf), BBB (sf), BB (sf) and B (sf) address the ultimate payment of interest and full payment of principal by the legal final maturity date in accordance with the terms and conditions of the related Notes. The full description of the strengths, challenges and mitigating factors is detailed in the related presale report. Please see the related appendix for additional information regarding sensitivity of assumptions used in the rating process. Notes: All figures are in U.S. dollars unless otherwise noted. TOYS 'R' US 2001-31: S&P Lowers $13.09MM Class A-1 Certs to 'D' --------------------------------------------------------------- S&P Global Ratings lowered its rating on Corporate-Backed Trust Certificates Toys "R" Us Debenture-Backed Series 2001-31 Trust's $13.09 million class A-1 certificates to 'D' from 'CCC'. S&P said, "Our rating on the class A-1 certificates is dependent on our rating on the underlying security, Toys "R" Us Delaware Inc.'s 8.75% debentures due Sept. 1, 2021 ('D'). "The rating action reflects the Sept. 19, 2017, lowering of our rating on the underlying security to 'D' from 'C' and removal of it from CreditWatch, where we placed it with negative implications on Sept. 7, 2017. For more details, see "Research Update: Toys "R" Us Inc. Downgraded To 'D' On Chapter 11 Filing," published Sept. 19, 2017. "We may take subsequent rating actions on the class A-1 certificates due to changes in our rating assigned to the underlying security." VOYA CLO 2013-1: S&P Assigns Prelim BB-(sf) Rating on D-R Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-1AR, A-2R, B-R, C-R, and D-R replacement notes from Voya CLO 2013-1 Ltd./Voya CLO 2013-1 LLC, a collateralized loan obligation (CLO) originally issued in 2013 that is managed by Voya Alternative Asset Management LLC. S&P also assigned a preliminary rating to the new class X-R notes. 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 Oct. 2, 2017. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Oct. 16, 2017, refinancing date, the proceeds from the issuance of the replacement notes are expected to redeem the original notes. At that time, S&P anticipates withdrawing the ratings on the original notes and assigning ratings to the replacement notes. However, if the refinancing doesn't occur, S&P may affirm the ratings on the original notes and withdraw its preliminary ratings on the replacement notes. The replacement notes are being issued via a proposed supplemental indenture, which, in addition to outlining the terms of the replacement notes, will also make the following changes: -- The transaction will be increased to $627.85 million. -- The transaction will issue additional class X-R notes, bifurcate the class A-1 notes, and increase the income notes balance. -- The replacement class A-2R, B-R, and C-R notes are expected to be issued at lower spreads than the original notes. -- The replacement class D-R notes are expected to be issued at a higher spread than the original notes. -- The non-call period, reinvestment period, and stated maturity will be extended 4.25 years, 5.25 years, and 6.25 years, respectively. -- The overcollateralization ratio test thresholds and certain concentration limitations will be amended. -- The transaction will incorporate relevant criteria updates from S&P Global Ratings' "Global Methodologies And Assumptions For Corporate Cash Flow And Synthetic CDOs," published Aug. 8, 2016. -- The transaction will incorporate S&P Global Rating's non-model version of CDO Monitor. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and we will take further rating actions as we deem necessary." PRELIMINARY RATINGS ASSIGNED Voya CLO 2013-1 Ltd./Voya CLO 2013-1 LLC Replacement class Rating Amount (mil. $) X-R AAA (sf) 6.00 A-1AR AAA (sf) 362.50 A-1BR NR 35.00 A-2R AA (sf) 58.50 B-R (deferrable) A (sf) 38.00 C-R (deferrable) BBB- (sf) 34.00 D-R (deferrable) BB- (sf) 25.00 Income notes NR 68.85 NR--Not rated. WACHOVIA BANK 2006-C25: Moody's Lowers Cl. G Certs' Rating to C --------------------------------------------------------------- Moody's Investors Service has affirmed the rating on one class and downgraded the rating on one class in Wachovia Bank Commercial Mortgage Trust 2006-C25, Commercial Mortgage Pass-Through Certificates, Series 2006-C25: Cl. F, Affirmed Caa1 (sf); previously on Apr 13, 2017 Affirmed Caa1 (sf) Cl. G, Downgraded to C (sf); previously on Apr 13, 2017 Affirmed Caa3 (sf) RATINGS RATIONALE The rating on Class F was affirmed because the rating is consistent with Moody's expected loss. The rating on Class G was downgraded due to realized losses from specially serviced and troubled loans that were higher than Moody's had previously expected. Class G has already experienced a 47% realized loss as result of previously liquidated loans. Moody's rating action reflects a base expected loss of 10.9% of the current pooled balance, compared to 28.3% at Moody's last review. Moody's base expected loss plus realized losses is now 7.4% of the original pooled balance, compared to 6.6% 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. DEAL PERFORMANCE As of the September 15, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 99% to $31.2 million from $2.86 billion at securitization. The certificates are collateralized by two remaining mortgage loans. Twenty-two loans have been liquidated from the pool, resulting in an aggregate realized loss of $208 million (for an average loss severity of 51%). There are no loans currently in special servicing. The two remaining loans represent 100% of the pool balance. The largest loan is the Shoppes at North Village Loan ($28.6 million -- 91.9% of the pool), which is secured by 226,000 square foot (SF) portion of a 710,000 SF power center built in 2005 and located in Saint Joseph, Missouri. The property is anchored by Target, The Home Depot and