/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/171126.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, November 26, 2017, Vol. 21, No. 329 Headlines ANGEL OAK 2017-3: Fitch to Rate Class B-2 Certificates 'B-sf' ANSONIA CDO 2006-1: Moody's Affirms C(sf) Ratings on 7 Tranches ARES CLO XXXVII: Moody's Assigns B3 Rating to Cl. E-R Certificates ATLAS SENIOR III: S&P Assigns BB-(sf) Rating on Class E-R Notes ATRIUM XII: S&P Assigns B(sf) Rating on Class F-R Notes BANC OF AMERICA 2006-1: S&P Raises Class E Certs Rating to BB+(sf) CAN CAPITAL 2014-1: S&P Rates Class B Notes 'CCC', On Watch Neg. CIFC FUNDING 2017-V: Moody's Assigns Ba3 Rating to Class D Notes CITIGROUP 2016-P6: Fitch Affirms B-sf Rating on Class F Certs CREDIT SUISSE 2016-C7: Fitch Affirms B-sf Rating on Cl. X-F Certs CWCAPITAL COBALT: Moody's Affirms C(sf) Ratings on 7 Tranches FANNIE MAE 2017-C07: Fitch Assigns 'Bsf' Ratings on 38 Tranches GERMAN AMERICAN 2016-CD2: Fitch Affirms B- Rating on Cl. F Certs GOLUB CAPITAL 23: Moody's Assigns (P)Ba3 Rating to Cl. E-R Notes HALCYON LOAN 2017-2: Moody's Assigns Ba3 Rating to Class D Notes JP MORGAN 2005-LDP5: Moody's Affirms Ba3 Rating on Class G Debt JP MORGAN 2016-ASH: Moody's Affirms B3 Rating on Class F Certs JP MORGAN 2016-WSP: Moody's Affirms B3 Rating on Class F Certs MARATHON CLO V: S&P Assigns BB-(sf) Rating on Class D-R Notes MERRILL LYNCH 2004-BPC1: Fitch Affirms 'Dsf' Rating on Cl. F Certs MORGAN STANLEY 2008-TOP29: Fitch Lowers Ratings on 3 Tranches to C NELNET EDUCATION 2004-1: Fitch Corrects November 16 Release NELNET STUDENT 2005-4: Fitch Affirms 'BBsf' Ratings on 4 Tranches NEUBERGER BERMAN XX: Moody's Assigns B2 Rating to Class F-R Notes ONEMAIN DIRECT 2016-1: Moody's Hikes Cl. D Debt Rating From Ba1 RESIDENTIAL REINSURANCE 2017: S&P Rates Class 3 Notes 'B-(sf)' SALOMON BROTHERS 2000-C3: Moody's Affirms C Rating on Cl. X Certs SARANAC CLO VII: Moody's Assigns Ba3 Rating to Class E-R Notes SASCO 2007-BHC1: Moody's Affirms C Rating on Class A-1 Certs SATURNS SEARS 2003-1: Moody's Lowers Rating on $60.19MM Notes to Ca SDART 2017-1: Moody's Hikes Class E Notes Rating to Ba2 SLC STUDENT 2004-1: Fitch Affirms B-sf Rating on 2 Tranches SLM STUDENT 2012-5: Fitch Affirms 'Bsf' Rating on Class B Notes TOWD POINT: Moody's Assigns Ratings to $1.3BB of Reperforming RMBS WAVE LLC 2017-1: S&P Assigns BB Rating on $480.07MM Class C Notes WELLS FARGO 2012-C6: Fitch Affirms 'Bsf' Rating on Class F Certs [*] Moody's Hikes $1.465BB of Subprime RMBS Issued 2002-2007 [*] Moody's Takes Action on $198.7MM of RMBS Issued 2001-2007 [*] S&P Takes Various Action on 50 Classes From Nine US RMBS Deals [*] S&P Takes Various Actions on 105 Classes From 8 US RMBS Deals [*] S&P Takes Various Actions on 26 Classes From 12 US RMBS Deals [*] S&P Takes Various Actions on 52 Classes From 11 US RMBS Deals [*] S&P Withdraws Ratings on 80 Classes From 12 U.S. RMBS Deals ********* ANGEL OAK 2017-3: Fitch to Rate Class B-2 Certificates 'B-sf' ------------------------------------------------------------- Fitch Ratings expects to rate Angel Oak Mortgage Trust I, LLC 2017-3 (AOMT 2017-3) as follows: -- $112,961,000 class A-1 certificates 'AAAsf'; Outlook Stable; -- $24,799,000 class A-2 certificates 'AAsf'; Outlook Stable; -- $27,742,000 class A-3 certificates 'Asf'; Outlook Stable; -- $17,443,000 class M-1 certificates 'BBB-sf'; Outlook Stable; -- $10,823,000 class B-1 certificates 'BB-sf'; Outlook Stable; -- $8,091,000 class B-2 certificates 'B-sf'; Outlook Stable. The following classes will not be rated by Fitch: -- $8,301,728 class B-3 certificates. The 'AAAsf' for AOMT 2017-3 reflects the satisfactory operational review conducted by Fitch of the originators, 100% loan-level due diligence review with no material findings, a Tier 2 representation and warranty framework, and the transaction's structure. TRANSACTION SUMMARY The transaction is collateralized with 84% non-qualified (Non-QM) mortgages as defined by the Ability-to-Repay rule (ATR) while 1% is designated as higher-priced QMs (HPQMs) and the remainder comprises business purpose loans not subject to ATR. The certificates are supported by a pool of 691 mortgage loans with a weighted average original credit score of 695 and a weighted average original combined loan to value ratio (CLTV) of 77.7%. Roughly 35% consists of borrowers with prior credit events, 3% are foreign nationals and 4% are second lien loans. In addition, approximately 32% comprise loans to self-employed borrowers underwritten to a 24-month bank statement program and 3% was made to self-employed borrowers underwritten to a 12-month bank statement program. Hundred percent loan level due diligence was performed to confirm adherence to guidelines and controls, and the transaction also benefits from an alignment of interest as Angel Oak Real Estate Investment Trust I (Angel Oak REIT I) or a majority owned affiliate, will be retaining a vertical and horizontal interest in the transaction equal to not less than 5% of the aggregate fair market value of all the certificates in the transaction. The loan-level reps for this transaction are substantially consistent with Fitch criteria; however, the lack of an automatic review for loans other than those with ATR realized loss and the nature of the prescriptive breach tests, which limit the breach reviewers ability to identify or respond to issues not fully anticipated at closing, resulted in a Tier 2 framework. Fitch increased its probability of default expectations (409 bps at the 'AAAsf' rating category) to mitigate the limitations of the framework and the non-investment-grade counterparty risk of the providers. Initial credit enhancement for the class A-1 certificates of 46.25% is substantially above Fitch's 'AAAsf' rating stress loss of 34.75%. The additional initial credit enhancement is primarily driven by the pro rata principal distribution between the A-1, A-2 and A-3 certificates, which will result in a significant reduction of the class A-1 subordination over time through principal payments to the A-2 and A-3. KEY RATING DRIVERS Nonprime Credit Quality (Negative): The pool has a weighted average (WA) model credit score of 695 and WA original combined loan-to-value ratio (CLTV) of 77.7%. Roughly 35% consists of borrowers with prior credit events, 3% are foreign nationals and 4% are second lien loans. Thirty-one loans experienced a delinquency since origination, 24 of which were due to servicer transfer issues. Approximately 32% was made to self-employed borrowers underwritten to a 24-month bank statement program and 3% was made to self-employed borrowers underwritten to a 12-month bank statement program. Fitch applied default penalties to account for these attributes and loss severity was adjusted to reflect the increased risk of ATR challenges and loans with TILA RESPA Integrated Disclosure (TRID) exceptions. Satisfactory Originator Review and Track Record (Positive): Fitch conducted an operational review of AOMS and AOHL and assessed them as Average based on the companies' seasoned management team and extensive nonprime mortgage experience, a comprehensive sourcing strategy and sound underwriting and risk management practices. AOHL (retail platform) commenced agency loan originations in 2011 and ramped up its nonprime business in 2012. Correspondent and broker originations are conducted by AOMS, which began operations in 2014. Solid Due Diligence Results (Positive): Third-party loan-level due diligence was performed on 100% of the pool, the results of which generally reflect sound underwriting and operational controls. Of the 593 loans subject to consumer compliance testing (502 of which were subject to TRID), 14 were assigned 'C' grades due to material noncompliance with TRID. High Investor Property Concentration (Negative): Approximately 15% of the pool comprises investment properties, 6% of which were originated through the originators' investor cash flow program that targets real estate investors qualified on a cash flow ratio basis. While the borrower's credit score and LTV are used in the underwriting of the cash flow loans, the ratio of mortgage principal, interest, taxes, insurance and homeowner association dues as a percentage of market rent, which averages 74%, determines the debt-to-rent (DTR) ratio. Since Fitch's model was developed using a debt-to-income (DTI) ratio, in its analysis, Fitch mapped the DTR to a DTI ratio of comparable credit risk. The remaining investor properties were underwritten to borrower DTIs. Bank Statement Loans Included (Concern): Approximately 35% of the pool (173 loans) was made to self-employed borrowers underwritten to a bank statement program (32% was underwritten to a 24-month bank statement program and 3% to a 12-month bank statement program) for verifying income in accordance with either AOHL or AOMS' guidelines, which is not consistent with Appendix Q standards and Fitch's view of a full documentation program. While employment is fully verified and assets partially confirmed, the limited income verification resulted in application of a probability of default (PD) penalty of approximately 1.5 times (x) for the bank statement loans at the 'AAAsf' rating category. Additionally, Fitch's assumed probability of ATR claims was doubled, which increased the loss severity. R&W Framework (Mixed): As sponsor, the REIT, Angel Oak Real Estate Investment Trust I, (Angel Oak REIT I) will be providing loan-level representations (reps) and warranties (R&W) to the trust. If the REIT is no longer an ongoing business concern, it will assign to the trust its rights under the mortgage loan purchase agreements with the originators, which include repurchase remedies for rep and warranty breaches. While the loan-level reps for this transaction are substantially consistent with a Tier I framework, the lack of an automatic review for loans other than those with ATR realized loss and the nature of the prescriptive breach tests, which limit the breach reviewers ability to identify or respond to issues not fully anticipated at closing, resulted in a Tier 2 framework. Fitch increased its probability of default expectations (409 bps at the 'AAAsf' rating category) to mitigate the limitations of the framework and the non-investment-grade counterparty risk of the providers. Alignment of Interests (Positive): The transaction benefits from an alignment of interests between the issuer and investors. Angel Oak REIT I as sponsor and securitizer, or an affiliate will retain a vertical and horizontal interest in the transaction equal to not less than 5% of the aggregate fair market value of all certificates in the transaction. As part of its focus on investing in residential mortgage credit, as of the closing date, Angel Oak REIT I and Angel Oak Strategic Mortgage Income Master Fund, Ltd., as co-sponsor, will retain the class B-1, B-2, B-3 and XS certificates. Lastly, the reps and warranties are provided by Angel Oak REIT I, or the originators in the event the REIT ceases operations, which aligns their interests with those of investors to maintain high quality origination standards and sound performance. Modified Sequential Payment Structure (Mixed): The structure distributes collected principal pro rata among the class A notes while shutting out the subordinate bonds from principal until all three classes have been reduced to zero. To the extent that either the cumulative loss trigger event or the delinquency trigger event occurs in a given period, principal will be distributed sequentially to the class A-1, A-2 and A-3 bonds until they are reduced to zero. Performance Triggers (Mixed): The amount of initial credit enhancement (CE) needed to pass rating stress scenarios is sensitive to the delinquency trigger assumption. Under Fitch's standard 'AAAsf' and 'AAsf' stress scenarios, the transaction reverts to a straight sequential pay relatively quickly due to the delinquency trigger, benefiting the senior classes. Additional non-standard scenarios were analyzed to stress the sensitivity of the delinquency trigger, which resulted in roughly a 600-bp and 350-bp-increase to the 'AAAsf' and 'AAsf' initial CE levels, respectively, compared to levels using Fitch's standard default timing scenarios. Servicing and Master Servicer (Positive): Select Portfolio Servicing (SPS), rated 'RPS1-'/Stable by Fitch, will be the primary servicer. Wells Fargo Bank, N.A. (Wells Fargo), rated 'RMS1'/Stable, will act as master. Advances required but not paid by SPS will be paid by Wells Fargo. Fitch does not rate any primary servicer higher than SPS and does not rate any Master Servicer higher than Wells Fargo. Recent Natural Disasters (Neutral): Property inspections were ordered for all loans located in the Hurricane Harvey, Hurricane Irma and California wildfire related FEMA-designated disaster areas (257 loans). For 252 loans, the inspections showed no property damage. For the remaining 5 loans (all of which are located in Hurricane Irma disaster areas), the inspections showed immaterial damage (less than $3,000/property) and these loans remain in the pool. RATING SENSITIVITIES Fitch's analysis incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. 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 may be considered in the surveillance of the transaction. Two sets of sensitivity analyses were conducted at the state and national levels to assess the effect of higher MVDs for the subject pool. This defined stress sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20%, and 30%, in addition to the model projected 6.7%. The analysis indicates that 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'. ANSONIA CDO 2006-1: Moody's Affirms C(sf) Ratings on 7 Tranches --------------------------------------------------------------- Moody's has affirmed the ratings on the following classes of notes issued by Ansonia CDO 2006-1 Ltd.: Cl. A-FL, Affirmed Caa3 (sf); previously on Dec 1, 2016 Affirmed Caa3 (sf) Cl. A-FX, Affirmed Caa3 (sf); previously on Dec 1, 2016 Affirmed Caa3 (sf) Cl. B, Affirmed C (sf); previously on Dec 1, 2016 Affirmed C (sf) Cl. C, Affirmed C (sf); previously on Dec 1, 2016 Affirmed C (sf) Cl. D, Affirmed C (sf); previously on Dec 1, 2016 Affirmed C (sf) Cl. E, Affirmed C (sf); previously on Dec 1, 2016 Affirmed C (sf) Cl. F, Affirmed C (sf); previously on Dec 1, 2016 Affirmed C (sf) Cl. G, Affirmed C (sf); previously on Dec 1, 2016 Affirmed C (sf) Cl. H, Affirmed C (sf); previously on Dec 1, 2016 Affirmed C (sf) The Class A-FL, Class A-FX, Class B, Class C, Class D, Class E, Class F, Class G, and Class H Notes are referred to herein as the "Rated Notes". RATINGS RATIONALE Moody's has affirmed the Rated Notes because key transaction metrics are commensurate with the existing ratings. The increase in credit quality of the outstanding collateral pool, as evidenced by WARF, did not more than offset the cumulative implied losses to the transaction; resulting in the affirmations. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO and Re-Remic) transactions. Ansonia CDO 2006-1 Ltd. is a static cash transaction backed by a portfolio of commercial mortgage backed securities (CMBS) issued between 2004 and 2005. As of the October 31, 2017 payment date, the aggregate note balance of the transaction, including preferred shares, has decreased to $579.0 million from $806.7 million at issuance, with the pay-down now directed to the senior most outstanding classes of notes, as a result of full and partial amortization of the underlying collateral, and interest proceeds being reclassified as principal proceeds on credit impaired securities. In addition, implied losses to the collateral total $499.6 since issuance. Moody's has identified the following as key indicators of the expected loss in CRE CDO transactions: the weighted average rating factor (WARF), the weighted average life (WAL), the weighted average recovery rate (WARR), and Moody's asset correlation (MAC). Moody's typically models these as actual parameters for static deals and as covenants for managed deals. WARF is a primary measure of the credit quality of a CRE CDO pool. Moody's has updated its assessments for the collateral it does not rate. The rating agency modeled a bottom-dollar WARF of 3399, compared to 5455 at last review. The current ratings on the Moody's-rated reference obligations and the assessments of the non-Moody's rated reference obligations follow: Aaa-Aa3 and 19.6% compared to 12.8% at last review; A1-A3 and 7.9% compared to 1.9% at last review: Baa1-Baa3 and 9.3% compared to 7.0% at last review; Ba1-Ba3 and 15.9% compared to 6.4% at last review; B1-B3 and 17.5% compared to 20.4% at last review; and Caa1-Ca/C and 29.8% compared to 51.5% at last review. Moody's modeled a WAL of 2.5 years, compared to 2.8 year at last review. The WAL is based on extension assumptions about the look-through loans within the underlying CMBS collateral. Moody's modeled a fixed WARR of 0.0%, the same as at last review. Moody's modeled a MAC of 12.6%, compared to 15.8% at last review. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Approach to Rating SF CDOs" published in June 2017. Factors that would lead to an upgrade or downgrade of the ratings: The performance of the 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 servicing decisions and management of the transaction will also affect the performance of the Rated Notes. Moody's Parameter Sensitivities: Changes to any one or more of the key parameters could have rating implications for the Rated Notes, although a change in one key parameter assumption could be offset by a change in one or more of the other key parameter assumptions. The Rated Notes are particularly sensitive to changes in the recovery rates of the underlying collateral and credit assessments. Increasing the recovery rate of 100% of the collateral pool by +10.0% would result in an average modeled rating movement on the rated notes of zero to 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. ARES CLO XXXVII: Moody's Assigns B3 Rating to Cl. E-R Certificates ------------------------------------------------------------------ Moody's Investors Service has assigned the following ratings to the following notes (the "Refinancing Notes") issued by Ares XXXVII CLO Ltd.: US$448,000,000 Class A-1-R Senior Floating Rate Notes Due 2030 (the "Class A-1-R Notes"), Assigned Aaa (sf) US$14,000,000 Class A-2-R Senior Floating Rate Notes Due 2030 (the "Class A-2-R Notes"), Assigned Aaa (sf) US$66,500,000 Class A-3-R Senior Floating Rate Notes Due 2030 (the "Class A-3-R Notes"), Assigned Aa2 (sf) US$38,500,000 Class B-R Mezzanine Deferrable Floating Rate Notes Due 2030 (the "Class B-R Notes"), Assigned A2 (sf) US$42,000,000 Class C-R Mezzanine Deferrable Floating Rate Notes Due 2030 (the "Class C-R Notes"), Assigned Baa3 (sf) US$35,000,000 Class D-R Mezzanine Deferrable Floating Rate Notes Due 2030 (the "Class D-R Notes"), Assigned Ba3 (sf) US$14,000,000 Class E-R Mezzanine Deferrable Floating Rate Notes Due 2030 (the "Class E-R Notes"), Assigned B3 (sf) The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of senior secured, broadly syndicated corporate loans. Ares CLO Management LLC (the "Manager") manages the CLO. It directs the selection, acquisition, and disposition of collateral on behalf of the Issuer. RATINGS RATIONALE Moody's ratings on the Refinancing Notes address the expected losses posed to noteholders. The ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. The Issuer has issued the Refinancing Notes on November 16, 2017 (the "Refinancing Date") in connection with the refinancing of all classes of the secured notes (the "Refinanced Original Notes") previously issued on October 30, 2015 (the "Original Closing Date"). On the Refinancing Date, the Issuer used proceeds from the issuance of the Refinancing Notes to redeem in full the Refinanced Original Notes. In addition to the issuance of the Refinancing Notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; and changes to the overcollateralization test levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2017. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $700,000,000 Defaulted par: $0 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2940 Weighted Average Spread (WAS): 3.45% Weighted Average Recovery Rate (WARR): 49.0% Weighted Average Life (WAL): 9.00 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 a Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. Together with the set of modeling assumptions above, Moody's conducted an additional sensitivity analysis, which was a component in determining the ratings assigned to the Refinancing Notes. This sensitivity analysis includes increased default probability relative to the base case. Below is a summary of the impact of an increase in default probability (expressed in terms of WARF level) on the Refinancing Notes (shown in terms of the number of notch difference versus the current model output, whereby a negative difference corresponds to higher expected losses), assuming that all other factors are held equal: Percentage Change in WARF -- increase of 15% (3381) Rating Impact in Rating Notches Class A-1-R Notes: 0 Class A-2-R Notes: -1 Class A-3-R Notes: -2 Class B-R Notes: -2 Class C-R Notes: -1 Class D-R Notes: 0 Class E-R Notes: 0 Percentage Change in WARF -- increase of 30% (3822) Rating Impact in Rating Notches Class A-1-R Notes: -1 Class A-2-R Notes: -3 Class A-3-R Notes: -3 Class B-R Notes: -4 Class C-R Notes: -2 Class D-R Notes: -1 Class E-R Notes: -2 ATLAS SENIOR III: S&P Assigns BB-(sf) Rating on Class E-R Notes --------------------------------------------------------------- S&P Global Ratings today assigned its ratings to the replacement class A-R, B-R, C-R, D-R, and E-R notes, as well as the new class X notes, from Atlas Senior Loan Fund III Ltd., a collateralized loan obligation (CLO) originally issued in July 2013 that is managed by Crescent Capital Group L.P. S&P withdrew its ratings on the original class A, B, C, D, and E notes following payment in full on the Nov. 17, 2017, refinancing date. On the Nov. 17, 2017, refinancing date, the proceeds from the issuance of the replacement notes were used to redeem the original notes. Therefore, S&P withdrew its ratings on the original notes upon their full redemption and assigned ratings to the replacement notes. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction parameters 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 and ultimate principal 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." RATINGS ASSIGNED Atlas Senior Loan Fund III Ltd. Replacement class Rating Amount (mil. $) X AAA (sf) 4.20 A-R AAA (sf) 255.20 B-R AA (sf) 48.00 C-R (deferrable) A (sf) 25.00 D-R (deferrable) BBB- (sf) 24.00 E-R (deferrable) BB- (sf) 17.90 Subordinated notes NR 53.53 RATINGS WITHDRAWN Rating Original class To From A NR AAA (sf) B NR AA+ (sf) C NR A+ (sf) D NR BBB (sf) E NR BB (sf) NR--Not rated. ATRIUM XII: S&P Assigns B(sf) Rating on Class F-R Notes ------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R, D-R, E-R, and F-R replacement notes from Atrium XII, a collateralized loan obligation (CLO) originally issued in 2015 that is managed by Credit Suisse Asset Management LLC. S&P withdrew its ratings on the original class A and B notes following payment in full on the Nov. 17, 2017, refinancing date. On the Nov. 17, 2017, refinancing date, the proceeds from the issuance of the replacement notes were used to redeem the original class A and B notes as outlined in the transaction document provisions. Therefore, S&P withdrew its ratings on the original notes in line with their full redemption and assigned ratings to 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. "The ratings reflect our opinion that the credit support available is commensurate with the associated rating levels. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and we will take further rating actions as we deem necessary." RATINGS ASSIGNED Atrium XII/Atrium XII LLC Replacement class Rating Amount (mil. $) A-R AAA (sf) 522.00 B-R AA (sf) 86.00 C-R A (sf) 53.00 D-R BBB- (sf) 64.00 E-R BB- (sf) 22.00 F-R B (sf) 6.00 RATINGS WITHDRAWN Atrium XII/Atrium XII LLC Rating Original class To From A NR AAA (sf) B NR AA (sf) OTHER RATINGS Atrium XII/Atrium XII LLC Class Rating C NR D NR E NR F NR Subordinated notes NR NR--Not rated. BANC OF AMERICA 2006-1: S&P Raises Class E Certs Rating to BB+(sf) ------------------------------------------------------------------ S&P Global Ratings raised its rating to 'BB+ (sf)' from 'B (sf)' on the class E commercial mortgage pass-through certificates from Banc of America Commercial Mortgage Trust 2006-1, a U.S. commercial mortgage-backed securities (CMBS) transaction. For the upgrade, S&P's expectation of credit enhancement was in line with the raised rating level. The upgrade also reflects the significant reduction in the trust balance due to the resolution of the Medical Mutual Headquarters loan ($52.7 million of the original pool trust balance), a specially serviced asset. The loan was resolved with a $9.3 million loss, which was better than the loss that was implied by the most recent appraisal value. In addition, the trust benefited from the full repayment at maturity of the Mitsuwa Marketplace loan ($18.4 million of the original pool trust balance). While the available credit enhancement level may suggest further positive rating movement on class E, our analysis also considered the fact that the largest loan in the pool, Plaza Antonio ($35.4 million, 86.9%), has been transferred to the special servicer twice: in January 2011 and May 2013 . S&P said, "As such, we are concerned with a potential future transfer of the loan to the special servicer. In addition, our analysis considered that the second largest loan, Best Buy – Northridge, CA ($4.3 million, 10.6%), is secured by a retail property 100% leased to Best Buy until December 2018, coterminous with the loan's maturity. If Best Buy vacated the property at lease expiration, the refinancing of the loan at maturity could be a concern. Finally, we also considered the class' interest shortfall history." The rating on class F remains at 'D (sf)' in accordance with S&P's interest shortfall criteria because this class has only experienced two months of timely interest. Under this criteria, a potential upgrade can be considered after a class has experienced a reimbursement of all past interest shortfalls and the subsequent payment of timely interest over at least the subsequent six months. In addition, any potential upgrade following an interest shortfall would also depend upon our determination that no future shortfalls are likely to occur, considering the underlying creditworthiness of the loans. TRANSACTION SUMMARY As of the Nov 10, 2017, trustee remittance report, the collateral pool balance was $40.7 million, which is 2.0% of the pool balance at issuance. The pool currently includes four loans, down from 192 loans at issuance. One loan ($0.9 million, 2.2%) is defeased, and one ($0.2 million, 0.4%) is on the master servicer's watchlist. S&P calculated a 0.91x S&P Global Ratings weighted average debt service coverage (DSC) and 97.6% S&P Global Ratings weighted average loan-to-value (LTV) ratio using a 7.06% S&P Global Ratings weighted average capitalization rate. The DSC, LTV, and capitalization rate calculations exclude the defeased loan. To date, the transaction has experienced $139.5 million in principal losses, or 6.8% of the original pool trust balance. CAN CAPITAL 2014-1: S&P Rates Class B Notes 'CCC', On Watch Neg. ---------------------------------------------------------------- S&P Global Ratings placed its 'CCC (sf)' rating on CAN Capital Funding LLC's series 2014-1 class B notes on CreditWatch with negative implications. The transaction is an asset-backed securitization backed by a pool of loans and merchant cash advances (MCAs) made to U.S. small businesses to fund their working capital needs. The transaction distributes principal payments on a sequential basis. S&P said, "We placed the rating on the class B notes on CreditWatch to reflect the insufficient credit support at the 'CCC' rating level. As of the Nov. 15, 2017, payment date, class B's outstanding amount was $17,626,559.60 and the performing asset balance was $6,790,453.01. The reserve account is zero and the one-month excess spread is -8.77%. The class A note has paid off. "We will resolve the CreditWatch negative placement following the completion of a comprehensive review of the transaction." RATING PLACED ON CREDITWATCH NEGATIVE CAN Capital Funding LLC Series 2014-1 Rating Class To From B CCC (sf)/Watch Neg CCC (sf) CIFC FUNDING 2017-V: Moody's Assigns Ba3 Rating to Class D Notes ---------------------------------------------------------------- Moody's Investors Service has assigned ratings to five classes of notes issued by CIFC Funding 2017-V, Ltd. Moody's rating action is: US$455,000,000 Class A-1 Senior Secured Floating Rate Notes due 2030 (the "Class A-1 Notes"), Definitive Rating Assigned Aaa (sf) US$77,000,000 Class A-2 Senior Secured Floating Rate Notes due 2030 (the "Class A-2 Notes"), Definitive Rating Assigned Aa2 (sf) US$38,500,000 Class B Mezzanine Secured Deferrable Floating Rate Notes due 2030 (the "Class B Notes"), Definitive Rating Assigned A2 (sf) US$42,000,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2030 (the "Class C Notes"), Definitive Rating Assigned Baa3 (sf) US$31,500,000 Class D Junior Secured Deferrable Floating Rate Notes due 2030 (the "Class D Notes"), Definitive Rating Assigned Ba3 (sf) The Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the Class C Notes and the Class D Notes are referred to herein, 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. CIFC 2017-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 92.5% of the portfolio must consist of senior secured loans and eligible investments, and up to 7.5% of the portfolio may consist of second lien loans, first-lien-last-out loans and unsecured loans. The portfolio is approximately 70% ramped as of the closing date. CIFC 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 issued subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2017. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $700,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 2850 Weighted Average Spread (WAS): 3.50% Weighted Average Coupon (WAC): 5.00% Weighted Average Recovery Rate (WARR): 48.0% Weighted Average Life (WAL): 9 years. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in 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 2850 to 3278) Rating Impact in Rating Notches Class A-1 Notes: 0 Class A-2 Notes: -2 Class B Notes: -2 Class C Notes: -1 Class D Notes: 0 Percentage Change in WARF -- increase of 30% (from 2850 to 3705) Rating Impact in Rating Notches Class A-1 Notes: -1 Class A-2 Notes: -3 Class B Notes: -4 Class C Notes: -2 Class D Notes: -1 CITIGROUP 2016-P6: Fitch Affirms B-sf Rating on Class F Certs ------------------------------------------------------------- Fitch Ratings has affirmed 15 classes of Citigroup Commercial Mortgage Trust, commercial mortgage pass-through certificates, series 2016-P6 (CGCMT 2016-P6). KEY RATING DRIVERS Stable Performance: Overall pool performance remains stable, with no material changes to credit enhancement or pool metrics since issuance. There are no delinquent or specially serviced loans. As of the October 2017 distribution date, the pool's aggregate balance has been reduced by 0.4% to $909.7 million from $913.4 million at issuance. One loan (1.4% of pool) is currently on the servicer's watchlist. Diverse Pool: The top 10 loans comprise 45% of the pool, which is better than the 2016 average for Fitch-rated multiborrower transactions of 54.8%. The largest loan, 8 Times Square & 1460 Broadway, represents 8.2% of the pool. Below Average Amortization: The pool is scheduled to amortize by 8.8%, which is below the 2016 average for Fitch-rated multiborrower transactions of 10.4%. Eleven loans (42.4% of pool) are full-term interest only and 19 loans (28.5%) are partial term interest-only. Property Type Concentrations: Based upon Fitch's classification, loans secured by retail properties comprise 45.3% of the pool. In Fitch's analysis, four mixed-use properties (12.4%) were classified as retail due to their primary usage or preponderance of revenue. Of the retail concentration, seven loans (including five portfolios) representing 13.7% of the pool are secured by properties occupied by Walgreens. Hurricane Impact: Three portfolio loans (5.8% of pool) have five underlying properties located in areas of Texas impacted by Hurricane Harvey. According to the master servicer's most recent significant insurance event (SIE) reporting, no damage was sustained at any of these properties. Exposure to Hurricane Irma is limited to one property (0.7% of pool) located in Tampa, FL. As of the most recent SIE reporting, the servicer is still awaiting the borrower's response on any potential damages. 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. Fitch relies on the master servicer, Midland Loan Services, a division of PNC Bank, National Association ('A+/F1'), which is currently the advancing agent, as a direct counterparty. Fitch has affirmed the following ratings: -- $26 million class A-1 'AAAsf'; Outlook Stable; -- $126.4 million class A-2 'AAAsf'; Outlook Stable; -- $16.6 million class A-3 'AAAsf'; Outlook Stable; -- $195 million class A-4 'AAAsf'; Outlook Stable; -- $228.8 million class A-5 'AAAsf'; Outlook Stable; -- $42.9 million class A-AB 'AAAsf'; Outlook Stable; -- $45.7 million class A-S 'AAAsf'; Outlook Stable; -- Interest-only class X-A 'AAAsf'; Outlook Stable; -- $44.5 million class B 'AA-sf'; Outlook Stable; -- Interest-only class X-B 'AA-sf'; Outlook Stable; -- $49.1 million class C 'A-sf'; Outlook Stable; -- $57.1 million class D 'BBB-sf'; Outlook Stable; -- Interest-only class X-D 'BBB-sf'; Outlook Stable; -- $26.3 million class E 'BB-sf'; Outlook Stable; -- $11.4 million class F 'B-sf'; Outlook Stable. Fitch does not rate the class G and H certificates. CREDIT SUISSE 2016-C7: Fitch Affirms B-sf Rating on Cl. X-F Certs ----------------------------------------------------------------- Fitch Ratings has affirmed 16 classes of Credit Suisse Commercial Mortgage Trust 2016-C7 Pass-Through Certificates. KEY RATING DRIVERS Stable Performance: The overall pool performance remains stable since issuance. There is only one specially serviced loan, representing 0.78% of the pool. As of the October 2017 distribution date, the pool's aggregate balance has been reduced by 0.84% to $761 million, from $768 million at issuance. Four loans (3.36%) are on the servicer's watchlist, and one loan, the specially serviced loan, is considered a Fitch Loan of Concern. Highly Concentrated Pool by Property Type and Geography: The largest property type concentration is retail at 40.0% of the pool, followed by office at 24.9% and multifamily at 18.4%. The pool is highly concentrated by geography with 30.4% of the pool in Florida and 14.2% in Georgia. Six loans in the top 15 (34%) are secured by retail properties, two of which (12.9%) are regional malls with exposure to Macy's and either JC Penney or Sears. Specially Serviced Loan: One loan is in special servicing, the Holiday Inn Express & Suites Warrenton (0.78%), a hotel located in Warrenton, VA. Per the servicer, the loan transferred after the flag was called into default by the franchisor and the borrower is on a payment plan to cure the missed payments. The loan is currently 30 days delinquent. The most recent servicer-reported NOI DSCR was -0.55x as of March 2017 compared to 0.66x as of YE 2016. According to the March 2017 STAR Report the subject is performing better than the comp set with occupancy penetration of 110.1%, ADR penetration of 104.3%, and RevPAR penetration of 114.9%. Above-Average Amortization: Based on the scheduled balance at maturity, the pool will pay down 16.2%, which is above the YTD average of 10.4%. Two loans representing 8.7% of the pool are interest-only loans, 17 loans representing 40.2% are partial interest-only loans, and the remaining 35 loans (51.1%) are balloon loans with loan terms of five to 10 years. Hurricane Impact: Six loans (5.5% of pool) are located in areas of Texas affected by Hurricane Harvey. Exposure to Hurricane Irma consists of nine properties (25.6% of pool) with the largest property in the pool, Coconut Point located in Estero, FL., sustaining only minor damage. According to the master servicer's most recent significant insurance event (SIE) reporting, none of the properties in the pool sustained major damage but the servicer is still awaiting the borrower's response on some of the properties. 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. Fitch has affirmed the following ratings: -- $34,046,426 class A-1 at 'AAAsf'; Outlook Stable; -- $5,938,000 class A-2 at 'AAAsf'; Outlook Stable; -- $15,900,000 class A-3 at 'AAAsf'; Outlook Stable; -- $163,000,000 class A-4 at 'AAAsf'; Outlook Stable; -- $246,354,000 class A-5 at 'AAAsf'; Outlook Stable; -- $65,656,000 class A-SB at 'AAAsf'; Outlook Stable; -- $52,774,000 class A-S at 'AAAsf'; Outlook Stable; -- $29,746,000 class B at 'AA-sf'; Outlook Stable; -- $37,422,000 class C at 'A-sf'; Outlook Stable; -- $45,098,000 class D at 'BBB-sf'; Outlook Stable; -- $23,029,000 class E at 'BB-sf'; Outlook Stable; -- $9,595,000 class F at 'B-sf'; Outlook Stable; -- $583,668,426* class X-A at 'AAAsf'; Outlook Stable; -- $29,746,000* class X-B at 'AA-sf'; Outlook Stable; -- $23,029,000* class X-E at 'BB-sf'; Outlook Stable; -- $9,595,000* class X-F at 'B-sf'; Outlook Stable. . *Notional amount and interest only. Fitch does not rate Class X-NR and NR. CWCAPITAL COBALT: Moody's Affirms C(sf) Ratings on 7 Tranches ------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on the following notes issued by CWCapital Cobalt Vr Ltd.: CL. A-2, Affirmed C (sf); previously on Dec 8, 2016 Affirmed C (sf) CL. B, Affirmed C (sf); previously on Dec 8, 2016 Affirmed C (sf) CL. C, Affirmed C (sf); previously on Dec 8, 2016 Affirmed C (sf) CL. D, Affirmed C (sf); previously on Dec 8, 2016 Affirmed C (sf) CL. E, Affirmed C (sf); previously on Dec 8, 2016 Affirmed C (sf) CL. F, Affirmed C (sf); previously on Dec 8, 2016 Affirmed C (sf) CL. G, Affirmed C (sf); previously on Dec 8, 2016 Affirmed C (sf) The Class A-2, Class B, Class C, Class D, Class E, Class F, and Class G Notes are referred to herein as the "Rated Notes". RATINGS RATIONALE Moody's has affirmed the ratings on the Rated Notes because the key transaction metrics are commensurate with existing ratings. The affirmation is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO and ReRemic) transactions. CWCapital Cobalt Vr Ltd. is a static cash transaction backed by a portfolio of: i) CRE CDOs (69.0% of the current pool balance); and ii) commercial mortgage backed securities (CMBS) (31.0%). As of the October 26, 2017 trustee report, the aggregate note balance of the transaction, including preferred shares, has decreased to $2.8 billion from $3.45 billion at issuance, as a result of re-classification of interest proceeds received from impaired securities as principal proceeds and regular amortization of the underlying collateral. All of the assets totaling $740.7 million (100% of the collateral pool balance) are listed as impaired securities as of the October 26, 2017 trustee report. While there have been implied losses on the underlying collateral to date, Moody's does expect significant losses to occur on the impaired securities. Moody's has identified the following as key indicators of the expected loss in CRE CDO transactions: the weighted average rating factor (WARF), the weighted average life (WAL), the weighted average recovery rate (WARR), and Moody's asset correlation (MAC). Moody's typically models these as actual parameters for static deals and as covenants for managed deals. WARF is a primary measure of the credit quality of a CRE CDO pool. Moody's has updated its assessments for the collateral it does not rate. The rating agency modeled a bottom-dollar WARF of 9895, compared to 9297 at last review. The current ratings on the Moody's-rated collateral and the assessments of the non-Moody's rated collateral follow: Ba1-Ba3 (0.0% compared to 0.2% at last review), B1-B3 (0.0% compared to 1.4% at last review) and Caa1-Ca/C (100.0% compared to 98.4% at last review). Moody's modeled a WAL of 1.3 years, compared to 1.6 years at last review. The WAL is based on assumptions about extensions on the underlying CMBS look-through loan collateral. Moody's modeled a fixed WARR of 0.0%, the same as that at last review. Moody's modeled a MAC of 99.9%, the same as that at last review. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Approach to Rating SF CDOs" published in 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. Moody's Parameter Sensitivities: Changes to any one or more of the key parameters could have rating implications for some of the Rated Notes, although a change in one key parameter assumption could be offset by a change in one or more of the other key parameter assumptions. The Rated Notes are particularly sensitive to changes in the recovery rates of the underlying collateral and credit assessments. However, in light of the performance indicators noted above, Moody's believes that it is unlikely that the rating announced is sensitive to further change. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment. Commercial real estate property values are continuing to move in a positive direction along with a rise in investment activity and stabilization in core property type performance. Limited new construction, moderate job growth and the decreased cost of debt and equity capital have aided this improvement. FANNIE MAE 2017-C07: Fitch Assigns 'Bsf' Ratings on 38 Tranches --------------------------------------------------------------- Fitch Ratings has assigned the following ratings and Rating Outlooks to Fannie Mae's risk transfer transaction, Connecticut Avenue Securities, series 2017-C07: -- $186,170,000 class 1M-1 notes 'BBB-sf'; Outlook Stable; -- $133,258,000 class 1M-2A notes 'BBsf'; Outlook Stable; -- $133,258,000 class 1M-2B notes 'BB-sf'; Outlook Stable; -- $135,218,000 class 1M-2C notes 'Bsf'; Outlook Stable; -- $401,734,000 class 1M-2 exchangeable notes 'Bsf'; Outlook Stable; -- $133,258,000 class 1A-I1 exchangeable notional notes 'BBsf'; Outlook Stable; -- $133,258,000 class 1E-A1 exchangeable notes 'BBsf'; Outlook Stable; -- $133,258,000 class 1A-I2 exchangeable notional notes 'BBsf'; Outlook Stable; -- $133,258,000 class 1E-A2 exchangeable notes 'BBsf'; Outlook Stable; -- $133,258,000 class 1A-I3 exchangeable notional notes 'BBsf'; Outlook Stable; -- $133,258,000 class 1E-A3 exchangeable notes 'BBsf'; Outlook Stable; -- $133,258,000 class 1A-I4 exchangeable notional notes 'BBsf'; Outlook Stable; -- $133,258,000 class 1E-A4 exchangeable notes 'BBsf'; Outlook Stable; -- $133,258,000 class 1B-I1 exchangeable notional notes 'BB-sf'; Outlook Stable; -- $133,258,000 class 1E-B1 exchangeable notes 'BB-sf'; Outlook Stable; -- $133,258,000 class 1B-I2 exchangeable notional notes 'BB-sf'; Outlook Stable; -- $133,258,000 class 1E-B2 exchangeable notes 'BB-sf'; Outlook Stable; -- $133,258,000 class 1B-I3 exchangeable notional notes 'BB-sf'; Outlook Stable; -- $133,258,000 class 1E-B3 exchangeable notes 'BB-sf'; Outlook Stable; -- $133,258,000 class 1B-I4 exchangeable notional notes 'BB-sf'; Outlook Stable; -- $133,258,000 class 1E-B4 exchangeable notes 'BB-sf'; Outlook Stable; -- $135,218,000 class 1C-I1 exchangeable notional notes 'Bsf'; Outlook Stable; -- $135,218,000 class 1E-C1 exchangeable notes 'Bsf'; Outlook Stable; -- $135,218,000 class 1C-I2 exchangeable notional notes 'Bsf'; Outlook Stable; -- $135,218,000 class 1E-C2 exchangeable notes 'Bsf'; Outlook Stable; -- $135,218,000 class 1C-I3 exchangeable notional notes 'Bsf'; Outlook Stable; -- $135,218,000 class 1E-C3 exchangeable notes 'Bsf'; Outlook Stable; -- $135,218,000 class 1C-I4 exchangeable notional notes 'Bsf'; Outlook Stable; -- $135,218,000 class 1E-C4 exchangeable notes 'Bsf'; Outlook Stable; -- $266,516,000 class 1E-D1 exchangeable notes 'BB-sf'; Outlook Stable; -- $266,516,000 class 1E-D2 exchangeable notes 'BB-sf'; Outlook Stable; -- $266,516,000 class 1E-D3 exchangeable notes 'BB-sf'; Outlook Stable; -- $266,516,000 class 1E-D4 exchangeable notes 'BB-sf'; Outlook Stable; -- $266,516,000 class 1E-D5 exchangeable notes 'BB-sf'; Outlook Stable; -- $268,476,000 class 1E-F1 exchangeable notes 'Bsf'; Outlook Stable; -- $268,476,000 class 1E-F2 exchangeable notes 'Bsf'; Outlook Stable; -- $268,476,000 class 1E-F3 exchangeable notes 'Bsf'; Outlook Stable; -- $268,476,000 class 1E-F4 exchangeable notes 'Bsf'; Outlook Stable; -- $268,476,000 class 1E-F5 exchangeable notes 'Bsf'; Outlook Stable; -- $266,516,000 class 1-X1 exchangeable notional notes 'BB-sf'; Outlook Stable; -- $266,516,000 class 1-X2 exchangeable notional notes 'BB-sf'; Outlook Stable; -- $266,516,000 class 1-X3 exchangeable notional notes 'BB-sf'; Outlook Stable; -- $266,516,000 class 1-X4 exchangeable notional notes 'BB-sf'; Outlook Stable; -- $268,476,000 class 1-Y1 exchangeable notional notes 'Bsf'; Outlook Stable; -- $268,476,000 class 1-Y2 exchangeable notional notes 'Bsf'; Outlook Stable; -- $268,476,000 class 1-Y3 exchangeable notional notes 'Bsf'; Outlook Stable; -- $268,476,000 class 1-Y4 exchangeable notional notes 'Bsf'; Outlook Stable; -- $107,666,000 class 2M-1 notes 'BBB-sf'; Outlook Stable; -- $101,332,000 class 2M-2A notes 'BBsf'; Outlook Stable; -- $101,332,000 class 2M-2B notes 'BB-sf'; Outlook Stable; -- $101,332,000 class 2M-2C notes 'Bsf'; Outlook Stable; -- $303,996,000 class 2M-2 exchangeable notes 'Bsf'; Outlook Stable; -- $101,332,000 class 2A-I1 exchangeable notional notes 'BBsf'; Outlook Stable; -- $101,332,000 class 2E-A1 