Sam's Club, all non-collateral. As of March 2017, the property was 98% leased to 26 tenants, the same as at the prior review. The loan has passed the November 2015 Anticipated Repayment Date (ARD) and has a final maturity date in 2025. Moody's LTV and stressed DSCR are 127% and 0.81X, respectively. The second remaining loan is the Ballantyne Shopping Center Loan ($2.5 million -- 8.1% of the pool), which is secured by a 10,000 SF retail property located in Charlotte, NC. As of year-end 2016, the property was 100% leased to six tenants, the same as at the prior review. The loan matures in February 2026. Moody's LTV and stressed DSCR are 83% and 1.23X, respectively. WELLS FARGO 2017-C40: Fitch to Rate Class G Notes 'B-sf' -------------------------------------------------------- Fitch Ratings has issued a presale report on Wells Fargo Commercial Mortgage Trust 2017-C40, Series 2017-C40. Fitch expects to rate the transaction and assign Rating Outlooks as follows: -- $23,786,000 class A-1 'AAAsf'; Outlook Stable; -- $23,626,000 class A-2 'AAAsf'; Outlook Stable; -- $32,869,000 class A-SB 'AAAsf'; Outlook Stable; -- $185,000,000 class A-3 'AAAsf'; Outlook Stable; -- $203,796,000 class A-4 'AAAsf'; Outlook Stable; -- $469,077,000a class X-A 'AAAsf'; Outlook Stable; -- $118,944,000a class X-B 'A-sf'; Outlook Stable; -- $56,122,000 class A-S 'AAAsf'; Outlook Stable; -- $32,668,000 class B 'AA-sf'; Outlook Stable; -- $30,154,000 class C 'A-sf'; Outlook Stable; -- $34,344,000ab class X-D 'BBB-sf'; Outlook Stable; -- $34,344,000b class D 'BBB-sf'; Outlook Stable; -- $6,701,000bc class E 'BB+sf'; Outlook Stable; -- $9,214,000bc class F 'BB-sf'; Outlook Stable; -- $6,701,000bc class G 'B-sf'; Outlook Stable. The following classes are not expected to be rated by Fitch: -- $3,350,000b class H; -- $21,779,541b class J; -- $35,268,976bc class RR Interest. (a) Notional amount and interest-only. (b) Privately placed and pursuant to Rule 144A. (c) Vertical credit risk retention interest. The certificates represent the beneficial ownership interest in the trust, primary assets of which are 65 loans secured by 150 commercial properties having an aggregate principal balance of $705,379,517 as of the cut-off date. The loans were contributed to the trust by Wells Fargo Bank, National Association, Barclays Bank PLC, Rialto Mortgage Finance LLC and C-III Commercial Mortgage LLC. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 74.8% of the properties by balance, cash flow analysis of 81.1%, and asset summary reviews on 100% of the pool. KEY RATING DRIVERS Fitch Leverage in Line with Recent Transactions: The pool a weighted average Fitch DSCR of 1.23x, which is in line with the 2016 average of 1.21x and the YTD 2017 average of 1.25x for other recent Fitch-rated U.S. multiborrower deals. Additionally, the pool's weighted average Fitch LTV of 102.0% is in line with the YTD 2017 level of 101.4%. Credit Opinion Loans: Two loans in the pool, representing 12.1%, has an investment-grade credit opinion. 225 & 233 Park Avenue South (8.5%) has an investment-grade credit opinion of 'BBB-sf*' on a stand-alone basis and Del Amo Fashion Center (3.5%) has an investment-grade credit opinion of 'BBBsf*' on a stand-alone basis. Below-Average Pool Concentration: The largest 10 loans account for 49.2% of the pool, which is below the 2017 average of 53.3% for fixed-rate transactions. The pool exhibits below-average pool concentration, with a loan concentration index (LCI) of 342, which is below the 2017 average of 399. Retail Concentration: The pool's largest property type is retail at 37.9%, followed by office at 22.2% and hotel at 16.7% of the pool. No other property type representing more than 10.0% of the pool. The pool's retail concentration is higher than the 2017 average of 24.3%, and the hotel concentration is also higher than the 2017 average of 15.8%. The pool's office concentration is below the 2017 average of 41.3%. Loans secured by office and retail properties have an average probability of default in Fitch's multiborrower model, loans secured by hotel properties have the highest probability of default, and multifamily properties have a lower probability of default. RATING SENSITIVITIES For this transaction, Fitch's net cash flow (NCF) was 10.9% below the most recent year's net operating income (NOI) for properties for which a full-year NOI was provided, excluding properties that were stabilizing during this period. Unanticipated further declines in property-level NCF could result in higher defaults and loss severities on defaulted loans and in potential rating actions on the certificates. Fitch evaluated the sensitivity of the ratings assigned to the WFCM 2017-C40 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. WFRBS COMMERCIAL 2014-C24: Moody's Affirms Ba2 Rating on SJ-D Certs ------------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on fourteen classes in WFRBS Commercial Mortgage Trust 2014-C24, Commercial Mortgage Pass-Through Certificates, Series 2014-C24: Cl. A-1, Affirmed Aaa (sf); previously on Sep 29, 2016 Affirmed Aaa (sf) Cl. A-2, Affirmed Aaa (sf); previously on Sep 29, 2016 Affirmed Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on Sep 29, 2016 Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Sep 29, 2016 Affirmed Aaa (sf) Cl. A-5, Affirmed Aaa (sf); previously on Sep 29, 2016 Affirmed Aaa (sf) Cl. A-SB, Affirmed Aaa (sf); previously on Sep 29, 2016 Affirmed Aaa (sf) Cl. A-S, Affirmed Aa1 (sf); previously on Sep 29, 2016 Affirmed Aa1 (sf) Cl. B, Affirmed Aa3 (sf); previously on Sep 29, 2016 Affirmed Aa3 (sf) Cl. C, Affirmed A3 (sf); previously on Sep 29, 2016 Affirmed A3 (sf) Cl. PEX, Affirmed A1 (sf); previously on Sep 29, 2016 Affirmed A1 (sf) Cl. SJ-A, Affirmed Aa2 (sf); previously on Sep 29, 2016 Upgraded to Aa2 (sf) Cl. SJ-B, Affirmed A2 (sf); previously on Sep 29, 2016 Upgraded to A2 (sf) Cl. SJ-C, Affirmed Baa1 (sf); previously on Sep 29, 2016 Upgraded to Baa1 (sf) Cl. SJ-D, Affirmed Ba2 (sf); previously on Sep 29, 2016 Upgraded to Ba2 (sf) RATINGS RATIONALE The ratings on the P&I classes, Classes A-1 through C 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 non-pooled rake classes, Classes SJ-A through SJ-D, was affirmed based on the credit performance (or the weighted average rating factor or WARF) of the referenced classes. The rake classes are supported by the subordinate debt associated with the St. John's Town Center loan. The rating on the PEX class was affirmed based on the credit performance (or the weighted average rating factor or WARF) of the referenced classes. Moody's rating action reflects a base expected loss of 5.8% of the current balance compared to 4.0% at Moody's last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in July 2017. The methodology used in rating the exchangeable class Cl. PEX was "Moody's Approach to Rating Repackaged Securities" published in June 2015. DEAL PERFORMANCE As of the September 15, 2017 distribution date, the transaction's aggregate pooled certificate balance has decreased by 1.4% to $1.072 billion from $1.088 billion at securitization. The certificates are collateralized by 86 mortgage loans ranging in size from less than 1% to just under 10% of the pool, with the top ten loans constituting 47% of the pool. One loan, constituting 9.7% of the pool, has an investment-grade structured credit assessment. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 29, the same as at Moody's last review. Ten loans, constituting 11% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. No loans have been liquidated from the pool. Three loans, constituting 1.4% of the pool, are currently in special servicing. The largest loan is special servicing is the Crosswinds Apartments Loan ($7.1 million -- 0.7% of the pool), which is secured by a 240-unit multifamily property located in Houston, Texas. It was transferred to special servicing on September 2012, 2017 due to payment default. The property is continuing a leasing and marketing plan to improve occupancy and performance. Moody's estimates an aggregate $2.1 million loss for the specially serviced loan (29% expected loss on average). The remaining two specially serviced loans are secured by a mix of property types. Moody's estimates an aggregate $5.6 million loss for the specially serviced loans (37% expected loss on average). Moody's has also assumed a high default probability for two poorly performing loans, constituting 8.8% of the pool, and has estimated an aggregate loss of $26.6 million (a 22.2% expected loss based on a 74% probability default) from these troubled loans. Moody's received full year 2016 operating results for 93% of the pool and partial year 2017 operating results for 86% of the pool. Moody's weighted average conduit LTV is 110.8%, compared to 113.1% 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 20% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.7%. Moody's actual and stressed conduit DSCRs are 1.59X and 0.97X, respectively, compared to 1.56X and 0.95X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The loan with a structured credit assessment is the St. Johns Town Center Loan ($103.5 million -- 9.7% of the pool), which is secured by a 981,000 SF component of a 1.4 million SF super-regional mall located in Jacksonville, Florida. The loan represents a 51% pari-passu interest in a $203.5 million senior loan. The property is also encumbered by a $146.5 million B-note which contribute to the transaction as non-pooled rake bonds, and are rated separately. The loan sponsor is a joint venture between subsidiaries of Simon Property Group (SPG), Inc. and Deutsche Bank Asset & Wealth Management. SPG manages the property. The mall is anchored by Dillard's, Target, Dick's Sporting Goods, Ashley Furniture, and Nordstrom. Dillard's, Target and Ashely Furniture are not part of the collateral and own their own spaces. The mall was developed in three phases from 2005-2014. As of June 2017, the property was 98% occupied. Following Hurricane Irma, the property is open and no damage has been reported. Moody's structured credit assessment and stressed DSCR are aaa (sca.pd) and 1.61X, respectively, the same as at last review. The top three conduit loans represent 22% of the pool balance. The largest loan is the Two Westlake Park Loan ($91.0 million -- 8.5% of the pool), which is secured by a 450,000 SF office building located in Houston, Texas. The property represents part of the larger 58-acre Westlake Park office complex. The property is located approximately one half mile from I-10 in Houston's Energy Corridor/West Katy Freeway market. The property was developed in 1982 and primarily consists of a 17-story office tower and seven story parking garage. The parking garage contains additional office space in a portion of the top two floors. As of July 2017, the property was 68% occupied compared to 91% occupied in June 2016 and 100% leased as of December 2014. The two largest tenants are ConocoPhilips (46% of the NRA, leased through November 2019) and BP (15% of the NRA, leased through 2019). ConocoPhilips is subleasing 121K square feet of space and BP is looking to sublease their space. This loan has been identified as troubled due to ongoing occupancy concerns. The borrower has confirmed that there was no damage from Hurricane Harvey to the property. Moody's LTV and stressed DSCR are 143% and 0.76X, respectively, compared to 132% and 0.8X at the last review. The second largest loan is the Gateway Center Phase II Loan ($75.0 million -- 7.0% of the pool), which is secured by a 602,000 SF power center located in Brooklyn, New York. The property was recently constructed in 2014 and sits adjacent