exchangeable notes 'BBsf'; Outlook Stable; -- $101,332,000 class 2A-I2 exchangeable notional notes 'BBsf'; Outlook Stable; -- $101,332,000 class 2E-A2 exchangeable notes 'BBsf'; Outlook Stable; -- $101,332,000 class 2A-I3 exchangeable notional notes 'BBsf'; Outlook Stable; -- $101,332,000 class 2E-A3 exchangeable notes 'BBsf'; Outlook Stable; -- $101,332,000 class 2A-I4 exchangeable notional notes 'BBsf'; Outlook Stable; -- $101,332,000 class 2E-A4 exchangeable notes 'BBsf'; Outlook Stable; -- $101,332,000 class 2B-I1 exchangeable notional notes 'BB-sf'; Outlook Stable; -- $101,332,000 class 2E-B1 exchangeable notes 'BB-sf'; Outlook Stable; -- $101,332,000 class 2B-I2 exchangeable notional notes 'BB-sf'; Outlook Stable; -- $101,332,000 class 2E-B2 exchangeable notes 'BB-sf'; Outlook Stable; -- $101,332,000 class 2B-I3 exchangeable notional notes 'BB-sf'; Outlook Stable; -- $101,332,000 class 2E-B3 exchangeable notes 'BB-sf'; Outlook Stable; -- $101,332,000 class 2B-I4 exchangeable notional notes 'BB-sf'; Outlook Stable; -- $101,332,000 class 2E-B4 exchangeable notes 'BB-sf'; Outlook Stable; -- $101,332,000 class 2C-I1 exchangeable notional notes 'Bsf'; Outlook Stable; -- $101,332,000 class 2E-C1 exchangeable notes 'Bsf'; Outlook Stable; -- $101,332,000 class 2C-I2 exchangeable notional notes 'Bsf'; Outlook Stable; -- $101,332,000 class 2E-C2 exchangeable notes 'Bsf'; Outlook Stable; -- $101,332,000 class 2C-I3 exchangeable notional notes 'Bsf'; Outlook Stable; -- $101,332,000 class 2E-C3 exchangeable notes 'Bsf'; Outlook Stable; -- $101,332,000 class 2C-I4 exchangeable notional notes 'Bsf'; Outlook Stable; -- $101,332,000 class 2E-C4 exchangeable notes 'Bsf'; Outlook Stable; -- $202,664,000 class 2E-D1 exchangeable notes 'BB-sf'; Outlook Stable; -- $202,664,000 class 2E-D2 exchangeable notes 'BB-sf'; Outlook Stable; -- $202,664,000 class 2E-D3 exchangeable notes 'BB-sf'; Outlook Stable; -- $202,664,000 class 2E-D4 exchangeable notes 'BB-sf'; Outlook Stable; -- $202,664,000 class 2E-D5 exchangeable notes 'BB-sf'; Outlook Stable; -- $202,664,000 class 2E-F1 exchangeable notes 'Bsf'; Outlook Stable; -- $202,664,000 class 2E-F2 exchangeable notes 'Bsf'; Outlook Stable; -- $202,664,000 class 2E-F3 exchangeable notes 'Bsf'; Outlook Stable; -- $202,664,000 class 2E-F4 exchangeable notes 'Bsf'; Outlook Stable; -- $202,664,000 class 2E-F5 exchangeable notes 'Bsf'; Outlook Stable; -- $202,664,000 class 2-X1 exchangeable notional notes 'BB-sf'; Outlook Stable; -- $202,664,000 class 2-X2 exchangeable notional notes 'BB-sf'; Outlook Stable; -- $202,664,000 class 2-X3 exchangeable notional notes 'BB-sf'; Outlook Stable; -- $202,664,000 class 2-X4 exchangeable notional notes 'BB-sf'; Outlook Stable; -- $202,664,000 class 2-Y1 exchangeable notional notes 'Bsf'; Outlook Stable; -- $202,664,000 class 2-Y2 exchangeable notional notes 'Bsf'; Outlook Stable; -- $202,664,000 class 2-Y3 exchangeable notional notes 'Bsf'; Outlook Stable; -- $202,664,000 class 2-Y4 exchangeable notional notes 'Bsf'; Outlook Stable. The following classes will not be rated by Fitch: -- $19,803,186,080 class 1A-H reference tranche; -- $9,799,029 class 1M-1H reference tranche; -- $7,014,568 class 1M-AH reference tranche; -- $7,014,568 class 1M-BH reference tranche; -- $7,117,400 class 1M-CH reference tranche; -- $97,984,000 class 1B-1 notes; -- $5,157,594 class 1B-1H reference tranche; -- $103,141,594 class 1B-2H reference tranche; -- $12,766,622,601 class 2A-H reference tranche; -- $5,666,942 class 2M-1H reference tranche; -- $5,334,298 class 2M-AH reference tranche; -- $5,334,298 class 2M-BH reference tranche; -- $5,334,298 class 2M-CH reference tranche; -- $63,333,000 class 2B-1 notes; -- $3,333,436 class 2B-1H reference tranche; -- $66,666,437 class 2B-2H reference tranche. The notes are general senior unsecured obligations of Fannie Mae (rated 'AAA'/Outlook Stable) subject to the credit and principal payment risk of the mortgage loan reference pools of certain residential mortgage loans held in various Fannie Mae-guaranteed MBS. The 'BBB-sf' rating for the 1M-1 notes reflects the 3.05% subordination provided by the 0.68% class 1M-2A, the 0.68% class 1M-2B, the 0.69% class 1M-2C, the 0.50% class 1B-1 and their corresponding reference tranches as well as the 0.50% 1B-2H reference tranche. The 'BBB-sf' rating for the 2M-1 notes reflects the 3.40% subordination provided by the 0.80% class 2M-2A, the 0.80% class 2M-2B, the 0.80% class 2M-2C, the 0.50% class 2B-1 and their corresponding reference tranches as well as the 0.50% 2B-2H reference tranche. The CAS 2017-C07 transaction includes two separate loan groups. One loan group will consist of loans with loan-to-value (LTV) ratios greater than 60% and less than or equal to 80% (Group 1), and another that consists of loans with LTVs greater than 80% and less than or equal to 97% (Group 2). Fitch has assigned different subordination levels to each group, as outlined above. The cash flow waterfall structure is identical for both groups. Connecticut Avenue Securities, series 2017-C07 (CAS 2017-C07) is Fannie Mae's 23rd risk transfer transaction issued as part of the Federal Housing Finance Agency's Conservatorship Strategic Plan for 2013 to 2017 for each of the government sponsored enterprises (GSEs) to demonstrate the viability of multiple types of risk transfer transactions involving single family mortgages. The objective of the transaction is to transfer credit risk from Fannie Mae to private investors with respect to a $34 billion pool of mortgage loans currently held in previously issued MBS guaranteed by Fannie Mae where principal repayment of the notes are subject to the performance of a reference pool of mortgage loans. As loans liquidate, are modified or other credit events occur, the outstanding principal balance of the debt notes will be reduced by the loan's actual loss severity percentage related to those credit events. While the transaction structure simulates the behavior and credit risk of traditional RMBS mezzanine and subordinate securities, Fannie Mae will be responsible for making monthly payments of interest and principal to investors. Due to the counterparty dependence on Fannie Mae, Fitch's expected rating on the 1M-1, 1M-2A, 1M-2B, 1M-2C, 2M-1, 2M-2A, 2M-2B and 2M-2C notes will be based on the lower of: the quality of the mortgage loan reference pool and credit enhancement (CE) available through subordination and on Fannie Mae's Issuer Default Rating. The notes will be issued as LIBOR-based floaters. In the event that the one-month LIBOR rate falls below the applicable negative LIBOR trigger value described in the offering memorandum, the interest payment on the interest-only notes will be capped at the excess of (i) the interest amount payable on the related class of exchangeable notes for that payment date over (ii) the interest amount payable on the class of floating rate related combinable and recombinable (RCR) notes included in the same combination for that payment date. If there are no floating rate classes in the related exchange, then the interest payment on the interest-only notes will be capped at the aggregate of the interest amounts payable on the classes of RCR notes included in the same combination that were exchanged for the specified class of interest-only RCR notes for that payment date. KEY RATING DRIVERS High-Quality Mortgage Pool (Positive): The mortgage loan reference pools consist of high-quality mortgage loans that were acquired by Fannie Mae in the first and second quarters of 2017 (1Q17 and 2Q17). The group 1 reference pool will consist of loans with LTVs greater than 60% and less than or equal to 80%, and Group 2 will consist of loans with LTVs greater than 80% and less than or equal to 97%. Overall, the reference pool's collateral characteristics are similar to recent CAS transactions and reflect the strong credit profile of post-crisis mortgage originations. FEMA Exclusion Loans Removed (Positive): Fannie Mae will not include FEMA Exclusion Loans in the pool. A mortgage loan is a FEMA Exclusion Loan if it relates to a mortgage property that is included in the Federal Emergency Management Agency (FEMA) Hazus damage file for Hurricane Harvey or Hurricane Irma as of the Cut-off Date or is determined by Fannie Mae to merit exclusion from the Reference Pool due to the effects of natural disasters. Higher HomeReady Exposure (Negative): Both groups contain loans (1.1% Group 1 and 10.5% Group 2) originated to Fannie Mae's HomeReady program, the highest percentages of any Fitch-rated transaction to date. HomeReady is an affordability program that allows LTVs up to 97% and can allow for nonstandard sources of income and down payment for qualifying borrowers. The credit profile of HomeReady borrowers is weaker on average than the overall mortgage pool, which is reflected in increased credit enhancement. Mortgage Insurance Guaranteed by Fannie Mae (Positive): All of the loans in Group 2 are covered either by borrower paid mortgage insurance (BPMI) or lender paid mortgage insurance (LPMI). Fannie Mae will be guaranteeing the MI coverage amount, which will typically be the MI coverage percentage multiplied by the sum of the unpaid principal balance as of the date of the default, up to 36 months of delinquent interest, taxes and maintenance expenses. While the Fannie Mae guarantee allows for credit to be given to MI, Fitch applied a haircut to the amount of BPMI available due to the automatic termination provision as required by the Homeowners Protection Act when the loan balance is first scheduled to reach 78%. 12.5-Year Hard Maturity (Positive): The notes benefit from a 12.5-year legal final maturity. Thus, any credit or modification events on the reference pool that occur beyond year 12.5 are borne by Fannie Mae and do not affect the transaction. Fitch accounted for the 12.5-year hard maturity in its default analysis and applied a reduction to its lifetime default expectations. Limited Size/Scope of Third-Party Diligence (Neutral): Fitch received third-party due diligence on a loan production basis, as opposed to a transaction-specific review. Fitch believes that regular, periodic third-party reviews (TPRs) conducted on a loan production basis are sufficient for validating Fannie Mae's quality control processes. Fitch views the results of the due diligence review as consistent with its opinion of Fannie Mae as an above-average aggregator; as a result, no adjustments were made to Fitch's loss expectations based on due diligence. See Third-Party Due Diligence for more details. Solid Alignment of Interests (Positive): While the transaction is designed to transfer credit risk to private investors, Fitch believes that it benefits from a solid alignment of interests. Fannie Mae will be retaining credit risk in the transaction by holding the 1A-H and 2A-H senior reference tranches, which have an initial loss protection of 4.00% and 4.25%, respectively, as well as the first loss B-2H reference tranches, sized at 0.50% for each group. Fannie Mae is also retaining an approximately 5% vertical slice/interest in each group's Reference Tranches (M-1H, M-AH, M-BH, M-CH, and B-1H). RATING SENSITIVITIES Fitch's analysis incorporates sensitivity analyses to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at both the metropolitan statistical area (MSA) and national levels. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or be considered in the surveillance of the transaction. This defined stress sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model projected sMVD. It indicates there is some potential rating migration with higher MVDs, compared with the model projection. Fitch also conducted defined rating sensitivities which determine the stresses to MVDs that would reduce a rating by one full category, to non-investment grade, and to 'CCCsf'. For example, additional MVDs of 12%, 12% and 37% would potentially reduce the 'BBBsf' Group 1 rated class down one rating category, to non-investment grade, and to 'CCCsf', respectively. Additional MVDs of 11%, 11% and 36% would potentially reduce the 'BBBsf' Group 2 rated class down one rating category, to non-investment grade, and to 'CCCsf', respectively. GERMAN AMERICAN 2016-CD2: Fitch Affirms B- Rating on Cl. F Certs ---------------------------------------------------------------- Fitch Ratings has affirmed all classes of German American Capital Corp.'s CD 2016-CD2 mortgage trust commercial mortgage pass-through certificates, series 2016-CD2. KEY RATING DRIVERS Stable Performance: The affirmations are based on the stable performance of the underlying collateral. There have been no material changes to the pool since issuance; therefore, the original rating analysis was considered in affirming the transaction. As of the October 2017 distribution date, the pool's aggregate balance has been reduced by 0.19% to $973.5 million, from $975.4 million at issuance. There are no delinquent or specially serviced loans. Three loans (22.6% of the pool balance) are on the servicer's watch list due to low debt service coverage ratio (DSCR). The loans are not considered Fitch Loans of Concern as the initial low DSCR was anticipated at issuance due to rent abatements in-place for newer tenants. All three watch listed loans are located in Manhattan, secured by two office buildings (14.92%) and one retail property (7.70%). Pool Concentration: The top 10 loans compose 67% of the pool, which is higher than the 2016 average of 54.8%. The collateral composition of the top 10 loans include exceptionally high property quality (85% received a property quality grade of 'B+' or higher) and strong locations (66% of the top 10 loans are located within the New York metro market). Weak Amortization: Twelve loans (61.2%) are full-term interest only and seven loans (25.6%) are partial interest only. Based on the scheduled balance at maturity, the pool will pay down by only 5.5% 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. Fitch has affirmed the following classes: -- $15,600,221 class A-1 at 'AAAsf'; Outlook Stable; -- $69,061,053 class A-2 at 'AAAsf'; Outlook Stable; -- $34,742,105 class A-SB at 'AAAsf'; Outlook Stable; -- $252,631,579 class A-3 at 'AAAsf'; Outlook Stable; -- $308,873,684 class A-4 at 'AAAsf'; Outlook Stable; -- $721,789,474b class X-A at 'AAAsf'; Outlook Stable; -- $39,015,789 class A-M at 'AAAsf'; Outlook Stable; -- $10,899,705c class V1-A at 'AAAsf'; Outlook Stable; -- $76,811,579ab class X-B at 'AA-sf'; Outlook Stable; -- $76,811,579 class B at 'AA-sf'; Outlook Stable; -- $1,162,932c class V1-B at 'AA-sf'; Outlook Stable; -- $42,673,684 class C at 'A-sf'; Outlook Stable; -- $646,082c class V1-C at 'A-sf'; Outlook Stable; -- $57,304,211ab class X-D at 'BBB-sf'; Outlook Stable; -- $57,304,211a class D at 'BBB-sf'; Outlook Stable; -- $867,589ac class V1-D at 'BBB-sf'; Outlook Stable; -- $28,043,158ab class X-E at 'BB-sf'; Outlook Stable; -- $28,043,158a class E at 'BB-sf'; Outlook Stable; -- $10,972,632ab class X-F at 'B-sf'; Outlook Stable; -- $10,972,632a class F at 'B-sf'; Outlook Stable. (a) Privately placed and pursuant to Rule 144A. (b) Notional amount and interest only. (c) Exchangeable certificates. A vertical credit risk retention interest representing 5% of each class is retained as part of risk retention compliance. Fitch does not rate the $37,797,120 class X-G, the $37,797,120 class G, the $1,162,952 class V1-E or the $33,937,081 class V2. GOLUB CAPITAL 23: Moody's Assigns (P)Ba3 Rating to Cl. E-R Notes ---------------------------------------------------------------- Moody's Investors Service has assigned the following provisional ratings to the following notes (the "Refinancing Notes") to be issued by Golub Capital Partners CLO 23(B)-R, Ltd.: US$384,000,000 Class A-R Senior Secured Floating Rate Notes Due 2031 (the "Class A-R Notes"), Assigned (P)Aaa (sf) US$ 66,500,000 Class B-R Senior Secured Floating Rate Notes Due 2031 (the "Class B-R Notes"), Assigned (P)Aa2 (sf) US$ 38,750,000 Class C-R Secured Deferrable Floating Rate Notes Due 2031 (the "Class C-R Notes"), Assigned (P)A2 (sf) US$ 38,000,000 Class D-R Secured Deferrable Floating Rate Notes Due 2031 (the "Class D-R Notes"), Assigned (P)Baa3 (sf) US$ 24,750,000 Class E-R Secured Deferrable Floating Rate Notes Due 2031 (the "Class E-R Notes"), Assigned (P)Ba3 (sf) Moody's issues provisional ratings in advance of the final sale of financial instruments, but these ratings only represent Moody's preliminary credit opinions. Upon a conclusive review of a transaction and associated documentation, Moody's will endeavor to assign definitive ratings. A definitive rating, if any, may differ from a provisional rating. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of senior secured, broadly syndicated corporate loans. OPAL BSL LLC (the "Manager") will manage the CLO. It will direct the selection, acquisition, and disposition of collateral on behalf of the Issuer. RATINGS RATIONALE Moody's provisional ratings on the notes address the expected losses posed to noteholders. The provisional ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. The Issuer intends to issue the Refinancing Notes on December 7, 2017 (the " Refinancing Date") in connection with the refinancing of all of the secured notes and subordinated notes (the "Refinanced Original Notes") previously issued on May 28, 2015 (the "Original Closing Date"). On the Refinancing Date, the Issuer will use proceeds from the issuance of the Refinancing Notes to redeem in full the Refinanced Original Notes. In addition to the issuance of the Refinancing Notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extensions of the reinvestment period, non-call period and the notes' stated maturity; changes to certain collateral quality tests; changes to the overcollateralization test levels; and changes to certain concentration limits. 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. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $599,601,338 Defaulted par: $797,324 Diversity Score: 62 Weighted Average Rating Factor (WARF): 2950 Weighted Average Spread (WAS): 3.65% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 47.50% 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 Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. Together with the set of modeling assumptions above, Moody's conducted an additional sensitivity analysis, which was a component in determining the ratings assigned to the Refinancing Notes. This sensitivity analysis includes increased default probability relative to the base case. Below is a summary of the impact of an increase in default probability (expressed in terms of WARF level) on the Refinancing Notes (shown in terms of the number of notch difference versus the current model output, whereby a negative difference corresponds to higher expected losses), assuming that all other factors are held equal: Percentage Change in WARF - increase of 15% (from 2950 to 3393) Rating Impact in Rating Notches Class A-R Notes: 0 Class B-R Notes: -2 Class C-R Notes: -2 Class D-R Notes: -1 Class E-R Notes: 0 Percentage Change in WARF - increase of 30% (from 2950 to 3835) Rating Impact in Rating Notches Class A-R Notes: -1 Class B-R Notes: -3 Class C-R Notes: -4 Class D-R Notes: -2 Class E-R Notes: -1 HALCYON LOAN 2017-2: Moody's Assigns Ba3 Rating to Class D Notes ---------------------------------------------------------------- Moody's Investors Service has assigned ratings to five classes of notes issued by Halcyon Loan Advisors Funding 2017-2 Ltd.. Moody's rating action is: US$280,125,000 Class A-1 Senior Secured Floating Rate Notes due 2030 (the "Class A-1 Notes"), Assigned Aaa (sf) US$57,375,000 Class A-2 Senior Secured Floating Rate Notes due 2030 (the "Class A-2 Notes"), Assigned Aa2 (sf) US$31,500,000 Class B Senior Secured Deferrable Floating Rate Notes due 2030 (the "Class B Notes"), Assigned A2 (sf) US$27,000,000 Class C Senior Secured Deferrable Floating Rate Notes due 2030 (the "Class C Notes"), Assigned Baa3 (sf) US$18,000,000 Class D Senior Secured Deferrable Floating Rate Notes due 2030 (the "Class D Notes"), Assigned Ba3 (sf) The Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the Class C Notes, and the Class D Notes are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE Moody's ratings of the Rated Notes address the expected losses posed to noteholders. The ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. Halcyon 2017-2 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated first lien senior secured corporate loans. At least 92.5% of the portfolio must consist of senior secured loans and eligible investments, and up to 7.5% of the portfolio may consist of second lien loans and unsecured loans. The portfolio is approximately 85% ramped as of the closing date. Halcyon Loan Advisors A LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets, subject to certain restrictions. In addition to the Rated Notes, the Issuer 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: $450,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 2811 Weighted Average Spread (WAS): 3.55% Weighted Average Coupon (WAC): 7.50% Weighted Average Recovery Rate (WARR): 47.0% Weighted Average Life (WAL): 8.25 years. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in 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 2811 to 3233) Rating Impact in Rating Notches Class A-1 Notes: 0 Class A-2 Notes: -1 Class B Notes: -2 Class C Notes: -1 Class D Notes: 0 Percentage Change in WARF -- increase of 30% (from 2811 to 3654) Rating Impact in Rating Notches Class A-1 Notes: -1 Class A-2 Notes: -3 Class B Notes: -4 Class C Notes: -2 Class D Notes: -1 JP MORGAN 2005-LDP5: Moody's Affirms Ba3 Rating on Class G Debt --------------------------------------------------------------- Moody's Investors Service has upgraded the rating on one class, affirmed the ratings on three classes and downgraded the rating on one class in J.P. Morgan Chase Commercial Mortgage Securities Corp. Series 2005-LDP5: Cl. F, Upgraded to Baa2 (sf); previously on Dec 1, 2016 Affirmed Ba1 (sf) Cl. G, Affirmed Ba3 (sf); previously on Dec 1, 2016 Affirmed Ba3 (sf) Cl. H, Downgraded to Caa1 (sf); previously on Dec 1, 2016 Downgraded to B3 (sf) Cl. J, Affirmed C (sf); previously on Dec 1, 2016 Downgraded to C (sf) Cl. K, Affirmed C (sf); previously on Dec 1, 2016 Affirmed C (sf) RATINGS RATIONALE The rating on Class F was upgraded based primarily on an increase in credit support resulting from loan paydowns and amortization. The deal has paid down 49% since Moody's last review. The rating on Class G was affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The ratings on classes J and K were affirmed because the ratings are consistent with Moody's expected loss plus realized losses. The rating on Class H was downgraded due to anticipated losses from specially serviced loans and single tenant concentration concerns for the three largest performing loans. Moody's rating action reflects a base expected loss of 36.0% of the current pooled balance, compared to 29.6% at Moody's last review. Moody's base expected loss plus realized losses is now 5.9% of the original pooled balance, compared to 5.8% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. DEAL PERFORMANCE As of the November 15, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 96.2% to $160 million from $4.2 billion at securitization. The certificates are collateralized by 13 mortgage loans ranging in size from less than 1% to 50% of the pool. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of three, compared to six at Moody's last review. Three loans, constituting 4% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Twenty-one loans have been liquidated from the pool, resulting in an aggregate realized loss of $188.4 million (for an average loss severity of 56.4%). One loan, the Atlantic Development Portfolio Loan ($80.3 million -- 50% of the pool), is currently in special servicing. The specially serviced loan was originally secured by six office and two industrial buildings located in Warren and Somerset, New Jersey. The loan first transferred to special servicing in 2010 for imminent monetary default and the loan was subsequently modified to allow for the sale of one property. The proceeds were used to pay down the principal balance and the loan returned to the master servicer in 2011. However, the loan transferred back to special servicing in July 2015 due to imminent monetary default. The portfolio's cash flow was significantly impacted by the vacancy of two tenants in 2015, totaling approximately 153,000 square foot (SF), which reduced the portfolio's occupancy to 52%. As of July 2017, the remaining seven properties had an overall occupancy of 52%, compared to 67% at the prior review. As of the November 15, 2017 remittance statement cumulative interest shortfalls were $21.3 million. Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced loans and/or modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. Moody's received full year 2016 operating results for 100% of the pool, and full or partial year 2017 operating results for 87% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 108%, compared to 96% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 28% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.1%. Moody's actual and stressed conduit DSCRs are 0.98X and 1.05X, respectively, compared to 1.41X and 1.07X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The top three conduit loans represent 36% of the pool balance. The largest loan is the Mellon Trust Center Loan ($41.3 million -- 25.8% of the pool), which is secured by a 384,000 SF suburban office building located in Everett, Massachusetts (5 miles north of the Boston CBD). The property is fully leased to BNY Mellon through April 30, 2019. Due to the single tenant exposure Moody's utilized a lit/dark analysis. The loan passed its anticipated repayment date (ARD) in October 2015 and has a final maturity date in October 2035. Moody's LTV and stressed DSCR are 124% and 0.76X, respectively, compared to 115% and 0.82X at the last review. The second largest loan is the Home Depot (Vernon Hills) Loan ($10.6 million -- 6.6% of the pool), which is secured by a 111,000 SF single tenant occupied building located in Vernon Hills, IL. The entire property is fully leased to Home Depot through December 31, 2018. Due to the single tenant exposure, Moody's utilized a lit/dark analysis. The loan passed its anticipated repayment date (ARD) in November 2015 and has a final maturity date in November 2035. Moody's LTV and stressed DSCR are 148% and 0.71X, respectively, compared to 141% and 0.75X at the last review. The third largest loan is the Precise Technology, Inc. - Buffalo Grove, IL Loan ($5.8 million -- 3.6% of the pool), which is secured by a 265,000 SF industrial building located in Buffalo Grove, Illinois (33 miles north west of the Chicago CBD). The property is fully leased to Berry Plastics Group through January 31, 2025. The loan is fully-amortizing, has amortized 45% since securitization and matures in December 2025. Due to the single tenant exposure, Moody's utilized a lit/dark analysis. Moody's LTV and stressed DSCR are 47% and 2.21X, respectively, compared to 52% and 1.99X at the last review. JP MORGAN 2016-ASH: Moody's Affirms B3 Rating on Class F Certs -------------------------------------------------------------- Moody's Investors Service affirmed the ratings on seven classes of JP Morgan Chase Commercial Mortgage Securities Trust 2016-ASH, Commercial Mortgage Pass-Through Certificates, Series 2016-ASH. Moody's rating action is: Cl. A, Affirmed Aaa (sf); previously on Dec 2, 2016 Definitive Rating Assigned Aaa (sf) Cl. B, Affirmed Aa3 (sf); previously on Dec 2, 2016 Definitive Rating Assigned Aa3 (sf) Cl. C, Affirmed A3 (sf); previously on Dec 2, 2016 Definitive Rating Assigned A3 (sf) Cl. D, Affirmed Baa3 (sf); previously on Dec 2, 2016 Definitive Rating Assigned Baa3 (sf) Cl. E, Affirmed Ba3 (sf); previously on Dec 2, 2016 Definitive Rating Assigned Ba3 (sf) Cl. F, Affirmed B3 (sf); previously on Dec 2, 2016 Definitive Rating Assigned B3 (sf) Cl. X-CP, Affirmed A2 (sf); previously on Dec 2, 2016 Definitive Rating Assigned A2 (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. The rating on the IO class, Class X-CP is affirmed based on the credit quality of the reference classes. 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 Cl. X-CP was "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. DEAL PERFORMANCE As of the October 16, 2017 Payment Date, the transaction's aggregate certificate balance remains unchanged at $415 million. The securitization is backed by a single, 6-year (including four one-year extension options), floating rate loan collateralized by 18 full-service, limited-service, and extended-stay hotels. The interest only loan's final maturity date is in October 2022. There is $35 million of mezzanine debt held outside the trust. The transaction contains non-sequential prepayment provisions. So long as there is no event of default under the Mortgage Loan or Mezzanine Loan, principal prepayments attributable to the Mortgage Loan will be allocated pro rata among the outstanding principal balance of each of the Loan Components of the Mortgage Loan until 30% of the initial loan amount of the Mortgage Loan has been prepaid in the aggregate. As such, principal prepayments attributable to the Mortgage Loan would be applied pro rata to Certificates A through F until 30% of the initial loan balance has been prepaid. Our rating approach considers sequential pay in connection with a prepayment or collateral release as a credit neutral benchmark. Although the loan's release premium mitigates the risk of a ratings downgrade due to adverse selection, the pro rata payment structure limits ratings upgrade potential. The portfolio totals 3,540 guestroom located in 10 MSA's across seven states. Except for the Embassy Suites Flagstaff property (Hilton affiliation), the remaining 17 hotels have a Marriott affiliation (Marriott, Courtyard, Residence Inn, Springhill Suites, TownPlace Suites, and Sheraton). The portfolio's Net Cash Flow (NCF) for the trailing twelve month period ending June 2017 was $56.4 million compared to $54.9 million at securitization. Moody's stabilized NCF is $42.0 million, the same as securitization. Moody's stressed LTV and stressed DSCR are 109% and 1.09X, respectively. The trust has not incurred any losses or interest shortfalls as of the current Payment Date. JP MORGAN 2016-WSP: Moody's Affirms B3 Rating on Class F Certs -------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on seven classes in J.P. Morgan Chase Commercial Mortgage Securities Trust 2016-WSP, Commercial Mortgage Pass-Through Certificates, Series 2016-WSP: Cl. A, Affirmed Aaa (sf); previously on Sep 30, 2016 Definitive Rating Assigned Aaa (sf) Cl. B, Affirmed Aa3 (sf); previously on Sep 30, 2016 Definitive Rating Assigned Aa3 (sf) Cl. C, Affirmed A3 (sf); previously on Sep 30, 2016 Definitive Rating Assigned A3 (sf) Cl. D, Affirmed Baa3 (sf); previously on Sep 30, 2016 Definitive Rating Assigned Baa3 (sf) Cl. E, Affirmed Ba3 (sf); previously on Sep 30, 2016 Definitive Rating Assigned Ba3 (sf) Cl. F, Affirmed B3 (sf); previously on Sep 30, 2016 Definitive Rating Assigned B3 (sf) Cl. X-CP, Affirmed A3 (sf); previously on Sep 30, 2016 Definitive Rating Assigned A3 (sf) RATINGS RATIONALE The ratings of the P&I Classes were affirmed due to key parameters, including Moody's loan to value (LTV) ratio and Moody's stressed debt service ratio (DSCR) remaining within acceptable ranges. The rating of the interest only (IO) class, Class X-CP, was affirmed based on the credit quality of its referenced classes. 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 pay downs 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-CP was "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. DEAL PERFORMANCE As of the November 15, 2017 distribution date, the transaction's aggregate certificate balance remains $235 million, the same as at securitization. The Certificates are collateralized by a single mortgage loan collateralized by a portfolio of 63 cross collateralized and cross defaulted extended-stay hotels located in 20 states. The highest concentration of properties is in Florida, Texas and Ohio. The floating rate loan has an initial two-year term and three, one-year extension options and calls for monthly interest only payments for the entire loan term. The loan is structured with a hard lockbox and springing cash management. Reserves were established at securitization for real estate taxes, replacement reserves and a Rebranding Reserve account to rebrand up to 57 of the properties from the Value Place to WoodSpring Suites brand. Occupancy and financial performance have both improved since securitization. As of August 2017, the trailing twelve month occupancy and RevPAR were 84.8% and $32.73, respectively, compared to 84.2% and $30.20 for the trailing twelve month period at securitization. Moody's LTV is 107.2%, the same as at securitization. Moody's stressed debt service coverage ratio (DSCR) is 1.21X, the same as at securitization. The trust has not incurred any losses or interest shortfalls as of the current Payment Date. MARATHON CLO V: S&P Assigns BB-(sf) Rating on Class D-R Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1-R, A-2-R, B-R, C-R, and D-R replacement notes from Marathon CLO V Ltd., a collateralized loan obligation (CLO) originally issued in February 2013 that is managed by Marathon Asset Management LLC. S&P withdrew its ratings on the original class A-1, A-2a, A-2b, B-1, B-2, C, and D notes following payment in full on the Nov. 21, 2017, refinancing date. On the Nov. 21, 2017, refinancing date, the proceeds from the class A-1-R, A-2-R, B-R, C-R, and D-R replacement note issuances, combined with the proceeds of the issuance of additional subordinated notes, were used to redeem the original class A-1, A-2a, A-2b, B-1, B-2, C, and D notes as outlined in the transaction document provisions. Therefore, S&P withdrew its ratings on the original notes in line with their full redemption, and we are assigning ratings to the replacement notes. The replacement notes are being issued via a supplemental indenture, which, in addition to outlining the terms of the replacement notes, will also: -- Change the rated par amount and target initial par amount to $522.70 million and $564.82 million, respectively, from $550.95 million and $598.50 million, respectively. -- Extend the reinvestment period to Nov. 21, 2019, from Feb. 21, 2017. -- Extend the non-call period to Nov. 21, 2018, from Feb. 21, 2015. -- Extend the weighted average life test to six years calculated from the Nov. 21, 2017, refinancing date, from Feb. 21, 2021. -- Extend the legal final maturity date on the rated and subordinated notes to Nov. 21, 2027, from Feb. 21, 2025. -- Issue additional subordinated notes, increasing the subordinated notes' balance to $84.40 million from $63.30 million. -- Adopt the use of the non-model version of CDO Monitor. During the reinvestment period, the non-model version of CDO Monitor may be used for this transaction to indicate whether changes to the collateral portfolio are generally consistent with the transaction parameters S&P assumed when initially assigning ratings to the notes. -- Change the required minimum thresholds for the coverage tests. -- Make the transaction U.S. risk retention compliant. -- Incorporate the recovery rate methodology and updated industry classifications outlined in our August 2016 CLO criteria update (see "Global Methodologies And Assumptions For Corporate Cash Flow And Synthetic CDOs," published Aug. 8, 2016). REPLACEMENT AND ORIGINAL NOTE ISSUANCES Replacement Notes Class Amount Interest (mil. $) rate (%) A-1-R 369.30 LIBOR + 0.87 A-2-R 62.50 LIBOR + 1.45 B-R 34.10 LIBOR + 1.85 C-R 30.60 LIBOR + 2.75 D-R 26.20 LIBOR + 5.75 Subordinated notes 84.40 N/A Original Notes Class Amount Interest (mil. $) rate (%) A-1 350.45(i) LIBOR + 1.3213 A-2a 50.25 LIBOR + 2.35 A-2b 9.00 3.5635 B-1 51.00 LIBOR + 3.30 B-2 7.50 4.7445 C 31.20 LIBOR + 4.25 D 30.90 LIBOR + 5.70 Subordinated notes 63.30 N/A (i)Balance reported as of October 2017. N/A--Not available. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches. "The assigned ratings reflect our opinion that the credit support available is commensurate with the associated rating levels. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and we will take rating actions as we deem necessary." RATINGS ASSIGNED Marathon CLO V Ltd. Replacement class Rating Amount (mil $) A-1-R AAA (sf) 369.30 A-2-R AA (sf) 62.50 B-R A (sf) 34.10 C-R BBB- (sf) 30.60 D-R BB- (sf) 26.20 Subordinated notes NR 84.40 RATINGS WITHDRAWN Marathon CLO V Ltd. Rating Original class To From A-1 NR AAA (sf) A-2a NR AA (sf) A-2b NR AA (sf) B-1 NR A (sf) B-2 NR A (sf) C NR BBB (sf) D NR BB (sf) NR--Not rated. MERRILL LYNCH 2004-BPC1: Fitch Affirms 'Dsf' Rating on Cl. F Certs ------------------------------------------------------------------ Fitch Ratings has upgraded two and affirmed nine classes of Merrill Lynch Mortgage Trust, commercial mortgage pass-through certificates, series 2004-BPC1. KEY RATING DRIVERS The upgrades reflect better than expected recoveries on specially serviced loans; the Sugarloaf Business Center and Southwood 75 Business Center loan (43.6% of pool balance at the last rating action) repaid in full in September 2017. As of the November 2017 distribution date, the pool's aggregate principal balance has paid down by 98.7% to $16.5 million from $1.2 billion at issuance. Realized losses since issuance total $80 million (6.4% of original pool balance). Interest shortfalls totaling $7.4 million are currently impacting classes E through Q. All of the remaining loans are current. Concentrated Pool: The pool is highly concentrated with only three loans remaining. Due to the concentrated nature of the pool, Fitch performed a sensitivity analysis which grouped the remaining loans based on loan structural features, collateral quality and performance, which ranked them by their perceived likelihood of repayment. The ratings reflect this sensitivity analysis. The largest loan, Courtyard Dulles Town Center (51.1% of current pool), is secured by a 157-key limited service hotel property located in Sterling, VA. The property recently completed a $1.6 million room and corridor refresh/renovation project in May 2017. As of the Aug. 22, 2017 weekly STR report, the property reported an occupancy, average daily rate (ADR) and revenue per available room (RevPAR) of 77.1%, $108.41 and $83.60, respectively for the 28 days ended Aug. 19, 2017, and outperforms its competitive set, which reported 80.5%, $83.06 and $66.84, respectively. The servicer reported year-end (YE) 2016 net operating income debt service coverage ratio (NOI DSCR) was 1.35x. The second largest loan, Villas del Lago (45.9%), is secured by a 288-unit multifamily property located in Miami, FL. According to the master servicer's latest significant insurance event reporting, the property sustained no damage from Hurricane Irma. Occupancy as of July 2017 was 98.6%. YE 2016 NOI DSCR was 1.60x. The smallest loan (3%) is secured by a single-tenanted industrial property located in Valencia, CA that has been fully occupied by Wesco Aircraft Hardware Corp. since issuance. The single tenant's lease expires in September 2019, one month before the loan's maturity. Loan Maturities: The remaining loans are scheduled to mature in 2019 (two loans, 54.1% of pool) and 2022 (45.9%). RATING SENSITIVITIES The Stable Outlook for class D reflects the class's high credit enhancement and the high likelihood of repayment from scheduled amortization within the next three to four months. The class D rating has been capped at 'BBsf' to reflect pool concentration, but factors into consideration the increase in the class's credit enhancement. Given the pool concentration, additional upgrades are not expected. Downgrades are possible should the performance of the remaining loans decline significantly. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third-party due diligence was provided or reviewed in relation to this rating action. Fitch has upgraded the following classes and assigned Rating Outlooks as indicated: -- $0.2 million class D to 'BBsf' from 'Bsf'; Outlook Stable; -- $9.3 million class E to 'Bsf' from 'CCsf'; assign Outlook Stable. Fitch has affirmed the following classes: -- $7.0 million class F at 'Dsf'; RE 100%; -- $0 class G at 'Dsf'; RE 0%; -- $0 class H at 'Dsf'; RE 0%; -- $0 class J at 'Dsf'; RE 0%; -- $0 class K at 'Dsf'; RE 0%; -- $0 class L at 'Dsf'; RE 0%; -- $0 class M at 'Dsf'; RE 0%; -- $0 class N at 'Dsf'; RE 0%; -- $0 class P at 'Dsf'; RE 0%. The class A1 through C certificates have paid in full. Fitch does not rate the class Q certificates. Fitch previously withdrew the ratings on the interest-only class XC and XP certificates. MORGAN STANLEY 2008-TOP29: Fitch Lowers Ratings on 3 Tranches to C ------------------------------------------------------------------ Fitch Ratings has downgraded three subordinate classes and affirmed 14 classes of Morgan Stanley Capital I Trust (MSCI), series 2008-TOP29. KEY RATING DRIVERS Concentrated Pool with Binary Risk: Only 21 of the original 82 loans remains; the largest 11 loans represent 89% of the pool, of which five are specially serviced (38.8%). Due to the concentrated nature of the pool and significant near-term loan maturities, Fitch performed a sensitivity analysis that grouped the remaining loans based on loan structural features, collateral quality and performance, and ranked the loans by their perceived likelihood of repayment. The ratings and Outlooks reflect this sensitivity analysis in addition to the uncertainty regarding timing and amount of loan payoffs. Specially Serviced Assets and Near-Term Loan Maturities: The largest loan, Shadow Lake Towne Center (19.7% of the pool), transferred to special servicing after not paying off at its scheduled maturity date of Nov. 1, 2017. The Hilton-Indianapolis, the pool's third-largest loan (12%), did not pay off at loan maturity on Nov. 1, 2017; the loan remains current and with the master servicer as the sponsor is attempting to sell the property. There are three specially serviced assets ($58.9 million, 14.7%) located in Puerto Rico that had operations affected by Hurricane Maria. Additionally, 11 loans (20.2%) have a scheduled maturity date between December 2017 and February 2018. Defeasance: The affirmations of the three most senior classes reflect the defeasance of three loans ($113 million, 28.3% of the pool), which have a scheduled maturity of January 2018. The defeased collateral would pay off all of class A-4 and A-4FL and approximately 35% of the current class A-M balance. Shadow Lake Towne Center, the pool's largest loan, is specially serviced. The loan is secured by a 636,297 sf regional lifestyle center located in Papillion, NE, less than 15 miles south of downtown Omaha. The property was completed in September 2007 and was approximately 85% occupied at issuance; reported occupancy was 82% as of June 2017. The loan did not refinance at its scheduled maturity date. Major tenants include JCPenney (lease expiration 2027), Dick's Sporting Goods (2023) and TJ Maxx (2023). RATING SENSITIVITIES The Outlook on classes A-4, A-4FL and A-M is Stable as the two senior classes are expected to pay off in the next two months; class A-M should receive principal from defeased loans or principal from loan payoffs. The Negative Outlook on classes A-J1 through E reflects the uncertainty regarding the timing and recoveries on loans in special servicing and loans with near-term scheduled maturities. Downgrades are possible should additional loans not refinance and transfer to special servicing or if recoveries on defaulted assets are lower than expected. If loans pay off and the transaction delevers, classes may be affirmed or paid in full. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. Fitch has downgraded the following ratings: -- $10.8 million class H to 'Csf' from 'CCCsf'; RE 0%; -- $1.5 million class J to 'Csf' from 'CCsf'; RE 0%; -- $4.6 million class K to 'Csf' from 'CCsf'; RE 0%. Fitch has affirmed the following ratings and revised Outlooks as indicated: -- $69.7 million class A-4 at 'AAAsf'; Outlook Stable; -- $8.3 million class A-4FL at 'AAAsf'; Outlook Stable; -- $123.4 million class A-M at 'AAAsf'; Outlook Stable; -- $72.5 million class A-J1 at 'AAsf'; Outlook to Negative from Stable; -- $20.1 million class B at 'Asf'; Outlook to Negative from Stable; -- $10.8 million class C at 'BBBsf'; Outlook to Negative from Stable; -- $21.6 million class D at 'BBsf'; Outlook to Negative from Stable; -- $12.3 million class E at 'Bsf'; Outlook to Negative from Stable; -- $13.9 million class F at 'CCCsf'; RE 100%; -- $13.9 million class G at 'CCCsf'; RE 45%; -- $1.5 million class L at 'Csf'; RE 0%; -- $1.5 million class M at 'Csf'; RE 0%; -- $4.6 million class N at 'Csf'; RE 0%; -- $4.6 million class O at 'Csf'; RE 0%. Fitch does not rate class P, which has been reduced to $3.8 million from $15.2 million due to realized losses. Classes A-1, A-2, A-3 and A-AB are paid in full. Fitch previously withdrew the rating on the interest-only class X. NELNET EDUCATION 2004-1: Fitch Corrects November 16 Release ----------------------------------------------------------- Fitch Ratings issued a correction of a release published Nov. 16, 2017. It corrects the rating sensitivities which were included in the original release. The revised release is as follows: Fitch Ratings affirms the following Nelnet Education Loan Funding Trust 2004-1 (NELF 2004-1) outstanding notes backed by student loans originated under the Federal Family Education Loan Program (FFELP): -- Class A-2 at 'BBsf'; Outlook Stable; -- Class B-1 at 'BBsf'; Outlook Stable; -- Class B-2 at 'BBsf'; Outlook Stable. The trust was modeled under the assumption that the issuer exercises its option to allocate cash to the class B notes prior to the class A-2 notes. With this provision the class A-2 notes hit an event of default (EOD) under the base cases, and class B suffers an interest shortfall, as all class B interest post-EOD is diverted to pay class A principal. As a result, the class B notes fail the base cases as well. The post-EOD waterfall run is the primary scenario, given that the pre-EOD waterfall will not take into account the class B interest disruption. Should the issuer choose not to invoke the provision, both class A and B notes would be rated substantially higher. CRITERIA VARIATION The decision to rate the A-2, B-1 and B-2 notes at 'BBsf' rather than 'CCCsf' or below is a criteria variation. The class A-2 notes miss the credit and maturity stress base case scenarios by 1.00-1.50 years. Fitch has considered qualitative factors such as Nelnet's ability to call the notes upon reaching 10% pool factor, the long time horizon until the A-2 and B maturity dates, and the class A-2 under the base case scenarios miss the legal final maturity date within a six quarter timeframe with the maturity date still being over 13 years away. KEY RATING DRIVERS U.S. Sovereign Risk: The trust collateral comprises 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 cumulative default rate of 12.50% and a 3.50% default rate under the 'AAA' credit stress scenario. Fitch assumes a sustainable constant default rate of 2.2% and a sustainable constant prepayment rate (voluntary and involuntary) of 9.0% based on data provided by the issuer. Fitch applies the standard default timing curve. The claim reject rate is assumed to be 0.25% in the base case and 2.0% in the 'AAA' case. The trailing 12 month (TTM) average of deferment, forbearance, and income-based repayment (prior to adjustment) are 4.8%, 4.8%, and 10.8%, respectively, and are used as the starting point in cash flow modeling. Subsequent declines or increases are modeled as per criteria. The borrower benefit is assumed to be approximately 0.24%, based on information provided by the sponsor. 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 the July 2017 collection period, all of the trust student loans are indexed to one-month LIBOR. 89.4% of the bonds are indexed to three-month LIBOR and 10.64% of the bonds are auction-rate notes. Fitch applies its standard basis and interest rate stresses to this transaction as per criteria. Payment Structure: Credit enhancement (CE) is provided by overcollateralization, excess spread and, for the class A notes, subordination, from the class B notes. As the July 2017 collection period, total and senior effective parity ratio (which includes the reserve account) are, respectively, 113.80% (12.13% CE) and 101.69% (1.66% CE). Liquidity support is provided by a reserve account sized at the greater of 0.25% of the bond balance, and $1,515,000. Excess cash is currently being related from the trust. Maturity Risk: Fitch's student loan ABS cash flow model indicates the A-2 notes do not pay off before their maturity date in Fitch's modelling scenarios, including the base cases. If the breach of the class A-2 maturity date triggers an EOD, 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 Nelnet, Inc. Fitch believes Nelnet to be an acceptable servicers, due to its extensive track record of servicing FFELP loans. NELNET STUDENT 2005-4: Fitch Affirms 'BBsf' Ratings on 4 Tranches ----------------------------------------------------------------- Fitch Ratings has affirmed Nelnet Student Loan Trust 2005-4: -- Class A-3 at 'AAAsf'; Outlook Stable; -- Class A-4L at 'BBsf'; Outlook Stable; -- Class A-4AR-1 at 'BBsf'; Outlook Stable; -- Class A-4AR-2 at 'BBsf'; Outlook Stable; -- Class B at 'BBsf'; Outlook Stable. Class A-4 notes do not incur a shortfall in interest or principal and miss the maturity by 0.25 - 1.00 years in Fitch's modelling scenarios, including the base case, when the maturity date is still over 14 years out. Therefore, the notes are affirmed at 'BBsf'/Outlook Stable at this time, as a slight change in future economic environment could result in full repayment of bonds by maturity dates. The rating of subordinate tranches will typically not be eligible for ratings higher than any senior tranche in the same transaction. Given the maturity sensitivity and subsequent rating of 'BBsf' for the A-4 notes, the class B notes will also be affirmed at 'BBsf'/ Outlook Stable. 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 15.75% and a 47.25% default rate under the 'AAA' credit stress scenario. The base case default assumption of 15.75% implies a constant default rate of 2.5% (assuming a weighted average life of 6.3 years) consistent with a sustainable constant default rate utilized in the maturity stresses. Fitch applies the standard default timing curve in its credit stress cash flow analysis. The claim reject rate is assumed to be 0.25% in the base case and 2.0% in the 'AAA' case. The TTM levels of deferment, forbearance, and income-based repayment (prior to adjustment) are 4.47%, 5.46%, and 14.82%, respectively, and are used as the starting point in cash flow modeling. The sustainable constant prepayment rate (voluntary and involuntary) utilized for this review is 8.5%. Subsequent declines or increases are modeled as per criteria. The borrower benefit is assumed to be approximately 0.20%, based on information provided by the sponsor. 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 Aug. 31, 2017, all notes are indexed to three-month LIBOR and 96.35% of the trust student loans are indexed to one-month LIBOR. The remaining 3.65% of the trust student loans are indexed to 91 Day T-Bill. Payment Structure: Credit enhancement (CE) is provided by excess spread and, for the class A notes, subordination. As of August 2017, total and senior effective parity ratios (including the reserve) are 100.65% and 105.59%. Liquidity support is provided by a reserve, which is currently at its floor of $2,841,887.45. The transaction will continue to release cash as long as the target overcollateralization amount of $1,116,966.95 is maintained. Maturity Risk: Fitch's student loan ABS cash flow model indicates that the class A-3 notes are paid in full on or prior to the legal final maturity dates under the 'AAA' stress scenarios. The A-4 notes do not pay off before their maturity date in Fitch's modeling scenarios, including the base cases. If the breach of the class A-4 maturity date triggers an event of default, interest payments will be diverted away from the class B notes to pay principal for outstanding class A notes. Operational Capabilities: Day-to-day servicing, for the majority of the trust assets, is provided by Nelnet, Inc. Fitch believes Nelnet to be an acceptable servicer, due to its extensive track record as one of the largest servicers 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. 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 decrease 50%: class A 'CCCsf'; class B 'BBsf' -- IBR Usage increase 100%: class A 'CCCsf'; class B 'CCCsf' It is important to note that the 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. NEUBERGER BERMAN XX: Moody's Assigns B2 Rating to Class F-R Notes ----------------------------------------------------------------- Moody's Investors Service has assigned the following ratings to the following notes (the "Refinancing Notes") issued by Neuberger Berman CLO XX, Ltd.: US$317,500,000 Class A-R Senior Secured Floating Rate Notes due 2028 (the "Class A-R Notes"), Assigned Aaa (sf) US$62,500,000 Class B-R Senior Secured Floating Rate Notes due 2028 (the "Class B-R Notes"), Assigned Aa1 (sf) US$25,000,000 Class C-R Senior Secured Deferrable Floating Rate Notes due 2028 (the "Class C-R Notes"), Assigned A2 (sf) US$30,000,000 Class D-R Senior Secured Deferrable Floating Rate Notes due 2028 (the "Class D-R Notes"), Assigned Baa3 (sf) US$22,750,000 Class E-R Mezzanine Secured Deferrable Floating Rate Notes due 2028 (the "Class E-R Notes"), Assigned Ba2 (sf) US$12,000,000 Class F-R Mezzanine Secured Deferrable Floating Rate Notes due 2028 (the "Class F-R Notes"), Assigned B2 (sf) The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of senior secured, broadly syndicated corporate loans. Neuberger Berman Investment Advisers LLC (the "Manager") manages the CLO. It directs the selection, acquisition, and disposition of collateral on behalf of the Issuer. RATINGS RATIONALE Moody's ratings on the Refinancing Notes addresses the expected losses posed to noteholders. The ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. The Issuer has issued the Refinancing Notes on November 20, 2017 (the "Refinancing Date") in connection with the refinancing of certain classes of notes (the "Refinanced Original Notes") previously issued on November 20, 2015, the Original Closing Date. On the Refinancing Date, the Issuer used the proceeds from the issuance of the Refinancing Notes to redeem in full the Refinanced Original Notes. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2017. Factors That Would Lead to an Upgrade or a Downgrade of the Ratings: The performance of each class of the Issuer's notes is subject to uncertainty relating to certain factors and circumstances, and this uncertainty could lead Moody's to change its ratings: 1) Macroeconomic uncertainty: CLO performance is subject to uncertainty about credit conditions in the general economy. 2) Collateral Manager: Performance can also be affected positively or negatively by a) the Manager's investment strategy and behavior and b) differences in the legal interpretation of CLO documentation by the Manager or other transaction parties owing to embedded ambiguities. 3) Collateral credit risk: Investing in collateral of better credit quality, or better than Moody's expected credit performance of the assets collateralizing the transaction can lead to positive CLO performance. Conversely, a negative shift in the credit quality or performance of the collateral can have adverse consequences for CLO performance. 4) Deleveraging: During the amortization period, the pace of deleveraging from unscheduled principal proceeds is an important source of uncertainty. Deleveraging of the CLO could accelerate owing to high prepayment levels in the loan market and/or collateral sales by the Manager, which could have a significant impact on the ratings. Note repayments that are faster than Moody's current expectations will usually have a positive impact on CLO notes, beginning with those notes having the highest payment priority. 5) Weighted average life: The notes' ratings can be sensitive to the weighted average life assumption of the portfolio, which could lengthen owing to any decision by the Manager to reinvest into new issue loans or loans with longer maturities, or participate in amend-to-extend offerings. Life extension can increase the default risk horizon and assumed cumulative default probability of CLO collateral. 6) Weighted Average Spread (WAS): CLO performance can be sensitive to WAS, which is a key factor driving the amount of excess spread available as credit enhancement when a deal fails its over-collateralization or interest coverage tests. A decrease in excess spread, including as a result of losing the net interest benefit of LIBOR floors, or because market conditions make it difficult for the deal to source assets of appropriate credit quality in order to maintain its WAS target, would reduce the effective credit enhancement available for the notes. Together with the set of modeling assumptions described below, Moody's conducted additional sensitivity analyses, which were considered in determining the ratings assigned to the rated notes. In particular, in addition to the base case analysis, Moody's conducted sensitivity analyses to test the impact of a number of default probabilities on the rated notes relative to the base case modeling results. Below is a summary of the impact of different default probabilities, expressed in terms of WARF level, on the rated notes (shown in terms of the number of notches difference versus the base case model output, where a positive difference corresponds to a lower expected loss): Moody's Assumed WARF - 20% (2439) Class A-R: 0 Class B-R: +1 Class C-R: +4 Class D-R: +3 Class E-R: +1 Class F-R: +2 Moody's Assumed WARF + 20% (3659) Class A-R: 0 Class B-R: -3 Class C-R: -2 Class D-R: -2 Class E-R: -1 Class F-R: -1 Loss and Cash Flow Analysis: Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score, weighted average recovery rate, and weighted average spread, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions Performing par and principal proceeds balance: $500,000,000 Defaulted par: $0 Diversity Score: 64 Weighted Average Rating Factor (WARF): 3049 (corresponding to a weighted average default probability of 26.61%) Weighted Average Spread (WAS): 3.29% Weighted Average Recovery Rate (WARR): 49.20% 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. ONEMAIN DIRECT 2016-1: Moody's Hikes Cl. D Debt Rating From Ba1 --------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of four outstanding tranches issued from OneMain Direct Auto Receivables Trust 2016-1 (ODART 2016-1). The securitization is sponsored and serviced by Springleaf Finance Corporation (SFC), rated B2, a wholly owned subsidiary of OneMain Holdings, Inc., rated B2. The complete rating actions are as follow: Issuer: OneMain Direct Auto Receivables Trust 2016-1 Class A, Upgraded to Aaa (sf); previously on Apr 17, 2017 Upgraded to Aa1 (sf) Class B, Upgraded to Aaa (sf); previously on Apr 17, 2017 Upgraded to Aa3 (sf) Class C, Upgraded to Aa2 (sf); previously on Apr 17, 2017 Upgraded to A3 (sf) Class D, Upgraded to Baa2 (sf); previously on Apr 17, 2017 Upgraded to Ba1 (sf) RATINGS RATIONALE The upgrades are a result of the buildup of credit enhancement owing to structural features including a sequential pay bond structure, a non-declining reserve account and overcollateralization. The transaction has particularly benefited from the sequential pay bond structure because the underlying pool of SFC's direct auto loans prepay at a much higher rate than typical auto loans. SFC frequently refinances existing direct auto loans for qualified borrowers which results in a prepayment of the loan out of the trust. As long as SFC continues its renewal practice, the transaction will benefit from high prepayments and a rapid buildup of credit enhancement. The lifetime cumulative net loss (CNL) expectation for ODART 2016-1 was decreased to 3.75% from 5.50%, reflecting stronger than expected performance of the underlying loans as well as high prepayments. Moody's CNL expectation is based on the transaction performance to date as well as loss performance of SFC's portfolio of hard secured loans greater than $6,000 in balance since 2006. SFC launched the direct auto loan product in May 2014, thus there is limited performance data. While SFC has extensive performance data on its "hard secured" consumer loan portfolio -- which also includes borrowing backed by vehicles -- the average balance, term, APR and vehicle age of loans in that portfolio are significantly different than direct auto loans. Defaults and recovery rates will be difficult to forecast accurately until more data is gathered. Moody's expect the direct auto loan performance to be stronger than the historical hard secured loan performance due to its stronger borrower characteristics as well as it's historically higher recovery rates. Below are key performance metrics (as of the October distribution date) and credit assumptions for each affected transaction. The credit assumptions include Moody's expected lifetime CNL expectation (expressed as a percentage of the original pool balance) and Moody's lifetime remaining CNL expectation (expressed as a percentage of the current pool balance). Performance metrics include the pool factor, which is the ratio of the current collateral balance to the original collateral balance at closing; total hard credit enhancement, which typically consists of subordination, overcollateralization, and a reserve fund; and excess spread per annum. Issuer: OneMain Direct Auto Receivables Trust 2016-1 Lifetime CNL expectation -- 3.75%; prior expectation (April 2017) -- 5.50% Lifetime Remaining CNL expectation -- 5.61% Pool factor -- 40.44% Total Hard credit enhancement - Class A 59.92%, Class B 44.97%, Class C 28.15%, Class D 10.47% Excess Spread per annum - Approximately 10.7% PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Global Approach to Rating Auto Loan- and Lease-Backed ABS" published in October 2016. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are greater than necessary to protect investors against current expectations of loss could lead to an upgrade of the rating. Moody's current expectations of loss may be better than its original expectations because of lower frequency of default by the underlying obligors or appreciation in the value of the vehicles that secure the obligor's promise of payment. The US job market and the market for used vehicle are primary drivers of performance. Other reasons for better performance than Moody's expected include changes in servicing practices to maximize collections on the loans or refinancing opportunities that result in a prepayment of the loan. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could lead to a downgrade of the ratings. Moody's current expectations of loss may be worse than its original expectations because of higher frequency of default by the underlying obligors of the loans or a deterioration in the value of the vehicles that secure the obligor's promise of payment. The US job market and the market for used vehicle are primary drivers of performance. Other reasons for worse performance than Moody's expected include poor servicing, error on the part of transaction parties, lack of transactional governance and fraud. RESIDENTIAL REINSURANCE 2017: S&P Rates Class 3 Notes 'B-(sf)' -------------------------------------------------------------- S&P Global Ratings said it has assigned a rating of 'B-(sf)' to the $130 million Series 2017-II Class 3 notes issued by Residential Reinsurance 2017 Ltd. (Res Re 2017) due Dec. 6, 2021. The notes cover losses in all 50 states and the District of Columbia from tropical cyclones (including flood coverage for renters' policies), earthquake (including fire following and flood coverage for renters' policies), severe thunderstorm, winter storm, wildfire, volcanic eruption, meteorite impact, and other perils on a per-occurrence basis. The ratings are based on the lowest of the natural-catastrophe (nat-cat) risk factor ('b-'), the rating on the assets in the Regulation 114 trust account ('AAAm'), and the rating on the ceding insurer, various operating companies in the United Services Automobile Association group (all currently rated 'AA+/Stable/--'). The base-case one-year probability of attachment, expected loss, and probability of exhaustion are 4.04%, 2.84%, and 2.06%, respectively. Using the warm sea surface temperature results, these percentages are 4.61%, 3.24%, and 2.33%, respectively. Additionally, this issuance has a variable reset. Beginning with the initial reset in June 2018, the attachment probability and expected loss can be reset to maximum of 5.54% and 3.34%, respectively. This maximum attachment probability was used as the baseline to determine the nat-cat risk factor for the remaining risk periods. Based on AIR's analysis, on a historical basis, there would be a 61% principal reduction to Class 3 from the 1938 Great New England hurricane. RATINGS LIST New Rating Senior Secured Residential Reinsurance 2017 Ltd. Series 2017-II Class 3 notes B-(sf) SALOMON BROTHERS 2000-C3: Moody's Affirms C Rating on Cl. X Certs ----------------------------------------------------------------- Moody's Investors Service has affirmed the rating of one interest-only (IO) class in Salomon Brothers Commercial Mortgage Trust 2000-C3, Commercial Mortgage Pass-Through Certificates Series 2000-C3: Cl. X, Affirmed C (sf); previously on Jun 9, 2017 Downgraded to C (sf) RATINGS RATIONALE The rating of the IO Class, Cl. X, 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. 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 Cl. X was "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. DEAL PERFORMANCE As of the October 18, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 99% to $14.5 million from $915 million at securitization. The Certificates are collateralized by five mortgage loans. One loan, representing 1% of the pool, has defeased and is secured by US Government securities. There are no loans on the master servicer's watchlist. Thirty-eight loans have been liquidated from the pool, resulting in an aggregate realized loss of approximately $49.6 million (26% loss severity on average). Two loans, representing 93% of the pool, are in special servicing. The two specially serviced loans are the A-Note and B-Note for the Granite State Marketplace Loan, which was previously modified to include an A/B note split. The A-Note is a $10.3 million loan (representing 70.6% of the pool) and the B-Note is a $3.3 million loan (representing 22.8% of the pool). The mortgage loan is secured by a 250,000 square foot (SF) anchored retail center located in Hooksett, New Hampshire. The loan originally transferred to special servicing in September 2008 for maturity default and a loan modification was subsequently executed that included a note split and maturity date extension. The loan did not pay off at the extended maturity date in November 2012 and the asset is currently real estate owned (REO). Moody's estimates an aggregate $3.3 million loss for a specially serviced loan (100% expected loss on average). There are two performing non-defeased loans that represent 5.6% of the pool balance. Both loans are fully amortizing. The largest loan is the K-Mart Shopping Center -- Salt Lake City Loan ($713,893-- 4.9% of the pool), which is secured by a single tenant retail center located in Murray, Utah. The property is 100% leased to the Kmart Corporation until May 2020. Given the single tenant exposure of this property, Moody's applied a lit dark analysis for this asset. The loan is a fully amortizing loan that has amortized 71% since securitization. Moody's LTV and stressed DSCR are 26% and 3.98X, respectively, compared to 32% and 3.20X at the last review. The second largest loan is the Edgewood Apartments Loan ($104,690-- 0.7% of the pool), which is secured by a 24-unit multifamily property in Duluth, Minnesota, approximately 160 miles northeast of Minneapolis - St. Paul. The property was 100% leased as of December 2016. The loan is a fully amortizing loan and has amortized 84% since securitization. Moody's LTV and stressed DSCR are 9.3% and >4.00X, respectively, compared to 14% and >4.00 X at last review. SARANAC CLO VII: Moody's Assigns Ba3 Rating to Class E-R Notes -------------------------------------------------------------- Moody's Investors Service has assigned the following ratings to the following notes (the "Refinancing Notes") issued by Saranac CLO VII Limited: US$172,000,000 Class A-1A-R Senior Secured Floating Rate Notes due 2029 (the "Class A-1A-R Notes"), Assigned Aaa (sf) US$30,000,000 Class A-1F-R Senior Secured Fixed Rate Notes due 2029 (the "Class A-1F-R Notes"), Assigned Aaa (sf) US$23,000,000 Class A-2-R Senior Secured Floating Rate Notes due 2029 (the "Class A-2-R Notes"), Assigned Aaa (sf) US$31,500,000 Class B-R Senior Secured Floating Rate Notes due 2029 (the "Class B-R Notes"), Assigned Aa2 (sf) US$20,000,000 Class C-R Secured Deferrable Floating Rate Notes due 2029 (the "Class C-R Notes"), Assigned A2 (sf) US$19,000,000 Class D-R Secured Deferrable Floating Rate Notes due 2029 (the "Class D-R Notes"), Assigned Baa3 (sf) US$19,000,000 Class E-R Secured Deferrable Floating Rate Notes due 2029 (the "Class E-R Notes"), Assigned Ba3 (sf) The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of senior secured, broadly syndicated corporate loans . Saranac CLO Management, LLC (the "Manager") manages the CLO. It directs the selection, acquisition, and disposition of collateral on behalf of the Issuer. RATINGS RATIONALE Moody's ratings on the Refinancing Notes address the expected losses posed to noteholders. The ratings reflects the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. The Issuer has issued the Refinancing Notes on November 20, 2017 (the "Refinancing Date") in connection with the refinancing of all classes of the secured notes (the "Refinanced Original Notes") previously issued on April 4, 2014 (the "Original Closing Date"). On the Refinancing Date, the Issuer used proceeds from the issuance of the Refinancing Notes to redeem in full the Refinanced Original Notes. In addition to the issuance of the Refinancing Notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; changes to the overcollateralization test levels; and changes to comply with the Volcker Rule. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2017. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $339,725,760 Defaulted Par: $475,460 Diversity Score: 75 Weighted Average Rating Factor (WARF): 2980 Weighted Average Spread (WAS): 3.65% Weighted Average Spread (WAC): 5.0% Weighted Average Recovery Rate (WARR): 48.0% Weighted Average Life (WAL): 8.5 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 a Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. Together with the set of modeling assumptions above, Moody's conducted an additional sensitivity analysis, which was a component in determining the ratings assigned to the Refinancing Notes. This sensitivity analysis includes increased default probability relative to the base case. Below is a summary of the impact of an increase in default probability (expressed in terms of WARF level) on the Refinancing Notes (shown in terms of the number of notch difference versus the current model output, whereby a negative difference corresponds to higher expected losses), assuming that all other factors are held equal: Percentage Change in WARF -- increase of 15% (from 2980 to 3427) Rating Impact in Rating Notches Class A-1A-R: 0 Class A-1F-R: 0 Class A-2-R: -1 Class B-R: -2 Class C-R: -2 Class D-R: -1 Class E-R: -1 Percentage Change in WARF -- increase of 30% (from 2980 to 3874) Rating Impact in Rating Notches Class A-1A-R: 0 Class A-1F-R: 0 Class A-2-R: -3 Class B-R: -3 Class C-R: -4 Class D-R: -2 Class E-R: -1 SASCO 2007-BHC1: Moody's Affirms C Rating on Class A-1 Certs ------------------------------------------------------------ Moody's Investors Service has affirmed the rating on the following certificates issued by SASCO 2007-BHC1 Trust, Commercial Mortgage-Backed Securities Pass-Through Certificates, Series 2007-BHC1 ("SASCO 2007-BHC1"): Cl. A-1, Affirmed C (sf); previously on Dec. 1, 2016 Affirmed C (sf) The Class A-1 Certificates are referred to herein as the "Rated Certificates". RATINGS RATIONALE Moody's has affirmed the rating on the Rated Certificates because the key transaction metrics are commensurate with the existing ratings. The increase in credit quality of the outstanding pool, as evidenced by WARF, did not more than offset the realized losses to date. The rating action is the result of Moody's on-going surveillance of commercial real estate collateralized debt obligation (CRE CDO and Re-REMIC) transactions. SASCO 2007-BHC1 is a static cash transaction solely backed by a portfolio of commercial mortgage backed securities (CMBS) issued in 2005 and 2006. As of the trustee's October 20, 2017 report, the aggregate certificate balance of the transaction, has decreased to $41.6 million from $501.3 million at issuance, primarily as a result of the realized losses from the underlying CMBS collateral applied to the certificates. Moody's has identified the following as key indicators of the expected loss in CRE CDO transactions: the weighted average rating factor (WARF), the weighted average life (WAL), the weighted average recovery rate (WARR), and Moody's asset correlation (MAC). Moody's typically models these as actual parameters for static deals and as covenants for managed deals. WARF is a primary measure of the credit quality of a CRE CDO pool. Moody's has updated its assessments for the collateral it does not rate. The rating agency modeled a bottom-dollar WARF of 7500, compared to 8097 at last review. The current ratings on the Moody's-rated collateral and the assessments of the non-Moody's rated collateral follow: A1-A3 (0.0% compared to 3.2% at last review); Ba1-Ba3 (24.7% compared to 10.9% at last review); and Caa1-Ca/C (75.3% compared to 85.9% at last review). Moody's modeled a WAL of 1.6 years, compared to 2.0 years at last review. The WAL is based on assumptions about extensions on the underlying CMBS look-through loan collateral. Moody's modeled a fixed WARR of 0.0%, same as that at last review. Moody's modeled a MAC of 100.0%, same as that at last review. Methodology Underlying the Rating Action: The principal methodology used in this rating was "Moody's Approach to Rating SF CDOs" published in June 2017. Factors That Would Lead to an Upgrade or Downgrade of the Rating: The performance of the Rated Certificates is subject to uncertainty, because it is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that are subject to change. The servicing decisions of the master and special servicer and surveillance by the operating advisor with respect to the collateral interests and oversight of the transaction will also affect the performance of the Rated Certificates. Moody's Parameter Sensitivities: Changes to any one or more of the key parameters could have rating implications for the Rated Certificates, although a change in one key parameter assumption could be offset by a change in one or more of the other key parameter assumptions. The Rated Certificates are particularly sensitive to changes in the recovery rates of the underlying collateral and credit assessments. However, in light of the performance indicators noted above, Moody's believes that it is unlikely that the rating announced is sensitive to further change. Primary sources of assumption uncertainty are the extent of growth in the current macroeconomic environment. Commercial real estate property values are continuing to move in a positive direction along with a rise in investment activity and stabilization in core property type performance. Limited new construction, moderate job growth and the decreased cost of debt and equity capital have aided this improvement. SATURNS SEARS 2003-1: Moody's Lowers Rating on $60.19MM Notes to Ca ------------------------------------------------------------------- Moody's Investors Service has downgraded the rating on the following certificates issued by SATURNS Sears Roebuck Acceptance Corp. Debenture Backed Series 2003-1: US$60,191,725 7.25% Callable Units due June 1, 2032 Notes (current outstanding balance of $46,808,075), Downgraded to Ca; previously on January 25, 2017 Downgraded to Caa3 RATINGS RATIONALE The rating action is a result of the change in the rating of the 7.00% Sears Roebuck Acceptance Corp. debentures due June 1, 2032, issued by Sears Roebuck Acceptance Corp. ("Underlying Securities"), which was downgraded to Ca on November 16, 2017. The transaction is a structured note whose rating is based on the rating of the Underlying Securities and the legal structure of the transaction. Methodology Underlying the Rating Action The principal methodology used in this rating was "Moody's Approach to Rating Repackaged Securities" published in June 2015. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING: The rating will be sensitive to any change in the rating of the 7.00% Sears Roebuck Acceptance Corp. debentures due June 1, 2032, issued by Sears Roebuck Acceptance Corp. SDART 2017-1: Moody's Hikes Class E Notes Rating to Ba2 ------------------------------------------------------- Moody's Investors Service has upgraded 13 tranches and affirmed 30 tranches from Santander SDART Auto Receivables Trust securitizations issued between 2014 and 2017. The securitizations are sponsored by Santander Consumer USA Inc. (SC). Complete rating actions are as follow: Issuer: Santander Drive Auto Receivables Trust 2014-3 Class C Asset Backed Notes, Affirmed Aaa (sf); previously on Aug 29, 2017 Affirmed Aaa (sf) Class D Asset Backed Notes, Affirmed Aaa (sf); previously on Aug 29, 2017 Affirmed Aaa (sf) Class E Asset Backed Notes, Upgraded to Aaa (sf); previously on Aug 29, 2017 Upgraded to Aa1 (sf) Issuer: Santander Drive Auto Receivables Trust 2014-4 Class C Notes, Affirmed Aaa (sf); previously on Aug 29, 2017 Affirmed Aaa (sf) Class D Notes, Affirmed Aaa (sf); previously on Aug 29, 2017 Affirmed Aaa (sf) Class E Notes, Upgraded to Aa2 (sf); previously on Aug 29, 2017 Upgraded to Aa3 (sf) Issuer: Santander Drive Auto Receivables Trust 2014-5 Class C Notes, Affirmed Aaa (sf); previously on Aug 29, 2017 Affirmed Aaa (sf) Class D Notes, Affirmed Aaa (sf); previously on Aug 29, 2017 Affirmed Aaa (sf) Class E Notes, Upgraded to Aa2 (sf); previously on Aug 29, 2017 Upgraded to Aa3 (sf) Issuer: Santander Drive Auto Receivables Trust 2015-2 Class B Notes, Affirmed Aaa (sf); previously on Aug 29, 2017 Affirmed Aaa (sf) Class C Notes, Affirmed Aaa (sf); previously on Aug 29, 2017 Affirmed Aaa (sf) Class D Notes, Affirmed Aaa (sf); previously on Aug 29, 2017 Upgraded to Aaa (sf) Class E Notes, Upgraded to A1 (sf); previously on Aug 29, 2017 Upgraded to A2 (sf) Issuer: Santander Drive Auto Receivables Trust 2015-3 Class B Notes, Affirmed Aaa (sf); previously on Aug 29, 2017 Affirmed Aaa (sf) Class C Notes, Affirmed Aaa (sf); previously on Aug 29, 2017 Affirmed Aaa (sf) Class D Notes, Affirmed Aaa (sf); previously on Aug 29, 2017 Upgraded to Aaa (sf) Class E Notes, Affirmed A2 (sf); previously on Aug 29, 2017 Upgraded to A2 (sf) Issuer: Santander Drive Auto Receivables Trust 2015-4 Class B Notes, Affirmed Aaa (sf); previously on Aug 29, 2017 Affirmed Aaa (sf) Class C Notes, Affirmed Aaa (sf); previously on Aug 29, 2017 Affirmed Aaa (sf) Class D Notes, Affirmed Aaa (sf); previously on Aug 29, 2017 Upgraded to Aaa (sf) Class E Notes, Affirmed A3 (sf); previously on Aug 29, 2017 Upgraded to A3 (sf) Issuer: Santander Drive Auto Receivables Trust 2016-1 Class A-3 Notes, Affirmed Aaa (sf); previously on Aug 29, 2017 Affirmed Aaa (sf) Class B Notes, Affirmed Aaa (sf); previously on Aug 29, 2017 Affirmed Aaa (sf) Class C Notes, Affirmed Aaa (sf); previously on Aug 29, 2017 Upgraded to Aaa (sf) Class D Notes, Upgraded to Aa2 (sf); previously on Aug 29, 2017 Upgraded to Aa3 (sf) Class E Notes, Upgraded to Baa2 (sf); previously on Aug 29, 2017 Upgraded to Baa3 (sf) Issuer: Santander Drive Auto Receivables Trust 2016-2 Class A-3 Notes, Affirmed Aaa (sf); previously on Aug 29, 2017 Affirmed Aaa (sf) Class B Notes, Affirmed Aaa (sf); previously on Aug 29, 2017 Affirmed Aaa (sf) Class C Notes, Affirmed Aaa (sf); previously on Aug 29, 2017 Upgraded to Aaa (sf) Class D Notes, Upgraded to Aa3 (sf); previously on Aug 29, 2017 Upgraded to A1 (sf) Class E Notes, Affirmed Baa3 (sf); previously on Aug 29, 2017 Upgraded to Baa3 (sf) Issuer: Santander Drive Auto Receivables Trust 2016-3 Class A-2 Notes, Affirmed Aaa (sf); previously on Aug 29, 2017 Affirmed Aaa (sf) Class A-3 Notes, Affirmed Aaa (sf); previously on Aug 29, 2017 Affirmed Aaa (sf) Class B Notes, Affirmed Aaa (sf); previously on Aug 29, 2017 Upgraded to Aaa (sf) Class C Notes, Upgraded to Aaa (sf); previously on Aug 29, 2017 Upgraded to Aa1 (sf) Class D Notes, Upgraded to A2 (sf); previously on Aug 29, 2017 Upgraded to A3 (sf) Class E Notes, Affirmed Ba1 (sf); previously on Aug 29, 2017 Upgraded to Ba1 (sf) Issuer: Santander Drive Auto Receivables Trust 2017-1 Class A-2 Notes, Affirmed Aaa (sf); previously on Feb 28, 2017 Definitive Rating Assigned Aaa (sf) Class A-3 Notes, Affirmed Aaa (sf); previously on Feb 28, 2017 Definitive Rating Assigned Aaa (sf) Class B Notes, Upgraded to Aaa (sf); previously on Feb 28, 2017 Definitive Rating Assigned Aa1 (sf) Class C Notes, Upgraded to Aa1 (sf); previously on Feb 28, 2017 Definitive Rating Assigned Aa3 (sf) Class D Notes, Upgraded to Baa1 (sf); previously on Feb 28, 2017 Definitive Rating Assigned Baa2 (sf) Class E Notes, Upgraded to Ba2 (sf); previously on Feb 28, 2017 Definitive Rating Assigned Ba3 (sf) RATINGS RATIONALE The upgrades resulted from the build-up of credit enhancement due to the sequential pay structures and non-declining reserve accounts. The lifetime cumulative net loss (CNL) expectations remained unchanged for the six transactions issued between 2014 and 2015 and range between 13.00% and 14.50%. The lifetime CNL expectations were lowered to 14.50% from 15.00% for the 2016-1, 2016-2 and 2016-3 transactions, and to 15.00% from 17.00% for the 2017-1 transaction. Below are key performance metrics (as of the October 2017 distribution date) and credit assumptions for each affected transaction. The credit assumptions include Moody's expected lifetime CNL expectation, expressed as a percentage of the original pool balance; Moody's lifetime remaining CNL expectation and Moody's Aaa level, both expressed as a percentage of the current pool balance. The Aaa level is the level of credit enhancement that would be consistent with a Aaa (sf) rating for the given asset pool at this time. Performance metrics include the pool factor, which is the ratio of the current collateral balance to the original collateral balance at closing; total hard credit enhancement, which typically consists of subordination, overcollateralization, and a reserve fund as applicable; and excess spread per annum. Issuer: Santander Drive Auto Receivables Trust 2014-3 Lifetime CNL expectation - 13.00%, prior expectation (August 2017) -- 13.00% Lifetime Remaining CNL expectation -- 11.47% Aaa (sf) level - 34.00% Pool factor -- 20.67% Total Hard credit enhancement - Class C Notes 88.39%, Class D Notes 50.87%, Class E Notes 26.68% Excess Spread per annum - Approximately 9.7% Issuer: Santander Drive Auto Receivables Trust 2014-4 Lifetime CNL expectation - 14.00%, prior expectation (August 2017) -- 14.00% Lifetime Remaining CNL expectation -- 14.42% Aaa (sf) level - 35.00% Pool factor -- 24.89% Total Hard credit enhancement - Class C Notes 76.26%, Class D Notes 45.12%, Class E Notes 25.04% Excess Spread per annum - Approximately 9.4% Issuer: Santander Drive Auto Receivables Trust 2014-5 Lifetime CNL expectation - 14.00%, prior expectation (August 2017) -- 14.00% Lifetime Remaining CNL expectation -- 13.97% Aaa (sf) level - 35.00% Pool factor -- 28.17% Total Hard credit enhancement - Class C Notes 69.37%, Class D Notes 41.85%, Class E Notes 24.10% Excess Spread per annum - Approximately 9.7% Issuer: Santander Drive Auto Receivables Trust 2015-2 Lifetime CNL expectation - 14.00%, prior expectation (August 2017) -- 14.00% Lifetime Remaining CNL expectation -- 15.98% Aaa (sf) level - 37.00% Pool factor -- 33.81% Total Hard credit enhancement - Class B Notes 98.08%, Class C Notes 59.63%, Class D Notes 36.71%, Class E Notes 21.92% Excess Spread per annum - Approximately 10.1% Issuer: Santander Drive Auto Receivables Trust 2015-3 Lifetime CNL expectation -- 14.00%, prior expectation (August 2017) -- 14.00% Lifetime Remaining CNL expectation -- 14.80% Aaa (sf) level - 37.00% Pool factor -- 37.20% Total Hard credit enhancement - Class B Notes 90.60%, Class C Notes 55.65%, Class D Notes 34.82%, Class E Notes 21.38% Excess Spread per annum - Approximately 9.8% Issuer: Santander Drive Auto Receivables Trust 2015-4 Lifetime CNL expectation -- 14.50%, prior expectation (August 2017) -- 14.50% Lifetime Remaining CNL expectation -- 14.79% Aaa (sf) level -- 39.00% Pool factor -- 40.85% Total Hard credit enhancement - Class B Notes 83.94%, Class C Notes 52.12%, Class D Notes 33.14%, Class E Notes 20.90% Excess Spread per annum - Approximately 9.8% Issuer: Santander Drive Auto Receivables Trust 2016-1 Lifetime CNL expectation - 14.50%, prior expectation (August 2017) -- 15.00% Lifetime Remaining CNL expectation -- 15.29% Aaa (sf) level - 42.00% Pool factor -- 51.47% Total Hard credit enhancement - Class A Notes 93.42%, Class B Notes 69.92%, Class C Notes 44.66%, Class D Notes 29.60%, Class E Notes 19.89% Excess Spread per annum - Approximately 9.7% Issuer: Santander Drive Auto Receivables Trust 2016-2 Lifetime CNL expectation -- 14.50%, prior expectation (August 2017) -- 15.00% Lifetime Remaining CNL expectation -- 15.59% Aaa (sf) level - 44.00% Pool factor -- 57.88% Total Hard credit enhancement - Class A Notes 84.85%, Class B Notes 63.95%, Class C Notes 41.48%, Class D Notes 28.09%, Class E Notes 19.46% Excess Spread per annum - Approximately 10.2% Issuer: Santander Drive Auto Receivables Trust 2016-3 Lifetime CNL expectation -- 14.50%, prior expectation (August 2017) -- 15.00% Lifetime Remaining CNL expectation -- 16.24% Aaa (sf) level - 46.00% Pool factor -- 68.05% Total Hard credit enhancement - Class A Notes 74.5%, Class B Notes 56.53%, Class C Notes 37.16%, Class D Notes 26.53%, Class E Notes 19.19% Excess Spread per annum - Approximately 10.6% Issuer: Santander Drive Auto Receivables Trust 2017-1 Lifetime CNL expectation -- 15.00%, original expectation (February 2017) -- 17.00% Lifetime Remaining CNL expectation -- 16.26% Aaa (sf) level - 48.00% Pool factor -- 79.54% Total Hard credit enhancement - Class A Notes 65.91%, Class B Notes 52.58%, Class C Notes 36.49%, Class D Notes 23.54%, Class E Notes 18.51% Excess Spread per annum - Approximately 10.2% The principal methodology used in these ratings was "Moody's Global Approach to Rating Auto Loan- and Lease-Backed ABS" published in October 2016. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are greater than necessary to protect investors against current expectations of loss could lead to an upgrade of the rating. Moody's current expectations of loss may be better than its original expectations because of lower frequency of default by the underlying obligors or appreciation in the value of the vehicles that secure the obligor's promise of payment. The US job market and the market for used vehicle are primary drivers of performance. Other reasons for better performance than Moody's expected include changes in servicing practices to maximize collections on the loans or refinancing opportunities that result in a prepayment of the loan. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could lead to a downgrade of the ratings. Moody's current expectations of loss may be worse than its original expectations because of higher frequency of default by the underlying obligors of the loans or a deterioration in the value of the vehicles that secure the obligor's promise of payment. The US job market and the market for used vehicle are primary drivers of performance. Other reasons for worse performance than Moody's expected include poor servicing, error on the part of transaction parties, lack of transactional governance and fraud. SLC STUDENT 2004-1: Fitch Affirms B-sf Rating on 2 Tranches ----------------------------------------------------------- Fitch Ratings has affirmed the following classes of SLC Student Loan Trust 2004-1: -- Class A-6 notes at 'AAAsf'; Outlook Stable; -- Class A-7 notes at 'B-sf'; Outlook Stable; -- Class B notes at 'B-sf'; Outlook Stable. The class A-7 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 'B-sf' rather than 'CCCsf' or below, Fitch has considered qualitative factors such as Navient's ability to call the notes upon reaching 10% pool factor, the long time horizon until the A-7 and B maturity dates, and the eventual full payment of principal in modelling. Since there is no revolving credit facility in place from Navient for SLC 2004-1, the class A-7 and B notes are affirmed at 'B-sf' rather than 'Bsf', which is the rating given to transactions with this type of support. KEY RATING DRIVERS U.S. Sovereign Risk: The trust collateral comprises 100% Federal Family Education Loan Program (FFELP) loans with guarantees 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 8.5% and a 25.5% default rate under the 'AAA' credit stress scenario. The base case default assumption of 8.5% implies a sustainable constant default rate of 1.5% (assuming a weighted average life of 5.7years) and a sustainable constant prepayment rate of 8.0%. 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 3.3%, 6.8%, and 8.3%, 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 approximately 0.35%, based on information provided by the sponsor. 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 August 2017, 100% of the trust student loans are indexed to 1-month LIBOR. All of the notes are indexed to 3-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 excess spread and, for the class A notes, subordination. As of August 2017, total and senior effective parity ratios (including the reserve) are 100.54% (0.53% CE) and 105.55% (5.26% CE). Liquidity support is provided by a reserve sized at 0.25% of the pool balance (with a floor of $2,250,000), currently equal to $2,250,000. The transaction will continue to release cash as long as the target total parity threshold of 100.0% is maintained. Maturity Risk: Fitch's student loan ABS cash flow model indicates that the notes are paid in full on or prior to the legal final maturity dates under the commensurate rating scenario. Operational Capabilities: Day-to-day servicing is provided by Navient Solutions, LLC. (formerly known as Sallie Mae, Inc.). Fitch believes Navient to be an acceptable servicer, due to its extensive track record as the largest servicer of FFELP loans. SLM STUDENT 2012-5: Fitch Affirms 'Bsf' Rating on Class B Notes --------------------------------------------------------------- Fitch Ratings has affirmed the following classes of SLM Student Loan Trust 2012-5: -- Class A-2 notes at 'AAAsf'; Outlook Stable; -- Class A-3 notes at 'Bsf'; Outlook Stable; -- Class B notes at 'Bsf'; Outlook Stable. The class A-3 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 'CCCsf' or below, Fitch has considered qualitative factors such as Navient's ability to call the notes upon reaching 10% pool factor, the long time horizon until the A-3 and B maturity dates, eventual full payment of principal in modelling, and the revolving credit facility in place from Navient. KEY RATING DRIVERS U.S. Sovereign Risk: The trust collateral comprises 100% Federal Family Education Loan Program (FFELP) loans with guarantees 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 23.5% and a 70.5% default rate under the 'AAA' credit stress scenario. The base case default assumption of 23.5% implies a sustainable constant default rate of 4.1% (assuming a weighted average life of 5.5 years) and a sustainable constant prepayment rate of 11.0%. 