to the Belt Parkway in between JFK Airport and East New York. As of March 2017, the property was 100% occupied. The anchor tenants include JC Penney, ShopRite and Burlington Coat Factory. JC Penney is not part of the collateral. Moody's LTV and stressed DSCR are 114% and 0.78X, respectively, the same as at the last review. The third largest loan is the Crossing at Corona Loan ($70.0 million -- 6.5% of the pool), which is secured by an 834,000 SF component of an approximately 962,200 SF power center located 50 miles south-east of Los Angeles in Corona, California. The center is anchored by a Kohl's, Edwards Cinemas (Regal) and Toys/Babies R Us. The center is shadow anchored by a Target. The property was developed from 2004-2008. As of June 2017, the property was 94% occupied compared to 99% as of March 2016. Moody's LTV and stressed DSCR are 122% and 0.8X, respectively, the same as at the last review. [*] Moody's Takes Action on $2.1BB of RMBS Issued 2014-2015 ----------------------------------------------------------- Moody's Investors Service, on Sept. 28, 2017, upgraded the ratings of 41 tranches from 8 transactions issued by the Federal Home Loan Mortgage Corporation (Freddie Mac) and the Federal National Mortgage Association (Fannie Mae) and backed by RMBS loans. The complete rating actions are: Issuer: Connecticut Avenue Securities, Series 2014-C01 Cl. M-1, Upgraded to Aa1 (sf); previously on Jul 17, 2017 Upgraded to Aa2 (sf) Issuer: Connecticut Avenue Securities, Series 2014-C04 Cl. 1M-2, Upgraded to Baa1 (sf); previously on Oct 28, 2016 Assigned Baa2 (sf) Cl. 2M-2, Upgraded to Baa1 (sf); previously on Oct 28, 2016 Assigned Baa2 (sf) Issuer: Structured Agency Credit Risk (STACR) Debt Notes, Series 2014-HQ1 Cl. M-12, Upgraded to Aa1 (sf); previously on Oct 3, 2016 Upgraded to Aa3 (sf) Cl. M-2, Upgraded to Aa1 (sf); previously on Oct 3, 2016 Upgraded to A1 (sf) Cl. M-2F, Upgraded to Aa1 (sf); previously on Oct 3, 2016 Upgraded to A1 (sf) Cl. M-2I, Upgraded to Aa1 (sf); previously on Oct 3, 2016 Upgraded to A1 (sf) Issuer: Structured Agency Credit Risk (STACR) Debt Notes, Series 2014-HQ2 Cl. M-1, Upgraded to Aaa (sf); previously on Oct 3, 2016 Upgraded to Aa2 (sf) Cl. M-12, Upgraded to Aa2 (sf); previously on Oct 3, 2016 Upgraded to A1 (sf) Cl. M-1F, Upgraded to Aaa (sf); previously on Oct 3, 2016 Upgraded to Aa2 (sf) Cl. M-1I, Upgraded to Aaa (sf); previously on Oct 3, 2016 Upgraded to Aa2 (sf) Cl. M-2, Upgraded to Aa3 (sf); previously on Oct 3, 2016 Upgraded to A2 (sf) Cl. M-2F, Upgraded to Aa3 (sf); previously on Oct 3, 2016 Upgraded to A2 (sf) Cl. M-2I, Upgraded to Aa3 (sf); previously on Oct 3, 2016 Upgraded to A2 (sf) Issuer: Structured Agency Credit Risk (STACR) Debt Notes, Series 2014-HQ3 Cl. M-12, Upgraded to Aaa (sf); previously on Oct 3, 2016 Upgraded to Aa3 (sf) Cl. M-2, Upgraded to Aaa (sf); previously on Oct 3, 2016 Upgraded to Aa3 (sf) Cl. M-2F, Upgraded to Aaa (sf); previously on Oct 3, 2016 Upgraded to Aa3 (sf) Cl. M-2I, Upgraded to Aaa (sf); previously on Oct 3, 2016 Upgraded to Aa3 (sf) Issuer: Structured Agency Credit Risk (STACR) Debt Notes, Series 2015-DN1 Cl. M-12, Upgraded to Aaa (sf); previously on Feb 27, 2017 Upgraded to Aa2 (sf) Cl. M-2, Upgraded to Aaa (sf); previously on Feb 27, 2017 Upgraded to Aa2 (sf) Cl. M-2F, Upgraded to Aaa (sf); previously on Feb 27, 2017 Upgraded to Aa2 (sf) Cl. M-2I, Upgraded to Aaa (sf); previously on Feb 27, 2017 Upgraded to Aa2 (sf) Cl. M-3, Upgraded to Aa3 (sf); previously on Feb 27, 2017 Upgraded to A2 (sf) Cl. M-3F, Upgraded to Aa3 (sf); previously on Feb 27, 2017 Upgraded to A2 (sf) Cl. M-3I, Upgraded to Aa3 (sf); previously on Feb 27, 2017 Upgraded to A2 (sf) Cl. MA, Upgraded to Aa3 (sf); previously on Feb 27, 2017 Upgraded to A1 (sf) Issuer: Structured Agency Credit Risk (STACR) Debt Notes, Series 2015-HQ1 Cl. MA, Upgraded to Aa3 (sf); previously on Jul 17, 2017 Upgraded to A1 (sf) Cl. M-3, Upgraded to A1 (sf); previously on Jul 17, 2017 Upgraded to A2 (sf) Cl. M-3F, Upgraded to A1 (sf); previously on Jul 17, 2017 Upgraded to A2 (sf) Cl. M-3I, Upgraded to A1 (sf); previously on Jul 17, 2017 Upgraded to A2 (sf) Issuer: Structured Agency Credit Risk (STACR) Debt Notes, Series 2015-HQ2 Cl. M-1, Upgraded to Aaa (sf); previously on Oct 3, 2016 Upgraded to Aa3 (sf) Cl. M-12, Upgraded to Aa3 (sf); previously on Oct 3, 2016 Upgraded to A2 (sf) Cl. M-1F, Upgraded to Aaa (sf); previously on Oct 3, 2016 Upgraded to Aa3 (sf) Cl. M-1I, Upgraded to Aaa (sf); previously on Oct 3, 2016 Upgraded to Aa3 (sf) Cl. M-2, Upgraded to Aa3 (sf); previously on Oct 3, 2016 Upgraded to A3 (sf) Cl. M-2F, Upgraded to Aa3 (sf); previously on Oct 3, 2016 Upgraded to A3 (sf) Cl. M-2I, Upgraded to Aa3 (sf); previously on Oct 3, 2016 Upgraded to A3 (sf) Cl. M-3F, Upgraded to A3 (sf); previously on Oct 3, 2016 Upgraded to Ba1 (sf) Cl. M-3I, Upgraded to A3 (sf); previously on Oct 3, 2016 Upgraded to Ba1 (sf) Cl. M-3, Upgraded to A3 (sf); previously on Oct 3, 2016 Upgraded to Ba1 (sf) Cl. MA, Upgraded to A2 (sf); previously on Oct 3, 2016 Upgraded to Baa2 (sf) RATINGS RATIONALE The rating upgrades are primarily due to the increase in credit enhancement available to the bonds and a reduction in the expected losses on the underlying pools owing to strong collateral performance. The rating actions also reflect the correction of errors in the cash flow model used by Moody's in rating these transactions. The Structured Agency Credit Risk (STACR) and Connecticut Avenue Securities (CAS) transactions are designed to provide credit protection to Freddie Mac and Fannie Mae, respectively, against the performance of reference pools of prime first-lien conforming mortgages. All of the Notes in the transactions are direct, unsecured obligations of Freddie Mac and Fannie Mae and as such investors are exposed to the credit risk of Freddie Mac (currently Aaa Stable) and Fannie Mae (currently Aaa Stable). Unlike in a typical RMBS transaction, Note holders are not entitled to receive any cash from the mortgage loans in the reference pool. Instead, the timing and amount of principal and interest that Freddie Mac and Fannie Mae are obligated to pay on the Notes is linked to the performance of the mortgage loans in the reference pool. In general, these transactions have continued to benefit both from a steady increase in the credit enhancement as a result of sequential principal distributions among subordinated bonds, and from a reduction in the expected losses on the underlying pools owing to strong collateral performance. In these fixed severity transactions, every loan that experiences a Credit Event -- defined among other things as a delinquency of 180 days or more -- is assigned a fixed loss severity based on a predetermined schedule. In loss calculations used in prior rating actions, Moody's mistakenly did not adjust the tiered fixed severity thresholds to reflect the reduction in the pool balances over time. Also, prior calculations of loss severity did not include the cumulative percentage of Net Credit Events experienced to date. These errors have now been corrected, and rating actions reflect the appropriate calculation of loss severities. The correction of these errors had no impact on 32 of the ratings in action, which are being upgraded as a result of the improved performance of the transactions. The ratings on five of the bonds in action -- Class M-1 of CAS 2014-C01, Classes 1M-2 and 2M-2 of CAS 2014-CO4, Class MA of STACR 2015-DN1, and Class MA of STACR 2015-HQ1 -- are being upgraded solely due to the correction of the error. For the remaining four bonds -- Class M-12 of STACR 2014-HQ2, and Classes M-3, M-3F, and M-3I of STACR 2015-HQ2 -- the upgrades are the result of both the error correction and improved performance. The principal methodology used in these ratings was "Moody's Approach to Rating US Prime RMBS" published in February 2015. Additionally, the methodology used in rating Class M-2l of STACR 2014-HQ1; Classes M-1l and M-2l of STACR 2014-HQ2; Class M-2l of STACR 2014-HQ3; Classes M-1I, M-2I and M-3I of STACR 2015-HQ2; Classes M-2I and M-3I of STACR 2015-DN1; and Class M-3l of STACR 2015-HQ1 was "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. Factors that would lead to an upgrade or downgrade of the ratings: Ratings in the US RMBS sector remain exposed to the high level of macroeconomic uncertainty, and in particular the unemployment rate. The unemployment rate fell to 4.4% in August 2017 from 4.9% in August 2016. Moody's forecasts an unemployment central range of 4.5% to 5.5% for the 2017 year. Deviations from this central scenario could lead to rating actions in the sector. House prices are another key driver of US RMBS performance. Moody's expects house prices to continue to rise in 2017. Lower increases than Moody's expects or decreases could lead to negative rating actions. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. [*] Moody's Takes Action on $259.7MM of Alt-A Issued 2004-2007 -------------------------------------------------------------- Moody's Investors Service has upgraded ratings of 26 tranches from five transactions backed by Alt-A and Option ARM mortgage loans, issued by multiple issuers. Complete rating actions are as follows: Issuer: Bear Stearns Mortgage Funding Trust 2007-AR4 Cl. I-A-1, Upgraded to B2 (sf); previously on Feb 5, 2015 Upgraded to Caa1 (sf) Issuer: CSFB Adjustable Rate Mortgage Trust 2004-2 Cl. 2-A-1, Upgraded to Baa1 (sf); previously on Oct 28, 2016 Upgraded to Baa3 (sf) Cl. 2-A-2, Upgraded to Baa1 (sf); previously on Oct 28, 2016 Upgraded to Baa3 (sf) Cl. 2-A-X, Upgraded to Baa1 (sf); previously on Oct 28, 2016 Upgraded to Baa3 (sf) Cl. 3-A-1, Upgraded to Baa3 (sf); previously on Oct 28, 2016 Upgraded to Ba1 (sf) Cl. 3-A-X, Upgraded to Baa3 (sf); previously on Oct 28, 2016 Upgraded to Ba1 (sf) Cl. 4-A-1, Upgraded to Baa1 (sf); previously on Oct 28, 2016 Upgraded to Baa3 (sf) Cl. 4-A-3, Upgraded to Baa1 (sf); previously on Oct 28, 2016 Upgraded to Baa3 (sf) Cl. 4-A-X, Upgraded to Baa1 (sf); previously on Oct 28, 2016 Upgraded to Baa3 (sf) Cl. 5-A-1, Upgraded to Baa1 (sf); previously on Oct 28, 2016 Upgraded to Baa3 (sf) Cl. 6-A-1, Upgraded to Baa1 (sf); previously on Oct 28, 2016 Upgraded to Baa3 (sf) Cl. 7-M-1, Upgraded to Aa3 (sf); previously on Oct 28, 2016 Upgraded to A3 (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2004-18CB Cl. 1-A-1, Upgraded to Baa3 (sf); previously on Oct 27, 2016 Upgraded to Ba1 (sf) Cl. 2-A-8, Upgraded to Baa3 (sf); previously on Oct 27, 2016 Upgraded to Ba1 (sf) Cl. 3-A-1, Upgraded to Baa1 (sf); previously on Oct 27, 2016 Upgraded to Baa2 (sf) Cl. 4-A-1, Upgraded to Baa3 (sf); previously on Oct 27, 2016 Upgraded to Ba1 (sf) Cl. 5-A-1, Upgraded to Baa3 (sf); previously on Oct 27, 2016 Upgraded to Ba1 (sf) Cl. 5-A-2, Upgraded to Ba2 (sf); previously on Oct 27, 2016 Upgraded to Ba3 (sf) Issuer: Deutsche Mortgage Securities, Inc. Mortgage Loan Trust, Series 2004-5 Cl. A-4B, Upgraded to Ba1 (sf); previously on Oct 28, 2016 Upgraded to Ba3 (sf) Cl. A-4A, Current rating Ba3 (sf), previously on October 28, 2016 Upgraded to Ba3 (sf) Underlying Rating: Upgraded to Ba1 (sf); previously on Oct 28, 2016 Upgraded to Ba3 (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Cl. A-5B, Current rating Ba1 (sf), previously on October 28, 2016 Upgraded to Ba1 (sf) Underlying Rating: Upgraded to Baa2 (sf); previously on Oct 28, 2016 Upgraded to Ba1 (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Issuer: GSAA Home Equity Trust 2004-11 Cl. 1A1, Upgraded to Aaa (sf); previously on Oct 28, 2016 Upgraded to Aa1 (sf) Cl. 2A1, Upgraded to Aaa (sf); previously on Oct 28, 2016 Upgraded to Aa1 (sf) Cl. 2A2, Upgraded to Aaa (sf); previously on Oct 28, 2016 Upgraded to Aa1 (sf) Cl. 2A3, Upgraded to Aa1 (sf); previously on Oct 28, 2016 Upgraded to Aa3 (sf) Cl. M-1, Upgraded to Ba1 (sf); previously on Oct 28, 2016 Upgraded to Ba3 (sf) RATINGS RATIONALE Today's rating actions reflect the recent performance of the underlying pools and Moody's updated loss expectations on those pools. Today's rating upgrades are primarily due to improvement of credit enhancement available to the bonds and expected loss on the collateral. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in January 2017. Additionally, the methodology used in rating CSFB Adjustable Rate Mortgage Trust 2004-2 Cl. 2-A-X, Cl. 3-A-X, and Cl. 4-A-X was "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. Please see the Rating Methodologies page on www.moodys.com for a copy of this methodology. Factors that would lead to an upgrade or downgrade of the ratings: Ratings in the US RMBS sector remain exposed to the high level of macroeconomic uncertainty, and in particular the unemployment rate. The unemployment rate fell to 4.4% in August 2017 from 4.9% in August 2016. Moody's forecasts an unemployment central range of 4.5% to 5.5% for the 2017 year. Deviations from this central scenario could lead to rating actions in the sector. House prices are another key driver of US RMBS performance. Moody's expects house prices to continue to rise in 2017. Lower increases than Moody's expects or decreases could lead to negative rating actions. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. [*] Moody's Takes Action on $946MM of RMBS Issued 2004-2007 ----------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 50 tranches, and downgraded the rating of one tranche, from 21 transactions issued by various issuers. Complete rating actions are: Issuer: ABFC Asset-Backed Certificates, Series 2005-HE1 Cl. M-3, Upgraded to Caa1 (sf); previously on Oct 14, 2016 Upgraded to Caa3 (sf) Issuer: Ameriquest Mortgage Securities Inc., Series 2005-R1 Cl. M-3, Upgraded to Ba2 (sf); previously on Feb 23, 2015 Upgraded to Ba3 (sf) Cl. M-4, Upgraded to Ba3 (sf); previously on Dec 22, 2015 Upgraded to B1 (sf) Issuer: Bear Stearns Asset Backed Securities I Trust 2005-AQ2 Cl. A-3, Upgraded to Aaa (sf); previously on Oct 21, 2016 Upgraded to Aa1 (sf) Cl. M-1, Upgraded to B1 (sf); previously on Oct 21, 2016 Upgraded to B3 (sf) Issuer: Bear Stearns Asset Backed Securities I Trust 2005-HE4 Cl. M-2, Downgraded to B1 (sf); previously on Oct 14, 2016 Upgraded to Ba3 (sf) Cl. M-3, Upgraded to Ca (sf); previously on Mar 14, 2013 Affirmed C (sf) Issuer: Bear Stearns Asset Backed Securities I Trust 2006-HE2 Cl. I-A-2, Upgraded to Aaa (sf); previously on Oct 14, 2016 Upgraded to Aa1 (sf) Cl. I-A-3, Upgraded to Aaa (sf); previously on Oct 14, 2016 Upgraded to Aa2 (sf) Cl. II-A, Upgraded to Aaa (sf); previously on Oct 14, 2016 Upgraded to Aa2 (sf) Cl. M-1, Upgraded to B1 (sf); previously on Oct 14, 2016 Upgraded to B3 (sf) Issuer: CSFB Home Equity Asset Trust 2005-7 Cl. M-1, Upgraded to Aa1 (sf); previously on Oct 21, 2016 Upgraded to A1 (sf) Cl. M-2, Upgraded to Caa1 (sf); previously on Oct 21, 2016 Upgraded to Caa3 (sf) Issuer: CWABS Asset-Backed Certificates Trust 2004-10 Cl. MF-1, Upgraded to Ba3 (sf); previously on Oct 12, 2016 Upgraded to B2 (sf) Cl. MF-2, Upgraded to Ca (sf); previously on Feb 28, 2013 Affirmed C (sf) Cl. MV-3, Upgraded to Ba2 (sf); previously on Oct 12, 2016 Upgraded to B1 (sf) Cl. MV-4, Upgraded to Caa3 (sf); previously on Feb 28, 2013 Affirmed C (sf) Issuer: CWABS Asset-Backed Certificates Trust 2004-12 Cl. MF-1, Upgraded to B2 (sf); previously on Oct 12, 2016 Upgraded to Caa1 (sf) Cl. MV-4, Upgraded to Ba1 (sf); previously on Oct 12, 2016 Upgraded to B1 (sf) Cl. MV-5, Upgraded to Ba3 (sf); previously on Oct 12, 2016 Upgraded to B2 (sf) Issuer: CWABS Asset-Backed Certificates Trust 2004-14 Cl. M-3, Upgraded to Ba1 (sf); previously on Oct 12, 2016 Upgraded to Ba3 (sf) Issuer: CWABS Asset-Backed Certificates Trust 2004-15 Cl. MF-1, Upgraded to Ba3 (sf); previously on Oct 12, 2016 Confirmed at B1 (sf) Cl. MF-2, Upgraded to B1 (sf); previously on Oct 12, 2016 Upgraded to B3 (sf) Cl. MF-3, Upgraded to B3 (sf); previously on Apr 16, 2012 Downgraded to C (sf) Cl. MV-4, Upgraded to Ba1 (sf); previously on Oct 12, 2016 Upgraded to Ba3 (sf) Cl. MV-5, Upgraded to Ba3 (sf); previously on Oct 12, 2016 Upgraded to B1 (sf) Issuer: CWABS Asset-Backed Certificates Trust 2004-AB2 Cl. M-2, Upgraded to Ba3 (sf); previously on Oct 19, 2016 Upgraded to B1 (sf) Issuer: CWABS Asset-Backed Certificates Trust 2006-9 Cl. 2-AV, Upgraded to Ba1 (sf); previously on Oct 19, 2016 Upgraded to B2 (sf) Cl. 3-AV-3, Upgraded to Ba3 (sf); previously on Oct 19, 2016 Upgraded to B2 (sf) Issuer: CWABS, Inc. Asset-Backed Certificates, Series 2004-2 Cl. M-1, Upgraded to Ba1 (sf); previously on Oct 12, 2016 Upgraded to Ba2 (sf) Cl. M-2, Upgraded to B1 (sf); previously on Oct 12, 2016 Upgraded to Caa2 (sf) Cl. M-3, Upgraded to Caa1 (sf); previously on Oct 12, 2016 Upgraded to Ca (sf) Cl. M-4, Upgraded to Ca (sf); previously on Apr 16, 2012 Downgraded to C (sf) Issuer: CWABS, Inc. Asset-Backed Certificates, Series 2004-3 Cl. M-1, Upgraded to Ba3 (sf); previously on Oct 12, 2016 Confirmed at B1 (sf) Cl. M-2, Upgraded to Caa1 (sf); previously on Oct 12, 2016 Confirmed at Ca (sf) Issuer: CWABS, Inc. Asset-Backed Certificates, Series 2004-4 Cl. M-1, Upgraded to Ba2 (sf); previously on Oct 12, 2016 Confirmed at B1 (sf) Cl. M-2, Upgraded to B2 (sf); previously on Oct 12, 2016 Confirmed at Caa3 (sf) Cl. M-3, Upgraded to Caa2 (sf); previously on Apr 16, 2012 Downgraded to C (sf) Issuer: CWABS, Inc. Asset-Backed Certificates, Series 2004-7 Cl. MF-1, Upgraded to Ba3 (sf); previously on Oct 19, 2016 Confirmed at B1 (sf) Cl. MF-2, Upgraded to B3 (sf); previously on Oct 19, 2016 Upgraded