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 9.4%, 17.4%, and 18.5%, 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 approximately 0.04%, based on information provided by the sponsor. 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 September 2017, 100% of the trust student loans are indexed to 1-month LIBOR. All of the notes are indexed to 1-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 excess spread and, for the class A notes, subordination. As of September 2017, total and senior effective parity ratios (including the reserve) are 101.01% (1.00% CE) and 107.22% (6.73% CE). Liquidity support is provided by a reserve sized at 0.25% of the pool balance (with a floor of $1,250,046), currently equal to $1,600,687. The transaction will continue to release cash as long as the target overcollateralization threshold of 1% and $1,300,000 is maintained. Maturity Risk: Fitch's student loan ABS cash flow model indicates that the notes are paid in full on or prior to the legal final maturity dates under the commensurate rating scenario. Operational Capabilities: Day-to-day servicing is provided by Navient Solutions, LLC. (formerly known as Sallie Mae, Inc.). 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 0.5%: 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 decrease 50%: class A 'CCCsf'; class B 'CCCsf'; -- IBR Usage increase 100%: 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. TOWD POINT: Moody's Assigns Ratings to $1.3BB of Reperforming RMBS ------------------------------------------------------------------ Moody's Investors Service has assigned definitive ratings to 67 notes from six RMBS transactions issued by Towd Point Mortgage Trust ("TPMT"). The certificates are backed by seasoned performing and re-performing mortgage loans with a large percentage of the loans previously modified. The collateral pools comprised of first lien, fixed rate and adjustable rate mortgage loans. Complete rating actions are: Issuer: Towd Point Mortgage Trust 2015-1 Cl. A, Assigned Baa1 (sf); previously on Jan 7, 2015 Assigned NR (sf) Cl. A2, Assigned Aaa (sf); previously on Jan 7, 2015 Assigned NR (sf) Cl. A3, Assigned Aaa (sf); previously on Jan 7, 2015 Assigned NR (sf) Cl. A4, Assigned Aa1 (sf); previously on Jan 7, 2015 Assigned NR (sf) Cl. A5, Assigned A2 (sf); previously on Jan 7, 2015 Assigned NR (sf) Cl. A6, Assigned Baa3 (sf); previously on Jan 7, 2015 Assigned NR (sf) Cl. AE, Assigned Aaa (sf); previously on Jan 15, 2015 Assigned NR (sf) Cl. AE1, Assigned Aaa (sf); previously on Jan 7, 2015 Assigned NR (sf) Cl. AE2, Assigned Aaa (sf); previously on Jan 7, 2015 Assigned NR (sf) Cl. AE3, Assigned Aaa (sf); previously on Jan 7, 2015 Assigned NR (sf) Cl. AE4, Assigned Aa1 (sf); previously on Jan 7, 2015 Assigned NR (sf) Cl. AE5, Assigned Aa1 (sf); previously on Jan 7, 2015 Assigned NR (sf) Cl. AE6, Assigned Aa1 (sf); previously on Jan 7, 2015 Assigned NR (sf) Cl. AE7, Assigned A1 (sf); previously on Jan 7, 2015 Assigned NR (sf) Cl. AE8, Assigned A1 (sf); previously on Jan 7, 2015 Assigned NR (sf) Cl. AE9, Assigned A1 (sf); previously on Jan 7, 2015 Assigned NR (sf) Cl. AE10, Assigned A1 (sf); previously on Jan 7, 2015 Assigned NR (sf) Cl. AE11, Assigned Baa1 (sf); previously on Jan 7, 2015 Assigned NR (sf) Cl. AE12, Assigned Baa2 (sf); previously on Jan 7, 2015 Assigned NR (sf) Cl. AE13, Assigned Baa2 (sf); previously on Jan 7, 2015 Assigned NR (sf) Cl. AE14, Assigned Baa2 (sf); previously on Jan 7, 2015 Assigned NR (sf) Cl. B, Assigned Ca (sf); previously on Jan 7, 2015 Assigned NR (sf) Cl. B1, Assigned Caa1 (sf); previously on Jan 7, 2015 Assigned NR (sf) Cl. B2, Assigned C (sf); previously on Jan 7, 2015 Assigned NR (sf) Cl. C, Assigned Caa2 (sf); previously on Jan 7, 2015 Assigned NR (sf) Issuer: Towd Point Mortgage Trust 2015-2 Cl. 1-B1, Assigned Aa2 (sf); previously on May 27, 2015 Assigned NR (sf) Cl. 1-B2, Assigned A3 (sf); previously on May 27, 2015 Assigned NR (sf) Cl. 1-B3, Assigned B2 (sf); previously on May 27, 2015 Assigned NR (sf) Cl. 1-M2, Assigned Aaa (sf); previously on May 27, 2015 Assigned NR (sf) Issuer: Towd Point Mortgage Trust 2015-5 Cl. B1, Assigned A2 (sf); previously on Oct 23, 2015 Assigned NR (sf) Cl. B2, Assigned Baa2 (sf); previously on Oct 23, 2015 Assigned NR (sf) Cl. B3, Assigned Caa3 (sf); previously on Oct 23, 2015 Assigned NR (sf) Cl. M2, Assigned Aa2 (sf); previously on Oct 23, 2015 Assigned NR (sf) Issuer: Towd Point Mortgage Trust 2015-6 Cl. A2, Assigned Aaa (sf); previously on Nov 18, 2015 Assigned NR (sf) Cl. A2A, Assigned Aaa (sf); previously on Nov 18, 2015 Assigned NR (sf) Cl. A3, Assigned Aaa (sf); previously on Nov 18, 2015 Assigned NR (sf) Cl. A3A, Assigned Aaa (sf); previously on Nov 18, 2015 Assigned NR (sf) Cl. A3B, Assigned Aaa (sf); previously on Nov 18, 2015 Assigned NR (sf) Cl. A3C, Assigned Aaa (sf); previously on Nov 18, 2015 Assigned NR (sf) Cl. A4, Assigned Aa1 (sf); previously on Nov 18, 2015 Assigned NR (sf) Cl. A4A, Assigned Aa1 (sf); previously on Nov 18, 2015 Assigned NR (sf) Cl. A4B, Assigned Aa1 (sf); previously on Nov 18, 2015 Assigned NR (sf) Cl. A4C, Assigned Aa1 (sf); previously on Nov 18, 2015 Assigned NR (sf) Cl. B1, Assigned Baa2 (sf); previously on Nov 18, 2015 Assigned NR (sf) Cl. B2, Assigned Ba2 (sf); previously on Nov 18, 2015 Assigned NR (sf) Cl. M1, Assigned Aa2 (sf); previously on Nov 18, 2015 Assigned NR (sf) Cl. M1A, Assigned Aa2 (sf); previously on Nov 18, 2015 Assigned NR (sf) Cl. M2, Assigned A2 (sf); previously on Nov 18, 2015 Assigned NR (sf) Cl. M2A, Assigned A2 (sf); previously on Nov 18, 2015 Assigned NR (sf) Issuer: Towd Point Mortgage Trust 2016-2 Cl. A4, Assigned Aa1 (sf) Cl. A4A, Assigned Aa1 (sf) Cl. A4B, Assigned Aa1 (sf) Cl. A4C, Assigned Aa1 (sf) Cl. A5, Assigned A1 (sf) Cl. B1, Assigned Baa3 (sf) Cl. B2, Assigned Ba3 (sf) Cl. B3, Assigned Ca (sf) Cl. M1, Assigned Aa2 (sf) Cl. M2, Assigned A3 (sf) Issuer: Towd Point Mortgage Trust 2016-3 Cl. B1, Assigned Baa2 (sf); previously on Jul 21, 2016 Assigned NR (sf) Cl. B2, Assigned Baa3 (sf); previously on Jul 21, 2016 Assigned NR (sf) Cl. M1, Assigned Aa2 (sf); previously on Jul 21, 2016 Assigned NR (sf) Cl. M1A, Assigned Aa2 (sf); previously on Jul 21, 2016 Assigned NR (sf) Cl. M1B, Assigned Aa2 (sf); previously on Jul 21, 2016 Assigned NR (sf) Cl. M2, Assigned A2 (sf); previously on Jul 21, 2016 Assigned NR (sf) Cl. M2A, Assigned A2 (sf); previously on Jul 21, 2016 Assigned NR (sf) Cl. M2B, Assigned A2 (sf); previously on Jul 21, 2016 Assigned NR (sf) RATINGS RATIONALE Summary Credit Analysis and Rating Rationale The rating actions are based on Moody's updated loss expectations on the underlying pools and reflect the credit enhancement available to the bonds. Moody's loss expectations incorporate Moody's assessment of the representations and warranties frameworks of the transactions, the due diligence findings of the third party review received at the time of issuance, and the strength of Select Portfolio Servicing, Inc. ("SPS") as the transaction's servicer. Collateral Description The collateral pools backing the transactions are comprised of seasoned, re-performing mortgage loans. A large percentage of the loans in the collateral pools have been previously modified. The majority of the loans underlying these transactions exhibit collateral characteristics similar to that of seasoned Alt-A mortgages. We base Moody's expected losses on a pool of re-performing mortgage loans 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. Moody's estimates of defaults are driven by annual delinquency assumptions adjusted for roll-rates, prepayments and default burnout factors. In estimating defaults on these pools, Moody's used initial expected annual delinquency rates of 6% to 9% and expected prepayment rates of 5% to 8% based on the collateral characteristics of the individual pools. In applying Moody's loss severity assumptions, Moody's accounted for the lack of principal and interest advancing in these transactions. In addition, Moody's used the following approach to assess expected losses on the deferred balance in these transactions : Under HAMP-PRA (Principal Reduction Alternative), the mortgage balance 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 and (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 the future or are 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 loans with non-PRA deferred balances, Moody's applied a slightly higher default rate 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 these loans, Moody's assumed approximately 95% severity on the deferred balance as servicers can recover a portion of the deferred balance. The pools have exhibited lower delinquencies and faster prepayment rates since issuance of the deals than originally anticipated, resulting in an improvement to Moody's future loss projections on the pools. Moreover, cumulative losses realized on the pools to date have been small and are largely driven by modification losses recognized on principal forborne amounts. Moody's expected losses on the pools reflect a negative adjustment for the findings from the TPR firms at the time of issuance. Moody's expected loss also includes a positive adjustment for the servicing quality of the pool which reflects the presence of an asset manager and Select Portfolio Servicing, Inc. (SPS) as the servicer. Transaction Structure The note principal allocation in the transactions is fully sequential, where a given class of notes can only receive principal payments when all classes of notes that are senior to it have been paid off. Similarly, losses will be applied in reverse sequential order. Any excess spread (the excess of net interest received on the collateral over interest payable on the notes) is available to pay Net WAC Shortfalls to the fixed rate notes in the transactions. In TPMT 2015-1 and TPMT 2016-3, excess spread is available to make interest and principal payments to the notes and therefore provides additional credit enhancement by amortizing the senior notes at a faster pace. Cash cannot be diverted to pay principal on the junior tranches without completely repaying the principal on the senior notes. The triggers usually present in mortgage-backed transactions are not incorporated in this transaction, also the servicer will not advance any principal or interest on delinquent loans. Transaction Parties The transactions benefit from a strong servicing arrangement. Select Portfolio Servicing, Inc. is the primary servicer of the collateral for these transactions. Furthermore, FirstKey Mortgage, LLC, the asset manager, oversees the servicer, which strengthens the overall servicing framework in the transaction. Wells Fargo Bank, National Association and U.S. Bank National Association are the Custodians in these transactions. Indenture Trustee for these transactions is U.S. Bank National Association. Representations & Warranties Our ratings reflect the weak representations and warranties (R&Ws) framework in the transactions. The obligation of the representation provider, Cerberus Global Residential Mortgage Opportunity Fund, L.P. expired thirteen payment dates from deal issuance. While the transactions provide for a Breach Reserve Account to cover for any breaches of R&Ws, the size of the account is small relative to the aggregate size of the pools. 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 "US RMBS Surveillance Methodology" published in January 2017. 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. WAVE LLC 2017-1: S&P Assigns BB Rating on $480.07MM Class C Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to WAVE 2017-1 LLC's $480.07 million fixed-rate series A, B, and C notes. The note issuance is an asset-backed security transaction backed by 19 aircraft and the related leases and shares or beneficial interests in entities that directly and indirectly receive aircraft portfolio lease rental and residual cash flows, among others. The ratings reflect: -- The likelihood of timely interest on the series A notes (excluding the step-up amount) on each payment date, the timely interest on the series B notes (excluding the step-up amount) when they are the senior-most notes outstanding on each payment date, and ultimate interest and principal payments made to the series A, B, and C notes on the legal final maturity in our rating stress scenario. -- The 69.39% loan-to-value (LTV) ratio on the series A notes, the 79.59% LTV ratio on the series B notes, and the 84.70% LTV ratio on the series C notes. The LTV ratios are based on the S&P Global Ratings-adjusted lower of the mean and median of the three half-life base values and the three half-life current market values. -- The aircraft collateral's quality and lease rental and residual value generating capability. The portfolio comprises 19 planes currently leased to 17 airlines worldwide, with a weighted average age of approximately 7.2 years and remaining average lease term of approximately 4.1 years. -- Many of the initial lessees' low credit quality, with 63% (by aircraft value) domiciled in emerging markets. Our view of the lessee credit quality, country risk, lessee concentration, and country concentration is reflected in our lessee default rate assumptions. -- A revolving credit facility that equals nine months of interest on the series A and B notes. -- Morten Beyer & Agnew Inc.'s maintenance analysis, which it will provide at closing and annually thereafter. -- That the senior maintenance reserve account and junior reserve account must keep a balance of the higher of $1 million, or if less, the sum of the outstanding principal balance of the series A and series B notes and the sum of forward-looking maintenance expenses. The maintenance reserve account will be funded at $3.46 million at closing. The excess maintenance amounts divided by the required amount will be transferred to the payment waterfall. -- The senior indemnification, which is capped at $10 million and is modeled to occur in the first 12 months. -- The junior indemnification, which is uncapped and is subordinated to the rated series' principal payment. -- The servicer, Wings, which is a new aircraft leasing company. Wings' in-house aircraft assets and aviation finance team is experienced in managing new and mid-life aircraft assets. RATINGS ASSIGNED WAVE 2017-1 LLC Class Rating Amount (mil. $) A A (sf) 393.31 B BBB (sf) 57.84 C BB (sf) 28.92 WELLS FARGO 2012-C6: Fitch Affirms 'Bsf' Rating on Class F Certs ---------------------------------------------------------------- Fitch Ratings has affirmed nine classes of Wells Fargo Commercial Mortgage Securities Inc. (WFRBS) commercial mortgage pass-through certificates series 2012-C6. KEY RATING DRIVERS Generally Stable Performance; Paydown and Defeasance: The rating affirmations reflect the stable performance of the majority of the remaining pool and sufficient credit enhancement relative to Fitch Ratings' loss expectations. As of the October 2017 distribution date, the pool's aggregate principal balance had paid down by 23.3% to $710 million from $925 million at issuance, including the payoff of the second largest loan, Windsor Hotel Portfolio II. Six loans (9.5% of pool), including the third largest loan, WPC Self Storage Portfolio, are fully defeased. The pool has not incurred any losses to date. High Retail Concentration: Twenty-nine loans (39.2% of pool) are backed by retail properties, including seven of the top 15 (18.8%). The second largest property concentration is office (14.9%), followed by self-storage (12.9%). Fitch Loans of Concern: Fitch has designated 12 loans (14% of pool) as Fitch Loans of Concern (FLOCs), including two loans (3.7%) in the top 20 and two specially serviced loans (1.3%). The 13th largest loan (1.9%), Commerce Park IV & V, which is secured by two office buildings located in Beachwood, OH, had experienced a decline in occupancy to 74% as of September 2017 from 93% at issuance due to tenants vacating at or prior to lease expiration. The 16th largest loan (1.8%), Montclair on the Park-Missouri, which is secured by a 206-unit multifamily property located in St. Louis, MO, reported negative property-level cash flow for 2016 due to lower occupancy as the borrower is implementing significant renovations at the property. Three loans secured by hotel properties (3.2%) were flagged as FLOCs, including the Hobbs Hotel Portfolio loan (1.2%) and the specially serviced Holiday Inn - Odessa loan (1.0%). Performance of the Hobbs Hotel Portfolio, which consists of two hotel properties totaling 161 keys located in Hobbs, NM, and the Holiday Inn - Odessa, which is secured by a 102-key hotel property in Odessa, TX, has been impacted by the downturn of the oil and gas industry and the oversupply in their respective markets. The remaining performing FLOCs were flagged for low DSCR, vacating anchor tenants, declining occupancy or cash flow and near-term lease rollover concern. The other small specially serviced loan, which is secured by a self-storage property in Fort Worth, TX and remains current, was transferred due to guarantor bankruptcy. Hurricane Exposure: Four loans (2.2% of pool) are secured by or have underlying exposure to properties located in areas of Texas impacted by Hurricane Harvey. According to the master servicer's most recent significant insurance event (SIE) reporting, damage was sustained at the Gulfgate Square property located in Houston (1.0%), but its extent is unknown at this time. No damage was sustained at the King's Row MHC property in Houston (0.6%) or the Westfield Ridge Apartments property in Humble (0.3%). The servicer is still awaiting a response from the borrower on two of the underlying properties in the Sunwest Portfolio, 100 Cleveland S.C. (0.2%) and 1380 North Main Street (0.1%). Six loans (8.0%) are secured by or have underlying exposure to properties located in areas of Florida impacted by Hurricane Irma. The most recent SIE reporting indicated minor damage to the following properties: Boca Industrial Park in Boca Raton (3.1%), Hampton Inn LBV in Orlando (1.3%) and LaCarreta in Miami (0.7%). Neither the Hillcrest RV Resort in Zephyrhills (0.7%), an underlying property in the Parrish Portfolio, nor the Holiday Inn Express Kendall property in Kendall (1.0%) reported damage. The borrower was contacted and the servicer is awaiting a response for the 800, 804, 763 Buildings properties in Miami Beach (1.2%). Loan Maturities: Loan maturities are concentrated in 2022 (63.3% of pool) and 2021 (36.7%). RATING SENSITIVITIES The Stable Rating Outlooks on classes A-3 through E reflect increased credit enhancement and expected continued paydowns. Future rating upgrades, although unlikely in the near term due to increasing pool concentrations, are possible with improved pool performance and additional paydown or defeasance. The Rating Outlook on class F was revised to Negative due to performance concerns surrounding the FLOCs, primarily the two loans secured by limited-service hotel properties in Odessa, TX and Hobbs, NM. A rating downgrade is possible should performance continue to deteriorate or as additional loans transfer to special servicing. Fitch has affirmed and revised Rating Outlook on the following classes: -- $46.7 million class A3 at 'AAAsf'; Outlook Stable; -- $385.4 million class A4 at 'AAAsf'; Outlook Stable; -- $532.7 million class X-A at 'AAAsf'; Outlook Stable; -- $100.6 million class AS at 'AAAsf'; Outlook Stable; -- $42.8 million class B at 'AAsf'; Outlook Stable; -- $31.2 million class C at 'Asf'; Outlook Stable; -- $47.4 million class D at 'BBB-sf'; Outlook Stable; -- $13.9 million class E at 'BBsf'; Outlook Stable; -- $13.9 million class F at 'Bsf'; Outlook to Negative from Stable. Fitch does not rate the class X-B or G certificates. [*] Moody's Hikes $1.465BB of Subprime RMBS Issued 2002-2007 ------------------------------------------------------------ Moody's Investors Service has upgraded the ratings of 56 tranches, from 21 transactions issued by various issuers between 2002 and 2007. Complete rating actions are: Issuer: Asset Backed Securities Corporation Home Equity Loan Trust 2006-HE4 Cl. A1A, Upgraded to Aaa (sf); previously on Dec 12, 2016 Upgraded to Aa1 (sf) Cl. A2, Upgraded to Aaa (sf); previously on Dec 12, 2016 Upgraded to Aa2 (sf) Cl. A5, Upgraded to Aa1 (sf); previously on Dec 12, 2016 Upgraded to A1 (sf) Cl. A6, Upgraded to Aa2 (sf); previously on Dec 12, 2016 Upgraded to A2 (sf) Issuer: Asset Backed Securities Corporation Home Equity Loan Trust Series MO 2006-HE6 Cl. A1, Upgraded to Baa1 (sf); previously on Dec 12, 2016 Upgraded to Baa3 (sf) Cl. A4, Upgraded to Ba1 (sf); previously on Dec 12, 2016 Upgraded to Ba3 (sf) Cl. A5, Upgraded to Ba2 (sf); previously on Dec 12, 2016 Upgraded to B1 (sf) Issuer: C-BASS 2003-CB4 Trust Cl. M-1, Upgraded to B1 (sf); previously on Mar 10, 2015 Upgraded to Caa1 (sf) Issuer: Citicorp Residential Mortgage Trust Series 2007-1 Cl. A-4, Upgraded to Baa2 (sf); previously on Mar 11, 2016 Upgraded to Ba2 (sf) Cl. A-5, Upgraded to Baa3 (sf); previously on Mar 11, 2016 Upgraded to Ba3 (sf) Cl. A-6, Upgraded to Baa2 (sf); previously on Mar 11, 2016 Upgraded to Ba2 (sf) Cl. M-1, Upgraded to Ca (sf); previously on Aug 20, 2012 Confirmed at C (sf) Issuer: Citicorp Residential Mortgage Trust Series 2007-2 Cl. A-4, Upgraded to Baa3 (sf); previously on Sep 2, 2015 Upgraded to B1 (sf) Cl. A-5, Upgraded to Ba1 (sf); previously on Sep 2, 2015 Upgraded to B3 (sf) Cl. A-6, Upgraded to Baa3 (sf); previously on Sep 2, 2015 Upgraded to B1 (sf) Cl. M-1, Upgraded to Ca (sf); previously on Jun 1, 2010 Downgraded to C (sf) Issuer: CSFB Home Equity Asset Trust 2006-2 Cl. 1-A-1, Upgraded to Aa2 (sf); previously on Jul 18, 2016 Upgraded to A2 (sf) Cl. 2-A-4, Upgraded to A1 (sf); previously on Jul 18, 2016 Upgraded to Baa2 (sf) Cl. M-1, Upgraded to Caa2 (sf); previously on Sep 4, 2015 Upgraded to Ca (sf) Issuer: CSFB Home Equity Asset Trust 2006-3 Cl. 1-A-1, Upgraded to Aaa (sf); previously on Oct 21, 2016 Upgraded to Aa1 (sf) Cl. 2-A-4, Upgraded to Aaa (sf); previously on Oct 21, 2016 Upgraded to Aa1 (sf) Cl. M-1, Upgraded to Baa1 (sf); previously on Oct 21, 2016 Upgraded to Baa3 (sf) Cl. M-2, Upgraded to Ca (sf); previously on May 5, 2010 Downgraded to C (sf) Issuer: HSBC Home Equity Loan Trust (USA) 2007-3 Cl. M-1, Upgraded to Aaa (sf); previously on Dec 16, 2016 Upgraded to Aa2 (sf) Cl. M-2, Upgraded to Aaa (sf); previously on Dec 16, 2016 Upgraded to Aa3 (sf) Issuer: J.P. Morgan Mortgage Acquisition Corp. 2005-WMC1 Cl. M-4, Upgraded to Ca (sf); previously on Jul 14, 2010 Downgraded to C (sf) Issuer: Nationstar Home Equity Loan Asset-Backed Certificates, Series 2007-C Cl. 1-AV-1, Upgraded to Ba3 (sf); previously on Dec 16, 2016 Upgraded to B1 (sf) Cl. 2-AV-3, Upgraded to Ba1 (sf); previously on Dec 16, 2016 Upgraded to B1 (sf) Cl. 2-AV-4, Upgraded to Ba2 (sf); previously on Dec 16, 2016 Upgraded to B1 (sf) Issuer: Nationstar Home Equity Loan Trust 2007-B Cl. 1-AV-1, Upgraded to A3 (sf); previously on Dec 16, 2016 Upgraded to Baa2 (sf) Cl. 2-AV-3, Upgraded to Baa3 (sf); previously on Dec 16, 2016 Upgraded to B1 (sf) Cl. 2-AV-4, Upgraded to Ba1 (sf); previously on Dec 16, 2016 Upgraded to B2 (sf) Cl. M-1, Upgraded to Ca (sf); previously on May 5, 2010 Downgraded to C (sf) Issuer: Ownit Mortgage Loan Trust 2006-1 Cl. AV, Upgraded to A2 (sf); previously on Aug 30, 2016 Upgraded to Baa1 (sf) Issuer: Popular ABS Mortgage Pass-Through Trust 2005-A Cl. M-2, Upgraded to Ba1 (sf); previously on Feb 16, 2016 Upgraded to Ba3 (sf) Cl. M-3, Upgraded to Ba2 (sf); previously on Dec 12, 2016 Upgraded to B1 (sf) Cl. M-4, Upgraded to B3 (sf); previously on Dec 12, 2016 Upgraded to Caa2 (sf) Issuer: Popular ABS Mortgage Pass-Through Trust 2006-D Cl. A-2, Upgraded to Aaa (sf); previously on Apr 21, 2016 Upgraded to Aa3 (sf) Cl. A-3, Upgraded to Aa3 (sf); previously on Apr 21, 2016 Upgraded to Baa1 (sf) Cl. M-1, Upgraded to Ca (sf); previously on Jul 21, 2010 Downgraded to C (sf) Issuer: RAMP Series 2005-EFC6 Trust Cl. M-1, Upgraded to Aaa (sf); previously on May 16, 2016 Upgraded to Aa2 (sf) Cl. M-2, Upgraded to Aa2 (sf); previously on May 16, 2016 Upgraded to A1 (sf) Cl. M-3, Upgraded to Baa2 (sf); previously on May 16, 2016 Upgraded to Ba2 (sf) Cl. M-4, Upgraded to Caa2 (sf); previously on May 16, 2016 Upgraded to Ca (sf) Issuer: RAMP Series 2006-RZ2 Trust Cl. A-3, Upgraded to Aa3 (sf); previously on Jun 2, 2016 Upgraded to Baa1 (sf) Cl. M-1, Upgraded to B1 (sf); previously on Jun 25, 2015 Upgraded to Caa2 (sf) Issuer: RASC Series 2005-KS12 Trust Cl. M-1, Upgraded to Aaa (sf); previously on May 18, 2016 Upgraded to Aa2 (sf) Cl. M-2, Upgraded to Aa3 (sf); previously on May 18, 2016 Upgraded to Baa2 (sf) Cl. M-3, Upgraded to Ba1 (sf); previously on May 18, 2016 Upgraded to B3 (sf) Cl. M-4, Upgraded to Caa3 (sf); previously on Mar 5, 2013 Affirmed C (sf) Issuer: Salomon Brothers Mortgage Securities VII, Inc. Union Planters Mortgage Loan Trust 2003-UP1 Cl. A, Upgraded to Baa3 (sf); previously on Mar 7, 2011 Downgraded to B1 (sf) Issuer: Saxon Asset Securities Trust 2002-2 Cl. AF-5, Upgraded to Ba1 (sf); previously on Feb 5, 2015 Downgraded to B1 (sf) Cl. AF-6, Upgraded to Baa3 (sf); previously on Feb 5, 2015 Downgraded to B1 (sf) Issuer: Securitized Asset Backed Receivables LLC Trust 2007-NC2 Cl. A-1, Upgraded to Ba1 (sf); previously on Feb 25, 2016 Upgraded to B1 (sf) Issuer: Structured Asset Investment Loan Trust 2003-BC7 Cl. 3-A2, Upgraded to A1 (sf); previously on Feb 18, 2016 Upgraded to Baa1 (sf) Cl. M1, Upgraded to Ba2 (sf); previously on Mar 4, 2011 Downgraded to B3 (sf) RATINGS RATIONALE The upgrades are primarily due to an increase in credit enhancement available to the bonds. The actions reflect the recent performance of the underlying pools and Moody's updated loss expectations on the pools. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in January 2017. Factors that would lead to an upgrade or downgrade of the ratings: Ratings in the US RMBS sector remain exposed to the high level of macroeconomic uncertainty, and in particular the unemployment rate. The unemployment rate fell to 4.1% in October 2017 from 4.8% in October 2016. Moody's forecasts an unemployment central range of 4.5% to 5.5% for the 2017 year. Deviations from this central scenario could lead to rating actions in the sector. House prices are another key driver of US RMBS performance. Moody's expects house prices to continue to rise in 2017. Lower increases than Moody's expects or decreases could lead to negative rating actions. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. [*] Moody's Takes Action on $198.7MM of RMBS Issued 2001-2007 ------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 13 bonds, downgraded the ratings of two bonds, and confirmed the ratings of 21 bonds from 18 RMBS transactions issued between 2001 and 2007. The action resolves the review of 24 interest-only (IO) bonds. Two of the IO bonds were among those placed on review on 15 August 2017 in connection with a correction of errors in Moody's earlier analysis of certain RMBS IO bonds. The rest of the IO bonds were among those placed on review 29 August 2017 in connection with a reassessment of Moody's internal linkage of certain IO bonds to their reference bond(s) or pool(s). Complete rating actions are: Issuer: Bear Stearns Asset-Backed Securities Trust 2002-AC1 Cl. X-3, Downgraded to C (sf); previously on Aug 29, 2017 Ca (sf) Placed Under Review Direction Uncertain Issuer: CHL Mortgage Pass-Through Trust 2005-7 Cl. 2-X, Confirmed at C (sf); previously on Aug 29, 2017 C (sf) Placed Under Review for Possible Upgrade Cl. 1-X, Confirmed at Caa3 (sf); previously on Aug 29, 2017 Caa3 (sf) Placed Under Review Direction Uncertain Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-J6 Cl. 1-X, Confirmed at Caa2 (sf); previously on Aug 29, 2017 Caa2 (sf) Placed Under Review Direction Uncertain Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2006-OA7 Cl. 3-A-1, Upgraded to Caa3 (sf); previously on Nov 23, 2010 Downgraded to Ca (sf) Cl. 1-A-1, Upgraded to Caa3 (sf); previously on Aug 6, 2015 Confirmed at Ca (sf) Cl. 1-X, Confirmed at C (sf); previously on Aug 29, 2017 C (sf) Placed Under Review for Possible Upgrade Cl. 2-X, Confirmed at C (sf); previously on Aug 29, 2017 C (sf) Placed Under Review for Possible Upgrade Issuer: HarborView Mortgage Loan Trust 2005-9 Cl. 1-PO, Upgraded to B1 (sf); previously on Apr 18, 2016 Upgraded to B3 (sf) Cl. 2-PO, Upgraded to B1 (sf); previously on Apr 18, 2016 Upgraded to B3 (sf) Cl. 3-PO, Upgraded to B1 (sf); previously on Apr 18, 2016 Upgraded to B3 (sf) Cl. 1-X, Confirmed at Ba1 (sf); previously on Aug 29, 2017 Ba1 (sf) Placed Under Review Direction Uncertain Cl. 2-X, Upgraded to Baa2 (sf); previously on Aug 29, 2017 Ba1 (sf) Placed Under Review Direction Uncertain Cl. 3-X, Confirmed at C (sf); previously on Aug 29, 2017 C (sf) Placed Under Review for Possible Upgrade Issuer: Lehman XS Trust Series 2007-12N Cl. 1-AX, Confirmed at C (sf); previously on Aug 29, 2017 C (sf) Placed Under Review for Possible Upgrade Cl. 2-AX, Confirmed at C (sf); previously on Aug 29, 2017 C (sf) Placed Under Review for Possible Upgrade Cl. 3-A1, Upgraded to Caa1 (sf); previously on Oct 22, 2010 Downgraded to Caa3 (sf) Issuer: MASTR Asset Securitization Trust 2004-1 Cl. 5-A-20, Downgraded to B1 (sf); previously on Aug 15, 2017 Ba1 (sf) Placed Under Review Direction Uncertain Issuer: Morgan Stanley Mortgage Loan Trust 2004-11AR Cl. 1-X-B, Confirmed at C (sf); previously on Aug 29, 2017 C (sf) Placed Under Review for Possible Upgrade Issuer: Morgan Stanley Mortgage Loan Trust 2005-2AR Cl. A, Upgraded to Ba1 (sf); previously on Oct 6, 2015 Upgraded to Ba3 (sf) Cl. X, Confirmed at Ca (sf); previously on Aug 29, 2017 Ca (sf) Placed Under Review Direction Uncertain Issuer: MRFC Mortgage Pass-Through Certificates, Series 2001-TBC1 Cl. X, Confirmed at B3 (sf); previously on Aug 29, 2017 B3 (sf) Placed Under Review Direction Uncertain Issuer: RAAC Series 2005-SP2 Trust Cl. M-I-2, Upgraded to A1 (sf); previously on Jun 19, 2017 Upgraded to A3 (sf) Cl. M-I-3, Upgraded to Ba3 (sf); previously on Nov 10, 2015 Upgraded to B2 (sf) Cl. M-I-5, Upgraded to Caa3 (sf); previously on May 4, 2009 Downgraded to C (sf) Cl. M-I-4, Upgraded to Caa2 (sf); previously on Jan 6, 2015 Upgraded to Ca (sf) Cl. A-II-IO-B, Confirmed at C (sf); previously on Aug 29, 2017 C (sf) Placed Under Review for Possible Upgrade Issuer: RALI Series 2005-QO1 Trust Cl. X, Confirmed at C (sf); previously on Aug 29, 2017 C (sf) Placed Under Review for Possible Upgrade Issuer: Residential Asset Securitization Trust 2005-A5 Cl. A-X, Confirmed at Caa1 (sf); previously on Aug 29, 2017 Caa1 (sf) Placed Under Review Direction Uncertain Issuer: Sequoia Mortgage Trust 2007-2, Mortgage Pass-Through Certificates, Series 2007-2 Cl. 1-XA, Confirmed at B2 (sf); previously on Aug 15, 2017 B2 (sf) Placed Under Review Direction Uncertain Issuer: Structured Asset Mortgage Investments II Trust 2006-AR3 Cl. I-2X, Confirmed at C (sf); previously on Aug 29, 2017 C (sf) Placed Under Review for Possible Upgrade Cl. II-X, Confirmed at C (sf); previously on Aug 29, 2017 C (sf) Placed Under Review for Possible Upgrade Issuer: Structured Asset Mortgage Investments II Trust 2006-AR4 Cl. III-A-1, Upgraded to Caa1 (sf); previously on Dec 14, 2010 Downgraded to Caa3 (sf) Cl. III-X, Confirmed at C (sf); previously on Aug 29, 2017 C (sf) Placed Under Review for Possible Upgrade Issuer: Terwin Mortgage Trust 2004-13ALT Cl. 2-B-X, Confirmed at C (sf); previously on Aug 29, 2017 C (sf) Placed Under Review for Possible Upgrade Issuer: Thornburg Mortgage Securities Trust 2004-2 Cl. A-X, Confirmed at B3 (sf); previously on Aug 29, 2017 B3 (sf) Placed Under Review Direction Uncertain RATINGS RATIONALE The rating actions reflect the recent performance of the underlying pools and Moody's updated loss expectation on the pools. The rating upgrades are a result of the improving performance of the related pools and / or an increase in credit enhancement available to the bonds and / or the realignment based on the current pro rata payment and loss allocation since credit supports have depleted. The rating downgrades are due to the weaker performance of the underlying collateral and / or the erosion of enhancement available to the bonds. The action resolves the review of 24 IO bonds. The factors that Moody's considers in rating an IO bond depend on the type of referenced securities or assets to which the IO bond is linked. The final ratings on the IO bonds reflect the linkage reassessment, the performance of the respective transactions, and the application of the IO methodology. Two of the IO bonds in action were among those placed on watch in connection with data input errors in prior analyses. In prior rating actions, incorrect data inputs were used in the analysis for Class 5-A-20 from MASTR Asset Securitization Trust 2004-1, and Class 1-XA from Sequoia Mortgage Trust 2007-2, Mortgage Pass-Through Certificates, Series 2007-2. Following the linkage reassessment and performance review of the transactions, the rating on Class 1-XA from Sequoia Mortgage Trust 2007-2, Mortgage Pass-Through Certificates, Series 2007-2 was confirmed. The rating on Class 5-A-20 from MASTR Asset Securitization Trust 2004-1 was downgraded to reflect the correction of the data input as well as the downgrade of one of the referenced bonds in September 2017. The action also resolves the review of 22 IO bonds which were among those placed on watch in connection with a reassessment of the IO bond linkages captured in Moody's internal database. Following the linkage reassessment, Moody's determined that the ratings of these 22 IO bonds correctly reflect the linkage of the bonds to their referenced securities or asset pools, as well as the performance of the respective transactions. The rating on Class X-3 from Bear Stearns Asset-Backed Securities Trust 2002-AC1 was downgraded to C primarily due to the losses on the referenced bonds. The rating on Class 2-X from HarborView Mortgage Loan Trust 2005-9 was upgraded to Baa2 because of the rating upgrade of Class 2-PO. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in January 2017. Additionally, the methodology used in rating Bear Stearns Asset-Backed Securities Trust 2002-AC1 Cl. X-3, CHL Mortgage Pass-Through Trust 2005-7 Cl. 2-X and Cl. 1-X, CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-J6 Cl. 1-X, CWALT, Inc. Mortgage Pass-Through Certificates, Series 2006-OA7 Cl. 1-X and Cl. 2-X, HarborView Mortgage Loan Trust 2005-9 Cl. 1-X, Cl. 2-X, and Cl. 3-X, Lehman XS Trust Series 2007-12N Cl. 1-AX and Cl. 2-AX, MASTR Asset Securitization Trust 2004-1 Cl. 5-A-20, Morgan Stanley Mortgage Loan Trust 2004-11AR Cl. 1-X-B, Morgan Stanley Mortgage Loan Trust 2005-2AR Cl. X, MRFC Mortgage Pass-Through Certificates, Series 2001-TBC1 Cl. X, RAAC Series 2005-SP2 Trust Cl. A-II-IO-B, RALI Series 2005-QO1 Trust Cl. X, Residential Asset Securitization Trust 2005-A5 Cl. A-X, Sequoia Mortgage Trust 2007-2, Mortgage Pass-Through Certificates, Series 2007-2 Cl. 1-XA, Structured Asset Mortgage Investments II Trust 2006-AR3 Cl. I-2X and Cl. II-X, Structured Asset Mortgage Investments II Trust 2006-AR4 Cl. III-X, Terwin Mortgage Trust 2004-13ALT Cl. 2-B-X, Thornburg Mortgage Securities Trust 2004-2 Cl. A-X was "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. Factors that would lead to an upgrade or downgrade of the ratings: Ratings in the US RMBS sector remain exposed to the high level of macroeconomic uncertainty, and in particular the unemployment rate. The unemployment rate fell to 4.1% in October 2017 from 4.8% in October 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. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds and/or pools. [*] S&P Takes Various Action on 50 Classes From Nine US RMBS Deals ------------------------------------------------------------------ S&P Global Ratings completed its review of 50 classes from seven U.S. residential mortgage-backed securities (RMBS) and two resecuritized real estate mortgage investment conduits (re-REMIC) transactions issued between 2002 and 2010. All of these transactions are backed by mixed collateral. The review yielded 14 downgrades, 27 affirmations, six withdrawals, 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 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; -- Loan modification criteria; Small loan count; and -- Available subordination and/or overcollateralization. Rating Actions S&P said, "Please see the ratings list for the rationales for classes with rating transitions. The affirmations of ratings reflect our opinion that our projected credit support and collateral performance on these classes has remained relatively consistent with our prior projections. "We lowered our ratings on classes V-A11 and VI-A11 from BCAP LLC 2010-RR1 Trust and on classes 21-A2, 21-A3, and 21-A4 from Jefferies Resecuritization Trust 2009-R5. Both transactions are re-REMICs. These downgrades reflect the application of our loan modification criteria, "Methodology For Incorporating Loan Modification And Extraordinary Expenses Into U.S. RMBS Ratings," April 17, 2015, and "Principles For Rating Debt Issues Based On Imputed Promises," Dec. 19, 2014, which resulted in a maximum potential rating (MPR) lower than the previous rating on these classes. In addition, the class factor of 86.77% on class VI-A11 and 100% on classes 21-A3 and 21-A4 contributed to these classes' interest losses. "Based on our loan modification criteria, we apply a MPR cap to those classes of securities that are affected by reduced interest payments over time due to loan modifications and/or other credit-related events. The underlying classes' pool composition consists mostly of hybrid adjustable-rate mortgage loans. The interest rates on the loans underlying these securities reset less frequently than the interest rates on the securities themselves. As a result, the consideration of the securities' interest rate adjustments under our loan modification criteria may not properly capture the actual interest rate adjustments that may be occurring on the underlying loans. Accordingly, we observed and considered the less frequent interest rate adjustments on the underlying loans in order to correctly calculate the applicable MPR for these classes under our loan modification criteria." A list of affected ratings can be viewed at: http://bit.ly/2hDEwIt [*] S&P Takes Various Actions on 105 Classes From 8 US RMBS Deals ----------------------------------------------------------------- S&P Global Ratings, on Nov. 20, 2017, completed its review of 105 classes from eight U.S. residential mortgage-backed securities (RMBS) transactions issued between 1999 and 2004. All of these transactions are backed by prime jumbo collateral. The review yielded 16 downgrades, 82 affirmations, three withdrawals and four discontinuances. Analytical Considerations S&P said, "We incorporate various considerations into our decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by our projected cash flows." These considerations are based on transaction-specific performance or structural characteristics (or both) and their potential effects on certain classes. Some of these considerations include: -- Collateral performance/delinquency trends; -- Priority of principal payments; -- Tail risk; and -- 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 our projected credit support and collateral performance on these classes has remained relatively consistent with our prior projections. S&P said, "We lowered our ratings on class II-A-1 to 'BB+ (sf)' from 'AA- (sf)' and on class V-A-1 to 'BB+ (sf)' from 'A+ (sf)' from CSFB Mortgage-Backed Trust Series 2004-6. We believe that pools with less than 100 loans remaining create an increased risk of credit instability, because a liquidation and subsequent loss on one loan, or a small number of loans, at the tail end of a transaction's life may have a disproportionate impact on a given RMBS tranche's remaining credit support. We refer to this as "tail risk." The remaining credit support is $139,862 for class II-A-1 and $110,101 for class V-A-1. The highest balance loan remaining in the pool is $156,347 and it has been real-estate owned (REO) for the last 20 months. The liquidation of this loan or other loans remaining in the pool could significantly reduce subordination and expose these classes to losses. "We also lowered our ratings (see ratings list) on classes 1-A-1, 1-A-2, 1-A-3, 2-A-1, 2-A-2, 2-A-3, and 3-A-1 from Banc of America Mortgage 2003-C Trust to reflect the increase in our projected losses and our belief that the projected credit support for the affected classes will be insufficient to cover the projected losses we applied at the previous rating levels. The increase in our projected losses is due to higher reported delinquencies during the most recent performance periods when compared to those reported during the previous review dates. Further, the total number of loans outstanding in this pool is only 25, which expose the classes to "tail risk." A list of Affected Ratings can be viewed at: http://bit.ly/2mObuvl [*] S&P Takes Various Actions on 26 Classes From 12 US RMBS Deals ----------------------------------------------------------------- S&P Global Ratings completed its review of 26 classes from 12 U.S. residential mortgage-backed securities (RMBS) transactions issued between 1999 and 2005. All of these transactions are backed by prime jumbo and Alternative-A collateral. The review yielded 24 downgrades, one withdrawal, and one discontinuance. Analytical Considerations The lowered ratings are based on the implementation of our tail risk analysis per our criteria "U.S. RMBS Surveillance Credit And Cash Flow Analysis For Pre-2009 Originations," published March 2, 2016. S&P applies this analysis when the transaction contains fewer than 100 loans on the structure level or on the group level (group-level analysis is performed only if the transaction has multiple groups and cross-subordination is depleted). As RMBS transactions become more seasoned, the number of outstanding mortgage loans backing them declines as loans are prepaid and default. As a result, a liquidation and subsequent loss on one or a small number of remaining loans at the tail end of a transaction's life may have a disproportionate impact on remaining credit enhancement, which could result in a level of credit instability that is inconsistent with high ratings. According to S&P's criteria, additional minimum loss projection estimations are calculated at each rating category based on a certain number of loans defaulting and liquidating. To address the potential that greater losses could result if the loans with higher balances were to default, the criteria use the largest liquidation amounts for each rating category. S&P said, "If the transaction's structure contains multiple collateral groups and cross-subordination remains outstanding, we will apply our tail risk analysis on the structure level since cross-subordination is shared among all groups. In this situation we would calculate tail risk caps using the structure level loan count irrespective of the groups' loan counts. "If the transaction's structure contains multiple collateral groups and cross-subordination no longer remains outstanding, we will apply our tail risk analysis on the respective group since group level losses are not absorbed from cross-subordination. In this situation we would calculate tail risk caps using the group level loan count irrespective of the structure loan count." A list of Affected Ratings can be viewed at: http://bit.ly/2zV6wlm [*] S&P Takes Various Actions on 52 Classes From 11 US RMBS Deals ----------------------------------------------------------------- S&P Global Ratings completed its review of 52 classes from 11 U.S. residential mortgage-backed securities (RMBS) transactions issued between 2002 and 2006. All of these transactions are backed by a mix of collateral. The review yielded eight upgrades, 13 downgrades, and 31 affirmations. 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; -- Priority of principal payments; -- Proportion of reperforming loans in the pool; -- Tail risk; and -- 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 our opinion that our projected credit support and collateral performance on these classes has remained relatively consistent with our prior projections. A list of Affected Ratings can be viewed at: http://bit.ly/2zV6wlm [*] S&P Withdraws Ratings on 80 Classes From 12 U.S. RMBS Deals --------------------------------------------------------------- S&P Global Ratings, on Nov. 20, 2017, completed its review of 80 classes from 12 U.S. residential mortgage-backed securities (RMBS) transactions issued between 2002 and 2004. All of these transactions are backed by prime jumbo, Alternative-A, and closed-end second lien collateral. The review yielded 80 withdrawals. A list of Affected Ratings can be viewed at: http://bit.ly/2jIYd6b ********* 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 ***