to Caa2 (sf) Issuer: CWABS, Inc. Asset-Backed Certificates, Series 2004-9 Cl. MF-1, Upgraded to Ba2 (sf); previously on Oct 17, 2016 Upgraded to B1 (sf) Cl. MV-3, Upgraded to Ba1 (sf); previously on Oct 17, 2016 Upgraded to B1 (sf) Cl. MV-4, Upgraded to Ca (sf); previously on Mar 5, 2013 Affirmed C (sf) Issuer: CWABS, Inc., Asset-Backed Certificates, Series 2004-BC5 Cl. M-3, Upgraded to Baa3 (sf); previously on Oct 19, 2016 Confirmed at Ba1 (sf) Cl. M-4, Upgraded to Ba2 (sf); previously on Oct 19, 2016 Upgraded to B1 (sf) Issuer: New Century Home Equity Loan Trust, Series 2004-3 Cl. M-4, Upgraded to B2 (sf); previously on Dec 17, 2015 Upgraded to Caa1 (sf) Cl. M-5, Upgraded to Caa2 (sf); previously on Mar 18, 2011 Downgraded to C (sf) Issuer: Structured Asset Investment Loan Trust 2005-9 Cl. A1, Upgraded to Aaa (sf); previously on Oct 21, 2016 Upgraded to Aa2 (sf) Cl. A3, Upgraded to Aaa (sf); previously on Oct 21, 2016 Upgraded to A1 (sf) Cl. M1, Upgraded to Ba3 (sf); previously on Oct 21, 2016 Upgraded to B1 (sf) Issuer: Structured Asset Securities Corp Trust 2007-MLN1 Cl. A2, Upgraded to Aaa (sf); previously on Dec 4, 2015 Upgraded to A1 (sf) RATINGS RATIONALE The upgrades are primarily due to the total credit enhancement available to the bonds. Additionally, the upgrade for Structured Asset Securities Corp Trust 2007-MLN1, Class A2, is due to reduced risk of future interest shortfall as the bond continues to receive principal payments. The downgrade for Bear Stearns Asset Backed Securities I Trust 2005-HE4, Class M-2, is primarily due to a recent interest shortfall which is unlikely to be recouped. The actions reflect the recent performance of the underlying pools and Moody's updated loss expectations on the pools. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in January 2017. Factors that would lead to an upgrade or downgrade of the ratings: Ratings in the US RMBS sector remain exposed to the high level of macroeconomic uncertainty, and in particular the unemployment rate. The unemployment rate fell to 4.4% in August 2017 from 4.9% in August 2016. Moody's forecasts an unemployment central range of 4.5% to 5.5% for the 2017 year. Deviations from this central scenario could lead to rating actions in the sector. House prices are another key driver of US RMBS performance. Moody's expects house prices to continue to rise in 2017. Lower increases than Moody's expects or decreases could lead to negative rating actions. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. [*] S&P Completes Review on 38 Classes From 15 US RMBS Deals ------------------------------------------------------------ S&P Global Ratings completed its review of 38 classes from 15 U.S. residential mortgage-backed securities (RMBS) transactions issued between 1997 and 2005. All of these transactions are backed by subprime collateral. The review yielded seven upgrades, four downgrades, 24 affirmations, and three discontinuances. Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by our projected cash flows. These considerations are based on transaction-specific performance or structural characteristics (or both) and their potential effects on certain classes. Some of these considerations include: -- Collateral performance/delinquency trends; -- Historical interest shortfalls or missed interest payments; -- Proportion of reperforming loans in the pool; -- Available subordination and/or overcollateralization. Rating Actions Please see the ratings list for the rationales for classes with rating transitions. 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. Class M-1 from Bear Stearns Asset-Backed Securities Trust 2003-HE1 was downgraded to 'BB+ (sf)' from 'AA (sf)' because of a missed interest payment that will likely not be reimbursed at higher rating levels. The missed interest payment has been outstanding since June 2017. S&P said, "We raised the rating on class A-8 from Amresco Residential Securities Corp. Mortgage Loan Trust 1997-3 to 'B (sf)' from 'D (sf)' because the bond is no longer in default. Previously we downgraded this class to 'D (sf)' because of missed interest payments that have since been reimbursed. A recent missed interest payment in the August 2017 distribution was partially reimbursed in September 2017. The class has not experienced any writedowns and it is not projected to take writedowns. Furthermore, any future or currently outstanding missed interest payments are projected for full reimbursement under the current rating scenario." A list of the Affected Ratings is available at: http://bit.ly/2xS6ppk [*] S&P Completes Review on 56 Classes From 14 US RMBS Deals ------------------------------------------------------------ S&P Global Ratings completed its review of 56 classes from 13 U.S. residential mortgage-backed securities (RMBS) and one resecuritized real estate mortgage investment conduits (re-REMIC) transactions issued between 2000 and 2009. All of these transactions are backed by mixed collateral. The review yielded five upgrades, 13 downgrades (including two with ratings removed from CreditWatch negative), 36 affirmations, and two discontinuances. 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; -- Underlying collateral performance; -- Historical interest shortfalls or missed interest payments; -- Loan modification criteria; -- Tail risk; 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. S&P said, "We lowered and removed from CreditWatch negative our ratings on class M-1 from Bear Stearns Asset Backed Securities Trust 2003-2 to 'B- (sf)' from 'BB+ (sf)' and on class M-1 from ACE Securities Corp. Home Equity Loan Trust Series 2005-SD3 to 'CCC (sf)' from 'BB+ (sf)' after assessing the impact of missed interest payments on these classes. We placed these ratings on CreditWatch negative on Aug. 1, 2017, because of recent missed interest payments (see "Various Rating Actions Taken On 39 Classes From 34 U.S. RMBS Transactions"). These downgrades are based on our cash flow projections used in determining the likelihood that the missed interest payments would be reimbursed under various scenarios, as these classes received additional compensation for outstanding missed interest payments." A list of Affected Ratings can be viewed at: http://bit.ly/2xctPXA [*] S&P Completes Review on 58 Classes From 9 US RMBS Deals ----------------------------------------------------------- S&P Global Ratings completed its review of 58 classes from nine U.S. residential mortgage-backed securities (RMBS) transactions issued between 2003 and 2005. All of these transactions are backed by alternative-A collateral. The review yielded three upgrades, 16 downgrades, 35 affirmations, and four discontinuances. S&P removed one of the lowered ratings and one of the affirmed ratings from CreditWatch negative. S&P said, "We lowered our rating on class M-1 from MASTR Alternative Loan Trust 2004-9 to 'CCC (sf)' from 'BBB- (sf)' and removed it from Creditwatch negative. The class had a partial missed interest payment in the March 2017 distribution, and we believe the ultimate payment of this missed interest is unlikely under any of our projected cash flow scenarios." Analytical Considerations S&P incorporated various considerations into our 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; -- Change in the constant prepayment rate; -- Available subordination and/or overcollateralization; and -- Payment priority 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/2yDvIZt [*] S&P Completes Review on 60 Classes From Six US RMBS Deals ------------------------------------------------------------- S&P Global Ratings completed its review of 60 classes from six U.S. residential mortgage-backed securities (RMBS) transactions issued between 2002 and 2005. All of these transactions are backed by a mix of collateral. The review yielded 17 downgrades, 16 affirmations, 24 discontinuances and three withdrawals. Analytical Considerations S&P said, "We incorporate various considerations into our decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by our projected cash flows. These considerations are based on transaction-specific performance or structural characteristics (or both) and their potential effects on certain classes." Some of these considerations include: -- Collateral performance/delinquency trends; -- Historical interest shortfalls; -- Priority of principal payments; -- Proportion of reperforming loans in the pool; -- Tail risk; -- Available subordination and/or overcollateralization; -- Principal-only criteria; and -- Interest-only criteria. Rating Actions Please see the ratings list for the rationales for classes with rating transitions. 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/2xa2RLp [*] S&P Discontinues 'D(sf)' Ratings on Three US CMBS Deals ----------------------------------------------------------- S&P Global Ratings discontinued its 'D (sf)' ratings on three classes from three U.S. commercial mortgage-backed securities transactions. S&P said, "We discontinued these ratings according to our surveillance and withdrawal policy. We had previously lowered the ratings on these classes to 'D (sf)' because of principal losses and/or accumulated interest shortfalls that we believed would remain outstanding for an extended period of time. We view a subsequent upgrade to a rating higher than 'D (sf)' to be unlikely under the relevant criteria for the classes within this review." RATINGS DISCONTINUED Wachovia Bank Commercial Mortgage Trust Rating Series Class To From 2003-C6 O NR D (sf) 2006-C23 H NR D (sf) Credit Suisse First Boston Mortgage Securities Corp. Rating Series Class To From 2003-C5 K NR D (sf) ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers public debt and equity securities about which we report. Each Tuesday edition of the TCR contains a list of companies with insolvent balance sheets whose shares trade higher than $3 per share in public markets. At first glance, this list may look like the definitive compilation of stocks that are ideal to sell short. Don't be fooled. Assets, for example, reported at historical cost net of depreciation may understate the true value of a firm's assets. A company may establish reserves on its balance sheet for liabilities that may never materialize. The prices at which equity securities trade in public market are determined by more than a balance sheet solvency test. On Thursdays, the TCR delivers a list of recently filed Chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/books/to order any title today. Monthly Operating Reports are summarized in every Saturday edition of the TCR. The Sunday TCR delivers securitization rating news from the week then-ending. TCR subscribers have free access to our on-line news archive. Point your Web browser to http://TCRresources.bankrupt.com/and use the e-mail address to which your TCR is delivered to login. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter is a daily newsletter co-published by Bankruptcy Creditors Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., USA. Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Valerie Udtuhan, Howard C. Tolentino, Carmel Paderog, Meriam Fernandez, Joel Anthony G. Lopez, Cecil R. Villacampa, Sheryl Joy P. Olano, Psyche A. Castillon, Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2017. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. The TCR subscription rate is $975 for 6 months delivered via e-mail. Additional e-mail subscriptions for members of the same firm for the term of the initial subscription or balance thereof are $25 each. For subscription information, contact Peter A. Chapman at 215-945-7000 or Nina Novak at 202-362-8552. *** End of Transmission ***